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Computational Statistics & Data Analysis
Volume 51, Issue 2, 15 November 2006, Pages 699-709
 
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doi:10.1016/j.csda.2006.03.005    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2006 Elsevier B.V. All rights reserved.

Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models

Hans J. Skauga, Corresponding Author Contact Information, E-mail The Corresponding Author and David A. Fournierb, E-mail The Corresponding Author, E-mail The Corresponding Author

aDepartment of Mathematics, University of Bergen, Johannes Brunsgate 12, 5008 Bergen, Norway bOtter Research Ltd., P.O. Box 2040 Sidney, Canada V8L 3S3

Received 3 January 2006; 
revised 16 March 2006; 
accepted 16 March 2006. 
Available online 17 April 2006.

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Abstract

Fitting of non-Gaussian hierarchical random effects models by approximate maximum likelihood can be made automatic to the same extent that Bayesian model fitting can be automated by the program BUGS. The word “automatic” means that the technical details of computation are made transparent to the user. This is achieved by combining a technique from computer science known as “automatic differentiation” with the Laplace approximation for calculating the marginal likelihood. Automatic differentiation, which should not be confused with symbolic differentiation, is mostly unknown to statisticians, and hence basic ideas and results are reviewed. The computational performance of the approach is compared to that of existing mixed-model software on a suite of datasets selected from the mixed-model literature.

Keywords: AD Model Builder; Automatic differentiation; Importance sampling; Laplace approximation; Mixed models; Random effects

Article Outline

1. Introduction
2. Hierarchical models
3. Computational techniques
3.1. Automatic differentiation
3.2. The Laplace approximation and its gradient
3.3. Numerical optimization
3.4. Conditional independence
3.5. Laplace importance sampling
4. Examples
4.1. Negative binomial distribution
4.2. Poisson regression with spatially correlated random effects
4.3. A state-space model for discrete time series
4.4. Nonparametric modelling of mean and variance
4.5. A growth curve model
5. Discussion
Acknowledgements
References


 
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