On expectation propagation for generalised, linear and mixed models

Publication Type:
Journal Article
Australian and New Zealand Journal of Statistics, 2018, 60 (1), pp. 75 - 102
Issue Date:
Filename Description Size
Kim_et_al-2018-Australian_&_New_Zealand_Journal_of_Statistics.pdfPublished Version1.47 MB
Adobe PDF
Full metadata record
© 2018 Australian Statistical Publishing Association Inc. Published by John Wiley & Sons Australia Pty Ltd. Expectation propagation is a general approach to deterministic approximate Bayesian inference for graphical models, although its literature is confined mostly to machine learning applications. We investigate the utility of expectation propagation in generalised, linear, and mixed model settings. We show that, even though the algebra and computations are complicated, the notion of message passing on factor graphs affords streamlining of the required calculations and we list the algorithmic steps explicitly. Numerical studies indicate expectation propagation is marginally more accurate than a competing method for the models considered, but at the expense of bigger algebraic and computational overheads.
Please use this identifier to cite or link to this item: