Gaussian variational approximate inference for generalized linear mixed models
- Publisher:
- American Statistical Association
- Publication Type:
- Journal Article
- Citation:
- Ormerod J. and Wand Matthew 2011, 'Gaussian variational approximate inference for generalized linear mixed models', American Statistical Association, vol. 21, no. 1, pp. 2-17.
- Issue Date:
- 2011
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Variational approximation methods have become a mainstay of contemporary machine learning methodology, but currently have little presence in statistics. We devise an effective variational approximation strategy for fitting generalized linear mixed models (GLMMs) appropriate for grouped data. It involves Gaussian approximation to the distributions of random effects vectors, conditional on the responses. We show that Gaussian variational approximation is a relatively simple and natural alternative to Laplace approximation for fast, non-Monte Carlo, GLMM analysis. Numerical studies show Gaussian variational approximation to be very accurate in grouped data GLMM contexts. Finally, we point to some recent theory on consistency of Gaussian variational approximation in this context.
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