Mean field variational Bayes for elaborate distributions

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dc.contributor.author Wand, M
dc.contributor.author Ormerod, JT
dc.contributor.author Padoan, SA
dc.contributor.author Fruhwirth, R
dc.date.accessioned 2012-10-12T03:32:47Z
dc.date.issued 2011-01
dc.identifier.citation Bayesian Analysis, 2011, 6 (4), pp. 847 - 900
dc.identifier.issn 1931-6690
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/17931
dc.description.abstract We develop strategies for mean eld variational Bayes approximate inference for Bayesian hierarchical models containing elaborate distributions. We loosely dene elaborate distributions to be those having more complicated forms compared with common distributions such as those in the Normal and Gamma families. Examples are Asymmetric Laplace, Skew Normal and Generalized Ex- treme Value distributions. Such models suer from the diculty that the param- eter updates do not admit closed form solutions. We circumvent this problem through a combination of (a) specially tailored auxiliary variables, (b) univariate quadrature schemes and (c) nite mixture approximations of troublesome den- sity functions. An accuracy assessment is conducted and the new methodology is illustrated in an application
dc.publisher International Society for Bayesian Analysis
dc.relation.isbasedon 10.1214/11-BA631
dc.title Mean field variational Bayes for elaborate distributions
dc.type Journal Article
dc.parent Bayesian Analysis
dc.journal.volume 4
dc.journal.volume 6
dc.journal.number 4 en_US
dc.publocation United States en_US
dc.identifier.startpage 847 en_US
dc.identifier.endpage 900 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 0104 Statistics
dc.personcode 110509
dc.percentage 100 en_US
dc.classification.name Statistics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Auxiliary mixture sampling, Bayesian inference, Quadrature, Varia- tional methods
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
utslib.collection.history General (ID: 2)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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