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A new avenue for Bayesian inference with INLA. (English) Zbl 07710147

Summary: Integrated Nested Laplace Approximations (INLA) has been a successful approximate Bayesian inference framework since its proposal by H. Rue et al. [J. R. Stat. Soc., Ser. B, Stat. Methodol. 71, No. 2, 319–392 (2009; Zbl 1248.62156)]. The increased computational efficiency and accuracy when compared with sampling-based methods for Bayesian inference like MCMC methods, are some contributors to its success. Ongoing research in the INLA methodology and implementation thereof in the R package R-INLA, ensures continued relevance for practitioners and improved performance and applicability of INLA. The era of big data and some recent research developments, presents an opportunity to reformulate some aspects of the classic INLA formulation, to achieve even faster inference, improved numerical stability and scalability. The improvement is especially noticeable for data-rich models. Various examples of data-rich models, like Cox’s proportional hazards model, an item-response theory model, a spatial model including prediction, and a three-dimensional model for fMRI data are used to illustrate the efficiency gains in a tangible manner.

MSC:

62-08 Computational methods for problems pertaining to statistics

Citations:

Zbl 1248.62156
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References:

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