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Institute of Mathematical Statistics, Electronic Journal of Statistics, 2(9), 2015

DOI: 10.1214/15-ejs1092

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Improving the INLA approach for approximate Bayesian inference for latent Gaussian models

Journal article published in 2015 by Egil Ferkingstad ORCID, Håvard Rue
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

We introduce a new copula-based correction for generalized linear mixed models (GLMMs) within the integrated nested Laplace approximation (INLA) approach for approximate Bayesian inference for latent Gaussian models. While INLA is usually very accurate, some (rather extreme) cases of GLMMs with e.g. binomial or Poisson data have been seen to be problematic. Inaccuracies can occur when there is a very low degree of smoothing or “borrowing strength” within the model, and we have therefore developed a correction aiming to push the boundaries of the applicability of INLA. Our new correction has been implemented as part of the R-INLA package, and adds only negligible computational cost. Empirical evaluations on both real and simulated data indicate that the method works well.