Mean Field Variational Bayes for Elaborate Distributions
作者： Matthew P Wand , John T Ormerod , Simone A Padoan , Rudolf Frühwirth , None
DOI: 10.1214/11-BA631
关键词:
摘要: We develop strategies for mean eld variational Bayes approximate inference Bayesian hierarchical models containing elaborate distributions. loosely dene distributions to be those having more complicated forms compared with common such as in the Normal and Gamma families. Examples are Asymmetric Laplace, Skew Generalized Ex- treme Value Such suer from diculty that param- eter updates do not admit closed form solutions. circumvent this problem through a combination of (a) specially tailored auxiliary variables, (b) univariate quadrature schemes (c) nite mixture approximations troublesome den-
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