Simultaneous Credible Bands for Latent Gaussian Models

Simultaneous Credible Bands for Latent Gaussian Models

0.00 Avg rating0 Votes
Article ID: iaor201112576
Volume: 38
Issue: 4
Start Page Number: 712
End Page Number: 725
Publication Date: Dec 2011
Journal: Scandinavian Journal of Statistics
Authors: ,
Keywords: probability, statistics: inference, simulation, simulation: applications
Abstract:

Deterministic Bayesian inference for latent Gaussian models has recently become available using integrated nested Laplace approximations (INLA). Applying the INLA-methodology, marginal estimates for elements of the latent field can be computed efficiently, providing relevant summary statistics like posterior means, variances and pointwise credible intervals. In this article, we extend the use of INLA to joint inference and present an algorithm to derive analytical simultaneous credible bands for subsets of the latent field. The algorithm is based on approximating the joint distribution of the subsets by multivariate Gaussian mixtures. Additionally, we present a saddlepoint approximation to compute Bayesian contour probabilities, representing the posterior support of fixed parameter vectors of interest. We perform a simulation study and apply the given methods to two real examples.

Reviews

Required fields are marked *. Your email address will not be published.