Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models

@article{Skaug2006AutomaticAO,
  title={Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models},
  author={Hans J. Skaug and David A. Fournier},
  journal={Computational Statistics & Data Analysis},
  year={2006},
  volume={51},
  pages={699-709}
}
Fitting of non-Gaussian hierarchical random effects models by approximate maximum likelihood can be made automatic to the same extent that Bayesian model fitting can be automated by the program BUGS. The word “automatic” means that the technical details of computation are made transparent to the user. This is achieved by combining a technique from computer science known as “automatic differentiation” with the Laplace approximation for calculating the marginal likelihood. Automatic… CONTINUE READING
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