Bayesian sequential parameter estimation with a Laplace type approximation

25 Sep 2015  ·  Mai Tiep, Wilson Simon ·

A method for sequential inference of the fixed parameters of a dynamic latent Gaussian models is proposed and evaluated that is based on the iterated Laplace approximation. The method provides a useful trade-off between computational performance and the accuracy of the approximation to the true posterior distribution... Approximation corrections are shown to improve the accuracy of the approximation in simulation studies. A population-based approach is also shown to provide a more robust inference method. read more

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