Mean Field Variational Bayes for Elaborate Distributions
Mean Field Variational Bayes for Elaborate Distributions
We develop strategies for mean field variational Bayes approximate inference for Bayesian hierarchical models containing elaborate distributions. We loosely define elaborate distributions to be those having more complicated forms compared with common distributions such as those in the Normal and Gamma families. Examples are Asymmetric Laplace, Skew Normal and Generalized …