A probabilistic diagnostic for Laplace approximations: Introduction and
experimentation
A probabilistic diagnostic for Laplace approximations: Introduction and
experimentation
Many models require integrals of high-dimensional functions: for instance, to obtain marginal likelihoods. Such integrals may be intractable, or too expensive to compute numerically. Instead, we can use the Laplace approximation (LA). The LA is exact if the function is proportional to a normal density; its effectiveness therefore depends on …