Enhanced Laplace approximation

Jeongseop Han and Youngjo Lee

Journal of Multivariate Analysis, 2024, vol. 202, issue C

Abstract: The Laplace approximation has been proposed as a method for approximating the marginal likelihood of statistical models with latent variables. However, the approximate maximum likelihood estimators derived from the Laplace approximation are often biased for binary or temporally and/or spatially correlated data. Additionally, the corresponding Hessian matrix tends to underestimates the standard errors of these approximate maximum likelihood estimators. While higher-order approximations have been suggested, they are not applicable to complex models, such as correlated random effects models, and fail to provide consistent variance estimators. In this paper, we propose an enhanced Laplace approximation that provides the true maximum likelihood estimator and its consistent variance estimator. We study its relationship with the variational Bayes method. We also define a new restricted maximum likelihood estimator for estimating dispersion parameters and study their asymptotic properties. Enhanced Laplace approximation generally demonstrates how to obtain the true restricted maximum likelihood estimators and their variance estimators. Our numerical studies indicate that the enhanced Laplace approximation provides a satisfactory maximum likelihood estimator and restricted maximum likelihood estimator, as well as their variance estimators in the frequentist perspective. The maximum likelihood estimator and restricted maximum likelihood estimator can be also interpreted as the posterior mode and marginal posterior mode under flat priors, respectively. Furthermore, we present some comparisons with Bayesian procedures under different priors.

Keywords: Laplace approximation; Latent variable; Maximum likelihood estimator; Restricted maximum likelihood estimator; Variational Bayes method (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2024.105321

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