iLaplace-package: iLaplace: A package for Approximating Multidimensional...
In erlisR/iLaplace: Improved Laplace Approximation for Integrals of Unimodal Functions
Description
Details
Author(s)
References
See Also
Description
This package gives (a parallel) implementation of the improved Laplace approximation for multivariate integrals of user-written unimodal functions (see Ruli et al. 2015). The method essentially approximates the target integral by the ratio of the (unnormalised) integrand and an approximation of its normalised version, both evaluated at the modal value. The normalised integrand is obtained through a sequential application of the Laplace approximation for marginal densities. Like the standard Laplace approximation, the improved Laplace approximation is a deterministic method which approximates intractable multidimensional integrals by (essentially) numerical optimisations. However, whith respect to the Laplace approximation, the improved Laplace involves scalar numerical integrations. Nevertheless, the improved Laplace approximation tends to be fast and extremely accurate, especially with skewed fat-tailed integrands.
Details
Currently the packages provides two functions iLap and ilap2d which perform approximation of d-variate and bivariate integrals, respectively.
Author(s)
Erlis Ruli erlisr@yahoo.it
References
Ruli E., Sartori N. & Ventura L. (2015)
Improved Laplace approximation for marignal likelihoods. http://arxiv.org/abs/1502.06440
See Also
iLap and iLap2d for more details and examples.
erlisR/iLaplace documentation built on May 16, 2019, 8:48 a.m.
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Description Details Author(s) References See Also
Description
This package gives (a parallel) implementation of the improved Laplace approximation for multivariate integrals of user-written unimodal functions (see Ruli et al. 2015). The method essentially approximates the target integral by the ratio of the (unnormalised) integrand and an approximation of its normalised version, both evaluated at the modal value. The normalised integrand is obtained through a sequential application of the Laplace approximation for marginal densities. Like the standard Laplace approximation, the improved Laplace approximation is a deterministic method which approximates intractable multidimensional integrals by (essentially) numerical optimisations. However, whith respect to the Laplace approximation, the improved Laplace involves scalar numerical integrations. Nevertheless, the improved Laplace approximation tends to be fast and extremely accurate, especially with skewed fat-tailed integrands.
Details
Currently the packages provides two functions iLap and ilap2d which perform approximation of d-variate and bivariate integrals, respectively.
Author(s)
Erlis Ruli erlisr@yahoo.it
References
Ruli E., Sartori N. & Ventura L. (2015) Improved Laplace approximation for marignal likelihoods. http://arxiv.org/abs/1502.06440
See Also
iLap and iLap2d for more details and examples.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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