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On the Convergence of Laplace's Approximation and Its Implications for Bayesian Computation

Presented by: 
Claudia Schillings Universität Mannheim
Date: 
Tuesday 10th April 2018 - 10:00 to 10:30
Venue: 
INI Seminar Room 1
Abstract: 
Sampling methods for Bayesian inference show numerical instabilities in the case of concentrated posterior distributions. However, the concentration of the posterior is a highly desirable situation in practice, since it relates to informative or large data. In this talk, we will discuss convergence results of Laplace’s approximation and analyze the use of the approximation within sampling methods. This is joint work with Bjoern Sprungk (U Goettingen) and Philipp Wacker (FAU Erlangen).
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons