Laplace-delta variational inference for nonconjugate models
Laplace and delta approximations can be useful inside variational algorithms, but they should not be confused with expectation propagation.
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Technical notes
Blog
Notes on statistical modeling, Bayesian computation, forecast evaluation, and scientific computing. The emphasis is on clear assumptions, reproducible implementation, and diagnostics that can be checked.
Six-part series
Bayesian workflow
A compact sequence from problem formulation through computation, simulation, model criticism, predictive comparison, and final reporting.
- 1 From questions to a generative model Bayesian analysis starts with a target, a data-generating story, and assumptions that can be inspected before fitting.
- 2 Preparing and monitoring computation Computation should be staged, diagnosed, and recorded against the quantities that will actually be reported.
- 3 Simulation, recovery, and calibration Simulation helps separate coding errors, weak identification, poor priors, and biased computation before real-data conclusions are trusted.
- 4 Diagnosing fit and revising the model A failed diagnostic should lead to a specific revision: code, computation, parameterization, prior information, or model structure.
- 5 Comparing and combining predictive models Model comparison should match the prediction task, report uncertainty, and avoid treating stacking weights as posterior model probabilities.
- 6 Iteration, stopping, and reporting A model is ready to report when it answers the target with acceptable uncertainty, not when every possible discrepancy has disappeared.
Methods and computing
Standalone notes
A practical Slurm workflow on UCSC Hummingbird
Use Hummingbird by discovering current partitions, testing small interactive jobs, controlling threads, and submitting reproducible Slurm batches.
Updated
Energy scores for Gaussian forecasts: what is closed form and what is not
The standard noncentral-chi expression applies to spherical Gaussian covariance. General covariance requires a generalized quadratic-form calculation or simulation.
Updated