Integrated Nested Laplace Approximation



Integrated nested Laplace approximation (Rue, Martino, and Chopin 2009; Ingebrigtsen, Lindgren, and Steinsland 2014; Lindgren and Rue 2015; Rue et al. 2016@; Rue, Martino, and Chopin 2009) connects to the GP-as-SDE idea, I think? TBC.

References

Ingebrigtsen, Rikke, Finn Lindgren, and Ingelin Steinsland. 2014. Spatial Models with Explanatory Variables in the Dependence Structure.” Spatial Statistics, Spatial Statistics Miami, 8 (May): 20–38.
Lindgren, Finn, and Håvard Rue. 2015. Bayesian Spatial Modelling with R-INLA.” Journal of Statistical Software 63 (i19): 1–25.
Opitz, Thomas, Raphaël Huser, Haakon Bakka, and Håvard Rue. 2018. INLA Goes Extreme: Bayesian Tail Regression for the Estimation of High Spatio-Temporal Quantiles.” Extremes 21 (3): 441–62.
Rue, Håvard, Sara Martino, and Nicolas Chopin. 2009. Approximate Bayesian Inference for Latent Gaussian Models by Using Integrated Nested Laplace Approximations.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 71 (2): 319–92.
Rue, Håvard, Andrea Riebler, Sigrunn H. Sørbye, Janine B. Illian, Daniel P. Simpson, and Finn K. Lindgren. 2016. Bayesian Computing with INLA: A Review.” arXiv:1604.00860 [Stat], September.

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