Variational Bayes
Variational Bayes came up in conversation on expectation maximization recently and I remembered that I’ve had this reading list sitting in my “to be published” queue for months. Variational Bayes is just a Bayesian version of expectation maximization but it can…
Integration for Nonlinear Models with Lots of Random Effects
Over the last few years I’ve been getting more interested in how to deal with high dimensional integration of random effects. In straightforward nonlinear mixed effects models¹ you typically try to approximate a random effect by numerical integration. The standard…
Nonlinear FE: Incidental Parameters Bias
Probably the most common technique for dealing with repeated observations in economics and a lot of the social sciences is to segregate between group and within group variability and only look at the within group effects of explanatory variables on…
Discrete Choice Methods with Simulation (Nonlinear Random Effects Models)
One of the things that had the biggest impact on my early development as a methodologist was reading Kenneth Train’s book Discrete Choice Methods with Simulation. It’s available for free as a PDF on his website. You should read it. Really. The focus…