While generalized linear mixed models are a fundamental tool in applied statistics, many specifications can be computationally challenging to estimate. Variational inference is a popular way to perform such computations, however naive use of such methods can provide unreliable uncertainty quantification in high-dimensions. This paper shows how appropriately relaxing the mean-field assumption leads to methods whose uncertainty quantification does not deteriorate in high-dimensions, and whose total computational cost scales linearly with the number of parameters and observations.
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Paul Fearnhead
Deputy Editors
Heather Battey
Omiros Papaspiliopoulos
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