Practical Consequences of the Bias in the Laplace Approximation to Marginal Likelihood for Hierarchical Models.

Due to the high dimensional integration over latent variables, computing marginal likelihood and posterior distributions for the parameters of a general hierarchical model is a difficult task. The Markov Chain Monte Carlo (MCMC) algorithms are commonly used to approximate the posterior distributions. These algorithms, though effective, are computationally intensive and can be slow for large, complex models. As an alternative to the MCMC approach, the Laplace approximation (LA) has been successfully used to obtain fast and accurate approximations to the posterior mean and other derived quantities related to the posterior distribution. In the last couple of decades, LA has also been used to approximate the marginal likelihood function and the posterior distribution. In this paper, we show that the bias in the Laplace approximation to the marginal likelihood has substantial practical consequences.