English

Fast and Accurate Estimation of Non-Nested Binomial Hierarchical Models Using Variational Inference

Methodology 2021-10-22 v4

Abstract

Non-linear hierarchical models are commonly used in many disciplines. However, inference in the presence of non-nested effects and on large datasets is challenging and computationally burdensome. This paper provides two contributions to scalable and accurate inference. First, I derive a new mean-field variational algorithm for estimating binomial logistic hierarchical models with an arbitrary number of non-nested random effects. Second, I propose "marginally augmented variational Bayes" (MAVB) that further improves the initial approximation through a step of Bayesian post-processing. I prove that MAVB provides a guaranteed improvement in the approximation quality at low computational cost and induces dependencies that were assumed away by the initial factorization assumptions. I apply these techniques to a study of voter behavior using a high-dimensional application of the popular approach of multilevel regression and post-stratification (MRP). Existing estimation took hours whereas the algorithms proposed run in minutes. The posterior means are well-recovered even under strong factorization assumptions. Applying MAVB further improves the approximation by partially correcting the under-estimated variance. The proposed methodology is implemented in an open source software package.

Keywords

Cite

@article{arxiv.2007.12300,
  title  = {Fast and Accurate Estimation of Non-Nested Binomial Hierarchical Models Using Variational Inference},
  author = {Max Goplerud},
  journal= {arXiv preprint arXiv:2007.12300},
  year   = {2021}
}

Comments

Accepted version available at DOI below; corrected small typos

R2 v1 2026-06-23T17:21:54.940Z