Bayesian inference in hierarchical models by combining independent posteriors

Understand

Hierarchical models are versatile tools for joint modeling of data sets arising from different, but related, sources.

• Fully Bayesian inference may, however, become computationally prohibitive if the source-specific data models are complex, or if the number of sources is very large.
• To facilitate computation, we propose an approach, where inference is first made independently for the parameters of each data set, whereupon the obtained posterior samples are used as observed data in a substitute hierarchical model, based on a scaled likelihood function.
• Compared to direct inference in a full hierarchical model, the approach has the advantage of being able to speed up convergence by breaking down the initial large inference problem into smaller individual subproblems with better convergence properties.