A gentle INLA tutorial
INLA is a nice (fast) alternative to MCMC for fitting Bayesian models
INLA is a nice (fast) alternative to MCMC for fitting Bayesian models. They each have some pros and cons, but while MCMC is a pretty intuitive method to learn and even implement yourself in simple scenarios, the INLA algorithms were a mathematical stretch for me.
I think it’s better now, but when I was first learning INLA for my dissertation, there weren’t a ton of gentle introductions. I spent months during my PhD going over and over the proofs in the seminal INLA paper, trying to make sense of it all.