Pólya-Gamma Augmentation
Bayesian inference for models with binomial likelihoods is hard, but in a 2013 paper, Nicholas Polson and his coauthors introduced a new method fast Bayesian inference using Gibbs sampling. I discuss their main results in detail. Consider the task of Bayesian inference for models with binomial likelihoods parameterized by log-odds. Two well-known examples of such models are logistic regression and
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Random Fourier Features
A Practical Implementation of Gaussian Process Regression