eff_sample_size: Effective sample size

eff.sample.sizeR Documentation

Effective sample size

Description

Estimate the effective sample size of a Monte Carlo computation.

Usage

## S4 method for signature 'bsmcd_pomp'
eff.sample.size(object, ...)

## S4 method for signature 'pfilterd_pomp'
eff.sample.size(object, ...)

## S4 method for signature 'wpfilterd_pomp'
eff.sample.size(object, ...)

Arguments

object

result of a filtering computation

...

ignored

Details

Effective sample size is computed as

1/(sum(w_it^2)),

where w_it is the normalized weight of particle i at time t.

See Also

More on sequential Monte Carlo methods: bsmc2(), cond.logLik(), filter.mean(), filter.traj(), kalman, mif2(), pfilter(), pmcmc(), pred.mean(), pred.var(), saved.states(), wpfilter()

Other extraction methods: coef(), cond.logLik(), covmat(), filter.mean(), filter.traj(), forecast(), logLik, obs(), pred.mean(), pred.var(), saved.states(), spy(), states(), summary(), timezero(), time(), traces()


pomp documentation built on July 7, 2022, 1:05 a.m.