eff_sample_size: Effective sample size

In pomp: Statistical Inference for Partially Observed Markov Processes

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, ..., format = c("numeric", "data.frame"))

## S4 method for signature 'pfilterd_pomp'
eff_sample_size(object, ..., format = c("numeric", "data.frame"))

## S4 method for signature 'wpfilterd_pomp'
eff_sample_size(object, ..., format = c("numeric", "data.frame"))

## S4 method for signature 'pfilterList'
eff_sample_size(object, ..., format = c("numeric", "data.frame"))

Arguments

object	result of a filtering computation
...	ignored
format	format of the returned object

Details

Effective sample size is computed as

\left(\sum_i\!w_{it}^2\right)^{-1},

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 Aug. 8, 2023, 1:08 a.m.