Description Usage Arguments Value References Examples
The ESS is a "rule of thumb" for assessing the degeneracy of the importance distribution:
ESS = \frac{(∑_{q=1}^Q w_q)^2}{∑_{q=1}^Q w_q^2}
1 | effectiveSampleSize(log_weights)
|
log_weights |
logarithms of the importance weights of each particle. |
the effective sample size, a scalar between 0 and Q
Liu, JS (2001) "Monte Carlo Strategies in Scientific Computing." Springer, NY, pp. 34–36.
1 2 | x <- runif(100)
effectiveSampleSize(log(x))
|
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