eff_sample_size: Effective sample size

In kidusasfaw/pomp: Statistical Inference for Partially Observed Markov Processes

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, ...)

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

Other particle filter methods: bsmc2, cond.logLik, filter.mean, filter.traj, mif2, pfilter, pmcmc, pred.mean, pred.var

kidusasfaw/pomp documentation built on May 20, 2019, 2:59 p.m.