Computes the effective sample size (ESS) of importance sampling estimator.

Fast functions for effective sample size, weighted multivariate
mean, variance, and quantile computation, and weight diagnostic plot for
generic importance sampling type or other probability weighted samples.

Jouni Helske

diagis

Diagnostic Plot and Multivariate Summary Statistics of Weighted
Samples from Importance Sampling

ess function

<dl><dt>w</dt>
<dd>A numeric vector of non-negative weights.</dd>
<dt>f</dt>
<dd>A function used in computing <code>f</code>-specific ESS.</dd>
<dt>x</dt>
<dd>A numeric vector of samples used to generate <code>w</code>. Used for computing <code>f(x)</code>.</dd></dl>

Arguments

Effective sample size — ess

<dl>

<dt>w</dt>
<dd>A numeric vector of non-negative weights.</dd>


<dt>f</dt>
<dd>A function used in computing <code>f</code>-specific ESS.</dd>


<dt>x</dt>
<dd>A numeric vector of samples used to generate <code>w</code>. Used for computing <code>f(x)</code>.</dd>

</dl>

ess: Effective sample size

Description

Usage

Value

Arguments