eff_sample_size function

Effective sample size

Estimate the effective sample size of a Monte Carlo computation.

## 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

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(), time(), timezero(), traces()