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Last data update: 2014.03.03

R: Estimate effective sample size (ESS) as described in Gong and...

ess	R Documentation

Estimate effective sample size (ESS) as described in Gong and Felgal (2015).

Description

Estimate effective sample size (ESS) as described in Gong and Flegal (2015).

Usage

  ess(x, g = NULL)

Arguments

`x`	an n by p matrix that represents the Markov chain output.

`g`	a function that represents features of interest. g is applied to each row of `x` and thus g should take a vector input only. If g is `NULL`, g is set to be identity, which is estimation of the mean of the target density.

Details

ESS is the size of an iid sample with the same variance as the current sample. ESS is given by

ESS = n λ^2/σ^2,

where λ^2 is the sample variance and σ^2 is the batch means estimate of the asymptotic variance.

Value

The function returns the estimated effective sample size.

References

Gong, L. and Flegal, J. M. (2015) A practical sequential stopping rule for high-dimensional Markov chain Monte Carlo Journal of Computational and Graphical Statistics.