Minimum effective sample size.

Description

Calculate the minimum effective samples required for appropriate accuracy.

Usage

minESS(p, alpha = .05, eps = .05)

Arguments

Details

The minimum effective samples required when estimating a vector of length p, with 100(1-α)% confidence and tolerance of ε is

mbox{mESS} ≥q frac{2^{2/p} π}{(p Γ(p/2))^{2/p}} frac{χ^2_{1-α, p}}{ε^2}

Value

The function returns the estimated effective sample size.

References

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

Vats, D., Flegal, J. M., and, Jones, G. L Multivariate Output Analysis for Markov chain Monte Carlo, arXiv preprint arXiv:1512.07713 (2015).

See Also

multiESS, which calculates multivariate effective sample size using a Markov chain and a function g.

ess which calculates univariate effective sample size using a Markov chain and a function g.

Examples

minESS(p = 5)

Results