Effective sample size for importance sampling based on discrepancy measures
نویسندگان
چکیده
منابع مشابه
Effective sample size for importance sampling based on discrepancy measures
The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation ÊSS of the theoretical ESS definition is widely applied, involving the inverse of the sum of the squares of the normalized importance weights. This formula, ÊSS, has become an essential p...
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ژورنال
عنوان ژورنال: Signal Processing
سال: 2017
ISSN: 0165-1684
DOI: 10.1016/j.sigpro.2016.08.025