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Rethinking the effective sample size
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Elvira, Victor, Martino, Luca and Robert, Christian P. (2022) Rethinking the effective sample size. International Statistical Review, 90 (3). pp. 525-550. doi:10.1111/insr.12500 ISSN 1751-5823.
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Official URL: https://doi.org/10.1111/insr.12500
Abstract
The effective sample size (ESS) is widely used in sample-based simulation methods for assessing the quality of a Monte Carlo approximation of a given distribution and of related integrals. In this paper, we revisit the approximation of the ESS in the specific context of importance sampling. The derivation of this approximation, that we will denote as ESSˆ , is partially available in a 1992 foundational technical report of Augustine Kong. This approximation has been widely used in the last 25 years due to its simplicity as a practical rule of thumb in a wide variety of importance sampling methods. However, we show that the multiple assumptions and approximations in the derivation of ESSˆ make it difficult to be considered even as a reasonable approximation of the ESS. We extend the discussion of the ESSˆ in the multiple importance sampling setting, we display numerical examples and we discuss several avenues for developing alternative metrics. This paper does not cover the use of ESS for Markov chain Monte Carlo algorithms.
Item Type: | Journal Article | ||||||||||||
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Subjects: | Q Science > QA Mathematics | ||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||||
SWORD Depositor: | Library Publications Router | ||||||||||||
Library of Congress Subject Headings (LCSH): | Sampling (Statistics), Monte Carlo method, Bayesian statistical decision theory | ||||||||||||
Journal or Publication Title: | International Statistical Review | ||||||||||||
Publisher: | Wiley | ||||||||||||
ISSN: | 1751-5823 | ||||||||||||
Official Date: | December 2022 | ||||||||||||
Dates: |
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Volume: | 90 | ||||||||||||
Number: | 3 | ||||||||||||
Page Range: | pp. 525-550 | ||||||||||||
DOI: | 10.1111/insr.12500 | ||||||||||||
Status: | Peer Reviewed | ||||||||||||
Publication Status: | Published | ||||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||||
Copyright Holders: | © 2022 International Statistical Institute | ||||||||||||
Date of first compliant deposit: | 6 May 2022 | ||||||||||||
Date of first compliant Open Access: | 10 April 2023 | ||||||||||||
RIOXX Funder/Project Grant: |
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