Effective sample size of the importance-sampling weights

Returns the effective sample size (1 / sum(W^2)) of the self-normalised importance weights used by a regime-(iii) fit. NA for regimes that do not use importance sampling.

Usage

ess_trace(fit)

Arguments

fit

A gmm_fit.

Value

Numeric scalar (or NA_real_).

See also

Other diagnostics: bic_aic(), ess_summary(), gmm_anneal_path(), gmm_conditional_entropy(), gmm_entropy(), gmm_evidence(), gmm_fit_ensemble(), gmm_fit_quality(), gmm_independence_graph(), gmm_mutual_information(), hellinger_mc(), kld_trace(), proxy_functional_ci()

Examples

fit <- fit_proxymix(banana_target(), N = 2L, regime = "kld",
                    is_size = 1000L, max_iter = 15L, seed = 1L)
ess_trace(fit)
#> [1] 706.9948