running_ess {diagis}

Running effective sample size

Description

Computes and returns the running estimate of effective sample size (ESS) of importance sampling estimator.

Usage

running_ess(w, f, x)

Arguments

w

A numeric vector of non-negative weights.

f

A function used in computing f-specific ESS.

x

A numeric vector of samples used to generate w. Used for computing f(x).

Value

An effective sample size estimate.