Class ESSestimator

template<typename NT, typename VT, typename MT>
class ESSestimator

This is a class that updates the effective sample size (ess) of a sample given a new chain using Welford’s algorithm to update the average values and the variance estimates where needed. The chains has to be of the same length. The ess estimation exploits Geyer’s stable estimator for the autocovariance and the Geyer’s conversion to a monotone sequence, given in,

Charles J. Geyer, Practical Markov Chain Monte Carlo, Statistical Science 1992.

Template Parameters:

  • NT – number type

  • VT – vector type

  • MT – matrix type

Public Functions

inline ESSestimator()
inline ESSestimator(unsigned int const &_ndraws, unsigned int const &_dim)
inline void update_estimator(MT const &samples)
inline void estimate_effective_sample_size()
inline VT get_effective_sample_size()