Effective sample size measures how much independent information a weighted or correlated sample contributes. For importance sampling, it compares the variance of a weighted average with that of an unweighted average: correlated samples have variance σ²/neff. section 2.7
Use effective sample size to assess importance-sampling quality:
- Large, balanced importance weights indicate that the proposal resembles the target and produces lower estimator variance. section 2.7
- A small effective sample size signals that a few weights dominate the weighted sum. section 2.7
- Choose the acceptable effective-sample-size threshold according to the application. section 2.7
Figure 2.15 Importance sampler pseudo-code
Importance-sampler pseudocode provides an implementation context for computing and using effective sample size as a diagnostic. section 2.7
