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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.
Methods of reducing sample size in monte carlo computations
H. Kahn and A. Marshall · 1953
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Advances in importance sampling
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Elements of Information Theory
T. M. Cover and J. A. Thomas · 1991
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A note on importance sampling using standardized weights
A. Kong · 1992
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Novel approach to nonlinear and non-Gaussian Bayesian state estimation
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Sequential imputations and Bayesian missing data problems
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Bayesian filtering: From Kalman filters to particle filters, and beyond
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Particle filtering
P. M. Djurić, J. H. Kotecha, J. Zhang, Y. Huang, T. Ghirmai, M. F. Bugallo, and J. Míguez · 2003
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Introduction to rare event simulation
J. Bucklew · 2004
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Population Monte Carlo
O. Cappé, A. Guillin, J. M. Marin, and C. P. Robert · 2004
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Monte Carlo Statistical Methods
C. P. Robert and G. Casella · 2004
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Another look at rejection sampling through importance sampling
Y. Chen · 2005
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Comparison of resampling schemes for particle filtering
R. Douc, O. Cappé, and E. Moulines · 2005
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Mathematical statistics and data analysis
J. Rice · 2006
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Adaptive importance sampling in general mixture classes
O. Cappé, R. Douc, A. Guillin, J. M. Marin, and C. P. Robert · 2008
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A tutorial on particle filtering and smoothing: fifteen years later
A. Doucet and A. M. Johansen · 2008
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Truncated importance sampling
E. L. Ionides · 2008
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Effective Sample Size
C. Robert · 2010
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Introducing Monte Carlo Methods with R
C. P. Robert and G. Casella · 2010
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Deterministic resampling: Unbiased sampling to avoid sample impoverishment in particle filters
Improving Population Monte Carlo: Alternative weighting and resampling schemes
V. Elvira, L. Martino, D. Luengo, and M. F. Bugallo · 2017
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Effective sample size for importance sampling based on discrepancy measures
L. Martino, V. Elvira, and F. Louzada · 2017
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Layered adaptive importance sampling
L. Martino, V. Elvira, D. Luengo, and J. Corander · 2017
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J. H. Huggins and D. M. Roy · 2018
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Group importance sampling for particle filtering and MCMC
L. Martino, V. Elvira, and G. Camps-Valls · 2018
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A comparison of clipping strategies for importance sampling
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