## rethinking the ESS

**F**ollowing Victor Elvira‘s visit to Dauphine, one and a half year ago, where we discussed the many defects of ESS as a default measure of efficiency for importance sampling estimators, and then some more efforts (mostly from Victor!) to formalise these criticisms, Victor, Luca Martino and I wrote a paper on this notion, now arXived. (Victor most kindly attributes the origin of the paper to a 2010 ‘Og post on the topic!) The starting thread of the (re?)analysis of this tool introduced by Kong (1992) is that the ESS used in the literature is an *approximation* to the “true” ESS, generally unavailable. Approximation that is pretty crude and hence impacts the relevance of using it as *the* assessment tool for comparing importance sampling methods. In the paper, we re-derive (with the uttermost precision) the resulting approximation and list the many assumptions that [would] validate this approximation. The resulting drawbacks are many, from the absurd property of always being worse than direct sampling, to being independent from the target function and from the sample *per se*. Since only importance weights matter. This list of issues is not exactly brand new, but we think it is worth signaling given the fact that this approximation has been widely used in the last 25 years, due to its simplicity, as a practical rule of thumb [!] in a wide variety of importance sampling methods. In continuation of the directions drafted in Martino et al. (2017), we also indicate some alternative notions of importance efficiency. Note that this paper does not cover the use of ESS for MCMC algorithms, where it is somewhat more legit, if still too rudimentary to really catch convergence or lack thereof! *[Note: I refrained from the post title resinking the ESS…]*

September 24, 2018 at 9:46 pm

Justin Alsing has an arXival suggesting a heuristic for choosing proposals of ABC PMC samplers based on improving the ESS (or at least the most common estimator thereof!): https://arxiv.org/abs/1808.06040

September 14, 2018 at 11:10 am

JABSS: Just another blog success story :-)