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Importance sampling for Bayesian inference: polynomial-dimension dependent error bounds
Fabián González, Víctor Elvira, Joaquín Míguez
Many Bayesian inference problems involve high-dimensional models where the performance of standard importance sampling (IS) methods often degrades rapidly as the dimensionality inc…
math.ST2026
Effective sample size approximations as entropy measures
L. Martino, V. Elvira
In this work, we analyze alternative effective sample size (ESS) metrics for importance sampling algorithms, and discuss a possible extended range of applications. We show the rela…