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drphilmarshall / pappy

Probability distribution Amplification and Plotting in Python
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Added entropy-based ESS measurement #5

Closed eggplantbren closed 12 years ago

eggplantbren commented 12 years ago

Hi Phil, this is a very trivial pull request, and one reason I'm doing it is to learn how to fork. :)

I added one more option for a way of measuring effective sample size. I believe, but can not prove, that this has better properties than Neal's (whose reasoning is based on iid Gaussians) or the simple method.

The Shannon entropy is H = -\sum p_i log p_i For a uniform distribution with p_i = 1/N, H = log(N). Therefore exp(H) can be regarded as generalising N to non-uniform distributions.

drphilmarshall commented 12 years ago

This sounds sensible! Thanks Brendon, Ill pull it