= Effective sample size of a stationary sample
{title2=$T_{\rm eff}=T\gamma(0)/\sigma_{\rm LR}^2$}
When the <long-run variance of a stationary process> is positive, matching the variance of its average to an average of independent observations gives $T_{\rm eff}\simeq T\gamma(0)/\sum_h\gamma(h)$. Positive aggregate correlation reduces this size; negative aggregate correlation can increase it beyond the observation count. This extends the variance interpretation of <effective sample size of a Markov chain>.
Back to article page
