Effective sample size

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In statistics, effective sample size is a notion defined for a sample from a distribution when the observations in the sample are correlated or weighted. In 1965, Leslie Kish defined it as the original sample size divided by the design effect to reflect the variance from the current sampling design as compared to what would be if the sample was a simple random sample[1][2]: 162, 259 

Correlated observations[edit]

Suppose a sample of several independent identically distributed observations is drawn from a distribution with mean and standard deviation . Then the mean of this distribution is estimated by the mean of the sample:

In that case, the variance of is given by

However, if the observations in the sample are correlated (in the intraclass correlation sense), then is somewhat higher. For instance, if all observations in the sample are completely correlated (), then regardless of .

The effective sample size is the unique value (not necessarily an integer) such that

is a function of the correlation between observations in the sample.

Suppose that all the (non-trivial) correlations are the same and greater than , i.e. if , then . Then

Therefore

In the case where , then . Similarly, if then . And if then .

The case where the correlations are not uniform is somewhat more complicated. Note that if the correlation is negative, the effective sample size may be larger than the actual sample size. If we allow the more general form (where ) then it is possible to construct correlation matrices that have an even when all correlations are positive. Intuitively, the maximal value of over all choices of the coefficients may be thought of as the information content of the observed data.

Weighted samples[edit]

If the data has been weighted (the weights don't have to be normalized, i.e. have their sum equal to 1 or n, or some other constant), then several observations composing a sample have been pulled from the distribution with effectively 100% correlation with some previous sample. In this case, the effect is known as Kish's Effective Sample Size[3][2]: 162, 259 

References[edit]

  1. ^ Tom Leinster (December 18, 2014). "Effective Sample Size".
  2. ^ a b Kish, Leslie (1965). "Survey Sampling". New York: John Wiley & Sons, Inc. ISBN 0-471-10949-5. {{cite journal}}: Cite journal requires |journal= (help)
  3. ^ "Design Effects and Effective Sample Size".

Further reading[edit]

See also[edit]