Rethinking the Effective Sample Size

The effective sample size (ESS) is widely used in sample-based simulation methods for assessing the quality of a Monte Carlo approximation of a given distribution and of related integrals. In this paper, we revisit and complete the approximation of the ESS in the specific context of importance sampling (IS). The derivation of this approximation, that we will denote as $\widehat{\text{ESS}}$, is only partially available in Kong [1992]. 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. However, we show that the multiple assumptions and approximations in the derivation of $\widehat{\text{ESS}}$, makes it difficult to be considered even as a reasonable approximation of the ESS. We extend the discussion of the ESS in the multiple importance sampling (MIS) setting, and we display numerical examples. This paper does not cover the use of ESS for MCMC algorithms

Multivariate methods and small sample size: combining with small effect size

This manuscript is the author's response to: "Dochtermann, N.A. & Jenkins, S.H. Multivariate methods and small sample\ud sizes, Ethology, 117, 95-101." and accompanies this paper: "Budaev, S. Using principal components and factor analysis in animal behaviour research: Caveats and guidelines. Ethology, 116, 472-480"\u

At what sample size do correlations stabilize?

Sample correlations converge to the population value with increasing sample size, but the estimates are often inaccurate in small samples. In this report we use Monte-Carlo simulations to determine the critical sample size from which on the magnitude of a correlation can be expected to be stable. The necessary sample size to achieve stable estimates for correlations depends on the effect size, the width of the corridor of stability (i.e., a corridor around the true value where deviations are tolerated), and the requested confidence that the trajectory does not leave this corridor any more. Results indicate that in typical scenarios the sample size should approach 250 for stable estimates

The phylogenetic effective sample size and jumps

The phylogenetic effective sample size is a parameter that has as its goal the quantification of the amount of independent signal in a phylogenetically correlated sample. It was studied for Brownian motion and Ornstein-Uhlenbeck models of trait evolution. Here, we study this composite parameter when the trait is allowed to jump at speciation points of the phylogeny. Our numerical study indicates that there is a non-trivial limit as the effect of jumps grows. The limit depends on the value of the drift parameter of the Ornstein-Uhlenbeck process