Questions / Quant research, Time-series reasoning
Dependent rows are not independent evidence
Use the approximation n_eff = n(1−ρ)/(1+ρ) for a long AR(1)-like sample mean. If n=100 and ρ=0.6, what is n_eff?
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Answer: 25 effective observations
- The stated approximation gives 100 × 0.4/1.6 = 25. It is a context-specific approximation, not a universal sample-size identity.
Interview shortcut. n(1 − ρ)/(1 + ρ) = 100 × 0.4/1.6.
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