Very interesting article, thanks Joachim.

Of course when it comes to time series analysis, which is often the focus of investment research, we must remember that a limited sample also presents an additional and unique challenge, i.e. that the observations made over a relatively short interval in time may be tainted by the governing dynamics applicable to a specific regime, whereas ceteris paribus, a larger sample, it could be argued, is more likely to transcend multiple regimes, and therefore contain historical observations that capture a wider range of possible outcomes.

Note that this is different from the standard problem associated with limited samples, which is about the increased possibility that a small random sample is simply not representative of the population as a whole.

The regime problem is far more profound than that: The parameters of the probability distribution are evolving over time and a larger sample, transcending multiple regimes, is needed to get a truer sense of the range of possible outcomes.

In this sense, and without contradicting the validity of the essence of the article above, in times series analysis, there are many instances where you want the sample (historical interval) to be large (long) and the statistical significance of the conclusion to be high.