PEN-L message, Re: [Pen-l] FYI: Skidelsky on Keynes

Re: [Pen-l] FYI: Skidelsky on Keynes

To: Progressive Economics <pen-l@xxxxxxxxxxxxxxxxxx>

Subject: Re: [Pen-l] FYI: Skidelsky on Keynes

From: soula avramidis <soulaavramidis2002@xxxxxxxxx>

Date: Fri, 19 Dec 2008 23:13:46 -0800 (PST)

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I thought that when dealing with human subjects it is difficult to apply ergodicity because of time incoherene,.i.e. persons changing decisions about the future. in a sense there is no probability outside time and time and space are irreconcilable.

"I used to do econometrics. I do not do econometrics now. And I will never do econometrics, too."

From: raghu <mraghu01@xxxxxxxxx>
To: Progressive Economics <pen-l@xxxxxxxxxxxxxxxxxx>
Sent: Friday, December 19, 2008 10:21:59 PM
Subject: Re: [Pen-l] FYI: Skidelsky on Keynes

On Fri, Dec 19, 2008 at 8:07 AM, Julio Huato <juliohuato@xxxxxxxxx> wrote:
> raghu wrote:
>
>> I think the point is that a much weaker ergodicity assumption is
>> actually required than commonly assumed. For e.g., it may be necessary
>> to assume that herding and mob psychology will be pretty much the same
>> in future as in the past. But it is not necessary to assume that stock
>> price distributions are stationary (let alone ergodic).
>
> Actually, ergodic is weaker than stationary. Ergodicity only requires
> that the time joint probability distribution be measure preserving.
> Stationarity requires that some traits of the time joint probability
> distribution be somewhat stable over time.

I have always found this very confusing: does not ergodicity imply
stationarity? Colloquially, in an ergodic system, time averages over a
single sample realization taken over a sufficiently long time
converges (in some mathematical sense e.g. mean-square) to the
ensemble average. But this only makes sense if the ensemble average is
constant in time, right?
-raghu.

--
"I used to do drugs. I still do drugs. But I used to, too." - Mitch Hedberg
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