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 <[email protected]> To: Progressive Economics <[email protected]> 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 <[email protected]> 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 _______________________________________________ pen-l mailing list [email protected] https://lists.csuchico.edu/mailman/listinfo/pen-l
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