Earlier quoted context omitted.
"Measure theory a la Bourbaki" is probably not what you meant if you did probability theory and statistics. Bourbaki famously sidestepped classical measure theory with sigma algebras by constructing Radon measures as functionals via functional analysis. This is sufficient for many purposes but not for probability theory. First and foremost, sigma algebras in probability theory are not just a technical device to avoid…
As someone who moved from pure mathematics -> applied mathematics -> machine learning, perhaps I can offer a similar perspective to GP that explains why the measure theory stuff might not seem so useful to some people. Basically, in application you never need to worry about anything but your simplest case - that of a discrete-time, finite-valued process. All of the subtleties of measure theory, which occupy most of w…
There are better approaches to measure theory which live in different "foundations". For example, you can build measure and probability theory based on the locale of valuations on a locale instead of a sigma-algebra on a topological space. You can do even better by starting in a constructive metatheory and adding some anti-classical assumptions which are modeled by all computable functions.
The reason we are teaching classical measure theory as the foundation of probability theory is historical and because there are no good expositions available for most alternative approaches. It is really not the most straightforward approach.
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Before you accuse me of being overly negative: classical measure theory offers a consistent approach to probability theory which is well understood and for which carefully written textbooks are available. If you really need to go back to the definitions to derive something then you need to know at least one consistent set of definitions. So it is useful to teach measure theory, even if it is more complicated than it has to be...