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Nassim Talebs case against Nate Silver is bad math

m.nautil.us

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Re: Nassim Talebs case against Nate Silver is bad math

#61

Post by dxbydt »

kevinventullo wrote: post #6

What's the probability that these guys are friends in real life who both mutually benefit from the popularity of their public feud?

Well I know for a fact that Ann Coulter is on very good terms with several HuffPo dems, yet they appear bitter rivals on tv. Its definitely plausible Taleb, Silver & Pinker are drinking buddies who hatched up this elaborate charade to hawk stat books. Statistics is an extremely dry subject & nobody including the doctorate students are particularly excited about, so props to this triad for engaging in these antics.

Re: Nassim Talebs case against Nate Silver is bad math

#62

Post by tcbawo »

tshaddox wrote: post #39
andrewla wrote: post #14

As I understand it, the feud in its current form started from a tweet from Dinesh D'Souza [1] in which he interpreted Nate Silver's statement that "Dems, GOP winning House are 'both extremely possible'" to mean that they had gone from an 80% chance of winning to a 50% chance. Taleb inexplicably chose this as the hill to die on [2] and wrote a lengthy and technical paper to refute, and replied (on the [2] thread) "Whe…

Yeah, "extremely possible" is perhaps a poor choice of words, and could be interpreted uncharitably as a hedge against any outcome, but I think there's an obvious charitable interpretation too: that things that have a 20% chance of occurring turn out to occur around 20% of the time. No one would be blown away by surprise if I proclaimed "SIX!" then rolled a six-sided die and got a six, but that's even less likely tha…

Loads of people criticized Silver for not having "predicted" Trump's electoral victory. I imagine Silver's language was trying to hand-hold people to an understanding that even 20% probability events happen 1 out of 5 times. With so many people trying to twist and spin every headline, prediction, number, I appreciate Silver's attempt to make a reasonable guess with transparent methodologies.

Re: Nassim Talebs case against Nate Silver is bad math

#63

Post by mhermher »

Alex3917 wrote: post #25
andrewla wrote: post #14

As I understand it, the feud in its current form started from a tweet from Dinesh D'Souza [1] in which he interpreted Nate Silver's statement that "Dems, GOP winning House are 'both extremely possible'" to mean that they had gone from an 80% chance of winning to a 50% chance. Taleb inexplicably chose this as the hill to die on [2] and wrote a lengthy and technical paper to refute, and replied (on the [2] thread) "Whe…

That's not specifically a Brooklyn thing, it supposedly has more to do with the fact that most Italian families in the tri-state area came to the U.S. before Italy was a country with a standardized language. That's why e.g. in Connecticut they pronounce pizza as abeetz. For whatever reason knowing how to pronounce and spell Italian words "incorrectly" has become a point of local pride, even for people who aren't at a…

Is this related to the characters in the Sopranos dropping the final vowels in a bunch of Italian words? Madonn, gabagool, prozhut, etc.

Re: Nassim Talebs case against Nate Silver is bad math

#64

Post by steve19 »

pohl wrote: post #40
eridius wrote: post #37

Earlier quoted context omitted.

That seems like a pretty big difference to gloss over. Why are they publishing probabilities for if the event were to happen today? The event isn't happening today!

I know, right? Every time my meteorologist gives me a probability of rain on a day that it doesn't rain I ask the same question.

Your personal meteorologist presumably predicts rain on days in the future, when it could happen, not days in the past.

Nate publishes predictions for events that will never occur pr(x wins | election today) when there is no election. It would be like me placing bets on a sports game that is not scheduled to be played.

Re: Nassim Talebs case against Nate Silver is bad math

#65

Post by andrewla »

ikeboy wrote: post #56
baddox wrote: post #23

Earlier quoted context omitted.

> I don't think there's a constraint on "Nate Silver has a probability model" that mathematically guarantees "Nate Silver's probability model" is correct If I'm understanding the article correctly, it's not talking about models being "correct," it's just talking about the probabilities of all the outcomes adding up to 100%, which means you can't place a bet that guarantees you make money regardless of the outcome. In…

If over time, your forecasts predictably change, then you can be arbitraged. If e.g. I know that you'll have a probability below 40% at some point in the future, and I know you'll have a number above 41% at some point in the future, then it's trivial to create a strategy over time that is guaranteed to make money. Taleb's claim, as I understand it, is that Silver is incorporating random noise into his model and so wi…

So what you're saying, I guess, is that Silver, by dint of making point probability predictions, is offering a two-sided market with infinite liquidity trading at that value for a binary option, and you could make arbitrage gains by trading off of volatility?

I'm having a fair bit of trouble picking up that from either Taleb's or Clayton's article, but let's say that it's a fair assessment.

Is the complaint that the observed variance is high enough to enable these arbitrages? So in order to make his model arbitrage-free, Silver would have to provide a spread rather than a point price, with his forecast as the midpoint of the spread, and the width of the spread wide enough that .5 is always inside the spread, thus making the forecast economically useless?

Or is it that Silver does not provide error bars that would estimate that uncertainty?

Or is it that because of intrinsic uncertainty in the election?

Re: Nassim Talebs case against Nate Silver is bad math

#66

Post by steve19 »

LeanderK wrote: post #20
KorematsuFred wrote: post #8

I have zero respect for election forecasters because I think they are not any better than astrologers. Nate silver has used the word probability in a way that is not consistent with mathematical definition of probability so often in this context. Taleb despite being brilliant mathematician is actually pretty mediocre when it comes to real world. A lot of his "discoveries" such as "skin in the game" are well known to…

can you detail your cristicism of Nate Silver? I mean he's not a researcher trying to predict the election and somehow has to explain everythong the layman. So some derivation from the mathmatical definitions of probability are expected, i think (the mathematical definitions in its full glory are suprisingly complicated). I always like FiveTheirghtyEight, mostly because the plots are so beautiful and it never struck…

In many industries if we redefined probability it would be considered malpractice or fraud.

We expect our doctors not to tell us we have a good chance of surviving surgery when we only have a 20% chance of surviving.

I would be fraud (I assume) for a lottery to tell someone buying a ticket that they have a good chance of winning millions (0000000.1% probability that you will win but a 75% probability that it will be won tonight by someone ).

Re: Nassim Talebs case against Nate Silver is bad math

#67

Post by ikeboy »

andrewla wrote: post #65
ikeboy wrote: post #56

Earlier quoted context omitted.

If over time, your forecasts predictably change, then you can be arbitraged. If e.g. I know that you'll have a probability below 40% at some point in the future, and I know you'll have a number above 41% at some point in the future, then it's trivial to create a strategy over time that is guaranteed to make money. Taleb's claim, as I understand it, is that Silver is incorporating random noise into his model and so wi…

So what you're saying, I guess, is that Silver, by dint of making point probability predictions, is offering a two-sided market with infinite liquidity trading at that value for a binary option, and you could make arbitrage gains by trading off of volatility? I'm having a fair bit of trouble picking up that from either Taleb's or Clayton's article, but let's say that it's a fair assessment. Is the complaint that the…

Well obviously Silver isn't actually offering to bet at those odds.

But complaining that a model is incorrect because it enables arbitrage is a standard complaint, it's how you can prove all non-Bayesian models are irrational. That doesn't mean all Bayesian ones automatically pass the test though.

Error bars and spreads are already outside the Bayesian paradigm, which demands a single number.

Re: Nassim Talebs case against Nate Silver is bad math

#68

Post by ar0 »

kolbe wrote: post #9
kevinventullo wrote: post #6

What's the probability that these guys are friends in real life who both mutually benefit from the popularity of their public feud?

I have a hard time believing Taleb can keep any friends. He thinks everyone is an idiot, and doesn't have any reservation about telling them.

I am not so sure about this. When you read his books or look at his Twitter feed you surely get the impression he is a self-obsessed, extremely arrogant weirdo. But when he gives e.g. a talk in person, he comes across very differently - self-reflective, engaging, emphatic and funny. As someone else has mentioned in this thread, there are really two Talebs out there...

Re: Nassim Talebs case against Nate Silver is bad math

#69

Post by iainmerrick »

dalore wrote: post #57
iainmerrick wrote: post #36

Earlier quoted context omitted.

I thought that bit was very well-expressed. Let’s see if I can explain what I think I understood by it... If you’re buying and selling bets on a range of events, you can only be immune from arbitrage if all your bets are mutually consistent. For example, if you’re offering 3:1 odds on event X, you can’t offer more than 1:3 on the complementary event ~X (where exactly one of X and ~X must happen). That’s pretty obviou…

Isn't Taleb arguing that his model comes being modeled during periods of relative calm. So when the black swan event does happen, that wasn't priced in as a possibility at all, creating an arbitrage there.

“his model” meaning Silver’s model?

That sounds like it might be right. I think another commenter here correctly identified that it’s a misunderstanding -- Silver’s model estimates “the election result of the election were to happen tomorrow”, so unlikely events in the coming months don’t need to be accounted for by definition.

If so, I think there’s a valid criticism that the “now-cast” notion is a bit deceptive, and also impossible to validate (we’ll never know what that hypothetical election result would actually have been).

Re: Nassim Talebs case against Nate Silver is bad math

#70

Post by andrewla »

mhermher wrote: post #63
Alex3917 wrote: post #25

Earlier quoted context omitted.

That's not specifically a Brooklyn thing, it supposedly has more to do with the fact that most Italian families in the tri-state area came to the U.S. before Italy was a country with a standardized language. That's why e.g. in Connecticut they pronounce pizza as abeetz. For whatever reason knowing how to pronounce and spell Italian words "incorrectly" has become a point of local pride, even for people who aren't at a…

Is this related to the characters in the Sopranos dropping the final vowels in a bunch of Italian words? Madonn, gabagool, prozhut, etc.

For sure the pronunciation thing is real, either due to regional accents or linguistic divergence; I've heard it firsthand used unironically by Brooklyn and Philly Italian-Americans, as well as ample examples from television and movies. But writing it that way I haven't seen outside of Taleb (and Google seems to bear me out to some extent), and using it that way isn't wrong, per se, it's just an eye-rolling moment; someone trying too hard to show that it isn't book-learning, it's "street-learning".
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