Nassim Talebs case against Nate Silver is bad math • Hacker News Board

Re: Nassim Talebs case against Nate Silver is bad math

#121

Post by ikeboy » Tue, Apr 09, 2019, 9:33 PM UTC

et2o wrote: post #118

ikeboy wrote: post #110

Earlier quoted context omitted.

https://plato.stanford.edu/entries/epistemology-bayesian/sup... >Not following at all. What do you mean? One assumption is that given a bet, you must choose to take a side of it. If you won't bet for something at X%, you must bet against it at 1-X%.

Ah, interesting link. I think I ran into some confusion since 'rational' and 'Bayesian' are somewhat overloaded terms. When I think of Bayesian analysis, I always think of Bayesian models which attempt to model uncertainty and always have a posterior distribution (spread) of outcomes. For example, in the Dutch Book page, instead of having a point-prior (P=0.51 (delta on P=0.51?)), each degree of belief could have som…

Yeah well there's a difference if you're estimating a parameter or predicting true/false on an event.

Re: Nassim Talebs case against Nate Silver is bad math

#122

Post by thanatropism » Tue, Apr 09, 2019, 9:36 PM UTC

LeanderK wrote: post #98

steve19 wrote: post #66

Earlier quoted context omitted.

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…

i thought more of a technical argument, if this comment is based on stuff like "Event A and not A are both extremely likely". I also think that both of your examples are not really useful, they don't violate the laws of probability. What a good chance is depends on more things than just the raw probabilities, for example i could phrase a ticket with a good chance as E(reward - price) > 0 (so its independent of its ac…

Actual probabilities are uncertain. If you think of the probability distribution on probabilities (the Bayesian prior), the claim that "one of the extreme probabilities is more likely than a halfway one" makes sense, eg. [0]

It makes more sense philosophically to make claims about one's model than about the real world, anyway.

[0] https://en.wikipedia.org/wiki/Arcsine_distribution

Re: Nassim Talebs case against Nate Silver is bad math

#123

Post by rossdavidh » Tue, Apr 09, 2019, 9:36 PM UTC

I really like reading Nassim Taleb's books, but he appears to have all of the social skills of, say, Linus Torvalds, when interacting with others in a public way.

Re: Nassim Talebs case against Nate Silver is bad math

#124

Post by et2o » Tue, Apr 09, 2019, 9:39 PM UTC

ikeboy wrote: post #121

et2o wrote: post #118

Earlier quoted context omitted.

Ah, interesting link. I think I ran into some confusion since 'rational' and 'Bayesian' are somewhat overloaded terms. When I think of Bayesian analysis, I always think of Bayesian models which attempt to model uncertainty and always have a posterior distribution (spread) of outcomes. For example, in the Dutch Book page, instead of having a point-prior (P=0.51 (delta on P=0.51?)), each degree of belief could have som…

Yeah well there's a difference if you're estimating a parameter or predicting true/false on an event.

Not sure about that, think about the case of (Bayesian) logistic regression.

Re: Nassim Talebs case against Nate Silver is bad math

#125

Post by [deleted] » Tue, Apr 09, 2019, 9:39 PM UTC

LeanderK wrote: post #98

steve19 wrote: post #66

Earlier quoted context omitted.

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…

i thought more of a technical argument, if this comment is based on stuff like "Event A and not A are both extremely likely". I also think that both of your examples are not really useful, they don't violate the laws of probability. What a good chance is depends on more things than just the raw probabilities, for example i could phrase a ticket with a good chance as E(reward - price) > 0 (so its independent of its ac…

[deleted]

Re: Nassim Talebs case against Nate Silver is bad math

#126

Post by galby » Tue, Apr 09, 2019, 9:43 PM UTC

ikeboy wrote: post #112

galby wrote: post #108

Earlier quoted context omitted.

Can you expand on this? Bayesian data analysis looks at the full posterior, and reducing that to a single number is frowned upon by most.

If you're looking at a single proposition then the probability of it being true is a single number. To say that the probability of it being true is a range is incoherent.

I think most bayesians would disagree with you on this point :)

It's not incoherent to analyze the posterior distribution by reporting a credibility interval instead of a single number (for example the posterior median).

Re: Nassim Talebs case against Nate Silver is bad math

#127

Post by Permit » Tue, Apr 09, 2019, 9:43 PM UTC

ikeboy wrote: post #96

mannykannot wrote: post #87

Earlier quoted context omitted.

If over time, your forecasts predictably change, then they are not the best forecasts you could make with the information on hand (I take it that by "predictably change", you mean that they will change in a predictable way, not just that it is predictable that they will change somehow.) If I am not mistaken, an opportunity for arbitrage is not created merely by a certainty that they will change somehow; it would requ…

>If over time, your forecasts predictably change, then they are not the best forecasts you could make with the information on hand. And this is precisely the complaint Taleb is making. An arbitrage is just a strategy that's guaranteed to make money. If you know for sure that something will go up and down at different points you could make money risk free. Simply buy at any point below the current price and sell at an…

> An arbitrage is just a strategy that's guaranteed to make money. If you know for sure that something will go up and down at different points you could make money risk free. Simply buy at any point below the current price and sell at any point above.

This is not arbitrage. Also this is precisely the kind of strategy Taleb would have argued against in his book about black swan events.

Re: Nassim Talebs case against Nate Silver is bad math

#128

Post by thanatropism » Tue, Apr 09, 2019, 9:43 PM UTC

baron_harkonnen wrote: post #106

neuralk wrote: post #28

Taleb's response to this article: https://twitter.com/nntaleb/status/1115684446081040386

It's worth noting that Clayton has a much more thorough, mathematical response to Taleb's paper (written back in November): https://drive.google.com/file/d/1tQj4ZGja6jKADJGiFj-dcQAirWo... Since Taleb delights in make his mathematical writing as opaque as possible, it's a useful read in just to know exactly the claims that Taleb is making in his paper.

By that link's characterization Taleb's argument is pure fluff.

Re: Nassim Talebs case against Nate Silver is bad math

#129

Post by ikeboy » Tue, Apr 09, 2019, 9:49 PM UTC

Permit wrote: post #127

ikeboy wrote: post #96

Earlier quoted context omitted.

>If over time, your forecasts predictably change, then they are not the best forecasts you could make with the information on hand. And this is precisely the complaint Taleb is making. An arbitrage is just a strategy that's guaranteed to make money. If you know for sure that something will go up and down at different points you could make money risk free. Simply buy at any point below the current price and sell at an…

> An arbitrage is just a strategy that's guaranteed to make money. If you know for sure that something will go up and down at different points you could make money risk free. Simply buy at any point below the current price and sell at any point above. This is not arbitrage. Also this is precisely the kind of strategy Taleb would have argued against in his book about black swan events.

Time arbitrage is arbitrage.

If someone was flipping a coin and raising their price when it landed heads and lowering it when tails, arbitraging using reversion to the means would be a perfectly legitimate arb strategy.

Taleb's argument is that Silver's estimates are based on random noise, and are thus vulnerable to this form of arbitrage.

Re: Nassim Talebs case against Nate Silver is bad math

#130

Post by ikeboy » Tue, Apr 09, 2019, 9:50 PM UTC

galby wrote: post #126

ikeboy wrote: post #112

Earlier quoted context omitted.

If you're looking at a single proposition then the probability of it being true is a single number. To say that the probability of it being true is a range is incoherent.

I think most bayesians would disagree with you on this point :) It's not incoherent to analyze the posterior distribution by reporting a credibility interval instead of a single number (for example the posterior median).

An interval to estimate a parameter is different from an interval to represent a probability. You can't have a range for a probability, you can have a range for a parameter you're trying to estimate.