Monday, November 11, 2013

The Supreme Scientific Rigor of The Russian School of Probability

Reproduced in full from Nassim Nicholas Taleb's blog.
Opacity: 152 The Supreme Scientific Rigor of The Russian School of Probability

I would like to record here (so people get off my back) that I do not belong to the so-called "Austrian School" of economics, in spite of a few similar positions on bailouts and bottom-up systems. I believe in mathematical statements. But if I were to belong to a school of thought designated by a nationality, the {NATIONALITY} SCHOOL of {DISCIPLINE} it would be the Russian school of probability.

Members across three generations: P.L. Chebyshev, A.A. Markov, A.M. Lyapunov, S.N. Bernshtein (ie. Bernstein), E.E. Slutskii, N.V. Smirnov, L.N. Bol'shev, V.I. Romanovskii, A.N. Kolmogorov,Yu.V. Linnik, and the new generation: V Petrov, A.N. Nagaev, A. Shyrayev, etc.

They had something rather potent in the history of scientific thought: they thought in inequalities, not equalities (most famous: Markov, Chebyshev, Bernstein, Lyapunov). They used bounds, not estimates. Even their central limit was a matter of bounds. A world apart from the new generation of users who think in terms of precise probability. It accommodates skepticism, one-sided thinking: A is >x, A O(x) [Big-O: "of order" x], rather than A=x.

Working on integrating the rigor in risk bearing. We always know one-side, not the other.

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