Great stuff! I don’t have strong fundamentals in math and statistics but I was still able to hobble along and understand the post. It reminds me of what Rissanen said about data/observation—that data is really all we have, and there is no true state of nature. Our job is to squeeze as much alpha out of observation as possible, instead of trying to find a “true” generator function. This post hit the same spot for me :)
Great stuff! I don’t have strong fundamentals in math and statistics but I was still able to hobble along and understand the post. It reminds me of what Rissanen said about data/observation—that data is really all we have, and there is no true state of nature. Our job is to squeeze as much alpha out of observation as possible, instead of trying to find a “true” generator function. This post hit the same spot for me :)