Cyan comments on Why (and why not) Bayesian Updating? - Less Wrong

17 Post author: Wei_Dai 16 November 2009 09:27PM

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Comment author: Cyan 20 November 2009 03:28:29AM *  0 points [-]

My whole argument rests on a weaker reed than I first appreciated, because the definition of mutual information I linked is for univariate random variables. When I searched for a definition of mutual information for stochastic processes, all I could really find was various people writing that it was a generalization of mutual information for random variables in "the natural way". But the point you bring up is actually a step in the direction of a stronger argument, not a weaker one. Sampling the function to get a time series makes a vector-valued random variable out of a stochastic process, and numerical differentiation on that random vector is still deterministic. My argument then follows from the definition of multivariate mutual information.

Comment author: RichardKennaway 20 November 2009 07:38:30AM 1 point [-]

Sampling the function to get a time series makes a vector-valued random variable out of a stochastic process, and numerical differentiation on that random vector is still deterministic.

This is not correct. Given the vector of all values of A sampled at intervals dt, the derivative of that vector -- that is, the time series for B -- is not determined by the vector itself, only by the complete trajectory of A. The longer dt is, the less the vector tells you about B.

Comment author: Cyan 20 November 2009 12:24:51PM 0 points [-]

True. I was also assuming that

the process from which these data are taken is sampled on a sufficiently short timescale, as in the other data file [you] linked to in that post.