I will try to get a look at Rényi’s Foundations next week.

]]>Regarding “as I do not follow the meaning of a random variable associated with an infinite mass probability measure” I recommend the books by Renyi. The short explanation: In stead of one probability measure, there is a family of (conditional) probability measures.

These are interpreted similarly to the case of where only one probability is given: Subjective in the most general case, but in some cases (physics!) also in a ‘natural law frequentist sense’.

This is my personal interpretation, and other people are free to disagree. It may also happen that I disagree myself if I think about this for 30 more years :-)

]]>Thanks, Corey, this must be the case but frankly I never fully understood co-integration..!

]]>I haven’t read the paper in question, but more and more I’ve been thinking that improper priors are a bad idea, so it might well be that these authors are engaged in a useless endeavor!

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