What is ergodicity?

5 Nov, 2013 at 13:55 | Posted in Statistics & Econometrics | 4 Comments

Why are election polls often inaccurate? Why is racism wrong? Why are your assumptions often mistaken? The answers to all these questions and to many others have a lot to do with the non-ergodicity of human ensembles. Many scientists agree that ergodicity is one of the most important concepts in statistics. So, what is it?

Suppose you are concerned with determining what the most visited parks in a city are. One idea is to take a momentary snapshot: to see how many people are this moment in park A, how many are in park B and so on. Another idea is to look at one individual (or few of them) and to follow him for a certain period of time, e.g. a year. Then, you observe how often the individual is going to park A, how often he is going to park B and so on.

Thus, you obtain two different results: one statistical analysis over the entire ensemble of people at a certain moment in time, and one statistical analysis for one person over a certain period of time. The first one may not be representative for a longer period of time, while the second one may not be representative for all the people. The idea is that an ensemble is ergodic if the two types of statistics give the same result. Many ensembles, like the human populations, are not ergodic.

The importance of ergodicity becomes manifest when you think about how we all infer various things, how we draw some conclusion about something while having information about something else. For example, one goes once to a restaurant and likes the fish and next time he goes to the same restaurant and orders chicken, confident that the chicken will be good. Why is he confident? Or one observes that a newspaper has printed some inaccurate information at one point in time and infers that the newspaper is going to publish inaccurate information in the future. Why are these inferences ok, while others such as “more crimes are committed by black persons than by white persons, therefore each individual black person is not to be trusted” are not ok?

The answer is that the ensemble of articles published in a newspaper is more or less ergodic, while the ensemble of black people is not at all ergodic. If one searches how many mistakes appear in an entire newspaper in one issue, and then searches how many mistakes one news editor does over time, one finds the two results almost identical (not exactly, but nonetheless approximately equal). However, if one takes the number of crimes committed by black people in a certain day divided by the total number of black people, and then follows one random-picked black individual over his life, one would not find that, e.g. each month, this individual commits crimes at the same rate as the crime rate determined over the entire ensemble. Thus, one cannot use ensemble statistics to properly infer what is and what is not probable that a certain individual will do.

Vlad Tarko