Sunday, July 10, 2016

Contemporaneous, Independent, and Complementary

You've probably been in a situation where you and someone else discovered something "contemporaneously and independently". Despite the initial sinking feeling, I've come to realize that there's usually nothing to worry about. 

First, normal-time science has a certain internal momentum -- it simply must evolve in certain ways -- so people often identify and pluck the low-hanging fruit more-or-less simultaneously. 

Second, and crucially, such incidents are usually not just the same discovery made twice. Rather, although intimately-related, the two contributions usually differ in subtle but important ways, rendering them complements, not substitutes.

Here's a good recent example in financial econometrics, working out asymptotics for high-frequency high-dimensional factor models. On the one hand, consider Pelger, and on the other hand consider Ait-Sahalia and Xiu.  There's plenty of room in the world for both, and the whole is even greater than the sum of the (individually-impressive) parts.

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