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How useful do you think measure theory is from a practical perspective? I've seemed to get by without more or less during my career (which is pretty stats heavy

• benrbray 6y ago
  Learning measure theory has eliminated a lot of blind spots for me when it comes to stats / probability / ML. I find that I get "stuck" much less frequently when reading papers, and I'm able to better in the gaps when authors are too sparse with the mathematical details. Before, I would always wonder, "how on earth did they come up with this idea?!", but the more math I learn, the more I'm able to recognize that certain ideas are inspired by XYZ branch of math. It's also been useful for understanding the "novelty" papers like "Neural Differential Equations" and so on. I was lucky enough to take a good measure theory class in college, where it was fine to spend an entire day working through a proof from a textbook. Now that I'm working, though, it would be harder to justify that time commitment. So it really depends on your priorities.