Bob-a-job-alog-a-roonie

It seems that the Scots did steal Scotland from the Picts, but those Scots are descended from an Egyptian queen & a Greek king. The queen's name was Scota – which gives us the name Scotland. The Greek king was Gaythelos – hence Gaelic, and their son was known as Hiber – from where we get Hibernia.

Those 3 names, if true, are pretty convincing evidence. More can be found in Scota, Egyptian Queen of the Scots, by Ralph Ellis. Or this article at the Scotsman.

Further evidence comes from The Declaration of Arbroath, created in 1320 by the noblemen of Scotland - it refers to "the ancients" who "journeyed from Greater Scythia … and the Pillars of Hercules … to their home in the west where they still live today".