A very boring problem set

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A very boring problem set

© All Rights Reserved

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Problem Set 4

Theo Gutman-Solo

Definitions

1. A normed vector space V is a vector space with an operation || || :

V R called the norm which satisfies

Postitive definiteness, x V ||V || 0, with equality only holding for x = 0.

C, X V ||X|| = |a|||X||1

Triangle inequality x, y V , ||x + y|| ||x|| + ||y||

2. An inner product space is a vector space together with an operation

< , >: V V C satisfying the following properties

Congujate symmetry, < x, y >= < y,x >

Linearity in first argument < x + y, z >=< x, z > + < y, z >

Positive definiteness < x, x > 0, with equality if and only if

x=0

3. A metric space is a set X with an operation d : X X R called the

metric which satisfies

Symmetry d(x, y) = d(y, x)

Positive definiteness d(x, y) 0, with equality if and only if x = y

Triangle inequality, d(x, y) d(x, z) + d(z, y)

1

Note this assumes the vector space is defined over a subfield of the complex numbers

sequence converges to a point inside X.

4. A banach space is a complete normed vector space X, in other words

for every cauchy sequence xn X, there exists a point x X such

that limn ||xn x|| = 0. (|| || is the norm of the space)

5. A hilbert space is an inner product space that is also a complete metric

space with respect to the norm induced by the inner product. d(x, y) =

< x y, x y >

Properties of CDFs

2.1

1.

(a1 , b1 ] (a2 , b2 ] = (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]

+ (, b1 ] (, a2 ] (, b1 ] (, a2 ]

(, b1 ] (, a2 ]

= (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]

+ (a1 , b1 ] (, a2 ] + (, a1 ] (, a2 ]

(, b1 ] (, a2 ] (, b1 ] (, a2 ]

= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )

+ (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]

+ (a1 , b1 ] (, a2 ]

= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )

+ (a1 , b1 ] (, b2 ] + (, a1 ] (, b2 ]

= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )

+ (, b1 ] (, b2 ]

= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 ) + F (b1 , b2 )

2. This follows directly from continuity from above. Note that since the

series xk is monotonically decreasing to x this implies that i

i+1

i

i

(, xi+1

1 ] (, x2 ] (, x1 ] (, x2 ]

assuming there exists a N such that F (xa ) < we can apply

2

lim F (xk ) = lim F (xk+a ) = lim (, x1k+a ] (, xk+a

]

2

k

k

k

!

\

= lim

(, x1k+a ] (, xk+a

]

2

k

i=1

= (, x1 ] (, x2 ]

If there doesnt exist an a N such that F (xa ) < , then F (xk ) =

for all k N, This means that F (x) = so the identity still holds.

3. Follows directly from continuity from below. If (xk ) is a monotonically increasing sequence it follows that k, (, xk1 ] (, xk2 ]

k+1

(, xk+1

1 ] (, x2 ]. This is an ascending family of sets.

lim F (xk ) = lim (, xk1 ] (, xk2 ]

k

k

!

[

= lim

(, xk1 ] (, xk2 ]

k

k=1

= ((, ) (, ))

=

4. This follows directly from continuity from at . Assume x2n

as n . Then i, (, xi1 ] (, xi2 ] (, x11 ] (, xi2 ],

this immediately implies that i, F (xi1 , xi2 ) F (x11 , xi2 ). Let Si =

(, x11 ] (, x2i ], it is clear that i, Si+1 Si . Its also clear that

Si =

i=1

Since for any point (a, b) because xn2 there exists an xn2 < b

which implies that (a, b)

/ Sn and as a result isnt a member of the

intersection. Finally

!

n

\

n

1 n

1

i

lim F (x ) lim F (x1 , x2 ) = lim

(, x1 ] (, x2 ]

n

lim

n

(, x11 ]

i=1

(, xi2 ]

0

However since the CDF is nonnegative this immediately implies that

lim F (xn ) = 0

n

2.2

These properties follow simply from the subadditivity of measures.

x1 x2 (, x1 ] (, y] (, x2 ] (, y)

((, x1 ] (, y]) ((, x2 ] (, y])

F (x1 , y) F (x2 , y)

y1 y2 (, x] (, y1 ] (, x] (, y2 )

((, x] (, y1 ]) ((, x] (, y2 ])

F (x, y1 ) F (x, y2 )

2.3

1 : x0

1 : x < 0, y 0

G(x, y) =

0 : x < 0, y < 0

This function is clearly increasing in x and y, but consider points a =

(1, 1) and b = (1, 1).

G(1, 1) G(1, 1) G(1, 1) + G(0, 0) = 1 1 1 + 0 = 1

functional. Note we can represent simple functions in a convenient manner.

f=

n

X

xi 1Ei

i=1

important to note that the collection Ei is pairwise disjoint and its union

spans the domain. Let fi be the i-th element in range(f ), and Fi = f 1 (fi ).

gj and Gj are defined analogously.

Next consider the set collection {Fi Gj }ij . This set is clearly pairwise

disjoint and f + g is obviously constant over these sets. Finally

n [

m

n

m

n

[

[

[

[

Fi

(Fi Gi ) =

Gi =

Fi =

i=1 j=1

i=1

j=1

i=1

We conclude that since (Fi Gj )ij are pairwise disjoint, span the space

omega and (f + g) is constant on each element we can represent (f + g) as

a sum of simple functions indexed by (Fi Gj )ij .

Z

(f + g) =

n X

m

X

i=1 j=1

n X

m

X

(fi + gj )(Fi Gi )

fi (Fi Gi ) + gj (Fi Gi )

i=1 j=1

n X

m

X

fi (Fi

i=1 j=1

n

m

X

X

(Fi Gi ) +

fi

i=1

j=1

n

X

n

X

m

[

Fi Gi +

fi (Fi ) +

i=1

m

X

Gi )

(Fi Gi )

gj

j=1

Z

=

gj (Fi

i=1 j=1

m

n

X

X

j=1

fi

i=1

Gi ) +

n X

m

X

i=1

gj

n

[

!

Ei Fi

j=1

n

X

gi (Gi )

j=1

Z

f+

In the following problems I have assumed that all functions are non-negative

for simplicity. This does not cause any loss of generality as all functions can

be written as the difference of non-negative functions. Everything is assumed

to be on a measureable space (, F, )

4.1

Z

d : is simple, 0 cf

( n

)

X

= sup

wi (Wi ) : n N, i, x Wi F 0 wi cf (x)

cf d = sup

i=1

n

X

= sup c

)

wi (Wi ) : n N, i, x Wi F 0 wi f (x)

i=1

= c sup

( n

X

)!

wi (Wi ) : n N, i, x Wi F 0 wi f (x)

i=1

Z

= c sup

d : is simple, 0 f

Z

= c f d

4.2

Z

Z

f d

Z

gd

(f g)d 0

Z

Z

max[f g, 0]d max[g f, 0]d 0

the last line must be zero. This is because it is suprenum of simple functions

of the form

X

ai 1Ai : i, ai 6= 0 Ai {x : (g(x) f (x)) > 0}

But this implies that all these simple functions integrate identically to zero.

Every term in the sum of the simple function vanishes because either the

coefficient ai is zero or (Ai ) is zero since it is the subset of {x : (f (x) <

g(x))} which is null by assupmtion.

4.3

This follows from the contrapositive. Assume that [f 6= 0] = [|f | =

6 0] 6= 0,

this means that for some n N the set Cn = {x : |f (x)| 1/n} has positive

measure. This follows because the limit of the measure of these sets as

6

n = {x : f (x) =

6 0} which is nonzero by assumption. If C is the set

mentioned above we have

Z

Z

Z

1

1

1

1C |f |

1C |f | 0 < (1C ) |f |

n

n

n

5

Let (, F, ) be a measure, (E, E) a measureable space and f : (, F)

(E, E) a measureable function.

5.1

Pushforward of Measure

f [B] = [f 1 (B)] defines a measure on (E, E). First note f [B] = [f 1 (B)]

0 under the assumption that is a measure, which implies non-negativity.

Next the empty set is a null set, this follows trivially. f [] = [f 1 ()] =

[] = 0. Finally f satisfies - additivity. This follows trivially from the

property of the inverse function.

!

[

[

1

f

Bi =

f 1 (Bi )

i=1

i=1

f 1 (A) f 1 (B) = A B =

This implies that

f

!

Bi

= f 1

i=1

!!

Bi

i=1

(f 1 (bi )) =

i=1

!

f 1 (Bi )

i=1

f (Bi )

i=1

5.2

Choose an increasing sequence of simple functions n : E R that converge

pointwise to g so that

Z

Z

lim

n df =

gdf

n E

n =

mn

X

zin 1Zin

i=1

R

mn

X

n =

zin 1f 1 (Zin )

i=1

This series is clearly increasing. It also follows immediately that the series

n converges pointwise to g f .

lim n (x) = lim n f (x) = g f (x)

n

It is easy to verify that for all n these simple functions have the same integral.

Z

mn

X

n df =

zin f [Zin ]

E

i=1

mn

X

zin [f 1 (Zin )]

Zi=1

= n d

This immediately implies that

Z

Z

lim

n d = lim

n df

n

n E

converge to g f and g respectively

Z

Z

Z

Z

g f d = lim

n d = lim

n df =

gdf

n E

6

6.1

Right continuity of the CDF follows directly from continuity from above

property of a measure.

!

\

1

lim F (x) = lim P (X x) = P

, x +

= lim P ((, x])

xa

xa

i

n

i=1

Finally to justify the use of continuity from above note that because P is a

probability measure P ((, x + 1]) < .

Right continuity of the Quantile Function follows from right continuity of

the measure.

lim q(x) = sup{x R : F (x) x} = sup{x R : F (x) a} = q(a)

xa+

6.2

This follows from the fact that as we take a finer and finer partition the term

[F (xi+1 F (xi )] in the stieltjes integral starts to approximate F 0 (Xi )(xi+1

xi ) which gives a riemann partition of the space.

6.3

This follows by integration by parts.

Z

Z 0

(P [X > x] 1)dx +

(P [X > x])dx

(1 CDF (x)) 1 dx +

Z 0

(1 CDF (X))dx

0

CDF (x) dx +

(1 CDF (X))dx

0

|(CDF (x)x)]0

Z

Z

xp(x)dx +

0

xp(x)dx

0

xp(x)dx

0

xp(x)dx

E[X]

6.4

[u (0, 1) : u F (X) 1] = [(0, F (X))] = F (X) 0 = F (X)

Next note that q is clearly a strictly increasing function, because the the set

{x R : F (x) u} can only gain elements as u increases.

6.5

F (x) is uniformly distributed on (0, 1) if X is continuous (and thus invertible). Let U be distributed according to F (X). For x (0, 1)

P (U x) = P (F (X) x) = P (X F 1 (x)) = F (F 1 (x)) = x

10

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