Albert Alex Zevelev
Figures
Orders:
A relation from A to B is a subset of the cartesian product R A B.
Thus the set of all relations is P(A B).
Inj(A; B)
Injections
&
BA
functions
Bij(A; B)
Bijections
&
P(A B)
relations
%
Surj(A; B)
Surjections
Note that the set Bij(A; B) 6= iff A = B.
Note: surjection f : X Y iff #X #Y
injection f : X Y iff #X #Y
Preordered set
Reflexive, Transitive (R.T.)
POSET
Reflexive, Antisymmetric, Transitive (R.A.T.)
Lattice
POSET with the LUB and GLB properties
LOSET (Linear Order, Total Order)
A POSET with completeness
Well Ordered Set
A LOSET where every nonempty set has a
least element
Example: Consider the set of matrices Mn (R) along with the order P D
where X P D Y if X Y is positive definite. (Mn (R), P D ) is a partial
order.
This order is used in the GaussMarkov theorem.
1
Add examples of Op () and op () convergence from Wooldridge.
We can define an equivalence class on any relation.
Every equivalence class in an equivalence relation contains exactly one point
[x] = x, because it is antisymmetric.
In general for any antisymmetric relation (X, %) every equivalence class is
a singleton.
If (X, %) is complete and symmetric then [x] = X (all elements are indifferent) so %= X X.
Complete orders
Preordered set
Reflexive, Transitive
Weakly ordered set (Rational)
Complete (thus Reflexive), Transitive
LOSET
Well Ordered Set
A relation (X, %) is reflexive it contains the diagonal X %.
Every complete relation is reflexive.
See diagram summarizing relations in Michael Carter.
Any relation (X, %) has `
a symmetric part and an asymmetric part
which are disjoint: %=
.
When the symmetric part of a relation is empty = , we call the relation
(X, %) asymmetric.
The symmetric part of a preorder is by definition an equivalence relation.
= (% %1 ) and = (% \ ).
Monotone comparative statics (MCS) extends Topkis Theorem from functions defined on the product of losets to more general functions defined on
the products of lattices and posets.
Topkis Thm: f : X T R
Loset
MCS: f :
Lattice
(variables)
Loset
Poset
(parameters)
From Casella & Berger (2002) p. 78, exercise (2.15), (Betteley, 1977):
Let (X Y ) min(X, Y ) , and (X Y ) max(X, Y ).
Analogous to the probability law: P (A B) = P (A) + P (B) P (A B),
we have
E[X Y ] = E[X] + E[Y ] E[X Y ]
Hint: establish the fact (X Y ) + (X Y ) = X + Y
Thus the expectation operator is modular!
FFTWE
Feasible Allocations
Weakly Pareto Efficient
Pareto Efficient
Walrasian Equilibrium
Topological Space (X, )
Hausdorff Space T2
Normal Space T4
Metric Space (X, d)
Normed Space (X, k k)
Inner Product Space (X, < , >)
Homeomorphism is to (X, ) as isometry is to (X, d).
The following diagram should be nested inside of the diagram above:
Complete Metric Space
Banach Space
Hilbert Space
Remember every compact metric space is complete.
A finite topological space is metrizable iff it has the discrete topology (wiki).
Any Hausdorff T2 topology on a finite topological space is discrete.
Every discrete metric space is complete.
If X is a finite dimensional vector space then all norms induce the same
(Euclidean) topology as Rn .
Points are weakly closer to the origin when p is bigger:
kxk1 kxk2 . . . kxkp kxk for x Rn .
So when p is bigger, the distance from the origin is weakly smaller. All these
norms are equal is the point lies on one of the axes (CSZ).
To a cab driver in Manhattan using d1 is much more practical than d2
because he cant travel diagonally (show this).
Show how d2 follows from the triangle inequality.
All Sequences X N
Bounded Sequences B(X), ` (X)
Cauchy Sequences C(X)
Convergent Sequences Conv(X)
Eventually Constant Sequences
To discuss bounded sequences and Cauchy sequences we need a metric, to
discuss convergent sequences we need a topology.
A sequence is bounded iff its image is bounded.
(X, d) is a complete Metric Space iff C(X) = Conv(X) i.e. ever Cauchy
sequence converges.
In the indiscrete topology there are very few open sets so its easy for sequences to converge, in fact every sequence converges (X, )N = Conv(X).
In the discrete topology there are too many open sets its difficult for a
sequence to converge, the only convergent sequences are the eventually constant. (Chapter 3)
There are Cauchy sequences in Q that get arbitrarily close to 2 without
every being equal to 2, thus Conv(Q) ( C(Q).
In CSZ p. 312 C(N; R) RN , and Cb (N) C(N)
2 notions about the completeness of R:
We know that R is complete because every Cauchy sequence of real numbers
converges to a real number. So if a Cauchy sequence which comes arbitrarily close to a point, that point will exist in R.
The completeness axiom for the real numbers says that any subset S R
that has a lower bound must have a greatest lower bound in R. (This implies
the same for upper bounded sets and supremum.) So the set {q Q : q 2 > 2}
has many lower bounds (for
example 0) but it also has a (unique) greatest
lower bound in R namely 2. Thus R is a complete ordered field, whereas
Q is not. In fact it is known that R is the only complete ordered field.
Let s be the set of real sequences where
finitely many terms are
P all but
p < . Note that if p q
zero. The real sequence {xn } `p if
x

n
n=1
then `p `q . Let c0 be the set of all real sequences converging to zero, and
let c be the set of all convergent real sequences. Also let ` be the set of
all bounded real sequences, so {xn } ` if supxn  < . We have the
nN
following for p q (from Border and from Milman):
s `p `q c0 c ` RN
Note that if a real sequence does not converge to zero {xn }
/ c0 then its sum
cannot be finite. However suppose xn c then the sequence {xn c} 0.
Continuous functions C 0
Uniformly Continuous
Absolutely Continuous
Lipschitz Continuous
Bounded Derivative
Also make a note on Holder Continuity. Topological Spaces
We can take any nonempty set X and add algebraic structure, geometric structure, order structure and measurable structure. For example we
usually work with (R, h, iE , , , + , B(R) ), we use this structure
 {z }
 {z } {z} {z}
geometric order Algebraic measurable
so often that we sometimes take it for granted and simply write R.
It is convenient that these structures are consistent: the order topology induced by the usual order is the euclidean topology, the product topology is
the euclidean topology on Rk , the product sigmaalgebra is B(Rk ).
We have the following structure preserving notions:
Homeomorphisim
BiLipschitz
Isometry
Note that homeomorphism means that two spaces have the same topology,
isometry means two spaces have the same geometry.
Two measure spaces are measurably isomorphic if there exists a measurable bijection with a measurable inverse (CSZ: 7.6.17).
The Borel sigma algebra of any two polish spaces (complete and separable)
are measurably isomorphic iff the spaces have the same cardinality.
A function f : (X, dX ) (Y, dY ) is KLipschitz if K > 0 s.t.
dY (f (x1 ), f (x2 )) KdX (x1 , x2 )
and the smallest K > 0 is called the Lipschitz constant.
If K = 1 it is a short map, it K (0, 1) it is a contraction (create diagram).
Every Lipschitz function is HolderContinuous of order = 1.
A function is HolderContinuous of order if M > 0 s.t.
dY (f (x1 ), f (x2 )) KdX (x1 , x2 )
(create diagram)
Uniformly Continuous
Lipschitz
Bounded Derivative
Let Diffp (U, Rn ) {f : U Rn : f is ptimes differentiable}.
C 0 Diff1 C 1 Diff2 C p Diffp+1 . . .
C0
C1
..
.
Smooth C
From (CSZ, p. 346), we have:
compact
compact
strongly compact
From (CSZ, p. 279), we have:
pointwise convergence
uniform convergence on compact sets
uniform convergence
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Topology:
f : (X, X ) (Y, Y ), it is easier for f to be continuous with a finer
domain or a coarser codomain.
0 then it will remain continuous with the finer
If f is continuous and X X
0
topology X .
If f is continuous and Y0 Y then it will remain continuous with the
coarser topology Y0 .
Whenever X = P(X) is the topology on the domain, every function on this
domain will be continuous.
Whenever Y = {, Y } is the topology on the codomain, every function
into this codomain will be continuous.
For a function f : (X, {, X}) (Y, P(Y )) the only continuous functions
are the constant functions.
Given a nonempty set X, let TOP(X) be the collection of all topologies on
X
X. Since TOP(X) 22 , we have that whenever X is finite TOP(X) will
be finite as well.
%
{, X}
&
coarsest topology
&
2X
finest topology
Using the order, the indiscrete topology {, X} will always be the least
set in (TOP(X), ), and the discrete topology 2X will be the greatest set.
G.O. (I believe (TOP(X), ) is a complete lattice because the intersection
of topologies is a topology.)
In the indiscrete topology {, X}: every sequence converges, every set is
connected, every set is compact.
In the discrete topology 2X only eventually constant sequences converge, it
is difficult for a set to be compact or connected, only finite sets are compact.
Given a nonempty set X consider two topologies (X, 1 ) and (X, 2 ) such
that 1 2 . Any sequence that converges in 2 must converge in 1 , any
set that is compact in 2 must be compact in 1 , any set that is connected
in 2 must be connected in 1 .
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Convexity
Let V be a real vector space and let S be any nonempty subset, then:
Aff(S)
Affine Hull
&
span(S)
Conv(S)
Linear Hull
Convex Hull
&
%
Cone(S)
Convex Conic Hull
For a canonical exercise let the vector space be R2 and let S = {e1 , e2 }.
We have: span(S) = R2 .
Aff(S) = {(x1 , 1 x1 ) : x1 R}
Cone(S) = R2+ (the positive orthant)
Conv(S) = 1 (the 1simplex of probabilities)
CREATE this figure in Mathematica
Note if our set is a singleton (consists of only one vector) S = {x} then:
span(S) is a line, Cone(S) is a ray, and Conv(S) = Aff(S) = {x}.
Note that if S is a vector subspace of V it is equal to the intersection of all
vector subspaces containing it. If S is a subset of a vector space V , then the
smallest vector subspace that contains S is span(S) which is equal to the
intersection of all vector subspaces of V that contain S. The same holds for
affine subspaces, conic hulls and convex hulls.
Datorro Convex book p. 65: Conv(S) Aff(S) = Aff(S) = Aff(S) =
Aff Conv(S).
A set of vectors in Rn are affinely independent if there is no proper affine
subspace which contains all of them.
To visualize affine independence consider the following three affinely independent
R2 , along
vectors
in
with the affine hulls containing any two of
0
2
1
them:
,
,
2
0
2
12
6
Aff
0 2
,
2 0
4
Aff
2
4
2
1 0
,
2 2
2
4
Aff
1 2
,
2 0
6
Notice that no line contains all three points.
An intuitive explanation for how a set of n + 1 vectors can be affinely independent in Rn is if we let any one of the points be the new origin, the
remaining n points would be linearly independent in Rn .
The affine hull of n + 1 affinely independent vectors in Rn is Rn .
Optimization recall the following:
Critical points of f
Local extrema
Global Extrema
Suppose we wish to maximize an objective function of two variables u(x1 , x2 )
subject to p1 x1 + p2 x2 w and x1 0, x2 0. We may write:
max u(x1 , x2 ) s.t. p1 x1 + p2 x2 w, x1 0, x2 0.
The corresponding Lagrangian function is:
L = u(x1 , x2 ) + (w p1 x1 p2 x2 ) + 1 x1 + 2 x2
The Kuhn Tucker conditions tell us we face the following 8 cases:
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Case 1 2
1
+ 0 0
2
0 + 0
3
0 0 +
4
+ + 0
5
+ 0 +
6
0 + +
7
+ + +
8
0 0 0
The following diagram illustrates the points these cases correspond to when
p1 , p2 , w > 0:
2.0
1.5
1.0
0.5
6
2
5
1
1
0.5
3
1.0
Notice that case 7 is impossible because if x1 = x2 = 0 then the first constraint cannot possibly bind. The only time case 7 would hold is if the
constraint passed the origin.
Note: if we know that the objective function u(x1 , x2 ) is increasing in both
of its arguments, then the only relevant cases are: 1, 4, and 5.
This diagram was inspired by Nolan Millers handout: The Kuhn Tucker
Conditions and you.
The following diagram illustrates the relationship between types of concavity:
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Hopefully the following diagram helps make things clearer:
strictly quasiconcave
%
&
quasi concave
strictly concave
&
%
concave
A constant function is a function that is concave but not strictly quasiconcave. Are there other functions with this property?
An increasing transformation of a concave function is quasiconcave. (Similarly: an increasing transformation of a homogeneous function is homothetic,
and an increasing transformation of an spm function is qspm.)
The standard normal distribution is an example of a function that is quasiconcave but not concave:
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0.4
0.3
0.2
0.1
10
5
10
Quasiconcavity is preserved by monotonic transformations.
A CobbDouglas technology with DRS is concave (thus qconcave) such as
1/3 1/3
f (x1 , x2 ) = x1 x2 .
A CobbDouglas technology with IRS is qconcave (but not concave) such
2/3 2/3
as f (x1 , x2 ) = x1 x2 .
From UPenns mathcamp we have the following relationships between different notions of concavity (which is the previous diagram including pseudoconcavity, which requires differentiability):
strictly quasiconcave
%
&
quasi concave
strictly concave
&
concave
pseudo concave
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Measure
Given a nonempty set X the collection of all algebra on X is a complete lattice:
%
{, X}
&
coarsest algebra
&
2X
finest algebra
From K.C. Borders Hitchikers guide p. 133 we have:
ring
%
&
algebra
ring semi ring
&
%
algebra
Also look at Border p. 499 for a table of normed Reisz spaces and their
duals.
Equivalently we have the following nested sequence of boxes:
algebra
algebra
ring
semiring
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Let A 2X be a collection of subsets of X. Then if A is both a system
and a system then it is a algebra.
system
%
algebra
&
system
algebra
For a collection A 2X let (A) be the system generated by A and (A)
be the system generated by A and (A) be the field generated by (A),
and f (A) be the field (algebra) generated by A. We have the following relation (based on notes by Matias Cattaneo):
(A)
%
&
(A)
(A)
&
%
f (A)
Also discuss semialgebras and monotone classes.
The space L0 (, F, P ) contains all measurable functions f : (, F, P )
(R, B).
A function is simple if its range is finite. Ms (, F, P ) L0 (, F, P ) denotes the set of simple random variables.
We have the following:
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L0 (, F, P ) all random variables
L1 (, F, P ) all integrable random variables (finite mean)
..
.
L (, F, P ) bounded random variables
Ms (, F, P ) simple random variables
From Lyapunovs inequality we have that p q implies Lq Lp (CSZ: p.
371).
If p < q then Lq ( Lp iff (, F, P ) is not composed of a finite set of atoms.
L0 is an algebra and a lattice (p. 361). Note: L0 may contain unbounded
functions and uniform convergence implies pointwise convergence.
L1 (, F, P ) is a vector space and a lattice but not in general an algebra
(CSZ: p.366).
The space Cb (M ) is an algebra (a vector space that is closed under multiplication), a lattice (closed under and ) and closed under uniform convergence and composition with continuous bounded functions on R.
Theorem 7.1.34 (CSZ) says Ms is a dense subset of the MS L0 , , and
X : R is measurable iff there exists a sequence {Xn } of simple measurable functions s.t. , we have Xn () X().
So any measurable function can be approximated by a sequence of simple
functions which converge pointwise.
Conditional Expectation
E[X{, }] = E[X], and E[X(X)] = X
Lebesgues Decomposition Theorem:
= atomic + Abs.Cts. + Sing.Cts.
(CSZ p. 401) the set S L1 (, F, P ) is L dominated, if for some Y 0,
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Y L , X Y a.e. for all X S.
Theorem 7.5.4 says the integral is continuous on any L dominated set.
The analogous definition holds for L1 dominated or simply dominated.
The Dominated Convergence Theorem says: the integral is continuous on
any L1 dominated set.
Uniformly integrable (u.i.)
L1 dominated
L dominated
Theorem 7.5.9 says the integral is continuous on any uniformly integrable
set.
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Abstract Algebra:
Magma (Binary Algebraic Structure) closed under operation
Semigroup (Associative)
Monoid (Identity)
Group (Inverse)
Abelian Group (Commutative)
Ring, Field, Vector Space over a Field (Linear Algebra in a Nutshell), Algebra (just a VS with vector multiplication)
Linear Algebra:
Tensor Product
Kronecker Product
Outer Product
Operations on sets
Given X 6= , intersection, unions and symmetric difference are binary algebraic structures.
: P(X) P(X) P(X), the intersection operation is commutative, associative, and has an identity X, however it is not invertible.
The union operation is commutative, associative, and has an identity ,
however it is not invertible.
(P(X), ) is an Abelian group (like addition), the identity is , and every
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set is its own inverse AA = .
Irving Kaplansky p.9, (P(X), , ) is a commutative associative ring with
unit X, in which every element is idempotent.
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Stanislav Anatolyev p. 87: nice exercise on the Best Linear Predictor