nt ies ‘Université de Paris VI ove me Si 4 [orate de babs S5t Rune Cenex oy Fan ‘mi pececjencinde Schaal of Operation Research Ero Gamer So hode al” iaca Yt USA al: proterereceelcts To Dime and Syvie ‘To Rachel, Margot, Olivier, Serge, "Thomas, Ne fand Martia ‘Seapentaaen a yaaa ana ‘eugene chee Pn ‘gn ing ein tn ape eigenmode Bh ‘ae tae an a hatin ne One i Lea ea eet ite IS ses x wt ugg tne Nok Meme Spare tag eesPreface to the Second Edition We hoe sade smal cages eon the book, cing the exes sn hr re oer a all then ts fhe tom, We ‘ah chan the ary soleus ates ave commented co Stet the Not tee te pletion two yar gd part PrfowortVletin Per, Ek Val, Vln Pry ad Fat Re nity Prot, HacePreface to the First Edition {Ne prevent hee tone ester ca on Prabbiity Tory We las oat ‘ik are epi rane tothe sty of Probl Ther The book Ielivendd olla cuect ted ter are atonal shee eat sed sneer prin in Ener Eon an Sat) Inver: Many’ Probaitxts alibi toay ae elebrtons of Prob tity Theory, etanng tates of fchating top to be ve ot {har cnes (nat whee) are the sei opie

0 (a) and ae independent f and nly PCA B) = PA) (0) Tne operation A= PLA B) fom > 1) dfs nw prodity eau cle the “entonal probabity mee geen Prof We we sendy ctl (e) inthe dcassionpecing the the fem, Tor (define Q{A) = PUA |B), wth B fe. We mst show ‘Sie (1) and (2) of Defaition 2. Be prank) _ Pim) _ Pa) ~ PB) ‘Tenors, sin (1). As fr (2). mae ha if (A) Hm sence oF ements of which a paises. the UU AL} B) _ PlLgey(Aer BD) By PB} sao the segue (yas pie dsl as wa: thas Tra = Law, 9. Uae Pi) = 4, whe = 1.2.4 2) th ABN pli 0) = Pun |8) = Qld) = POUR de B= "The net chore comets depen with comin poy fo tate numberof vei, Theorem 83. 1/4 PALA. Aa © andi PLA Aas) > 0, then P(as)PUde | An)P(aa| AL As) | Ms Pr, We we nduton Fe n = 2, the there i ply Defiaion 92 Spe the tren bade orn = Levene Le B= A Ngee tn Bee 2 FB A) = P| HB et pe PCB PUB) = PAPA Ay) Ply JACM Aa sa we get theres . A colton ferent (Ea) ical a portton of if Ey © A ah ‘Thooremn 3:4 (Partition Equation). Lt (Fy) bea fe wont tom of Then fe Pu SPA) Ea) PABs) Pro Note tnt A= AN = AN Wah) =UA(AM En) Se the ae pews iat oa ar (A Ena bce P(A) = Pla B)) = PCAN By) = SPC EnlPCE a ‘Theorem 3.5 (Hayes! Theorem). Let) ea fit o etal part tion of @ and spose PLA) > 0. The “PIAL Ba) PLE) 5, PUAT EPUB) ‘Prof By Thea Swe hve tat te denote LPAI Balm = PU) ‘Theft frm bons PUA EL)PCE,) _ PLANE) Pia Fi PE AL aye’ there rales bt hs prt conn oth Prbabity aod Stalin Se, or ene Exerie 98154. Cumin Pty a Independence Exercises for Chapter 3 In alles he poi space Baad AB Ay te vet St Show tht FAM = 0 hen A and 2 cannot be indepth Pacow ma). 32 ba PIC} > 0. Sow ha PLALID|C) = PALO} +P C)~PLANB| 18.8 Suppose PIC) > Band Assy anal pe dj, Ste that PU aC) = PAO 3.4 Let PB) > 0. Show ne PAN) = PEA BIB) 3.5 Let PU) < ad A be ay eo Soe PLA) = PIA | IPD) + PLA | SPC ‘3.6 Decne bo een AIDS, Suppne te ent has 95 acre {et wa Tae pts ing, a wl Suppn th Cs see este. Wt poly ow hase AIDS? SO (Ho eee {07 (eat porte ave AIDS. Yoo wa oP (yu ve ADS a 7 Let (Anes € Aa (Belosy €AAa Ay + Ace be Tore 24 Ir the etn of Ay Ald == Bw PUB) >a PUB) itn Show that 9) Wn Py |) = PLA Bh Pia) By) = PAI 6) Bag PUby | Ba) = PA Bh ening Heed Tle Lat PCH) ~ PUT) ~ 3 Spee tw fon to fh an 9 Cat the sale space of cuts eons ff pt 5) Fin the oon! potty ae bah ct show en tat the fist shows oad ate) 1) Fina the coma probity at bth cosh ed gh ha t 3.9 Sippowe A. B,C reindeer eves and PLA B) #0. Show Pie anB) = PIC) $3.10 ne ea bak ls bal cen a fen an on eck bl tly Bel tobe decease bal nmr tran Go herr tle he ied he pebbles tar 2311 (Papas Ura) An cota tls be ball, A bl i ‘ie rao ee ahd ede ‘he pat shat 8) The second al dew ae’ [Anes] 5) Mt hel ia Meg ht dar et [avs 45) 2:12 Consider the fewer of Exerc 3.11, Lat dene the ve tat 5:3 Consider the famework of sere 3.11 Find Ue prbabiity hat he ‘he no oad nw edt [Ame 28 2.24 An ace conpany irs sil mer of salem eae ‘ity mls t-te the san copa ss er 1) Wha the tlie aed er wl make a he er? 1) Wt i prt he el ve bli = vee a? [a2] ‘8.18 Curie tbe famevoek of Bee 3.11 at A, A be the events ars epetse Sow that Uy Ay) = PU Ans: Pay] A) Play) = $2] clan ts onal [Ane 385] SAP Let Ay Aas sy be independent eens Sho Hat the probably tht ne a ede nt ste nga age, PLA)8.18 Let A,B be evn with P(A) > 0 Stow P(ANB | AUB) < PLANE ot ities on a Finite or Countable Space Fr Cher 4 eae inte or countable and We ta the alten eee cal sub f) ‘Theorem 4. (a) A prolly o the finite ores cere tered by eles om te stoma p= Pah ee [8 Le (ons Be ary of al mands idee by he frit o cot sate et "Tn here eae eg grbatiy Pach at PU(A) = {Yond oly fp. 20 nd Song = ‘Whe 2 i contably inte, Ste sof an nite mabe | st ope ln tt rth sumably, Inthe Append to ths ‘hipter negate oe wc rte om sible aa Prog Let Ae then A= Use (ua finite or couneable union of pairwise ‘pn sbekton= FP tw poi, arable det sole Trt = De Pay (ueeat “Therfore we bare or (8) note ha if Pa) = my te by ion p> 0, and alo 1= POO) = Peale) = D PU ethene then a 2 Onl Day pe = the we deine 2 probably Py PUM = Sepa bcos on emp eon ts et P) = 0 and BU) = 3a = Fa cua ta, fv bathe flowing asc: Sy Sey Ro = Esa Po tc par de a Suppose st that i fit. Any tally of oangatve tes sing upto ves amex pablo 12 Ba song ale expe224, Pei 4 Flee o Cae Se Definition 4.1- A proteityP onthe ite st aad wim fn. = PAtey) ec nt ded on Ha aia} ‘The computing the pba of ay ewat A ants to counting he ‘ber of piste AO sn Bite set te eat al te Taller prebnts Weta ve two example ch te bmparant fr applets 4) The Hypergoometrie distribution. Airs catane N white alls 1M tek ale Gor dine tls withet replacement so © N+ Mf One te Xft ballad n blak ball On ing fr th probably SRL Din ere ra arieny ned eg, ‘Siow dr the alle without replacement Neca well appone thatthe nals ae drat nc, feos natural conse that (toute ane ihn shat thet (PN ed) aka NAF ah si ido 0 8.) ie ECO) =O) gia cl ht for and eo th ‘ie gy (oon gn a oe 9b gto he ania at mp om fo emma e ‘itd te noe Sie Cab clr th pe tos al ai ats Pray Teg ns ‘Scene seth odes sna howe er ewe eh gy er Xa eed way ome (NCE) pune sand wee Meade cei Ho Wore and 0cn—r ‘We thas ssi, when «wai, the trian the law X, This tein elke opera tn an ren aay Stik "eo one dos a ply ing apna Wes oe ‘erie (fran entnion to han 2 cpio) ') The Binomial dlstibution. Fr these us abowe, we dea ae bu ete bl dew we abr, hoe canbe bi fe wis We nin wan the ebay PUX'= #}, wb en er Hse henna probity sac i the Carte prt 1 weiee S= (22.00 032A) feat StS tha em (LZ Bir wth apt aon petty. i he umber o teat ‘ak alate cardinality fae denned #2) sven by BU) = (eS) A mpi competion shows thatthe endian fal Soc that (2) = 2 tht BOX =) equal 2) NEM" Hoe veroo= (9 (etn) Gen)” {po ting = ig A wy we he or ile px = (Qa fe emotion ‘This mags the Rimi drbtion with wise and parameter A psp aciateary ts 1 (te pein examp pw ational be tin eral pny ay eal uber betowen 0 al) This cation, ‘het eign apptons en ened Bp.) ) The Binomial distribution a ii of iypergeometie distribu ‘ona tnt sittin) ase we ote ht we a Biogen + oul2 way tha py ed tp (eel in i One ally ches ha pucen s (“) Fant fe ea Oto ‘That i, the typersemece dtbatons ome" tothe binomial ds ‘sion Bi) (Carparing with) above, the fest aly metes idee set nhon N'F fig thre ce eileen dawg ‘ail or witht role) Some examples with a countable state space. 1. The Pots dats of parameter A> Os the potty P deine con by son on Ws " Poa (-aye", na0t.2s24 Pabst Coma Sp (ett hoor enya prac fen bs a to cpt. {Stenson the pectin ite poet ad ears ee ‘one ap se itn st a Stour pine fh ly Sef Hine = coven a ne Bae i) at sa (j)om su a sn Ba i a oe Appendix: Some useful result on series In thie Append we sve «smear, mst without pro of sme fe ‘elton nso sn sunsnble luni hese nly tl ag rte on count tte apse These rt it pos ca be ‘nd inet tests on Clee (or exau, e Caper 10 of 18) Fis: we abc some cventions Quite fen aoe bel to poems ‘alesis ovling "> frites oe sap ae} or se. Fe te Heoteoe toe) “cose =a ata s tae, ences ae ae 0, 26x] + axste, ae [200] + ex 1 uy Be sone of nbs ad conser he “prt se” Sy = SSE The see Sy calle comsgent if Sy cones to sft iit S.ilademelty8= Sy [the a ofthese. S21 The rig Eyam ive abolely converge ithe series Ey el S81 Iuy 2 0 far all the seqteace Sy ices, hee always ca seats tnt 8 [le nl nrte $= Sov along oe wre exmerger i the now of (SI Sand nly $< ce) Th state fee tae tt voles 0.) prove we ie the nents bone ace dion wl. terms te oral, Tove av howe to ita es here fh “ecg oth ete ha flan, ae one sen ate of ae Tae ited of rin the rw re Sand 95 bl 4 Probab on ante oe Cmte Space 25 Sts When the ay are andthe se abadulr eonvneat one ean ‘aol he nrc he ere ake went cng th imo 5 _ Whee [0] fall mth sn Ti (whieh tine ie 16 (8) aon) dor tegen chan. 86: When oy € [when the sro ig sbenutly comers we Time the flange propa: It (Ah be psn af SS Gah Tne eee 87 Ranh we the wu f'n sere. Them we hav J, ta = Sg (this ater mum is gai Mein of see = N°)Exercises for Chapter 4 4 (Poinon Appronimation to he Dil) Let P bea oma pee “EC Oe) CEI “a etn sand et p changes that rei constant Conca tat fr sal yale Meewonan) Be, we Note Inger ti pprimationtcsgue tbe gud ase igs p al ao np tobe of mocrte ae fr wap 230) 442 (Psinon Approsination tothe Bilson he sting of Eves 41st = PQ) doe 1 pe Sh a thea the babs of geome «Bia dation BL” 0) Bate Fomuon sponta te il when ms ng and ps hs to 1 4.8 We cries the sting ofthe yperromet dstelbutin, xcept tat ‘weave mes an Note Se N= Nt Ny neal he Thoms ofa cole dese ang nal: Ofenue My y= Show that Wg ticten Pu =a eri, 5, Random Variables on a Countable Space In Chapter 5 we gan ses coaabe and A= 2°. random se the Nin ths cae ts lod tot aft fom £2 ito mnt TA ‘oda vray spre an axons tie hee the eto vee) ‘hve trae a algae tine neta? 9D bat {hhc ate nth oeuvre he random cen rn ic vlnen Kerry se, it ot Kw (een tle tl random vet happens This els oases ‘ent ht on lon pray el, Som ‘Net ts te sae pce (rage space) Ts nt cota, te ie To we (Gat eal pine) Tor whch these et SE aah tat Ko} i) sie eo vay ite Wise he de the dtbtion of acl the oof Xo te range spece Po X 9 PRA) = Piles Xe} € A}) = PAA) = “Tht this rao Probability mesma on 7 (withthe agen 27 sans 1} sehen Sie eat most comet, hx probe ie comply deri by the allowing abet array= Spe eka Kea Str the ftp: € 17) cab th dstbtion (ete ow) EX, etn of conte P(A) = F412 tas w kare dition, fer esample Pa then wot aX ke Pen andr ale Deliiton 62. Let X tea sled random erie oe comma pce Phen of X, seated EGA), defo tobe BUX) = DX roids mas sna: th ese mn inte thi ao Alou when fe emit, hen he sees asl contest25 Rand Ve a Cot Spee X50 ala i the Iter as. he aor aa a are E(X} ‘atl the wae +, tins ad on record heals Xie Xn Ne of eeoning then tte then he epi en $y 2D Xy) Bey ad fll) Imire Ja((2)} dnote the teguey of apeance a Te leon). Snes ja(e)) Peace” ta Ps} flows ft hast we te) ‘atv empl mean convege the enpetton £(X) mde bore ‘Detoe£! tothe space veal ale eden vies on (2A. P) hich have ait expat. (0 £ a wctor spre, and the expat operat nr (i) the expectation open pone Ac Ct aad X°> 0, then E[X} 20 Be geenaly #2. ee aad Ns aban BX) SLY (st) cota all bound andesite. X= then PLA) (i) 120 e ke expectation depts aly om i det ad ho tage ot BEX} = Dex ey (91 © etn ana Athen EN) = A) Maia Phe ela et Oe Eheins S xen FE Xun Ens Deyn ‘jst fly of nots ong expectation Ello the tt tht "Thoorem 6, Leth R—[0,2) bea nonnegative fancion and et Xe (eal ee nn worse, Then sn 20) BODE proteso. PSone te RY = HOM rane tonto) neh = On 20) ex) 2a haw ie) 2a) aa =a) sot we te at 3 Coraary 5: (Marko's Inequalty) Pox) 2 0) s BUM Pron Take) = ein Tn ssition :2. Lt X be a eae rnd sie eth X? 6. he asa of Xt defied Be (x BPD The standard devitonof Xo, th nnn gare ot of the a nce The primary ic of te tana deviation to epee the own (and seal) ie ‘As exapleof the problem anit can ose a ows et X dente the ‘hr fle i ead che fay Th the ite the va Shc wile "ute cen whores te it the tard deviation Sy wil spy “eee ITU) ropeete ie pce orange, vl of X tn cll he sna) toh E(B) EYL gl) whe = B(X} eget the ‘Sern dente fom env nd are awe Sp oat be {laos of are led, tenes ete ales sry om the rn. The avast erage unre dene Ror the est Ths ash et | iss deviatons rm he mes oa enagig big cra, Home ‘he varianee ully ter to eompate tan [X= en fen as ‘tsp esprenin (Se fr exemple Execs 8 1) The va 0 a ‘het of none of iby of the ado trae CCorllay 5.2 (Chetysbev's Inequality). If X? iC, thn we hae wo ptvise e222 pw oon orca -etsien) 0 Te cont ces that The ftom e eek, an own the Riemann ste anton ad estes tabla Tum 6 sadpuna gh wr ‘The moa cycled in tram of the Rie te ft B(x) = Sper =a) ) 17) Ue state space Ef a acom variable X has ony ite ober of ‘ts nd ech ptt equal Hl he sdf hn aloe data, he ce were Pu thea X hs the Direte Uo dsbatin ith paneer Ung wun = Daren a= Sat = bs Me Exercises for Chapter 5 15.1 Lat ¢ 0) ~ 0,0) bests ncesing and noes Show thet Ela(XU) 6) 82 Lat he [0] tes onneatve (bun) fnetion, Sb that Sor Pixizes frase (a(x) 20) > SACO 58 Show that of — E(4] —E(X,msuming bth expectations ec 1 Show tas B{R)!§ BOX) segs ing a pets 55 Sh that = BINH) ace y= aia 5. Le Xb iui le. Fo hat vlan of PX = tern? (ioe cate pee) TAs fn ip} he Gets tepe pat f 5.7 eX be Boa Bi) sh pray X ve (ns HE fant £8 Let he Bing Bp) lh A= mp Deg ot at Ay = {iy Stender Fb Poe) She nt Uns PCRs = TA be Shy Ey 9 Let Xe aon (2), Wit vo maxis PX =)? fine] int Se ace 38) {540 Let X be Pinon (2). For ie > 0, wha ve of asin: Pixar fami [511 Let X be Poon (1) with pei tgs Show £4 — AI} Begs a ato 6:2" Lot X be Baca Bip.) Show that or A> 0 and > PC p> ne) BleapINX mp ne) $48 Let Xe Boon.) with 2 > 0 fe, Sow tha fr any Saad PSO PI, 28) test.Sd Let 3 be Binal Bi) with p> fs, se 2 > 0, Sow that sab hat PIX — pl tent Lr all> AB" Lot bem Baal (nha 9 = 2, La sina) = Era my Sha that nfm" = —# 10 Let X be Grometic. Show that for > PRESEN > = PLD 9 517 Let X be Geomtre (p). Show (rey) stn 15.18 A coin ose independant ad repsntely with the probabil of 1) What ithe potty of oly on he rst 1 oes? 1) Wn he potty flag the tt tthe ®t? 5) Whit the expert namber of tas reed to bt the et tal? mb {5.19 Show that fru sete of vets (Ay) Ux) = EP> {5.1 Le X be Poe (1). Sho rr BUX Dp a 15.28 Lat X be Gomme 9). Show for = 2.8 rem FIN. or 6. Construction of a Probability Measure Hice we anger sos £2 ontubl. We ame given 1 and pce Ac 2 (2.1) beled o meer soe. We Wa to cso Dotty measures on Whe Bite o outa we Lave ale Son thee snp to dn We 7? eonable he ase tec doce eu mo do "pica palit Pl hase P(e) = a all ints he fy of al mers Pt (2) fr € 1 ds ot hacen th rtd i ae ‘he malted A ed the pre a bad the stb lpr el Sy ot arson A the ‘alors genre by at lie ly nto fr space we ae {Seen aprotic the lr toe etn Py (0. sng 1 Piay=1 2 (Cota Adve) or any gues (Ay) of hanes ofA pre Al at ch tha Uy A me have CxS} = Sy PA) eit won nati to oF A st of al bt of 2. we i inthe ue re fw constable, We do nt dow fe he lowing a, srt an amples spe 2 = (0, ad tw delat eto Pan teal the fan Pb) “boa were Oe b2 1 Th a ntl "psy ne nt ig hil eth anita it rahi. Suppo me want to extend Pfau unig way to 2° — all ‘es of 3) mh that) P= 1 al GH) Plt Ae = Doe PUA) Eetny rue slets [Aa}on ith ky ay 6 mo hem oe fan pone that mash Pree ton ats 2 spy too ‘ie fr thse wok Hore aan that ecu howe do this lt felt of wt ns’ he stl tin stag Stra he See far. This Un pontf e wext thee ‘Theorem 6.1. Bach grolabty P dfinl on the age A has awit ‘tomo (aed P) an26 Contra Prtlty Mare Wo wil show gly the asgnenme. Fr the eta ten conn star texto tre thoy fren [oe fy Fl we ned ‘Stab ery ntl teen Detltion 6. A chos€ of mds of tele ner ite intersections for mhen Aayn Ay eC, thw A, 14-2 awe rary afte. dae Ci che er nerosing ins of wher ay Aa © Ay © Eanes sequen of ees Cth Ue Sy CC ae well 4 ele € aed ander direneee fwhencer ABeC ah AC B, the BAe ‘Theorem 6.2 (Monotone Clee Theorern). Lt eo cla of abuts of [lane under ft nracins a conning 1. Let 8b he sale ‘de cotaing € atch Cased under cos lin and by ier Prof Fis ott he intersection of lac os ce de nrg Tait and iron gus else ofthat pe. S, by ag th ne Ie clne unde netoing int by elerencos orc set 2 dente [Bp tobe thecollcion foes A sch tat Ae Band. AND eB. Gio te ‘reper of Bone eu hehe that Bp hn er ing Hake fa by aierence at Bre: for cach C © C one hw BNC € CC Band C € B, this ep. Henn °C By © B. There B~ By, bythe ponte of 8 ad ‘Now Mt 8 € 8, Far ach C'€¢, we hive H € Bc, and bent ofthe ecaing BOC B, tense C By, wns CC Bg © 8 hime 8 Bo, ‘Smee 8 = By for al BB, wr ovale Be clone hy hte teen sions, Futhemore © B, al Be clad ifeees, bnce lo eer ‘omplematato, Site 8 isc by iaeensng ints wee conchae Bisecvnlgebrn and te hay the wet sch cutlang 2 ‘The prof ofthe nines in Thor 6 an nei comeqoence of Coralia 6.1 daw, t's comseumncr af the Mootone Ca Thre Cortary 6.1. Lt P and be io proabitiee df on A, and euppre Proud age on cassC © A which soe under fe ernst If oa aurbare PQ Prof = A beans Ais a alge, and since PLO) = QUA) =| becae "er are fh probable, weet sue wath lae of semeraty hat Decua wa [42 Lr{a) ~ Qa), By te dsnton oe Pt ‘etre sd Theres 23, Bla Wy ere ad ce FB dot 27.1 Ako Bcntaloe € ty pots: Thee save fC) = A we have 8 igrthe Mootane Cle Tore (Theres 6.2), ‘Ther ca ves of These 62 fr anton, We wll ta eo ‘tints boo, ta rata hore to kno in perl nme sae Sere withont pro Fat ont tho ede an cnt tp. Let be ‘chm of fection pig sespace to Re We be (M) dete ‘heim oli tt tne be fetes ia setae 21) = Mee RE EN, ‘Theorem 6.3 (Monotone Clos Theor) Lt M be cli of del Jinctons mapping 1? ota Re Suppose Mit cloned ander raion Sore M gs fg Ms Lt A= o1MM). Let hee eto mace of Jetons with Moca Seppe HC contans the wonstant fire fms and sch at where (fcaen 8 0 eqn 8 Hs tat Cen shshs Ti fo te bundle the fo ‘Then M contain l Soda, Arena fonctions Its pl to doa it it eter tha in ae Gaeta i a be egret toate ly bigger than A Tie rata ts Sap Definition 62: Let P eo prodiliy on A.A ml st (or nes) Doe ise cnbet Af 2 sch hl then ede a BEA statyg ACD td PCB) =. ‘Wo cay that property bos aia ml a insert) if bis ute aise Ths son cry epee pba. owe ‘Sy ammetinee Patron aury ce Pras ‘The mele st asses a A, Newt it natal co ay ha tyne probity a. fit Sn even ea ete the po iy to che sb che once ysl Pepe sce ewe i oe he flowing the, wich we do ely We In som ‘Theorem 6. Lt P be probity am A and N be he lof ll Ponies Mend = (AON ACA SEN) eu abe fhe Etro fT se ae ais coting Aon nd Penile py at ted nF), ing POM Plalorde Nand 8 Pro The igus of xeon agora proved st, ROEDS WiSi tk an Nt et ae Bes figs ening and Vb va pended ele. Hae tara orotic tins eG) = Pe) ee YB= AUN (with Ac And W € 81, then QC) das depend onthe comparision B= AU tal Qa prota ow 2 Tit JP € 4 6.4 and were se alway tO A. Nex, sine A ud X tate i countabe nina (een for A aly (ch Exerc 15) inl sable counabletnone Lat B= AGN e i Ae dand NEN! Theres C A wth PC) Dard VC. Se W249 els bedmgy to A and = Nena (ah coated in Cand das blogs to.) sine BP APU Nw ane Be a and ‘state iy eomphennttion: nce Tea alge, Sipps now that fy Ny = ALU Ay wit € A and Nj € A The ymmtidifeenee yy = (3, -Ag)ULA Ay) coma NUN ich ute an cont of A with topo hoe Py) = Pas) ‘bic dows hat Qs deed wang ry eine th Pron a Fly thet tht Q's probably het 7. Construction of a Probability Measure on R "Ths cagter xan upon pea crf what we dol within Cape 6 Wena tat ee i the Berl agen of (Tat pt atts (0) wate 0 wo the Defotlon 71. The dtrbutin fonction indeed by @ probity P on (RB) sete fonction Flo) = Pa my ‘Theorem Tas The stration fein # charctenses epoca. of Wie wat to show tht owl of F dee (7.1) ail etme Pat i thane nate pebubiey sch tha 61) = (m2) for 2¢R andl F~G, thn ao P= g ‘We bg hy ting the set of ie dst ins of itor of therm pate Srey © ith the ctton that (f= (each ose a ha 2) eye se By a esr, Monee ifr) fn ope itera ben (8) = U8 ~ 2) {ee sume ¥ ne enogh, 0 (8) costal ope nv a ll pe Si hee san expen a conta an of ope tera Since the Bal ste (28) aw gross ty the pe ete o(@y) Be nc Pensa £) = (a mf © 8 and thar B= 95) "retin (7) ip hat Plea) = Fe) ~ Fe, nd WA € By Sof the om hasnt wh x, then (3621 © (By F(a) P4(—mep and ins Fa) = Fy Ths we hve (Reet deems to 2, Then yess) = (eae and he fq of events (ose 2 I} ft dete segue. There Pig (—mea) = Hie 2 PU(-mez)) = Plemea) by Theors 23, ‘de hve) ial, Toran 33) oh ‘Next wo sine that we ba () (ad i) ab we ws show Fe ‘teat anton. to aecedagce with (i) lt ee nme) = ad [Fl4ac) 1 Anne rofl Tene 7 By be the tobe jit ‘ns of intervals ofthe fom (29) with 20 2 0. By hypothe there ets 9 mer = sch thot F(a) 212 and 1 Plo) Ss Foret nt there ee op © GT sc hae P(e) ~ Lat) = pb (eh cotints)Set By =asca (OPW O-2T By = Umea Note that Bf By dB, Ay heen By By wl By C Ay Pherae, elle © UnsnlAm\Pa,bente atcha Pa) PCB) PACs 2) + SS PU AR BIB) a SFatt~ Foti} $e (22) Furtaaore observe tat He C Ae (here Br the sre of By). hee FE Be = by typo, Abo By (3) bee och By compat Sec Ss proper of eompact pts wn oe “The Fle fret Proper at fr clase cs Fy yen # Di a al Macey 2 for if ite seston C of B. Site 0 ae ty te Fst Intrwetion Property we ms ate at tot est 0 ih chat y= he ain > m.Thrloe ly = oer all >, hee PB) =O ft ‘Alem Play then oy Pag) ~ PU) Se 1 (2.2), for al > me Sige «war abitrary. me have P(A) 10 {Oter tht thre ge pron wend become ne tele shut hese woe bul bi though Ay deere o fhe ep Sa Dnt cml oe) 3 Corollary Tl. Let Fe the dstraaion fenton ofthe polity Pon Denti by en he kit of = wth xs ie F oe Concise sh0) Psy) = Fly) Fe Pawn) = Fn = Fen), (i) Plc) = Fly) Fe") (0) Plea) = Fl) Fle, (9) PAs} = Fle) Fle), and in prtiuarP((z)) = forall =f and aly the fection Fi ont Pro 0) has oad bon shown For Peay Fo) Fe~ by (i). The esi convent Fi) = Fla) an» 2 yon of the ele of Fh rig ne ners to Ploy Tce 2 hasan "he squat of teres (ef dere 1 Th ela (i) ) ad (0) ar pow si a Beamples. 1 spot and Reman itegrble and [fer =, he ton ia) = J Fgh latin anton of roadie on Rt aoe felled deny (Ik not ta nt each dsb action «dat he flowing example st). eta © eA "pout maze” probablty oo Rao known a “Dire resi) abe that alse y= (585 rina (24S “This potion a the Die mata pi In the examples 3th 10 Yow we dato the stato by ty fnetion J: that espe) ad the te dates ction Fcorepening tof Fl) = [fluid foe tobe sty we nl f= 0 ad J (2}e = wick the eer can ek $Simlnd theca or eampher 3-10. We abt angagy «it ween forthe dems f slo athe dette, ane ds deed tering ‘gy the aaron. = stbervite "he Uniform dtrbaton a 0.8 “Tie unaem dion th otis anlog ofthe He ha enh telly Hels is eomespnd so Bat deny faction oe {ie elena tere eens sa sei OTe is calle te Fxpnentil dtrbuion with paramcter 3 0 Fhcenjcetia dn ct oo el he tof pete ‘eho deny bn mechs tat AEX expat, he the ‘bbl an ort Ina ats tne en ha ated = toute leds te ee poly of aye ae asting ns de The ere ft ale (Fr exp) we fen dea hie Senta ioe eevee the moe i oto t epic ei Tike ba wth pw eo. Tie memorce prety Charnes the ‘spel dir me xen 20 ae sea Toys ° reir ge3t Te Grn fet ideo oe a) = 2° ea > 1 ls fromm ta Ft (a1 ew Nand FV) = vs‘on a the Genie diritti, Staal woaton for the Norma ith parameter yd os Ng). ‘Wess the Normal isto tegen Chapters Wa 21 rv the mn portation pbb a eta {Siou athe bleto Sgee ee nal dey. Then Is ala the Laorma!dstiaion with parameters o#(-26 < p< occa ‘Thelema dtfoton ew for ues sa aid pine {omodel womcativeqentitatve mo penornn te ‘= the Gaon AeA itbution and in Ecos ee somes ‘le! the Cay vale dette Hl bes med to mel ‘Prodeton de Te has ben ted to ede deg dog ste, et {rosa sence ie of chal ses wie oa ‘ht es ton Pr 2. fe) = BeA! tow < 2 < 0 called the done exponential Sarai with pronetrva. 3 (26 << 3,0 3 <2) wm a the Lapa dstiation See) Serpe april oe <) The Cauchy data (aan ter Daron Laie Again Cay (9-357) oten wed for couerample In Probably tm td as fist roped for tht een noe a very hy tale tha othe abace sce proper. Neer sl Shani and cetyl afl oes robles insist fel "TEs haan esd Cat i Tete ped Cag seri) Isreal a apg tet Coy an Ds Exercises for Chapters 6 and 7 {TA)Lat (Aa) be any snqunc fpr dnt ent and Pa rob Tai Stow tat ng ne PL) =. 22 Let (As)sco be Fly of pwn dla evens Show hat i ay) > each 3 Ben 8 be arable 17 Show that the msi ofthe Gama deity ac at = 95, fr 7A She tt he masini oF ee Wes Set occ st Stow that the rns of he Normal dest ecu at 2 = 176 St ha he sin of he Lapa density occurs at 12 Show that the maximus ofthe double expen dnl oes a 178 Show tat he Gana and Wel ditions bot nla te Be Poneatial aa pel eve by a = 179 Show thatthe frm, poral dbl exponent an Caney dest TaD A distin called noma te dss exactly on able Tati Show ht the soomal.xpenetial. dou exponent, Cael ‘Gur, Weil end Lagoa ve wad Tat Le P(A) = (5 tales fo» sme son wth Tefide ou ba fea sgn Ct yo le Fst th jin ih wes Sh hs AaB nt 8 sae ee) 0) 118 te Pea gen in Pia 733 1a et thot ‘ech a ete ai fp cn be eb os ‘Smet init Show hrs eh 7.8 Let Pan B boa en in Beebe 7.12 Suppose Aa event with PUA) =. Shaw that PLAUB) » Ps el TE Lt Aa ‘TAB Let X te 9 lu’ on countable Probability space. Soppae [E(AX]) =O. Show te X'=0 exp posl ob «mls ee ple to ouch intra he X = 0 ever fe, fr ll? [A ND) aso fal st. Show that AsTa" Le F be dtsbation faction. Stow that ia growl Peas ave uta 70) ne Bes Hao Lat Pe given by Pure) = Fle) i oO E= 3%) Supp wen Fen er FS By ‘St tate he dbo Seta pray om “Tats die Phy PU(~scr) Fe) Fd the pois of the 9) A= tt) i=) 3c 4) b=) 9) B= m0) Hastax) 8. Random Variables 1s Chapter we comida rao vibes deed on coat prt ste sya (2.44) Me now mh to cer an atiaryarae Soce coma ort HEX tape 2 iat ate sae (FF) then What sre wil ten wns to compote i the probaly ant X tak a tats te alga F of eubatsof F. Thom ww il ant ta compe Pre: X(s) @a}) = POX eA} = POX (A) which ae thee equa syst wie te mune qui: The hed nihtenig: node oc fone PUR! AD) we tel NA) to ba lm the ngs {2m whch Ps dead, Tab tae flowing ito, Denton sa, (a) Let (#2) and (FF) ew measurable sor 4 fae oe B= Fiala aie ard F) XW) 28, orale F. (One abo writes X45} CE) (0 hen (6) = (O14, mane tion Xe en (e) When FR we analy ake Ft be the Bore olde of We ‘doth Bonrfrth thot ml mention ‘Toren A. Lab 8 la of sare of Fach that o(€) = FI der fora fc XB

o(C)y sd 77'S Bond ace F = o(G) we cons F ~ Band thas X1ET © cure) Ce, 6 the tate P(r 0)) Ths the titoon tesive Pon Read ann tne Se chinblbe terion Ip P* (Come) = PUR a) ‘id at is pring sop ine tha ing ana va ifurther arctan by ts fee frm fo: X(0) We wl inthis book ol the sce ad Z(t p= to 2) Before proceeding to the rot of Thre il weston two may Reel 1. For evry pte rn X there ei a svece (Xa) of a Iie simple rut uhh snes towed X ae ‘vamp o seh segue een (PTE ko 0, £5 Eh an Efe Kop 2 itn BG) an a iia Ra) mit BUR, one lia ui) —¥ ‘este Xe. Th Yate aro ves and Gai «nom secre equece Maree Ye = tne Soe Xi > Yo wo base (Na 2 £(Ye) whence Me 1%} & Jn #1) Fin Ya) Ble Sa) ty the Monotone Convergence Thar past af hi heen), UE) Set infor Xa ark han, Xv hemth UAV EN aS Wea have [ol Ome have sen SS; Ree PIS =>) = BUI ysony) $2818}. Thun £(S) < eat since he sie of sttay, we have that PAS 2) Owe dete tht Soy Ns raat cere ses a8 Issam, sy, ho a of the quence Ty renee Iniss es sd i to 13, Hence by the Demin Convergence Theorem {Theo re) we ae hat ef} -rtmn a es cE cat ts es tt ee ee ae JE{XY)| < VED EW A); me Sate eee te Romer Sorensen Steals bias Yelongs to 2? with B(1] =, theca ows ely fm (e) Yet X.Y 12. Then fr eostate 0,3, (aX + GY)? < oP K*/2 4 v4 ae iatgrate und ok 9¥ € 12 and Lea vn apaceBEX £5 te arian X, west #2) a te oni) = 0°14) = BUX END) (Sete that Xe L2 > X 1 co BIN) ent) Lat — (Then wet) FAX) = B08} 0b ot BUN} 20 8 toed "hw sya wel the al it nots ey el exis: 2x) =A ‘Theorem 9.4 (Chebyshev Inequality). al Puxiza) = Prof Se P20) 2X2, we have Etats S BLA oF PUX|> 0) ¢ BUX) aii by hes he ren a (Catnake'sionity known asthe Benen Chay naa ity a fen ween query Pix (x9) 20h ‘The wet thor wef th Theor 95 ad Corry we all the Expectation Rul nthe etal tok for oelting expecta Ws pte that the expectation a dept al ior 98 epctaton Ral). © era A wth TR Ce tates a 1) Weird) 60.4. Gand nl TBE) 3 ete pi i i ah emc9)= [meta 09) Pf, Roo eat the diiron manure PX is deed yr PS(B) = ORD) There Punto = Po) = Pa) fae, “Toei spe (9) i te awe al as: 1 oie, ‘he slp pone a nec to, Th tv) = Bf, = Bn 0.00) fim fora frmnemes = fain {Bj whe pot, ud appl wo fh ao proves (a) ealing hat 1 belng to Ui aly the expt of te abate alae St). sbi 7 3 “The next rs can be poe a coms of Thorn 05, bat me wove it In Chapter 11 (Curley 111) so wea pea re Corollary 9.1 (Expectation Rule). Suppose Xs arom eae ha fas density J.D, Fla) = PIX Sa) and Fe) = [oy falda mme © ee IIA) } <3 or Ph icpotine, ten BUN} = Jes, Examples 1. Let. be exponential wth paste a Then aco = [Mei I parti, 2) = ne hae ‘lrstion parts. Thos the man fan expel ron variable 2 Ea Shama ore) ih pre 8 Than 8) = s00= [gig eee1. negation with Reet «Prot Maar Toe hi le yr then = y= and s00- fagoenea Logger aon fl Th ft intel he Lgl of ant fncin, no 2 the ses egal op J fe =H TeX tw Canc wt Semi anton fete We hae BX) = EEN} = BIXY} = 2 a the mean EX) of ‘Cra ara det x ned sure [aan [aay sino fy > Ofer all = 2 and rx 2 oe 2> 1. That B(X-) =e ieproted dia Exercises for Chapters 8 and 9 efter X (0A) = (RL) bear. Let Fa (AsA=X-'D), some Be 8} = X18) ‘tom tt Xb meszable as faction fom (2.7) (RB). 9.2" Le (1.4.2) bem proba pa and it Fad G0 tn 2 Suppo F CA al @ = (oe na ths ae hat Fd Jae sb ralpranc The onstas F apd jae independent ifr sy 7 Gy Beg. Pian a) - PAPC, Suppce Fond Gre indepen. ae {rua 2 essai on bath (777 to (Bad fo (2,0) to 8) ‘Show that Xi constay ha P ferme comma © 9.3" Gin (0,4,P), lt al = (UNA EAN €.N), whee A are the Dl ts Toten 6), pens X= ¥ a, where Xan Yate ew ‘abvalued facta on #2: Sif X: (2,4) — 108) be ewurbl fw only (2.4) (RB) s ewaraie. 47 Let X.6 Con (0.4. P) ad et Ay be aegrnce fees sh tha Ty PIAe) =O Sho tht E(t.) =O. (Caton: We re at ‘stig tat ity X19, = Das} 9.5" Given (0.4.2), spine Xin with X > 0a ad B(X) = Detine QAR by QUA) = E(t) Show tt Q dies» probally smear on (24), 9.6 For Q ae in Exes 05 hw tat P(A) = 0, then Q{A) = 0. Gre “tvexunpe that ss hat (4) =O does ae general ply A} = 0. 2.7° For Qs In Bue 95, upp ko P(X > 0) = 1. Let Fg deme ‘expectation with espe to. Show hat Eg(¥} = p(X) 9.8 Let Qo as Bers 05, pd supp that PX > 0) (a) Show thf integrable or @. (by Dafne fA Ry R(A) = Bol 4}. Show that i xaty the obaity monrue of Berle 2. (Hint an Bsc 97) 9.0 Let te ain Eerie 98 Sow that QA) = ips P(A) (ropa with Bene .0\Le be nim ne (48). Show that LX) = 5 411 Uae X be amine ith dey Fane = EL) Show vt) = 00)» fie pte2 tagatn wth Rape «Prt Mr 2.19 Let 3 be ufone ne (0. Sow shat 92(X) = 8.18 Le X be Candy th density erg Show that LX) snr ‘deisel BUN?) = 9.14 The tee function x Bt.) = G2, where Tithe gaan funn xa [ren Xe ahve el tbat th deny J tn ere 0 Se— Sho tht Sr aving bt cao wth parates (8} 7> Oa> Outen (> 090) woses Hecdoest Meek) Th Bess Tene © ait for b> 0, Dee hat WN) oun) are “The beta dtr nh Fay of debts on the tra. (9.18 Let Xho gtr dri with partes a0) Show that Buy semio sade that EX) = a "1. int BO} iia fleie whee fs te gral dey mabe the Sng of vl tog) =p t0 obtain enone) cus [ar 16 The gaia dsb oe spied to one pasate db tt Ary ica toe the tnd ar tion wit paneer (oF ib deity of it dion mee Be ti {Srortez8 of sco. Pin = lea Po) = PAF Sa a tne rut = 2228 eso, Dade that has mean dal in Shaw tat or ay b> rovansey sph (Hints Cotes te tein gts) = UH" and eka YX = nh oF} =o +11) 0.18 Let X bear wth nas and ice a, Hoth ite Show tat Plano eX

9.20 Let X be an exponential ev. Show tha PLY > 444) 30> 4) BCS) ore» 20. Thin nn athe “mores popes” of ‘he expat 0.21" Let X bear withthe propery tha P(X > ott] > 9) = PEND 1 Show tat EA|E) = PIX > th ten sais Couey ation Met = Risin) (65 04> 0) sd Show that X i exponetaly dstibated (Hot ae the fet ha ‘Stim roc he gla» Cat epaton canbe re) 2.28 Lec a be anger an suppese X has dstbaton Game (0, Show that PCAs) = PIV Sa) wbere Yi Poss Wh prot 92's Fa} = o~ i} an write down P'S ran es ‘he latgratios Hy parent =a de 8) 9.25 Tn Hac Rate of» nomen ran vrsleX ide by Pusxst ist) = : {hata abject dor nt env a faite amount tae er te ‘The meson pope ol the expose sre to a conta te A ‘Weta random tra can teed ax wl onl ss Show ta1) HEX t exponeatial (2), then ts znd ae 0) ~ 3 1) IF fe Wed fa, the te hard ate fe hy) a (8.4 A postive ur vara X le iti dation dr Fe) =P <2) = a @>0, for pranetrs 3), 38> how tha if =O and = 1, hen a dey or X en by Tarheel) = (3) 10. Independent Random Vz esl tha ow evn A dB ae independent i le that Be ‘eeu dos aot cage the probate tht 4 wil oo tat iP 12) P(A) Thief ene aehealy equa to thn tement PLAT 5B) = PLAPLB) The ater egress gnc ely to 4 Hite mer eve Asc senda (Se) = Ty PUD Bey ‘eet of (en) foe Deaton 3}. Fortwo sur sabe X ad Y tab indepen we wan lg of to hve uochanged the probable Xl ae on stan vals ‘lv iy speaking sana site eens ve AY ad (O72) icpenent any che of and inthe oars ft ste se of {ant Y, This bee eal expres in tans of tho oles genersted iN aod Real at X-(.4}~= (2.8) then ANE) bo sly of A calle the ager generated by Definition 10.1 2) Sub eat (Aer of A. ar independ for ery fie suc of ad alt A ay hat Pe vesA) = TP. 3) Random sara (Xr th ae in (8.8) aredepenent if the [senrad algeas XE) re ndependet ‘We wil a, for station simpy, comer nly pe (7) of ran om aati Homa exten wont lye ite aes ate ca ta eval (BE) akin (FP ‘Theorem 10-1 I ker for X and to be ndpenent, i nevesory ond ‘Mii to have anyone of he foley condone htdig a) PIX GAY €B) =P © APY € B) forall ACE, BEF: 3 Pre Area) Me CPO eB) fora ACE, Be B, ware and ave sect ase fst tale wre it teractions hich generate nd 71) F(X) and (0°) we tegen or cack pai.) af marae fone 8) 7g) = EUAN) fr ck si of co 0) at Band Fhe metric ics a let Bs Fe ther Bord e-alpbras Then Usa ELISE) ont arf fone Prof (a) This x a estate ofthe defi sace NE exact al fac he fr (ef for A SE. (el: Th el see CE miber (a) ib: Ths ie evides. (Gla: The ation of ste A €# tat wren PX © ALY € PCE APO € Bor sgn B CD icone ue iri isa teleost cnet theca Cb tps tis cl Ci line item So he Monotone Cs Tiere 62 ed hat he election isin fot € ir tn fb woe Asanpon (anid with EE. Then enlogonty by fang ACE wa tng J ~ (Be FPN © {Ve RYE DCE AP eB) me hae aD) and wd =F Tehstey We nd oly to ake fe) = a i) (sIStek Gen fa note tae HAYNE ANE ENE) Ao, a )-*F}¢ YF) an ine X~() and Y-1(F) ae independ, {he twa galas FU) (Cand YF wl al be (h(a Tne fs) = 142) tl) = ta) (a): We ba (defer nator fants td Une for spe fumes (oe Ja) = Sepa) be Hoa fad epee ef an geese pi ins ieesg fund 9 repeats. haere tthe peat fu X}pu¥ aerease to FX) Th B(s(R)000)) = 2 Li fl Xa) = Bes FUDD By P1000) EUCLA ty the uatneconsegsce tren, Thighs ne est whan ad g ae ‘ale: When f nad gare bounded wee = Jef aad 99 a Sid conc by fee (ate Ths be (2340): Is enough to prove (0) when Cal Date te casas of at ioe stn of Band (hee cle ae table hy tersetat) Let Sot ‘SRomple tio cued wr Teale A) waste nr ee {he pin aude et Un gle) ~ (Ld A) enon ‘tse & es 1 ad he segue) dere the eo ae TY" Silry ih ao tet of F ne mie cotinine decent and hing © gy 1. ‘Th tales to repredae the rot of the inp (tens te means eres Bxample: Let Fan Fe itor stb, Fr the coup (X.Y) = Piles Xe) tant =) = PU =" =H. hen sel ¥ ne indepen and only} = PSY, a 9 cna We on wt dca jy sesirabi” fon tn gear sou Fae ech agers a Space Eat F espe then the Carta oiueeF = (Ae BaP A= Axle ean © P} 5 notacnigeten fa B's P.Conmec' we wre o(@ Ft dente the malt sgn Sa EF genorned by = Sac oat coma an we ‘Serle fe. (ExP) ‘Theorem 10.2. Let J be meals (Ex FE S.F) — (R,R). For each EEE (rap. y ©, the “won” fey) (emp 2 flap) an Pineau fro, Eman) fin ate: To omer to hoe 102 e fe era Proof Fist astm J ofthe frm f(9) = tele yh fot C< £9 F. Lat Hm (Ce BaF y ~ Loleg) # Fimemrabie for each fel # © E) Thon Mm valginaand WsaP, hee {6 » 7) CH. Buby centsucion Neate = sa wehare H = £55, Tis we hase tie re forbear oi ence a foe snp fins ery: I ste, Tt fz be spe fat ners tf The gly) = a9) = Be 0) = ata = Se sd soe the a of mewsunable ucts ssa, we ve he rl for Final sabi, take f= >a sine ther De for Fad fi hae wll for f Bente the diferent abl ‘ction fae o ‘Theorem 103 (Tonel-Pabini). Le P and Q te tow proteities on (ney ant (Foyt 5) Dain BLA B) = PQLB), for AE and B EF, Then R etends mio oa pray on (B= 2 2), arton PQ.(5 1 tne Ran Vase 1) For ow faton f that in Feral, pote, or tara th Inet to Po, the fnrtion = =f fp) se Enea, the incon p> [fle Plda) w Fone nd frswse~ f{frenaa} ren =f {tesa} aan, Prof (8) Lt © © £ 2 F, and et ws wre Cle) ~ Uurtn) € Ch IE Coa s Brwe haven thin we Cs) = Bifs © Aad Cle) =P otherwise Tce Re)= Po Qe)= mayan) f Puniacee Lee #= (C €£8-F:2 ~ Q[C(e 6 Emeasuabe). Then ile wee ‘renin wd iftrens i x FHC £OF, abe W = EOF ty the monstope aster Farr EME GF. ween now dle {doce Q{Cta ems ane pot) 10) ~ J Pransaict). We nt show Hiss pabablty meaeare We ive AD) Let Gy € £6 F be ple det and st © — UECye The since fhe C2) tay ae palin nj anos @ « poet marie {ioc = Sees Cas) Apey inom 0210 the probly mee P an to ee incense) = QC to tan Ymca ¥ [nee = { Piasaicte) = mcr ex [ mana “Thos Risa probably meseure, Theanine of 8 fallows tn Coto Tay 6 "Noe that we have ala estab wat (no roa of a functions f ofthe frm fly) = hele), C 2. Th ren follows nite sip fant ary: ponte, © Fm, et ase function nreseng to 7 Tha Le 10. dependent Rand Vibes 6 si) bth) Bm ff mean re But rf f(a} QKdy we tons tha income to J Fe 9a ess by the maton socregeee tore =f (1g, f ntenraren} ma, a gun by monotone oosergoce = {frente {fener me =f {] nomeras} aren Play or general 3 slice to tbe f= ff ae the at lows a Coraary 10.1 Le Xan be tear (AP), wth alas (2) find (FF) reel The pve Z~ (XY) ta th sles tn EEQF) andthe eb Nave edeenien fond ony he drntion PA of te cmple (X.Y) eae the product PSP of the dations opX and Prof Sace "MA 8) = X-1(A) 0-1) kage Ana oo os AcE sn 8 Ft mesma of 2 lon om the sito ote prot ‘alia Fan for Toten 81 NX abd Y ae adependet rll A Ea B&F, we be PUXY)€AxB)= PIN EAPY eB), eat PEA B)~ PR ADPYB) Thi equiva to sying that PICA B) = (PX 0 PY VA B) fr Ax Beto}, wich by the quran Fubin's theorem stra Shite tothe oat BOO PS BY yg Bae 3 Wediges sgl tics the contrctin ofa mal wth dependent rend srs Let et probaly ene (E,2) 1 ry 10 he's BAe Pye and ee Xhetbeldeige Nee ‘SH nove completed cnstracton wf oo independent enon eres, X and Yih sin (EE). (FF), and gen btnments pan, We ad thi fll take = Be FAB F: Popov and Kizy) oe Yay) =y. whee (xy) eB» F ‘Seay snore compte. but very prt Se appetions, e to enact efi sponte of tpn! rondo verano en ‘nen. Spel or ah et Xe did yt) a eet A-@a sre 2 denotes tesa gba on generate yal ets of AVA AARNE Maa ony AEAG RE LB, at, A the ales agora yer fie Cartan prs “The nent theorem oem general mearurethery, ad ean be conser (a alex of Faas ewe, Went wont pou “Theorem JOA. Gite (My Ay Pa) poet sacra 2 = TT eee he tee St a pohly Pom (A), and age PLA Aa a Meg Moga) = TT PA for 1.2 AL or X dio Py Py) aes 104, ety dente ts satrleienion 102 lows fo © MWe = (a. Rl) = Xs CCorliny 10:2. Let Xs be defied (QqyAys Pay ech and ety be swat exten t (2.4.2) argon above Then (alors all Independent, ad he oof Xy 08 (AP) wet he aw of Xa 00 (yee Pa Pr. We have Duaae FMB), MENT) Ra tna Wy Thre 104 we have or = 12 PRA NSB) = PUNE HB XU) es 0) = TL Pai € Bo sd the at allows, o Neat we we to dic ome sigan propre findepeene, lp Ay = (Unon A) = (Une) "eet can be interpreted probity ony Ay = “Ay ocr aiely fe, hic ats hat by es ar ate ero This fe bee ‘Thoorem 10.5 (Borel-Cantol), Let Ay bea seqwnce of cents (Py 8) $M Pay) <2, then Pe ba) =O. B) ALEUay tal = O and if the y+ oe mately indent, then EE Play) oo ote: An apatite o (8) i Ayre ay indepen, vet al 3 Pig) Sth Pg) He ty ‘pede ela'A aot ett 9s PU) ha ee ae {hd treet (ho har rye pater 2) 0 Show cat if the sequence Ny mdepedeat then complet comwrgence 10.6 tat po two mews on (FE). [.-F)- rept Lethe ‘Sti ll ars of peobity mens ext) ad) re Pv ely bat mt meer equal tl. Lee A= 2000 (Ex FES 7) iB) fr Caren pests 4» BAC E, 1) Stow that Aexande oa fite messed on EF: Bln 7s Ex FR be oanuable Prowe Pais Theorem: I 4 “Ctegrable.than [fle lv) ay ffl) arene tecily and Fwastable a ere fro [f reananwes (dis Ce Tore 103) ff rate 10,5 * A meat re calle o0 (6,6) ee ext sagen se (Gi) @) © Gti that U6) — Gaal 1) ech Show en ue 1) Cis Theorem Hf 8 x F Re seu and neal tee (pd aad J pn) me psi foe lin ae Exerc 1.4m Fn aE) <2 a oF) < =) fftewarn- fnemeraae 10.16* Ts coln with Pea) p repeatedly: Let As be te ent tht Fr mgt consecutive his otcts angst We te eres 2 1 Sow tat P(A bo} = itp 2 | aad PLA Lo) = Di pel 107 Let Noy NXg. be dependent rand subs wil PLY tlhv Let 2p fly Xe Show that 2 Zp 10.6 Let 5.7" e independent and sppse PCA -+¥ =a) = wt11. Probability Distributions on R We esl son that x probably mwsite Pon (RB) (with B he Bowl eof Ri arctrnd tits drt een Bia) = P(-~.. Detnition 1.1. Lebengoe meas i at faction m8 — [O2e tat seter (i outa addety) A Ay Ay ave pio jit Borel sete, i) a.BER, «<0, thn mle. "Theorem 11.1 Lebope mean i wig Prof Fic < in Rand dene lana.) musa) = MADE nae. ‘hen nas probebilty mare on (RB), athe erepening uy Theor mag is nkanly determin (ce Fae» gen frm ad m(a)= Sp manslA) any A eB cu) ve that nies deter aw o Now tht weton Lebesgue metre nique, meet ow ittPr Te nto Fave (1.1) ll ents on enone ‘Cotas ecole ad nef # ng eno cnet publ ear ny ao exit Theres 72 Th talc to dee m by (12) The eon af cuttble ait aa {Har lia.) =b a well eine a “The tory of neratin tht sete in Chapter 9 vais re foe Lebo mesure the onl aifgcace that rt) doe tg 1 tens al the sols of Char rer val excep Fo the ‘ont at eny toed Boe ncn tele (Torn 9108) Sul ehar £2 c (Morn 9.0). ht are ao le! HE a Bore trouble feign whi i neal or Leb sme thane ata ten | fee. Real that I inepabie IPPs sso and [oye ee. where f= PJ. The Laan iol etme geal than dos ease tga, at whe they ok st the ye ea Delton 12.2. The deuty of w probity menare Pom (RB iow Pstine Bor carte faction tha es fora. € Re ncwade fl tore fronieaaionte — 019 11 PY te tat mf aX ey ft ay Waring: As slay state Chapee 7 not al yobaiiy menses (FB) hve domes Tod, (13 npn that Fe entnao ae tnt all ay sie. Actay (112) mc stronger than out {onthe re ee contin ati tine Finke correspond probate do ot have deste. ‘Theorem 11.8 A posite Bor! mos action fom i the density fe potty menmre on (RB) if ond ony sin f fet ‘hace ein deerme proabily mare, and ey he pst ‘Barc mesure fei Pstch that mf) = a deat for Gamvcecly a proetty mene om (Ry) determines dna (ten coats) ap tt set of League monet sero ler f and fae Oo estes rhs protbiy then mi) #7) = Pr Lt fhe x deity oa butyrate PB (11.3) we ave [tony niem i [oom [ s0si= 0 [to Tins f frie = or he sfc colton ecole & ey utp based pom ‘he tstbonfnetion- Newt ne gies anger ot we et prot ‘ih omy extn to proud x Lt be a nie Bal ine Yh wth Jisyer= For way Dae st 8 we ay= [sm [ronuone ad) “Tin des fncion P= + Fe whic asi ha PO) = 1 tba Ayden agen aeal pain it he read fo =f(Eraae)e ydde "[tenacoe= S149 lyr ming Thorn 92, Thre we hove casable adit al Pia ‘apd hereon I). Taking A= (~m.2 (118) ek ricwai= [to hat P as the nsf ‘Wen show tht deters f up ta tof Leng i ea. Sonpneffe nthe deny fr P Tien wil also say (Ie) fo ee ‘hs dee Py (4) with Jan observe at bah a Phe the ‘Sie dtbutin ison. pling hat P =P), There, echoes fesfia) +25 Pte) aad mA) > thee 'comeadieton, Wa coelude m({/ +e < f')) = 0. Sice {fe = J} Ince to [f'< J} a0 © dcrwes 9 O, we ota that mJ" < f= aoe dS) eT ie ee Ioenaes we sy shat suey" ote of “alot eersteesc 11 Soe he deny and te debuting Fs Finy= [isnt cor tempo cen tat Pde ith ‘Seni Sal of Tis wach pin = whee roan ‘One cm sh sd he ca ead to Kaeo eat Fo ‘Seas datmat epee mere fe tr of / Bu th ‘tmut nan soa cenymbae oui and bo tana gem iment snes” camp, wh the dot exer durin Fs perl dite hc sw tan f= Fee ‘Site of F wre et, ad f= chee Corollary 13.1 (Expectation Re). fe bean Roaed re: eth do tty Lege pte Bar! menseale ncn. Then i integral repaint om intra) wih espe! t9 PS, the sian mse of and only if he pratt fy tate (pa a ner th imap to Llegue mare adn ote ave staiy= fae faerie on Proc Phe ay (125) hele or inion Fate Wy Phonan 113, ican edo t (110i (115) als fr sop sone rear org nog i ye sine nti nroming o Then (115) ley the montane convergeane te Fo eer el 9 = gop and the Slows by aking irene a We prevented examples of densi in Chapter 7. Note al he ex pies were estima enor cntnioae wie bee we oe concerned ‘ith Boel moire densi, Met pct emp fn State {estar out tone late sot drat but whe we pee spe ‘peration arm sibs ith te desis (ua oki en tna pertain) we qs te aed rs seach mowe gene tory Ut ncn Dorel mracrabideetoe LeU be ar. with dns J. Suppne ¥ = gX) for sone 9. Can wo xp the dees GY [it ete) Sn tera /? We ca oe nme “qo cee We Boia with w simple ea ‘Toren HA. Let X hae deat fx ane g bo Borel moserale foncbon LY = 9(X). Then Buy-nres= [iio were Ay = (0: a6) <0) Note that fF x ifetibe, e ctn e Thore 114 20S the oy Example: Le X be uniform om 1] and ke ¥ = fog), where > 0 The sun-P(-Sias =a) Corollary 11.2 Let X have cotinavoe deity fx, Le RL be ‘toacey diferentole whe noreniating derive ene tic ‘monatne) at mg) = 9p) fe ne tterse uncon faa etn iene) Pan Y~g(X) he th dy Join) = schoo Pro Sapp gi ineesing Lat Fy) = POY Sy. Then Bea) = PIX) 0, Show tha sr) = ng $ nth for appoint aeton hy ad 118" Le X be oir on (rn) wd ke Y = tan[X), @ > 0. Find 18.9" Lec X haven desi, tt cares (@> 00> 0, nd) in tr of fe: spi) = SB HEE a(n 11,20 A density fs called ymmeticit (2) = fle), foal (That f Ean eva fant) A random saris X is syincrie if and —X both we be sae dation Spoon haart {Show tha X tar ose ian ent han doe fw sy hea, da ‘init lo onset Ane: You ut my fon a monet Save Lebago tare ston Rots xarpiee of symmetries Sse the te on (oh orl with parecer (0) double ‘xpnenl wh paren [3 the Casey wh parame (0.3) TAL Lee X be pte wih a ny fet Y= hy ad be dest be, 11.12 Let be moma with parameters 9.0%: Show that ¥ =e has 1.18 Lat X ten with debt fet tat onions, Show that Y= F(X) ior, {hc imvane ft Fe exec Let be wale oo (01) Sow Ot PEC) hs dintbuton fon 12.15" Le F be continous data ein and et Ube sir (0,1). Deige Gu) se Fa) 2a} Show that C(U) anda 11.36 Let ¥ = Ln, where iui om (0,1, Show that ¥ i ‘pone! wit prateter 3 by her the station aetna he ‘pote in IU ir 1) thew i eC) The12, Probability Distributions on R" In Chote 11 we ol the spt caf tins on (RB). The tae of distin on OB") or n= 2s, eet aan and me empeatd 5" deotes the Borel ts of int kt te iat by eweatay the ae pro a bl in Tort 21 ‘ne hve tnt Bega by deat of the Se Tmo se tote hat BB 9 8 = BY th yO ae salt alien {Pete by the ns Caan poi! Bh ar 09 Re “Tix ndiecainl dn onion of pay reo (needa oe Fest) >) 1 owe stele toy to carrera Py ing fr 2 ea i for tr A emery detbton facts ae tel Sm 2 2 Wel al ses thatthe dea of «poll tare 98 when seo Inu ry convenient tot, Conteary to dttn factions Os totus fds ton extend eal and exact ns owen FR eit on (at th ae fr 1 ds ola ex). Definition 12.1, The Leengue ewe my om (REY) se def om (Cartesion prc sts Ay ha me(s)=fows waen oan sho mi the oe resin Lbeague mows defied om (RB). As These 10 one mest mat dd in (125 or Cartesian rac ats gu t's ewe RE") a iy wl fl have ruta adie. Tis money is Laberge tare, ed char Rte tn bythe flay snot enter md han (21)the lun” fest A, a prope of ee on (121) ‘We we faite te. ae to dente the nega of wth espe tomy dno flee eh Integral ofthe rode! fl whe 1 8, the once Oe Definition 12:2. A proaty manos P om (RYE) has adensty Fi ‘a nonneatioe Boe measure frcion on RO ceing [pore= fans Fen. fraser ‘Oncor, we wath ewer that ta probate os (RY 5) have diate The ca there the exact analogue of Then 13, al th prt in simlar and ene repeated he Pua) alent ‘Thoorem 12.1. A pone Harel mena fection fon Rs he dna ‘fe raabity meus om (8) of a only ft ste ff nn cse of cnety determines the probaiiy remnant ‘sitive Bored measure fonction nth at tf @ P) =D aie Ae or he ne prodity mean ‘Conersely 0 proaty mensre on (RB) determines te deaty (aien ies) ap toa se of ebengue manure co (se fa J a ‘destin hin ply te mal fF] = 0. wea writes =P mene) or snpliciy, we ow It = 2, Tha it we eric on diction to odo variables tabig ther le in RE: These 122 lo onal fas to Rs n= et X bean Rina with omponets¥ and Z thas, X = (V2) ‘Theorem 12.2, Asse that X= (0,2) basa density fon RE, The 1) Rah Yd Z have denser on (BB) ten be ov= [1 fe [tam — an 1) Y and 2 a nde and nly of fl¥.2)= Hol fale) (dma 28) ©) Mh ora teow defies enter deat on a eer point y © Rach ‘hat Fla) #0 Soo Bein we pone Tne 122 we dignemait expain pst) ove te dentine Jo) td fe) te calle the mary denies of f- Note te oe rane in eer eover hat fem mle the marginals te (Tipe encepton when Yad Z ave independ) The thet ‘ny fof X= (2) peal conan ore formation tha he “The ft fy(2) alle the “ana desi of Z given = 9" ‘Ths cannot be iret erally Beane ze PY =) te ch, socom pelts he pe PUA | Y= hae oan we Iv cy} = 0 Nowetie tetra eure tation me {ws er pa dnote ery mal Change ay The fly)30a 4) Py s¥ Spt dye sZse Srigiays Ply s¥ sy dh fn thie ote Ply © © y+ 2a) can bw amid to be sry pst, ae Pys¥ cyt av. Pysy <9 ran ar|Yep) Srolebae® mess Profof There 12.2 3) Franch Bods A € B, we have rv ewareceanny= ff forint = fof ose = fan ft hi an tt Re rec IprHa, yy wre t{121 sem Samy ot Fe pou ee hevy Supp Suet) = Srl ‘es nv eazen)= [fansite = ff sonaterncne “fj Lataitaleh fi (afal edn = froin fv = Pore aries) sd since AB are atitary Herel sts we base Y and 2 inked ‘Now appa Y and 7 deen. Lt na foew ff sosie- ff pinncowe} ocarecr= ff. susiee nz) e0)= PY eA.zEB) Spy eairzen) = fio 1038 = ff nore ly he Tope. Fuink Thor (There 103). Therefore conti the ‘hon ofall pdt CAB whee Att © Be whe tie attr ae 1 chat unde Fite intentions and genes the leben BY Sin fhe 9 coed ue tesa Hn ad ies, we dle ss ‘Tana 62 hat = 6 Three racers [sincinie= [ pisteee tea ter Tt fe ay Cn 2) $00.2) = fviel 7 OW have forsee [iM “Ro. ctr) pe mshi tin, dy anes = ash Destin 123, LX, et al valu random veri, each wth [ote erin, The comnts of X,Y be defied ote Gini .¥) = (0 — BEX" BOY) = FY) EOIED) Note that £(XY) exe: se 2 and ¥ hae ie tance they ae oh i 12 an There St gs that XY © We ena that vero) = 0, ‘Theorem 12.3. If and are independent hen Cn{X.Y] =. nix. x Pro and ¥ nk Ie hat LN) = ELEC, an he Werniag Toe convene to There 123i fein gel oe Be Con NV) = ie tre nga hat and are depend Definition 12-4. Let X and¥ e to ns bth with fie eros, The ration cole of Nand Yas the number oeiX.¥) oie) (1X) = VPRNY endo) = VPI) Note that by the Cauchy Snare inagualty (Theaen 9) wave leas Chat -t'S p= iran WX aad Pe independ hon p= DU Denton 125. fe X = (%,.-.,Me)be an Rae oom erie, he cnasacemats of Xi > mali whose gener erm y= CoM NG) ‘Terean 124, A eure mati i poie semidiie:that 3 seal ig) and eso Soa 2 0, fr all ent) ©Prof Tho sme sat sce CoFX%5) ot Ran Me) on(X Xi ile Sener ad soce vince ate eas onnegtine wea done ‘Theorem 12.5. Let been Rabo wth covariance mats C. Let Mean xn maine and wt AX. Dn Y eu Read rand {tu covarenoe mati ACA, here dean A reaps Proof The poo asp elation a ‘We tur ou ate Yo fncions of R-raa anwiaben ‘We addr the Slowing eb: eB" Rt Bel Cie X (Kis Xp) wh dels feat the dese oY = ga er te i ith doe ex al? We le the lowing ie SoU ors tt ang sien tne « In Rito Johan moti dye) st yet eG ys) = BLE) (Wha Slay = BCA) whee g~ 10-4) The Debian a at Pont + ithe decent ofthe matty) th soba ot 240 ‘hn 9s inerable on a ueigorhod and he dabei a the vee (a poi y=) thee the Sain a gt Theorem 12. (Incob's Transformation Formula). Lt © be en open Helin Te ond tt GRE be sonal dieretae Suppose i Inj (one toate) av Gand ts Jaen nese eile. The for J smenote end ih Wat the pre fly ponte or mt ih [fines [soenacstne hr yo) we mean: 16) = (VERY: thr ee 2 6 wit gle) — 4} The net theres span aplication of There 12049 the dey Theorem 12.7. Lal X= (Nye) Bae jot deat J Lt eR — ite voting afloat ond asec th won-rnhingSoshn, Then Vik} hs deny "Racing tiny nae ae a de Lt {feo 0 gi ete Proof We denote by ohe rage fg ha i @ = (y RY hae exes PER with y= 9())- The proper of 9 pl that Gis ep set fad chat the Inve felon Ie wl deed and eosin ‘iteetible wth oan Jocdinn. Let BB, and A= 91) gto «= fmt tt ly The 1p wh weal PB) = PO riven [non Se sts woe al Mn = te Im ansog to Cowl 1180 Cape 1, wo can a eat acs whine (Corollary 12:1 Let ¢ 8 be portion to dint esl 8, Se"such ta gS = Sandwich thal (Sy) 0 and te for ach f= cum 8. R™ a jrtie fone to ne) and onan Serentiahe th na-ranshing Jocbian Le Y = g(X)ywhere team Rae ‘eh les Sand wal denny fo. Then ¥ ha a dena een by Soin) = Storie, a) here 5) denotes he interac map 92S) 8, and Jor corm sponding Jacobian are 1. at X¥ be dependent ers, ec wth parameters = 0 at Let cane then buon af (U¥) = (AY. XY).slea)= (et yea) = (ur ried (4 “The Jeon oth spe cme eno ep om (1) hat ‘enc de These fon ne < a6 <2 We once that (ate ah adenine ot ‘nah ech it parietrs = O ado? = 2. Let X-¥) ie it ety J We wat Sd he density a Z = XY Ith cae hs) = tnpe to Rant appar ee se ‘Tore 12.7 We can homee By aig «Spe, Deo sey) = Cen We can wite S) = f(xy = iy € R) and 5; = RAS. Thea smal) — Dandi lneive Bom 8, 1@ RF and gee) = Ue) fam (S06 a ego Ia ht ee ea ioe [rvtoun beetrtpet anemone Olina zane de What fel $y Ten 120) he dent fe le (X.Y) Hea Leao(-24#) sn tte PUL © A) = E(LalzZ)} = EfLA x? + YY) = | [se ites = [frase eben yang wh 2a [see e ob [oe [eer om -f ae? rs = Brn = fino sd ne ws that 2 tte det freee 4, Note chat th polar eons tattrmation hot Be ‘este to it ergs to strnihen ot these argent iv rm Sy = RAV at (9) (0-2 who te tS) = (0) 3 fa Lebeogue meee mw Thi arueae wl be wd who AePole rors fs Supp thre exit Mitta ttn ety) Sy and on, Mats Fogmen!™ foe ff sora ne we dideretinte beh sides wth rnpet 10 and. ae tt entnaoaty difretablen yond J sin, thes et 4 wore Levon (23) Poof taetgst SF attest) enol An example ofthis chiqa which Se wef in dering ditions interna in tata! nee i lon: Let X,Y be npn fa eX bo noma = 0% > 1) ade Yo Gat ( jars ase me). Nee: Yi al the “hiapuae th = Urges of fedom" What he dean of and only 2 2/7 me So Sr tata a Fp) ~w 0,650 (Thin al since sons tht pie esdependent of he see of measrenent fea) $25 Ifo 40, show otha IY aX bis anaes conta faction of X then 126 Lat X, ave nite wines and et (l= ‘rset alice fot of. 1247 (Gut (105), p27) Lt (X,Y) orm on he wt ala Find she dgbtion of = VETFYF. (Mou: ered a eliy 5 Arcan( [AM Fal) Baal128 Let (X.Y) have dst fey Fa the demi of z= x {li Pi a dy (47 wre WY) fF) = Feiame" maicel 129 Let X be oral with dando < an Kt @ be nom on (Gay tint ie 70) £1908. Asume X ond 8 weladepeet Fd he ‘isto of 2 = X Secs) (The tell in Wd! engioering [Aw fe) = she 12:10 Let X and ¥ be indepen nd spose Z ~ of) ad ‘had oth ev ad diel id eae fe "hj density of (210) 12:11 Lat (1,¥) be independ soa, beh wih ms ‘arene 08 Le VFS an ‘Shu at 2 sa Raygh sibuson, chat Ws waif (— §) aa 1212 Let (X).--a) be rand va, Defoe a sroant), Zews inst St 9) Mp leg af Nae at hi random vibe, abd YS Ye < - Yye The in rites oe the nem he oes th ose ange ‘on Ty cad er set ont al Asse he Xs, wth mon dest J Stow Ua the joist det ‘fi cde ttt by y= {QTE em cmc Fay x eae 1248 Let (Xe) bee ur 0 (0). Sho that he onder tate hs (Nghe) Have des fioade{® Segpses (Wit Use Bsa 1212) 12:14 Sho tha (Xo. Ny) at Ll wt oon dey fan die ‘enti foston Ft Ny fee Esl 12.2) ts Soin = (2) 4001 FN FO 12:6 (Slaton of Nomal Raton Vara) a Ui, Ub two depen heaters (01) Let 8 29U) dee =~ nC). 1) Show that $f an exponential isbn, a that = VB ha aye dsb by UA N= Heowd, Y= sind, Show tha Xan Y ace independent (Ui Fr pu (el tga expences spel ewe of « Gan ‘lbs indo. ex Than fo prt (b) reese the prada of There IAL) "emer: Exec 1213 nthe Bow Me tb er lating ata and vibe,13. Characteristic Functions Ie often risen tntmtls that ne ca sve problems ar oan Propet of mathematical hes by transforming” then at suet ‘Two of the mt portant tansems ae he Lapin tar he Fewer trav, We thecal ae wily tot nthe sy of ‘riletn th ae as etracrr teal fo the wt of Probab. eye be do nao rata sine (eg oem ‘Heir nonvat) nd theca to Gn srw ees ree ft Teton we a) fo the soe prot fy © RY. That bi = lest) ad 9 yarns hen eu) = Sen (Tis ten wien at eal he “ot preety Cl courses) Definition 13:1 Lette a probity eae on RY Re Rrrer tons form i dente and function on R gen by a= folate, 11 the show detinion & noes the saute rot of meptve one (= {=D Me itgzte the comple volved faeion P~=! wen, Any ved hee, ace wee ol) ine) usa) se pre ew 1. The ting) ei i ‘Now, both functions — co (a 2)) and 2 — sn) are bounded and Herm aera nthe oma 9 Deb | ee ate fonts fame)Asatte fat ll ests of Chapt ofr comps fctns| Io iy aking separtly the Yes and as prt These ruts wl be ‘ed witha fre ation in he seq (the ely role whic more eit gp in the comple cme that | ah © [af he mec. Destin 18.2. Le X be on Rnd endo rl Hs hacer fetion defied on Ose exle) = £429), We note tat exiay= fone sany = Fw) us) ee PY i the dsibution measure of X- Thrive eatceeefe Unset hy oe alto Faro tear of bby rladity measure, Then «Boal oe vant feta = fr Merson sre fora frat aly tos testo wih ite i Th ae tera the caity lows rom ates omit emerge "heen (Tees 1) = Actaly one an show that je wformiycomtiouos, at wed trad ‘Theorem 18.2. Lat X be an R* valvt random varie and spose E{XI*} = a for ame ileger "Then the shretrinbe focton 3 of X hat contr patil Seria pt oder sd om Kiet. Pr We rs ln rma {Ke of poy moar [Tose the een, snp abe a be PS the dari ae Re of X sn (12) Lt probe nel ot Fal ee fe} =f egal [own ce ome ot et cts Jones EE SC Ben pa leet Seema eee he roles can be zal Etats foe comer i ined fhe ep aa hi eh nt cin 9). Th nace of ata = 2-1 (ee 5 te J ‘exrdnnéeot ©) converges oii ob ferent lds). 89) +4) <2 festa ex yr topes, Three thy Lebngie's domed converge re (Ciera (9) we hav dat (133) conor to ifm wd ete 1 foe oo “The pron thatthe pri erative (184) above comin is xy ‘hese a tht oT 18 a An immediate appation ofthe ane ase career uctons to-caeltethe moreso adm arable. (The moment of av. ES E(X#)) or the Sat two rent by fr Un ost portant) we we ‘hat fr ol an (by Tie 132 BUX) = Wey(0) HPBUXY) <0 uss) BUX) PRO) FEL) n sa Then esaxte) = ah en (Ata Jor lw ER, whee A det A trope Prof On ny vers tat on thea ang expettions of bt sds ges the ee. o Bxamples (continued) (6 The Normal (g.03): et X be Nua). Then ame easly ccs (6 coe HL18 that ¥= 8! Noma (1) Alene, ean be weiten X= oY, whee 0.1 Then wing Thee 13 ad ‘ample 5 we baw 2. Te Benen (3) Eat Xb nl [lomenas exis) Aor seating ee ee ut hint mathematically gros ean ets bo ple, * cntou gel ing cope tala Ante method all Tes omy to dk thatthe neon spat Aen) ate rig vet) — ts, are tate ef a a) apc. Ta ten) oa sewer | The Gamma (0.3), Ove can sbow wig contour intatlon a the rede there i the ther of emapes trae tht Xi Casa (o.2) thee ‘One canoe cake the carter feta of « Gana rida Saale witht tng to coon eration set Exec 142814, Properties of Characteristic Functions ‘We hve sen svt examples on bow to calelate a carter ton shes i invari Ey we ave expe tow {be nt we ned to ke tat knoe ofthe afr cartes ‘Re ditsaon that se se to fe Te Poo! of te nest thor te ‘hoop 141 (Unkaanens Theor Fre wo of Prot Lat flat) oF oa Fo) =emtern, Then fs) ite dee of X = (Xo Nal mae Xyb N10.2) fo fact (2 J =n) By Buanple @ 0 Ghaper 13 and the Tones Fabi The = sew. Therefore KoNext supose tat and ae two probably meas on R wih they ‘Se outer y= sje The [teeta I rea [eee ct) a (te ede wl he ht oe ca pi ais hem he) he [ovine =f sent forall 9 © %, where 7th vector space seat by al faction of he farm u> feu). We thn an api the Stoo Woks horn! 1 ahi that 9 das i Cy ue rn comeracce where Cy the et ‘funson "ving ot 2 tha Cy conta ofa cat ais fay oct Kin 2) =. Werte bean that f.somte)~ fete tg Sn ete htm pen cn wt ee Pay he nC Te (ee 2 nl), lopen te ACR ehh mens = 0 Coroary 14.4, Let X = (Xun) ben Ravel random veil Than the read r's(X;}yem re eden end on exo cote) =] eet0 sy Prof the sepa ae dependent, the {ees} “te te) ext) These ‘Nest euppest weave (141) Let dete a of X on ad, hoe the wa Xo The fix = 064, 99 82H ul ete by Theorem 14.1 48 have whe net to independence 5 Centon Ln hs, hving 8) = Ht (0) fall isnt eng the eX, to dope,Exercises for Chapters 13 and 14 Note: st tse exes ee the use of cantar inertia the re thoes ern cml alae Thee eons ae ge he embed “2 Mi Let fe) = grb # Cony deste 8X. Stow tat ext) ‘by intgrtng around iil wth ater [7 othe reais to ‘hee he pt (70) 4 the pate 70) ee Che el a 242! Lt Xt am ith porter.) Sh wing or Edeaten tt poe) n ge fits he canear ree den ‘hea ofa 0 td ey ee seen i tne nt oir Peto e 7 ma mp ie rst) Oe ee ge ees belt ah hn ed aly aa oe) 14 Suse ENP) Da ain the domain of eto ots TetonsU6 1 Proprio Chretien 4st Let X telnet parm (.). Pl the Mein re fer fe Beene 1415) Ty(0) Use this al the laerition hat Ty (8) = ELF) to cate the 8 momeas of the agora! dita for 1438 Lat X be NDS LAH) = an stam) = 28 = anya. 148" Let be NO) Let y= BI Laan “7%, (Ment: Complete the square in the integrand.) 2417 sates vn Ege 46 tran te dancer he ‘ont te Nome] = jf that oo a hy hey pe ‘Shoe that AF) =" 1448 Lee X be Ny. 02. Show tha Y= SSH .. 1410% (Faber (9) Let X be & Gamma with pruneters (2,9), Ooe ‘an euelare es harcore anton wot wig canter ‘Astuoe 3=1 sl expand in pover mie Then show i Page $F Tis St [eee a show the nol ees which us to 15. Sums of Independent Random Variables any of the iportane was of Probably Thr fo fom the stn of ‘ome of indepen random ete. Api xp xy Statistic Ate perform an expen epetey ad indepen the the “erage wie? bowen lB "Swe X7 epee te etc of experi, Tz tt called a estat he en of ec ‘cae ty. Stata hery ste when a bow) F conve a {too % Eso ore meso tat# tent yar testo 2 we ao ed {om hum lagen sl e ode ob ramon ue tat 3 le {0 the tte value pth ger) ae oe re ‘phi qurtion tnt wie ewe bat the poet dist (ghF we ex ir th wnat Stbaon of can we pst Ho large mln be 0 tne ou apteiation I siicenay acute? 1 tes par intrmati abt, ow do we ea Hoe Upon ot ‘Stitor 7? Even ta bein to ster nn of hee faery neta ‘Gunton we ol o sy re of odpende random veal The 8 te Rnd i, Revi wae PTT wt ie Payne ana comthy= ffratesaentdowrttn, 030 Poof Since X and ate independ, me ow tat the lt nbn OFX) Bae 2 py Tee r= [J eae din pct, ig 90) = f+ 9 syexern= ffstessnatewridn, 082) trey et nen fen ee eg efi a ra ai818, Sume onde Rano Vara | Rome 161, em (5) ae si orf Bad a= [tomeents= ff essvstens) ‘Tove 16.2, Let X,Y be npeent rl valued radon series, th ZIRE Y The theca tn ee ri of on vale) = extwrevte Prof Lt (2) =! and we fea (12 oation: 1 Z = X + ¥ the proper that (0) ~ exter) fr al Rist enough tense tat Nad ¥ ae indepen ‘Theorem 1. Let X.Y te indepen ell rondor aralsand iezexey 8) IX has 0 dest thon Z has deny fe wnd moron: 10 ft wi ees Jie nniie= [nc Pet Open eee Tae sao)m f le -vowt ee py) =i an ae ey. ge roles of Xap Yess ely Tey Thea 5 hve ft ae watts {frscervnnteten = { {frac nantes} tan, sean sual serovar a Net kt eed sponte i. "Theorem 15-4. Let X.Y be depen rel sled rn arias a are oquare see (Oa ie BEX} wad EV) © x). The obey =k toh Proc Sace X and or inde we bave ESV) = E(NYEDY}. ad (0) 2E(AY) SBOP) (BL) + EO a a 1. Lat Nic be tb. Herel (p). The ¥ Bice We have en poy-6 Ex} Sess Seem 8, = BUMP) B15 pF = ht) ‘Tarn ty Thor 54, oh = Sek, mt ot shat thao mato of smpating the ace peal 0 ‘xp noche drum oF heh tn gv fo oe ing oe a Bo =r? ("ean ee X be Pion (3) aml ¥ be Pinon 1) and X ae Y ar inde ‘dau. Then Z = + ie abo Pon (hg). Ines, ce = py ea = eH ae ent which the carter fein of oinam (2+). Pine 2b ‘Posson by thease of character anton (Thott 1 Suppose Xie Binal Bip.n aad Ie ini Bp mad ¥ Inve eae Let 2 —K'4 The ence120 15, Sumo fend Rao Vas ealo)= (22 418 poe pa = pe? HLA ich the characte faction of « Hoa pn +n) bane 2's Biutial Biv) Totem 1k. We eid ot realy aed horace fant forth ess ply ote that rere thi eae ae bd, eral The St Hae the he nee mitsaetbe ts) 4 Soppone ream Nao) an Yale somal N02) ad an Yarindyende Then 2— + inanronl Ngstesa! +2) ae pie gale) women gees guns eh the chaste fet of normal uct a2 +) ad sre gai we Teor 1 5: Let X be the Cam 2,3} and ¥ be Gamma (6) al supe X atl Yar indepen Then if Z = 304 Y se = pr a hrlre Beet GaP O—aF ~ ae niece 2 has the carats anton of Gan (a+), ad hae Uo Theoren 14, Ze Gamma (o + 8.3. 6. he id he ay‘ wth as of redo (deste xf), abd we cred tat Xo te Sesto ea ot a ted ten A 5 Ga (52) arbre Xb od he 2B Garin beck eee ED waa Wenn att Ng then X= 32. 2 in dtibanon, where Ze. N01) ets Exercises for Chapter 15 1541 Let Ni Yo Dladependea dom ysl and sume BX, wed HG) 20 eset} sm be Ext wea (an ae aha aan viable, Kno a the “sample mean an he “spo wlan” spect) Show that EB) =m, 1) ware = Bs Bet 12a Xo Nanded ihe asa Lat y= SP Sh tin Aan ah 21S) sn theel, =o%/n 1558 Stow that Xa ate Ld, tae sd des that i, esto) = Cea were Sy = EP %5 Prolems 4-8 nee te rammaton of non ube of dependent random vara We lt Xr Be ante equa of Landon. Sree ad Lt N be w poste integers rd erie wich be nape fr the eens Pete, Exe and Sean tetas seth the convention tat Sy = 0 FN =. 1604 Foe Bo oe A how that PiSy €A| N =n) = Piss18.8 Suppose (8) < x am B{|4} ) LL 1638 Log Kipp yb il Nora No), Le? = 15.14 Show that [622 = 21 — ate} <2 fall 2 © R. Use tino show ha ta) © eX (ai 1a > Daud tease fa — fe alle Reals 15:16 If giv» eamcterii ato, sm that one ho, (in: La 187 Lat Xion be independent capone snd vas wth Sarateter 3° 0 She tat P= Ste ke Gan (a.16. Gaussian Random Variables (‘The Normal and the Multivariate Normal Distributions) Les tcl hat Nora ann vale with preter uc), re IWR, se ee 6.) fle)= Sock insiaton ely denoted 97) Fo conven of tata ‘sat! he cla fm dst ocd the partes € Salo! = Os fas we wl dente ty 0) the iw of he conta Xgl toy (te othe Dae mace st pot) OF coe ie “Git M0) fo des ude we sets sea generate moral atotin, When = Oana? = wey tat M101) elie lander! Normal detain * ‘Wen tear eth dgbtin Ny. 08) we wie X 2 Nig 93), oF sharnatvly CCX) = Nig) hee Cae or Sow thal te GLX Nuuet) The hacer eh ey oC ae 1as2) ext) ‘When 0? > 0 his ume fm Empl 58, and whe ets ea aso tnt when EX) = Na) thon BUX) Va =o4 iss) Ac fist ance it might wea strange to al a dsstton with shan ll ppg Seni “nrua- Therm ft tides bark to hey {3 cerry, wie the Bt versions oft Catal Lint Theo appeared te bok Tacs Bernal (1715) Ae Mere (1718) ‘These ary ‘eee CF Gane Ine ben of the ane wrk of Cas ‘tal and vib are ten led Gearon rnd eb tle Erne 10 Detach Mark mote a era hn eof Guo ae Soup ad in hme f grain (i) whi eee othe Gone ‘ty, (This se of Prat Toe cee, eta epi he tess of poy Fic, dppented ow ht he Mar ie ben replete Fa.) The Gain ers of he Cel Li125 16 Canaan Radon Vb “Toren con he omy interesante sans of Lis ado a ‘ies ae approsinntely Causa. Th gute plea ice one te {ole sie ning boot the ntl inten ome ning to ‘Sele i um aponately Galan Falls went that Inter Pos iy i mach er fo Ba ial pele the Cental Lit to tent hl this fa trea neta to nah Sats) “They tame oe ons perse Gib tructaze rs ini Inpetdnan the “sal” mute of thst In Satish en 1 Re nape an iho trn mates Gein den vce buch ner aot al wbgultons, bose normal We teat he Catal Lint Toe fa ‘Ginger 2, fe the gone bsg the Gat ands ‘asthe tha wi rine othe ating dsb For re-let aie the dion C{X) = Nin? bs hier eta pen by (1) fo!» anit X= SEP So. Rac aa Rnd he det thre ie a ren "ut we te asta ebing the lv of ran vals ttc aise ‘Tinie in he Caner Lin There, a hs cl mre cost Definition 16.1. An R-rated ranorn varale X= (XiuNs) 6 Gain for Muerte Normal f eur wa combination Sy, far oon Sola pay ana on beth the dstrnion 0.0) shen, =O.) Curate fnctins ae of belp when stg Gs ao va ie "Theorem 16.1. X i an R-vaand Goason random vere Wand only (Ve chorartvae fn hs the form ext) (asa tu) Jaan Sark he Sand me Fh ado ema kt omy Bk el’ Pr Sain: Spm we ve 58) Lt veStane ‘se a tinct combination ofthe components of X, We nol to sh ¥ is (aii) suena Dt the B niy=extm raf) Seon} a — dy uation (162). gy (e) he rere Fnetin of «rma Mitr ta.@o)- and tie by hoe 141 we ave ¥ fn. (Necesity Sippove Gain, ae y we tar combination of the components of X. Lat Q vance natal Fea FO) = ln) were sie) ao EX) = po, 1S4-S sa ao 0) (ae Tha 124 Sc ¥ ri pty (13 aa ore =a) Seaue. ertt) = aa) = Eleaoa.X))} = exo se me have ation (16.0, a Notation: When X is as nthe either, deat Nig.) ie low tsdepes a tet parsers the mean vectors. he ear which we av sent = E(X;) Far the matic Q = (Qa ‘ierentacig Eqaton (164) bead ting Therm 184 0 San BUEN) = y+ Qs The we sce that Qs = Con XX) Xi Xy be Reval independent randoo veal x tv 8). Tha X= (Nye Ny) # Gas (he, Marine Noa) ay to veri ice extn om) = [Lente ly Crary 11; therforeexw = Th ee) (Ee0 ie mhcdes hse = (sta) bd @ i the agonal mari of 8 a Sine (inthe fr (15.4), eka that XU mle poral “The comes of arp alo tac ‘ormpencs Xa tpn and only fhe svarionee marie of ‘Proof Exacple shows te nec Suppose then we know @ dag “ ot By Bato (10 of wen 161 ftom hap fear Tesi. ent tee nt) = {on Soe} Cit 1 ge ht te 1 re ey a Sat tase Btn ‘Te pt howe hn ttl’ Gasn rn wae Mi seine coarse rin tea tend oa a ee eee eee ‘Theorem 162. Lat X be a9 Rvs Gousan radar erie with tne vector The thee ex ingen! Normal random waren, £))= NWA) A, 20. nda erthayonal ari A wach ha = + AY usism, Important Coment: We have aumed in There 16:2 hn 4 2 0. Some of the 2) semen tae th el sr I hea ha Y= 0. Tins the mer of tnkependene nxt adam vai ee In Tiare 16:2 ea beste at abe as eer of era enipnent the Gaian #9. of of Tear 1.2" Since Qt a arian mar te apm oe antoe sean nd thee alas est a orthogonal mat A ach {hat Q'—ALLA" whee I dag ateewith al eto nena (tec tat an orthopna mate a nese whee the ows ors) fensiered vests ae orto: hat they have fea or aos) theo te set prouc of any to the eae (he hey ae eto amt) A ane the tarp of entre A Since 4 non hen y= acx—n) sary = BX) for X; the componearofX. Siew X ss Gas by Typos we hve that ¥ mut be Caan too tne nny Heer i [EC apd heres anisite na Meroe theca att oY Ie QA = the sgh afer dingnal mtr Siace X= ye AY eee 3°02 4) eae prove the thor 5 Corllary 18:2. A RP Gansian random sre X has deny fon'R fond only f the sonriance marr Q i moment (at thom dre nt ent otr ae Re ach tht Qa, or ele at digi). Pr By Tee 16.2 we ow there etm ndepndent normale. flows M04) (1-2) Sm) eh = UL fra bp a ‘4 trae(Q) #0, tat hve Ay > Doral) (= j © nh bone de) et = Te Se 8, > 0 um £9) = N10). bow ML aa ey et br Tego wo Th by sac X = 4 AY, we deaf Toes 12.7 that has the eitfxta)= as) Next suppose @ x depuerae: hat et(Q) = 0. The tere nit ue Rha Zb mh tnt Qa 0 (that the hr oe nae tar th een Qi evn). Therm vate = (0X) Isa Saviano eat ae) =O, 8 acu ap) Terre Dix € H)'= 1 wher fiom alae hyperplane orhogaal othe eter @ fen cotunng the sector phat eH (re Res Gr pooh = 0) Stace {he dimension of en ithe reel Leben crite of! [pier dee 080 rece m= ff sei Mme fanny dg Sect Hse oe Rain 163), Be (160) cat Comments Coral 162 shows that wk n> 2 he et oral (Gas ‘St ott eto arable tel dei (wenn ral ‘are veer conse orth det) orn sace (we al ee In Chnpes 21) thee rune vier zi te he Cental Lit ‘There, ty oe poral sod canoe be ioe. Th ee te In dene Gatun radon risa (fr samp) ran aie eg die of he omg in (165s adeno nod nt caer An clementary br ports propery of sated Gaui anton vaca oon Toeorem 162, Lat X hon Rte Goason random ara and et Yibeon Rated Gossian rs IP and ¥ ate seen then Z = Proc We tase “ovale we uos WER, ven”: ne ‘s00} soo ftom oes “ e-( 8) ‘Wen that rma random alas X,Y we wcrelatait Co (XY sce (ov X.Y) = 2187) BEET. thie iene eo sing tha {XY} — EXYE(Y The of cote be {woe f Nand Y we ladependeat (Toten 128) ahd ss XY pudepeaent lng at, are encore The sven fale ene ower 1 tow ft Maite Normal (or Gunns) ese. saps od ‘etl at ‘Theorem 164. Let bea tad Ganon rani rae To tompoets ; ond Ne of Xe endef an only if hear co ‘oe. Po We lav aeady sc th mest. Coane, suppose that X; wd 2X1 we wocoreated. We cn conser the to dines! rapa Wet Dyin wath = Xy and Ys = Ny Clay ea tet nord ‘wear sow CV, Y= 0 by hype we be tt ee cova aaa ¥ igi an he ere relat Cals 161.2 ‘tat of single avr reson) Hee one hao arb, 11 © my othe at Yratante, (sisn) oss sehr 3 a, age al constant ad rom ables. A exe Io st the that one ses aloe maka earuement ttre Bac ft Ctl Lt Ter (ee Chapter 21) ane fen fsrunes nt Crtcey me a site sonal derbuton, Poon Berge at Cat we call 2 the pect arta gn ram) and we al the maps ible” et mane that fe) =O | © Tho aig expectations (us7) we tae BW} =a 50 6s) ‘Typ one wishes to ean the ature of the aca ition ewer ae _Aithis woo be obi ie mere ot pret to sci Tatsu od nd 9 by oberg Yan trong 1 ‘hen 2 also NO.) (ce Earl 162) bit ¥+2Z~ 27 yy which | sat sel sine espe) PUY +2 > 2) ~Oand Vt Ze ews ‘Sun tow comeant Terre X= (2) saa Ela 2 wc oot {Gita ee tho et compos area ermal oe Gi 1c worth cmpsising tnt the Malini Normal seal pial properties nt shar nga with oer debt, We been tt Component sc independ if ely they ae une Tiong oth une dation fy a the veteran ata A-Gastan with an NiyoQ) dstebutin with @ verti ca be cn trance ita (OL) (Exes 166) that ar 4. The dete i nd nl the eae ta nenderorae, sing snp cern fo the estes os dest aly ‘ein a ako eal (Este 1810) ‘These sx properties dow a vearhbl aby inbrat the Mal seve Neral, Thee remy ere spectre of the aa ha me Teint one that eh eal dation doen al oxi ature Travis vi tig produ he Catal Lint The). Iwan When one ms for example tbat che bets of tween | tym tbe United State tenors tte mth mean gtd rans lc any mean tt inh emerald ily pov poatalty of ding own tat ere of acpi ht nd ‘ev of fg on tle than he Stare Tomer in Chica Sic rots ae ‘fu eena we do tor have & comrade othe tar the nr “btebution bed oo exelent apposition to he tae dion ofExercises for Chapter 16 $0.1 Le € RY, 0:40, a we RD. Lat H be the hyperplane a R ge is HER (ema) 0) Show that ml ff) =O whe my denon! Lege mesure, a fd hat fpfionten [oof Hevea Sosy for any Boe fein f00 R 162 Lee £(¥)= N(.1), and et a> 0 Let meatier. a {ans Sew eat 02) — 8101) a at 3 Lee be N(0,1) and Mt Z be independent of X with PZ PLZ ==) = beta Y= ZX. Show 1} = M101) bt ha (X.Y) ot ‘Gatsan (1, bot Marae Nora) 3644 Lat (X.Y) be Gaslan wit a (ay) acon mts Q ei dt(Q) 0 Lit pte the corel concent con(x.y) 1p the doy of (9) ete nd lt aaa "2s px) Soe tat p= =1 oF = the ee dems a (XY) de ot ei 16.5 Lit pb inbetween —1 an 1, ay, 09 (= 1.2) bg, Comer X,,X: Noma ith ncn, a: vas ff and ateltion .(Hit: Las % Yebe tad, NOI) and wt Ch = % and Us = 9h + VP Ye Theater ky ea O12) 16.6 Soppone ¥ is Gain N(p.@) om RE, wit det(Q) > 0. Show eat {tees nati Bach at ¥ = BX) bast 9.1) des, ‘ne tb iets te Spc Note: Thassos that ey Caan ‘ee ot dene erence mat he ord 17 Ue X Ye Galan ye Dans ne A= (Moa) Show ak Ye mite) whee we Suees Yamane 1 U(X.) bette noma N,Q) ee = (sin "") so phe elton ccc (<1 (et Q) > 0 Then (XY) ne {lay sow arte send dy Pe) ey ‘aria nr with tan py (enix) nd vrs 90 ~ (elton 22), nCor(Xi Xe) 106.9 Ue be N,Q) enh = (Hand @= (3). Fin tein disaaton oY = Xi + Neha 2 == 0. [seme frat Zirgon| 7} 16:10 Lot C(x) ~ (n,Q) wth el) > 0. Sow Uae the conor Arta of any ante o corte of X, ing the ober, ee sho malta nrmal(# heuer 122) [This Ecc generale Bx 16:1 (Gut, 185), Let (X,Y) have Jit density fase tes) = cof 23047) re cs wn at f dy: Show hat J aot he dae fa hasnt cma ut that fanny) aa fy) a each orl desi, (Testo thn the enema 1610 dos met bl}16:12 Let (X,¥) te Hite Noma wilh creat coat pad ean (U0 Show tat ph then 2 =} Cary wth parameters anh 3 = $8 VT= 9 (Note: Thi ret arated in spe 12.5 wie ad wee inept) We once that the rato of he cenfcredBranite Normale ea Cathy 10,3" Let (XY) le bite ral wth an 0 an alton et coud—p O53 PUY <0} = (lin Roca fon Esco 12a 2 = Fad ope Paw (32 Leta = Arainy (-§ < 0 §) an bow Bt PUXY <0) Wnt Arta = Aina 16.14 Let (X.Y), and p bo a Ese 1618. Show Hat PUX > oY >0)= PLY with Xa Show that (x wretor a) 2048 Lee oooh. O02) a et Saya Soy and 9 = ‘ecll Som Bserse 15.15 tht nd Seinen. Show tat $are$as-n sa face that (9 ~ 18/0 bw x3. btn and hat 2 bas Xf ation 10.10 Let ea. be bh N00) and sappone Y= a= 8+ en VS Em Sappne a that all's se at equ an set = 4S 9 We ‘tne sarconon iol tobe 1) Stow that B(8) = 0,14 0 Sh that vewnne( 2) nF, ae Sta 2) = tt Se 1) of en Bd cre Sac ay 16a Let ec: A, Be? bean Exess 16:19 and 1620, Show tt (8.8) a $ tte,17. Convergence of Random Variables tn anertary maar our th a Cale) rept fh on ‘ae of ft J Rmn RH i Ju = PHD J) {le} forall io Th ald pono Socrens of actions A a de ite of um mnt (12 a lt ap fr86 €0-X if ity Nols) = Xs), forall w € 72 This natural debnition ‘ring ie poi The epee a at Bxample 1 Let Ny boa Ld. sequen of adam vrais with PIX 1) = pad PUty =) =I —p. For example we annie oi iy ‘alc coin 0 that p> 4) rete, al (Xy~ 2) coreponds eo he 2 ton an (y= 0} eorpnc t aeo tn t ‘he "nr we wold expect dhe proportion of hed o be pts woul sone ml tat ela on proebyufhad Natty ewe rt iy SOHAL geanen ‘isso docs not hae! For example Mt oy = (77. he eo a tc Ee More generally we eth ee (ont fae mame of hats on). an tS ner-oeeaved ly oa hat he et Ay in see tor ec Marre maida ies See iatttae Atcnao‘emt This ype of comrerpa fr ible, wae do tle ore one frail but to tae smerpene fr almost a (Len the we of 2 ‘re dois omega poi nee peal rhe {Caveat In ths ate wil seth ll radon saab re dei fe pve, Band probally spre (24D) ad tbe aly Bo ‘Wen dente by the Econ nn of Re Defniton 17-1. We sy hat sequen of ram eae (Xa) co ‘erg elincet sly ta random see XW = fo aXe) € ep Har PO Al at the tale ma to gee nN) = NL) sa thn fe |e hve ge an exampe of aot ste cocwegs om os tl cog is detain whe spn cere” rl pi fle tlt roe {ts ote types of ener, Tove he to fy of soergeae la ‘rae naturally whe comergence als ad they ar lo el tol Defntion 17.2. A spun of mndom varias (Xs) ennerge ia LP (0X fhe p<) Ml |X ve i Ean in, B1U%y — XP} 0. Alternatively on sayy Xo cuvegs 10 Xa wean, and one writer ‘he ment npr cues for comet np me ae when p = (ELS 52 ge as BE = FUN XeAX implies BX} EX) and BUN} UXT. (17a) min when XX op € 1.) we we ae EX) comes to UN oe Ener 17.1 fr the oe p= 2 Delton 1.8. 4 sequence of random varias (Ny) comers In wobabity to ifr anys >0 we hace Bm P(e: 1Xle) XUa) Px. -X1>0)-0, nd dent » SOx ig the esd defnton of «ty one cold ake ay that Ne tem to Nin poy fr nay #0, ay ® 5, thee ea = Nie) such that Pile XIo edt Theorem ATL My HX yond ony Proof The is olf generality Wy tking X= Ths me wan ow 2s fund oni tenn [GER } = 0 Ft app that X70 ‘Den foray 0, iyo PUNa| > 2) =0. Noe that gag + Agric Mince +2 Ha} se tunoabte=rual>ate Taking iit eewee(eea} sce on ei is EUR) =O. Next supe iy Ef 5) = 0 Te anton fl) = 1 ett incre. Tere pEcturon $ Btltgaane ¢ BL, Teelorea Saxe = eT “akg expectations ad then nit is Eoin mtn >< ef Since <> aed we one ity PX rr a amo Ex Meise Xp) +0 for defen fe} = py. A cael exanition of te prea ows that Mat optce ML my ftom fn wc bom Sy ngsing =), ions nn a 0) = For expe we have EH HB 2g] A) ada a Bfarctan( eX) 0 “he ex hese hows tt enwergenein probably the welt of ‘ho thee typ of eommgence (ay 7 and probaly) ‘Toren 47.2, Lt (Xo) 91% 8 bas st bea sequence of random varie then Ky PX Prof) Rc ht a eat 4 A) = 05} mee POS X12 4 Le (ite XPncmah tance [ay — AY 20 ates He ean pty dop the Inet neton "Te fe standard cain seta ad ay 2% XH ‘Te nt prs os to Om ed 2 (fd ¢ > 0), whch oe the rae (0) Shoe ERE © 1 also, we ae by Lees Dorit Conersace There (0:1(9). We en apy The ‘The convene to Thorn 17.2 Sse tras nese we have to path cenverc, Theme date Oe ocr the ela th serge “com 1, Supe XK Th Bare i em ch Prof Sine XxX we Ive tht Btn ELGAR} = 0 ty The om 1, Cows 9 subaques ny sch that E(GER A) < he Tie DEL Bl ghee) < oc andty Thr 92m ae tne DA << 08 sins th rer tr fw comerget sent ed 46, coche a Remark 17.1, There 1a le be prove ly spy wing he orelCantli Thar (Theor 10). Beam 2 Xy © X de su mrs iol that Xq ces to X tec. Hs cape be = [othe Bore eo ad Phe an robes eo (Phat ja Letene sre rested to he eral 1) Let Ay tw ay tee Or Ig an tke a =f Then US| > 2) = ale on a 0m dee tha Ny 0 (at, ede ables Nae Shaina he be te carats eral 2S gh 2g men {sah ie moth Kyo a ty inNote that freak ea every there exe sc hat Xl ‘Thwihre hss Yin = tw inn Vg = Oa Cle the the equ ec dove not cong a Howse Yq th ator of sera! whim length ay sto De ns 30 the ence Ny doe "The wend partial omer of hen 17.2 8 lows “Thoorean 174. Suppone Xe and ale tht [Xs £¥. all, and Ye Then |X| eB ay EX Prk Since E{\X4P) © E(¥*) <2, we hve Ku € 17. Far > Oe ve (x1> ¥ +e) (XI alte) |= [Mal >) EAN Nal > 2} ence PUX|>¥ +2)< PIX Xie) sae hin tr fr cach me ave PUN] ¥ +2) Sag PUN Xo > ty hops. Thi torch > 0, hee roxi>¥is tin roxio 3 omy wih we get X) SY an Tre 6 1 to “Sopese mo tht Xy dor oot roerge to XL Thre i abo geo (a) teh at EN, = XP) 2 fora anf soe 6 > ‘he begun Ny tol coves to tn rab, sy Thre 1 adit tr asbnquene Ny, whch comer ns to X- Now the 86 Nay, = td as tae). whe saying sales than 2 sy Vegi’: Donat Conerpone we ge thi EX, ~ XP) —0 ch carats the property that EY)Nq, XP) 2 = eal bee m “Th not tho lotr bt lute weft ep i hootem 17.5. Let f hea sotinau function 8) lity No =X ee iy f%q} = 108) 08 By Ware Ek ew Hg) 2 HA r Prof (a) Lat N= (0 + Iby an Nala) # Xlo}hs Tham PEN) = 0 by tet eg, (ba 1440 = 4 (gate) = 28), re thet suai by he comin fae hk er ny TE and POT he the dice te omer, (0) Rares > tw C60) F100 > 29 FU) = 90) > 5181S AFUAN > BE 72) Sloe feminine on ny Ronde te ‘Thai oor e en, te tsa > eh tat te) =) 22 ie ey bes dy (“ET ene it (WU) AX) > 6X} EH) [NaN AIK) EH UNA NI> 8. Combing thie wh (17.2) oe AUC) FOO AF ENN] aM UI] 2A. TS) sing snp subavty(P{AUB) < P(A) +P(B) we btn om (178) PUsla)~ HX) >) 5 Py = XL > H+ PIX > Horo (IN| >} tends to the ey set mt & erento ae 30 limes PUX| > 4). Terre fry > we che ao lrg tat PURI) <>: Ome ks hed, ota the of (73) and tie (Bi, POU) — F001 09 fin PUN = X12 ‘Sines 7 > 0 waaay, we dee the es 8Exercises for Chapter 17 B71 Le Xu, be sen in sample 2 Let yy = mb Xa Let Ya bh enc ina yore th 2, 2m dae ia Exar 2. Show that eens to.0 im prt tat tat ghar de oat tend to 0s though at My dong to 2 172 Show tt There IF) fle in gear ff not mae 1 te eons (His Tab (3) ~ 2s) and te Xs tending t0 0 potas) 172 Let Ky be i randonn sre wth P(X = 1} =f and PX Tif Show ha eaves 0 Oa polity: (in Lt Sy faculty on PSs > ne) 374 Lat Xp ad Sy be wn Baerve 17. Show that Sy coves to ero a fin: Show that ize, Palsy l > e} <3 A ww the Boe Cae Tare) os Ny and te Cte 17.5" Suppose $Y ws. nn pear 2,9. Show that ap Sal SY 179 Let Xq 2X, Show tha the arctic fntine ox, converge oleae 02 (Hin Une Tore 174) 17 Let Nips be id Coy rao vibe with parameter. = (and 1 Gti thei dety fe) = alan, 90 Fe) Show the £37, Xy alo bas a Cay ston Un: Use Character fants erie 11) 178 Lat Xin Heid Cater sites wt peters = and @-= 1, Stow that tate constant > uch that 253 X, © (itt Use Egeree 127) Ded tt Hine oo ents mak tt Utes Fee Xp =) a aw 21.0 Let (Kya hve Bite vines ands ene (La, Va) = che Dand ic Show ta linge Ben X= it Fist show that P(X] =C) ~1.)18. Weak Convergence 1s Chapter 17 we camden ow ype of omnegece of rads verbs tntwi every, pense et sly serine es (2 nergms), and comegen in pba While but the ro ile tom peso amvergene ten lary Calls ores they ee ‘itl muey the mls trite ad ty co et of ‘Srna of anda postne osereone, Whe hme pes of ener ‘se twa od ta a probaly heel aot nation of eer {nce wtih rofl diferent freee foe we ave ead et, THs ‘ty end Stato Ae nane plo, en weak type of emerson ‘The wear the equsemeat cavers, Ue ese eh os randoms yrs to Inve» it, Wht xeon Se ot important Te mpl the probed that thy wil wo he ‘sloetat ater. Tat it the poly dssntion ofthe ren ‘hermes ee this diene hat es weak soeerarace »Snnergete ‘fadlret wpe thon panes i vat ‘nce we il dele wil he comergece of stb fron Denton 18.1 Let ad ye poeity menses on RE (> 1). The seen covers wey tf Jf ds) cower fF) foreach f ‘hich sale, contre and bowel on Re A fist atc hi dein ma Tok he has «tpoetaphia win [town [seme at beef rms ie adi nd tat ve. Not i hat we do ot cotter all boa Herel nae nine fl en he bt Detisition 18.2. Le (Nast, X be RU ron voile, We sy . comers in tution a (orice cowerge i to 5){he derision meaars PS conse weal o PS. We ite Xe 2X or eclenty Xe ‘There 6A. Let Ay EX and only Jim, EUV) = ELI) {oral continuous oondd faction fon RS Prof This sts comin of Define Land 18.2, once seve rupeeon= freimian, BueO)= free 1 important co empha tht if Xy comers in dtston to X, thee eno armen tat XaJner and Bede he vue probity ‘ce (0 A oi lattice example it happens tat gee Cocos al dati on coe ape wl snes in Gaination ta tx {a) Catt ent onthe ume sce (Xe ]ons war ie on Th flo of weak eovergune permit un vars to converge ‘at would other be fda pl ta oe lyst tht (So ell ie the se Space ‘Thus a prortconerencetn dotibton i ot apa ote ae of eameepeee Nevertire if hy god feta fr by eostrtin) all of fhe UIy)os and ae all eid me aun potty spar, tha | an compar hepa of comet ‘Torean 8.2. Lt (a)natsX al be df on shen an nd poe ety ce (AB) IX concern to Xm prot, then Ay contre Prof. Lt f be hounded and continuo on RY. Then ty Thee 175 we know that 7%) conor to 7X} In prbabty too. Sines Js Toute, 71%) coer to YON) bn LL BF Thea ITA. Throne Min B/C) = BUX I (17) and sea 181 i the ‘Tha ie (es pt cme to Than 182 “Toorem 18.8, Let Nyha. X be defied on a giv probity pce (ACP) comers to X idm, and X tee aa as to entan then toner ton probe ae wel. af Supa that X is a ea 0 the constant The faetion fe ‘x bv nd comin thee Uy (ERA) ~ ad Tae X ermerge toa probability by Theres 1 a owing: that i Xy& Xe PEN € A) conver 0 PLA A) for ll orl. Titian! neve rae We nw Ute 8) cong DPX eA) kr west yt sts ae gute spi Pi etd tothe convergence in th elated ce) of nbn fn ade, HEX, ae eve andy 2, ten Fla) = PX, <2) wee 10 comers Fle) = PUN © 2), we woudl to base Py © (362) fener to PLY ¢ (ac) forall © Ra ve hs eh ys ‘ets ecctrth assume a (1), ate el vale x Ye she ond that (Fala Fore thar apecive detrton Factions. ie ‘est there ra dl ad ea sipped. We ote tate mich ‘oper ify awume that the ebton of Che ating vt eile rts eum" safes fr many applets, bt me cade {Sot af Tine 1 fr cmp ort thorn el hat he eit has nt vere, a nyse PU) = Pee) et ot [nV ow Bere 164 ‘Theorem 164. Lat (Xess be lel nom varie 8) Xp 2 X the ya Fale) 1B) for all = the dees of| pen by D'= (8 Ps) = Fla} (Fas) = Ply s als D ovement to ontonty pine of.) &y Staelin ule) = PC) fra’ dere tof Then Prof of (a): Asene Xu ® N, Let D= fos Fle) = F(a} Then Ds {ue ace of sinc complement the tf cnt of P) at Ist cattabiy nie (e Exuree I acd 185) abd the complement ‘oust et als dese a Tet te © For coc iter» > Et us ee the followin onde cntnion incr pe-g+1 reyes? Sto)a) = ER FUSIE= EU), im Bld = l(X)) foreach p> Net fate Cat Ela aS Pale) < BUGRIE Fp 8) St Ce) < nse Fite) < BULA). eat p Now Bild) = mall) at ipl) omen) Uebroru's dint orga than (Hone Wa eae IE = 8 U(X) apes =F, te cy ye Ely(X)} = Fe) (hm le i of Fa pie 2 Cob the ad i ) Unga Fle) sts Fle) < Fle), (82) rf if €-B, sine we base F(z~) = Fa}, we ruil dace that Prof off) Now we spine that en Fl) = wher ea dence abc of Ret fhe Rant take > Latrobe setae POX aoa Fa) + Fes Ste ran «ex vince F(x) detest Oa x dress to 2, at laces oan tans an ae ie ene) Se one ‘Fon Abe topuhenie thee existe an Nah tat es PUL #6) = 1 Fal + Ble) St usa) Sit la clase (oma novela fi continu, ne Row fw eri cntnous on rs. bence trees ft toro ea ame rel ‘srk th Fa) HSE Waser, each of hr arin 4, 1 mal.8), 1 ae now combine (185) (BULK ELA}) SIEL/%a)) ~ BlaXD + HEI — (09H + LEX) = BUX) (OPI, Ele) +014 + (aPC Ena) +2) S (acts) +e (ae +e) Since «was airy. we coh ta hyn EU/X)) = BUC) fo silane, eotinas fence by Thnen TR We haw thresh, Examples 1, Supine tht (nla sees of probably ares on tat reall pat ase ur, Dis ene) ht er ah terete feta ath at yal (an)) = band sl la}) =n fag))=0 ‘hen i eomvrge weakly £9 nl i a nly fay omnes a pela ic pat a Stel oe ‘ich ss oe ye so of athe a | Nate at Fale) = g(t, and throw Ning Fafa} = Ps) ow dese sue coy pce at Frnt be the ons hosel a = The BL Fle)= FC) = Inf) fora 2 expt «= th thet Dot Thy 1844 D~R\ (0) ‘host C4) nen thaw ve Xy Ke est teal 00 ee (4) pen F) What one sos st ‘Nore fu ues (ys wt Ne ir (RE san lo ti nn as a tet Gna, X be radian vies ith den fe). Pn ‘the disteibutiom function Ben dey = [pont canon Fs) = Fl oa Son le) tod [ots li ec a ‘ie in ffompaic FU Lbsers nal feosthare adn Se Cosham age wea st my ferry = tf ftate fron = foto Sente neyP a) ‘roe them, ad we hve another poo at Xy © X. The prot ork no tthe takininenatanl te, aed eo tt shy ‘Ses en fe ato cote ie be oer The previous example nt te flowing ete, wich might kok @ ‘it suring wen Integer a case whe the sence of fnetine ot dried ae eae Saco: Sdeeto te fc that al anton fo aod bel he etal eal 0 San f-If the sequence a conscraes pointwise (or even amas everghee) 10 Sten ke 2 Pr: Lt be » bound mesure Fein RY. and =a, ava) Ne) a and has} = 0-0) Tht nto ar pee fd ho ae fy al age a mS here the equ Ii mers alaest ergs tf me a pp Foto ea oe Ther 9.) to bain stn} fone stmt [nee = mg Ot FA) =) os EA) = EO} < ini LAK EUHX)) 2 apy BMX Hee E(A(%q}) cones o E(AN)}. stl the rem spond. Frtweon weak cnmergence and aneegnce of arate factions The sone (188), ha te ese ne de ites al ara {nim onthe complement fu copac et, as alike ‘Theorems 166. et on) Bea soqunce of petabity measures on Rand supa (-m.ni") 0 oss) Then there eit acer sk tat zs ome wyProf et Fala) ~ (20-2) Note at fr och ¢ CR. Fale) £1 Sor all uy han (alelnon banded sequence af eal mer. Hee be {he Bosino- Weert theorn heresy es w borne my at (Fetal emerge (Of eotms the suneqece eet depo ‘We nel consteet lit fa countable Fehon, so we metit our sie tothe lion ues a dented Qt Prose be ‘henuration of thera Farr) thre exits a slang ‘Sat knee We ir) = Fal Fer tre ts aubboguence x steht he iets Ain, 2) = im. ‘That aa ea saeco f 4 We cotta ti fo et a Ta substgbence of yn suc ha het exit Aga, ‘We tn fom jst one subeiquence Wy akg me peas Ts fr # wt Gs) = fm Fates inc ny issues of on 2 Fu} ow) use, Since the fection G dein on @ i an-eeesing 0 aa i the aston $F gnen (180), aed tig eins by const Tete >0-By types thee exist ah ih Cat ati-mam) Se for ll» salen Teele Fula) 02 <1, and Fula) 2 10> ‘hereto we have the ser Gand lly Fal pps 2 ich that Fs) wecQwinger smd Fe. For ¢ > 0, thet ext Fla) $y) $ Fle} $600) < Fle) +6 Therefore fo ang gh Fla) 2. Fla) S Fala) S Flt) S Fla) +2, (8A) Fle) ~26< Fi) Sta ate) Stine Fu) 5 FC) S la} 4 2 sd by the pcching theme timid sup above ont be sil eel Hen Fn) = Fa). Tp argc mel 0 “vor 18 o Reh 318-4 The iro snide lp eStart me camped by be pout ox RS. Then it ios tele he conten (83) bp lig pnlteeR: [elo mj) =a sa) swt aoe chick that f J comergeto dor abner ‘Patel fra wl chen et ftom estate then es ats ‘Theorem 18. Let Xai Mea atone of random serie (Ror RE sled). Then Xy 2X if and any Heda B1 GX) = Bly) for ald ded Lic continuous fencing Prof funtion 9 iphoto hace eit coat ch that lle) ~ gh = He ~ ph all sy, Ne tat city i evi 0 see sow satan: We td to aw ine BUCK) = BYR) or [a boda entiation f. Let f be bout! consonant (a= sig {) Suppose ta exst Lie conn nets Se ees nots frat lime gs) fs). Tee Teal BUX) 2 ll Ete = Eta) foreach sas Bat sho Monto Coegence hace ppd 0X) 40 so 7X) Pa igna F190) = EU) Therefore gat ELI} 2 BUC) cs) Neat exact the sae anzaneat apd =f ge sap EU Xo) SEU) cg) combining (1818) a (18.1) ves ig BU es rein then ont contract the faneton We eo Bia eguece ‘of Lge intone (ye) tha ye) = Je) aa ae) > hen we ea tabs (2) = tase) al ew de Pecan a br He) fh wey ant a (a) © tlie sv A Jnnl2) =P mdiogirente) Note a e}—dalo| esl oan at A. ee nf) dr) = fis alm Linh: Mee oe) 27 a Teato I f(2) 2 rs 19 pao 0 ye) = 0) ‘Chase ad pit ae > 0 Che pete aha th that | J(synenre fle} See fweuntouom, i) > real yaaneihberood eta Toei dojpyene) > Oe hnce jar (e) = 7 & fis) = oem ate Tar. Si aha nd es are xe to coon Umeim © Nore Q,} weouttable I(r reports an aeration, Me no son th pa) 2 fle). Sian j= foeac me he a2) Tle) and we a doe Corollary 18:1, Let (Xy)o Bea squnar of rndom saa (Ror RE ful) Than Ny % X fad ony dsm BlgXe}) = BQAX)) Jor ald ostdelanormly continuo ent Lie then i irl inns 20 Thre IT sos ‘Remar, 18.2, In Then 187 we red the et eae of fet fo “wma corti tog to tne Lipa rosin Fahne (Oo unpack canbe tor edie. can fet be rth ede fain with compact suppor. See Eerie 1810-1622 fi “Aeribtin iad ols BUX) somone to ESC) fal Boao, (ets A conegueee of Tore 187 & Slats There, which fl ‘Theorenn 144 (Slutsky Theor). Let (a) and (ea) be to eaves of RS sll random wrath Kp and Ny Yl 0 Prof By Thorn 187 ses to ow ling (499) = UNO) fe 1 Cette cots, ume Lee thn f be Light connate We fave fe) =f) = fs Sse ad 0} =m fi EU) ~ OE) fi, EC) ~ F108) +i 4%) ~ JO Brs-ra it ELI ~ FN nag Sas 20PU NG Yad > {} = Oa sce 2°» Di arity dd tat Hine EUR) {000} =0- Thee Ey BUD) = ig EU) = BUC. eh ce poe a ‘We nd this section witha sonst of te weak conan of a8- ln abn that tle ott outable aber of ate et ‘ithe Pon the hypamt t) Sce te te sei ecg he sate space wit sh rte tool” (Canton: the mate Space say Ei aatraly conte fF for example, th i dete ‘pol iced te aun top et Roly the ie of Jeval fer CE [=m] bounded wn frm fr all m > 0, ke won BAN or B =D, whee 2 dente the it). The xt thorn vee 8 Simple chnraceratin of wale converge a thee, sl eompasie ‘Theorem 18.9. Let Ney X He random arabs with at mest conntaly mony sles. Then Xy 2X fond onyin, PIX, =) = PX =) or enh jn the ate ace of Oya Prof Fin sppine Xu X, Te “in, BUS) = BCX) fer vers bonnie cntinaos faetion f (Tite 181), Sine eins ‘cottons, coef) = 1) a we bea the ae. eat spo byw P(Xa = J} = PIN =4) fr al othe at pce Lee few bound faction wih a = sup) FG). Tee > 8 Sie Erxener Drxanets se rn are mh ne wt Trims =s)2 1-2 FALX)) =D IUIPIX = 3) ‘50 we have, far m Barge enon: . [B00 - Spa U1" =3)| see ass [Pe Eye PO aay ne ht A ew te im Sse. =9= Tyo. asaw Ths Bs (115) a (116) ne ce nse |EU60)}~ A) Se Sco < was titan we have Bm BUCK eyo) fer nh hounded (an ferto cots) Fanetionf. Ths we have Xu Noe Toran ISL Bxamplos 1 denote the Paton dition with prater hen fl has fy — As we have J (3) — al) en j= 1.2.9, ad Uy Thave 189 we he tn, comers wal oa Ue py denen the Big Bip distin aad py — pn Ela tand ty Tine 180 we ave tht convenes welt 6, Le jing dete the Bloomin! Bip), Conse the sate Time 2 py = > Then a Eee Le ate YEE) MH ‘he Pon dation with pratense = iy MyExercises for Chapter 18 10 Show tas Xs # p> 2 then y BX 1832 Let © RY. Show by consrtng that there exes motions function J: RY Resich that O'S f(a) = oe a eR fla) oad fe) ~1i eo forage 0. fot Ft we hacen 283 Let X ew ral lu rae ale wth dstbcion fection Show hat F(a) = F(2) and only WPL a) Bat et 9: R— ROS la) < 1g noc a spon gi ie {eatin Ut line) = 9) fra), Show tt te lis eaeywiee (tat ity-ny ce) ~ ale) eas ral) he the se = fo g(e~) & lz) a me coamiy lie, Lh how thr are oly «ite mimber fps sh hat gt) mat) oP (he tte) 18.5 Lee F be the dsuation fin fea ald ram vrai Le P= (os FU) —Ma)}fananon of Exe Tt, Soe thee os een int Une Hee 1819 stm hat the eau of Dt mot cota ae) 186 et (ny Bea nen of realy an variables with £0) spi on [nl wit wet} do ce ound aa 18.7 Let fale) be dies cn ad app lity fl) = €Fiyay It 4s te deat fru rant var Ne ach what ca be ae sat ‘spent with acne) ABS lel (Wut be Lid. Cony with o = 0 and = 1. tat Ye SeSc2%6, Show that Yoav i detonate, Boos Yq comer in proba wl 289 Let (Xr be a seen of ramon sriabie ad spore ‘py U(X") © Let, be he dtrittn me of Xe She fea Ue Sogn sh Uinta Cetera 18:10" Let XX and Y be reas allen the sao spce (0.A.P) Rain Cat Jim, UC a0) = ELLY ene fan ae toc nd incon a Borel Sta tases (Xa) comeraein hw to (XP) W etre Re hay Sor me Bare! fete sow that Ny 18:1 Let jdt tbe Pare (ot ats sation wit parameter Let (ae ra'S and hw ato, nde wey to 18.12 Let denote the Gost distin of parameter, Let ay {0a how tha, oe Moly 1 Astebution and (0) Ys tn ctsbation, [-w0riaey sina [ Ptte) <6 18.17" Le rel val (yo dbo ations Fy and X ave ‘kinbtionfanbn F. Sipe fr sme > 0 soc hat inp Fale) # F(Qh- Thin thew existe 2 > Dan oubaquence (ads ame a P09) — FU) > all Show ten ey (2) FC) > § fe eae oh} 0 (Ke appopeite yn ine he odie 8 conto, 18.18" Suppose asoqnce (Faas of nsbton forts Ronen to. cotimone distin Section F oR Sho tht he envergre tn in (ace 2) (Hn: De by hing te ei ps Zyuncem teh tat Flay) <2, Flay) “FlG) ee and toe) iat sow thee east Nau tat fr p> [yl,) FU) Seo © 18:10 Let f be unl consonant esd an a ‘hom Supe that 12) Fe wearer fe ghee Shaw tat [EULE) ~ BUN + YIN Se 2p FIPEMI2 8, (2) Finds =o. Show that Xq 216:20* (Plan (17) Lat (XyhoasX. by Reed rand aia, ‘on te sue pace spon at yo comers dba X + e¥ far euch vod 9 >, St tat Ny cues Xn sein itn ir ore 1810) 48.21 (Pt 07) Let and ¥ be indepen 1 onthe sae spc ih ls fu aa sue ¥ ie MO ef be bone com, Si hat f UCC Savy) = EUAN) bine a [It Stow that f bed ad C= 18.22 1 (oa Ye Rel rave. Sowa Xe eee to nin i slo ELC) samo UCN ioral unt ©= tts net Buna aa Wak eee 19. Weak Convergence and Characteristic Functions Wk conergeae bat te art of nh of probaly nd stati. Lint Aeon pre nach ofthe justin of ati, have 2 ‘mynd fate aplication, There an ite relatoncip toe oak ove tee hot) that mak earcrite eto 0 tl ike yo robb ol aie, ‘Tice 1041 (Livy's Continaty Theorem). Let (ian be # se ence of protabie mcs om Ronde inn Sele er Power {roaorma or haute fons 8) ie coneges walt pray maser, then ja) ~ i) Sor 2) fic) comers to fvtion fle) forall v RE, and if in adin Ucn a0, then hee ein a proy om rh th Hea) ay and compas eal 8 Prof) Supper omnes ek 0. Sioe Daag, Bao i 2 [teanlonatey = farts (22) ee mica s$ [Manion oon tae [= fu) efile 2 (Thin became (0) = 1 all ‘bene iy =m 0} = f0)=1 a0 wll) Tere, $a penls3 [0 gau=§ as) Sica nae earactrate fete in) <1 by Lee dm ‘ed eomezece orn (Thao (me he “an siaide tae [pata Therlne theres aN wh tha n> pin [fe (0~ fluid = 2 We pet apy (9:1) 10 eonlade feral n> ite mir afm re Nad for ech n <8, thene fis Sed at (ramen) 5 kat many). The donee fa oon paif-aat) Se, lrall 093) ‘The nual (192) boon mass that forthe sae (fem £5 atom exe a o'e R sh ht 94 on((-mae) © 6 Terre me Snspeuppail-mm)=0 ‘We hove oeuBlaied tian fr the seaene (ue) We can txt spp Theorem Sb oabam arbqnce (syste haf oes ssc torneo By pat (oft ire Be al) =u) feral ence fs Terenas to show hatte soot fad ot jas ne) cumergn ay tu We con Te the ne of ona Let Fa We dnote fncione oj dp That oa he Fourier tonne 4 probabiiy Fale) = pull-on Fle) = ol(oma Let D be the sf comin pts of that, Da fe: Fe) = Fe) Srp that dent converge nak then by Thre 184 hte nat tat ast one pot € D anda sobcquene (neeey aoe tt Ie-oe F(a) exit (hy tling «further megs Hf nso) and orien Fy l2} = 3-2 Fle. Next by Thre 186 tate bo ‘ae 8 suena of the sacar (ox) (at eles {diss tht Gin, re oops wes totem ta Bh, 0) = 0),a sie ijn) = J), tcl fs) = a). But we br eo at Fea) ata) Tiwi y Ten 1 mt hve to. Fal ‘aur too = pv (by Throne 18.4) eat in Fa, (2) = shi the cotinty t y, b hypotets. Bu in Fa) 14 Fa) and we hae a cote ‘emake 10.1. Actuay more i rn Thre 16.4 tha we poe ne ea tn eoerts wey to a probably are yom ‘hen fe ences of elon on empl Saal of RE Bxamplo, Lt (Xyos be wsegunace of Pina rade vale wth ratte =m Thee t= Eien 22% whem elz)=-00) ‘ose thin shave stony a(n} by sample 13 (Contin ad ig Tyler ean or, have th ahs le se A tgs bound nae and Bee Hea MG = 0 enter nd sie <2 sh carci ft a N01), Esa 15), ‘what nt 2 comers weakly Yo 2 by Thre 1b Exercises for Chapter 19 10. Let (Xan be NU to ables. Sopp — ¢ Ra of ~ 98 0, Show that Xp BX, whee €(X) = Nn) 192 Lat (Xy)yas bo Ngo) sands variable. Suppose tat Ny 2X tse ene abe XSi tha hr sgncen a Base its fe Rand of 20, and ha X i Ngo" (Ht pam og he daratst ictonsa Ny nad Xtand se Lys ‘hwo o aan hat z(u) =e" "2 for some we and 0? 20), 1053 Lat (aot (ant Be segues wih Xo ad Yq den on the sa spe fresh Supp Xy © X and Ye BY, nd ae Ny and eocindeeue fall td tat ad Yar ape Swe tt20. The Laws of Large Numbers (One of the Samet os of Probbity Thor the Stag Lav of Taree Numbers Tes to tye inte coe at pty scaly i (Example yd arta diet pian, eo ‘erp Mente Cel estimation hore Esa 2) Tt (Xa) ea eqaeee of rao vrai de 0 the ae eo se saves et Su = Se XA toe tht ats a, ce ‘eps in si ae flange mone Trea nay nck ne [Eee 1 erate toes te Bai ele Une conse ‘lang ner (Se Tice 213, xa) The convene cam Sm pelt in Los se, When th verge alt srs stale sng tw of le ener “Thcorean 20.1 (Strong Law of Large Nusabers). 2 [yas bende endet end enaly drut (cl) ont fined on the sae pee. Let WH BIN) ond ot woh, <2 et Sy — Ea 8. Ten in, en and supe amar a, West 2? wad ese to (3 be Mare duping whan Se ne emia lore ge ‘eee tty, hey vig es ecient Wea ans SiShce Sra inky whe Sng aw gen bs do SSREE. pos epee 20 tater ac CES yal ata aed hwy ttle Ange ed ee ety tt ont ey ee eg Prof of Phone 2.4 Fit et note hat without ae of gels we fsuvasue p= [Xj] Udo fp, te we ca pace Xy whre Naa te 4 Sus Z)~ Ba three ain (2308) -0=0 dn EE "No beth scune f= 0. Reel = Eh, Ther EUG) = 434 fb) = 0: Mecower BS) = Eicane EC Sa) Momeni ken ss BLS) Xe} = BL }EDG) <0 since X, und Xq are armel to be independent. Terie Feat aa (21) Lewy se woe in (V2) = ‘Shor Yy coer 00 1? we kw there stnegee ombeg to as However we mat to cola the orginal cape ener “To do tis we dw ssrguence converging am a hen ete trae {between mre tro the len Since B(¥2] =, le chao th once 3 hen Ses ‘tert iy Tore 92 we knoe YB < a and ene th ai of ts convergent srr connec to colic Eg Yeso as tena) Next het WN Lat Be he integer sch hat vin mc Gnd +P. roe Ba sel wes (20) brcuse ) < ‘ow ne apy tie ste agunent a elore We ase Ee{( “y} Tew. “Tis by Them 02 wel, we base E (Ae) mee ty 22) and 8 — 1, we dle "ps the tht prone 5 owen tee Yap = 0% Bara Ya 0am ar wh Bell Wie give oo tle esos of Strong Lams of Large Naber, ‘Theorem 202 (Kolmogoror's Strong Law of Large Number): Let (apy head onde Re Let 8, = Sop Ny The lity = yf fd only (Ny) tis cave He comergnce al ae Renmark 20.2. Not tha Kampong sod (niin a ‘San tht (Ay)jcu ein £1 An gut wa to poe Tere 20:2 0 ‘ee ceva muting convergence thet a, 0, The 273). Let (2.4?) hemp ype an tT: f= feo to Inject) ch that FOX) © fee T pe mentale ets means set). AeA tho PUT(A)} = PCA) eT ae earrepeering) Let FUPE Ted) and sn amlogly pone o0T Re te oar tor Fat to) = tT)‘Theorem 20. (Ergodic Stoong Law of Large Nusbers). [at Te « fenerame measve psig Wonsormation of oat sume te ‘nly Pima ats ae sof probity or. IX CL then wl Serey <2 andi ‘Tore 203 neonsqee ofthe Biegler egret tsps he bts indeentnt won a ety [ea aho cal the srg lof eye name or lationary sees of ‘and vara Example 1: Example 7 wele(X)2y be a mmuene aL. Bernat om Yara, with PUK, =I) ~ pu PX, 80) == 1 pal) ‘Then Sy = 3p X te ber of oes nn ae aad LS. he erctage of Steen The Sng Law Lage Nae (Tera) Ba = Bh) Pee ena This vt, seta utifeton to ea cl tht the probably of soaas tp. Ths nse seth ele to the on xe a Psa wo presatdin Sea 3, sce oe fly ait le he uve pleasing ren (3) fo! ot ion! aos [Example 2 This snple example o «tiga nen as Monte Carle pprecinasions (Tn etymology othe nae rm the yf Mae Cr ofthe Pring of ns, ost in deen Pane Combing sone tne eather andthe ne tbe to Mots elation “ltwsof ce” though the operon olga suing eas Spee ‘e+ measurable faction o 01) affair < a Ofen eet in clued for expression for a = jt fz at we ned to etic It wee ()2n bea sce of ndapente ion ann wrabes (mand well fy = of FU he by Tor 202 we have [10% ‘5 and in 2. we wot sana the eqn (U2 canpater (things andes number generar to sinters ao a, ‘hie sanded), we nll pre nn aprons [flere er nse 2. This jst ope metho to etinate fe fia} adi aly te Test one excep inthe cur wher oe wet cine ih inns a BS ne) eu) st ye i eg a a Te at ele (9) at sil a ot A eh es str Peto ob me in Om subi tener ea ye ten et Ch femur hn Sitti tee oe era oo [xe foray XE dob 1. be Paton t= PeExercises for Chapter 20 20.1" (4 rok Law of Lye Numer) at (Ay) be 9 ees random ‘arinbi uch that sup, ECM} =e 2 and ELSA) OE SH Nba SE 1) Show that P28] 22) < te > 0 1) tae 185-20 in 12 ania potty Note:The wa i masumptins have ew coseray woken he) 202 1 (¥) 03 bea soqene of faepet nail ron aa, atl ined on tie same proba spa, wth nw Bp) et 2 Yj Show that 5 pj) and that converge ast 2038 Let (Xs be 8 ith Xn at Y5 =e), Sw that (ip) 2044 Lat (Xp be LL. wth Xin aed B(%)} =p bee (504 be fs Li with 9 in Land E(Y,) =» hom tat ‘ary B05 Let (Nyse with Xy to al suppose Je ‘ner in etibon to x anda ible 2, Sh ie mad iy (eit 125 BETA, pone it at 20.6 et (XY wth Xn 2, Sa da ASAT = e1) an 200 bt XB NU am vale So hat MieKrthe 1 SR apo ea 208 Lot (X01 be Hd, wth me a nee, Show ha 209 Let (Nye Sh ner va andor ian wh £4%} < what Ky (Seen ele rndon wal om Be atin Show we tig Seonyy 21. The Central Limit Theorem “The Ceata Lint Thonn i oe ofthe st fps acento Pestlity theory: Free ple dreipon eg ial ype {ate abet dor pce sols he Central Lit Tere ‘hes nthe bac for ml of Sait Ths The Sen snp: et x Tessar of ran saber Site satan eS, = $5 Then ee meg £18.) = Nonny where BUR} fino? = Vas X) (all). The ly olsrotion eat absltely nothing {eecptw fie voice) is mane tthe dion of tendo sion tis of ony Ii ude sib wih te tras, hat oor ea nr that the adm Sra’ stints apeoxmatels (Gaesan Neston cn hc dat nd do Statist Teas to tate and ead then oo Knows venta evra ‘Theorem 21.1 (Central Limle Theorem). et UX) tid et E{Sj} i and Var) = fll j) wth 9? ce. Ea Sy = Lis Yq = SED. The Vy omserger im dtrdton to Y, where £0") = a) Omer thar above, then j= forall toe 8 = Pro Lat be the haat ft of Xj ~ Sno the (1 a Teh 4 doce deen on jm me wre ¢ Lt Yq 2222 Sine the 1 we deere, by Theorem 162 ext) = euNow that BA) Da EN) -1)~ 0 ae Then 12 = {X-men} 00 = 18 {05 me roe) = al (0) = Awe espn in 8 Tal expon shut =O, we get ‘hse Hs) Oa (because 2" atin), Rel on (2.1) oust (6) ‘thee og" dete prncpl af the complex vl git, Tens iia eo mad gr xn pa as Lévy Comtiity These (Thre 101 then pis that ¥en In to Z. wher ye) =e-"" bt the we how tat 12) = 0,1) sing #sanpl 188d ee a haere tne cacti et us no dicts the relalnaip etwas age mers ‘ect nit thor Lt (X))a1 4 wth lances et ‘BL. Thon by the Seong Lt of Lange Sues tne anata ns In iow lnpried woes ta vec sau es ot as (a13)m _) an |& -o) sand 2 ua) he what wih to nw al rte of conergence We could ak In fa, ch exits, Ld, oe ttt ve Sp) coment ‘otis: However hy be cetral mit theorem we Kix that If Tse ~p)comerain tbat 1 eral dnb N02) ‘One can weaken alighly the hypothe of Theotea 21.1 Indeed with sent there peo ab en show ‘Theorem 21.2 (Conteal Limit Theorem). Le (5) be inden Imo reser sdentcaly tbe Let B(X,) ~ 0 (lj) and et ssp EUSP") 0, Show tat i ere £12) = (0.1) and sone indian (Hi: Coe Exe Sie 21.5 and compare Y* with Sy ad Ss wae 3 dense he aga lnepe haw than ore 2.7 Show that =i) (Wine Ve Exe 21.8) B18 Let (Xj)ex be Li with E(X)} = O and of, = a? < Lt Diy Ni Show tht dos ot cmverge pb. (OG) be Hdd. with BUG) = 0 and of, = 08 < oe, Lat X, Show tae bm # {5 (Wt Let (2) = NO, and cee E211) 21.10 (Gat, [tl Lee (Xen be Se wt the orn eon oo iain nee 5 SS SE Ea Show tht Vky comers, (Anaver: VA cormerge in dsiaton to 2 shew £(2)'= N03) 21.1 Let (Xo: be indepen ad et ae the nim don dt suo tt) = 1 Unt Show a he aie facto aX ess) = el mgt yo. tn Ys) prove tht the Ha se“ by xing So? = HES1) Stow tha ‘ead Wo dtrtsion, where (2) = N01). (Nats Thie ota partial (142° Lt X © 12 ond nye X ha the z poe X ha the tne dst ae + 2), hare Zar independent and XZ al hae the wae in. Show hat X 91002) ath oe (Bint Show by karat tha the ‘ae leas E522" wieh hy ths n=) 22. L? and Hilbert Spaces We appa gran pobty pace (12.7.1) at 1 nee al ean Jeno es for ity of uno eral X ou hat BX} 3 We henceforth nfl aden vais XL? that are etal as faethe emu that E(X"} = ne can conta X= (and ‘we only X =} We dete an inne ros in 1 wf fo X,Y in 22, dine (LY) = FLAY). Note ht ISLAY = BLAH < 2 by he Cony Sr in te a2 and cna then 0X +3Y en Ll. We rer te that the nie prod sea tach campoent Far eae (x +912) = aX.) + 30%,2) ay eee tha (4) 20, and (XX) =O and nly ‘sn random arabes, Thad to dete norm fr 1 a lowe x)= (aryl = carp We then have [| =0 inp X = 0 (eal that in 12, X = 05 these set =a)ap by teary and the Cay Scar ual we ge [Xs YIP = B13) 281x774 0%) ‘SIXT? +2081, YT + VP CXL Hiv dhs we es Mio neti: Persist Pe ‘ew the long1022 LF tae Spee ‘Theorem 2.1.13 se moral nar pace with on Seer prod (.). Morera ba At Xp voor oft vies haf Cc une pth hee ‘i nL rel hat Xe x Ghy[Xy~ Nol O wh bh ma tu ten to nny vey conerent sequence Caney). Theorem 222 ‘soanines known so the Ree Fucher Ph Theorem 22.2, [i complete Pro Let Xe be a Cay sec 12. That 5 oe any € > thee ety Noah the min > Wipe [Xe — Nu © Cha anes tepion f fern Th web x bse [nes ta Tne Racal So ete Dy tena munity weave rots (Stn) a Let ¥ =n Yo hich ets bras Ys) sondern eqn, tech (a) Since B(¥2) © leak my the Monson Comore Th fon (Tore ld) £(Y2) <1 wo. Tietone P< 30h a ee ie xqnnce Ny + Sot yLXy 2) Moy) ements Sc ‘cing mn we) cma le) foi erg (NO) Ny Fe) Sr He, a P ‘eat te | ‘Since |Z

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