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**Xing Qiu Ha Youn Lee
**

Department of Biostatistics and Computational Biology

University of Rochester

October 5, 2010

Qiu, Lee BST 401

Outline

1

Product Measures and Fubini’s Theorem

2

Kolmogorov’s Extension Theorem

Qiu, Lee BST 401

Product measure space

The usual Euclidean space equipped with the usual

Lebesgue measure, (R

n

, B(R

n

, µ

(n)

) is a product of

several (R, B, µ).

Deﬁnition:

the wholespace: Cartesian product.

the σ-algebra: minimum σ-algebra that contains all

measurable rectangles, which are sets that have form

A

1

×A

2

×. . . A

n

, A

1

, . . . , A

n

are measurable sets in each

one-dim space.

the product measure: well deﬁned on measurable

rectangles, µ(A

1

×A

2

×. . . A

n

) = µ

1

(A

1

)µ

2

(A

2

) . . . µ

n

(A

n

).

Qiu, Lee BST 401

Product measure space

The usual Euclidean space equipped with the usual

Lebesgue measure, (R

n

, B(R

n

, µ

(n)

) is a product of

several (R, B, µ).

Deﬁnition:

the wholespace: Cartesian product.

the σ-algebra: minimum σ-algebra that contains all

measurable rectangles, which are sets that have form

A

1

×A

2

×. . . A

n

, A

1

, . . . , A

n

are measurable sets in each

one-dim space.

the product measure: well deﬁned on measurable

rectangles, µ(A

1

×A

2

×. . . A

n

) = µ

1

(A

1

)µ

2

(A

2

) . . . µ

n

(A

n

).

Qiu, Lee BST 401

Product measure space

The usual Euclidean space equipped with the usual

Lebesgue measure, (R

n

, B(R

n

, µ

(n)

) is a product of

several (R, B, µ).

Deﬁnition:

the wholespace: Cartesian product.

the σ-algebra: minimum σ-algebra that contains all

measurable rectangles, which are sets that have form

A

1

×A

2

×. . . A

n

, A

1

, . . . , A

n

are measurable sets in each

one-dim space.

the product measure: well deﬁned on measurable

rectangles, µ(A

1

×A

2

×. . . A

n

) = µ

1

(A

1

)µ

2

(A

2

) . . . µ

n

(A

n

).

Qiu, Lee BST 401

Product measure space

The usual Euclidean space equipped with the usual

Lebesgue measure, (R

n

, B(R

n

, µ

(n)

) is a product of

several (R, B, µ).

Deﬁnition:

the wholespace: Cartesian product.

the σ-algebra: minimum σ-algebra that contains all

measurable rectangles, which are sets that have form

A

1

×A

2

×. . . A

n

, A

1

, . . . , A

n

are measurable sets in each

one-dim space.

the product measure: well deﬁned on measurable

rectangles, µ(A

1

×A

2

×. . . A

n

) = µ

1

(A

1

)µ

2

(A

2

) . . . µ

n

(A

n

).

Qiu, Lee BST 401

Product measure space

The usual Euclidean space equipped with the usual

Lebesgue measure, (R

n

, B(R

n

, µ

(n)

) is a product of

several (R, B, µ).

Deﬁnition:

the wholespace: Cartesian product.

the σ-algebra: minimum σ-algebra that contains all

measurable rectangles, which are sets that have form

A

1

×A

2

×. . . A

n

, A

1

, . . . , A

n

are measurable sets in each

one-dim space.

the product measure: well deﬁned on measurable

rectangles, µ(A

1

×A

2

×. . . A

n

) = µ

1

(A

1

)µ

2

(A

2

) . . . µ

n

(A

n

).

Qiu, Lee BST 401

The Classical Product Measure Theorem

Calculus analogy: double integral. Draw a diagram.

For E ∈ F

1

×F

2

, let E

x

(E

y

) be the cross-section at x (y),

E

x

= {y : (x, y) ∈ E} , E

y

= {x : (x, y) ∈ E} .

The measure of E can be calculated by iterated integration:

µ(E) =

Ω

1

µ

2

(E

x

)dµ

1

(x) =

Ω

2

µ

1

(E

y

)dµ

2

(y).

There is one and only one measure which satisﬁes

µ(A

1

×A

2

) = µ

1

(A

1

)µ

2

(A

2

). (There is a mathematical

terminology for this property. µ(·) is called the tensor

product of µ

1

(·) and µ(·), denoted by µ

1

⊗µ

2

).

Qiu, Lee BST 401

The Classical Product Measure Theorem

Calculus analogy: double integral. Draw a diagram.

For E ∈ F

1

×F

2

, let E

x

(E

y

) be the cross-section at x (y),

E

x

= {y : (x, y) ∈ E} , E

y

= {x : (x, y) ∈ E} .

The measure of E can be calculated by iterated integration:

µ(E) =

Ω

1

µ

2

(E

x

)dµ

1

(x) =

Ω

2

µ

1

(E

y

)dµ

2

(y).

There is one and only one measure which satisﬁes

µ(A

1

×A

2

) = µ

1

(A

1

)µ

2

(A

2

). (There is a mathematical

terminology for this property. µ(·) is called the tensor

product of µ

1

(·) and µ(·), denoted by µ

1

⊗µ

2

).

Qiu, Lee BST 401

The Classical Product Measure Theorem

Calculus analogy: double integral. Draw a diagram.

For E ∈ F

1

×F

2

, let E

x

(E

y

) be the cross-section at x (y),

E

x

= {y : (x, y) ∈ E} , E

y

= {x : (x, y) ∈ E} .

The measure of E can be calculated by iterated integration:

µ(E) =

Ω

1

µ

2

(E

x

)dµ

1

(x) =

Ω

2

µ

1

(E

y

)dµ

2

(y).

There is one and only one measure which satisﬁes

µ(A

1

×A

2

) = µ

1

(A

1

)µ

2

(A

2

). (There is a mathematical

terminology for this property. µ(·) is called the tensor

product of µ

1

(·) and µ(·), denoted by µ

1

⊗µ

2

).

Qiu, Lee BST 401

Fubini’s Theorem

Motivation: f (x, y) deﬁned on D = A ×B. How do we know

that

D

f (x, y)dxdy can be computed by iterated

integration:

A

B

f (x, y)dy

dx?

The answer:

D

|f (x, y)|dxdy < ∞. (Fubini’s theorem in

real analysis)

The same theorem still holds if the Lebesgue measure is

replaced by a σ-ﬁnite measure. If f is integrable (

Ω

|f |dµ is

ﬁnite), we have

Ω

1

×Ω

2

f dµ =

Ω

1

Ω

2

f dµ

2

dµ

1

=

Ω

2

Ω

1

f dµ

1

dµ

2

.

Qiu, Lee BST 401

Fubini’s Theorem

Motivation: f (x, y) deﬁned on D = A ×B. How do we know

that

D

f (x, y)dxdy can be computed by iterated

integration:

A

B

f (x, y)dy

dx?

The answer:

D

|f (x, y)|dxdy < ∞. (Fubini’s theorem in

real analysis)

The same theorem still holds if the Lebesgue measure is

replaced by a σ-ﬁnite measure. If f is integrable (

Ω

|f |dµ is

ﬁnite), we have

Ω

1

×Ω

2

f dµ =

Ω

1

Ω

2

f dµ

2

dµ

1

=

Ω

2

Ω

1

f dµ

1

dµ

2

.

Qiu, Lee BST 401

Fubini’s Theorem

Motivation: f (x, y) deﬁned on D = A ×B. How do we know

that

D

f (x, y)dxdy can be computed by iterated

integration:

A

B

f (x, y)dy

dx?

The answer:

D

|f (x, y)|dxdy < ∞. (Fubini’s theorem in

real analysis)

The same theorem still holds if the Lebesgue measure is

replaced by a σ-ﬁnite measure. If f is integrable (

Ω

|f |dµ is

ﬁnite), we have

Ω

1

×Ω

2

f dµ =

Ω

1

Ω

2

f dµ

2

dµ

1

=

Ω

2

Ω

1

f dµ

1

dµ

2

.

Qiu, Lee BST 401

Fubini’s Theorem (II)

Without the integrability condition, sometimes you may end

up with different answers by using two different iterations.

See Example 6.1 in the book (page 468).

In some sense, Fubini’s theorem is a “sister theorem” of

the dominated convergence theorem because

Ω

1

Ω

2

f (x, y)dµ(x)dµ(y) =

Ω

1

lim

n→∞

f

n

dµ(y),

where f

n

are rectangle approximations of f from inside out

(picture it for the students) so that f

n

is dominated by |f |.

The theorem in the book allows another case, f 0 (even

if

Ω

f = +∞. The analogy: the monotone convergence

theorem, with +∞being a valid limit.

Qiu, Lee BST 401

Fubini’s Theorem (II)

Without the integrability condition, sometimes you may end

up with different answers by using two different iterations.

See Example 6.1 in the book (page 468).

In some sense, Fubini’s theorem is a “sister theorem” of

the dominated convergence theorem because

Ω

1

Ω

2

f (x, y)dµ(x)dµ(y) =

Ω

1

lim

n→∞

f

n

dµ(y),

where f

n

are rectangle approximations of f from inside out

(picture it for the students) so that f

n

is dominated by |f |.

The theorem in the book allows another case, f 0 (even

if

Ω

f = +∞. The analogy: the monotone convergence

theorem, with +∞being a valid limit.

Qiu, Lee BST 401

Fubini’s Theorem (II)

Without the integrability condition, sometimes you may end

up with different answers by using two different iterations.

See Example 6.1 in the book (page 468).

In some sense, Fubini’s theorem is a “sister theorem” of

the dominated convergence theorem because

Ω

1

Ω

2

f (x, y)dµ(x)dµ(y) =

Ω

1

lim

n→∞

f

n

dµ(y),

where f

n

are rectangle approximations of f from inside out

(picture it for the students) so that f

n

is dominated by |f |.

The theorem in the book allows another case, f 0 (even

if

Ω

f = +∞. The analogy: the monotone convergence

theorem, with +∞being a valid limit.

Qiu, Lee BST 401

The L

1

space

Denote all integrable functions on measure space

(Ω, F, µ) by L

1

(Ω) := L

1

(Ω, F, µ).

f ∈ L

1

(Ω) ⇐⇒

Ω

|f |dµ < ∞. This L

1

space is a linear

space equipped with a “length”, the L

1

norm.

We can change the order of iterative integrals of L

1

functions.

The dominated convergent theorem says that if f

1

, f

2

, . . .

are a sequence of L

1

(Ω) functions and they are dominated

by g ∈ L

1

(Ω), then we can change the order of (almost

everywhere) limit and integration.

To put it in another way, there is no “surprise” in the L

1

space. We have to pay special attention to functions

(random variables) that are not in L

1

space (do not have

ﬁnite expectation).

Qiu, Lee BST 401

The L

1

space

Denote all integrable functions on measure space

(Ω, F, µ) by L

1

(Ω) := L

1

(Ω, F, µ).

f ∈ L

1

(Ω) ⇐⇒

Ω

|f |dµ < ∞. This L

1

space is a linear

space equipped with a “length”, the L

1

norm.

We can change the order of iterative integrals of L

1

functions.

The dominated convergent theorem says that if f

1

, f

2

, . . .

are a sequence of L

1

(Ω) functions and they are dominated

by g ∈ L

1

(Ω), then we can change the order of (almost

everywhere) limit and integration.

To put it in another way, there is no “surprise” in the L

1

space. We have to pay special attention to functions

(random variables) that are not in L

1

space (do not have

ﬁnite expectation).

Qiu, Lee BST 401

The L

1

space

Denote all integrable functions on measure space

(Ω, F, µ) by L

1

(Ω) := L

1

(Ω, F, µ).

f ∈ L

1

(Ω) ⇐⇒

Ω

|f |dµ < ∞. This L

1

space is a linear

space equipped with a “length”, the L

1

norm.

We can change the order of iterative integrals of L

1

functions.

The dominated convergent theorem says that if f

1

, f

2

, . . .

are a sequence of L

1

(Ω) functions and they are dominated

by g ∈ L

1

(Ω), then we can change the order of (almost

everywhere) limit and integration.

To put it in another way, there is no “surprise” in the L

1

space. We have to pay special attention to functions

(random variables) that are not in L

1

space (do not have

ﬁnite expectation).

Qiu, Lee BST 401

The L

1

space

Denote all integrable functions on measure space

(Ω, F, µ) by L

1

(Ω) := L

1

(Ω, F, µ).

f ∈ L

1

(Ω) ⇐⇒

Ω

|f |dµ < ∞. This L

1

space is a linear

space equipped with a “length”, the L

1

norm.

We can change the order of iterative integrals of L

1

functions.

The dominated convergent theorem says that if f

1

, f

2

, . . .

are a sequence of L

1

(Ω) functions and they are dominated

by g ∈ L

1

(Ω), then we can change the order of (almost

everywhere) limit and integration.

To put it in another way, there is no “surprise” in the L

1

space. We have to pay special attention to functions

(random variables) that are not in L

1

space (do not have

ﬁnite expectation).

Qiu, Lee BST 401

Differentiating under the integral

We have established conditions under which we can

interchange the order of limit/integration

(monotone/dominated convergence theorem) and

integration/integration (Fubini’s theorem).

Sometimes we also want to interchange the order of

differentiation and integration.

The key of proof: turn the difference u(y + h) −u(y) into a

double integral and interchange the order of integral by the

Fubini’s theorem. See A.9. (page 478).

An important application, which will be used in the central

limit theorem (and more):

Theorem (9.3)

If ϕ(θ) = Ee

θZ

< ∞for θ ∈ [−, ], then EZ = ϕ

(0).

Qiu, Lee BST 401

Differentiating under the integral

We have established conditions under which we can

interchange the order of limit/integration

(monotone/dominated convergence theorem) and

integration/integration (Fubini’s theorem).

Sometimes we also want to interchange the order of

differentiation and integration.

The key of proof: turn the difference u(y + h) −u(y) into a

double integral and interchange the order of integral by the

Fubini’s theorem. See A.9. (page 478).

An important application, which will be used in the central

limit theorem (and more):

Theorem (9.3)

If ϕ(θ) = Ee

θZ

< ∞for θ ∈ [−, ], then EZ = ϕ

(0).

Qiu, Lee BST 401

Differentiating under the integral

We have established conditions under which we can

interchange the order of limit/integration

(monotone/dominated convergence theorem) and

integration/integration (Fubini’s theorem).

Sometimes we also want to interchange the order of

differentiation and integration.

The key of proof: turn the difference u(y + h) −u(y) into a

double integral and interchange the order of integral by the

Fubini’s theorem. See A.9. (page 478).

An important application, which will be used in the central

limit theorem (and more):

Theorem (9.3)

If ϕ(θ) = Ee

θZ

< ∞for θ ∈ [−, ], then EZ = ϕ

(0).

Qiu, Lee BST 401

Differentiating under the integral

We have established conditions under which we can

interchange the order of limit/integration

(monotone/dominated convergence theorem) and

integration/integration (Fubini’s theorem).

Sometimes we also want to interchange the order of

differentiation and integration.

The key of proof: turn the difference u(y + h) −u(y) into a

double integral and interchange the order of integral by the

Fubini’s theorem. See A.9. (page 478).

An important application, which will be used in the central

limit theorem (and more):

Theorem (9.3)

If ϕ(θ) = Ee

θZ

< ∞for θ ∈ [−, ], then EZ = ϕ

Qiu, Lee BST 401

Differentiating under the integral

We have established conditions under which we can

interchange the order of limit/integration

(monotone/dominated convergence theorem) and

integration/integration (Fubini’s theorem).

Sometimes we also want to interchange the order of

differentiation and integration.

The key of proof: turn the difference u(y + h) −u(y) into a

double integral and interchange the order of integral by the

Fubini’s theorem. See A.9. (page 478).

An important application, which will be used in the central

limit theorem (and more):

Theorem (9.3)

If ϕ(θ) = Ee

θZ

< ∞for θ ∈ [−, ], then EZ = ϕ

(0).

Qiu, Lee BST 401

Inﬁnite Product Space

An n-product space describes a random event with up to n

trials. This is usually good enough for describing an

application.

It would be nice to also deﬁne product measure/integral for

inﬁnitely many random trials. This is because the large

sample behavior can be studied in a precise way only if we

allow n →∞.

It turns out that there is one and only one way to extend

the measures of member spaces to the inﬁnite product

space, just like the classical product measure theorem. It

was discovered by Kolmogorov.

Inﬁnite product probability space is the basis of LLN, CLT,

etc. We also learn that there is a division between the

theoretic probability and its applications (statistical

applications with ﬁnite sample).

Qiu, Lee BST 401

Inﬁnite Product Space

An n-product space describes a random event with up to n

trials. This is usually good enough for describing an

application.

It would be nice to also deﬁne product measure/integral for

inﬁnitely many random trials. This is because the large

sample behavior can be studied in a precise way only if we

allow n →∞.

It turns out that there is one and only one way to extend

the measures of member spaces to the inﬁnite product

space, just like the classical product measure theorem. It

was discovered by Kolmogorov.

Inﬁnite product probability space is the basis of LLN, CLT,

etc. We also learn that there is a division between the

theoretic probability and its applications (statistical

applications with ﬁnite sample).

Qiu, Lee BST 401

Inﬁnite Product Space

An n-product space describes a random event with up to n

trials. This is usually good enough for describing an

application.

It would be nice to also deﬁne product measure/integral for

inﬁnitely many random trials. This is because the large

sample behavior can be studied in a precise way only if we

allow n →∞.

It turns out that there is one and only one way to extend

the measures of member spaces to the inﬁnite product

space, just like the classical product measure theorem. It

was discovered by Kolmogorov.

Inﬁnite product probability space is the basis of LLN, CLT,

etc. We also learn that there is a division between the

theoretic probability and its applications (statistical

applications with ﬁnite sample).

Qiu, Lee BST 401

Inﬁnite Product Space

An n-product space describes a random event with up to n

trials. This is usually good enough for describing an

application.

It would be nice to also deﬁne product measure/integral for

inﬁnitely many random trials. This is because the large

sample behavior can be studied in a precise way only if we

allow n →∞.

It turns out that there is one and only one way to extend

the measures of member spaces to the inﬁnite product

space, just like the classical product measure theorem. It

was discovered by Kolmogorov.

Inﬁnite product probability space is the basis of LLN, CLT,

etc. We also learn that there is a division between the

theoretic probability and its applications (statistical

applications with ﬁnite sample).

Qiu, Lee BST 401

The construction

Let (Ω

i

, F

i

, µ

i

), i = 1, 2, . . . be an inﬁnite sequence of

probability spaces.

the whole space Ω =

¸

∞

i =1

Ω

i

is again the Cartesian

product.

Measurable rectangles are:

A

1

×A

2

×· · · ×A

n

×Ω

n+1

×Ω

n+2

×. . .. I.e., only ﬁnitely

many non-trivial terms.

the σ-algebra, F is generated by measurable rectangles.

Product probability: a probability on F such that

P {ω ∈ Ω : ω

1

∈ A

1

, . . . , ω

n

∈ A

n

} =

n

¸

i =1

P

i

(A

i

).

Qiu, Lee BST 401

The construction

Let (Ω

i

, F

i

, µ

i

), i = 1, 2, . . . be an inﬁnite sequence of

probability spaces.

the whole space Ω =

¸

∞

i =1

Ω

i

is again the Cartesian

product.

Measurable rectangles are:

A

1

×A

2

×· · · ×A

n

×Ω

n+1

×Ω

n+2

×. . .. I.e., only ﬁnitely

many non-trivial terms.

the σ-algebra, F is generated by measurable rectangles.

Product probability: a probability on F such that

P {ω ∈ Ω : ω

1

∈ A

1

, . . . , ω

n

∈ A

n

} =

n

¸

i =1

P

i

(A

i

).

Qiu, Lee BST 401

The construction

Let (Ω

i

, F

i

, µ

i

), i = 1, 2, . . . be an inﬁnite sequence of

probability spaces.

the whole space Ω =

¸

∞

i =1

Ω

i

is again the Cartesian

product.

Measurable rectangles are:

A

1

×A

2

×· · · ×A

n

×Ω

n+1

×Ω

n+2

×. . .. I.e., only ﬁnitely

many non-trivial terms.

the σ-algebra, F is generated by measurable rectangles.

Product probability: a probability on F such that

P {ω ∈ Ω : ω

1

∈ A

1

, . . . , ω

n

∈ A

n

} =

n

¸

i =1

P

i

(A

i

).

Qiu, Lee BST 401

The construction

Let (Ω

i

, F

i

, µ

i

), i = 1, 2, . . . be an inﬁnite sequence of

probability spaces.

the whole space Ω =

¸

∞

i =1

Ω

i

is again the Cartesian

product.

Measurable rectangles are:

A

1

×A

2

×· · · ×A

n

×Ω

n+1

×Ω

n+2

×. . .. I.e., only ﬁnitely

many non-trivial terms.

the σ-algebra, F is generated by measurable rectangles.

Product probability: a probability on F such that

P {ω ∈ Ω : ω

1

∈ A

1

, . . . , ω

n

∈ A

n

} =

n

¸

i =1

P

i

(A

i

).

Qiu, Lee BST 401

The construction

Let (Ω

i

, F

i

, µ

i

), i = 1, 2, . . . be an inﬁnite sequence of

probability spaces.

the whole space Ω =

¸

∞

i =1

Ω

i

is again the Cartesian

product.

Measurable rectangles are:

A

1

×A

2

×· · · ×A

n

×Ω

n+1

×Ω

n+2

×. . .. I.e., only ﬁnitely

many non-trivial terms.

the σ-algebra, F is generated by measurable rectangles.

Product probability: a probability on F such that

P {ω ∈ Ω : ω

1

∈ A

1

, . . . , ω

n

∈ A

n

} =

n

¸

i =1

P

i

(A

i

).

Qiu, Lee BST 401

Measure Extension

This deﬁnition is good for rectangles because rectangles

are essentially ﬁnite dimensional.

F of course includes much more than just rectangles

because we allow countable inﬁnite set operations. If we

ﬁx ﬁnite dimensions, these set operations lead to ﬁner and

ﬁner measurable sets (a la Carathéodory extension

theorem). We also have another countable inﬁnity: the

dimensions, which is not a problem for ﬁnite-dim space. A

typical example is an inﬁnite-dim rectangle: A =

¸

∞

n=1

A

i

,

A

i

∈ F

i

.

Heuristically speaking, P (A) =

¸

∞

n=1

P(A

i

) or equivalently,

log(P (A)) =

¸

∞

n=1

log(P(A

i

)). This series converges

because P is a probability measure so log(P(A

i

)) 0 (so

the monotone convergence theorem may apply). Other

measures will run into trouble.

Qiu, Lee BST 401

Measure Extension

This deﬁnition is good for rectangles because rectangles

are essentially ﬁnite dimensional.

F of course includes much more than just rectangles

because we allow countable inﬁnite set operations. If we

ﬁx ﬁnite dimensions, these set operations lead to ﬁner and

ﬁner measurable sets (a la Carathéodory extension

theorem). We also have another countable inﬁnity: the

dimensions, which is not a problem for ﬁnite-dim space. A

typical example is an inﬁnite-dim rectangle: A =

¸

∞

n=1

A

i

,

A

i

∈ F

i

.

Heuristically speaking, P (A) =

¸

∞

n=1

P(A

i

) or equivalently,

log(P (A)) =

¸

∞

n=1

log(P(A

i

)). This series converges

because P is a probability measure so log(P(A

i

)) 0 (so

the monotone convergence theorem may apply). Other

measures will run into trouble.

Qiu, Lee BST 401

Measure Extension

This deﬁnition is good for rectangles because rectangles

are essentially ﬁnite dimensional.

F of course includes much more than just rectangles

because we allow countable inﬁnite set operations. If we

ﬁx ﬁnite dimensions, these set operations lead to ﬁner and

ﬁner measurable sets (a la Carathéodory extension

theorem). We also have another countable inﬁnity: the

dimensions, which is not a problem for ﬁnite-dim space. A

typical example is an inﬁnite-dim rectangle: A =

¸

∞

n=1

A

i

,

A

i

∈ F

i

.

Heuristically speaking, P (A) =

¸

∞

n=1

P(A

i

) or equivalently,

log(P (A)) =

¸

∞

n=1

log(P(A

i

)). This series converges

because P is a probability measure so log(P(A

i

)) 0 (so

the monotone convergence theorem may apply). Other

measures will run into trouble.

Qiu, Lee BST 401

Kolmogorov Extension Theorem

For simplicity, the book only states a very special case, i.e.,

the indices of the product space is countable inﬁnite and

the member state spaces are R.

(Page 471) This version of the theorem basically says, if

we deﬁne the probability for intervals of each member

space, there is one and only one way to deﬁne a countable

inﬁnite product measure.

By the way, X

1

, X

2

, . . . is called a stochastic process with

index set N. And yes, i .i .d. sequence of random variables

are the simplest stochastic process.

In fact, KET works for uncountable index set. KET is the

foundation of stochastic processes (time course analysis,

spatial statistics, Brownian motions, stochastic differential

equations).

Qiu, Lee BST 401

Kolmogorov Extension Theorem

For simplicity, the book only states a very special case, i.e.,

the indices of the product space is countable inﬁnite and

the member state spaces are R.

(Page 471) This version of the theorem basically says, if

we deﬁne the probability for intervals of each member

space, there is one and only one way to deﬁne a countable

inﬁnite product measure.

By the way, X

1

, X

2

, . . . is called a stochastic process with

index set N. And yes, i .i .d. sequence of random variables

are the simplest stochastic process.

In fact, KET works for uncountable index set. KET is the

foundation of stochastic processes (time course analysis,

spatial statistics, Brownian motions, stochastic differential

equations).

Qiu, Lee BST 401

Kolmogorov Extension Theorem

For simplicity, the book only states a very special case, i.e.,

the indices of the product space is countable inﬁnite and

the member state spaces are R.

(Page 471) This version of the theorem basically says, if

we deﬁne the probability for intervals of each member

space, there is one and only one way to deﬁne a countable

inﬁnite product measure.

By the way, X

1

, X

2

, . . . is called a stochastic process with

index set N. And yes, i .i .d. sequence of random variables

are the simplest stochastic process.

In fact, KET works for uncountable index set. KET is the

foundation of stochastic processes (time course analysis,

spatial statistics, Brownian motions, stochastic differential

equations).

Qiu, Lee BST 401

Kolmogorov Extension Theorem

For simplicity, the book only states a very special case, i.e.,

the indices of the product space is countable inﬁnite and

the member state spaces are R.

(Page 471) This version of the theorem basically says, if

we deﬁne the probability for intervals of each member

space, there is one and only one way to deﬁne a countable

inﬁnite product measure.

By the way, X

1

, X

2

, . . . is called a stochastic process with

index set N. And yes, i .i .d. sequence of random variables

are the simplest stochastic process.

In fact, KET works for uncountable index set. KET is the

foundation of stochastic processes (time course analysis,

spatial statistics, Brownian motions, stochastic differential

equations).

Qiu, Lee BST 401

Implications

What we can describe (measure) in the inﬁnite product

space that can not be described by ﬁnite product? Limits.

We can measure for example these sets:

A =

ω : lim

n→∞

1

n

n

¸

i =1

X

i

(ω) = EX

¸

,

B =

ω : lim

n→∞

1

√

n

n

¸

i =1

(Y

i

(ω) −EY) ∈ (−1.96σ, 1.96σ)

¸

.

Qiu, Lee BST 401

Implications

What we can describe (measure) in the inﬁnite product

space that can not be described by ﬁnite product? Limits.

We can measure for example these sets:

A =

ω : lim

n→∞

1

n

n

¸

i =1

X

i

(ω) = EX

¸

,

B =

ω : lim

n→∞

1

√

n

n

¸

i =1

(Y

i

(ω) −EY) ∈ (−1.96σ, 1.96σ)

¸

.

Qiu, Lee BST 401

Homework

Page 470, Exercise 6.3.

Pg 121, Ash’s book, # 2.

Qiu, Lee BST 401

Homework

Page 470, Exercise 6.3.

Pg 121, Ash’s book, # 2.

Qiu, Lee BST 401

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