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Anders MunkNielsen
MI notes
Disclaimer: These are my own, personal notes – they are subject to tons and tons of typos and misunderstandings. In particular, the lecturers and TAs are in no way responsible. However, please do circulate as you please if you feel they might help make the world a better place in any sense. I don’t understand law stuff so I’ll just say something like GPL 3 licensed or whatever… also, throw a comment or a mail if you enjoyed these notes! Be awesome to hear from someone as geeky out there (and if these notes actually ended up being used for something… unless you’re building some weapon of mass destruction… unless you’d use that to enslave mankind and force everyone to chillax… in which case by all means throw me an email!). Enjoy Measure Theory out there! Cheers, Anders MunkNielsen (superpronker at hot [albeit not directly sexy] mail “d”tothe“o”tothe“t” c o m) (( yeah, screw you spambots! ))
Indhold
1 1.1 1.2 1.3 First lecture ............................................................................................................................................... 7 Properties of pavings ............................................................................................................................ 7 Comment on original example .............................................................................................................. 8 Sigma algebras ...................................................................................................................................... 8 Examples of σalgebras ................................................................................................................ 9
1.3.1 1.4 1.5
Practical information............................................................................................................................. 9 Appendix B: countability (tællelighed)................................................................................................. 9 Counting ....................................................................................................................................... 9 Lemma ........................................................................................................................................ 10 Subsets ........................................................................................................................................ 10 Product sets of countable are countable ..................................................................................... 10 Lemma ℚ is countable................................................................................................................ 11 01 sequences are not countable (Cantor’s diagonal argument) ................................................. 11 Uncountablly many subsets of ℕ ................................................................................................ 11 ℝ is uncountable ......................................................................................................................... 12 Theorem: Countable set operations ............................................................................................ 12
1.5.1 1.5.2 1.5.3 1.5.4 1.5.5 1.5.6 1.5.7 1.5.8 1.5.9 2
Goal today: measures .............................................................................................................................. 12 1
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 2.1
Anders MunkNielsen
Sigma algebras .................................................................................................................................... 13 Exercise ...................................................................................................................................... 13
2.1.1 2.2
Intersections of pavings ...................................................................................................................... 14 Lemma: intersections of σalgebras is a σalgebra. .................................................................... 14 Theorem: generated σalgebra .................................................................................................... 15 Important problem ...................................................................................................................... 16
2.2.1 2.2.2 2.2.3 2.3 2.4 2.5
Part 2 of the lecture ............................................................................................................................. 16 Pavings on the real line ℝ ................................................................................................................... 16 The Borel σalgebra on ℝ ................................................................................................................... 16 Exercise: generating from other sets....................................................................................... 17
2.5.1 2.5.2 2.6 2.7 2.8
A hierarchy of pavings on ℝ ...................................................................................................... 17
Open sets in ℝ^k ................................................................................................................................. 18 Measures ............................................................................................................................................. 18 Properties of the measure .................................................................................................................... 19 Finite additivity .......................................................................................................................... 19 Monotonicity .............................................................................................................................. 19 Upward continuity ...................................................................................................................... 19 Boole’s inequality (helpful) ........................................................................................................ 20 Difference ................................................................................................................................... 21 Downward continuity ................................................................................................................. 21
2.8.1 2.8.2 2.8.3 2.8.4 2.8.5 2.8.6 2.9 2.10 2.10.1 2.10.2 2.11 2.12 3 4 4.1
Examples of measures ........................................................................................................................ 21 Lebesgue measure........................................................................................................................... 22 Properties .................................................................................................................................... 22 Cantor set – uncountable set with measure 0.............................................................................. 23 Lebesgue measure on ℝ^k .............................................................................................................. 23 Properties of Lebesgue on ℝ^k....................................................................................................... 23
Recap ...................................................................................................................................................... 24 Today ...................................................................................................................................................... 25 New definitions ................................................................................................................................... 25 Unions of nullsets ....................................................................................................................... 25
4.1.1 4.2
More definitions.................................................................................................................................. 25 2
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 4.3 4.4
Anders MunkNielsen
The uniqueness problem ..................................................................................................................... 26 The extension problem........................................................................................................................ 26 Dynik class ................................................................................................................................. 27 Dynkin’s πλ lemma ................................................................................................................... 28 The uniqueness theorem for probability measures ..................................................................... 28 Uniqueness theorem for finite measures. ................................................................................... 30 Uniqueness theorem for σfinite measures. ................................................................................ 30 Uniqueness of the Lebesgue measure ......................................................................................... 31
4.4.1 4.4.2 4.4.3 4.4.4 4.4.5 4.4.6 5 5.1 5.2 5.3
Goal today: construct integral ................................................................................................................. 31 Recap from last time ........................................................................................................................... 31 Function class ℳ ................................................................................................................................ 32 Liminf and limsup ............................................................................................................................... 33 Liminf and limsup ...................................................................................................................... 33 Computation rules ...................................................................................................................... 34 If the normal limit exists............................................................................................................. 34
5.3.1 5.3.2 5.3.3 5.4 5.5 5.6
ℳ is stable for limits .......................................................................................................................... 34 Sequence of ℳ functions with a limiting function ............................................................................. 36 The function class ℳ+ ....................................................................................................................... 36 Arithmetics ................................................................................................................................. 36 Function class ℳ+ ..................................................................................................................... 36 Simple functions ......................................................................................................................... 37
5.6.1 5.6.2 5.6.3 5.7 6 6.1
Approximation .................................................................................................................................... 37 CH 5 + 6.................................................................................................................................................. 38 Preintegral ......................................................................................................................................... 38 Lemma 6.3 .................................................................................................................................. 39
6.1.1 6.2 6.3
Linearity and additivity of the preintegral ......................................................................................... 39 Important: Lemma 6.5 (overrides previous) ....................................................................................... 40 Monotonicity .............................................................................................................................. 40 An approximation result ............................................................................................................. 40
6.3.1 6.3.2 6.4
Lebesgue integral ................................................................................................................................ 41 Preintegral is an integral............................................................................................................ 41 3
6.4.1
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 6.5 6.6
Anders MunkNielsen
Recap from earlier today..................................................................................................................... 42 Lemma: monotonicity ......................................................................................................................... 42 Example ...................................................................................................................................... 43
6.6.1 6.7
Lebesgue’s monotone convergence theorem ...................................................................................... 43 Linearity of the Lebesgue integral .............................................................................................. 45 Additivity of the Lebesgue integral ............................................................................................ 46 Combo of infinite doom ............................................................................................................. 46 Can the integral be 0? ................................................................................................................. 46 When do two functions have the same integral .......................................................................... 47 Limit problem ............................................................................................................................. 48 Fatou’s lemma ............................................................................................................................ 48
6.7.1 6.7.2 6.7.3 6.7.4 6.7.5 6.7.6 6.7.7 6.8
Dominated convergence theorem ....................................................................................................... 49 Example ...................................................................................................................................... 49
6.8.1 6.9 7 7.1 7.2 7.3
Positive / negative part ........................................................................................................................ 50 Ch 6 and 7 ............................................................................................................................................... 50 Recap from last time ........................................................................................................................... 50 Dominated convergence theorem ....................................................................................................... 51 Integrating all sorts of ℝvalued functions ......................................................................................... 52 Integrability ................................................................................................................................ 53
7.3.1 7.4
Properties of the Lebesgue integral..................................................................................................... 54 Linearity ..................................................................................................................................... 54 Additivity.................................................................................................................................... 55 Monotonicity .............................................................................................................................. 56 Triangle inequality...................................................................................................................... 56 Identical integrals ....................................................................................................................... 56
7.4.1 7.4.2 7.4.3 7.4.4 7.4.5 7.5 7.6 7.7 8 8.1
Dominated convergence ..................................................................................................................... 57 Integration with respect to m............................................................................................................... 58 Riemann and Lebesgue integrals ........................................................................................................ 58 Ch 79 ..................................................................................................................................................... 59 Recap .................................................................................................................................................. 59 Integrable ℳ functions............................................................................................................... 59 4
8.1.1
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 8.1.2 8.2
Anders MunkNielsen
Integration wrt. m ....................................................................................................................... 59
Rules ................................................................................................................................................... 59 Insertion rule............................................................................................................................... 59 Convention: wrong intervals ...................................................................................................... 59 Locally integrable functions ....................................................................................................... 60
8.2.1 8.2.2 8.2.3 8.3
Proper Riemann integrals.................................................................................................................... 60 Theorem: Proper Riemann and Lebesgue .................................................................................. 61 Improper Riemann integrals ....................................................................................................... 61
8.3.1 8.3.2 8.4 8.5
Fundamental theorem of calculus ....................................................................................................... 63 Integrals using antiderivatives ............................................................................................................ 63 Problem ...................................................................................................................................... 63 Partial integration ....................................................................................................................... 64
8.5.1 8.5.2 8.6
Functions given as integrals ................................................................................................................ 64 The Gamma function .................................................................................................................. 64 Continuity of integral functions.................................................................................................. 65 Application to the Γ function? .................................................................................................... 66 Differentiability of integral functions ......................................................................................... 66
8.6.1 8.6.2 8.6.3 8.6.4 8.7
Product measures: The product of σfinite measures .......................................................................... 67 Technicality: sector functions..................................................................................................... 67 Return to theorem – with proof .................................................................................................. 68
8.7.1 8.7.2 8.8 8.9 8.10 8.11 8.12 8.13 9 9.1
Uniqueness of product measures ........................................................................................................ 69 Several factors..................................................................................................................................... 70 Existence of Lebesgue measure ...................................................................................................... 70 Tonelli’s theorem ............................................................................................................................ 70 Interchanging the order of integration ............................................................................................ 71 Fubini’s theorem ............................................................................................................................. 71
Image and combos .................................................................................................................................. 72 Image measures................................................................................................................................... 72 Example ...................................................................................................................................... 72
9.1.1 9.2 9.3
Successive transformations. ................................................................................................................ 73 Marginal measures .............................................................................................................................. 73 5
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 9.3.1 9.4 9.5 9.6
Anders MunkNielsen
Example ...................................................................................................................................... 73
Integration of M+ wrt image measures ............................................................................................... 74 Integration of ℒ functions wrt image .............................................................................................. 75 Translations on ℝ^k ........................................................................................................................... 76 ExampleTranslation and integrals .............................................................................................. 76
9.6.1 9.7 9.8 9.9 9.10 9.10.1 9.10.2 9.10.3
Translation invariant measures are proportional to the Lebesgue measure ........................................ 77 Isomorphisms of ℝ^k.......................................................................................................................... 77 Lemma ................................................................................................................................................ 77 Identifying Δ(A) for special cases .................................................................................................. 78 Invertible matrices ...................................................................................................................... 78 Orthonormal matrices ................................................................................................................. 78 Δ is multiplicative....................................................................................................................... 78
6
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
1 First lecture
Begin: Counting sets Consider . Here, we have 4 jigsaw parts. , , , We have 2 possibilities for each jigsaw part; should it be in or not We have 4 parts ⇒ possible sets to create: . is a collection of subsets
DEFINITION ∷ A paving (da: brolægning) on We have seen several pavings already
he jigsaw pieces nions of jigsaw pieces Clearly, these pavings are different. DEFINITION A paving And is a partition if
We say that REMARK 
sets are the atoms of the partition. They are pairwise disjoint and fill out the entire space. (but practical to allow it?)
Sometimes, some people demand
 Example ∷ the jigsaw pieces  A partition is an example of a property, that a partition might have DEFINITION A paving is an algebra if
An algebra is stable with respect to settheoretic operations REMARKS  Similar to a subspace in a vector space.  The paving “the set of unions of jigsaw pieces” is no algebra, since the union of atoms is not an atom itself (and the complement of an atom is no atom (unless there is only one atom)).
1.1

Properties of pavings
The collection of jigsaw pieces was a partition but not an algebra 7
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
 The collection of unions of pieces is an algebra but not a partition. CATCH The properties we have described relate to how the sets in the collection fit together and not about whether the individual sets are nasty… Equivallently  The properties are most likely destroyed if we add or remove a single set.
1.2
Comment on original example
Then the natural algebra consists of unions of atoms, namely
What if we have
Generally If we started out with sets, then the natural algebra has (at most) (something weird might happen… e.g. if the sets are disjoint, etc.) unions of atoms
1.3
Sigma algebras
Let be a paving on a set DEFINITION is a algebra if 1. 2. If 3. If then then
The pair is called a measurable space. IT HOLDS THAT PROOF: Well, 1 states that . Then 2 gives that , but and is an algebra, and is thus stable to complements. ∎ ⇒ REMARK: doesn’t follow from 3, since this only speaks about infinitely many subsets PROOF ∷ just add a lot of empty sets, infinite sequence, and 3 applies ∎ BISÆTNING ⇒ PROOF ∷ well, we do know that But since ⇒ but then But clearly, is a algebra (proved above), it’s stable under unions, so by 2. ∎ (we could have just said ) . Now we have an
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Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
If 1.3.1 PROOF ∷ , then Examples of σalgebras system of all su sets of Trivially satisfies requiremens. EXAMPLE ∷ Trivial algebra Smallest possible sinse any σalgebra must contain these elements. , . and by above, this means their intersection is in
EXAMPLE ∷ The power set
1.4
Practical information
Deadlines will be on Monday in week 3, 5, 7
1.5
Appendix B: countability (tællelighed)
A nonempty set is countable if there exists a surjective map . Pick a new and give it ℕ . . If you get all the points, then you’re
DEFINITION KEY IDEA ∷ find an algorithm that counts all elements in One idea: pick a point and give it home. REMARKS
is countable by convention (otherwise, it doesn’t fit into the definition otherwise). Think of countability of a measure of “how large” a set is. 1.5.1 Counting
Note: any finite set is countable. HOWEVER ∷ you need to map all ℕ into SOLUTION ∷ Count the last point every time once you’ve reached them all. Counting . NOTE We may count the individual elements several times… e.g. Counting ℕ ℕ
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Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
1.5.2 Let If PROOF
Lemma be surjective. is countable, then so is of the two surjective mappings ℕ
The composition of is a surjective mapping ℕ
Argument:  Since is surjective, we can find a point ∎ 1.5.3 Subsets But since is also surjective, we can find
such that ℕ such that
(surjectivity). (surjectivity). will to any associate ℕ.
Now we have solved the problem since the composite map
If is countable then any subset is countable PROOF For any nonempty settle on a fixed point and define by
Clearly, Since 1.5.4
is a surjective map from )
(any point in
can be “hit” by choosing the very same
in ).
(cleacly ok since
is countable, the lemma above gives us that
is countable.
Product sets of countable are countable are countable, then ℕ ℕ and ℕ ℕ by . is countable
If and PROOF We have Just define
Will this work?  yes (argument goes coordinatewise) The reason is that ℕ … and and then ℕ is countable (proved before today) is surjective (since the coordinates are) is countable.
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Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 1.5.5 Lemma ℚ is countable
Anders MunkNielsen
ℚ is countable PROOF (recall, rational numbers = fractions) Consider the map ℕ defined by ℚ
by definition of ℚ this map is surjective. Since Since 1.5.6 PROOF
ℕ Assume that of 01 sequences is countable (proof by contradiction)  (sequence where each coordinate is either 0 or one)  It turns out that there are an awful lot of these sequences. We list all the sequences
and ℕ are countable, then
ℕ is countable.
is surjective, we get from a previous lemma, that ℚ is countable.
01 sequences are not countable (Cantor’s diagonal argument)
Now take the diagonal elements and flip them
can’t be in this sequence (of all sequences).  It can’t be the first, as the first element differs.  It can’t be equal to the second as their second term differs…  … CONTRADICTION 1.5.7 Uncountablly many subsets of ℕ ℕ , is uncountable. ℕ . Example
ℕ
CLAIM ∷ the collection of all subsets of ℕ, PROOF There is a bijection between
ℕ
and
ℕ (we choose the elements corresponding to the positions, i.e. 11
)
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Hence if 1.5.8 ℕ was countable, then so would
ℕ
Anders MunkNielsen
be (and it isn’t).
ℝ is uncountable
CLAIM ∷ Any nonempty interval is uncountable. PROOF Enough to consider . Let . Denote those numbers with a decimal expansion containing only 0’s and to
ℕ
1’s. Define a surjective mapping from ∎ 1.5.9 E.g. but
by (must only use 1 or 0).
BUT ∷ Bijective means that if
was countable, then so would
ℕ
be.
Theorem: Countable set operations
Recall, is a algebra if 1. 2. If 3. If THEOREM Let then then is a countable family of sets, then
be a σalgebra. If
PROOF Let ℕ be onto. Then
and similarly for ∩ ∎ REMARKS This will allows us e.g. to choose ℚ as our index set.
2 Goal today: measures
ULTIMATE GOAL TODAY Develop tools for assigning a measure (= size) for a lot of subsets of ℝ (or ℝ ) in such a way that  measure of a line → length  rectangle → area  box → volume Will be possible for open sets, closed sets and a lot more… but not all! 12

Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Q: What kind of subsets of ℝ or ℝ can be assigned a measure? A: : borel σalgebra on ℝ nice set, will contain all such subsets of ℝ PROBLEM ∷ difficult to verify whether a set is in NOTATION 
Anders MunkNielsen
means “contained in or equal to”
2.1
4.
Sigma algebras
is a algebra if 5. If 6. If then then
Trivial examples 1) 2) 3) If a. then (note it is if is in general not a σalgebra but ) always is.
4) either is counta le or is We will prove that 4) is a σalgebra as an exercise. RECALL A set is countable if ℕ surjection (all elements in hit) is countable by convention Finite sets ℕ ℕ ℚ are countable ) is countable if and are. Subsets of countable sets (e.g. rationals in
is countable if each is countable.  countable union of countable sets is countable Not countable 2.1.1 ℝ Exercise either Prove that PROOF Step 1: Well, is countable, and then by definition 13 . is a σalgebra on . is counta le or is
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Step 2 Let Then Step 3 Let Well, either Assume Assume ∎ But But then . To show are countable or ℕ such that
e organ
Anders MunkNielsen
. Show or If
. is the complement of a countable set and thus in . is not countable for some (but is). is countable.
is countable is countable, then
are countable Aha, but we proved last time that then not countable. . is countable.
is not countable, so then
is a subset of a countable set and then it’s itself countable.
2.2
Let
Intersections of pavings
and be two pavings on . an .
Typically, EXAMPLE Let Then 2.2.1 Let
will contain fewer sets than each of and assume that . and . Set
Lemma: intersections of σalgebras is a σalgebra. be a family of pavings on a set . If each is σalgebra then
is also a σalgebra. PROOF σalgebra. need to check 1)3) 1. 2. If 3. If STEP 1 Show Well since then then . We know that each . is a σalgebra.
is a σalgebra for all then
 ⇒ STEP 2
14
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Let . To show ⇒ . ⇒ . To show ℕ arbitrarily chosen but fixed. ⇒ , since is a σalgebra. , we get . for all was arbitrary, hence for any fixed  ⇒ STEP 3 Let Let Now ⇒ We know that
Anders MunkNielsen
.
Since this holds for all
2.2.2 Let 1) 2) PROOF
Theorem: generated σalgebra be a paving on a set (i.e. a. . Then there exists a σalgebra sets) with property 1 . sets. for example sets. Then . There are many does this, then on such that
contains all the
is smaller than any other σalgebra on i.e. if anyther σalgebra
One can always find a σalgebra on others. Let
which contains all the
be the family of σalgebras which contain all the
is the smallest σalgebra on Let’s go Let where Have to show a) b) σalg.
which contains all the with all
sets. .
is a σalg on
c) is the smallest σalg. on with the above property. PROOF  a) follows from the lemma earlier. b) well each c) Let contains , so also the intersection will. . we have to show that for some (in the family) . , be a σalgebra with Well since well then
will be in the intersection that defines . But then,
⇒ ∎ 15
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 REMARKS We say that Note, if 2.2.3 If is the σalgebra generated by and write . . is itself a σalgebra, then
Anders MunkNielsen
Important problem pavings on , when will ?
2.3
If
Part 2 of the lecture
pavings on , when will ?
The important problem EXAMPLE (see the figure in the book) CLAIM PROOF (without actually finding IDEA Every NOTE! NOTE! then all elements in Aha, but since set can be constructed out of but are contained in . , and since is a specific example of ⇒ is the smallest σalgebra that contains . sets, namely (algebras are stable to ). )
a σalgebra that contains , so The other way around is quite similar.
2.4

Pavings on the real line ℝ
∷ collection of bounded, open intervals ∷ collection of bounded, open intervals with rational endpoints.
∷ collection of open sets. RECALL A subset ℝ is open if for all one can find an interval such that
2.5
The Borel σalgebra on ℝ
THEOREM ∷ REMARKS ∷ tells us that we can generate from a smaller subset of 16
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 PROOF By definition,
Anders MunkNielsen
is a σalgebra which contains all open subsets of ℝ. In particular, it contains all open
bounded intervals on ℝ. By minimality, we get Other way CLAIM ∷ Let . Then we know that

Take to .
. How do we write it as
, where
.
That is, we need a sequence of intervals (intervals here since we are looking at ℝ), so that they converge But this is possible since ℚ is dense in ℝ. I.e. we can choose . in ℚ so that

and note that
CLAIM ∷ PROOF ∎ 2.5.1 Exercise: generating from other sets RHS is a countable union of open intervals . Hence . We conclude that Take
Other generating systems for the Borel σalgebra on ℝ Let Then be a paving on a set . can begenerated by the closed sets as well (since they are the and let
A consequence of this will be that complement of the open sets). can also be generated by compact sets in ℝ halfopen (or halfclosed) intervals in ℝ
ℝ or And 2.5.2 . A hierarchy of pavings on ℝ
ℝ
DEFINITION ∷ the enlargement of a paving 
on ℝ
(idea ∷ we want to create a σalgebra by taking udgangspunkt in a certain paving on ℝ and adding some) 17
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ℝ For define iteratively or for some
Anders MunkNielsen
Note ∷
may not be a σalgebra
DEFINITION ∷ the constructible sets are
Clearly,
. However, it can be proved that
.
Also, by a counting argument, ℝ , hence completing the chain of inclusions above.  the cardinality of a set is 2 ^{cardinality(set)} cardinality{ ℝ }=
ℝ
(notation?)
2.6
Open sets in ℝ^k
of ℝ is open if we can construct a ball around any on ℝ is the σalgebra completely in
Recall a subset DEFINIION
The Borel σalgebra DEFINITION
An open box in ℝ is a set of the form where ℝ with for all . . .
The collection of all open boxes in ℝ is denoted by The boxes with rational endpoints is denoted THEOREM
The proof is the same, except now you work with boxes.
2.7
Measures
is a σalgebra on ). allowed)
Let be a measureable space (i.e. DEFINITION A measure on is σadditive i.e. for any sequence is a setfunction
satisfying (note,
of pairwise disjoint sets (i.e.
) we have
REMARKS 18
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 using a finite union. Many sets will have measure infinity. This is allowed!
Anders MunkNielsen can’t be written in
Why work with infinite union and not finite? Because some intervals, e.g.
2.8
2.8.1
Properties of the measure
Finite additivity
Notes if If for at least one for all while , then , then

If
for all
while
, then
FINITE ADDITIVITY LEMMA ∷ Let be a measure on a measurable space. If are disjoint then
PROOF  Need to produce an infinite sequence of sets which are pairwise disjoint. These are pairwise disjoint, therefore
∎ 2.8.2 Let Monotonicity be a measure on a measurable space . If satisfy , then
 This follows from (countable) additivity PROOF ∎ 2.8.3 Upward continuity We if Note that , we can write . so that . Then are disjoint. Therefore, since
LEMMA 19
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Let Let be a measure on a measurable space satistfy , then .
Anders MunkNielsen
REMARKS We know that is an increasing sequence by monotonicity. That it converges to the measure of the union is our result. lim lim .
 Think of it as continuity, PROOF Want to use additivity PROBLEM
 the sets are not pairwise disjoint.  We want to use additivity so we need to create a disjoint set. SOLUTION

Note that By induction,
.
The sets
are pairwise disjoint. By finite additivity
By letting
, we conclude that
2.8.4
Boole’s inequality (helpful)
LEMMA Let be a measure on a measurable space Let be arbitrary sets
.
PROOF Again generate Note that Hence, CLAIM PROOF clear 20 . and somethin .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 The sets Since are pairwise disjoint and satisfy , it follows that and therefore
Anders MunkNielsen for all .
∎ 2.8.5 Let If Difference be a measure on a measurable space satisfy and , then .
PROOF We have that subtract from both sides to obtain it.
∎ REMARKS we need to be able to subtract it on both sides… otherwise we wind up in situations like which we can’t determine. 2.8.6 Let Downward continuity be a measure on a measurable space satistfy and . for at least one then
(not necessarily ok if all sets have infinite measure) why?  if Remark Then for some , then so
since it’s increasing (we subtract a larger set) sis an increasing sequence.
2.9
Examples of measures
Onepoint measure For an arbitrary set define on the onepoint measure at by setting for all
Then 
is a measure. for all since 21 )
(illustration, clearly,
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Counting measure num er of elements in
Anders MunkNielsen
Then is a measure  σadditivity is easy, if the sets are disjoint, the number of elements is the sum of the two’s
2.10 Lebesgue measure
is a measure on ℝ REMARKS 2.10.1 The Lebesgue measure on ℝ should be viewed as a generalized notion of length NOTE! This is only the measure of an open interval!  what the measure is on other sets of It can be proved that this measure exists. Unique? Yes, proved next week. Properties we haven’t specified yet. for which ℝ ℝ
Measure of point is zero LEMMA PROOF
then downward continuity implies that (first, we need to check that at least one interval has finite measure, but they all have measure so they are all finite) lim ∎ CONSEQUENCE All interval Rationals Let be an enumeration of ℚ. Then ℚ Could we now say ℚ ??? NOOOOO‼‼ , , and where have the same length. lim
problem, and are the same is not necessarily disjoint. 22
 hence BUT Boole gives
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ℚ
Anders MunkNielsen
2.10.2
Cantor set – uncountable set with measure 0
Divide the unit interval into three equal parts Remove the central open part Repeat the procedure on the remaining two, closed intervals. Keep going The Cantor set is what we are left with disjoint closed intervals, each of length closed sets. , it follows that is closed. In particular (Borel may be . At the ’th step, we have Let Then denote the union of the lim
Note, since is closed for all generated by closed sets) CLAIM PROOF
∎ REMARK there exists a bijective map from the Cantor set to the set of 01 sequences, and theeerefore uncountable! So we have an uncountable set with measure zero. is
2.11 Lebesgue measure on ℝ^k
DEFINITION Lebesgue measure on ℝ for which
for all real REMARKS Generalized volume Exists! (difficult proof) Unique, will be proved next time.
2.12 Properties of Lebesgue on ℝ^k
Hyperplanes in ℝ 23
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ℝ CLAIM ∷ PROOF Consider ℝ , and consider Given ℝ ℝ (the xaxis!) ℝ This is a very small box. It is ℕ let’s construct the following two families of sets
Anders MunkNielsen
wide (along xaxis) and tall (very thin along yaxis)
What is
Now, let’s consider Notice that
By downwardcontiniuity (sequence of decreasing sets) lim Hence, On the other hand By upward continuity lim lim lim for all ℝ . . lim
∎ REMARKS Nice example, we use both upwards and downwards continuity
3 Recap
The pair ( where is a algebra is called a measurable space. satisfying and σadditivity ) . becomes a σalgebra . is the measure, that satisfies A measure is a map
pairwise disjoint ⇒
The Borel algebra, , is the σalgebra generated by the sets  i.e. it’s the smallest σalgebra containing the open sets. Note, i.e. we add sufficiently many sets to can also be generated by the open boxes, on ℝ
The dimensional Lebesgue measure
24
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
 existence of (i.e. the properties of the remaining sets of ) is not obvious at all. Comment  We can only “imagine” the constructible sets  i.e. the ones built from “base” sets by means of set theoretic operations. But there are sets in which can’t be constructed form regular sets in ℝ.
4 Today
4.1
A set Thus, A set REMARK ∷ 4.1.1 if the measure is changed, the notion of nullsets/almost sure sets is changed. nullsets and almost sure sets do not have to be measurable… but of course they usually are Every subset of the Cantor set Unions of nullsets is an nullset but only some of them are measurable.
New definitions
is a μnullset if there is such that ).
need not be measurable (i.e. ok that is μalmost sure if is a nullset.
LEMMA ∷ Let PROOF are nullsets. I.e. for each So to ℕ, we have such that and such that . we should find a larger set that is measurable with measure 0. be a measure on and is a sequence of nullsets, then is also a nullset.
Now,
since each
and since
is a σalgebra and thus stable under countable union.
The measure? Well, we don’t know if
are disjoint, but we can use Boole’s inequality
∎
4.2
Let
More definitions
be a measure on . 25
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 We say that We say that We say that is finite if . is a probability measure if is finite if
Anders MunkNielsen
(note, not much difference to finite measure – just multiply)
where LEMMA PROOF in ℝ Set Note that Also, note that And note that
is an increasing sequence of sets satisfying that
.
The Lebesgue measure on ℝ is σfinite (box of length ℝ ℕ centered at the origo)
 ∎ REMARKS We will “pretend” that the Lebesgue measure is finite though it isn’t since . ℝ … but
4.3
Let
The uniqueness problem
be two measures on . Suppose that
QUESTION
does it then hold that i.e. when do we stop checking for individual sets and jump to the conclusion that it’s probably true for all sets. i.e. exactly how many sets should IDEA Maybe a generator for will suffice? and have to agree on…¨
4.4
The extension problem
and can we conclude that ?
The extension problem for sets. Let and let . Under which conditions on We can formulate the uniquenesss problem in this setting: Formulating the uniqueness problem Let measures on . 26
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 We know that I.e. . . is a σalgebra – then means that by minimality. is a σalgebra What we want is .
Anders MunkNielsen
SIMPLE IDEA – Because But
If we can show that
is the smallest σalgebra containing . is a σalgebra. . ℕ)
is a specific σalgebra containing
 ⇒ then by the identity principle, PROBLEM Often it can be quite difficult to prove that REASON Ok, so we’re considering Is Take
a σalgebra? → let’s test countable unions (meaning that
Q: will ? A: Don’t know! We have no assumptions/axioms regarding the measures of the unions  although we do in the special cases where (a) disjoint, (b) increasing (upwards continuity), (c) decreasing (downwards continuity)  But we need knowledge for any sequence of sets. Dynik class on is a Dynik class if and , then
4.4.1
A paving 1) 2) If
3) If and , then also Note that 2) is stronger than that from a σalgebra.  Note that 1) and 2) means that ⇒  so 1) and 2) imply stability under complements Note that 3) is weaker than that from σalgebras  we only need countable union stability if the sets are growing THEOREM Every Dynkin class that is stable under intersection is a σalgebra PROOF Let i.e. be a Dynkin class and let be stable under intersections. ⇒ We prove that is stable under unions 27
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 
Anders MunkNielsen
note, stability under unions and intersections is basically the same, we could’ve formulated the theorem the other way if we wished. Take ⇒ Then ⇒ then . Then . by de Morgan’s law. is a σalgebra ∷ Show that is stable under countable unions for arbitrary sequences of sets. (stable under complements)
To prove that
Take . Let’s consider finite union. Take
By the above,
(stability under finite union)
Note that , by construction. But then 3) of the Dynkin class applies, and we know that
But since inequalities). We now get that
(we get redundant members in the union – but strictly we must show the two
as desired. ∎ REMARKS  So adding stability under intersections (or unions), we get that the Dynkin class is also a σalgebra. 4.4.2 Let 1) 2) Dynkin’s πλ lemma and let is stable under intersection. is a Dynkin class. . If
Then . PROOF IDEA ∷ show that (not done here) 4.4.3
is stable under intersection.
The uniqueness theorem for probability measures
THEOREM Let and assume that be probability measures on . Let be a generator for , stable under intersections, and
Then it holds that
. 28
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 PROOF Let We know that . (by assumption, they agree on the generator)
Anders MunkNielsen
Need ∷ prove that they also agree on the remaining sets in . Dynkin’s lemma will give us the desired result if we can show that  I.e. we need to show that 1) Is 1) 2) 3) If ? a. that is, is ? b. Well this holds since they’re probability measures since c. 2) Let a. c. and b. Want to show Well, i. this holds because d. But also . by monotonicity. . . . So we know that . , and and ⇒ , , then also is a Dynkin class.
3) Take such that and such that a. Need to show stability under union. b. But since the sets are increasing, lim c. But also lim d. But the sequences e. Thus and , i.e. are the same and thus have the same limit. .
Thus, is a Dynkin class. Then Dynkin’s lemma guarantees that it’s a σalgebra. Then by minimality ∎ REMARKS We used the fact that are probability measures to get the set difference and to establish that . Note that it is not enough to have them agree on an arbitrary generator – the generator needs to be stable under intersections. Q: what if it wasn’t probability measures 29
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 4.4.4 Let that If we also know that SKETCH OF PROOF We explicitly assume The 4.4.5 Let that If there exists a sequence Then . for every of sets such that . and being finite. then it holds that . Uniqueness theorem for finite measures. be finite measures on and let
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be a generator for , stable under intersections, and assume
comes from the assumption on
Uniqueness theorem for σfinite measures. be finite measures on and let be a generator for , stable under intersections, and assume
IDEA ∷ reduce everything to finite measures. PROOF The measures and are not finite themselves → let’s introduce new ones that are. ℕ ℕ HOMEWORK check that and are in fact measures (σadditive)  assume it for now. Note that for ,
BUT! Note that (generator is assumed stable under intersections), → and the measures agree on all sets in the generator, so in particular this one NOW ∷ we want to use the uniqueness theorem for finite measures. Note
Since we’ve chosen
, we have that
.
Furthermore, by assumption on the ’s (in the theorem) Using the uniqueness theorem for finite measures, we obtain that the reduced measures are the same
30
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Fail… we wanted … and let move) ℕ But by assumption, And by upwards assumption . But what we do have is (if we instead fix
Anders MunkNielsen
Aha, so
But since ∎ 4.4.6
and
agree on all points up to the limit, they must agree on the limit
Uniqueness of the Lebesgue measure
PROOF If we have two Lebesgue measures, then they will certainly agree on all open boxes BUT ∷ the open boxes form a generator for The boxes which is stable under intersections (check it!)
.
is an increasing ssequence with union ℝ and every one of these boxes has a finite Lebesgue measure. ∎
5 Goal today: construct integral
5.1 Recap from last time
is measurable if .
Measurability
NOTE! It suffices to check on a generator set of RESULTS Examples of measurable functions 1) If a. ℝ i. ii. iii. iv. max ℝ is continuous, then In particular, the following maps on ℝ
is

measurable. measurable
ℝ are
31
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 v. vi. vii. viii. 2) Composition of measurable maps is measurable a. b. c. d. If and , Want map are measurable, then is too. min
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5.2
Let
Function class ℳ
be our measurable space. measurable functions ℝ is called the measurable functions on .
DEFINITION ∷ the collection of all , and it is denoted by ℳ Remark LEMMA ∷ if PROOF The map Hence the map ∎ Multiplication LEMMA ∷ if PROOF The map Hence, the map ℳ and if ℳ then
ℳ is similar to a algebra in that it is functions stable under the usual algebraic operations. ℳ measurable.
is continuous and thus
is the composition of two measurable maps in this way
ℝ, then
ℳ measurable.
is continuous and hence (of
into ℝ) is a composition of two measurable maps and hence is measurable.
Sum LEMMA ∷ if PROOF (outline) The map
ℳ
, then
ℳ
.
defined on into ℝ has measurable coordinates and hence it is RECALL Measurable coordinates ℝ ℝ 32 ℝ
measurable.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Result from last time are now, the claim above claim is that NOW ∷ the map is measura le is measurable, is
Anders MunkNielsen measura le
measurable
but this is the same as knowing that each coordinate is measurable. ⇒ so the composition is measurable, i.e. is the composition of two measurable maps, so it’s good.
Put in other words, the map REMARK Pay attention to the intermediate σalgebra, must be measurable and must be so the middle functions agree on the SIMILAR RESULTS Similar for , min LOOKING AHEAD , max
measurable
σalgebra. , … (and extended division)
ℳ is also good for handling sequences of functions
5.3
If
Liminf and limsup
be a sequence in , then sup If , then inf
ℕ ℕ
LEMMA ∷ Let
.
PROOF For a bounded sequence, this is wellknown. If it is increasing and unbounded means that sup vice versa, then inf 5.3.1 Let NOTE ∷ Hence, Therefore the sequence Its limit is denoted
ℕ ℕ
and this means the lemma holds
Liminf and limsup in We define its running supremum by sup is a decreasing sequence (we take sup over a smaller number of points. . converges. lim sup lim sup lim sup
ℕ
Similarly 33
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 lim inf Remark lim sup and lim inf lim inf
Anders MunkNielsen
are accumulation points (da: fortætningspunkter) for the sequence converges to each of these)
ℕ
(i.e. a subsequence of
(→ and lim sup is the largest such and lim inf is the smallest) (i.e. no subsequence can converge to anything smaller/greater respectively)
Example
We observe that lim inf 5.3.2 Computation rules for all for all where lim inf 2) If , then lim inf 3) We always have lim sup 4) For sequences in (NOTE! lim 5.3.3 If , lim sup lim lim lim sup ) lim sup lim inf lim inf lim sup lim sup , then lim sup lim sup
1) If
If the normal limit exists as , then lim inf lim sup
5.4
ℳ is stable for limits
is a sequence of ℳfunctions and if sup
ℕ
PURPOSE ∷ stability for limits LEMMA ∷ If ℝ
then the function REMARKS The assumption sup PROOF
sup
ℕ
ℕ
is also an ℳfunction (i.e. it is measurable) ℝ ∷ think: it ensures that we do indeed come from to ℝ still.
Recall that it’s enough to check measurability on a generator for Recall that intervals of the type form a generator for . 34
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Let’s define sup We must check that for any Then ,
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sup
ℕ
We must check, that this set is measurable. WE KNOW that I.e. is measurable.
BUT NOW we see that sup
ℕ claim
SINCE,  and is a σalgebra, so Now we prove the claim CLAIM PROOF “ ” “ ” Take I.e. sup PROOF then But then want,
ℕ
since
ℕ
is measurable
sup
ℕ
Take ⇒ ℕ
ℕ ℕ
. Want, , i.e. .
sup
ℕ
Want to show ∷ sup
But indeed, we have sup sup
ℕ
∎ .
CLAIM ∷ But this can only happen if at least one suppose the contradiction, that but then sup contradiction ℕ such that is in the required union.
ℕ
ℕ exists such that for all ℕ
 ∎ BACK TO THE ORIGINAL PROOF For each construct sup i.e. it’s the running supremum. 35
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 CLAIM “proof” ℝ for all
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follows from our assumptiuon that lim sup of fn is in ℝ ℳ
By the previous lemma, Recall that
lim sup inf invoke the infimum version of the previous lemma to obtain the required conclusion.
5.5
Sequence of ℳ functions with a limiting function
is a sequence of ℳfunctions, and if then ℳ ℝ is yet another function such that
LEMMA ∷ If for every PROOF ∷
IDEA ∷ if a sequence converges, then limsup = liminf = lim. Then we have lim sup ∎
5.6
The function class ℳ+
is called the nonnegative real and it’s denoted by ℳ .
DEFINITION ∷ the collection of all measurable functions functions on In this setting, measurable means Or equivalently it means measurability wrt the trace algebra of REMARK if 5.6.1 Arithmetics , then ℳ ℳ … so to speak on
ℝ.
5.6.2 If If
Function class ℳ+ ℳ then so is for . min )
is then so are all the combo functions (
Lemma ∷ sequence… something
36
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 5.6.3 Simple functions
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A function EXAMPLES
ℝ is simple if it attains only finitely many distinct values.
is not simple is a simple function (takes only values or ) CANONICAL FORM Any simple function can uniquely be written in the form
where Example Suppose and suppose that Canonical form:
and
is a partition of
consisting of pairwise disjoint, nonempty sets.
(the increasingness of the ’s will give us the uniqueness of the expression)
are in general position.
SIMPLE AND MEASURABLE We write LEMMA ∷ LEMMA ∷ also in ⇒ . are simple… for the simple, measurable functions. . If is also nonnegative, then we use
NOTE ∷ you need to remember to check measurability, not just that the new functions (but this was given by an earlier lemma) Indicator function Notte that any function of th eform
will give us a simple, measurable function (?? didn’t get everything…)
5.7
Approximation
if and moreover . This is called monotone convergence.
We say that
LEMMA ∷ something... (noget med at man kan approksimere med en trappe, der får flere og flere skridt… ved hvert skridt kommer der endnu en indikatorfunktion på) (vi konstruerer en trappe) NB! To keep the function as a simple class type, we need to restrict it to being constantly equal to something from a certain step and onwards… otherwise, it would take infinitely many different values… BUT ∷ when we increase the #trappetrin, we get closer to the true function at every little interval 37
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 COROLLARY Let ℳ . There exists a sequence of
Anders MunkNielsen
functions so that
6 CH 5 + 6
RECALL measure space ℝ is called simple if it attains only finitely many distinct values Write if PROPERTIES NOTE Take , ⇒ , where , ℝ different values. measurable since finite sum of measurable multiplied by a scalar so the function can at most take , ℝ⇒ ⇒ (note, then , just choose ) if is simple and measurable and
 simple since each term takes values EXAMPLE
in general position (last writing is actually the canonical form of ) CANONICAL FORM of Unique writing of in the following form:
satisfying partition of recall partition: and when
6.1
Let Let
Preintegral
be a measure space have canonical form
38
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 DEFINITION We define the preintegral of to be re integral REMARKS 6.1.1 Let ( happens when for some )
Anders MunkNielsen
Lemma 6.3 be on the form
where the Then
sets are
sets which constitute a partition of
and
POSSIBLE PROBLEMS may not be in increasing order  → no problem, we could relabel them possible for some → no problem, then Some of the ’s might be equal  … this is the real content of the lemma
6.2
Linearity and additivity of the preintegral
(simple, measurable, nonnegative) and , then
LEMMA ∷ if PROOF
Take on canonical form
Then
has representation
By lemma 6.3 it follows that
39
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
∎
(since
in the form above exactly satisfies the assumptions for lemma6.3
LEMMA ∷
, then
“PROOF” Messy… will not be shown here…
6.3
Important: Lemma 6.5 (overrides previous)
be on form
LEMMA ∷ Let
where
are
sets and
. Then under no additional assumptions on the
sets, we have
PROOF
a itivity linearity
6.3.1
where in the last function, we have used that Monotonicity , ⇒
has the canonical form
LEMMA PROOF

now, by additivity of
6.3.2
where
since
function →
An approximation result and increasing seq with .
THEOREM Let PROOF Then Let
40
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
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(since
)
Upwards continuity implies

why? because more thoroughly CLAIM ∷ (the set (in other words, (but now recall that (
for all as increases to ) , and …) )
“PROOF” ∷ use upcont… since
6.4
Lebesgue integral
For a funcrtion ( ℳ we define the Lebesgue integral by and measurable)
ef
DEFINITION
sup
REMARK The Lebesgue integral of ℳ always exists. It can however, be is a possible simple why? because sup of a nonempty set always exists‼‼ (e.g. function) DEFINITION The integral of ℳ over a set is
6.4.1
Preintegral is an integral function then
LEMMA PROOF By definition
sup implies on the other hand satisfies something… 41
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 blah blah didn’t have the time to write everything…
Anders MunkNielsen
6.5
Recap from earlier today
measure space For ℳ define its Lebesgue integral sup where is the preintegral (are under the graph of )
RECALL from earlier today
Note, in principle it was defined for on canonical form … but we found that no matter what form ⇒  (i.e. it turned out not to be necessary to write on canonical form) OBSERVATION ⇒ i.e. the theory is consistent with our intuitive grasp of it…
6.6
Lemma: monotonicity
ℳ satisfy for all Then
LEMMA ∷ If
PROOF Want to show sup Take with , we also have , so is in the set on the right side. ⇒ since we know sup
Ok, so any in the set on the left must be in the right set i.e. But then a property of sup is that when taken over a smaller set, it is smaller. ∎ MOREOVER If , we define 42
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
6.6.1
Example , where is the Lebesgue measure. Let ℝ be a
Consider the measurable space ℝ continuous (thus measurable) function. Then
for every bounded set PROOF Indeed suppose that Since Then
. for some ℕ. such that
is continuous, there exists

Why? On the set ,  And since , combo But this is just computed as the preintegral

6.7
Let
Lebesgue’s monotone convergence theorem
be a sequence of ℳ functions. Suppose that for all ,
THEOREM ∷
Then
RECALL means that PROOF ℳ (didn’t need that as an assumption… lemma XX gives it) So it makes sense to consider On the other hand, ⇒ here, note that thus, it converges to something in 43 is an increasing sequence that lies in . and sup for .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 that is TO SHOW
Anders MunkNielsen .
(note the smartness, an increasing sequence will always converge to something in
How does 
relate to sup for all
?
⇒ sup Thus we get
REMAINS TO SHOW
Well, sup Suffices to show that enough to show Let TRICK ge given such that . Then I PROOF  Let Now, let If If … … ⇒ ∎ for some , then sup (large enough @ growing sequence) for any (since ) ) (since was chosen so that to show: we have that large enough
CLAIM ∷ Let
Note, that since ⇒ But the trick says that for any , we can find ⇒ NOTE for all 44 large enough so that
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 (both these functions are defined on all of ⇒ but here,
Anders MunkNielsen ))
(indicator just dies outside

so we’ve got sup
CLAIM ∷
for
PROOF  the upward continiuity theorem we saw this morning which said if and when ⇒ , we have that ⇒ now take the limit for for any simple function
6.7.1
Linearity of the Lebesgue integral ℳ and , then
LEMMA ∷ if
PROOF CASE 1) suppose Then . Let be a sequence of as lim CASE 2) If , we note that as lim
claim
functions such that for every . Hence lim lim
,
as
.
and we see that
and therefore lim

proof of claim If If , ,
∎
∎
45
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 6.7.2 Additivity of the Lebesgue integral ℳ , then
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LEMMA ∷ if
PROOF Approximate each of lim ∎ 6.7.3 Combo of infinite doom be a sequence of ℳ functions. Then by simple function sequences lim lim lim
LEMMA ∷
REMARK both terms make sense ∷ limits. can have limit . Note that lim for as and therefore by the monotone convergence where ℳ and ℳ is closed under
 NOTE that PROOF for all theorem, we obtain
lim ∎ 6.7.4 Can the integral be 0? sup LEMMA ∷ Let ℳ . Then
lim
lim
almost surely REMARK This means that PROOF “⇐” Let We have 46 and is assumed measurable) is a nullset since is (it will automatically be measurable → since
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ⇒ ⇒ “⇒” Consider
convention
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We see that
Can we say something about Well,

since on the set
,
How do we translate this? Take integrals on both sides
but
But ℕ⇒ ∎ CONCLUSION  a function 6.7.5 ( ⇒
has integral zero if and only if
almost surely
only on a nullset)
When do two functions have the same integral
COROLLARY Two functions have same integral if they agree on mualmost every point PROOF Let be a almost surely set which is measurable. Then
since Similarly for Now, if
almost surely.
47
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 we get
ef
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∎ 6.7.6 Limit problem sequence M plus
Let assume we now that Q: will NO! But if 6.7.7
ℳ ? , it holds (I think… didn’t have time)
Fatou’s lemma
THEOREM Let sequence M plus lim inf PROOF For all Note that lim inf and therefore by the monotone convergence theorem lim inf Since for alle ,  then we have two sequences where one is greater  … then lim inf respects the inequeality lim inf CLAIM lim inf PROOF Note first that is a sequence of numbers  if it converges, then liminf = lim ??? 48 lim inf lim inf set inf lim inf
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
6.8
Dominated convergence theorem
A function and moreover ℳ is a integrable majorant for a sequence if
DEFINITION
(for now, integrable means finite integral) DOMINATED CONVERGENCE THEOREM (preliminary version for ℳ only) If for all for and if has an integrable majorant , then
6.8.1
Example
Consider the measure space ℝ
proof
(the idea is that For let’s consider
is globally defined)
Then
as
for all
and
 idea: fix and see what happens when So now we have a sequence converging almost surely to another function (zerofunction) If only we can find an integrable majorant, we can infer, that the integral also converges to the integral of zero. CLAIM ∷ PROOF which is true ∎ Now we just need to establish that . 49 , .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
6.9
Positive / negative part
The positive part of a function is max The negative part max
7 Ch 6 and 7
7.1 Recap from last time
functions
We start with
where has preintegral
and
.
NOTE! The actual definition of the preintegral should be unique  some problems occurred with regard to the form os (not unique)  turned out to be ok anyway LEBESGUE INTEGRAL sup MONOTONE CONVERGENCE THEOREM If in ℳ , then
Remarks  Riemann has nothing equivalent. Properties
and a lot others… idea ∷ show the property holds for any GENERAL CONVERGENCE RESULTS Here, things got more tricky
function and use monotone convergence
50
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Q: If axis Note that Hence However, since converges to the zero function) for all , , and , define ℳ , will then Example against: on ℝ
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, then it’s a sequence of bars moving outwards on the
(simple function, Lebesgue = preintegral = (indicator fct)
1=1)
But , so no convergence. … So, we need some structure on how FATOU’S LEMMA  if is a sequence of ℳ functions lim inf lim inf
Not very strong but it doesn’t require any regularity conditions on the sequence
7.2
Dominated convergence theorem
if and . If has an integrable
Definition is integrable upper bound for a sequence THEOREM Let upper bound , then
be a sequence of ℳ functions and assume
PROOF Application of Fatou’s lemma Well, from Fatou, we know lim inf BUT! If I.e. is actually convergent, then lim inf lim inf lim sup lim inf If we show lim sup then we could use that BUT! Upper ineq = lower‼ lim inf lim sup lim inf . 51 . lim
→ this would then mean that lim sup and the common value is exactly
→ but that only occurs when we have convergence and that the limit is the common value.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Hence, the theorem is proved if CLAIM ∷ PROOF holds ) lim inf conv ⇒ lim inf , where ℳ and lim holds. hunch; we probably need to utilize
Anders MunkNielsen
Consider ℳ (because We apply Fatou’s lemma to get lim inf (where we used that OBSERVE ∷
conv
) ℳ , hence
Now, we assumed
, which means that
. Now we may subtract
(note that we couldn’t use additivity directly since we have a minus involved…) Now use the ineq lim inf lim inf Now use that lim inf lim sup lim sup lim sup lim sup which proves ∎ ∎ REMARKS We will be using the dominated convergence theorem extensively in this course. . lim sup
7.3
Integrating all sorts of ℝvalued functions
For ℝ, we define the positive and negative parts of The positive part max The negative part max 52 as
DEFINITION
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 NOTE ∷ the collage construction ⇒ PROPERTIES and is measurable.
Anders MunkNielsen
(actually, the last (product) requirement ensures uniqueness of writing “proof” if if DEFINITION A function ℳ is integrable if an and we write DEFINITION ℒ ℳ that is integrable, is , then , then
as the sum of two griners)
The Lebesgue integral of a function
Note, if 7.3.1 Let
ℳ
ℳ , then
. Hence we have two ways of integrating. However they are identical.
Integrability ℳ. It holds that is integrable if and only if
PROOF “⇒” Assume Then ℒ.
But recall, Since ℳ is stable to sums, ℳ so
“⇐” Assume Use
now use monotonicity in ℳ (integrals respects inequalities)
53
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Similarly with ⇒ ∎ ℒ. .
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7.4
Properties of the Lebesgue integral
the properties will follow from that for the positive functions with some mingling. 7.4.1 Let Linearity ℳ and ℝ. If is integrable then is also integrable and
PROOF Observe that then Just insert in the collage definition and take it out of the Checking integrability (finite int) and then out of the collage
similarly with the negative part. Conclusion: ℒ an is irrelevant Here we need to be careful. (proof)
Now, let’s check integrability
allowed to take
outside
since we know that the ℳ has the required additivity
54
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
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since ∎ 7.4.2 Let
⇒
.
Additivity ℳ. If both and are integrable, then is also integrable and it holds
PROOF Take ℒ First, use the ordinary triangle inequality Note, these are all in ℳ . Thus, using monotonicity
a it of ℳ ℒ
so ℒ since ℒ NOW WE NEED TO COMPUTE IT First, note that unfortunately Instead, first note But also Then we must have
ℒ.
Note that both sides are in ℳ and we are just adding (got rid of the minus’es) ⇒ hence we may integrate (in ℳ manner and use the nice additivity that prevails there)
Rearrange again, (which is ok since all integrals are finite (recall, need to check that we avoid
)
and use definitions
∎ REMARKS The IDEA was ∷ convert to ℳ function and use additivity here. 55
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 7.4.3 If Note that we needed to get rid of all minuses and note that when rearranging we need to make sure that no Monotonicity ℒ and for every then
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PROOF write POINT ∷ But then
a itivity ℳ
is integrable (since
are) and ℳ
(assumption), so
since ∎ 7.4.4 If
ℳ .
Triangle inequality ℒ it holds that
PROOF We know
triangle ineq
(where we have used
ℳ )
∎ 7.4.5 If Identical integrals ℒ satisfies that almost surely, then
PROOF We observe that
56
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 As functions. Hence, ℳ which equals 0 almost everywhere, But we have a nice result for ℳ
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functions, that their integral is zero if they are 0 almost everywhere
7.5
Let
Dominated convergence
be ℳfunctions and assume that almost surely If the sequence has an integrable upper bound, , then all functions are integrable and
PROOF Assumptions: 1) 2) 3) Since , then  (this is because the fct. “positive part” is continuous and thus preserves limits) and So dominated convergence on ℳ guarentees that
Similarly, we can get it to work on the negative parts of ∎ DETAILS We only assumed that the convergence worked convergence everywhere What do? → we make it happen.
and
.
almost everywhere, and dominated convergence needs
If convergence only happens on an almost sure set , use the above on but… What then about BUT ?? i.e. for a point ?
,…
But then the sequence 57
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 and
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so we have already proved that
But now use that we proved that
almost surely implies
∎
7.6
Integration with respect to m
with respect to
Let’s integrate on ℝ
because singleton sets are
nullsets nullsets.
(so the functions (i.e. integrals) are the same except on We will write
for the common value of the four integrals.
7.7
Riemann and Lebesgue integrals
is Riemann integrable over , then ℒ and
THEOREM If ℳ ℝ
where means the Riemann integral. REMARKS For the known functions, the Lebesgue integral is just the Riemann integral. i.e. we can do antiderivatives etc.
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8 Ch 79
8.1
8.1.1
Recap
Integrable ℳ functions ℳ is integrable if
DEFINITION
both are satisfied. We write If
ℒ.
ℳ is integrable, we define the Lebesgue integral as
Let
ℳ. It holds that integra le
8.1.2
Integration wrt. m
Note that
but note that so the functions and are equal
, because which is a e esuge nullset almost everywhere
8.2
8.2.1
Rules
Insertion rule ℳ ℝ or ℒ ℝ
LEMMA Let
and
. Then
PROOF
8.2.2 If
Convention: wrong intervals we introduce the convention
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8.2.3
Locally integrable functions
The integrable functions on ℒ ℳ ℝ
Whereas ℒ means the globally integrable functions, i.e. ℒ Hence, ℒ ℒ .
The locally integrable functions on ℒ NOTE ∷ if ℳ ℝ , then ℒ for every .
is continuous on the closed interval
Why? Let’s take the integral and show that it’s finite For this, we’ll use that a continuous function is bounded on a compact interval! I.e. on for some constant .
simple fct
where we’ve used that
is a simple function
8.3
Proper Riemann integrals
on a partition are
Recall that a lower Riemann sum and an upper Riemann sum for sums of the form
where (i.e. If are the upper/lower bound correspondingly in the relevant intervals.) is bounded on , then sup lower sums PROBLEM: What if sup{lower}↛inf{upper}? It could be that there was an interval between them such that they didn’t get closer. inf , then is inf upper sums
BUT IF they approach each other, so that , we can get sup Riemann integrable We use the notation Riemann integral of on . 60
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 8.3.1 Theorem: Proper Riemann and Lebesgue ℳ ℝ ℒ
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THEOREM if is Riemann integrable over , then and
PROOF The upper and lower sums are integrals of simple functions So and such that .
Monotonicity implies
Also, Now we have
(if it exists, it’s defined as the deviding line between and .

(so far we just now that they are caught somewhere inside
both of them)
NOW ∷ we can get But this will imply what we want
8.3.2
Improper Riemann integrals
Many integrals won’t fit into this picture.  Integrals of ounbounded functions (which some times exist) E.g. , unbounded integral.
 But as the function is unbounded, we can’t really find an upper sum! Integrals over infinite intervals (unbounded domains)  Defeats the idea of upper/lower intervals … because the intervals should be infinitely long… Here, we would instead be defining improper Riemann integrals. lim (assuming that the limit exists) (ahem, no general formulas for when such a limit exists) (in practice, compute antiderivative and see if its limit exists) , and if 61 ℒ , then
THEOREM If has an improper Riemann integral over
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PROOF Consider We assume that , i.e.

(NOTE! Nontrivial assumption‼ see warning later) , since .
Idea ∷ along same lines as improper Riemann Fix attention to
Will this converge?? YES! @ dominated convergence theorem!
But
Note that for any is dominated by
, which is integrable by assumption
NOW Note that So is a compact interval.
But
ef
if the limit exists. But it does! SO we have two sequences which are the same at each point, then they must have the same limit
Warning! The theorem only says that Lebesgue = (improper) Riemann if we know that they both exist!  Sometimes, one may exist without the other. The function sin has an improper Riemann integral over the entire real line ℝ but it is not Lebesgue integrable! Note if 62
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 then (dominated convergence) BUT POSSIBLY converges even if …
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SO WE HAVE TO KNOW THAT THE LIMIT INTEGRAL EXISTS‼
8.4
Let
Fundamental theorem of calculus
ℒ . Choose and define ℝ by
It holds that
is continuous on
. If
is continuous in a point is an antiderivative of .
, then
TERMINOLOGY ∷ If
is continuous, then
8.5
Let
Integrals using antiderivatives
ℳ ℝ be continuous on If is an antiderivative of on , then
PROOF Let so It follows that
8.5.1
Problem
Show that (using antiderivatives)
Antiderivative of
is
, where
is assumd (here antiderivative is the logarithm)
no problem in the limit 1, since Bypass the other by taking a limit
is continuous here.
lim by the monotone convergence theorem 63
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Note, namely, that and that ℳ
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 (where the “monotonously increasing” goes on BUT NOW we have an integral over a compact set lim lim lim
, nothing with
there)
IMPORTANT Remember to go from an infinite to a finite domain. 8.5.2 Let have Partial integration be continuous on and let be an antiderivative. Let be on . For we
Partial integration all the way to
and
may and may not be legal!
8.6
Let Let
Functions given as integrals
be a measure space and ℝ. ℝ and open interval.
The section functions are the maps ixe ixe If every section function is measurable and integrable, we can define ℝ by
8.6.1
The Gamma function
Note that Function map ℝ
for all .
ℝ
 why is the natural range for the ’s?  this is where the function is integrable Why? Fix Consider 64
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 note, nonnegative. Trick: find a majorant (?) Easiest to do in two steps: use that ⇒
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First term smart, second term? AND will be bounded is integrable (example in the book)
Lemma: Neat result One can prove by partial integration, that But then we can easily get the integers See that . So for ℕ
SO – the Gamma function can be seen as an extension of the faculty operator to all real numbers… Stirling’s formula says that
it is a very good approximation. 8.6.2 Continuity of integral functions
Let as before
THEOREM Assume that all section functions are continuous in the point then PROOF is continuous in . , we take and show that if 65 . ominate . If there exists an integrable function ℳ so that
To show that Let’s insert
is cont in
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(the convergence theorem guarantees the convergence if we have pointwise convergence and domination by an integrable upper bound) is continuous at . ixe
Well, we know that … this implies that
so this gives pointwise convergence. Now we just need the domination. But that is exactly what we assumed: Hence, we may use the dominated convergence theorem. 8.6.3 Application to the Γ function?
LEMMA ∷ the Gamma function is continuous on all of PROOF Take . An integrable upper bound on is
(where we’ve switched from the λ’s earlier to a choice that holds for any λ) ALTHOUGH: we had to choose Then, by the theorem above, Æv, we got continuity on Here’s how to think about it  Suppose we are given a But just choose particular at . 8.6.4 Differentiability of integral functions and but wanted on … and . . is continuous for every
and should prove continuity here. (always possible), we have continuity on and in
Let as before
THEOREM Assume that all section functions are differentiable in every . If there exists an integrable function ℳ such that
then
is differentiable in every
and
66
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 PROOF The question is whether the Newton quotient will converge convergent for
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Ok with convergence of the integrand since we assumed that the sector functions are differentiable. QUESTION ∷ sufficiently dominated? But we did indeed assume that an integrable ∎ Application Can be shown for Γ function. existed so we’re done.
8.7
Let
Product measures: The product of σfinite measures
and be two σfinite measure spaces.
THEOREM There exists a measure λ on the product space  (recall satisfying that Let is the smallest σalgebra making the coordinate projections measurable)
SOMETHING…. Let be a measure on . We consider
8.7.1
Technicality: sector functions measurable function it holds that
THEOREM for any
is a measurable function PROOF HIGHLY difficult. See section 8.1 ∎ REMARKS This is useful as it allows us to integrate out one variable at the time It ensures that the double integral makes sense 67
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this will e measura le
8.7.2
Return to theorem – with proof
THEOREM There exists a measure λ on the product space  (recall satisfying that Let is the smallest σalgebra making the coordinate projections measurable)
PROOF We check properties for σsomething… 1) The empty set has measure 0. We will use that no points are in , hence indicator .
2)
is additive. Take hmm, pairwise disjoint ⇒
pairwise disjoint.
Hence, due to pairwise disjointness, we have the following formula:
But then
Here, we’d like to switch
to ∑ ∫ . functions (nonnegative since
This is allowed whenever things are positive, corollary 6.20 on ℳ indicator functions and measurable by the technical lemma from before) for general ℳ functions, it is not right
Apply corollary 6.20 again
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as should be shown. 3) Additivity Take Then , . Want to show
Now, in the inner integration,
is just a constant
∎ REMARKS σfinite is still needed because it is needed for the technical lemma… we will usually call it
8.8
Uniqueness of product measures
There exists exactly one measure on the product space satisfying
THEOREM
PROOF We have already proved the existence. The paving of product sets is a generator for , stable under intersection. .
So, if we had two measures, then they would at least (by definition) have to agree on from (Dynkin?) that they would agree on the whole set HOWEVER ∷ we know that there are in such that .
BUT ∷ since they would then agree on a generator which is stable under intersection, it would then follow
and
Now,
and the point is, that 69
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 since and by above.
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8.9
Let
Several factors
be a σfinite measure spaces for THEOREM There exists exactly one measure satisfying on the product space
PROOF Uniqueness is proved as before. Existence by induction after . :
ef of tensor in uction ass
8.10 Existence of Lebesgue measure
THEOREM Let on ℝ PROOF be the Lebesgue measure on ℝ . on ℝ satisfies that . It holds that
The product measure
for every open box. aha but this is exactly grinner (see book, I missed the end of it.
8.11 Tonelli’s theorem
Let and THEOREM For every function ℳ it holds
PROOF STRATEGY ∷ show that it’s true for 1) Indicator functions 2) Simple functions (use above) 70
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 3) ℳ functions (this was the statement) Ad 1) Take Let’s compute the integral of an indicator function → that’s easy, integral of indicator = measure of set.
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but we originally (with
) defined such a product measure as a double integral
okay, so that was easy. It holds “by construction” Ad 2) A simple function can be written
a
an lin
a
an lin
Ad 3) For
ℳ
find
such that
. Use monotone convergence.
8.12 Interchanging the order of integration
COROLLARY For every function ℳ , it holds that
8.13 Fubini’s theorem
(really hard to write down – see book) The whole thing is meant to take care of not writing …
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9 Image and combos
9.1
Let
Image measures
be a measure space. Let be a measurable space (with no measure so far) and let
be a  measurable map. DEFINITION We define the image measurek (note that LEMMA The image measure PROOF since Net, pairwise disjoint
rule for preimages
as the measure on
given by
since is measurable) is a measure on
and hence
rule for preimages
is a measure an
∎ LEMMA Proof which wnsures that if it’s a probability space then ∎ 9.1.1 Let Example be the equidistribution on has prob has to do with the rolling of two dice. given by is a probability measure.
Every point INTERPRETATION 
Consider transformation
72
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 so is the difference between the eyes. The image measure
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Similarly
Final conclusion 0 something.
1
2
3
4
9.2
Let Let
Successive transformations.
and be a measure on , where , then
LEMMA
REMARKS We can construct measures and  The lemma says that they are equal Proof (by book keeping) Let To show: Let’s go along the lines of Let . and define .
9.3
If
Marginal measures
is a measure on , then the image measures
(coordinate mappings) are called the marginal measures of . 9.3.1 If “Proof” Look ath the probability spaces and . 73 Example and are probability measures, then the marginal measures of are
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Consider To show: Consider Let , measure on , and consider that . and same for .
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This shows that
and
agree on every set in the σalgebra
⇒ hence the functions are equal. ∎ LOOK AT EXAMPLE 10.6 IN THE BOOK
9.4
Integration of M+ wrt image measures
Recall once again, THEOREM Let be a measurable map. Let be a measure on . Then
for all ℳ . PROOF Strategy We show that the formula holds for 1) indicator functions 2) Simple functions (lincomb of indicator) 3) ℳ functions (stepping 2 to 3 uses monotone convergence and that all ℳ fucntions can be approx by simple) 1) Indicator functions  First, we will need this claim CLAIM PROOF o Show equal at every point o o Let But
2) Simple function Consider Then 74 .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
lin an a
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3) Arbitrary in ℳ Let ℳ and choose function such that lim ∎ . Then lim and therefore we have
9.5
Let
Integration of ℒ functions wrt image
measure A function ℳ is integrable wrt if and only if
In affirmative case
PROOF e know that g is interable if and only if . But we just saw how to compute this wrt since it is a ℳ function
since CLAIM ∷ PROOF See
ℳ
Further
CLAIM ∷
and for minus
∎ REMARKS Notice the technique here – we know that something holds for ℳ functions so we decompose an arbitrary ℳ function into it’s positive and negative part – since each of these is an ℳ function, the general result will hold if we can do the small trick we did (that )
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9.6
Translations on ℝ^k
ℝ as the mapping ℝ Definition: a measure on ℝ is translation invariant if ℝ
We define a translation by
THEOREM The Lebesgue measure is translation invariance Proof Choose ℝ . Consider translated measure . Want to show equal on generator Take an open box Want For this, take So . (generator for
ef
We have, that Therefore
Since this happens for every
. , ⇒
Since they agree on all sets in the generator for
WHY? Hence, both are finite measures and they agree on a generator, stable under intersections → for the uniqueness theorem for σfinite measures, we need to find an increasing sequence of sets in the generator (σalgebra?) such that they have finite measure each but their union gives the entire 9.6.1 If ExampleTranslation and integrals ℳ ℝ or if ℒ ℝ then ℝ PROOF Let’s suppose Take ℝ . ℳ ℝ .
where the last equality comes since the measures are the same, i.e. 76
.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Everything is the same when ℒ.
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9.7
Let
Translation invariant measures are proportional to the Lebesgue measure
be a measure on ℝ such that wich is finite on all bounded sets. If is translation invariant, then there is a
THEOREM constant PROOF First consider for ℕ
Confused? See here . we consider , where the intervals in the union are disjoint… It follows that
Arbitrary open boxes with 0 at lower left and rational side lengths ⇒ can be obtained as increasing uinions of the boxes above (e.g. ) . The theorem will hold with see book for further details. ∎
9.8
Isomorphisms of ℝ^k
An isomorphism of ℝ is a mapping of the form ℝ
DEFINITION
where is an invertible matrix (or, a linear map which is bijective) Here, we won’t distinguish between matrices and the corresponding linear maps and we use the same letter to denote them.
9.9
Lemma
ℝ ℝ , there exists a number such that
For every isomorphism
(i.e. a multiple of the Lebesgue measure) ((so think of it in the context of the previous theorem)) PROOF 77
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is finite on bounded sets and that it is translation invariant.
9.10 Identifying Δ(A) for special cases
9.10.1 Invertible matrices
LEMMA Let be a diagonal matrix
Then
(if it is invertible, 9.10.2 A Orthonormal matrices maatrix
et
is called orthonormal if . Does it follow ⇒ et et ⇒ et ? but also et et et and since et
Question: Suppose First: What is et ? Well,
et , we have et So, we have LEMMA ∷ LEMMA orthonormal ⇒ et
orthonormal ⇒ 9.10.3 Δ is multiplicative invertible Show that PROOF (since invertible ⇒ On the other hand invertible (since et et et )) recall that measure) is the number so that (the proportionality factor to the Lebesgue matrices.
(by the theorem from earlier about successive transformation) 78
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10 Density
TODAY ∷ constructing new measures from a given one on the same measure space. 10.1 Measures with density
Let be a measure space. Let ℳ
THINK ∷ NOTE ∷ Although LEMMA
… the density under the function, . , could easily be such that .
is a measure PROOF Need to prove: measure of emptyset is 0 and behaves nicely under countable unions
Now take pairwise disjoint sets
monotone conv
10.1.1 Let Let
Discrete example be a countable set and take to be the counting measure on be a mapping. The measure be written as
Confused? see here  Take a singleton,

since is the counting measure. Now see a general set union of the members in , 79 . Since is countable, so is , and hence we can write it as a countable
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10.1.2
since
is additive.
Another example: Restriction measure . , we have
Take
Note that for all
Hence, is the socalled restriction of REMARK the restriction measure of to
to
(as we saw in problem 2.3)
has density with respect to . .
although we say “restriction”, we still think of it as defined on the whole space so it’s also defined outside (although it has measure zero there??)
10.2 Uniqueness
Let be a σfinite measure space (increasing sequence, union creates ), and let ℳ . If , measure of each element is finite – allows us to approximate any set in then
μalmost surely (they disagree only on a μnullset).
REMARK ∷ (almostsure) uniqueness of the density, not measure (??) PROOF Consider the sets
We want to prove, each of these has μmeasure zero. That will give us the conclusion since Denote the common measure by ν To show, First: show Let Now define Actually, (since is finite and . . How? → approximate sequence of sets, . ) (using σfiniteness of , and . )
(ok since 80
, in other words
)
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 since all by assumption. ,
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Now we may write something which would not have been ok if
ℳ
Since only way this can happen, is if Now use upwards continuity
a.e., we get that a.e., i.e. is a nullset.
a.e., but on
we have
, so the
⇒ NOW Consider Now so the measure is finite on ON THE OTHER HAND . where for all
So we have a quantity that must be finite and equal to something times infinity ⇒ this something must be equal to zero: Similarly for ∎ and .
10.3 Integration with respect to measures that have density
Let on . For all ℳ we have
REMARK ∷ in other words, the density comes inside the integral PROOF Show that it holds for 1) Indicator 2) Simple (by 1 and linearity of the integral) 3) ℳ (use ) INDICATOR Let .
Rest follows by the scethced approach.. 81
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10.4 Arbitrary ℳ functions
THEOREM Let on . A function ℳ is integrable if and only if
In the affirmative case, we have
PROOF Integrability The statement on integrability is trivial. ℳ is integrable
But by the theorem above, since
ℳ ,
but
is a density so we must have
ℳ . Therefore,
so
Integral formula
since
ℳ means that
.
10.5 Successive densities
Let PROOF For any , we have
ℳ
ℳ . Then
∎
10.6 Transformation problems
Another method for constructing measures. Let Let and be  . 82 be measure spaces. We think of and as being two basic measures.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 PROBLEM Let be yet another measure on 1) (exist) Does the image measure
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have a density with respect to ? ? by measurability of .
a. i.e. can we write for some ℳ 2) (unique) If yes, how many such densities can one find? Recall, for we have , where NOTE ∷ very important problem in probability theory 10.6.1 Let Let Then ℳ Example: marginal measures and where be σfinite measure and consider the measure on
.
PROOF Let , and think about the image measure of under
now we’ve seen that since
,
and here we use Tonelli since the integrand is ℳ ,
ℳ
Now use that
(agree on every point)
Now use that
constant wrt y
set
∎ REMARKS  σfiniteness was needed in Tonelli’s theorem  WE ARE TO SHOW THIS IN THE ASSIGNMENT
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10.7 Special transformations
THEOREM Let Further, let REMARKS We find somehow that a measure on then let’s transform this measure to PROOF For all to be a measure on ℳ and any M+ function can be used as a density, so is be a measure space, ℳ and set a measurable space and then be a measurable map.
suppose we may write
a stract change of vars prove to ay
Now we prove the suppose CLAIM PROOF
∎ ∎ 10.7.1 Corollary is bimeasurable if both and are measurable.
DEFINITION ∷ COROLLARY ∷ Let PROOF Follows from the theorem with ∎ REMARKS We need to assume bimeasurability … but is this a trivial assumption?
be a bijective and bimeasurable map. If
is a measure on
, then
ℳ
84
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Example Let (note that Hence, CLAIMS for all , so is not. and take to be the identity map is the smallest possible σalgebra on any space)
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is bijective (in fact, is measurable, but o is measurable o is not Take Then so that and We check for all sets
. .

∎
10.8 Conventions
If a function setting ℝ is defined on an interval then without further mentioning, we extend it to the whole ℝ by
The restriction of the Lebesgue measure to an interval ℝ defined by NOTE ∷ for all we have
will be denoted by
. It is a measure on the whole
so that although we can compute common with .
on any set in
, we only get a positive measure for the part that is in
10.9 Transformations on ℝ
Consider a mapping 1) 2) is on { fct.s differentiable with continuous derivative }) , ℝ open intervals. ℝ ℝ, and assume there exist open intervals and such that maps bijectively onto
(recall, Confused? Consider
bijective ⇒ o (1) is monotonously EITHER increasing OR decreasing 85
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 o (2) Increasing: is continuous ⇒ (normally
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10.10 Theorem: transformation of Lebesgue measure
THEOREM Let 3) 4) Then ℝ is ℝ be a Borel measurable mapping such that on where is given by maps bijectively onto
REMARKS is a map in the first space (on “ ”) Then we fire it over into the second ℝ space (“ ”) We claim that it will have density PROOF ASSUME is increasing (together with injective: we are trying to show that two measures are equal ⇒ they must agree on any set. we proceed in some way: CLAIM ∷ and coincide on all closed and bounded intervals so we are looking at intervals subset of , specifically the closed and bounded ⇒ )
PROOF First we check for ok, by definition of image measure of a mpa we now claim why? since Now for is increasing ⇒ Hence,
fun amental theorem of calculus
is increasing monotonously
since the integrand is continuous But,
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so we may conclude that an ∎ So they agree on all closed, bounded subsets Now let closed bounded intervals in ℝ such that coinci e on
Then for any but both and
ℝ, we have are closed and bounded, then so is ℝ
By claim, for all NOTE Restriction of and to are finite measures. By the uniqueness theorem for measures we conclude that  (since they coincide on every member of a generator stable under intersections) Now, obtain lulz by seing that and by upwards continuity of the measures. (since ∎ outside )
10.11 General substitution theorem
THEOREM Let 5) 6) 7) Then for ℝ is is ℝ be a Borel measurable mapping such that on on ℳ and a measurabl set maps bijectively onto
(or what?? didn’t get it 87
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10.12 Transformation of densities
(missed something… a whole slide) Assume that NOTE is such that
since we use
Hence, we have achieved that we may write instead of .  so already, we are using the restriction of the Lebesgue measure for something. Let ℝ ℝ be an extension of to a globally defined Borel measurable mapon ℝ. ( is only defined on , but we can always extend it to a function defined on the whole line, putting zero on the complement.) NOTE furthermore almost surely because for all except for but for all by construction of the restricted measure So we may write lemma 12.4 now write , where ⇒ is given as
by the Lebesgue measure theorem. So where (didn’t get it)
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10.13 Nonbijective mappinsg
If a which mapping is not a diffeomorphism on , then we can typically partition into several smaller intervals on is a diffeomorphism.
Let THEOREM transformation of densities Borel measurable on each of pairwise disjoint open intervals For every Let set and let be the inverse of the resetriction and suppose that of to . be a probability measure on ℝ

(so ’s don’t partition Then where
necessarily, but almost )
didn’t get it 10.13.1 Example and transformation But if we consider And We have and , which is not bijective globally and
and it follows that didn’t get it Q: is ?
10.14 Back to linear algebra from last time – isomorphisms on ℝ^k
LAS TIME – recapping For every isomorphism There exists a number ℝ ℝ (that is such that is an invertible matrix
89
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is proportional to the Lebesgue measure must be translation invariant.
LEMMA given two invertible LEMMA if is a diagonal matrix, then matrices we have et PROOF for symmetric, posdef matrices Use spectral theorem to write iag But but we know but also , where iag
THEOREM For all invertible
But et since et hence et ∎ et et et et et et
11 Lp spaces
11.1 Seminorm
Let be a measure space. Thm. 7.3 says that ℒ We define ℒ is a vector space over ℝ. ℒ (so is integrable, i.e. makes sense (is finite)) NOTE ∷ it’s not a norm but a seminorm. We have 90
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 1) 2) 3) 4) a.s. (cf. lemma 6.22 for ℳ fct’s) REMARKS  4) is why it’s just a seminorm In fact, it will never be a norm as long as PROBLEMATIC CASES ∷ Think of NICE CASE ∷ ℕ ℕ , where
ℚ
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,
ℝ
has nullsets that are not . a.s. and a.s. ( Cantor set)
is the only nullset.
11.2 Conv. in ℒ1 sense
DEFINITION ∷ convergence in ℒ ℒ converges to REMARKS  pointwise ⇏ ℒ conv  ℒ conv ⇏ pointwise EXAMPLES pointwise but not in ℒ sense. (see example 1.3 for a weird example with ℒ conv. but not pointwise conv. ℒ if and only if
BUT ∷ in some special cases there will be a relationship.
11.3 Vector spaces with seminorms
A seminorm on a vector space gives rise to a pseudometric defined as (we only get this a.s.)
NOTE ∷ not a metric, since that requires Example ℚ
but
ℚ
only
a.s. if and only if
SEQUENCE A sequence converges to a limit point
WARNING ∷ the limit may not be unique. SOLUTION 11.3.1 From seminorm to norm
THEOREM
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A vector space with a seminorm gives rise to a normed vector space gathered in equivalence classes according to the equivalence relation EQUIVALENCE CLASSES  Elements of are equivalence classes (sets) defined as
OPERATIONS
ℝ
EXAMPLE We looked at ℒ The normed space given by the theorem is denoted The equivalence relationbehind it is a.s. equal functions as REAULT  Now we have uniqueness of limits.
11.4 Definition of an ℒp seminorm
ℳ is integrable wrt if
The set of integrable functions is denoted by ℒ . Note that ℒ THEOREM ℒ is a vector space PROOF . To show: ∎ THEOREM Define 92 ℝ ℒ , show that Use ℝ⇒ And apply inside max to get the conclusion ℒ ℒ , show that ℒ since .
ℒ from before.
max
y
z
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It defines a seminorm on ℒ . 11.4.1 Dual (/conjugate) exponents are dual if
Every
has precisely one dual exponent, namely
If 
and proof,
are dual, then ⇒ . then above becomes
YOUNG’s INEQUALITY Let be dual (trivial for 1). Then
PROOF  (not shown here)  exploits stuff about convexity. 11.4.2 Hölder’s inequality ℒ ℒ ℒ
THEOREM Let be dual exponents. If and , then and the following inequality holds.
PROOF Recall Young’s ineq.: We have Want: ASSUME ∷ ASSUME further that Otherwise note that , i.e. , where and ℝ. ℒ and and , ℒ , for all ℒ . (then a.s. and then ineq. becomes , ok)
 (remember similar shit from analyse 2) By Young, 93
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Both sides are integrable (??) so
∎ COROLLARY, CAUCHY SCHWARZ (particular case where If ℒ , then ℒ and
)
(only one extra step from Hölder of moving the abs.val. outside the integral.) 11.4.3 Minkowski’s inequality ℒ , then ℒ and defines a seminorm on ℒ !
THEOREM Let . If
This gives us that PROOF of Minkowski Recall
oung l er Just use Hölder For . Hence, dual exponent Let’s look at . ⇒ proved already ( proved on first slide)
want to use Hölder here, so we need a product of functions
Now we apply Hölder to each of these integrands we note that CLAIM ∷ PROOF Now we need the norm of the sum 94 since ℒ (vector space). ℒ ℒ ℒ → need to show that
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011
Anders MunkNielsen
By Hölder’s ineq applied for
ℒ
l er
ℒ , we get
ℒ
ℒ
(by the calculations above in And the other,
)
l er
By adding up, and recalling
If ∎ 11.4.4
, divide by
to get conclusion.
Convergence in the normed vector space based on the seminormed is a normed vector space when the functions in ℒ are collected in equivalence classes. , a.s
THEOREM with the norm where
11.5 Pointwise implies ℒp conv when int upper bound
INTUITION Although none implies the other, we get one way if we have an integrable upper bound. THEOREM Let ℒ and . Suppose there exists ℳ for the sequence ℝ such that , then ℒ and
If there is an integrable upper bound PROOF FIRST SHOW “⇒” We know Since also Then ⇒ ℒ. “⇐” The sequence of functions converge to the null function on (since and pointwise and , ℒ ℒ
ℒ. int.up.bound.
with an integrable upper bound given by ) 95
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NOW we use the Lebesgue dominated convergence theorem to get the result. lim ∎ lim
11.6 Relationship pnorms for different ps
THEOREM Assume If then ℒ . ℒ and moreover ℒ PROOF Want to use Hölder, so we need to obtain an integral of a product. Note, Why? ℒ ⇒ ℒ … ℒ simple. . consider since ℒ .
Now, note that
Why? Well since
 Aha, so the constant function 1 is only integrable in this case because we assumed Ready to apply Hölder
ℒ ℒ
CLAIM and PROOF add them Then Hölder gives ∎ REMARKS If we have
are dual
you o the math
ℒ WARNING If , there is no general relationship between and .
11.7 Simple ℒp functions are dens in ℒp
PROOF If As If ℒ with , , then we can find ℒ , and since . . and 96 in ℒ sense. ℒ so that in so that is an integrable upper bound for the sequence , pointwise, and
we deduce that lim ℒ arbitrary, we write As above find
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 … DIDN’T GET THE LAST PART …
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11.8 Completeness
Let be a pseudometric space. in is Cauchy if Any conv is Cauchy ℕ ⇒ .
is complete if every Cauchy is convergent. 11.8.1 (infinite) Series in spaces with seminorms .
vector space with seminorm
is convergent with sum if and only if
The series is absolutely convergent if
CONVERGENCE PRINCIPLE  an absolutely convergent series is always convergent.  Holds true in many vector spaces (but fails in some).  Which class of vector spaces does it hold for? THOEREM (seminorm) is complete if and only if the convergence principle for infinite series holds true. 11.8.2 RieszFischer completeness theorem are complete (Banach)
The normed spaces In particular,
is a Hilbert space.
12 Probability theory
12.1 Measure theoretic view on an experiment.
An experiment is described using a probability space 12.1.1 Representation sets, is the representation space. .
The set
Most often is the potential outcomes of the experiment.  (typically represented by numbers) 97
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(sometimes extra points are added for mathematical convenience, e.g. heights measured on ℝ althougn no one has height < 0) .
The outcome of the experiment is a point
EXAMPLES  ℝ (or perhaps just ℝ ) if the outcome is a single real number (e.g. height) ℝ if we measure the height of ℝ E.g. with mortality, ℝ individuals numbers, each with a decoration (0 or 1) death not observed. time until death and if the outcome of the experiment is
 Time to the first of two events; death and censoring. Jander’s ant experiment  Ants placed in the centre of a circle – start walking towards the edges “in a random direction”  Ants tend to walk away from light and towards to the plate that looks like their nest. Representation set; points on the circle → since we have as a number”) 12.1.2 σalgebra, ants; (since ( copies of the circle) for the ant but “not Note, more natural to take the circle itself, not the angle
is the σalgebra on Sets in are called events. all ants go irectly towar s the plate One event could be
SMART ∷ nonmeasurable sets can be thought of as “so ugly that we can’t decide if they’ve occurred or not”. 12.1.3 Probability measure, ν
The probability measure represents … (hard to say – has to do with interpretations) 1) The behavior of the experimental system in a large number of replications a. Frequentist view! b. is a property of the coin. c. Probabilities are objective 2) Our expectations to what will happen a. Bayesian view! b. is a property of the mind of the experimenter. c. Probabilities are subjective.
12.2 Frequentistic thinking
In a representation space, 1) 2) occurs doesn’t occur. 98 , consider a set . With respect to , there are two events.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 In independent replications of the experiment, sometimes replications with outcomes , the empirical frequence of
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will occur and other times not. After occurrences is
EMPIRICAL EXPERIENCE  For any “reasonable set” , the empirical frequence . POSTULATE ∷ The limiting setfunction EXAMPLE We look at plots of
will converge to some limiting value
as
converges to a limiting function that is a probability function. .
Let’s make draws from a Cauchy distribution and consider the event .
12.3 Transformation of an experiment
12.3.1 Example: dice roll
Consider the map
In essence, we reduce a dice roll to a coin flip. Questions If the dice is symmetric, will the virtual coin also be symmetric?  We will argue on the virtual coin by arguing on the transformation 12.3.2 Let Formally be the experiment
Let be another measurable map and let be measurable. OBSERVATION If we forgot the original outcome and focus on the transformed result → then the relevant representation space is FREQUENTIST ARGUMENT replications with results becomes with . If
,
,
WOW! This is why we learnt about image measures!
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12.4 Stochastic variables
Can we always think of some larger experiment behind what we observe? YES! We can think of Consider the map INTERPRETATION as the large, background experiment. such that .
is the space of potential world destinies. The Goddess of Fortune drew a world destiny The stochastic variable experiment . at the dawn of time to the outcome of the actual → the dice throw earlier (just as everything else) is just a function of . represents the translation from world destiny
The common storyline In the framework with the background experiment We describe the experiment by explaining 1) where has values is (i.e. the image measure 2) what the distribution of
and our actual experiment
.
)
12.5 Notation
CONVENTION ∷ write Consider an event in . instead of .
We are interested in the probability
12.6 Distributions on ℕ0
Let’s look at distributions on ℕ Any probability measure ν on ℕ has density with respect to the counting measure , since
counta le isjointness ℕ counta le int of a fct
meaning presicely that
has a density wrt. .
HENCE ∷ it’s enough to specify the density wrt. the counting measure. 12.6.1 Bernoulli distribution for where . If we use stochastic variables for the formulation; 100
The Bernoulli distribution has probability function
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 INTERPRETATION Urn with red and black balls. The fraction of red balls is . The Bernoulli distribution describes the random draw of one ball, where if the all is lack if the all is re 12.6.2 Other distributions
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Hypergeometric Drawing balls from an urn without replacement. Setup; re ⇒ We pick Then re alls lack alls alls in all alls picke balls without replacement from the ball.
It’s an association of point masses that sum to one. Binomial Drawing balls from an urn with replacement. Negative binomial (bad word) Waiting time to the ’th red ball in drawings with replacement. → so we keep picking until we see the ’th. (also a negative hypergeometric Polya Urn draws with complicated rules for replacement Poisson Lives on the entire ℕ
CHECK ∷
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power series for
12.7 Densities on ℝ wrt. the Lebesgue measure
Suppose distr of has density ℳ wrt
Probability measure if
ℝ
NOW ∷ think But in fact, we look at
ℝ
ℝ ℝ ℝ
 and THEOREM Let 1) 2) 3)
will land in almost surely. has density wrt . Let ℝ ℝ be a Borel
be a realvalued stoch var. Assume the distribution of maps bijectively to is a map on , has density wrt. where
measurable map. If and are two open intervals such that
Then the stoch var
12.7.1
Examples
Densities are typically given in a basic form ℝ (where Here, is a normalization constant so that the density integrates to one (i.e. we get a prob.measure)) is a shape parameter and an etended form is ℝ where ℝ and are position and scale parameters. EXAMPLE Let’s first forget about normalization Assume → NOTE! has density wrt. ℝ ℝ (when ) 102 . Transformation is bijective ℝ
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Hence, we may take Let’s see if is invertible ℝ.
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Hence,
and
So
12.7.2
Elementary distributions on ℝ
Uniform In other words, With scale and placement: (the restriction of the Lebesgue integral to )
Exponential distribution No memory! Radioactive decay. Good distribution for describing surviving times when no reason for the death is present. Cauchy ℝ Relation between these? If is uniformly distributed on then log is exponentially distributed. log is not globally bijective but maps bijectively to Starting to look like the theorem… we need the inverse: 103 .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 log log
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Now,
has density
wrt. has density
What will the density of the transformed variable be? wrt. , in other words since hence
For Cauchy uniform tan has Cauchy Hundreds of others can be seen in the book … look them up when needed…
13 Probability theory cont’d
13.1 Motivation: need for a descriptive theory
Want to address  How do we attach numbers to a probability measure which in some sense characterizes the behavior of the measure?  What can we say about the differences (not subtracted) between two probability measures? Moments will say something about that
13.2 Moments of a prob measure
We say that has ’th moment for some ℕ if the function ( ℝ) is integrable. is the ’th moment (with   it’s the absolute moment) 104
If this is the case, then
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 13.2.1 Moments of a stochastic variable ℝ realvalued stochastic variable, where We can use to create a measure, istri ution of It is a prob measure on ℝ → in fact, it’s the image measure of because under the measurable map is measurable.
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Recall
 (where measurability of ensures that so that we can let According to Theorem 19.8 (abstract change of variable formula), we get
work on it)

(last rewriting just suppresses the argument)
Hence, has ’th moment if and only if EXPECTATION For Stoch var, we talk about expectations
13.2.2
Linearity of the expectation operator ℝ and is a probability measure, integrates to 1)
LEMMA If has first moment, then (note that has first moment for any since
PROOF (has first moment) First, we see that
so
has first moment (
ℒ
ℒ)
Alternatively: is a vector space! (the formula)
∎
105
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 13.2.3 If Central moments has ’th moment, we define its ’th moment around by is a polynomial in
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Note that WHY? BECAUSE
of degree , so we know that this moment exists
If has ’th moment for some Proof: has k’th moment for some k has m’th moment for all Why? because ℕ m
ℕ, then
has
’th moment for all
.
k ℒ
. ℒ
when is a finite probability measure. Central moments … easier to interpret than “raw” moments ’th central moment In particular the second is interesting
13.2.4
Variance computation
LEMMA Assume that PROOF Now use, that has second moment ⇒ has first moment ℝ is constant (thus has first moment) has second moment, then
and that has first moment and Then use linearity:
∎ LEMMA If PROOF has second moment. To show: 106 has second moment, then ℝ,
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∎ 13.2.5 Variance and degenerate distributions has 2nd moment. Then
LEMMA Assume PROOF . Moreover, equality a.s.
has 2nd moment ⇒
has 1st moment, call it .
The rest is proven by int = 0 ∎
f = 0 a.s.
13.3 Convex functions
Convex DEFINITION ℝ for all THOEREM Let If be differentiable on the open interval ,. is increasing on then is convex on is strictly convex. then is convex ( ⇒ strictly convex) ℝ is conved on an interval if and .
If is strictly increasing then REMARK Normally, if BUT ∷ the theorem works for also, while ⇒ is twice diff, if
as well strictly convex, but strictly convex strictly convex, but .
 however, PROOF Let diff ⇒ ,
(always possible to chose like that when such that
)
But,
is increasing on and
(by the intervals they are chosen from), 107
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now, was arbitrarily chosen in so we can always write Use this and rewrite
.
It may be shown as well for strict inequality by employing stricts through the proof ∎ REMARKS Consider since ⇒ exp 13.3.1 Let , is (strictly) convex
Application: proof of Young’s inequality be dual exponents , the following holds
PROOF Follows from convexity of the exponential function exp applied to log so the ineq for exp becomes, by using exp exp exp log log ℝ
∎ 13.3.2 Stability of the space of convex functions convex. max max … something 108
If convex, then max proof, write
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 EXAMPLE The function max as the maximum of two affine functions is convex on the whole ℝ. Similarly max and 13.3.3 are convex. More on convexity
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Convexity can be rephrased in terms of quotients
something holds ALSO convex on interval ⇒ continuous on interior of . (⇒ every convex function is measurable) THEOREM Let be diff from both left and right at every point , furthermore in then
where lim and similarly with .
It follows from the lemma with inequalities on fractions. 13.3.4 Separation
THEOREM Let be convex on . , there exists ℝ such that . where the For every interior point If
is strictly convex on then
can be chosen so that the inequality above is strict for all
INTUITION ∷ i.e. a line (hyperplane) can be constructed going through a point on the graph of function is above the line (strict for strict convexity) PROOF By replacing with its interior, we may assume that is open. Given Let Let , we know that and exist
. Suppose that
. 109
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 There exists with . We get
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Multiply by
and rearrange terms to get the conclusion; ⇒
(similarly if ∎
)
13.4 Jensen’s inequality
THEOREM Let be realvalued stochastic variable defined on prob space and let with the property that ℝ ℝ be measurable. and have first If is convex on an interval moments, then Moreover, if PROOF If ⇒ and if both
is strictly convex, the inequality above is strict unless , then by lemma 16.4,
is degenerate (
a.s)
, and is an interior point of .
 INTUITION ∷ If is bounded, then . Show that . But then se separation theorem can be applied – when we have an interior point, we can create a line with the graph above it. i.e. interior ⇒ ℝ so that . ℝ so that as a.s. – think of both sides as functions of . Let’s use it on the interior point
convex on so by separation theorem, (note, should be read
, although e.g. is just a constant, but we may think of that as a constant function) Then take expectations on both sides:
∎ 13.4.1 Application of Jensen’s inequality , which is strictly convex.
Let’s apply Jensen’s on
for any nondegenerate stochastic variable . It follows that ‼‼‼‼‼‼ 110
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HUSKEREGEL! This should help remind which way Jensen’s inequality goes (otherwise we’d get negative variances;) 13.4.2 Arithmetic vs. geometric mean value log well defined and convex on log blah blah either is greater than the other 13.4.3 Small and large moments has ’th moment, it follows that
Jensen gives that on
THEOREM If
PROOF Since , the function is convex on the whole ℝ.
Therefore by Jensen
REMARK rephrasing of why larger ℒ spaces are contained in smaller (for finite measures??)
13.5 Distribution functions
DEFINITION Let be prob measure on ℝ .We define the distribution function of ℝ THEOREM A probability measure on ℝ PROOF Suppose is uniquely determined by its distribution function. as the function
are probability measures with the same distr.fct., i.e. so that ℝ
claim
Now, note that ℝ is an intersectionstable generator of , hence, the uniqueness theorem for probability measures gives the desired conclusion. 111
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THEOREM The distribution function 1) 2) F 3) 4) REMARK as as which satisfies the above four conditions is the distribution is increasing of a probability measure has the following properties
The LebesgueStieltjes theorem: A function
function of a (uniquely determined) probability measure on ℝ PROOF 1) Take 2) Show: in ℝ, show . rightcont at every ℝ. . a. Consider s.t. as . To show: b. Well, that it decreases follows from 1). c. e. f. Since , we get implies the desired. d. and Downward continuity of NOTE ∷ downward.cont requires finite measure of the intersection (i.e. just finite of one of the members) → but ν is that since prob . But , and by monotonicity
14 Prob cont’d
14.1 Distribution functions
We wanted to characterize measures  Numerically @ moments 5) 6) 7) As a function: distribution functions; is increasing is continuous from the right at every point as some properties
8) as She proves continuity COMPUTING general intervals
is inite
112
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 where we define lim 14.1.1 Jump points ℝ ℝ, it follows that
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We’ve seen that for all Since We call LEMMA is a countable set PROOF We can express it as
is rightcontinuous at every a jump point of . Denote
is iscontinuous at ℝ
ℝ CLAIM ∷ PROOF See that woah… ∎ ∎ 14.1.2 Support of a probability measuer ℝ. ℝ ℝ , ℝ
First we need to think of cont vs. discrete distributions 1) is a continuous distribution if , that is, is continuous at every point a. E.g. all distributions with density wrt. Lebesgue
b. NOTE ∷ there exist a few pathological examples of continuous distributions which don’t have density wrt. Lebesgue. 2) is a discrete distribution if . a. All distributions concentrated on ℕ , empirical measures. DEFINITION ℝ is a point of increment for if is called the support of .
 The set of points of increments for , denoted THEOREM The support
is the smallest closed subset of ℝ having measure equal to . 113
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Discrete
loor
14.1.3
Distr.functions and transformations ℝ ℝ measurable continuous and strictly increasing on an interval . Set
THEOREM prob distr fct . then where is the unique element in mapped by to . NOTE → this theorem addresses all sorts of measures, not just those with densities (which was the case in §12.2) EXAMPLE Let , ℝ ℝ . If
14.2 Joint and marginal distributions – multidim distr
14.2.1 Setup and two measurable spaces and , (stoch var = measurable)
Background Product space
and stochastic variables Consider the product/whatever 
will be measurable by the pipeline lemma. Hence, is a new stochastic variable taking values in the product space. and .
The marginal distributions are the image measures The joint distribution is the image measure LEMMA
114
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can be recovered from the joint distribution
PROOF Joint distribution of RECALL is .
… but we already know this last measure NOW We know, we can find all Then for all we have
has full measure
but the last one is an example of … similarly for . 14.2.2 Let Marginals and
, hence we already know how to measure
.
be two σfinite measure spaces
prob measure on LEMMA If for som e ℳ then the marginal satisfies where
PROOF Let
. By Tonelli
as we wanted. Similarly, has density wrt. , where
THIS IS (like in) LEMMA 12.2‼ ∎ 14.2.3 Marginals of joint distributions with densities and and , we obtain the following result 115
Where
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 LEMMA Suppose
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Then
where
14.3 (regular) Multivariate normal distribution
A regular normal distribution on ℝ has density wrt. Lebesgue given by exp et  Where vectors as usual are column so that exp scalar  (nonregular normal distributions are pathological and do not have a density wrt Lebesgue) EXAMPLE For ℝ
⇒ et So for ℝ let’s compute
⇒
is inverti le
so the density
has the form ℝ
14.4 Independence
Let and be stochastic variables defined on the same prob space taking values in the measurable spaces and DEFINITION and are independent if and only if
One writes (OBS! Skal være med to lodrette streger (på én vandret)) Probabilistic formulation why? 116
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14.4.1
Indep for two or more stochastic variables
DEFINITION are independent if and only if One write . PROBABILISTIC formulation
14.5 Product of measures with densities
Let Let LEMMA If PROOF Take sets intersection By Tonelli and . Want to show: agree on which is a generator for stable under and be σfinite measure spaces. be σfinite measures on hver sit space and , then where
(inserting
definition and using Tonelli to convert to iterated integrals (since ℳ ))
so we’ve shown that the measures agree on a generator for same. 14.5.1 Let Independence and densities and be σfinite measure spaces.
stable under intersection, so they are the
Let and LEMMA
be stoch var 117
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(i.e. that If and
has density
wrt
and
has
wrt )
are independent, then
“INTUITION” RECALL ∷ Previous lemma ∷ conclusion was NEW setting istr of Well, in general, the tensor need not have to do with their product But when they’re independent, then (by definition)
14.5.2
Independence and generating systems and
Let THEOREM If
Then and are independent REMARKS Not proved here. Idea ∷ we don’t need to check productshit from indep.definition for every set in the σalgebra → again, we can focus on the generator. 14.5.3 Independence and permutations
RECALL  An permutation is a bijective map THEOREM Let and if PROOF 118 is an permtation then
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Key observation: both sides of the relation
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since REMARKS tells us: they’re stoch.vars. defined on the same probability space 14.5.4 More on indep (recall, underneath lies is a product and order doesn’t matter (invar to permutations) , and intersections are invariant to permutations )
THEOREM If then PROOF For this, take . . ,
To show: Need to extend somehow to be able to exploit assumption
as required. ∎ COROLLARY IF are independent, , are indep. then for any indices the stoch vars THEOREM If Then (where PROOF We have two variables – to show: they are independent Take To show: BUT ∷ It suffices to take , , , , 119 and . is the bundled variable (function))
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 so BECAUSE is an intersectionstable generator for
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so by independence of the set altogether
But now we use the theorem from before since Hence , we get that (and for the rest).
which is what we wanted ∎ 14.5.5 More on independence
WARNING! Let If ‼‼ THEOREM Let IF an then PROOF Let , To show BUT let’s look at . , . be stochastic variables on common space for all , then it does not necessarily follow that
as desired ∎ REMARKS (first step: think: 120
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14.6 Separate transformations and indep
and for THEOREM if PROOF Let hurray, and , then , then
∎ APPLICATION independent ⇒ hard to prove otherwise. independent…
14.7 Covariance
Let and (i.e. be realvalued stochastic variables defined on ℒ , i.e. ) has 1st moment. In the and assume that both have 1st moment
DEFINITION We say that the joint variable has covariance if and only if the product affirmative case, the covariance is given by we obtain
(the requirement that has first moment ensures ) LEMMA If both and have 2nd moment, then has covariance. PROOF use Hölder (or, rather, CauchySchwarz) For direct proof
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∎ 14.7.1 If then Covariance and independence and are independent realvalued stoch var both having 1st moment has 1st moment and .
Inparticular, has covariance and PROOF This is an application of Tonelli and Fubini. Suppose: moreover, ⇒ Let’s estimate
hm
have 1st moment (
)
a str chg var
we want to get to iterated integrals, for this, we exploit independence ∷
Now use Tonelli, since “
ℳ ”
HURRAY, done! By using Fubini instead of Tonelli, we get ∎ INTERPRETATION Covariance means “lack of independence” WARNING Certain kinds of dependence are not reflected in the covariance. By this we mean to say that necessarily give that (example something) 122 does not
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 14.7.2 Let THEOREM If has covariance, then ℝ, Bilinearity be stoch
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Furthermore, PROOF
∎ THEOREM If both then PROOF has covariance has covariance ⇒ ℒ ℒ has covariance. and have covariance, has covariance and
ℒ since ℒ is a vector space
but so we have that … show the rest for yourself ∎ 14.7.3 Variance and covariance
If has 2nd moment then LEMMA If both and have 2nd moment, then (note 2nd moment ⇒ variance exists) PROOF (by the shit just shown above) 123 has covariance and
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ∎ REMARK! From this it follows that ⇒
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15 Distr fcts and multivariate fun
15.1 Quantiles
Can more or less be understood as the inverse of a probability function. 15.1.1 Recall: distribution functions on ℝ we define the distribution function as ℝ THEOREM ∷ a prob measure on ℝ 1) 2) 3) is increasing is rightcontinuous for . is uniquely determined by its distribution function. THEOREM ∷ a distribution function satisfies that
For a measure
PATHOLOGIES  Jumps in the graph of 15.1.2  (then the value will be what comes from the right) An interval where for all (flat graph) Quantiles
We want to take the inverse of . ⇒ need to establish when When When will be bijective. . is bijective we may define the quantile as , the quantiles are the set ℝ When When is continuous ∷ is discontinuous ∷ and  When has a “flat interval” ∷ CONJECTURE PROOF (by a “funnel argument”) 124 the constant value on the flat interval ⇒ the flat interval (hvor , det er der kun et af) (where is the jump point, the jump interval
is not bijective, we introduce a combinatorial construction
DEFINITION For
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 A funnel argument ∷ find Then, find those such that “ Now consider such that s.t. ” , find since s.t. (in fact, sufficient to find
Anders MunkNielsen .
and let’s find If If
. Then cut the interval in half depending on what happens in the midpoint. take take such that
In both cases ∷ we have a new interval, Moreover
so we’ve found a new interval with half length but with the same properties. REPEAT Find suth that ,  funnel = tragt (Danish version: “ruse” (like the fishermen use) Completeness of ℝ implies that there exists . TO SHOW ∷ AD Note that ∷ so because 15.1.3 Basic quantile theory and quantile functions is nonempty compact interval (or a point) for any . If quantile for quantile for . is leftcontinuous is a quantile, i.e. it must satisfy ∷ , hence lim AD y right continuity ℝ
LEMMA LEMMA ∷ let is a is a ⇒ then
Quantile functions DEFINITION. A quantile function for is any function ℝ that satisfies that is a quantile for any  Always possible – sometimes there is a whole interval where we only need to pick one. 125
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Attempt to create inverse more generally be a ℝ measure with cdf and let NOTE ∷ a quantile function is always increasing THEOREM ∷ Let
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be a quantile function. It holds that
sup REMARK ∷ I.e. we can recreate the cdf from the quantile function. EXAMPLE Pick ℝ. Define such that “divides their preimages”
NOTE ∷ Consider are intervals ∷ since and ∷ maybe is “voksende”, we can write . , maybe . We can prove, that . (semiclosed?) and .
QQplots DEFINITION ∷ A QQplot of two probability measures ℝ 
on ℝ
is a graph of the form
We plot the quantile functions for each measure against oneanother If the two distribution functions are the same, then , then the QQplot would just show us the
diagonal, i.e. the line . IN PRACTICE  Compare the empirical distribution with the (hypothesized) theoretical distribution. We use the empirical distribution function, EXAMPLE Three observations, ↷ . , where the ’s are onepointmeasures.
15.1.4
Quantile functions of transformed measures be a probability measure on ℝ ℝ then
THEOREM Let Let with distribution function , and let . be a quantile function for . ℝ be a measurable function, increasing on an interval . is a quantile function for , ℝ is continuous and strictly increasing.
If REMARKS Note that
DIFFICULTY ∷ TO SHOW ∷
is not continuous, and it’s only weakly increasing. is strictly increasing on and , , is a quantile for
PROOF (in the case that
So, we want to compute 126
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since
is increasing, all ’s that make
some number ⇒ will make
some number
since
is continuous. is a quantile for .
But this means precisely that
∎ POINT You can transform quantile functions and get quantile functions for transformed measures. 15.1.5 Corollay: transformation and the uniform distribution uniform istri ution on istri ution function
INTRODUCTION
Hence, the cdf of Uniform(0,1) is zero up to QUANTILE FUNCTION
, the “diagonal” for
and constantly 1 for
.
Corollary Let be a continuous probability measure on ℝ . with distribution function . Then is the uniform distribution on ILLUSTRATION Let
be a quantile function for . (by the theorem before)
has quantile function Note that WHY? satisfies and
, since we assumed that is continuous.
Corollary Let be a probability measure on ℝ with quantile function . If is the uniform distribution on , then . PROOF has quantile function . The uniform distribution has quantile function 127
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Then has quantile function (since
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is the identity transformation)
now appeal to the uniqueness of quantile functions. ∎ COROLLARY NOTE THAT THIS MEANS THAT BY SAMPLING FROM UNI(0,1), WE CAN SAMPLE FROM ANY DISTRIBUTION! seq_of_uni = randuni(10,1) seq_of_normals = quantile_normal(seq_of_uni) … where quantile_normal is the quantile distribution for the normal distribution.
COMPUTATIONS If you want random number generators, it is enough to write a good algorithm for sampling uniform variables and then just take the normal quantile function on the sampled values.
15.2 Correlations
15.2.1 Bundled stochastic variables and two stochastic variables, (with space ) and . (with space
We have a background space )
We might also bundle the stochastic variables into , having values in LEMMA The marginal distributions can be computed in this fashion  since DEFINITION and is an “empty statement”
are independent if and only if
and we write (with two vertical lines but word can’t do that) PROBABILISTIC PHRASING
15.2.2
Covariance and independence stochastic. Assume they have 1st moment. has covariance if the product has 1st moment. In this case, the covariance is
Let and DEFINITION
The bundled variable
A simple computation shows THEOREM 128
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 If and are independent with first moment, then
st
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has 1 moment, and .
In particular, has covariance, and PROOF by Tonelli and Fubini 15.2.3
INTERPRETATION ∷ covariance measures deviation from independence. WARNING ∷ many forms of dependency implies zero covariance. Correlation and have 2nd moment, then
CauchySchwarz’ inequality ∷ if CS ∷
⇒ APPLY this to DEFINITION The correlation between and is and , we get
OBSERVE that RULES
.
THEOREM If there are PROOF Consider ℝ such that holds almost surely.
where
and
and
.
Now
y a ove y normalization
As
we see that
a.e. 129
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ∎ REMARKS Only detects linear dependency.
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16 Multidim
16.1 Moments for Stochastic Vectors
THEOREM Let , where
st
ℝ and
is
If the variables have 1 moment, then the variables have 1st moment and If the variables have 2nd moment, then the variables have 2nd moment and
is ilinear
whereas
… something something… COROLLARY The variance matrix is symmetric and positive semidefinite ℝ “Proof” Symmetry follows from the fact that Positive definiteness: Take ℝ and let . → formula gives 130
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 (since 16.1.1 Ordered variables ℝ ℝ given by are the ordered values of the ’s. is a realvalued ),
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Consider the map where EXAMPLE
 If we consider , we see that min max DISTRIBUTION FUNCTION FOR ORDERED VARIABLES THEOREM Let be independent, all with cdf . For
.
, the variable
has cdf
PROOF at least es are es are exactly es are
exactly Ok, so how do we calculate this fucker?
→ let’s decide precisely which of the ’es are smaller. Take such that exactly es are and .
es are in ep
(since there are precisely
elements in and
elements in
.
all elements of sum have same value
Ok, so exactly but exactly ∎ 131 es are es are
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 REMARKS So the idea was to translate from “at least ” to “precisely ”. EXAMPLE ∷ uniform distribution,
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⇒ for we see that
long te ious calculations
16.2 Tabulation
Let be independent, identically distributed variables with values in The ’s are classification values (or types). E.g. we have individuals, who may work in one of different sectors. Instead of just listing all values, we may just list how many are of type  E.g. we have 100 people, 8 teachers, 41 students and 51 workers. FORMALLY of type The NOTE inom CHALLENGE Find the joint distribution of MORE FORMALLY We consider the map ℕ given by the formula is the formal way of making a table – is a cell count. . Assume that
and we let
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If the first 16.2.1 Theorem
of the ’s are known, then the last one is also known. Hence, the ’s can’t be independent.
THEOREM Assume that Let vector PROOF TO SHOW . be the tabulation of the ’s. The is multinomially distributed with and probability
WHY? Note that But this means that
but what is the probability of one specific sequence, i.e. what is → well, something like something something something
?
but the something’s are known – they’re in the table (they are the sum of observations of category .
NOTE! There are no ’es in this expression! no of elements in TO SHOW: ? Let’s first place those in category 1: we must find Let’s place the second: we have … 133 people out of the people total ∷ ∷ multinomial coefficient. in category , …, in category
But this is the same as asking “how many sequences will give rise to
available places and must pick
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 The last: we have one (no freedom left) places left and need to place
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…  The total: use the multiplication principle
16.3 Convolution of measures
Let and be probability measures on ℝ ℝ . ℝ DEFINITION The image measure is the convolution of THINK and . Consider the function ℝ given by
We start out with two measures on ℝ Then we use “ ” to create a measure on ℝ Then we use MORE Let r ℝ I.e. to “go back” to a measure on ℝ. be the set of probability measures on ℝ .
As an algebraic operation on r ℝ
, we see that is commutative and associative
 and Q: Is there a neutral element? A: YES! , the onepoint measure in zero is neutral so that ⇒ hence, we have a monoid. Also, 16.3.1 ⇒ .
.
Interpretation of convolution – equivalent of summing, but for measures be realvalued stochastic variables, defined on are independent, then .
Let and THEOREM If PROOF and
We have two stochastic variables → and then we could use
, both going from from 134
to ℝ. to ℝ .
We might also bundle the pair and consider to go from ℝ to ℝ.
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 GOAL ∷ we want to say something about the image measure on ℝ Now we assume Then it turns out that and by successive transformation, now use that (burde være dobbelt lodret streg) .
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∎ IN WORDS Whenever we have to independent stochastic variables, the sum of them will have a distribution, which will be the convolution of the marginal measures THINK OF IT AS ADDITION OF TWO MEASURES! (you don’t convolute stochastic variables, you add them – you don’t add measures, you convolute them) 16.3.2 Convolution of discrete measures
THEOREM If and are concentrated on Then
with point probabilities
is concentrated on . Hence, it can be described fully by it’s point masses, which are
PROOF First, let’s disregard the nullset .
Those are disjoint
now use independence
∎
135
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 16.3.3 Let Example: convolution of binomial distributions with in We describe
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by it’s point probabilities since this will characterize it
where we don’t write the
limits since we know that both to
and
should be positive
 (we could write the sum out for NOW insert the pdf for Bin
but there will be zeros)
hence in ∎ PROOF OF Let’s prove it using generating functions
Hence, we can identify the binomial coefficients in a expansion of Now
which is a product of two polynomials.
now let
(this thing is called Cauchy multiplication) POINT 136
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 ⇒ hence, the coefficients must agree Identifying coefficients,
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We started with a polynomial and we ended with a polynomial of the same degree
CONCLUSION If the success probabilities are the same, then the convolution of binomials is again binomial (i.e. the sum of two binomials with same prob is again binomial. 16.3.4 Let “PROOF” Convolution of Poisson distributions and oisson oisson
where again we’ve used thoughts on the concentration of
and
to avoid writing the entire infinite series
would be nice, if
was a binomial bandit, but it can be
now apply the binomial theorem and get
but this is precisely the Poisson point mass with probability ⇒ hence ∎ 16.3.5 oisson
computed in the point
These are two of the three only examples where this happens
We don’t really have any other types of distributions that have convolution stability. (the NegBin has the same property)
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16.4 Convolution from distribution functions
SETUP We have and have the marginal distribution functions. and then use and find the marginal measures by . have distribution and distribution function . If We want to take the bundled THEOREM Let have distribution , then
and distribution function . Let given by
has distribution function
REMARKS Use the integral, where we know the most about the measure being integrated with respect to… i.e. if we know PROOF where in great detail, compute by the first integral.
ℝ
ℝ
but because of independence, we know that
Tonelli gives
use that
is fixed in the inner integral
∎
16.5 Convolution from densities
MOTIVATION ∷ would be much better if we could find a density → setup here: suppose COROLLARY such that and have densities wrt. Lebesgue
Then
has density
wrt.
where 138
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PROOF Observe that measurability goes by
is an ℳ function where all is measurable
So is measurable, since a function measurable in both coordinates, where one is integrated out, is meas.. NOW Construct
let’s switch the order of integration
let’s do the substitution so and let’s cheat instead of using monotone convergence and substituting on a finite interval (and let’s not dvæle at the difference between the high school substitution (which only holds for and the real substitution for Lebesgue, hidden somewhere in the transformation results
continuous)
So
and since
” ”
, by the theorem before, we get the same thing and since the cdf
uniquely determines the distribution, we get the result we want. 16.5.1 If then REMARKS  the parameters of are not surprising  the main result is that the distribution is in fact normal. DO IT YOURSELF  very long computations Convolution of normal densities and are independent and if
139
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 16.5.2 If then Convolution of gamma densities , and if
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17 Transformations of multidimensional measures
17.1 Differential calculus in R^k
Let ℝ be an open set and let The derivative in a point is ℝ be differentiable
IDEA OF DIFF ∷ If is differentiable in , then is approximately affine.  in a sense, differentiability is approximate affinity… We say that CHAIN RULE ASSUME 1) 2) ℝ ℝ is if the partial derivatives are continuous.
ℝ is diff in ℝ is diff in ℝ ℝ is diff in and
(although we only need then defined in a neighbourhood around ) THEN the composite map → this is a matrix product!
17.2 Nice transformation
We consider a map 1) 2) maps is on ℝ ℝ (the same dimension!) and open sets such that bijectively onto
3) is on INTUITION being . Note that is not open in general! to be open 140 ∷ this is why we need
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 NOTE ∷ chain rule ∷ INTERMEZZO Let’s compute First, prior to usin the chain rule, note that o But note that and ⇒
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the identity map,
Now use the chain rule ⇒ an are the inverses of each other
 d RESULT Then , where is given by et READ ∷ is the restriction of In other words, (Lebesgue) to the set , i.e. wrt. the Lebesgue measure in ℝ . wrt. . et (where is the Lebesgue measure in ℝ ). In other words, has density So below we have the density of
17.3 Applying this result
17.3.1 Translations – proving translation invariance of the Lebesgue measure ℝ is given by ℝ
LEMMA If ℝ then , where
NOW let ℝ ℝ be given by  (this is a translation) NOTE is globally bijective ℝ ℝ with
for some fixed
ℝ
ℝ the derivative is then (applying the above) (just as ) IMAGE MEASURE What happens with The result from before said et 141 et
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 hence
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CONCLUSION What we’ve concluded is that the Lebesgue measure is translation invariant. 17.3.2 Let Isomorphisms be an invertible matrix and let ℝ ℝ be the linear map
NOTE! Globally bijective ℝ ℝ  and . Derivatives? – yeah, this is an affine map similarly Transforming lebesgue is what? Let’s use the general formula, et which is a constant since et Hence, et so et et is invertible. et et et so with gives et et INTERMEZZO ∷ since (note, we skip the collage form since et ℝ ℝ
17.4 The substitution formula
THEOREM Let 1) 2) 3) is is ℝ maps on on ℳ ℝ and any borel set et COMPARE to the high school formula it holds that ℝ be measurable bijectively onto
For any function
or alternatively 142
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EXPLANATION TECHNICAL DETAIL ∷ SUPPOSE THAT may not be the whole space… this is what 13 considers IS A CLOBAL BIJECTION
In other words, ℝ (swipes away a lot of complications) et et et Now use the abstract change of variable formula et now, use how we integrate wrt. a measure with a density, et et but now use that et et et
17.4.1
Application: polar coordinates ℝ and a radius (length) and cos sin . , i.e.
Representing a point I.e. we look at the space
→ might as well be represented by an angle
so ℝ NOTE however, that we remove the origin and the first axis ℝ Hence, on these two spaces, we get a bijection INVERSE?? well we can see what about the angle?? Well, use a triangle to use katete / hypotenuse 143
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 hence, cos so cos NOTE! The formula only holds for … so we can find local expressions for sin cos ⇒ et sin (by the idiotformel) (this is what we need to multiply by) 17.4.2 Let Griner ℳ ℝ
ℝ ℝ
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. Otherwise, we need another expression
cos sin cos sin
cos
(which is ok since et CONCLUSION
is a
nullset ( axis and origin)
onelli
cos
sin
so we have to multiply by , then we can integrate wrt. polar coordinates – so long as we multiply by . Application on sumthing
(note, the integration dummy doesn’t matter) Now, consider the first integral as a constant wrt.
onelli ℝ olar coor inates
outsi e exp
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17.5 More domain transformation
ℝ satisfying 1,2,3 1) 2) maps is on bijectively to ℝ
3) is on we also have given y ⇒ wher et
17.5.1
application assume
Find the joint density of and
Consider
what kind of image points do we get??  which is a long “strip” lying down we need to answer 1,2,3 SOLVE
but then we can obtain
and
if we know and
.
So if there is such a thing as the inverse, then note, this map actually maps so we conclude that is bijective with the above inverse map. 145 .
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 NOW ∷ let’s look at the joint density we start with The joint density of is
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this is the joint density of marginal I mean,
since they are independent ⇒ their joint density is the product of their
NOW we can obtain their density wrt. has joint density et First we find the determinant
⇒ et recall
⇒
looks evil, but because it has the product structure, we can marginalize out either of the densities, which gives independence (… woa…) PRODUCT structure of turns out that ⇒ has istri ution has istri ution
17.6 Diffeomorphism plus marginalization
Let Let have joint density ℝ ℝ be a map on ℝ wrt
PROBLEM ∷ find the density for NOTE ∷ we are going down in dimension STRATEGY 17.6.1 Find a supplementary map ℝ ℝ such that the bundle something similar where we can use the strategy that we have just developed). Then find the joint density of ⇒ then find the density of EXAMPLE independent realvalued variables with densities 146 by marginalization is a nice bijection (or
Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 PROBLEM find the density for STRATEGY: supplement with i.e. the joint density of (where et marginalization gives is
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IN OUR CASE ∷ the two variables will not be independent, so instead of slightly more complicated
we need something
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18 That’s All Folks!
You cheap bastard… you didn’t actually read through this whole thing, did you?
148
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