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Slides Chapter 1 MT and P
Slides Chapter 1 MT and P
1
1.1. SET SEQUENCES
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1.1. SET SEQUENCES
∞ [
\ ∞
(ii) lim An = An
k=1 n=k
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1.1. SET SEQUENCES
Problems
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1.2. STRUCTURES OF SUBSETS
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1.2. STRUCTURES OF SUBSETS
(i) Ω ∈ A;
(ii) If A ∈ A, then Ac ∈ A;
(iii) If A1, A2 . . . is a sequence of elements of A, then ∪∞
n=1 An ∈ A.
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1.3. SET FUNCTIONS
Problems
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1.3. SET FUNCTIONS
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1.3. SET FUNCTIONS
Problems
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1.4. PROBABILITY MEASURES
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1.4. PROBABILITY MEASURES
(i) P (∅) = 0;
(ii) Let A1, A2, . . . , An ∈ A with Ai ∩ Aj = ∅, i 6= j. Then,
n n
!
[ X
P Ai = P (Ai).
i=1 i=1
(iii) ∀A ∈ A, P (A) ≤ 1.
(iv) ∀A ∈ A, P (Ac) = 1 − P (A).
(v) For A, B ∈ A with A ⊆ B, it holds P (A) ≤ P (B).
(vi) Let A, B ∈ A be two events. Then
P (A ∪ B) = P (A) + P (B) − P (A ∩ B).
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1.4. PROBABILITY MEASURES
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1.4. PROBABILITY MEASURES
Then F is an algebra.
Next we extend P from C to F as follows.
Proposition 1.8 (Extension of the probability function)
(a) For all A ∈ F, since A = ni=1(ai, bi], with ai, bi ∈ IR ∪
S
Problems
Result
n “head” “tail”
10 0.700 0.300
20 0.550 0.450
30 0.467 0.533
100 0.470 0.530
1000 0.491 0.509
10000 0.503 0.497
100000 0.500 0.500
1.000
0.900
0.800
0.700
0.600
Frec. rel.
cara
0.500
cruz
0.400
0.300
0.200
0.100
0.000
0 10000 20000 30000 40000 50000 60000 70000 80000 90000 100000
n
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1.5. OTHER DEFINITIONS OF PROBABILITY
Result
n 0 1 2 3 4 5 6 7 8
10 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0 0
20 0.2 0.4 0.15 0.05 0.2 0 0 0 0
30 0.13 0.17 0.33 0.23 0.03 0 0 0 0
100 0.12 0.22 0.29 0.24 0.09 0 0 0 0
1000 0.151 0.259 0.237 0.202 0.091 0.012 0.002 0 0
10000 0.138 0.271 0.271 0.178 0.086 0.012 0.0008 0.0001 0
20000 0.131 0.272 0.270 0.183 0.090 0.012 0.00095 0.00005 0
0.45
0.4
0.35
X=0
0.3
X=1
X=2
0.25 X=3
X=4
Frec. rel.
X=5
0.2
X=6
X=7
0.15 X=8
X=9
0.1 X=10
X=11
0.05
0
0 2000 4000 6000 8000 10000 12000 14000 16000 18000 20000
-0.05
n
0.300
0.250
0.200
Frec. rel. límite
0.150
0.100
0.050
0.000
0 2 4 6 8 10 12 14
Número de accidentes
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1.5. OTHER DEFINITIONS OF PROBABILITY
0.9
0.8
0.7
0.6
(0,35]
Frec. rel.
(35,45]
0.5 (45,55]
(55,65]
0.4 >65
0.3
0.2
0.1
0
0 500 1000 1500 2000 2500 3000 3500 4000 4500 5000
n
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1.5. OTHER DEFINITIONS OF PROBABILITY
0.8
0.7
0.6
0.5
Frec. rel. límite
0.4
0.3
0.2
0.1
0
1 2 3 4 5
Intervalo de pesos
Problems
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1.6. MEASURABILITY AND LEBESGUE INTEGRAL
assuming that they exist, are also measurable. If they are infinite,
¯ instead of IR.
we can consider IR
The following result will gives us a tool useful to check if a
function f from (Ω1, A1 ) into (Ω2, A2) is measurable.
Theorem 1.3 Let (Ω1, A1) and (Ω2, A2) be measure spaces and
let f : Ω1 → Ω2. Let C2 ⊂ P(Ω2 ) be a collection of subsets that
generates A2, i.e, such that σ(C2) = A2. Then f is measurable if
and only of f −1(A) ∈ A1, ∀A ∈ C2.
Corolary 1.1 Let (Ω, A) be a measure space and f : Ω → IR a
function. Then f is measurable if and only if f −1(−∞, a] ∈ A,
∀a ∈ IR.
The Lebesgue integral is restricted to measurable functions. We
are going to define the integral by steps. We consider measurable
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1.6. MEASURABILITY AND LEBESGUE INTEGRAL
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1.6. MEASURABILITY AND LEBESGUE INTEGRAL
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1.6. MEASURABILITY AND LEBESGUE INTEGRAL
since Q
l is numerable.
Proposition 1.12 (Properties of Lebesgue integral)
R
(a) If P (A) = 0, then A f dµ = 0.
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1.6. MEASURABILITY AND LEBESGUE INTEGRAL
∞
[
(b) If {An}n∈IN is a sequence of disjoint sets with A = An,
n=1
∞ Z
X
R
then Af dµ = f dµ.
n=1 An
Problems
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1.7. DISTRIBUTION FUNCTION
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
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1.8. RANDOM VARIABLES
= g dPX
DX
∞
XZ
= g dPX
n=1 {an }
X∞
= g(an)P {an}.
n=1
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1.8. RANDOM VARIABLES
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1.9. THE CHARACTERISTIC FUNCTION
Problems
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1.9. THE CHARACTERISTIC FUNCTION
(iii) For the Normal distribution, N (µ, σ 2), the c.f. is given by
2 2
σ t
ϕ(t) = exp iµt − .
2
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1.9. THE CHARACTERISTIC FUNCTION
Then, if ϕ(t) is the c.f. of a r.v. X, the mean and variance are
equal to
ϕ′(0) 2 ϕ′′(0)
E(X) = α1 = = 0, V (X) = α2−(E(X)) = α2 = 2 = 0.
i i
But a random variable with mean and variance equal to zero is a
degenerate variable at zero, that is, P (X = 0) = 1, and then its
c.f. is it0
ϕ(t) = E e = 1, ∀t ∈ IR,
which is a contradiction.
We have seen already that the d.f. determines the c.f. The
following theorem gives an expression of the d.f. in terms of the
c.f. for an interval. This result will imply that the c.f. determines
a unique d.f.
Theorem 1.21 (Inversion Theorem)
Let ϕ(t) be the c.f. corresponding to the d.f. F (x). Let a, b be
two points of continuity of F , that is, a, b ∈ C(F ). Then,
Z T −ita
1 e − e−itb
F (b) − F (a) = lim ϕ(t)dt.
2π T →∞ −T it
As a consequence of the Inversion Theorem, we obtain the fol-
lowing result.
Theorem 1.22 (The c.f. determines a unique d.f.)
If ϕ(t) is the c.f. of a d.f. F , then it is not the c.f. of any other d.f.
Remark 1.14 (c.f. for an absolutely continuous r.v.)
If F is absolutely continuous with p.d.f. f , then the c.f. is
Z Z
itX
ϕ(t) = E e = eitxdF (x) = eitxf (x)dx.
IR IR
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1.9. THE CHARACTERISTIC FUNCTION
We have seen that for absolutely continuous F , the c.f. ϕ(t) can
be expressed in terms of the p.d.f. f . However, it is possible to
express the p.d.f. f in terms of the c.f. ϕ(t)? The next theorem is
the answer.
Theorem 1.23 (Fourier transform of the c.f.)
If F is absolutely
R∞ continuous and ϕ(t) is Riemann integrable in IR,
that is, −∞ |ϕ(t)| dt < ∞, then ϕ(t) is the c.f. corresponding to
an absolutely continuous r.v. with p.d.f. given by
1
Z
f (x) = F ′(x) = e−itxϕ(t)dt,
2π IR
where the last term is called the Fourier transform of ϕ.
In the following, we are going to study the c.f. of random vari-
ables that share the probability symmetrically in IR+ and IR−.
Definition 1.52 (Symmetric r.v.)
d
A r.v. X is symmetric if and only if X = −X, that is, iff FX (x) =
F−X (x), ∀x ∈ IR.
Remark 1.15 (Symmetric r.v.)
Since ϕ is determined by F , X is symmetric iff ϕX (t) = ϕ−X (t),
∀t ∈ IR.
Corolary 1.5 (Another characterization of a symmet-
ric r.v.)
X is symmetric iff FX (−x) = 1 − FX (x− ), where FX (x−) =
P (X < x).
Corolary 1.6 (Another characterization of a symmet-
ric r.v.)
X is symmetric iff ϕX (t) = ϕX (−t), ∀t ∈ IR.
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1.9. THE CHARACTERISTIC FUNCTION
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1.9. THE CHARACTERISTIC FUNCTION
assuming that there exists r > 0 such that the integral exists for
all t ∈ (−r, r). If such r > 0 does not exist, then we say that the
m.g.f. of X does not exist.
Remark 1.18 Remember that the c.f. always exists unlike the
m.g.f.
Proposition 1.22 (Properties of the m.g.f.)
If there exists r > 0 such that the series
∞
X (tx)n
n=0
n!
is uniformly convergent in (−r, r), where r is called the radius of
convergence of the series, then it holds that
(a) The n-th moment αn exists and if finite, ∀n ∈ IN ;
(b) The n-th derivative of M (t), evaluated at t = 0, exists and it
satisfies M n)(0) = αn, ∀n ∈ IN ;
(c) M (t) can be expressed as
∞
X αn
M (t) = tn , t ∈ (−r, r).
n=0
n!
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1.9. THE CHARACTERISTIC FUNCTION
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