Scribd Logo
Upload

Welcome to Scribd!

  • B R Bhatt

    Uploaded by

    twaihwcxranwesdiae
    21 views40 pages

    Original Title

    B r Bhatt

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    21 views40 pages

    B R Bhatt

    Uploaded by

    twaihwcxranwesdiae

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    of 40
    152 MODERN PROBABILITY THEORY Hence for each o, g(f) exp (~ 1961/2) isa ch. fn. of f(x, 6). By conti- nuity theorem, (Theorem 8.5, to be proved in Chapter 8) lim g(t) exp (— #704/2) = (4) 0-0 Isoach. fn. Ifg(0) = 1, itisa ch. fn, of a r.v. (see Rao, 1974). (*) Bochner’s theorem is of great use in the theory of stationary stochastic processes (see, Doub, 1953). In the above theorem the continuity condi- tion on g may be relaxed and replaced by continuity at the origin and Lebesgue measurability. But non-negative definiteness is a crucial condi- , which cannot be relaxed (sce Lukacs and Laha, 1964). is IMPLEMENTS AND PROBLEMS oe F(x) = 0, x <0, = x92,02. Obtain the ch.fn. of F. Hence or otherwise obtain the rth moment ~_ of the underlying rv. about the origin. 2. The following example shows that two distinct ch. fns. can coincide within a finite interval: (i) Show that the ch. fn. of the distribution with probability den- sity function i L(x) = (1 — cos x)/nx*, — 0 1. (ii) Obtain the ch.fn. of the discrete distribution with pay PIX = 0] = 1/2, : PLX = wk] = P[X = — nk] = 2/(k*r?), k = 2m —1 =0,k =2m, (m =1,2,...) am in the form wu) =A 44 F Cosm(2m+ Iu _ sin (u/2)\" = 544 Ont Ps ( uf ) ama} that 9*(u) is the F CHARACTERISTIC FUNCTIONS 151 Proof: (i) Suppose g iy oh. fn. of g at, my Ta g is non-negative definite, ¥ Theorem ws te deve fa (ii) To prove the SONVEr4e, take é : Mu) om Mma, Since g is NON-Negatiye 2 g(u— v) Xp [~ Ku - in (7.22). definite, ~V) (yt Since g is Continuous, (7, 58) implies that bot} > 9, (1.98) ff 8U—¥) exp [tu — yy x ~ (ut for each x and ot s 0, b sums each of which is n that u* + v8 = (424 + vy 0") du dy > 0, (1.9) ecause the integral (7.59) ) is the limit of Riemann On-negative, Pp, Utting f= 4 — vand s—u-+y, so F s*)/2, integrating sin (7.59), we get F(x, 0) =f 89 exp [- itx — =] a>, (7.60) By monotone convergence theorem, [re ) d= lim fre o) exp (-3) bie mas JJ oH exp [- itx — FP ea, i i ion is justified by Fubini’s change in the order of integration is ju: bin Pith Hence integrating over x, and using (7. 20) and the continuity property of g, ieee =i ra raat J 40% 0) as = tn [exp pie =lim J g(uB) exp lees Boke fit G8 is (0). (7.6) (0) [ams =8 we i itive constant, Putting u = v in (7.22) we can see that g(0) is a posi a wen “ ys Yr ATC a) is the density function of Thus, as a func! general df. foreach o. A similar argument shows a" cs dx, [res a) exp (itx) dx = lim J S(% 9) XP [ws FI iN MODERN PROBABILITY THEORY well rigs. Since Yon = flan and as n> co, 2n—1 anna Len On +1 tanta MT) "1S Iq Yen Sp Bap dy Yeast oy vinmy oe van oe wie + un ; - = Tim ( 1) < tim (3°) < iim (zt), 2n ~ RA co diac feet = lim 1 = im (* Jae 2n n Thus the radius of convergence of the two series 3 v,u"/rl and Zu, wrt are the same. If /< oo, the former converges for ju| co. Hence log 9(u) will exist and will be determined by «,. ¢ 7.5 BOCHNER’S THEOREM CHARACTERISTIC FUNCTIONS: Similarly, Var X = AM") = (My) we PM) + PC) = (Py @ Tue MoMENT Prontem — We have seen that moments may n i i ents MAY Not exist, but a ch, fn, will However, if moments of all order exist, then from (7.51) fovea ine if the series 3 426% determine the ch, fn. if the serion 3 FL Converges for a certain p > 0, jis will be so if = nt (7.54) is convergent. ss Z . ees THEOREM 7.4: If the series 2 alae convergent for some u,> 0, then the sequence of moments {u,’} determine the distribution F uniquely. ; vue. Proof: Since = +7 is Convergent, as 2 —> co rant Va | h \"/n! > 0. for | h| . j, Cea Si (ets — Dat | 0 Thus, (Fol =, ee jew —1 | dt, Ee j, Gh 2 tata dt, Beau | x? f. = tedt, 23 | wx ~ WF 92+ 8)... 0+ 8y by using beta-integral or by successively integrating by parts, (7.53) follows from (7.48). (*) Using (7.46) or (7.51) one can determine the moments, knowing the ch. fn, Similarly, one can use other transforms to determine the moments- For example, using m.g.f. M(8) = E exp (0X), 0 real, we see that ,_ &M(0) ee If P(s) is the p.g.f. of adiscrete r.v., P(s) = E(s*), 0 0. Corollary follows by int x) sing that tho 0m inder term tends to zero as singe the 146 MODERN PROBABILITY Proof: Since rth absolute moment is finite, [foo em areny |< fixrarey o, tends t uj “7 WD, 3 to ac E(t) = FO. 4. gy FOr 0). (y (b) EXAMPLES Example 7.3. (i) (Normal): Let (U) = exp (— itcH60,thas [ew du = Y2R/ 0 < w, 1 Then f(x) = I, e™* exp (— guts?) du = me e~*/to4, OSs eg. (ii) (Laplace): Let f(x) be the density function of the distribution whose ch. fn. is e-!“!. Since the latter is Riemann integrable, fay= 3 [let ct du <0 =- cos uxe-* du, le 1 ‘co 0 ; ==—| — e* cos ux} — x | e~ sin uxdu wT 10 o =! +3[e~ sin ux r - xf" cos ux e~# du}, don ¥Y(R); Te Hence f(x) = (1/n) 1 4+ x4), —'00 << i bove ch. fn. This is the only d.f. corresponding to the above « : (iii) (Cauchy): If ¢(v) = Vn (1 + uw), (u) is integrable an f(x) = exp (- |*)> 9 (Gamma): If ou) ca (p > 0) using contour integration 1 pe exp (=i) ay, | se) = 35 [=m sot x2 eninge TR «Lat ——— { 0, otherwise. : a SS pF EE 142 MODERN PROBABILITY THEORY which is (7.35), Thus, F(x) is differentiable at x with F'(x) = f(x) ift the limit on the right side of (7.35) exists and is finite. Now 9 is integrable; then by Lemma (5.4), | 9f#)| is integrable, Since, | : oe 9(u) ete du gi | @(u) | du <| | eu) |du< wo R for every U,h, x E R, by dominated convergence theorem we may allow U—> and A -> 0 under the integral sign, so that from (7.37) we get aad e-tux (1 — e-!uh) Ae) = Him = | EO ou) ce, =f, cm mw du (°) See aany 7.4: Under the conditions of Corollary 7.3, f(x) is continuous. Proof: Since, Ifo #3) - fay =4 femora = elu) 9(u) dul, 0s 8 > 0 and the integrand is bounded, by domi- ed convergence theorem, | f(x + 3) — f(x) |-> 0as3->0. “) We may note that the condition of integrability of (u) is only suffi- & and is not necessary for the formula (7.36) to hold good. For _ example, the modulus of the ch. fn. of the exponential distribution given by (7.5) is not integrable (Why ?). But by using the theory of contour integration, using (7.36), one can derive the density function correspond- ing to the ch. fo. (7.5). We may also note that the p.d.f. of exponential distribution has a discontinuity at the origin. \ IN} CHARACTERISTIC FUNCTIONS 139 ThroreM 7.2: (Inversion formula): Ifa, b(a (*— 4). Case (i): (* — b) >0, (* —a)>0. Then 1 us~0)'sin Y v. 31) © beats % : We know . ye Bi din egin VT oe sin Vy, j- 0 2 tim f) v I re such that for fi, hts oduan Hence there exists 4o {f° eta| (1/2)x" (1 ~ (1/12)x*), 1 — Re p(u) = tg (1 = cos ux) dF(x), ee ; (ux)? (1 = 4 (ux)") dF(x), di AD rice ose a \ x dF(x) ‘ 2S Vimcws (). ) LeMMA 7.2: Let ux, ve(k = 1.) be elements of a set of n arbitrary numerical values, n also arbitrary. Then, for any function h (real or complex), defined on this set, ZZ o(u—v)h(u) A(v) > 0. (7.22) where the summation is extended over all the n possible values of u and v. Proof: 2 E ¢(u—vyh(u)h(v) = j Z (2 B exp [i(u—v)x] h(u) A(v)) dF(x), uy uy = hy @ exp (iux) h(u))(S exp (—ivx)h(»))dF(x), = fi | 2 exp (iux) h(u) |? dF(x) > 0. C A function g is said to be non-negative definite. if for every finite set of n elements {14,, .-., Un} = {V. ++, Yn} M arbitrary and every real or complex valued function h. _ ZZ g(u—v)h(u)h(v) > 0. me? x Lemma 7.2 implies that a ch. fn. is non-negative definite. . 7.3. INVERSION FORMULA (a) Derivation One of the important properties of the ch. fn. is that we can get back the original d.f. knowing the ch, fn, on the entire real line, Now we shall proceed to derive an explicit formula which may be used to derive the distribution function F(x), knowing the ch. fn., p(u), As already men- toa family of distributions which is tant toad, ofa rv. Thus, from CHARACTERISTIC FUNCTIONS This theorem gives some simple properties of the ch. fn. Using this theorem, for example, one can get the ch, fo, of a normal distribution With mean p and standard deviation o, knowing the ch. fn. of the stan- ~ dard normal distribution (use (7.19)). If Xis N (u, 0%), (¥ = w/o = Y is N (0, 1) so that ¥ = p + oY has its ch, fn. given by ex (u) = exp (inp — (wo4)/2). (7.20) If px (u) is the ch. fn. of a rv, X, px (0) = 1. But, 9x (u) = 1 does not imply « == 0, as we can see from the ch. fn. of a binomial r.v. (7.6), where 9(u) = 1, if u = 2nn,n = 0, + 1, + 2,... However ch. fns. of continuous r.v.’s have their value equal to unity only for u = 0 (How 7). _ It follows from this theorem that the average of two ch. fns. is a ch. fa. _ Product of two ch. fns. is also a ch. fn. It is the ch. fn. of the convo- lution of two d.f.’s (see Problem 7.7). — (b) Some INEQUALITIES LeMMa 7.1: For any ch. fn. 9, (i) Re (1 — 9) > (1/4) Re (1 — 9(2u)), Gi) (90) — s+ Wy < 211 — Re oh, me (iii fine xaF (x) < 3 — Re ow), where Re ¢ is the real part of 9. Proof: () 1 — Re 9(2u) = fo — cos 2ux) dF(x), 2fa — cos ux) (1 + cos ux) dF(x), < fa Es cos ux) dF(x), <4 (1 — Re ou). 136 MODERN PROBABILITY THEORY Gi) 1¢@)| < 90) = FU wm) — F(= @); (7.17) (—~ u) = Fu), (7.18) where 9(u) is the complex conjugate of o(u). (iii) IP p(u) is the ch. fn. of ary. X, then the ch. fn. of a+ bx ig exp (iua) @ (bu). In particular, @ is the ch. fn. of ~ X; 9 is real iff X is symmetric about the origin. (iv) If e,(u) are ch. fns. of r.v.?s, ZAnpa(ts) is a ch. fn. of a1.¥., if >0, 2A, = 1 Proof: (i) By Lemma 5.3, le(u’) = eu) | -| | els dF(x) — J elu dF (x) -| J (elut= — elut) dF (x) | <| | els — elu | dF (x). But | elu’= — elwe | — | elw'x || | — eitu-wyx | > 0, as | u—u' | + 0. Since | e’* — ele | < 2, using dominated Convergence theorem, we see that | ¢(u’) — (u)| > Oas | u’ — u| + 0 implying continuity of 9 (u). In fact, ¢(u) is uniformly continuous in any finite interval (How 2). (ii) By Lemma 5.3, Lou) | = | B (et) | < B| etux |, But | exp (ux) | = 1 and hence, 191 <[dF@ = F(+ «) — F(— @) = 9 0) Thus, 9 (u) is bounded by 90), which is unity if F is the df. ofa r.v. Since (w= J eww: dF(x) = § (u), (7.18) follows, t (iii) The ch. fn. of a + bX is E (emloton) — ela B (etx), ee ie aunt (7.19) In particular, putting a = 0,6 = ~ 1, using (7.18), we see that ¢ is the fn. of ~ X. If X is Symmetric about the origin, X and — X have the same d.f. andihence the same ch, fo. implying 9(u) = p(w). This implies that 9 is real, Conversely, if » (u) = 9 (u), Xand — X¥ oe the same ch. fa. and hence the same d.f., sincech. fn, determines 4 uniquely (cf. Theorem 7.2). Thus, ¥ ic, iv) follows from (7.19) and thy spe CHARACTERISTIC FUNCTIONS 135 * beosy Ge OM Lf Tn general the ch. fh. of the Vere b Zain u), ch, fn, of X), Yq) + Xp is defined ay Y (XX Weg ea Nie Seip tins, + u,X, 4 WX, 4 X,), or the joint + + 4,%,)), (1.12) 4,) & RP). Xy,) by patting (uy, My, . One can obtain one ch, — of the Subvector (x, x, fy Aly, um = 0, for i 4 ty, i, (c) ConsucATE DISTRIBUTIONS We can prove that (how?) the characteristic bution with probability ree function (pdf a of a Cauchy distri- Se) = Soe 4 “de OSE< w, (7.13) is ou) = exp(—jup, x ER. By properly norming 9(u), we can get the Probability density function of .. the Laplace distribution FE) BOND fr |e Disousnst one '$ <2 00, (7.14) Conversely, the ch. fn. of Laplace p.d.f. is a Constant multiple of Cauchy pdf. Ch. fa. of the triangular distribution with p.d.f. I) =1-|z = lex =0, iS 1, (7.15) is given by (see Problem 3, in Complements and Problems), 94) =(1 — cosu)/u, ueR, (7.16) Since 9(u) > 0, by properly norming 9(u), wecan get the p.d.f. of certain distribution. Conversely, the ch. fn. of the distribution, which is a constant multiple of (7.16) is (7.15). The above two pairs of distributions are related in such a manner that Fourier transform of one p.d.f. is a constant multiple of the other. Such distributions are called conjugate pairs of distributions. Normal - distribution is the conjugate of itself (Why?) (see Problem 10 also), 72 SOME SIMPLE PROPERTIES @ Some Surricient CONDITIONS A: ua eh ¢ is continuous; 134 MODERN PROBABILITY THEORY (v) If X is degenerate at c, Elexp (iuX)] = exp (iuc). (7.8) Thus, exp (luc) i is the ch. fa. of a d.f. with jump of unit magnitude at x= c, Unity is the ch. fn. of a r.v. degenerate at the origin. (vi) If F(x) = F(x) + (lL —@) F(x), O< a <1, a mixture of two d.f.’s with relative weights « and (1 — «), prt) = a9r,(u) + (1 — «) Gr, (¥)- In general, if FQ) = 3 ayFi(x), (a > 0, 2 = 1), iz Then ert) = 2 apr (u). @.9) We may note that F, may be discrete and F, may be continuous. For example, if F is a mixture of a distribution degenerate at the origin, and exponential distribution with weights p and (1 —p) respectively, (cf. Example 4.3), from (7.5) and (7.8), eu) =p + (1 — pl — iu). (7.10) As already stated in Chapter 5, E(exp (9X)), the moment generating tion (m.g.f.) of X (where 6 is real and belongs to a certain interval R) may not exist. But ch.fn. will always exist. Therefore, we prefer to work with the ch.fn. rather than the m.g.f. In the discrete case the ' p.g.f. (probability generating function) is very convenient and easy to handle (see Feller (1968) and Problem 2). As already stated in Chapter 5, ch.fn. is also called the Fourier transform of F; exp (iux) is called the Kernel of the transform. All these transforms, including the m.g-f. and the p.g.f., share most of the properties of the ch.fn. We may also note here that the moments of Cauchy distribution do not exist. Hence the m.g.f. does not exist. But the ch. fn. exists. (b) BivarIaTE Ou. FN. The ch. fn. of the bivariate r.v. (X, Y) is defined as , ou, ¥) = E(eueY), u,v & R. 7.) Evidently 9(u, 0) is the ch. fia. of X, 10, 0) is the ch. fn. of ¥ and eu, u) isthe ch.fa.ofX+Y¥. 7.2. Let PUX, Y)= (1, ma) « 4G 1) = PU(X, Y) - 1) ane CHARACTERISTIC FUNCTIONS Example 7.1. (i) Normal distribution: Let X be a standard normal variate with probability density function fix) hi Oxp(=x92), <0 < * <0, 73) Vin The ch, fa, of V is 1 f@ - i. . -x4/2) dx, eu) wel 2 OP (ix) exp (-x"/2) dx, - af Cos ux exp (—x"/2)dx 4 { t= 1h oo Sin ux exp (—x"/2) dx. exp (—v*/2) is even and sin ux exp (—x*/2) is odd, the complex wt of @(u) vanishes. Evaluating the real part, 9(u) = exp (—u/2), (e) In general, if ¥ is symmetric about the origin, i.c., its pdf. is even, then the corresponding ch. fn. is real (Why?). (ii) Exponential Distribution: If X has exponential probability density function, exp (—x), x > 0, fo={5 ge eae. the ch. fn. of X is eu) = i exp (iux) exp (—x) dx, o = (liu. i) (iii) Binomial Distribution: Let X be a binomial random variable with : PIX = x] = (2) eras, G> Op + a= 1, Om D Lown The ch. fn. of X is E(exp (iuX)) = 3 exp (iux) (*) re, Vt = (q+ pexp (iu))"s _(y) Poisson Distribution: Let X bp acleenn'a ny with se PIX = x) = (exp (Halal Odd dO ie the eh. fn, of X is wm fm ly Ot QR ad SR alge! xp (iuX)) = 6 5 Aiea 7.6) ie Characteristic Functions 7.1 DEFINITION AND SIMPLE PROPERTIES {a) DEFINITION In this section, by & distribution function F(x), we usually refer toa distribution function of a rv. with F(— ©) 0 and F(+ %) ao How- ever, most of the results can be easily modified to general d.f.’s. Toa df. F(x) we correspond a complex valued function ex(t) = {, exp (Iux) dF) ue Re P= V1, 1) i) if there is no confusion. led the characteristic function (ch. fn.) of F. We shall denote 9p(u) by “(u) exists and is well defined; for, o(u) = { exp (iux) dF(x), = [ cos ux dF(x) + if sin ux dF(x). (7.2) If, Fis the d.f. of a r.v. X, 9(u) may be written as ex(u) and is also called the ch. fn. of X (see section 4.3). Evidently, 9(u) = E(exp (iuX)). If, in (7.1), F(x) is replaced by G(x) = F(x) + % ¥) remains unaltered. Thus, ¢(u) corresponds to a family of general distributions {G(x)}, where G(x) = F(x) + ¢ where c is an arbitrary constant. If we insist that F is to be such that F(—co) =0 and F(+ o0)=1, there is onl¥ ‘one member of the family {G(x)}, which corresponds to a given ch. fa. Later in the chapter, we shall establish a one-to-one correspondence between the d.f. of ar.v. and its ch. fn. In general, @ determines F up to additive constant (ut ac) only. The study of ch, fn. requires the knowledge of complex analysis 8 particular that of complex integration, In this chapter and Jater on, We shall use freely the formulae and results fro 1 stan sis. Characteristic function meth 4 Se CONVERGENCE OF RANDOM VARIADLTG 127 &(y) J H (cons oy) diy (o,) then f and g are integrable and fra fray | du. 6% ere mG ot: > 9, by Theorem 6.12. By splitting A Rec yee » parts, Theorem 6.13 can be established. Moreover, if the integral of a certain function is finite then the inte- ea aes Rete ey we have the Fubini Theorem, that the _ double integral and the iterated j if ei i (ii) 4 is iGhable with respect hes Ope ghee 0) aes Consider the product space (Qa X 4... X Oy, hy x hy KL. XK Ay). A measure p on this space can be defined such that on rectangles A =A, X A, X «.. X Ags p(A) = 44(Ay) «». pl Ads where 4, -.. ux are measures defined respectively on (Qy, Hy), «+s (Qe, «%%) and A, & A, ..., Ax © A,. If fis any integrable function (or non-negative function) on this product space, by the extension of Fubini Theorem to & dimensions, we can see that its integral with respect to » may be evaluated by forming iterated integrals in any order, with respect TO fy, Har-- +> Be Taking one of the measures, say u,, as acounting measure, the first iterated integral in (6.44) becomes an integral of the sum, while the second becomes the sum of the integrals. These two expressions would be equal under the conditions of Fubini Theorem. Here the u,-measure could be probability measure and then (6.44) would be the sum of expectations. COMPLEMENTS AND PROBLEMS 1. X, assumes the values 1, 1/2, 1/3,... 1/m with equal probability. Examine whether {X,, ” > 1} converges in probability to some constant. . If Xq, and Y, are equivalent for n == 1, 2, .., show that : inthe erges AS. nk EX, converges a.s. iff Tn DY; converge: 3. (Chebyshev’s theorem) If {Xp} is a sequence of r.v."s with EX, = my, Var Xp = gat? “Tf'cn > 0:08 1 =e 2, then X, — mtn “converges in probability to zero, (Cramer, 1962, P. 253). 126 MODTRN PROBABILITY THTORY is called the double integral of h, with respect to the product measure A. If Ro) = [hor (od dixlon)s the integrals, ttn = (J neon on) dan on ) du (on) [ as { ( J A(e04s 64) day (6) ) dy (od) are called iterated (or repeated) integrals of h, Under certain conditions double integral equals either of the two repeated integrals. This forms the content of the following Theorems, called Fubini Theorem(s). Proofs of these theorems and the above Theorem 6.10 can be found in any book _ on measure theory (cf. Halmos, 1958) and only an outline of the proof will be given here. (©) Fusmi THEOREM "THEOREM 6.11: A necessary and sufficient condition that a measurable subset A of 2, X Q, has measure zero is that almost every w,-section (or almost every «,-section) has p.,-measure (or y.,-measure), zero. 3 A= A, x Ay MA) = | 42 (dod de (00s = [Hs an) diy (09, 6.43) = ty (Ai) pe (Ad). , (6.43) is true for any measurable set A. Since (A) > O and vanishes only if either p(4u,)=Oa.e. (uy) or 4,(day) =O ae. (us) ‘hy?), Theorem 6.11 can be established. 6.12: Ifhisa non-negative measurable function on Q, X Qy foa-ff alee taking h to be the ae linearity and for any non- CONVERGENCE OF RANDOM VARIABLES 125 for bivariate (and multivariate) integrals, defined on (OX D4, A, x Af), the Cartesian product of two measurable spaces (O,, .0/,) and (Q,, ,). If 4 CQ, X Dy then Ag, = [0g!(,, 04) & A] is called an w, section of A. Similarly, Aggy = [04! (4, 0) E A]is called the w,-section of A. If A isa rectangle 4, X Ay, then Ao, = Ay, Aw @ Ay (seo Fig. 6.1). Letf bea function defined on Q, x Q, or its subset A. For w, & 4, wy-section of f is a function fy, defined on Aq, such that Foos(2) = Mos @ 4). imilarly w,-section of fis defined. Example 6.6, _Every, @ section (or «,-section) of a simple function on Q, X Q, is a simple function on Q, (or Q,). For, consider KA), (A < Oy X Oy) MAwy), and Aga), Aor = [0 (@y ©) € A] = [i 1(A) (@y 2) = 1] = [oa (den) (@) = 1 Similarly, Aq, = [«,: (Aw,) (o,) = 1). Thus, sections of an indicator function are indicator functions. Hence, section of a simple function is a simple function. If A = A,XA,, is a rectangle in Q, x 94, (As) = KA,) and I(Au) = X(A,), so that IA) = Agi) x Ags). In general, section of a measurable set ismeasurable. Section of a measurable function is measurable (How?).- (b) Propuct MEASURE SPACE Let (Q,, ;, ts) and (Qg, 2, Hy) be two o-finite measure spaces. We would like to define a o-finite measure \ on «7, x ., so that for rec- tangles A, x A., (Ay X Aa) = py(Ay)- (4a). Such a measure exists on account of the following Theorem. TuHeorEM 6.10: Let (Oy, 94, Hy) and (Qy, 4, (1a) be o-finite measure spaces and A be any measurable subset of Q, X Qy. Then the Functions (04) = 1y(Acor) and B(o2) = Ya(Aoo) defined on Q, and Q, respectively are non-negative measurable functions such that f fd, = | edns= A), er ? 202 «he ‘hace xis unique a-finite measure on My Xo, PAs AX 4y AA x Ay) = edad +: 124 MODERN PROBABILITY THEORY sists in pri Hity 0 ‘ dfy dX(t) exists in probability or a.s., then (x! X(t) 1 J( Ht ),- This result gives us a set of sufficient conditions for differentiating with respect to a parameter under the integral sign at a point fy, Similarly, if [|X| < M and X(t) is integrable w.r.t. tin the Riemann sense, then flex dt=E (fixe dt ) (see, Kolmogorov, 1956 and Theorem 6, 12), 6.6 FUBINI'S THEOREM (a) PRobuct Space The set of all pairs (0, 3) where o1€ 9% and o, € Q, is called the Cartesian product of Q, and 2, and is denoted as Q, x Q,. The usual Euclidean space consisting of pairs (x, y),%» VE RisRX R= Rt Suppose (Q,, ,) and (Q,, sf) are two measurable spaces. The set of all pairs {(0}, @)! @, € Ap @s & Az} is the rectangle A, x Ay. If Ae #, and A, © ,, A, x Ay is a measurable rectangle. In general, the class {A, x 4,:4,E 4%, 4, SW} is not a o-field, even though »/, and #, are o-fields. The minimal o-field containing this class is called the product o-field, denoted by; x ,. The product o-field on R? is #, (see chapter 2). (Q, X Oy WH, x H,)is.a measurable space. Instead of pairs, if we consider n-tuples (04, @4, +++) @n), or EO (i= 1,2, sym), We have the pre duct space 11,Q, =(Q, x 2, x... X Qn). o-field TI, «7; on this space is the minimal o-field containing all n-dimensional rectangles of the form Ay X Ay XX Any where Ay E #;, (i = 1, 2, ..., n) is arbitrary. So far we were concerned with integrals (expectations) of one dimen- sional measurable functions (r.v.’s). Now we shall be giving some results Qy e CONVERGENCE OF RANDOM VARIABLES 123 In the case of counting measure, the integral reduces to summation It Xin > Xy ASM —> 00, then ¥ Xin —> BX), if | Xin | co (monotone convergence theorem). Thus, we get suflicient conditions for passing to the limit under the summation sign. Th the case of Lebesgue measure ». on (R, @), iff,’s are measurable real-valued functions such that 0 < f,(x) t 0), [re dut [ro dy. (monotone convergence theorem). If | f(x) | < g(x) and f,(x)-> f(x), for almost all x (except for x belong- ing to a Lebesgue-null set) with j 8(x) dp < oo, then [re du fa» dy (dominated convergence theorem). (€) CONVERGENCE OF X;, 1 & T So far, convergence properties of sequences of r.v.’s {X,}, have been studied. Suppose we have a set of r.v.’s {X;, f © T}, where T may be a subset of R, say, a closed interval; and we are interested im the behavi- our of X; (or X(t)) as t-> 4, say. Now [f—> 4%] is equivalent to [ta t] for every sequence {t,} C T converging to t). Hence [X;(w) > X(#)] is equivalent to [X(tn) (@) > X(t) (@)] for every sequence {t,} converging to fy. Since limiting-properties of {X(tn)} are well defined, limiting properties of X; follow from the same arguments. Convergence in probability, a.s., in distribution and in rth mean of X, as t > f can be defined similarly. P 2 For example, X(t) —> X(t) as # > ty, if Pl| X(t) — X(t) | > €] > 0, ast > fo i i f X(t) as th (te T) Convergence properties of expectations oO! i follow similarly to a sequence of r.v.’s {X,}. The dominated convergence theorem becomes: Lemma 6.9: If|X@)|-< ¥ Y integrable, and X(t) > X(fo) 28 # > ty in bability (or a.s.), then a ‘ EX(t) > EX(to) It follows from this Lemma that X(t)=Xto)| < y, integrable and hy Lema 6.10: If hes in (29= 50) (FP) sO a 122 MODERN PROBABILITY THEORY Trnorem 6.9: | Xn | G Yay F integrable, then P Xn >X w EX, —> EX. Proof: We shall prove the Theorem first for the case when X = 9, ie, P X, 0. Consider lim inf of the sequence (FX,}, which always exists, P ; . Then there exists a subsequence Xr ——O guch that EXy -» lim ite By Theorem 6.3 there exists a subsequence {Xq} of {X,} such Yew 3S. 0, Hence by Corollary 6.6, EX 0 and therefore lim EX, = lim EX, = 0. Similarly, by choosing a subsequence from a subsequence such that the expectation of that subsequence con- verges to jim EX,, we sec that lim EX, = 0, Therefore lim EX, exists and is equal to zero. “2 ie If Xp -—> X, then X, — ¥—> 0. If | Xn | < Ya.s., | X,—X | <2Y¥ a.s. Hence from the previous discussion E(x, — X)> 0, which implies that lim EX, = EX. (*) wXisar.v., withE| X| <, then XM(Aq) < | X|. If A,4¢, then it follows from the above theorem that lim fas xdP=0. If A,tQ, chen tim [ XaP = EX, An en ; (@)_ CONVERGENCE OF INTEGRALS OF MEASURABLE FUNCTIONS The convergence theorems we have proved here for probability measures can be proved for integral with respect to arbitrary measures with minor changes (see Halmos, 1958). i We define the integrals with respect to an arbitrary measure u of a simple measurable real-valued function X on (Q, of), with X=3 xql(Ay) as ¥ : k xd = 2 mplany ‘The integral of a non-negative measurable { limit of integrals of simple functions con' X,4X, where X, 2 0 and is simple, then [rnfaucnal CONVERGENCE OF RANDOM VARIADLES 120 that if Y < Xn» lim Xy will exi ; finite. Similarly, if X, < 2, ie is finite a, not be finite. a , fim X, may not be Will exist and is finite, lim X, may Proof: (i) Let Yn= inf Xx. Then ti a A . ? en lim X,=lim Y, and X_ > Yq. Sup- pose ¥, > 0. Since 0 < Yq flim X,, by Theo eves Y, wBXa pm Ble ence akin oral (6.1), E¥n t E(lim Xn). ene ‘ g lim on both sides, lim EX, > lim EY, = E(im X, ‘as was to be proved. oon 1, let Z, = X_, — eerste Samoa Y. Then Z, > 0 and from the above lim EZ, > E lim Z,, Since lim Z, = lim X, — Y, this implies that lim EX, — EY > Elim X, — EY, and since Y is integrable, adding EY, we have lim EX, > E lim X,. ii) Let X, < Zand Z, = Z — > - pr a and Z, = Z — X, Then 2, > 0 and proceeding as lim EZ, > E (lim Zn): But EZ, = EZ — EX, lim Z, = Z — lim X, (why ?) and lim EZ, = EZ — lim EXn. Hence subtracting EZ, which is finite and changing the sign we have the result (ii). a8. as ii) If XX, then lim X, = lim X, = X a.s. From (i) and (ii) EX = E (lim X,) < lim EX» < (lim EXe < E (lim X,) = EX. Hence lim EX, exists and equals EX. (*) Corowtary 6.6: If | Xn) < Y, Y integrable, then y, oS X & EX > EX. This follows from (iii) of the above theorem, since — Y

    You might also like