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7/27/2019 Maths Probability Random Variables lec2/8.pdf
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Chapter 2
Random Variables
Lectures 4 - 7
In many situations, one is interested in only some aspects of the random experiment. For example,
consider the experiment of tossing unbiased coins and we are only interested in number of 'Heads'
turned up. The probability space corresponding to the experiment of tossing coins is given by
and is described by
Our interest is in noting , i.e., in the map . So our
nterest is only on certain function of the sample space. But all functions defined on the sample spaceare not useful, in the sense that we may not be able to assign probabilities to all basic events associatedwith the function. So one need to restrict to certain class of functions of the sample space. This
motivates us to define random variables.
Definition 2.1 Let be a probability space. A function is said to be a
random variable if
Now on, we denote by .
Example 2.0.14 Let . Define as follows:
Then is a random variable.
Example 2.0.15 Let . Define .
For
Since
is a random variable.
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Note that any map is a random variable for the probability space given in Example 2.0.14
but this is not the case with probability space given in Example 2.0.15.
is a random variable imply that the basic events associated are in . Does
this imply a larger class of events associated with can be assigned probabilities (i.e. in ) ? To
examine this, one need the following -field.
Definition 2.2 The -field generated by the collection of all open sets in is called the Borel -field
of subsets of and is denoted by .
Lemma 2.0.2
Let . Then
Proof. For ,
Therefore
Hence
For ,
Therefore
Also, for
Therefore, contains all open intervals. Since any open set in can be written as a countable
union of open intervals, it follows that
where denote the set of all open sets in . Thus,
This completes the proof.
Theorem 2.0.3 Let be a function. Then is a random variable on iff
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for all .
Proof. Suppose is a random variable. i.e.,
(2.0.1)
Set
From (2.0.1), we have
(2.0.2)
Note that . Hence .
Now
Also
Hence is a -field. Now from (2.0.2) and Lemma 2.0.1, it follows that . i.e,
for all .
Converse statement follows from the observation
This completes the proof.
Remark 2.0.1 Theorem 2.0.3 tells that if for all , then
for all .
Theorem 2.0.4 Let be a random variable. Define
Then is a -field.
Proof.
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Hence .
For , there exists such that
and
Hence implies . Similarly from
t follows that
This completes the proof.
Definition 2.3 The sigma field is called the sigma field generated by .
Remark 2.0.2 The occurrence or nonoccurence of the event tells whether any realization
is in or not. Thus collects all such information. Hence can be viewed as the
nformation available with the random variable.
Example 2.0.16 Let . Then
Theorem 2.0.5 If are random variables on and , then
and are random variables.
Proof: The proof of first two are simple exercises.
For ,
[Here means ] Now
Hence for all . Therefore is a random variable.
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For ,
Hence, is a random variable.
Note that
Since are random variables and is their sum, is a random
variable.
Theorem 2.0.6
(i) If are random variables, so are , .
(ii) If is a sequence of random variables and
Then is a random variable. Analogous statement is true for infimum.
Proof:
(i) Set . For ,
Therefore is a random variable.
The proof of is a random variable is similar.
Proof of (ii) follows from
Theorem 2.0.7 Let be a sequence of random variables on such that
Then defined by
s a random variable.
Proof. For .
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Hence
Now suppose
If , then there exists there exists and such that
(2.0.3)
(This follows, since )
Also
This contradicts (2.0.3). Therefore
Hence we have
(2.0.4)
Since and is a -field, using(2.0.4) it follows from the definition of -field
that
Therefore is a random variable.