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Probability Theory Lecture Notes 13

This document provides an outline and summary of key concepts from Chapter 1 of a probability textbook, including: 1) Basic definitions of probability, such as random variables being equal in distribution and computing the density function of a transformed random variable. 2) An overview of the proof of computing the density function of a transformed random variable using measures, the Radon-Nikodym theorem, and properties of continuous transformations. 3) Additional concepts covered include inequalities like Chebyshev's inequality, the change of variable formula, moments, and the theorem of total probability. Homework assigned is to review all proofs in the textbook chapter.

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Xing Qiu
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74 views

Probability Theory Lecture Notes 13

This document provides an outline and summary of key concepts from Chapter 1 of a probability textbook, including: 1) Basic definitions of probability, such as random variables being equal in distribution and computing the density function of a transformed random variable. 2) An overview of the proof of computing the density function of a transformed random variable using measures, the Radon-Nikodym theorem, and properties of continuous transformations. 3) Additional concepts covered include inequalities like Chebyshev's inequality, the change of variable formula, moments, and the theorem of total probability. Homework assigned is to review all proofs in the textbook chapter.

Uploaded by

Xing Qiu
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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Outline

Contents
1 Basic Concepts of Probability 1

1 Basic Concepts of Probability


Basic Definitions

• We will go through Chapter 1, sections 1-5.


• I’ll ask you to go through sections 1-3. You will find most of these defini-
tions/theorems/inequalities very, very familiar.
• I’ll mention a few things that are not in the appendix.

Some Remarks
d
• (Page 5) We say two r.v.s X and Y are equal in distribution, denoted as X = Y ,
if they have the same distribution function, i.e., P (X 6 x) = P (Y 6 x) for all
x ∈ R.

• Remember, being equal in distribution is a very weak equality.


• (Page 8) Exercise 1.10. It shows you how to compute the density function of a
transformed random variable. Exercise 1.12 is just an important special case of
1.10.

Proof of 1.10

• Let π, ν, and λ be three measures defined on B(R) in this way: π(A) =


P (g(X) ∈ A), ν(A) = P (X ∈ A), and λ(A) is the Lebesgue measure on
R. In other words, ν is the probability associated with X, and π is the proba-
bility of g(X). The density function of g(X), if exists, is the Radon-Nikodym
derivative dπ
dx .

• First, we need to show that such a density function exists. It suffices to show that
π  λ, i.e., π(A) = 0 if λ(A) = 0. (Radon-Nikodym Theorem)
• This is true because (I’ll use the hard way, using definitions only).
Proof of 1.10 (II)

• Strict monotonicity implies the existence of g −1 . Continuity implies that g −1 is


continuous.
• The pre-image g −1 ((a, b)) is an open interval: (g −1 (a), g −1 (b)). Monotonicity
implies that this pre-image must be an interval (no hole in the middle), continuity
implies that this interval must be open.

• Continuity of g −1 further implies that when (a, b) shrinks to zero (means a ↑ c


and b ↓ c for c ∈ (a, b)), (g −1 (a), g −1 (b)) shrinks to zero as well.
• Now a Lebesgue null set A has this property: you can find a sequence of open
sets Bn to approximate it (A ⊆ Bn , λ(Bn ) ↓ 0). With a bit more work, you will
see that λ(g −1 (Bn )) ↓ 0. π(Bn ) = ν(g −1 (Bn )) ↓ 0 (ν  λ).

Proof of 1.10 (III)

• Denote h(x) = dπ dν
R
dx and f (x) = dx . By definition, π(A) = A
h(x)dx, ν(A) =
A ∈ B.
R dν
A dx
dx, for all
• Let A = (−∞, y]. We get
Z y
h(x)dx = P (g(X) 6 y) = P (X 6 g −1 (y))
−∞
Z g −1 (y)
= f (x)dx (Let x = g −1 (x))
−∞
Z y
f (g −1 (t))d g −1 (t)

=
−∞
y
f (g −1 (t))
Z
= dt
−∞ g 0 (g −1 (t))

• Carathéodory extension theorem.

Inequalities

• Chebyshev’s inequality. Suppose ϕ : R → R is positive. Let iA = inf {ϕ(y) : y ∈ A}.


Z
1 1
P (X ∈ A) 6 ϕ(X)dP (x) 6 Eϕ(x).
iA A iA

A special case:
EX 2
P (X > a) 6 .
a2

2
Misc.

• Random variables are measurable functions. Measurable transformation (which


includes continuous transformation) of r.v.s are r.v.s.
• Change of variable formula, page 17.
• The kth moment, EX k .

Theorem of Total Probability

• Two compartment case. Ω = B1 ∪ B2 , B1 ∩ B2 = φ.

• For any A ∈ F we have:


– P (A) = P (A ∩ B1 ) + P (A ∩ B2 ).
– P (A) = P (B1 )P (A|B1 ) + P (B2 )P (A|B2 ).

• You can easily generalize this theorem to the countable infinite case.

Homework
Go over all the proofs in the book.

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