Analytical Statistics

Problem Set 1: Answers

Problem 1. First, I will show normalization. m N, so m , so P () = 1. Also, nothing is

in the empty set, so m
/ , so P () = 0.

Now I will show -additivity. Let {Ai }

i=1 be an arbitrary sequence of disjoint sets. m could be
in none of these sets, or it could be in exactly one of them. Since these sets are disjoint, m cannot
be in more than one of these sets. So there are two possible cases:

(i) First, assume m is not in any of these sets. Then m

/
i=1 Ai , so P (i=1 Ai ) = 0. But, since

X
m
/ Ai i, P (Ai ) = 0 i. This means
P (Ai ) = 0.
i=1

Thus, if m is not in any of these sets, we have

P (
i=1 Ai )

P (Ai ).

i=1

(ii) Now, assume m is in exactly one of these sets, and suppose that set is Ak . Then P (Ak ) = 1,

and P (Ai ) = 0 i 6= k, and so

P (Ai ) = 1. Also, since m Ak , m
i=1 Ai , and so P (i=1 Ai ) =
i=1

1.
Thus, if m is in one of these sets, we still have P (
i=1 Ai ) =

P (Ai ).

i=1

Thus P (
i=1 Ai ) =

P (Ai ) for an arbitrary sequence of disjoint sets {Ai }

i=1 , and so P satisfies

i=1

-additivity.

Thus, P satisfies normalization and -additivity, so it is a probability measure.

Problem 2. Let {Ai }m

i=1 be an arbitrary, finite sequence of disjoint sets. I need to show that
m
X
P (m
P (Ai ).
i=1 Ai ) =
i=1

Define Ak = k > m, and note that - by the normalization property - P (Ak ) = 0 k > m.

Now note that {Ai }

i=1 is a countable sequence of disjoint sets, and so, by -additivity, P (i=1 Ai ) =
m

m
P (Ai ). But since Ai = i > m,
i=1 Ai = i=1 Ai , and so P (i=1 Ai ) = P (i=1 Ai ). Thus we

i=1

know that P (m
i=1 Ai ) =

P (Ai ).

i=1

Finally, recall that P (Ai ) = 0 i > m. This means that

P (Ai ) =

i=1

Therefore P (m
i=1 Ai ) =

Pm

i=1

m
X

P (Ai ).

i=1

P (Ai ), and so additivity holds.

Problem 3. First, I will show that P is not additive. Let A = {1}, and let B = {3, 5, 7, 9, 11...}
Then A B = O so P(A B) = 1, but P(A) + P(B) = 0 + 0 = 0. So P is not additive.

Now, I need to show that P is not -additive. I could show this directly, e.g. working with the
sets Ai = i i. But theres an even easier way.

Note that, clearly, P() = 0, since the empty set does not include all the odd numbers. This is
the only part of the normalization property we used in the proof of problem 2, so by problem 2, we
know that if P is not additive it cannot be -additive. (Why? Because if it were -additive, the
theorem we proved in problem 2 would apply, and so P would be additive after all.)

Problem 4.
a) P () = 1 by the normalization property. Since A Ac = , and since A and Ac are obviously
disjoint, by additivity P (A) + P (Ac ) = 1.

b) Note that B = A(BAc ). These sets are disjoint, so by additivity, P (B) = P (A)+P (BAc ).
Since P (B Ac ) 0, this means P (B) P (A).

c) Let X = AB c , Y = B Ac , and Z = AB. Now note that AB = X Y Z. So P (AB) =

P (X Y Z). Since X, Y , and Z are disjoint, by additivity P (X Y Z) = P (X) + P (Y ) + P (Z),
and so P (A B) = P (X) + P (Y ) + P (Z).

Since A = (A B) (A B c ), by a similar argument P (A) = P (Z) + P (X). Similarly, P (B) =

P (Z) + P (Y ). Therefore P (A) + P (B) P (A B) = P (Z) + P (X) + P (Z) + P (Y ) P (Z) =
P (X) + P (Y ) + P (Z).

Thus we have P (A B) = P (X) + P (Y ) + P (Z) and P (A) + P (B) P (A B) = P (X) + P (Y ) +

P (Z), so P (A B) = P (A) + P (B) P (A B).

Problem 5. Let F denote the c.d.f. of X. Note that, by the definition of the c.d.f, F (x) =
P (X x).

Since X() = ln(1 ), F (x) = P (ln(1 ) x), so F (x) = P (ln(1 ) x).

Hence F (x) = P ((1 ) ex ), so F (x) = P ( ex 1), so F (x) = P ( 1 ex ).

Now, note that P ( 1 ex ) = P ([0, 1 ex ]), since = [0, 1]. But we are given that
P ([a, b]) = b a, so it follows that P ([0, 1 ex ]) = 1 ex .

Thus, we have that F (x) = 1 ex .