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StatIdea Slides 2
StatIdea Slides 2
s-algebra of events.
s-algebra of events.
Real hlumber .
T) →
九 问
eg {
.
H ,
H ,
.
)
{ H T, ,
τ 3
→
C
1
)
0 i
0
{T τ τ3
→
, ,
Obviously,
Z Z Z
Px̃ (B ) = 1dPx̃ * dPx̃ * IB (x )dPx̃ (x ) for all B 2 F 0
B B W0
or
Z Z Z
Px̃ (B ) = 1dP * dP * Ix̃ "1 (B ) (w )dP (w ) for all B 2 F 0 .
W
x̃ "1 (B ) x̃ "1 (B )
d
Thus, x̃ = ỹ .
Note that the concept of "a.s." is the same as that of "a.e." The only
di§erence is that "a.e." applies to functions deÖned on measure
spaces, whereas "a.s." applies to random objects deÖned on
probability spaces.
a.s . a.s . d
Obviously, x̃ = ỹ =) x̃ = ỹ . Moreover, x̃ = ỹ =) x̃ = ỹ but the
converse is not true (see the example in the previous page where
d a.s .
x̃ = ỹ but x̃ 6= ỹ since P fx̃ 6= ỹ g = 1).
J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 8 / 55
2.3. Distribution function of a random variable
i
Fx̃ : R "! R of a random variable x̃ : (W, F , P ) "! (R, B) is the
distribution function associated with the distribution Px̃ , i.e.,
Therefore,
Moreover,
Let fx1 , x2 , ...g be the range x̃ (W) of the discrete random variable x̃.
An = ∞ (w )
1.
 fx̃ (x ) = 1.
x 2x̃ (W)
3.
Fx̃ (x ) = Â fx̃ (t ), with t 2 x̃ (W).
t .x
5.
fx̃ (x ) = Fx̃ (x ) " lim" Fx̃ (t ), for x 2 x̃ (W).
t !x
Pcamplemeutj.no
> 1/16 for x = 0
,
>
>
>
>
>
>
>
> 4/16 for x = 1
>
>
>
<
fx̃ (x ) = 6/16 for x = 2
>
>
>
>
>
>
>
> 4/16 for x = 3
>
>
>
>
:
1/16 for x = 4,
or
, -
1 4
fx̃ (x ) = , for x = 0, 1, 2, 3, 4.
16 x | {z }
x̃ (W)
0t_t_P.cn
continuous. "
⼀
Rn-omottheheigt.hn
J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 23 / 55
Properties of the density:
1. Z
fx̃ (x )dx = 1.
R
2. Z
Fx̃ (x ) = fx̃ (t )dt.
("•,x ]
(ii) right-continuous,..
! "
(Right-continuous at x0 : lim F (x ) * F x0+ = F (x0 ) , where
x !x0+
x > x0 2 Rn )
e.EE
(iii) Fx̃ (x ) ! 0 if at least one of the components xi of x 2 Rn tends
to "•, and
器
The probability function (pmf),
fx̃ : x̃1 (W) 1 x̃2 (W) 1 ... 1 x̃n (W) "! [0, 1] , of a discrete random
⼀
vector x̃ is given by:
8 9
< =
fx̃ (x ) = Px̃ fx g = P (x̃1 , x̃2 , ..., x̃n ) = (x1 , x2 , ..., xn ) =
:| {z } | {z };
x̃ x 2R n
P fx̃i = xi , for i = 1, 2, ..., ng , for all x 2 x̃1 (W) 1 x̃2 (W) 1 ... 1 x̃n (W).
0
Note: x̃ (W) 2 x̃1 (W) 1 x̃2 (W) 1 ... 1 x̃n (W).
_
 fx̃ (x ) = 1 or  fx̃ (x ) = 1.
x 2x̃ (W) x 2x̃1 (W)1x̃2 (W)1...1x̃n (W)
2.
O
F (x ) = Â f (t ),
x̃
t 5x
x̃ with t = (t1 , t2 , ..., tn ) 2 x̃ (W),
3.
Px̃ (B ) = P fx̃ 2 B g = Â fx̃ (x ), for all B 2 B (Rn ) .
x 2B
1. Z Z Z
fx̃ (x )dx = ... fx̃ (x1 , ..., xn )dx1 ...dxn = 1.
Rn R R | {z }
-_-
x 2R n
2.
Z Z Z
和性
Fx̃ (x ) = ... fx̃ (t1 , t2 , ..., tn )dt1 dt2 ...dtn .
("•,xn ] ("•,xn "1 ] ("•,x1 ]
DeÖnition. Let x̃ = (x̃1 , x̃2 , ..., x̃n ) be a discrete random vector with
the probability function fx̃ , the marginal probability function of x̃i , for
i = 1, ..., n, is given by
fx̃i (xi ) =
for all xi 2 R.
y nx 1 2 3 4 5 6 fỹ (y )
0 1/12 1/12 1/12 1/12 1/12 1/12 1/2
1 1/12 1/12 1/12 1/12 1/12 1/12 1/2
fx̃ (x ) 1/6 1/6 1/6 1/6 1/6 1/6 1
Therefore,
8
> 1
< (1 + 4y ) for 0 < y < 1
fỹ (y ) = 3
>
:
0 otherwise.
The random objects x̃1 , x̃2 , ..., x̃n are said to be independent if the
joint distribution
n
O
P(x̃1 ,x̃2 ,...,x̃n ) : Fi "! [0, 1]
i =1
for all sets B10 2 F10 , ..., Bn0 2 Fn0 , which proves the independency of the
random objects gi (x̃i ) : (W, F , P ) "! (Wi0 , Fi0 ) , for i = 1, ..., n. Q.E .D.
P (5 jx̃ = x ) : F "! R.
Moreover, if A = W0 , then
!< = " Z
P x̃ 2 W0 \ B = P (W \ B ) = P (B ) = P (B jx̃ = x )dPx̃ (x ),
W0
while , 9 Z 1/3 Z •
1
Px̃ "•, = fx̃ ,ỹ (x, y )dy dx
3 "• "•
| {z }
fx̃ (x )
Z 1/3 Z 1
2 7
= (x + 2y ) dy dx = .
0
|0 3 {z } 27
2
3 (x +1 )
Example:
where
or Z Z
fx̃2 ,x̃4 (x2 , x4 ) = fx̃1 ,x̃2 ,x̃3 ,x̃4 (x1 , x2 , x3 , x4 ) dx1 dx3 > 0.
R R