Lecture 2: Sigma Algebras and Probability Measures.

First, some elmentary algebra of sets. If A and B are sets then the intersection of A and B,
denoted A ∩ B, is the set of all x which are both in A and in B, while the union of A and B, denoted
A ∪ B, is the set of all x which are either in A or in B or in A ∩ B. The operations of intersection
and union are both associative and commutative. The relation, A is a subset of B, denoted A ⊂ B
means each element of A is an element of B.
The complement of a set A is a little trickier to define, as we have to keep in mind some set
that contains A. For our purposes, we shall always be thinking of some sample space Ω, and when
we speak of the complement of A, denoted Ac , we shall mean all those elements of Ω which are not
elements of A. The set containing no elements, called the empty set, is denoted by ∅. Do not use
this symbol for zero.
There is a distributive law for intersection over union. If A is an index set then
!
\ [ [  \ 
B Aα = B Aα
α∈A α∈A

There are also the two DeMorgan’s laws:

!c
[ \
Aα = Acα ,
α∈A α∈A

and
!c
\ [
Aα = Acα .
α∈A α∈A

For the proofs of these results see BPT or take Math 341.
Algebra with sets is introduced so that we may deal with sets of outcomes from statistical ex-
periments. Some examples of this were given in the first lecture. We noted there that if we were
to consider a set of subsets of the sample space it would be important that for each set in our set
of subsets, the complement of the subset appear also. Naturally, the entire sample space should be
included, and therefore, the empty set as well. We also noted indirectly that we wanted to look
at unions of subsets, when we computed the probability of the number of heads lying between 35
and 45 by consider 35, 36, and so on, heads individually. As it turns out, these are really the only
properties that we need to assume. We have the following definition: A set of subsets of Ω, denote
it by F, is called a sigma field if
1. Ω ∈ F;
2. If A ∈ F then Ac ∈ F;
3. If A1 , A2 , . . . is an infinite sequence of elements of F then
∞
[
Aj ∈ F.
j=1

As a consequence of these three properties and general properties of the algebra of sets, there are
many other properties that the elements of a sigma field enjoy. For example, it is a consequence of
the second property that the empty set is an element of every sigma field. It is then a consequence
of the third property and DeMorgan’s Laws that the intersection of a countable number of elements
of the sigma field is in the sigma field.
Now we can talk about assigning probability. It turns out to be convenient (mathematically) to
talk about assigning probability to the elements of the sigma field, called events, rather than to the
elements of the sample space. To convince yourself of why, consider the problem of modeling the
experiment: “Choose a real number at random from between 0 and 1.” If all numbers should have
the same probability the only probability that could be assigned would be 0. This would then lead

1
us to the conclusion that any set should have probability 0. Therefore it would be impossible to
choose a number!!
What should govern the assignment of probabilities? It is traditional that probabilities be num-
bers between 0 and 1 inclusive. It is also traditional that the probability of the whole sample space
be 1. It is commonly accepted that probability should add if the events do not overlap. This is all
we need to assume, and we make the following definition, noting that in mathematical terms, an
assignment of probabilities to the sigma field is a function whose domain is the sigma field and whose
range is contained in the closed interval [0,1]. A function

Pr : F → [0, 1]

is called a probability measure if

1. Pr(Ω) = 1;
2. If A1 , A2 , . . . is a countable sequence of events and Ai ∩ Aj = ∅ for i 6= j then
 
[∞ X∞
Pr  Aj  = Pr(Aj )
j=1 j=1

In many ways, measures of probability behave like measures of length, area and volume. These
analogies give us clues about how to model experiment such as choosing a real number at random
between 0 and 1.
Many other properties that we would expect any reasonable way of measuring probability follow
from the three properties we assume. For example:
1. Pr(∅) = 0.
2. If A1 , A2 , . . . is any sequence of pairwise disjoint events then

Pr (A1 ∪ A2 ∪ · · · ∪ AN ) = Pr(A1 ) + Pr(A2 ) + · · · + Pr(AN )

3. Pr(A ∪ B) = Pr(A) + Pr(B) − Pr(A ∩ B).

4. Pr(A) + Pr(Ac ) = 1.
5. If A ⊂ B then Pr(A) ≤ Pr(B).
6. If A1 , A2 , . . . is any sequence of events then
 
∞
[ ∞
X
Pr  Aj  ≤ Pr(Aj )
j=1 j=1

where we adopt the convention that a divergent series of non-negative terms is bigger than any
real number.

Recommended reading

• Pages 1 through 14 of BPT.

• Pages 17 through 30 of MSA.