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

interest is only on certain function of the sample space. But all functions defined on the sample space are not useful, in the sense that we may not be able to assign probabilities to all basic events associated with 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 random variable if

be a probability space. A function

is said to be a

Now on, we denote

by

Example 2.0.14

Let

. Define

as follows:

Then

is a random variable.

Example 2.0.15 For

Let

. Define

Since

is a random variable.

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 this imply a larger class of events associated with examine this, one need the following -field. associated are in . Does ) ? To

can be assigned probabilities (i.e. in

Definition 2.2 The of subsets of

-field generated by the collection of all open sets in .

is called the Borel

-field

and is denoted by

Lemma 2.0.2 Let Proof. For , . Then

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

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 Now . Hence .

Also

Hence

is a

-field. Now from (2.0.2) and Lemma 2.0.1, it follows that for all .

. i.e,

Converse statement follows from the observation

This completes the proof.

Remark 2.0.1

Theorem 2.0.3 tells that if for all .

for all

, then

Theorem 2.0.4

Let

be a random variable. Define

Then Proof.

is a

-field.

Hence For

. , there exists such that

and

Hence

implies

. Similarly from

it follows that

This completes the proof.

Definition 2.3 The sigma field

is called the sigma field generated by

Remark 2.0.2 is in

The occurrence or nonoccurence of the event or not. Thus collects all such information. Hence

tells whether any realization can be viewed as the

information available with the random variable.

Example 2.0.16

Let

. Then

Theorem

2.0.5

If and

are

random

variables

on

and

then

are random variables.

Proof: The proof of first two are simple exercises. For ,

[Here

means

] Now

Hence

for all

. Therefore

is a random variable.

For

Hence, Note that

is a random variable.

Since variable.

are random variables and

is their sum,

is a random

Theorem 2.0.6
(i) If (ii) If are random variables, so are is a sequence of random variables and , .

Then Proof: (i) Set

is a random variable. Analogous statement is true for infimum. . For ,

Therefore The proof of

is a random variable. 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

is a random variable. Proof. For .

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 that

and

is a

-field, using(2.0.4) it follows from the definition of

-field

Therefore

is a random variable.