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Problem Set 4
Theo Gutman-Solo
Definitions
1. A normed vector space V is a vector space with an operation || || :
V R called the norm which satisfies
Postitive definiteness, x V ||V || 0, with equality only holding for x = 0.
C, X V ||X|| = |a|||X||1
Triangle inequality x, y V , ||x + y|| ||x|| + ||y||
2. An inner product space is a vector space together with an operation
< , >: V V C satisfying the following properties
Congujate symmetry, < x, y >= < y,x >
Linearity in first argument < x + y, z >=< x, z > + < y, z >
Positive definiteness < x, x > 0, with equality if and only if
x=0
3. A metric space is a set X with an operation d : X X R called the
metric which satisfies
Symmetry d(x, y) = d(y, x)
Positive definiteness d(x, y) 0, with equality if and only if x = y
Triangle inequality, d(x, y) d(x, z) + d(z, y)
1
Note this assumes the vector space is defined over a subfield of the complex numbers
< x y, x y >
Properties of CDFs
2.1
1.
(a1 , b1 ] (a2 , b2 ] = (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]
+ (, b1 ] (, a2 ] (, b1 ] (, a2 ]
(, b1 ] (, a2 ]
= (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]
+ (a1 , b1 ] (, a2 ] + (, a1 ] (, a2 ]
(, b1 ] (, a2 ] (, b1 ] (, a2 ]
= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )
+ (a1 , b1 ] (a2 , b2 ] + (, a1 ] (, b2 ]
+ (a1 , b1 ] (, a2 ]
= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )
+ (a1 , b1 ] (, b2 ] + (, a1 ] (, b2 ]
= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 )
+ (, b1 ] (, b2 ]
= F (a1 , a2 ) F (a1 , b2 ) F (b1 , a2 ) + F (b1 , b2 )
2. This follows directly from continuity from above. Note that since the
series xk is monotonically decreasing to x this implies that i
i+1
i
i
(, xi+1
1 ] (, x2 ] (, x1 ] (, x2 ]
\
= lim
(, x1k+a ] (, xk+a
]
2
k
i=1
= (, x1 ] (, x2 ]
If there doesnt exist an a N such that F (xa ) < , then F (xk ) =
for all k N, This means that F (x) = so the identity still holds.
3. Follows directly from continuity from below. If (xk ) is a monotonically increasing sequence it follows that k, (, xk1 ] (, xk2 ]
k+1
(, xk+1
1 ] (, x2 ]. This is an ascending family of sets.
lim F (xk ) = lim (, xk1 ] (, xk2 ]
k
k
!
[
= lim
(, xk1 ] (, xk2 ]
k
k=1
= ((, ) (, ))
=
4. This follows directly from continuity from at . Assume x2n
as n . Then i, (, xi1 ] (, xi2 ] (, x11 ] (, xi2 ],
this immediately implies that i, F (xi1 , xi2 ) F (x11 , xi2 ). Let Si =
(, x11 ] (, x2i ], it is clear that i, Si+1 Si . Its also clear that
Si =
i=1
Since for any point (a, b) because xn2 there exists an xn2 < b
which implies that (a, b)
/ Sn and as a result isnt a member of the
intersection. Finally
!
n
\
n
1 n
1
i
lim F (x ) lim F (x1 , x2 ) = lim
(, x1 ] (, x2 ]
n
lim
n
(, x11 ]
i=1
(, xi2 ]
0
However since the CDF is nonnegative this immediately implies that
lim F (xn ) = 0
n
2.2
These properties follow simply from the subadditivity of measures.
x1 x2 (, x1 ] (, y] (, x2 ] (, y)
((, x1 ] (, y]) ((, x2 ] (, y])
F (x1 , y) F (x2 , y)
y1 y2 (, x] (, y1 ] (, x] (, y2 )
((, x] (, y1 ]) ((, x] (, y2 ])
F (x, y1 ) F (x, y2 )
2.3
1 : x0
1 : x < 0, y 0
G(x, y) =
0 : x < 0, y < 0
This function is clearly increasing in x and y, but consider points a =
(1, 1) and b = (1, 1).
G(1, 1) G(1, 1) G(1, 1) + G(0, 0) = 1 1 1 + 0 = 1
n
X
xi 1Ei
i=1
n [
m
n
m
n
[
[
[
[
Fi
(Fi Gi ) =
Gi =
Fi =
i=1 j=1
i=1
j=1
i=1
We conclude that since (Fi Gj )ij are pairwise disjoint, span the space
omega and (f + g) is constant on each element we can represent (f + g) as
a sum of simple functions indexed by (Fi Gj )ij .
Z
(f + g) =
n X
m
X
i=1 j=1
n X
m
X
(fi + gj )(Fi Gi )
fi (Fi Gi ) + gj (Fi Gi )
i=1 j=1
n X
m
X
fi (Fi
i=1 j=1
n
m
X
X
(Fi Gi ) +
fi
i=1
j=1
n
X
n
X
m
[
Fi Gi +
fi (Fi ) +
i=1
m
X
Gi )
(Fi Gi )
gj
j=1
Z
=
gj (Fi
i=1 j=1
m
n
X
X
j=1
fi
i=1
Gi ) +
n X
m
X
i=1
gj
n
[
!
Ei Fi
j=1
n
X
gi (Gi )
j=1
Z
f+
In the following problems I have assumed that all functions are non-negative
for simplicity. This does not cause any loss of generality as all functions can
be written as the difference of non-negative functions. Everything is assumed
to be on a measureable space (, F, )
4.1
Z
d : is simple, 0 cf
( n
)
X
= sup
wi (Wi ) : n N, i, x Wi F 0 wi cf (x)
cf d = sup
i=1
n
X
= sup c
)
wi (Wi ) : n N, i, x Wi F 0 wi f (x)
i=1
= c sup
( n
X
)!
wi (Wi ) : n N, i, x Wi F 0 wi f (x)
i=1
Z
= c sup
d : is simple, 0 f
Z
= c f d
4.2
Z
Z
f d
Z
gd
(f g)d 0
Z
4.3
This follows from the contrapositive. Assume that [f 6= 0] = [|f | =
6 0] 6= 0,
this means that for some n N the set Cn = {x : |f (x)| 1/n} has positive
measure. This follows because the limit of the measure of these sets as
6
n = {x : f (x) =
6 0} which is nonzero by assumption. If C is the set
mentioned above we have
Z
Z
Z
1
1
1
1C |f |
1C |f | 0 < (1C ) |f |
n
n
n
5
Let (, F, ) be a measure, (E, E) a measureable space and f : (, F)
(E, E) a measureable function.
5.1
Pushforward of Measure
f [B] = [f 1 (B)] defines a measure on (E, E). First note f [B] = [f 1 (B)]
0 under the assumption that is a measure, which implies non-negativity.
Next the empty set is a null set, this follows trivially. f [] = [f 1 ()] =
[] = 0. Finally f satisfies - additivity. This follows trivially from the
property of the inverse function.
!
[
[
1
f
Bi =
f 1 (Bi )
i=1
i=1
f 1 (A) f 1 (B) = A B =
This implies that
f
!
Bi
= f 1
i=1
!!
Bi
i=1
(f 1 (bi )) =
i=1
!
f 1 (Bi )
i=1
f (Bi )
i=1
5.2
Choose an increasing sequence of simple functions n : E R that converge
pointwise to g so that
Z
Z
lim
n df =
gdf
n E
mn
X
zin 1Zin
i=1
This series is clearly increasing. It also follows immediately that the series
n converges pointwise to g f .
lim n (x) = lim n f (x) = g f (x)
n
It is easy to verify that for all n these simple functions have the same integral.
Z
mn
X
n df =
zin f [Zin ]
E
i=1
mn
X
zin [f 1 (Zin )]
Zi=1
= n d
This immediately implies that
Z
Z
lim
n d = lim
n df
n
n E
n E
6
6.1
Right continuity of the CDF follows directly from continuity from above
property of a measure.
!
\
1
lim F (x) = lim P (X x) = P
, x +
= lim P ((, x])
xa
xa
i
n
i=1
Finally to justify the use of continuity from above note that because P is a
probability measure P ((, x + 1]) < .
Right continuity of the Quantile Function follows from right continuity of
the measure.
lim q(x) = sup{x R : F (x) x} = sup{x R : F (x) a} = q(a)
xa+
6.2
This follows from the fact that as we take a finer and finer partition the term
[F (xi+1 F (xi )] in the stieltjes integral starts to approximate F 0 (Xi )(xi+1
xi ) which gives a riemann partition of the space.
6.3
This follows by integration by parts.
Z
Z 0
(P [X > x] 1)dx +
(P [X > x])dx
(1 CDF (x)) 1 dx +
Z 0
(1 CDF (X))dx
0
CDF (x) dx +
(1 CDF (X))dx
0
|(CDF (x)x)]0
Z
Z
xp(x)dx +
xp(x)dx
0
xp(x)dx
0
xp(x)dx
E[X]
6.4
[u (0, 1) : u F (X) 1] = [(0, F (X))] = F (X) 0 = F (X)
Next note that q is clearly a strictly increasing function, because the the set
{x R : F (x) u} can only gain elements as u increases.
6.5
F (x) is uniformly distributed on (0, 1) if X is continuous (and thus invertible). Let U be distributed according to F (X). For x (0, 1)
P (U x) = P (F (X) x) = P (X F 1 (x)) = F (F 1 (x)) = x
10