Why is this sequence of random variables pairwise independent?
$begingroup$
I have a sequence $(X_n: Omega to mathbb{R})_{n=1}^infty$ of pairwise independent random variables.
Define for $n geq 1: X_n' := X_n I_{{X_n leq n}}$ where $I_A$ is the indicator function on $A$. Is it true that $(X_n')_{n=1}^infty$ is a sequence of pairwise independent random variables?
Intuitively, this seems true. I know that pairwise independence is preserved under a Borel transformation $g: mathbb{R} to mathbb{R}$ so I tried to write
$$X_n' = g circ X_n$$
for some suitable $g$ but did not come up with anything useful. Any hints?
probability-theory measure-theory independence
$endgroup$
|
show 5 more comments
$begingroup$
I have a sequence $(X_n: Omega to mathbb{R})_{n=1}^infty$ of pairwise independent random variables.
Define for $n geq 1: X_n' := X_n I_{{X_n leq n}}$ where $I_A$ is the indicator function on $A$. Is it true that $(X_n')_{n=1}^infty$ is a sequence of pairwise independent random variables?
Intuitively, this seems true. I know that pairwise independence is preserved under a Borel transformation $g: mathbb{R} to mathbb{R}$ so I tried to write
$$X_n' = g circ X_n$$
for some suitable $g$ but did not come up with anything useful. Any hints?
probability-theory measure-theory independence
$endgroup$
$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
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$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
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I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23
|
show 5 more comments
$begingroup$
I have a sequence $(X_n: Omega to mathbb{R})_{n=1}^infty$ of pairwise independent random variables.
Define for $n geq 1: X_n' := X_n I_{{X_n leq n}}$ where $I_A$ is the indicator function on $A$. Is it true that $(X_n')_{n=1}^infty$ is a sequence of pairwise independent random variables?
Intuitively, this seems true. I know that pairwise independence is preserved under a Borel transformation $g: mathbb{R} to mathbb{R}$ so I tried to write
$$X_n' = g circ X_n$$
for some suitable $g$ but did not come up with anything useful. Any hints?
probability-theory measure-theory independence
$endgroup$
I have a sequence $(X_n: Omega to mathbb{R})_{n=1}^infty$ of pairwise independent random variables.
Define for $n geq 1: X_n' := X_n I_{{X_n leq n}}$ where $I_A$ is the indicator function on $A$. Is it true that $(X_n')_{n=1}^infty$ is a sequence of pairwise independent random variables?
Intuitively, this seems true. I know that pairwise independence is preserved under a Borel transformation $g: mathbb{R} to mathbb{R}$ so I tried to write
$$X_n' = g circ X_n$$
for some suitable $g$ but did not come up with anything useful. Any hints?
probability-theory measure-theory independence
probability-theory measure-theory independence
edited Dec 15 '18 at 15:13
Math_QED
asked Dec 15 '18 at 15:08
Math_QEDMath_QED
7,58331452
7,58331452
$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
$begingroup$
$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
$begingroup$
I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23
|
show 5 more comments
$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
$begingroup$
$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
$begingroup$
I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23
$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
$begingroup$
$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
$begingroup$
I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23
|
show 5 more comments
2 Answers
2
active
oldest
votes
$begingroup$
Try
$$
g_ncolon xmapsto xmathbf 1_{left[-infty,nright]}(x).
$$
$endgroup$
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
add a comment |
$begingroup$
It is immediate that $Xmathbf1_{X_nleq n}$ is measurable wrt $sigma(X_n)$ because it is the product of two random variables that are both measurable wrt $sigma(X_n)$.
That is enough to conclude that also the $X_n'$ are pairwise disjoint.
There is indeed a measurable function $g:mathbb Rtomathbb R$ such that $X_n'=gcirc X_n$.
Let $h:mathbb R^2tomathbb R$ denote the function prescribed by $(x,y)mapsto xy$ and let $k_n:mathbb Rtomathbb R^2$ denote the function that is prescribed by $xmapsto(x,mathbf1_{(-infty,n]}(x))$.
Both functions can be shown to be measurable so that also their composition is measurable.
Then function $g=hcirc k_n$ will do the job.
$endgroup$
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
add a comment |
Your Answer
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Try
$$
g_ncolon xmapsto xmathbf 1_{left[-infty,nright]}(x).
$$
$endgroup$
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
add a comment |
$begingroup$
Try
$$
g_ncolon xmapsto xmathbf 1_{left[-infty,nright]}(x).
$$
$endgroup$
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
add a comment |
$begingroup$
Try
$$
g_ncolon xmapsto xmathbf 1_{left[-infty,nright]}(x).
$$
$endgroup$
Try
$$
g_ncolon xmapsto xmathbf 1_{left[-infty,nright]}(x).
$$
edited Dec 18 '18 at 13:21
answered Dec 15 '18 at 15:14
Davide GiraudoDavide Giraudo
126k16151263
126k16151263
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
add a comment |
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Don't you mean $xmapsto xmathbf1_{(-infty,n]}(x)$?
$endgroup$
– drhab
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
$begingroup$
Yeah I noticed it too but the idea remains the same.
$endgroup$
– Math_QED
Dec 15 '18 at 15:36
add a comment |
$begingroup$
It is immediate that $Xmathbf1_{X_nleq n}$ is measurable wrt $sigma(X_n)$ because it is the product of two random variables that are both measurable wrt $sigma(X_n)$.
That is enough to conclude that also the $X_n'$ are pairwise disjoint.
There is indeed a measurable function $g:mathbb Rtomathbb R$ such that $X_n'=gcirc X_n$.
Let $h:mathbb R^2tomathbb R$ denote the function prescribed by $(x,y)mapsto xy$ and let $k_n:mathbb Rtomathbb R^2$ denote the function that is prescribed by $xmapsto(x,mathbf1_{(-infty,n]}(x))$.
Both functions can be shown to be measurable so that also their composition is measurable.
Then function $g=hcirc k_n$ will do the job.
$endgroup$
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
add a comment |
$begingroup$
It is immediate that $Xmathbf1_{X_nleq n}$ is measurable wrt $sigma(X_n)$ because it is the product of two random variables that are both measurable wrt $sigma(X_n)$.
That is enough to conclude that also the $X_n'$ are pairwise disjoint.
There is indeed a measurable function $g:mathbb Rtomathbb R$ such that $X_n'=gcirc X_n$.
Let $h:mathbb R^2tomathbb R$ denote the function prescribed by $(x,y)mapsto xy$ and let $k_n:mathbb Rtomathbb R^2$ denote the function that is prescribed by $xmapsto(x,mathbf1_{(-infty,n]}(x))$.
Both functions can be shown to be measurable so that also their composition is measurable.
Then function $g=hcirc k_n$ will do the job.
$endgroup$
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
add a comment |
$begingroup$
It is immediate that $Xmathbf1_{X_nleq n}$ is measurable wrt $sigma(X_n)$ because it is the product of two random variables that are both measurable wrt $sigma(X_n)$.
That is enough to conclude that also the $X_n'$ are pairwise disjoint.
There is indeed a measurable function $g:mathbb Rtomathbb R$ such that $X_n'=gcirc X_n$.
Let $h:mathbb R^2tomathbb R$ denote the function prescribed by $(x,y)mapsto xy$ and let $k_n:mathbb Rtomathbb R^2$ denote the function that is prescribed by $xmapsto(x,mathbf1_{(-infty,n]}(x))$.
Both functions can be shown to be measurable so that also their composition is measurable.
Then function $g=hcirc k_n$ will do the job.
$endgroup$
It is immediate that $Xmathbf1_{X_nleq n}$ is measurable wrt $sigma(X_n)$ because it is the product of two random variables that are both measurable wrt $sigma(X_n)$.
That is enough to conclude that also the $X_n'$ are pairwise disjoint.
There is indeed a measurable function $g:mathbb Rtomathbb R$ such that $X_n'=gcirc X_n$.
Let $h:mathbb R^2tomathbb R$ denote the function prescribed by $(x,y)mapsto xy$ and let $k_n:mathbb Rtomathbb R^2$ denote the function that is prescribed by $xmapsto(x,mathbf1_{(-infty,n]}(x))$.
Both functions can be shown to be measurable so that also their composition is measurable.
Then function $g=hcirc k_n$ will do the job.
answered Dec 15 '18 at 15:33
drhabdrhab
101k545136
101k545136
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
add a comment |
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
Thank you for your answer. Gives more insight.
$endgroup$
– Math_QED
Dec 15 '18 at 15:37
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
$begingroup$
You are very welcome.
$endgroup$
– drhab
Dec 15 '18 at 15:40
add a comment |
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$begingroup$
It should follow from the definition of independent random variables. About your third paragraph, are you sure that this result holds? I think $g$ needs to preserve measure or something like that.
$endgroup$
– Yanko
Dec 15 '18 at 15:13
$begingroup$
$g$ must be measurable, which is what I meant with "Borel".
$endgroup$
– Math_QED
Dec 15 '18 at 15:14
$begingroup$
If $g$ is a constant you sure the claim holds?
$endgroup$
– Yanko
Dec 15 '18 at 15:16
$begingroup$
I'm thinking about it. Give me a second please. Thanks for your useful comment.
$endgroup$
– Math_QED
Dec 15 '18 at 15:16
$begingroup$
Fix Borel sets $A,B$. We have to prove that $P(gcirc X in A, g circ Y in B) = P(g circ X in A) P(g circ Y in B)$ where $g=1$ is the constant 1 function. If $1 in A cap B$, then we have $1 = 1$. Otherwise, we have $0=0$, so I don't think there is a contradiction. What do you think?
$endgroup$
– Math_QED
Dec 15 '18 at 15:23