Download A Course in Probability Theory, Third Edition by Kai Lai Chung PDF

By Kai Lai Chung

Because the booklet of the 1st variation of this vintage textbook over thirty years in the past, tens of millions of scholars have used A direction in likelihood thought. New during this variation is an advent to degree conception that expands the industry, as this remedy is extra in step with present classes. whereas there are a number of books on chance, Chung's ebook is taken into account a vintage, unique paintings in chance thought as a result of its elite point of class.

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3 INDEPENDENCE I 53 Independence We shall now introduce a fundamental new concept peculiar to the theory of probability, that of "(stochastic) independence". DEFINITION OF INDEPENDENCE. The r. ' s {X j' 1 :::: j :::: n} are said to be (totally) independent iff for any linear Borel sets {B j, 1 :::: j :::: n} we have (1) q> {O(X j E Bj )} = tko/'(X j E B j ). 's of an infinite family are said to be independent iff those in every finite subfamily are. They are said to be painvise independent iff every two of them are independent.

The question of probability meaSUles on :-;81 is closely related to the theory of distribution functions studied in Chapter 1. There is in fact a one-toone correspondence between the set functions on the one hand, and the point functions on the other. Both points of view are useful in probability theory. We establish first the easier half of this correspondence. Lemma. m. fJ. on :1(31 determines adJ. (( -00, x]) = F(x). J-([a, b]) = F(b) - F(a-). Furthermore, let D be any dense subset of 9'(1, then the correspondence is already determined by that in (4) restricted to xED, or by any of the four relations in (5) when a and b are both restricted to D.

J-([a, b]) = F(b) - F(a-). Furthermore, let D be any dense subset of 9'(1, then the correspondence is already determined by that in (4) restricted to xED, or by any of the four relations in (5) when a and b are both restricted to D. PROOF. Let us write Vx E 9'(1: Ix = (-00, x]. J-(J'\) is defined; call it F(x) and so define the function F on 9'(1. f. as defined in Chapter 1. First of all, F is increasing by property (viii) of the measure. Next, if Xn t x, then IXn t Ix, hence we have by (ix) (6) Hence F is right continuous.

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