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Comment: Sigma algebras
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σ algebra uses and re-uses many common statistics [[Statistics/ProbabilityNotation|notations]]. <<TableOfContents>> ---- |
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| == Sets and Subsets == The maximal set, which in probability applications is the '''sample space''', is notated as ''Ω''. The sample space could be a discrete set, like ''Ω = {heads, tails}''. It could be a set of discrete numbers, like ''Ω = '''N''''' (all real numbers). It could be a continuous range, like ''Ω = [0,1]''. === Subsets === Subsets are usually named with calligraphic uppercase letters, but that's not exactly practical in typed notes. Capital letters will be used instead. A subset of ''Ω'' is expressed as ''A ⊆ Ω''. === Power sets === |
== Power sets == |
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=== Intersections and Unions === The '''intersection''' of two sets is notated as ''A ⋂ B''; the '''union''' of two sets is notated as ''A ⋃ B''. The intersection of all subsets ''A,,i,,'' can be expressed as: {{attachment:intersection.svg}} The union of all subsets ''A,,i,,'' can be expressed as: {{attachment:union.svg}} === Complements === The '''complement''' of a subset ''A'' is notated as ''A^c^''. ---- == Properties == A pair of sets are '''disjoint''' if there is no intersection, which is expressed as ''A ⋂ B = ∅'' |
σ Algebra Notation
Power sets
The power set of a set (P(Ω)) is the set of all subsets, including the empty set (∅) and the set itself (Ω).
This becomes analagous to a probability function in descrete cases.
Sigma Algebras
A σ algebra is usually named with calligraphic uppercase letters, but that's not exactly practical in typed notes. Capital letters will be used instead.
A σ algebra is notated as A ⊆ P(Ω). In other words, A is a subset of the power set of Ω.
To qualify as a σ algebra, A also needs to satisfy three properties:
Ω is in A
A is closed upon complementation. For any subset, the complement of that subset is also in A.
A is closed upon countable unions.
Maps
Maps are usually named with blackboard bold letters, but that's not exactly practical in typed notes. Bold capital letters will be used instead.
A map translates a (sub)set into a real number: M: A -> R.
Probability Measures
Probability measures are the primary use of maps with σ algebras.
A parallel to the functional expression of probability, p(A), is P: A -> [0,1].