Definition 1: As for the definition atomic measure,
Given a measurable space (X,∑) and a measure μ on that space, a set A⊂X in Σ is called an atom if and for any measurable subset
B⊂A with μ(B)<μ(A) the set B has measure zero. Thus B either has measure μ(A) or has measure zero.
Definition 2:According to the definition of discrete random varaible:
A random variable X on (Ω,A,P) is discrete if ∃ a countable subset C of R, s.t. P(X∈C)=1 (According to the defintion of A course in probability theory, Kai Lai Chung)
I am not sure about the proof.
Though there exists some relationship between the probability measure and the random variable if they are discrete.
A d.f F is called discrete if it can be represented in the form
F(x)=∑+∞n=1pnδan(x)
with δan(x) is degenerate such that
\begin{equation}
\delta_{a_n}(x)=
\left\{
\begin{array}{lr}
0, & x
\end{array}\right.\end{equation}
1.We can show put C={a1,a2,an…}if FX is discrete, then F(x)=∑+∞n=1pnδan(x) where ∑+∞n=1pn=1
Thus PX(C)=PX(⋃+∞n=1{an})=∑+∞n=1PX({an})=∑+∞n=1[FX(an)−FX(a−n)]=∑+∞n=1pn=1
Thus, X is discrete r.v.
If X is a discrete r.v., then Px(C)=1.
Thus,FX(x)=P(X∈[−∞,x])=P(X∈[−∞,x]⋂C)=∑an∈[−∞,x]PX(an)=∑∞i=1PX(an)I{an≤x}=∑∞i=1PX({an})δan(x)=∑∞i=1pnδan(x)
No comments:
Post a Comment