diff --git a/inputs/lecture_10.tex b/inputs/lecture_10.tex index 2153570..80bedbe 100644 --- a/inputs/lecture_10.tex +++ b/inputs/lecture_10.tex @@ -9,7 +9,7 @@ We consider $(\R, \cB(\R))$. By $M_1 (\R)$ we denote the set of all probability measures on $\left( \R, \cB(\R) \right)$. \end{notation} -For all $\bP \in M_1(\R)$ we define $\phi_{\bP}(t) = \int_{\R} e^{\i t x}\dif\bP(x)$. +For all $\bP \in M_1(\R)$ we define $\phi_{\bP}(t) = \int_{\R} e^{\i t x}\bP(\dif x)$. If $X: (\Omega, \cF) \to (\R, \cB(\R))$ is a random variable, we write $\phi_X(t) \coloneqq \bE[e^{\i t X}] = \phi_{\mu}(t)$, where $\mu = \bP X^{-1}$. @@ -20,22 +20,22 @@ where $\mu = \bP X^{-1}$. exists and is equal to the LHS. Note that the term on the RHS is integrable, as \[ - \lim_{t \to 0} \frac{e^{-\i t b} - e^{-\i t a}}{- \i t} \pi(t) = a - b + \lim_{t \to 0} \frac{e^{-\i t b} - e^{-\i t a}}{- \i t} \phi(t) = a - b \] and note that $\phi(0) = 1$ and $|\phi(t)| \le 1$. % TODO think about this We have \begin{IEEEeqnarray*}{rCl} - &&\lim_{T \to \infty} \frac{1}{2 \pi} \int_{-T}^T \int_{\R} \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} dt \dif\bP(x)\\ - &\overset{\text{Fubini for $L^1$}}{=}& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} dt \dif\bP(x)\\ - &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{\i t (b-x)}- e^{\i t (x-a)}}{-\i t} dt \dif\bP(x)\\ - &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \underbrace{\int_{-T}^T \left[ \frac{\cos(t (x-b)) - \cos(t(x-a))}{-\i t}\right] dt \dif\bP(x)}_{=0 \text{, as the function is odd}} + &&\lim_{T \to \infty} \frac{1}{2 \pi} \int_{-T}^T \int_{\R} \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} \dif t \bP(\dif x)\\ + &\overset{\text{Fubini for $L^1$}}{=}& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} \dif t \bP(\dif x)\\ + &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{\i t (b-x)}- e^{\i t (x-a)}}{-\i t} \dif t \bP(\dif x)\\ + &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \underbrace{\int_{-T}^T \left[ \frac{\cos(t (x-b)) - \cos(t(x-a))}{-\i t}\right] \dif t \bP(\dif x)}_{=0 \text{, as the function is odd}} \\&& - + \lim_{T \to \infty} \frac{1}{2\pi} \int_{\R}\int_{-T}^T \frac{\sin(t ( x - b)) - \sin(t(x-a))}{-t} dt \dif\bP(x)\\ - &=& \lim_{T \to \infty} \frac{1}{\pi} \int_\R \int_{0}^T \frac{\sin(t(x-a)) - \sin(t(x-b))}{t} dt \dif\bP(x)\\ + + \lim_{T \to \infty} \frac{1}{2\pi} \int_{\R}\int_{-T}^T \frac{\sin(t ( x - b)) - \sin(t(x-a))}{-t} \dif t \bP(\dif x)\\ + &=& \lim_{T \to \infty} \frac{1}{\pi} \int_\R \int_{0}^T \frac{\sin(t(x-a)) - \sin(t(x-b))}{t} \dif t \bP(\dif x)\\ &\overset{\substack{\text{\autoref{fact:intsinxx},}\\\text{dominated convergence}}}{=}& \frac{1}{\pi} \int -\frac{\pi}{2} \One_{x < a} + \frac{\pi}{2} \One_{x > a } - - (- \frac{\pi}{2} \One_{x < b} + \frac{\pi}{2} \One_{x > b}) \dif\bP(x)\\ + - (- \frac{\pi}{2} \One_{x < b} + \frac{\pi}{2} \One_{x > b}) \bP(\dif x)\\ &=& \frac{1}{2} \bP(\{a\} ) + \frac{1}{2} \bP(\{b\}) + \bP((a,b))\\ &=& \frac{F(b) + F(b-)}{2} - \frac{F(a) - F(a-)}{2} \end{IEEEeqnarray*} @@ -44,13 +44,13 @@ where $\mu = \bP X^{-1}$. \begin{fact} \label{fact:intsinxx} \[ - \int_0^\infty \frac{\sin x}{x} dx = \frac{\pi}{2} + \int_0^\infty \frac{\sin x}{x} \dif x = \frac{\pi}{2} \] where the LHS is an improper Riemann-integral. Note that the LHS is not Lebesgue-integrable. It follows that \begin{IEEEeqnarray*}{rCl} - \lim_{T \to \infty} \int_0^T \frac{\sin(t(x-a))}{x} dt &=& + \lim_{T \to \infty} \int_0^T \frac{\sin(t(x-a))}{x} \dif t &=& \begin{cases} - \frac{\pi}{2}, &x < a,\\ 0, &x = a,\\ @@ -64,7 +64,7 @@ where $\mu = \bP X^{-1}$. Let $\bP \in M_1(\R)$ such that $\phi_\R \in L^1(\lambda)$. Then $\bP$ has a continuous probability density given by \[ - f(x) = \frac{1}{2 \pi} \int_{\R} e^{-\i t x} \phi_{\R}(t) dt. + f(x) = \frac{1}{2 \pi} \int_{\R} e^{-\i t x} \phi_{\R}(t) \dif t. \] \end{theorem} @@ -83,7 +83,7 @@ where $\mu = \bP X^{-1}$. \end{itemize} \end{example} \begin{refproof}{thm:lec10_3} - Let $f(x) \coloneqq \frac{1}{2 \pi} \int_{\R} e^{ - \i t x} \phi(t) dt$. + Let $f(x) \coloneqq \frac{1}{2 \pi} \int_{\R} e^{ - \i t x} \phi(t) \dif t$. \begin{claim} If $x_n \to x$, then $f(x_n) \to f(x)$. \end{claim} @@ -101,17 +101,17 @@ where $\mu = \bP X^{-1}$. We'll show that for all $a < b$ we have \[ - \bP\left( (a,b] \right) = \int_a^b (x) dx.\label{thm10_3eq1} + \bP\left( (a,b] \right) = \int_a^b (x) \dif x.\label{thm10_3eq1} \] Let $F$ be the distribution function of $\bP$. It is enough to prove \autoref{thm10_3eq1} for all continuity points $a $ and $ b$ of $F$. We have \begin{IEEEeqnarray*}{rCl} - RHS &\overset{\text{Fubini}}{=}& \frac{1}{2 \pi} \int_{\R} \int_{a}^b e^{-\i t x} \phi(t) dx dt\\ - &=& \frac{1}{2 \pi} \int_\R \phi(t) \int_a^b e^{-\i t x} dx dt\\ - &=& \frac{1}{2\pi} \int_{\R} \phi(t) \left( \frac{e^{-\i t b} - e^{-\i t a}}{- \i t} \right) dt\\ - &\overset{\text{dominated convergence}}{=}& \lim_{T \to \infty} \frac{1}{2\pi} \int_{-T}^{T} \phi(t) \left( \frac{e^{-\i t b} - e^{- \i t a}}{- \i t} \right) dt + RHS &\overset{\text{Fubini}}{=}& \frac{1}{2 \pi} \int_{\R} \int_{a}^b e^{-\i t x} \phi(t) \dif x \dif t\\ + &=& \frac{1}{2 \pi} \int_\R \phi(t) \int_a^b e^{-\i t x} \dif x \dif t\\ + &=& \frac{1}{2\pi} \int_{\R} \phi(t) \left( \frac{e^{-\i t b} - e^{-\i t a}}{- \i t} \right) \dif t\\ + &\overset{\text{dominated convergence}}{=}& \lim_{T \to \infty} \frac{1}{2\pi} \int_{-T}^{T} \phi(t) \left( \frac{e^{-\i t b} - e^{- \i t a}}{- \i t} \right) \dif t \end{IEEEeqnarray*} By \autoref{inversionformula}, the RHS is equal to $F(b) - F(a) = \bP\left( (a,b] \right)$. \end{refproof} @@ -122,17 +122,17 @@ However, Fourier analysis is not only useful for continuous probability density Let $\bP \in M_1(\lambda)$. Then \[ - \forall x \in \R ~ \bP\left( \{x\} \right) = \lim_{T \to \infty} \frac{1}{2 T} \int_{-T}^T e^{-\i t x } \phi(t) dt. + \forall x \in \R ~ \bP\left( \{x\} \right) = \lim_{T \to \infty} \frac{1}{2 T} \int_{-T}^T e^{-\i t x } \phi(t) \dif t. \] \end{theorem} \begin{refproof}{bochnersformula} We have \begin{IEEEeqnarray*}{rCl} - RHS &=& \lim_{T \to \infty} \frac{1}{2 T} \int_{-T}^T e^{-\i t x} \int_{\R} e^{\i t y} \dif\bP(y) \\ - &\overset{\text{Fubini}}{=}& \lim_{T \to \infty} \frac{1}{2 T} \int_\R \bP(dy) \int_{-T}^T \underbrace{e^{-\i t (y - x)}}_{\cos(t ( y - x)) + \i \sin(t (y-x))} dt\\ - &=& \lim_{T \to \infty} \frac{1}{2T} \int_{\R} \dif\bP(y) \int_{-T}^T \cos(t(y - x)) dt\\ - &=& \lim_{T \to \infty} \frac{1}{2 T }\int_{\R} \frac{2 \sin(T (y-x)}{T (y-x)} \dif\bP(y)\\ + RHS &=& \lim_{T \to \infty} \frac{1}{2 T} \int_{-T}^T e^{-\i t x} \int_{\R} e^{\i t y} \bP(\dif y) \\ + &\overset{\text{Fubini}}{=}& \lim_{T \to \infty} \frac{1}{2 T} \int_\R \bP(dy) \int_{-T}^T \underbrace{e^{-\i t (y - x)}}_{\cos(t ( y - x)) + \i \sin(t (y-x))} \dif t\\ + &=& \lim_{T \to \infty} \frac{1}{2T} \int_{\R} \bP(\dif y) \int_{-T}^T \cos(t(y - x)) \dif t\\ + &=& \lim_{T \to \infty} \frac{1}{2 T }\int_{\R} \frac{2 \sin(T (y-x)}{T (y-x)} \bP(\dif y)\\ \end{IEEEeqnarray*} Furthermore \[ @@ -143,7 +143,7 @@ However, Fourier analysis is not only useful for continuous probability density \] Hence \begin{IEEEeqnarray*}{rCl} - \lim_{T \to \infty} \frac{1}{2 T }\int_{\R} \frac{2 \sin(T (y-x)}{T (y-x)} \dif\bP(y) &=& \bP\left( \{x\}\right) + \lim_{T \to \infty} \frac{1}{2 T }\int_{\R} \frac{2 \sin(T (y-x)}{T (y-x)} \bP(\dif y) &=& \bP\left( \{x\}\right) \end{IEEEeqnarray*} % TODO by dominated convergence? \end{refproof} @@ -168,9 +168,9 @@ However, Fourier analysis is not only useful for continuous probability density For part (b) we have: \begin{IEEEeqnarray*}{rCl} - \sum_{j,k} c_j \overline{c_k} \phi(t_j - t_k) &=& \sum_{j,k} c_j \overline{c_k} \int_\R e^{\i (t_j - t_k) x} \dif\bP(x)\\ - &=& \int_{\R} \sum_{j,k} c_j \overline{c_k} e^{\i t_j x} \overline{e^{\i t_k x}} \dif\bP(x)\\ - &=& \int_{\R}\sum_{j,k} c_j e^{\i t_j x} \overline{c_k e^{\i t_k x}} \dif\bP(x)\\ + \sum_{j,k} c_j \overline{c_k} \phi(t_j - t_k) &=& \sum_{j,k} c_j \overline{c_k} \int_\R e^{\i (t_j - t_k) x} \bP(\dif x)\\ + &=& \int_{\R} \sum_{j,k} c_j \overline{c_k} e^{\i t_j x} \overline{e^{\i t_k x}} \bP(\dif x)\\ + &=& \int_{\R}\sum_{j,k} c_j e^{\i t_j x} \overline{c_k e^{\i t_k x}} \bP(\dif x)\\ &=& \int_{\R} \left| \sum_{l} c_l e^{\i t_l x}\right|^2 \ge 0 \end{IEEEeqnarray*} \end{refproof}