307_supp_082708 - Math 307/607 Supplementary Theory Notes...

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Math 307/607 Supplementary Theory Notes These notes lay out the axioms of probability and build up several key properties from these axioms. The purpose of these notes is to show how the properties can be proved from the axioms. To understand the notes it is important to connect them with the illustrations and discussions in class—i.e, these notes are not “stand alone.” We have said in class that a formal probability model has 3 ingredients—the sample space , Ω which is a set of all elementary outcomes to the chance experiment we are modelling, a collection Σ of subsets of , Ω which is the collection of all compound outcomes we can handle, and a probability measure , P which is a function assigning to each event its probability; thus [ ] :0 , 1 . P Σ→ In class and in the book we go through many examples of such models. Here we lay out the axioms governing probability spaces, and prove a few simple properties which must follow. We take as known set theory concepts such as intersection, union, disjoint etc—these are discussed in class and in the text. Axiom 1. If 12 , AA are events, then so is the intersection . More generally, if {} 1 n n A = is a sequence (or countable collection) of events, then the intersection 1 n n A = is also an event. Axiom 2. If A is an event, then so is the complement . c A Axiom 3. Ω is an event.
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This note was uploaded on 06/12/2010 for the course MATH 307 taught by Professor Luikonnen during the Fall '08 term at Tulane.

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307_supp_082708 - Math 307/607 Supplementary Theory Notes...

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