 Nov 2022

stats.stackexchange.com stats.stackexchange.com

The random process has outcomes
Notation of a random process that has outcomes
The "universal set" aka "sample space" of all possible outcomes is sometimes denoted by \(U\), \(S\), or \(\Omega\): https://en.wikipedia.org/wiki/Sample_space
Probability theory & measure theory
From what I recall, the notation, \(\Omega\), was mainly used in higherlevel grad courses on probability theory. ie, when trying to frame things in probability theory as a special case of measure theory things/ideas/processes. eg, a probability space, \((\cal{F}, \Omega, P)\) where \(\cal{F}\) is a \(\sigma\text{field}\) aka \(\sigma\text{algebra}\) and \(P\) is a probability density function on any element of \(\cal{F}\) and \(P(\Omega)=1.\)
Somehow, the definition of a sigmafield captures the notion of what we want out of something that's measurable, but it's unclear to me why so let's see where writing through this takes me.
Working through why a sigmaalgebra yields a coherent notion of measureable
A sigmaalgebra \(\cal{F}\) on a set \(\Omega\) is defined somewhat close to the definition of a topology \(\tau\) on some space \(X\). They're both collections of subcollections of the set/space of reference (ie, \(\tau \sub 2^X\) and \(\cal{F} \sub 2^\Omega\)). Also, they're both defined to contain their underlying set/space (ie, \(X \in \tau\) and \(\Omega \in \cal{F}\)).
Additionally, they both contain the empty set but for (maybe) different reasons, definitionally. For a topology, it's simply defined to contain both the whole space and the empty set (ie, \(X \in \tau\) and \(\empty \in \tau\)). In a sigmaalgebra's case, it's defined to be closed under complements, so since \(\Omega \in \cal{F}\) the complement must also be in \(\cal{F}\)... but the complement of the universal set \(\Omega\) is the empty set, so \(\empty \in \cal{F}\).
I think this might be where the similarity ends, since a topology need not be closed under complements (but probably has a special property when it is, although I'm not sure what; oh wait, the complement of open is closed in topology, so it'd be clopen! Not sure what this would really entail though 🤷♀️). Moreover, a topology is closed under arbitrary unions (which includes uncountable), but a sigmaalgebra is closed under countable unions. Hmm... Maybe this restriction to countable unions is what gives a coherent notion of being measurable? I suspect it also has to do with BanachTarski paradox. ie, cutting a sphere into 5 pieces and rearranging in a clever way so that you get 2 sphere's that each have the volume of the original sphere; I mean, WTF, if 1 sphere's volume equals the volume of 2 sphere's, then we're definitely not able to measure stuff any more.
And now I'm starting to vaguely recall that this what sigmafields essentially outlaw/ban from being possible. It's also related to something important in measure theory called a Lebeque measure, although I'm not really sure what that is (something about doing a Riemann integral but picking the partition on the yaxis/codomain instead of on the xaxis/domain, maybe?)
And with that, I think I've got some intuition about how fundamental sigmaalgebras are to letting us handle probability and uncertainty.
Back to probability theory
So then events like \(E_1\) and \(E_2\) that are elements of the set of subcollections, \(\cal{F}\), of the possibility space \(\Omega\). Like, maybe \(\Omega\) is the set of all possible outcomes of rolling 2 dice, but \(E_1\) could be a simple event (ie, just one outcome like rolling a 2) while \(E_2\) could be a compound(?) event (ie, more than one, like rolling an even number). Notably, \(E_1\) & \(E_2\) are NOT elements of the sample space \(\Omega\); they're elements of the powerset of our possibility space (ie, the set of all possible subsets of \(\Omega\) denoted by \(2^\Omega\)). So maybe this explains why the "closed under complements" is needed; if you roll a 2, you should also be able to NOT roll a 2. And the property that a sigmaalgebra must "contain the whole space" might be what's needed to give rise to a notion of a complete measure (conjecture about complete measures: everything in the measurable space can be assigned a value where that part of the measurable space does, in fact, represent some constitutive part of the whole).
But what about these "random events"?
Ah, so that's where random variables come into play (and probably why in probability theory they prefer to use \(\Omega\) for the sample space instead of \(X\) like a base space in topology). There's a function, that is, a mapping from outcomes of this "random event" (eg, a role of 2 dice) to a space in which we can associate (ie, assign) a sense of distance (ie, our sigmaalgebra). What confuses me is that we see things like "\(P(X=x)\)" which we interpret as "probability that our random variable, \(X\), ends up being some particular outcome \(x\)." But it's also said that \(X\) is a realvalued function, ie, takes some arbitrary elements (eg, events like rolling an even number) and assigns them a real number (ie, some \(x \in \mathbb{R}\)).
Aha! I think I recall the missing link: the notation "\(X=x\)" is really a shorthand for "\(X(\omega)=x\)" where \(\omega \in \cal{F}\). But something that still feels unreconciled is that our probability metric, \(P\), is just taking some real value to another real value... So which one is our sigmaalgebra, the inputs of \(P\) or the inputs of \(X\)? 🤔 Hmm... Well, I guess it has the be the set of elements that \(X\) is mapping into \(\mathbb{R}\) since \(X\text{'s}\) input is a small omega \(\omega\) (which is probably an element of big omega \(\Omega\) based on the conventions of small notation being elements of big notation), so \(X\text{'s}\) domain much be the sigmaalgrebra?
Let's try to generate a plausible example of this in action... Maybe something with an inequality like "\(X\ge 1\)". Okay, yeah, how about \(X\) is a random variable for the random process of how long it takes a customer to get through a grocery line. So \(X\) is mapping the elements of our sigmaalgebra (ie, what customers actually end up experiencing in the real world) into a subset of the reals, namely \([0,\infty)\) because their time in line could be 0 minutes or infinite minutes (geesh, 😬 what a life that would be, huh?). Okay, so then I can ask a question like "What's the probability that \(X\) takes on a value greater than or equal to 1 minute?" which I think translates to "\(P\left(X(\omega)\ge 1\right)\)" which is really attempting to model this whole "random event" of "What's gonna happen to a particular person on average?"
So this makes me wonder... Is this fact that \(X\) can model this "random event" (at all) what people mean when they say something is a stochastic model? That there's a probability distribution it generates which affords us some way of dealing with navigating the uncertainty of the "random event"? If so, then sigmaalgebras seem to serve as a kind of gateway and/or foundation into specific cognitive practices (ie, learning to think & reason probabilistically) that affords us a way out of being overwhelmed by our anxiety or fear and can help us reclaim some agency and autonomy in situations with uncertainty.

 Feb 2021

www.zhihu.com www.zhihu.com

sigma代数涵盖了“一切可能事件的一切可能组合”
一切可能事件的一切组合似乎是个不错的信息的定义。。。

所以这个sigma代数越大，那么信息就越多
最大的sigma代数是\(\mathcal{F}\)?
 sigma代数的大小如何理解？
 信息的定义？

滤链（filtration）
$$\left\{\mathcal{I}_{n}, n \geq 0\right\}$$
是一组滤链
滤链定义在$$(\Omega, \mathscr{F}, \mathscr{P})$$
滤链满足$$\mathcal{I}{0} \subseteq \mathcal{I}{1} \subseteq \mathcal{I}_{2} \subseteq \cdots$$
