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单词 ProbabilityConditioningOnASigmaAlgebra
释义

probability conditioning on a sigma algebra


Let (Ω,𝔅,μ) be a probability spaceMathworldPlanetmath and B𝔅 an event. Let 𝔇 be a sub sigma algebra of 𝔅. The of B given D is defined to be the conditional expectation of the random variableMathworldPlanetmath 1B defined on Ω, given 𝔇. We denote this conditional probabilityMathworldPlanetmath by μ(B|𝔇):=E(1B|𝔇). 1B is also known as the indicator functionPlanetmathPlanetmath.

Similarly, we can define a conditional probability given a random variable. Let X be a random variable defined on Ω. The conditional probability of B given X is defined to be μ(B|𝔅X), where 𝔅X is the sub sigma algebra of 𝔅, generated by (http://planetmath.org/MathcalFMeasurableFunction) X. The conditional probability of B given X is simply written μ(B|X).

Remark. Both μ(B|𝔇) and μ(B|X) are random variables, the former is 𝔇-measurable, and the latter is 𝔅X-measurable.

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更新时间:2025/5/4 11:13:59