How to Define f(X) in Set Notation?

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SUMMARY

The discussion focuses on defining a random variable and its transformation through a Borel measurable function using set notation. The random variable is represented as X = {ω ∈ Ω | X(ω) ∈ B} ∈ F, where F is a sigma algebra and B is a Borel subset of R. The transformation f(X) is expressed as f(X) = {ω ∈ Ω | f(X(ω)) ∈ B} ∈ σ(X), with σ(X) being a sigma algebra. Both definitions assume that X and f(X) are real-valued, establishing a clear relationship between random variables and measurable functions.

PREREQUISITES
  • Understanding of sigma algebras in probability theory
  • Familiarity with Borel sets and their properties
  • Knowledge of measurable functions, specifically Borel measurable functions
  • Basic concepts of random variables and their definitions
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Mathematicians, statisticians, and students studying probability theory who seek to deepen their understanding of random variables and measurable functions in set notation.

nasshi
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The definition I have for a random variable is
X=\lbrace \omega \in \Omega \vert X(\omega) \in B \rbrace \in F where F is a sigma algebra and B is a Borel subset of R.

Using function composition, how would one write a similar set notation definition for f(X), where f is a Borel measurable function?
f(X)=\lbrace \omega \in \Omega \vert f(X(\omega)) \in B \rbrace \in \sigma(X) where \sigma(X) is a sigma algebra and B is a Borel subset of R??
 
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Your espression looks right. In both cases, there is an implicit assumption that X and f(X) are real-valued.
 

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