Pdf and pmf as random variables?

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Discussion Overview

The discussion revolves around the nature of probability mass functions (pmf) and probability density functions (pdf) as random variables within the context of measurable functions. Participants explore whether these functions can be considered measurable when defined over different types of domains, particularly focusing on the implications of countable versus uncountable domains.

Discussion Character

  • Technical explanation
  • Debate/contested

Main Points Raised

  • Some participants propose that a pdf is always measurable and integrable, as it is defined to be integrable.
  • Others argue that a pmf is measurable since its domain is countable, but question its measurability when defined over an uncountable domain like the real numbers.
  • A participant suggests that a pmf remains measurable because most numbers in an uncountable domain are sent to zero, leaving only a countable number of non-zero elements, which are interesting.
  • Another participant elaborates on the measurability of a pmf by discussing the countable range and the properties of the Borel algebra, asserting that the pre-images of subsets are also elements of the Borel algebra.
  • There is a challenge regarding the definition of pmf on the real numbers, with references to external sources to support claims.
  • One participant acknowledges a misunderstanding regarding the discussion of pmf versus random variables.

Areas of Agreement / Disagreement

Participants express differing views on the measurability of pmf when defined over uncountable domains, indicating that the discussion remains unresolved with multiple competing perspectives.

Contextual Notes

The discussion includes assumptions about the definitions of pmf and pdf, the nature of measurable functions, and the implications of countability in probability theory, which are not fully resolved.

Rasalhague
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If the set of real numbers is considered as a sample space with the Borel sigma algebra for its events, and also as an observation space with the same sigma algebra, is a pdf or pmf a kind of random variable? That is, are they measurable functions?
 
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Hi Rasalhague! :smile:

Rasalhague said:
If the set of real numbers is considered as a sample space with the Borel sigma algebra for its events, and also as an observation space with the same sigma algebra, is a pdf or pmf a kind of random variable? That is, are they measurable functions?

Yes, a pdf is always measurable, it is even integrable. In fact, a pdf is defined to be integrable.
A pmf is certainly measurable since its domain is countable.

Almost all functions you will ever encounter in probability theory will be measurable, so this is (luckily) no exception to that rule.
 
Hello, again, micromass!

micromass said:
A pmf is certainly measurable since its domain is countable.

Is a pmf also measurable when, as here, it's defined with an uncountable domain, namely the real numbers?
 
Rasalhague said:
Is a pmf also measurable when, as here, it's defined with an uncountable domain, namely the real numbers?

Are you sure about that?
 
Rasalhague said:
Hello, again, micromass!



Is a pmf also measurable when, as here, it's defined with an uncountable domain, namely the real numbers?

Yes, because there are at most countable non-boring numbers. That is, most of the numbers in the uncountable domain are being sent to 0, while only a countable number of them are interesting. This means that it's measurable.
 
Aha, I think I see why it has to be! A pmf, fX, has (finitely or infinitely) countable range (because it has only countably many nonzero, i.e. non-boring elements), so every subset is a countable union of singletons, which are elements of the Borel algebra on R being complements of pairs of open sets. The pre-image of every subset not containing zero is a subset of the range of X, also a countable union of singletons, because X is discrete. The pre-image of every subset containing zero is a countable union of singletons and the open intervals between them, together with the open interval before the first element of the range of X and the open interval after the last. So these pre-images are also elements of the Borel algebra. So fX is measurable.
 
disregardthat said:
Are you sure about that?

Sure that the Wikipedia article I linked to defines the pmf on R? Yes, unless it's been changed recently, it's in the 2nd sentence of "Formal definition" and reiterated in the sentence immediately after that.

Here's another source which defines the pmf on R.
 
Rasalhague said:
Sure that the Wikipedia article I linked to defines the pmf on R? Yes, unless it's been changed recently, it's in the 2nd sentence of "Formal definition" and reiterated in the sentence immediately after that.

Here's another source which defines the pmf on R.

You are right, I accidentally thought you were talking about the random variable.
 

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