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Exercise 2.21 (Independence of real-valued random variables)

Let X1,…,Xn be real scalar random variables. Show that X1,…,Xn are jointly independent if and only if one has

P (∧ i=1n(X i ≤ ti)) = ∏ i=1nP(X i ≤ ti)

for all t1,…,tn ∈ R.

Answers

To demonstrate the equivalence of both conditions, we show that the implications hold in both directions.

  • This only if part is obvious. As per Definition 16 (Independence), set Si := (−∞,ti] and obtain

    P (∧ i=1n(X i ≤ ti)) = P (∧ i=1n(X i ∈ Si)) = ∏ i=1nP (X i ∈ Si) = ∏ i=1nP (X i ≤ ti) .
  • For simplicity, we will first work out the case when n = 2 and resume by induction next; thus, assume that

    ∀ ⁡t1,t2 ∈R : P(X ≤ t1,Y ≤ t2) = P(X ≤ t1) ⋅ P(Y ≤ t2).

    Our goal is to verify that

    ∀ ⁡S1,S2 ∈B : P(X ∈ S1,Y ∈ S2) = P(X ∈ S1) ⋅ P(Y ∈ S2).

    After much thinking, one can see that the following lemmas come quite handy when analyzing this problem.

    Lemma 1. (Inverse image of a generator set is a generator set of the inverse image) Let (Ω,F),(R,B) be measure spaces, and let X : Ω → R be a measurable function. Suppose that B0 is a generating set for B. We then have ⟨X−1(B0)⟩ = X−1 (⟨B0⟩). 1

    Combined with the principle of measurable induction (Exercise 11), it suffices to demonstrate the theorem assertion for some generating set B0 of B, instead of demonstrating it for every B-measurable set, i.e.,

    ∀ ⁡S1 ∈B0,∀ ⁡S2 ∈B0 : P(X ∈ S1,Y ∈ S2) = P(X ∈ S1) ⋅ P(Y ∈ S2).
    (1)

    But setting B0 to be the set {(−∞,t]∣t ∈R} of all half-open intervals (see Exercise 1.4.14 from Measure theory), we automatically obtain the assertion directly from the assumption.

    ∀ ⁡t1 ∈R,∀ ⁡t2 ∈B0 : P(X ≤ t1,Y ≤ t2) = P(X ≤ t1) ⋅ P(Y ≤ t2).
    (2)

    Thus, it is only left to verify that independence constitutes a σ-property. We do so separately in each variable, starting with Y .

    σ1
    We have 0 = P(X ≤ t1,Y ∈∅) = P(X ≤ t1) ⋅ P(Y ∈∅) = P(X ≤ t1) ⋅ 0 = 0.
    σ2
    Suppose that P(X ≤ t1,Y ∈ A) = P(X ≤ t1)P(Y ∈ A) is true for some A. We then have, by finite additivity of P, that: P (X ≤ t1) ⋅ P (Y ∈ Ac) = P (X ≤ t 1) ⋅ [1 − P (Y ∈ A)] = P (X ≤ t1) − P (X ≤ t1) ⋅ P (Y ∈ A) = P (X ≤ t1) − P (X ≤ t1,Y ∈ A) = P (X ≤ t1,Y ∉A)
    σ3
    Let A1,A2,… be sets such that P(X ≤ t1,Y ∈ An) = P(X ≤ t1) ⋅ P(Y ∈ An). Performing the usual trick of disjointisation ⋃ ⁡ n=1∞An = ⋃ n=1∞An ∖⋃ i=1n−1Ai and applying countable additivity of P twice, we obtain: P (X ≤ t1,Y ∈⋃ n=1∞A n) = P (X ≤ t1,Y ∈⋃ n=1∞A n ∖⋃ i=1n−1A i) = ∑ n=1∞P (X ≤ t 1,Y ∈ An ∖⋃ i=1n−1A i) = ∑ n=1∞P (X ≤ t 1) ⋅ P (Y ∈ An ∖⋃ i=1n−1A i) = P (X ≤ t1) ⋅∑ n=1∞P (Y ∈ A n ∖⋃ i=1n−1A i) = P (X ≤ t1) ⋅ P (Y ∈⋃ n=1∞A n ∖⋃ i=1n−1A i) = P (X ≤ t1) ⋅ P (Y ∈⋃ n=1∞A n)

    This closes the induction and we can safely upgrade Assertion (2) from generating set to the whole σ-algebra:

    ∀ ⁡t1 ∈R,∀ ⁡S2 ∈B : P(X ≤ t1,Y ∈ S2) = P(X ≤ t1) ⋅ P(Y ∈ S2).
    (3)

    Performing the exact same operations of measurable induction on X, we obtain

    ∀ ⁡S1 ∈B,S2 ∈B : P(X ∈ S1,Y ∈ S2) = P(X ∈ S1) ⋅ P(Y ∈ S2).
    (4)

    By inducting on n ∈N we can generalize this result to any number of jointly independent random variables X1,…,Xn.

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2021-09-19 00:00
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