@@ -213,7 +213,7 @@ Section mutual_independence_properties.
213
213
Context {R : realType} d {T : measurableType d} (P : probability T R).
214
214
Local Open Scope ereal_scope.
215
215
216
- (**md see Achim Klenke's Probability Thery , Ch.2, sec.2.1, thm.2.13(i) *)
216
+ (**md see Achim Klenke's Probability Theory , Ch.2, sec.2.1, thm.2.13(i) *)
217
217
Lemma mutual_independence_fset {I0 : choiceType} (I : {fset I0})
218
218
(F : I0 -> set_system T) :
219
219
(forall i, i \in I -> F i `<=` measurable /\ (F i) [set: T]) ->
@@ -237,7 +237,7 @@ rewrite -big_seq => ->.
237
237
by rewrite !big_seq; apply: eq_bigr => i iJ; rewrite /E' iJ.
238
238
Qed .
239
239
240
- (**md see Achim Klenke's Probability Thery , Ch.2, sec.2.1, thm.2.13(ii) *)
240
+ (**md see Achim Klenke's Probability Theory , Ch.2, sec.2.1, thm.2.13(ii) *)
241
241
Lemma mutual_independence_finiteS {I0 : choiceType} (I : set I0)
242
242
(F : I0 -> set_system T) :
243
243
mutual_independence P I F <->
@@ -255,7 +255,7 @@ split=> [i Ii|J JI E EF].
255
255
by have [_] := indeF _ JI; exact.
256
256
Qed .
257
257
258
- (**md see Achim Klenke's Probability Thery , Ch.2, sec.2.1, thm.2.13(iii) *)
258
+ (**md see Achim Klenke's Probability Theory , Ch.2, sec.2.1, thm.2.13(iii) *)
259
259
Theorem mutual_independence_finite_g_sigma {I0 : choiceType} (I : set I0)
260
260
(F : I0 -> set_system T) :
261
261
(forall i, i \in I -> setI_closed (F i `|` [set set0])) ->
@@ -437,7 +437,7 @@ apply/negP/set0P; exists j; split => //.
437
437
exact/set_mem.
438
438
Qed .
439
439
440
- (**md see Achim Klenke's Probability Thery , Ch.2, sec.2.1, thm.2.13(iv) *)
440
+ (**md see Achim Klenke's Probability Theory , Ch.2, sec.2.1, thm.2.13(iv) *)
441
441
Lemma mutual_independence_bigcup (K0 I0 : pointedType) (K : {fset K0})
442
442
(I_ : K0 -> set I0) (I : set I0) (F : I0 -> set_system T) :
443
443
trivIset [set` K] (fun i => I_ i) ->
@@ -482,28 +482,28 @@ Qed.
482
482
483
483
End mutual_independence_properties.
484
484
485
- Section g_sigma_algebra_mapping_lemmas .
485
+ Section g_sigma_algebra_preimage_lemmas .
486
486
Context d {T : measurableType d} {R : realType}.
487
487
488
- Lemma g_sigma_algebra_mapping_comp (X : {mfun T >-> R}) (f : R -> R) :
488
+ Lemma g_sigma_algebra_preimage_comp (X : {mfun T >-> R}) (f : R -> R) :
489
489
measurable_fun setT f ->
490
- g_sigma_algebra_mapping (f \o X)%R `<=` g_sigma_algebra_mapping X.
490
+ g_sigma_algebra_preimage (f \o X)%R `<=` g_sigma_algebra_preimage X.
491
491
Proof . exact: preimage_set_system_comp. Qed .
492
492
493
- Lemma g_sigma_algebra_mapping_funrpos (X : {mfun T >-> R}) :
494
- g_sigma_algebra_mapping X^\+%R `<=` d.-measurable.
493
+ Lemma g_sigma_algebra_preimage_funrpos (X : {mfun T >-> R}) :
494
+ g_sigma_algebra_preimage X^\+%R `<=` d.-measurable.
495
495
Proof .
496
496
by move=> A/= -[B mB] <-; have := measurable_funrpos (measurable_funP X); exact.
497
497
Qed .
498
498
499
- Lemma g_sigma_algebra_mapping_funrneg (X : {mfun T >-> R}) :
500
- g_sigma_algebra_mapping X^\-%R `<=` d.-measurable.
499
+ Lemma g_sigma_algebra_preimage_funrneg (X : {mfun T >-> R}) :
500
+ g_sigma_algebra_preimage X^\-%R `<=` d.-measurable.
501
501
Proof .
502
502
by move=> A/= -[B mB] <-; have := measurable_funrneg (measurable_funP X); exact.
503
503
Qed .
504
504
505
- End g_sigma_algebra_mapping_lemmas .
506
- Arguments g_sigma_algebra_mapping_comp {d T R X} f.
505
+ End g_sigma_algebra_preimage_lemmas .
506
+ Arguments g_sigma_algebra_preimage_comp {d T R X} f.
507
507
508
508
Section independent_RVs.
509
509
Context {R : realType} d (T : measurableType d).
@@ -513,7 +513,7 @@ Variable P : probability T R.
513
513
514
514
Definition independent_RVs (I : set I0)
515
515
(X : forall i : I0, {mfun T >-> T' i}) : Prop :=
516
- mutual_independence P I (fun i => g_sigma_algebra_mapping (X i)).
516
+ mutual_independence P I (fun i => g_sigma_algebra_preimage (X i)).
517
517
518
518
End independent_RVs.
519
519
@@ -532,7 +532,7 @@ Context {I0 : choiceType}.
532
532
Context {d' : I0 -> _} (T' : forall i : I0, measurableType (d' i)).
533
533
Variable P : probability T R.
534
534
535
- (**md see Achim Klenke's Probability Thery , Ch.2, sec.2.1, thm.2.16 *)
535
+ (**md see Achim Klenke's Probability Theory , Ch.2, sec.2.1, thm.2.16 *)
536
536
Theorem independent_generators (I : set I0) (F : forall i : I0, set_system (T' i))
537
537
(X : forall i, {RV P >-> T' i}) :
538
538
(forall i, i \in I -> setI_closed (F i)) ->
@@ -550,9 +550,9 @@ have closed_preimage i : I i -> setI_closed (preimage_set_system setT (X i) (F i
550
550
- exact/mem_set.
551
551
- by rewrite setTI.
552
552
have gen_preimage i : I i ->
553
- <<s preimage_set_system setT (X i) (F i) >> = g_sigma_algebra_mapping (X i).
553
+ <<s preimage_set_system setT (X i) (F i) >> = g_sigma_algebra_preimage (X i).
554
554
move=> Ii.
555
- rewrite /g_sigma_algebra_mapping AsF; last exact/mem_set.
555
+ rewrite /g_sigma_algebra_preimage AsF; last exact/mem_set.
556
556
by rewrite -g_sigma_preimageE.
557
557
rewrite /independent_RVs.
558
558
suff: mutual_independence P I (fun i => <<s preimage_set_system setT (X i) (F i) >>).
@@ -576,78 +576,79 @@ Lemma independent_RVs2_comp (X Y : {RV P >-> R}) (f g : {mfun R >-> R}) :
576
576
Proof .
577
577
move=> indeXY; split => /=.
578
578
- move=> [] _ /= A.
579
- + by rewrite /g_sigma_algebra_mapping /= /preimage_set_system/= => -[B mB <-];
579
+ + by rewrite /g_sigma_algebra_preimage /= /preimage_set_system/= => -[B mB <-];
580
580
exact/measurableT_comp.
581
- + by rewrite /g_sigma_algebra_mapping /= /preimage_set_system/= => -[B mB <-];
581
+ + by rewrite /g_sigma_algebra_preimage /= /preimage_set_system/= => -[B mB <-];
582
582
exact/measurableT_comp.
583
583
- move=> J _ E JE.
584
584
apply indeXY => //= i iJ; have := JE _ iJ.
585
585
by move: i {iJ} =>[|]//=; rewrite !inE => Eg;
586
- exact: g_sigma_algebra_mapping_comp Eg.
586
+ exact: g_sigma_algebra_preimage_comp Eg.
587
587
Qed .
588
588
589
589
Lemma independent_RVs2_funrposneg (X Y : {RV P >-> R}) :
590
590
independent_RVs2 P X Y -> independent_RVs2 P X^\+ Y^\-.
591
591
Proof .
592
592
move=> indeXY; split=> [[|]/= _|J J2 E JE].
593
- - exact: g_sigma_algebra_mapping_funrneg .
594
- - exact: g_sigma_algebra_mapping_funrpos .
593
+ - exact: g_sigma_algebra_preimage_funrneg .
594
+ - exact: g_sigma_algebra_preimage_funrpos .
595
595
- apply indeXY => //= i iJ; have := JE _ iJ.
596
596
move/J2 : iJ; move: i => [|]// _; rewrite !inE.
597
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr (- x) 0)%R).
597
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr (- x) 0)%R).
598
598
exact: measurable_funrneg.
599
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr x 0)%R) => //.
599
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr x 0)%R) => //.
600
600
exact: measurable_funrpos.
601
601
Qed .
602
602
603
603
Lemma independent_RVs2_funrnegpos (X Y : {RV P >-> R}) :
604
604
independent_RVs2 P X Y -> independent_RVs2 P X^\- Y^\+.
605
605
Proof .
606
606
move=> indeXY; split=> [/= [|]// _ |J J2 E JE].
607
- - exact: g_sigma_algebra_mapping_funrpos .
608
- - exact: g_sigma_algebra_mapping_funrneg .
607
+ - exact: g_sigma_algebra_preimage_funrpos .
608
+ - exact: g_sigma_algebra_preimage_funrneg .
609
609
- apply indeXY => //= i iJ; have := JE _ iJ.
610
610
move/J2 : iJ; move: i => [|]// _; rewrite !inE.
611
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr x 0)%R).
611
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr x 0)%R).
612
612
exact: measurable_funrpos.
613
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr (- x) 0)%R).
613
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr (- x) 0)%R).
614
614
exact: measurable_funrneg.
615
615
Qed .
616
616
617
617
Lemma independent_RVs2_funrnegneg (X Y : {RV P >-> R}) :
618
618
independent_RVs2 P X Y -> independent_RVs2 P X^\- Y^\-.
619
619
Proof .
620
620
move=> indeXY; split=> [/= [|]// _ |J J2 E JE].
621
- - exact: g_sigma_algebra_mapping_funrneg .
622
- - exact: g_sigma_algebra_mapping_funrneg .
621
+ - exact: g_sigma_algebra_preimage_funrneg .
622
+ - exact: g_sigma_algebra_preimage_funrneg .
623
623
- apply indeXY => //= i iJ; have := JE _ iJ.
624
624
move/J2 : iJ; move: i => [|]// _; rewrite !inE.
625
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr (- x) 0)%R).
625
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr (- x) 0)%R).
626
626
exact: measurable_funrneg.
627
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr (- x) 0)%R).
627
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr (- x) 0)%R).
628
628
exact: measurable_funrneg.
629
629
Qed .
630
630
631
631
Lemma independent_RVs2_funrpospos (X Y : {RV P >-> R}) :
632
632
independent_RVs2 P X Y -> independent_RVs2 P X^\+ Y^\+.
633
633
Proof .
634
634
move=> indeXY; split=> [/= [|]//= _ |J J2 E JE].
635
- - exact: g_sigma_algebra_mapping_funrpos .
636
- - exact: g_sigma_algebra_mapping_funrpos .
635
+ - exact: g_sigma_algebra_preimage_funrpos .
636
+ - exact: g_sigma_algebra_preimage_funrpos .
637
637
- apply indeXY => //= i iJ; have := JE _ iJ.
638
638
move/J2 : iJ; move: i => [|]// _; rewrite !inE.
639
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr x 0)%R).
639
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr x 0)%R).
640
640
exact: measurable_funrpos.
641
- + apply: (g_sigma_algebra_mapping_comp (fun x => maxr x 0)%R).
641
+ + apply: (g_sigma_algebra_preimage_comp (fun x => maxr x 0)%R).
642
642
exact: measurable_funrpos.
643
643
Qed .
644
644
645
645
End independent_RVs_lemmas.
646
646
647
- Definition preimage_classes I (d : I -> measure_display)
648
- (Tn : forall k, semiRingOfSetsType (d k)) (T : Type) (fn : forall k, T -> Tn k) :=
649
- <<s \bigcup_k preimage_set_system setT (fn k) measurable >>.
650
- Arguments preimage_classes {I} d Tn {T} fn.
647
+ Definition preimage_classes I0 (I : set I0) (d_ : forall i : I, measure_display)
648
+ (T_ : forall k : I, semiRingOfSetsType (d_ k)) (T : Type )
649
+ (f_ : forall k : I, T -> T_ k) :=
650
+ <<s \bigcup_(k : I) preimage_set_system setT (f_ k) measurable >>.
651
+ Arguments preimage_classes {I0} I d_ T_ {T} f_.
651
652
652
653
Lemma measurable_prod d [T : measurableType d] [R : realType] [D : set T] [I : eqType]
653
654
(s : seq I) [h : I -> T -> R] :
@@ -717,7 +718,7 @@ rewrite /independent_RVs2 /independent_RVs /mutual_independence /= => -[_].
717
718
move/(_ [fset false; true]%fset (@subsetT _ _)
718
719
(fun b => if b then Y @^-1` B2 else X @^-1` B1)).
719
720
rewrite !big_fsetU1 ?inE//= !big_seq_fset1/=.
720
- apply => -[|] /= _; rewrite !inE; rewrite /g_sigma_algebra_mapping .
721
+ apply => -[|] /= _; rewrite !inE; rewrite /g_sigma_algebra_preimage .
721
722
by exists B2 => //; rewrite setTI.
722
723
by exists B1 => //; rewrite setTI.
723
724
Qed .
@@ -958,23 +959,23 @@ pose AY := dyadic_approx setT (EFin \o Y).
958
959
pose BX := integer_approx setT (EFin \o X).
959
960
pose BY := integer_approx setT (EFin \o Y).
960
961
have mA (Z : {RV P >-> R}) m k : (k < m * 2 ^ m)%N ->
961
- g_sigma_algebra_mapping Z (dyadic_approx setT (EFin \o Z) m k).
962
- move=> mk; rewrite /g_sigma_algebra_mapping /dyadic_approx mk setTI.
962
+ g_sigma_algebra_preimage Z (dyadic_approx setT (EFin \o Z) m k).
963
+ move=> mk; rewrite /g_sigma_algebra_preimage /dyadic_approx mk setTI.
963
964
rewrite /preimage_set_system/=; exists [set` dyadic_itv R m k] => //.
964
965
rewrite setTI/=; apply/seteqP; split => z/=.
965
966
by rewrite inE/= => Zz; exists (Z z).
966
967
by rewrite inE/= => -[r rmk] [<-].
967
968
have mB (Z : {RV P >-> R}) k :
968
- g_sigma_algebra_mapping Z (integer_approx setT (EFin \o Z) k).
969
- rewrite /g_sigma_algebra_mapping /integer_approx setTI /preimage_set_system/=.
969
+ g_sigma_algebra_preimage Z (integer_approx setT (EFin \o Z) k).
970
+ rewrite /g_sigma_algebra_preimage /integer_approx setTI /preimage_set_system/=.
970
971
by exists `[k%:R, +oo[%classic => //; rewrite setTI preimage_itvcy.
971
972
have m1A (Z : {RV P >-> R}) : forall k, (k < n * 2 ^ n)%N ->
972
973
measurable_fun setT
973
- (\1_(dyadic_approx setT (EFin \o Z) n k) : g_sigma_algebra_mappingType Z -> R).
974
+ (\1_(dyadic_approx setT (EFin \o Z) n k) : g_sigma_algebra_preimageType Z -> R).
974
975
move=> k kn.
975
- exact/(@measurable_indicP _ (g_sigma_algebra_mappingType Z))/mA.
976
+ exact/(@measurable_indicP _ (g_sigma_algebra_preimageType Z))/mA.
976
977
rewrite !inE => /orP[|]/eqP->{i} //=.
977
- have : @measurable_fun _ _ (g_sigma_algebra_mappingType X) _ setT (X_ n).
978
+ have : @measurable_fun _ _ (g_sigma_algebra_preimageType X) _ setT (X_ n).
978
979
rewrite nnsfun_approxE//.
979
980
apply: measurable_funD => //=.
980
981
apply: measurable_sum => //= k'; apply: measurable_funM => //.
@@ -983,7 +984,7 @@ rewrite !inE => /orP[|]/eqP->{i} //=.
983
984
by apply: measurable_indic; exact: mB.
984
985
rewrite /measurable_fun => /(_ measurableT _ (measurable_set1 x)).
985
986
by rewrite setTI.
986
- have : @measurable_fun _ _ (g_sigma_algebra_mappingType Y) _ setT (Y_ n).
987
+ have : @measurable_fun _ _ (g_sigma_algebra_preimageType Y) _ setT (Y_ n).
987
988
rewrite nnsfun_approxE//.
988
989
apply: measurable_funD => //=.
989
990
apply: measurable_sum => //= k'; apply: measurable_funM => //.
@@ -1036,7 +1037,7 @@ exact/measurable_EFinP/measurable_funM.
1036
1037
Qed .
1037
1038
1038
1039
(* TODO: rename to expectationM when deprecation is removed *)
1039
- Lemma expectation_prod (X Y : {RV P >-> R}) :
1040
+ Lemma expectation_mul (X Y : {RV P >-> R}) :
1040
1041
independent_RVs2 P X Y ->
1041
1042
P.-integrable setT (EFin \o X) -> P.-integrable setT (EFin \o Y) ->
1042
1043
'E_P [X * Y] = 'E_P [X] * 'E_P [Y].
0 commit comments