Basic Definitions: Indexed Collections and Random Functions: 1.1 So, What Is A Stochastic Process?
Basic Definitions: Indexed Collections and Random Functions: 1.1 So, What Is A Stochastic Process?
Basic Definitions: Indexed Collections and Random Functions: 1.1 So, What Is A Stochastic Process?
1.1
Definition 1 (A Stochastic Process Is a Collection of Random Variables) A stochastic process {Xt }tT is a collection of random variables Xt ,
taking values in a common measure space (, X ), indexed by a set T .
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1!
Pn (B) =
1B (Zi )
n i=1
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i.e., the fraction of the samples up to time n which fall into that set. This is
the empirical measure. Pn (B) is a one-sided random sequence of set functions
in fact, of probability measures. We would like to be able to say something
about how it behaves. It would be very reassuring, for instance, to be able to
show that it converges to the common distribution of the Zi (Figure 1.8).
1.2
Random Functions
X(t, ) has two arguments, t and . For each fixed value of t, Xt () is straightforward random variable. For each fixed value of , however, X(t) is a function
from T to a random function. The advantage of the random function
perspective is that it lets us consider the realizations of stochastic processes as
single objects, rather than large collections. This isnt just tidier; we will need
to talk about relations among the variables in the collection or their realizations, rather than just properties of individual variables, and this will help us
do so. In Example 10, its important that weve got random probability measures, rather than just random set functions, so we need to require that, e.g.,
Pn (A B) = Pn (A) + Pn (B) when A and B are disjoint Borel sets, and this is
a relationship among the three random variables Pn (A), Pn (B) and Pn (A B).
Plainly, working out all the dependencies involved here is going to get rather
tedious, so wed like a way to talk about acceptable realizations of the whole
stochastic process. This is what the random functions notion will let us do.
Well make this more precise by defining a random function as a functionvalued random variable. To do this, we need a measure space of functions, and
a measurable mapping from (, F, P ) to that function space. To get a measure
space, we need a carrier set and a -field on it. The natural set to use is T ,
the set of all functions from T to . (Well see how to restrict this to just the
functions we want presently.) Now, how about the -field?
Definition 11 (Cylinder Set) Given an index set T and a collection of fields
Xt on spaces t , t T . Pick any t T and any At Xt . Then At
"
For any finite k, kdimensional cylinder sets are defined similarly, and
clearly are the intersections of k different one-dimensional cylinder sets. To
see why they have this name, notice a cylinder, in Euclidean geometry, consists of all the points where the x and y coordinates fall into a certain set
(the base),
" leaving the z coordinate unconstrained. Similarly, a cylinder set
like At s"=t s consists of all the functions in T where f (t) At , and are
otherwise unconstrained.
Definition 12 (Product -field) The product -field, tT Xt , is the -field
over T generated by all the one-dimensional cylinder sets. If all the Xt are the
same, X , we write the product -field as X T .
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Figure 1.1: Examples of point processes. The top row shows the dates of appearances of 44 genres of English novels (data taken from Moretti (2005)). The
bottom two rows show independent realizations of a Poisson process with the
same mean time between arrivals as the actual history. The number of tickmarks falling within any measurable set on the horizontal axis determines an
integer-valued set function, in fact a measure.
Corollary 18 (Measurability of constrained sample paths) A function
X from to U is F/U X T -measurable iff Xt is F/X -measurable for all t.
Proof: Because X() U , X() is F/U X T iff it is F/X T -measurable.
Then apply Theorem 16. !
Example 19 (Random Measures) Let T = B d , the Borel field on Rd , and let
+
= R , the non-negative extended reals. Then T is the class of set functions
on Rd . Let M be the class of such set functions which are also measures (i.e.,
which are countably additive and give zero on the null set). Then a random set
function X with realizations in M is a random measure.
Example 20 (Point Processes) Let X be a random measure, as in the previous example. If X(B) is a finite integer for every bounded Borel set B, then X
is a point process. If in addition X(r) 1 for every r Rd , then X is simple.
The Poisson process is a simple point process. See Figure 1.1.
CHAPTER 1. BASICS
1.3
Exercises
Exercise
# 1.1 (The product -field answers countable questions) Let
D = S X S , where the union ranges over all countable subsets S of the index
set T . For any event D D, whether or not a sample path x D depends on
the value of xt at only a countable number of indices t.
(a) Show that D is a -field.
(b) Show that if A X T , then A X S for some countable subset S of T .
CHAPTER 1. BASICS
AATGAAATAAAAAAAAACGAAAATAAAAAA
AAGGCCATTAAAGTTAAAATAATGAAAGGA
CAATGATTAGGACAATAACATACAAGTTAT
GGGGTTAATTAATGGTTAGGATGGGTTTTT
CCTTCAAAGTTAATGAAAAGTTAAAATTTA
TAAGTATTTGAAGCACAGCAACAACTAGGT
Figure 1.2: Examples of one-sided random sequences ( = {A, C, G, T}). The
top line shows the first thirty bases of the first chromosome of the cellular
slime mold Dictyostelium discoideum (Eichinger et al., 2005), downloaded from
dictybase.org. The lower lines are independent samples from a simple Markov
model fitted to the full chromosome.
111111111111110110011011000001
011110110111111011110110110110
011110001101101111111111110000
011011011011111101111000111100
011011111101101100001111110111
000111111111111001101100011011
Figure 1.3: Examples of one-sided random sequences. These binary sequences
( = {0, 1}) are the first thirty steps from samples of a sofic process, one with
a finite number of underlying states which is nonetheless not a Markov chain
of any finite order. Can you figure out the rule specifying which sequences are
allowed and which are forbidden? (Hint: these are all samples from the even
process.)
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Figure 1.4: Examples of one-sided random sequences. These are linear Gaussian
random sequences, Xt+1 = 0.8Xt + Zt+1 , where the Zt are all i.i.d. N (0, 1), and
X1 = Z0 . Different shapes of dots represent different independent samples of
this autoregressive process. (The line segements are simply guides to the eye.)
This is a Markov sequence, but one with a continuous state-space.
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Figure 1.5: Nonlinear, non-Gaussian random sequences. Here X1 U (0, 1), i.e.,
uniformly distributed on the unit interval, and Xt+1 = 4Xt (1Xt ). Notice that
while the two samples begin very close together, they rapidly separate; after a
few time-steps their locations are, in fact, effectively independent. We will study
both this approach to independence, known as mixing, and this example, known
as the logistic map, in some detail.
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Figure 1.6: Continuous-time random processes. Shown are three samples from
the standard Wiener process, also known as Brownian motion, a Gaussian process with independent increments and continuous trajectories. This is a central
part of the course, and actually what forced probability to be re-defined in terms
of measure theory.
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Figure 1.7: Continuous-time random processes can have discontinuous trajectories. Here Xt = Wt +Jt , where Wt is a standard Wiener process, and Jt is piecewise constant (shown by the dashed lines), changing at t = 0.1, 0.2, 0.3, . . . 1.0.
The trajectory is discontinuous at t = 0.4, but continuous from the right there,
and there is a limit from the left. In fact, at every point the trajectory is continuous from the right and has a limit from the left. We will see many such
cadlag processeses.
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