1 Sets, Fields, and Events

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1 CHAPTER 1 Sets, Fields, and Events B 1.1 SET DEFINITIONS The concept of sets play an important role in probability. We will define a set in the following paragraph. Definition of Set A set is a collection of objects called elements. The elements of a set can also be sets. Sets are usually represented by uppercase letters A, and elements are usually represented by lowercase letters a. Thus A ¼ {a 1 ;a 2 ;..., a n } (1:1:1) will mean that the set A contains the elements a 1,a 2,..., a n. Conversely, we can write that a k is an element of A as and a k is not an element of A as a k [ A (1:1:2) a k Ó A (1:1:3) A finite set contains a finite number of elements, for example, S ¼ f2,4,6g. Infinite sets will have either countably infinite elements such as A ¼ fx : x is all positive integersg or uncountably infinite elements such as B ¼ fx : x is real number 20g. Example The set A of all positive integers less than 7 is written as A ¼ {x : x is a positive integer,7}: finite set: Example The set N of all positive integers is written as N ¼ {x : x is all positive integers}: countably infinite set: Example The set R of all real numbers is written as R ¼ {x : x is real}: uncountably infinite set: Probability and Random Processes, by Venkatarama Krishnan Copyright # 2006 John Wiley & Sons, Inc. 1

2 2 Sets, Fields, and Events Example Example The set R 2 of real numbers x, y is written as R 2 ¼ {(x,y) : x is real, y is real} The set C of all real numbers x,y such that x þ y 10 is written as C ¼ {(x,y) : x þ y 10}: uncountably infinite set: Venn Diagram Sets can be represented graphically by means of a Venn diagram. In this case we assume tacitly that S is a universal set under consideration. In Example 1.1.5, the universal set S ¼ fx : x is all positive integersg. We shall represent the set A in Example by means of a Venn diagram of Fig Empty Set An empty is a set that contains no element. It plays an important role in set theory and is denoted by 1. The set A ¼ f0g is not an empty set since it contains the element 0. Cardinality The number of elements in the set A is called the cardinality of set A, and is denoted by jaj. If it is an infinite set, then the cardinality is 1. Example The cardinality of the set A ¼ f2,4,6g is 3, or jaj ¼ 3. The cardinality of set R ¼ fx : x is realg is 1. Example The cardinality of the set A ¼ fx : x is positive integer,7g is jaj ¼ 6. Example The cardinality of the set B ¼ fx : x is a real number,10g is infinity since there are infinite real numbers,10. Subset A set B is a subset of A if every element in B is an element of A and is written as B # A. B is a proper subset of A if every element of A is not in B and is written as B, A. FIGURE 1.1.1

1.2 Set Operations 3 FIGURE 1.1.2 Equality of Sets Two sets A and B are equal if B # A and A # B, that is, if every element of A is contained in B and every element of B is contained in A.

3 1.2 Set Operations 3 FIGURE Equality of Sets Two sets A and B are equal if B # A and A # B, that is, if every element of A is contained in B and every element of B is contained in A. In other words, sets A and B contain exactly the same elements. Note that this is different from having the same cardinality, that is, containing the same number of elements. Example The set B ¼ f1,3,5g is a proper subset of A ¼ f1,2,3,4,5,6g, whereas the set C ¼ fx : x is a positive even integer 6g and the set D ¼ f2,4,6g are the same since they contain the same elements. The cardinalities of B, C, and D are 3 and C ¼ D. We shall now represent the sets A and B and the sets C and D in Example by means of the Venn diagram of Fig on a suitably defined universal set S. Power Set The power set of any set A is the set of all possible subsets of A and is denoted by PS(A). Every power set of any set A must contain the set A itself and the empty set 1. If n is the cardinality of the set A, then the cardinality of the power set jps(a)j ¼ 2 n. Example If the set A ¼ f1,2,3g then PS(A) ¼ f1, (1,2,3), (1,2), (2,3), (3,1), (1), (2), (3)g. The cardinality jps(a)j ¼ 8 ¼ 2 3. B 1.2 SET OPERATIONS Union Let A and B be sets belonging to the universal set S. The union of sets A and B is another set C whose elements are those that are in either A or B, and is denoted by A < B. Where there is no confusion, it will also be represented as A þ B: A < B ¼ A þ B ¼ {x : x [ A or x [ B} (1:2:1)

4 4 Sets, Fields, and Events FIGURE Example The union of sets A ¼ f1,2,3g and B ¼ f2,3,4,5g is the set C ¼ A B. Where there is no confusion, it will also be represented by AB. A > B ¼ AB ¼ {x : x [ A and x [ B} (1:2:2) Example The intersection of the sets A and B in Example is the set C ¼ f2,3g Examples and are shown in the Venn diagram of Fig Mutually Exclusive Sets Two sets A and B are called mutually exclusive if their intersection is empty. Mutually exclusive sets are also called disjoint. A > B ¼ 1 (1:2:3) One way to determine whether two sets A and B are mutually exclusive is to check whether set B can occur when set A has already occurred and vice versa. If it cannot, then A and B are mutually exclusive. For example, if a single coin is tossed, the two sets, fheadsg and ftailsg, are mutually exclusive since ftailsg cannot occur when fheadsg has already occurred and vice versa. Independence We will consider two types of independence. The first is known as functional independence [42]. Two sets A and B can be called functionally independent if the occurrence of B does not in any way influence the occurrence of A and vice versa. The second one is statistical independence, which is a different concept that will be defined later. As an example, the tossing of a coin is functionally independent of the tossing of a die because they do not depend on each other. However, the tossing of a coin and a die are not mutually exclusive since any one can be tossed irrespective of the other. By the same token, pressure and temperature are not functionally independent because the physics of the problem, namely, Boyle s law, connects these quantities. They are certainly not mutually exclusive. Numbers in brackets refer to bibliographic entries in the References section at the end of the book.

1.2 Set Operations 5 Cardinality of Unions and Intersections We can now ascertain the cardinality of the union of two sets A and B that are not mutually exclusive.

5 1.2 Set Operations 5 Cardinality of Unions and Intersections We can now ascertain the cardinality of the union of two sets A and B that are not mutually exclusive. The cardinality of the union C ¼ A Bj twice. Hence we have to subtract once the cardinality ja > Bj as shown in Fig Or, in other words ja < Bj ¼jAjþjBj ja > Bj (1.2.4a) In Fig the cardinality jaj ¼ 9 and the cardinality jbj ¼ 11 and the cardinality ja < Bj is 11 þ ¼ 16. As a corollary, if sets A and B are mutually exclusive, then the cardinality of the union is the sum of the cardinalities; or ja < Bj ¼jAjþjBj (1.2.4b) The generalization of this result to an arbitrary union of n sets is called the inclusion exclusion principle, given by [ n A i ¼ Xn ja i j Xn X A i > A j n þ A i > A j > A k i¼1 i¼1 (+1) n i, j¼1 i=j X n i, j, k¼1 i=j=k...=n i, j,k¼1 i=j=k A i > A j > A k > A n (1:2:5a) If the sets fa i g are mutually exclusive, that is, A i > A j ¼ 1 for i = j, then we have [ n A i ¼ Xn ja i j (1:2:5b) i¼1 This equation is illustrated in the Venn diagram for n ¼ 3 in Fig , where if ja Bj, jb > Cj and jc > Aj. However, if we subtract once ja > Bj, jb > Cj, and jc > Aj and write ja Bj jb > Cj jc > Aj then we have subtracted ja > B > Cj thrice instead of twice. Hence, adding ja > B > Cj we get the final result: ja Bj jb > Cj jc > Aj ja > B > Cj (1:2:6) i¼1 FIGURE 1.2.2

6 Sets, Fields, and Events FIGURE 1.2.3 Example 1.2.3 In a junior class, the number of students in electrical engineering (EE) is 100, in math (MA) 50, and in computer science (CS) 150.

6 6 Sets, Fields, and Events FIGURE Example In a junior class, the number of students in electrical engineering (EE) is 100, in math (MA) 50, and in computer science (CS) 150. Among these 20 are taking both EE and MA, 25 are taking EE and CS, and 10 are taking MA and CS. Five of them are taking EE, CS and MA. Find the total number of students in the junior class. From the problem we can identify the sets A ¼ EE students, B ¼ MA students, and C ¼ CS students, and the corresponding intersections are A > B, B > C, C > A, and A > B > C. Here, jaj ¼ 100, jbj ¼ 50, and jcj ¼ 150. We are also given ja > Bj ¼ 20, jb > Cj ¼ 10, and jc > Aj ¼ 25 and finally ja > B > Cj ¼ 5. Using Eq. (1.2.6) the total number of students are 100 þ 50 þ þ 5 ¼ 250. Complement If A is a subset of the universal set S, then the complement of A denoted by A is the elements in S not contained in A; or A ¼ S A ¼ {x : x Ó A, S and x [ S} (1:2:7) Example If the universal set S ¼ f1,2,3,4,5,6g and A ¼ f2,4,5g, then the complement of A is given by A ¼ f1,3,6g. Difference The complement of a subset A, S as given by Eq. (1.2.7) is the difference between the universal set S and the subset A. The difference between any two sets A and B denoted by A 2 B is the set C containing those elements that are in A but not in B and, B 2 A is the set D containing those elements in B but not in A: C ¼ A B ¼ {x : x [ A and x Ó B} D ¼ B A ¼ {x : x [ B and x Ó A} (1:2:8) A 2 B is also called the relative complement of B with respect to A and B 2 A is called the relative complement of A with respect to B. It can be verified that A 2 B = B 2 A. Example If the set A is given as A ¼ f2,4,5,6g and B is given as B ¼ f5,6,7,8g, then the difference A 2 B ¼ f2,4g and the difference B 2 A ¼ f7,8g. Clearly, A 2 B = B 2 A.

1.2 Set Operations 7 FIGURE 1.2.4 Symmetric Difference The symmetric difference between sets A and B is written as ADB and defined by ADB ¼ (A B) < (B A) ¼ {x : x [ A and x Ó B) or{x : x [ B and x Ó A) (1:2:9) Example 1.

The difference and symmetric difference for Examples 1.2.5 and 1.2.6 are shown in Fig. 1.2.4. Cartesian Product This is a useful concept in set theory.

7 1.2 Set Operations 7 FIGURE Symmetric Difference The symmetric difference between sets A and B is written as ADB and defined by ADB ¼ (A B) < (B A) ¼ {x : x [ A and x Ó B) or{x : x [ B and x Ó A) (1:2:9) Example The symmetric difference between the set A given by A ¼ f2,4,5,6g and B given by B ¼ f5,6,7,8g in Example is ADB ¼ f2,4g < f7,8g ¼ f2,4,7,8g. The difference and symmetric difference for Examples and are shown in Fig Cartesian Product This is a useful concept in set theory. If A and B are two sets, the Cartesian product A B is the set of ordered pairs (x,y) such that x [ A and y [ B and is defined by A B ¼ {(x,y) : x [ A, y [ B} (1:2:10) When ordering is considered the cartesian product A B = B A. The cardinality of a Cartesian product is the product of the individual cardinalities, or ja Bj ¼ jaj. jbj. Example If A ¼ f2,3,4g and B ¼ f5,6g, then C ¼ A B ¼ f(2,5), (2,6), (3,5), (3,6), (4,5), (4,6)g with cardinality 3 2 ¼ 6. Similarly, D ¼ B A ¼ f(5,2), (5,3), (5,4), (6,2), (6,3), (6,4)g with the same cardinality of 6. However, C and D do not contain the same ordered pairs. Partition A partition is a collection of disjoint sets fa i, i ¼ 1,..., ng of a set S such that S A i over all i equals S and A i T Aj, with i = j empty. Partitions play a useful role in conditional probability and Bayes theorem. Figure shows the concept of a partition. FIGURE 1.2.5

8 8 Sets, Fields, and Events FIGURE TABLE Table of set properties Property Equation Identity A < 1 ¼ A A > S ¼ A Domination A > 1 ¼ 1 A < S ¼ S Idempotent A > A ¼ A A < A ¼ A Complementation Commutative Associative ¼ A ¼ A A B ¼ B > A A < (B < C) ¼ (A < B) < C A > (B > C) ¼ (A > B) > C Distributive A > (B < C) ¼ (A > B) < (A > C) A < (B > C) ¼ (A < B) > (A < C) Noncommutative A 2 B = B 2 A De Morgan s law A B A > B ¼ A < B Example If set S ¼ f1,2,3,4,5,6,7,8,9,10g, then the collections of sets fa 1, A 2, A 3, A 4 g where A 1 ¼ f1,3,5g, A 2 ¼ f7,9g, A 3 ¼ f2,4,6g, A 4 ¼ f8,10g is a partition of S as shown in Fig A tabulation of set properties is shown on Table Among the identities, De Morgan s laws are quite useful in simplifying set algebra. B 1.3 SET ALGEBRAS, FIELDS, AND EVENTS Boolean Field We shall now consider a universal set S and a collection F of subsets of S consisting of the sets fa i : i ¼ 1,2,..., n,n þ 1,...g. The collection F is called a Boolean field if the

9 following two conditions are satisfied: 1. If A i [ F, then A i [ F. 2. If A 1 [ F and A 2 [ F, then A 1 < A 2 [ F. n 3. If fa i, i ¼ 1,..., ng [ F, then < i¼1 A i [ F. Let us see the consequences of these conditions being satisfied. If A 1 [ F and A 1 F, then A 1 < A 1 ¼ S [ F. IfS [ F, then S ¼ 1 [ F. IfA 1 < A 2 [ F, then by condition 1 A 1 < A 2 [ F, and by De Morgan s law, A 1 < A 2 [ F. Hence A 1 > A 2 [ F. Also A 1 2 A 2 [ F and (A 1 2 A 2 ) < (A 2 2 A 1 ) [ F. Thus the conditions listed above are sufficient for any field F to be closed under all set operations. Sigma Field The preceding definition of a field covers only finite set operations. Condition 3 for finite additivity may not hold for infinite additivity. For example, the sum of 1 þ 2 þ 2 2 þ 2 3 þ 2 4 ¼ ( )/(2 2 1) ¼ 31, but the infinite sum 1 þ 2 þ 2 2 þ 2 3 þ 2 4 þ... diverges. Hence there is a need to extend finite additivity concept to infinite set operations. Thus, we have a s field if the following extra condition is imposed for infinite additivity: 4. If A 1, A 2,...A n,...[ F then < 1 i¼1 A i [ F 1.3 Set Algebras, Fields, and Events 9 Many s fields may contain the subsets fa i g of S, but the smallest s field containing the subsets fa i g is called the Borel s field. The smallest s field for S by itself is F ¼ fs, 1g. Example We shall assume that S ¼ f1,2,3,4,5,6g. Then the collection of the following subsets of S, F ¼ fs, 1, (1,2,3), (4,5,6)g is a field since it satisfies all the set operations such as (1,2,3) < (4,5,6) ¼ S, ð 1,2,3 Þ¼(4,5,6). However, the collection of the following subsets of S, F 1 ¼ {S, 1, (1,2,3), (4,5,6), ð2þ} will not constitute a field because (2) < (4,5,6) ¼ (2,4,5,6) is not in the field. But we can adjoin the missing sets and make F 1 into a field. This is known as completion. In the example above, if we adjoin the collection of sets F 2 ¼ {(2,4,5,6), (1,3)} to F 1, then the resulting collection F ¼ F 1 < F 2 ¼ {S, 1, (1,2,3), (4,5,6), {2}, (2,4,5,6), (1,3)} is a field. Event Given the universal set S and the associated s field F, all subsets of S belonging to the field F are called events. All events are subsets of S and can be assigned a probability, but not all subsets of S are events unless they belong to an associated s field.

2 Review of Set Theory

2 Review of Set Theory Example 2.1. Let Ω = {1, 2, 3, 4, 5, 6} 2.2. Venn diagram is very useful in set theory. It is often used to portray relationships between sets. Many identities can be read out simply