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Concept
Σ-algebra
Summary
In mathematical analysis and in probability theory, a σ-algebra (also σ-field) on a set X is a nonempty collection Σ of subsets of X closed under complement, countable unions, and countable intersections. The ordered pair is called a measurable space.
The σ-algebras are a subset of the set algebras; elements of the latter only need to be closed under the union or intersection of finitely many subsets, which is a weaker condition.
The main use of σ-algebras is in the definition of measures; specifically, the collection of those subsets for which a given measure is defined is necessarily a σ-algebra. This concept is important in mathematical analysis as the foundation for Lebesgue integration, and in probability theory, where it is interpreted as the collection of events which can be assigned probabilities. Also, in probability, σ-algebras are pivotal in the definition of conditional expectation.
In statistics, (sub) σ-algebras are needed for the formal mathematical definition of a sufficient statistic, particularly when the statistic is a function or a random process and the notion of conditional density is not applicable.
If one possible σ-algebra on is where is the empty set. In general, a finite algebra is always a σ-algebra.
If is a countable partition of then the collection of all unions of sets in the partition (including the empty set) is a σ-algebra.
A more useful example is the set of subsets of the real line formed by starting with all open intervals and adding in all countable unions, countable intersections, and relative complements and continuing this process (by transfinite iteration through all countable ordinals) until the relevant closure properties are achieved (a construction known as the Borel hierarchy).
There are at least three key motivators for σ-algebras: defining measures, manipulating limits of sets, and managing partial information characterized by sets.
A measure on is a function that assigns a non-negative real number to subsets of this can be thought of as making precise a notion of "size" or "volume" for sets.
Official source
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