author | hoelzl |
Thu, 26 May 2011 14:12:02 +0200 | |
changeset 42985 | 1fb670792708 |
parent 42983 | 685df9c0626d |
child 42987 | 73e2d802ea41 |
permissions | -rw-r--r-- |
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(* Title: HOL/Probability/Independent_Family.thy |
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Author: Johannes Hölzl, TU München |
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*) |
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header {* Independent families of events, event sets, and random variables *} |
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theory Independent_Family |
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imports Probability_Measure |
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begin |
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|
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lemma INT_decseq_offset: |
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assumes "decseq F" |
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shows "(\<Inter>i. F i) = (\<Inter>i\<in>{n..}. F i)" |
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proof safe |
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fix x i assume x: "x \<in> (\<Inter>i\<in>{n..}. F i)" |
|
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show "x \<in> F i" |
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proof cases |
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from x have "x \<in> F n" by auto |
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also assume "i \<le> n" with `decseq F` have "F n \<subseteq> F i" |
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unfolding decseq_def by simp |
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finally show ?thesis . |
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qed (insert x, simp) |
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qed auto |
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||
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definition (in prob_space) |
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"indep_events A I \<longleftrightarrow> (A`I \<subseteq> events) \<and> |
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(\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j)))" |
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|
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definition (in prob_space) |
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"indep_event A B \<longleftrightarrow> indep_events (bool_case A B) UNIV" |
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|
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definition (in prob_space) |
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"indep_sets F I \<longleftrightarrow> (\<forall>i\<in>I. F i \<subseteq> events) \<and> |
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(\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> (\<forall>A\<in>Pi J F. prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))))" |
35 |
||
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definition (in prob_space) |
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"indep_set A B \<longleftrightarrow> indep_sets (bool_case A B) UNIV" |
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definition (in prob_space) |
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"indep_rv M' X I \<longleftrightarrow> |
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(\<forall>i\<in>I. random_variable (M' i) (X i)) \<and> |
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indep_sets (\<lambda>i. sigma_sets (space M) { X i -` A \<inter> space M | A. A \<in> sets (M' i)}) I" |
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|
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lemma (in prob_space) indep_sets_cong: |
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"I = J \<Longrightarrow> (\<And>i. i \<in> I \<Longrightarrow> F i = G i) \<Longrightarrow> indep_sets F I \<longleftrightarrow> indep_sets G J" |
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by (simp add: indep_sets_def, intro conj_cong all_cong imp_cong ball_cong) blast+ |
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||
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lemma (in prob_space) indep_sets_singleton_iff_indep_events: |
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"indep_sets (\<lambda>i. {F i}) I \<longleftrightarrow> indep_events F I" |
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unfolding indep_sets_def indep_events_def |
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by (simp, intro conj_cong ball_cong all_cong imp_cong) (auto simp: Pi_iff) |
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||
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lemma (in prob_space) indep_events_finite_index_events: |
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"indep_events F I \<longleftrightarrow> (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_events F J)" |
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by (auto simp: indep_events_def) |
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lemma (in prob_space) indep_sets_finite_index_sets: |
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"indep_sets F I \<longleftrightarrow> (\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_sets F J)" |
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proof (intro iffI allI impI) |
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assume *: "\<forall>J\<subseteq>I. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> indep_sets F J" |
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show "indep_sets F I" unfolding indep_sets_def |
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proof (intro conjI ballI allI impI) |
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fix i assume "i \<in> I" |
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with *[THEN spec, of "{i}"] show "F i \<subseteq> events" |
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by (auto simp: indep_sets_def) |
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qed (insert *, auto simp: indep_sets_def) |
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qed (auto simp: indep_sets_def) |
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68 |
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lemma (in prob_space) indep_sets_mono_index: |
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"J \<subseteq> I \<Longrightarrow> indep_sets F I \<Longrightarrow> indep_sets F J" |
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unfolding indep_sets_def by auto |
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lemma (in prob_space) indep_sets_mono_sets: |
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assumes indep: "indep_sets F I" |
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assumes mono: "\<And>i. i\<in>I \<Longrightarrow> G i \<subseteq> F i" |
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shows "indep_sets G I" |
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proof - |
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have "(\<forall>i\<in>I. F i \<subseteq> events) \<Longrightarrow> (\<forall>i\<in>I. G i \<subseteq> events)" |
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using mono by auto |
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moreover have "\<And>A J. J \<subseteq> I \<Longrightarrow> A \<in> (\<Pi> j\<in>J. G j) \<Longrightarrow> A \<in> (\<Pi> j\<in>J. F j)" |
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using mono by (auto simp: Pi_iff) |
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ultimately show ?thesis |
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using indep by (auto simp: indep_sets_def) |
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qed |
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lemma (in prob_space) indep_setsI: |
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assumes "\<And>i. i \<in> I \<Longrightarrow> F i \<subseteq> events" |
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and "\<And>A J. J \<noteq> {} \<Longrightarrow> J \<subseteq> I \<Longrightarrow> finite J \<Longrightarrow> (\<forall>j\<in>J. A j \<in> F j) \<Longrightarrow> prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))" |
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shows "indep_sets F I" |
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using assms unfolding indep_sets_def by (auto simp: Pi_iff) |
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91 |
|
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lemma (in prob_space) indep_setsD: |
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assumes "indep_sets F I" and "J \<subseteq> I" "J \<noteq> {}" "finite J" "\<forall>j\<in>J. A j \<in> F j" |
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shows "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))" |
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using assms unfolding indep_sets_def by auto |
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96 |
|
42982 | 97 |
lemma (in prob_space) indep_setI: |
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assumes ev: "A \<subseteq> events" "B \<subseteq> events" |
|
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and indep: "\<And>a b. a \<in> A \<Longrightarrow> b \<in> B \<Longrightarrow> prob (a \<inter> b) = prob a * prob b" |
|
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shows "indep_set A B" |
|
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unfolding indep_set_def |
|
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proof (rule indep_setsI) |
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fix F J assume "J \<noteq> {}" "J \<subseteq> UNIV" |
|
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and F: "\<forall>j\<in>J. F j \<in> (case j of True \<Rightarrow> A | False \<Rightarrow> B)" |
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have "J \<in> Pow UNIV" by auto |
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with F `J \<noteq> {}` indep[of "F True" "F False"] |
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show "prob (\<Inter>j\<in>J. F j) = (\<Prod>j\<in>J. prob (F j))" |
|
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unfolding UNIV_bool Pow_insert by (auto simp: ac_simps) |
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qed (auto split: bool.split simp: ev) |
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110 |
||
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lemma (in prob_space) indep_setD: |
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assumes indep: "indep_set A B" and ev: "a \<in> A" "b \<in> B" |
|
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shows "prob (a \<inter> b) = prob a * prob b" |
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using indep[unfolded indep_set_def, THEN indep_setsD, of UNIV "bool_case a b"] ev |
|
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by (simp add: ac_simps UNIV_bool) |
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116 |
||
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lemma (in prob_space) |
|
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assumes indep: "indep_set A B" |
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42983 | 119 |
shows indep_setD_ev1: "A \<subseteq> events" |
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and indep_setD_ev2: "B \<subseteq> events" |
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42982 | 121 |
using indep unfolding indep_set_def indep_sets_def UNIV_bool by auto |
122 |
||
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lemma dynkin_systemI': |
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assumes 1: "\<And> A. A \<in> sets M \<Longrightarrow> A \<subseteq> space M" |
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assumes empty: "{} \<in> sets M" |
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126 |
assumes Diff: "\<And> A. A \<in> sets M \<Longrightarrow> space M - A \<in> sets M" |
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assumes 2: "\<And> A. disjoint_family A \<Longrightarrow> range A \<subseteq> sets M |
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128 |
\<Longrightarrow> (\<Union>i::nat. A i) \<in> sets M" |
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129 |
shows "dynkin_system M" |
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proof - |
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131 |
from Diff[OF empty] have "space M \<in> sets M" by auto |
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132 |
from 1 this Diff 2 show ?thesis |
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133 |
by (intro dynkin_systemI) auto |
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134 |
qed |
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135 |
|
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136 |
lemma (in prob_space) indep_sets_dynkin: |
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137 |
assumes indep: "indep_sets F I" |
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138 |
shows "indep_sets (\<lambda>i. sets (dynkin \<lparr> space = space M, sets = F i \<rparr>)) I" |
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139 |
(is "indep_sets ?F I") |
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140 |
proof (subst indep_sets_finite_index_sets, intro allI impI ballI) |
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141 |
fix J assume "finite J" "J \<subseteq> I" "J \<noteq> {}" |
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142 |
with indep have "indep_sets F J" |
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143 |
by (subst (asm) indep_sets_finite_index_sets) auto |
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144 |
{ fix J K assume "indep_sets F K" |
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145 |
let "?G S i" = "if i \<in> S then ?F i else F i" |
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146 |
assume "finite J" "J \<subseteq> K" |
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147 |
then have "indep_sets (?G J) K" |
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148 |
proof induct |
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149 |
case (insert j J) |
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150 |
moreover def G \<equiv> "?G J" |
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151 |
ultimately have G: "indep_sets G K" "\<And>i. i \<in> K \<Longrightarrow> G i \<subseteq> events" and "j \<in> K" |
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152 |
by (auto simp: indep_sets_def) |
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153 |
let ?D = "{E\<in>events. indep_sets (G(j := {E})) K }" |
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154 |
{ fix X assume X: "X \<in> events" |
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155 |
assume indep: "\<And>J A. J \<noteq> {} \<Longrightarrow> J \<subseteq> K \<Longrightarrow> finite J \<Longrightarrow> j \<notin> J \<Longrightarrow> (\<forall>i\<in>J. A i \<in> G i) |
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156 |
\<Longrightarrow> prob ((\<Inter>i\<in>J. A i) \<inter> X) = prob X * (\<Prod>i\<in>J. prob (A i))" |
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157 |
have "indep_sets (G(j := {X})) K" |
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158 |
proof (rule indep_setsI) |
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159 |
fix i assume "i \<in> K" then show "(G(j:={X})) i \<subseteq> events" |
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160 |
using G X by auto |
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161 |
next |
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162 |
fix A J assume J: "J \<noteq> {}" "J \<subseteq> K" "finite J" "\<forall>i\<in>J. A i \<in> (G(j := {X})) i" |
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|
163 |
show "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
164 |
proof cases |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
165 |
assume "j \<in> J" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
166 |
with J have "A j = X" by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
167 |
show ?thesis |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
168 |
proof cases |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
169 |
assume "J = {j}" then show ?thesis by simp |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
170 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
171 |
assume "J \<noteq> {j}" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
172 |
have "prob (\<Inter>i\<in>J. A i) = prob ((\<Inter>i\<in>J-{j}. A i) \<inter> X)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
173 |
using `j \<in> J` `A j = X` by (auto intro!: arg_cong[where f=prob] split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
174 |
also have "\<dots> = prob X * (\<Prod>i\<in>J-{j}. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
175 |
proof (rule indep) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
176 |
show "J - {j} \<noteq> {}" "J - {j} \<subseteq> K" "finite (J - {j})" "j \<notin> J - {j}" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
177 |
using J `J \<noteq> {j}` `j \<in> J` by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
178 |
show "\<forall>i\<in>J - {j}. A i \<in> G i" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
179 |
using J by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
180 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
181 |
also have "\<dots> = prob (A j) * (\<Prod>i\<in>J-{j}. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
182 |
using `A j = X` by simp |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
183 |
also have "\<dots> = (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
184 |
unfolding setprod.insert_remove[OF `finite J`, symmetric, of "\<lambda>i. prob (A i)"] |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
185 |
using `j \<in> J` by (simp add: insert_absorb) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
186 |
finally show ?thesis . |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
187 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
188 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
189 |
assume "j \<notin> J" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
190 |
with J have "\<forall>i\<in>J. A i \<in> G i" by (auto split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
191 |
with J show ?thesis |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
192 |
by (intro indep_setsD[OF G(1)]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
193 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
194 |
qed } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
195 |
note indep_sets_insert = this |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
196 |
have "dynkin_system \<lparr> space = space M, sets = ?D \<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
197 |
proof (rule dynkin_systemI', simp_all, safe) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
198 |
show "indep_sets (G(j := {{}})) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
199 |
by (rule indep_sets_insert) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
200 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
201 |
fix X assume X: "X \<in> events" and G': "indep_sets (G(j := {X})) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
202 |
show "indep_sets (G(j := {space M - X})) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
203 |
proof (rule indep_sets_insert) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
204 |
fix J A assume J: "J \<noteq> {}" "J \<subseteq> K" "finite J" "j \<notin> J" and A: "\<forall>i\<in>J. A i \<in> G i" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
205 |
then have A_sets: "\<And>i. i\<in>J \<Longrightarrow> A i \<in> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
206 |
using G by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
207 |
have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
208 |
prob ((\<Inter>j\<in>J. A j) - (\<Inter>i\<in>insert j J. (A(j := X)) i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
209 |
using A_sets sets_into_space X `J \<noteq> {}` |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
210 |
by (auto intro!: arg_cong[where f=prob] split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
211 |
also have "\<dots> = prob (\<Inter>j\<in>J. A j) - prob (\<Inter>i\<in>insert j J. (A(j := X)) i)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
212 |
using J `J \<noteq> {}` `j \<notin> J` A_sets X sets_into_space |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
213 |
by (auto intro!: finite_measure_Diff finite_INT split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
214 |
finally have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
215 |
prob (\<Inter>j\<in>J. A j) - prob (\<Inter>i\<in>insert j J. (A(j := X)) i)" . |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
216 |
moreover { |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
217 |
have "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
218 |
using J A `finite J` by (intro indep_setsD[OF G(1)]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
219 |
then have "prob (\<Inter>j\<in>J. A j) = prob (space M) * (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
220 |
using prob_space by simp } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
221 |
moreover { |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
222 |
have "prob (\<Inter>i\<in>insert j J. (A(j := X)) i) = (\<Prod>i\<in>insert j J. prob ((A(j := X)) i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
223 |
using J A `j \<in> K` by (intro indep_setsD[OF G']) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
224 |
then have "prob (\<Inter>i\<in>insert j J. (A(j := X)) i) = prob X * (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
225 |
using `finite J` `j \<notin> J` by (auto intro!: setprod_cong) } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
226 |
ultimately have "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = (prob (space M) - prob X) * (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
227 |
by (simp add: field_simps) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
228 |
also have "\<dots> = prob (space M - X) * (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
229 |
using X A by (simp add: finite_measure_compl) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
230 |
finally show "prob ((\<Inter>j\<in>J. A j) \<inter> (space M - X)) = prob (space M - X) * (\<Prod>i\<in>J. prob (A i))" . |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
231 |
qed (insert X, auto) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
232 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
233 |
fix F :: "nat \<Rightarrow> 'a set" assume disj: "disjoint_family F" and "range F \<subseteq> ?D" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
234 |
then have F: "\<And>i. F i \<in> events" "\<And>i. indep_sets (G(j:={F i})) K" by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
235 |
show "indep_sets (G(j := {\<Union>k. F k})) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
236 |
proof (rule indep_sets_insert) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
237 |
fix J A assume J: "j \<notin> J" "J \<noteq> {}" "J \<subseteq> K" "finite J" and A: "\<forall>i\<in>J. A i \<in> G i" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
238 |
then have A_sets: "\<And>i. i\<in>J \<Longrightarrow> A i \<in> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
239 |
using G by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
240 |
have "prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)) = prob (\<Union>k. (\<Inter>i\<in>insert j J. (A(j := F k)) i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
241 |
using `J \<noteq> {}` `j \<notin> J` `j \<in> K` by (auto intro!: arg_cong[where f=prob] split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
242 |
moreover have "(\<lambda>k. prob (\<Inter>i\<in>insert j J. (A(j := F k)) i)) sums prob (\<Union>k. (\<Inter>i\<in>insert j J. (A(j := F k)) i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
243 |
proof (rule finite_measure_UNION) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
244 |
show "disjoint_family (\<lambda>k. \<Inter>i\<in>insert j J. (A(j := F k)) i)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
245 |
using disj by (rule disjoint_family_on_bisimulation) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
246 |
show "range (\<lambda>k. \<Inter>i\<in>insert j J. (A(j := F k)) i) \<subseteq> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
247 |
using A_sets F `finite J` `J \<noteq> {}` `j \<notin> J` by (auto intro!: Int) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
248 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
249 |
moreover { fix k |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
250 |
from J A `j \<in> K` have "prob (\<Inter>i\<in>insert j J. (A(j := F k)) i) = prob (F k) * (\<Prod>i\<in>J. prob (A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
251 |
by (subst indep_setsD[OF F(2)]) (auto intro!: setprod_cong split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
252 |
also have "\<dots> = prob (F k) * prob (\<Inter>i\<in>J. A i)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
253 |
using J A `j \<in> K` by (subst indep_setsD[OF G(1)]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
254 |
finally have "prob (\<Inter>i\<in>insert j J. (A(j := F k)) i) = prob (F k) * prob (\<Inter>i\<in>J. A i)" . } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
255 |
ultimately have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
256 |
by simp |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
257 |
moreover |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
258 |
have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob (\<Union>k. F k) * prob (\<Inter>i\<in>J. A i))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
259 |
using disj F(1) by (intro finite_measure_UNION sums_mult2) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
260 |
then have "(\<lambda>k. prob (F k) * prob (\<Inter>i\<in>J. A i)) sums (prob (\<Union>k. F k) * (\<Prod>i\<in>J. prob (A i)))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
261 |
using J A `j \<in> K` by (subst indep_setsD[OF G(1), symmetric]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
262 |
ultimately |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
263 |
show "prob ((\<Inter>j\<in>J. A j) \<inter> (\<Union>k. F k)) = prob (\<Union>k. F k) * (\<Prod>j\<in>J. prob (A j))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
264 |
by (auto dest!: sums_unique) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
265 |
qed (insert F, auto) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
266 |
qed (insert sets_into_space, auto) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
267 |
then have mono: "sets (dynkin \<lparr>space = space M, sets = G j\<rparr>) \<subseteq> |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
268 |
sets \<lparr>space = space M, sets = {E \<in> events. indep_sets (G(j := {E})) K}\<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
269 |
proof (rule dynkin_system.dynkin_subset, simp_all, safe) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
270 |
fix X assume "X \<in> G j" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
271 |
then show "X \<in> events" using G `j \<in> K` by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
272 |
from `indep_sets G K` |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
273 |
show "indep_sets (G(j := {X})) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
274 |
by (rule indep_sets_mono_sets) (insert `X \<in> G j`, auto) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
275 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
276 |
have "indep_sets (G(j:=?D)) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
277 |
proof (rule indep_setsI) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
278 |
fix i assume "i \<in> K" then show "(G(j := ?D)) i \<subseteq> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
279 |
using G(2) by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
280 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
281 |
fix A J assume J: "J\<noteq>{}" "J \<subseteq> K" "finite J" and A: "\<forall>i\<in>J. A i \<in> (G(j := ?D)) i" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
282 |
show "prob (\<Inter>j\<in>J. A j) = (\<Prod>j\<in>J. prob (A j))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
283 |
proof cases |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
284 |
assume "j \<in> J" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
285 |
with A have indep: "indep_sets (G(j := {A j})) K" by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
286 |
from J A show ?thesis |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
287 |
by (intro indep_setsD[OF indep]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
288 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
289 |
assume "j \<notin> J" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
290 |
with J A have "\<forall>i\<in>J. A i \<in> G i" by (auto split: split_if_asm) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
291 |
with J show ?thesis |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
292 |
by (intro indep_setsD[OF G(1)]) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
293 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
294 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
295 |
then have "indep_sets (G(j:=sets (dynkin \<lparr>space = space M, sets = G j\<rparr>))) K" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
296 |
by (rule indep_sets_mono_sets) (insert mono, auto) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
297 |
then show ?case |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
298 |
by (rule indep_sets_mono_sets) (insert `j \<in> K` `j \<notin> J`, auto simp: G_def) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
299 |
qed (insert `indep_sets F K`, simp) } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
300 |
from this[OF `indep_sets F J` `finite J` subset_refl] |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
301 |
show "indep_sets (\<lambda>i. sets (dynkin \<lparr> space = space M, sets = F i \<rparr>)) J" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
302 |
by (rule indep_sets_mono_sets) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
303 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
304 |
|
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
305 |
lemma (in prob_space) indep_sets_sigma: |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
306 |
assumes indep: "indep_sets F I" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
307 |
assumes stable: "\<And>i. i \<in> I \<Longrightarrow> Int_stable \<lparr> space = space M, sets = F i \<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
308 |
shows "indep_sets (\<lambda>i. sets (sigma \<lparr> space = space M, sets = F i \<rparr>)) I" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
309 |
proof - |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
310 |
from indep_sets_dynkin[OF indep] |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
311 |
show ?thesis |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
312 |
proof (rule indep_sets_mono_sets, subst sigma_eq_dynkin, simp_all add: stable) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
313 |
fix i assume "i \<in> I" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
314 |
with indep have "F i \<subseteq> events" by (auto simp: indep_sets_def) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
315 |
with sets_into_space show "F i \<subseteq> Pow (space M)" by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
316 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
317 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
318 |
|
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
319 |
lemma (in prob_space) indep_sets_sigma_sets: |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
320 |
assumes "indep_sets F I" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
321 |
assumes "\<And>i. i \<in> I \<Longrightarrow> Int_stable \<lparr> space = space M, sets = F i \<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
322 |
shows "indep_sets (\<lambda>i. sigma_sets (space M) (F i)) I" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
323 |
using indep_sets_sigma[OF assms] by (simp add: sets_sigma) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
324 |
|
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
325 |
lemma (in prob_space) indep_sets2_eq: |
42981 | 326 |
"indep_set A B \<longleftrightarrow> A \<subseteq> events \<and> B \<subseteq> events \<and> (\<forall>a\<in>A. \<forall>b\<in>B. prob (a \<inter> b) = prob a * prob b)" |
327 |
unfolding indep_set_def |
|
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
328 |
proof (intro iffI ballI conjI) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
329 |
assume indep: "indep_sets (bool_case A B) UNIV" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
330 |
{ fix a b assume "a \<in> A" "b \<in> B" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
331 |
with indep_setsD[OF indep, of UNIV "bool_case a b"] |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
332 |
show "prob (a \<inter> b) = prob a * prob b" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
333 |
unfolding UNIV_bool by (simp add: ac_simps) } |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
334 |
from indep show "A \<subseteq> events" "B \<subseteq> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
335 |
unfolding indep_sets_def UNIV_bool by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
336 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
337 |
assume *: "A \<subseteq> events \<and> B \<subseteq> events \<and> (\<forall>a\<in>A. \<forall>b\<in>B. prob (a \<inter> b) = prob a * prob b)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
338 |
show "indep_sets (bool_case A B) UNIV" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
339 |
proof (rule indep_setsI) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
340 |
fix i show "(case i of True \<Rightarrow> A | False \<Rightarrow> B) \<subseteq> events" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
341 |
using * by (auto split: bool.split) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
342 |
next |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
343 |
fix J X assume "J \<noteq> {}" "J \<subseteq> UNIV" and X: "\<forall>j\<in>J. X j \<in> (case j of True \<Rightarrow> A | False \<Rightarrow> B)" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
344 |
then have "J = {True} \<or> J = {False} \<or> J = {True,False}" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
345 |
by (auto simp: UNIV_bool) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
346 |
then show "prob (\<Inter>j\<in>J. X j) = (\<Prod>j\<in>J. prob (X j))" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
347 |
using X * by auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
348 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
349 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
350 |
|
42981 | 351 |
lemma (in prob_space) indep_set_sigma_sets: |
352 |
assumes "indep_set A B" |
|
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
353 |
assumes A: "Int_stable \<lparr> space = space M, sets = A \<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
354 |
assumes B: "Int_stable \<lparr> space = space M, sets = B \<rparr>" |
42981 | 355 |
shows "indep_set (sigma_sets (space M) A) (sigma_sets (space M) B)" |
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
356 |
proof - |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
357 |
have "indep_sets (\<lambda>i. sigma_sets (space M) (case i of True \<Rightarrow> A | False \<Rightarrow> B)) UNIV" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
358 |
proof (rule indep_sets_sigma_sets) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
359 |
show "indep_sets (bool_case A B) UNIV" |
42981 | 360 |
by (rule `indep_set A B`[unfolded indep_set_def]) |
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
361 |
fix i show "Int_stable \<lparr>space = space M, sets = case i of True \<Rightarrow> A | False \<Rightarrow> B\<rparr>" |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
362 |
using A B by (cases i) auto |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
363 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
364 |
then show ?thesis |
42981 | 365 |
unfolding indep_set_def |
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
366 |
by (rule indep_sets_mono_sets) (auto split: bool.split) |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
367 |
qed |
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
368 |
|
42981 | 369 |
lemma (in prob_space) indep_sets_collect_sigma: |
370 |
fixes I :: "'j \<Rightarrow> 'i set" and J :: "'j set" and E :: "'i \<Rightarrow> 'a set set" |
|
371 |
assumes indep: "indep_sets E (\<Union>j\<in>J. I j)" |
|
372 |
assumes Int_stable: "\<And>i j. j \<in> J \<Longrightarrow> i \<in> I j \<Longrightarrow> Int_stable \<lparr>space = space M, sets = E i\<rparr>" |
|
373 |
assumes disjoint: "disjoint_family_on I J" |
|
374 |
shows "indep_sets (\<lambda>j. sigma_sets (space M) (\<Union>i\<in>I j. E i)) J" |
|
375 |
proof - |
|
376 |
let "?E j" = "{\<Inter>k\<in>K. E' k| E' K. finite K \<and> K \<noteq> {} \<and> K \<subseteq> I j \<and> (\<forall>k\<in>K. E' k \<in> E k) }" |
|
377 |
||
42983 | 378 |
from indep have E: "\<And>j i. j \<in> J \<Longrightarrow> i \<in> I j \<Longrightarrow> E i \<subseteq> events" |
42981 | 379 |
unfolding indep_sets_def by auto |
380 |
{ fix j |
|
381 |
let ?S = "sigma \<lparr> space = space M, sets = (\<Union>i\<in>I j. E i) \<rparr>" |
|
382 |
assume "j \<in> J" |
|
383 |
from E[OF this] interpret S: sigma_algebra ?S |
|
384 |
using sets_into_space by (intro sigma_algebra_sigma) auto |
|
385 |
||
386 |
have "sigma_sets (space M) (\<Union>i\<in>I j. E i) = sigma_sets (space M) (?E j)" |
|
387 |
proof (rule sigma_sets_eqI) |
|
388 |
fix A assume "A \<in> (\<Union>i\<in>I j. E i)" |
|
389 |
then guess i .. |
|
390 |
then show "A \<in> sigma_sets (space M) (?E j)" |
|
391 |
by (auto intro!: sigma_sets.intros exI[of _ "{i}"] exI[of _ "\<lambda>i. A"]) |
|
392 |
next |
|
393 |
fix A assume "A \<in> ?E j" |
|
394 |
then obtain E' K where "finite K" "K \<noteq> {}" "K \<subseteq> I j" "\<And>k. k \<in> K \<Longrightarrow> E' k \<in> E k" |
|
395 |
and A: "A = (\<Inter>k\<in>K. E' k)" |
|
396 |
by auto |
|
397 |
then have "A \<in> sets ?S" unfolding A |
|
398 |
by (safe intro!: S.finite_INT) |
|
399 |
(auto simp: sets_sigma intro!: sigma_sets.Basic) |
|
400 |
then show "A \<in> sigma_sets (space M) (\<Union>i\<in>I j. E i)" |
|
401 |
by (simp add: sets_sigma) |
|
402 |
qed } |
|
403 |
moreover have "indep_sets (\<lambda>j. sigma_sets (space M) (?E j)) J" |
|
404 |
proof (rule indep_sets_sigma_sets) |
|
405 |
show "indep_sets ?E J" |
|
406 |
proof (intro indep_setsI) |
|
407 |
fix j assume "j \<in> J" with E show "?E j \<subseteq> events" by (force intro!: finite_INT) |
|
408 |
next |
|
409 |
fix K A assume K: "K \<noteq> {}" "K \<subseteq> J" "finite K" |
|
410 |
and "\<forall>j\<in>K. A j \<in> ?E j" |
|
411 |
then have "\<forall>j\<in>K. \<exists>E' L. A j = (\<Inter>l\<in>L. E' l) \<and> finite L \<and> L \<noteq> {} \<and> L \<subseteq> I j \<and> (\<forall>l\<in>L. E' l \<in> E l)" |
|
412 |
by simp |
|
413 |
from bchoice[OF this] guess E' .. |
|
414 |
from bchoice[OF this] obtain L |
|
415 |
where A: "\<And>j. j\<in>K \<Longrightarrow> A j = (\<Inter>l\<in>L j. E' j l)" |
|
416 |
and L: "\<And>j. j\<in>K \<Longrightarrow> finite (L j)" "\<And>j. j\<in>K \<Longrightarrow> L j \<noteq> {}" "\<And>j. j\<in>K \<Longrightarrow> L j \<subseteq> I j" |
|
417 |
and E': "\<And>j l. j\<in>K \<Longrightarrow> l \<in> L j \<Longrightarrow> E' j l \<in> E l" |
|
418 |
by auto |
|
419 |
||
420 |
{ fix k l j assume "k \<in> K" "j \<in> K" "l \<in> L j" "l \<in> L k" |
|
421 |
have "k = j" |
|
422 |
proof (rule ccontr) |
|
423 |
assume "k \<noteq> j" |
|
424 |
with disjoint `K \<subseteq> J` `k \<in> K` `j \<in> K` have "I k \<inter> I j = {}" |
|
425 |
unfolding disjoint_family_on_def by auto |
|
426 |
with L(2,3)[OF `j \<in> K`] L(2,3)[OF `k \<in> K`] |
|
427 |
show False using `l \<in> L k` `l \<in> L j` by auto |
|
428 |
qed } |
|
429 |
note L_inj = this |
|
430 |
||
431 |
def k \<equiv> "\<lambda>l. (SOME k. k \<in> K \<and> l \<in> L k)" |
|
432 |
{ fix x j l assume *: "j \<in> K" "l \<in> L j" |
|
433 |
have "k l = j" unfolding k_def |
|
434 |
proof (rule some_equality) |
|
435 |
fix k assume "k \<in> K \<and> l \<in> L k" |
|
436 |
with * L_inj show "k = j" by auto |
|
437 |
qed (insert *, simp) } |
|
438 |
note k_simp[simp] = this |
|
439 |
let "?E' l" = "E' (k l) l" |
|
440 |
have "prob (\<Inter>j\<in>K. A j) = prob (\<Inter>l\<in>(\<Union>k\<in>K. L k). ?E' l)" |
|
441 |
by (auto simp: A intro!: arg_cong[where f=prob]) |
|
442 |
also have "\<dots> = (\<Prod>l\<in>(\<Union>k\<in>K. L k). prob (?E' l))" |
|
443 |
using L K E' by (intro indep_setsD[OF indep]) (simp_all add: UN_mono) |
|
444 |
also have "\<dots> = (\<Prod>j\<in>K. \<Prod>l\<in>L j. prob (E' j l))" |
|
445 |
using K L L_inj by (subst setprod_UN_disjoint) auto |
|
446 |
also have "\<dots> = (\<Prod>j\<in>K. prob (A j))" |
|
447 |
using K L E' by (auto simp add: A intro!: setprod_cong indep_setsD[OF indep, symmetric]) blast |
|
448 |
finally show "prob (\<Inter>j\<in>K. A j) = (\<Prod>j\<in>K. prob (A j))" . |
|
449 |
qed |
|
450 |
next |
|
451 |
fix j assume "j \<in> J" |
|
452 |
show "Int_stable \<lparr> space = space M, sets = ?E j \<rparr>" |
|
453 |
proof (rule Int_stableI) |
|
454 |
fix a assume "a \<in> ?E j" then obtain Ka Ea |
|
455 |
where a: "a = (\<Inter>k\<in>Ka. Ea k)" "finite Ka" "Ka \<noteq> {}" "Ka \<subseteq> I j" "\<And>k. k\<in>Ka \<Longrightarrow> Ea k \<in> E k" by auto |
|
456 |
fix b assume "b \<in> ?E j" then obtain Kb Eb |
|
457 |
where b: "b = (\<Inter>k\<in>Kb. Eb k)" "finite Kb" "Kb \<noteq> {}" "Kb \<subseteq> I j" "\<And>k. k\<in>Kb \<Longrightarrow> Eb k \<in> E k" by auto |
|
458 |
let ?A = "\<lambda>k. (if k \<in> Ka \<inter> Kb then Ea k \<inter> Eb k else if k \<in> Kb then Eb k else if k \<in> Ka then Ea k else {})" |
|
459 |
have "a \<inter> b = INTER (Ka \<union> Kb) ?A" |
|
460 |
by (simp add: a b set_eq_iff) auto |
|
461 |
with a b `j \<in> J` Int_stableD[OF Int_stable] show "a \<inter> b \<in> ?E j" |
|
462 |
by (intro CollectI exI[of _ "Ka \<union> Kb"] exI[of _ ?A]) auto |
|
463 |
qed |
|
464 |
qed |
|
465 |
ultimately show ?thesis |
|
466 |
by (simp cong: indep_sets_cong) |
|
467 |
qed |
|
468 |
||
42982 | 469 |
definition (in prob_space) terminal_events where |
470 |
"terminal_events A = (\<Inter>n. sigma_sets (space M) (UNION {n..} A))" |
|
471 |
||
472 |
lemma (in prob_space) terminal_events_sets: |
|
42983 | 473 |
assumes A: "\<And>i. A i \<subseteq> events" |
42982 | 474 |
assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>" |
475 |
assumes X: "X \<in> terminal_events A" |
|
42983 | 476 |
shows "X \<in> events" |
42982 | 477 |
proof - |
478 |
let ?A = "(\<Inter>n. sigma_sets (space M) (UNION {n..} A))" |
|
479 |
interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact |
|
480 |
from X have "\<And>n. X \<in> sigma_sets (space M) (UNION {n..} A)" by (auto simp: terminal_events_def) |
|
481 |
from this[of 0] have "X \<in> sigma_sets (space M) (UNION UNIV A)" by simp |
|
42983 | 482 |
then show "X \<in> events" |
42982 | 483 |
by induct (insert A, auto) |
484 |
qed |
|
485 |
||
486 |
lemma (in prob_space) sigma_algebra_terminal_events: |
|
487 |
assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>" |
|
488 |
shows "sigma_algebra \<lparr> space = space M, sets = terminal_events A \<rparr>" |
|
489 |
unfolding terminal_events_def |
|
490 |
proof (simp add: sigma_algebra_iff2, safe) |
|
491 |
let ?A = "(\<Inter>n. sigma_sets (space M) (UNION {n..} A))" |
|
492 |
interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact |
|
493 |
{ fix X x assume "X \<in> ?A" "x \<in> X" |
|
494 |
then have "\<And>n. X \<in> sigma_sets (space M) (UNION {n..} A)" by auto |
|
495 |
from this[of 0] have "X \<in> sigma_sets (space M) (UNION UNIV A)" by simp |
|
496 |
then have "X \<subseteq> space M" |
|
497 |
by induct (insert A.sets_into_space, auto) |
|
498 |
with `x \<in> X` show "x \<in> space M" by auto } |
|
499 |
{ fix F :: "nat \<Rightarrow> 'a set" and n assume "range F \<subseteq> ?A" |
|
500 |
then show "(UNION UNIV F) \<in> sigma_sets (space M) (UNION {n..} A)" |
|
501 |
by (intro sigma_sets.Union) auto } |
|
502 |
qed (auto intro!: sigma_sets.Compl sigma_sets.Empty) |
|
503 |
||
504 |
lemma (in prob_space) kolmogorov_0_1_law: |
|
505 |
fixes A :: "nat \<Rightarrow> 'a set set" |
|
42983 | 506 |
assumes A: "\<And>i. A i \<subseteq> events" |
42982 | 507 |
assumes "\<And>i::nat. sigma_algebra \<lparr>space = space M, sets = A i\<rparr>" |
508 |
assumes indep: "indep_sets A UNIV" |
|
509 |
and X: "X \<in> terminal_events A" |
|
510 |
shows "prob X = 0 \<or> prob X = 1" |
|
511 |
proof - |
|
42983 | 512 |
let ?D = "\<lparr> space = space M, sets = {D \<in> events. prob (X \<inter> D) = prob X * prob D} \<rparr>" |
42982 | 513 |
interpret A: sigma_algebra "\<lparr>space = space M, sets = A i\<rparr>" for i by fact |
514 |
interpret T: sigma_algebra "\<lparr> space = space M, sets = terminal_events A \<rparr>" |
|
515 |
by (rule sigma_algebra_terminal_events) fact |
|
516 |
have "X \<subseteq> space M" using T.space_closed X by auto |
|
517 |
||
42983 | 518 |
have X_in: "X \<in> events" |
42982 | 519 |
by (rule terminal_events_sets) fact+ |
520 |
||
521 |
interpret D: dynkin_system ?D |
|
522 |
proof (rule dynkin_systemI) |
|
523 |
fix D assume "D \<in> sets ?D" then show "D \<subseteq> space ?D" |
|
524 |
using sets_into_space by auto |
|
525 |
next |
|
526 |
show "space ?D \<in> sets ?D" |
|
527 |
using prob_space `X \<subseteq> space M` by (simp add: Int_absorb2) |
|
528 |
next |
|
529 |
fix A assume A: "A \<in> sets ?D" |
|
530 |
have "prob (X \<inter> (space M - A)) = prob (X - (X \<inter> A))" |
|
531 |
using `X \<subseteq> space M` by (auto intro!: arg_cong[where f=prob]) |
|
532 |
also have "\<dots> = prob X - prob (X \<inter> A)" |
|
533 |
using X_in A by (intro finite_measure_Diff) auto |
|
534 |
also have "\<dots> = prob X * prob (space M) - prob X * prob A" |
|
535 |
using A prob_space by auto |
|
536 |
also have "\<dots> = prob X * prob (space M - A)" |
|
537 |
using X_in A sets_into_space |
|
538 |
by (subst finite_measure_Diff) (auto simp: field_simps) |
|
539 |
finally show "space ?D - A \<in> sets ?D" |
|
540 |
using A `X \<subseteq> space M` by auto |
|
541 |
next |
|
542 |
fix F :: "nat \<Rightarrow> 'a set" assume dis: "disjoint_family F" and "range F \<subseteq> sets ?D" |
|
543 |
then have F: "range F \<subseteq> events" "\<And>i. prob (X \<inter> F i) = prob X * prob (F i)" |
|
544 |
by auto |
|
545 |
have "(\<lambda>i. prob (X \<inter> F i)) sums prob (\<Union>i. X \<inter> F i)" |
|
546 |
proof (rule finite_measure_UNION) |
|
547 |
show "range (\<lambda>i. X \<inter> F i) \<subseteq> events" |
|
548 |
using F X_in by auto |
|
549 |
show "disjoint_family (\<lambda>i. X \<inter> F i)" |
|
550 |
using dis by (rule disjoint_family_on_bisimulation) auto |
|
551 |
qed |
|
552 |
with F have "(\<lambda>i. prob X * prob (F i)) sums prob (X \<inter> (\<Union>i. F i))" |
|
553 |
by simp |
|
554 |
moreover have "(\<lambda>i. prob X * prob (F i)) sums (prob X * prob (\<Union>i. F i))" |
|
555 |
by (intro mult_right.sums finite_measure_UNION F dis) |
|
556 |
ultimately have "prob (X \<inter> (\<Union>i. F i)) = prob X * prob (\<Union>i. F i)" |
|
557 |
by (auto dest!: sums_unique) |
|
558 |
with F show "(\<Union>i. F i) \<in> sets ?D" |
|
559 |
by auto |
|
560 |
qed |
|
561 |
||
562 |
{ fix n |
|
563 |
have "indep_sets (\<lambda>b. sigma_sets (space M) (\<Union>m\<in>bool_case {..n} {Suc n..} b. A m)) UNIV" |
|
564 |
proof (rule indep_sets_collect_sigma) |
|
565 |
have *: "(\<Union>b. case b of True \<Rightarrow> {..n} | False \<Rightarrow> {Suc n..}) = UNIV" (is "?U = _") |
|
566 |
by (simp split: bool.split add: set_eq_iff) (metis not_less_eq_eq) |
|
567 |
with indep show "indep_sets A ?U" by simp |
|
568 |
show "disjoint_family (bool_case {..n} {Suc n..})" |
|
569 |
unfolding disjoint_family_on_def by (auto split: bool.split) |
|
570 |
fix m |
|
571 |
show "Int_stable \<lparr>space = space M, sets = A m\<rparr>" |
|
572 |
unfolding Int_stable_def using A.Int by auto |
|
573 |
qed |
|
574 |
also have "(\<lambda>b. sigma_sets (space M) (\<Union>m\<in>bool_case {..n} {Suc n..} b. A m)) = |
|
575 |
bool_case (sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) (sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m))" |
|
576 |
by (auto intro!: ext split: bool.split) |
|
577 |
finally have indep: "indep_set (sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) (sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m))" |
|
578 |
unfolding indep_set_def by simp |
|
579 |
||
580 |
have "sigma_sets (space M) (\<Union>m\<in>{..n}. A m) \<subseteq> sets ?D" |
|
581 |
proof (simp add: subset_eq, rule) |
|
582 |
fix D assume D: "D \<in> sigma_sets (space M) (\<Union>m\<in>{..n}. A m)" |
|
583 |
have "X \<in> sigma_sets (space M) (\<Union>m\<in>{Suc n..}. A m)" |
|
584 |
using X unfolding terminal_events_def by simp |
|
585 |
from indep_setD[OF indep D this] indep_setD_ev1[OF indep] D |
|
586 |
show "D \<in> events \<and> prob (X \<inter> D) = prob X * prob D" |
|
587 |
by (auto simp add: ac_simps) |
|
588 |
qed } |
|
589 |
then have "(\<Union>n. sigma_sets (space M) (\<Union>m\<in>{..n}. A m)) \<subseteq> sets ?D" (is "?A \<subseteq> _") |
|
590 |
by auto |
|
591 |
||
592 |
have "sigma \<lparr> space = space M, sets = ?A \<rparr> = |
|
593 |
dynkin \<lparr> space = space M, sets = ?A \<rparr>" (is "sigma ?UA = dynkin ?UA") |
|
594 |
proof (rule sigma_eq_dynkin) |
|
595 |
{ fix B n assume "B \<in> sigma_sets (space M) (\<Union>m\<in>{..n}. A m)" |
|
596 |
then have "B \<subseteq> space M" |
|
597 |
by induct (insert A sets_into_space, auto) } |
|
598 |
then show "sets ?UA \<subseteq> Pow (space ?UA)" by auto |
|
599 |
show "Int_stable ?UA" |
|
600 |
proof (rule Int_stableI) |
|
601 |
fix a assume "a \<in> ?A" then guess n .. note a = this |
|
602 |
fix b assume "b \<in> ?A" then guess m .. note b = this |
|
603 |
interpret Amn: sigma_algebra "sigma \<lparr>space = space M, sets = (\<Union>i\<in>{..max m n}. A i)\<rparr>" |
|
604 |
using A sets_into_space by (intro sigma_algebra_sigma) auto |
|
605 |
have "sigma_sets (space M) (\<Union>i\<in>{..n}. A i) \<subseteq> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" |
|
606 |
by (intro sigma_sets_subseteq UN_mono) auto |
|
607 |
with a have "a \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" by auto |
|
608 |
moreover |
|
609 |
have "sigma_sets (space M) (\<Union>i\<in>{..m}. A i) \<subseteq> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" |
|
610 |
by (intro sigma_sets_subseteq UN_mono) auto |
|
611 |
with b have "b \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" by auto |
|
612 |
ultimately have "a \<inter> b \<in> sigma_sets (space M) (\<Union>i\<in>{..max m n}. A i)" |
|
613 |
using Amn.Int[of a b] by (simp add: sets_sigma) |
|
614 |
then show "a \<inter> b \<in> (\<Union>n. sigma_sets (space M) (\<Union>i\<in>{..n}. A i))" by auto |
|
615 |
qed |
|
616 |
qed |
|
617 |
moreover have "sets (dynkin ?UA) \<subseteq> sets ?D" |
|
618 |
proof (rule D.dynkin_subset) |
|
619 |
show "sets ?UA \<subseteq> sets ?D" using `?A \<subseteq> sets ?D` by auto |
|
620 |
qed simp |
|
621 |
ultimately have "sets (sigma ?UA) \<subseteq> sets ?D" by simp |
|
622 |
moreover |
|
623 |
have "\<And>n. sigma_sets (space M) (\<Union>i\<in>{n..}. A i) \<subseteq> sigma_sets (space M) ?A" |
|
624 |
by (intro sigma_sets_subseteq UN_mono) (auto intro: sigma_sets.Basic) |
|
625 |
then have "terminal_events A \<subseteq> sets (sigma ?UA)" |
|
626 |
unfolding sets_sigma terminal_events_def by auto |
|
627 |
moreover note `X \<in> terminal_events A` |
|
628 |
ultimately have "X \<in> sets ?D" by auto |
|
629 |
then show ?thesis by auto |
|
630 |
qed |
|
631 |
||
42985 | 632 |
lemma (in prob_space) borel_0_1_law: |
633 |
fixes F :: "nat \<Rightarrow> 'a set" |
|
634 |
assumes F: "range F \<subseteq> events" "indep_events F UNIV" |
|
635 |
shows "prob (\<Inter>n. \<Union>m\<in>{n..}. F m) = 0 \<or> prob (\<Inter>n. \<Union>m\<in>{n..}. F m) = 1" |
|
636 |
proof (rule kolmogorov_0_1_law[of "\<lambda>i. sigma_sets (space M) { F i }"]) |
|
637 |
show "\<And>i. sigma_sets (space M) {F i} \<subseteq> events" |
|
638 |
using F(1) sets_into_space |
|
639 |
by (subst sigma_sets_singleton) auto |
|
640 |
{ fix i show "sigma_algebra \<lparr>space = space M, sets = sigma_sets (space M) {F i}\<rparr>" |
|
641 |
using sigma_algebra_sigma[of "\<lparr>space = space M, sets = {F i}\<rparr>"] F sets_into_space |
|
642 |
by (auto simp add: sigma_def) } |
|
643 |
show "indep_sets (\<lambda>i. sigma_sets (space M) {F i}) UNIV" |
|
644 |
proof (rule indep_sets_sigma_sets) |
|
645 |
show "indep_sets (\<lambda>i. {F i}) UNIV" |
|
646 |
unfolding indep_sets_singleton_iff_indep_events by fact |
|
647 |
fix i show "Int_stable \<lparr>space = space M, sets = {F i}\<rparr>" |
|
648 |
unfolding Int_stable_def by simp |
|
649 |
qed |
|
650 |
let "?Q n" = "\<Union>i\<in>{n..}. F i" |
|
651 |
show "(\<Inter>n. \<Union>m\<in>{n..}. F m) \<in> terminal_events (\<lambda>i. sigma_sets (space M) {F i})" |
|
652 |
unfolding terminal_events_def |
|
653 |
proof |
|
654 |
fix j |
|
655 |
interpret S: sigma_algebra "sigma \<lparr> space = space M, sets = (\<Union>i\<in>{j..}. sigma_sets (space M) {F i})\<rparr>" |
|
656 |
using order_trans[OF F(1) space_closed] |
|
657 |
by (intro sigma_algebra_sigma) (simp add: sigma_sets_singleton subset_eq) |
|
658 |
have "(\<Inter>n. ?Q n) = (\<Inter>n\<in>{j..}. ?Q n)" |
|
659 |
by (intro decseq_SucI INT_decseq_offset UN_mono) auto |
|
660 |
also have "\<dots> \<in> sets (sigma \<lparr> space = space M, sets = (\<Union>i\<in>{j..}. sigma_sets (space M) {F i})\<rparr>)" |
|
661 |
using order_trans[OF F(1) space_closed] |
|
662 |
by (safe intro!: S.countable_INT S.countable_UN) |
|
663 |
(auto simp: sets_sigma sigma_sets_singleton intro!: sigma_sets.Basic bexI) |
|
664 |
finally show "(\<Inter>n. ?Q n) \<in> sigma_sets (space M) (\<Union>i\<in>{j..}. sigma_sets (space M) {F i})" |
|
665 |
by (simp add: sets_sigma) |
|
666 |
qed |
|
667 |
qed |
|
668 |
||
42861
16375b493b64
Add formalization of probabilistic independence for families of sets
hoelzl
parents:
diff
changeset
|
669 |
end |