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Finite order statistics and rank maps are measurable

Statement

Let (Ω,F) be a measurable space, let R1,…,Rm be measurable real-valued functions with m≥1, and let 1≤k≤m. The kth order statistic R(k) is measurable. For a finite real score vector R1,…,Rn and another measurable real-valued function U on the same space, its upper-rank p-value and tie-randomized rank are measurable.

Facts & Assumptions

Given: The measurable real score functions, integer bounds on k, and, for the randomized formula, a measurable U:[0,1]-valued input on the same measurable space.

[F1]

Finite maxima and minima, finite sums and scalar multiples of measurable real functions are measurable. Arithmetic and lattice operations preserve measurability whenever they are defined

[F2]

Real measurability is preimage measurability for the Borel sigma-algebra. A measurable function between measurable spaces

[F3]

The Borel sigma-algebra contains closed intervals and half-lines because it is generated by open sets. The Borel sigma-algebra of a topological space

[F4]

The conformal p-value and tie-randomized p-value are the finite rank formulas in the definition. Conformal scores and rank p-values

Proof

1.1F1given

For each k-element subset I⊆{1,…,m}, let MI=max⁡i∈IRi. Then R(k)=min⁡∣I∣=kMI: every k-element subset has maximum at least the kth smallest score, and the subset of the k smallest scores has that maximum exactly. There are finitely many such nonempty subsets, so [F1] makes this finite minimum of finite maxima measurable.

1.2F1F2F3F4

For any two indices, {Ri≥Rj}={Ri−Rj∈[0,+∞)} is measurable by [F1]–[F3]. The upper-rank p-value is a finite sum of indicators of these events divided by n, so is measurable.

2.1F1F4step 1.2∎

On the same domain, the tie count is a finite sum of the comparison indicators from step 1.2. Multiplication by the measurable real function U, addition, and division by the positive integer n preserve measurability by [F1]. Hence the randomized rank map is measurable.

Depends on

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Sources