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A sigma-finite positive measure has a nonnegative Radon–Nikodym density version
Statement
Assume AC. If and are sigma-finite positive measures on the same measurable space and , then the Radon–Nikodym class has a finite-valued nonnegative measurable representative. Every finite-valued representative of that class is nonnegative -almost everywhere.
Facts & Assumptions
Given: AC, sigma-finite positive measures on , and .
The Axiom of Choice: AC states that every family of nonempty sets has a choice function.
Finite, sigma-finite, and semifinite measures: sigma-finiteness gives a countable measurable cover by sets of finite measure.
The total variation |nu|(E) from countable measurable partitions: total variation is the supremum of sums of absolute measure values over measurable partitions. For a positive measure, countable additivity makes every such sum equal to the measure of the partitioned set.
A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density and The Radon-Nikodym derivative as an almost-everywhere equivalence class: under AC, absolute continuity and a common finite exhaustion give a nonempty almost-everywhere class of real-valued densities satisfying the setwise integral formula; its representatives are locally integrable on the exhaustion sets.
Absolute continuity of a signed or complex measure with respect to a positive measure: means every -null measurable set is -null.
Extended-real-valued measurable functions and Sigma-algebras: if is measurable, is measurable as the complement of , and countable unions of measurable sets are measurable.
Integrable real and complex functions, and their integrals and Monotonicity and nonnegative homogeneity of the nonnegative integral: on a finite-integral piece, a real integrable function has a defined signed integral; the nonnegative integral is monotone.
Closure properties of measurable functions used by the integral: scalar multiples of measurable real functions and their positive parts, including , are measurable.
Proof
Choose increasing countable finite-measure covers for and for , using [F1]. Set . Then and both and are finite, since each finite union is contained in finite unions of sets from the corresponding cover. By [F2], . Thus [F3] applies. Fix any finite-valued representative of the nonempty class; it satisfies for every measurable and .
For , let , which is measurable by [F5]. On , ; because is integrable on , [F6] and [F7] give . If , the representation in step 1.1 would give , contradicting positivity of . Hence every is -null.
The countable union is measurable and -null by [F5]. Since the sets cover , .
Define . By [F7], is measurable; it is nonnegative, equals off , and is zero on . For every measurable , absolute continuity gives by [F4], while step 1.1 gives . Thus represents the Radon–Nikodym class. The argument also shows that any finite-valued representative is nonnegative outside a null set.
Depends on
- The Axiom of Choice
- Finite, sigma-finite, and semifinite measures
- Measures on sigma-algebras
- Absolute continuity of a signed or complex measure with respect to a positive measure
- The total variation |nu|(E) from countable measurable partitions
- Extended-real-valued measurable functions
- Sigma-algebras
- Integrable real and complex functions, and their integrals
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- A sigma-finite signed measure that is absolutely continuous with respect to a sigma-finite positive measure has a unique almost-everywhere density
- The Radon-Nikodym derivative as an almost-everywhere equivalence class
- Closure properties of measurable functions used by the integral
Used by
- A dominated differentiable-in-quadratic-mean submodel Definition
- Kullback–Leibler divergence Definition
- Likelihood densities Definition
- Likelihood ratio as a Radon–Nikodym derivative Definition
- Observed-data likelihood under a response model Lemma
- The common submeasure and its bounded density Lemma
- The common submeasure of two finite densities Lemma
- TV-close laws have identical Huber mixtures at the contamination threshold Lemma
- Equivalent dominating measures give equivalent likelihood ratios Theorem
- KL chain rule for standard-Borel disintegrations Theorem
- Likelihood-ratio change of measure Theorem
Dependency tree · two levels
32 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Richard F. Bass, Real Analysis for Graduate Students, Theorem 13.4 and proof, §13.2 (book pp. 100–103) (standard reference, not scraped)
- John K. Hunter, Measure Theory, Theorem 6.27 and proof, §6.8 (notes pp. 75–77) (standard reference, not scraped)