Atomic intersection of \(\sigma \)-fields and some of its consequences (Q5961964): Difference between revisions

Let \((\Omega, {\mathcal F}, P)\) be a probability space, \({\mathcal A}_1, \dots,{\mathcal A}_k \subset {\mathcal F}\) are sub-\(\sigma\)-fields, \(k\geq2\), and \({\mathcal N}:=\{F \in {\mathcal F}: P(F)\in \{0,1\}\}\), \({\overline{\mathcal G}}:=\sigma({\mathcal G}\cup{\mathcal N})\) for any \({\mathcal G} \subset {\mathcal F}\) (here \({\overline{\mathcal G}}\) defines the \(\sigma\)-field generated by each \({\mathcal G}\subset {\mathcal F}\) with the sets \(F \in {\mathcal F}\) satisfying \(P(F)\in \{0,1\}\)). Denote \({\mathcal D}=\bigcap_{i=1}^{k}{\overline{\mathcal A}_i}\). The authors give general results on atomicity of the restriction of \(P\) on \({\mathcal D}\) (for conv. \(P|{\mathcal D}\)), for example, a characterization, a criterion for identity the atoms, sufficient condition. Also, they, motivated by Gibbs sampling applications, investigate the particular case \({\mathcal A}_i=\sigma(X_1,\dots,X_{i-1},X_{i+1},\dots,X_k)\) for random variables \(X_1,\dots,X_k\) on \((\Omega,{\mathcal F},P)\). The authors obtain a sufficient condition for \({\mathcal D}={\mathcal N}\) and for \(P|{\mathcal D}\) to be atomic.