Introduction to Measurement Theory with regard to Probability and Statistics (8 ECTS)

Course Code: 
Elective Courses


Sets and functions. Algebra and S-algebra of sets. Open, closed and solid subsets of the real numbers. Constructing the Lebesgue measure in real numbers. Measurable sets according to Borel and Lebesgue. The Cantor set and the Cantor function. Non-measurable sets according to Lebesgue.

Measurable functions according to Lebesgue. Borel Functions. Random variables. Sequences of functions and random variables and convergence concepts (almost certain, in measure).

The Lebesgue integral, construction and properties. Basic convergence theorems, (the Fatou Lemma, monotonous convergence theorem, dominated convergence theorem). Expected price. Convergence in distribution and applications in statistics (estimation, simulation, etc).

Lebesgue spaces of integrable functions and random variables and their structure as metric spaces. Holder and Minkowski inequities, the Beppo-Levi theorem and completeness. Convergence in Lebesgue spaces and applications. The case of L^2, its structure as a Hilbert space, the projection theorem and its relation to conditional mean value, bases and expansions (eg Karhunen-Loeve transform, etc.).

Product measure, construction and properties and relation to independence. Integration and product measure, Fubini theorem.

Absolute continuity and measure singularity. Hahn-Jordan decomposition. Radon-Nikodym derivation. Measure space as an extension of the functions. Applications in statistics (the conditional average value under a new prism, likelihood, extreme event simulation, consistency) in finance.

Measure space as a metric space and applications. Total change distance, Helinger distance, Kuhlback-Leibler distance (entropy), transportation distance. Applications in model selection statistical and mechanical learning, etc.

Recommended Reading

  • Athreya, Krishna B., and Soumendra N. Lahiri. Measure theory and probability theory. Springer Science & Business Media, 2006.
  • Billingsley, P. 2008. Probability and measure. John Wiley & Sons.
  • Capinski, M., & Kopp, E., (2003). Measure, Integral and Probability. Springer-Verlag.
  • Jacod, J., & Protter, P. E. (2003). Probability essentials. Springer Science & Business Media.
  • Καλπαζίδου, Σ. (2002). Στοιχεία μετροθεωρίας πιθανοτήτων. Εκδόσεις ΖΗΤΗ.

The course outline for the academic year 2017-18 can be found here (in Greek).