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measure). Let P(Y), let : Y X be a Borelmeasurable function, and let P(X) be the pushforward
measure = () = 1 . Then there exists a almost everywhere uniquely determined family of probability measures {x}xX P(Y) such that
the function x 7 x is Borel measurable, in the
sense that x 7 x (B) is a Borel-measurable function for each Borel-measurable set B Y;
Motivation
(
)
x Y \ 1 (x) = 0,
and so x(E) = x(E 1 (x));
E Lx = (E) = 0.
f (y) d(y) =
Y
1 (x)
f (y) dx (y)d(x).
x (E) d(x).
(E) =
X
x (E Lx ) dx
(E) =
3 Applications
[0,1]
(
)
x1 11 (dx1 ) =
=
X1
x1 d(1 ) ()(x1 ),
X1
which is in particular
X1 X2
and
(
)
(B|x1 ) 11 (dx1 ) .
(A B) =
A
E(f |1 )(x1 ) =
3.2
Vector calculus
3.3
Conditional distributions
The disintegration theorem can be applied to give a rigorous treatment of conditional probability distributions in
statistics, while avoiding purely abstract formulations of
conditional probability.[3]
See also
Joint probability distribution
Copula (statistics)
Conditional expectation
(
)
f (x1 , x2 )(dx2 |x1 ) 11 (dx1 )
X2
References
REFERENCES
6.1
Text
6.2
Images
6.3
Content license