I’m studying mathematical statistics.

I learned about the concepts of sample space, $\sigma$-field, probability set function with probability axioms, random variables, and probability density function.

Let $S$ be a sample space. Let $A$ be a sigma field. Let $\mathbb{P}$ be a probability set function on $A$. And let $X$ be a random variable on $S$.

Then we have a new sample space $X(S)$. And its power set is a new sigma field $\mathcal{F}$. So, now we can define a function $\mathbb{P}_X$ from $\mathcal{F}$ to $\Bbb{R}$ by $\mathbb{P}_X(B) = \mathbb{P}_X[X^{-1} (B)]$ for all $B \in \mathcal{F}$.

In my book, the probability density function is defined in that way. And it says this probability density function $\mathbb{P}_X$ is always a probability set function. The book says it is an exercise. But I don’t agree with this. I think probability density function is a probability set function only if it is well-defined!!

In some cases, it might be possible that $X^{-1} (B)$ is not in $A$, which means $\mathbb{P}_X$ is not well-defined since $\mathbb{P}[X^-1(B)]$ is not well-defined.

So I think $\mathbb{P}_X$ is not always well-defined.

  • 1
    $\begingroup$ Your $\mathsf{Px}: \mathcal{F}\to \mathbb{R}$ does not look like a probability density function, but a probability measure. To get a density, you need a Radon–Nikodym derivative, and this does not always exist $\endgroup$
    – Henry
    Jun 4, 2018 at 8:15
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    $\begingroup$ I have never seen anyone using the term probability density function for $P_X$. I am almost sure you are mis-quoting the text. Secondly $P_X$ is not defined on the power set of the range of $X$. It is defined on those sets $B$ for which $X^{-1}(B)$ belongs to the original sigma algebra. If you are quoting the definitions as given in the text then throw that book away immediately. $\endgroup$ Jun 4, 2018 at 8:15
  • $\begingroup$ Oh sorry, yes you are right. I’m mis-quoting it. It says small px is a pdf. It is defined on $\mathsf{X(S)}$ and, for each $x_{k} \in X(S)$, px($x_k$) = Px[{$x_k$}]. And the book deals with the discrete case. So book says Px satisfies probability axioms and px is a pdf. But my question is still same. Px can be always well-defined? $\endgroup$
    – ylh0501
    Jun 4, 2018 at 8:35

1 Answer 1



You are speaking of a new sample space $X(S)$, but usually not the image of $X$ is used for that but the codomain $\mathbb R$ of function $X$.


The powerset of $\mathbb R$ is indeed a sigma field, but is not used in the new probability space. Practicized is probability space $(\mathbb R,\mathcal B,\sf P_X)$ where $\mathcal B$ denotes the sigma field of Borel sets. $X$ being a random variable means that $X^{-1}(B)$ is an element of sigma field $\sf F$ for every Borel set $B$, so $\sf P_X(B)$ is well defined for every $B\in\mathcal B$.


If in your book $\sf P_X$ is named a "probability set function" then that is the naming of what I would call a "probability measure". I cannot imagine that they would mean "probability density function" which is another concept.

  • $\begingroup$ I’m so sorry. I was confused. This books deals with the discrete random variable. And It doesn’t say Px is a probability density function! Sorry 😐 . It says small px is. I wrote it on the comment above. Thanks :) $\endgroup$
    – ylh0501
    Jun 4, 2018 at 8:47
  • $\begingroup$ The main thing is that you learned. You are very welcome. $\endgroup$
    – drhab
    Jun 4, 2018 at 8:49
  • $\begingroup$ Another thing. If it concerns discrete random variables then not what is called a PDF arises but a PMF. A PDF is defined as density wrt the Lebesgue measure, and a PMF (probability mass function) is a density wrt to a counting measure. $\endgroup$
    – drhab
    Jun 4, 2018 at 8:54
  • $\begingroup$ Thanks. And my book says a random variable is a function X which assigns to each element $c \in S$ one and only one real number x. This definition is wrong? Or your definition of a random variable is a different thing? $\endgroup$
    – ylh0501
    Jun 4, 2018 at 8:55
  • $\begingroup$ Oh..! Okay thanks! I think I need to study more 😢. I’m just studying an introduction for mathematical statistics. $\endgroup$
    – ylh0501
    Jun 4, 2018 at 8:57

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