Consider the probability space $([0,1]; B[0,1], L)$, where $B[0,1]$ contains the Borel sets
intersecting $[0,1]$ and $L$ is the Lebesgue measure. How do I find the sigma algebra generated by a random variable defined on this space, $X = 1_{[0,1/2]}$? Secondly, how do I determine whether random variables defined on this space are independent or not, e.g., are $X = 1_{[0,1/2]}$ and $Y = 1_{[1/4,3/4]}$ independent?
For finding sigma algebra generated by $X$, I find $X^{-1}(1_{[0,1/2]})$ but what will be this inverse in Borel sets? For finding independence, it should be sufficient to show the sigma algebras generated by $X$ and $Y$ are independent right?
Best Answer
The sigma-algebra generated by $1_{[0,1/2]}$ is simply $$ \bigl\{\emptyset,[0,1],[0,1/2],(1/2,1]\bigr\}. $$ It consists of the preimages under the function $1_{[0,1/2]}$ of all Borel sets in the codomain of the function $1_{[0,1/2]}$, namely, $(\mathbb R,B(\mathbb R))$. (Notice that the preimage $1_{[0,1/2]}^{-1}(M)$ is completely determined by the information of whether 0 and 1 do or do not belong to $M$ respectively.)
The situation for $1_{[1/4,3/4]}$ is similar.
The random variables $1_{[0,1/2]}$ and $1_{[1/4,3/4]}$ on $([0,1],B[0,1],L)$ are indeed independent: For this you have to check that $L(A\cap B)=L(A)\cdot L(B)$ for all $A\in 1_{[0,1/2]}^{-1}(B(\mathbb R))$ and $B\in 1_{[1/4,3/4]}^{-1}(B(\mathbb R))$.
The most interesting case is $L([0,1/2]\cap [1/4,3/4])=L([0,1/2])\cdot L([1/4,3/4])$.
Check that both sides are equal!
Also think about the following question: Are the random variables $1_{[0,1/2]}$ and $1_{[1/4,1]}$ on $([0,1],B[0,1],L)$ also independent?