English

Trivial intersection of $\sigma$-fields and Gibbs sampling

Probability 2009-01-20 v1

Abstract

Let (Ω,F,P)(\Omega,\mathcal{F},P) be a probability space and N\mathcal{N} the class of those FFF\in\mathcal{F} satisfying P(F){0,1}P(F)\in\{0,1\}. For each GF\mathcal{G}\subset\mathcal{F}, define G=σ(GN)\overline{\mathcal{G}}=\sigma(\mathcal{G}\cup\mathcal {N}). Necessary and sufficient conditions for AB=AB\overline{\mathcal{A}}\cap\overline{\mathcal{B}}=\overline {\mathcal {A}\cap\mathcal{B}}, where A,BF\mathcal{A},\mathcal{B}\subset\mathcal{F} are sub-σ\sigma-fields, are given. These conditions are then applied to the (two-component) Gibbs sampler. Suppose XX and YY are the coordinate projections on (Ω,F)=(X×Y,UV)(\Omega,\mathcal{F})=(\mathcal{X}\times\mathcal{Y},\mathcal {U}\otimes \mathcal{V}) where (X,U)(\mathcal{X},\mathcal{U}) and (Y,V)(\mathcal{Y},\mathcal{V}) are measurable spaces. Let (Xn,Yn)n0(X_n,Y_n)_{n\geq0} be the Gibbs chain for PP. Then, the SLLN holds for (Xn,Yn)(X_n,Y_n) if and only if σ(X)σ(Y)=N\overline{\sigma(X)}\cap\overline{\sigma(Y)}=\mathcal{N}, or equivalently if and only if P(XU)P(YV)=0P(X\in U)P(Y\in V)=0 whenever UUU\in\mathcal{U}, VVV\in\mathcal{V} and P(U×V)=P(Uc×Vc)=0P(U\times V)=P(U^c\times V^c)=0. The latter condition is also equivalent to ergodicity of (Xn,Yn)(X_n,Y_n), on a certain subset S0ΩS_0\subset\Omega, in case F=UV\mathcal{F}=\mathcal{U}\otimes\mathcal{V} is countably generated and PP absolutely continuous with respect to a product measure.

Keywords

Cite

@article{arxiv.0901.2851,
  title  = {Trivial intersection of $\sigma$-fields and Gibbs sampling},
  author = {Patrizia Berti and Luca Pratelli and Pietro Rigo},
  journal= {arXiv preprint arXiv:0901.2851},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/07-AOP387 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T12:02:27.701Z