TheoremBase

Proof

Throughout, XX is square-integrable: (X)(X) is a Gaussian random vector by the definition of a jointly Gaussian family, so Claim 1 of Square-Integrability, Moments, and Covariance Matrix of a Gaussian Random Vector applies.

Part 1. By Sigma-Algebra Generated by Random Variables and Independence of Sigma-Algebras, Gr\mathcal{G}_r is the σ\sigma-algebra generated by the events Uk−1(B)U_k^{-1}(B) with k≤rk\le r and BB a Borel set. These generators lie in Gr+1\mathcal{G}_{r+1} and in G\mathcal{G}, which are σ\sigma-algebras, so minimality of the generated σ\sigma-algebra gives Gr⊆Gr+1\mathcal{G}_r\subseteq\mathcal{G}_{r+1} and Gr⊆G\mathcal{G}_r\subseteq\mathcal{G}; consequently σ(⋃rGr)⊆G\sigma\bigl(\bigcup_r\mathcal{G}_r\bigr)\subseteq\mathcal{G}. Conversely, every generator Uk−1(B)U_k^{-1}(B) of G\mathcal{G} lies in Gk⊆⋃rGr⊆σ(⋃rGr)\mathcal{G}_k\subseteq\bigcup_r\mathcal{G}_r\subseteq\sigma\bigl(\bigcup_r\mathcal{G}_r\bigr), so minimality gives G⊆σ(⋃rGr)\mathcal{G}\subseteq\sigma\bigl(\bigcup_r\mathcal{G}_r\bigr). Hence equality.

Part 2. For each rr, the tuple (X,U1,…,Ur)(X,U_1,\dots,U_r) is a Gaussian random vector by the definition of a jointly Gaussian family, so Conditional Expectation for Jointly Gaussian Random Variables is Affine provides real numbers βr,0,…,βr,r\beta_{r,0},\dots,\beta_{r,r} for which Yr=βr,0+∑k≤rβr,kUkY_r=\beta_{r,0}+\sum_{k\le r}\beta_{r,k}U_k is a conditional expectation of XX given Gr\mathcal{G}_r.

Part 3. By Part 1, the sequence (Gr)r∈N(\mathcal{G}_r)_{r\in\mathbb{N}} is a nondecreasing sequence of sub-σ\sigma-algebras of F\mathcal{F} with σ(⋃rGr)=G\sigma\bigl(\bigcup_r\mathcal{G}_r\bigr)=\mathcal{G}. Applying Levy's upward theorem in mean square to the square-integrable XX, every choice of conditional expectations YrY_r of XX given Gr\mathcal{G}_r and every conditional expectation YY of XX given G\mathcal{G} satisfy ∥Yr−Y∥2→0\lVert Y_r-Y\rVert_{2}\to0. The particular clause follows because, by Part 2 and the uniqueness assertion of Existence and Uniqueness of Conditional Expectation for Square-Integrable Random Variables, the YrY_r may be taken of the displayed affine form.

Part 4. Fix k∈Nk\in\mathbb{N} and a conditional expectation YY of XX given G\mathcal{G}, and for r≥kr\ge k let YrY_r be the affine conditional expectation of Part 2. By part 3 of Conditional Expectation for Jointly Gaussian Random Variables is Affine, with the covariance,

Cov⁡(X−Yr, Uk)=0(r≥k).\operatorname{Cov}(X-Y_r,\,U_k)=0\qquad(r\ge k).

Write Dr=Yr−YD_r=Y_r-Y and C=Uk−E[Uk]C=U_k-\mathbb{E}[U_k] (square-integrable by Square-Integrability, Moments, and Covariance Matrix of a Gaussian Random Vector and the closure properties of Square-Integrable Random Variables and the Mean-Square Inner Product). Expanding the covariances with the linearity of expectation from Linearity and Monotonicity of the Lebesgue Integral,

Cov⁡(X−Y, Uk)−Cov⁡(X−Yr, Uk)=Cov⁡(Dr, Uk)=E[(Dr−E[Dr]) C].\operatorname{Cov}(X-Y,\,U_k)-\operatorname{Cov}(X-Y_r,\,U_k)=\operatorname{Cov}(D_r,\,U_k)=\mathbb{E}\bigl[(D_r-\mathbb{E}[D_r])\,C\bigr].

By the Cauchy-Schwarz inequality, ∣E[Dr]∣=∣E[Dr⋅1]∣≤∥Dr∥2|\mathbb{E}[D_r]|=|\mathbb{E}[D_r\cdot1]|\le\lVert D_r\rVert_{2} and hence, with the triangle inequality of the same lemma,

∣Cov⁡(Dr, Uk)∣≤∥Dr−E[Dr]∥2 ∥C∥2≤2 ∥Dr∥2 ∥C∥2.\bigl|\operatorname{Cov}(D_r,\,U_k)\bigr|\le\lVert D_r-\mathbb{E}[D_r]\rVert_{2}\,\lVert C\rVert_{2}\le2\,\lVert D_r\rVert_{2}\,\lVert C\rVert_{2}.

By Part 3, ∥Dr∥2→0\lVert D_r\rVert_{2}\to0, so Cov⁡(X−Y, Uk)=lim⁡r→∞Cov⁡(X−Yr, Uk)=0\operatorname{Cov}(X-Y,\,U_k)=\lim_{r\to\infty}\operatorname{Cov}(X-Y_r,\,U_k)=0. ■\blacksquare

Citations

Loading…

Dependencies

Uses0

Loading…

Comments

Log in to comment.

Loading…