A probability measure on Euclidean space is absolutely continuous when it gives measure zero to every Borel set of Lebesgue measure zero.
In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, which has the notation of Product Measures and Lebesgue Measure on ℝⁿ: Standing Notation and Background in force, let satisfy , let be the Borel -algebra of and its Lebesgue measure, and let belong to the set of probability measures on .
(Absolutely continuous measure) The measure is absolutely continuous if
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