TheoremBase

Existence of Independent and Identically Distributed Sequences

Statement

Let ν\nu be a probability measure on (R,B(R))(\mathbb{R},\mathcal{B}(\mathbb{R})), with the Borel σ\sigma-algebra. Then there exist a probability space (Ω,F,P)(\Omega,\mathcal{F},P) and a sequence (Xm)m∈N(X_m)_{m\in\mathbb{N}} of random variables on it that is independent and identically distributed with common distribution ν\nu.

One may take Ω=(0,1)\Omega=(0,1), F={B∈B(R):B⊆(0,1)}\mathcal{F}=\{B\in\mathcal{B}(\mathbb{R}):B\subseteq(0,1)\}, and PP the restriction to F\mathcal{F} of Lebesgue measure, which is a probability measure since the interval (0,1)(0,1) has Lebesgue measure 11.

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