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- I'm reading an article on transformation of random variables. In the article they restrict to ##\sigma##-finite measures, but I don't understand why.
I'm reading this article on transformation of random variables, i.e. functions of random variables. We have a probability space ##(\Omega, \mathcal F, P)## and measurable spaces ##(S, \mathcal S)## and ##(T, \mathcal T)##. We have a r.v. ##X:\Omega\to S## and a measurable map ##r:S\to T##. Then we want to find the distribution of ##r(X)## given that of ##X##. Pretty soon into the article, after the first proposition, under the very first diagram, they say that we should then consider ##\sigma##-finite measures on ##S## and ##T##. I don't understand why we need to restrict to ##\sigma##-finite measures. What necessitates this?