What is the Radon-Nikodym derivative of the pushforward of a function?

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    2015
In summary, a pushforward of a function is a mathematical operation that transforms a function from one space to another, also known as a change of variables or pullback. The Radon-Nikodym derivative is a mathematical concept used to measure the rate of change between probability distributions. To calculate the Radon-Nikodym derivative of a pushforward, the chain rule for derivatives is used. It is significant as it allows for the measurement of the effects of a change of variables on probability distributions. It can be negative, indicating a decrease in probability due to a non-one-to-one pushforward function. Considering the sign is important in applications such as statistics and economics.
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Euge
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Here is this week's POTW:

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Let $f : \Bbb R\to \Bbb R$ be the function $f(x) = x^2$. Let $\mu$ be the pushforward of the Lebesgue measure $m$ with respect to $f$. Evaluate the Radon-Nikodym derivative of $\mu$ with respect to $m$.
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No one answered this week's problem. You can read my solution below.
The Radon-Nikodym derivative at point $x$, $D_m\mu(x)$, shall be found by cases.

Fix $x\in \Bbb R\setminus\{0\}$. Suppose $x > 0$. For $0 < r < x$,

$$\frac{\mu(x-r,x+r)}{m(x-r,x+r)} = \frac{m(\sqrt{x-r},\sqrt{x+r})}{2r} = \frac{\sqrt{x+r} - \sqrt{x-r}}{2r} = \frac{1}{\sqrt{x+r} + \sqrt{x-r}}.$$

Since the last expression tends to $\frac{1}{2\sqrt{x}}$ as $r\to 0$, then $D_m\mu(x) = \frac{1}{2\sqrt{x}}$.

Let $x \le 0$. For all $r > 0$,

$$\frac{\mu(x-r,x+r)}{m(x-r,x+r)} = \frac{m(0,\sqrt{x+r})}{2r} = \frac{\sqrt{x+r}}{2r}.$$

The last expression tends to infinity as $r\to 0$, so $D_m\mu(x) = \infty$.

In summary,

$$D_m\mu(x) = \begin{cases}\frac{1}{2\sqrt{x}} & \text{if $x > 0$.}\\0& \text{otherwise}\end{cases}$$
 

FAQ: What is the Radon-Nikodym derivative of the pushforward of a function?

What is a pushforward of a function?

A pushforward of a function is a mathematical operation that transforms a function defined on one space to a function defined on another space. It is also known as a change of variables or a pullback.

What is the Radon-Nikodym derivative?

The Radon-Nikodym derivative is a mathematical concept that measures the rate at which one probability distribution changes with respect to another probability distribution. It is often used in the context of probability theory and measure theory.

How is the Radon-Nikodym derivative of a pushforward calculated?

The Radon-Nikodym derivative of a pushforward is calculated using the chain rule for derivatives. It involves taking the derivative of the pushforward function and multiplying it by the derivative of the inverse of the pushforward function.

What is the significance of the Radon-Nikodym derivative of a pushforward?

The Radon-Nikodym derivative of a pushforward is important because it allows us to measure how the change of variables affects the probability distribution of a function. It is also useful in many applications, such as in statistics and economics.

Can the Radon-Nikodym derivative of a pushforward be negative?

Yes, the Radon-Nikodym derivative of a pushforward can be negative. This means that the pushforward function is not one-to-one and the change of variables can result in a decrease in probability. It is important to consider the sign of the Radon-Nikodym derivative when studying the effects of a change of variables.

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