Definition:Event Space

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Let $\EE$ be an experiment.

The event space of $\EE$ is usually denoted $\Sigma$ (Greek capital sigma), and is the set of all outcomes of $\EE$ which are interesting.

Each of the elements of $\Sigma$ are elements of the power set of $\Omega$, and are called events.

Formal Definition

By definition, an experiment $\EE$ has a probability space $\struct {\Omega, \Sigma, \Pr}$, which also by definition is a measure space.

Hence, again by definition, an event space $\Sigma$ is a sigma-algebra on $\Omega$.

Thus, an event space $\Sigma$ must fulfil the following requirements:

\((\text {ES} 1)\)   $:$   Non-Empty:       \(\displaystyle \Sigma \)   \(\displaystyle \ne \)   \(\displaystyle \O \)             
\((\text {ES} 2)\)   $:$   Closure under Set Complement:      \(\displaystyle \forall A \in \Sigma:\)    \(\displaystyle \Omega \setminus A \)   \(\displaystyle \in \)   \(\displaystyle \Sigma \)             
\((\text {ES} 3)\)   $:$   Closure under Countable Unions:      \(\displaystyle \forall A_1, A_2, \ldots \in \Sigma:\)    \(\displaystyle \bigcup_{i \mathop = 1}^\infty A_i \)   \(\displaystyle \in \)   \(\displaystyle \Sigma \)             

Discrete Case

Let $\mathcal E$ be an experiment.

Let $\Omega$ be a discrete sample space of $\mathcal E$.

Then it is usual to take $\Sigma$ to be the power set $\mathcal P \left({\Omega}\right)$ of $\Omega$, that is, the set of all possible subsets of $\Omega$.

Also denoted as

Some sources use $\FF$ or $\mathscr F$ to denote an event space.

In the field of decision theory, the symbol $\Xi$ can often be seen.

Also see