Lecture Notes: MSc Maths and Statistics Refresher Course

Jidong Zhou Department of Economics University College London September, 2009

69 benet from the lecture notes prepared by Dr Monica Costa Dias for this course. I am very grateful for her generosity. All errors are mine. Please do not circulate without the permission of the author. Contact information: jidong.zhou@ucl.ac.uk.

Chapters

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Chapter 0: Mathematical Preliminaries

This chapter introduces some basic mathematical concepts which we will use in subsequent chapters.

1
1.1

Sets
Basic denitions

A set is a collection of elements. If a set contains no element, we call it an empty set and denote it by . N {1, 2, 3, ...}: the set of natural numbers (or counting numbers ); Z {..., 3, 2, 1, 0, 1, 2, 3, ...}: the set of integers ; Z2 {(m, n) : m, n Z}: the set of pairs of integers.

A set B is a subset of A if any element of B is also an element of A: B A if x B = x A. A set A equals another set B if A B and B A. Operations with sets: A B (A union B ) is the set of all elements that are either in A or in B (or in both): A B = {x : x A or x B }; A B (A intersect B ) is the set of all elements that are in both A and B : A B = {x : x A and x B }; A\B (A minus B ) is the set of all elements that are in A but not in B : A\B = {x : x A and x / B }. Ac = X \A is the complement of A in X . Two sets A and B are disjoint or mutually exclusive if A B = . 1

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Useful results: (DeMorgans law) (A B )c = Ac B c , (A B )c = Ac B c A (B C ) = (A B ) (A C ), A (B C ) = (A B ) (A C ) Finite, countable, and uncountable sets: a set A is nite if the number of its elements is nite, i.e., A = {a1 , . . . , an }n< . a set A is countable (and so innite) if the number of its elements is equal to that of N, i.e., A = {ai : i N}.1 a set A is uncountable (and of course innite) if it is neither nite nor countable, or roughly speaking, its elements cannot be listed completely. every innite subset of a countable set is countable.2 the union of a countable number of countable sets is still countable, i.e., iN Ai is countable if each Ai is countable. example: both Z and Z2 are countable.

1.2

The real number system

Real numbers: the set of rational numbers (or all quotients of integers) is p : p, q Z and q 6= 0 . Q q the set of irrational numbers includes all numbers that cannot be written as ratios of integers. The decimal expansions of irrational numbers never end and have no repeating pattern. For example, 2 = 1. 414 213 562 , e = 2. 718 281 828459 , and = 3. 141 592 654 . the set of real numbers R contains all rational and irrational numbers. Q is countable; R\Q is uncountable; and R is uncountable. Upper bounds and lower bounds: b is called an upper bound for S R if x b for all x S .
1 2

More rigorously, A is countable if there is a one-to-one correspondence between A and N. Therefore, roughly speaking, countable sets represent the smallest innity.

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

b is called the least upper bound of S R (or b = sup S ) if b is an upper bound of S but any number smaller than b is not an upper bound of S . (Roughly speaking, b is the smallest upper bound.) That is, x b for all x S , but for any b0 < b, y S such that y > b0 . similarly, we can dene the lower bound and the greatest lower bound (inf S ) of S . for any nonempty S R, if S has an upper bound, it has a least upper bound; if S has a lower bound, it has a greatest lower bound. example: if S={ then sup S = 1 and inf S = 0. Two results: (archimedean property) if x, y R, x > 0, and y < , then there is a n N such that nx > y . (Q is dense in R) if x, y R, and x < y , then there is a r Q such that x < r < y. 1 : n N}, n

1.3
1.3.1

Open sets, closed sets, and compact sets

Metrics

We rst introduce a measurement of the distance between two elements in a set. We dene a metric or a distance function in a given set X as follows: for any two elements x and y in X , there is associated a real number d(x, y ) such that (i) d(x, y ) > 0 if x 6= y and d(x, y ) = 0 if x = y; (ii) d(x, y ) = d(y, x); (iii) (triangle inequality) d(x, y ) d(x, z ) + d(z, y ) for any z X . A set equipped with a metric is called a metric space. In this course, we mainly deal with the space with X = Rn and the distance function (Euclidean metric) d(x, y ) = kx y k p (x1 y1 )2 + + (xn yn )2 . (1)

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

We call it the Euclidean space. (Check that this metric kk satises the triangle inequality by using the Cauchy-Schwarz inequality presented in the Appendix.) In particular, if n = 1 (i.e., for R), the distance function degenerates to d(x, y ) = |x y| , where || is the absolute value function. The -neighborhood or -ball of a point z in X is the set of all elements in X which lie close to z with a distance less than > 0: N (z ) = {x X : d(x, z ) < }. For example, in R, N (0) = (, ). 1.3.2 Open sets

In the following, we regard X as the universal set and consider a subset A X . A set A in X is open if for each z A, there exists > 0 such that N (z ) A. The word open has a connotation of no boundary: from any point one can always move a little distance in any direction and still be in the set. examples: An interval (a, b) is open in R; {(x, y ) R2 : x2 + y 2 < 1} is an open set in R2 . Two properties: any union of open sets is open; the nite intersection of open sets is open. (Think about an example in which the innite intersection of open sets is not open.) Interior points: a point z A is an interior point of A if there exists > 0 such that N (z ) A. Therefore, all points in an open set are interior points. the interior of a set A (which may not be open) is the set of all interior points of A. It is denoted by Ao .

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

1.3.3

Closed sets

Denitions: 1: a set A X is closed if Ac is open in X . 2: a point z is a limit point of A X if any neighborhood of z (i.e., N (z ) for any > 0) contains at least a point of A which is dierent from z . Then a set A is closed if each limit point of A (if any) is contained in A. (In other words, a closed set contains all its boundary points.) examples: An interval [a, b] in R is closed; {(x, y ) R2 : x2 + y 2 1} is a closed set in R2 ; any nite set is closed. Two properties: any intersection of closed sets is closed; the nite union of closed sets is closed. (Think about an example in which the innite union of closed sets is not closed.) There are many sets which are neither open nor closed. For example, (a, b]. There are only two sets which are both open and closed in Rn : the empty set and Rn itself. The closure of a set A (which may not be closed) is the union of A and its limit points. . It is denoted by A Exercise 1 (i) Prove denition 1 of closed sets by using denition 2. 1 }nN . Are they (ii) Find the limit points of the following sets in R: {a} [c, d] and { n closed sets in R? (iii) Find the limit points of the following sets in R2 : {(x, y ) R2 : x + y = 1} and {(x, y) R2 : x > 0}. Are they closed sets in R2 ? 1.3.4 Bounded sets and compact sets

A set A is bounded if there exists a real number M > 0 such that d(x, y ) < M for any x, y A. Compact sets: 1: a set A in Rn is compact if it is both closed and bounded. For example, {(x, y) R2 : x2 + y2 1} is compact. 2: (optional) a set A in a general metric space is compact if every innite subset of A has a limit point in A. 5

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

several results: (optional) Weierstrass theorem: every bounded innite subsets of Rn has a limit point in Rn . closed subsets of compact sets are compact. if A is closed and B is compact, then A B is compact. Exercise 2 [a, ) is not compact according to the rst denition. Show it does not satisfy the second one either. 1.3.5 Connected sets and convex sets

(optional) Connected sets two subsets A and B of a metric space X are said to be separated if both A B B are empty, i.e., if no point of A lies in the closure of B and no point of and A B lies in the closure of A.3 a set is said to be connected if it is not a union of two nonempty separated sets. For example, both [a, b] and {(x, y ) R2 : 1 < x2 + y2 < 2} are connected. in R, a set A is connected if and only if it has the following property: if x, y A, and x < z < y, then z A. Convex sets a set A Rn is said to be convex if for any two elements x and y in A, any convex combination of them x + (1 )y with [0, 1] is also in A. for example, (a, b) and {(x, y ) R2 : x2 + y 2 1} are convex, but {(x, y) R2 : 1 2 2 2 x + y 1} is not. the intersection of convext sets is still convex.

Sequences
A sequence {xn } n=1 in a metric space X is said to converge to x X if > 0, an integer N such that d(xn , x) < for any n > N .

Separated sets are disjoint, but disjoint sets need not to be separated. For example, A = [0, 1] and B = (1, 2) are disjoint but not separated.

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

That is, xn will be arbitrarily close to x when n is suciently large. We call x the limit point of {xn }, and we write xn x or lim xn = x.
n

we show (1)n /n 0 by using the denition: > 0, N = |(1)n /n| = 1/n < for n > N . Properties of convergence the limit point of a convergent sequence is unique. if {xn } converges, then {xn } is bounded.

such that

if x is the limit point of a set A in X , then there exists a sequence {xn } in A such that xn x. suppose xn x and yn y , where xn , yn R. Then (a) cxn cx; (b) xn + yn x + y ; (c) xn yn xy ; and (d) 1/xn 1/x, provided xn 6= 0 for any n and x 6= 0.

suppose xn = (a1n , a2n , . . . , amn ) Rm . Then xn x = (a1 , a2 , . . . , am ) if and only if ain ai .

Using sequence to dene closed sets: a set is closed if the limit point of any convergent sequence in it is also contained in this set.4 Subsequences: given a sequence {xn }, consider a sequence of positive integers such that n1 < n2 < n3 < . Then the new sequence {xni } is called a subsequence of {xn }. If {xni } converges, its limit point is called a subsequential limit point or an accumulation point of {xn }. a sequence can have multiple subsequential limit points. For example, {(1)n (1 + 1/n)} has two subsequential limit points {1, 1}. Moreover, the set of subsequential limit points is closed. {xn } converges to x if and only if every subsequence of {xn } converges to x.

every bounded sequence in Rn contains a convergent subsequence. Cauchy sequence:

Then a set is open if its complement is closed. Hence, we have two ways to dene open sets and closed sets: use the concept of -neighborhood or use the concept of sequence convergence.

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

a sequence {xn } in a metric space is said to be a Cauchy sequence if > 0, N such that d(xm , xn ) < for any m, n > N . in Rn , a sequence converges if and only if it is a Cauchy sequence.5 this result enables us to decide whether a sequence converges or not without the knowledge of the limit to which it may converge. Monotonic sequences: a sequence {xn } of real numbers is monotonic if xn xn+1 or xn xn+1 . Any monotonic sequence converges if and only if it is bounded. Some special sequences: if a > 0, then 1/na 0; if a > 0, then n a 1; n n 1;

n if a > 0 and b R, then (1+ a)n 0; P n 1 1+ n e, where e is dened as n=0 for x R.6 )

1 n!

x n 2. 718 3. (Show that 1 + n ex

Series: Pk P P a series n=1 an converges if the sequence {xk = n=1 an } converges. If n=1 an converges, then an 0. special series: P 1 n if |x| < 1, then n=0 x = 1x ; if |x| 1, then the series diverges. P 1 if a > 1, then na converges; if a 1, then the series diverges. In particular, 1 the harmonic series 1 + 1 2 + 3 + diverges.
A metric space in which every Cauchy sequence converges is said to be complete. Thus, at least the Euclidean space is complete. 6 This limit is used in deriving the compound interest rate in the continuous time scenario. Suppose the annual interest rate is r, and the bank compounds interest n times a year. Then if a person deposits A pounds r n r nt in the bank, after one year he will get A(1 + n ) , and after t years he will get A(1 + n ) which will approach rt to Ae as n tends to innity. Therefore, the present value of x pounds available t years in the future is xert .
5

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Complex Numbers

We may encounter the situations in which we need to calculate square roots of negative real numbers. For examples, the solutions of x2 x + 1 = 0 are 1 3 14 = . x= 2 2 But we know that the square of any real number must be non-negative. Then 3 seems have no denition. We introduce complex numbers to deal with this kind of situations. 1 Denition: A complex number is a number of the form a + bi, where a and b are real numbers, and the symbol i satises i2 = 1. in the above example, the solutions can then be written as 1 3i , x= 2 since ( 3i)2 = 3. a is called the real part, and b is called the imaginary part. If b = 0, then the complex number a + bi becomes a real number; if a = 0 and b 6= 0, we call it an imaginary number. the complex number a bi is called the conjugate of a + bi. If z is a complex number, then its conjugate is denoted by z . So a + bi = a bi. Operations: Sum: (a + bi) (c + di) = (a c) + (b d)i Product: (a + bi) (c + di) = ac + adi + bci + bdi2 = (ac bd) + (ad + bc)i in particular, the product of a complex number and its conjugate must be a real non-negative number: (a + bi) (a bi) = a2 + b2 . Division: a + bi c + di = = = a + bi c di c + di c di (ac + bd) + (bc ad)i c2 + d2 ac + bd bc ad + 2 i. c2 + d2 c + d2 9

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Modulus: if z = a + bi, then the modulus of z is |z | =

a2 + b2 = z z .

Exercise 3 (i) If z1 and z2 are two complex numbers, show that z1 + z2 = z1 + z2 and z1 z2 = z1 z2 . (ii) Consider the polynomial equation c0 + c1 x + c2 x2 + + cn xn = 0, where all coecients ci are real numbers. If x is a solution, then so is its conjugate x .

Basic logics
Given a proposition statement P implies statement Q or simply P = Q, its converse is Q = P. Notice that if a proposition is true, its converse needs not to be. For example, x > 0 = x2 > 0 is true but x2 > 0 = x > 0 is not. Given a proposition P = Q, its contrapositive is Q = P, where means the negation of a statement. It says, if Q does not hold, then P does not hold either. Notice that if proposition is true, then its contrapositive must be true, and vice versa. That is, a proposition is logically equivalent to its contrapositive. If a statement involves universal quantier (e.g., all swans are white), then its negation involves an existential quantier (e.g., there exists one swan which is not white): to deny the truth of a universal statement only requires us to nd just one case where the statement fails. Similarly, the negation of an existential quantier involves a universal quantier: to deny that there is at least one case where the proposition holds requires us to show that the proposition fails in every case. Examples of negations: The negation of x A, f (x) > 0. 10

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

is x A such that f (x) 0. The negation of x A, y B such that f (x, y ) > 0. is x A such that for any y B , f (x, y ) 0. Sucient and necessary conditions: suppose P = Q. Then P is a sucient condition for Q (i.e., P is sucient for Q to be true), and Q is a necessary condition for P (i.e., for P to be true, Q must necessarily be true). suppose P Q, or P holds if and only if Q holds. Then P is a sucient and necessary condition for Q to be true, or the two statements P and Q are equivalent.

4.1

Proofs

Direct proofs: A = = B Contradiction: B = A Mathematical induction: Step 1: a statement is true when n = 1. Step 2: if this statement is true for n = k , we show it is also true for n = k + 1. Then we can conclude that this statement is true for any n 1. Notice that this method is only suitable for proving propositions about the integers or indexed by the integers. Exercise 4 Show 1 + 2 + + n =
n(n+1) . 2

11

MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Useful Equalities and Inequalities

Binomial equality: (a + b)
n n X n ni i a b = i i=0 n n1 n n2 2 n n a b+ a b + + abn1 + bn = a + 1 2 n1 n X i=1

i=

n(n + 1) 2

For |x| < 1,

X i=0

xi =

1 1x

and for x > 0,

ex > 1 + x

ln x < x 1. Arithmetic-Geometric mean inequality: for nonnegative xi and positive i , Pn qQ n i i=1 i xi i=1 xi Pn where = i=1 i . In particular, we have x1 + + xn n . x1 xn n Pn

Harmonic inequality: for positive xi , Pn n

i=1 1/xi

i=1 xi

Triangle inequality: Bernouli inequality:

|x y| |x z | + |z y |

(1 + x)n > 1 + nx for x > 1 and x 6= 0.

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MSc Maths and Statistics 2009 Department of Economics UCL

Chapter 0: Mathematical Preliminaries Jidong Zhou

Cauchy-Schwarz inequality:

n X
i=1

xi yi

!2

n X i=1

x2 i

n X i=1

2 yi

Youngs inequality: for positive a, b, p, and q, ab if

1 p

ap bq + p q

1 q

= 1.

13