INDEX

inner product space, 37, 85

input events, 8
integer sequence space, 34, 55, 57
integrable, 74
integral, 74
integrating to the limit, 77
intersection sets, 27
invariant, 91, 132
totally, 133
invariant function, 125
invariant measure, 125
isomorphic
dynamical systems, 24
measurable spaces, 23
probability spaces, 23
isomorphism, 23
iterated expectation, 114
join, 66
kernel, 59
Kolmogorov Extension Theorem, 41
Kolmogorov extension theorem, 26
Kronecker function, 35
l.i.m., 85
lag, 82
Lebesgue decomposition theorem, 107
Lebesgue measure, 43, 47
Lee metric, 35
left shift, 11
Levenshtein distance, 36
limit in the mean, 85
limit inferior, 70
limit infimum, 70, 71
limit point, 50
limit superior, 70
limit supremum, 70
limiting time average, 83
lower limit, 70
Lusin space, 25
Markov
k-step, 190
kth order, 190
Markov chain, 37, 119, 182
Markov inequality, 76
Markov property, 119
martingale, 118

207
match, 35
maximal ergodic lemma or theorem, 153
mean, 66
measurability, 11
measurable, 19
measurable function, 8, 96
measurable scheme, 59
measurable space, 5
standard, 29, 40
measure, 7
Lebesgue, 43, 47
measure space, 7
measurement, 65
digital, 66
discrete, 66
memoryless, 149
metric, 35
Hamming, 35
Lee, 35
metric space, 35
metrically transitive, 147
metrics
equivalent, 50
mixing, 149
mixture, 9, 160, 173
monotone class, 6, 16, 17, 22
monotone convergence theorem, 77
monotonicity, 18
multiplication, 36
nested expectation, 114
nonsingular, 140
norm, 85
Euclidean, 37
normed linear space, 36
null preserving, 140
one-sided random process, 10
open ball, 49
open set, 49
open sphere, 49
orthogonal, 103
outer measure, 19
parallelogram law, 102
partition, 27
partition distance, 38
perpindicular complement, 103
point, 35

INDEX

208
points
generic, 160
pointwise ergodic theorem, 153
Polish Borel space, 54
Polish schemes, 58
Polish space, 54, 88
power set, 6, 24, 34
pre-Hilbert space, 37
probabilistic average, 66
probability space, 5, 6
associated, 16
process
asymptotically mean stationary, 131
product
cartesion, 37
product distribution, 119
product space, 13, 37
Prohorov distance, 185
projection, 102, 104
projection theorem, 104
pseudo-metric, 35
quantization, 68
quantizer, 61, 69
Radon space, 25
Radon-Nikodym derivative, 105
Radon-Nikodym theorem, 105
random object, 8
random process, 10
directly given, 15
discrete time, 10
one-sided, 10
two-sided, 10
random processes
equivalent, 15
random variable, 5, 8
discrete, 66
random vector, 10
rectangle, 13
recurrence, 138
recurrent, 138
recurrent dynamical system, 138
recurrent event, 138
regular conditional probability, 95
remote -field, 136
restriction, 99
rho-bar distance, 180

sample average, 8183

sample mean, 82
scalar, 36
scheme, 58, 59
measurable, 59
schemes, 58
seminorm, 37
separable, 52
separating class, 30
sequentially compact, 38
set
F , 51
G , 51
open, 49
shift, 11, 81
shift transformation, 11
shtein distance, 180
sigma-field, 5
simple function, 66
singular, 107
size, 35
smallest -field, 13
space
Euclidean, 36
Hilbert, 53
inner product, 37, 85
metric, 35
normed linear, 36
pre-Hilbert, 37
standard, 26
standard measurable, 40
sphere
open, 49
standard Borel space, 50
standard diagonalization, 38
standard field, 29, 40
standard measurable space, 29, 40
standard probability space, 80
standard space, 26
standard spaces, 25
state, 11
stationary, 91
block, 131
stationary function, 125
stationary mean, 123, 131
strongly mixing, 149
subadditive, 164, 165
subadditive ergodic theorem, 164

INDEX
subadditivity, 18
submartingale, 118
subspace, 32
superadditive, 182
supermartingale, 118
Suslin space, 25
symmetric difference, 22
tail -field, 136
tail function, 136
Tchebychevs inequality, 76
thin cylinders, 34
time average, 81, 82
time averge, 83
time-averge mean, 82
topology, 50
totally ergodic, 159
totally invariant, 133
trivial space, 6
two-sided random process, 10
uniformly integrable, 77
upper limit, 70
version of the conditional expectation, 114
Vitali-Hahn-Saks Theorem, 128
wandering set, 139
weakly mixing, 149

209