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Uncountable sample spaces are way too large

Edited by TsviBT last updated 16th Jun 2016

If the sample space Ω is uncountable, then in general we can't even define a probability distribution over Ω in the same way we defined probability distributions over countable sample spaces, i.e. by just assigning numbers to each point in the sample space. Any function f:Ω→[0,1] with ∑ω∈Ωf(ω)=1 can only assign positive values to at most countably many elements of Ω. But this means we can't, for example, talk about a uniform distribution over the interval [0,2], which intuitively should assign equal probability to everywhere in the interval.

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Sample space
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