Singular measure

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In mathematics, two positive (or signed or complex) measures μ and ν defined on a measurable space (Ω, Σ) are called singular if there exist two disjoint sets A and B in Σ whose union is Ω such that μ is zero on all measurable subsets of B while ν is zero on all measurable subsets of A. This is denoted by \mu \perp \nu.

A refined form of Lebesgue's decomposition theorem decomposes a singular measure into a singular continuous measure and a discrete measure. See below for examples.

[edit] Examples on Rn

As a particular case, a measure defined on the Euclidean space Rn is called singular, if it is singular in respect to the Lebesgue measure on this space. For example, the Dirac delta function is a singular measure.

Example. A discrete measure.

The Heaviside step function on the real line,

H(x) \ \stackrel{\mathrm{def}}{=} \ \left\{ \begin{matrix} 0, & x < 0; \\ 1, & x \geq 0; \end{matrix} \right.

has the Dirac delta distribution δ0 as its distributional derivative. This is a measure on the real line, a "point mass" at 0. However, the Dirac measure δ0 is not absolutely continuous with respect to Lebesgue measure λ, nor is λ absolutely continuous with respect to δ0: λ({0}) = 0 but δ0({0}) = 1; if U is any open set not containing 0, then λ(U) > 0 but δ0(U) = 0.

Example. A singular continuous measure.

The Cantor distribution has a cumulative distribution function that is continuous but not absolutely continuous, and indeed its absolutely continuous part is zero: it is singular continuous.

[edit] See also

[edit] References

  • Eric W Weisstein, CRC Concise Encyclopedia of Mathematics, CRC Press, 2002. ISBN 1-58488-347-2.
  • J Taylor, An Introduction to Measure and Probability, Springer, 1996. ISBN 0-387-94830-9.

This article incorporates material from singular measure on PlanetMath, which is licensed under the GFDL.