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Oct 21, 2025
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Tail expectation formula for a non-negative random variable #1731

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d169e5b
tail expectation formula for non-negative RV
Yosuke-Ito-345 Oct 5, 2025
96ce77d
rm redundancies
affeldt-aist Oct 20, 2025
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modify name
Yosuke-Ito-345 Oct 21, 2025
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2 changes: 1 addition & 1 deletion CHANGELOG_UNRELEASED.md
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Expand Up @@ -12,7 +12,7 @@

- in `probability.v`:
+ definition `ccdf`
+ lemmas `cdf_fin_num`, `lebesgue_stieltjes_cdf_id`, `cdf_ccdf_1`, `ccdf_fin_num`, `ccdf_nonincreasing`, `cvg_ccdfy0`, `cvg_ccdfNy1`, `ccdf_right_continuous`
+ lemmas `lebesgue_stieltjes_cdf_id`, `cdf_ccdf_1`, `ccdf_nonincreasing`, `cvg_ccdfy0`, `cvg_ccdfNy1`, `ccdf_right_continuous`, `ge0_expectation_ccdf`
+ corollaries `ccdf_cdf_1`, `ccdf_1_cdf`, `cdf_1_ccdf`

- in `num_normedtype.v`:
Expand Down
91 changes: 77 additions & 14 deletions theories/probability.v
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Expand Up @@ -173,11 +173,6 @@ Lemma cdf_ge0 r : 0 <= cdf X r. Proof. by []. Qed.

Lemma cdf_le1 r : cdf X r <= 1. Proof. exact: probability_le1. Qed.

Lemma cdf_fin_num r : cdf X r \is a fin_num.
Proof.
by rewrite ge0_fin_numE ?cdf_ge0//; exact/(le_lt_trans (cdf_le1 r))/ltry.
Qed.

Lemma cdf_nondecreasing : nondecreasing_fun (cdf X).
Proof. by move=> r s rs; rewrite le_measure ?inE//; exact: subitvPr. Qed.

Expand Down Expand Up @@ -305,13 +300,13 @@ Let fcdf r := fine (cdf (idTR : {RV P >-> R}) r).

Let fcdf_nd : nondecreasing fcdf.
Proof.
by move=> *; apply: fine_le; [exact: cdf_fin_num.. | exact: cdf_nondecreasing].
by move=> *; rewrite fine_le ?fin_num_measure// cdf_nondecreasing.
Qed.

Let fcdf_rc : right_continuous fcdf.
Proof.
move=> a; apply: fine_cvg.
by rewrite fineK; [exact: cdf_right_continuous | exact: cdf_fin_num].
by rewrite fineK ?fin_num_measure//; exact: cdf_right_continuous.
Qed.

#[local] HB.instance Definition _ :=
Expand All @@ -335,7 +330,7 @@ rewrite /lebesgue_stieltjes_measure /measure_extension/=.
rewrite measurable_mu_extE/=; last exact: is_ocitv.
have [ab | ba] := leP a b; last first.
by rewrite set_itv_ge ?wlength0 ?measure0// bnd_simp -leNgt ltW.
rewrite wlength_itv_bnd// EFinB !fineK ?cdf_fin_num//.
rewrite wlength_itv_bnd// EFinB !fineK ?fin_num_measure//.
rewrite /cdf /distribution /pushforward !preimage_id.
have : `]a, b]%classic = `]-oo, b] `\` `]-oo, a] => [|->].
by rewrite -[RHS]setCK setCD setCitvl setUC -[LHS]setCK setCitv.
Expand All @@ -355,21 +350,18 @@ Local Open Scope ereal_scope.

Lemma cdf_ccdf_1 r : cdf X r + ccdf X r = 1.
Proof.
rewrite /cdf/ccdf -measureU//= -eq_opE; last exact: disjoint_rays.
rewrite /cdf /ccdf -measureU//= -eq_opE; last exact: disjoint_rays.
by rewrite itv_setU_setT probability_setT.
Qed.

Corollary ccdf_cdf_1 r : ccdf X r + cdf X r = 1.
Proof. by rewrite -(cdf_ccdf_1 r) addeC. Qed.

Corollary ccdf_1_cdf r : ccdf X r = 1 - cdf X r.
Proof. by rewrite -(ccdf_cdf_1 r) addeK ?cdf_fin_num. Qed.

Lemma ccdf_fin_num r : ccdf X r \is a fin_num.
Proof. by rewrite ccdf_1_cdf fin_numB cdf_fin_num -fine1. Qed.
Proof. by rewrite -(ccdf_cdf_1 r) addeK ?fin_num_measure. Qed.

Corollary cdf_1_ccdf r : cdf X r = 1 - ccdf X r.
Proof. by rewrite -(cdf_ccdf_1 r) addeK ?ccdf_fin_num. Qed.
Proof. by rewrite -(cdf_ccdf_1 r) addeK ?fin_num_measure. Qed.

Lemma ccdf_nonincreasing : nonincreasing_fun (ccdf X).
Proof. by move=> r s rs; rewrite le_measure ?inE//; exact: subitvPl. Qed.
Expand Down Expand Up @@ -483,6 +475,77 @@ End expectation_lemmas.
#[deprecated(since="mathcomp-analysis 1.8.0", note="renamed to `expectationZl`")]
Notation expectationM := expectationZl (only parsing).

Section tail_expectation_formula.
Local Open Scope ereal_scope.
Context d (T : measurableType d) (R : realType) (P : probability T R).

Let mu : {measure set _ -> \bar R} := @lebesgue_measure R.

Lemma ge0_expectation_ccdf (X : {RV P >-> R}) : (forall x, 0 <= X x)%R ->
'E_P[X] = \int[mu]_(r in `[0%R, +oo[) ccdf X r.
Proof.
pose GR := measurableTypeR R.
pose distrX := distribution P X.
pose D : set R := `[0%R, +oo[%classic.
move=> X_ge0.
transitivity (\int[P]_x ((EFin \_ D) \o X) x).
rewrite expectation_def; apply: eq_integral => x _ /=.
by rewrite /D patchE ifT// set_itvE inE /=.
transitivity (\int[distrX]_r (EFin \_ D) r).
rewrite ge0_integral_distribution// -?measurable_restrictT /D// => r.
by apply: erestrict_ge0 => s /=; rewrite in_itv/= andbT lee_fin.
transitivity (\int[distrX]_r (\int[mu]_(s in D) (\1_`]-oo, r[ s)%:E)).
apply: eq_integral => r _.
rewrite integral_indic /D//= setIC -(set_itv_splitI `[0%R, r[).
rewrite lebesgue_measure_itv/= lte_fin patchE.
have [r_pos | r_neg | <-] := ltgtP.
- by rewrite mem_set ?EFinN ?sube0//= in_itv/= ltW.
- by rewrite memNset//= in_itv/= leNgt r_neg.
- by rewrite mem_set//= in_itv/= lexx.
transitivity (\int[distrX]_r (\int[mu]_s (\1_`[0, r[ s)%:E)).
apply: eq_integral => r _; rewrite /D integral_mkcond.
apply: eq_integral => /= s _.
have [s_ge0 | s_lt0] := leP 0%R s.
- have [s_ltr | s_ger] := ltP s r.
+ rewrite indicE mem_set/=; last by rewrite in_itv/= s_ge0 s_ltr.
by rewrite patchE/= ifT ?indicE mem_set//= in_itv/= andbT.
+ rewrite indicE memNset/=; last by rewrite in_itv/= s_ge0 ltNge s_ger.
rewrite patchE ifT//; last by rewrite mem_set//= in_itv/= andbT.
by rewrite indicE memNset//= in_itv/= ltNge s_ger.
- rewrite indicE memNset/=; last by rewrite in_itv/= leNgt s_lt0.
by rewrite patchE/= ifF// memNset//= in_itv/= andbT leNgt s_lt0.
transitivity (\int[mu]_s (\int[distrX]_r (\1_`[0, r[ s)%:E)).
rewrite (fubini_tonelli (fun p : R * GR => (\1_`[0, p.1[ p.2)%:E))//=.
apply/measurable_EFinP/measurable_indic => /=.
pose fsnd (p : R * GR) := (0 <= p.2)%R.
pose f21 (p : R * GR) := (p.2 < p.1)%R.
rewrite [X in measurable X](_ : _ =
fsnd @^-1` [set true] `&` f21 @^-1` [set true]); last first.
by apply/seteqP; split => p; rewrite in_itv/= => /andP.
apply: measurableI.
- have : measurable_fun setT fsnd by exact: measurable_fun_ler.
by move=> /(_ measurableT [set true]); rewrite setTI; exact.
- have : measurable_fun setT f21 by exact: measurable_fun_ltr.
by move=> /(_ measurableT [set true]); rewrite setTI; exact.
transitivity (\int[mu]_(s in D) (\int[distrX]_r (\1_`[0, r[ s)%:E)).
rewrite [in RHS]integral_mkcond/=.
apply: eq_integral => s _; rewrite patchE /D.
have [s0|s0] := leP 0%R s; first by rewrite mem_set//= in_itv/= s0.
rewrite memNset//= ?in_itv/= ?leNgt ?s0//.
by apply: integral0_eq => r _; rewrite indicE/= memNset//= in_itv/= leNgt s0.
apply: eq_integral => s; rewrite /D inE/= in_itv/= andbT => s_ge0.
rewrite integral_indic//=.
rewrite /ccdf setIT set_itvoy; congr distribution.
by apply/funext => r/=; rewrite in_itv/= s_ge0.
pose fgts (r : R) := (s < r)%R.
have : measurable_fun setT fgts by exact: measurable_fun_ltr.
rewrite [X in measurable X](_ : _ = fgts @^-1` [set true]).
by move=> /(_ measurableT [set true]); rewrite setTI; exact.
by apply: eq_set => r; rewrite in_itv/= s_ge0.
Qed.

End tail_expectation_formula.

HB.lock Definition covariance {d} {T : measurableType d} {R : realType}
(P : probability T R) (X Y : T -> R) :=
'E_P[(X \- cst (fine 'E_P[X])) * (Y \- cst (fine 'E_P[Y]))]%E.
Expand Down
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