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The one-way Fubini property and conditional independence: an equivalence result. (English) Zbl 1454.62064

Summary: A process defined by a continuum of random variables with non-degenerate idiosyncratic risk is not jointly measurable with respect to the usual product \(\sigma \)-algebra. We show that the process is jointly measurable in a one-way Fubini extension of the product space if and only if there is a countably generated \(\sigma \)-algebra given which the random variables are essentially pairwise conditionally independent, while their conditional distributions also satisfy a suitable joint measurability condition. Applications include: (i) new characterizations of essential pairwise independence and essential pairwise exchangeability; (ii) when a one-way Fubini extension exists, the need for the sample space to be saturated if there is an essentially random regular conditional distribution with respect to the usual product \(\sigma \)-algebra.

MSC:

62E10 Characterization and structure theory of statistical distributions
60A10 Probabilistic measure theory
60B05 Probability measures on topological spaces
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