Measure theory lemmas to be upstreamed to Mathlib

theorem Filter.EventuallyEq.div' {α : Type u_1} {β : Type u_2} [Div β] {f f' g g' : α → β} {l : Filter α} (h : f =ᶠ[l] g) (h' : f' =ᶠ[l] g') : f / f' =ᶠ[l] g / g'

theorem Filter.EventuallyEq.sub' {α : Type u_1} {β : Type u_2} [Sub β] {f f' g g' : α → β} {l : Filter α} (h : f =ᶠ[l] g) (h' : f' =ᶠ[l] g') : f - f' =ᶠ[l] g - g'

theorem ProbabilityTheory.charFun_pi {ι : Type u_1} [Fintype ι] {E : ι → Type u_2} {mE : (i : ι) → MeasurableSpace (E i)} [(i : ι) → NormedAddCommGroup (E i)] [(i : ι) → InnerProductSpace ℝ (E i)] (μ : (i : ι) → MeasureTheory.Measure (E i)) [∀ (i : ι), MeasureTheory.IsProbabilityMeasure (μ i)] (t : PiLp 2 E) : MeasureTheory.charFun (MeasureTheory.Measure.pi μ) t = ∏ i : ι, MeasureTheory.charFun (μ i) (t i)

@[simp]

theorem ProbabilityTheory.charFun_toDual_symm_eq_charFunDual {E : Type u_1} [NormedAddCommGroup E] [CompleteSpace E] [InnerProductSpace ℝ E] {mE : MeasurableSpace E} {μ : MeasureTheory.Measure E} (L : StrongDual ℝ E) : MeasureTheory.charFun μ ((InnerProductSpace.toDual ℝ E).symm L) = MeasureTheory.charFunDual μ L

theorem ProbabilityTheory.eq_gaussianReal_integral_variance {μ : MeasureTheory.Measure ℝ} {m : ℝ} {v : NNReal} (h : μ = gaussianReal m v) : μ = gaussianReal (∫ (x : ℝ), id x ∂μ) (variance id μ).toNNReal

theorem ProbabilityTheory.variance_pi {ι : Type u_1} [Fintype ι] {Ω : ι → Type u_2} {mΩ : (i : ι) → MeasurableSpace (Ω i)} {μ : (i : ι) → MeasureTheory.Measure (Ω i)} [∀ (i : ι), MeasureTheory.IsProbabilityMeasure (μ i)] {X : (i : ι) → Ω i → ℝ} (h : ∀ (i : ι), MeasureTheory.MemLp (X i) 2 (μ i)) : variance (∑ i : ι, fun (ω : (i : ι) → Ω i) => X i (ω i)) (MeasureTheory.Measure.pi μ) = ∑ i : ι, variance (X i) (μ i)

theorem ProbabilityTheory.centralMoment_of_integral_id_eq_zero {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X : Ω → ℝ} (p : ℕ) (hX : ∫ (x : Ω), X x ∂μ = 0) : centralMoment X p μ = ∫ (ω : Ω), X ω ^ p ∂μ

theorem ContinuousLinearMap.integral_comp_id_comm' {𝕜 : Type u_1} {E : Type u_2} {F : Type u_3} [RCLike 𝕜] [NormedAddCommGroup E] [NormedAddCommGroup F] [NormedSpace 𝕜 E] [NormedSpace ℝ E] [NormedSpace 𝕜 F] [NormedSpace ℝ F] [CompleteSpace E] [CompleteSpace F] [MeasurableSpace E] {μ : MeasureTheory.Measure E} (h : MeasureTheory.Integrable id μ) (L : E →L[𝕜] F) : ∫ (x : E), L x ∂μ = L (∫ (x : E), id x ∂μ)

theorem ContinuousLinearMap.integral_comp_id_comm {𝕜 : Type u_1} {E : Type u_2} {F : Type u_3} [RCLike 𝕜] [NormedAddCommGroup E] [NormedAddCommGroup F] [NormedSpace 𝕜 E] [NormedSpace ℝ E] [NormedSpace 𝕜 F] [NormedSpace ℝ F] [CompleteSpace E] [CompleteSpace F] [MeasurableSpace E] {μ : MeasureTheory.Measure E} (h : MeasureTheory.Integrable id μ) (L : E →L[𝕜] F) : ∫ (x : E), L x ∂μ = L (∫ (x : E), x ∂μ)

theorem ContinuousLinearMap.integral_id_map {𝕜 : Type u_1} {E : Type u_2} {F : Type u_3} [RCLike 𝕜] [NormedAddCommGroup E] [NormedAddCommGroup F] [NormedSpace 𝕜 E] [NormedSpace ℝ E] [NormedSpace 𝕜 F] [NormedSpace ℝ F] [CompleteSpace E] [CompleteSpace F] [MeasurableSpace E] {μ : MeasureTheory.Measure E} [OpensMeasurableSpace E] [MeasurableSpace F] [BorelSpace F] [SecondCountableTopology F] (h : MeasureTheory.Integrable id μ) (L : E →L[𝕜] F) : ∫ (x : F), x ∂MeasureTheory.Measure.map (⇑L) μ = L (∫ (x : E), x ∂μ)

theorem EuclideanSpace.coe_measurableEquiv' {ι : Type u_1} : ⇑(EuclideanSpace.measurableEquiv ι) = ⇑(equiv ι ℝ)

@[simp]

theorem zero_mem_parallelepiped {ι : Type u_1} {E : Type u_2} [Fintype ι] [AddCommGroup E] [Module ℝ E] {v : ι → E} : 0 ∈ parallelepiped v

@[simp]

theorem nonempty_parallelepiped {ι : Type u_1} {E : Type u_2} [Fintype ι] [AddCommGroup E] [Module ℝ E] {v : ι → E} : (parallelepiped v).Nonempty

@[simp]

theorem volume_of_nonempty_of_subsingleton {E : Type u_1} [NormedAddCommGroup E] [InnerProductSpace ℝ E] [FiniteDimensional ℝ E] [MeasurableSpace E] [Subsingleton E] {s : Set E} (hs : s.Nonempty) : MeasureTheory.volume s = 1

theorem MeasureTheory.Measure.IsMulLeftInvariant.measure_ball_const {G : Type u_1} [Group G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulLeftInvariant] [IsIsometricSMul G G] [MeasurableMul G] (a b : G) (r : ℝ) : μ (Metric.ball a r) = μ (Metric.ball b r)

theorem MeasureTheory.Measure.IsAddLeftInvariant.measure_ball_const {G : Type u_1} [AddGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddLeftInvariant] [IsIsometricVAdd G G] [MeasurableAdd G] (a b : G) (r : ℝ) : μ (Metric.ball a r) = μ (Metric.ball b r)

theorem MeasureTheory.Measure.IsMulRightInvariant.measure_ball_const {G : Type u_1} [CommGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulRightInvariant] [IsIsometricSMul Gᵐᵒᵖ G] [MeasurableMul G] (a b : G) (r : ℝ) : μ (Metric.ball a r) = μ (Metric.ball b r)

theorem MeasureTheory.Measure.IsAddRightInvariant.measure_ball_const {G : Type u_1} [AddCommGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddRightInvariant] [IsIsometricVAdd Gᵃᵒᵖ G] [MeasurableAdd G] (a b : G) (r : ℝ) : μ (Metric.ball a r) = μ (Metric.ball b r)

theorem MeasureTheory.Measure.IsMulLeftInvariant.measure_closedBall_const {G : Type u_1} [Group G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulLeftInvariant] [IsIsometricSMul G G] [MeasurableMul G] (a b : G) (r : ℝ) : μ (Metric.closedBall a r) = μ (Metric.closedBall b r)

theorem MeasureTheory.Measure.IsAddLeftInvariant.measure_closedBall_const {G : Type u_1} [AddGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddLeftInvariant] [IsIsometricVAdd G G] [MeasurableAdd G] (a b : G) (r : ℝ) : μ (Metric.closedBall a r) = μ (Metric.closedBall b r)

theorem MeasureTheory.Measure.IsMulRightInvariant.measure_closeBall_const {G : Type u_1} [CommGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulRightInvariant] [IsIsometricSMul Gᵐᵒᵖ G] [MeasurableMul G] (a b : G) (r : ℝ) : μ (Metric.closedBall a r) = μ (Metric.closedBall b r)

theorem MeasureTheory.Measure.IsAddRightInvariant.measure_closeBall_const {G : Type u_1} [AddCommGroup G] [PseudoMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddRightInvariant] [IsIsometricVAdd Gᵃᵒᵖ G] [MeasurableAdd G] (a b : G) (r : ℝ) : μ (Metric.closedBall a r) = μ (Metric.closedBall b r)

theorem MeasureTheory.Measure.IsMulLeftInvariant.measure_ball_const' {G : Type u_1} [Group G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulLeftInvariant] [IsIsometricSMul G G] [MeasurableMul G] (a b : G) (r : ENNReal) : μ (EMetric.ball a r) = μ (EMetric.ball b r)

theorem MeasureTheory.Measure.IsAddLeftInvariant.measure_ball_const' {G : Type u_1} [AddGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddLeftInvariant] [IsIsometricVAdd G G] [MeasurableAdd G] (a b : G) (r : ENNReal) : μ (EMetric.ball a r) = μ (EMetric.ball b r)

theorem MeasureTheory.Measure.IsMulRightInvariant.measure_ball_const' {G : Type u_1} [CommGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulRightInvariant] [IsIsometricSMul Gᵐᵒᵖ G] [MeasurableMul G] (a b : G) (r : ENNReal) : μ (EMetric.ball a r) = μ (EMetric.ball b r)

theorem MeasureTheory.Measure.IsAddRightInvariant.measure_ball_const' {G : Type u_1} [AddCommGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddRightInvariant] [IsIsometricVAdd Gᵃᵒᵖ G] [MeasurableAdd G] (a b : G) (r : ENNReal) : μ (EMetric.ball a r) = μ (EMetric.ball b r)

theorem MeasureTheory.Measure.IsMulLeftInvariant.measure_closedBall_const' {G : Type u_1} [Group G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulLeftInvariant] [IsIsometricSMul G G] [MeasurableMul G] (a b : G) (r : ENNReal) : μ (EMetric.closedBall a r) = μ (EMetric.closedBall b r)

theorem MeasureTheory.Measure.IsAddLeftInvariant.measure_closedBall_const' {G : Type u_1} [AddGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddLeftInvariant] [IsIsometricVAdd G G] [MeasurableAdd G] (a b : G) (r : ENNReal) : μ (EMetric.closedBall a r) = μ (EMetric.closedBall b r)

theorem MeasureTheory.Measure.IsMulRightInvariant.measure_closeBall_const' {G : Type u_1} [CommGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsMulRightInvariant] [IsIsometricSMul Gᵐᵒᵖ G] [MeasurableMul G] (a b : G) (r : ENNReal) : μ (EMetric.closedBall a r) = μ (EMetric.closedBall b r)

theorem MeasureTheory.Measure.IsAddRightInvariant.measure_closeBall_const' {G : Type u_1} [AddCommGroup G] [PseudoEMetricSpace G] [MeasurableSpace G] [OpensMeasurableSpace G] (μ : Measure G) [μ.IsAddRightInvariant] [IsIsometricVAdd Gᵃᵒᵖ G] [MeasurableAdd G] (a b : G) (r : ENNReal) : μ (EMetric.closedBall a r) = μ (EMetric.closedBall b r)

theorem InnerProductSpace.volume_closedBall_div {E : Type u_1} [NormedAddCommGroup E] [InnerProductSpace ℝ E] [FiniteDimensional ℝ E] [MeasurableSpace E] [BorelSpace E] (x y : E) {r s : ℝ} (hr : 0 < r) (hs : 0 < s) : MeasureTheory.volume (Metric.closedBall x r) / MeasureTheory.volume (Metric.closedBall y s) = ENNReal.ofReal (r / s) ^ Module.finrank ℝ E

theorem InnerProductSpace.volume_closedBall_div' {E : Type u_1} [NormedAddCommGroup E] [InnerProductSpace ℝ E] [FiniteDimensional ℝ E] [MeasurableSpace E] [BorelSpace E] (x y : E) (r s : ENNReal) : MeasureTheory.volume (EMetric.closedBall x r) / MeasureTheory.volume (EMetric.closedBall y s) = (r / s) ^ Module.finrank ℝ E

theorem ProbabilityTheory.covariance_fun_add_left {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y Z : Ω → ℝ} [MeasureTheory.IsFiniteMeasure μ] (hX : MeasureTheory.MemLp X 2 μ) (hY : MeasureTheory.MemLp Y 2 μ) (hZ : MeasureTheory.MemLp Z 2 μ) : covariance (fun (ω : Ω) => X ω + Y ω) Z μ = covariance (fun (ω : Ω) => X ω) Z μ + covariance (fun (ω : Ω) => Y ω) Z μ

theorem ProbabilityTheory.covariance_fun_add_right {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y Z : Ω → ℝ} [MeasureTheory.IsFiniteMeasure μ] (hX : MeasureTheory.MemLp X 2 μ) (hY : MeasureTheory.MemLp Y 2 μ) (hZ : MeasureTheory.MemLp Z 2 μ) : covariance X (fun (ω : Ω) => Y ω + Z ω) μ = covariance X (fun (ω : Ω) => Y ω) μ + covariance X (fun (ω : Ω) => Z ω) μ

theorem ProbabilityTheory.covariance_fun_sub_left {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y Z : Ω → ℝ} [MeasureTheory.IsFiniteMeasure μ] (hX : MeasureTheory.MemLp X 2 μ) (hY : MeasureTheory.MemLp Y 2 μ) (hZ : MeasureTheory.MemLp Z 2 μ) : covariance (fun (ω : Ω) => X ω - Y ω) Z μ = covariance X Z μ - covariance Y Z μ

theorem ProbabilityTheory.covariance_fun_sub_right {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y Z : Ω → ℝ} [MeasureTheory.IsFiniteMeasure μ] (hX : MeasureTheory.MemLp X 2 μ) (hY : MeasureTheory.MemLp Y 2 μ) (hZ : MeasureTheory.MemLp Z 2 μ) : covariance X (fun (ω : Ω) => Y ω - Z ω) μ = covariance X (fun (ω : Ω) => Y ω) μ - covariance X (fun (ω : Ω) => Z ω) μ

theorem ProbabilityTheory.covariance_fun_div_left {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y : Ω → ℝ} (c : ℝ) : covariance (fun (ω : Ω) => X ω / c) Y μ = covariance X Y μ / c

theorem ProbabilityTheory.covariance_fun_div_right {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X Y : Ω → ℝ} (c : ℝ) : covariance X (fun (ω : Ω) => Y ω / c) μ = covariance X Y μ / c

theorem ProbabilityTheory.variance_fun_div {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : MeasureTheory.Measure Ω} {X : Ω → ℝ} (c : ℝ) (hX : AEMeasurable X μ) : variance (fun (ω : Ω) => X ω / c) μ = variance X μ / c ^ 2