Probability theory and examples 4ed Edition

Durrett R. pdf download

https://ebookgate.com/product/probability-theory-and-
examples-4ed-edition-durrett-r/

Get Instant Ebook Downloads – Browse at https://ebookgate.com

Instant digital products (PDF, ePub, MOBI) available
Download now and explore formats that suit you...

Probability and statistics 4ed. Edition Degroot M.

https://ebookgate.com/product/probability-and-statistics-4ed-edition-
degroot-m/

ebookgate.com

Number Theory Structures Examples and Problems 1st Edition

Dorin Andrica

https://ebookgate.com/product/number-theory-structures-examples-and-
problems-1st-edition-dorin-andrica/

ebookgate.com

An Introduction to Dynamic Meteorology 4ed Edition James

R. Holton (Eds.)

https://ebookgate.com/product/an-introduction-to-dynamic-
meteorology-4ed-edition-james-r-holton-eds/

ebookgate.com

Probability Concepts and Theory for Engineers 1st Edition

Harry Schwarzlander

https://ebookgate.com/product/probability-concepts-and-theory-for-
engineers-1st-edition-harry-schwarzlander/

ebookgate.com
Real Analysis and Probability 2nd edition Edition Dudley
R. M.

https://ebookgate.com/product/real-analysis-and-probability-2nd-
edition-edition-dudley-r-m/

ebookgate.com

Reinforced Concrete Design to Eurocodes Design Theory and

Examples 4th Edition Bhatt

https://ebookgate.com/product/reinforced-concrete-design-to-eurocodes-
design-theory-and-examples-4th-edition-bhatt/

ebookgate.com

Probability and Statistics with R 1st Edition Maria

Dolores Ugarte

https://ebookgate.com/product/probability-and-statistics-with-r-1st-
edition-maria-dolores-ugarte/

ebookgate.com

One Thousand Exercises In Probability Solution Manual of

Probability and Random Processes 1st Edition Geoffrey R.
Grimmett
https://ebookgate.com/product/one-thousand-exercises-in-probability-
solution-manual-of-probability-and-random-processes-1st-edition-
geoffrey-r-grimmett/
ebookgate.com

Lectures on Probability Theory and Mathematical Statistics

2nd Edition Marco Taboga

https://ebookgate.com/product/lectures-on-probability-theory-and-
mathematical-statistics-2nd-edition-marco-taboga/

ebookgate.com
This page intentionally left blank
 Probability

Theory and Examples

Fourth Edition

This book is an introduction to probability theory covering laws of large

numbers, central limit theorems, random walks, martingales, Markov
chains, ergodic theorems, and Brownian motion. It is a comprehensive
treatment concentrating on the results that are the most useful for appli-
cations. Its philosophy is that the best way to learn probability is to see it
in action, so there are 200 examples and 450 problems.

Rick Durrett received his Ph.D. in operations research from Stanford

University in 1976. After nine years at UCLA and twenty-five at Cornell
University, he moved to Duke University in 2010, where he is a professor
of mathematics. He is the author of 8 books and more than 170 journal
articles on a wide variety of topics, and he has supervised more than
40 Ph.D. students. He is a member of the National Academy of Science
and the American Academy of Arts and Sciences and a Fellow of the
Institute of Mathematical Statistics.
CAMBRIDGE SERIES IN STATISTICAL AND PROBABILISTIC MATHEMATICS

Editorial Board:
Z. Ghahramani, Department of Engineering, University of Cambridge
R. Gill, Department of Mathematics, Utrecht University
F. Kelly, Statistics Laboratory, University of Cambridge
B. D. Ripley, Department of Statistics, University of Oxford
S. Ross, Department of Industrial & Systems Engineering, University of
Southern California
M. Stein, Department of Statistics, University of Chicago

This series of high-quality upper-division textbooks and expository monographs covers

all aspects of stochastic applicable mathematics. The topics range from pure and applied
statistics to probability theory, operations research, optimization, and mathematical pro-
gramming. The books contain clear presentations of new developments in the field and
also of the state of the art in classical methods. While emphasizing rigorous treatment of
theoretical methods, the books also contain applications and discussions of new techniques
made possible by advances in computational practice.

Already Published

1. Bootstrap Methods and Their Application, by A. C. Davison and D. V. Hinkley

2. Markov Chains, by J. Norris
3. Asymptotic Statistics, by A. W. van der Vaart
4. Wavelet Methods for Time Series Analysis, by Donald B. Percival and Andrew T.
Walden
5. Bayesian Methods, by Thomas Leonard and John S. J. Hsu
6. Empirical Processes in M-Estimation, by Sara van de Geer
7. Numerical Methods of Statistics, by John F. Monahan
8. A User’s Guide to Measure Theoretic Probability, by David Pollard
9. The Estimation and Tracking of Frequency, by B. G. Quinn and E. J. Hannan
10. Data Analysis and Graphics Using R, by John Maindonald and John Braun
11. Statistical Models, by A. C. Davison
12. Semiparametric Regression, by D. Ruppert, M. P. Wand, and R. J. Carroll
13. Exercise in Probability, by Loic Chaumont and Marc Yor
14. Statistical Analysis of Stochastic Processes in Time, by J. K. Lindsey
15. Measure Theory and Filtering, by Lakhdar Aggoun and Robert Elliott
16. Essentials of Statistical Inference, by G. A. Young and R. L. Smith
17. Elements of Distribution Theory, by Thomas A. Severini
18. Statistical Mechanics of Disordered Systems, by Anton Bovier
19. The Coordinate-Free Approach to Linear Models, by Michael J. Wichura
20. Random Graph Dynamics, by Rick Durrett
21. Networks, by Peter Whittle
22. Saddlepoint Approximations with Applications, by Ronald W. Butler
23. Applied Asymptotics, by A. R. Brazzale, A. C. Davison, and N. Reid
24. Random Networks for Communication, by Massimo Franceschetti and Ronald Meester
25. Design of Comparative Experiments, by R. A. Bailey
26. Symmetry Studies, by Marlos A. G. Viana
27. Model Selection and Model Averaging, by Gerda Claeskens and Nils Lid Hjort
28. Bayesian Nonparametrics, by Nils Lid Hjort, Peter Müller, and Stephen G. Walker
29. From Finite Sample to Asymptotic Methods in Statistics, by Pranab K. Sen, Julio M.
Singer, and Antonio C. Pedroso de Lima
30. Brownian Motion, by Peter Mörters and Yuval Peres
 Probability
Theory and Examples
Fourth Edition

RICK DURRETT
Department of Mathematics, Duke University
cambridge university press
Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore,
São Paulo, Delhi, Dubai, Tokyo, Mexico City

Cambridge University Press

32 Avenue of the Americas, New York, NY 10013-2473, USA
www.cambridge.org
Information on this title: www.cambridge.org/9780521765398

C Rick Durrett 1991, 1995, 2004, 2010

This publication is in copyright. Subject to statutory exception

and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without the written
permission of Cambridge University Press.

First edition published 1991 by Wadsworth Publishing

Second edition published 1995 by Duxbury Press
Third edition published 2004 by Duxbury Press
Fourth edition published 2010 by Cambridge University Press

Printed in the United States of America

A catalog record for this publication is available from the British Library.

Library of Congress Cataloging in Publication data

Durrett, Richard, 1951–
Probability : theory and examples / Rick Durrett. – 4th ed.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-521-76539-8 (hardback)
1. Probabilities. I. Title.
QA273.D865 2010
519.2–dc22 2010013387

ISBN 978-0-521-76539-8 Hardback

Cambridge University Press has no responsibility for the persistence or accuracy of URLs for
external or third-party Internet Web sites referred to in this publication and does not
guarantee that any content on such Web sites is, or will remain, accurate or appropriate.
 Contents

Preface page ix

1 Measure Theory 1
1.1 Probability Spaces 1
1.2 Distributions 9
1.3 Random Variables 14
1.4 Integration 17
1.5 Properties of the Integral 23
1.6 Expected Value 27
1.6.1 Inequalities 27
1.6.2 Integration to the Limit 29
1.6.3 Computing Expected Values 30
1.7 Product Measures, Fubini’s Theorem 36
2 Laws of Large Numbers 41
2.1 Independence 41
2.1.1 Sufficient Conditions for Independence 43
2.1.2 Independence, Distribution, and Expectation 45
2.1.3 Sums of Independent Random Variables 47
2.1.4 Constructing Independent Random Variables 50
2.2 Weak Laws of Large Numbers 53
2.2.1 L2 Weak Laws 53
2.2.2 Triangular Arrays 56
2.2.3 Truncation 59
2.3 Borel-Cantelli Lemmas 64
2.4 Strong Law of Large Numbers 73
2.5 Convergence of Random Series* 78
2.5.1 Rates of Convergence 82
2.5.2 Infinite Mean 84
2.6 Large Deviations* 86
3 Central Limit Theorems 94
3.1 The De Moivre-Laplace Theorem 94
3.2 Weak Convergence 97
3.2.1 Examples 97
3.2.2 Theory 100

v
vi Contents

3.3 Characteristic Functions 106

3.3.1 Definition, Inversion Formula 106
3.3.2 Weak Convergence 112
3.3.3 Moments and Derivatives 114
3.3.4 Polya’s Criterion* 118
3.3.5 The Moment Problem* 120
3.4 Central Limit Theorems 124
3.4.1 i.i.d. Sequences 124
3.4.2 Triangular Arrays 129
3.4.3 Prime Divisors (Erdös-Kac)* 133
3.4.4 Rates of Convergence (Berry-Esseen)* 137
3.5 Local Limit Theorems* 141
3.6 Poisson Convergence 146
3.6.1 The Basic Limit Theorem 146
3.6.2 Two Examples with Dependence 151
3.6.3 Poisson Processes 154
3.7 Stable Laws* 158
3.8 Infinitely Divisible Distributions* 169
3.9 Limit Theorems in Rd 172
4 Random Walks 179
4.1 Stopping Times 179
4.2 Recurrence 189
4.3 Visits to 0, Arcsine Laws* 201
4.4 Renewal Theory* 208
5 Martingales 221
5.1 Conditional Expectation 221
5.1.1 Examples 223
5.1.2 Properties 226
5.1.3 Regular Conditional Probabilities* 230
5.2 Martingales, Almost Sure Convergence 232
5.3 Examples 239
5.3.1 Bounded Increments 239
5.3.2 Polya’s Urn Scheme 241
5.3.3 Radon-Nikodym Derivatives 242
5.3.4 Branching Processes 245
5.4 Doob’s Inequality, Convergence in Lp 249
5.4.1 Square Integrable Martingales* 254
5.5 Uniform Integrability, Convergence in L1 258
5.6 Backwards Martingales 264
5.7 Optional Stopping Theorems 269
6 Markov Chains 274
6.1 Definitions 274
6.2 Examples 277
6.3 Extensions of the Markov Property 282
6.4 Recurrence and Transience 288
6.5 Stationary Measures 296
6.6 Asymptotic Behavior 307
 Contents vii

6.7 Periodicity, Tail σ -field* 314

6.8 General State Space* 318
6.8.1 Recurrence and Transience 322
6.8.2 Stationary Measures 323
6.8.3 Convergence Theorem 324
6.8.4 GI/G/1 Queue 325
7 Ergodic Theorems 328
7.1 Definitions and Examples 328
7.2 Birkhoff’s Ergodic Theorem 333
7.3 Recurrence 338
7.4 A Subadditive Ergodic Theorem* 342
7.5 Applications* 347
8 Brownian Motion 353
8.1 Definition and Construction 353
8.2 Markov Property, Blumenthal’s 0-1 Law 359
8.3 Stopping Times, Strong Markov Property 365
8.4 Path Properties 370
8.4.1 Zeros of Brownian Motion 370
8.4.2 Hitting Times 371
8.4.3 Lévy’s Modulus of Continuity 375
8.5 Martingales 376
8.5.1 Multidimensional Brownian Motion 380
8.6 Donsker’s Theorem 382
8.7 Empirical Distributions, Brownian Bridge 391
8.8 Laws of the Iterated Logarithm* 396
Appendix A: Measure Theory Details 401
A.1 Carathéodory’s Extension Theorem 401
A.2 Which Sets Are Measurable? 407
A.3 Kolmogorov’s Extension Theorem 410
A.4 Radon-Nikodym Theorem 412
A.5 Differentiating under the Integral 416

References 419
Index 425
 Preface

In 1989 when the first edition of this book was completed, my sons David and
Greg were 3 and 1, and the cover picture showed the Dow Jones at 2650. The past
20 years have brought many changes, but the song remains the same. The title
of the book indicates that as we develop the theory, we will focus our attention
on examples. Hoping that the book would be a useful reference for people who
apply probability in their work, we have tried to emphasize the results that are
important for applications, and have illustrated their use with roughly 200 examples.
Probability is not a spectator sport, so the book contains almost 450 exercises to
challenge readers and to deepen their understanding.
This fourth edition has two major changes (in addition to a new publisher):
(i) The book has been converted from TeX to LaTeX. The systematic use of labels
should eventually eliminate problems with references to other points in the
text. In addition, the picture environment and graphicx package has allowed
the figures lost from the third edition to be reintroduced and a number of new
ones to be added.
(ii) Four sections of the old appendix have been combined with the first three
sections of Chapter 1 to make a new first chapter on measure theory, which
should allow the book to be used by people who do not have this background
without making the text tedious for those who have.
Acknowledgments. I am always grateful to the many people who sent me com-
ments and typos. Helping to correct the first edition were David Aldous, Ken
Alexander, Daren Cline, Ted Cox, Robert Dalang, Joe Glover, David Griffeath, Phil
Griffin, Joe Horowitz, Olav Kallenberg, Jim Kuelbs, Robin Pemantle, Yuval Peres,
Ken Ross, Steve Samuels, Byron Schmuland, Jon Wellner, and Ruth Williams.
The third edition benefited from input from Manel Baucells, Eric Blair, Zhen-
Qing Chen, Finn Christensen, Ted Cox, Bradford Crain, Winston Crandall, Amir
Dembo, Neil Falkner, Changyong Feng, Brighten Godfrey, Boris Granovsky, Jan
Hannig, Andrew Hayen, Martin Hildebrand, Kyoungmun Jang, Anatole Joffe,
Daniel Kifer, Steve Krone, Greg Lawler, T. Y. Lee, Shlomo Levental, Torgny Lind-
vall, Arif Mardin, Carl Mueller, Robin Pemantle, Yuval Peres, Mark Pinsky, Ross
Pinsky, Boris Pittel, David Pokorny, Vinayak Prabhu, Brett Presnell, Jim Propp,

ix
x Preface

Yossi Schwarzfuchs, Rami Shakarchi, Lian Shen, Marc Shivers, Rich Sowers, Bob
Strain, Tsachy Weissman, and Hao Zhang.
New helpers for the fourth edition include John Angus, Phillipe Charmony, Adam
Cruz, Ricky Der, Justin Dyer, Piet Groeneboom, Vlad Island, Elena Kosygina,
Richard Laugesen, Sungchul Lee, Shlomo Levental, Ping Li, Fredddy López, Lutz
Mattner, Piotr Milos, Davey Owen, Brett Presnell, Igal Sason, Alex Smith, Laurent
Tournier, Harsha Wabgaonkar, John Walsh, Tsachy Weissman, Neil Wu, Ofer
Zeitouni, Martin Zerner, and Andrei Zherebtsov. I apologize to those whose names
have been omitted or are new typos.
Family update. David graduated from Ithaca College in May 2009 with a degree
in print journalism, and like many of his peers is struggling to find work. Greg has
one semester to go at MIT and is applying to graduate schools in computer science.
He says he wants to do research in “machine learning,” so perhaps he can write a
program to find and correct the typos in my books.
After 25 years in Ithaca, we moved to Durham in June 2010 and I have taken a
position in the math department at Duke. Everyone seems to focus on the fact that
we are trading very cold winters for hotter summers and a much longer growing
season, but the real attraction is the excellent opportunities for interdisciplinary
research in the Research Triangle.
The more things change, the more they stay the same: inevitably there will be
typos in the new version. You can email me at rtd@math.duke.edu

Rick Durrett, July 2010

 1
Measure Theory

In this chapter, we recall some definitions and results from measure theory. Our
purpose here is to provide an introduction for readers who have not seen these
concepts before and to review that material for those who have. Harder proofs,
especially those that do not contribute much to one’s intuition, are hidden away
in the Appendix. Readers with a solid background in measure theory can skip
Sections 1.4, 1.5, and 1.7, which were previously part of the Appendix.

1.1 Probability Spaces

Here and throughout the book, terms being defined are set in boldface. We begin
with the most basic quantity. A probability space is a triple (, F, P ) where  is
a set of “outcomes,” F is a set of “events,” and P : F → [0, 1] is a function that
assigns probabilities to events. We assume that F is a σ -field (or σ -algebra), that
is, a (nonempty) collection of subsets of  that satisfy

(i) if A ∈ F then Ac ∈ F, and

(ii) if Ai ∈ F is a countable sequence of sets then ∪i Ai ∈ F.

Here and in what follows, countable means finite or countably infinite. Since
∩i Ai = (∪i Aci )c , it follows that a σ -field is closed under countable intersections.
We omit the last property from the definition to make it easier to check.
Without P , (, F) is called a measurable space, that is, it is a space on which
we can put a measure. A measure is a nonnegative countably additive set function;
that is, a function µ : F → R with

(i) µ(A) ≥ µ(∅) = 0 for all A ∈ F, and

(ii) if Ai ∈ F is a countable sequence of disjoint sets, then


µ(∪i Ai ) = µ(Ai )
i

If µ() = 1, we call µ a probability measure. In this book, probability mea-

sures are usually denoted by P .

1
2 Measure Theory

The next result gives some consequences of the definition of a measure that we
will need later. In all cases, we assume that the sets we mention are in F.

Theorem 1.1.1. Let µ be a measure on (, F)

(i) Monotonicity. If A ⊂ B then µ(A) ≤ µ(B).
∞
(ii) Subadditivity. If A ⊂ ∪∞
m=1 Am then µ(A) ≤ m=1 µ(Am ).
(iii) Continuity from below. If Ai ↑ A (i.e., A1 ⊂ A2 ⊂ . . . and ∪i Ai = A) then
µ(Ai ) ↑ µ(A).
(iv) Continuity from above. If Ai ↓ A (i.e., A1 ⊃ A2 ⊃ . . . and ∩i Ai = A), with
µ(A1 ) < ∞ then µ(Ai ) ↓ µ(A).

Proof.
(i) Let B − A = B ∩ Ac be the difference of the two sets. Using + to denote
disjoint union, B = A + (B − A) so
µ(B) = µ(A) + µ(B − A) ≥ µ(A).
(ii) Let An = An ∩ A, B1 = A1 and for n > 1, Bn = An − ∪n−1  c
m=1 (Am ) . Since the
Bn are disjoint and have union A, we have, using (i) of the definition of
measure, Bm ⊂ Am , and (i) of this theorem,
∞

∞


µ(A) = µ(Bm ) ≤ µ(Am )
m=1 m=1

(iii) Let Bn = An − An−1 . Then the Bn are disjoint and have ∪∞

m=1 Bm = A,
∪m=1 Bm = An so
n

∞



n
µ(A) = µ(Bm ) = lim µ(Bm ) = lim µ(An )
n→∞ n→∞
m=1 m=1

(iv) A1 − An ↑ A1 − A so (iii) implies µ(A1 − An ) ↑ µ(A1 − A). Since A1 ⊃ B,

we have µ(A1 − B) = µ(A1 ) − µ(B) and it follows that µ(An ) ↓ µ(A).

The simplest setting, which should be familiar from undergraduate probabi-

lity, is:

Example 1.1.1. Discrete probability spaces. Let  = a countable set, that is,
finite or countably infinite. Let F = the set of all subsets of . Let



P (A) = p(ω) where p(ω) ≥ 0 and p(ω) = 1
ω∈A ω∈

A little thought reveals that this is the most general probability measure on this
space. In many cases when  is a finite set, we have p(ω) = 1/|| where || =
the number of points in .
For a simple concrete example that requires this level of generality, consider the
astragali, dice used in ancient Egypt made from the ankle bones of sheep. This die
 1.1 Probability Spaces 3

could come to rest on the top side of the bone for four points or on the bottom for
three points. The side of the bone was slightly rounded. The die could come to rest
on a flat and narrow piece for six points or somewhere on the rest of the side for
one point. There is no reason to think that all four outcomes are equally likely, so
we need probabilities p1 , p3 , p4 , and p6 to describe P .

To prepare for our next definition, we need:

Exercise 1.1.1. (i) If Fi , i ∈ I are σ -fields, then ∩i∈I Fi is. Here I = ∅ is an

arbitrary index set (i.e., possibly uncountable). (ii) Use the result in (i) to show that
if we are given a set  and a collection A of subsets of , then there is a smallest
σ -field containing A. We will call this the σ -field generated by A and denote it
by σ (A).

Let Rd be the set of vectors (x1 , . . . xd ) of real numbers and Rd be the Borel sets,
the smallest σ -field containing the open sets. When d = 1, we drop the superscript.

Example 1.1.2. Measures on the real line. Measures on (R, R) are defined by
giving probability a Stieltjes measure function with the following properties:
(i) F is nondecreasing.
(ii) F is right continuous, that is, limy↓x F (y) = F (x).

Theorem 1.1.2. Associated with each Stieltjes measure function F there is a unique
measure µ on (R, R) with µ(a, b]) = F (b) − F (a)
µ((a, b]) = F (b) − F (a) (1.1.1)

When F (x) = x the resulting measure is called Lebesgue measure.

The proof of Theorem 1.1.2 is a long and winding road, so we will content
ourselves with describing the main ideas involved in this section and hide the
remaining details in the Appendix in Section A.1. The choice of “closed on the
right” in (a, b] is dictated by the fact that if bn ↓ b then we have
∩n (a, bn ] = (a, b]
The next definition will explain the choice of “open on the left.”
A collection S of sets is said to be a semialgebra if (i) it is closed under
intersection, that is, S, T ∈ S implies S ∩ T ∈ S, and (ii) if S ∈ S then S c is a
finite disjoint union of sets in S. An important example of a semialgebra is:

Example 1.1.3. Sd = the empty set plus all sets of the form
(a1 , b1 ] × · · · × (ad , bd ] ⊂ Rd where − ∞ ≤ ai < bi ≤ ∞

The definition in (1.1.1) gives the values of µ on the semialgebra S1 . To go from

semialgebra to σ -algebra we use an intermediate step. A collection A of subsets
4 Measure Theory

of  is called an algebra (or field) if A, B ∈ A implies Ac and A ∪ B are in A.

Since A ∩ B = (Ac ∪ B c )c , it follows that A ∩ B ∈ A. Obviously a σ -algebra is
an algebra. An example in which the converse is false is:

Example 1.1.4. Let  = Z = the integers. A = the collection of A ⊂ Z so that A

or Ac is finite is an algebra.

Lemma 1.1.3. If S is a semialgebra, then S̄ = {finite disjoint unions of sets in S}

is an algebra, called the algebra generated by S.

Proof. Suppose A = +i Si and B = +j Tj , where + denotes disjoint union and

we assume the index sets are finite. Then A ∩ B = +i,j Si ∩ Tj ∈ S̄. As for com-
plements, if A = +i Si then Ac = ∩i Sic . The definition of S implies Sic ∈ S̄. We
have shown that S̄ is closed under intersection, so it follows by induction that
Ac ∈ S̄.

Example 1.1.5. Let  = R and S = S1 . Then S̄1 = the empty set plus all sets of
the form

∪ki=1 (ai , bi ] where − ∞ ≤ ai < bi ≤ ∞

Given a set function µ on S, we can extend it to S̄ by

 
n
µ +ni=1 Ai = µ(Ai )
i=1

By a measure on an algebra A, we mean a set function µ with

(i) µ(A) ≥ µ(∅) = 0 for all A ∈ A, and

(ii) if Ai ∈ A are disjoint and their union is in A, then
∞


 
µ ∪∞
i=1 Ai = µ(Ai )
i=1

µ is said to be σ -finite if there is a sequence of sets An ∈ A so that µ(An ) < ∞

and ∪n An = . Letting A1 = A1 and for n ≥ 2,
 
An = ∪nm=1 Am or An = An ∩ ∩n−1 m=1 Am ∈ A
c

we can without loss of generality assume that An ↑  or the An are disjoint.

The next result helps us to extend a measure defined on a semialgebra S to the
σ -algebra it generates, σ (S)

Theorem 1.1.4. Let S be a semialgebra and let µ defined on S have µ(∅) = 0.


Suppose (i) if S ∈ S is a finite disjoint union of sets Si ∈ S then µ(S) = i µ(Si ),

and (ii) if Si , S ∈ S with S = +i≥1 Si then µ(S) ≤ i≥1 µ(Si ). Then µ has a unique
 1.1 Probability Spaces 5

extension µ̄ that is a measure on S̄ the algebra generated by S. If µ̄ is sigma-finite

then there is a unique extension ν that is a measure on σ (S).

In (ii) above, and in what follows, i ≥ 1 indicates a countable union, while a plain
subscript i or j indicates a finite union. The proof of Theorems 1.1.4 is rather
involved, so it is given in Section A.1. To check condition (ii) in the theorem, the
following is useful.

Lemma 1.1.5. Suppose only that (i) holds.


(a) If A, Bi ∈ S̄ with A = +ni=1 Bi then µ̄(A) = i µ̄(Bi ).

(b) If A, Bi ∈ S̄ with A ⊂ ∪ni=1 Bi then µ̄(A) ≤ i µ̄(Bi ).

Proof. Observe that it follows from the definition that if A = +i Bi is a finite

disjoint union of sets in S̄ and Bi = +j Si,j , then



µ̄(A) = µ(Si,j ) = µ̄(Bi )
i,j i

To prove (b), we begin with the case n = 1, B1 = B. B = A + (B ∩ Ac ) and

B ∩ Ac ∈ S̄, so

µ̄(A) ≤ µ̄(A) + µ̄(B ∩ Ac ) = µ̄(B)

To handle n > 1 now, let Fk = B1c ∩ · · · ∩ Bk−1

c
∩ Bk and note

∪i Bi = F1 + · · · + Fn
A = A ∩ (∪i Bi ) = (A ∩ F1 ) + · · · + (A ∩ Fn )

so using (a), (b) with n = 1, and (a) again

n

n
µ̄(A) = µ̄(A ∩ Fk ) ≤ µ̄(Fk ) = µ̄ (∪i Bi )

k=1 k=1

Proof of Theorem 1.1.2. Let S be the semialgebra of half-open intervals (a, b]

with −∞ ≤ a < b ≤ ∞. To define µ on S, we begin by observing that

F (∞) = lim F (x) and F (−∞) = lim F (x) exist

x↑∞ x↓−∞

and µ((a, b]) = F (b) − F (a) makes sense for all −∞ ≤ a < b ≤ ∞ since
F (∞) > −∞ and F (−∞) < ∞.
If (a, b] = +ni=1 (ai , bi ] then after relabeling the intervals we must have a1 = a,
bn = b, and ai = bi−1 for 2 ≤ i ≤ n, so condition (i) in Theorem 1.1.4 holds. To
check (ii), suppose first that −∞ < a < b < ∞, and (a, b] ⊂ ∪i≥1 (ai , bi ] where
(without loss of generality) −∞ < ai < bi < ∞. Pick δ > 0 so that F (a + δ) <
F (a) +  and pick ηi so that

F (bi + ηi ) < F (bi ) + 2−i

6 Measure Theory

The open intervals (ai , bi + ηi ) cover [a + δ, b], so there is a finite subcover

(αj , βj ), 1 ≤ j ≤ J . Since (a + δ, b] ⊂ ∪Jj=1 (αj , βj ], (b) in Lemma 1.1.5 implies

J ∞


F (b) − F (a + δ) ≤ F (βj ) − F (αj ) ≤ (F (bi + ηi ) − F (ai ))
j =1 i=1

So, by the choice of δ and ηi ,

∞


F (b) − F (a) ≤ 2 + (F (bi ) − F (ai ))
i=1

and since  is arbitrary, we have proved the result in the case −∞ < a < b < ∞. To
remove the last restriction, observe that if (a, b] ⊂ ∪i (ai , bi ] and (A, B] ⊂ (a, b]
has −∞ < A < B < ∞, then we have
∞


F (B) − F (A) ≤ (F (bi ) − F (ai ))
i=1

Since the last result holds for any finite (A, B] ⊂ (a, b], the desired result
follows.

Measures on Rd
Our next goal is to prove a version of Theorem 1.1.2 for Rd . The first step is to
introduce the assumptions on the defining function F . By analogy with the case
d = 1 it is natural to assume:
(i) It is nondecreasing, that is, if x ≤ y (meaning xi ≤ yi for all i), then F (x) ≤
F (y).
(ii) F is right continuous, that is, limy↓x F (y) = F (x) (here y ↓ x means each
yi ↓ xi ).
However this time it is not enough. Consider the following F :
⎧
⎪
⎪ 1 if x1 , x2 ≥ 1
⎪
⎪
⎨2/3 if x ≥ 1 and 0 ≤ x < 1
1 2
F (x1 , x2 ) =
⎪
⎪ 2/3 if x2 ≥ 1 and 0 ≤ x2 < 1
⎪
⎪
⎩0 otherwise
See Figure 1.1 for a picture. A little thought shows that
µ((a1 , b1 ] × (a2 , b2 ]) = µ((−∞, b1 ] × (−∞, b2 ]) − µ((−∞, a1 ] × (−∞, b2 ])
− µ((−∞, b1 ] × (−∞, a2 ]) + µ((−∞, a1 ] × (−∞, a2 ])
= F (b1 , b2 ) − F (a1 , b2 ) − F (b1 , a2 ) + F (a1 , a2 )
Using this with a1 = a2 = 1 −  and b1 = b2 = 1 and letting  → 0, we see that
µ({1, 1}) = 1 − 2/3 − 2/3 + 0 = −1/3
 1.1 Probability Spaces 7

0 2/3 1

0 0 2/3

0 0 0

Figure 1.1. Picture of the counterexample.

Similar reasoning shows that µ({1, 0}) = µ({0, 1} = 2/3.

To formulate the third and final condition for F to define a measure, let
A = (a1 , b1 ] × · · · × (ad , bd ]
V = {a1 , b1 } × · · · × {ad , bd }
where −∞ < ai < bi < ∞. To emphasize that ∞’s are not allowed, we will call
A a finite rectangle. Then V = the vertices of the rectangle A. If v ∈ V , let

sgn (v) = (−1)# of a’s in v

AF = sgn (v)F (v)
v∈V

We will let µ(A) = AF , so we must assume

(iii) AF ≥ 0 for all rectangles A.

Theorem 1.1.6. Suppose F : Rd → [0, 1] satisfies (i)–(iii) given above. Then there
is a unique probability measure µ on (Rd , Rd ) so that µ(A) = A F for all finite
rectangles.

d
Example 1.1.6. Suppose F (x) = i=1 Fi (x), where the Fi satisfy (i) and (ii) of
Theorem 1.1.2. In this case,
d

AF = (Fi (bi ) − Fi (ai ))

i=1

When Fi (x) = x for all i, the resulting measure is Lebesgue measure on Rd .

Proof. We let µ(A) = A F for all finite rectangles and then use monotonicity
to extend the definition to Sd . To check (i) of Theorem 1.1.4, call A = +k Bk a
regular subdivision of A if there are sequences ai = αi,0 < αi,1 . . . < αi,ni = bi
so that each rectangle Bk has the form
(α1,j1 −1 , α1,j1 ] × · · · × (αd,jd −1 , αd,jd ] where 1 ≤ ji ≤ ni
8 Measure Theory

Figure 1.2. Conversion of a subdivision to a regular one.


It is easy to see that for regular subdivisions λ(A) = k λ(Bk ). (First consider the
case in which all the endpoints are finite, and then take limits to get the general
case.) To extend this result to a general finite subdivision A = +j Aj , subdivide
further to get a regular one see Figure 1.2.
The proof of (ii) is almost identical to that in Theorem 1.1.2. To make things
easier to write and to bring out the analogies with Theorem 1.1.2, we let

(x, y) = (x1 , y1 ) × · · · × (xd , yd )

(x, y] = (x1 , y1 ] × · · · × (xd , yd ]
[x, y] = [x1 , y1 ] × · · · × [xd , yd ]

for x, y ∈ Rd . Suppose first that −∞ < a < b < ∞, where the inequalities mean
that each component is finite, and suppose (a, b] ⊂ ∪i≥1 (a i , bi ], where (without
loss of generality) −∞ < a i < bi < ∞. Let 1̄ = (1, . . . , 1), pick δ > 0 so that

µ((a + δ 1̄, b]) < µ((a, b]) + 

and pick ηi so that

µ((a, bi + ηi 1̄]) < µ((a i , bi ]) + 2−i

The open rectangles (a i , bi + ηi 1̄) cover [a + δ 1̄, b], so there is a finite subcover
(α j , β j ), 1 ≤ j ≤ J . Since (a + δ 1̄, b] ⊂ ∪Jj=1 (α j , β j ], (b) in Lemma 1.1.5 implies

J ∞


µ([a + δ 1̄, b]) ≤ µ((α j , β j ]) ≤ µ((a i , bi + ηi 1̄])
j =1 i=1

So, by the choice of δ and ηi ,

∞


µ((a, b]) ≤ 2 + µ((a i , bi ])
i=1

and since  is arbitrary, we have proved the result in the case −∞ < a < b < ∞.
The proof can now be completed exactly as before.

 1.2 Distributions 9

Exercises
1.1.2. Let  = R, F = all subsets so that A or Ac is countable, P (A) = 0 in the
first case and = 1 in the second. Show that (, F, P ) is a probability space.

1.1.3. Recall the definition of Sd from Example 1.1.3. Show that σ (Sd ) = Rd , the
Borel subsets of Rd .

1.1.4. A σ -field F is said to be countably generated if there is a countable

collection C ⊂ F so that σ (C) = F. Show that Rd is countably generated.

1.1.5. (i) Show that if F1 ⊂ F2 ⊂ . . . are σ -algebras, then ∪i Fi is an algebra. (ii)

Give an example to show that ∪i Fi need not be a σ -algebra.

1.1.6. A set A ⊂ {1, 2, . . .} is said to have asymptotic density θ if

lim |A ∩ {1, 2, . . . , n}|/n = θ

n→∞

Let A be the collection of sets for which the asymptotic density exists. Is A a
σ -algebra? an algebra?

1.2 Distributions
Probability spaces become a little more interesting when we define random vari-
ables on them. A real-valued function X defined on  is said to be a random
variable if for every Borel set B ⊂ R we have X −1 (B) = {ω : X(ω) ∈ B} ∈ F.
When we need to emphasize the σ -field, we will say that X is F-measurable or
write X ∈ F. If  is a discrete probability space (see Example 1.1.1), then any
function X :  → R is a random variable. A second trivial, but useful, type of
example of a random variable is the indicator function of a set A ∈ F:

1 ω∈A
1A (ω) =
0 ω ∈ A

The notation is supposed to remind you that this function is 1 on A. Analysts call
this object the characteristic function of A. In probability, that term is used for
something quite different. (See Section 3.3.)
If X is a random variable, then X induces a probability measure on R called
its distribution by setting µ(A) = P (X ∈ A) for Borel sets A. Using the notation
introduced above, the right-hand side can be written as P (X−1 (A)). In words, we
pull A ∈ R back to X−1 (A) ∈ F and then take P of that set.
To check that µ is a probability measure we observe that if the Ai are disjoint,
then using the definition of µ; the fact that X lands in the union if and only if it
lands in one of the Ai ; the fact that if the sets Ai ∈ R are disjoint then the events
{X ∈ Ai } are disjoint; and the definition of µ again, we have:



µ (∪i Ai ) = P (X ∈ ∪i Ai ) = P (∪i {X ∈ Ai }) = P (X ∈ Ai ) = µ(Ai )
i i
10 Measure Theory

(, F, P ) (R, R) µ = P ◦ X−1

X- A
−1

X (A)


Figure 1.3. Definition of the distribution of X.

The distribution of a random variable X is usually described by giving its

distribution function, F (x) = P (X ≤ x).

Theorem 1.2.1. Any distribution function F has the following properties:

(i) F is nondecreasing.
(ii) limx→∞ F (x) = 1, limx→−∞ F (x) = 0.
(iii) F is right continuous, that is, limy↓x F (y) = F (x).
(iv) If F (x−) = limy↑x F (y) then F (x−) = P (X < x).
(v) P (X = x) = F (x) − F (x−).

Proof. To prove (i), note that if x ≤ y then {X ≤ x} ⊂ {X ≤ y}, and then use (i)
in Theorem 1.1.1 to conclude that P (X ≤ x) ≤ P (X ≤ y).
To prove (ii), we observe that if x ↑ ∞, then {X ≤ x} ↑ , while if x ↓ −∞, then
{X ≤ x} ↓ ∅, and then use (iii) and (iv) of Theorem 1.1.1.
To prove (iii), we observe that if y ↓ x, then {X ≤ y} ↓ {X ≤ x}.
To prove (iv), we observe that if y ↑ x, then {X ≤ y} ↑ {X < x}.
For (v), note P (X = x) = P (X ≤ x) − P (X < x) and use (iii) and (iv).

The next result shows that we have found more than enough properties to char-
acterize distribution functions.

Theorem 1.2.2. If F satisfies (i), (ii), and (iii) in Theroem 1.2.1, then it is the
distribution function of some random variable.

Proof. Let  = (0, 1), F = the Borel sets, and P = Lebesgue measure. If ω ∈ (0, 1),
let
X(ω) = sup{y : F (y) < ω}
Once we show that
(∗) {ω : X(ω) ≤ x} = {ω : ω ≤ F (x)}
the desired result follows immediately since P (ω : ω ≤ F (x)) = F (x). (Recall P
is Lebesgue measure.) To check ( ), we observe that if ω ≤ F (x) then X(ω) ≤ x,
since x ∈/ {y : F (y) < ω}. On the other hand if ω > F (x), then since F is right
continuous, there is an  > 0 so that F (x + ) < ω and X(ω) ≥ x +  > x.

 1.2 Distributions 11

y 


x



F −1 (x) F −1 (y)
Figure 1.4. Picture of the inverse defined in the proof of Theorem 1.2.2.

Even though F may not be 1-1 and onto, we will call X the inverse of F and
denote it by F −1 . The scheme in the proof of Theorem 1.2.2 is useful in generating
random variables on a computer. Standard algorithms generate random variables
U with a uniform distribution; then one applies the inverse of the distribution func-
tion defined in Theorem 1.2.2 to get a random variable F −1 (U ) with distribution
function F .
If X and Y induce the same distribution µ on (R, R), we say X and Y are equal
in distribution. In view of Theorem 1.1.2, this holds if and only if X and Y have
the same distribution function, that is, P (X ≤ x) = P (Y ≤ x) for all x. When X
and Y have the same distribution, we like to write
d
X=Y
but this is too tall to use in text, so for typographical reasons we will also use
X =d Y .
When the distribution function F (x) = P (X ≤ x) has the form
x
F (x) = f (y) dy (1.2.1)
−∞

we say that X has density function f . In remembering formulas, it is often useful

to think of f (x) as being P (X = x) although
x+
P (X = x) = lim f (y) dy = 0
→0 x−

By popular demand we have ceased our previous practice of writing P (X = x)

for the density function. Instead we will use things like the lovely and informative
fX (x).
We can start with f and use (1.2.1) to define a distribution function F . In order
to end up with a distribution function it is necessary and sufficient that f (x) ≥ 0
and f (x) dx = 1. Three examples that will be important in what follows are:

Example 1.2.1. Uniform distribution on (0,1). f (x) = 1 for x ∈ (0, 1) and 0

otherwise. Distribution function:
⎧
⎨0 x ≤ 0
⎪
F (x) = x 0 ≤ x ≤ 1
⎪
⎩
1 x>1
12 Measure Theory

Example 1.2.2. Exponential distribution with rate λ. f (x) = λe−λx for x ≥ 0

and 0 otherwise. Distribution function:

0 x≤0
F (x) = −x
1−e x≥0

Example 1.2.3. Standard normal distribution.

f (x) = (2π )−1/2 exp(−x 2 /2)

In this case, there is no closed-form expression for F (x), but we have the following
bounds that are useful for large x:

Theorem 1.2.3. For x > 0,

∞
(x −1 − x −3 ) exp(−x 2 /2) ≤ exp(−y 2 /2)dy ≤ x −1 exp(−x 2 /2)
x

Proof. Changing variables y = x + z and using exp(−z2 /2) ≤ 1 gives

∞ ∞
exp(−y 2 /2) dy ≤ exp(−x 2 /2) exp(−xz) dz = x −1 exp(−x 2 /2)
x 0

For the other direction, we observe

∞
(1 − 3y −4 ) exp(−y 2 /2) dy = (x −1 − x −3 ) exp(−x 2 /2)

x

A distribution function on R is said to be absolutely continuous if it has a density

and singular if the corresponding measure is singular w.r.t. Lebesgue measure. See
Section A.4 for more on these notions. An example of a singular distribution is:

Example 1.2.4. Uniform distribution on the Cantor set. The Cantor set C is
defined by removing (1/3, 2/3) from [0,1] and then removing the middle third
of each interval that remains. We define an associated distribution function by
setting F (x) = 0 for x ≤ 0, F (x) = 1 for x ≥ 1, F (x) = 1/2 for x ∈ [1/3, 2/3],
F (x) = 1/4 for x ∈ [1/9, 2/9], F (x) = 3/4 for x ∈ [7/9, 8/9], . . . There is no f
for which (1.2.1) holds because such an f would be equal to 0 on a set of measure 1.
From the definition, it is immediate that the corresponding measure has µ(C c ) = 0.

A probability measure P (or its associated distribution function) is said to be

discrete if there is a countable set S with P (S c ) = 0. The simplest example of a
discrete distribution is

Example 1.2.5. Point mass at 0. F (x) = 1 for x ≥ 0, F (x) = 0 for x < 0.

 1.2 Distributions 13
-
-
-
-
-
-
-
-
0 1
Figure 1.5. Cantor distribution function.

In Section 1.6, we will see the Bernoulli, Poisson, and geometric distributions.
The next example shows that the distribution function associated with a discrete
probability measure can be quite wild.

Example 1.2.6. Dense discontinuities. Let q1 , q2 , . . . be an enumeration of the


rationals. Let αi > 0 have ∞
i=1 α1 = 1 and let
∞


F (x) = αi 1[qi ,∞)
i=1

where 1[θ,∞) (x) = 1 if x ∈ [θ, ∞) = 0 otherwise.

Exercises
1.2.1. Suppose X and Y are random variables on (, F, P ) and let A ∈ F. Show
that if we let Z(ω) = X(ω) for ω ∈ A and Z(ω) = Y (ω) for ω ∈ Ac , then Z is a
random variable.

1.2.2. Let χ have the standard normal distribution. Use Theorem 1.2.3 to get upper
and lower bounds on P (χ ≥ 4).

1.2.3. Show that a distribution function has at most countably many discontinuities.

1.2.4. Show that if F (x) = P (X ≤ x) is continuous then Y = F (X) has a uniform

distribution on (0,1), that is, if y ∈ [0, 1], P (Y ≤ y) = y.

1.2.5. Suppose X has continuous density f , P (α ≤ X ≤ β) = 1 and g is a function

that is strictly increasing and differentiable on (α, β). Then g(X) has density
f (g −1 (y))/g  (g −1 (y)) for y ∈ (g(α), g(β)) and 0 otherwise. When g(x) = ax + b
with a > 0, g −1 (y) = (y − b)/a, so the answer is (1/a)f ((y − b)/a).

1.2.6. Suppose X has a normal distribution. Use the previous exercise to compute
the density of exp(X). (The answer is called the lognormal distribution.)

1.2.7. (i) Suppose X has density function f . Compute the distribution function
of X2 and then differentiate to find its density function. (ii) Work out the answer
when X has a standard normal distribution to find the density of the chi-square
distribution.
14 Measure Theory

1.3 Random Variables

In this section, we will develop some results that will help us later to prove that
quantities we define are random variables, that is, they are measurable. Since most
of what we have to say is true for random elements of an arbitrary measurable
space (S, S) and the proofs are the same (sometimes easier), we will develop our
results in that generality. First we need a definition. A function X :  → S is said
to be a measurable map from (, F) to (S, S) if
X −1 (B) ≡ {ω : X(ω) ∈ B} ∈ F for all B ∈ S
If (S, S) = (Rd , Rd ) and d > 1, then X is called a random vector. Of course, if
d = 1, X is called a random variable, or r.v. for short.
The next result is useful for proving that maps are measurable.

Theorem 1.3.1. If {ω : X(ω) ∈ A} ∈ F for all A ∈ A and A generates S (i.e., S

is the smallest σ -field that contains A), then X is measurable.

Proof. Writing {X ∈ B} as shorthand for {ω : X(ω) ∈ B}, we have

{X ∈ ∪i Bi } = ∪i {X ∈ Bi }
{X ∈ B c } = {X ∈ B}c
So the class of sets B = {B : {X ∈ B} ∈ F} is a σ -field. Since B ⊃ A and A
generates S, B ⊃ S.

It follows from the two equations displayed in the previous proof that if S is a
σ -field, then {{X ∈ B} : B ∈ S} is a σ -field. It is the smallest σ -field on  that
makes X a measurable map. It is called the σ -field generated by X and denoted
σ (X). For future reference we note that
σ (X) = {{X ∈ B} : B ∈ S} (1.3.1)

Example 1.3.1. If (S, S) = (R, R), then possible choices of A in Theorem 1.3.1
are {(−∞, x] : x ∈ R} or {(−∞, x) : x ∈ Q} where Q = the rationals.

Example 1.3.2. If (S, S) = (Rd , Rd ), a useful choice of A is

{(a1 , b1 ) × · · · × (ad , bd ) : −∞ < ai < bi < ∞}
or occasionally the larger collection of open sets.

Theorem 1.3.2. If X : (, F) → (S, S) and f : (S, S) → (T , T ) are measurable

maps, then f (X) is a measurable map from (, F) to (T , T )

Proof. Let B ∈ T . {ω : f (X(ω)) ∈ B} = {ω : X(ω) ∈ f −1 (B)} ∈ F, since by

assumption f −1 (B) ∈ S.

 1.3 Random Variables 15

From Theorem 1.3.2, it follows immediately that if X is a random variable then

so is cX for all c ∈ R, X2 , sin(X), and so on. The next result shows why we wanted
to prove Theorem 1.3.2 for measurable maps.

Theorem 1.3.3. If X1 , . . . Xn are random variables and f : (Rn , Rn ) → (R, R)

is measurable, then f (X1 , . . . , Xn ) is a random variable.

Proof. In view of Theorem 1.3.2, it suffices to show that (X1 , . . . , Xn ) is a random

vector. To do this, we observe that if A1 , . . . , An are Borel sets then

{(X1 , . . . , Xn ) ∈ A1 × · · · × An } = ∩i {Xi ∈ Ai } ∈ F

Since sets of the form A1 × · · · × An generate Rn , the desired result follows from
Theorem 1.3.1.

Theorem 1.3.4. If X1 , . . . , Xn are random variables then X1 + · · · + Xn is a

random variable.

Proof. In view of Theorem 1.3.3, it suffices to show that f (x1 , . . . , xn ) =

x1 + · · · + xn is measurable. To do this, we use Example 1.3.1 and note that
{x : x1 + · · · + xn < a} is an open set and hence is in Rn .

Theorem 1.3.5. If X1 , X2 , . . . are random variables then so are

inf Xn sup Xn lim sup Xn lim inf Xn

n n n n

Proof. Since the infimum of a sequence is < a if and only if some term is < a (if
all terms are ≥ a, then so is the infimum), we have

{inf Xn < a} = ∪n {Xn < a} ∈ F

n

A similar argument shows {supn Xn > a} = ∪n {Xn > a} ∈ F. For the last two, we
observe
 
lim inf Xn = sup inf Xm
n→∞ n m≥n
 
lim sup Xn = inf sup Xm
n→∞ n m≥n

To complete the proof in the first case, note that Yn = inf m≥n Xm is a random
variable for each n, so supn Yn is as well.

From Theorem 1.3.5, we see that

o ≡ {ω : lim Xn exists } = {ω : lim sup Xn − lim inf Xn = 0}

n→∞ n→∞ n→∞
16 Measure Theory

is a measurable set. (Here ≡ indicates that the first equality is a definition.) If

P (o ) = 1, we say that Xn converges almost surely, or a.s. for short. This type of
convergence is called almost everywhere in measure theory. To have a limit defined
on the whole space, it is convenient to let

X∞ = lim sup Xn
n→∞

but this random variable may take the value +∞ or −∞. To accommodate this
and some other headaches, we will generalize the definition of random variable.
A function whose domain is a set D ∈ F and whose range is R∗ ≡ [−∞, ∞] is
said to be a random variable if for all B ∈ R∗ we have X −1 (B) = {ω : X(ω) ∈
B} ∈ F. Here R∗ = the Borel subsets of R∗ with R∗ given the usual topology,
that is, the one generated by intervals of the form [−∞, a), (a, b) and (b, ∞]
where a, b ∈ R. The reader should note that the extended real line (R∗ , R∗ ) is a
measurable space, so all the results above generalize immediately.

Exercises
1.3.1. Show that if A generates S, then X −1 (A) ≡ {{X ∈ A} : A ∈ A} generates
σ (X) = {{X ∈ B} : B ∈ S}.

1.3.2. Prove Theorem 1.3.4 when n = 2 by checking {X1 + X2 < x} ∈ F.

1.3.3. Show that if f is continuous and Xn → X almost surely, then f (Xn ) →

f (X) almost surely.

1.3.4. (i) Show that a continuous function from Rd → R is a measurable map from
(Rd , Rd ) to (R, R). (ii) Show that Rd is the smallest σ -field that makes all the
continuous functions measurable.

1.3.5. A function f is said to be lower semicontinuous or l.s.c. if

lim inf f (y) ≥ f (x)

y→x

and upper semicontinuous (u.s.c.) if −f is l.s.c. Show that f is l.s.c. if and

only if {x : f (x) ≤ a} is closed for each a ∈ R and conclude that semicontinuous
functions are measurable.

1.3.6. Let f : Rd → R be an arbitrary function and let f δ (x) = sup{f (y) : |y −

x| < δ} and fδ (x) = inf{f (y) : |y − x| < δ} where |z| = (z12 + · · · + zd2 )1/2 . Show
that f δ is l.s.c. and fδ is u.s.c. Let f 0 = limδ↓0 f δ , f0 = limδ↓0 fδ , and conclude
that the set of points at which f is discontinuous = {f 0 = f0 } is measurable.

1.3.7. A function ϕ :  → R is said to be simple if

n
ϕ(ω) = cm 1Am (ω)
m=1
 1.4 Integration 17

where the cm are real numbers and Am ∈ F. Show that the class of F measurable
functions is the smallest class containing the simple functions and closed under
pointwise limits.

1.3.8. Use the previous exercise to conclude that Y is measurable with respect to
σ (X) if and only if Y = f (X) where f : R → R is measurable.

1.3.9. To get a constructive proof of the last result, note that {ω : m2−n ≤ Y <
(m + 1)2−n } = {X ∈ Bm,n } for some Bm,n ∈ R and set fn (x) = m2−n for x ∈ Bm,n
and show that as n → ∞ fn (x) → f (x) and Y = f (X).

1.4 Integration
Let µ be a σ -finite measure on (, F). We will be primarily interested in the
special case µ is a probability measure, but we will sometimes need to integrate
with respect to infinite measure, and and it is no harder to develop the results in
general.
In this section we will define f dµ for a class of measurable functions. This
is a four-step procedure:

1. Simple functions
2. Bounded functions
3. Nonnegative functions
4. General functions

This sequence of four steps is also useful in proving integration formulas. See, for
example, the proofs of Theorems 1.6.9 and 1.7.2.

Step 1. ϕ is said to be a simple function if ϕ(ω) = ni=1 ai 1Ai and Ai are disjoint
sets with µ(Ai ) < ∞. If ϕ is a simple function, we let


n
ϕ dµ = ai µ(Ai )
i=1

The representation of ϕ is not unique since we have not supposed that the ai
are distinct. However, it is easy to see that the last definition does not contradict
itself.
We will prove the next three conclusions four times, but before we can state
them for the first time, we need a definition. ϕ ≥ ψ µ-almost everywhere (or
ϕ ≥ ψ µ-a.e.) means µ({ω : ϕ(ω) < ψ(ω)}) = 0. When there is no doubt about
what measure we are referring to, we drop the µ.

Lemma 1.4.1. Let ϕ and ψ be simple functions.

(i) If ϕ ≥ 0 a.e. then ϕ dµ ≥ 0.
(ii) For any a ∈ R, aϕ dµ = a ϕ dµ.
(iii) ϕ + ψ dµ = ϕ dµ + ψ dµ.
18 Measure Theory

Proof. (i) and (ii) are immediate consequences of the definition. To prove (iii),
suppose


m

n
ϕ= ai 1Ai and ψ = bj 1B j
i=1 j =1

To make the supports of the two functions the same, we let A0 = ∪i Bi − ∪i Ai , let
B0 = ∪i Ai − ∪i Bi , and let a0 = b0 = 0. Now


m

n
ϕ+ψ = (ai + bj )1(Ai ∩Bj )
i=0 j =0

and the Ai ∩ Bj are pairwise disjoint, so

m

n
(ϕ + ψ) dµ = (ai + bj )µ(Ai ∩ Bj )
i=0 j =0

m

n

n

m
= ai µ(Ai ∩ Bj ) + bj µ(Ai ∩ Bj )
i=0 j =0 j =0 i=0

m

n
= ai µ(Ai ) + bj µ(Bj ) = ϕ dµ + ψ dµ
i=0 j =0

In the next-to-last step, we used Ai = +j (Ai ∩ Bj ) and Bj = +i (Ai ∩ Bj ),

where + denotes a disjoint union.

We will prove (i)–(iii) three more times as we generalize our integral. As a

consequence of (i)–(iii), we get three more useful properties. To keep from repeating
their proofs, which do not change, we will prove:

Lemma 1.4.2. If (i) and (iii) hold then we have:

(iv) If ϕ ≤ ψ a.e. then ϕ dµ ≤ ψ dµ.
(v) If ϕ = ψ a.e. then ϕ dµ = ψ dµ.
If, in addition, (ii) holds when a = −1 we have
(vi) | φ dµ| ≤ |φ| dµ

Proof. By (iii), ψ dµ = φ dµ + (ψ − φ) dµ and the second integral is ≥ 0

by (i), so (iv) holds. ϕ = ψ a.e. implies ϕ ≤ ψ a.e. and ψ ≤ ϕ a.e, so (v) follows
from two applications of (iv). To prove (vi) now, notice that φ ≤ |φ|, so (iv) implies
φ dµ ≤ |φ| dµ. −φ ≤ |φ|, so (iv) and (ii) imply − φ dµ ≤ |φ| dµ. Since
|y| = max(y, −y), the result follows.

Step 2. Let E be a set with µ(E) < ∞ and let f be a bounded function that
vanishes on E c . To define the integral of f , we observe that if ϕ, ψ are simple
 1.4 Integration 19

functions that have ϕ ≤ f ≤ ψ, then we want to have

ϕ dµ ≤ f dµ ≤ ψ dµ

so we let

f dµ = sup ϕ dµ = inf ψ dµ (1.4.1)

φ≤f ψ≥f

Here and for the rest of Step 2, we assume that ϕ and ψ vanish on E c . To justify
the definition, we have to prove that the sup and inf are equal. It follows from (iv)
in Lemma 1.4.2 that

sup ϕ dµ ≤ inf ψ dµ
φ≤f ψ≥f

To prove the other inequality, suppose |f | ≤ M and let

 
kM (k − 1)M
Ek = x ∈ E : ≥ f (x) > for − n ≤ k ≤ n
n n

n
kM
n
(k − 1)M
ψn (x) = 1E k ϕn (x) = 1Ek
k=−n
n k=−n
n

By definition, ψn (x) − ϕn (x) = (M/n)1E , so

M
ψn (x) − ϕn (x) dµ = µ(E)
n
Since ϕn (x) ≤ f (x) ≤ ψn (x), it follows from (iii) in Lemma 1.4.1 that
M
sup ϕ dµ ≥ ϕn dµ = − µ(E) + ψn dµ
φ≤f n
M
≥− µ(E) + inf ψ dµ
n ψ≥f

The last inequality holds for all n, so the proof is complete.

Lemma 1.4.3. Let E be a set with µ(E) < ∞. If f and g are bounded functions
that vanish on E c then:
(i) If f ≥ 0 a.e. then f dµ ≥ 0.
(ii) For any a ∈ R, af dµ = a f dµ.
(iii) f + g dµ = f dµ + g dµ.
(iv) If g ≤ f a.e. then g dµ ≤ f dµ.
(v) If g = f a.e. then g dµ = f dµ.
(vi) | f dµ| ≤ |f | dµ.
20 Measure Theory

Proof. Since we can take φ ≡ 0, (i) is clear from the definition. To prove (ii), we
observe that if a > 0, then aϕ ≤ af if and only if ϕ ≤ f , so

af dµ = sup aϕ dµ = sup a ϕ dµ = a sup ϕ dµ = a f dµ

φ≤f φ≤f φ≤f

For a < 0, we observe that aϕ ≤ af if and only if ϕ ≥ f , so

af dµ = sup aϕ dµ = sup a ϕ dµ = a inf ϕ dµ = a f dµ

φ≥f φ≥f φ≥f

To prove (iii), we observe that if ψ1 ≥ f and ψ2 ≥ g, then ψ1 + ψ2 ≥ f + g, so

inf ψ dµ ≤ inf ψ1 + ψ2 dµ
ψ≥f +g ψ1 ≥f,ψ2 ≥g

Using linearity for simple functions, it follows that

f + g dµ = inf ψ dµ
ψ≥f +g

≤ inf ψ1 dµ + ψ2 dµ = f dµ + g dµ
ψ1 ≥f,ψ2 ≥g

To prove the other inequality, observe that the last conclusion applied to −f
and −g and (ii) imply

− f + g dµ ≤ − f dµ − g dµ

(iv)–(vi) follow from (i)–(iii) by Lemma 1.4.2.

Notation. We define the integral of f over the set E:

f dµ ≡ f · 1E dµ
E

Step 3. If f ≥ 0, then we let

 
f dµ = sup h dµ : 0 ≤ h ≤ f, h is bounded and µ({x : h(x) > 0}) < ∞

The last definition is nice since it is clear that this is well defined. The next result
will help us compute the value of the integral.

Lemma 1.4.4. Let En ↑  have µ(En ) < ∞ and let a ∧ b = min(a, b). Then

f ∧ n dµ ↑ f dµ as n ↑ ∞
En

Proof. It is clear that from (iv) in Lemma 1.4.3 that the left-hand side increases as n
does. Since h = (f ∧ n)1En is a possibility in the sup, each term is smaller than the
 1.4 Integration 21

integral on the right. To prove that the limit is f dµ, observe that if 0 ≤ h ≤ f ,
h ≤ M, and µ({x : h(x) > 0}) < ∞, then for n ≥ M using h ≤ M, (iv), and (iii),

f ∧ n dµ ≥ h dµ = h dµ − h dµ
En En Enc

Now 0 ≤ Enc h dµ ≤ Mµ(Enc ∩ {x : h(x) > 0}) → 0 as n → ∞, so

lim inf f ∧ n dµ ≥ h dµ
n→∞ En

which proves the desired result since h is an arbitrary member of the class that
defines the integral of f .

Lemma 1.4.5. Suppose f , g ≥ 0.

(i) f dµ ≥ 0
(ii) If a > 0 then af dµ = a f dµ.
(iii) f + g dµ = f dµ + g dµ
(iv) If 0 ≤ g ≤ f a.e. then g dµ ≤ f dµ.
(v) If 0 ≤ g = f a.e. then g dµ = f dµ.

Here we have dropped (vi) because it is trivial for f ≥ 0.

Proof. (i) is trivial from the definition. (ii) is clear, since when a > 0, ah ≤ af if
and only if h ≤ f and we have ah dµ = a h du for h in the defining class. For
(iii), we observe that if f ≥ h and g ≥ k, then f + g ≥ h + k so taking the sup
over h and k in the defining classes for f and g gives

f + g dµ ≥ f dµ + g dµ

To prove the other direction, we observe (a + b) ∧ n ≤ (a ∧ n) + (b ∧ n), so (iv)

from Lemma 1.4.3 and (iii) from Lemma 1.4.4 imply

(f + g) ∧ n dµ ≤ f ∧ n dµ + g ∧ n dµ
En En En

Letting n → ∞ and using Lemma 1.4.4 gives (iii). As before, (iv) and (v) follow
from (i), (iii), and Lemma 1.4.2.

Step 4. We say f is integrable if |f | dµ < ∞. Let

f + (x) = f (x) ∨ 0 and f − (x) = (−f (x)) ∨ 0
where a ∨ b = max(a, b). Clearly,
f (x) = f + (x) − f − (x) and |f (x)| = f + (x) + f − (x)
We define the integral of f by

f dµ = f + dµ − f − dµ
22 Measure Theory

The right-hand side is well defined since f + , f − ≤ |f | and we have (iv) in Lemma
1.4.5. For the final time, we will prove our six properties. To do this, it is useful to
know:

Lemma 1.4.6. If f = f1 − f2 where f1 , f2 ≥ 0 and fi dµ < ∞, then

f dµ = f1 dµ − f2 dµ

Proof. f1 + f − = f2 + f + and all four functions are ≥ 0, so by (iii) of

Lemma 1.4.5,

f1 dµ + f − dµ = f1 + f − dµ = f2 + f + dµ = f2 dµ + f + dµ

Rearranging gives the desired conclusion.

Theorem 1.4.7. Suppose f and g are integrable.

(i) If f ≥ 0 a.e. then f dµ ≥ 0.
(ii) For all a ∈ R, af dµ = a f dµ.
(iii) f + g dµ = f dµ + g dµ.
(iv) If g ≤ f a.e. then g dµ ≤ f dµ.
(v) If g = f a.e. then g dµ = f dµ.
(vi) | f dµ| ≤ |f | dµ.

Proof. (i) is trivial. (ii) is clear since if a > 0, then (af )+ = a(f + ), and so on. To
prove (iii), observe that f + g = (f + + g + ) − (f − + g − ), so using Lemma 1.4.6
and Lemma 1.4.5,

f + g dµ = f + + g + dµ − f − + g − dµ

= f + dµ + g + dµ − f − dµ − g − dµ

As usual, (iv)–(vi) follow from (i)–(iii) and Lemma 1.4.2.

Notation for special cases

(a) When (, F, µ) = (Rd , Rd , λ), we write f (x) dx for f dλ.

b
(b) When (, F, µ) = (R, R, λ) and E = [a, b], we write a f (x) dx for E f dλ.
(c) When (, F, µ) = (R, R, µ) with µ((a, b]) = G(b) − G(a) for a < b, we
write f (x) dG(x) for f dµ.
(d) When  is a countable set, F = all subsets of , and µ is counting measure,

we write i∈ f (i) for f dµ.
We mention example (d) primarily to indicate that results for sums follow from
those for integrals. The notation for the special case in which µ is a probability
measure will be taken up in Section 1.6.
 1.5 Properties of the Integral 23

Exercises
1.4.1. Show that if f ≥ 0 and f dµ = 0, then f = 0 a.e.
1.4.2. Let f ≥ 0 and En,m = {x : m/2n ≤ f (x) < (m + 1)/2n }. As n ↑ ∞,

∞
m
µ(En,m ) ↑ f dµ
m=1
2n

1.4.3. Let g be an integrable function on R and  > 0. (i) Use the definition of the

integral to conclude there is a simple function ϕ = k bk 1Ak with |g − ϕ| dx <
. (ii) Use Exercise A.2.1 to approximate the Ak by finite unions of intervals to get
a step function


k
q= cj 1(aj −1 ,aj )
j =1

with a0 < a1 < · · · < ak , so that |ϕ − q| < . (iii) Round the corners of q to get
a continuous function r so that |q − r| dx < .
1.4.4. Prove the Riemann-Lebesgue lemma. If g is integrable then

lim g(x) cos nx dx = 0

n→∞

Hint: If g is a step function, this is easy. Now use the previous exercise.

1.5 Properties of the Integral

In this section, we will develop properties of the integral defined in the last section.
Our first result generalizes (vi) from Theorem 1.4.7.

Theorem 1.5.1. Jensen’s inequality. Suppose ϕ is convex, that is,

λϕ(x) + (1 − λ)ϕ(y) ≥ ϕ(λ x + (1 − λ)y)
for all λ ∈ (0, 1) and x, y ∈ R. If µ is a probability measure, and f and ϕ(f ) are
integrable then
 
ϕ f dµ ≤ ϕ(f ) dµ

Proof. Let c = f dµ and let (x) = ax + b be a linear function that has (c) =
ϕ(c) and ϕ(x) ≥ (x). To see that such a function exists, recall that convexity
implies
ϕ(c) − ϕ(c − h) ϕ(c + h) − ϕ(c)
lim ≤ lim
h↓0 h h↓0 h
(The limits exist since the sequences are monotone.) If we let a be any number
between the two limits and let (x) = a(x − c) + ϕ(c), then  has the desired
24 Measure Theory

properties. With the existence of  established, the rest is easy. (iv) in Theorem
1.4.7 implies
   
ϕ(f ) dµ ≥ (af + b) dµ = a f dµ + b =  f dµ = ϕ f dµ

since c = f dµ and (c) = φ(c).

Let f p = ( |f |p dµ)1/p for 1 ≤ p < ∞, and notice cf p = |c| · f p for

any real number c.

Theorem 1.5.2. Hölder’s inequality. If p, q ∈ (1, ∞) with 1/p + 1/q = 1, then

|f g| dµ ≤ f p gq

Proof. If f p or gq = 0, then |f g| = 0 a.e., so it suffices to prove the result

when f p and gq > 0 or by dividing both sides by f p gq , when f p =
gq = 1. Fix y ≥ 0 and let
ϕ(x) = x p /p + y q /q − xy for x ≥ 0
ϕ  (x) = x p−1 − y and ϕ  (x) = (p − 1)x p−2
p
so ϕ has a minimum at xo = y 1/(p−1) . q = p/(p − 1) and xo = y p/(p−1) = y q , so
ϕ(xo ) = y q (1/p + 1/q) − y 1/(p−1) y = 0
Since xo is the minimum, it follows that xy ≤ x p /p + y q /q. Letting x = |f |,
y = |g|, and integrating
1 1
|f g| dµ ≤ + = 1 = f p gq

p q
Remark. The special case p = q = 2 is called the Cauchy-Schwarz inequality.
One can give a direct proof of the result in this case by observing that for any θ,
   
0 ≤ (f + θg) dµ = f dµ + θ 2 f g dµ + θ
2 2 2 2
g dµ

so the quadratic aθ 2 + bθ + c on the right-hand side has at most one real root.
Recalling the formula for the roots of a quadratic
√
−b ± b2 − 4ac
2a
we see b2 − 4ac ≤ 0, which is the desired result.
Our next goal is to give conditions that guarantee
 
lim fn dµ = lim fn dµ
n→∞ n→∞

First, we need a definition. We say that fn → f in measure, that is, for any  > 0,
µ({x : |fn (x) − f (x)| > }) → 0 as n → ∞. On a space of finite measure, this is
 1.5 Properties of the Integral 25

a weaker assumption than fn → f a.e., but the next result is easier to prove in the
greater generality.

Theorem 1.5.3. Bounded convergence theorem. Let E be a set with µ(E) < ∞.
Suppose fn vanishes on E c , |fn (x)| ≤ M, and fn → f in measure. Then

f dµ = lim fn dµ
n→∞

Example 1.5.1. Consider the real line R equipped with the Borel sets R and
Lebesgue measure λ. The functions fn (x) = 1/n on [0, n] and 0 otherwise on
show that the conclusion of Theorem 1.5.3 does not hold when µ(E) = ∞.

Proof. Let  > 0, Gn = {x : |fn (x) − f (x)| < } and Bn = E − Gn . Using (iii)
and (vi) from Theorem 1.4.7,
   
   
 f dµ − fn dµ =  (f − fn ) dµ ≤ |f − fn | dµ
   

= |f − fn | dµ + |f − fn | dµ
Gn Bn

≤ µ(E) + 2Mµ(Bn )

fn → f in measure implies µ(Bn ) → 0.  > 0 is arbitrary and µ(E) < ∞, so the

proof is complete.

Theorem 1.5.4. Fatou’s lemma. If fn ≥ 0 then

 
lim inf fn dµ ≥ lim inf fn dµ
n→∞ n→∞

Example 1.5.2. Example 1.5.1 shows that we may have strict inequality in Theorem
1.5.4. The functions fn (x) = n1(0,1/n] (x) on (0,1) equipped with the Borel sets and
Lebesgue measure show that this can happen on a space of finite measure.

Proof. Let gn (x) = inf m≥n fm (x). fn (x) ≥ gn (x) and as n ↑ ∞,

gn (x) ↑ g(x) = lim inf fn (x)

n→∞

Since fn dµ ≥ gn dµ, it suffices then to show that

lim inf gn dµ ≥ g dµ
n→∞

Let Em ↑  be sets of finite measure. Since gn ≥ 0 and for fixed m

(gn ∧ m) · 1Em → (g ∧ m) · 1Em a.e.

26 Measure Theory

the bounded convergence theorem, 1.5.3, implies

lim inf gn dµ ≥ gn ∧ m dµ → g ∧ m dµ
n→∞ Em Em

Taking the sup over m and using Theorem 1.4.4 gives the desired result.

Theorem 1.5.5. Monotone convergence theorem. If fn ≥ 0 and fn ↑ f then

fn dµ ↑ f dµ

Proof. Fatou’s lemma, Theorem 1.5.4, implies liminf fn dµ ≥ f dµ. On the

other hand, fn ≤ f implies lim sup fn dµ ≤ f dµ.

Theorem 1.5.6. Dominated convergence theorem. If fn → f a.e., |fn | ≤ g for

all n, and g is integrable, then fn dµ → f dµ.

Proof. fn + g ≥ 0 so Fatou’s lemma implies

lim inf fn + g dµ ≥ f + g dµ
n→∞

Subtracting g dµ from both sides gives

lim inf fn dµ ≥ f dµ
n→∞

Applying the last result to −fn , we get

lim sup fn dµ ≤ f dµ
n→∞

and the proof is complete.

Exercises
1.5.1. Let f ∞ = inf{M : µ({x : |f (x)| > M}) = 0}. Prove that

|f g|dµ ≤ f 1 g∞

1.5.2. Show that if µ is a probability measure then

f ∞ = lim f p
p→∞

1.5.3. Minkowski’s inequality. (i) Suppose p ∈ (1, ∞). The inequality |f +

g|p ≤ 2p (|f |p + |g|p ) shows that if f p and gp are < ∞ then f + gp < ∞.
Apply Hölder’s inequality to |f ||f + g|p−1 and |g||f + g|p−1 to show f + gp ≤
f p + gp . (ii) Show that the last result remains true when p = 1 or p = ∞.
 1.6 Expected Value 27

1.5.4. If f is integrable and Em are disjoint sets with union E then

∞


f dµ = f dµ
m=0 Em E

So if f ≥ 0, then ν(E) = E f dµ defines a measure.

1.5.5. If gn ↑ g and g1− dµ < ∞ then gn dµ ↑ g dµ.
∞ ∞
1.5.6. If gm ≥ 0 then m=0 gm dµ = m=0 gm dµ.

1.5.7. Let f ≥ 0. (i) Show that f ∧ n dµ ↑ f dµ as n → ∞. (ii) Use (i) to

conclude that if g is integrable and  > 0, then we can pick δ > 0 so that µ(A) < δ
implies A |g|dµ < .
1.5.8. Show that if f is integrable on [a, b], g(x) = [a,x] f (y) dy is continuous on
(a, b).
1.5.9. Show that if f has f p = ( |f |p dµ)1/p < ∞, then there are simple func-
tions φn so that φn − f p → 0.
  
1.5.10. Show that if n |fn |dµ < ∞ then n fn dµ = n fn dµ.

1.6 Expected Value

We now specialize to integration with respect to a probability measure P . If
X ≥ 0 is a random variable on (, F, P ) then we define its expected value to
be EX = X dP , which always makes sense, but may be ∞. To reduce the gen-
eral case to the nonnegative case, let x + = max{x, 0} be the positive part and
let x − = max{−x, 0} be the negative part of x. We declare that EX exists and set
EX = EX+ − EX− whenever the subtraction makes sense, that is, EX+ < ∞ or
EX− < ∞.
EX is often called the mean of X and denoted by µ. EX is defined by integrating
X, so it has all the properties that integrals do. From Theorems 1.4.5 and 1.4.7 and
the trivial observation that E(b) = b for any real number b, we get the following:

Theorem 1.6.1. Suppose X, Y ≥ 0 or E|X|, E|Y | < ∞.

(a) E(X + Y ) = EX + EY .
(b) E(aX + b) = aE(X) + b for any real numbers a, b.
(c) If X ≥ Y then EX ≥ EY .

In this section, we will restate some properties of the integral derived in the last
section in terms of expected value and prove some new ones. To organize things,
we will divide the developments into three subsections.

1.6.1 Inequalities
For probability measures, Theorem 1.5.1 becomes:
28 Measure Theory
5

0
0.5 1 1.5 2 2.5 3 3.5

Figure 1.6. Jensen’s inequality for g(x) = x − 3x + 3, P (X = 1) = P (X = 3) = 1/2.

2

Theorem 1.6.2. Jensen’s inequality. Suppose ϕ is convex, that is,

λϕ(x) + (1 − λ)ϕ(y) ≥ ϕ(λx + (1 − λ)y)
for all λ ∈ (0, 1) and x, y ∈ R. Then
E(ϕ(X)) ≥ ϕ(EX)
provided both expectations exist, that is, E|X| and E|ϕ(X)| < ∞.

To recall the direction in which the inequality goes, note that if P (X = x) = λ and
P (X = y) = 1 − λ, then (see Figure 1.6)
Eφ(X) = λϕ(x) + (1 − λ)ϕ(y) ≥ ϕ(λx + (1 − λ)y) = φ(EX)
Two useful special cases are |EX| ≤ E|X| and (EX)2 ≤ E(X 2 ).

Theorem 1.6.3. Hölder’s inequality. If p, q ∈ [1, ∞] with 1/p + 1/q = 1, then

E|XY | ≤ Xp Y q
Here Xr = (E|X|r )1/r for r ∈ [1, ∞); X∞ = inf{M : P (|X| > M) = 0}.

To state our next result, we need some notation. If we only integrate over A ⊂ ,
we write

E(X; A) = X dP
A

Theorem 1.6.4. Chebyshev’s inequality. Suppose ϕ : R → R has ϕ ≥ 0, let A ∈

R and let iA = inf{ϕ(y) : y ∈ A}.
iA P (X ∈ A) ≤ E(ϕ(X); X ∈ A) ≤ Eϕ(X)

Proof. The definition of iA and the fact that φ ≥ 0 imply that

iA 1(X∈A) ≤ ϕ(X)1(X∈A) ≤ ϕ(X)
 1.6 Expected Value 29

So taking expected values and using part (c) of Theorem 1.6.1 gives the desired
result.

Remark. Some authors call this result Markov’s inequality and use the name
Chebyshev’s inequality for the special case in which ϕ(x) = x 2 and A = {x :
|x| ≥ a}:

a 2 P (|X| ≥ a) ≤ EX 2 (1.6.1)

1.6.2 Integration to the Limit

Our next step is to restate the three classic results from the previous section about
what happens when we interchange limits and integrals.

Theorem 1.6.5. Fatou’s lemma. If Xn ≥ 0 then

lim inf EXn ≥ E(lim inf Xn )

n→∞ n→∞

Theorem 1.6.6. Monotone convergence theorem. If 0 ≤ Xn ↑ X then EXn ↑

EX.

Theorem 1.6.7. Dominated convergence theorem. If Xn → X a.s., |Xn | ≤ Y for

all n, and EY < ∞, then EXn → EX.

The special case of Theorem 1.6.7 in which Y is constant is called the bounded
convergence theorem.
In the developments below, we will need another result on integration to the limit.
Perhaps the most important special case of this result occurs when g(x) = |x|p with
p > 1 and h(x) = x.

Theorem 1.6.8. Suppose Xn → X a.s. Let g, h be continuous functions with

(i) g ≥ 0 and g(x) → ∞ as |x| → ∞,
(ii) |h(x)|/g(x) → 0 as |x| → ∞, and
(iii) Eg(Xn ) ≤ K < ∞ for all n.
Then Eh(Xn ) → Eh(X).

Proof. By subtracting a constant from h, we can suppose without loss of generality

that h(0) = 0. Pick M large so that P (|X| = M) = 0 and g(x) > 0 when |x| ≥ M.
Given a random variable Y , let Ȳ = Y 1(|Y |≤M) . Since P (|X| = M) = 0, X̄n → X̄
a.s. Since h(X̄n ) is bounded and h is continuous, it follows from the bounded
convergence theorem that

(a) Eh(X̄n ) → Eh(X̄)

30 Measure Theory

To control the effect of the truncation, we use the following:

(b) |Eh(Ȳ ) − Eh(Y )| ≤ E|h(Ȳ ) − h(Y )| ≤ E(|h(Y )|; |Y | > M) ≤ M Eg(Y )

where M = sup{|h(x)|/g(x) : |x| ≥ M}. To check the second inequality, note that
when |Y | ≤ M, Ȳ = Y , and we have supposed h(0) = 0. The third inequality
follows from the definition of M .
Taking Y = Xn in (b) and using (iii), it follows that

(c) |Eh(X̄n ) − Eh(Xn )| ≤ KM

To estimate |Eh(X̄) − Eh(X)|, we observe that g ≥ 0 and g is continuous, so

Fatou’s lemma implies

Eg(X) ≤ lim inf Eg(Xn ) ≤ K

n→∞

Taking Y = X in (b) gives

(d) |Eh(X̄) − Eh(X)| ≤ KM

The triangle inequality implies

|Eh(Xn ) − Eh(X)| ≤ |Eh(Xn ) − Eh(X̄n )|

+ |Eh(X̄n ) − Eh(X̄)| + |Eh(X̄) − Eh(X)|

Taking limits and using (a), (c), (d), we have

lim sup |Eh(Xn ) − Eh(X)| ≤ 2KM

n→∞

which proves the desired result since K < ∞ and M → 0 as M → ∞.

1.6.3 Computing Expected Values

Integrating over (, F, P ) is nice in theory, but to do computations we have to
shift to a space on which we can do calculus. In most cases, we will apply the next
result with S = Rd .

Theorem 1.6.9. Change of variables formula. Let X be a random element of

(S, S) with distribution µ, that is, µ(A) = P (X ∈ A). If f is a measurable function
from (S, S) to (R, R) so that f ≥ 0 or E|f (X)| < ∞, then

Ef (X) = f (y) µ(dy)

S

Remark. To explain the name, write h for X and P ◦ h−1 for µ to get

f (h(ω)) dP = f (y) d(P ◦ h−1 )

 S
 1.6 Expected Value 31

Proof. We will prove this result by verifying it in four increasingly general special
cases that parallel the way that the integral was defined in Section 1.4. The reader
should note the method employed, since it will be used several times below.
Case 1: Indicator functions. If B ∈ S and f = 1B , then recalling the relevant
definitions shows

E1B (X) = P (X ∈ B) = µ(B) = 1B (y) µ(dy)

S

Case 2: Simple functions. Let f (x) = nm=1 cm 1Bm where cm ∈ R, Bm ∈ S. The
linearity of expected value, the result of Case 1, and the linearity of integration
imply


n
Ef (X) = cm E1Bm (X)
m=1

n
= cm 1Bm (y) µ(dy) = f (y) µ(dy)
m=1 S S

Case 3: Nonegative functions. Now if f ≥ 0 and we let

fn (x) = ([2n f (x)]/2n ) ∧ n

where [x] = the largest integer ≤ x and a ∧ b = min{a, b}, then the fn are simple
and fn ↑ f , so using the result for simple functions and the monotone convergence
theorem:

Ef (X) = lim Efn (X) = lim fn (y) µ(dy) = f (y) µ(dy)

n n S S

Case 4: Integrable functions. The general case now follows by writing

f (x) = f (x)+ − f (x)− . The condition E|f (X)| < ∞ guarantees that Ef (X)+
and Ef (X)− are finite. So using the result for nonnegative functions and linearity
of expected value and integration:

Ef (X) = Ef (X)+ − Ef (X)− = f (y)+ µ(dy) − f (y)− µ(dy)

S S

= f (y) µ(dy)
S

which completes the proof.

A consequence of Theorem 1.6.9 is that we can compute expected values of

functions of random variables by performing integrals on the real line. Before we
can treat some examples, we need to introduce the terminology for what we are
about to compute. If k is a positive integer, then EX k is called the kth moment of X.
The first moment EX is usually called the mean and denoted by µ. If EX 2 < ∞,
32 Measure Theory

then the variance of X is defined to be var (X) = E(X − µ)2 . To compute the
variance the following formula is useful:

var (X) = E(X − µ)2

= EX2 − 2µEX + µ2 = EX2 − µ2 (1.6.2)

From this it is immediate that

var (X) ≤ EX2 (1.6.3)

Here EX2 is the expected value of X 2 . When we want the square of EX, we will
write (EX)2 . Since E(aX + b) = aEX + b by (b) of Theorem 1.6.1, it follows
easily from the definition that

var (aX + b) = E(aX + b − E(aX + b))2

= a 2 E(X − EX)2 = a 2 var (X) (1.6.4)

We turn now to concrete examples and leave the calculus in the first two examples
to the reader. (Integrate by parts.)

Example 1.6.1. If X has an exponential distribution with rate 1, then

∞
EXk = x k e−x dx = k!
0

So the mean of X is 1 and variance is EX 2 − (EX)2 = 2 − 12 = 1. If we let

Y = X/λ, then by Exercise 1.2.5, Y has density λe−λy for y ≥ 0, the exponential
density with parameter λ. From (b) of Theorem 1.6.1 and (1.6.4), it follows that Y
has mean 1/λ and variance 1/λ2 .

Example 1.6.2. If X has a standard normal distribution,

EX = x(2π )−1/2 exp(−x 2 /2) dx = 0 (by symmetry)

var (X) = EX 2 = x 2 (2π )−1/2 exp(−x 2 /2) dx = 1

If we let σ > 0, µ ∈ R, and Y = σ X + µ, then (b) of Theorem 1.6.1 and (1.6.4)

imply EY = µ and var (Y ) = σ 2 . By Exercise 1.2.5, Y has density

(2π σ 2 )−1/2 exp(−(y − µ)2 /2σ 2 )

the normal distribution with mean µ and variance σ 2 .

We will next consider some discrete distributions. The first is very simple, but
will be useful several times below, so we record it here.
 1.6 Expected Value 33

Example 1.6.3. We say that X has a Bernoulli distribution with parameter p if

P (X = 1) = p and P (X = 0) = 1 − p. Clearly,

EX = p · 1 + (1 − p) · 0 = p

Since X 2 = X, we have EX 2 = EX = p and

var (X) = EX2 − (EX)2 = p − p 2 = p(1 − p)

Example 1.6.4. We say that X has a Poisson distribution with parameter λ if

P (X = k) = e−λ λk /k! for k = 0, 1, 2, . . .

To evaluate the moments of the Poisson random variable, we use a little inspiration
to observe that for k ≥ 1
∞

λj
E(X(X − 1) · · · (X − k + 1)) = j (j − 1) · · · (j − k + 1)e−λ
j =k
j!
∞

λj −k
= λk e−λ = λk
j =k
(j − k)!

where the equalities follow from (i) the fact that j (j − 1) · · · (j − k + 1) = 0 when
j < k, (ii) canceling part of the factorial, and (iii) the fact that Poisson distribution
has total mass 1. Using the last formula, it follows that EX = λ while

var (X) = EX2 − (EX)2 = E(X(X − 1)) + EX − λ2 = λ

Example 1.6.5. N is said to have a geometric distribution with success probability

p ∈ (0, 1) if

P (N = k) = p(1 − p)k−1 for k = 1, 2, . . .

N is the number of independent trials needed to observe an event with probability

p. Differentiating the identity
∞


(1 − p)k = 1/p
k=0

and referring to Example A.5.3 for the justification gives

∞


− k(1 − p)k−1 = −1/p 2
k=1
∞


k(k − 1)(1 − p)k−2 = 2/p 3
k=2
Other documents randomly have
different content
The Project Gutenberg eBook of The Golden
Bough: A Study in Magic and Religion (Third
Edition, Vol. 02 of 12)
 This ebook is for the use of anyone anywhere in the United
States and most other parts of the world at no cost and with
almost no restrictions whatsoever. You may copy it, give it away
or re-use it under the terms of the Project Gutenberg License
included with this ebook or online at www.gutenberg.org. If you
are not located in the United States, you will have to check the
laws of the country where you are located before using this
eBook.

Title: The Golden Bough: A Study in Magic and Religion (Third

Edition, Vol. 02 of 12)

Author: James George Frazer

Release date: September 7, 2019 [eBook #60250]

Most recently updated: October 17, 2024

Language: English

Credits: Produced by Susan Skinner, Suzanne Shell, David King,

and
the Online Distributed Proofreading Team at
http://www.pgdp.net. (This file was produced from
images
generously made available by The Internet Archive.)

*** START OF THE PROJECT GUTENBERG EBOOK THE GOLDEN

BOUGH: A STUDY IN MAGIC AND RELIGION (THIRD EDITION, VOL.
02 OF 12) ***
The Golden Bough, A Study in Magic and Religion

The Golden Bough

A Study in Magic and Religion
By

Sir James George Frazer, D.C.L.,

LL.D., Litt.D.
Fellow of Trinity College, Cambridge
Professor of Social Anthropology in the University of
Liverpool.

Third Edition.
Vol. II.
Part I
The Magic Art and the Evolution of Kings
Vol. II
Macmillan and Co., Limited
St. Martin’s Street, London

1917

Third Edition March 1911

Reprinted July 1911, 1913, 1917
 CONTENTS

Chapter VIII.—Departmental Kings of Nature Pp. 1-6

The King of the Wood at Nemi probably a departmental king of
nature; Kings of Rain in Africa; Kings of Fire and Water in Cambodia.

Chapter IX.—The Worship of Trees Pp. 7-58

§ 1. Tree-spirits—Great forests of ancient Europe; tree-worship
practised by all Aryan races in Europe; trees regarded as animate;
tree-spirits, sacrifices to trees; trees sensitive to wounds; apologies
for cutting down trees; bleeding trees; trees threatened to make
them bear fruit; attempts to deceive spirits of trees and plants; trees
married to each other; trees in blossom and rice in bloom treated
like pregnant women; trees tenanted by the souls of the dead; trees
as the abode, not the body, of spirits; ceremonies at felling trees;
propitiating tree-spirits in house-timber; sacred trees the abode of
spirits; sacred groves.
§ 2. Beneficent Powers of Tree-spirits—Tree-spirit develops into
anthropomorphic deity of the woods; tree-spirits give rain and
sunshine; tree-spirits make crops to grow; the Harvest May and
kindred customs; tree-spirits make herds and women fruitful; green
boughs protect against witchcraft; influence of tree-spirits on cattle
among the Wends, Esthonians, and Circassians; tree-spirits grant
offspring or easy delivery to women.

Chapter X.—Relics of Tree-worship in Modern Europe Pp. 59-96

May-trees in Europe, especially England; May-garlands in England;
May customs in France, Germany, and Greece; Whitsuntide customs
in Russia; May-trees in Germany and Sweden; Midsummer trees and
poles in Sweden; village May-poles in England and Germany; tree-
spirit detached from tree and represented in human form, Esthonian
tale; tree-spirit represented simultaneously in vegetable and human
form; the Little May Rose; the Walber; Green George; double
representation of tree-spirit by tree and man among the Oraons;
double representation of harvest-goddess Gauri; W. Mannhardt’s
conclusions; tree-spirit or vegetation-spirit represented by a person
alone; leaf-clad mummers (Green George, Little Leaf Man, Jack-in-
the-Green, etc.); leaf-clad mummers called Kings or Queens (King
and Queen of May, Whitsuntide King, etc.); Whitsuntide Bridegroom
and Bride; Midsummer Bridegroom and Bride; the Forsaken
Bridegroom or Bride; St. Bride in Scotland and the Isle of Man; May
Bride or Whitsuntide Bride.

Chapter XI.—The Influence of the Sexes on Vegetation Pp. 97-119

The marriage of the King and Queen of May intended to promote the
growth of vegetation by homoeopathic magic; intercourse of the
sexes practised to make the crops grow and fruit-trees to bear fruit;
parents of twins supposed to fertilise the bananas in Uganda; relics
of similar customs in Europe; continence practised in order to make
the crops grow; incest and illicit love supposed to blight the fruits of
the earth by causing drought or excessive rain; traces of similar
beliefs as to the blighting effect of adultery and incest among the
ancient Jews, Greeks, Romans, and Irish; possible influence of such
beliefs on the institution of the forbidden degrees of kinship;
explanation of the seeming contradiction of the foregoing customs;
indirect benefit to humanity of some of these superstitions.

Chapter XII.—The Sacred Marriage Pp. 120-170

§ 1. Diana as a Goddess of Fertility—Dramatic marriages of gods and
goddesses as a charm to promote vegetation; Diana as a goddess of
the woodlands; sanctity of holy groves in antiquity; the breaking of
the Golden Bough a solemn rite, not a mere piece of bravado; Diana
a goddess of the teeming life of nature, both animal and vegetable;
deities of woodlands naturally the patrons of the beasts of the
woods; the crowning of hunting dogs on Diana’s day a purification
for their slaughter of the beasts of the wood; as goddess of the
moon, especially the yellow harvest moon, Diana a goddess of crops
and of childbirth; as a goddess of fertility Diana needed a male
partner.
§ 2. The Marriage of the Gods—Marriages of the gods in Babylonia
and Assyria; marriage of the god Ammon to the Queen of Egypt;
Apollo and his prophetess at Patara; Artemis and the Essenes at
Ephesus; marriage of Dionysus and the Queen at Athens; marriage
of Zeus and Demeter at Eleusis; marriage of Zeus and Hera at
Plataea; marriage of Zeus and Hera in other parts of Greece; the
god Frey and his human wife in Sweden; similar rites in ancient
Gaul; marriages of gods to images or living women among
uncivilised peoples; custom of the Wotyaks; custom of the Peruvian
Indians; marriage of a woman to the Sun among the Blackfoot
Indians; marriage of girls to fishing-nets among the Hurons and
Algonquins; marriage of the Sun-god and Earth-goddess among the
Oraons; marriage of women to gods in India and Africa; marriage of
women to water-gods and crocodiles; virgin sacrificed as a bride to
the jinnee of the sea in the Maldive Islands.
§ 3. Sacrifices to Water-spirits—Stories of the Perseus and
Andromeda type; water-spirits conceived as serpents or dragons;
sacrifices of human beings to water-spirits; water-spirits as
dispensers of fertility; water-spirits bestow offspring on women; love
of river-spirits for women in Greek mythology; the Slaying of the
Dragon at Furth in Bavaria; St. Romain and the Dragon at Rouen.

Chapter XIII.—The Kings of Rome and Alba Pp. 171-194

§ 1. Numa and Egeria—Egeria a nymph of water and the oak,
perhaps a form of Diana; marriage of Numa and Egeria a
reminiscence of the marriage of the King of Rome to a goddess of
water and vegetation.
§ 2. The King as Jupiter—The Roman king personated Jupiter and
wore his costume; the oak crown as a symbol of divinity;
personation of the dead by masked men among the Romans; the
kings of Alba as personifications of Jupiter; legends of the deaths of
Roman kings point to their connexion with the thunder-god; local
Jupiters in Latium; the oak-groves of ancient Rome; Latian Jupiter
on the Alban Mount; woods of Latium in antiquity; Latin worship of
Jupiter like the Druidical worship of the oak; sacred marriage of
Jupiter and Juno; Janus and Carnathe Flamen Dialis and Flaminica
as representatives of Jupiter and Juno; marriage of the Roman king
to the oak-goddess.

Chapter XIV.—The King’s Fire Pp. 195-206

Sacred marriage of the Fire-god with a woman; legends of the birth
of Latin kings from Vestal Virgins impregnated by the fire; Vestal
Virgins as wives of the Fire-god; the Vestal fire originally the fire on
the king’s hearth; the round temple of Vesta a copy of the old round
hut of the early Latins; rude pottery used in Roman ritual;
superstitions as to the making of pottery; sanctity of the storeroom
at Rome; the temple of Vesta with its sacred fire a copy of the king’s
house.

Chapter XV.—The Fire-drill Pp. 207-226

Vestal fire at Rome rekindled by the fire-drill; use of the fire-drill by
savages; the fire-sticks regarded by savages as male and female;
fire-customs of the Herero; sacred fire among the Herero maintained
in the chief’s hut by his unmarried daughter; the Herero chief as
priest of the hearth; sacred Herero fire rekindled by fire-sticks, which
are regarded as male and female, and are made from the sacred
ancestral tree; the sacred Herero hearth a special seat of the
ancestral spirits; sacred fire-sticks of the Herero represent deceased
ancestors; sacred fire-boards as family deities among the Koryaks
and Chuckchees.

Chapter XVI.—Father Jove and Mother Vesta Pp. 227-252

Similarity between the fire-customs of the Herero and the ancient
Latins; rites performed by the Vestals for the fertility of the earth
and the fecundity of cattle; the Vestals as embodiments of Vesta, a
mother-goddess of fertility; the domestic fire as a fecundating agent
in marriage ritual; newborn children and the domestic fire; reasons
for ascribing a procreative virtue to fire; fire kindled by friction by
human representatives of the Fire-father and Fire-mother; fire
kindled by friction by boy and girl or by man and woman; human
fire-makers sometimes married, sometimes unmarried; holy fire and
virgins of St. Brigit in Ireland; the oaks of Erin; virgin priestesses of
fire in ancient Peru and Mexico; the Agnihotris or fire-priests of the
Brahmans; kinds of wood employed for fire-sticks in India and
ancient Greece.

Chapter XVII.—The Origin of Perpetual Fires Pp. 253-265

Custom of perpetual fires probably originated in motives of
convenience; races reported to be ignorant of the means of making
fire; fire probably used by men before they knew how to kindle it;
savages carry fire with them as a matter of convenience;
Prometheus the fire-bringer; perpetual fires maintained by chiefs
and kings; fire extinguished at king’s death.

Chapter XVIII.—The Succession to the Kingdom in Ancient Latium

Pp. 266-323
The sacred functions of Latin kings in general probably the same as
those of the Roman kings; question of the rule of succession to the
Latin kingship; list of Alban kings; list of Roman kings; Latin kingship
apparently transmitted in female line to foreign husbands of
princesses; miraculous births of kings explained on this hypothesis;
marriage of princesses to men of inferior rank in Africa; traces of
female descent of kingship in Greece; and in Scandinavia;
reminiscence of such descent in popular tales; female descent of
kingship among the Picts, the Lydians, the Danes, and the Saxons;
traces of female kinship or mother-kin among the Aryans, the Picts,
and the Etruscans; mother-kin may survive in royal families after it
has been superseded by father-kin among commoners; the Roman
kings plebeians, not patricians; the first consuls at Rome heirs to the
throne according to mother-kin; attempt of Tarquin to change the
line of succession from the female to the male line; the hereditary
principle compatible with the elective principle in succession to the
throne; combination of the hereditary with the elective principle in
succession to the kingship in Africa and Assam; similar combination
perhaps in force at Rome; personal qualities required in kings and
chiefs; succession to the throne determined by a race; custom of
racing for a bride; contests for a bride other than a race; the Flight
of the King (Regifugium) at Rome perhaps a relic of a contest for the
kingdom and the hand of a princess; confirmation of this theory
from the practice of killing a human representative of Saturn at the
Saturnalia; violent ends of Roman kings; death of Romulus on the
Nonae Caprotinae (7th July), an old licentious festival like the
Saturnalia for the fertilisation of the fig; violent deaths of other
Roman kings; succession to Latin kingship perhaps decided by single
combat; African parallels; Greek and Italian kings may have
personated Cronus and Saturn before they personated Zeus and
Jupiter.

Chapter XIX.—St. George and the Parilia Pp. 324-348

The early Italians a pastoral as well as agricultural people; the
shepherds’ festival of the Parilia on 21st April; intention of the
festival to ensure the welfare of the flocks and herds and to guard
them against witches and wolves; festival of the same kind still held
in Eastern Europe on 23rd April, St. George’s Day; precautions taken
by the Esthonians against witches and wolves on St. George’s Day,
when they drive out the cattle to pasture for the first time; St.
George’s Day a pastoral festival in Russia; among the Ruthenians,
among the Huzuls of the Carpathians; St. George as the patron of
horses in Silesia and Bavaria; St. George’s Day among the Saxons
and Roumanians of Transylvania; St. George’s Day a herdsman’s
festival among the Walachians, Bulgarians, and South Slavs;
precautions taken against witches and wolves whenever the cattle
are driven out to pasture for the first time, as in Prussia and
Sweden; these parallels illustrate some features of the Parilia; St.
George as a personification of trees or vegetation in general; St.
George as patron of childbirth and love; St. George seems to have
displaced an old Aryan god of the spring, such as the Lithuanian
Pergrubiusk.

Chapter XX.—The Worship of the Oak Pp. 349-375

§ 1. The Diffusion of the Oak in Europe—Jupiter the god of the oak,
the sky, and thunder; of these attributes the oak is probably primary
and the sky and thunder secondary; Europe covered with oak forests
in prehistoric times; remains of oaks found in peat-bogs; ancient
lake dwellings built on oaken piles; evidence of classical writers as to
oak forests in antiquity; oak-woods in modern Europe.
§ 2. The Aryan God of the Oak and the Thunder—Aryan worship of
the oak and of the god of the oak; Zeus as the god of the oak, the
thunder, and the rain in ancient Greece; Jupiter as the god of the
oak, the thunder, and the rain in ancient Italy; Celtic worship of the
oak; Donar and Thor the Teutonic gods of the oak and thunder;
Perun the god of the oak and thunder among the Slavs; Perkunas
the god of the oak and thunder among the Lithuanians; Taara the
god of the oak and thunder among the Esthonians; Parjanya, the old
Indian god of thunder, rain, and fertility; gods of thunder and rain in
America, Africa, and the Caucasus; traces of the worship of the oak
in modern Europe; in the great European god of the oak, the
thunder, and the rain, the original element seems to have been the
oak.

Chapter XXI.—Dianus and Diana Pp. 376-387

Recapitulation: rise of sacred kings endowed with magical or divine
powers; the King of the Wood at Nemi seems to have personified
Jupiter the god of the oak and to have mated with Diana the
goddess of the oak; Dianus (Janus) and Diana originally dialectically
different forms of Jupiter and Juno; Janus (Dianus) not originally a
god of doors; double-headed figure of Janus (Dianus) derived from a
custom of placing him as sentinel at doorways; parallel custom
among the negroes of Surinam; originally the King of the Wood at
Nemi represented Dianus (Janus), a duplicate form of Jupiter, the
god of the oak, the thunder, and the sky.
INDEX Pp. 389-417
 CHAPTER VIII
DEPARTMENTAL KINGS OF NATURE

The preceding investigation has proved that the same union of

Departmental kings sacred functions with a royal title which
of nature. meets us in the King of the Wood at Nemi,
the Sacrificial King at Rome, and the magistrate called the King at
Athens, occurs frequently outside the limits of classical antiquity and
is a common feature of societies at all stages from barbarism to
civilisation. Further, it appears that the royal priest is often a king,
not only in name but in fact, swaying the sceptre as well as the
crosier. All this confirms the traditional view of the origin of the
titular and priestly kings in the republics of ancient Greece and Italy.
At least by shewing that the combination of spiritual and temporal
power, of which Graeco-Italian tradition preserved the memory, has
actually existed in many places, we have obviated any suspicion of
improbability that might have attached to the tradition. Therefore we
may now fairly ask, May not the King of the Wood have had an
origin like that which a probable tradition assigns to the Sacrificial
King of Rome and the titular King of Athens? In other words, may
not his predecessors in office have been a line of kings whom a
republican revolution stripped of their political power, leaving them
only their religious functions and the shadow of a crown? There are
at least two reasons for answering this question in the negative. One
reason is drawn from the abode of the priest of Nemi; the other
from his title, the King of the Wood. If his predecessors had been
kings in the ordinary sense, he would surely have been found
residing, like the fallen kings of Rome and Athens, in the city of
which the sceptre had passed from him. This city must have been
Aricia, for there was none nearer. But Aricia was three miles off from
his forest sanctuary by the lake shore. If he reigned, it was not in
the city, but in the greenwood. Again his title, King of the Wood,
hardly allows us to suppose that he had ever been a king in the
common sense of the word. More likely he was a king of nature, and
of a special side of nature, namely, the woods from which he took
his title. If we could find instances of what we may call departmental
kings of nature, that is of persons supposed to rule over particular
elements or aspects of nature, they would probably present a closer
analogy to the King of the Wood than the divine kings we have been
hitherto considering, whose control of nature is general rather than
special. Instances of such departmental kings are not wanting.
Kings of rain in On a hill at Bomma near the mouth of the
Africa. Congo dwells Namvulu Vumu, King of the
[1]
Rain and Storm. Of some of the tribes on the Upper Nile we are
told that they have no kings in the common sense; the only persons
whom they acknowledge as such are the Kings of the Rain, Mata
Kodou, who are credited with the power of giving rain at the proper
time, that is in the rainy season. Before the rains begin to fall at the
end of March the country is a parched and arid desert; and the
cattle, which form the people’s chief wealth, perish for lack of grass.
So, when the end of March draws on, each householder betakes
himself to the King of the Rain and offers him a cow that he may
make the blessed waters of heaven to drip on the brown and
withered pastures. If no shower falls, the people assemble and
demand that the king shall give them rain; and if the sky still
continues cloudless, they rip up his belly, in which he is believed to
keep the storms. Amongst the Bari tribe one of these Rain Kings
made rain by sprinkling water on the ground out of a handbell.[2]
Priesthood of the Among tribes on the outskirts of Abyssinia a
Alfai. similar office exists and has been thus
described by an observer. “The priesthood of the Alfai, as he is called
by the Barea and Kunama, is a remarkable one; he is believed to be
able to make rain. This office formerly existed among the Algeds and
appears to be still common to the Nuba negroes. The Alfai of the
Barea, who is also consulted by the northern Kunama, lives near
Tembadere on a mountain alone with his family. The people bring
him tribute in the form of clothes and fruits, and cultivate for him a
large field of his own. He is a kind of king, and his office passes by
inheritance to his brother or sister’s son. He is supposed to conjure
down rain and to drive away the locusts. But if he disappoints the
people’s expectation and a great drought arises in the land, the Alfai
is stoned to death, and his nearest relations are obliged to cast the
first stone at him. When we passed through the country, the office
of Alfai was still held by an old man; but I heard that rain-making
had proved too dangerous for him and that he had renounced his
office.”[3]
Kings of Fire and In the backwoods of Cambodia live two
Water in mysterious sovereigns known as the King of
Cambodia. the Fire and the King of the Water. Their
fame is spread all over the south of the great Indo-Chinese
peninsula; but only a faint echo of it has reached the West. Down to
a few years ago no European, so far as is known, had ever seen
either of them; and their very existence might have passed for a
fable, were it not that till lately communications were regularly
maintained between them and the King of Cambodia, who year by
year exchanged presents with them. The Cambodian gifts were
passed from tribe to tribe till they reached their destination; for no
Cambodian would essay the long and perilous journey. The tribe
amongst whom the Kings of Fire and Water reside is the Chréais or
Jaray, a race with European features but a sallow complexion,
inhabiting the forest-clad mountains and high tablelands which
separate Cambodia from Annam. Their royal functions are of a
purely mystic or spiritual order; they have no political authority; they
are simple peasants, living by the sweat of their brow and the
offerings of the faithful. According to one account they live in
absolute solitude, never meeting each other and never seeing a
human face. They inhabit successively seven towers perched upon
seven mountains, and every year they pass from one tower to
another. People come furtively and cast within their reach what is
needful for their subsistence. The kingship lasts seven years, the
time necessary to inhabit all the towers successively; but many die
before their time is out. The offices are hereditary in one or
(according to others) two royal families, who enjoy high
consideration, have revenues assigned to them, and are exempt
from the necessity of tilling the ground. But naturally the dignity is
not coveted, and when a vacancy occurs, all eligible men (they must
be strong and have children) flee and hide themselves. Another
account, admitting the reluctance of the hereditary candidates to
accept the crown, does not countenance the report of their hermit-
like seclusion in the seven towers. For it represents the people as
prostrating themselves before the mystic kings whenever they
appear in public, it being thought that a terrible hurricane would
burst over the country if this mark of homage were omitted.
Probably, however, these are mere fables such as commonly shed a
glamour of romance over the distant and unknown. A French officer,
who had an interview with the redoubtable Fire King in February
1891, found him stretched on a bamboo couch, diligently smoking a
long copper pipe, and surrounded by people who paid him no great
deference. In spite of his mystic vocation the sorcerer had no charm
or talisman about him, and was in no way distinguishable from his
fellows except by his tall stature. Another writer reports that the two
kings are much feared, because they are supposed to possess the
evil eye; hence every one avoids them, and the potentates
considerately cough to announce their approach and to allow people
to get out of their way. They enjoy extraordinary privileges and
immunities, but their authority does not extend beyond the few
villages of their neighbourhood. Like many other sacred kings, of
whom we shall read in the sequel, the Kings of Fire and Water are
not allowed to die a natural death, for that would lower their
reputation. Accordingly when one of them is seriously ill, the elders
hold a consultation and if they think he cannot recover they stab him
to death. His body is burned and the ashes are piously collected and
publicly honoured for five years. Part of them is given to the widow,
and she keeps them in an urn, which she must carry on her back
when she goes to weep on her husband’s grave.
Supernatural We are told that the Fire King, the more
powers of the Kings important of the two, whose supernatural
of Fire and Water. powers have never been questioned,
officiates at marriages, festivals, and sacrifices in honour of the Yan
or spirit. On these occasions a special place is set apart for him; and
the path by which he approaches is spread with white cotton cloths.
A reason for confining the royal dignity to the same family is that
this family is in possession of certain famous talismans which would
lose their virtue or disappear if they passed out of the family. These
talismans are three: the fruit of a creeper called Cui, gathered ages
ago at the time of the last deluge, but still fresh and green; a rattan,
also very old but bearing flowers that never fade; and lastly, a sword
containing a Yan or spirit, who guards it constantly and works
miracles with it. The spirit is said to be that of a slave, whose blood
chanced to fall upon the blade while it was being forged, and who
died a voluntary death to expiate his involuntary offence. By means
of the two former talismans the Water King can raise a flood that
would drown the whole earth. If the Fire King draws the magic
sword a few inches from its sheath, the sun is hidden and men and
beasts fall into a profound sleep; were he to draw it quite out of the
scabbard, the world would come to an end. To this wondrous brand
sacrifices of buffaloes, pigs, fowls, and ducks are offered for rain. It
is kept swathed in cotton and silk; and amongst the annual presents
sent by the King of Cambodia were rich stuffs to wrap the sacred
sword.
Gifts sent by the In return the Kings of Fire and Water sent
Kings of Fire and him a huge wax candle and two calabashes,
Water to the King of one full of rice and the other of sesame.
Cambodia.
The candle bore the impress of the Fire
King’s middle finger, and was probably thought to contain the seed
of fire, which the Cambodian monarch thus received once a year
fresh from the Fire King himself This holy candle was kept for sacred
uses. On reaching the capital of Cambodia it was entrusted to the
Brahmans, who laid it up beside the regalia, and with the wax made
tapers which were burned on the altars on solemn days. As the
candle was the special gift of the Fire King, we may conjecture that
the rice and sesame were the special gift of the Water King. The
latter was doubtless king of rain as well as of water, and the fruits of
the earth were boons conferred by him on men. In times of calamity,
as during plague, floods, and war, a little of this sacred rice and
sesame was scattered on the ground “to appease the wrath of the
maleficent spirits.” Contrary to the common usage of the country,
which is to bury the dead, the bodies of both these mystic monarchs
are burnt, but their nails and some of their teeth and bones are
religiously preserved as amulets. It is while the corpse is being
consumed on the pyre that the kinsmen of the deceased magician
flee to the forest and hide themselves for fear of being elevated to
the invidious dignity which he has just vacated. The people go and
search for them, and the first whose lurking place they discover is
made King of Fire or Water.[4]
These, then, are examples of what I have called departmental kings
of nature. But it is a far cry to Italy from the forests of Cambodia
and the sources of the Nile. And though Kings of Rain, Water, and
Fire have been found, we have still to discover a King of the Wood to
match the Arician priest who bore that title. Perhaps we shall find
him nearer home.
 CHAPTER IX
THE WORSHIP OF TREES
 § 1. Tree-spirits

Great forests of In the religious history of the Aryan race in

ancient Europe. Europe the worship of trees has played an
important part. Nothing could be more natural. For at the dawn of
history Europe was covered with immense primaeval forests, in
which the scattered clearings must have appeared like islets in an
ocean of green. Down to the first century before our era the
Hercynian forest stretched eastward from the Rhine for a distance at
once vast and unknown; Germans whom Caesar questioned had
travelled for two months through it without reaching the end.[5] Four
centuries later it was visited by the Emperor Julian, and the solitude,
the gloom, the silence of the forest appear to have made a deep
impression on his sensitive nature. He declared that he knew
nothing like it in the Roman empire.[6] In our own country the wealds
of Kent, Surrey, and Sussex are remnants of the great forest of
Anderida, which once clothed the whole of the south-eastern portion
of the island. Westward it seems to have stretched till it joined
another forest that extended from Hampshire to Devon. In the reign
of Henry II. the citizens of London still hunted the wild bull and the
boar in the woods of Hampstead. Even under the later Plantagenets
the royal forests were sixty-eight in number. In the forest of Arden it
was said that down to modern times a squirrel might leap from tree
to tree for nearly the whole length of Warwickshire.[7] The excavation
of ancient pile-villages in the valley of the Po has shewn that long
before the rise and probably the foundation of Rome the north of
Italy was covered with dense woods of elms, chestnuts, and
especially of oaks.[8] Archaeology is here confirmed by history; for
classical writers contain many references to Italian forests which
have now disappeared.[9] As late as the fourth century before our era
Rome was divided from central Etruria by the dreaded Ciminian
forest, which Livy compares to the woods of Germany. No merchant,
if we may trust the Roman historian, had ever penetrated its
pathless solitudes: and it was deemed a most daring feat when a
Roman general, after sending two scouts to explore its intricacies,
led his army into the forest and, making his way to a ridge of the
wooded mountains, looked down on the rich Etrurian fields spread
out below.[10] In Greece beautiful woods of pine, oak, and other
trees still linger on the slopes of the high Arcadian mountains, still
adorn with their verdure the deep gorge through which the Ladon
hurries to join the sacred Alpheus; and were still, down to a few
years ago, mirrored in the dark blue waters of the lonely lake of
Pheneus; but they are mere fragments of the forests which clothed
great tracts in antiquity, and which at a more remote epoch may
have spanned the Greek peninsula from sea to sea.[11]
Tree-worship From an examination of the Teutonic words
practised by all the for “temple” Grimm has made it probable
Aryan races in that amongst the Germans the oldest
Europe.
sanctuaries were natural woods.[12]
However this may be, tree-worship is well attested for all the great
European families of the Aryan stock. Amongst the Celts the oak-
worship of the Druids is familiar to every one,[13] and their old word
for a sanctuary seems to be identical in origin and meaning with the
Latin némus, a grove or woodland glade, which still survives in the
name of Nemi.[14] Sacred groves were common among the ancient
Germans, and tree-worship is hardly extinct amongst their
descendants at the present day.[15] How serious that worship was in
former times may be gathered from the ferocious penalty appointed
by the old German laws for such as dared to peel the bark of a
standing tree. The culprit’s navel was to be cut out and nailed to the
part of the tree which he had peeled, and he was to be driven round
and round the tree till all his guts were wound about its trunk.[16]
The intention of the punishment clearly was to replace the dead bark
by a living substitute taken from the culprit; it was a life for a life,
the life of a man for the life of a tree. At Upsala, the old religious
capital of Sweden, there was a sacred grove in which every tree was
regarded as divine.[17] The heathen Slavs worshipped trees and
groves.[18] The Lithuanians were not converted to Christianity till
towards the close of the fourteenth century, and amongst them at
the date of their conversion the worship of trees was prominent.
Some of them revered remarkable oaks and other great shady trees,
from which they received oracular responses. Some maintained holy
groves about their villages or houses, where even to break a twig
would have been a sin. They thought that he who cut a bough in
such a grove either died suddenly or was crippled in one of his
limbs.[19] Proofs of the prevalence of tree-worship in ancient Greece
and Italy are abundant.[20] In the sanctuary of Aesculapius at Cos,
for example, it was forbidden to cut down the cypress-trees under a
penalty of a thousand drachms.[21] But nowhere, perhaps, in the
ancient world was this antique form of religion better preserved than
in the heart of the great metropolis itself. In the Forum, the busy
centre of Roman life, the sacred fig-tree of Romulus was worshipped
down to the days of the empire, and the withering of its trunk was
enough to spread consternation through the city.[22] Again, on the
slope of the Palatine Hill grew a cornel-tree which was esteemed one
of the most sacred objects in Rome. Whenever the tree appeared to
a passer-by to be drooping, he set up a hue and cry which was
echoed by the people in the street, and soon a crowd might be seen
running helter-skelter from all sides with buckets of water, as if (says
Plutarch) they were hastening to put out a fire.[23]
Tree-worship Among the tribes of the Finnish-Ugrian
among the Finnish- stock in Europe the heathen worship was
Ugrian peoples. performed for the most part in sacred
groves, which were always enclosed with a fence. Such a grove
often consisted merely of a glade or clearing with a few trees dotted
about, upon which in former times the skins of the sacrificial victims
were hung. The central point of the grove, at least among the tribes
of the Volga, was the sacred tree, beside which everything else sank
into insignificance. Before it the worshippers assembled and the
priest offered his prayers, at its roots the victim was sacrificed, and
its boughs sometimes served as a pulpit. No wood might be hewn
and no branch broken in the grove, and women were generally
forbidden to enter it. The Ostyaks and Woguls, two peoples of the
Finnish-Ugrian stock in Siberia, had also sacred groves in which
nothing might be touched, and where the skins of the sacrificed
animals were suspended; but these groves were not enclosed with
fences.[24] Near Kuopio, in Finland, there was a famous grove of
ancient moss-grown firs, where the people offered sacrifices and
practised superstitious customs down to about 1650, when a sturdy
veteran of the Thirty Years’ War dared to cut it down at the bidding
of the pastor. Sacred groves now hardly exist in Finland, but sacred
trees to which offerings are brought are still not very uncommon. On
some firs the skulls of bears are nailed, apparently that the hunter
may have good luck in the chase.[25] The Ostyaks are said never to
have passed a sacred tree without shooting an arrow at it as a mark
of respect. In many places they hung furs and skins on the holy
trees in the forest; but having observed that these furs were often
appropriated and carried off by unscrupulous travellers, they
adopted the practice of hewing the trunks into great blocks, which
they decked with their offerings and preserved in safe places. The
custom marks a transition from the worship of trees to the worship
of idols carved out of the sacred wood. Within their sacred groves no
grass or wood might be cut, no game hunted, no fish caught, not
even a draught of water drunk. When they passed them in their
canoes, they were careful not to touch the land with the oar, and if
the journey through the hallowed ground was long, they laid in a
store of water before entering on it, for they would rather suffer
extreme thirst than slake it by drinking of the sacred stream. The
Ostyaks also regarded as holy any tree on which an eagle had built
its nest for several years, and they spared the bird as well as the
tree. No greater injury could be done them than to shoot such an
eagle or destroy its nest.[26]
Trees are regarded But it is necessary to examine in some
by the savage as detail the notions on which the worship of
animate. trees and plants is based. To the savage the
world in general is animate, and trees and plants are no exception to
the rule. He thinks that they have souls like his own, and he treats
them accordingly. “They say,” writes the ancient vegetarian Porphyry,
“that primitive men led an unhappy life, for their superstition did not
stop at animals but extended even to plants. For why should the
slaughter of an ox or a sheep be a greater wrong than the felling of
a fir or an oak, seeing that a soul is implanted in these trees
also?”[27] Similarly, the Hidatsa Indians of North America believe that
every natural object has its spirit, or to speak more properly, its
shade. To these shades some consideration or respect is due, but
not equally to all. For example, the shade of the cottonwood, the
greatest tree in the valley of the Upper Missouri, is supposed to
possess an intelligence which, if properly approached, may help the
Indians in certain undertakings; but the shades of shrubs and
grasses are of little account. When the Missouri, swollen by a freshet
in spring, carries away part of its banks and sweeps some tall tree
into its current, it is said that the spirit of the tree cries while the
roots still cling to the land and until the trunk falls with a splash into
the stream. Formerly the Indians considered it wrong to fell one of
these giants, and when large logs were needed they made use only
of trees which had fallen of themselves. Till lately some of the more
credulous old men declared that many of the misfortunes of their
people were caused by this modern disregard for the rights of the
living cottonwood.[28] The Iroquois believed that each species of tree,
shrub, plant, and herb had its own spirit, and to these spirits it was
their custom to return thanks.[29] The Wanika of Eastern Africa fancy
that every tree, and especially every coco-nut tree, has its spirit;
“the destruction of a cocoa-nut tree is regarded as equivalent to
matricide, because that tree gives them life and nourishment, as a
mother does her child.”[30] In the Yasawu islands of Fiji a man will
never eat a coco-nut without first asking its leave—“May I eat you,
my chief?”[31] Among the Thompson Indians of British Columbia
young people addressed the following prayer to the sunflower root
before they ate the first roots of the season: “I inform thee that I
intend to eat thee. Mayest thou always help me to ascend, so that I
may always be able to reach the tops of mountains, and may I never
be clumsy! I ask this from thee, Sunflower-Root. Thou art the
greatest of all in mystery.” To omit this prayer would have made the
eater of the root lazy, and caused him to sleep long in the morning.
We are not told, but may conjecture, that these Indians ascribed to
the sunflower the sun’s power of climbing above the mountain-tops
and of rising betimes in the morning; hence whoever ate of the
plant, with all the due formalities, would naturally acquire the same
useful properties. It is not so easy to say why women had to observe
continence in cooking and digging the root, and why, when they
were cooking it, no man might come near the oven.[32] The Dyaks
ascribe souls to trees, and do not dare to cut down an old tree. In
some places, when an old tree has been blown down, they set it up,
smear it with blood, and deck it with flags “to appease the soul of
the tree.”[33] Siamese monks, believing that there are souls
everywhere, and that to destroy anything whatever is forcibly to
dispossess a soul, will not break a branch of a tree, “as they will not
break the arm of an innocent person.”[34] These monks, of course,
are Buddhists. But Buddhist animism is not a philosophical theory. It
is simply a common savage dogma incorporated in the system of an
historical religion. To suppose with Benfey and others that the
theories of animism and transmigration current among rude peoples
of Asia are derived from Buddhism, is to reverse the facts. Buddhism
in this respect borrowed from savagery, not savagery from
Buddhism.[35] According to Chinese belief, the spirits of plants are
never shaped like plants but have commonly the form either of
human beings or of animals, for example bulls and serpents.
Occasionally at the felling of a tree the tree-spirit has been seen to
rush out in the shape of a blue bull.[36] In China “to this day the
belief in tree-spirits dangerous to man is obviously strong. In
southern Fuhkien it deters people from felling any large trees or
chopping off heavy branches, for fear the indwelling spirit may
become irritated and visit the aggressor or his neighbours with
disease and calamity. Especially respected are the green banyan or
ch’îng, the biggest trees to be found in that part of China. In Amoy
some people even show a strong aversion from planting trees, the
planters, as soon as the stems have become as thick as their necks,
being sure to be throttled by the indwelling spirits. No explanation of
this curious superstition was ever given us. It may account to some
extent for the almost total neglect of forestry in that part of China,
so that hardly any except spontaneous trees grow there.”[37]
Particular sorts of Sometimes it is only particular sorts of trees
trees tenanted by that are supposed to be tenanted by spirits.
spirits; sacrifices to At Grbalj in Dalmatia it is said that among
tree-spirits.
great beeches, oaks, and other trees there
are some that are endowed with shades or souls, and whoever fells
one of them must die on the spot, or at least live an invalid for the
rest of his days. If a woodman fears that a tree which he has felled
is one of this sort, he must cut off the head of a live hen on the
stump of the tree with the very same axe with which he cut down
the tree. This will protect him from all harm, even if the tree be one
of the animated kind.[38] The silk-cotton trees, which rear their
Silk-cotton trees in enormous trunks to a stupendous height,
West Africa. far out-topping all the other trees of the
forest, are regarded with reverence throughout West Africa, from the
Senegal to the Niger, and are believed to be the abode of a god or
spirit. Among the Ewe-speaking peoples of the Slave Coast the
indwelling god of this giant of the forest goes by the name of
Huntin. Trees in which he specially dwells—for it is not every silk-
cotton tree that he thus honours—are surrounded by a girdle of
palm-leaves; and sacrifices of fowls, and occasionally of human
beings, are fastened to the trunk or laid against the foot of the tree.
A tree distinguished by a girdle of palm-leaves may not be cut down
or injured in any way; and even silk-cotton trees which are not
supposed to be animated by Huntin may not be felled unless the
woodman first offers a sacrifice of fowls and palm-oil to purge
himself of the proposed sacrilege. To omit the sacrifice is an offence
Sycamores in which may be punished with death.[39]
ancient Egypt. Everywhere in Egypt on the borders of the
cultivated land, and even at some distance from the valley of the
Nile, you meet with fine sycamores standing solitary and thriving as
by a miracle in the sandy soil; their living green contrasts strongly
with the tawny hue of the surrounding landscape, and their thick
impenetrable foliage bids defiance even in summer to the noonday
sun. The secret of their verdure is that their roots strike down into
rills of water that trickle by unseen sluices from the great river. Of
old the Egyptians of every rank esteemed these trees divine, and
paid them regular homage. They gave them figs, raisins, cucumbers,
vegetables, and water in earthenware pitchers, which charitable folk
filled afresh every day. Passers-by slaked their thirst at these
pitchers in the sultry hours, and paid for the welcome draught by a
short prayer. The spirit that animated these beautiful trees generally
lurked unseen, but sometimes he would shew his head or even his
whole body outside the trunk, but only to retire into it again.[40]
People in Congo set calabashes of palm-wine at the foot of certain
trees for the trees to drink when they are thirsty.[41] The Wanika of
Sacred trees in Eastern Africa pay special honour to the
Africa, Syria, and spirits of coco-nut palms in return for the
Patagonia. many benefits conferred on them by the
trees. To cut down a coco-nut palm is an inexpiable offence,
equivalent to matricide. They sacrifice to the tree on many
occasions. When a man in gathering the coco-nuts has fallen from
the palm, they attribute it to the wrath of the tree-spirit, and resort
to the oddest means of appeasing him.[42] The Masai particularly
reverence the subugo tree, the bark of which has medical properties,
and a species of parasitic fig which they call retete. The green figs
are eaten by boys and girls, and older people propitiate the tree by
pouring the blood of a goat at the foot of the trunk and strewing
grass on the branches.[43] The natives of the Bissagos Islands, off
the west coast of Africa, sacrifice dogs, cocks, and oxen to their
sacred trees, but they eat the flesh of the victims and leave only the
horns, fastened to the trees, for the spirits.[44] In a Turkish village of
Northern Syria there is a very old oak-tree which the people worship,
burning incense to it and bringing offerings as they would to a
shrine.[45] In Patagonia, between the Rio Negro and the Rio
Colorado, there stands solitary an ancient acacia-tree with a gnarled
and hollow trunk. The Indians revere it as the abode of a spirit, and
hang offerings of blankets, ponchos, ribbons, and coloured threads
on it, so that the tree presents the aspect of an old clothes’ shop,
the tattered, weather-worn garments drooping sadly from the
boughs. No Indian passes it without leaving something, if it be only
a little horse-hair which he ties to a branch. The hollow trunk
contains offerings of tobacco, beads, and sometimes coins. But the
best evidence of the sanctity of the tree are the bleached skeletons
of many horses which have been killed in honour of the spirit; for
the horse is the most precious sacrifice that these Indians can offer.
They slaughter the animal also to propitiate the spirits of the deep
Sacrifices to trees. and rapid rivers which they have often to
ford or swim.[46] The Kayans of Central
Borneo ascribe souls to the trees which yield the poison they use to
envenom their arrows. They think that the spirit of the tasem tree
(Antiaris toxicaria) is particularly hard to please; but if the wood has
a strong and agreeable scent, they know that the man who felled
the tree must have contrived by his offerings to mollify the peevish
spirit.[47] In some of the Louisiade Islands there are certain large
trees under which the natives hold their feasts. These trees seem to
be regarded as endowed with souls; for a portion of the feast is set
aside for them, and the bones of pigs and of human beings are
everywhere deeply imbedded in their branches.[48] Among the
Kangra mountains of the Punjaub a girl used to be annually
sacrificed to an old cedar-tree, the families of the village taking it in
turn to supply the victim. The tree was cut down not very many
years ago.[49] On Christmas Eve it is still customary in some parts of
Germany to gird fruit-trees with ropes of straw on which the
sausages prepared for the festival have lain. This is supposed to
make the trees bear fruit. In the Mark of Brandenburg the person
who ties the straw round the trees says, “Little tree, I make you a
present, and you will make me one.” The people say that if the trees
receive gifts, they will bestow gifts in return. The custom, which is
clearly a relic of tree-worship, is often observed on New Year’s night
or at any time between Christmas and Twelfth Night.[50]
Trees supposed to If trees are animate, they are necessarily
be sensitive and to sensitive and the cutting of them down
feel wounds. becomes a delicate surgical operation,
which must be performed with as tender a regard as possible for the
feelings of the sufferers, who otherwise may turn and rend the
careless or bungling operator. When an oak is being felled “it gives a
kind of shriekes or groanes, that may be heard a mile off, as if it
were the genius of the oake lamenting. E. Wyld, Esq., hath heard it
severall times.”[51] The Ojebways “very seldom cut down green or
living trees, from the idea that it puts them to pain, and some of
their medicine-men profess to have heard the wailing of the trees
under the axe.”[52] Trees that bleed and utter cries of pain or
indignation when they are hacked or burned occur very often in
Chinese books, even in Standard Histories.[53] Old peasants in some
parts of Austria still believe that forest-trees are animate, and will
not allow an incision to be made in the bark without special cause;
they have heard from their fathers that the tree feels the cut not less
Apologies offered than a wounded man his hurt. In felling a
to trees for cutting tree they beg its pardon.[54] It is said that in
them down. the Upper Palatinate also old woodmen still
secretly ask a fine, sound tree to forgive them before they cut it
down.[55] So in Jarkino the woodman craves pardon of the tree he
fells.[56] Before the Ilocanes of Luzon cut down trees in the virgin
forest or on the mountains, they recite some verses to the following
effect: “Be not uneasy, my friend, though we fell what we have been
ordered to fell.” This they do in order not to draw down on
themselves the hatred of the spirits who live in the trees, and who
are apt to avenge themselves by visiting with grievous sickness such
as injure them wantonly.[57] When the Tagalogs of the Philippines
wish to pluck a flower, they ask leave of the genius (nono) of the
flower to do so; when they are obliged to cut down a tree they beg
pardon of the genius of the tree and excuse themselves by saying
that it was the priest who bade them fell it.[58] Among the Tigre-
speaking tribes in the north of Abyssinia people are afraid to fell a
green and fruit-bearing tree lest they incur the curse of God, which
is heard in the groaning of the tree as it sinks to the ground. But if a
man is bold enough to cut down such a tree, he will say to it, “Thy
curse abide in thee,” or he will allege that it was not he but an
elephant or a rhinoceros that knocked it down.[59] Amongst the Hos
of Togoland, in West Africa, when a man wishes to make palm-wine
Welcome to Our Bookstore - The Ultimate Destination for Book Lovers
Are you passionate about books and eager to explore new worlds of
knowledge? At our website, we offer a vast collection of books that
cater to every interest and age group. From classic literature to
specialized publications, self-help books, and children’s stories, we
have it all! Each book is a gateway to new adventures, helping you
expand your knowledge and nourish your soul
Experience Convenient and Enjoyable Book Shopping Our website is more
than just an online bookstore—it’s a bridge connecting readers to the
timeless values of culture and wisdom. With a sleek and user-friendly
interface and a smart search system, you can find your favorite books
quickly and easily. Enjoy special promotions, fast home delivery, and
a seamless shopping experience that saves you time and enhances your
love for reading.
Let us accompany you on the journey of exploring knowledge and
personal growth!

ebookgate.com