Definition
A Bernoulli scheme is a discrete-time stochastic process where each independent random variable may take on one of N distinct possible values, with the outcome i occurring with probability, with i = 1, ..., N, and
The sample space is usually denoted as
as a short-hand for
The associated measure is called the Bernoulli measure
The σ-algebra on X is the product sigma algebra; that is, it is the (countable) direct product of the σ-algebras of the finite set {1, ..., N}. Thus, the triplet
is a measure space. The elements of are commonly called cylinder sets. Given a cylinder set, its measure is
The equivalent expression, using the notation of probability theory, is
for the random variables
The Bernoulli scheme, as any stochastic process, may be viewed as a dynamical system by endowing it with the shift operator T where
Since the outcomes are independent, the shift preserves the measure, and thus T is a measure-preserving transformation. The quadruplet
is a measure-preserving dynamical system, and is called a Bernoulli scheme or a Bernoulli shift. It is often denoted by
The N = 2 Bernoulli scheme is called a Bernoulli process. The Bernoulli shift can be understood as a special case of the Markov shift, where all entries in the adjacency matrix are one, the corresponding graph thus being a clique.
Read more about this topic: Bernoulli Scheme
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