Proofs for Folklore Theorems on the Radon-Nikodym Derivative
arXiv:2501.18374
Abstract
In this technical report, rigorous statements and formal proofs are presented for both foundational and advanced folklore theorems on the Radon-Nikodym derivative. The cases of conditional and marginal probability measures are carefully considered, which leads to an identity involving the sum of mutual and lautum information suggesting a new interpretation for such a sum.
20 pages