I'm confused about the difference between the support of a discrete random variable and the atoms of its probability distribution.
Suppose I have a discrete random variable X defined on the probability space (Ω,F,P) with support A⊆R. I am told that the distribution of X is H with c atoms, a1,…,ac.
Question: Is {a1,…,ac}=A?
My thought is the following: they are different because, while A could contain also a point b at which P(X=b)=0, P(X=ai)>0 for i=1,…,c.
Is this correct?
Answer
Below I describe a discrete probability distribution whose support is bigger than its set of atoms.
A point x is a member of the "support" of the probability distribution of X precisely if for every open neighborhood G of x, we have Pr(X∈G)>0.
Now suppose
X={1/2with probability 1/2,1/3 or 2/3with equal probabilities totalling 1/4,1/4 or 3/4with equal probabilities totalling 1/8,(We skipped 2/4 since it's not in lowest terms.)1/5, 2/5, 3/5, or 4/5with equal probabilities totalling 1/16,1/6 or 5/6with equal probabilities totalling 1/32,1/7, 2/7, 3/7, 4/7, 5/7, or 6/7with equal probabilities totalling 1/64,and so on.
Then the probability distribution of X is discrete since the probabilities of the atoms add up to 1, i.e. 100 percent of the probability is in point masses. The set of atoms is just the set of all rational numbers between 0 and 1.
But the support is the whole set [0,1], which contains 0 and 1 (which are not atoms) and every irrational number between 0 and 1. The reason for that is for that every open interval about each such number, the probability that X falls in that interval is positive.
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