I understand the example without the existance part. In particular, how do we know that such $A_n$ exist? I was trying to play around with the $(0,1)$ interval but this looks fruitless. Next I thought that I can just consider all over $\mathbb R$ with the Lebesgue measure with some density, say $\frac{e^{-x^{2}}}{\sqrt{\pi }}$. Then let \begin{align*} A_n = [n, n + \gamma_n ] \end{align*} where $\gamma _n$ is such that \begin{align*} \frac{1}{n} = \int_{n}^{n + \gamma_n} \frac{e^{-x^{2}}}{\sqrt{\pi }} dx \end{align*} I think this works but I am not sure. This seems far too involved. Am I missing something?
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1If you have no problem with the existence of a probability space modelling the infinite sequence of independent coin tosses, you will be able to consider the existence of an infinite sequence of independent unfair coin tosses, each with its own probability of heads. – Snoop Jan 02 '24 at 11:20
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It is advisable to study Kolmogorov's consistency/existence Theorem. – Kavi Rama Murthy Jan 02 '24 at 11:30
