由给出的n(n∈Z+,n≥2)个分布函数,首先在可测空间(Rn,Rn)上构造概率测度Pn,接着构造n个随机变量,使之在概率空间(Rn,Rn,Pn)上是独立的,最后由科尔莫戈罗夫扩张定理得到在无穷维乘积空间(R)N,RN,μ(N={1,2,?})上无穷个独立的随机变量.We construct probability measure with given n(n ∈ ?+,n ≥ 2) distribution functions, on the measurable space(Rn,?n), then construct n random variables on the probability space(Rn,?n,Pn), which are independent, and finally get an infinitely sequence of independent random variables on the infinite product space(R)N,?N,μby the Kolmogorov's extension theorem
