In the context of probability theory and measure theory, a **cylinder set** is a type of set used in the study of stochastic processes and infinite-dimensional spaces, particularly in relation to random variables and their distributions. ### Definition A cylinder set can be defined with respect to an indexed family of random variables or a stochastic process.
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A cylinder set in a product of spaces restricts a finite collection of coordinates and leaves all other coordinates free. It has the form , where is the coordinate projection onto the finite subproduct. Taking to be a product of open sets gives the basic open cylinders for the product topology. In a finite-alphabet full shift, specifying exact letters at finitely many coordinates gives a clopen set.