Conditioning as disintegration

Conditional probability distributions seem to have a bad reputation when it comes to rigorous treatment of conditioning. Technical arguments are published as manipulations of Radon±Nikodym derivatives, although we all secretly perform heuristic calculations using elementary de®nitions of conditional probabilities. In print, measurability and averaging properties substitute for intuitive ideas about random variables behaving like constants given particular conditioning information. One way to engage in rigorous, guilt-free manipulation of conditional distributions is to treat them as disintegrating measuresÐfamilies of probability measures concentrating on the level sets of a conditioning statistic. In this paper we present a little theory and a range of examplesÐfrom EM algorithms and the Neyman factorization, through Bayes theory and marginalization paradoxesÐto suggest that disintegrations have both intuitive appeal and the rigor needed for many problems in mathematical statistics.