Wikipedia
In mathematical analysis and in probability theory, a σ-algebra (also σ-field) on a set X is a collection Σ of subsets of X that includes the empty subset, is closed under complement, and is closed under union or intersection of countably infinite many subsets. The pair (X, Σ) is called a measurable space.
A σ-algebra specializes the concept of a set algebra. An algebra of sets needs only to be closed under the union or intersection of finitely many subsets.
The main use of σ-algebras is in the definition of measures; specifically, the collection of those subsets for which a given measure is defined is necessarily a σ-algebra. This concept is important in mathematical analysis as the foundation for Lebesgue integration, and in probability theory, where it is interpreted as the collection of events which can be assigned probabilities. Also, in probability, σ-algebras are pivotal in the definition of conditional expectation.
In statistics, (sub) σ-algebras are needed for a formal mathematical definition of sufficient statistic, particularly when the statistic is a function or a random process and the notion of conditional density is not applicable.
If one possible σ-algebra on X is where ∅ is the empty set. In general, a finite algebra is always a σ-algebra.
If {A, A, A, …} is a countable partition of X then the collection of all unions of sets in the partition (including the empty set) is a σ-algebra.
A more useful example is the set of subsets of the real line formed by starting with all open intervals and adding in all countable unions, countable intersections, and relative complements and continuing this process (by transfinite iteration through all countable ordinals) until the relevant closure properties are achieved (a construction known as the Borel hierarchy).