This measure was introduced by Alfréd Haar in 1933, though its special case for Lie groups had been introduced by Adolf Hurwitz in 1897 under the name "invariant integral". Haar measures are used in many parts of analysis, number theory, group theory, representation theory, statistics, probability theory, and ergodic theory.
Some authors define a Haar measure on Baire sets rather than Borel sets. This makes the regularity conditions unnecessary as Baire measures are automatically regular. Halmos rather confusingly uses the term "Borel set" for elements of the generated by compact sets, and defines Haar measures on these sets.
The existence and uniqueness (up to scaling) of a left Haar measure was first proven in full generality by André Weil. Weil's proof used the axiom of choice and Henri Cartan furnished a proof that avoided its use. Cartan's proof also establishes the existence and the uniqueness simultaneously. A simplified and complete account of Cartan's argument was given by Alfsen in 1963. The special case of invariant measure for second-countable locally compact groups had been shown by Haar in 1933.
The following method of constructing Haar measure is essentially the method used by Haar and Weil.
where the limit is taken over a suitable directed set of open neighborhoods of the identity eventually contained in any given neighborhood; the existence of a directed set such that the limit exists follows using Tychonoff's theorem.
For groups that are locally compact but not compact this construction does not give Haar measure as the mean value of compactly supported functions is zero. However something like this does work for almost periodic functions on the group which do have a mean value, though this is not given with respect to Haar measure.
On an n-dimensional Lie group, Haar measure can be constructed easily as the measure induced by a left-invariant n-form. This was known before Haar's theorem.
then this is a right Haar measure. To show right invariance, apply the definition:
Since right Haar measure is well-defined up to a positive scaling factor, this equation shows the modular function is independent of the choice of right Haar measure in the above equation.
In mathematical statistics, Haar measures are used for prior measures, which are prior probabilities for compact groups of transformations. These prior measures are used to construct admissible procedures, by appeal to the characterization of admissible procedures as Bayesian procedures (or limits of Bayesian procedures) by Wald. For example, a right Haar measure for a family of distributions with a location parameter results in the Pitman estimator, which is best equivariant. When left and right Haar measures differ, the right measure is usually preferred as a prior distribution. For the group of affine transformations on the parameter space of the normal distribution, the right Haar measure is the Jeffreys prior measure. Unfortunately, even right Haar measures sometimes result in useless priors, which cannot be recommended for practical use, like other methods of constructing prior measures that avoid subjective information.
Another use of Haar measure in statistics is in conditional inference, in which the sampling distribution of a statistic is conditioned on another statistic of the data. In invariant-theoretic conditional inference, the sampling distribution is conditioned on an invariant of the group of transformations (with respect to which the Haar measure is defined). The result of conditioning sometimes depends on the order in which invariants are used and on the choice of a maximal invariant, so that by itself a statistical principle of invariance fails to select any unique best conditional statistic (if any exist); at least another principle is needed.
In 1936 André Weil proved a converse (of sorts) to Haar's theorem, by showing that if a group has a left invariant measure with a certain separating property, then one can define a topology on the group, and the completion of the group is locally compact and the given measure is essentially the same as the Haar measure on this completion.