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I R J 1 I

The document discusses independence between events and random variables. It provides definitions for independence between events A and B, and between multiple events A1, A2, ..., Ap. Independence between random variables X1, X2, ..., Xp is defined as the joint probability of the variables falling in specified sets being equal to the product of the marginal probabilities. Independence between sigma-fields F1, F2, ..., Fp is similarly defined in terms of probabilities of events within the fields. Two theorems are also presented regarding independence between discrete random variables and independence being preserved under transformations.

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67 views

I R J 1 I

The document discusses independence between events and random variables. It provides definitions for independence between events A and B, and between multiple events A1, A2, ..., Ap. Independence between random variables X1, X2, ..., Xp is defined as the joint probability of the variables falling in specified sets being equal to the product of the marginal probabilities. Independence between sigma-fields F1, F2, ..., Fp is similarly defined in terms of probabilities of events within the fields. Two theorems are also presented regarding independence between discrete random variables and independence being preserved under transformations.

Uploaded by

Focus Man
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Independence Events A and B independent if P (AB) = P (A)P (B) . Events Ai, i = 1, . . .

, p are independent if
r

P (Ai1 Air ) =

j=1

P (Aij )

for any set of distinct indices i1, . . . , ir between 1 and p. Example: p = 3 P (A1A2A3) = P (A1)P (A2)P (A3) P (A1A2) = P (A1)P (A2) P (A1A3) = P (A1)P (A3) P (A2A3) = P (A2)P (A3) Need all equations to be true for independence!
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Example: Toss a coin twice. If A1 is the event that the rst toss is a Head, A2 is the event that the second toss is a Head and A3 is the event that the rst toss and the second toss are dierent. then P (Ai ) = 1/2 for each i and for i = j 1 P (Ai Aj ) = 4 but P (A1 A2 A3) = 0 = P (A1)P (A2 )P (A3) .

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Rvs X1, . . . , Xp are independent if P (X1 A1, , Xp Ap) = for any choice of A1, . . . , Ap. -elds F1, . . . , Fp are independent if P (A1 Ap) = P (Ai) P (Xi Ai)

for any choice of events A1 F1, . . . , Ap Fp.

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Theorem 1 1. If X and Y are independent and discrete then P (X = x, Y = y) = P (X = x)P (Y = y) for all x, y

2. If X and Y are discrete and P (X = x, Y = y) = P (X = x)P (Y = y) for all x, y then X and Y are independent.

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Theorem 2 If X1, . . . , Xp are independent and Yi = gi(Xi ) then Y1, . . . , Yp are independent. Moreover, (X1, . . . , Xq ) and (Xq+1, . . . , Xp) are independent. Proof: The event Y1 A 1 Yp A p is exactly the same as the event
1 1 X1 g1 (A1) Xp gp (Ap) so the rst statement is easy.

The second statement is proved using a standard technique: We must show P {(X1 , . . . , Xq ) A; (Xq+1, . . . , Xp ) B} = P {(X1 , . . . , Xq ) A}P {(Xq+1, . . . , Xp ) B} (1) We study the collections of A, B pairs for which (1) holds.
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