conditional independence
Let be a probability space.
Conditional Independence Given an Event
Given an event :
- 1.
Two events and in are said to be conditionally independent given if we have the following equality of conditional probabilities
:
- 2.
Two sub sigma algebras of are conditionally independent given if any two events and are conditionally independent given .
- 3.
Two real random variables
are conditionally independent given event if and , the sub sigma algebras generated by (http://planetmath.org/MathcalFMeasurableFunction) and are conditionally independent given .
Conditional Independence Given a Sigma Algebra
Given a sub sigma algebra of :
- 1.
Two events and in are said to be conditionally independent given if we have the following equality of conditional probabilities (as random variables) (http://planetmath.org/ProbabilityConditioningOnASigmaAlgebra):
- 2.
Two sub sigma algebras of are conditionally independent given if any two events and are conditionally independent given .
- 3.
Two real random variables are conditionally independent given event if and , the sub sigma algebras generated by and are conditionally independent given .
- 4.
Finally, we can define conditional
idependence given a random variable, say in each of the above three items by setting .