In probability theory, two events R and B are conditionally independent given a third event Y precisely if the occurrence or non-occurrence of R and the occurrence or non-occurrence of B are independent events in their conditional probability distribution given Y. In other words, R and B are conditionally independent if and only if, given knowledge of whether Y occurs, knowledge of whether R occurs provides no information on the likelihood of B occurring, and knowledge of whether B occurs provides no information on the likehood of R occurring.
In the standard notation of probability theory, R and B are conditionally independent given Y if and only if
Two random variables X and Y are conditionally independent given a third random variable Z if and only if they are independent in their conditional probability distribution given Z. That is, X and Y are conditionally independent given Z if and only if, given any value of Z, the probability distribution of X is the same for all values of Y and the probability distribution of Y is the same for all values of X.
Two events R and B are conditionally independent given a σ-algebra Σ if
Two random variables X and Y are conditionally independent given a σ-algebra Σ if the above equation holds for all R in σ(X) and B in σ(Y).
Two random variables X and Y are conditionally independent given a random variable W if they are independent given σ(W): the σ-algebra generated by W. This is commonly written:
This is read "X is independent of Y, given W"; the conditioning applies to the whole statement: "(X is independent of Y) given W".
If W assumes a countable set of values, this is equivalent to the conditional independence of X and Y for the events of the form [W = w]. Conditional independence of more than two events, or of more than two random variables, is defined analogously.
The following two examples show that X ⊥ Y neither implies nor is implied by X ⊥ Y | W. First, suppose W is 0 with probability 0.5 and is the value 1 otherwise. When W = 0 take X and Y to be independent, each having the value 0 with probability 0.99 and the value 1 otherwise. When W = 1, X and Y are again independent, but this time they take the value 1 with probability 0.99. Then X ⊥ Y | W. But X and Y are dependent, because Pr(X = 0) < Pr(X = 0|Y = 0). This is because Pr(X = 0) = 0.5, but if Y = 0 then it's very likely that W = 0 and thus that X = 0 as well, so Pr(X = 0|Y = 0) > 0.5. For the second example, suppose X ⊥ Y, each taking the values 0 and 1 with probability 0.5. Let W be the product X×Y. Then when W = 0, Pr(X = 0) = 2/3, but Pr(X = 0|Y = 0) = 1/2, so X ⊥ Y | W is false. This also an example of Explaining Away. See Kevin Murphy's tutorial  where X and Y take the values "brainy" and "sporty".
Uses in Bayesian statistics
Let p be the proportion of voters who will vote "yes" in an upcoming referendum. In taking an opinion poll, one chooses n voters randomly from the population. For i = 1, ..., n, let Xi = 1 or 0 according as the ith chosen voter will or will not vote "yes".
In a frequentist approach to statistical inference one would not attribute any probability distribution to p (unless the probabilities could be somehow interpreted as relative frequencies of occurrence of some event or as proportions of some population) and one would say that X1, ..., Xn are independent random variables.
By contrast, in a Bayesian approach to statistical inference, one would assign a probability distribution to p regardless of the non-existence of any such "frequency" interpretation, and one would construe the probabilities as degrees of belief that p is in any interval to which a probability is assigned. In that model, the random variables X1, ..., Xn are not independent, but they are conditionally independent given the value of p. In particular, if a large number of the Xs are observed to be equal to 1, that would imply a high conditional probability, given that observation, that p is near 1, and thus a high conditional probability, given that observation, that the next X to be observed will be equal to 1.
Rules of conditional independence
Note: since these implications hold for any probability space, they will still hold if considers a sub-universe by conditioning everything on another variable, say K. For example, would also mean that .
Note: below, the comma can be read as an "AND".
- pX,A,B(x,a,b) = pX(x)pA,B(a,b) (meaning of )
- (ignore variable by integrating it out)
- pX,A(x,a) = pX(x)pA(a)
repeat proof to show independence of X and B.
Putting the above three together, we have:
If the probabilities of X, A, B are all positive, then the following also holds:
- ^ To see that this is the case, one needs to realise that Pr(R ∩ B | Y) is the probability of an overlap of R and B in the Y area. Since, in the picture on the left, there are two squares where R and B overlap within the Y area, and the Y area has twelve squares, Pr(R ∩ B | Y) = = . Similarly, Pr(R | Y) = = and Pr(B | Y) = = .
- ^ http://people.cs.ubc.ca/~murphyk/Bayes/bnintro.html
- ^ Dawid, A. P. (1979). "Conditional Independence in Statistical Theory". Journal of the Royal Statistical Society Series B 41 (1): 1–31. JSTOR 2984718. MR0535541.
- ^ J Pearl, Causality: Models, Reasoning, and Inference, 2000, Cambridge University Press
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