In probability theory, to say that two events are independent intuitively means that the occurrence of one event

makes it neither more nor less probable that the other occurs. For example: The event of getting a 6 the first time a die is rolled and the event of getting a 6 the second time are independent. By contrast, the event of getting a 6 the first time a die is rolled and the event that the sum of the numbers seen on the first and second trials is 8 are not independent.

Some other examples of independent events are:

Landing on heads after tossing a coin AND rolling a 5 on a single 6-sided die. Choosing a marble from a jar AND landing on heads after tossing a coin. Choosing a 3 from a deck of cards, replacing it, AND then choosing an ace as the second card. Rolling a 4 on a single 6-sided die, AND then rolling a 1 on a second roll of the die.

Similarly, two random variables are independent if the conditional probability distribution of either given the observed value of the other is the same as if the other's value had not been observed. The concept of independence extends to dealing with collections of more than two events or random variables. In some instances, the term "independent" is replaced by "statistically independent", "marginally [1] independent", or "absolutely independent".

Experiment 1: A dresser drawer contains one pair of socks with each of the following colors: blue, brown, red, white and black. Each pair is folded together in a matching set. You reach into the sock drawer and choose a pair of socks without looking. You replace this pair and then choose another pair of socks. What is the probability that you will choose the red pair of socks both times? There are a couple of things to note about this experiment. Choosing a pairs of socks from the drawer, replacing it, and then choosing a pair again from the same drawer is a compound event. Since the first pair was replaced, choosing a red pair on the first try has no effect on the probability of choosing a red pair on the second try. Therefore, these events are independent.

Independent events
The standard definition says: Two events A and B are independent if and only if Here A B is the intersection of A and B, that is, it is the event that both events A and B occur. More generally, any collection of eventspossibly more than just two of themare mutually independent if and only if for every finite subset A1, ..., An of the collection we have

This is called the multiplication rule for independent events. Notice that independence [2] requires this rule to hold for every subset of the collection; see for a three-event example in

which independent.

and yet no two of the three events are pairwise

If two events A and B are independent, then the conditional probability of A given B is the same as the unconditional (or marginal) probability of A, that is,

There are at least two reasons why this statement is not taken to be the definition of independence: (1) the two events A and B do not play symmetrical roles in this statement, and (2) problems arise with this statement when events of probability 0 are involved. The conditional probability of event A given B is given by

(so long as Pr(B) 0 ) The statement above, when is equivalent to

which is the standard definition given above. Note that an event is independent of itself if and only if

That is, if its probability is one or zero. Thus if an event or its complement almost surely occurs, it is independent of itself. For example, if event A is choosing any number but 0.5 from a uniform distribution on the unit interval, A is independent of itself, even though, tautologically, A fully determines A.

Independent random variables

What is defined above is independence of events. In this section we treat independence of random variables. If X is a real-valued random variable and a is a number then the event X a is the set of outcomes whose corresponding value of X is less than or equal to a. Since these are sets of outcomes that have probabilities, it makes sense to refer to events of this sort being independent of other events of this sort. Two random variables X and Y are independent if and only if for every a and b, the events {X a} and {Y b} are independent events as defined above. Mathematically, this can be described as follows: The random variables X and Y with cumulative distribution functions FX(x) and FY(y), and probability densities X(x) and Y(y), are independent if and only if the combined random variable (X, Y) has ajoint cumulative distribution function

or equivalently, a joint density . Similar expressions characterise independence more generally for more than two random variables. An arbitrary collection of random variables possibly more than just two of them is independent precisely if for any finite collection X1, ..., Xn and any finite set of numbers a1, ..., an, the events {X1 a1}, ..., {Xn an} are independent events as defined above. The measure-theoretically inclined may prefer to substitute events {X A} for events {X a} in the above definition, where A is any Borel set. That definition is exactly equivalent to the one above when the values of the random variables are real numbers. It has the advantage of working also for complex-valued random variables or for random variables taking values in any measurable space (which includes topological spaces endowed by appropriate -algebras). If any two of a collection of random variables are independent, they may nonetheless fail to be mutually independent; this is called pairwise independence. If X and Y are independent, then the expectation operator E has the property

and for the covariance since we have

so the covariance cov(X, Y) is zero. (The converse of these, i.e. the proposition that if two random variables have a covariance of 0 they must be independent, is not true. See uncorrelated.) Two independent random variables X and Y have the property that the characteristic function of their sum is the product of their marginal characteristic functions:

but the reverse implication is not true (see subindependence).

Independent -algebras
The definitions above are both generalized by the following definition of independence for -algebras. Let (, , Pr) be a probability space and

let A and B be two sub--algebras of . A and B are said to be independent if, whenever A A and B B,

The new definition relates to the previous ones very directly: Two events are independent (in the old sense) if and only if the -algebras that they generate are independent (in the new sense). The -algebra generated by an event E is, by definition,

Two random variables X and Y defined over are independent (in the old sense) if and only if the -algebras that they generate are independent (in the new sense). The -algebra generated by a random variable X taking values in some measurable space S consists, by definition, of all subsets of of the 1 form X (U), where U is any measurable subset of S.

Using this definition, it is easy to show that if X and Y are random variables and Y is constant, then X and Y are independent, since the -algebra generated by a constant random variable is the trivial -algebra {, }. Probability zero events cannot affect independence so independence also holds if Y is only Pr-almost surely constant.

Conditionally independent random variables

Main article: Conditional independence Intuitively, two random variables X and Y are conditionally independent given Z if, once Z is known, the value of Y does not add any additional information about X. For instance, two measurements Xand Y of the same underlying quantity Z are not independent, but they are conditionally independent given Z (unless the errors in the two measurements are somehow connected).

The formal definition of conditional independence is based on the idea of conditional distributions. If X, Y, and Z are discrete random variables, then we define X and Y to be conditionally independent given Z if

for all x, y and z such that P(Z = z) > 0. On the other hand, if the random variables are continuous and have a joint probability density function p, then X and Y are conditionally independent given Z if

for all real numbers x, y and z such that pZ(z) > 0. If X and Y are conditionally independent given Z, then

for any x, y and z with P(Z = z) > 0. That is, the conditional distribution for X given Y and Z is the same as that given Z alone. A similar equation holds for the conditional probability density functions in the continuous case. Independence can be seen as a special kind of conditional independence, since probability can be seen as a kind of conditional probability given no events.

To find the probability of two independent events that occur in sequence, find the probability of each event occurring separately, and then multiply the probabilities. This multiplication rule is defined symbolically below. Note that multiplication is represented by AND. Multiplication Rule 1: When two events, A and B, are independent, the probability of both occurring is: P(A and B) = P(A) P(B)

The idea of independence can be extended to more than two events. For example, A, B and C are independent if: a. A and B are independent; A and C are independent and B and C are independent (pairwise independence); b. If two events are independent then they cannot be mutually exclusive (disjoint) and vice versa. Example Suppose that a man and a woman each have a pack of 52 playing cards. Each draws a card from his/her pack. Find the probability that they each draw the ace of clubs. We define the events: A = probability that man draws ace of clubs = 1/52 B = probability that woman draws ace of clubs = 1/52 Clearly events A and B are independent so: = 1/52 . 1/52 = 0.00037 That is, there is a very small chance that the man and the woman will both draw the ace of clubs.