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Probability_course_3

Lecture 3 covers the concept of independence in probability, including the independence of two events, collections of events, and conditional independence. It emphasizes that independence means the occurrence of one event does not affect the probability of another, and discusses the distinction between pairwise independence and full independence. The lecture also includes examples such as the king's sibling problem and the Monty Hall problem to illustrate these concepts.

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9 views

Probability_course_3

Lecture 3 covers the concept of independence in probability, including the independence of two events, collections of events, and conditional independence. It emphasizes that independence means the occurrence of one event does not affect the probability of another, and discusses the distinction between pairwise independence and full independence. The lecture also includes examples such as the king's sibling problem and the Monty Hall problem to illustrate these concepts.

Uploaded by

bomboclaat722
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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LECTURE 3: Independence

• Readings: Section 1.5

• Review
• Independence of two events
• Independence of a collection of events
• Pairwise independence.

1
Review

• Conditional probability
– Definition
– Three tools
• Multiplication rule
• Total probability theorem
• Bayes rule

2
Review

3
Independence of two events

• “Intuitive” definition: 𝑃 𝐵 𝐴 = 𝑃(𝐵)


– Occurrence of 𝐴 provides no new information about event 𝐵

(Formal) Definition of independence: 𝑃 𝐴 ∩ 𝐵 = 𝑃 𝐴 ⋅ 𝑃(𝐵)

– Consistent with intuitive definition

– Symmetric with respect to 𝐴 and 𝐵

• Implies 𝑃 𝐴 𝐵 = 𝑃 𝐴

– Applies even if 𝑃 𝐴 = 0

• Two disjoint events are independent?

4
Independence of two events

(Formal) Definition of independence: 𝑃 𝐴 ∩ 𝐵 = 𝑃 𝐴 ⋅ 𝑃(𝐵)

• If 𝐴 and 𝐵 are independent, then 𝐴 and 𝐵𝑐 are independent.

– Intuitive argument

– Formal proof?

5
Conditional independence

• Conditional independence, given 𝐶,


is defined as independence under the probability law 𝑃 ⋅ |𝐶

• Assume 𝐴 and 𝐵 are independent.


– If we are told that 𝐶 occurred,
are 𝐴 and 𝐵 independent?
– i.e., unconditional independence
(𝑃 𝐴 ∩ 𝐵 = 𝑃 𝐴 ⋅ 𝑃(𝐵))
implies
conditional independence
(𝑃 𝐴 ∩ 𝐵|𝐶 = 𝑃 𝐴|𝐶 ⋅ 𝑃(𝐵|𝐶))?

6
Conditioning may affect independence

=> (conditional independence)


Given a coin,
independent tosses over later stages

• Question) Are coin tosses independent?

– Compare:
P(11th toss = H)

P(11th toss = H | first 10 tosses are all heads)

7
Independence of a collection of events

• Intuitive definition: Information on some of the events does not change


probabilities related to the remaining events.
– 𝐴1 , 𝐴2 ,… are independent
⇒ e. g. , 𝑃 𝐴1 ∩ 𝐴2 = 𝑃 𝐴1 ∩ 𝐴2 | 𝐴3 ∪ 𝐴4 ∩ 𝐴5 ⋯

Definition: Events are called independent if:


𝑃 𝐴𝑖 ∩ 𝐴𝑗 ∩ ⋯ ∩ 𝐴𝑚 = 𝑃 𝐴𝑖 ⋅ 𝑃 𝐴𝑗 ⋯ 𝑃 𝐴𝑚 for any distinct indices 𝑖, 𝑗, … , 𝑚

8
Independence vs. pairwise independence

• Two independent fair coin tosses


– 𝐻1 : First toss is 𝐻
– 𝐻2 : Second toss is 𝐻
– 𝑃 𝐻1 = 𝑃 𝐻2 =1/2
• 𝐶: two tosses had the same result

• 𝐻1 , 𝐻2 , 𝐶are pairwise independent?

• 𝐻1 , 𝐻2 , 𝐶 are independent?

• Pairwise independence does not imply independence of a collection of events!!


9
The king’s sibling

• The king comes from a family of two children. What is the probability that his
sibling is female?

• Assumption
– P(boy)=P(girl)=1/2
– Different children (boy or girl): independent
– Only boy becomes king

• What happens if the other rule is provided?


– Ex) this kingdom decided to have children until they get one boy.

10
Monty hall problem – example 1.12

• First, you should think by yourself, and then read the solution in the textbook
• Try to apply the conditional probability

11
Next Lecture

• Readings: Section 1.6

• Counting
• Discrete uniform law

12

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