Independency

Two events are independent if and only if

P(A|B)=P(A)P(B|A)=P(B)

If X and Y are independent:

f(x,y)=P(X=x,Y=y)=P(X=x)P(Y=y)f(x,y)=fX(x)fY(y) ∀(x,y) 

Joint probability is equal to the product of the Marginal Distributions

F(x,y)=P(X≤x,Y≤y)=P(X≤x)P(Y≤y)=FX(x)FY(y)∀ (x,y)

Joint cumulative probability is equal to the product of the Marginal Distributions

If ∃x0,y0 such that fX,Y(x0,y0)≠fX(x0)fY(y0) then X and Y are not independent

Discrete

For n discrete random variables X1,X2,…,Xn with a joint probability distribution f(x1,x2,…,xn) and marginals distributions fXi(xi):

fX(x1,x2,…xn)=fX1(x1)⋅fX2(x2)…fXn(xn)∀(x1,x2,…,xn)

if and only if the n random variables are independent

Three of more random variables can still be pairwise independent without being completely independent among all of them

Total independency⟹pairwise independencyfX,Y,Z(x,y,z)=fX(x)fY(y)fZ(z)⟹{fX,Y=fX(x)fY(y)fX,Z=fX(x)fZ(z)fY,Z=fY(y)fZ(z)

Continuous

For n continuous random variables X1,X2,…,Xn with a joint probability densities f(x1,x2,…,xn) and marginals densities fXi(xi):

fX(x1,x2,…xn)=fX1(x1)⋅fX2(x2)…fXn(xn)∀(x1,x2,…,xn)

if and only if the n random variables are independent

The cdfs can be used instead to determine the dependency of the variables

f(x,y)=fX(x)fY(y)F(x,y)=FX(x)FY(y)

Measures