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# Chapter 3 Conditional Probability and Independence

Lectures 8 -12 In this chapter, we introduce the concepts of conditional probability and independence. Suppose we know that an event already occurred. Then a natural question asked is ``What is the effect of this on the probabilities of other events?'' This leads to the notion of conditional probability.

## Definition 3.1 Let

conditional probability of an event

## be such that is defined as

The

Define

Then

is a

-field of subsets of

Here

may be

. If

## , then partition is said to be finite partition and if

, it is called

a countable partition.

## Theorem 3.0.8 Define

on

as follows.

Then

is a probability space.

## Theorem 3.0.9 (Law of total probability-discrete form)

be a partition of such that

Proof.

and . Then

such that

Proof.

Remark 3.0.3 If

, then

and

## are independent iff

This confirms

the intuition behind the notion of independence, ``the occurrence one event doesn't have any effect on the occurrence of the other''.

as follows.

and

and

. Then

and

## Example 3.0.18 Consider the probability space defined by

and

given by (1.0.6). Consider the events are independent and are dependent.

. Then

The notion of independence defined above can be extended to independence of three or more events in the following manner.

## Definition 3.3 (Independence of three events). The events

(i) (ii) If the events satisfies only (i), then ; and are independent and

and

Then

and

as follows .

Let

Then

are independent.

from

## are said to be independent if for any distinct

Using the notion of independence of events, one can define the independence of

-fields as follows.

-fields

of subsets of

-fields

of subsets of

## are said to be independent if . -fields as follows.

are independent whenever One can go a step further to define independence of any family of

finite subset

, where

## is an index set, are independent if for any are independent.

Finally one can introduce the notion of independence of random variables through the corresponding field generated. It is natural to define independence of random variables using the corresponding since the -field contains all information about the random variable.

-fields,

## Definition 3.8 Two random variables

independent.

and

are independent if

and

are

## Definition 3.9 A family of random variables

independent.

are independent if

are

## Example 3.0.21 Let

the random variables Proof. Let and and

and

are independent

-fields iff

## Hence and independent. Now Since

are independent. Changing the roles of and we have and are independent implies that and are independent.

and

are

it follows that

and

## Example 3.0.22 The trivial

-field

is independent of any

-field of subsets of

Example 3.0.23

as follows:

and

For

set

Then

are independent.

Note that

Hence

Also

is given by as

and

as

Then

and

## are independent. Here note that

and

We conclude this chapter with the celebrated Borel-Cantelli Lemma. To this end, we need the notion of limsup and liminf of events.

Definition 3.10

of sets) For

subsets of

, define

Similarly

In the following theorem, we list some useful properties of limsup and liminf. This will make the objects and of sets much clearer.

Then

2.Let

Then

## 4.The following identity holds.

5.If

, then

6.If

then

Proof. 1.Consider

2.Consider

Thus (2).

5.Consider

Similarly

## 6.The proof of (6) follows from (4) and (5).

Remark 3.0.4 The properties (1)-(6) are analogous to the corresponding properties of
of real numbers.

and

Remark 3.0.5 Analogous to the notion of limit of sequence of numbers, one can say that
exists if

exists

## is an decreasing sequence of sets, then

. Now student can see why property (6) in Theorem 1.0.1 is called

. (i) If

then

(ii) If

and

as

, since

Therefore

Therefore

Now

Using

, we get

Since

we get

Therefore

Thus

Therefore

as follows.

Set

where

Let

Then

For

, define

For

, there exists

Define

as follows.

to

Then

Hence