Are the compositions of mutually independent random variables independent

independenceprobability theoryrandom variables

Say I have $4$ independent real-valued random variables $X_1, X_2, X_3, X_4$ over the probability space $(\mathbb{R}, \Sigma, \mu)$ where $\mu$ is a perfect probability measure.

Since $X_1, X_2, X_3, X_4$ are measurable functions, my understanding is that we can compose them to form the new random variables $X_1 \circ X_2$ and $X_3 \circ X_4$.

Are $X_1 \circ X_2$ and $X_3 \circ X_4$ independent of each other? Is $X_1 \circ X_2$ independent of $X_1$ and/or $X_2$?

Best Answer

$X_1\circ X_2$ is a function of $X_2$ and thus independent of $X_1$, $X_3$, $X_4$ and $X_3\circ X_4$ (the latter being a function of $X_4$). It will in general not be independent of $X_2$, except in special cases, e.g. where $X_1$ is constant.

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