Independent, Pairwise Independent and Mutually Independent events

independenceprobability

I want to understand the difference between Independent, Pairwise Independent and Mutually Independent events. I have read multiple answers related to this like in here, here and here. Most of them talk with 3 events and explain the difference between pairwise independent and mutually independent. I understand that. But what happens when there are $n$ events?

Suppose, $A_1$, $A_2$,….$A_n$ are n events, if

$$P(A_1 \cap A_2 \cap …. A_n) = P(A_1)P(A_2)….P(A_n)$$
but they are neither pairwise independent nor mutually independent. Only the above statement holds. Now, are these events still called Independent Events? Or is there any separate nomenclature for that?

Best Answer

We will take the following definitions

Suppose $A_1,A_2,\ldots,A_n$ are $n$ events.

Definition 1: They are pairwise independet if $$P(A_i\cap A_j)=P(A_i)P(A_j)\; \forall 1\leq i,j\leq n\;,i\not=j$$

Definition 2: They are mutually independet if $$P(A_{i_1}\cap A_{i_2}\cap\ldots\cap A_{i_m})=P(A_{i_1})P(A_{i_2})\ldots P(A_{i_m})$$ $\forall 1\leq i_1<i_2<\ldots<i_m\leq n$ , $\forall m=2,3\ldots,n$, that is, for any combination of events you choose, satisfy the product rule.

Definition 3 They are independent if $$P(A_1\cap A_2\cap \ldots \cap A_n)=P(A_1)P(A_2)\ldots P(A_n)$$

Remark :

  1. Pairwise independent doesn't imply mutually independent but mutually implies pairwise.

  2. Mutually independent implies independent, but not the converse because it is possible to create a three-event example in which

$${\displaystyle \mathrm {P} (A\cap B\cap C)=\mathrm {P} (A)\mathrm {P} (B)\mathrm {P} (C)}$$ and yet no two of the three events are pairwise independent (and hence the set of events are not mutually independent) George, Glyn, "Testing for the independence of three events