On Conditional Independence, Mixing, and Association

Abstract

This is a follow-up to a recent article by Prakasa Rao [15] on conditional independence, conditional mixing and conditional association. The purpose of this article is to derive rigorously some results following from conditioning. To this end, a brief review is presented of the concepts of conditional independence of events, classes of events, and random variables, followed by a conditional version of a factorization theorem, as well as a first installment of some basic results. Next, the concepts of conditional covariance and variance are introduced, and a second installment of basic results follows. Furthermore, a certain representation of the covariance is established in detail, followed by a conditional version of it, as well as a generalization. The concept of the conditional characteristic function is also recalled, and a certain inequality is established. Finally, the concept of conditional positive (negative) quadrant dependence, as well as that of conditional positive (negative) association are introduced. The article concludes with the derivation of the conditional versions of some known results, regarding positive (negative) association. This is done anticipating that conditional association (and also conditional mixing) will prove to be of significant applicability.

Keywords:

• Conditional association
• Conditional characteristic function
• Conditional covariance
• Conditional independence of classes of events
• Conditional independence of events
• Conditional independence of random variables
• Conditional mixing
• Conditional variance

AMS Subject Classification:

• Primary 60A99, 60G99
• Secondary 62F05, 62F12, 62G05