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Conditional Independence

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Definition
ProbabilityInfoTheoryStochasticProcesses

Let X,Y,ZX,Y,Z be discrete RVs taking value in a state space SS. XX and YY are conditionally independent given ZZ if P(X=x,Y=yZ=z)=P(X=xZ=z)P(Y=yZ=z)P(X=x,Y=y|Z=z)=P(X=x|Z=z)P(Y=y|Z=z) for any x,y,zx,y,z such that P(Z=z)>0P(Z=z)>0.

The following two statements are equivalent: 1. XX and YY are conditionally independent given ZZ. 2. For any x,y,zx,y,z so that P(Y=y,Z=z)>0P(Y=y,Z=z)>0 P(X=xY=y,Z=z)=P(X=xZ=z)P(X=x|Y=y,Z=z)=P(X=x|Z=z) 3. For any x,y,y,zx,y,y',z so that P(Y=y,Z=z)>0P(Y=y,Z=z)>0 and P(Y=y,Z=z)>0P(Y=y',Z=z)>0 P(X=xY=y,Z=z)=P(X=xY=y,Z=z)P(X=x|Y=y,Z=z)=P(X=x|Y=y',Z=z)

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