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Conditional uncorrelation equals independence

Abstract

It is well known that the independent random variables XX and YY are uncorrelated in the sense E[XY]=E[X]E[Y]E[XY]=E[X]\cdot E[Y] and that the implication may be reversed in very specific cases only. This paper proves that under general assumptions the conditional uncorrelation of random variables, where the conditioning takes place over the suitable class of test sets, is equivalent to the independence. It is also shown that the mutual independence of X1,,XnX_1,\dots,X_n is equivalent to the fact that any conditional correlation matrix equals to the identity matrix.

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