Stochastic dependence

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probabilistic dependence, statistical dependence

A dependence between random variables that is expressed by a change of the conditional distribution of any of the variables when the other variables are altered. There are many forms of stochastic dependence: if the random variables are not mutually independent, they have to a greater or lesser degree the property of stochastic dependence. One of the most common types of stochastic dependence is correlation dependence (see Correlation (in statistics); Regression). Of the concrete forms of stochastic dependence, the most studied is Markov dependence (see Markov chain; Markov process; Markov property).

See also Stochastic process; Stationary stochastic process.

How to Cite This Entry:
Stochastic dependence. A.V. Prokhorov (originator), Encyclopedia of Mathematics. URL:
This text originally appeared in Encyclopedia of Mathematics - ISBN 1402006098