Construct a probability-space example with three distinct events showing that independence is not transitive: \(A\) is independent of \(B\), and \(B\) is independent of \(C\), but \(A\) is not independent of \(C\).
Hints
- A small finite sample space makes it easier to verify each required relationship exactly.
- Think about how one event could be independent of two different events for the same structural reason.
- Your construction must make the product criterion succeed for two pairs and fail for the third pair.
Solution
1. Use the six equally likely ordered pairs \(S=\{1,2,3\}\times\{0,1\}\). Let \(A=\{X=1\}\), \(B=\{Y=0\}\), and \(C=\{X\in\{1,2\}\}\).
2. \(P(A)=\frac13\), \(P(B)=\frac12\), and \(P(A\cap B)=\frac16=P(A)P(B)\), so \(A\) and \(B\) are independent.
3. \(P(C)=\frac23\), and \(P(B\cap C)=\frac13=P(B)P(C)\), so \(B\) and \(C\) are independent.
4. Since \(A\subset C\), \(P(A\cap C)=\frac13\), while \(P(A)P(C)=\frac29\). Thus \(A\) and \(C\) are not independent.
Answer
For example, on \(S=\{1,2,3\}\times\{0,1\}\) with equally likely outcomes, take \(A=\{X=1\}\), \(B=\{Y=0\}\), and \(C=\{X\in\{1,2\}\}\). Then \(A\) is independent of \(B\), and \(B\) is independent of \(C\), but \(A\) is not independent of \(C\).