顺序结构
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p(A,B,C) = p(A) p(C|A) p(B|C)
p(A,B,C)=p(A)p(C∣A)p(B∣C)
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p(A,B|C) = \frac{p(A,B,C)}{p(C)} = \frac{p(A,B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{p(A) p(C|A) p(B|C)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(C|A') p(B'|C)} = \frac{p(A) p(C|A) p(B|C)}{\left( \sum\limits_{A'} p(A') p(C|A') \right) \left( \sum\limits_{B'} p(B'|C) \right)} = \frac{p(A) p(C|A) p(B|C)}{\left( \sum\limits_{A'} p(A') p(C|A') \right)}
p(A,B∣C)=p(C)p(A,B,C)=A′∑B′∑p(A′,B′,C)p(A,B,C)=A′∑B′∑p(A′)p(C∣A′)p(B′∣C)p(A)p(C∣A)p(B∣C)=(A′∑p(A′)p(C∣A′))(B′∑p(B′∣C))p(A)p(C∣A)p(B∣C)=(A′∑p(A′)p(C∣A′))p(A)p(C∣A)p(B∣C)
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p(A|C) = \frac{p(A,C)}{p(C)} = \frac{\sum\limits_{B'} p(A,B',C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{B'} p(A) p(C|A) p(B'|C)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(C|A') p(B'|C)} = \frac{p(A) p(C|A) \left( \sum\limits_{B'} p(B'|C) \right)}{\left( \sum\limits_{A'} p(A') p(C|A') \right) \left( \sum\limits_{B'} p(B'|C) \right)} = \frac{p(A) p(C|A)}{\left( \sum\limits_{A'} p(A') p(C|A') \right)}
p(A∣C)=p(C)p(A,C)=A′∑B′∑p(A′,B′,C)B′∑p(A,B′,C)=A′∑B′∑p(A′)p(C∣A′)p(B′∣C)B′∑p(A)p(C∣A)p(B′∣C)=(A′∑p(A′)p(C∣A′))(B′∑p(B′∣C))p(A)p(C∣A)(B′∑p(B′∣C))=(A′∑p(A′)p(C∣A′))p(A)p(C∣A)
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p(B|C) = \frac{p(B,C)}{p(C)} = \frac{\sum\limits_{A'} p(A',B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{A'} p(A') p(C|A') p(B|C)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(C|A') p(B'|C)} = \frac{\left( \sum\limits_{A'} p(A') p(C|A') \right) p(B|C)}{\left( \sum\limits_{A'} p(A') p(C|A') \right) \left( \sum\limits_{B'} p(B'|C) \right)} = p(B|C)
p(B∣C)=p(C)p(B,C)=A′∑B′∑p(A′,B′,C)A′∑p(A′,B,C)=A′∑B′∑p(A′)p(C∣A′)p(B′∣C)A′∑p(A′)p(C∣A′)p(B∣C)=(A′∑p(A′)p(C∣A′))(B′∑p(B′∣C))(A′∑p(A′)p(C∣A′))p(B∣C)=p(B∣C)
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p(A,B|C) = p(A|C)p(B|C)
p(A,B∣C)=p(A∣C)p(B∣C)恰好成立
下证
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p(B,A,C) = p(B) p(C|B) p(A|C)
p(B,A,C)=p(B)p(C∣B)p(A∣C)
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p(B,A|C) = \frac{p(B,A,C)}{p(C)} = \frac{p(B,A,C)}{\sum\limits_{B'} \sum\limits_{A'} p(B',A',C)} = \frac{p(B) p(C|B) p(A|C)}{\sum\limits_{B'} \sum\limits_{A'} p(B') p(C|B') p(A'|C)} = \frac{p(B) p(C|B) p(A|C)}{\left( \sum\limits_{B'} p(B') p(C|B') \right) \left( \sum\limits_{A'} p(A'|C) \right)} = \frac{p(B) p(C|B) p(A|C)}{\left( \sum\limits_{B'} p(B') p(C|B') \right)}
p(B,A∣C)=p(C)p(B,A,C)=B′∑A′∑p(B′,A′,C)p(B,A,C)=B′∑A′∑p(B′)p(C∣B′)p(A′∣C)p(B)p(C∣B)p(A∣C)=(B′∑p(B′)p(C∣B′))(A′∑p(A′∣C))p(B)p(C∣B)p(A∣C)=(B′∑p(B′)p(C∣B′))p(B)p(C∣B)p(A∣C)
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p(B|C) = \frac{p(B,C)}{p(C)} = \frac{\sum\limits_{A'} p(B,A',C)}{\sum\limits_{B'} \sum\limits_{A'} p(B',A',C)} = \frac{\sum\limits_{A'} p(B) p(C|B) p(A'|C)}{\sum\limits_{B'} \sum\limits_{A'} p(B') p(C|B') p(A'|C)} = \frac{p(B) p(C|B) \left( \sum\limits_{A'} p(A'|C) \right)}{\left( \sum\limits_{B'} p(B') p(C|B') \right) \left( \sum\limits_{A'} p(A'|C) \right)} = \frac{p(B) p(C|B)}{\left( \sum\limits_{B'} p(B') p(C|B') \right)}
p(B∣C)=p(C)p(B,C)=B′∑A′∑p(B′,A′,C)A′∑p(B,A′,C)=B′∑A′∑p(B′)p(C∣B′)p(A′∣C)A′∑p(B)p(C∣B)p(A′∣C)=(B′∑p(B′)p(C∣B′))(A′∑p(A′∣C))p(B)p(C∣B)(A′∑p(A′∣C))=(B′∑p(B′)p(C∣B′))p(B)p(C∣B)
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p(A|C) = \frac{p(A,C)}{p(C)} = \frac{\sum\limits_{B'} p(B',A,C)}{\sum\limits_{B'} \sum\limits_{A'} p(B',A',C)} = \frac{\sum\limits_{B'} p(B') p(C|B') p(A|C)}{\sum\limits_{B'} \sum\limits_{A'} p(B') p(C|B') p(A'|C)} = \frac{\left( \sum\limits_{B'} p(B') p(C|B') \right) p(A|C)}{\left( \sum\limits_{B'} p(B') p(C|B') \right) \left( \sum\limits_{A'} p(A'|C) \right)} = p(A|C)
p(A∣C)=p(C)p(A,C)=B′∑A′∑p(B′,A′,C)B′∑p(B′,A,C)=B′∑A′∑p(B′)p(C∣B′)p(A′∣C)B′∑p(B′)p(C∣B′)p(A∣C)=(B′∑p(B′)p(C∣B′))(A′∑p(A′∣C))(B′∑p(B′)p(C∣B′))p(A∣C)=p(A∣C)
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p(B,A|C) = p(B|C)p(A|C)
p(B,A∣C)=p(B∣C)p(A∣C)恰好成立
同父结构
下证
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A \bot B | C
A⊥B∣C
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p(A,B,C) = p(C) p(A|C) p(B|C)
p(A,B,C)=p(C)p(A∣C)p(B∣C)
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p(A,B|C) = \frac{p(A,B,C)}{p(C)} = \frac{p(A,B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{p(C) p(A|C) p(B|C)}{\sum\limits_{A'} \sum\limits_{B'} p(C) p(A'|C) p(B'|C)} = \frac{p(C) p(A|C) p(B|C)}{p(C) \left( \sum\limits_{A'} p(A'|C) \right) \left( \sum\limits_{B'} p(B'|C) \right)} = p(A|C) p(B|C)
p(A,B∣C)=p(C)p(A,B,C)=A′∑B′∑p(A′,B′,C)p(A,B,C)=A′∑B′∑p(C)p(A′∣C)p(B′∣C)p(C)p(A∣C)p(B∣C)=p(C)(A′∑p(A′∣C))(B′∑p(B′∣C))p(C)p(A∣C)p(B∣C)=p(A∣C)p(B∣C)
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p(A|C) = \frac{p(A,C)}{p(C)} = \frac{\sum\limits_{B'} p(A,B',C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{B'} p(C) p(A|C) p(B'|C)}{\sum\limits_{A'} \sum\limits_{B'} p(C) p(A'|C) p(B'|C)} = \frac{p(C) p(A|C) \left( \sum\limits_{B'} p(B'|C) \right)}{p(C) \left( \sum\limits_{A'} p(A'|C) \right) \left( \sum\limits_{B'} p(B'|C) \right)} = p(A|C)
p(A∣C)=p(C)p(A,C)=A′∑B′∑p(A′,B′,C)B′∑p(A,B′,C)=A′∑B′∑p(C)p(A′∣C)p(B′∣C)B′∑p(C)p(A∣C)p(B′∣C)=p(C)(A′∑p(A′∣C))(B′∑p(B′∣C))p(C)p(A∣C)(B′∑p(B′∣C))=p(A∣C)
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p(B|C) = \frac{p(B,C)}{p(C)} = \frac{\sum\limits_{A'} p(A',B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{A'} p(C) p(A'|C) p(B|C)}{\sum\limits_{A'} \sum\limits_{B'} p(C) p(A'|C) p(B'|C)} = \frac{p(C) p(B|C) \left( \sum\limits_{A'} p(A'|C) \right)}{p(C) \left( \sum\limits_{A'} p(A'|C) \right) \left( \sum\limits_{B'} p(B'|C) \right)} = p(B|C)
p(B∣C)=p(C)p(B,C)=A′∑B′∑p(A′,B′,C)A′∑p(A′,B,C)=A′∑B′∑p(C)p(A′∣C)p(B′∣C)A′∑p(C)p(A′∣C)p(B∣C)=p(C)(A′∑p(A′∣C))(B′∑p(B′∣C))p(C)p(B∣C)(A′∑p(A′∣C))=p(B∣C)
p
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p(A,B|C) = p(A|C)p(B|C)
p(A,B∣C)=p(A∣C)p(B∣C)恰好成立
V形结构
下证
A
⊥
B
A \bot B
A⊥B
p
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p(A,B,C) = p(A) p(B) p(C|A,B)
p(A,B,C)=p(A)p(B)p(C∣A,B)
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p(A,B) = \sum\limits_{C'} p(A,B,C') = \sum\limits_{C'} p(A) p(B) p(C'|A,B) = p(A) p(B) \left( \sum\limits_{C'} p(C'|A,B) \right) = p(A) p(B)
p(A,B)=C′∑p(A,B,C′)=C′∑p(A)p(B)p(C′∣A,B)=p(A)p(B)(C′∑p(C′∣A,B))=p(A)p(B)
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p(A) = \sum\limits_{B'} \sum\limits_{C'} p(A,B',C') = \sum\limits_{B'} \sum\limits_{C'} p(A) p(B') p(C'|A,B') = p(A) \left[ \sum\limits_{B'} p(B') \left( \sum\limits_{C'} p(C'|A,B') \right) \right] = p(A)
p(A)=B′∑C′∑p(A,B′,C′)=B′∑C′∑p(A)p(B′)p(C′∣A,B′)=p(A)[B′∑p(B′)(C′∑p(C′∣A,B′))]=p(A)
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p(B) = \sum\limits_{A'} \sum\limits_{C'} p(A',B,C') = \sum\limits_{A'} \sum\limits_{C'} p(A') p(B) p(C'|A',B) = p(B) \left[ \sum\limits_{A'} p(A') \left( \sum\limits_{C'} p(C'|A',B) \right) \right] = p(B)
p(B)=A′∑C′∑p(A′,B,C′)=A′∑C′∑p(A′)p(B)p(C′∣A′,B)=p(B)[A′∑p(A′)(C′∑p(C′∣A′,B))]=p(B)
p
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p(A,B) = p(A)p(B)
p(A,B)=p(A)p(B)恰好成立
下证
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̸
⊥
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∣
C
A \not\!\bot B | C
A⊥B∣C
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p(A,B,C) = p(A) p(B) p(C|A,B)
p(A,B,C)=p(A)p(B)p(C∣A,B)
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p(A,B|C) = \frac{p(A,B,C)}{p(C)} = \frac{p(A,B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{p(A) p(B) p(C|A,B)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(B') p(C|A',B')}
p(A,B∣C)=p(C)p(A,B,C)=A′∑B′∑p(A′,B′,C)p(A,B,C)=A′∑B′∑p(A′)p(B′)p(C∣A′,B′)p(A)p(B)p(C∣A,B)
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p(A|C) = \frac{p(A,C)}{p(C)} = \frac{\sum\limits_{B'} p(A,B',C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{B'} p(A) p(B') p(C|A,B')}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(B') p(C|A',B')} = \frac{p(A) \sum\limits_{B'} p(B') p(C|A,B')}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(B') p(C|A',B')}
p(A∣C)=p(C)p(A,C)=A′∑B′∑p(A′,B′,C)B′∑p(A,B′,C)=A′∑B′∑p(A′)p(B′)p(C∣A′,B′)B′∑p(A)p(B′)p(C∣A,B′)=A′∑B′∑p(A′)p(B′)p(C∣A′,B′)p(A)B′∑p(B′)p(C∣A,B′)
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p(B|C) = \frac{p(B,C)}{p(C)} = \frac{\sum\limits_{A'} p(A',B,C)}{\sum\limits_{A'} \sum\limits_{B'} p(A',B',C)} = \frac{\sum\limits_{A'} p(A') p(B) p(C|A',B)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(B') p(C|A',B')} = \frac{p(B) \sum\limits_{A'} p(A') p(C|A',B)}{\sum\limits_{A'} \sum\limits_{B'} p(A') p(B') p(C|A',B')}
p(B∣C)=p(C)p(B,C)=A′∑B′∑p(A′,B′,C)A′∑p(A′,B,C)=A′∑B′∑p(A′)p(B′)p(C∣A′,B′)A′∑p(A′)p(B)p(C∣A′,B)=A′∑B′∑p(A′)p(B′)p(C∣A′,B′)p(B)A′∑p(A′)p(C∣A′,B)
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p(A,B|C) = p(A|C)p(B|C)
p(A,B∣C)=p(A∣C)p(B∣C)可能成立, 也可能不成立, no guarantee.
反例
A代表𝐂𝐍’s realty market上涨的概率
A=0 | A=1 |
---|---|
0.5 | 0.5 |
B代表𝐔𝐒’s stock market上涨的概率
B=0 | B=1 |
---|---|
0.5 | 0.5 |
C代表投资组合盈利的概率
A=0 B=0 | A=0 B=1 | A=1 B=0 | A=1 B=1 |
---|---|---|---|
C=0,C=1 | C=0,C=1 | C=0,C=1 | C=0,C=1 |
1.0,0.0 | 1.0,0.0 | 1.0,0.0 | 0.0,1.0 |
这个例子的现实意义是, 中美金融市场满足有效市场假设, 这个投资组合是风险对冲的, 盈利当且仅当𝐂𝐍’s realty market和𝐔𝐒’s stock market同时上涨.
注意p(A=1,B=1|C=0) = 0, 即这个投资组合不盈利时𝐂𝐍’s realty market和𝐔𝐒’s stock market不可能同时上涨.
但是p(A=1|C=0) > 0, p(B=1|C=0) > 0, 即这个投资组合不盈利时𝐂𝐍’s realty market可能上涨(但是此时𝐔𝐒’s stock market会跌), 这个投资组合不盈利时𝐔𝐒’s stock market可能上涨(但是此时𝐂𝐍’s realty market会跌).
这意味着, 这个投资组合不盈利时, 𝐂𝐍’s realty market和𝐔𝐒’s stock market不独立.
有趣的是, 这个投资组合盈利时, 𝐂𝐍’s realty market和𝐔𝐒’s stock market又独立了.
这就是no guarantee的含义.
上述例子使用0,1这种极端值是为了方便直观理解.
实际上, 将0全部替换为
ε
\varepsilon
ε, 将1全部替换为
1
−
ε
1-\varepsilon
1−ε, 上述例子仍然成立, 只是不够直观.
对于 ε > 0 \varepsilon>0 ε>0的情形, 我们不妨这样思考, 随着 ε → 0 \varepsilon \to 0 ε→0, p(A,B|C=0)趋向于不独立, 而p(A,B|C=1)趋向于独立.
例如
A=0 | A=1 |
---|---|
0.5 | 0.5 |
B=0 | B=1 |
---|---|
0.5 | 0.5 |
A=0 B=0 | A=0 B=1 | A=1 B=0 | A=1 B=1 |
---|---|---|---|
C=0,C=1 | C=0,C=1 | C=0,C=1 | C=0,C=1 |
0.9,0.1 | 0.9,0.1 | 0.9,0.1 | 0.1,0.9 |
from itertools import product
A = [.5, .5,]
B = [.5, .5,]
C_AB = {
(0,0,) : [1., 0.,],
(0,1,) : [1., 0.,],
(1,0,) : [1., 0.,],
(1,1,) : [0., 1.,],
}
def ABC(a,b,c):
Pa = A[a]
Pb = A[b]
Pc_ab = C_AB[a,b][c]
return Pa * Pb * Pc_ab
def AB_C(a,b,c):
Pabc = ABC(a,b,c)
Pc = 0.
for a,b, in product(range(2), range(2),):
Pc += ABC(a,b,c)
return Pabc / Pc
def A_C(a,c):
Pac = 0.
for b in range(2):
Pac += ABC(a,b,c)
Pc = 0.
for a,b, in product(range(2), range(2),):
Pc += ABC(a,b,c)
return Pac / Pc
def B_C(b,c):
Pbc = 0.
for a in range(2):
Pbc += ABC(a,b,c)
Pc = 0.
for a,b, in product(range(2), range(2),):
Pc += ABC(a,b,c)
return Pbc / Pc
if __name__ == '__main__':
for c in range(2):
print('='*50)
for a,b, in product(range(2), range(2),):
print('- '*25)
print(f'p(A={a}|C={c}) p(B={b}|C={c}) = {A_C(a,c) * B_C(b,c):.4f}'
+ f' # = {A_C(a,c):.4f} x {B_C(b,c):.4f}')
print(f'p(A={a},B={b}|C={c}) = {AB_C(a,b,c):.4f}')
#
==================================================
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=0|C=0) p(B=0|C=0) = 0.4444 # = 0.6667 x 0.6667
p(A=0,B=0|C=0) = 0.3333
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=0|C=0) p(B=1|C=0) = 0.2222 # = 0.6667 x 0.3333
p(A=0,B=1|C=0) = 0.3333
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=1|C=0) p(B=0|C=0) = 0.2222 # = 0.3333 x 0.6667
p(A=1,B=0|C=0) = 0.3333
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=1|C=0) p(B=1|C=0) = 0.1111 # = 0.3333 x 0.3333
p(A=1,B=1|C=0) = 0.0000
==================================================
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=0|C=1) p(B=0|C=1) = 0.0000 # = 0.0000 x 0.0000
p(A=0,B=0|C=1) = 0.0000
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=0|C=1) p(B=1|C=1) = 0.0000 # = 0.0000 x 1.0000
p(A=0,B=1|C=1) = 0.0000
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=1|C=1) p(B=0|C=1) = 0.0000 # = 1.0000 x 0.0000
p(A=1,B=0|C=1) = 0.0000
- - - - - - - - - - - - - - - - - - - - - - - - -
p(A=1|C=1) p(B=1|C=1) = 1.0000 # = 1.0000 x 1.0000
p(A=1,B=1|C=1) = 1.0000
V形子结构
A代表𝐂𝐍’s realty market上涨的概率
A=0 | A=1 |
---|---|
0.5 | 0.5 |
B代表𝐔𝐒’s stock market上涨的概率
B=0 | B=1 |
---|---|
0.5 | 0.5 |
C代表投资组合盈利的概率
A=0 B=0 | A=0 B=1 | A=1 B=0 | A=1 B=1 |
---|---|---|---|
C=0,C=1 | C=0,C=1 | C=0,C=1 | C=0,C=1 |
1.0,0.0 | 1.0,0.0 | 1.0,0.0 | 0.0,1.0 |
D代表操作该投资组合的交易员加薪的概率
C=0 | C=1 |
---|---|
D=0,D=1 | D=0,D=1 |
1.0,0.0 | 0.0,1.0 |
这个极端的例子中, C恒等于D, D观测到了意味着C也被完全观测到了.
由上一问我们知道, 一旦C被观测到为0, A,B之间将不再独立.
因此, 一旦D被观测到为0, A,B之间将不再独立.
上述例子使用0,1这种极端值是为了方便直观理解.
实际上, 将0全部替换为
ε
\varepsilon
ε, 将1全部替换为
1
−
ε
1-\varepsilon
1−ε, 上述例子仍然成立, 只是不够直观.
对于 ε > 0 \varepsilon>0 ε>0的情形, 我们不妨这样思考, 随着 ε → 0 \varepsilon \to 0 ε→0, p(A,B|D=0)趋向于不独立, 而p(A,B|D=1)趋向于独立.
例如
A=0 | A=1 |
---|---|
0.5 | 0.5 |
B=0 | B=1 |
---|---|
0.5 | 0.5 |
A=0 B=0 | A=0 B=1 | A=1 B=0 | A=1 B=1 |
---|---|---|---|
C=0,C=1 | C=0,C=1 | C=0,C=1 | C=0,C=1 |
0.9,0.1 | 0.9,0.1 | 0.9,0.1 | 0.1,0.9 |
C=0 | C=1 |
---|---|
D=0,D=1 | D=0,D=1 |
0.9,0.1 | 0.1,0.9 |