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What's the reasoning for checking the independence of

$$\min(X,Y)$$ and $$\max(X,Y)$$ for independent r.v.s $X,Y$?

Is it possible that $\min$ and $\max$ both select the same r.v. in which case they would be dependent? No, because that would mean that $X=Y$, i.e. $X$ and $Y$ would not be independent.

Does the independence regarding functions of independent r.v.s apply here? Yes? In that case $X,Y$ independent $\implies$ $\min(X,Y),\space \max(X,Y)$ independent.

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    $\begingroup$ It doesn't really make sense to say two random variables are dependent "when such and such happens." They're either independent or not, no matter what values they happen to take on. I'll also point out that $X = Y$ does not imply they're dependent because they could both equal the same constant with probability one. $\endgroup$
    – dsaxton
    Commented Dec 10, 2015 at 14:35
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    $\begingroup$ I don't know why people are downvoting this. Independence is both incredibly important and counter-intuitive. +1 $\endgroup$
    – Sycorax
    Commented Dec 10, 2015 at 17:49
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    $\begingroup$ +1 upvoting on the ground that questions leading to interesting answers must have some merit! $\endgroup$ Commented Dec 10, 2015 at 18:10
  • $\begingroup$ @dsaxton I've thought that a r.v. is always dependent with itself? $\endgroup$
    – mavavilj
    Commented Dec 10, 2015 at 19:15
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    $\begingroup$ @mavavilj A deterministic r.v., i.e. an r.v. which equals a constant with probability one, is independent of itself. You can check that from the definition of independence. You appear to be relying on a layman's definition of dependence (non-independence) which does not properly address this case. $\endgroup$ Commented Dec 10, 2015 at 22:30

1 Answer 1

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If $X$ and $Y$ are independent continuous random variables, then $\max(X,Y)$ and $\min(X,Y)$ are independent random variables if and only if one of the following two conditions holds:

  • $P(X > Y) = 1$

  • $P(X < Y) = 1$

Note that the above conditions mean that $P(X=Y) = 0$ but this does not mean that $(X=Y)$ is the same as the impossible event, that is, there is no outcome $\omega$ in the sample space for which $X(\omega) = Y(\omega)$. Those thoroughly confused by this notion should recall that they might have been told that for a continuous random variable $V$, $P(V = a) = 0$ for all real numbers $a$ even though it is manifestly true that $V$ can take on value $a$ for some particular $a$, and if they have swallowed that whopper, then accepting that $P(X=Y)=0$ does not mean that the event $(X=Y)$ will never occur is just a small additional stretch of their credulity.

When $X$ and $Y$ are independent discrete random variables, then the above condition needs to be relaxed slightly, and it is possible to have $P(X=Y) > 0$. For example, if $(X,Y)$ takes on values $(1,0), (2,0), (1,1), (2,1)$ with equal probability $\frac 14$, then $(\min(X,Y), \max(X,Y))$ takes on values $(0,1), (0,2), (1,1), (1,2)$ with equal probability $\frac 14$ and thus $\min(X,Y)$ and $\max(X,Y))$ are independent. A little thought will show that $(\min(X,Y), \max(X,Y))$ is the same as $(Y,X)$ in this case. A little further thought will show that if $P(X=Y)>0$, then it must be that there is a unique $a$ such that $P(X=a, Y= a) >0$ and that for all other real numbers $b$, $P(X=b, Y= b) =0$. For independent discrete random variables $X$ and $Y$, the probability mass function has nonzero values at all points on a rectangular grid, and this grid must be strictly below or strictly above the line $x=y$ or must have only one point (the upper left corner or the lower right corner) on the line $x=y$; the point $(1,1)$ in the example above.


An interesting follow-up question is:

When $X$ and $Y$ are dependent random variables, is it possible for $\max(X,Y)$ and $\min(X,Y)$ to be independent random variables?

to which the answer is Yes, it is possible. Consider the case when $X$ and $Y$ are jointly continuous random variables uniformly distributed on the set

$$\left\{(x,y)\colon \frac 12 \leq x \leq 1, 0 \leq y \leq x-\frac 12\right\} \bigcup \left\{(x,y)\colon 0 \leq x \leq \frac 12, \frac 12 \leq y < x + \frac 12\right\}$$ The joint density of the minimum and maximum can be worked out as described here where it is shown that if $Z = \min(X,Y)$ and $W = \max(X,Y)$, then $$f_{Z,W}(z,w) = \begin{cases} f_{X,Y}(z,w) + f_{X,Y}(w,z), & \text{if}~w > z,\\ \\ 0, & \text{if}~w < z. \end{cases} $$ Applying this, it can be shown that the joint density of $Z$ and $W$ is uniform on interior of the square with vertices $(0,\frac 12), (\frac 12, \frac 12), (\frac 12, 1), (0,1)$, and so $Z \sim U[0,\frac 12]$ and $W \sim U[\frac 12,1]$ are independent random variables.

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  • $\begingroup$ So do the first two conditions say the same as $X≠Y$? $\endgroup$
    – mavavilj
    Commented Dec 10, 2015 at 19:06
  • $\begingroup$ @mavavilj What do you mean by $X\neq Y$ when $X$ and $Y$ are random variables? $\endgroup$ Commented Dec 10, 2015 at 19:29

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