Uncorrelatedness (probability theory)

In probability theory and statistics, two real-valued random variables, , , are said to be uncorrelated if
their covariance, , is zero. If two variables are uncorrelated, there is no
linear relationship between them.

Uncorrelated random variables have a Pearson correlation coefficient, when it exists, of zero, except in the
trivial case when either variable has zero variance (is a constant). In this case the correlation is undefined.

In general, uncorrelatedness is not the same as orthogonality, except in the special case where at least one of
the two random variables has an expected value of 0. In this case, the covariance is the expectation of the
product, and and are uncorrelated if and only if .

If and are independent, with finite second moments, then they are uncorrelated. However, not all
uncorrelated variables are independent.[1]: p . 155 

Definition

Definition for two real random variables

Two random variables are called uncorrelated if their covariance

is zero. [1]: 
p . 153 
[ 2]: 
p . 121  Formally:

Definition for two complex random variables

Two complex random variables are called uncorrelated if their covariance

and their pseudo-covariance
is zero, i.e.

Definition for more than two random variables

A set of two or more random variables is called uncorrelated if each pair of them is
uncorrelated. This is equivalent to the requirement that the non-diagonal elements of the autocovariance
matrix of the random vector are all zero. The autocovariance matrix is
defined as:
Examples of dependence without correlation

Example 1
Let be a random variable that takes the value 0 with probability 1/2, and takes the value 1
with probability 1/2.
Let be a random variable, independent of , that takes the value −1 with probability 1/2,
and takes the value 1 with probability 1/2.
Let be a random variable constructed as .

The claim is that and have zero covariance (and thus are uncorrelated), but are not independent.

Proof:

Taking into account that

where the second equality holds because and are independent, one gets

Therefore, and are uncorrelated.

Independence of and means that for all and , . This is not

true, in particular, for and .

Thus so and are not independent.

Q.E.D.

Example 2

If is a continuous random variable uniformly distributed on and , then and are

uncorrelated even though determines and a particular value of can be produced by only one or two
values of  :

on the other hand, is 0 on the triangle defined by although is not null on

this domain. Therefore and the variables are not independent.
Therefore the variables are uncorrelated.

When uncorrelatedness implies independence

There are cases in which uncorrelatedness does imply independence. One of these cases is the one in which
both random variables are two-valued (so each can be linearly transformed to have a Bernoulli
distribution).[3] Further, two jointly normally distributed random variables are independent if they are
uncorrelated,[4] although this does not hold for variables whose marginal distributions are normal and
uncorrelated but whose joint distribution is not joint normal (see Normally distributed and uncorrelated does
not imply independent).

Generalizations

Uncorrelated random vectors

Two random vectors and are called uncorrelated if

They are uncorrelated if and only if their cross-covariance matrix is zero.[5]: p .337 

Two complex random vectors and are called uncorrelated if their cross-covariance matrix and their
pseudo-cross-covariance matrix is zero, i.e. if

where

and

Uncorrelated stochastic processes

Two stochastic processes and are called uncorrelated if their cross-covariance

is zero for all times.[2]: p . 142  Formally:
 .

See also
Correlation and dependence
Binomial distribution: Covariance between two binomials
Uncorrelated Volume Element

References
1. Papoulis, Athanasios (1991). Probability, Random Variables and Stochastic Processes.
MCGraw Hill. ISBN 0-07-048477-5.
2. Kun Il Park, Fundamentals of Probability and Stochastic Processes with Applications to
Communications, Springer, 2018, 978-3-319-68074-3
3. Virtual Laboratories in Probability and Statistics: Covariance and Correlation (http://www.mat
h.uah.edu/stat/expect/Covariance.html), item 17.
4. Bain, Lee; Engelhardt, Max (1992). "Chapter 5.5 Conditional Expectation". Introduction to
Probability and Mathematical Statistics (2nd ed.). pp. 185–186. ISBN 0534929303.
5. Gubner, John A. (2006). Probability and Random Processes for Electrical and Computer
Engineers. Cambridge University Press. ISBN 978-0-521-86470-1.

Further reading
Probability for Statisticians, Galen R. Shorack, Springer (c2000) ISBN 0-387-98953-6

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