Mutual independence
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A collection of events $A_1, A_2 \ldots {A_n}$ are said to be independent if:
for any distinct indices $i, j, m$
Because the above should hold for any number of events, we should be able to take any two events from a collection and they should also be independent (pairwise independence).
For example if we had a collection of three events this should mean that we have the following pairwise independence between any combination of two events:
Just because we have pairwise independence does not necessarily mean mutual independence between all events in the collection.
Example
Imagine we have 4 cards in a bag, numbered from 1 - 4 and each card has an equal probability of being drawn from the bag (i.e. 0.25).
Given we draw one card from the bag, let us define events $A$, $B$ and $C$ as follows:
$A$ is the event that a 1 or 2 is drawn. This can be represented as $A = \{1,2\}$.
$B$ is the event that a 1 or 3 is drawn. This can be represented as $B = \{1,3\}$.
$C$ is the event that a 1 or 4 is drawn. This can be represented as $C = \{1,4\}$.
It is clear from the above that:
$\mathbb{P}(A) = \frac{2}{4} = \frac{1}{2}$
$\mathbb{P}(B) = \frac{2}{4} =\frac{1}{2}$
$\mathbb{P}(C) = \frac{2}{4} = \frac{1}{2}$
To check whether we have pairwise independence:
Taking the event $(A \cap {B})$ as an example, being told that event $B$ occurred does not change the probability that event $A$ occurred. If event $B$ has occurred, then the card drawn must have been a 1 or 3. However, as event $A$ only occurs when a 1 is drawn, $\mathbb{P}(A)$ remains $\frac{1}{2}$. As the additional information on occurrence of event $B$ does not change our view on probability of event $A$, the two events are considered independent.
To check whether we have mutual independence:
The reason that we do not have mutual independence is that if we know that $A$ and $B$ both occurred, then we know that the card with number 1 must have been drawn from the bag as this is the only way both events can occur. This means we already know that event $C$ must have also occurred, and can see that there is a dependence here.
