# What's the difference between MUTUALLY EXCLUSIVE and PAIRWISE DISJOINT?

When I study Statistical Theory, I find that these two concepts confuse me a lot.

By definition, if we say two events are PAIRWISE DISJOINT, that means the intersection of these two event is empty set. If we say that two events are MUTUALLY EXCLUSIVE, that means if one of these two events happens, the other will not. But doesn't it means that these two events are PAIRWISE DISJOINT？

If we say two events are MUTUALLY EXCLUSIVE, then they are not INDEPENDENT. Can we say that two PAIRWISE DISJOINT events are not INDEPENDENT as well？

If these two concepts are different (actually my teacher told me they are), could you please give me an example that two events are MUTUALLY EXCLUSIVE but not PAIRWISE DISJOINT, or they are PAIRWISE DISJOINT but not MUTUALLY EXCLUSIVE.

"Disjoint" is a property of sets. Two sets are disjoint if there is no element in both of them, that is if $$A \cap B = \emptyset$$.
In some (but not all!) texts, "mutually exclusive" is a slightly different property of events (sets in a probability space). Two events are mutually exclusive if the probability of them both occurring is zero, that is if $$\operatorname{Pr}(A \cap B) = 0$$. With that definition, disjoint sets are necessarily mutually exclusive, but mutually exclusive events aren't necessarily disjoint.
Consider points in the square with each coordinate uniformly distributed from $$0$$ to $$1$$. Let $$A$$ be the event where the $$x$$-coordinate is $$0$$, and $$B$$ be the event that the $$y$$-coordinate is $$0$$. $$A \cap B = \{(0,0)\}$$ so $$A$$ and $$B$$ are not disjoint, but $$\operatorname{Pr}(A \cap B) = 0$$ so they are mutually exclusive.
As a second (silly, but finite) example, let the sample space be $$S = \{x, y, z\}$$ with probabilities $$\operatorname{Pr}(\{x\}) = 0$$, $$\operatorname{Pr}(\{y\}) = \frac{1}{2}$$, and $$\operatorname{Pr}(\{z\}) = \frac{1}{2}$$. If $$A = \{x, y\}$$ and $$B = \{x, z\}$$, then $$A \cap B = \{x\}$$, but $$\operatorname{Pr}(A \cap B) = \operatorname{Pr}(\{x\}) = 0$$. They are mutually exclusive but not disjoint.