The concept of independence has been frequently mentioned in climate science research, but has rarely been defined and discussed in a theoretically robust and quantifiable manner. In this paper we argue that any discussion must start from a clear and unambiguous definition of what independence means and how it can be determined. We introduce an approach based on the statistical definition of independence, and illustrate with simple examples how it can be applied to practical questions. Firstly, we apply these ideas to climate models, which are frequently argued to not be independent of each other, raising questions as to the robustness of results from multi-model ensembles. We explore the dependence between models in a multi-model ensemble, and suggest a possible way forward for future weighting strategies. Secondly, we discuss the issue of independence in relation to the synthesis of multiple observationally based constraints on the climate system, using equilibrium climate sensitivity as an example. We show that the same statistical theory applies to this problem, and illustrate this with a test case, indicating how researchers may estimate dependence between multiple constraints.