  We introduce the notion of dependence, as a property of a Keisler measure,
and generalize several results of [HPS13] on generically stable measures (in
$NIP$ theories) to arbitrary theories. Among other things, we show that this
notion is very natural and fundamental for several reasons: (i) all measures in
$NIP$ theories are dependent, (ii) all types and all $fim$ measures in any
theory are dependent, and (iii) as a crucial result in measure theory, the
Glivenko-Cantelli class of functions (formulas) is characterized by dependent
measures.
