Professional Documents
Culture Documents
(Vietmaths - Net) Nguyen Tien Dung Xstk-zt2015
(Vietmaths - Net) Nguyen Tien Dung Xstk-zt2015
Sch in t SE001
NHP MN HIN I
c Prof. Dr. Do Duc Thai & Prof. Dr. Nguyen Tien Zung
S.N
ET
c
Sputnik
Education
y l phin bn in t min ph
VIE
TM
ATH
dnh cho cc bn c ca
Sputnik Education
Sputnik Education
Mc lc
Li ta cho bn e-book . . . . . . . . . . . . . . . . . . . . . . . . .
Li gii thiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1
Xc sut l g . . . . . . . . . . . . . . . . . . . . . . 15
1.1
Xc sut l g ? . . . . . . . . . . . . . . . . . . . 15
Xc sut c iu kin . . . . . . . . . . . . . . . . 42
ET
1.4
S.N
Lut s ln . . . . . . . . . . . . . . . . . . . . . 57
1.6
2.1
TM
ATH
VIE
2.3.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . 92
2.3.2 Trng hp tng qut: tch phn trn khng gian xc
sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
2.3.3 K vng ca phn b xc sut trn R . . . . . . . . . . 100
2.3.4 Gi tr k vng hnh hc . . . . . . . . . . . . . . . . . 103
2.4
. . . . . . . . . . . . . . 107
Lut s ln . . . . . . . . . . . . . . . . . . . . . 143
ET
3.5
S.N
TM
ATH
3.6
. . . . . . . . . . . . . . . . . . . 167
Cc nh l gii hn . . . . . . . . . . . . . . . . . . 177
4.1
VIE
. . . . . . . . . . . . 186
. . . . . . . . . . 188
Sputnik Education
5.1
Cc vn thng k . . . . . . . . . . . . . . . . 210
5.2
. . . . . . . . 226
Kim nh 2 . . . . . . . . . . . . . . . . . . . . 259
5.6
ET
1.2
1.3
1.4
S.N
1.1
VIE
TM
ATH
Sputnik Education
Li ta cho bn e-book
Cun sch ny c in ra ln u vo nm 2010. Cc tc gi
b rt nhiu tm tr v sc lc vit n, nhm t cht lng tt
nht c th. Mong mun ca cc tc gi l lm sao cun sch c
ph bin tht rng ri Vit Nam, c bit l cc trng i hc,
gip cc bn sinh vin tip cn c vi xc sut thng k mt
cch d hiu hn, ng bn cht hn, d ng dng hn.
T lc in ra nm 2010, cun sch nhn c rt nhiu phn
hi tch cc t pha bn c v mt ni dung. V mt cht lng in
n v pht hnh th khng c tt bng, v rt tic nhng khu
nm ngoi kh nng kim sot ca cc tc gi. Hin ti bn in nm
2010 khng cn trn th trng, v cc tc gi nhn c th ca
hng trm ngi ni rng mun sch ti bn.
c th phc v tt hn cc bn c, c bit l cc bn sinh
vin, cc tc gi kt hp vi T Sch Sputnik cng b min ph
bn in t ca cun sch ny. Mt s li trong bn in nm 2010
c sa trong bn in t ny.
T Sch Sputnik ca Sputnik Education, m cc tc gi tham gia
ET
S.N
TM
ATH
VIE
HanoiToulouse, 05/2015
10
Sputnik Education
Li gii thiu
Xc sut v thng k ng vai tr rt quan trng trong hu ht
mi lnh vc ca th gii hin i, t khoa hc, cng ngh, n kinh
t, chnh tr, n sc khe, mi trng, v.v. Ngy nay, my tnh gip
cho vic tnh ton cc vn xc sut thng k ngy cng tr nn
d dng, mt khi c cc s liu ng n v m hnh hp l. Th
nhng, bn thn my tnh khng bit m hnh no l hp l. y l
vn ca ngi s dng: cn phi hiu c bn cht ca cc khi
nim v m hnh xc sut thng k, th mi c th dng c chng.
Mc ch ca quyn sch ny chnh l nhm gip bn c hiu
ng bn cht ca nhng khi nim v phng php c bn nht ca
xc sut v thng k, v qua c th p dng c chng, i su
tm hiu c phng php thch hp cho nhng tnh hung c th.
Mt s im m cc tc gi c gng a vo trong sch ny l:
- Gii thch bn cht cc khi nim mt cch trc gic, d hiu
nht trong chng mc c th, ng thi m bo cht ch nht
nh v mt ton hc.
- Cho nhiu v d v bi tp v nhng tnh hung c tht, vi s
11
ET
S.N
TM
ATH
VIE
12
Sputnik Education
Sputnik Education
13
ET
S.N
TM
ATH
VIE
14
Sputnik Education
Chng 1
Xc sut l g
1.1
Xc sut l g ?
Chng 1. Xc sut l g
c 3 cnh ca, ng sau 1 trong 3 cnh ca l 1 mn qu ln, cn
sau 2 ca cn li khng c g. Ngi chi c chn 1 trong 3 cnh
ca, nu chn ng ca c qu th c nhn qu. Sau khi ngi
chi chn 1 ca, ngi hng dn chng trnh m mt trong hai
ET
S.N
Xc sut ca mt s kin
TM
ATH
1.1.1
VIE
Sputnik Education
1.1. Xc sut l g ?
c m cng c th khng. Nu nh c 100 v x s ch c 1 v trng
gii, th ti s coi xc sut trng gii ca v ca ti l 1%. Con s 1%
y chnh l tn sut, hay t l trng gii ca cc v x s: n bng
s cc v trng gii chia cho tng s cc v.
Khng nhng ch cc s kin trong tng lai, m c cc s kin
trong qu kh, m chng ta thiu thng tin c th bit chc l
chng thc s xy ra hay khng, th chng ta vn c th gn cho
cc s kin mt xc sut no , ng vi tin tng ca chng
ta v vic s kin thc s xy ra hay khng. V d nh, n
hong Cleopatra ca Ai Cp c t t bng cch cho rn c cn
khng ? y l mt gi thuyt, m theo cc nh s hc th c nhiu
kh nng xy ra, nhng khng chc chn.
1.1.2
(1.1)
(1.2)
17
Chng 1. Xc sut l g
V d 1.1. Mt hc sinh i thi vo mt trng i hc. Nu xc sut
thi l 80% th xc sut thi trt l 20% (= 100% - 80%), ch
khng th l 30%, v nu xc sut thi l 80% v xc sut thi trt
ET
S.N
TM
ATH
P (A B) = 0 P (A B) = P (A) + P (B)
(1.3)
VIE
P (7d) + P (8d)
(1.4)
Sputnik Education
1.1. Xc sut l g ?
1.1.3
19
Chng 1. Xc sut l g
hn ca no, bi vy vo thi im ban u ta coi P (A) = P (B) =
P (C) = 1/3. Nhng sau khi ca B c m ra, th ta c thm mt
thng tin mi, l ca B khng c qu. Nh vy thng tin mi ny
ET
S.N
trong hai s P (A) hoc P (C) thay i, hoc l c hai. Xc sut P (A)
c thay i v thng tin mi ny khng ? Cu tr li l khng (Gii
thch v sao khng ?). Ch c P (C) l thay i: sau khi ngi hng
dn chng trnh m ca B, th ta c P (A) = 1/3 v P (C) = 2/3.
Nh vy ngi chi nn i ca A ly ca C th d thng hn.
TM
ATH
VIE
20
Sputnik Education
1.1. Xc sut l g ?
c th l xc sut khi tung hin ln mt c 3 chm s khc 1/6.
Mt v d khc l xc sut xy ra tai nn khi li t: khi ngi li
xe khoe mnh tnh to, th xc sut xy ra tai nn thp, cn khi vn
ngi li b say ru hoc bun ng gt, th xc sut xy ra tai
nn cao hn, v.v. Khi chng ta bit thm mt iu kin mi, tc l c
thm mt thng tin mi, bi vy s ph thuc vo iu kin ca xc
sut cng c th coi l s ph thuc vo thng tin.
Xc sut ph thuc vo ngi quan st, hay l tnh ch quan ca
xc sut. Cng l mt s kin, nhng hai ngi quan st khc nhau c
th tnh ra hai kt qu xc sut khc nhau, v c hai u c l, bi
v h da trn nhng thng tin v phn tch khc nhau. V d nh,
c chuyn gia ti chnh nh gi rng c phiu ca hng Vinamilk
c nhiu kh nng i ln trong thi gian ti, trong khi li c chuyn
gia ti chnh khc nh gi rng c phiu ca hng c nhiu kh
nng i xung t kh nng i ln trong thi gian ti. Quay li tr chi
truyn hnh: vi ngi chi th P (A) = 1/3, nhng i vi ngi dn
chng trnh th P (A) khng phi l 1/3, m l 0 hoc 1, v ngi
bit ng sau ca A c qu hay khng.
1.1.4
(1.5)
Sputnik Education
21
P (A) =
Chng 1. Xc sut l g
y N (total) l tng s cc trng hp c kho st, v N (A) l
s cc trng hp c kho st tha mn iu kin xy ra A.
C s ton hc cho vic dng thng k tnh xc sut, l lut s
ET
S.N
TM
ATH
VIE
Sputnik Education
1.1. Xc sut l g ?
nhng tip tc lai cc cy u ht vng th h th hai ny vi nhau,
th n th h th ba xc sut ra u ht xanh l 1/4. Con s 1/4
23
Chng 1. Xc sut l g
khi lai Yy vi Yy th c 4 kh nng xy ra : YY, Yy, yY v
yy. (Yy v yY l ging nhau v gen, nhng vit nh vy l
phn bit l phn Y n t cy th nht hay cy th hai trong 2 cy
ET
S.N
1.2.1
TM
ATH
1.2
VIE
Sputnik Education
(1.6)
P () = 0, P () = 1.
(1.7)
P (A B) = P (A) + P (B).
(1.8)
ii)
iii) Nu A B = th
(1.9)
25
TM
ATH
S.N
ET
Chng 1. Xc sut l g
VIE
i s ny c s c trng bng 2, tc l 2A = A + A = 0 vi mi
A (v bi vy php cng v php tr chng qua l mt). Chng ta
mun S l mt i s chnh l cho vic lm cc php tnh s hc
vi xc sut c thun tin.
Sputnik Education
P (A) = P (A1
(An+1 \ An )) = P (A1 ) +
n=1
= P (A1 )+ lim
n
X
P (An+1 \ An )
n=1
k=1
(1.10)
Php ton ly gii hn l php ton c bn nht ca gii tch ton
hc, v mi php ton gii tch khc nh o hm, tch phn, v.v.
u c th c nh ngha qua php ly gii hn. Bi vy, tnh cht
sigma chnh l tnh cht cho php chng ta s dng gii tch ton
hc trong vic nghin cu xc sut. Cc nh ton hc c in trong
th k 18 v 19 dng cc php tnh vi tch phn trong xc sut,
tc l dng tnh cht sigma. V mt trc gic, tnh cht sigma
l m rng hin nhin ca tnh cht cng tnh (1.8). Tuy nhin, ni
mt cch cht ch ton hc, ng thc (1.9) khng suy ra c t
ng thc (1.8), v phi c coi l mt tin trong xc sut. Tin
ny c a ra bi nh ton hc ngi Nga Andrei Nikolaievitch
Kolmogorov (1903-1987), ngi xy dng nn tng cho l thuyt xc
sut hin i.
Bi tp 1.2. Chng minh rng, vi 3 tp con A, B, C (o c) bt
Sputnik Education
27
Chng 1. Xc sut l g
k trong mt khng gian xc sut, ta c:
P (A B C) = P (A) + P (B) + P (C) P (A B)
VIE
TM
ATH
S.N
1.2.2
ET
P (B C) P (C A) + P (A B C).
Sputnik Education
29
Chng 1. Xc sut l g
thng c xc sut bng 1/. Nh vy hai s kin nm ln 1
ng thng v nm lt vo gia hai ng thng hp thnh mt
khng gian xc sut Bernoulli vi p = 1/. Tung kim n ln, v gi s
ET
S.N
Phn b xc sut u
TM
ATH
1.2.3
VIE
Sputnik Education
31
Chng 1. Xc sut l g
no d nm pha di con bi no hn trong cc con bi ng nm
sp, v khi th phi coi rng xc sut ca cc s l nh nhau. Nu
nh c nhng con bi c nh du (chi n gian), th tt nhin
ET
S.N
(1.11)
TM
ATH
P (A) =
VIE
(Chng hn, GGT c ngha l con th nht l con gi, con th hai l
con gi, con th ba l con trai). S kin 2 trai mi gi l hp ca
3 s kin thnh phn trong m hnh xc sut ny: T T G, T GT, GT T .
Nh vy xc sut ca n bng 3/8.
Bi tp 1.3. C mt nhm n bn, trong c hai bn Vva v Lily.
Xp cc bn trong nhm thnh mt hng dc mt cch ngu nhin.
Hi xc sut Vva v tr ngay sau Lily trong hng l bao nhiu?
32
Sputnik Education
1.2.4
33
Chng 1. Xc sut l g
mn). Phn b Poisson ng vi hai gi thuyt: lng khch hng
trung bnh trong mt ngy l , v cc khch hng i n siu th
mt cch ngu nhin v c lp vi nhau. Chng ta s tm hiu k
ET
S.N
TM
ATH
1.2.5
VIE
Sputnik Education
P (Si )
(1.12)
(1.13)
35
Chng 1. Xc sut l g
mn hn nh sau: c tng cng 4! = 24 cch t 4 bn ngi vo 4
gh, trong c 3! = 6 cch c Al ngi vo gh A. Bi vy xc sut
Al ngi vo gh A l 6/24 = 4. Hai cch gii cho cng mt p
ET
s, nhng s dng hai khng gian xc sut khc nhau: khng gian
th nht c 4 phn t, cn khng gian th hai c 24 phn t. C
mt php chiu t nhin bo ton xc sut t khng gian th hai ln
S.N
TM
ATH
(1.14)
o xc sut P2 nh ngha theo cng thc trn c gi l pushforward ca P1 qua nh x , hay cn gi l phn b xc sut cm
sinh t P1 qua nh x .
1.2.6
VIE
Sputnik Education
(1.15)
37
Chng 1. Xc sut l g
sp nga c xc sut hin ln ging nhau trong mi ln tung. Khi
cc khng gian (k = {Sk , Nk }, Pk ) l ng cu vi nhau v vi mt
khng gian xc sut Bernoulli vi tham s p = 1/2. Ta c th vit:
ET
= {S, N }3
V d 1.14. Trong v d trn, nu thay v ch tung ng xc sc c
3 ln, ta hnh dng la ta tung v hn ln (trong thc t khng lm
S.N
TM
ATH
= {S, N }N
(Mi )/2i
i=1
y mi Mi l S hoc N , v (N ) = 0, (S) = 1. nh x
: {S, N }N [0, 1]
VIE
ng cu xc sut!
Sputnik Education
39
Chng 1. Xc sut l g
ca de Mr. Kt qu l: P (A) = 1 P (A) = 1 (1 1/6)4 0, 5177,
VIE
TM
ATH
S.N
ET
Sputnik Education
1.2.7
Phn b nh thc
(1.16)
n
X
Cnk xk y nk .
(1.17)
k=0
41
Chng 1. Xc sut l g
ny khng nh hng n ln th khc), th tng s ln xy ra kt
qu A trong s n ln l mt s nguyn nm gia 0 v n, v vi
mi k = 0, 1, 2, . . . , n, xc st ca s kin "s ln ra kt qu A l k"
ET
S.N
TM
ATH
1.3
1.3.1
VIE
Xc sut c iu kin
nh ngha xc sut c iu kin
Sputnik Education
P (A B)
.
P (B)
(1.18)
(1.19)
#A
#
43
Chng 1. Xc sut l g
tn l Thanh ln bng, th xc sut bn l bn n l bao nhiu?
Li gii: trong 3 bn Thanh c 1 bn l n, bi vy xc sut l 1/3.
S dng cng thc P (A B) = P (B|A).P (A) vi xc sut c iu
ET
S.N
TM
ATH
VIE
Sputnik Education
1.3.2
S c lp v ph thuc ca cc s kin
45
Chng 1. Xc sut l g
nh ngha 1.6. S kin A c gi l c lp vi s kin B nu nh
P (A) = P (A|B) = P (A B)/P (B),
(1.20)
ET
(1.21)
S.N
TM
ATH
VIE
(1.22)
i=1
Sputnik Education
(1.23)
47
Chng 1. Xc sut l g
ton th c 2 hc sinh c 1 hc sinh gii ngoi ng (ln hn t l
trung bnh). Khi trong s cc hc sinh gii ngoi ng, t l hc
sinh gii ton l 30% (cng ln hn t l trung bnh): (1/2)/(1/3) =
ET
30%/(1/5).
Bi tp 1.11. Chng minh rng nu mt s kin A c lp vi s kin
B, th n cng c lp vi s kin B.
S.N
TM
ATH
1.3.3
(1.24)
VIE
n
X
i=1
48
P (A Bi ) =
n
X
i=1
Sputnik Education
(1.25)
1.3.4
P (A|B).P (B)
.
P (A)
(1.27)
Sputnik Education
49
Chng 1. Xc sut l g
hp cng thc trn vi cng thc xc sut ton phn cho P (A), ta
c:
nh l 1.3. Gi s (B1 , . . . , Bn ) l mt phn hoch ca khng gian
P (Bk |A) =
ET
VIE
TM
ATH
S.N
vi mi k = 1, 2, . . . , n.
(1.28)
Sputnik Education
clinical laboratory results. New England Journal of Medicine, 299 (1978), 999-1000.
Sputnik Education
51
Chng 1. Xc sut l g
s nhng ngi xt nghim ra dng tnh, c khong 98% s ngi
l khng b bnh. Ni cch khc, khi xt nghim ra dng tnh, xc
sut thc s mc bnh ch c 2%!
ET
1.4
S.N
l bao nhiu?
TM
ATH
1.4.1
VIE
52
Gii tnh: N
Thuc I
Thuc II
Cha c
150
15
Khng cha c
850
285
Sputnik Education
Thuc I
Thuc II
Cha c
190
720
Khng cha c
10
180
1.4.2
53
Chng 1. Xc sut l g
loi i kh nng {G,G}, cn 3 kh nng {B,B}, {B,G}, {G,B}. Trong
s 3 kh nng th c 2 kh nng c con gi. Nh vy xc sut
hong t c sister l 2/3.
S.N
1.4.3
ET
TM
ATH
VIE
Sputnik Education
P (C|A).P (A)
.
P (C|A).P (A) + P (C|A).P (A)
1/2
1.(1/2)
=
= 2/3,
1.(1/2) + (1/2).(1/2)
3/4
1.4.4
55
Chng 1. Xc sut l g
Nghch l 2. Nghch l ny c trong 1 quyn gio trnh ting Anh
v xc sut. iu ng ngc nhin l tc gi ca gio trnh ni
rng p n th hai ng (tc l xc sut = 2/3) v p n th nht
ET
S.N
TM
ATH
VIE
56
Sputnik Education
1.5. Lut s ln
ta c P (B) = 1/2, tc l xc sut X l n ng l 1/2. Nhng
trong khng gian C dng trong cch gii th nht, th ta phi dng
xc sut PC ca khng gian , v PC (B) khng phi l 1/2, m thc
ra l 2/3, v PC (B) = 1/3. Ni cch khc, khi bit rng mt trong
hai ngi X v Vn Phm l th phm, v bit rng th phm l n
ng, th xc sut X l n ng l 2/3 ch khng cn l 1/2 na!
(V sao vy?). Nu ta s dng cc con s xc sut ny trong cng
thc tnh xc sut ton phn ca A trong khng gian C th ta c:
pC (A) = (1/2).(2/3) + 1.(1/3) = 2/3 Tc l nu ta sa li v xc sut
ca B i, th cch gii th nht s cho cng p s 2/3 nh cch gii
th hai.
1.5
Lut s ln
57
Chng 1. Xc sut l g
S(1) = 1, S(2) = 1/2, S(3) = 2/3, S(4) = 3/4, S(5) = 3/5, S(6) =
2/3, S(7) = 4/7, S(8) = 5/8, S(9) = 5/9, S(10) = 1/2, S(11) =
6/11, S(12) = 7/12, . . . . Cc con s S(n) m chng ta thu c ni
ET
S.N
TM
ATH
(1.29)
VIE
lim
Cnk pk (1 p)nk = 1.
n(p)kn(p+)
58
Sputnik Education
(1.31)
1.5. Lut s ln
C ngha l, xc sut P (Xn ) ca s kin sau n php th th tn sut
hin kt qu X sai lch so vi xc sut p ca X khng qu tin ti 1
khi s php th n tin ti v cng.
nh l trn gi l dng yu ca lut s ln cho phn b Bernoulli.
Dng mnh ca lut s ln, s c xt ti trong chng sau, pht
biu l tn sut k/n tin ti p khi n tin ti v cng hu nh chc
chn (tc l vi xc sut bng 1: tp nhng dy v hn ln th m
iu sai c xc sut bng 0 trong khng gian tt c cc dy v hn
ln th).
Chng minh. Chng ta mun chng minh rng hiu
1 P (Xn ) = Un + Vn ,
(1.32)
trong
Un =
X
0k<n(p)
Cnk pk (1 p)nk v Vn =
Cnk pk (1 p)nk ,
n(p+)<kn
(1.33)
tin ti 0 khi n tin ti v cng. nh gi Vn , chng ta c th dng
th thut sau y: Gi l mt s dng bt k, khi ta c
X
Vn
e(kn(p+)) Cnk pk (1 p)nk
=
=
n(p+)<kn
(kn(p+)) C k pk (1 p)nk
n
0kn e
X
en
Cnk (e(1p) p)k (ep (1 p))nk
0kn
en (e(1p) p + ep (1 p))n
(1.34)
59
Chng 1. Xc sut l g
nh th ta c 0 < f () < 1, dn ti limn f ()n = 0. V Vn f ()n
nn ta cng c limn Vn = 0. Mt cch hon ton tng t, ta c
th chng minh limn Un = 0, suy ra limn Un + Vn = 0. Phn
ET
S.N
TM
ATH
lim P (Bn,1
Bn,2
. . . Bn,s
) = 1.
(1.35)
VIE
60
Xem: http://en.wikipedia.org/wiki/Law_of_large_numbers.
Sputnik Education
1.6
61
Chng 1. Xc sut l g
xc sut ti sao?
Bi tp 1.20. (S may ri). Gi s c mt loi x s ch c 100 s, t
00 n 99, mi ln quay c 1 s trng gii.
ET
ii) Tnh xc sut sao cho trong 100 ln quay, s 99 trng gii ng
S.N
2 ln.
TM
ATH
1
1
(1)n
1
+ ... +
.
2! 3! 4!
n!
VIE
Sputnik Education
63
Chng 1. Xc sut l g
Gi s X l mt nhn vt trong m ng b my nghi l c ti. Tnh
xc sut X l k trm.
Bi tp 1.26. (B in). Nm 2001 Cng ng Chu u c lm mt
ET
S.N
TM
ATH
VIE
64
Sputnik Education
Sputnik Education
65
ET
S.N
Chng 2
2.1
2.1.1
TM
ATH
VIE
67
ET
S.N
TM
ATH
2.1.2
VIE
Sputnik Education
(2.1)
69
ET
S.N
2.1.3
1 khi A
TM
ATH
0 khi A = \ A
(2.2)
VIE
PX (B) = P (X 1 (B))
Sputnik Education
(2.3)
71
ET
S.N
FX (x) := P (X x) = PX (] , x]).
(2.4)
TM
ATH
thc
(2.5)
(2.6)
xa
VIE
Sputnik Education
PX (]xk+1 , xk ])
k=1
l mt chui hi t, v bi vy phn ui
k=n PX (]xk+1 , xk ])
ca n
Sputnik Education
73
ET
2.1.4
S.N
megaton.
TM
ATH
ca PX .
VIE
74
Sputnik Education
X (x)
ti im y = f (x)
|f 0 (x)|
(2.7)
Cng thc trn chng qua l cng thc i bin trong tch phn,
v sinh ra t cng thc df (x) = f 0 (x)dx.
Mt im x R c gi l mt im ht ca mt phn b xc
sut PX nu nh PX (x) > 0. B sau cho thy mt phn b xc
sut l lin tc khi v ch khi n khng c im ht:
nh l 2.4. Gi s FX l hm phn phi xc sut ca mt phn b
xc sut PX trn R.
i) Vi mi x R ta c
PX (x) = FX (x) lim FX (y).
yx
Sputnik Education
(2.8)
75
tng c gii hn l x, th ta c
ET
S.N
TM
ATH
(2.9)
l tp hp cc im ht ca n (tc l tp hp cc im gin on
VIE
Sputnik Education
(2.10)
vi DX (x) = PX (] , x] KX ) gi l phn ri rc ca FX , v
CX (x) = FX (x) DX (x) gi l phn lin tc ca FX . Phn b PX
c gi l hn hp nu nh c hai phn ri rc v lin tc u
khc 0. Nu phn lin tc khng phi l lin tc tuyt i (khng
vit c di dng tch phn ca mt hm khng m), th ta c th
tch n tip thnh tng ca phn lin tc tuyt i v phn lin tc k
d, nhng chng ta s khng i vo chi tit y.
V d 2.7. Trong xe t thng c kim ch mc xng, dao ng trong
khong t 0 (0%, tc l ht xng) n 1 (100%, bnh xng y). Mc
xng c kim ch vo c th coi l mt bin ngu nhin nhn gi
tr trong on thng [0, 1] vi phn b xc sut lin tc. Tuy nhin,
mt s xe t c, kim b hng, c lc n ch ng mc xng nhng
c lc n b tc ch s 0 tuy rng xe cn xng. Khi , phn b xc
sut khng cn l lin tc na m l hn hp, vi "ht" ti im 0.
Bi tp 2.2. Gi s bin ngu nhin X c phn b xc sut lin tc
vi hm mt X sau : X (x) = 0 khi |x| > 1 v X (x) = 1 |x| khi
|x| 1. Tm hm mt ca phn b xc sut ca bin ngu nhin
Y = arcsin(x).
Bi tp 2.3. Gi s bin ngu nhin X c phn b xc sut lin tc v
i xng, theo ngha X v X c cng phn b xc sut. Chng minh
Sputnik Education
77
2.2
ET
S.N
TM
ATH
2.2.1
VIE
(2.11)
Sputnik Education
k , v chng
= (1)k (r).(r1).....(rk+1)
= (1)k Cr
k!
X
k k
(1)k Cr
q
k=0
X
X
k k r
k
1=
(1) Cr p (1 p) =
P (k)
k=0
k=0
Sputnik Education
79
ET
(2.12)
S.N
k r
k
pr (1 p)k = (1)k Cr
p (1 p)k
P (k) = Ck+r1
TM
ATH
2.2.2
Phn b Poisson
VIE
k
e .
k!
(2.13)
Sputnik Education
81
ET
S.N
k
e .
k!
(2.14)
TM
ATH
p = 0, 1.
VIE
Sputnik Education
2.2.3
83
(x) =
1
ba
khi a x b
(2.15)
ET
S.N
U (a, b).
TM
ATH
VIE
Sputnik Education
2.2.4
Phn b normal
(2.16)
85
ET
S.N
TM
ATH
VIE
Sputnik Education
Sputnik Education
87
TM
ATH
S.N
ET
VIE
88
Sputnik Education
2.2.5
Phn b m
et dt = 1 ex .
(2.18)
89
ET
S.N
2.2.6
TM
ATH
Phn b Pareto
VIE
x+1
(x) =
0
90
khi x 1
khi x < 1
Sputnik Education
(2.19)
91
2.3.1
ET
2.3
Trng hp ri rc
S.N
TM
ATH
l E(X), chnh l trung bnh cng ca bin ngu nhin trn khng
gian xc sut cc tnh hung.
VIE
X(i )P (i ).
(2.20)
Sputnik Education
e
k1 (k1)! = e e = .
k1 (k1)! = e
V d 2.14. Gi tr k vng ca phn b hnh hc P (T = k) = p(1
p)k1 l
E(T ) =
k=1
93
E(c) = c.
ET
th
(2.22)
S.N
(2.23)
TM
ATH
Khi chng ta s dng hai m hnh khng gian xc sut khc nhau
nghin cu cng mt bin ngu nhin, th khng phi v th m
k vng ca n thay i. Ni mt cch chnh xc hn, ta c:
nh l 2.6. Gi s X : (, P ) R l mt bin ngu nhin vi
khng gian xc sut , v : (1 , P1 ) (, P ) l mt nh x bo
ton xc sut t mt khng gian xc sut (1 , P1 ) ln (1 , P1 ). t
X1 = X : (1 , P1 ) R l bin ngu nhin ging X nhng vi
VIE
E(X1 ) = E(X).
(2.24)
Sputnik Education
95
ET
S.N
2.3.2
TM
ATH
xc sut
E(X) =
XdP.
(2.25)
VIE
Sputnik Education
n
X
(2.26)
(2.27)
i=0
v
J (F ) =
n
X
i=0
(2.28)
(2.29)
Z
lim
M,N +
FM,N dP
Sputnik Education
(2.30)
97
ET
S.N
khng kh).
TM
ATH
F dP =
F (i ).P (i ),
(2.31)
VIE
hi t tuyt i.
Sputnik Education
F dP
0. Tng qut
(2.32)
nh l sau, gi l nh l hi t b chn Lebesgue (Lebesgue dominated convergence theorem), l mt nh l hay c s dng trong
vic nghin cu cc tch phn Lebesgue:
nh l 2.8 (Lebesgue). Gi s Fn : (, P ) R l mt dy hm o
c trn khng gian xc sut (, P ) tha mn hai iu kin sau:
i) |Fn | G vi mi n, trong G l mt hm kh tch trn .
ii) Fn hi t hu khp mi ni n mt hm o c F trn , c
ngha l tp cc im sao cho limn Fn () = F () c o
bng 1.
Khi ta c
Z
F dP = lim
Fn dP.
(2.33)
99
\An
chng minh |
F dP
An
An
Fn dP |
GdP.
An
S.N
ta ch cn chng minh
Z
2GdP + 2
ET
F ()| > }. Ta c
Z
Z
Z
| F dP
Fn dP |
|F Fn |dP
Z
Z
dP +
mi . V Fn hi t hu khp mi ni n F trn , nn tp hp cc
im m nm trong v s cc tp An c o bng 0. Do P (An )
TM
ATH
(2.34)
VIE
2.3.3
F ()dP (),
100
F dP
thnh
F ()dP ,
hoc
(2.35)
xR
iii) Nu g l mt hm s thc th
Z
Z
E(g(X)) =
g(x)dPX =
xR
g(x)X (x)dx.
(2.37)
101
ET
S.N
TM
ATH
k vng ca Y . Nh vy gi tr ny bng
Z
(x 35000)2
1
(x 35000). exp
dx
E(Y ) =
2.4002
400 2 35000
Z
Z
400
x2
1
dx =
x exp
exp(z)dz
=
2.4002
400 2 0
2 0
400
= 160.
2
Bi tp 2.17. Gi s Y l mt bin ngu nhin lin tc vi hm mt
sau: Y (x) = c sin x khi x ]0, [, v Y (x) = 0 ti cc im khc.
VIE
i) Hy tnh c.
Sputnik Education
2.3.4
Gi tr k vng hnh hc
103
ET
S.N
TM
ATH
thuc sau: Trung bnh nhn lun lun nh hn hoc bng trung bnh
!1/n
ai
i ai
(2.39)
VIE
ln(X)dP ).
(2.40)
G(X) E(X).
104
Sputnik Education
(2.41)
(2.42)
105
ET
S.N
TM
ATH
VIE
Sputnik Education
2.4
2.4.1
p
E((X E(X))2 ).
(2.43)
(2.44)
107
ET
S.N
gi tr trung bnh ca n.
TM
ATH
2 exp( 2 )dx = 1)
Ghi ch 2.7. i vi cc bin ngu nhin vi v hn cc gi tr, th
VIE
Sputnik Education
1q
.
q
ii) lch chun ca phn b Poisson vi tham s (P (k) = e .k /k!
vi mi k Z+ ) l = .
p(1
p)k1
vi mi k N) l =
109
ET
2.4.2
S.N
TM
ATH
VIE
110
Sputnik Education
(2.46)
(2.47)
111
S.N
ET
TM
ATH
VIE
2 =
4
3,
4
(2.48)
112
Sputnik Education
113
S.N
ET
TM
ATH
VIE
phng gn ng), th ta c:
Sputnik Education
2.4.3
E(X)
.
a
(2.49)
E(|X|k )
.
ak
(2.50)
Sputnik Education
115
TM
ATH
S.N
ET
VIE
var(X)
.
a2
(2.51)
Sputnik Education
117
2.5
ET
S.N
TM
ATH
X
X
MX (y) = E(exp(yX)) = E( (y k /k!).X k ) =
E(X k ).(y k /k!)
k
(2.52)
Hm c trng
VIE
2.5.1
Sputnik Education
eisx dPX .
(2.53)
xR
1bs
X (as).
(2.54)
119
trong X l k hiu o hm bc k ca X .
Chng minh. Ba tnh cht u tin tng i hin nhin, suy ra
ET
S.N
(k)
X (s) =
TM
ATH
trng l:
dk
dk
(s)
=
E(
exp(isX))
X
dsk
dsk
= E((iX)k exp(isX)) = ik E(X k exp(isX)). (2.55)
(k)
t s = 0, ta c X (0) = ik E(X k ).
2.5.2
VIE
1
lim
R 2
120
eias eibs
PX (a) + PX (b)
X (s)ds = PX (]a, b[) +
.
is
2
(2.56)
Sputnik Education
eisx X (x)dx.
X (s) =
(2.57)
Trong gii tch, php tnh trn gi l php bin i Fourier. C ngha
l, hm c trng chnh l bin i Fourier ca hm mt .
Chia c hai v ca cng thc (2.56) cho b a, v cho b tin ti a,
ta c cng thc sau, gi l php bin i ngc Fourier, tnh
hm mt t hm c trng:
1
F (x) =
2
eisx F (s)ds.
(2.58)
PX (k) exp(iks),
(2.59)
kZ
(2.60)
121
ET
S.N
TM
ATH
VIE
PY (a) + PY (b)
PX (a) + PX (b)
= PY (]a, b[) +
2
2
Sputnik Education
123
2.5.3
ET
S.N
GX (z) = E(z X )
(2.61)
TM
ATH
PX (k).z k ,
(2.62)
1 dk GX (z)
v ta c P (X = k) =
k! dz k
vi mi k Z+ .
z=0
VIE
1) E(X) = G0 (1)
124
Sputnik Education
(2.63)
exptx F (x)dx,
(2.64)
125
TM
ATH
S.N
ET
Ghi ch 2.11.
(4)
VIE
126
Sputnik Education
Sputnik Education
127
ET
S.N
Chng 3
3.1
3.1.1
TM
ATH
X = (X, Y ) : (, P ) R2 .
(3.1)
VIE
128
(3.2)
129
ET
S.N
TM
ATH
lim
a0 a,c0 c
(3.4)
VIE
Sputnik Education
3.1.2
lim
xk k6=i
(3.5)
P (X = xi , Y = yj ).
(3.6)
Ch rng cc phn b xc sut bin c xc nh duy nht bi
phn b xc sut ng thi, nhng iu ngc li ni chung khng
ng: Nu ta bit phn b xc sut ca hai bin ngu nhin X, Y th
khng c ngha l ta bit phn b xc sut ng thi ca chng.
Sputnik Education
131
ET
3.1.3
S.N
min(p, q).
Hm mt ng thi
TM
ATH
tuyt i nu n c sinh bi mt hm mt X : Rn R+ kh
tch trn Rn . iu c ngha l vi mi min U Rn ta c:
Z
PX (U ) =
X (x1 , . . . , xn )dx1 . . . dxn .
(3.7)
Tt nhin, nu mt hm khng m l mt hm mt ng
VIE
(3.8)
Sputnik Education
(3.9)
(1/x)dx = ln y
X (x, y)dx =
x
133
X+Y (z) =
(3.11)
ET
S.N
TM
ATH
3.1.4
F (x)dPX
(3.12)
xRn
VIE
Sputnik Education
n
X
exp( 1
si xi )dPX .
xRn
(3.13)
i=1
n
Y
1sk ak
T<s<T k=1
1sk
1sk bk
!
X (s)ds
(3.14)
(3.15)
135
(3.16)
S.N
ET
3.2.1
TM
ATH
3.2
VIE
Sputnik Education
n
Y
P (Xi Ai ) =
i=1
n
Y
i=1
n
Y
PXi (xi )
(3.18)
i=1
vi mi x = (x1 , . . . , xn ) Rn .
Hm phn phi xc sut ca tch trc tip (R, PX1 ). . .(R, PXn )
Q
Q
chnh l hm F(x1 , . . . xn ) = ni=1 P (Xi xi ) = ni=1 FXi (xi ). Phn
b xc sut trn Rn c xc nh duy nht bi hm phn b xc sut
ca n, bi vy ta c:
nh l 3.3. Cc khng nh sau y l tng ng:
i) B n bin ngu nhin X1 , . . . , Xn l c lp.
ii) Hm phn phi xc sut ng thi FX ca X1 , . . . , Xn l tch ca
cc hm phn phi xc sut bin FXi :
FX (x1 . . . , xn ) =
n
Y
FXi (xi ),
(3.19)
i=1
n
Y
P (Fi xi ),
(3.20)
i=1
Sputnik Education
137
ET
X (s1 , . . . , sn ) =
Xi (si ).
(3.21)
i=1
S.N
n
Y
Xi (xi ).
(3.22)
i=1
TM
ATH
VIE
Sputnik Education
3.2.2
139
ET
P (X = x, Y = y) = P (X = x|N
x+y
x
= Cx+y
px (1 p)y
e
(x + y)!
P
P (X = x) = yZ+ P (X = x, Y
P
P (Y = y) = xZ+ P (X = x, Y
= y) =
((1p))y
.C2 ,
y!
S.N
vi C1 = ep , C2 = e(1p) , v P (X = x).P (y = y) = P (X =
x, Y = y). iu c ngh l, trong trng hp ny (khi m tng
N = X + Y tun theo phn b Poisson), hai bin X v Y c lp vi
3.2.3
TM
ATH
nhau!
Mt s h qu ca s c lp
VIE
Sputnik Education
Xi ) =
E(Xi ),
(3.23)
ii)
X
X
var(
Xi ) =
var(Xi ),
i
(3.24)
iii)
GPi Xi (z) =
GXi (z),
(3.25)
Xi (s).
(3.26)
iv)
Pi Xi (s) =
Y
i
141
ET
S.N
TM
ATH
P (X+Y = k) =
P (X = h, Y = kh) =
P (X = h)P (Y = kh),
VIE
Sputnik Education
3.3. Lut s ln
Bi tp 3.10. Tung mt con xc sc 5 ln. Dng hm sinh xc sut,
hy tnh xc sut tng cc s hin ln trong 5 ln tung l 15.
Bi tp 3.11. Gi s X1 , X2 , X3 , . . . l mt dy cc bin ngu nhin
c lp c cng mt phn b xc sut, vi k vng < 0 v phng
sai 2 < . Gi Sn = X1 + . . . + Xn l tng ca n bin ngu nhin
u tin. Dng bt ng thc Chebyschev chng minh rng, vi
mi c R, ta c limn P (Sn c) = 0.
3.3
3.3.1
Lut s ln
Dng yu ca lut s ln cho phn b bt k
(3.27)
143
ET
Sn
2 n
var(Sn )
P
= P (|Sn E(Sn )| n)
=
0,
n
(n)2
n2
(3.28)
S.N
TM
ATH
VIE
Sputnik Education
3.3. Lut s ln
bc t tr chi quay vng en (trc khi tr chi ph hot ng),
v hy tnh con s ny.
3.3.2
P
lim
i=1 Xi
=
(3.29)
= 1,
Pn
hay ni cch khc, hu nh chc chn rng,
i=1 Xi
tin ti khi n
tin ti v cng.
Ghi ch 3.6. Tt nhin, dng mnh ca lut s ln mnh hn dng
yu, v bi vy cng i hi iu kin mnh hn: nu mt phn b
xc sut no tha mn lut s ln mnh, th n cng nghim nhin
tha mn lut s ln yu, tuy iu ngc li khng ng.
Trc khi chng minh nh l 3.8, ta cn hiu chnh xc ngha
ton hc caP
nh l trn, v cn c m hnh xc sut t nhin cho
n
i=1 Xi
= , tc l m t tp hp tt c cc tnh hung
s kin lim
n
n
xy ra s kin ny nh l mt tp con trong mt khng gian xc sut
no . Khng gian xc sut y s tch trc tip ca mt dy v
hn cc khng gian xc sut.
Sputnik Education
145
3.3.3
ET
(3.30)
S.N
i=1
TM
ATH
n
Y
Y
Y
P ( Ai ) :=
Pi (Ai ) := lim
Pi (Ai ).
i=1
i=1 Ai
i=1
(3.31)
i=1
Pi (Ai ) = lim
i=1
n
Y
Pi (Ai )
i=1
Q
tn ti v khng m, bi v dy s ( ni=1 Pi (Ai ))nN l mt dy n
VIE
Sputnik Education
3.3. Lut s ln
hp ca hai tp con c dng tch trc tip l:
P(
Y
i
Ai
Y
Y
Y
Y
Bi ) = P ( Ai ) + P ( Bi ) P (( Ai ) ( Bi ))
Y
Y
Y
= P ( Ai ) + P ( Bi ) P ( (Ai Bi ))
i
Pi (Ai ) +
Pi (Bi )
Pi (Ai Bi ).
Y
(R, Pi )
(3.32)
i=1
(3.33)
Sputnik Education
147
1
n
Pn
i=1 Xi
= } trong RN . nh l
ET
P (A) = 0,
trong A = RN \ {(xi )iN RN | limn
1
n
Pn
i=1 Xi
= }.
S.N
TM
ATH
VIE
3.3.4
Sputnik Education
3.3. Lut s ln
Chng minh ca b trn l bi tp dnh cho bn c.
Gi s X1 , X2 , X3 , . . . l mt dy v hn cc bin c lp c cng
mt phn b xc sut vi k vng bng v E(X14 ) hu hn, nh
trong nh l 3.8. t Yi = Xi ( chuyn nh l v trng hp
vi k vng bng 0). D thy rng, iu kin E(X14 ) hu hn tng
ng vi iu kin moment trung tm bc 4 4 = E(Y14 ) hu hn,
v suy ra iu kin phng sai 2 = E(Y12 ) hu hn.
B 3.10. Vi mi n N ta c
n
X
E((
Yi )4 ) = n4 + 3n(n 1) 4 Cn2 ,
(3.35)
i=1
n
X
Yi )4 =
i=1
n
X
Yi4 + 6
i=1
Yi2 Yj2 + 4
i<j
Yi3 Yj
i6=j
+6
Yi2 Yj Yk +
i6=j6=k
Yi Yj Yk Yl .
i6=j6=k6=l
i=1
i<j
Sputnik Education
149
1X
1
Ck
P (|
Yi | ) < 2
n
k
n
(3.36)
ET
i=1
vi mi n N.
S.N
Bk =
[
nmk
1X
1
Yi | ),
n
k
(3.37)
i=1
TM
ATH
ta c
(|
P (Bk ) <
1
.
2k
(3.38)
X
1
.
s
n2
n=1
P
Nhc li rng, A l s kin n1 ni=1 Yi khng tin ti 0 khi n tin
ti v cng, v nh l 3.8 tng ng vi khng nh P (A) = 0.
VIE
Ak =
(3.39)
Bh .
h>k
B 3.13. Ta c
A Ak v P (Ak ) <
vi mi k N.
150
Sputnik Education
1
2k
(3.40)
3.4
3.4.1
(3.41)
(3.42)
151
ET
hn.
nh l 3.14. i) Mt cng thc khc tnh hip phng sai l:
(3.43)
S.N
TM
ATH
ii) Tuyn tnh: cov(a1 .X1 +a2 .X2 , Y ) = a1 .cov(X1 , X)+a2 .cov(X2 , Y )
iii) Bt bin theo x dch: cov(X + a, Y ) = cov(X, Y )
Cc tnh cht trn suy ra trc tip t nh ngha. Tnh cht tuyn
VIE
3.4.2
H s tng quan
Sputnik Education
cov(F, G)
.
(F )(G)
(3.44)
(3.45)
(3.46)
153
ai bi )2 (
X
a2i ).(
bi )2 .
ET
(3.47)
S.N
(3.48)
i<j
TM
ATH
VIE
Sputnik Education
Sputnik Education
155
TM
ATH
S.N
ET
VIE
Hnh 3.1, do chng trnh gretl v ra, l th phn tn (scatterplot) ca hai bin din tch cn h v gi cn h trong v d
trn.
Sputnik Education
Hnh 3.2: Trng lng c lng bng soi siu m v trng lng
thc t
(2)
Sputnik Education
157
ET
S.N
TM
ATH
3.4.3
VIE
(3.49)
Sputnik Education
E((Y aXb)2 )
a
E((Y aXb)2 )
b
(3.50)
cov(X, Y )
var(X)
v b = E(Y ) aE(X), bi vy y l im cc tiu ca E((Y aX
ng thng y = ax + b vi cc h s a =
cov(X,Y )
var(X)
v b = E(Y )
159
ET
S.N
TM
ATH
VIE
homicide and suicide, Can. Med. Assoc. J. 1993, 148 (10), 17211725.
160
Sputnik Education
n mng
T st
% gia nh c sng
Australia
19,5
115,8
19,6
Belgium
18,5
231,5
18,6
Canada
26,0
139,4
29,1
6,7
86,1
4,7
Finland
29,6
253,5
23,2
France
12,5
223, 0
22,6
The Netherlands
11,8
117,2
1,9
Northern Ireland
46,6
82,7
8,4
Norway
12,1
142,7
32,0
Scotland
16,3
105,1
4,7
Spain
13,7
64,5
13,1
Switzerland
11,7
244,5
27,2
United States
75,9
124,0
48,0
West Germany
12,1
203,7
8,9
3.4.4
161
ET
S.N
TM
ATH
VIE
Xem: http://www.sciencedaily.com/releases/2009/08/090811080751.htm
Xem trang web http://en.wikipedia.org/wiki/Correlation_does_not_imply_causation
162
Sputnik Education
Hnh 3.3: Tai nn giao thng cht ngi v chanh ti nhp khu
nhng nm 1996-2000, v s qu chanh nhp khu sang M t Mexico. Tuy nhin ngi ta c th t hi: hai bin th lin quan g vi
nhau?!
3.5
163
ET
3.5.1
Trng hp ri rc
S.N
TM
ATH
P (X A, Y = y)
P (Y = y)
(3.51)
P (X x, Y = y)
.
P (Y = y)
(3.52)
VIE
E(X|Y = y) =
xdPX|Y =y .
(3.53)
xR
Sputnik Education
xi .PX|Y =y (xi ) =
xi .P (X = xi |Y = y),
(3.54)
PX,Y (xi , y)
P (X = xi , Y = y)
=
.
vi P (X = xi |Y = y) =
P (Y = y)
PY (y)
V d 3.10. Gi s X v Y l hai bin ngu nhin c lp vi phn
b Poisson vi cc tham s v tng ng. Chng ta s tnh phn
b xc sut c iu kin ca X vi iu kin X + Y cho trc, tc l
tnh P (X = k|X + Y = k + m). Tng X + Y cng c phn b Poisson
vi tham s + . Bi vy,
P (X = k|X + Y = k + m) =
=
P (X = k, Y = m)
P (X + Y = k + m)
k m
k! e
m! e
k+m
(+)
(+)
(k+m)! e
(k + m)! k m
k!m! ( + )k+m
k
= Ck+m
(
m
k
) (1
)
+
+
Ni cch khc, t r = k + m, ta c
PX|X+Y =r (k) = Crk (
k
rk
) (1
) ,
+
+
tham s r v +
. T suy ra E(X|X + Y = r) =
.
+
K vng c iu kin c th c dng tnh k vng khng
iu kin qua cng thc sau:
nh l 3.19. Gi s Y l mt bin ngu nhin ri rc v X l mt
Sputnik Education
165
(3.55)
ET
Xy , vi Xy = X khi m Y =
S.N
X
X
X
E(X) = E(
Xy ) =
E(Xy ) =
E(X|Y = y)P (Y = y).
y
TM
ATH
p.
VIE
Sputnik Education
3.5.2
Trng hp lin tc
(3.56)
nu nh gii hn trn tn ti. Trong trng hp ri rc, c th chng
minh rng gii hn trn lun tn ti v cho kt qu trng vi nh
ngha thng thng. y chng ta s ch quan tm n nhng
trng hp lin tc tt sao cho gii hn trn tn ti.
Gi s vector ngu nhin (X, Y ) c hm mt ng thi X,Y
v cc hm mt bin X , Y . Khi ta c th vit:
P (X x|Y = y) = lim P (X x|y Y y + ) =
0+
R x R y+
X,Y (t, s)ds)dt
P (X x, y Y y + )
( y
= lim
=
= lim
R x+
0+
0+
P ( Y y + )
Y (s)ds
x
Rx
R y+
lim
(
X,Y (t, s)ds/)dt Z x X,Y (t, y)
0+
y
dt,
=
=
R x+
Y (y)
lim0+ (
Y (s)ds/)
v bi vy, ta c:
Mnh 3.20. Trong trng hp lin tc tuyt i, nu Y (y) > 0 th
hm mt ca phn b xc sut c iu kin PX|Y =y chnh l hm
X|Y (x|y) := X|Y =y (x) =
X,Y (x, y)
.
Y (y)
Sputnik Education
(3.57)
167
xdPX|Y =y =
FX (x) = P (X x) =
E(X) =
S.N
ii)
xX|Y (x|y)dx.
(3.58)
ET
E(X|Y = y) =
(3.59)
(3.60)
TM
ATH
VIE
cng thc th hai, bng cch thay bin ngu nhin X bng bin ngu
nhin Xx nh ngha bi: Xx = 1 khi X x v Xx = 0 khi X > x.
(Khi E(Xx ) = FX (x)).
Sputnik Education
3.6
3.6.1
(3.61)
169
ET
Xt = A.Zt + t .
(3.62)
aik Zk + i i = 1, . . . , n.
S.N
Xi =
k=1
(3.63)
TM
ATH
VIE
Sputnik Education
3.6.2
m
X
a1i Zi + 1 , X2 =
i=1
m
X
a2i Zi + 1 ,
(3.64)
i=1
a21k , 12 = 21 =
a1k a2k , 22 =
a22k .
(3.65)
171
ET
S.N
TM
ATH
(3.66)
VIE
X1 = 1 Z + 1
X2 = 2 Z + 2
(3.67)
Sputnik Education
1
1
(3.68)
(3.69)
173
ET
r 1
(3.71)
S.N
1 r
TM
ATH
3.6.3
VIE
1
(2)n/2 ||1/2
1
exp( (x ).1 .(x )t ).
2
Sputnik Education
(3.72)
1
(s) = exp( 1.st s..st ).
2
(3.73)
1
.
(1 + x2 )
Sputnik Education
(3.74)
175
ET
1
1
exp(
(x2 2rxy + y 2 )).
2
2(1
r)2
2 1 r
S.N
X,Y (x, y) =
1
1
+
arcsin r.
4 2
TM
ATH
P (X > 0, Y > 0) =
VIE
176
Sputnik Education
Chng 4
Cc nh l gii hn
4.1
nh l gii hn trung tm
4.1.1
nh l de Moivre Laplace
n!
pk (1 p)nk
k!(n k)!
(4.1)
TM
ATH
S.N
ET
Chng 4. Cc nh l gii hn
VIE
Khi
p
np(1 p).
1
1
Pn (k) = p
exp( z 2 ).(1 + n (k)),
2
2 np(1 p)
trong n (k) hi t u n 0 khi n tin ti , c ngha l
lim sup n (k) = 0.
n k
178
Sputnik Education
(4.2)
(4.3)
n+
n!
2n
n n
e
= 1.
(4.4)
lim P
! Z
b
1
Sn pn
2
ex /2 dx.
b =
a p
2
np(1 p)
a
(4.5)
Sputnik Education
179
Chng 4. Cc nh l gii hn
dng nh l 4.1, ta c:
ET
!
X
Sn pn
a p
b =
Pn (k)
np(1 p)
azb
X
1
1
=
n exp( z 2 ).(1 + n (k)), (4.6)
2
2
azb
S.N
1
bng bc nhy ca z trong tng pha
trong n = p
np(1 p)
trn. Bi vy, theo nh ngha tch phn Riemann, ta c
1
1
lim
n exp( z 2 ) =
n
2
2
azb
1
2
ex /2 dx,
2
TM
ATH
(4.7)
VIE
15, 1811
2
np(1 p)
Sputnik Education
4.1.2
nh l gii hn trung tm
181
Chng 4. Cc nh l gii hn
cng khi n tin ti v cng, v nh vy th n khng th tin ti mt
phn b cho trc no . Nhc h qu sau y ca s c lp ca
cc bin Xi :
n
X
E(Xi ) = n, var(Sn ) =
i=1
var(Xi ) = n 2
(4.8)
i=1
Sn n
, ta c
n
S.N
t Zn =
n
X
ET
E(Sn ) =
E(Zn ) = 0, var(Zn ) = 1.
(4.9)
Sn n
,
n
ta c th a bin ngu nhin Sn v mt bin ngu nhin Zn c k
TM
ATH
VIE
chnh xc hn:
Pn
i)
i=1 X
Sputnik Education
(4.10)
lim P (a Zn b) =
1
2
ex /2 dx.
2
(4.11)
P
( n
Xi )n
i=1
.
n
183
TM
ATH
S.N
ET
Chng 4. Cc nh l gii hn
VIE
Sputnik Education
185
Chng 4. Cc nh l gii hn
4.1.3
Gii hn ca dy hm c trng
ET
S.N
hu hn.
Mnh 4.5. Vi mi s R ta c
(4.13)
TM
ATH
do
VIE
s i=1 Xi
Zn (s) = exp
n
n
Y
n
1n
s
= exp
s
Xi
n
n
i=1
n
1n
s
= exp
s
X1
,
n
n
s
1n
s + n ln X1
ln(Zn (s)) =
n
n
trong t =
186
Sputnik Education
1
1t 2 t2 + o(t2 ),
2
1
ln(Zn (s)) = 1nt + n( 1t 2 t2 + o(t2 ))
2
1
1
= n 2 t2 + no(t2 ) = s2 + no(t2 ).
2
2
Khi n tin ti v cng th no(t2 ) =
s2
o(t2 )/t2
2
tin ti 0, do
1
1
= exp( lim s2 + no(t2 )) = exp( s2 ),
n 2
2
l iu phi chng minh.
1
2
ex /2 dx.
2
Sputnik Education
(4.15)
187
Chng 4. Cc nh l gii hn
Mnh trn l mt trng hp ring ca nh l lin tc 4.11 v
tiu chun hi t yu ca cc phn b xc sut, m chng ta s bn
4.2.1
Hi t yu v cc kiu hi t khc
Hi t yu v hi t theo phn phi
S.N
4.2
ET
TM
ATH
(4.16)
Pn P , Fn F .
(4.17)
VIE
Sputnik Education
189
Chng 4. Cc nh l gii hn
Chng ta s k hiu s hi t theo phn phi nh sau:
d
Zn Z,
(4.18)
Zn PZ .
ET
hoc l
(4.19)
S.N
sut.
TM
ATH
VIE
vi
P k vng bng v lch chun bng hu hn. Gi Zn =
( ni=1 Xi ) n
Zn N (0, 1)
(4.20)
Sputnik Education
4.2.2
Sputnik Education
191
Chng 4. Cc nh l gii hn
ii) Khong cch LvyProkhorov gia PX v PY l i lng
dLP (PX , PY ) = inf{ > 0 | PX (A) PY (A ) + v
ET
l ln cn ca A trong R.
S.N
(4.23)
(4.24)
TM
ATH
xR
VIE
Sputnik Education
193
Chng 4. Cc nh l gii hn
nh l 4.9. Mt dy cc phn b xc sut Pn hi t theo metric
d1 (hay l metric dLP ) n mt phn b xc sut P (c ngha l
limn d1 (Pn , P ) = 0) khi v ch khi Pn hi t yu P khi n tin ti
ET
S.N
TM
ATH
VIE
Sputnik Education
d(Pn , P ) =
vi
x0
Z
An =
R
<
Cn =
R xN
x0
2
xN x0 dx
= 2,
kJ
xi
R xi+1
2
kIZ xi
xN x0 dx
x
i+1
X
xi
kJ (xk+1
195
Chng 4. Cc nh l gii hn
4.2.3
ET
(4.25)
S.N
TM
ATH
VIE
Sputnik Education
4.2.4
nh l lin tc
(4.26)
(4.27)
(4.28)
Sputnik Education
197
Chng 4. Cc nh l gii hn
vi mi n ln. Tn ti R R+ sao cho R v R l hai im lin
tc ca F , v
ET
(4.29)
Z
F dP < /6,
]R,+[
TM
ATH
Z
F dP < /6 ,
],R]
S.N
Z
F dPn < /6 ,
],R]
Z
F dPn < /6
]R,+[
(4.30)
(4.31)
VIE
Z
Z
F dPn
F dP < /3
]R,R]
]R,R]
(4.32)
Sputnik Education
N Z
X
i=1
]ai1 ,ai ]
N Z
X
i=1
(/9)dPn
]ai1 ,ai ]
Z
1dPn /9 (4.33)
= (/9)
]R,R]
exp( 1sx)dPX
(4.35)
199
Chng 4. Cc nh l gii hn
trng ca cc phn b xc sut l b chn bi 1: |n (s)| 1 vi mi
s R. Bi vy, theo nh l hi t b chn Lebesgue, ta c
Z
Z
lim
n (s)ds =
(s)ds
n
(4.36)
ET
S.N
TM
ATH
ca P ti mi im. Th nhng n hi t n , bi vy hm t
trng ca P chnh l . V mi phn b xc sut c xc nh duy
nht bng hm c trng ca n, nn P chnh l P . C ngha l c
mt dy con ca (Pn ) hi t yu n P . Nhng khi , ton b dy
VIE
Sputnik Education
sin(x)
dPX
x
xR
Z
sin(x)
sin(x)
dPX +
dPX
x
x
|x|2/
|x|>2/
X (s)ds =
Z
=
(4.38)
201
Chng 4. Cc nh l gii hn
4.2.5
ET
S.N
(4.39)
TM
ATH
(4.40)
VIE
mi ni.
Sputnik Education
(4.41)
4.3
Phn b 2 v nh l Pearson
(4.42)
203
Chng 4. Cc nh l gii hn
Phn b 2 hay xut hin trong nhng bi ton thng k, m
chng ta s xt n chng sau. N lin quan n vic c lng
phng sai ca mt phn b xc sut normal. ng thi, n ng vai
ET
S.N
TM
ATH
npi
s
X
(i npi )2
i=1
npi
2s1 ,
(4.43)
VIE
(1 np1 )2 (2 np2 )2
(1 np)2 (1 np)2
+
=
+
np1
np2
pn
(1 p)n
P
2
n
(1 np)2
i=1Xi nE(X)
=
=
.
p(1 p)n
n(X)
204
Sputnik Education
nE(X) d
Z1 (trong
n(X)
Z1 c phn b normal chun tc N (0, 1)), v do
Pn
i=1Xi
nE(X)
n(X)
i=1Xi
2
21 .
Ps
i=1 (1
pi )G2i c
205
Chng 4. Cc nh l gii hn
Ma trn hip phng sai suy bin (bi v
Ps
p
pi (1 pi )Gi =
i=1
ET
S.N
j=1,...,s1
(G1 , . . . , Gs )t = (aij )i=1,...,s
.(Z1 , . . . , Zs1 )t .
(4.45)
TM
ATH
A = (aij )j=1,...,s1
c th c chn nh sau. Gi O = (oij )j=1,...,s
i=1,...,s
i=1,...,s l
mt ma trn vung gc (orthogonal, c ngha l O.Ot = Is ) bt k
tn ti bi v si=1 ( pi )2 = 1. t
oij
aij =
vi mi i = 1, . . . , s, j = 1, . . . , s 1.
1 pi
(4.46)
VIE
Gi =
s1
X
j=1
206
oij
Zj vi mi i = 1, . . . , s,
1 pi
Sputnik Education
(4.47)
2
s1
X
o
ij
(1 pi )G2i =
(1 pi )
Zj
1
pi
i=1
i=1
j=1
s
s1
X
X
X
=
o2ij Zj2 +
oij oik Zj Zk
s
X
s
X
i=1
j=1
j6=k
s1 X
s
s
s1
X
XX
X
(
o2ij )Zj2 +
(
oik )Zj Zk =
Zj2 (4.48)
j=1 i=1
j6=k i=1
j=1
r 1 x
1
2
x
e 2 khi x > 0
r/2
2 (r/2)
,
(4.49)
(x) =
0
khi x 0
trong l hm gamma: (a) =
R
0
xa1 ex dx.
207
TM
ATH
S.N
ET
Chng 4. Cc nh l gii hn
Hnh 4.3: Hm mt ca 2k , vi k = 1, 2, 3, 4, 5
VIE
208
Sputnik Education
Sputnik Education
209
ET
S.N
Chng 5
5.1
TM
ATH
Thng k ton hc
Cc vn thng k
VIE
sau:
- M t s liu.
- c lng v d on cc i lng.
- Tm ra cc mi quan h gia cc i lng .
- Kim nh cc gi thuyt.
5.1. Cc vn thng k
php thng k nh l cc cch nu n, rt a dng phong ph), v
c nhiu im cn ch khi dn n cc kt lun thng k sai
lch (hoc l b mc la bi nhng ngi c tnh lm thng k theo
cc phng php sai lch). Trong chng ny chng ta s ch bn ti
mt s vn v phng php thng k ton hc c bn nht. Trc
khi i vo l thuyt, phn ny chng ta s im qua cc mc ch
chnh trn ca thng k, qua mt s v d.
211
ET
S.N
TM
ATH
cc con s.
VIE
Sputnik Education
5.1. Cc vn thng k
3 3 = 9 ln thng 5.
V d 5.2. (Pht xt c sn xut bao nhiu my bay v xe c gii?).
Trong chin tranh, vic c lng c ng sc mnh ca qun ch
l mt vic nhiu khi c tnh cht sng cn. Trong chin tranh th gii
ln th II, cc c quan tnh bo qun ng minh Anh-M cung cp
nhiu thng tin rt sai lch v lc lng qun c. Th nhng, bng
phng php thng k (thu nht cc m s trn cc xc my bay, lp
xe, v.v. ca qun c b bn chy, b ri, ri t gii m v dng
cc hm c lng c lng), nh thng k hc Richard Ruggles
cng vi cc cng s ca mnh, lc lm ti Cc tnh bo kinh t
ca Anh, c lng c rt chnh xc s my bay v xe c gii
m c sn xut c hng thng.(1)
Cng sut hng thng ca Pht xt c
My bay
Xe c gii
c lng ca Ruggles
28500
147000
26400
159000
to Economic Intelligence in World War II, Journal of the American Statistical Association, 42, March 1947; v theo: James Tobin, In memoriam: Richard Ruggles
(19162001) Review of Income and Wealth Series 47, Number 3, September 2001
Sputnik Education
213
ET
S.N
Completers
TM
ATH
ITT-LOCF
----------------------------
EQUIP (OB-302)
56 Weeks
-------------Mean Weight
Loss (%)
Greater than
or equal to
5% weight
loss rate
Placebo
Qnexa
Qnexa
Low Dose
Full Dose
----------------------------
Placebo
Qnexa
Qnexa
Low Dose
Full Dose
(n=498)
(n=234)
(n=498)
(n=241)
(n=138)
(n=301)
-------
--------
---------
-------
--------
---------
1.6%
5.1%*
11.0%*
2.5%
7.0%*
14.7%*
17%
45%*
67%*
26%
59%*
84%*
VIE
Theo bng trn, tng s ngi tham gia th nghim lm sng (trong
th nghim ) l 498 + 234 + 498 = 1300 ngi. t th nghim ko
di 56 tun, nhng c nhng ngi b d gia chng: trong s 498
ngi c nhn placebo (trng ging nh vin thuc tht, nhng
(2)
Ngun: http://ir.vivus.com/releasedetail.cfm?ReleaseID=407933
214
Sputnik Education
5.1. Cc vn thng k
khng c thuc trong ) th ch c 241 ngi theo n cng cuc
th nghim, cn trong s 498 ngi c nhn liu y ca thuc,
c 301 ngi (61%) theo n cng. Trong s nhng ngi c nhn
liu v theo n cng, th c 84% s ngi gim c t nht 5%
trng lng, v trung bnh mi ngi gim c 14,7% trng lng.
Trong bng trn c vit p < 0, 0001 vs. placebo. iu c ngha
l, vi tin cy bng 1 p > 99, 99% (hay ni cch khc, vi kh
nng kt lun sai lm nh hn 0, 01%), cc con s thng k cho thy
kt qu t c ( y l gim cn) tt hn khi c thuc so vi khi
khng c thuc. Thng thng, khi p < 0, 01 th ngi ta chp nhn
gi thuyt l thuc c hiu ng thc s, cn nu p 0, 05 th hiu
ng khng r rng, c th l do ngu nhin.
Cc hng dc phm trn th gii, trc khi c quyn bn mt
loi thuc mi no , thng thng u phi qua th nghim lm
sng din rng (trn t nht my trm bnh nhn), v cc kt qu
thng k phi chng t r rng cng dng v s an ton ca thuc,
tc l phi qua c kim nh thng k cho gi thuyt thuc c
cng dng v an ton, vi tin cy cao.
V d 5.4. (London nguy him hay an ton?(3) ). Ngy 10/07/2008, c
4 v git ngi bng dao 4 ni khc nhau London. S kin ny
lm no lon d lun n mc th tng Anh l Gordon Brown phi
tuyn b ha s tm cch lm gim cc v m dao. London c tr
nn nguy him cho tnh mng hn nhng nm trc khng? tr
li cu hi , chng ta c th da trn mt s s liu thng k sau:
- Trong 5 nm trc , mi nm London c khong 170 ngi b
(3)
Sputnik Education
215
ET
S.N
TM
ATH
VIE
Sputnik Education
5.1. Cc vn thng k
lng v n mng xy ra London, v khng h chng t xu th g
mi. Tng kt nm 2008, London c 152 n mng xy ra nm .
Phng tin truyn thng c dp vui mng v lu ri cha nm
no London c an ton nh vy. Nhng con s c chng t xu
th g khng, hay chng qua cng ch l mt s ngu nhin khng
nm ngoi qui lut chung?
217
ET
S.N
TM
ATH
VIE
(4)
recognition, in: Proceedings IMA-IP: Mathematical Methods, Algorithms, and Applications, (Blackledge and Turner eds.), Horwood, London, 2000, pages 244260.
218
Sputnik Education
5.1. Cc vn thng k
Mt iu cn ch l, thng k hay b cc t chc hay c nhn
lm dng bp mo s tht theo hng c li cho mnh, hoc c
khi t di mnh, nu nh lm khng ng cch. C rt nhiu cch
ni di khc nhau bng thng k, chng hn nh: ba t cc con
s khng c tht, la chn cc con s c li, giu i cc con s bt
li, thin lch (bias) trong vic chn mu th nghim, v.v. V d v
ni gii trng trn: B quc phng M c tuyn b rng, trong cuc
chin vi Irak nm 1991, cc tn la Patriot ca M bn rng 41
tn la Scud ca Irak, nhng khi Quc hi M iu tra li thy ch c
4 tn la Scud b bn rng. V d v bias lm hng kt qu thng k:
Bo Literacy Digest thm d kin c tri v bu c tng thng M
nm 1936, qua in thoi v qua cc c gi t bo. Kt qu thm
d trn phm vi rt rng cho d on l Landon s c 370 phiu
(i c tri) cn Roosevelt s ch c 161 phiu. Th nhng lc bu
tht th Roosevelt thng. Ho ra, i tng m Literacy Digest thm
d nm , nhng ngi c tin t in thoi hay t bo, l nhng
ngi thuc tng lp kh gi, c bias theo pha Landon (ng Cng
ha), khng c trng cho ton dn chng M.
Ni chung, thng k ton hc cho ra c cc kt qu ng
tin cy, ngoi cc cng thc ton hc ng n, cn cn m bo s
trung thc ca cc s liu, c mu thc nghim (lng s liu)
ln, v loi i c nh hng ca cc bias m bo tnh ngu
nhin ca s liu. Nhiu khi vic loi i cc kt qu c bias cao t
mu thc nghim l cng vic hiu qu, cho ra kt lun thng k
chnh xc v tn km hn l tng c ca mu thc nghim ln
thm nhiu. chng ny, chng ta s ch bn n mt s phng
Sputnik Education
219
5.2
S.N
5.2.1
ET
TM
ATH
VIE
Sputnik Education
221
ET
S.N
ln.
TM
ATH
1X
xi .
n
(5.1)
i=1
Gi tr
c gi l mt k vng thc nghim (hay k vng mu)
ca X, v l mt c lng ca k vng ca X. Tng t nh vy,
VIE
vi mi k N, gi tr
1X k
xi ,
n
(5.2)
i=1
i=1
i=1
i=1
1X
1X
1X 2
=
(xi
)2 =
(xi
xi ) ,
n
n
n
2
222
Sputnik Education
(5.3)
5.2.2
Hm c lng
(5.4)
223
ET
S.N
TM
ATH
(5.5)
(5)
VIE
224
Sputnik Education
(5.6)
(5.7)
X=
1X
Xi
n
(5.8)
i=1
(5.9)
225
ET
S.N
n+1
max(X1 , X2 , . . . , Xn )
n
l mt hm c lng nht qun khng chch ca .
=
(5.10)
TM
ATH
5.2.3
Pn
2
n
1X
i=1 Xi
Xi
l mt c
Hm phng sai mu =
n
n
2
i=1
VIE
E( ) = E
Sputnik Education
(5.11)
i=1
5.2.4
Phng php hp l cc i
227
ET
S.N
TM
ATH
(5.12)
VIE
(5.13)
228
Sputnik Education
(5.14)
(5.15)
Sputnik Education
229
ET
S.N
TM
ATH
(5.16)
(5.17)
VIE
Sputnik Education
(5.18)
n
X
xi /n.
(5.19)
i=1
1
(xi )2
L(, ) =
exp
2 2
2
i=1
!
n
n
X
1
(xi )2
=
exp
. (5.20)
2 2
2
i=1
tm im c hp l cc i, ta gii h phng trnh
d
d
L(, ) = 0 v
L(, ) = 0.
d
d
n
d X
Phng trnh th nht tng ng vi
(xi )2 = 0, v
d
i=1
Pn
i=1 xi
cho nghim l =
. Phng trnh th hai tng ng vi,
n
P
P
2
n 2 i (xi )2
2
i (xi )
+
= 0, v cho nghim l =
. Nh
3
2
n
vy, phng php hp l cc i cho ta cc c lng sau y ca k
i=1 xi
Sputnik Education
(5.21)
231
=
xi
.
(xi
) =
n
n
n
2
i=1
(5.22)
i=1
ET
S.N
TM
ATH
phn b m.
5.2.5
VIE
xs dP =
1X s
xi
n
(5.23)
i=1
Sputnik Education
x1 nu 0 < x < 1
0 ti cc im cn li
(5.24)
5.3
5.3.1
(5.25)
233
ET
S.N
TM
ATH
R
trong L(x, ) = P (x) trong trng hp P l phn b xc xut ri
rc v L(x, ) = (x) trong trng hp P l phn b lin tc vi hm
mt , c gi l lng thng tin Fisher ng vi .
VIE
E(|(X1 , . . . , Xn ) |2 )
1
.
nI()
(5.27)
Sputnik Education
(5.28)
(1 + b0 ())2
.
nI()
(5.29)
Z
(x, )
Chng ta cn iu kin khng k d sau:
dx = 0 (ngoi
Z
p
ln (, x) p
((X) ) (, x)
(, x)dx = 1.
Sputnik Education
235
Z
p
((X) ) (, x))2 dx)(
ln (, x) p
(, x))2 dx) =
ET
S.N
5.3.2
TM
ATH
VIE
(5.30)
Sputnik Education
=
Z=
c phn b normal chun tc, trong l
0.05
/ 100
k vng di ca cc qu da chut tnh theo cm. t p = 1%, ta
c |Z| 2.57, c ngha l P (|Z| 2.57) 99% = 11%. Bt ng
(9.3 )
thc |
| 2.57 tng ng vi [9.3 2.57 0.05, 9.3 +
0.05
2.57 0.05] [9.17, 9.43]. Nh vy, [9.17, 9.43] l khong tin cy ca
vi tin cy 99%.
Ghi ch 5.6. C mt vn t nh trong l lun trong v d trn,
lin quan n xc sut c iu kin. Sai s m chng ta tnh c l
2.57 0.05 0.13 vi tin cy 99%, c ngha l
P (|X | < 0.13 | c nh) 99%,
nhng sau ta li mun hiu iu ny thnh: X = 9.3 l ci bit
c sau thc nghim, l ci cha bit, c th coi nh mt bin
ngu nhin, v
P (|X | < 0.13 | X = 9.3) 99%.
Sputnik Education
237
ET
S.N
TM
ATH
VIE
Sputnik Education
X p
< c) FN (0,1) (c) = PN (0,1) (] , c[).
/ n
p(1 p),
5.3.3
239
ET
S.N
TM
ATH
VIE
(5.31)
P (10.12 <
240
2
20
< 30.14) 1 5% 5% = 90%.
2
Sputnik Education
(5.32)
tng ng vi
(5.33)
(5.34)
5.3.4
Phn b Student
p
2
lun rng phn b xc sut ca /n (hay ca , trong
/ n
241
ET
khi ang lm vic cho hng bia Guinness Dublin (thng k chn
bia ngon). Do nguyn tc gi b mt ca hng bia, Gosset khng c
php k tn cc bi bo ca mnh vi tn tht, nn ly bt danh l
S.N
VIE
TM
ATH
bc t do.
242
Sputnik Education
( +1
1
2 )
.
( 2 ) (1 + x2 ) +1
2
(5.36)
243
ET
S.N
TM
ATH
(5.37)
< 1.729,
|(X ) 20 1/|
(5.38)
VIE
(5.39)
vi tin cy 90%.
Sputnik Education
5.4
Kim nh cc gi thuyt
245
5.4.1
ET
S.N
TM
ATH
VIE
Sputnik Education
hoc l
P = P (s ng. c bu l nam N | x.s. ng. c bu l n = 50%),
247
ET
hoc l
P (s ng. c bu l nam = N | x.s. ng. c bu l n = 50%),
S.N
TM
ATH
(5.40)
VIE
Sputnik Education
nhn gi thuyt H0 .
Gi tr P pha trn c th coi l xc sut xy ra sai lm loi 1.
N thch hp cho nhng trng hp m sai lm loi 1 l ci cn ch
n (hn so vi sai lm loi 2). Nu cn ch n sai lm loi 2,
th phi tnh xc sut xy ra sai lm loi 2, thay v xc sut xy
ra sai lm loi 1. (Phng php lm hon ton tng t).
Bi tp 5.10. (Tui ly chng Roma thi c i). C mt l thuyt
ca cc nh kho c hc cho rng, tui ly chng ln u trung bnh
Roma thi c i l khong 19 tui, v cc m ph n m c vn
bia (epitaph) l do ngi cha vit th tui trung bnh di 19, con do
chng vit th tui trung bnh trn 19. (Ngi ta gi thuyt rng ph
n c chng khi cht th vn bia do chng vit, cn cha c chng
th do cha vit). Th nhng, theo mt ghi chp lch s, tui ly chng
ln u ca 26 ph n Roma c i c ghi l: 11, 12, 12, 12, 12,
13, 13, 13, 13, 13, 14, 14, 14, 14, 14, 14, 15, 15, 15, 15, 15, 15, 16,
16, 17, 17(6) . Gi H0 l gi thuyt tui ly chng trung bnh Roma
c i l 19, v gi s rng tui ly chng c phn b normal, vi
lch chun coi bng lch chun mu ca mu thc nghim vi
26 gi tr trn, tc l bng 1.57. Chng minh rng gi tr P nh hn
1% (Gi : c th dng bt ng thc Chebyschev).
(6)
Theo: A. Lelis, W. Percy, B. Verstraete, The age of first mariage in ancient Rome,
Sputnik Education
249
5.4.2
ET
cy trong c lng cng xut hin trong kim nh. Hai loi phn b
hay gp nht l: phn b normal chun tc (dng trong trng hp
mu thc nghim ln), v phn b T (cho mu thc nghim nh, vi
S.N
TM
ATH
Z=
trong :
X 0
X 0
,
hoc l Z =
/ n
/ n
(5.41)
VIE
hoc l H0 : 0 , H1 : < 0 ).
Sputnik Education
X 0
, v coi rng T c
n
/
(5.42)
251
100(X E(X))
10(X E(X))
=
l mt bin ngu nhin vi
(X)
(X)
phn b normal chun tc N (0, 1). Khi X c tng ng vi
Z=
10(cE(X))
.
(X)
10(c 7)
)
1.5
(5.43)
S.N
P (Z
ET
10(c7)
1.5 .
t = 1%, ta c
10(c7)
1.5
2.33, tc l
TM
ATH
VIE
Sputnik Education
5.4.3
X / nX
Y /nY
X
nX
Sputnik Education
Y
nY
253
(5.44)
Y
nY
ET
X
nX
S.N
TM
ATH
VIE
Sputnik Education
(1189/11034).189/11034
11034
104
11037
5.
(1104/11037).104/11037
11037
X
nY
X Y
.
2 q n +n
+ nXY . nXX+nY Y2
(5.45)
Sputnik Education
255
ET
S.N
TM
ATH
VIE
Sputnik Education
5.4.4
257
ET
Fm,n =
S.N
n2m
2m /m
=
2n /n
m2n
(5.46)
TM
ATH
c gi l phn b F vi m v n bc t do.
VIE
Sputnik Education
5.5. Kim nh 2
Cch
7.7
0.8
II
7.9
1.2
nu x 0
0
(m/2)1
(5.47)
fm,n (x) =
x
nu
x
>
0,
c
(mx + n)(m+n)/2
trong
c=
5.5
(5.48)
Kim nh 2
259
ET
S.N
TM
ATH
5.5.1
VIE
P (Ai )n
(5.49)
260
Sputnik Education
5.5. Kim nh 2
tng bnh phng ca s 1 bin ngu nhin Zi c lp c cng phn
b normal chun tc N (0, 1)). Gi tr thc nghim
2 =
s
X
(i pi n)2
i=1
pi n
(5.50)
2 =
X (observedi expected )2
i
,
expectedi
(5.51)
261
ET
S.N
TM
ATH
2 =
VIE
Sputnik Education
5.5. Kim nh 2
(18 20)2 (15 20)2 (19 20)2
+
+
= 8, 3.
20
20
20
Tra bng phn phi xc sut ca 25 , ta c P (25 8, 3) 14%.
Con s 14% ln chp nhn gi thuyt H0 .
5.5.2
pi (1 pi ) p
=
= 0.
n
p
(1
p
)n
i
i
i=1
i
(5.52)
Sputnik Education
263
ET
S.N
2 ) > th gi thuyt H0 c
v s 1 bc t do: Nu P (2sk1
2 ) < th chp nhn i thuyt
chp nhn, cn nu P (2sk1
H1 .
TM
ATH
ni
713
299
66
16
VIE
Sputnik Education
5.5. Kim nh 2
m hnh phn phi Poisson vi tham s . Khi
p0i = (0, 4411)i e0,4411 /i!, i = 0, 1, 2, . . .
Vic c lng (v qua p0i ) nh trn to thm mt rng buc
Ni p0i n
tuyn tnh sau y cho cc bin ngu nhin p
, ngoi
p0i (1 p0i )n
rng buc cho bi phng trnh (5.52), c th l:
X Ni p0i n
i
= 0.
n
i
np0i
704,44
310,73
68,53
11,28
265
ET
Kim nh 2 cho s c lp
S.N
5.5.3
Khi ta mun kim tra xem hai s kin hay hai bin ngu nhin
no c c lp vi nhau khng, ta cng c th dng 2 . Chng
TM
ATH
VIE
Sputnik Education
5.5. Kim nh 2
k thm d khuynh hng ca 500 ngi c chn mt cch ngu
nhin:
Tui Khuynh hng
Phi t
Phi hu
Trung lp
Tng
Di 30
45
35
38
118
30 n 50
62
60
95
217
Trn 50
48
49
68
165
Tng
155
144
201
500
2 =
S bc t do y l (m 1)(n 1) = (3 1)(3 1) = 4. Ta c
P (24 5, 329) > 25%. Nh vy ta chp nhn gi thit H0 : tui
khng nh hng (ng k) ti khuynh hng chnh tr.
Bi tp 5.17. (Sinh vin n c b k th?). Mt iu tra nm 1975
mt trng i hc hng u trn th gii v s sinh vin nam v n
xin hc v c nhn vo hc cc chng trnh sau i hc 3 khoa
ln nht trng cho kt qu thng k sau:
Sputnik Education
267
Nam
526
550
313
698
ET
c nhn
5.6
S.N
TM
ATH
VIE
c gi tr ca Y . Hm s F ny c th ph thuc vo mt s tham
s = (1 , . . . , k ) no . Ta c th vit Y nh sau:
Y = F (X1 , . . . , Xs ) + ,
(5.53)
Sputnik Education
(5.54)
269
5.6.1
ET
S.N
TM
ATH
Y = aX + b +
(5.55)
VIE
(xi x)2
var(X)
b = y ax = E(Y ) aE(X),
(5.57)
P
P
trong x = ( xi )/n v y = ( yi )/n l cc gi tr k vng thc
nghim. Bnh phng ca h s tng quan thc nghim,
R2 =
270
Y )2
cov(X,
var(X)var(
Y )
Sputnik Education
(5.58)
2
i i
(5.59)
,
2
i i
cng nh.
R2
5.6.2
s
X
i Xi + ,
(5.60)
i=1
Sputnik Education
271
s
X
i=0
ET
i Xi + .
(5.61)
S.N
TM
ATH
hY
s
X
i Xi , Xj i = 0 j = 0, 1, . . . , s,
(5.62)
VIE
i=0
hay c th vit l
s
X
i hXi , Xj i = hY, Xj i j = 0, 1, . . . , s.
(5.63)
i=0
Sputnik Education
(5.64)
5.6.3
Obs
price
age
distance
Sputnik Education
273
31.0
24
12.5
115
15.5
80
6.7
195
30.0
53
21.0
18.5
8.6
10
9.0
10
18.0
11
11.0
12
13.0
13
11.0
14
9.0
15
8.0
16
12.0
97
17
17.5
100
200
75
126
S.N
138
70
150
156
124
180
143
7.0
19
20.0
80
20
6.0
230
21
15.3
109
22
23.0
37
23
4.5
13
130
180
7.0
25
24.5
25
26
12.5
142
27
15.0
70
28
7.0
166
24.0
45
11.5
146
29
30
31
32
33
34
35
VIE
24
274
52
TM
ATH
18
ET
23.5
55
7.2
245
29.0
13
9.9
188
33.0
10
36
14.3
90
37
17.5
101
Sputnik Education
12.0
116
39
6.5
182
40
5.6
223
41
11.0
124
42
17.5
101
43
13.5
73
44
19.2
61
45
6.9
216
46
1.5
16
246
47
13.0
135
48
11.0
10
105
49
9.3
145
50
3.8
15
78
51
13.0
119
52
14.0
86
53
15.5
73
54
10.5
130
55
8.5
161
56
3.5
14
175
57
3.0
16
165
58
7.9
126
59
5.5
258
60
5.3
11
273
(5.65)
275
TM
ATH
S.N
ET
VIE
(5.66)
Sputnik Education
(5.67)
277
distance
10.
(age + 0.5)
(5.70)
ET
S.N
TM
ATH
VIE
278
Sputnik Education
Ph lc A
Li gii cho mt s bi tp
1.1
Li gii bi tp Chng 1
Ph lc A. Li gii cho mt s bi tp
P(
n
[
i=1
Ai ) =
n
X
P (Ai )
i=1
. . . + (1)n1 P (
P (Ai Aj ) +
i6=j
n
\
P (Ai Aj Ak )
i6=j6=k
Ai ).
ET
i=1
S.N
TM
ATH
VIE
280
Sputnik Education
Sputnik Education
281
Ph lc A. Li gii cho mt s bi tp
ET
phi l ngi thng set cui cng. Xc sut Nam thng trn l
2
2 3
2
3
C22 .( )3 + C32 .( )3 . + C42 .( )3 .( )2 = 0.31744.
5
5 5
5
5
P (A B)
P (A B)
=
P (A) =
Bi tp 1.9. P (A|B) = P (B|A)
P (B)
P (A)
P (B).
Bi tp 1.10. Gi A l bin c trong 3 con mo c t nht mt con
S.N
P ((A B)(AB))
= P (A B)+P
(AB) = P (A B)+P
(A).P (B).
lp.
TM
ATH
VIE
= 12 . 13 + 13 39 = 1 <
c P (B) = P (B|C).P (C) + P (B|C).P
(C)
51 52
51 52
4
13
= P (B|A). Vy hai s kin A v B khng c lp.
51
Bi tp 1.14. Gi A l bin c ngi c chn l n ng (A l bin
c ngi c chn l n b), B l bin c ngi c chn l tha
cn. Theo cng thc xc sut ton phn P (B) = P (B|A).P (A) +
(A)
= 0.65 0.5 + 0.534 0.5 = 0.592.
P (B|A).P
Bi tp 1.15. Gi A l bin c ngi c chn l n ng, B l bin
282
Sputnik Education
B ... B )) = P (B
ra P (\(Bn,1
n,s
n,2
n,1 Bn,2 ... Bn,k )
) + P (B
P (Bn,1
n,2 ) + ... + P (Bn,k ) 0 khi n . Vy P (Bn,1
... B ) 1 khi n .
Bn,2
n,s
C52 .
2 3
1
1
1
.
. = 0.15625.
2
2
2
283
Ph lc A. Li gii cho mt s bi tp
Bi tp 1.9. C th gii thch rng sau khi c xe bus n nh c B 7,5
pht th c xe bus n nh c A.
ET
S.N
TM
ATH
i) V
n=1 P (An ) < nn P (Bn ) < m=n P (Am ) 0 khi n
. Vy P (B ) = 0.
VIE
284
Sputnik Education
P (B|A).P (A)
(A)
. Kt qu l:
P (Y |X).P (X) + P (Y |X).P
(X)
P (X|Y ) =
285
Ph lc A. Li gii cho mt s bi tp
trong mt nm l hon ton c th xy ra (xc sut ln hn 0) th h
cc s kin trn l khng c lp.
Li gii bi tp Chng 2
(
X (x) =
S.N
Bi tp 2.2. Hm mt ca X:
ET
1.2
0 nu |x| > 1
1 |x| nu |x| 1
TM
ATH
0 nu x < 1
(1 + x)2 /2 nu 1 x 0
P (X x) =
1 nu x 1
VIE
P (Y x) = P (X sin x)
c hm phn phi:
0 nu x < /2
(1 + sin x)2 /2 nu /2 x 0
Hm mt ca Y l:
0 nu |x| > /2
286
Sputnik Education
1 1 ( x )2
e 2
2
Xt y = f (x) =
x
1
X (x)
f 0 (x) = . Ta c: Y (y) =
=
|f 0 (x)|
1 1 ( x )2
e 2 =
2
1 21 y 2
.
2 e
Sputnik Education
287
Ph lc A. Li gii cho mt s bi tp
Bi tp 2.7. X E() hm mt :
(
X (x) =
ex nu x > 0
ET
0 nu x 0
S.N
x
e
e c y nu y > 0
nu x > 0
c
Y (y) =
=
c
0 nu y 0
0 nu x 0
TM
ATH
Vy Y E( c ).
Bi tp 2.8. Ta c:
P (X > s + t, X > s)
P (X > s)
e(s+t)
= et = P (X > t)
es
VIE
1
= x nu x [0, 1]
X (x)
1/x
Y (y) = d ln x =
| dx | 0 nu x
/ [0, 1]
(
ey y > 0
=
0 y 0
Sputnik Education
nu x 1
x+1
X (x) =
0 nu x < 1
Y = X s , s > 0. Xt y = f (x) = xs , ta c:
x+1 = 1 nu x 1
X (x)
Y (y) =
=
s xs1
s x+s
|f 0 (x)| 0 nu x < 1
1
+1 nu y 1
s ys
=
0 nu y < 1
1
1
(1 x)2
.
s
1
1
. Xt y = f (x) =
1X
1x
Ta c
X (x)
Y (y) = 0
=
|f (x)|
(1 x)2 =
1
y2
nu y 1
0 nu y < 1
289
Ph lc A. Li gii cho mt s bi tp
v ring Y ri coi hai bin c lp vi nhau. (Nu chng c lp
th E(X)E(Y ) = E(XY )). Chng hn c th chn X v Y l nhng
bin ngu nhin nhn hai gi tr 0 v 1, vi phn b xc sut chung
ET
S.N
X
p
1
4
C98
5
C99
TM
ATH
i) Phn b xc sut ca X v Y :
2
4
C97
5
C99
95
C44
5
C99
C44
5
C99
C54
5
C99
99
4
C98
5
C99
VIE
4 /C 5 .
phn t vi phn b xc sut u, do ta c P (X = 2) = C97
99
Pn
m+1
m+1
m
ii) Cng thc k=m Ck = Cn+1 sinh ra t cng thc Ck+1 =
Ckm+1 + Ckm .
290
Sputnik Education
=
=
=
4 + 2C 4 + + 95C 4
C98
97
4
5
C99
98
97
P
P
Ck4 +
Ck4 + C44
k=4
k=4
5
C99
5 + C5 + + C5
C99
98
5
5
C99
6
C100
100
100! 94! 5!
=
.
=
5
6! 94!
99!
6
C99
6
X
k=0
2 1
C6k ( )k ( )6k (2k 6) = 2.
3 3
291
Ph lc A. Li gii cho mt s bi tp
Nu cu tr li l c: s s nm trong on 2n1 + 1; 2n
Nu cu tr li l khng: s s nm trong on 1; 2n1
ET
Ln th i: Ta s xc nh c s nm trong on c di 2ni .
Vy, sau n ln, ta s xc nh c s A chn.
S.N
TM
ATH
VIE
Sputnik Education
mk
k
log2 k +
log2 (m k)
m
m
1+
k
m
log2 k +
k
mk
log2 k +
log2 (m k) 1 + 2.(1/2). log2 (m/2) = log2 m,
m
m
c sin x nu x (0, )
0 nu x
/ (0, )
i) Ta c:
Z
Z
Y (x)dx =
1=
c sin xdx = c cos x = 2c,
0
do c = 1/2.
Z
ca Y bng /2.
Bi tp 2.18. X c phn phi Pareto vi tham s > 1, hm mt :
nu x 1
x+1
X (x) =
0 nu x < 1
Sputnik Education
293
Ph lc A. Li gii cho mt s bi tp
K vng ca X l:
Z
E(X) =
+1
dx
=
x
.
=
+1
x
+ 1
1
1
S.N
ET
i=1
i=1
TM
ATH
v
v
u n
u n
Y
u
uY bi
ai
G(F ) + G(G)
n
n
t
=
+t
2G((F + G)/2)
ai + bi
a + bi
i=1
i=1 i
!
!
n
n
1 X ai
1 X bi
+
= 1.
n
ai + bi
n
ai + bi
i=1
i=1
k1
VIE
1
1
= ,
=p
2
(1 (1 p))
p
X
E(X 2 ) =
k 2 p(1 p)k1
k1
= p(1 p)
k(k 1) (1 p)k2 + p
k2
1
2p
2
+ =
,
(1 (1 p))3 p
p2
1p
var(X) = E(X 2 ) (E(X))2 =
.
p2
= p(1 p)
294
Sputnik Education
X
k1
k p(1 p)k1
1p
.
p
k
ii) X c phn phi Poisson P (k) = e .
k!
p
Do , lch chun = var(X) =
E(X) = e
k1
X k1
k
= e
k!
(k 1)!
k1
= e e = ,
X
X
k
k1
k2
k
E(X 2 ) = e
= e
k!
(k 1)!
k1
k1
k1
k1
X
X
= e (k 1)
+
(k 1)!
(k 1)!
k1
k1
= e (e + e ) = 2 +
p
p
= E(X 2 ) (E(X))2 = 2 + 2 = .
(
Bi tp 2.21. E(X) = 2/3 , X (x) =
Ta c
Z1
2/3 = E(X) =
x(ax2 + b)dx =
a b
+
4 2
v
Z
1=
Z1
X (x)dx =
(ax2 + b)dx =
a
+ b.
3
295
Ph lc A. Li gii cho mt s bi tp
Z1
E(X ) =
ET
1/3, t suy ra
S.N
TM
ATH
Bi tp 2.22. i) Xt mt mu mu hn hp gm k mu mu. Ta gi
cc bin c: A = mu mu hn hp cha khng th X; Ai = mu
mu i cha X. Khi
=
P (A)
k
Y
P (Ai ) = (1 p)k .
VIE
i=1
m+k
m + mk
qm
1 q m1 (1 q)
Cm
(1 q)m
Sputnik Education
E(S) =
m
X
i mi
Cm
q
(1 q)i (m + ik)
i=0
=m
m
X
i mi
Cm
q
(1 q) + k
i=0
m
X
i mi
iCm
q
(1 q)i
i=0
= m + k(1 q)m
m
X
i1 mi
q
(1 q)i1
Cm1
i=1
= m + mk(1 q),
2
E(S ) =
m
X
i mi
Cm
q
(1 q)i (m + ik)2
i=0
2
= m + 2mk
m
X
i mi
iCm
q
(1
q) + k
i=0
2
m
X
i mi
i2 Cm
q
(1 q)i
i=0
2
= m + 2mk m(1 q) + k m(1 m)(1 q)2 + m(1 q)
= m2 + 2m2 k(1 q) + mk 2 (1 q) [(m 1)(q 1) + 1]
var(S) = E(S 2 ) E(S)2 = mk 2 (1 q)q.
iii) Ta c E(S) < N m+mk(1q) < mk kq > 1 k(1p)k > 1.
Bi tp 2.23. Khng mt tnh tng qut, ta coi X, Y nhn hu hn
cc gi tr a1 , a2 , . . . , an , (ai 6= aj i 6= j), vi cc xc sut p(X =
n
n
P
P
ai ) = pi 0 v p(Y = ai ) = qi 0.
pi =
qi = 1. Theo gi
i=1
i=1
P
P
thuyt, ta c E(X k ) = i aki pi = E(Y k ) = i aki qi , hay c ngha l
Pn
k
i=1 ai xi = 0 vi xi = pi qi v vi mi s t nhin k. Cho k chy
t 1 n n, ta c mt h phng trnh tuyn tnh vi n n xi v n
phng trnh.
Nu ai 6= 0 vi mi i, th nh thc ca h phng trnh ny l
Sputnik Education
297
Ph lc A. Li gii cho mt s bi tp
nh thc ca ma trn
an
a21 a22 a2n
an1 an2 ann
a1
a2
ET
S.N
TM
ATH
X (x) =
ex nu x > 0
0 nu x 0
VIE
mi n N.
Sputnik Education
P (k)z =
k=1
k1 k
p(p1)
z = pz
k=1
(zpz)k =
k=0
pz
.
1 z + pz
T ta c:
G0 (z) =
p
2p(1 p)
, G(z) =
,
2
(1 z + pz)
(1 z + pz)3
v phng sai ca X l:
var(X) = G(1) + G0 (1) (G0 (1))2 =
2(1 p) 1
1
1p
+ 2 =
.
p2
p p
p2
n
X
z k P (k) =
n
X
k=0
k=0
Hm Laplace:
L(t) = E(e
tX
)=
n
X
k=0
1.3
Li gii bi tp Chng 3
Bi tp 3.1. Ta c:
PF (]a, b]]c, d]]e, f ]) =
= PF (] , b]]c, d]]e, f ]) PF (] , a]]c, d]]e, f ])
Sputnik Education
299
Ph lc A. Li gii cho mt s bi tp
S hng th nht:
PF (] , b]]c, d]]e, f ])
ET
S hng th hai:
PF (] , a]]c, d]]e, f ])
S.N
Vy:
TM
ATH
VIE
1, x [0, 1]
X (x) =
0, x
6 [0, 1]
300
13h
1
1, y [0, 1]
, Y (y) =
0, y
6 [0, 1]
Sputnik Education
1
)
4Z Z
dxdy =
7
16
1 xy 1
4
4
0x1, 0y1
7
.
16
Bi tp 3.3. Gi s tn ti hm mt ca (X, X 3 ) l X,Y (x, y) vi
Vy xc sut hai ngi gp nhau theo hn l
R +
301
Ph lc A. Li gii cho mt s bi tp
Bi tp 3.5. Phn b xc sut ng thi ca 3 bin X, Y, Z c lp
ET
S.N
Y ) P (Y + Z X) = 1 3P (X + Y Z), mt khc P (X + Y Z)
bng th tch ca hnh t din cho bi cc mt x 0, y 0, z
x + y, 1 z trong khng gian Euclide R3 vi h ta chun (x, y, z),
v n bng 1/6. T suy ra P = 1/2.
TM
ATH
+
Z
x.ex
X (x) =
(x, y)dy =
0
+
Z
ey
(x, y)dx =
Y (y) =
0
vi
x>0
vi
x0
vi
y>0
vi y 0
VIE
lp.
Bi tp 3.8. Gi s X1 N (1 , 12 ) X1 = 1 X + 1 vi X
N (0, 1).
302
Sputnik Education
12 s2
2 ),
22 s2
2 )
hay X1 + X2 N (1 + 2 ,
12 +12
2 ).
1X k
z
6
k=1
Suy ra:
GX (z) =
5
Y
i=1
6
1 X k 5
GXi (z) = 5 (
z )
6
Vy xc sut cn tnh l h s ca
k=1
z 15
303
Ph lc A. Li gii cho mt s bi tp
Ta c:
= E(Xi ) =
19
18
50
.50 .50 =
37
37
37
ET
S.N
18250
Sn
Sn
493
n
37
1/4
1/2
TM
ATH
1/4
p 1/2 1/2
Ta c cov(X, X 2 ) = E(X 3 ) E(X)E(X 2 ) = 0 nhng X, X 2 khng
c lp (v P (X = 1, X 2 = 1) = P (X = 1) = 1/4 6= P (X =
1)P (X 2 = 1)).
VIE
Bi tp 3.17. Ta c:
P (K = k) =
P (K = k | N = n).P (N = n)
nk
=
=
304
Cnk pk (1 p)nk .
nk
pk e k
k!
e n
n!
X (q)nk
pk e k qk
(p)k ep
=
.e =
.
(n k)!
k!
k!
nk
Sputnik Education
1
2 .
t +st )
) = E(eisAZ )eis
P P
j ( k sk akj )Zj suy ra
E(eisAZ ) =
Eei(
k sk akj )Zj
e 2 (
2
k sk akj )
12 (
= e 2
P P
k
k sk sl (
akj alj )
j
1
= e 2 ss
Vy X (s) = eis
t 1 sst
2
X2
2
Z 2
x2
2
X2
P(
< t) = P ( 2t < X < 2t) =
e 2
2
2 0
o hm theo t
et
et
0
F X 2 (t) = X 2 (t) = 1(0,+) (t)
2
t
t
2
Ta cng c
ez
Y 2 (z) = 1(0,+) (z)
z
2
Sputnik Education
305
Ph lc A. Li gii cho mt s bi tp
t X 0 =
X2
0
2 ,Y
Y2
2
Ta c
etz
1(t>0,z>0)
tz
Suy ra
Z
X 0 (u z)Y (z)dz =
X 0 +Y 0 (u) =
eu
dz
p
= eu
z(u z)
S.N
ET
X 0 ,Y 0 (t, z) =
1
2 e
2
2
z1
z2
22
2
TM
ATH
|z2 | z1 z2
Z1
2
2 .
Xt f (Z) = ( Z
,
Z
),
ta
c
(z
,
z
)
=
2
1
2
f
(Z)
2 e
2
2
|b| (a2 +1) b
2 .
Vi a = zz12 , b = z2 z1 = ab. Suy ra f (Z) (a, b) = 2
e
Ta c:
1
f (Z) (a, b)db =
Z1 (a) =
2
Z2
R
1
=
(a2 + 1)
2 +1) b2
2
|b|e(a
Bi tp 3.22. i) t U = X, V = Z suy ra X = U, Y = V
rU .
VIE
Ta c:
1 r2 +
p
p
1
U,V (u, v) = X,Y (x, y) 1 r2 = X,Y (u, v 1 r2 + ru)
1 r2
2
2
1 u +v
2
=
e
2
Suy ra U (u) =
R U,V dv
1 u2
2 e
v ta cng c V (v) =
1 v2
2 e
Sputnik Education
Z
U,V (u, v)dudv
=
u>0 v>
ru
1r 2
Z
U,V dudv =
U,V dudv +
1
+ I(r)
4
u>0 0>v> ru
u>0 v>0
1r 2
1
=
2
+
Z
2
1
1
u
)du =
(e 2(1r2 )
1 r2
2 1 r2
0
1
P (X > 0, Y > 0) = 14 + 2
arcsin(r).
Suy ra I =
1
2 arcsin(r)
X,Y (x, y)
1
(x ry)2
=p
exp(
)
Y (y)
2(1 r2 )
2(1 r2 )
Sputnik Education
307
Ph lc A. Li gii cho mt s bi tp
1.4
Li gii bi tp Chng 4
ET
S.N
TM
ATH
Pn
k=1 Xk pn
.
Zn = p
np(p 1)
VIE
1
1
1050 6000
850 6000 6
6
r
r
=P
6000
1 5
1 5
6000
6000
6 6
6 6
( 3) (3 3),
Sputnik Education
(t) = e(e
Vy nu Sn =
Pn
k=1 Xk
it 1)
k=1
k
x2
e 2
1
= .
2
2
n
X
P (Xn = k) =
k=0
n
X
en
k=0
nk
.
k!
n2 t2
) X
2
n2 t2
ln X
2
(n , n ) (, ).
in t
Sputnik Education
309
Ph lc A. Li gii cho mt s bi tp
vi , 0 no . Ta c iu cn chng minh.
Bi tp 4.6. Trc ht ch rng phn b hnh hc vi tham s p c
X
k1
eitk pk =
k1
p X
peik
[(1 p)eit ]k =
1p
(1 eik ) + peik
S.N
p (t) =
ET
Vy
TM
ATH
k1
t
Xn (t) = Xn ( ) =
n
n
it
n
it.e
it
n
!1
it
1 en
+1
lim Xn (t) =
VIE
1
.
1 it
Sputnik Education
x
)
n
= 1 P ( max Xi 1
1in
=1
n
Y
P (Xi 1
i=1
x
)
n
x
)
n
1 (1 x )n nu x 0, n >> 1,
n
=
0 nu x < 0.
1 ex nu x 0,
n
0 nu x < 0.
d
Vy Yn
P.
Bi tp 4.9. Theo nh l Fubini ta c:
1
|
2
Z Z
1
X (s)ds| = |
( eisx dPX )ds|
2
Z R
1
1
=|
( eisx | )dPX |
2 R ix
Z
sin x
=|
dPX |
x
ZR
Z
sin x
sin x
|
|dPX +
|
|dPX
x
x
|x| 2
|x|> 2
Z
Z
1
dPX +
dPX
2 |x|>
|x|
1
2 2
= (1 + P [ , ])
2
Sputnik Education
311
Ph lc A. Li gii cho mt s bi tp
2 2
1
P[ , ] |
X (s)ds| 1.
VIE
TM
ATH
S.N
ET
T ta c
312
Sputnik Education
Ph lc B
ET
S.N
th thch hp hn.
TM
ATH
VIE
Sputnik Education
Sputnik Education
315
ET
S.N
Ph lc C
TM
ATH
Bng phn b Z
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
----+---------------------------------------------------------------------0.0 | 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 | 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 | 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 | 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 | 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
VIE
0.5 | 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 | 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 | 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 | 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 | 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 | 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 | 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 | 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 | 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
316
1.4 | 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 | 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 | 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 | 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 | 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 | 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 | 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 | 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 | 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 | 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 | 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 | 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 | 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 | 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 | 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 | 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 | 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
Z
P{Z to oo} |
P{Z to oo} |
P{Z to oo}
P{Z to oo}
----------------+-----------------+------------------+-----------------2.0
0.02275
3.0 0.001350
4.0 0.00003167
5.0
2.867 E-7
2.1
0.01786
3.1 0.0009676
4.1 0.00002066
5.5
1.899 E-8
2.2
0.01390
3.2 0.0006871
4.2 0.00001335
6.0
9.866 E-10
2.3
0.01072
3.3 0.0004834
4.3 0.00000854
6.5
4.016 E-11
2.4
0.00820
3.4 0.0003369
4.4 0.000005413 |
7.0
1.280 E-12
2.5
0.00621
3.5 0.0002326
4.5 0.000003398 |
7.5
3.191 E-14
2.6
0.004661
3.6 0.0001591
4.6 0.000002112 |
8.0
6.221 E-16
2.7
0.003467
3.7 0.0001078
4.7 0.000001300 |
8.5
9.480 E-18
2.8
0.002555
3.8 0.00007235 |
9.0
1.129 E-19
2.9
0.001866
3.9 0.00004810 |
9.5
1.049 E-21
Sputnik Education
317
ET
S.N
TM
ATH
[5] L. B. Koralov, Ya. G. Sinai, Theory of probability and random processes, Universitext, 2nd edition, 2007.
VIE
[9] Trn Mnh Tun, Xc sut v thng k L thuyt v thc hnh tnh
ton, NXB HQGHN, 2004.
318
ET
Nghn l mt m.
Hp vi mi la tui.
S.N
TM
ATH
ln tr nn yu ton hc. N c
VIE
Sputnik Education
trc y.
Sch hp vi mi la tui.
321
S.N
ET
TM
ATH
th gin cn thit.
VIE
Sputnik Education
Mt s sch sp xut bn
Di y l mt s sch trong T Sch Sputnik hon thn hoc
hn nh hon thnh vo thi im 05/2015. Ngoi ra cc cng tc
vin ca T Sch Sputnk ang vit v dch nhiu quyn sch khc.
323
ET
S.N
TM
ATH
VIE
Sputnik Education
325
ET
S.N
Nguyn Tin Dng dch t ting Nga, qung 240 trang, hon
thnh bn tho 04/2015
TM
ATH
Khng) to thnh mt b ba tp sch ni ting do Levshin v Aleksandrova vit vo thp k 1960. T n nay, b sch ny c
ti bn lin tc hng nm, in ra nhiu nc trn th gii, tr thnh
sch gi u ging ca hng trm nghn bn tr, nhng ngi m
v sau s tr thnh cc nh khoa hc, bc s, k s, thng gia, nh
qun l, v.v.
VIE
Sch hp vi mi la tui.
Sputnik Education
Spivak, Cu lc b ton hc lp 6 - lp 7.
Trn Nam Dng dch t ting Nga.
Cun sch ny, vi khong 500 bi ton hay, c i km li gii,
c xut bn bng ting Nga nm 2003, v c dng lm sch hc
cc lp PTCS nng khiu v ton Matskva.
Dnh cho cc hc sinh PTCS.
Cc a ch bn sch Sputnik
Sch ca T sch Sputnik c c bn qua cc cng ty pht hnh
sch n cc ca hng online/offline cc hi ch sch, v.v. Ngoi ra,
Sputnik c phn phi trc tip sch n cc a im sau, nhng ai
mun mua c th lin lc. Danh sch ny s thnh thong c cp
nht.
Sputnik Education
327
ET
S.N
TM
ATH
VIE
Sputnik Education
- Ms. Nguyn Th Thu 241 ph Trn ng Ninh, Cu Giy Mobile: 0982932219 Email: sach@sputnik.vn (nhn gi sch qua bu
in)
- Ms. Qunh Anh, Ng 291 Lc Long Qun, Ngha , HN 093
518 5555 (nhn gi sch qua bu in)
- Mrs Phng, ng 43, ng C Nhu, 090 206 1246 (nhn gi
sch qua bu in)
- Mrs. H 090 200 8386 (nhn gi sch qua bu in)
- Mrs. Thanh 091 323 9846 (lin h v phn phi sch, mua s
lng ln)
Online
- Tiki.vn
Sputnik Education
329
2 , 203
ET
Ch mc
nh x bo ton xc sut, 35
i thuyt H1 , 245
th phn tn, 156
tin cy, 236
c lp, 136
TM
ATH
S.N
c lng, 223
nh l Pearson, 204
116
nh l Prokhorov, 196
nh l de Moivre Laplace,
178
nh l hi t b chn Lebesgue,
VIE
99
ng cu xc sut, 35
im ht, 75
o c, 24
biu tn s, 86
330
hm phn phi, 72
221
hm phn phi xc sut ng
c ca mu, 220
thi, 129
cht, 196
chun Lk , 202
131
gi tr P, 248
gi thuyt H0 , 245
hm thng k, 224
gretl, 156
h s bt i xng, 111
hu khp mi ni, 69
hi qui, 268
189
hi t yu, 188
hm hp l, 228
hm o c, 69
hm c lng, 223
k vng, 92
hm ch bo, 70
hm mt , 74, 132
hm mt ng thi, 132
hm mt bin, 133
331
moment, 110
ET
155, 160
kh tch, 98
S.N
phn b u, 83
phn b Bernoulli, 29
TM
ATH
kim nh F, 258
kim nh T, 250
phn b chun, 85
phn b F, 258
kim nh Z, 250
kurtosis, 112
phn b hn hp, 77
phn b lu tha, 89
phn b nh thc, 41
phn b nh thc m, 80
lin tc tuyt i, 74
phn b normal, 85
VIE
metric L1 , 191
phn b Pareto, 90
Sputnik Education
phn b Poisson, 80
s kin c lp, 46
phn b ri rc, 76
phn b T, 241
phn b xc sut, 25
phn b xc sut u, 30
phn b xc sut ng thi, 129
sigma-i s, 24
164
phn b xc sut cm sinh, 36
phn b xc sut thc nghim,
221
phn hoch, 48
tn sut, 87
phn ri rc, 77
phng php hp l cc i,
228
thng k, 224
trung v, 223
xc sut, 17
xc sut c iu kin, 42
s bc t do, 203
Sputnik Education
333