3

3.0
, ,
.
. ,
.
,
, .

3.1

.
X
X ( ). (random variable). X ( ) x

,
X x. .

( ). .

X : ( ) I
{ | X ( ) I } .
P ( X I ).

X :

. {x : X ( ) x }
(set of values) X . R X ( S X ).

48
 1 () .
{(i, j ) | i, j 1, ,6}. X : X (i, j ) i j. X
.
() n . X :
n .
n .
n X ( ) 5.
() X : . X
R X [0, ).
() X : .
,

P ( 2 X 5).

. X : , x

{ | X ( ) x}
. B B,
X X 1 ( B ) X 1 ( B) { | X ( ) B}.
( X B ). B

- (, x], x . ,
B B ( ,5) (,2) c [ 2,5).

2 , X : , ,
, :

( X x) { | X ( ) x} X 1 ({x}) .
( X x) { | X ( ) x} X 1 (, x] .
( X x) { | X ( ) x} X 1 (, x) .
( X x) { | X ( ) x} X 1 ([ x, )) .

49
( X x) { | X ( ) x} X 1 (( x, )) .
( x X y) { | x X ( ) y} X 1 (( x, y]) .

3.2
X

P ( X x) x . (distribution function)

F ( x) P ( X x) X .

X : . (..) FX

X FX : [0, 1] FX ( x) P ( X x) P ({ : X ( ) x}), x
.

.
() FX X ( ).

x, y x y. F X ( x) FX ( y ).

, { | X ( ) x} { | X ( ) y}
P { | X ( ) x} P{ | X ( ) y} P( X x) P( X y )
FX ( x ) FX ( y ). FX ( ).

() lim FX ( x) 1. {x n }n 1 lim x n .
x n

lim FX ( x n ) 1. { An }n 1
n

An { X x n } lim
n
An An { X x n } { X }.
n 1 n 1

, lim FX ( x n ) lim P( An ) P( lim An ) P( X ) P () 1.

n n n

() xlim FX ( x ) 0. ().

50
() FX . H ()

: { x n }n 1 , lim x n x
n

lim FX ( x n ) FX ( x). {x n }n 1 ,
n

{ An }n 1 An { X x n } .

lim An A n { X x n } { X x},
n
n 1 n 1

lim FX ( x n ) lim P ( An ) P (lim An ) P( X x) FX ( x).

n n n

3 P ( x X y ) P ( X x) .. FX
X .
. ( X y ) ( x X y ) ( X x) ( x X y ) ( X x)
. , P( X y ) P( x X y ) P( X x)
, P( x X y ) P( X y ) P( X x) FX ( y ) FX ( x).
P( X x) 1 P[( X x) c ] 1 P ( X x) 1 FX ( x).

3.3
R X X
X ( ) (discrete). X
S X R X {x1 , x 2 ,} S X R X {x1 , , x N }. S X
X . X ,
f : f ( xi ) P ( X xi ), xi S X (..)
(probability function) (...) (probability mass function) X .
, n , X
R X {0,1, , n}.

:
() f ( xi ) 0, i 1, 2, .

() f ( x ) 1.
xi S X
i

, X

51

FX ( x ) P ( X x ) P { X x k } P( X xk ) f ( x k ).
xk x xk x xk x

( xi ,0) ( xi , f ( xi )) i 1, 2, .
, . 203 . 206-209,

X .

4
X : f ( x) cx, x 1, 2, 3, 4, 5 f ( x) c(10 x),
x 6, 7, 8, 9. () c. ()
(i) 4 ; (ii) 5
3;
9
. () R X {1, ,9}, f ( x) 1 25c 1 c 1 25 .
x 1

() :
3
1 6
(i) P( X 4) P( X x ) (1 2 3) .
x 1 25 25

10
P( X 5, X 3) P( X 5) f (6) f (7) f (8) f (9) 5
(ii) P( X 5 | X 3) 25 .
P( X 3) P( X 3) 1 f (1) f (2) 1 3 11
25

5 ( 100- )
CD X F (t ) 0, t 0,

F (t ) at 2 , 0t 1 , F (t ) at t 2 , 1 t 1, F (t ) 1, t 1, a .
2 2
100000 .
() a.
() 50000 .
() 25000 ,
75000 ;
. () P ( X 1) 1. , 1 P ( X 1) F (1 ) a 1 a 2.
2
1 1 1 1 1
() P X 1 F 1 2 .
2 2 2 2 4
52
()
2
3 1 3 3 3 3
P X , X P X 1 F 1 2
3 1 4 4 4 4 4 4 1
P X | X .
4 4 1 1 1 1
2
8
P X P X 1 F 1 2
4 4 4 4

X (continuous), - f X :
[0, ) B ,

P( X B) f X (t )dt , t . f X (..) (density function)

B

X .

B (, ), P ( X ( , )) f X (t ) dt 1.

B [a, b], P ( X [a, b]) P (a X b) f X (t )dt.

a

a b, P ( X a ) f
a
X (t ) dt 0. , X

. f X (a ) P( X a )
X a.
f X (a ) X a.
, . 339-340, , ,
, ,

.
x

, FX (x ) P ( X x ) P ( X x) f

X (t ) dt.

f X , ,

x , F ' X ( x) f X ( x), x . f X

x f X .

() f X ( x) 0, x .
53


() f X (t ) dt 1.

6 X
f ( x) c(4 x 2 ), 2 x 2 f ( x) 0,
, c . () c. ()
FX X . ()
1.
2
32 3
. () c 0

f ( x)dx 1 c(4 x 2 )dx 1
2
3
c 1 c
32
.

0, x 2
x x
3
() X F (x) f (t)dt (4 t 2 )dt, 2 x 2
2 32
1, x 2

x
3 t3
x
3 12 x 16 12 x x 3
(4 t 2 )dt t 2 .
2
32 32 32 3 2
32

0, x 2

16 12 x x
3
, F ( x) , 2 x 2
32
1, x 2
11
() P(| X | 1) P ( 1 X 1) F (1) F (1) 68.75%.
16

3.4
() . {x1 , , x N }
, N . X

1
f X ( xi ) P( X xi ) , i 1, , N . X
N
(discrete uniform random variable). ,

54
 X . ,

1
X {1, ,6} P ( X i ) , i {1, ,6}.
6

() .

. .
n . p
q 1 p. X
n . X
(binomial random variable). X ~ Bin(n, p)
X . n, p
. {0, 1} {0, 1} {0, 1}, {0, 1}
n , 0 1 .
X {0, , n}.

n x n x
X ~ B( n, p) P(X x) fX (x) p q , x 0, , n,

x
q 1 p. (*).
(*). x
x n x .
n . ,
P ( X x) P( x , n x ) p p q q p x q n x .

55
 n
x n

n x nx
, P(X x) p q , .

x
nn
n x nx nn
f X
f X(x) ( pp ()1 p q) 1 f X ( x) 0, x 0, , n.

x 0 x 0 x
n 1 X Bernoulli (Bernoulli random variable)
X ~ Bernoulli ( p ).

7
0.9 ;
.
. n . X
n

56
 Y

1 1
n . X ~ Bin n, Y ~ Bin n, . X Y n.
2 2
P( X 1, Y 1) P( X 1, n X 1) P (1 X n 1) 1 P( X 0) P( X n)

nn
n 1 n 1 1
1 1 n1. 1
2
1
n 1
0.9 n 1
ln 0.1
ln 2
4.32.

0 2 n 2 2
, .

8 25%
. X
. () P ( X 1) () P ( X 20) ()
P (5 X 20).

. X ~ B ( 25, 0.25).

25 0 250 25
() P(X 1) 1 P(X 1) 1 P(X 0) 1 (0.25) (1 0.25) 1 (0.75)
0
1 0.0008 0.9992.

57
 20
25 x 25x
()
(XP 20) (0.25) (0.75) 1.
x0 x
() P(5 X 20) P( X 20) P( X 5) P( X 20) P ( X 4) 1 0.2137 0.7863.

( , . , , . 280-288).

() Poisson. X


.
X x 0,1, P ( X x)
Poisson (Poisson distribution). H

x x 0,1, ,
X : f X ( x) P ( X x) e , 0.
x!
Poisson

x
..
x 0
f X ( x ) e
x 0 x!
e e e 0 1. X

Poisson 0, X ~ Poisson( ).
Poisson .

3.1 ( Poisson ).
{ X n }n 1 n p n .

n , p n 0 n np n , 0.

58
 n x xn x
(XP n x) pn(1 pn) e , n , x 0,1, .

x x!
x n x
n n!
x xn n n
.
P(X x) p (1p ) 1
n nn
x x!( xn )! n n
x n x n x
n(n 1) (n x 1) n n(n 1) (n x 1) nx
1 n x
1 n
x! n n n x! n
n x
x 1 nx x n
1 x
n .
1 1 1 1 n 1 e , n , 1 e x ,
n n x! n x! n

9 .
0.001.
.
. X .
X ~ B (1000, 0.001). 3.1,
P ( X 2) 1 P ( X 2) 1 P ( X 0) P ( X 1) 1 e 1 e 1 1 2e 1 .

10
Poisson.
()
() .
. X .
X ~ Poisson( ).

2
P ( X 1) 4 P( X 2) e e 4e 1 22 . 1 1
2! 2
. X ~ Poisson(1).

59
 2
1x
() P ( X 0) e 1 0.37. () P ( X 2) e 1 x!
2.5e 1 0.92.
x0

() .
(, ) p 0. X
.
X {1, 2, }. X
(Geometric distribution) p X ~ G ( p ).
X
f X ( x) P( X x ) P ( 1 , , x 1 , x
) (1 p) (1 p) p (1 p) x1 p, x {1,}.

1 1
f X ..
x 1
f X ( x) (1 p) x 1 p p (1 p) x1 p
x 1 x 1 1 (1 p )
p 1.
p
x
G ( p ) F ( x) 0, x 1 F ( x) f (t ), x 1.
t 1

x x
1 qx 1 qx
,
t 1
f (t ) p q t 1 p (1 q q x 1 ) p
t 1 1 q
p
p
1 q x .

: F ( x) 0, x 1 F ( x ) 1 q x , x 1.

11 '
4%. '
,
() () 8 13.
. X

. X ~ G p 4100.
x 1 x
96 4 96
x 1, f ( x ) P( X x ) , F ( x ) P ( X x) 1 .
100 100 100

()
x
4 100 96
2 x 1 2
96 4 24
f ( 2) f ( 4) f (2 x)
x 1 100

100 100 96 x 1 100

49
.
x 1

()

60
 96
12
96
8

P (8 X 13) P (8 X 12) F (12) F (8) 1 1 0.11.
100 100

() . a b .
n . X

n .
X (hypergeometric distribution)
a, b n h( n, a, b).

a b

x n x
a, b n :
fX x)( P(X x) .
a b

n
61
 n a b
. { X x} x
a n x b .

a b
x

x n x
n x .

a b
, B A ,
.

x xn
X {0,1, , k}, k min{n, a}.
X a, b n
X ~ h(n, a, b).

62
 a b
k k k
xn ab 11 ab
fX(x) ,
k
a b a b
H f X ..
.
x0 x0ab x0xn abn xx0 n n
63
 12 O, A, B .
. . X
. X 8.

45 5

8 12
.
(XP 8) fX(8) 0. 76,1 X ~ h( 20,45, 55).

10

20
() . Bernoulli
p 0. X
r , r 1, , .
r r
. X {0,1, 2, }.
X r , p
X ~ NegativeBinomial ( r , p ). r 1 .

64
f X ( x) P( X x ) P ( x r 1 r 1 ) P ( x r

xr1 1 xr xr1 xr n n
)
p(1)p p(1),x01.
, 1 k n 1.

r 1 x k kn
{ X x} r , x
.
p r 1 (1 p ) x p p r (1 p ) x

r 1 x .
x x r 1 r 1 ,

x r 1
.
x
f X - :

65
 xr1 xr1 r

f(x) 1p (1p) p (1)
X
xr x r x xr

x x x
x 0 x 0 x 0 x 0
p r [1 ( p 1)] r p r p r 1.

66
 x r 1 (xr 1)! (x r 1)r x (r)(r 1)(r 2)(r x1) x r
(1) (1) .
x x!(r 1)! x! x! x
a k a


(1 x) x .
k 0 k
13
. -,
,
. 40% .
.

67
. X
, X

4 3 2
p 0.4, r 3. P(X 2) 0.4 0.6 0.1382.
2
3.5
() . X

1
,a xb
f X f X ( x) b a . f X ..

0, x [a, b]
b
1

f X ( x)dx b a 1.
a
X

(continuous uniform distribution) [ a, b] X ~ U (a, b).

[ a, b]
. , { X x}
, U ( a, b)
a x a x .

68
 0, x a
xa

FX X FX ( x) , a x b. a b
b a
1, x b
.

14 X [0, 2].
() X 3.
() X 2.
. [0, 2], X
[0, 2]

0, t 0
t

F (t ) , 0 t 2.
2
1, t 2
() 3 X , 0 3 6 9.
0.0 X 0.1 1.0 X 1.1 X 2, 0.3 X 0.4 1.3 X 1.4,
0.6 X 0.7 1.6 X 1.7 0.9 X 1 1.9 X 2. , P( X 2) 0,
P({0.0 X 0.1} {1.0 X 1.1} { X 2}) P(0 X 0.1) P(1 X 1.1)
0.1 0 1.1 1
( F (0.1) F (0)) ( F (1.1) F (1)) 0.1.
2 2 2 2
, P({0.3 X 0.4} {1.3 X 1.4}) 0.1 , P ({0.6 X 0.7} {1.6 X 1.7}) 0.1
P ({0.9 X 1} {1.9 X 2}) 0.1. 0.1 0.1 0.1 0.1 0.4.

() P({0.2 3 X 0.3} {1.2 3 X 1.3}).

,

P({0.2 3 X 0.3}) P ({(0.2) 3 X (0.3) 3 }) P (0.008 X 0.027) F (0.027) F (0.008) 0.0095.

1.728
P ({1.2 3 X 1.3}) P ({(1.2) 3 X (1.3) 3 }) F ( 2.197) F (1.728) 1 0.136.
2

, P({0.2 3 X 0.3} {1.2 3 X 1.3}) 0.0095 0.136 14.55%.

69
 15
X 8:45 9:15, X ~ U (8 : 45, 9 : 15).
9:00, () ; () ; ()
; () ;
9 8 : 45
. () P ( X 9 : 00) P( X 9 : 00) FX (9) 0.5.
9 : 15 8 : 45
() P ( X 9 : 05) 0.
1
() P(9 : 00 X 9 : 05) FX (9 : 05) FX (9 : 00) .
6
2 1
() P ( X 9 : 05) 1 P( X 9 : 05) 1 FX (9 : 05) 1 .
3 3

() . X 0

e x , x 0
f ( x) .
X
f X f X

0, x 0

e dx (e )' dx 1. FX X
x x
f X ( x ) dx
0 0

x
1 e x , x 0
FX (x) P(X x) fX t)( dt . , P( X x) 1 P ( X x) e x , x 0.

0, x 0
,
P ( X r t | X r ) P ( X t ), r , t 0.
P( X r t , X r ) P( X r t ) e ( r t )
P( X r t | X r ) r e t P ( X t ).
P( X r ) P( X r ) e
X
. X .
r

70
 t -
t .

. (Exponential distribution) ,
,

.

16 X

1 .
75 ()
() () ()
.
70
. () P ( X 70) F (70) 1 e 75 0.61.
X

() P ( X 70) 0.
70
() P ( X 70) e 75 0.39.
40
() P( X 70 | X 30) P( X 40) e 75 0.59.

17 X

1 .
15 () ,
15 ; ()
, , 15 ,
15 ;
t
. X F (t ) 0, t 0 F (t ) 1 e 15 , t 0.

() P( X 15) 1 P( X 15) 1 F (15) 1 (1 e 1 ) e 1 36.8%.

() , :
P ( X 15 15 | X 15) P ( X 15) 1 F (15) e 1 36.8%.

71
() . X (Gamma)

x a1 a x
e , x0
a .. fX f ( x) (a) ,
X
0, x 0

, (a ) (Gamma function) ( a ) y
a 1
e y dy, a 0.
0

X (Gamma distribution) a
X ~ ( a, ). N (t ), t 0,
[0, t ]. X 1 , , X n
(n 1) n
. n
. , X X 1 X n . X ,

( t ) i n 1
(t ) i
F (t ) P ( X t ) P ( N (t ) n) P( N (t ) i ) e t 1 e t , t 0,
in in i! i 0 i!
N (t ) Poisson t .
,
.
(i) (a ) ( a 1)( a 1), a 1.
(i)
(ii) ( a ) (a 1)!, a 1, 2, ,
( a) (a 1)( a 1) ( a 1)(a 2)( a 2) ( a 1)(a 2) (1) ( a 1)!,

1
e .
y
(1) dy 1.
0 2

f X , y x,

x a 1 a x 1

1
f X ( x )dx 0 (a) e dx (a ) y e y dy ( a ) 1.
a 1

0 ( a )

a 1 X 0. X
- (chi-squared) r (degrees of freedom)

X ~ X r2 , r 1, 2,

72
 1 2r 1 2x
x e , x0
r r
f X ( x) 2 2
r 1
X ~ a , .. , f X
2 2
.
2
0, x 0

18 ( )
a 2. () ; ()
60 90 ;
. .. X

22 1
(2t ) i
f ( x)
( 2)
x 2 1e 2 x 4 xe 2 x , x 0. .. F (t ) 1 e 2t
i 0 i!
1 e 2t (1 2t ), t 0.

() P( X 1) F (1) 1 3e 2 59.4%.
() P (1 X 1.5) F (1.5) F (1) 3e 2 4e 3 20.7%.

() . X (normal random

variable) , 2
0 X ~ N ( , ), , f X
2

2
1 x
1
f ( x)
X e 2
, x . X
2
Gauss. H f X ( .
, , , . 396-397).

f X f X ( x) f X ( x), x ,
f X . f X x0
( ) x1

x x
x
2
1
x 2 . f ' X ( x) f X ( x) f ' ' X ( x) 2 1 f X ( x ),

2

. , . 402-403.

73
 2 . 404-405
. 94 . 0 2 1, X ~ N (0, 1)
X (standard, unit)
. X

. X ~ N ( , 2 ) FX ( x)

f X (t ) dt X

. X ~ N (0, 1), , X

x ,
x x t2
1
X ( x )

X (t ) dt
2
e 2
dt , X .. X ,

( . , , ,
. 398 , . 292).
. (..
, )
. ,
(distribution of errors). .

X
3.1 X ~ N ( , 2 ) Z ~ N (0, 1).

X
. FZ ( z ) P ( Z z ) P z P( X z ) FX (z ). z

z2
d 1
f Z ( z ) F ( z ) FX (z ) f X (z )
Z
'
e 2
Z ~ N (0, 1).
dz 2

19 X ~ N (5, 2). P (1 X 3).

. 3.1
1 5 X 5 35 35 1 5
P (1 X 3) P Z Z Z ,
2 2 2 2 2

Z ~ N (0, 1).

3.2 X ~ N (0, 1), X ( x ) X ( x) 1, x .

. u t

74
 x t2 x t2 x t2 x u2
1 1
1 1

X ( x) X ( x)

2
e 2
dt
2
e 2
dt
2
e 2
dt
2
e 2
( 1) du

x t2 u2 t2

1 1 1

e 2
dt e 2
du e 2
dt 1.
2 x 2 2

X
20 X ~ N ( , 2 ) P( X ) P 1 Z 1 Z (1) Z ( 1)

Z (1) (1 Z (1)) 2 Z (1) 1 2 0.84 1 0.68.

, 68%
. z P ( Z z ) , 0 1,
( ) z .

21 Z ~ N (0,1) z P ( Z z ) , 0 1.
. P ( Z z ) 1 P ( Z z ) 1 ( z ) . , ( z ) 1 . 0.01, ( z ) 0.99.
z 2.33. 0.05, ( z ) 0.95.
z 1.64. 0.1, ( z ) 0.9.
z 1.28. , Z ~ N (0,1), ,
P (1 Z 1) (1) (1) 2 (1) 1 2(0.8413) 1 0.6826 68%.
P ( 2 Z 2) (2) (2) 2 ( 2) 1 2(0.9772) 1 0.9544 95%.
P (3 Z 3) (3) (3) 2 (3) 1 2(0.9987) 1 0.9974 99.7%.

, X ~ N ( , 2 ) , 3.1,
P( X ) P (| X | ) P( 1 Z 1).

,
2 . , 68%

, 95%
99% .

22 ( )
N (10, 2 ). 10 0.1
. () 0.1

75
 . ()
2 0.06;
. X .
X ~ N (10, 2 ).
p P ( X 10.1 X 9.9) 1 P (9.9 X 10.1)

9.9 10 X 10 10.1 10 0.1 0.1 0.1

1 P 1 2 1 .

() p 21 (1) 2[1 0.8413] 0.3174. Y

.

5 3 2
Y ~ Bin( n 5, p 0.3174).
P(Y 3) (0.3174) (10.3174) 0. 49.1
3
0.1 0.1 0.1
() p 2 1 0.06 0.97 1.88. , 1.88 0.053.

2 0.002809.

() Cauchy. X Cauchy a ,
b 0 X ~ Cauchy ( a, b) , f X

b 1
f X ( x) 2 , x . H f X
b ( x a) 2

b dx 1 dx 1 dy 1
f X ( x) dx b 2 ( x a) 2 b x a 1 y y

2

2

1
b

1 xa
1. y .
2 2 b

3.6 ,

76
 3.3 X f X Y X 2
f Y Y

1

fY ( y) 2 y

fX y fX y , y 0

0, y 0

. Y

F ( y) P(Y y) P( X y)
2
P y X y , y 0
Y
0, y 0

FX y FX y , y 0
. y
0, y 0

fX y 2 1 y f y (1) 2 1 y 2 1 y f y f y , y 0
X X X
f Y ( y) FY' ( y)
0, y 0

.

. X ~ N (0, 1) Y X 2 ~ X 12 .
1
1 2

f y f y
1
y y
1 1 1
1 1
y
2
1 y

1
f Y ( y ) X X e 2
e 2
e 2
y2 e 2, y 0.
2 y 2 y 2 2 y 2 1

2

X 12 .

3.4 FX X .

Y : FX ( X ) ~ U (0, 1).

77
 0, y 0

. Y F ( y) P(Y y) P(FX ( X ) y) P( X FX1 ( y)) FX (FX1 ( y)) y, 0 y 1.
1, y 1

X ~ N ( , 2 ).

x
~ U (0, 1), ( x ) .

1. X ~ N (0, 1) Y e X .

,0 y 0
. F ( y) P(Y y) P(e y)
X
Y .
P(X log(y) FX (log(y) , y 0
(log( y )) 2
d 1 1
, f Y ( y ) FX (log( y )) f X (log( y )) e 2
, y 0.
dy y y 2

Y (lognormal).

ex 2 1
2. f ( x ) x 2
, x g ( x) , x
(1 e ) e x ex
.
0
dt 1
. f ( x)dx 1. t e x .
(1 t ) 1 t
2
0

2 ex 2 dt 2 2
g ( x)dx e dx (t ) 0

1.

2x
1 0 1 t 2
2

t e x .

3. X ~ Poisson ( ), 0, X

2
(1 e ) .
2

78
 e e


2x
1
. P( X ) P { X 2 x} e
(2 x)!
e 2

2
(1 e 2 ).
x 0 x 0
,

x 2n e x e x
: (2n)! cosh x
n 0 2
.

3.7

( ) ,
(parameters) .
.
(mean)
.
.
. ( )
.

( ) X

: () E ( X ) xP ( X x), | x | P( X x) X .
x x

() E( X ) xf

X ( x ) dx, | x |

f X ( x ) dx X .

23 X ~ Poisson ( ).

x
x
x
x 1
EX xe xe e e
x 0 x! x 1 x! x 1 ( x 1)! x 1 ( x 1)!

y
e e e . y x 1.
y 0 y!

b
1
24 X ~ U (a, b). | x | dx max| a |, | b | .
a
ba
b
1 x2
b
1 1 b2 a2 a b
EX x dx .
a
ba ba 2 a
ba 2 2

79
 .
Pareto , , ,
( 6.3.1 . , ,
, . 353-354). Pareto :

f X ( x) k k x ( k 1) , x f X ( x) 0, x , k , 0 .
k 1.
Cauchy. , , X ~ Cauchy (0,1)

| x |
1

1
1 x 2
dx
2

x
1 x 2
dx
1


log(1 x 2 )
0 .
0

. X .
(
Hoel, Port, Stone, : , , . 102-103).

3.5 X g : g ( X )

. () E ( g ( X )) g ( x) P( X x), | g ( x) | P( X x) X
x x

() E ( g ( X )) g ( x) f

X ( x ) dx, | g ( x ) |

f X ( x )dx X .

3.6 E (aX b) aEX b, a, b .

. X .

E ( aX b) (ax b) f

X ( x ) dx a xf

X ( x ) dx b

f X ( x ) dx aEX b.

3.7 X c, EX c.

. X . EX xP( X x) c P( X x) c.
x x

3.8 | EX | E | X | .
. | X | X | X | | X | X 0 | X | X 0.
, E| X | X 0 E| X | X 0.

, (| x | x ) f X ( x) dx 0

(| x | x) f

X ( x )dx 0

80


| x |

f X ( x ) dx xf

X ( x ) dx xf X ( x) dx | x |

f X ( x ) dx

E | X | EX EX E | X | . , E | X | EX E | X | , | EX | E | X | .

3.8
(moments) , ,
.

( k ). X . k , k 1, 2, X

k : EX k k x P ( X x ), X ,
k

k x X .
k
f X ( x ) dx,

k 1, 1 EX , X .

( k ). X . (central moment)

k , k 1, 2, X k' : E ( X EX ) k ,

k' ( x E ( X )) k P( X x ), X ,

k' ( x EX ) X .
k
f X ( x ) dx,
x

k 2, X ( ) (variance) X

2' : Var ( X ) 2 . X
. X
( X EX ) 2 .

(standard deviation) X Var ( X ) . ( )

.
,
, , .
,
.

3'
. 3

81
 X , ( 0) ( 0
0) X . 0

0 . 238,
4.19 & ,
.
,
().
, .

4'

4
X . X 3.
. 3 ..
3 . 239,
4.20 & ,
.

25 X

6 6
1 212
. X 3 EX x P( X x) x
3 3 3
.
x 1 x 1 6 6

3.9 Var ( X ) EX 2 EX 2 .

. 2' Var ( X ) E ( X 1 ) 2 E X 2 2 1 X 12 EX 2 2 1 EX 12

2 12 . , 2' 2 12 Var ( X ) EX 2 EX 2 .

3.9 .

26 X ~ Bernoulli ( p ), p [0, 1]. X .

1 1
. EX xP( X x) 0(1 p ) 1 p p. EX x P( X x) 0(1 p) 1 p p.
2 2 2

x 0 x 0

, Var ( X ) EX 2 EX 2 p p 2 p (1 p ).

27 X ~ ( ), 0. X .

82


. EX xe dx x(e )' dx xe 0 e dx 0 (e x )' dx e x

x x x x 1 1 1
.
0 0 0 0 0

e x dx x 2 (e x )' dx x 2 e x 0 2 xe x dx 0
2
EX 2 x
2
.
0 0 0 2

2 1 1
, Var ( X ) EX EX
2
2
2 2.

2

28 X ~ Poisson ( ), 0. X .

x
x
x
x 1
n
. EX xe e x e e e e e .
x 0 x! x 1 x! x 1 ( x 1)! x 1 ( x 1 )! n 0 n!

n x 1.

x
x
EX 2 E X ( X 1) EX x( x 1)e e
x 2 x! x 2 ( x 2)!

x2
n
2 e 2 e 2 e e 2 .
x 2 ( x 2)! n 0 n!

n x 2.
, Var ( X ) EX 2 EX 2 .

x2
1
29 X ~ N (0, 1). .. X f X ( x) e 2
, x .
2
k 0, k .
0

. k EX
k
x
k
f X ( x)dx x k f X ( x )dx. u x
0

. k (u ) f X (u )du x f X ( x)dx u f X (u )du x f X ( x)dx 0.

k k k k

0 0 0

k f X .

X a, b.
.

3.10 ( ). Var (aX b) a 2Var ( X ).

. Var (aX b) E (aX b) 2 E (aX b) 2

83
 E (a 2 X 2 b 2 2abX ) (aEX b) 2 a 2 EX 2 b 2 2abEX a 2 EX 2 b 2 2abEX

a 2 EX 2 ( EX ) 2 a 2Var ( X ).

3.9

.

3.11 ( Markov). - X

E[ X ]
c 0. c, P[ X c] .
c
. X
.. f X .
c
E[ X ] xf X ( x)dx
0
xf X ( x)dx xf X ( x)dx
0 c
xf X ( x)dx cf X ( x)dx c f X ( x)dx cP[ X c].
c c c

3.12 ( Chebyshev). X

2
2 . c 0, P | X | c 2 .
c
. Markov - ( X ) 2

E( X )2 2
c 2 . P ( X ) 2 c 2 2
2 . ( X ) 2 c 2
c c

2
| X | c, P | X | c 2 .
c

Markov Chebyshev X
. Chebyshev ,
X c, X
c. X
.

30
50. ()
84

75. () 25

40 60.
. X
.
E[ X ] 2
() Markov, P{ X 75} .
75 3

2 25 1
() Chebyshev, P{| X 50 | 10} 2
2 . ,
10 10 4
1 3
P{| X 50 | 10} 1 .
4 4
40 60 0.75.

X ,

Markov Chebyshev.

31 X , t 0 a 0. E (e aX ),

1 1
P X ln t 1 E (e aX ).
a t
E( X )
. Markov P ( X t ) , t 0. ,
t

E( X )
P( X t ) 1 , t 0. e aX , a 0
t
- X

P (e aX t ) 1
E (e aX )
t
, t 0. , y t 0 e ay t ln(e ay ) ln t ay ln t

1
a 0 P (e t ) P (aX ln t ) P X
aX
ln t .
a

1 E (e aX )
,
P X ln t 1 , t 0.
a t

85
 3.13 ( Schwarz). X Y

. E ( XY ) 2 [ E ( X 2 )][ E (Y 2 )].
P (Y 0) 1 P( X cY ) 1, c.
. P (Y 0) 1, P ( XY 0) 1 E ( XY ) 0 E (Y 2 ) 0.
Schwarz . , P ( X cY ) 1,
c 2 [ E (Y 2 )]2 . Schwarz
. P(Y 0) 1. , E (Y 2 ) 0.
0 E ( X Y ) 2 2 E (Y 2 ) 2E ( XY ) E ( X 2 ).
. E (Y 2 ) 0
.
* [ E ( XY )][ E (Y 2 )]1 .
*, , ,

[ E ( XY )]2
E( X * Y ) 2 E( X 2 ) . E ( X * Y ) 2 0, .
E (Y 2 )

3.10
1. f , g : [0, ) ,
h : f (1 ) g , 0 1, .

. f , g 0, [0, 1] h : f (1 ) g -.

h( x)dx f ( x ) dx (1 ) g ( x) dx (1 ) 1, f g

. , h .

2. X

c(4x 2x 2 ), x (0, 2)
: f X ( x) . () c; ()

0, x (0, 2)
P ( X 1).

86


. f X f X ( x ) dx 1

2
3
c ( 4 x 2 x 2 )dx 1. c .
0
8
1 1
3 1
P( X 1) 1 P ( X 1) 1 f X ( x)dx 1 0 8 (4 x 2 x )dx 2 .
2

3. X : X ( ) c , c .
X . X
.

. x : { : X () x} , x c { : X () x} , x c.
X .

0, x c
F ( x) P( X x) . P( X c) P( X
X 1
{c}) P () 1. ,

1, x c
{c} X . X .

1, x c
f ( x)
X .
0, x c

87
 0, x 0
4. X f X (x) x .
e ,x 0

Y : Y ( ) [ X ( )], [x] max{n : n , n x}. Y

. x { : [ X ( )] x} { : X ( ) [ x] 1}. X

, .
Y { : Y ( ) x}, . , Y
. i 0, 1, ... Y :
i 1

e
x
f Y (i ) P (Y i ) P ([ X ] i ) P (i X i 1) dx (1 e 1 )e i .
i

, f Y (i ) 0, y {0, 1,}.

5. X . Y min( X ,0)
.
. x 0, { : Y ( ) x} { : min( X ( ), 0) x} . x 0,
{ : Y ( ) x} { : min( X ( ), 0) x} { : X ( ) x} .

Y .

6.
.
a ,
. ;
. A : B :
. : P( A) P( A | B ) P( B) P( A | B c ) P ( B c ).

88
 12
12 i 12 i
, P( B ) a P ( B c ) 1 a. ,
P A B)|( (1)

i 8 i

c 12 i 12i
12
P A|( B ) (1) .
i 5 i
7. N , N
Poisson , 0. -
.
p , 0 p 1. Poisson
p.
. H .
:

n e (p) e {(1 )} ep
n x p n x ( p)1
P xH )( PHx|( Nn)P nN )( p ( p)1
x nx .

nx nx x n! x! nx (nx)!
89

Poisson (1 p ).

8. 0.00144.
1000 ;
. X : 1000 . X ~ Bin(1000, 0.00144).
Poisson 1000 0.00144 1.44.
, , P ( X 2) 1 P ( X 0) P ( X 1) 1 e e 1 2.44e 1.44 .

9. X ~ (0, 1) Y log X ~ (1).

. y 0
FY ( y ) P ( log X y ) P (log X 1 log e y ) P ( X 1 e y ) P ( X e y ) 1 FX (e y ) 1 e y

y 0 FY ( y ) P ( X e y ) 0. , Y ~ (1).

10.
. ,
, . 30%
70% ,
;
. A : .

3
P ( A) P ( A | 4 ) P( A |
10

7
)
10
.

90
 4 6

0 3
, P ( A | 4 )
.
10

3

91
 1 9

0 3
P ( A | 1 )
.
10

3
54
P ( A) . 46% .
100

11.

1
.
200
. , .
5% ;
1
. T : , T ~ . t
200

1
. P(T t ) 0.05 P (T t ) 0.95 e 200 t 0.95 t 200 log(0.95) 4.4552. ,

, , .

12. X ~ N ( , 2 ) 3 2 9, P ( X 9) P ( X 3) 0.0456.
( . . , . 292-294).

92
 X 3 9 3 X 3 33
. P ( X 9) P ( X 3) P P P ( Z 2) P ( Z 2)
3 3 3 3

1 ( 2) ( 2) 21 ( 2) 2(1 0.9772) 0.0456, Z ~ N (0, 1).

.
13. X ~ N ( , 2 ), 5
( . . , . 292-294)
: P ( 4 X 6) P ( X 5 1.25 ) 1.0066.
1 X 5 1 X 5
. 1.0066 P (4 X 6) P( X 5 1.25 ) P P 1.25

1 1 1 1 1 1
P Z P Z 1.25 (1.25) 2 (1.25) 2 0.8944

1 1
0.9505 1.65 0.6061.

14. 167 cm
2 9 cm.

170 cm;
X 167 170 167
. X ~ N (167, 9) p P( X 170) 1 P 1 (1) 1 0.8413 0.16.
3 3
Y : 170 cm. ,

4 4 44 4
Y ~ Bin (4, p ). ,
P(Y 4) p (1 p) (0.16) 0. 0 7.
4
15. ( ) 40
2 16. 50
; .
X 40 50 40
. X ~ N (40, 16). p P( X 50) 1 P( X 50) 1 P 1 (2.5)
4 4
93
 1 0.9938 0.0062. .

(1 p) 3 p (0.9938) 3 0.0062 0.006.

.

16.

1 .
8
, ;
. x . X :
, , :
1
8
P( X 8 x | X x) P( X 8) e 8
e 1 .

17. EX , X .
6
1 7
. P( X i )
6
, i 1, ,6. , EX P( X i ) i 2 .
i 1

18. X :

1, x [0, 1]
FX ( x ) c (ax b bx a ) I [ 0,1] ( x ), I[0,1] (x) , a b 0 c . k
0, x [0, 1]
ab
X : EX , k 1, 2, .
k

( a k )(b k )
b 1 a 1
. X f X ( x ) FX ( x) cab( x x ) I [ 0,1] ( x ).
'

f ( x)dx 1,
0
, c (a b) 1 .

1
ab ab
, EX x k ( x b 1 x a 1 )dx
k
.
ab 0 (a k )(b k )

19. X , Y FX FY ,
. Z min( X , Y ).
. FZ ( z ) P ( Z z ) P (min( X , Y ) z ) 1 P(min( X , Y ) z ) 1 P ( X z, Y z )
94
 1 P ( X z ) P (Y z ) 1 [1 P ( X z )][1 P (Y z )] 1 [1 FX ( z )][1 FY ( z )].
X Y .

95