第八讲函数分布

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e‘ÅCþ(X , Y ) éÜ—Ý¼ê•p(x, y )§K1wV
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∂x ∂y
∂x ∂y ∂x ∂y
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∂x
∂u
∂y = − .
∂v ∂v
∂u ∂v ∂v ∂u
ZZ
P[(U, V ) ∈ A] = P[(X , Y ) ∈ G −1 A] = p(x, y )dxdy
G −1 A
ZZ
= p(x(u, v ), y (u, v ))|J(u, v )|dudv .
A

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íØ
det A 6= 0…Y = AX + b§KpY = pX (A−1 Y − A−1 b)/| det A|"
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X −µ1 Y −µ2
e(X , Y ) ∼ N(µ1 , µ2 , σ12 , σ22 , ρ)§-X ∗ = σ1 , Y∗ = σ2 §
K(X ∗ , Y ∗ ) ∼ N(0, 0, 1, 1, ρ)"

1√ Q(x,y )
pX ,Y (x, y ) = exp − 2 §
2πσ1 σ2 1−ρ2

X∗ 1/σ1 0 X
− µµ12 /σ §
1

Y∗ = 0 1/σ Y /σ 2
2
X σ1 0 X∗ µ1
∗ + µ §

Y = 0 σ2 Y 2
2 −2ρxy +y 2
−x
pX ∗ ,Y ∗ (x, y ) = √1 e 2(1−ρ2 ) "
2π 1−ρ 2

A ê Ä ©Ù
Ú
4!Ú ©Ù
½n
e(X , Y )Z éÜ—Ý¼ê•p(x, y )§KU = X + Y —Ý¼ê•
∞
pU (u) = p(u − v , v )dv "
−∞
y²µ
-V = Y §
K VU = 10 11 X
Y §

X 1 1 −1 U 1 −1 U
§

Y = 0 1 V = 0 1 V
−1
pU,V (u, v ) = p(u − v , v ) det 10 11 = p(u − v , v )§

Z ∞ Z ∞
pU (u) = pU,V (u, v )dv = p(u − v , v )dv "
−∞ −∞

A ê Ä ©Ù
È
5!È ©Ù
~
(X , Y ) RéÜ—Ý¼ê•p(x, y )§KU = XY —Ý¼ê•
∞
pU (u) = −∞ p(u/v , v )/|v |dv "
-V = Y §K VU = XY "

Y
X U/V
V §

Y =
1/v −u/v 2

J = = 1/v §
0 1
R ∞ , v )/|v |§
pU,V (u, vR) = p(u/v , v )|J| = p(u/v
∞
pU (u) = −∞ pU,V (u, v )dv = −∞ p(u/v , v )/|v |dv "
íØ
eX , Y ƒpÕá§KUR = XY —Ý¼ê•
∞
pU (u) = −∞ pX (u/v )pY (v )/|v |dv "
A ê Ä ©Ù
û
6!û ©Ù
~
(X , Y ) RéÜ—Ý¼ê•p(x, y )§KU = X /Y —Ý¼ê•
∞
pU (u) = −∞ p(uv , v )|v |dv "
-V = Y §K VU = XY/Y "

X UV
V §

Y =
v u
J = = v§
0 1
pU,V (u, vR) = p(uv , v )|J| = p(uv , v )|v |§
∞ R∞
pU (u) = −∞ pU,V (u, v )dv = −∞ p(uv , v )|v |dv "
íØ
eX , Y ƒpÕá§KUR = X /Y —Ý¼ê•
∞
pU (u) = −∞ pX (uv )pY (v )|v |dv "
A ê Ä ©Ù
7!F ©Ù
½Â
X ∼ χ2 (m)§Y ∼ χ2 (n)ƒpÕá§K¡F = XY/m
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dÝ•m†n F ©Ù§P•F ∼ F (m, n)§Ù¥m•©fgdÝ,
n•©1gdÝ"
R∞
p X (z) = 0 ypX (zy )pY (y )dy
Y
∞
z m/2−1
Z
m+n −y (1+z)
−1
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Γ(m/2)Γ(n/2)2(m+n)/2 0
∞
y (1+z)
z m/2−1 (1 + z)−(m+n)/2
Z
u=
= 2
u (m+n)/2−1 e −u du
Γ(m/2)Γ(n/2) 0
Γ((m+n)/2) m/2−1 −(m+n)/2
= Γ(m/2)Γ(n/2) z (1 + z) , z > 0.
m mx
(m
m
) 2 Γ( m+n ) m
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mx − m+n
2
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n Y n n
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A ê Ä ©Ù
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X ∼ N(0, 1)§Y ∼ χ2 (n)ƒpÕá§K¡t = √X ©Ù´g
Y /n
dÝ•n t©Ù§P•t ∼ t(n)"
©Ù
t© —Ýµ
dX †−X Ó©Ù•t†−tÓ©Ù"
Ø”˜„5§ x > 0§K
Ft (x) − Ft (0) = P(0 < t ≤ x) = P(−x ≤ t < 0) = 21 P(t 2 ≤ x 2 )§
u´Ft (x) = Ft (0) + 12 P(t 2 ≤ x 2 ) = 1
2 + 12 Ft 2 (x 2 )"
X2
qt 2 = Y /n ∼ F (1, n)§
Γ((n + 1)/2)
pt (x) = xpt 2 (x 2 ) = √ (1 + x 2 /n)−(n+1)/2 "
nπΓ(n/2)
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eg : R2 → R´ (Borel)¼ê…g (X , Y )•3êÆÏ",K
 P

 g (xi , yj )pij , lÑ.§
i,jZ
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R2
 P

 xi pij , lÑ.§
i,jZ
eg (x, y ) = x§KEX = Z

 xp(x, y )dxdy , ëY."
R2
AO/,eg (x, y ) = ax + by §KE (aX + bY ) = aEX + bEY .
n n
˜„/§E ci EXi "
P P
ci Xi =
i=1 i=1

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PX •TÐ< gCÆ)y <ê"
PXk •¯‡/1k‡<TÐ< gC Æ)y0 «5¼ê.
KX = X1 + · · · + Xn …Xk ∼ b(1, n1 )£∀k¤"
EX = E (X1 + · · · + Xn ) = EX1 + · · · + EXn = n n1 = 1"
5µ Œ±Á˜Á^X ©Ù½X1 , . . . , Xn éÜ©Ù¦EX "

¯µ Xk ƒm´Õá í?

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A ê ƒ'5Ÿ
Õá C þ
14!Õ A ê
5Ÿ
eX †Y ƒpÕá§K
1 E (XY ) = EXEY ¶
2 Var (X ± Y ) = Var (X ) + Var (Y )"
y ²µ£ 1¤¤§ • w l Ñ . § ë Y . a q "

X
E(XY ) = xi yj P(X = xi , Y = yj )
i,j
X
= xi yj P(X = xi )P(Y = yj )
i,j
X X
= xi P(X = xi ) yj P(Y = yj )
i j
= EXEY "
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15!Õ •
5 Ÿ£2¤
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eX †Y ƒpÕá§KVar (X ± Y ) = Var (X ) + Var (Y )"
y²µ
Var(X ± Y ) = E [X ± Y − E (X ± Y )]2
= E [X − EX ± (Y − EY )]2
= E (X − EX )2 ± 2E [(X − EX )(Y − EY )]
+ E (Y − EY )2
= Var (X ) ± 2E (X − EX )E (Y − EY ) + Var (Y )
= Var (X ) + Var (Y )"

ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
Õá C þ
16!Õ A ê
íØ
eX1 , X2 , ..., Xn ƒpÕá§K
1 E (X1 X2 · · · Xn ) = EX1 EX2 · · · EXn ¶
n n
ai2 Var (Xi )"
P P
2 Var ai Xi =
i=1 i=1
~ µ¦X ∼ b(n, p) • "

òX L«¤Xe ‚5Ú
i.i.d
X = X1 + · · · + Xn , X1 , . . . , Xn ∼ b(1, p)§
n
KVar (X ) =
P
Var (Xi ) = nVar (X1 ) = np(1 − p)"
i=1
š ê • Qº
‰YÚÏ"˜ §Ø,•´~ê1œ\ÁÁwº
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A ê ƒ'5Ÿ
17! • †ƒ'Xê
Var (X + Y ) = Var (X ) + 2E [(X − EX )(Y − EY )] + Var (Y )"
½Â
éü‡‘ÅCþX , Y §¡E [(X − EX )(Y − EY )]•X †Y
• £covariance¤½ƒ'£¥%¤Ý§P•Cov(X , Y )"
½ÂX †Y £‚5¤ƒ'XêCorr (X , Y )(½r (X , Y ))•µ
Cov(X , Y ) Cov(X , Y )
r (X , Y ) = p = .
Var (X )Var (Y ) σ(X )σ(Y )
Cov(X , Y ) = E [(X − EX )(Y − EY )]

= E (XY − YEX − XEY + EXEY )
= E (XY ) − EXEY "

ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
Ø
18!Cauchy-SchwarzØ ª
Ún
eEX 2 , EY 2 < ∞§K[E (XY )]2 ≤ EX 2 EY 2 §…
/=0⇔ P(X = 0) = 1½∃a ∈ R, 3 P(Y = aX ) = 1"
y²µ
E (XY ) •35µ
|XY | ≤ X 2 + Y 2 "
E (XY )Œw¤•é ‚þšK é¡V‚5¼êœ
½Â SÈhX , Y i := E (XY )§£5µEX 2 = 0 ⇔ P(X = 0) = 1¤
SÈ˜m Cauchy-SchwarzØ ªµ
|hX , Y i| ≤ kX k · kY k"
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A ê ƒ'5Ÿ
•Z ‚ 5 ý
19!•
£Á E (X − m)2 = min E (X − a)2 §m =?
a
E [(X − m) · 1] = 0 ⇒ m = EX "
•Ä E [X − (âY + b̂)]2 = min E [X − (aY + b)]2 §(â, b̂) =º
a,b
3‘ÅCþ¤ ¤ SÈ˜m¥§
E [X − (aY + b)] = 0,
E {Y [X − (aY + b)]} = 0.
⇒ EX − aEY − b = 0§
E (XY ) − aEY 2 − bEY = 0"
⇒ â = Cov(X , Y )/Var (Y ), b̂ = EX − âEY …•Z%C•
Cov(X , Y )
X̂ = (Y − EY ) + EX ,
Var (Y )
¡ù‡˜g¼ê•‚5£8£linear regression¤½£8†‚
£regression line¤"
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‚5 £ 8
20!‚
ùž• Ø •
2
2 Cov(X , Y )
E (X − X̂ ) = E X − EX − (Y − EY )
Var (Y )
= Var (X ) − Cov(X , Y )2 /Var (Y )
= Var (X )[1 − r (X , Y )2 ],
er (X , Y ) > 0£<0§=0¤§K¡X †Y ƒ'£positively
correlated¤£Kƒ'negatively correlated§Øƒ'
uncorrelated¤"
ƒ'Xêr (X , Y )‡N Y êŠ CzéX Š K•"
r (X , Y ) = ±1ž§• Ø •"§ùž
X − EX Y − EY
p = r (X , Y ) p ,
Var (X ) Var (Y )
±VÇ1¤á"d(J´ÚOÆ¥‚5£8©ÛnØÄ:"
ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
21! • †ƒ'Xê
5µ
3‘ÅCþ¤ ¤ SÈ˜m¥§
• Cov(X , Y )½Â •þX − EX ÚY − EY SÈ§
• Var (X )´X − EX •Ý ²•§
IO σ(X )´X − EX •Ý§
ƒ'Xêr (X , Y )(½ •þX − EX ÚY − EY Y {u§
Ï"EX ´X 3~êf˜mþ ÝK"
½Â
‘ÅCþ
X − EX X − EX
X∗ = p =
Var (X ) σ(X )
÷vEX ∗ = 0§Var (X ∗ ) = 1§¡•X IOz"
ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
£
22!£ ¤• £ ¤Úƒ'Xê 5Ÿ
1 Cov(X , X ) = Var (X )¶|Cov(X , Y )| ≤ σ(X )σ(Y )§|r (X , Y )| ≤ 1.
2 eEX 2 , EY 2 < ∞§K
Cov(X , Y ) = E (XY ) − EX · EY §Var (X ) = EX 2 − (EX )2 "
3 e‘ÅCþX †Y ƒpÕá§KCov(X , Y ) = 0¶e„•
Var (X ), Var (Y ) > 0§Kr (X , Y )=0"
4 Cov(·, ·)´é¡V‚5¼ê§=Cov(X , Y ) = Cov(Y , X )§
Cov(aX ± bY , Z ) = aCov(X , Z ) ± bCov(Y , Z )"
n
n
P P n
Cov(Xi , Xj )= Cov(Xi , Xj ).
P P
5 Var Xi = Var (Xi ) + 2
i=1 i,j=1 i=1 1≤i<j≤n
n n

X1 , . . . , Xn üüØƒ'ž§Var
P P
6 Xi = Var (Xi )"
i=1 i=1
7 ‘ÅCþX = (X1 , . . . , Xn ) • Cov(X)´é¡šK½
Ý §é ‚ ƒ©O´X1 , . . . , Xn • " X1 , . . . , Xn Õ
áž§ • Cov(X)´é Ý "
ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
Õá Ú ƒ '
23!Õ
n n

5Ÿ7µ Cov bi Xi = (a1 , . . . , an )Cov(X)(b1 , . . . , bn )T .
P P
ai Xi ,
i=1 i=1
5Ÿ3µ Õá⇒Øƒ'¶ Øƒ';Õá"
Ø ƒ';Õ
Õá
Θ 0 π/2 π 3π/2
P 1/4 1/4 1/4 1/4
X = cos Θ, Y = sin Θ§@oEX = EY = 0§

Cov(X , Y ) = E (XY ) = 12 E (sin 2Θ) = 0§=r (X , Y ) = 0§
X 2 + Y 2 = 1§ØÕáœ
Ï• P(X = 0) = P(Y = 0) = 1/2¶P(X = Y = 0) = 0"

ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
‡A Û© Ùh(n, N, M)
24!‡
~
kN‡ ¬§Ù¥kM‡g¬"el¥Ø˜£/‘ÅÄ n‡
u §PXi •¯‡/1ig(J´g¬0
Pn «5¼ê§KÄug
¬oêX = i=1 Xi …X ∼ h(n, N, M)"¦EX ÚVar (X )"
5¿ ~•Pólya .§(Xi1 , ..., Xik )Ú(X1 , ..., Xk )Ó©Ù"

⇒ P(Xi = 1) = P(X1 =P 1) = M/N ⇒ ∀i, Xi ∼ b(1, M/N)"
⇒ EXi = M/N…EX = i EXi = nM/N§
Var (Xi ) = M
N (1 − M/N) = M(N − M)/N "
2
P(Xi = Xj = 1) = P(X1 = X2 = 1) ! = M(M − 1)/[N(N − 1)],

0 1
⇒ Xi Xj ∼
1 − M(M−1)
N(N−1)
M(M−1)
N(N−1)
2
⇒ Cov (Xi , Xj ) = E (Xi Xj ) − EXi EXj = M(M−1) M M(M−N)
N(N−1) − N 2 = N 2 (N−1)
⇒ Var (X ) = n M(N−M) − 2 n2 M(M−N) = n M(N−M) N−n
N−1 "

N2 N 2 (N−1) N2
ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
IO
25!I ©Ù
(X , Y ) ∼ N(0, 0, 1, 1, ρ)µ
2 −2ρxy +y 2
1 −x 1 2
p(x, y ) = p e 2(1−ρ2 ) = √ e −y /2 g (x, y ),
2π 1 − ρ2 2π
(x−ρy )2
1 −
∼ N(ρy , 1 − ρ2 )

g (x, y ) = p e 2(1−ρ2 ) ;
2
2π(1 − ρ )
ZZ
Cov (X , Y ) = E (XY ) − EXEY = xyp(x, y )dxdy
Z Z R2
1 2
= y √ e −y /2 xg (x, y )dxdy
R
Z 2π R
1 2
= ρ y 2 √ e −y /2 dy = ρEY 2 = ρVar (Y ) = ρ,
R 2π
r (X , Y ) = ρ.

ùJ‡ ¼ê êÆÏ"
A ê ƒ'5Ÿ
26! ©Ù
5 Ÿµe (X , Y ) ∼ N(0, 0, 1, 1, ρ)§
§K X , Y Ø ƒ ' † Õ á d"
y²µeρ = 0§K
2 −2ρxy +y 2
−x
e 2(1−ρ2 ) 1 2 1 2
p(x, y ) = p = √ e −x /2 √ e −y /2 = pX (x)pY (y ).
2π 1 − ρ2 2π 2π
íØ
e(X , Y ) ∼ N(µ1 , µ2 , σ12 , σ22 , ρ)§KX †Y Øƒ'†Õá d"
ŠIOzµ-X ∗ = (X − µ1 )/σ1 , Y ∗ = (Y − µ2 )/σ2 §

K(X ∗ , Y ∗ ) ∼ N(0, 0, 1, 1, ρ)"
r (X ∗ , Y ∗ ) = Cov (X ∗ , Y ∗ ) = ρ"
r (X , Y ) = Cov (σ1 X ∗ + µ1 , σ2 Y ∗ + µ2 )/(σ1 σ2 ) = ρ"
X , Y Øƒ'⇔ ρ = 0 ⇔ X ∗ , Y ∗ ƒpÕá⇔ X , Y ƒpÕá"

第八讲函数分布

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第八讲函数分布

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ùJ‡

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

pU,V (u, v ) = p(x(u, v ), y (u, v ))|J(u, v )|, (u, v ) ∈ R(G ),

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

12! ‘©Ù êÆÏ"

KEX = EX1 + · · · + EXn = np"

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

5µ Œ±Á˜Á^X ©Ù½X1 , . . . , Xn éÜ©Ù¦EX "

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

y ²µ£ 1¤¤§ • w l Ñ . § ë Y . a q "

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

~ µ¦X ∼ b(n, p) • "

Cov(X , Y ) = E [(X − EX )(Y − EY )]

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

X = cos Θ, Y = sin Θ§@oEX = EY = 0§

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

5¿ ~•Pólya .§(Xi1 , ..., Xik )Ú(X1 , ..., Xk )Ó©Ù"

P(Xi = Xj = 1) = P(X1 = X2 = 1) ! = M(M − 1)/[N(N − 1)],

¤() ˜uêÆX VÇÚO1lùµ¼ê©Ù

ŠIOzµ-X ∗ = (X − µ1 )/σ1 , Y ∗ = (Y − µ2 )/σ2 §

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