CHNG 1: N TP

1.1. Trung bnh mu Phng sai mu

1.1.1. Trung bnh mu Trong phn tch d liu, cng nh trong cuc sng hng ngy, chng ta thng ni n chiu cao trung bnh, thu nhp trung bnh, vn vn. chnh l trung bnh mu. Hy xt v d sau: V d 1.1: Bng quan st nhit Lt Th 2 (x1) 19o Th 3 (x2) 21o Th 4 (x3) 20o Th 5 (x4) 18o

x = 1 (19 + 21 + 20 + 18) = 19.5 o 4 Mt cch khi qut, trung bnh mu c tnh bng cng thc sau:

x=

1 (x1 + x2 + x3 + ...... + xN ) N 1 N Hay: x = xn N n =1

1.1.2. Phng sai mu

2 Phng sai mu [k hiu s X ] bng trung bnh ca tng bnh phng lch gia gi tr quan st so vi gi tr trung bnh:
2 2 2 1 + x 2 x + ...... xN x x 1 x N

2 sX =

) (

Hay:

2 = sX

1 N xn x N n =1

Chng hn, v trung bnh m ni th kh hu sa mc rt nng. Hn na nhit giao ng rt ln gia ngy v m. th hin c s khc nghit ca kh hu sa mc, chng ta khng nhng ch s dng trung bnh (mu) v nhit , m c s giao

ng ca nhit theo tng thi im so vi trung bnh. chnh l khi nim v phng sai mu ni trn.

1.2. Hm mt xc sut, hm phn b xc sut

1.2.1. Tn sut v xc sut

c s hnh dung v tn sut, hy xt v d sau: V d 1.2: Xp hng tc gia tng gi c phiu trn th trng chng khon Vit Nam. Gi X l t l phn trm mc tng gi c phiu trung bnh trong 3 thng u tin sau khi ln sn; gi P l phn trm cc cng ty c mc tng gi c phiu tng ng vi gi tr ca X (x1) (x2) (x3) (x4) X 50% 40% 30% 20% Y 10% 20% 35% 25%

Con s P= 10%, X= 50% c ngha l c 10% trong tng s cc cng ty c mc tng gi trong 3 thng u sau khi pht hnh c phiu ra cng chng l 50%. chnh l v d v tn sut V d 1.3: Tr chi tung ng xu. Gi s bn tham gia cuc chi tung ng xu ti hi ch. Nu l mt sp, bn s c $100. Ngc li, nu l mt nga, bn c $0. Vi th l , bn sn sng tr bao nhiu la tham gia tr chi? cho tin, hy k hiu mt sp l 1, mt nga l 0. Gi s kt qu tung xu sau 10 ln l nh sau: X 1 0 P 3/10 7/10

Con s 3/10 chnh l tn sut xut hin mt sp (X = 1). Ngha l, trong 10 ln tung xu, c 3 ln xut hin mt sp. V do , c 7 ln xut hin mt nga. S tin bn b ra cho vic tham d 10 ln tung xu l: $50 x 10 = $500. S tin nhn c trong cuc chi: $100 x 3 + $0 x 7 = $300.

 Do vy, cuc chi khng hng th i vi bn ($500 > $300). Tuy nhin, nu gi s rng bn tham d cuc chi v hn ln. Khi , s ln xut hin mt sp v mt nga l nh nhau, v bng . Khi , k vng ccuc s l: $100x1/2 + $0x1/2 = $50; v bng chnh s tin ln nht bn sn sng tr tham d cuc chi. iu chng ta cn phn bit l con s P = 3/10 trong v d nu trn l tn sut xut hin mt sp trong 10 ln th. V con s l xc sut xut hin mt sp (hoc nga). Khi nim tn sut ng vi tng mu th; cn xc sut tng ng vi tng th.

1.2.2. Bin ngu nhin ri rc v lin tc 2.2.1. Bin ngu nhin ri rc: Mt bin ngu nhin l ri rc nu cc gi tr c th c ca n lp nn mt tp hp hu hn hoc m c, ngha l c th lit k c tt c cc gi tr c th c ca n. Cuc chi tung xu nu trn l v d v bin ngu nhin ri rc. Mt cch hnh thc ha, ta c th ni nh sau. Gi s i tng quan st X c th xut hin trong K s kin khc nhau [trong v d tung xu, K = 2]. Ta k hiu cc s kin l x1 , x2 ,..., x K . Tn sut xut hin mt bin c x k trong N php th, k hiu l p k , l t s gia s ln xut hin bin c c th so vi N php th c thc hin. Vi mi ch s, k = 1,2,3,..., K , ta c th vit nh sau: X P x1 p1 x2 p2 x3 p3 xK pK

p1, p2, p3, pK > 0, v p1 + p2 + p3 + + pK = 1, hay cng vy,

p
k =1

=1

Nu s mu N l ln (tin n v hn), khi nim tn sut xut hin mt bin c c thay bng khi nim xc sut xut hin bin c, k hiu bi: f k = f ( x k ), k = 1,2,.., K . Trong , f ( x k ) l hm mt xc sut ca x k , k = 1,2...K .

Ta cng c, f1, f2, f3, fK > 0, v

f
k =1

=1

2.2.2. Bin ngu nhin lin tc

Mt bin ngu nhin l lin tc nu cc gi tr c th c ca n lp y mt khang trn trc s, ngha l khng th lit k v m c tt c cc gi tr c th c ca n. Tng t vi trng hp phn b xc sut ri rc, nu gi X l mt bin ngu nhin lin tc; v f(x) l hm mt xc sut ca X. Khi :

f ( x) 0

f ( x)dx = 1

Ta nh ngha hm phn b xc sut ca X l:

F ( x) =

f (t )dt

iu c ngha l, xc sut ca bin ngu nhin X nhn gi tr trong khong [a, b] s l:

P(a X b) = f ( x)dx = F (b) F (a)

a

V d, trong phn b chun, v th ta c th biu din cng thc tnh xc sut ny nh sau: th 1.1: Phn b xc sut

Phn t m chnh l xc sut P ( a X b) , c tnh bi tch phn:

f ( x)dx = F (b) F (a) .

1.3. Phn b xc sut ng thi

Nhiu khi chng ta mun a ra mt nh gi xc sut ng thi cho mt s bin lng ngu nhin. V d, bng thng k c ghi li d kin v tht nghip (u) v lm pht (). C hai bin lng ny u l bin ngu nhin, rt nhiu kh nng l chnh ph mun hi nhng nh kinh t cu hi sau y: Liu kh nng lm pht thp hn 8% v mc tht nghip nh hn 6% vo nm sau l bao nhiu?. iu c ngha l, ta cn phi xc nh xc sut ng thi: P ( < 8, u < 6) = ? tr li c nhng cu hi nh vy, chng ta cn phi xc nh hm mt xc sut ng thi [joint probability density function].

1.3.1. Hm mt xc sut ng thi

nh ngha: Gi s X v Y l 2 bin ngu nhin. Hm mt xc sut ng thi ca x v y l:

f ( x, y) = P( X = x, Y = y)
Hm s cn tha mn iu kin:

f ( x, y ) 0 , v

f ( x, y ) = 1 f ( x, y )dy.dx
x y
x y

nu X, Y ri rc nu X, Y lin tc

Khi ,

P(a x b, c y d ) =

a x b c y d

f ( x, y) , nu X, Y l bin ngu nhin ri rc, v

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P(a x b, c y d ) = a f ( x, y )dy dx , nu X,Y l bin ngu nhin lin c

b d

tc.

1.3.2. Hm phn b xc sut ng thi F(x,y)

Tng t nh trng hp bin ngu nhin mt bin, ta a ra nh ngha sau v hm phn b xc sut ng thi: nh ngha: Gi F(x,y) l hm phn b xc sut ng thi ca bin ngu nhin x v y. Khi :

F ( x, y ) = Pr ob( X x, Y y ) = f ( x, y ) , nu X, Y ri rc
X xY y
x y

F ( x, y ) = Pr ob( X x, Y y ) = f (t , s ) ds.dt , nu X, Y lin tc

1.3.3. Phn phi xc sut cn bin

Hy xt v d sau: V d 4: Xt mt tng th, gm c 1000 ngi. [V vy ta ni v mt xc sut ch khng phi l tn sut]. Gi s h c phn loi theo 2 tiu chun: Theo gii tnh: G = 1 nu ngi l nam G = 0 nu ngi l n V theo trnh hc vn: D = 0 hc xong trung hc D = 1 hc xong i hc D = 2 hc xong cao hc Gi s kt qu thng k trn tng th 1000 ngi l nh sau:

Trung hc i hc Cao hc Gii tnh(tng s)

Nam 200 300 60 560

N 270 100 70 440

Hc v (tng s) 470 400 130 1000

Da trn bng thng k ny, chng ta c th thy xc sut 1 c nhn l n, hc xong i hc: f(0,1)= 100/1000 = 0.1. Mt cch khi qut, chng ta c th vit hm mt xc sut ng thi f (G , D ) nh sau: G 0 1 2 Tng 1 2 0.2 0.27 0.3 0.1 0.06 0.07 0.56 0.44 Tng 0.47 0.40 0.13 1

Bng phn b xc sut trn cho thy, xc sut mt c nhn l nam trong tng th nhng ngi c hc l: Prob(G=1) = 0.56. Tng t, xc sut mt c nhn l n: Prob(G=0) = 440/1000 = 0.44. Nh vy, ta c th lp mt bin ngu nhin, th hin phn b mt xc sut theo gii tnh ca tng th: G 1 0 f(g) 0.56 0.44

Hm f(G) c gi l hm mt xc sut cn bin. Hm mt ny c tnh bng cch cng dn theo ct qua tt c mi trnh hc vn:

f ( g ) = f ( g, d ) ,
d

g = 0,1,2 . Tc l:

f G (1) = f (1, d ) = 0.56 d f G (0) = f (0, d ) = 0.44 d

Tng t nh vy, ta cng c th tnh c hm mt xc sut cn bin theo hc vn:

f D (d ) = g f ( g , d )
Hay cng vy,

d = 0,1,2

f D (0) = g f ( g ,0) = 0.47 f D (1) = g f ( g ,1) = 0.4 f D (2) = g f ( g ,2) = 0.13

Mt cch tng qut, gi f(x,y) l hm mt xc sut ng thi ca X v Y. Khi , hm mt xc sut cn bin ca X c xc nh nh sau:

f X ( x ) = y f ( x, y )
f X ( x ) = y f ( x, y )dy
Tng t, ta xc nh f Y ( y ) 1.3.4. Cc bin ngu nhin c lp

nu X ri rc nu X lin tc

nh ngha: Hai bin ngu nhin l c lp khi v ch khi:

f ( x, y ) = f X ( x) f Y ( y ) F ( x, y ) = FX ( x) FY ( y )
Pr ob ( X x, Y y ) = Pr ob ( X x) Pr ob (Y y )

1.4. K vng Phng sai

1.4.1. Khi nim v K vng ca bin ngu nhin: Gi X l mt bin ngu nhin ri rc, nhn mt trong cc gi tr c th c x1, x2, x3, xK vi xc sut tng ng f1, f2, f3, fK. Gi tr k vng ca X c nh ngha nh sau:

E ( X ) = x1 f 1 + x 2 f 2 + x3 f 3 + ...... + xKfK , hay cng vy:

E ( X ) = xkfk
k =1 K

Tng t, i vi bin ngu nhin lin tc, gi tr k vng c nh ngha nh sau:

E ( X ) = x f ( x)dx
Cc tnh cht ca k vng: 1. E(a) = a , vi a l hng s 2. E (a + bX ) = a + bE( X ) 3. E ( XY ) = E ( X ) E (Y )

nh l 1.1: Gi s X l mt bin ngu nhin vi hm mt xc sut f(x) v g(X) l mt hm lin tc ca X. Khi :

E [g ( X )] = g ( x ) f k k k + E [g ( X )] = g ( X ) f ( x)dx

nu X ri rc nu X lin tc

1.4.2. Phng sai Gi X l mt bin ngu nhin vi k vng EX. o lng s tn x ca X so vi gi tr trung bnh (hay k vng) ca n, ta s dng phng sai, k hiu Var(X), c nh ngha nh sau: Var ( X ) = x2 = E ( X E ( X ) )2 Vi lch chun:

x = x2
S dng nh l 1.1, phng sai ca X c tnh nh sau:

Var ( X ) = ( x EX ) 2 f k k k + Var ( X ) = ( X E ( X ) )2 f ( x)dx

Cc tnh cht ca phng sai: 1. VarX = E ( X E ( X ) )2 = E ( X 2 ) (E ( X ) )2

nu X ri rc nu X lin tc

2. Var(a) = 0 , vi a l hng s 3. Var (a + bX ) = b 2 Var ( X ) Var( X + Y ) = Var( X ) + Var(Y ) 4. Var ( X Y ) = Var ( X ) + Var (Y ) 5. Var ( X E ( X ) ) = Var ( X )

1.5. Hm phn phi chun

Bin ngu nhin lin tc X nhn cc gi tr trong khong ( ,+ ) c phn phi chun vi cc tham s ca n c dng:

2 , k hiu l: X

~ N , 2 , nu hm mt xc sut
( x )2 2 2

1 f ( x) = e 2

vi = E ( X ) v 2 = Var ( X ) th 1.2: Hm phn phi chun

nh l 1.2: Gi s X l bin ngu nhin vi phn b chun: X ~ N , 2 . Gi Z = (a + bx) l mt bin i tuyn tnh ca X. Khi , Z cng l hm phn b chun: Z ~ N ( a + b , b 2 2 ) . H qu: t Z =

. Khi , Z ~ N (0,1)

nhl 1.3: Cho trc chui cc bin ngu nhin: ( x1 , x2 , x3 ,..., xn ) N Khi , t hp tuyn tnh ca chng, cng c phn b chun:
2 2 n ) c1 x1 + c2 x2 + ... + cn xn N ( n , cn

( , )
n 2 n

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1.6. Phn tch Covariance

Trong phn trn, chng ta ni n vic tn ti hay khng tnh c lp, hay quan h ph thuc gia hai bin ngu nhin X v Y. Nhng nu tn ti quan h ph thuc ln nhau, th quan h c th mnh hay yu. Trong phn ny, chng ta s cp ti hai thc o mc lin quan gia hai bin ngu nhin, tng quan (hay covariance), v h s tng quan (hay correlation, k hiu l XY ). minh ha, gi s X l trng lng ca mt mu nc ly t ging ln, v Y l khi lng ca n. Hin nhin l mi quan h rt cht gia X v Y. Nu ta k hiu N { x n , y n }n =1 l cc cp o lng vi N mu th; v v chng ln th, th cc quan st d liu ny s to thnh mt ng thng tuyn, th hin mi quan h vt l ca chng. Nhng chng khng ri ng vo cc im dc theo ng tuyn tnh th hin quy lut lin h gia khi lng v trng lng nc. Chng ch bm xung quanh ci trc tuyn tnh , v c sai s o lng, hoc cc tp cht trong nc lm cc quan st lch khi quy lut vt l, m t mi quan h n nh gia X v Y. th 1.3: Mi quan h gia trng lng nc X v khi lng nc Y
o
( yn , xn ) yn

o o o

o o o o

o o o

xn

Cu hi t ra l lm sao chng ta c th o lng mc tng quan mnh hay yu gia hai bin X v Y ny. Lm sao th hin mi quan h l ng bin hay nghch bin?

1.6.1. Covariance nh ngha: Covariance gia hai bin X v Y l h s o:

Cov ( X , Y ) = E [( X EX )( y EY )]

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(Y EY ) > 0 ; hay ngc li, khi ( X EX ) < 0 , th (Y EY ) < 0 , th quan h c xu hng to ra tch ( X EX ) (Y EY ) > 0 . iu c ngha l Cov( X , Y ) > 0 , th
hin rng X v Y c mi quan h ng bin. V d nh quan h gia khi lng v trng lng cc mu nc va nu. Nhiu khi, mi tng quan l nghch bin, ch khng thun. Chng hn nh chng ta quan st mi quan h gia iu kin bo tr qu d dng cho mt c nhn, hay doanh nghip (k hiu l X); v n lc t vn ln, tnh khi nghip ca c nhn, hay doanh nghip (k hiu l Y). Khi , mi quan h ny thng l nghch bin. H tr nhiu lm cht tnh t ch, t vn ln, t chu trch nhim ca c nhn. Ni khc i, gi tr X rt ln [c nng , bo tr nhiu] thng i vi gi tr Y rt nh [thiu n lc bn thn, hay li]. V gi tr X rt nh [khng c nng ] thng i vi gi tr Y rt ln [tnh t lp, t ch cao]. Do vy, ( X EX ) > 0 thng i km vi (Y EY ) < 0 , v ( X EX ) < 0 thng xy ra vi (Y EY ) > 0 . Kt cc li, chng thng to ra tch ( X EX ) (Y EY ) < 0 . Hay cng vy, Cov( X , Y ) < 0 , th hin mi quan h nghch bin gia X v Y. Chng ta cng nhn xt lun rng, mi quan h gia vic c h tr, bo tr, vi tnh t ch, t chu trch nhim, k hiu l X v Y l nghch bin. Nhng v mc , n c th khng mnh nh quan h vt l gia khi lng v trng lng nc. Nu chng ta v th cc quan st, mi quan h gia vic c h tr vi tnh t vn ln s dc xung, th hin mi quan h nghch bin. Nhng khng nht thit nm xung quanh mt ng thng, tri dc theo mt ng cong phi tuyn, th hin mi quan h l yu hn so vi quan h vt l v d u. o lng s khc bit ta dng h s tng quan.

Nu nh nhng gi tr ln hn trung bnh ca X c quan st vi nhng gi tr ln hn trung bnh ca Y; v nhng gi tr nh ca X cng i km vi nhng gi tr nh ca Y, th Cov( X , Y ) > 0 . Ni khc i, nu ( X EX ) > 0 c xu hng i km vi

1.6.2. H s tng quan:

nh ngha: H s tng quan gia X v Y l h s o ( X , Y ) : Cov( X , Y ) ( 1 ( X , Y ) 1) ( X ,Y ) = VarX VarY Ta c th ni rng, covariance cho php xc nh c mi quan h hay khng gia X v Y, v l quan h nghch bin hay ng bin. H s tng quan li cho php o lng mi quan h l mnh ti mc no. Nu X v Y c quan h tuyn tnh: X = Y , th quan h l mnh nht. V | ( X , Y ) |= 1 . Nu l quan h phi tuyn, th | ( X , Y ) |< 1 . Khi X v Y khng c quan h tng quan: Cov( X , Y ) = 0 , khi , h s tng quan ( X , Y ) = 0 .

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1.6.3. Hai ng thc vi tng quan mu

Hai ng thc sau l hai ng thc thng s dng trong cc chng tip theo. 1/ 2/ Chng minh: 1/

(x (x
n
n

n
n

x ) c = 0 , vi c: const x ) y n = n [( xn x ) ( y n y )]

(x
n

x ) c = c n ( xn x ) = c (n xn n x ) = c (n x n x ) = 0

2/ V y l hng s nn theo chng minh trn

(x x ) y = (x x ) y = [( x x ) y ( x x ) y ] = [( x x ) ( y y )]
n n n n n n n n n n n n

(x x ) y = 0 , v vy: (x x ) y
n n n

Ch rng, dng cui cng c gi l tng quan mu gia X v Y.

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