Vc-t ngu nhin

Hong Vn H
hvha@hcmus.edu.vn
Ngy 13 thng 10 nm 2012
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 1 / 43
Ni dung
1
Gii thiu
Khi nim vc-t ngu nhin
Phn phi xc sut ca vc-t ngu nhin 2 chiu
2
Vc-t ngu nhin ri rc 2 chiu
Phn phi ng thi
Phn phi l
Phn phi c iu kin v s c lp
3
Vc-t ngu nhin lin tc 2 chiu
Phn phi ng thi
Phn phi l
Phn phi c iu kin v s c lp
4
Hip phng sai v h s tng quan
Hip phng sai
H s tng quan
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 2 / 43
Gii thiu Khi nim vc-t ngu nhin
Vc-t ngu nhin
Mt b gm n bin ngu nhin (X
1
, . . . , X
n
) gi l mt vc-t ngu nhin
n chiu.
Nu X
1
, . . . , X
n
l cc bin ngu nhin ri rc th (X
1
, . . . , X
n
) l vc-t
ngu nhin ri rc.
Nu X
1
, . . . , X
n
l cc bin ngu nhin lin tc th (X
1
, . . . , X
n
) l vc-t
ngu nhin lin tc.
V d 1
Mt nh my sn xut mt loi sn phm, nu kch thc ca sn phm
c o bng chiu di X v chiu rng Y th ta c vct ngu nhin hai
chiu, cn nu xt thm c chiu cao Z na th ta c vct ngu nhin ba
chiu. Nu ta ch quan tm n trng lng v th tch ca sn phm ta
cng c bin ngu nhin hai chiu.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 3 / 43
Gii thiu Phn phi xc sut ca vc-t ngu nhin 2 chiu
Hm phn phi ca vc-t ngu nhin 2 chiu
nh ngha 1.1 (Joint probability distribution function)
Hm phn phi xc sut ng thi ca vc-t ngu nhin (X, Y) l hm
F(x, y) c nh ngha
F(x, y) = P(X x, Y y) x, y R (1)
nh ngha 1.2 (Marginal probability distribution function)
Nu vc-t ngu nhin (X, Y) c hm phn phi xc sut ng thi
F(x, y) th hm phn phi xc sut l cho X v Y c nh ngha
F
X
(x) = P(X < x) = F(x, +) = lim
y+
F(x, y) (2)
F
Y
(y) = P(Y < y) = F(+, y) = lim
x+
F(x, y) (3)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 4 / 43
Gii thiu Phn phi xc sut ca vc-t ngu nhin 2 chiu
Hm phn phi ca vc-t ngu nhin 2 chiu
Tnh cht
1
F(x, y) l hm khng gim theo tng bin s
F(x
1
, y) F(x
2
, y) khi x
1
< x
2
F(x, y
1
) F(x, y
2
) khi y
1
< y
2
2
lim
x
F(x, y) = lim
y
F(x, y) = lim
x
y
F(x, y)) = 0
3
lim
x+
y+
F(x, y) = 1
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 5 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi ng thi
Hm xc sut ng thi
nh ngha 2.1 (Joint probability mass function)
Hm xc sut ng thi ca vc-t ngu nhin ri rc (X, Y), k hin l
f
XY
(x, y), lm hm tha
(1) f
XY
(x, y) = P(X = x, Y = y)
(2) f
XY
(x, y) 0
(3)

x

y
f
XY
(x, y) = 1
Hm xc sut ng thi ca (X, Y) c biu din bng bng phn phi
xc sut ng thi.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 6 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi ng thi
Bng phn phi xc sut ng thi
H
H
H
H
X
Y
y
1
y
2
y
j
y
n
Tng dng
x
1
f (x
1
, y
1
) f (x
1
, y
2
) f (x
1
, y
j
) f (x
1
, y
n
) f (x
1
, )
x
2
f (x
2
, y
1
) f (x
2
, y
2
) f (x
2
, y
j
) f (x
2
, y
n
) f (x
2
, )
.
.
.
.
.
.
.
.
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.
.
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.
.
.
x
i
f (x
i
, y
1
) f (x
i
, y
2
) f (x
i
, y
j
) f (x
i
, y
n
) f (x
i
, )
.
.
.
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.
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.
.
x
m
f (x
m
, y
1
) f (x
m
, y
2
) f (x
m
, y
j
) f (x
m
, y
n
) f (x
m
, )
Tng ct f (, y
1
) f (, y
2
) f (, y
j
) f (, y
n
) 1
Bng: Phn phi xc sut ng thi ca (X, Y)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 7 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi ng thi
Hm xc sut ng thi
V d 2
(X, Y) l vc-t ngu nhin ri rc 2 chiu c hm xc sut ng thi
f (x, y) cho bi bng sau
H
H
H
H
H
H
X
Y
-1 0 1
1
1
18
1
9
1
6
0
1
9
0
1
6
-1
1
6
1
9
1
9
Tnh:
(a) P(X + Y = 1)
(b) P(X = 0)
(c) P(X < Y)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 8 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi l
Hm xc sut l
nh ngha 2.2 (Marginal probability mass function)
Nu vc-t ngu nhin ri rc (X, Y) c hm xc sut ng thi l
f
XY
(x, y) th hm xc sut l cho bin ngu nhin X v Y c xc nh
nh sau
f
X
(x) = P(X = x) =

y
f
XY
(x, y) (4)
f
Y
(y) = P(Y = y) =

x
f
XY
(x, y) (5)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 9 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi l
Hm xc sut l
Bng phn phi l ca bin ngu nhin X
X x
1
x
2
x
m
P
X
f
X
(x
1
) f
X
(x
3
) f
X
(x
m
)
vi f
X
(x
i
) = f (x
i
, ) =
n

j =1
f (x
i
, y
j
) (i = 1, . . . , m)
Bng phn phi l ca bin ngu nhin Y
Y y
1
y
2
y
n
P
Y
f
Y
(y
1
) f
Y
(y
2
) f
Y
(y
n
)
vi f
Y
(y
j
) = f (, y
j
) =
m

i =1
f (x
i
, y
j
) (j = 1, . . . , n)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 10 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi l
Hm xc sut l
V d 3
(X, Y) l vc-t ngu nhin ri rc 2 chiu c hm xc sut ng thi
f (x, y) cho bi bng sau
H
H
H
H
H
H
X
Y
-1 0 1
1
1
18
1
9
1
6
0
1
9
0
1
6
-1
1
6
1
9
1
9
Tm hm xc sut l cho X v Y.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 11 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi l
K vng v phng sai t phn phi ng thi
nh ngha 2.3
Xt vc-t ngu nhin (X, Y), nu X c hm xc sut l f
X
(x) th
E(X) =
X
=

x
xf
X
(x) =

y
xf
XY
(x, y) (6)
v
Var (X) =
2
X
=

x
(x
X
)
2
f
X
(x) =

y
(x
X
)
2
f
XY
(x, y) (7)
Ta cng c nh ngha tng t cho Y.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 12 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
Hm xc sut c iu kin
Xt vc-t ngu nhin ri rc (X, Y), khi bit trc X = x th hm xc
sut c iu kin ca Y cho bi
f
Y|X
(y|X = x) = f
Y|x
(y|x) = P(Y = y|X = x)
p dng cng thc xc sut c iu kin ta c
f
Y|x
(y|x) = P(Y = y|X = x) =
P[(X = x) (Y = y)]
P(X = x)
=
P(X = x, Y = y)
P(X = x)
trong P(X = x, Y = y) = f
XY
(x, y) v P(X = x) = f
X
(x).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 13 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
Hm xc sut c iu kin
nh ngha 2.4 (Conditional probability mass function)
Xt vc-t ngu nhin ri rc (X, Y), hm xc sut c iu kin ca Y
cho trc X nhn gi tr x c nh ngha
f
Y|x
(y) =
f
XY
(x, y)
f
X
(x)
vi f
X
(x) > 0 (8)
Tng t, hm xc sut c iu kin ca X cho trc Y = y c nh
ngha
f
X|y
(x) =
f
XY
(x, y)
f
Y
(y)
vi f
Y
(y) > 0 (9)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 14 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
Hm xc sut c iu kin
H qu 1
Hm xc sut ng thi f
XY
(x, y) ca vc-t ngu nhin (X, Y) c th
c vit di dng sau
f
XY
(x, y) = f
Y|x
(y|x).f
X
(x) = f
X|y
(x|y).f
Y
(y)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 15 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
Hm phn phi c iu kin
nh ngha 2.5 (Conditional probability distribution function)
Hm phn phi xc sut ca bin ngu nhin X khi bit Y nhn gi tr y
c nh ngha:
F
X|y
(x|y) = P(X x|Y = y) =

x
i
x
f
X|y
(x
i
) (10)
Tng t, hm phn phi xc sut ca bin ngu nhin Y khi bit X = x
F
Y|x
(y|x) = P(Y y|X = x) =

y
j
y
f
Y|x
(y
j
) (11)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 16 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
K vng c iu kin
nh ngha 2.6 (Conditional mean)
K vng c iu kin ca bin ngu nhin Y cho trc X = x, k hiu
E(Y|x) hay
Y|x
c nh ngha
E(Y|x) =

y
yf
Y|x
(y) (12)
Tng t, k vng c iu kin ca X cho trc Y = y
E(X|y) =

x
xf
X|y
(x) (13)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 17 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
K vng c iu kin
Tnh cht ca k vng c iu kin
Nu X v Y c phn phi ng thi, ta c
1
E[E(X|Y)] = E(X)
2
Var (X) = E[Var (X|Y)] +Var [E(X|Y)]
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 18 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
Phn phi c iu kin
V d 4
(X, Y) l vc-t ngu nhin ri rc 2 chiu c hm xc sut ng thi
f (x, y) cho bi bng nh v d 2.
(a) Lp bng phn phi c iu kin ca X cho trc Y = 1 v tnh
f
X|Y
(1|Y = 1).
(b) Tnh E(X|Y = 1) v Var (X|Y = 1).
(c) Lp bng phn phi c iu kin ca Y cho trc X = 1 v tnh
f
Y|X
(1|X = 1).
(d) Tnh E(Y|X = 1) v Var (Y|X = 1).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 19 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
S c lp
S c lp ca hai bin ngu nhin ri rc
Hai bin ngu nhin ri rc X v Y gi l c lp vi nhau nu tha mt
trong cc tnh cht sau
(1) f
XY
(x, y) = f
X
(x).f
Y
(y) x, y.
(2) f
Y|x
(y|x) = f
Y
(y) x, y v f
X
(x) > 0.
(3) f
X|y
(x|y) = f
X
(x) x, y v f
Y
(y) > 0.
(4) P(X A, Y B) = P(X A).P(Y B) vi tp A, B bt k trn
min xc nh tng ng ca X v Y.
V d 5
Kim tra tnh c lp ca hai bin ngu nhin trong v d 2.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 20 / 43
Vc-t ngu nhin ri rc 2 chiu Phn phi c iu kin v s c lp
V d 6
Cho vc-t ngu nhin (X, Y) c hm xc sut ng thi
f (x, y) = c(x + y) x = 1, 2, 3 v y = 1, 2, 3
(a) Tm c.
(b) Tnh P(X = 1, Y < 4), P(X = 1), P(Y = 2), P(X < 2, Y < 2).
(d) Tm phn phi l cho X, phn phi l cho Y.
(e) Tm phn phi ca Y cho bit X = 1; phn phi ca X cho bit
Y = 2.
(f) Tnh E(Y|X = 1) v E(X|Y = 2).
(g) X v Y c c lp?
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 21 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi ng thi
Hm mt ng thi
nh ngha 3.1 (Joint probability density function)
Hm mt xc sut ng thi ca vc-t ngu nhin (X, Y), k hiu
f
XY
(x, y), l hm hai bin tha cc iu kin sau
(1) f
XY
(x, y) 0 vi mi < x, y <
(2)
_

f
XY
(x, y)dxdy = 1
(3) Vi mi tp I R
2
P((X, Y) I ) =
__
I
f (x, y)dxdy
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 22 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi ng thi
Hm phn phi ng thi
Khi bit f
XY
(x, y), hm phn phi xc sut ng thi (Joint probability
cumulative function) c xc nh nh sau
F(x, y) =
x
_

y
_

f (u, v)dvdu (14)

v khi F(x, y) kh vi theo x v y, hm mt ng thi
f (x, y) =

2
xy
F(x, y) (15)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 23 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi ng thi
Phn phi ng thi
V d 7
Gi s f (x, y) = K(x
2
+y
2
) l hm mt ng thi ca (X, Y) xc nh
trn hnh vung n v b chn bi cc im (0, 0), (1, 0), (1, 1) v (0, 1).
(a) Tm K.
(b) Tnh P[X + Y 1].
(c) Tm F(x, y).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 24 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi ng thi
Phn phi ng thi
V d 8
Cho vc-t ngu nhin lin tc (X, Y) c hm mt ng thi
f (x, y) =
_
2
75
_
2x
2
y + xy
2
_
vi 0 x 3 v 1 y 2
0 ni khc
(a) Tnh P
_
1 X 2,
4
3
Y
5
3
_
.
(b) Tm F(x, y).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 25 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi l
Phn phi l
nh ngha 3.2 (Marginal probability density function)
Nu vc-t ngu nhin (X, Y) c hm mt ng thi l f (x, y) th hm
mt xc sut l ca X v Y c xc nh bi
f
X
(x) =

f
XY
(x, y)dy (16)
f
Y
(y) =

f
XY
(x, y)dx (17)
T cc hm mt l f
X
(x) v f
Y
(y) ta c th tm c hm phn phi
l cho X v Y l F
X
(x) v F
Y
(y).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 26 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi l
K vng v phng sai t phn phi ng thi
nh ngha 3.3
Cho vc-t ngu nhin (X, Y) c hm mt ng thi f (x, y), khi
E(X) =
X
=

xf
X
(x)dx =

x
_
_

f
XY
(x, y)dy
_
_
dx
=
__
R
xf
XY
(x, y)dxdy (18)
Var (X) =
__
R
x
2
f
XY
(x, y)dxdy
2
X
(19)
Ta c nh ngha tng t cho k vng v phng sai cho Y.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 27 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi l
K vng v phng sai t phn phi ng thi
K vng ca hm ca bin ngu nhin
Nu h(x, y) l hm hai bin v vc-t ngu nhin (X, Y) c phn phi
ng thi th k vng ca h(X, Y) c xc nh bi
E[h(X, Y)] =

h(x, y)f (x, y)dydx (20)

Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 28 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi l
Phn phi ng thi
V d 9
Cho vc-t ngu nhin (X, Y) c hm mt xc sut ng thi
f (x, y) =
3(2 2x y)
2
xc nh trn min b chn bi y = 0, x = 0 v y = 2 2x.
(a) Tm P(X >
1
2
).
(b) Tm P(X > Y).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 29 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi l
Phn phi ng thi
V d 10
Cho vc-t ngu nhin (X, Y) c hm mt xc sut ng thi
f (x, y) =
3
2
(x
2
+ y
2
) vi 0 x, y 1
(a) Tm cc hm mt l f
X
(x) v f
Y
(y).
(b) Tm cc hm phn phi l F
X
(x) v F
Y
(y).
(c) Tnh E
_
X
2
+ Y
2

.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 30 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi c iu kin v s c lp
Phn phi c iu kin
nh ngha 3.4 (Conditional probability density function)
Xt vc-t ngu nhin lin tc (X, Y) c hm mt xc sut ng thi
f
XY
(x, y), hm phn phi xc sut c iu kin ca Y cho trc gi tr
X = x c xc nh bi
f
Y|x
(y) =
f
XY
(x, y)
f
X
(x)
vi f
X
(x) > 0 (21)
Tng t, phn phi c iu kin ca X cho trc gi tr Y = y l
f
X|y
(x) =
f
XY
(x, y)
f
Y
(y)
vi f
Y
(y) > 0 (22)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 31 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi c iu kin v s c lp
K vng c iu kin
nh ngha 3.5 (Conditional mean)
Xt vc-t ngu nhin (X, Y), k vng ca bin ngu nhin Y cho trc
X = x, k hiu E(Y|X = x) =
Y|x
l hm s ca bin ngu nhin X v
E(Y|X = x) =

yf
Y|x
(y)dy (23)
Tng t, k vng ca bin ngu nhin X cho trc Y = y, k hiu
E(X|Y = y) =
X|y
, xc nh bi
E(X|Y = y) =

xf
X|y
(x)dx (24)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 32 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi c iu kin v s c lp
S c lp
S c lp ca hai bin ngu nhin lin tc
Hai bin ngu nhin lin tc X v Y gi l c lp vi nhau nu tha mt
trong cc tnh cht sau
(1) f
XY
(x, y) = f
X
(x).f
Y
(y) x, y.
(2) f
Y|x
(y|x) = f
Y
(y) x, y v f
X
(x) > 0.
(3) f
X|y
(x|y) = f
X
(x) x, y v f
Y
(y) > 0.
(4) P(X A, Y B) = P(X A).P(Y B) vi tp A, B bt k trn
min xc nh tng ng ca X v Y.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 33 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi c iu kin v s c lp
Phn phi c iu kin v s c lp
V d 11
Cho vc-t ngu nhin (X, Y) c hm mt xc sut ng thi
f (x, y) =
3
2
(x
2
+ y
2
) vi 0 x, y 1
(a) Tm hm mt c iu kin f
X|Y
(x|Y = 0.3).
(b) Tnh E(X|Y = 0.3) v Var (X|Y = 0.3).
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 34 / 43
Vc-t ngu nhin lin tc 2 chiu Phn phi c iu kin v s c lp
Phn phi c iu kin v s c lp
V d 12
Cho vc-t ngu nhin (X, Y) c hm mt xc sut ng thi
f (x, y) =

2
_
sin

2
y
_
e
x
vi 0 < x < v 0 < y < 1
(a) Tnh P(X > 1|Y =
1
2
).
(b) Tm f
X
(x) v f
Y
(y).
(c) X v Y c c lp?
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 35 / 43
Hip phng sai v h s tng quan Hip phng sai
Hip phng sai
nh ngha 4.1 (Covariance)
Cho X v Y l hai bin ngu nhin, hip phng sai gia X v Y, k hiu
Cov (X, Y) (hay
XY
) c nh ngha nh sau
Cov (X, Y) = E(X E[X]) (Y E[Y]) (25)
= E(XY) E(X)E(Y)
Hip phng sai l i lng dng o mi lin h tuyn tnh gia hai
bin ngu nhin X v Y.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 36 / 43
Hip phng sai v h s tng quan Hip phng sai
Hip phng sai
Tng quan dng
Tng quan m
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 37 / 43
Hip phng sai v h s tng quan Hip phng sai
Hip phng sai
Khng tng quan
Khng tng quan
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 38 / 43
Hip phng sai v h s tng quan Hip phng sai
Hip phng sai
Tnh cht
Nu hai bin ngu nhin X v Y c lp v c phng sai hu hn th
Cov (X, Y) = 0 (26)
v phng sai ca X + Y
Var (X + Y) = Var (X) +Var (Y) (27)
Ch
Nu hai bin ngu nhin X v Y c Cov (X, Y) = 0 th ta ni X v Y
khng tng quan, nhng khng th suy ra c X v Y l c lp.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 39 / 43
Hip phng sai v h s tng quan Hip phng sai
Hip phng sai
nh l 2 (Phng sai ca tng n bin ngu nhin)
Nu X
1
, . . . , X
n
l n bin ngu nhin sao cho Var (X
i
) < + vi mi
i = 1, . . . , n th
Var
_
n

i =1
X
i
_
=
n

i =1
Var (X
i
) + 2

i <j
Cov (X
i
, X
j
) (28)
Trng hp hai bin
Vi a, b v c l hng s, ta c
Var (aX + bY + c) = a
2
Var (X) + b
2
Var (Y) + 2abCov(X, Y)
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 40 / 43
Hip phng sai v h s tng quan H s tng quan
H s tng quan
nh ngha 4.2 (Coefficient of Correlation)
H s tng quan gia hai bin ngu nhin X v Y, k hiu
XY
, c
nh ngha nh sau

XY
=
Cov(X, Y)
_
Var (X)Var (Y)
=

XY

Y
(29)
Tnh cht
1
XY
+1
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 41 / 43
Hip phng sai v h s tng quan H s tng quan
H s tng quan
V d 13
Cho vc-t ngu nhin ri rc (X, Y)
c phn phi xc sut ng thi nh
hnh bn. Tnh Cov(X, Y) v
XY
.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 42 / 43
Hip phng sai v h s tng quan H s tng quan
H s tng quan
V d 14
Cho vc-t ngu nhin lin tc (X, Y) c hm mt xc sut ng thi
f (x, y) =
1
16
xy vi 0 x 2 v 0 y 4
Chng t rng
XY
= 0.
V d 15
Cho vc-t ngu nhin (X, Y) c
XY
=
1
3
, v
2
X
= a,
2
Y
= 4a. Bin
ngu nhin Z = 3X 4Y c
2
Z
= 11. Tm a.
Ha Hoang V. () Vc-t ngu nhin Ngy 13 thng 10 nm 2012 43 / 43