LI NI U

L thuyt xc sut l b mn ton hc nghin cu tnh qui lut ca cc hin

tng ngu nhin.
Cc khi nim u tin ca xc sut do cc nh ton hc tn tui Pierre Fermat
(1601-1665) v Blaise Pascal (1623-1662) xy dng vo gia th k 17, da trn vic
nghin cu cc qui lut trong cc tr chi may ri. Do s hn ch ca trnh ton hc
ng thi, nn sut mt thi gian di cc tr chi may ri vn l c s duy nht cho
cc khi nim v phng php ca l thuyt xc sut vi cng c ch yu l php tnh
t hp v s hc s cp. Hin nay, tuy l thuyt xc sut c nn tng ton hc s,
nhng cc phng php "ngy th" ban u vn cn tc dng, c bit i vi cc
ngnh khoa hc thc nghim.
Vic gii quyt cc bi ton ny sinh trong l thuyt sai s v o lng em
li bc pht trin mi cho l thuyt xc sut. Cc nh ton hc Jacob Bernoulli (1654-
1705), A.Moivre (1667-1754), Laplace (1749-1827), Gauss (1777-1855), Poisson
(1781-1840) c cng lao xng ng pht trin l thuyt xc sut bng phng php
gii tch.
T gia th k 19 n u th k 20, s pht trin ca l thuyt xc sut gn lin
vi tn tui cc nh ton hc Nga nh Bunhiacpxki (1804-1889), Trebsep (1821-
1894), Markov (1856-1922) v Liapunov (1857-1918).
Trong qu trnh pht trin mnh m ca ca l thuyt xc sut, vn xy dng
mt c s ton hc cht ch tr thnh cp thit. S ra i ca l thuyt tp hp v
o cung cp cng c ton hc gii quyt vn ny, v vinh quang xy dng l
thuyt xc sut tin thuc v nh ton hc Nga Kolmogorov (1929).
S ra i ca thng k ton hc bt ngun t cc vn thc tin v da trn
nhng thnh tu ca l thuyt xc sut. Cc th nghim trong cc ngnh khoa hc khc
nhau nh vt l, ha hc, sinh hc, y hc, ... ph thuc vo nhiu yu t ngu nhin
nh con ngi, mi trng,... Do kt qu thc nghim thng l cc i lng ngu
nhin.
C th nh ngha thng k ton hc l ngnh khoa hc v cc phng php
tng qut x l cc kt qu thc nghim. Cng vi s pht trin ca l thuyt xc sut,
thng k ton hc c bc tin nhanh, vi s ng gp ca cc nh ton hc nh
Gantn (1822-1911), Picxn (1857-1936), Cramer, Fisher, Von Neuman, ... Thng k
ton hc c cc ng dng hiu qu trong nhiu lnh vc khoa hc, cng ngh, kinh
t v x hi khc nhau nh vt l, ha hc, c hc, sinh vt, y hc, d bo, kh tng,
thy vn, v tuyn, in t, ngn ng hc, x hi hc, ...
C th ni l thuyt xc sut v thng k ton hc tr thnh kin thc c s
khng th thiu ca mi k s tng lai.
Gio trnh c bin son ln u nn chc chn cn nhiu khim khuyt. Tc
gi chn thnh cm n nhng kin ng gp qu bu ca c gi gio trnh ngy
mt hon thin.
Xin chc cc bn thnh cng!

nng 1/2005
Tc gi.
CHNG 0
GII TCH KT HP

I. TP HP

1. CC KHI NIM C BN
jnh ngha: Khi nim tp hp l khi nim nn tng cho ton hc cng nh ng
dng ca n. Tp hp l khi nim nguyn thu khng nh ngha chnh xc da
trn cc khi nim khc. Tp hp c coi l kt hp cc i tng c cng bn
cht (thuc tnh, du hiu ) chung no .
Tp hp thng c k hiu bng cc ch ci A, B, C , ... Cc phn t ca
tp hp k hiu bng cc ch thng a, b, c,...
ch x l phn t ca tp hp X ta vit :
x X (c : x thuc X )

ch x khng phi l phn t ca X ta vit :
x X (c : x khng thuc X )

Tp khng c phn t gi l tp rng v k hiu .

Biu din tp hp:
C hai cch biu din tp hp nh sau
(i) Lit k cc phn t :
+ V d
A = { a, b, c }
X = { x
1
, x
2
, ... , x
n
}

(ii) Biu din tp hp bng cch m t tnh cht :
+ V d
C = { n | n l s chn }
Y = { x | x l nghim phng trnh x
2
+ 2x - 5 = 0 }

Lc lng tp hp:
S phn t ca tp A, k hiu l |A|, gi l lc lng ca tp A.
Nu |A| < , ta ni A l tp hu hn, nu |A| = , ta ni A l tp v hn.
Trong chng trnh ny ta gi thit cc tp hp l hu hn.

Quan h bao hm: Cho hai tp A, B.
Nu mi phn t thuc A cng thuc B ta ni A l tp con ca B v k hiu
A B

Nu A khng phi tp con ca B ta k hiu
A B

Nu A B v B A ta ni A bng B v k hiu
A = B

Nu A B , A v B A, th ta ni A l tp con thc s ca B.

+ V d
(i) Tp rng c lc lng bng 0, || = 0. Vi mi tp A, A.
(ii) Cho a thc P(x). K hiu S = {x | P(x) = 0}. S l tp hu hn.
(iii) K hiu
N l tp s t nhin, N = {0, 1, 2, };
Q l tp s hu t; R l tp s thc.
Ta c N Q R.


By gi ta xt tp hu hn A. K hiu tp tt c tp con ca A l P(A)

nh l 1. Nu |A| = n , th |P(A)| = 2
n

Chng minh. Quy np theo n.


2. CC PHP TON TP HP

Cho cc tp A, B, X
1
, X
2
, ... , X
n
( n N ) l cc tp con ca tp v tr U
no . Ta nh ngha cc php ton sau.

+ Php hiu: Hiu ca A v B, k hiu A \ B l tp:

A \ B = { x x A & x B }

+ Phn b: Phn b ca A (trong U ) l tp

A = U \ A

+ Php hp: Hp ca A v B, k hiu A B l tp

A B = { x | x A hoc x B }

Tng t, hp ca X
1
, X
2
, ... , X
n
l tp

} X x n, k k,1 | {x
k
1
=
=

n
i
i
X

+ Php giao: Giao ca A v B, k hiu A B l tp

A B = { x x A & x B }

Tng t, giao ca X
1
, X
2
, ... , X
n
l tp

} X x n, k k,1 | {x
k
1
=
=

n
i
i
X


+ Tch -cc

- Tch -cc ca hai tp A, B l tp

A x B = { (a,b) a A & b B }

- Tch -cc ca cc tp X
1
, X
2
, ... , X
n
l tp

X
1
x X
2
x ... x X
n
= { (x
1
, x
2
, ... , x
n
) x
1
X
1
& x
2
X
2
& ... & x
n
X
n
}

+ Phn hoch:
- Nu A B = , ta ni A v B ri nhau.

- Nu cc tp X
1
, X
2
, ... , X
n
tho

A = X
1
X
2
... X
n


v chng ri nhau tng i mt, ta ni { X
1
, X
2
, ... , X
n
} l mt phn hoch ca tp
hp A.

jnh l 1. Gi s { X
1
, X
2
, ... , X
n
} l mt phn hoch ca tp S. Khi

S= X
1
+ X
2
+ ... + X
n

Chng minh. Hin nhin.


jnh l 2. Cho cc tp A, B, C trong tp v tr U, khi ta c :
(i) Lut kt hp :
( A B ) C = A ( B C )
( A B ) C = A ( B C )

(ii) Lut giao hon :
A B = B A
A B = B A

(iii) Lut phn b :
A ( B C ) = (A B) (A C )
A ( B C ) = (A B) (A C )

(iv) Lut i ngu De Morgan:

B A B A = & B A B A =


n
i
i
n
i
i
X X
1 1 = =
= &

n
i
i
n
i
i
X X
1 1 = =
=

Chng minh. (bi tp).

jnh l 3 (v lc lng tp hp).
(i) Lc lng tp con:
A B |A| |B|

(ii) Lc lng ca hp
A B

= A+ B A B



(iii) Nguyn l b tr Poincar:

( )

=

=
(

=
n
m n i i i
i i i
m
n
k
k
m
m
A A A A
1 ... 1
1
1
2 1
2 1
... 1

(iv) Lc lng tch -cc

X
1
x X
2
x ... x X
n
= X
1
. X
2
. ... . X
n


(v) Lc lng tng ng:

|A| = |B| Tn ti song nh t A vo B.

Chng minh. (bi tp).


II. GII TCH KT HP

1. BI TON GII TCH KT HP

Trong thc t ta thng gp bi ton sau: Cho mt tp hu hn X. Cc phn
t ca X c chn v ghp theo quy lut no . Hy tnh s nhm to thnh.
Ngnh ton hc nghin cu cc bi ton loi ny gi l Gii tch kt hp.

V d: Cng ty pht hnh sch bn sch thng qua h thng hiu sch. Gi s c
12 u sch v cc u sch k hiu l 1, 2, , 12. C 3 khch hng n hiu sch
t mua, mi ngi 1 quyn. Gi x
1
, x
2
, x
3
ln lt l quyn sch m khch hng
th nht, th hai, th ba t mua ( x
1
, x
2
, x
3
{1, 2, , 12 } ).

Hi c bao nhiu b ( x
1
, x
2
, x
3
) ?

Kt qu bi ton m ny ph thuc vo vic ai giao sch: hiu sch hay cng
ty.

(i) Trng hp 1:
Ngi giao sch l hiu sch v cc khch hng t mua cc u sch khc
nhau.
Khi hiu sch cn bit th t ca b ( x
1
, x
2
, x
3
). S b ( x
1
, x
2
, x
3
) s l
12.11.10 = 1320

(ii) Trng hp 2:
Ngi giao sch l hiu sch v cc khch hng c th t mua cc u sch
ging nhau.
Khi hiu sch cn bit th t ca b ( x
1
, x
2
, x
3
) v x
1
, x
2
, x
3
c th ging
nhau . S b ( x
1
, x
2
, x
3
) s l
12
3
= 1728

(iii) Trng hp 3:
Ngi giao sch l cng ty v cc khch hng t mua cc u sch khc
nhau.
Khi cng ty khng cn bit th t ca b ( x
1
, x
2
, x
3
). S b ( x
1
, x
2
, x
3
) s
l
12.11.10 / 1.2.3 = 1320 / 6 = 220

(iv) Trng hp 4:
Ngi giao sch l cng ty v cc khch hng c th t mua cc u sch
ging nhau.
Khi cng ty khng cn bit th t ca b (x
1
, x
2
, x
3
) v x
1
, x
2
, x
3
c th
ging nhau. S b ( x
1
, x
2
, x
3
) s gm cc trng hp sau:
+ Trng hp 3 ngi cng t mua 1 u sch:
c 12 kh nng.

+ Trng hp 3 ngi cng t mua 2 u sch:
c C(12,2). 2 = 132 kh nng ( C(n, k) l s t hp chp k ca n phn
t).

+ Trng hp 3 ngi cng t mua 3 u sch:
c 220 kh nng.

Tng cng s b (x
1
, x
2
, x
3
) l

12 + 132 + 220 = 364


2. CC KT HP C BN

a) Nguyn l nhn:
Xt bi ton gii tch kt hp trn. Ta gi s mi nhm kt hp cc phn t
ca tp X c xy dng qua k bc:

Bc 1 c n
1
kh nng
Bc 2 c n
2
kh nng
. . .
Bc k c n
k
kh nng

Khi s nhm kt hp l
n
1
.n
2
. . . . . n
k



b) Chnh hp

+ nh ngha: Mt chnh hp chp k ca n phn t l mt b c th t gm k thnh
phn ly t n phn t cho. Cc thnh phn khng c lp li.

Mt chnh hp chp k ca n c th c xy dng qua k bc k tip nh
sau :
Chn thnh phn u : c n kh nng.
Chn thnh phn th hai : c n - 1 kh nng.
...
Chn thnh phn th k : c n - k + 1 kh nng.

Nh vy, theo nguyn l nhn, s tt c chnh hp khng lp chp k ca n
phn t l

)! (
!
) 1 )...( 1 ( ) , (
k n
n
k n n n k n A

= + =

+ V d 1:
Tnh s hm n nh t tp X c k phn t n tp Y c n phn t.
Gii : Mi hm n nh t X vo Y tng ng vi mt chnh hp khng
lp chp k ca n phn t ca Y. Nh vy s cn tm l

A(n, k) = n.(n-1).....(n-k+1).


+ V d 2:
Quay li v d mc trc. Trong trng hp 1, mi b (x
1
, x
2
, x
3
) l mt
chnh hp chp 3 ca 12. Vy s b l

A(12, 3) = 12.11.10 = 1320

c) Chnh hp lp
+ nh ngha: Mt chnh hp lp chp k ca n phn t l mt b c th t gm k
thnh phn ly t n phn t cho. Cc thnh phn c th c lp li.

Mt chnh hp lp chp k ca n c th xem nh mt phn t ca tch -cc
X
k
, vi X l tp n phn t. Nh vy s tt c cc chnh hp lp chp k ca n l: n
k


+ V d 1: Tnh s hm t tp X c k phn t n tp Y c n phn t.
Mi hm t X vo Y tng ng vi mt b c th t k thnh phn ca n
phn t ca Y, cc phn t c th lp li . Nh vy s hm t X vo Y l n
k
.

+ V d 2:
Quay li v d mc trc. Trong trng hp 2, mi b (x
1
, x
2
, x
3
) l mt
chnh hp lp chp 3 ca 12. Vy s b l

12
3
= 1728

d) Hon v
+ nh ngha : Mt hon v ca n phn t l mt cch sp xp th t cc phn t .
Hon v c th coi nh trng hp ring ca chnh hp khng lp chp k ca n
trong k = n. Ta c s hon v l

P(n) = n!

+ V d: C 6 ngi xp thnh hng ngang chp nh. Hi c th b tr bao nhiu
kiu khc nhau ?
Gii: Mi kiu nh l mt hon v ca 6 ngi. Vy s kiu nh l 6! = 720.

e) T hp
+ nh ngha: Mt t hp chp k ca n phn t l mt b khng k th t gm k
thnh phn khc nhau ly t n phn t cho. Ni cch khc ta c th coi mt t
hp chp k ca n phn t l mt tp con c k phn t ca n phn t .
Gi s t hp chp k ca n phn t l C(n,k) ta c :

A(n,k) = C(n,k) * k!

Suy ra
C(n,k) =
)! !.(
!
k n k
n

+ V d 1: C n i bng thi u vng trn. Phi t chc bao nhiu trn u bng
tt c ?
Gii : Mi trn ng vi mt t hp chp 2 ca n. Vy c C(n,2) trn u.

+ V d 2:
Quay li v d mc trc. Trong trng hp 3, mi b (x
1
, x
2
, x
3
) l mt t
hp chp 3 ca 12. Vy s b l

C(12, 3) = 220
3 . 2 . 1
10 . 11 . 12
)! 3 12 !.( 3
! 12
= =

+ H qu : Tch k s t nhin lin tip chia ht k!
Chng minh. V C(n,k) = (n-k+1).(n-k+2).....n / k! l s nguyn.


3. CC KT HP NNG CAO
a) Hon v lp
+ V d: C 3 vin bi , 2 vin bi xanh v 4 vin bi trng. Hi c bao nhiu cch
sp cc vin bi trn theo hng ngang.

Ta c tt c 9 ch trng xp cc vin bi. Ta c C(9,3) kh nng xp 3
vin bi , C(6,2) kh nng xp 2 vin bi xanh, cn li 1 kh nng xp cc vin bi
trng. Theo nguyn l nhn ta c

C(9,3).C(6,2) =
! 4 !. 2 !. 3
! 9
! 4 !. 2
! 6
.
! 6 !. 3
! 9
=

cch xp.

+ nh ngha: Hon v lp l hon v trong mi phn t c n nh mt s ln
lp li cho trc.

+ nh l: Gi s tp S c n phn t, trong c n
1
phn t kiu 1, n
2
phn t kiu
2, ..., n
k
phn t kiu k. Khi s cc hon v n phn t ca S l

( )
! !... !.
!
,..., ,
2 1
2 1
k
k n
n n n
n
n n n C =

b) T hp lp
+ V d: Gi s ta c 3 u sch : Ton, Tin, L v mi u sch c t nht 6 bn
photocopy. Hi c bao nhiu cch chn ra 6 quyn.
Gii: Bi ton t ra l chn 6 phn t, khng k th t v cho php lp li.
Mi cch chn c xc nh duy nht bi s lng ca mi loi sch. Nh vy ta
c th biu din mi cch chn nh sau
Ton Tin L
x x x | x x | x

trong 6 du x ch quyn sch chn v 2 du | ch phn cch gia cc loi
sch. Nh vy mi cch chn tng ng vi t hp chp 2 (du |) t 8 phn
t. Ta c s cch chn l C(8,2) = 28.

+ nh ngha: T hp lp chp k t n phn t l mt nhm khng phn bit th t
gm k phn t trch t n phn t cho, trong cc phn t c th c lp li.
+ nh l: Gi s X c n phn t. Khi s t hp lp chp k t n phn t ca X
l: C(k + n - 1, n - 1) = C(k + n - 1, k).

+ V d:
Quay li v d mc 1. Trong trng hp 4, mi b (x
1
, x
2
, x
3
) l mt t hp
chp 3 ca 12. Vy s b l

C(3 + 12 1, 3) = C(14, 3) = 14.13.12 / 1.2.3 = 364

+ V d: Phng trnh: x
1
+ x
2
+ x
3
+ x
4
= 10

c bao nhiu b nghim nguyn khng m ?
Gii : Mi bi nghim nguyn khng m ca phng trnh tng ng 1-1
vi mt cch chn 10 phn t, trong phn t kiu i lp li x
i
ln, i=1,,4. Vy
s b nghim l s t hp lp chp 10 ca 4. Vy ta c s nghim l

C(10 + 4 -1 , 4 - 1) = C(13, 3) = 286

c) T hp lp tng qut

+ nh ngha: T hp lp tng qut chp k t n phn t l nhm khng phn bit
th t gm k phn t trch t n phn t cho, trong phn t th i lp li khng
qu k
i
ln (i=1,,n), vi k
1
+ + k
n
k.
+ Cng thc: Gi l tp hp tt c cc t hp lp chp k t n phn t. Ta c
|| = C(k + n 1, k).

K hiu A
i
, i = 1, n, l s t hp lp trong c phn t th i lp li hn k
i

ln.
Nh vy tp hp t hp lp tng qut l

\

n
i
i
A
1 =


Suy ra s t hp lp tng qut l

( )

=
(

+ + =
n
m n i i
i i
m
n
k
n
m
m
A A k n k C k k C
1 ... 1
1
1
1
... 1 ) , 1 ( ) ,..., (

Mt khc mi phn t ca
m
i i
A A ...
1
sau khi loi 1
1
+
i
k phn t th i
1
, ,
1 +
m
i
k phn t th i
m
, l mt t hp lp chp k (
m
i i i
k k k + + + ...
2 1
+ m).
Nh vy ta c

)) 1 ), ... ( 1 ( ...
1 1
+ + + + = n m k k k n C A A
m m
i i i i

Suy ra


=
(

+ + + + + + =
n
m n i i
i i
m
n
k
n
m
m
n m k k k n C k n k C k k C
1 ... 1
1
1
1
)) 1 ), ... ( 1 ( ) 1 ( ) , 1 ( ) ,..., (


+ V d: Cho 1 bi , 2 bi xanh v 3 bi vng. Tnh s t hp chp 3 ca cc vin bi
trn.
Mi t hp l mt t hp lp chp 3 ca 3 phn t bi , bi xanh v bi vng,
trong bi lp khng qu 1 ln, bi xanh lp khng qu 2 ln, bi vng lp khng
qu 3 ln. Vy s t hp l

[ ]
6 1 3 10 ) 2 , 1 ( ) 2 , 2 ( ) 2 , 3 ( ) 2 , 5 (
0 ) 1 3 ), 1 3 3 ( 1 3 ( ) 1 3 ), 1 2 3 ( 1 3 ( ) 1 3 ), 1 1 3 ( 1 3 (
) 1 3 , 3 1 3 ( ) 3 , 2 , 1 (
3
3
= =
= + + + + + +
+ =
C C C C
C C C
C C


4. H S NH THC

a) Cc tnh cht c bn

Vi mi n, k N, k n.
(i) C(n,k) = C(n,n-k)
C(n,0) = C(n,n) = 1

(ii) Cng thc tam gic Pascal
C(n,k) = C(n-1,k-1) + C(n-1,k)

(iii) Cng thc gim bc
k.C(n,k) = n.C(n-1,k-1)

b) Nh thc Newton
Vi n N, x, y C ta c
(x+y)
n
= C(n,0).x
n
+ C(n,1).x
n-1
.y +...+ C(n,n-1).x.y
n-1
+ C(n,n).y
n


+ H qu nh thc Newton:

(i) C(n,0) + C(n,1) + ... + C(n,n) = 2
n

(s cc tp con ca n phn t l 2
n
)

(ii) C(n,0) - C(n,1) + ... + (-1)
n
C(n,n) = 0

(iii)
[ ] [ ]


= =
+ =
2
1
2
0 0
) 1 2 , ( ) 2 , (
n n
j j
j n C j n C = 2
n-1
(s tp con chn bng s tp con l).

c) Cng thc Vandermonde
Cho a,b,n N. Ta c
) , ( ) , ( ). , (
0
n b a C k n b C k a C
n
k
+ =

=

CM. Gi E l tp c a+b phn t, A, B E ri nhau, A c a phn t v B c
b phn t. Khi mi t hp chp n ca cc phn t trong E l mt kt hp ca mt
t hp chp k ca cc phn t trong A v t hp chp nk ca cc phn t trong B.
T suy ra cng thc.

p dng cng thc cho a = b = n suy ra
H qu: Vi n N ta c
) , 2 ( ) , (
0
2
n n C k n C
n
k
=

=


CHNG I
S KIN V XC SUT

I. PHP TH V S KIN

1. nh ngha
Php th l s thc hin mt b iu kin xc nh, c th l mt th nghim c
th, quan st o c hay thu thp d liu v mt hin tng no .

S kin ca php th l mt kt cc xy ra no ca php th. Mt php th c
th c nhiu s kin.

+ V d
(i) Gieo mt ng tin l php th. Hai s kin c th xy ra l xut hin mt
sp, hoc xut hin mt nga.
(ii) Gieo mt con xc sc l php th. Cc kt cc sau l cc s kin ca
php th:
- Xut hin mt 1 chm
- Xut hin mt 2 chm
- Xut hin mt 3 chm
- Xut hin mt 4 chm
- Xut hin mt 5 chm
- Xut hin mt 6 chm
- Xut hin mt c s chm l
- Xut hin mt c s chm chn
(iii) Quan st ghi nhn tui th ca mt chi tit my, hay ca mt loi bng
n, l mt php th. S kin ca n c th l gi tr bt k trong khong [0,+),
hoc mt khong (a,b) [0,+) no m tui th ri vo.

S kin s cp
Trong cc s kin ta thy, c s kin l kt hp ca cc s kin khc, chng
hn nh s kin xut hin mt c s chm l v d (ii) l hp ca ba s kin xut
hin mt 1 chm, mt 3 chm v mt 5 chm.

Nhng s kin khng th phn chia ra cc s kin nh hn gi l s kin s
cp, v d nh s kin xut hin mt 1 chm, 2 chm,..., mt 6 chm v d (ii).

Khng gian cc s kin s cp ca php th l tp hp tt c cc s kin s cp
ca php th , thng k hiu l .

+ V d. Khng gian cc s kin s cp ca php th gieo con xc sc l

= {
i
i = 1, 2, . . . , 6 }

vi
i
, i=1,...,6, l s kin xut hin mt c i chm.

By gi ta cho l khng gian s kin s cp ca php th . D thy rng,
mi s kin A ca php th l tp con ca .
Cc s kin ca php th to thnh khng gian s kin, c nh ngha
chnh xc nh sau.

Khng gian s kin. Cho khng gian s kin s cp ca php th . Cho B l
i s trn , tc B tho
(i) B; (ii) A B A B; (iii) A
i
B

i
i
A B
Khi B gi l mt khng gian s kin ca php th .

S kin khng bao gi xy ra, gi l s kin bt kh.
S kin lun xy ra, gi l s kin tt yu.
S kin ngu nhin l s kin khc v .

2. Quan h v php tnh s kin
Cho php th vi khng gian s kin B, A, B B.
S kin A gi l s kin ring ca s kin B, k hiu A B, nu s kin A xut
hin ko theo s kin B cng xut hin.

S kin A gi l tng ng s kin B, k hiu A = B, nu A B v B A.

S kin tng ca s kin A v s kin B, k hiu A B, l s kin xy ra khi v ch
khi xy ra s kin A hoc s kin B.

S kin tch ca s kin A v s kin B, k hiu A B hay A.B, l s kin xy ra
khi v ch khi xy ra s kin A v s kin B.

Tng t ta nh ngha s kin tng v s kin tch ca nhiu s kin

n
i
i
A
1 =
,

n
i
i
A
1 =


S kin hiu ca s kin A i vi s kin B, k hiu A \ B , l s kin xy ra khi
v ch khi xy ra s kin A v khng xy ra s kin B.

S kin i lp ca s kin A l s kin A = \ A.

A v B gi l xung khc nu A B = .

Tp hp cc s kin { A
1
, . . . , A
n
} gi l nhm y cc s kin nu chng
xung khc tng cp mt v tng ca chng l s kin tt yu .

+ V d. Xt php th gieo con xc xc. Cc s kin xut hin mt i chm
i
,
i=1,,6, to thnh nhm y cc s kin.
Nu ta k hiu A l s kin xut hin mt l v B l s kin xut hin mt
chn th {A, B} cng l nhm y cc s kin.


II. XC SUT

1. Khi nim xc sut
Quan st cc s kin ngu nhin ta thy kh nng xut hin ca chng khng
ging nhau. T ny sinh vn o lng kh nng xut hin ca s kin ngu
nhin. Mi s kin A c gn mt s khng m P(A) o kh nng xut hin
c gi l xc sut ca s kin.

nh ngha. Cho khng gian s kin B ca php th . nh x P : B [0; 1] gi
l xc sut trn B, nu
(i) P() = 1
(ii) Vi mi tp s kin {A
i
| i I } B , I l tp ch s hu hn hoc v hn, tng i
mt xung khc ta c

( )

=
|
|

\
|
I i
i
I i
i
A P A P



Khi (, B, P) gi l khng gian xc sut.

Trng hp = {
1
, . . . ,
n
} l khng gian s kin ri rc hu hn.
+ Mnh .
Tp hp tt c tp con ca , k hiu P(), l khng gian s kin.

+ nh l. Cho l khng gian s kin s cp hu hn.
Cho P l xc sut trn P(). K hiu p
i
= P(
i
), i=1,,n. Khi ta c

(i) p
i
0, i = 1, , n
(ii) 1
1
=

=
n
i
i
p

Ngc li, Mi tp { p
i
| i = 1, . . . , n } tho (i), (ii) xc nh mt xc sut trn
P() vi
) ( , ) ( =

P A p A P
A
i
i

+ V d: Cho = {
i
| i = 1, , 6 } l khng gian s kin s cp ca php th gieo
xc xc, trong
i
l s kin xut hin mt i. Khi tp { p
i
= 1/6 | i=1,,6} xc
nh mt xc sut trn P().

2. Cc tnh cht ca xc sut
Cho khng gian xc sut (, B, P) ca php th no . Khi
(i) P() = 0
(ii) P( A) = 1 P(A)
(iii) A B P( B \ A ) = P(B) P(A)
(iv) P(A B) = P(A) + P(B) P( A B)
(v)
( )

=

=
=
|
|

\
|
n
m n i i i
i i i
m
n
k
k
m
m
A A A P A P
1 ... 1
1
1
2 1
2 1
) ... ( 1


Chng minh. Cc tnh cht (1)-(iv) suy ra t nh ngha. Tnh cht (v) chng
minh bng quy np.

3. Cch tnh xc sut trong trng hp ng kh nng
a) Trng hp s kin s cp hu hn
nh ngha. Cho khng gian s kin s cp = {
1
, . . . ,
n
} ca php th no
. Ta ni ng kh nng nu cc s kin s cp c xc sut nh nhau:

P(
i
) = P(
j
) , i, j = 1,, n

Khi , t tnh cht xc sut, ta c:
(i) P(
i
) = 1/n i = 1, . . . , n
(ii) P(A) = |A|/n A
trong |A| l lc lng ca tp A.
Ni cch khc

S kt cc thun li s kin A
P(A) =
S kt cc ng kh nng

+ V d
(i) Gieo mt xc xc hon ton i xng. Tnh xc sut
(a) xut hin mt 6 chm
(b) xut hin mt bi ca 3
Gii
Gi A l s kin xut hin mt 6 chm, B l s kin xut hin mt bi ca 3.
S s kin s cp ng kh nng l 6, s kt cc thun li s kin A l 1, s
kt cc thun li s kin B l 2. Vy
P(A) = 1/6 v P(B) = 2/6 = 1/3

(ii) Trong thng c a qu cu trng, b qu cu en ging ht nhau. Ly ngu nhin n
qu ( n a + b). Tnh xc sut rt c k qu cu trng.
Gii.
Mi kt cc ca php th (rt n qu cu) l mt t hp chp n ca (a+b) phn
t. Nh vy s kt cc ng kh nng l C(a+b, n).
Gi A
k
l s kin rt c k qu cu trng. Nh vy nhng kt cc rt c
k qu cu trng v n k qu cu en l thun li cho s kin A
k
. S kt cc ny l
C(a,k)*C(b,n-k).
Vy xc sut ca s kin rt k qu cu trng l
P(A
k
) =
) , (
) , ( ). , (
n b a C
k n b C k a C
+

T tnh cht
1 ) (
0
=

=
n
k
k
A P
suy ra
H qu: cng thc de Vandermonde
) , ( ) , ( ). , (
0
n b a C k n b C k a C
n
k
+ =

=

(iii) Gi thit ging v d (ii). Tnh xc sut rt c t nht 1 qu cu trng.
Gii.
Gi A l s kin rt c t nht 1 qu cu trng. Khi s kin b ca A, tc
A, l s kin c n qu cu c rt u en. S kt cc thun li A l C(b, n), nn
xc sut s kin A l C(b,n)/C(a+b,n).
Suy ra xc sut s kin A l
P(A) = 1 P( A) = 1 C(b,n)/C(a+b,n).

b) Trng hp s kin s cp v hn
nh ngha. Cho khng gian xc sut (, B, P), || = . Gi thit m:BR
+
l nh
x nh ngha trn B tho
(i) 0 < m() <
(ii) Vi mi tp s kin {A
i
| i I } B , I l tp ch s hu hn hoc v hn, tng i
mt xung khc ta c
( )

=
|
|

\
|
I i
i
I i
i
A m A m


nh x m gi l o trn B.

Ta ni ng kh nng nu xc sut ca mi s kin trong B t l vi
o ca n.

Khi , t tnh cht xc sut, ta c:

P(A) = m(A)/m() A
Ni cch khc

o min kt cc thun li s kin A
P(A) =
o min kt cc ng kh nng

o hnh hc.
- o ca on thng hay ng cong l di.
- o ca min phng hay min cong l din tch.
- o ca vt th l th tch.


+ V d:
(i) ng dy in thoi ngm ni ba trm A, B v C (xem hnh). Bng nhin lin lc
gia A v C b ngt do t dy. Hy tnh xc sut dy t trong on dy t A n
B. Bit rng dy ng cht, on AB di 400 m v on BC di 600m.

A 400m B 600m
C
Gii.
R rng kh nng dy t ti mi im bt k l nh nhau. Nh vy xc sut
dy t trong mt on t l vi di ca on dy . Suy ra xc sut dy t
trong on AC l
400/(400 + 600) = 0.4

(ii) Hai ngi A v B hn gp nhau ti mt a im xc nh trong khong t 0 n 1
gi. Ngi n trc s ch ti a 20 pht, nu ngi kia cha n th s b i.
Tnh xc sut h gp nhau. Bit rng mi ngi c th n ch hn vo thi im
bt k trong khong thi gian trn vi kh nng nh nhau.
Gii.
Gi x l thi im n ch hn ca A v y l thi im n ch hn ca B
(tnh ra pht). Mi kt cc ng kh nng l mt cp (x,y), 0 x,y 60. Tp khng
gian s kin s cp s l hnh vung
y
= {(x,y) | 0 x, y 60} 60

Min kt cc thun li cho hai ngi gp nhau
l phn hnh vung chn gia hai ng thng B
y=x+20 v y=x20 (xem hnh bn)
20
B = {(x,y) | 0 x, y 60 v |xy| 20}

0 20 60 x

Suy ra xc sut hai ngi gp nhau l din tch B chia cho din tch , tc l

(60
2
40
2
)/60
2
= 5/9


4. Tn sut
Trong thc t c nhng php th khng c s s kin s cp ng kh nng.
Chng hn nh php th bn mt vin n vo bia. Khi s kin bn trng bia v
s kin bn khng trng bia khng th coi l ng kh nng.
Trong nhng trng hp nh th ny ngi ta s dng khi nim tn sut.
nh ngha. Cho A l s kin ca php th. Gi s php th c lp li n ln v
s kin A xut hin m ln. T s m/n gi l tn sut xut hin s kin A trong lot n
php th. Ngi ta chng minh
) ( A P
n
m
n



V vy trong thc t , khi n ln, ngi ta coi P(A) = m/n.

+ V d. Nh ton hc Laplace thng k tn sut sinh con trai cc thnh ph ln
chu u l 22/43 = 0.512.


III. XC SUT C IU KIN

1. Khi nim xc sut c iu kin
Cho khng gian xc sut (, B, P), B B c P(B) > 0. Vi mi s kin A B,
xc sut A xut hin vi gi thit s kin B xy ra gi l xc sut c iu kin ca
s kin A vi iu kin B.

+ V d. Ngi ta iu tra cc gia nh c hai con th thy t l sinh con trai con gi
bng nhau. V vy 4 kh nng sau c xc sut bng :

(T,T), (T,G), (G,T), (G,G)

trong T k hiu con trai, G k hiu con gi v trong cc cp trn anh hoc chi
ng trc, em ng sau.
Gi s ngi ta g ca mt nh c hai con, v c b gi ra m ca (tc gia
nh c b gi). Hy tnh xc sut a b cn li l con trai.
Khng gian s kin s cp l

= { (T,T), (T,G), (G,T), (G,G) }

Gi A l s kin gia nh c 1 trai v 1 gi. Ta c P(A) = .
Nhng vi iu kin gia nh c b gi th cc s kin s cp ng kh nng
l

= { (T,G), (G,T), (G,G) }

v c 2 kt cc thun li cho A l (T,G) v (G,T). Vy vi iu kin gia nh c b
gi th xc sut cn tm ca A l P(A) = 2/3.

By gi ta k hiu B l s kin gia nh c con gi. Ta ni P(A) l xc sut c
iu kin ca A i vi B v k hiu l P(A/B).

K hiu
n l s kt cc ng kh nng
n
X
l s kt cc thun li s kin X, X B.

Ta c
) (
) . (
:
:
) / (
. .
B P
B A P
n n
n n
n
n
B A P
B
B A
B
B A
= = =


T ta i n nh ngha sau
nh ngha. Cho khng gian xc sut (, B, P), B B c P(B) > 0. Vi mi
s kin A B, ta nh ngha xc sut c iu kin ca s kin A vi iu kin B l
i lng
) (
) . (
) / (
B P
B A P
B A P =
Ta d dng thy rng nh ngha ny tho mn cc tin xc sut v nh x.
Vy
P(, B) : A P(A/B) cng l xc sut trn khng gian s kin B.

Bng qui np ta d dng chng minh nh l sau
nh l nhn xc sut. Cho cc s kin A
1
,, A
n
. Khi

P(A
1
.A
2
..A
n
) = P(A
1
).P(A
2
/A
1
).P(A
3
/A
1
.A
2
)..P(A
n
/A
1
..A
n-1
)



2. S kin c lp
Cho khng gian xc sut (, B, P), A, B B.
S kin A gi l c lp vi s kin B nu kt qu ca s kin B khng nh hng
n xc sut ca s kin A.
Hin nhin l nu P(A)=0 hoc P(B)=0 th s kin A c lp vi B v B cng
c lp vi A.
Nu P(A) 0 v P(B) 0 th, theo nh ngha,
A c lp vi B P(A/B) = P(A) P(A.B) = P(A).P(B)
v
B c lp vi A P(B/A) = P(B) P(A.B) = P(A).P(B)

Kt hp cc kt qu trn ta c

Tnh c lp c tnh cht tng h, tc l A c lp vi B th B cng c lp
vi A v

A v B c lp vi nhau P(A.B) = P(A).P(B)

By gi ta cho cc s kin A
i
B, i=1,,n.
Cc s kin A
1
,, A
n
gi l c lp tng i, nu

i,j {1,,n}, ij A
i
, A
j
c lp
Cc s kin A
1
,, A
n
gi l c lp tng h, nu mi s kin A
k
, k=1,,n, c
lp vi tch nhm bt k cc s kin cn li.

T nh l nhn xc sut suy ra

nh l. Cc s kin A
1
,, A
n
c lp tng h khi v ch khi
I {1,,n},

=
|
|

\
|
I i
i
I i
i
A P A P ) (

+ Ghi ch. Vi n>2, khi nim c lp tng h mnh hn c lp tng i.
Xt v d iu tra gia nh hai con trn. Gi
A l s kin gia nh c 1 trai, 1 gi.
B l s kin gia nh c con gi u
C l s kin gia nh c con trai th
Ta c: P(A) = P(B) = P(C) =
V: P(A.B) = P(B.C) = P(C.A) =
Vy A, B, C c lp tng i.


Nhng A, B, C khng c lp tng h v
P(A.B.C) = P(A).P(B).P(C) = 1/8

nh l. Nu A, B c lp th cc cp s kin (A, B ), ( A,B) v ( A, B ) cng c
lp.
Chng minh. Ta c
P(A, B ) = P(A \ A.B) = P(A) P(A.B)
= P(A) P(A).P(B) = P(A).(1 P(B)) = P(A).P( B )
A v B c lp.
i vi cc cp cn li cng chng minh tng t.

T nh l trn v bng qui np suy ra
nh l. Cho A
1
,, A
n
l cc s kin c lp tng h. Khi cc s kin B
1
,,
B
n
, trong B
i
l A
i
hoc
i
A i=1,,n, cng c lp tng h

+ V d.
(i) Mt thng ng n sn phm, trong c m ph phm (m<n). Rt ngu nhin 1
sn phm, sau rt tip 1 sn phm na (sn phm rt ln u khng b li vo
thng). Tnh xc sut sn phm rt u l ph phm v sn phm rt sau l chnh
phm.
Gii. Gi
A l s kin sn phm rt u l ph phm.
B l s kin sn phm rt sau l chnh phm.
Khi xc sut cn tm l
P(A.B) = P(A).P(B/A) =
1
.

n
m n
n
m

(ii) Mt cng nhn ng 3 my, cc my hot ng c lp vi nhau. Xc sut
trong thi gian T my 1, 2, 3 khng b hng tng ng l 0.9 ; 0.8 ; 0.7. Tnh xc
sut c t nht 1 my b hng trong thi gian T.
Gii. Gi
A l s kin my 1 khng b hng trong thi gian T.
B l s kin my 2 khng b hng trong thi gian T.
C l s kin my 3 khng b hng trong thi gian T.

Xc sut c ba my khng b hng trong thi gian T l
P(A.B.C) = P(A).P(B).P(C) = 0.9 * 0.8 * 0.7 = 0.504
S kin c t nht 1 my hng i lp vi s kin A.B.C. Vy xc sut cn tm l:
1 P(A.B.C) = 1 0.504 = 0.496

IV. CNG THC XC SUT TON PHN v CNG THC BAYES

1. Cng thc xc sut ton phn
Cho khng gian xc sut (, B, P). Gi s A
1
,, A
n
l nhm y s kin
v B l s kin bt k trong B.
Bi ton t ra l: bit xc sut P(A
i
) v P(B/A
i
), i=1,,n, tnh xc sut P(B).
Ta c
B = B.(A
1
A
2
. . . A
n
) = B.A
1
B.A
2
B.A
n


V cc s kin A
1
, , A
n
xung khc tng i nn cc s kin B.A
1
, . . . ,
B.A
n
cng xung khc tng i. Suy ra

P(B) =

=
n
i
i
A B P
1
) . (
Mt khc ta c
P(B.A
i
) = P(A
i
).P(B/A
i
) i =1,, n

T ta c
Cng thc xc sut ton phn

P(B) =

=
n
i
i i
A B P A P
1
) / ( ). (
+ V d.
(i) Mt nh my sn xut bng n gm ba phn xng. Phn xng 1 sn xut
50%, phn xng 2 sn xut 20% v phn xng 3 sn xut 30% s bng n. T
l ph phm ca phn xng 1, 2 v 3 tng ng l 2%, 3% v 4%. Hy tnh t l
ph phm chung ca nh my.
Gii.
T l ph phm chung ca nh my l xc sut mt bng n chn ngu
nhin l ph phm. Ta gi
A
i
l s kin bng n chn ra thuc phn xng i, i=1,2,3.
B l s kin bng n chn ra l ph phm.

Theo cng thc xc sut ton phn ta c

P(B) = P(A
1
).P(B/A
1
) + P(A
2
).P(B/A
2
) + P(A
3
).P(B/A
3
)
= 50%.2% + 20%.3% + 30%.4%
= 1% + 0.6% + 1.2% = 2.8%

(ii) Bit xc sut trong khong thi gian t c k cuc gi n tng i l p
t
(k). Gi thit
rng s cc cuc gi trong cc khong thi gian ri nhau l cc s kin c lp. Hy
tnh xc sut p
2t
(n).
Gii.
Gi
B l s kin c n cuc gi trong khong thi gian 2t
A
k
, k=0, 1, ,n, l s kin c k cuc gi trong na u thi gian t.
Ta c
P(A
k
) = p
t
(k) v P(B/A
k
) = p
t
(nk) k=0,1,, n

Theo cng thc xc sut ton phn suy ra
P(B) = p
2t
(n) =

n
k
t t
k n p k p
0
) ( ). (
2. Cng thc Bayes.

Cho khng gian xc sut (, B, P). Gi s A
1
,, A
n
l nhm y s kin
v B l s kin bt k trong B. Bit xc sut P(A
i
) v P(B/A
i
) i=1,,n.
Gi thit php th c thc hin v s kin B xy ra. Hy tnh xc sut
P(A
i
/B) i=1,,n.
T cng thc nhn xc sut
P(A
i
.B) = P(A
i
).P(B/A
i
) = P(B).P(A
i
/B) i=1,,n
suy ra
P(A
i
/B) =
) (
) / ( ). (
B P
A B P A P
i i
i=1,,n
Th P(B) theo cng thc xc sut ton phn ta c
Cng thc Bayes

P(A
i
/B) =

=
n
k
k k
i i
A B P A P
A B P A P
1
) / ( ). (
) / ( ). (
i=1,,n

Xc sut P(A
i
/B) gi l xc sut hu nghim, cn xc sut P(A
i
) gi l xc
sut tin nghim.

+ V d.
(i) Mt thit b gm ba loi linh kin, loi 1 chim 35%, loi 2 chim 25%, loi 3 chim
40% tng s linh kin ca thit b. Xc sut h hng sau khong thi gian hot ng
T ca tng loi tng ng l 15%, 25% v 5%.
Thit b ang hot ng bng b hng. Hy tnh xc sut h hng ca tng
loi linh kin.
Gii.
Gi
B l s kin thit b b hng
A
k
l s kin linh kin hng thuc loi k, k=1,2,3.
Theo cng thc xc sut ton phn, ta c

P(B) = P(A
1
).P(B/A
1
) + P(A
2
).P(B/A
2
) + P(A
3
).P(B/A
3
)
= 35%.15% + 25%.25% + 40%.5%
= 5.25% + 6.25% + 2% = 13.5%

P(A
1
/ B) = 5.25% / 13.5% = 7 / 18
P(A
2
/ B) = 6.25% / 13.5% = 25 / 54
P(A
3
/ B) = 2% / 13.5% = 4 / 27

(ii) Gi s mt h thng truyn tin c 1 my pht v 1 my thu.
Ti my pht c th xy ra hai s kin: pht tn hiu (s kin B) v khng pht
tn hiu (s kin B ).
Ti my thu c th xy ra hai s kin: nhn tn hiu (s kin A) v khng nhn
tn hiu (s kin A).
V nh hng nhiu nn c th xy ra hin tng my thu khng nhn c
tn hiu ca my pht, hoc ngc li my pht khng pht tn hiu nhng my thu
vn nhn tn hiu gi do tp m.
Gi s bit xc sut P(B), P(A/B) v P(A/ B ). xc nh tin cy ca h
thng, hy tnh xc sut P(B/A) v P( B / A).
Gii.
Theo cng thc Bayes ta c

P(B/A) =
( ) ( ) B A P B P B A P B P
B A P B P
/ . ) / ( ). (
) / ( ). (
+


P( B / A) =
( ) ( )
( ) ( ) ( ) ( ) B A P B P B A P B P
B A P B P
/ . / .
/ .
+

trong cc xc sut P( B ), P( A/B), P( A/ B ) tnh nh sau
P( B ) = 1 P(B), P( A/B) = 1 P(A/B), P( A/ B ) = 1 P(A/ B )

Chng hn, cho P(B) = 5/8, P(A/B) = 3/5 v P(A/ B ) = 1/3 ta c:
P( B ) = 1 P(B) = 3/8, P( A/B) = 1 P(A/B) = 2/5, P( A/ B ) = 1 P(A/ B ) = 2/3

Suy ra
P(B/A) =
4
3
. .
.
8
4
8
3
3
1
8
3
5
3
8
5
5
3
8
5
= =
+
& P( B / A) =
4
1
. .
.
8
4
8
2
5
2
8
5
3
2
8
3
3
2
8
3
= =
+



CHNG 2
BIN NGU NHIN

I. KHI NIM BIN NGU NHIN

1. V d

(i) Mt x th bn ba pht n vo bia vi xc sut trng bia mi pht l p. Gi X l
tn sut bn trng bia. X c th nhn cc gi tr 0, 1/3, 2/3, 1.
Ta thy X c hai tnh cht: bin thin v ngu nhin. Tnh bin thin l hin
nhin v X c th nhn cc gi tr khc nhau. Tnh ngu nhin th hin ch gi tr
ca X ph thuc vo kt cc ca php th bn ba pht n.
Php th c cc kt cc s cp sau:

1
= (0, 0, 0);
2
= (0, 0, 1);
3
= (0, 1, 0);
4
= (0, 1, 1)

5
= (1, 0, 0);
6
= (1, 0, 1);
7
= (1, 1, 0);
8
= (1, 1, 1)

trong b ba (b
1
, b
2
, b
3
) vi b
i
= 0 hoc 1 tng ng vi ln bn th i trt hoc
trng ch. Chng hn, nu
2
xy ra th X = 1/3. Nh vy c th coi X l hm t
= {
i
| i=1,, 8} vo R.

(ii) Tui th trung bnh ca chi tit l a. Tuy nhin thi gian lm vic ca cc chi tit
khng ging nhau. K hiu X l lch ca tui th chi tit so vi tui th trung
bnh:
X = | t a |.

trong t l tui th chi tit.
Nh vy X cng l i lng ngu nhin. y khng gian s kin s cp
l = [0; +).

2. nh ngha.

Cho khng gian xc sut (, B, P). nh x

X : R

gi l bin ngu nhin, nu

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

Bin ngu nhin X gi l bin ngu nhin ri rc, nu X() l hu hn hoc v
hn m c.
Chng hn, bin ngu nhin v d (i) l bin ngu nhin ri rc.

Bin ngu nhin X gi l bin ngu nhin lin tc, nu X() lp y mt khong
no y trn trc s.
Chng hn, bin ngu nhin v d (ii) l bin ngu nhin lin tc.


II. BIN NGU NHIN RI RC

1. Lut phn phi xc sut ri rc

nh ngha. Cho khng gian xc sut (, B, P) v bin ngu nhin ri rc X. Gi
s tp cc gi tr ca X l

X() = { x
i
| i I }

trong I l tp ch s hu hn hoc v hn m c.

Ta gi lut phn phi xc sut ca X l tp

{ p
k
| k I }

trong p
k
, k I, l xc sut s kin X = x
k
:

p
k
= P(X = x
k
) = P( | X() = x
k
)

Lut phn phi xc sut ca bin ngu nhin ri rc X c biu din dng
dy

X = { (x
i
, p
i
) | i I }
hoc dng bng

X x
1
x
2
. . . x
k
. . .
P p
1
p
2
. . . p
k
. . .

V x
k
, k I , khc nhau tng i nn cc s kin X = x
k
, k I xung khc tng
i. Suy ra

1 ) ( } ) ( | {
I k
= =
|
|

\
|
= =

P x X P p
k
I k
k

+ V d.
(i) Lut phn phi xc sut nhj thc B(n,p). Gi s s kin A ca php rh c
xc sut l p. Thc hin php th n (nN) ln mt cch c lp. Gi X l bin
ngu nhin c gi tr l tn s xut hin s kin A. Hy tm lut xc sut ca X.
Gii.
X c th nhn cc gi tr 0, 1, 2, , n. tnh xc sut p
k
= P(X=k) ta lm
nh sau:
K hiu A
i
l s kin A php th ln th i , i=1, , n.
X=k th trong n ln thc hin php th , phi c ng k ln s kin A
xy ra.
Nh vy , X=k th trong dy s kin (A
1
, , A
n
) c ng k s kin xy ra
v nk s kin khng xy ra. Mi kh nng nh vy c xc sut l

p
k
.(1p)
nk


Mt khc mi kh nng trn ng vi mt t hp chp k ca n phn t. Vy ta
nhn c cng thc Bernoulli

p
k
= C(n,k).p
k
.(1p)
nk
, k=0, 1, , n

Lut phn phi xc sut

{(k, C(n,k).p
k
.(1p)
nk
| k=0, 1, , n}

gi l lut phn phi xc sut nh thc B(n,p).

Xc sut s ln xut hin A nm trong khong t k
1
n k
2
l

( )

=

=
2
1
) 1 ( ). , ( ,
2 1
k
k k
k n k
n
p p k n C k k P



(ii) C n x th bn bia. Xc sut bn trng ch ca x th k l p
k
, k=1,, n. Gi X
l s x th bn trng ch. Tm lut phn phi xc sut ca X.
Gii.
Lp lun tng t nh trn ta thy c C(n,k) kh nng k x th bn trng ch
v nk x th bn trt. Tuy nhin xc sut mi kh nng khng ging nhau. V vy
xc sut P(X=k) l tng ca C(n,k) s hng, mi s hng l tch ca k xc sut p
i
v
nk xc sut q
j
= 1p
j
dng

k n k
j j j i i i
q q q p p p

..... . . ..... .
2 1 2 1

Nh vy

P(X=k) =

< < < =

n i i i i j
j
k
h
i
k k
h
p p
... 1 } ,..., {i 1
2 1 1
) 1 (


trong mi b {i
1
, , i
k
} l t hp chp k ca n phn t {1, 2, , n}.

Chng hn, vi
n = 4, p
1
= 0.1 ; p
2
= 0.2 ; p
3
= 0.3 ; p
4
= 0.4
ta c
P(X=2) = 0.1 x 0.2 x 0.7 x 0.6 + 0.1 x 0.8 x 0.3 x 0.6 + 0.1 x 0.8 x
0.7 x 0.4
+ 0.9 x 0.2 x 0.3 x 0.6 + 0.9 x 0.2 x 0.7 x 0.4 + 0.9 x 0.8 x
0.3 x 0.4
= 0.2144

Ta c th tnh xc sut bng hm sinh:

(z) =
( )

=
+
n
i
i i
z p q
1
.
= a
n
z
n
+ a
n1
z
n1
+ + a
k
z
k
+ + a
1
z + a
0

Khi
P(X=k) = a
k
, k=0, 1, , n

Quay li s liu trn ta c

(z) = (0.9 + 0.1z)(0.8 + 0.2z)(0.7 + 0.3z)(0.6 + 0.4z) =
= 0.302 + 0.440z + 0.215z
2
+ 0.040z
3
+ 0.002z
4


Suy ra
P(X=0) = 0.302 ; P(X=1) = 0.440 ; P(X=2) = 0.215 ;
P(X=3) = 0.040 ; P(X=4) = 0.002

(iii) Gi s mt php th c m s kin A
1
, , A
m
hp thnh nhm y cc s
kin. Xc sut s kin A
i
l p
i
, i=1,,m, khng ph thuc vo ln th. Php th
c thc hin n ln. Tnh xc sut A
i
xut hin k
i
ln, i=1,,m, trong

k
1
+ + k
m
= n
Gii.
Mi kt cc: A
i
xut hin k
i
ln, i=1,,m, l mt hon v lap v c xc sut l
m
k
m
k k
p p p ..... .
2 1
2 1

Vy xc sut cn tm l

P
n
(k
1
, , k
m
) =
m
k
m
k k
m
p p p
k k k
n
..... .
! !..... !.
!
2 1
2 1
2 1


(iv) Mt hp kn c a qu cu trng v b qu cu en. Ly ngu nhin n qu cu
(n a+b). Gi X l s qu cu trng c ly ra. Tm lut phn phi xc sut ca X.
Gii.
Theo v d chng trc,
) , (
) , ( ). , (
) (
n b a C
k n b C k a C
k X P p
k
+

= = =
, k=0,1,,n.

y l lut phn phi xc sut siu hnh hc H(a+b, n, a/(a+b)).

(v) Trong mt s ng dng k thut, ta thng gp bin ngu nhin ri rc v hn c
lut xc sut

,....} 2 , 1 , 0 |
!
. e {(k,
-
= k
k
k

trong > 0 l hng s.
Lut ny gi l lut phn phi xc sut Poisson , k hiu l P().

Bin ngu nhin c lp. Hai bin ngu nhin X v Y trn cng khng gian xc sut
gi l c lp, nu lut phn phi ca X khng ph thuc gi tr ca Y v ngc li.



2. Hm phn phi xc sut

nh ngha. Cho bin ngu nhin X (ri rc hoc lin tc) trn khng gian xc sut
(, B, P). Hm phn phi xc sut ca X l hm

F(x) = P( X x), xR

Ta xt trng hp bin ngu nhin ri rc.
Cho bin ngu nhin ri rc X c lut xc sut

{(x
i
, p
i
) | i=1, , n}

T nh ngha suy ra hm phn phi F(x) c xc nh theo cng thc sau

F(x) = P( X x ) =

x x
i
i
p


Nh vy hm phn phi l hm gin on bc thang c bc nhy p
k
ti
x=x
k
, k=1,,n, v l hm lin tc phi.

+ V d: Xt lut nh thc B(3, ). Ta c

p
0
= 1/8 , p
1
= p
2
= 3/8 , p
3
= 1/8

Vy hm phn phi l

<
<
<
<
=
x
x
x
x
x
x F
3 1
3 2
2 1 ,
1 0 ,
0 , 0
) (
8
7
2
1
8
1


th ca hm phn phi nh sau




1

7/8



1/8

0 1 2 3


Tnh cht. Cho hm phn phi F(x) ca bin ngu nhin X. Khi
(i) F(x) khng gim trn R
(ii) 1 ) ( =
+
x F lm
x
v
0 ) ( =

x F lm
x

(iii) F(x) lin tc phi trn R
(iv) Nu X l bin ngu nhin ri rc vi lut xc sut

{(x
i
, p
i
) | i=1, , n}

th hm phn phi F(x) c xc nh theo cng thc sau

F(x) =

x x
i
i
p

v
P( X=x ) = F(x)
) (
0
t F lm
x t

Ghi ch: T (i) v (ii) suy ra
0 F(x) 1 , x R


3. Cc tham s c trng

a) K vng.
Cho bin ngu nhin ri rc X vi lut xc sut

{(x
i
, p
i
) | i I}

K vng ca X, k hiu E(X), l gi tr xc nh bi cng thc

E(X) =
I i
i i
p x


Trong trng hp tp ch s I v hn th chui phi hi t tuyt i.

+ V d.
(i) Phn phi Bernoulli.
Cho A l s kin ca php th c xc sut P(A) = p. Gi X l bin ngu
nhin ch s ln xut hin s kin A trong 1 ln thc hin php th . Lut phn phi
ca X l
{(1,p), (0,1p)}

Vy
E(X) = 1.p + 0.(1p) = p


(ii) Cho X l bin ngu nhin c lut phn phi nh thc B(n,p)

{(k, C(n,k).p
k
.(1p)
nk
| k=0, 1, , n}

S dng ng thc

k.C(n,k) = n.C(n1,k1), n,kN, n k

ta c
E(X) = = =

=

n
k
k n k
n
k
k n k
p p k n kC p p k n kC
1 0
) 1 ( ). , ( ) 1 ( ). , (

p n p p h n C p n p p k n C n
n
h
h n h
n
k
k n k
. ) 1 ( ). , 1 ( . . ) 1 ( ). 1 , 1 ( .
1
0
1
1
= = =


=

=

(iii) Cho bin ngu nhin X c lut phn phi xc sut Poisson P()

,....} 2 , 1 , 0 |
!
. e {(k,
-
= k
k
k

Ta c
E(X) =

= = =

e e
h
e
k
e
k
e k
h
h
k
k
k
k
. .
!
.
)! 1 (
. .
!
. .
0 1
1
0



(iv) Cho X l bin ngu nhin c lut phn phi xc sut ri rc v hn

=
|
|

\
|
+
,... 2 , 1
1) k.(k
1
k, k

Ta c
1
1
1 1
) 1 (
1
1 1
=
|

\
|
+
=
+


=

= k k
k k k k


nhng
+ =
+
=
+


=

= 1 1
1
1
) 1 (
1
k k
k k k
k

Chui trn phn k nn X khng c k vng.

nh l. Cho X l bin ngu nhin ri rc ca php th c lut phn phi xc sut
{(x
i
, p
i
) | i I}

Gi s X c k vng E(X) v nh x :RR . Khi (X) cng l bin ngu
nhin ca php th . Nu (X) c k vng th

E[(X)] =

I i
i i
p x ). (

CM. Suy ra trc tip t nh ngha.

Tnh cht. Cho X, Y l cc bin ngu nhin, C l hng. Khi
(i) E(C) = C
(ii) E(C.X) = C.E(X)
(iii) E(X + Y) = E(X) + E(Y)
(iv) Nu X, Y l cc bin ngu nhin c lp, th
E(X.Y) = E(X).E(Y)

b) Mode.
nh ngha. Cho bin ngu nhin X vi lut phn phi xc sut

{(x
i
, p
i
) | i I}

Mode ca X l tr ca X c xc sut cc i, k hiu M(X).

+ V d. Cho bin ngu nhin X c lut phn phi xc sut nh thc B(n,p). K hiu

P
n
(k) = P(X=k) = C(n,k).p
k
.q
nk
(q=1p)
Ta c
q
p
k
k n
q
p
n
k n k
k n k
n
q p k n C
q p k n C
k P
k P
k n k
k n k
n
n
1 !
)! !.(
)! 1 )!.( 1 (
!
. ). , (
. ). 1 , (
) (
) 1 (
1 1
+

+
=
+
=
+

+


T suy ra

P
n
(k+1) > P
n
(k) (nk).p > (k+1).q
n.p k.p > (k+1)(1p)
n.p k.p > k.p p + k + 1
k < n.p q

P
n
(k+1) = P
n
(k) k = n.p q
P
n
(k+1) < P
n
(k) k > n.p q

Ta thy khi k tng t 0 n n, hm P
n
(k) tng n cc i ri gim dn. Vy
Nu n.p q 0 l s nguyn th P
n
(k) t cc i ti

k
0
= n.p q v k
0
+ 1 = np q + 1 = n.p + p

Nu n.p q > 0 khng nguyn th P
n
(k) t cc i ti

k
0
= n.p q( (x( l s nguyn nh nht ln hn x)

Nu n.p q < 0 th P
n
(k) t cc i ti k
0
= 0.

c) Phng sai v lch qun phng.
nh ngha. Cho bin ngu nhin X vi lut phn phi xc sut

{(x
i
, p
i
) | i I}

v k vng E(X) = a. Gi thit chui
( )

I i
i i
p a x .
2
hi t. Khi tng ca chui gi
l phng sai ca X v k hiu l D(X), tc l

D(X) =
( )

I i
i i
p a x .
2
= E(Xa)
2

Nu X c phng sai D(X) th i lng

) ( ) ( X D X =

gi l lch qun phng ca bin ngu nhin X.

Cng thc KoenigHuyghens.
D(X) = E(X
2
) [E(X)]
2
CM.
D(X) = E(Xa)
2
= E(X
2
2.a.X + a
2
)

= E(X
2
) 2E(X).E(X) + E(X)
2
= E(X
2
) [E(X)]
2


+ V d.
(i) Tnh phng sai ca bin ngu nhin X c lut phn phi nh thc B(n,p)
(q=1p).
Ta c

E(X
2
) =

n
k
k n k
q p k n C k
0
2
. ). , ( .

=

=


n
k
k n k
q p k n C p n k
1
) 1 ( ) 1 ( 1
. ). 1 , 1 ( . . .
(p dng k.C(n,k) =
n.C(n1,k1))

=

=

+
1
0
) 1 (
. ). , 1 ( ). 1 ( . .
n
h
h n h
q p h n C h p n
(h = k 1)

=


=

=

+
1
0
) 1 (
1
0
) 1 (
. ). , 1 ( . . . ). , 1 ( . . .
n
h
h n h
n
h
h n h
q p h n C p n q p h n C h p n

= n.p.E(X) + n.p.1

trong X c lut nh thc B(n1,p). Vy

E(X
2
) = n.p.(n1).p + n.p = n.(n1).p
2
+ n.p

Theo cng thc KoenigHuyghens suy ra

D(X) = n.(n1).p
2
+ n.p (n.p)
2
= n.p.q

lch qun phng cu X l

q p n X . . ) ( =

(ii) Tnh phng sai ca bin ngu nhin X c lut phn phi Poisson tham s > 0,
P().
Ta c

E(X
2
) =


=

+ =

=
0 1
1
1
2
!
) 1 ( . .
)! 1 (
. .
!
.
h
h
k
k
k
k
h
h e
k
k e
k
e k

(h=k1)

=

+ = + = + = +

2
0 0
. . . ) ( .
!
. .
!
. . e e X E
h
e
h
e h
h
h
h
h


Theo cng thc KoenigHuyghen suy ra

D(X) =
2
+
2
=

lch qun phng cu X l

= ) (X

Tnh cht. Cho X, Y l cc bin ngu nhin, C l hng. Khi
(i) D(C) = 0
(ii) D(C.X) = C
2
.D(X)
(iii) (C.X) = |C|.(X)
(iv) Nu X, Y l cc bin ngu nhin c lp, th
D(X + Y) = D(X) + D(Y)

CM
(iv) D(X + Y) = E(X + Y)
2
[E(X + Y)]
2
= E(X
2
+ 2X.Y + Y
2
) [E(X) + E(Y)]
2
= E(X
2
) [E(X)]
2
+ E(Y
2
) [E(Y)]
2
+ 2.E(X.Y)
2.E(X).E(Y)
= D(X) + D(Y) (v E(X.Y) = E(X).E(Y))

H qu. Cho X
1
, , X
n
l cc bin ngu nhin c lp c cng phng sai D. K
hiu

=
=
n
i
i
X
n
X
1
1

Khi
( )
n
D
X D =

CM
( ) ( )
n
D
D n
n
X D
n
X
n
D X D
n
i
i
n
i
i
= = = |

\
|
=

= =
.
1 1 1
2
1
2
1


d) Mmen
Cho bin ngu nhin X, a R, k N.
Mmen cp k i vi a ca X l gi tr

k
(a) = E[(X a)
k
]

Mmen gc cp k ca X l gi tr

k
=
k
(0) = E(X
k
)

Mmen gc cp 1 ca X l k vng E(X) (nu tn ti).

Mmen trung tm cp k ca X, vi iu kin X c k vng, l gi tr

k
=
k
(E(X)) = E[(X E(X))
k
]

Mmen trung tm cp 2 ca X l phng sai D(X) (nu tn ti).

nh l. Cho r, s N , r s, v bin ngu nhin ri rc X. Khi , nu tn ti
mmen gc cp s ca X, th tn ti mmen gc cp r ca X.
CM
Gi s lut phn phi xc sut ca X l

{(x
i
, p
i
) | i I}

V
s
tn ti nn chui
i
I i
s
i
p x

hi t. Ta c
( )
i
I i
s
i i
I i
r
i i
I i
r
i
p x p x p x


+ . 1 .
(v
s
i
r
i
x x , nu |x
i
| 1 v 1
r
i
x , nu |x
i
| 1 ).
Suy ra
< +


i
I i
s
i
i I i
i i
I i
r
i
p x p p x . .

Cui cng ta suy ra
i
I i
r
i
p x

hi t tuyt i.
pcm

H qu. Cho r, s N , r s, v bin ngu nhin ri rc X. Khi , nu tn ti
mmen gc cp s ca X, th tn ti mmen cp r ti a R bt k ca X.
CM
S dng nh l v ng thc sau


=

=
(

= =
r
0
i i - r
n
0
i - r r
) E(X . . k).(-1) C(n, . k).(-1) C(n, E ] a) - E[(X ) (
i
i r
i
i i r
k
a x a a

Mmen trung tm cp 3.


3
= E[X E(X)]
3
= E[X
3
3.X
2
.E(X) + 3.X.E(X)
2
E(X)
3
] =
=
3
3.
1

2
+ 3.
1
3

1
3
=
3
3.
1

2
+ 2.
1
3


By gi ta gi thit rng X i xng qua E(X), tc X c lut phn phi

{(x
i
, p
i
) | i = , , 2, 1, 1, 2, , + }

trong
p
i
= p
i
v x
i

1
= (x
i

1
) , i = 1, 2, ,

Khi mi mmen trung tm cp l u bng 0.

Mmen
3
c trng cho tnh bt i xng ca bin ngu nhin i vi k
vng. Nu
3
> 0 th phn phi lch v bn phi k vng, nu
3
< 0 th phn phi
lch v bn tri k vng.

i lng
s
3
=
3
3

gi l h s bt i xng ca bin ngu nhin X.

Mmen trung tm cp 4.


3
= E[X E(X)]
4
= E[X
4
4.X
3
.E(X) + 6.X
2
.E(X)
2
4.X.E(X)
3
+ E(X)
4
] =
=
4
4.
3

1
+ 6.
1
2
.
2
4.
1
3
.
1
+
1
4
=
4
4.
3

1
+ 6.
1
2
.
2
3.
1
4


4. Mt s lut phn phi quan trng

a) Lut phn phi u ri rc U(1,n).
nh ngha. Bin ngu nhin X gi l tun theo lut phn phi u U(1,n) nu c
phn phi
{(k, 1/n) | k =1, 2, , n}

K vng v phng sai:
E(X) =
2
1 + n
& D(X) =
12
1
2
n

CM
E(X) =
2
1
2
) 1 ( 1 1 1
.
1 1
+
=
+
= =

= =
n n n
n
k
n n
k
n
k
n
k


D(X) = E(X
2
) E(X)
2
=
12
1
4
) 1 (
6
) 1 . 2 )( 1 ( 1
4
) 1 ( 1
2 2 2
1
2

=
+

+ +
=
+

=
n n n n n
n
n
k
n
n
k



+ V d. Trong thng c n qu cu, trong c 1 qu cu en. Ngi ta ly ngu
nhin tng qu cu ra khi thng (khng b li vo thng) cho n khi ly c qu
cu en. Gi X l bin ngu nhin c gi tr bng s qu cu ly ra. Xc nh lut
phn phi ca X.
Gii.
Min gi tr ca X l 1, 2, , n.
Gi A
i
l s kin qu cu en c rt ra ln th i, i=1,2,,n. Vi mi
k=1,2,,n ta c
P(X=k) = ( )
k k
A A A A P . ..... .
1 2 1


= ( ) ( ) ( ) ( ) ( )
1 2 1 2 2 1 1 2 1 3 1 2 1
..... / ..... / ..... / /
k k k k
A A A A P A A A A P A A A P A A P A P

=
n k n k n
k n
n
n
n
n 1
1
1
2
1
.....
1
2 1
=
+ +
+

Vy X c phn phi u U(1,n).


b) Phn phi Bernoulli B(1,p).
nh ngha. bin ngu nhin X gi l tun theo lut phn phi Bernoulli B(1,p),
0<p<1, nu X c phn phi xc sut

{(1,p), (0,1p)}

K vng v phng sai:
E(X) = p & D(X) = p.(1p)

+ V d. Hai i th ngang sc chi 2.n vn c, vi iu kin mi vn phi c ngi
thng. Gi X
n
l bin ngu nhin,

X
n
= 1, nu trn u ho, ngc li X
n
= 0.

Xc nh lut phn phi ca X
n
.
Gii.
S kin X
n
= 1 xy ra nu ngi th nht thng n trn. Xc sut mt kh
nng nh vy l
()
n
.()
2nn
= ()
2n


v mi kh nng ng vi mt t hp chp n ca 2n. Vy xc sut

p
n
= P(X
n
=1) = C(2n,n).()
2n


v X
n
c phn phi B(1,p
n
).
* Ghi ch. bin ngu nhin
X
1
+ X
2
+ + X
n

l s thi im hai ngi c s vn thng thua bng nhau.


c) Phn phi nh thc B(n,p).
nh ngha. bin ngu nhin X gi l tun theo lut phn phi nh thc B(n,p), nN,
0<p<1, nu X c phn phi xc sut

{(k,C(n,k).p
k
.(1p)
nk
) | k=0,1,2, ,n}

K vng v phng sai:
E(X) = n.p & D(X) = n.p.(1p)

+ V d. C n khch hng v m quy hng. Mi khch hng chn ngu nhin mt
quy hng vi xc sut ging nhau v hon ton c lp vi nhau. Gi X l s khch
hng chn quy s 1. Xc nh lut phn phi ca bin ngu nhin X.
Gii.
Mi khch hng chn quy s 1 vi xc sut p = 1/m. Suy ra xc sut

P(X=k) = C(n,k).(1/m)
k
.(11/m)
nk

Nh vy X c lut phn phi B(n,1/m).


d) Phn phi hnh hc G(p).
nh ngha. bin ngu nhin X gi l tun theo lut phn phi hnh hc G(p),
0<p<1, nu X c phn phi xc sut

{(k, p.(1p)
k1
) | k = 1, 2, ,n, , + }

K vng v phng sai: K hiu q = 1 p, ta c

E(X) = 1/p & D(X) = q/p
2
CM.
(i) E(X) =
p q
p
dq
q
d
p
dq
q d
p p k p
k
k
k
k
1
) 1 (
1
1
. . ) 1 .(
2
1
1
1
=

=
|
|

\
|

=
|

\
|
=

(ii) Ta c
D(X) =
2
1
1 2
1
. .
p
q k p
k
k

(1)

Theo (i) ta c

dq
q
q
d
dq
q k d
q
q
q k
q
q k
k
k k
k
k
k
|
|

\
|

=
|

\
|

=
2
1
2
1
2
1
1
) 1 (
.
) 1 (
.
) 1 (
1
.

==>
3 4
2
4
2
1
1 2
. 2 . . 2
) 1 (
) 1 .( . 2 ) 1 (
.
p
q p
p
q p p
q
q q q
q k
k
k
+
=
+
=

+
=

Th vo (1) ta c

D(X) =
2 2 3
1 . 2
p
q
p p
q p
p =
+


+ V d. Ba ngi chi tr chi gieo xc sc. Mi vn mi ngi gieo mt ln, nu c
ngi gieo c mt 6 chm th ngi thng. Tr chi kt thc nu c ngi
thng. Gi X l s vn chi. Xc nh lut phn phi ca bin ngu nhin X.
Gii.
(i) Trng hp c th c nhiu ngi thng trong mt vn.
S kin X = k xy ra nu trong k 1 vn: 1,2,,k1 khng c ai gieo c
6 chm v n vn th k th c ngi gieo c 6 chm.
Gi A l s kin khng c ai thng trong mt vn. Ta c

P(A) =
3
6
5
|

\
|
& ( )
3
6
5
1
|

\
|
= A P
Vy

P(X=k) =
) 1 .( 3 3
6
5
6
5
1

\
|
(
(

\
|

k
, k=1,2,, +
tc X c lut phn phi hnh hc G(p), vi p =
216
91
216
125 216
6
5
1
3
=

=
|

\
|

(ii) Trng hp ch cho php mt ngi thng trong mt vn.
S kin X = k xy ra nu vn th k c ng 1 ngi gieo c 6 chm v
trong mi vn: 1,2,,k1 hoc khng c ai gieo c 6 chm hoc c t nht 2
ngi gieo c 6 chm.
Gi A l s kin c ng 1 ngi thng trong mt vn. Ta c

P(A) =
72
25
6
5
6
1
. 3
2
=
|

\
|
& ( )
72
25
1 = A P
Vy

P(X=k) =
) 1 (
72
25
1
72
25

|

\
|

k
, k=1,2,, +
tc X c lut phn phi hnh hc G(p), vi p =
72
25


e) Phn phi siu hnh hc H(N,n,p).

nh ngha. bin ngu nhin X gi l tun theo lut phn phi siu hnh hc
H(N,n,p) (N, n N, 0<p<1, q=1p, N.p N), nu X c phn phi xc sut

{(k,
) , (
) , . ( ). , . (
n N C
k n q N C k p N C
) | k= 0,1, 2, ,n }

K vng v phng sai:

E(X) = n.p & D(X) = n.p.q.
1

N
n N

CM.
(i) K vng: Ta c
E(X) =

n
k
n N C
k n q N C k p N C
k
0
) , (
) , . ( ). , . (
.
S dng ng thc k.C(n,k) = n.C(n1,k1), 1 k n, suy ra

E(X) =

=

n
k
n N C
k n Nq C k Np C
p N
0
) , (
) , ( ). 1 , 1 (
. .
Tip theo, p dng cng thc Vandermonde, ta c

E(X) =
) , (
) 1 , 1 (
.
) , (
) 1 , 1 . . (
. .
n N C
n N C
p N
n N C
n q N p N C
p N

=
+


E(X) = p n
N
n
p N
N
n N n
n N n
N
p N . .
!
)! ( !
)! ( )! 1 (
)! 1 (
. = =

(ii) Phng sai. p dng hai ln cng thc gim bc, ta c

E[X.(X1)] =

n
k
n N C
k n q N C k p N C
k k
1
) , (
) , . ( ). , . (
) 1 (
= N.p.(N.p 1).

=

n
k
n N C
k n q N C k p N C
2
) , (
) , . ( ). 2 , 2 . (

Tip theo, p dng cng thc Vandermonde, ta c

E[X.(X1)] = N.p.(N.p 1).C(N.p + N.q 2, n 2) / C(N,n)
= N.p.(N.p 1).C(N 2, n 2) / C(N,n)
= N.p.(N.p 1).
!
)! ( !
)! ( )! 2 (
)! 2 (
N
n N n
n N n
N

= N.p.(N.p 1).
) 1 .(
) 1 .(

N N
n n

T trn suy ra
D(X) = E[X(X1)] + E(X) E(X)
2
= N.p.(N.p 1).
) 1 .(
) 1 .(

N N
n n
+ n.p (n.p)
2
=
(

p n
N
n p N
p n . 1
1
) 1 ).( 1 . (
. .
=
1
. .
1
. .
. .

=
(

+
N
n N
q p n
N
p n n p n N
p n

+ V d.
Trong thng c a qu cu trng, b qu cu en. Ly ngu nhin n qu cu
(n a+b). K hiu X l bin ngu nhin ch s qu cu trng c ly ra. Xc nh
lut phn phi ca X.
Gii.
X nhn gi tr nguyn k trong khong

[max(0, nb), min(n,a)]

v xc sut
P(X = k) =
) , (
) , ( ). , (
n b a C
k n b C k a C
+

Nh vy X c phn phi siu hnh hc H(a+b, n, a/(a+b)) vi k vng

E(X) = n.a/(a+b)
V phng sai

D(X) =
1 +
+
+ + b a
n b a
b a
b
b a
a
n


f) Phn phi Poisson P() (>0).
nh ngha. bin ngu nhin X gi l tun theo lut phn phi Poisson P(), 0<,
nu X c phn phi xc sut

{(k,
!
.
k
e
k

) | k= 0, 1, 2, ,n, , + }

K vng v phng sai:

E(X) = & D(X) =


+ V d. Lut phn phi Poisson l lut gii hn.
Cho dy thng (U
n
)
n 1
, trong thng U
n
, n 1, cha cc qu cu trng v
cu en theo t l p
n
. Vi n=1,2, ta ln lt ly n qu cu , c tr li, t thng U
n
.
K hiu X
n
l s qu cu trng ly ra t thng U
n
.
Gi thit n.p
n
khi n. Ta nghin cu xc sut P(X
n
=k) khi n. K
hiu 1 p
n
= q
n
, ta c

P(X
n
= k) =
( )
n
q k n k
n
k n
n
k
n
e p
k
k n n n
q p k n C
ln ) (
!
) 1 )...( 1 (
. ). , (

+
=

V n.p
n
khi n, nn p
n
0. Suy ra
( ) ( ) = = =

n
n
n
n
n
n
p k n p k n q k n ) ( lim 1 ln ) ( lim ln ) ( lim

ko theo

( )
! !
lim lim
k
e e p
k
n
k X P
k
k
n
k
n
n
n

=
|
|

\
|
= =
Nh vy phn phi ca X
n
tim cn n phn phi Poisson P().

III. BIN NGU NHIN LIN TC

1. Hm mt phn phi

nh ngha. Bin ngu nhin X trn khng gian xc sut (, B, P) gi l lin tc
khi v ch khi tn ti hm f:RR tho
(i) f(x) 0 xR
(ii) S im gin on ca f l hu hn
(iii) Ti cc im gin on, f c gii hn phi v gii hn tri, hu hn hoc v
hn
(iv) Tch phn
1 ) ( =

+

dt t f

(v) Hm phn phi F(x) tho

F(x) = P(X x) =

x
dt t f ) (

Hm f(t) gi l hm mt phn phi ca bin ngu nhin X.

Ngc li, hm f(t) tho (i)(iv) l hm mt ca bin ngu nhin no .
T nh ngha suy ra h qu
H qu. Cho bin ngu nhin lin tc X vi hm mt f(t). Khi
(i) P(X=a) = 0 aR
(ii) P(a<X<b) = P(a X b) = P(a<X b) = P(a X<b) =

b
a
dt t f ) (
a,bR,
a<b
(iii) Hm phn phi F(x) lin tc trn R v kh vi ti cc im lin tc ca f v
F(t) = f(t) t l im lin tc ca f

+ V d.
(i) Cho a,bR, a<b, v X l im ngu nhin chn trong on [a,b]. Gi thit
rng xc sut X ri vo cc khong bng nhau trong [a,b] l ging nhau. Xc nh
hm mt ca X.
Gii.
V xc sut P(a<X b) = 1, ta c

P(< X ) =
a b

[,] [a,b]
Vy hm phn phi ca X l

<
<

=
x b
b x a
a b
a x
a x
x F
, 1
,
, 0
) (

Suy ra hm mt f(t) ca X:

> <

= =
b t a t
b t a
a b
t F t f
0
1
) ( ' ) (


th ca hm phn phi v hm mt nh sau


1


1/(ba)



a b a
b

hm phn phi F(x) hm mt
f(t)

Bin ngu nhin X gi l tun theo lut phn phi u trn [a,b], U([a,b]).

(ii) Mt cht phng x phn r. Tui th T ca cht phng x ti thi im bt k
khng ph thuc vo thi gian sng trc ca n. Xc nh hm mt ca T.
Gii.
Theo gi thit ta c

P(T t+u / T t) = P(T u) t,u > 0
Suy ra
) (
) (
) & (
u T P
t T P
t T u t T P
=

+


P(T t+u) = P(T t).P(T u)
t,u > 0

K hiu F l hm phn phi ca T v H = 1 F. Theo trn ta c

H(t+u) = H(t).H(u) t,u > 0

H(x) = e
a.x
F(x) = 1 e
a.x
x
> 0

V F(x)1 khi x+, nn a<0. t = a, ta c

F(x) = 1 e
.x
f(x) = F(x) = .e
.x
x 0

th ca hm phn phi v hm mt nh sau:


1









hm phn phi F(x) hm mt
f(t)

T gi l tun theo lut phn phi m tham s , E().

(iii) Bin ngu nhin X c hm mt

>

=
2
0
2 2
cos .
) (

x
x x k
x f
a) Tm k
b) Tm hm phn phi F(x).
c) Tnh xc sut P(0 < X < /4).
Gii.
a) Tm k.
1 cos .
2
2
=

tdt k k.2 = 1 k =

b) Tm hm phn phi F(x).
Vi x[/2, /2] ta c

) 1 (sin
2
1
cos .
2
1
) (
2
+ = =

x tdt x F
x

Suy ra hm phn phi

< +
+ < +

=
x
x x
x
x F
2
, 1
2 2
, ) 1 (sin
2
1
2
, 0
) (

c) Tnh xc sut P(0 < X < /4).
P(0 < X < /4) = F(/4) F(0) =
2 2
1
2
1
1
2
1
2
1
= |

\
|
+

(iv) Tm k hm

< <

=
) 1 , 0 ( , 0
1 0 ,
) 1 (
1
.
) (
t
t
t t
k
t f


l hm mt ca bin ngu nhin
Gii.
Ta c f(t) ~ t
1/2
khi t0
+
v f(t) ~ (1t)
1/2
khi t1

ko theo tch phn

1
0
) ( dt t f hi t.
i bin t = sin
2
(u) ta c

( )


k du k du
u u
u u
k dt
t t
k dt t f = =

=

2
0
2
0
2 2
1
0
1
0
2
sin 1 . sin
cos . sin . 2
) 1 (
1
) (
k. = 1 k = 1/.

Vy f(t) l hm mt ca bin ngu nhin khi v ch khi k = 1/.


2. Cc tham s c trng
a) K vng.
Cho bin ngu nhin X lin tc, vi hm mt f(t), trn khng gian xc sut
(,B,P).
nh ngha. K vng ca bin ngu nhin lin tc X l i lng
E(X) =

dt t tf ) (
vi iu kin tch phn hi t tuyt i.

+ V d. Cho X l bin ngu nhin tun theo lut phn phi u trn [a,b]. Ta c

E(X) =
2 2
1
2
b a t
a b
dt
a b
t
b
a t
b
a
+
=
(

nh l. Cho X l bin ngu nhin vi hm mt f(t), :RR l hm sao cho (X)
cng l bin ngu nhin. Khi

E[(X)] =

dt t f t ) ( ). (
nu tch phn hi t tuyt i.
CM. Xem phn Hm bin ngu nhin.


Tnh cht. Cho X, Y l cc bin ngu nhin lin tc, C l hng. Khi
(i) E(C) = C
(ii) E(C.X) = C.E(X)
(iii) E(X + Y) = E(X) + E(Y)
(iv) Nu X, Y l cc bin ngu nhin c lp, th
E(X.Y) = E(X).E(Y)

b) Mode v trung v.
nh ngha. Cho bin ngu nhin X vi hm mt f(t).
Mode ca X l im M(X) m ti f(t) t cc i.
Trung v ca X l im m(X) tho
P(X < m(X)) = P(X > m(X)) =

+ V d. Cho X tun theo lut phn phi u trn [a,b]. Khi mi im x[a,b] l
mode ca X v trung v
m(X) = (a+b)/2


c) Phng sai v lch qun phng.
nh ngha. Cho bin ngu nhin X vi hm mt f(t) c k vng E(X) = a.
Phng sai ca X v k hiu l D(X) l

D(X) = E(Xa)
2
= ( )

dt t f a t ) ( .
2


nu tch phn hi t.

Nu X c phng sai D(X) th i lng

) ( ) ( X D X =

gi l lch qun phng ca bin ngu nhin X.

Cng thc KoenigHuyghens.
D(X) = E(X
2
) [E(X)]
2
CM.
D(X) = E(Xa)
2
= E(X
2
2.a.X + a
2
)

= E(X
2
) 2E(X).E(X) + E(X)
2
= E(X
2
) [E(X)]
2



+ V d. Cho X tun theo lut phn phi u trn [a,b]. Ta c

D(X) =
12
) (
4
2
) ( 3 2 3
1
) (
2 2 2 3 3
2
3
2
2
a b b ab a
a b
a b b a t
a b
X E dt
a b
t
b
a t
b
a

=
+ +

=
|

\
| +

Suy ra
3 2
) ( ) (
a b
X D X

= =

Tnh cht. Cho X, Y l cc bin ngu nhin lin tc, C l hng. Khi
(i) D(C) = 0
(ii) D(C.X) = C
2
.D(X)
(iii) (C.X) = |C|.(X)
(iv) Nu X, Y l cc bin ngu nhin c lp, th
D(X + Y) = D(X) + D(Y)


d) Mmen
Cho bin ngu nhin lin tc X vi hm mt f(t), a R, k N.
Mmen cp k i vi a ca X l gi tr

k
(a) = E[(X a)
k
] = dt t f a t
k

) ( . ) (

Mmen gc cp k ca X l gi tr

k
=
k
(0) = E(X
k
)

Mmen gc cp 1 ca X l k vng E(X) (nu tn ti).

Mmen trung tm cp k ca X, vi iu kin X c k vng, l gi tr

k
=
k
(E(X)) = E[(X E(X))
k
]

Mmen trung tm cp 2 ca X l phng sai D(X) (nu tn ti).

nh l. Cho r, s N , r s, v bin ngu nhin lin tc X. Khi , nu tn ti
mmen gc cp s ca X, th tn ti mmen gc cp r ca X.
CM
Vi |t| 1, ta c |t|
r
1, v vi |t| > 1, ta c |t|
r
|t|
s
. Suy ra

|t|
r
1 + |t|
s
tR.

T s hi t ca tch phn

dt t f ) ( v

dt t f t
s
) ( | | ko theo s hi tu
ca tch phn
r
r
dt t f t =

) ( | |
H qu. Cho r, s N , r s, v bin ngu nhin lin tc X. Khi , nu tn ti
mmen gc cp s ca X, th tn ti mmen cp r ti a R bt k ca X.
CM
S dng nh l v ng thc sau


=

=
(

= =
r
0
i i - r
n
0
i - r r
) E(X . . k).(-1) C(n, . k).(-1) C(n, E ] a) - E[(X ) (
i
i r
i
i i r
k
a x a a

Mmen trung tm cp 3.


3
= E[X E(X)]
3
= E[X
3
3.X
2
.E(X) + 3.X.E(X)
2
E(X)
3
] =
=
3
3.
1

2
+ 3.
1
3

1
3
=
3
3.
1

2
+ 2.
1
3


By gi ta gi thit rng f(t) i xng qua E(X). Khi mi mmen trung tm
cp l u bng 0.

H s bt i xng. i lng
s
3
=
3
3

c trng cho tnh bt i xng ca X, gi l h s bt i xng ca bin ngu nhin
X.

Mmen trung tm cp 4.


3
= E[X E(X)]
4
= E[X
4
4.X
3
.E(X) + 6.X
2
.E(X)
2
4.X.E(X)
3
+ E(X)
4
] =
=
4
4.
3

1
+ 6.
1
2
.
2
4.
1
3
.
1
+
1
4
=
4
4.
3

1
+ 6.
1
2
.
2
3.
1
4


H s nhn. i lng
N
4
= 3
4
4

c trng cho nhn ca th hm mt f(t) so vi phn phi chnh qui, gi l
h s nhn ca bin ngu nhin X.
Phn phi chnh qui c nhn N
4
= 0. Cc ng cong nhn hn phn phi
chnh qui c N
4
> 0, v t hn phn phi chnh qui c N
4
< 0.


3. Mt s lut phn phi c bn
a) Lut phn phi chnh qui (LaplaceGauss) N(a,)
nh ngha. bin ngu nhin X gi l tun theo lut phn phi chnh qui, hay phn
phi chun, N(a,), >0, nu n c hm mt dng

f(t) =
2
2
2
) (
2
1

a t
e

tR

Ghi ch: chng minh f(t) l hm mt , ta s dng tch phn Euler

2
2
2
=

dt e
t


+ K vng:

E(X) =

dt e t
a t
2
2
2
) (
2
1



=

+ du e u a
u
2
2
) (
2
1


(i bin
u=(ta)/)
=

+ du e u du e
a
u u
2 2
2 2
.
2 2

= a
a
= + 0 .
2
2
2

+ Phng sai: Ta c
E(X
2
) =

dt e t
a t
2
2
2
) (
2
2
1



=

+ du e u a
u
2
2
2
) . (
2
1


(i bin
u=(ta)/)
=

+ + du e du e u
a
du e
a
u u u
2
2
2 2
2
2 2 2
2
.
2
. . 2
2

=
2 2
2 2
2
2
0 .
2
. . 2
2
2

+ = + + a
a a

Suy ra
D(X) = E(X
2
) E(X)
2
= a
2
+
2
a
2
=
2


+ lch qun phng:
(X) = ) ( X D =

+ Mode:
M(X) = a
+ Trung v:
m(X) = a

+ th ca hm f(t) gi l ng cong phn phi chnh qui. ng cong c dng
hnh chung i xng qua ng x=a, t cc i y
max
=
2
1
ti x=a, t gi tr
y
u
=
e 2
1
ti 2 im un ti x=a v x=a+.


y
max


y
u



a a
a+ x

Khi a thay i, ng cong dch chuyn song song vi trc Ox cn dng th
gi nguyn. Khi tng th ng cong dp xung, khi gim th ng cong li ln.
iu ny hon ton ph hp vi ngha ca tham s l lch qun phng,
thc o tn mt ca gi tr ca bin ngu nhin.


nh l 1. Mi bin ngu nhin X c phn phi chnh qui N(a,) c th biu din
di dng
X = a + .Z

trong Z l bin ngu nhin c phn phi chun N(0,1).
CM.
t Z = (X a)/. Hin nhin Z l bin ngu nhin v hm phn phi (z),
z R, c dng

(z) = P(Z z) = P(X a + .z) =

z a a t
dt e
.
2
) (
2
2
2
1

z u
du e
2
2
2
1

(i bin
u=(ta)/)
Suy ra hm mt ca Z l
(z) = (z) =
2
2
2
1
z
e

Vy Z tun theo lut phn phi chun N(0,1).
pcm.


nh l 2. Bin ngu nhin Z c phn phi chun N(0,1) khi v ch khi bin ngu
nhin Z c phn phi chun N(0,1).
CM.
Gi s Z c phn phi chun N(0,1) vi hm phn phi (z) v hm mt
(z).
Ta tnh hm phn phi F(z), z R, ca bin ngu nhin Z

F(z) = P(Z z) = P(Z z) = 1 (z)

Suy ra hm mt f(z) ca Z l

f(z) = F(z) = [1 (z)] = (z)

Mt khc, (t) l hm i xng qua x=0, tc l hm chn. V vy ta c

f(z) = (z) z R,

tc Z c phn phi chun N(0,1).
pcm.

nh l 3. Cho bin ngu nhin X c phn phi chnh qui N(a,). Khi vi mi A,B
R (B0), bin ngu nhin
Y = B.X + A

c phn phi chun N(B.a + A, |B|.).
CM.
Theo nh l 1 ta c th vit X = .Z + a, vi Z c phn phi chun N(0,1).
Suy ra
Y = B.X + A = B..Z + (B.a + A)
Trng hp B > 0: theo nh l 1, Y c phn phi chun N(B.a + A, B.).
Trng hp B < 0: Ta t

Y = |B|..(Z) + (B.a + A)

Theo nh l 2, Z c phn phi chun N(0,1) v theo nh l 1, Y c phn phi
chun N(B.a + A, |B|.).
pcm


nh l 4. Cho bin ngu nhin X c phn phi chnh qui N(a,). Khi vi mi
,R, <, xc sut X ri vo khong (,) l

P( < X < ) =
|

\
|
|

\
|

a a

Trong

(z) =

z u
du e
2
2
2
1

z R
CM. Suy ra t nh l 1.

Phng php tra bng tnh xc sut ca phn phi chun N(0,1)
Cho X l bin ngu nhin c lut phn phi chun N(0,1). Khi X c
- Hm mt :
(z) =
2
2
2
1
z
e

z R
- Hm phn phi:
(z) =

z u
du e
2
2
2
1

z R
do (z) l hm chn nn ta c
(z) = 1 (z) z > 0

- Hm Laplace:

L
(z) =

z u
du e
0
2
2
2
1

z R
+
Lu : Ta c
(z) = 0.5 +
L
(z) v
L
(z) = (z) 0.5 z 0


(i) Cho x, tra bng (x):
+ Trng hp x 0:
Nu x
0
Bng, x = x
0
, th ta c ngay

(x) = (x
0
)

Nu x khng c trong Bng, th ta tm cn x
1
, x
2
trong bng gn x nht,

x
1
< x < x
2

v tnh (x) theo cng thc ni suy tuyn tnh

(x) = (x
1
) + [(x
2
) (x
1
)]
1 2
1
x x
x x

Lu : Nu ch c bng gi tr hm Laplace
L
(x), th ta tra hm
L
(x) , sau t
(x) =
L
(x) + 0.5.

+ Trng hp x < 0:
Theo trn ta tra bng tm (x). Sau ta c (x) = 1 (x).

(ii) Cho y (0, 1), tra bng tm x tho (x) = y.
+ Trng hp y 0.5:
Nu x
0
Bng, (x
0
) = y, th ta c ngay x = x
0
.
Nu y khng c trong bng, th ta tm cn y
1
, y
2
trong bng gn y nht,

y
1
< y < y
2

v c (x
1
) = y
1
, (x
2
) = y
2
. Ta tnh x theo cng thc ni suy tuyn tnh

x = x
1
+ (x
2
x
1
)
1 2
1
y y
y y

Lu : Nu ch c bng gi tr hm Laplace
L
, th ta c

x =
L
1
(y 0.5)

+ Trng hp y < 0.5:
Tra bng tnh z =
1
(1 y) nh trn, sau t x = z.

+ V d.
(i) Tnh (0.74): (0.75); (0.746).
Tra bng ta c
(0.74) = 0.7704; (0.75) = 0.7734;

Vy
(0.746) = 0.7704 + (0.7734 0.7704).
74 . 0 75 . 0
74 . 0 746 . 0

= 0.7704 + 0.0018 = 0.7722

(ii) Tnh
1
(0.9128);
1
(0.9115);
1
(0.9131);
Tra bng ta c

1
(0.9115) = 1.35;
1
(0.9131) = 1.36;
Vy

1
(0.9128) = 1.35 + (1.36 1.35).
9115 . 0 9131 . 0
9115 . 0 9128 . 0

= 1.35 + 0.008 = 1.358

Mnh . Cho X l bin ngu nhin c lut phn phi chun N(a,). Vi > 0, ta c
xc sut
P(|X a| < ) = 2.(/) 1 = 2.
L
(/)
CM.
Ta c
P(|X a| < ) = P(/ < (X a)/ < /)

= (/) (/) = 2.(/) 1 = 2.
L
(/)

+ V d. Ngi ta tin mt loi chi tit c di a. Bit di X ca chi tit tun theo
lut phn phi N(a,) vi = 0.2cm.
(i) Hy tnh xc sut di chi tit khng lch qu a dung sai l 0.3cm.
(ii) Mun m bo t l ph phm khng qu 5% th phi chn dung sai bng bao
nhiu ?
Gii.
(i) Xc sut cn tnh l

P(|X a| < 0.3) = 2.
L
(0.3/0.2) = 2.
L
(1.5) = 2 x 0.4332 = 0.8664

Nh vy t l ph phm l 1 0.8664 = 13%.

(ii) Dung sai phi tho
P(|X a| < ) 0.95

2.
L
(/0.2) 0.95
L
(/0.2) 0.475 0.2 *

L
1
(0.475)

Tra bng ta c
L
1
(0.475) = 1.96. Vy
0.2 * 1.96 0.392

Qui tc 3.
Trong cng thc
P(|X a| < ) = 2.(/) 1 = 2.
L
(/)
nu chn = 3 th ta c
P(|X a| < 3) = 2.
L
(3) = 0.9973

Xc sut ny rt gn 1 nn c th coi s kin |X a| < 3. l hu nh chc chn.
Vy ta c qui tc 3:
Nu X c phn phi chun N(a,) th hu nh chc chn X ly tr s trong
khong (a 3, a + 3)

+ V d. Khi o lc chu nn ca mt loi x ngi ta thy lc chu bnh qun l
320kg, sai s qun phng l 5kg. Hi mun m bo an ton th ti trng ti a cho
php t ln x l bao nhiu ?
Gii.
Gi X l lc chu nn ca x th hu nh chc chn
|X 320| < 3 x 5 = 15 (kg) 305 (kg)< X < 335 (kg)

Vy mun m bo an ton th ti trng ti a cho php t ln x l 305kg.

b) Lut phn phi m E().
Trong nhiu ng dng, c bit trong l thuyt phc v m ng, ngi ta
thng gp cc bin ngu nhin tun theo lut phn phi m.
nh ngha. bin ngu nhin X gi l tun theo lut phn phi m E(), > 0, nu
n c hm mt

f(x) = .e
.x
vi x 0
0 vi x < 0
+ Hm phn phi:

F(x) = 1 e
.x
vi x 0
0 vi x < 0

+ K vng v phng sai :
E(X) =

1
v D(X) =
2
1

, (X) =

1

CM.
E(X) = [ ]

1 1
. . .
0
.
0
.
0
.
0
.
=
(

= + =

t
t t
t
t t
e dt e e t dt e t
E(X
2
) = [ ]
2
0
.
0
. 2
0
. 2
2
) (
2
0 . 2 . . .

= + = + =

X E dt e t e t dt e t
t
t
t t


D(X) = E(X
2
) E(X)
2
=
2
1

+ th:

1









hm phn phi F(x) hm mt
f(t)

+ V d. Thi gian hot ng T ca mt loi bng n in t tun theo lut phn
phi m E() vi k vng E(T) = 400 gi. Tnh xc sut sao cho thi gian hot ng
ca bng n khng di 600 gi.
Gii. Ta c
E(T) = 400 =

1
= 1/400
Suy ra
P(T 600) = 1 P(T 600) = 1 F(600) = 1 (1 e
600/400
) = e
3/2
= 0.2231

Ghi ch: Phn phi m l trng hp ring ca phn phi Vybun V(, n), > 0
v n N:

f(x) = n..x
n1
.e
.x
vi x 0
0 vi x < 0


CHNG 3
BIN NGU NHIN NHIU CHIU

I. BIN NGU NHIN 2 CHIU

1. Khi nim.

T trc n nay ta mi ch xt n cc bin ngu nhin 1 chiu, tc l cc
bin ngu nhin c cc gi tr thc. Tuy nhin trong thc t chng ta phi xt n
cc h thng c niu bin ngu nhin.

+ V d 1. Mt thng c a qu cu trng v b qu cu en. Rt lin tip 2 qu cu
(khng tr li vo thng). K hiu X
i
, i=1,2, l cc bin ngu nhin nhn gi tr 1 nu
ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu cu en. Khi
cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu.

+ V d 2. Gi X, Y, Z tng ng l chiu di , chiu rng, chiu cao ca mt loi
thng hnh hp ch nht. Nu X, Y, Z l cc bin ngu nhin th b ba (X, Y, Z) to
thnh mt bin ngu nhin ba chiu.

nh ngha. Cho khng gian xc sut (, B, P), n N, n > 1. nh x

X: R
n
, X() = (X
1
(), X
2
(), , X
n
() )

gi l bin ngu nhin n chiu hay vect ngu nhin n chiu , nu X
1
, X
2
, , X
n
l
cc bin ngu nhin trn khng gian (, B, P). K hiu

X = ( X
1
, X
2
, , X
n
)

n gin ta ch cn xt k cc bin ngu nhin 2 chiu, sau m rng
cho bin ngu nhin n chiu.

2. Lut phn phi ca cp bin ngu nhin ri rc.

nh ngha. Cho bin ngu nhin Z = (X, Y), trong (X, Y) nhn cc cp gi tr

(x
i
, y
j
), i I, j J

vi I, J l cc tp ch s dng hu hn {1,2,,n} hoc v hn {1,2,, }.
Khi lut phn phi ca Z l dy

{[(x
i
, y
j
), p
ij
] | i I, j J }

trong
p
ij
= P(X = x
i
, Y = y
j
) , i I, j J
Nu Z hu hn, tc I = {1, 2, , m} v J = {1, 2, , n} , ta c th biu din
lut phn phi ca Z dng bng nh sau:

Y
X
y
1
y
2
y
j
y
n
x
1
p
11
p
12
p
1j
p
1n
x
2
p
21
p
22
p
2j
p
2n
: : : : :
x
i
p
i1
p
i2
p
ij
p
in
: : : : :
x
m
p
m1
p
m2
p
mj
p
mn

nh l.
(i) 1 =

I i J j
ij
p
(ii) Bin ngu nhin ri rc X c lut phn phi

{(x
i
, p
i
) | i I}
trong
p
i
=

J j
ij
p i I

(iii) Bin ngu nhin ri rc Y c lut phn phi

{(y
j
, q
j
) | j J}
trong
q
j
=

I i
ij
p j J
CM.
(i) Tp
{(x
i
, y
j
), i I, j J}

to thnh nhm y cc s kin, v vy
1 =

I i J j
ij
p
(ii) Ta c
p
i
= P(X = x
i
) =

= =
J j
j i
y Y x X P ) , ( =

J j
ij
p i I
(iii) Ta c
q
j
= P(Y = y
j
) =

= =
I i
j i
y Y x X P ) , ( =

I i
ij
p j J


+ V d 1. Tr li v d 1 mc 1. Mt thng c a qu cu trng v b qu cu en. Rt
lin tip 2 qu cu (khng tr li vo thng). K hiu X
i
, i=1,2, l cc bin ngu nhin
nhn gi tr 1 nu ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu
cu en. Khi cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu.

p
11
= P(X
1
= 1; X
2
= 1) = P(X
1
= 1).P(X
2
= 1/X
1
= 1) =
1
1
+

+ b a
a
b a
a


p
10
= P(X
1
= 1; X
2
= 0) = P(X
1
= 1).P(X
2
= 0/X
1
= 1) =
1 + + b a
b
b a
a


p
01
= P(X
1
= 0; X
2
= 1) = P(X
1
= 0).P(X
2
= 1/X
1
= 0) =
1 + + b a
a
b a
b


p
00
= P(X
1
= 0; X
2
= 0) = P(X
1
= 0).P(X
2
= 0/X
1
= 0) =
1
1
+

+ b a
b
b a
b



Bng phn phi ca vect ngu nhin (X
1
, X
2
) c dng

X
2
X
1
1 0
1
1
1
+

+ b a
a
b a
a

1 + + b a
b
b a
a

0
1 + + b a
a
b a
b

1
1
+

+ b a
b
b a
b


T suy ra lut phn phi ca X
1
v X
2

p
1
= P(X
1
= 1) = p
11
+ p
10
=
b a
a
+

p
0
= P(X
1
= 0) = p
01
+ p
00
=
b a
b
+

q
1
= P(X
2
= 1) = p
11
+ p
01
=
b a
a
+

q
0
= P(X
2
= 0) = p
10
+ p
00
=
b a
b
+


+ V d 2. Mt thng c n qu cu nh s t 1 n n , n N, n > 0. Rt lin tip (c
tr li) 2 qu cu. Gi X l s nh, Y l s ln trong 2 s rt c. Xc nh lut
phn phi ca vect ngu nhin (X,Y), cc bin ngu nhin X v Y.
Gii.
Cc cp gi tr ca (X,Y) l {(i,j) | i,j = 1,2,,n}. Ta c
- Trng hp i > j : P(X = i; Y = j) = 0
- Trng hp i = j : P(X = i; Y = j) = 1/n
2

- Trng hp i < j : Gi
A
i
, A
j
tng ng l s kin ln rt th nht c s i, s j
B
i
, B
j
tng ng l s kin ln rt th hai c s i, s j
Ta c

P(X = i; Y = j) = P(A
i
.B
j
) + P(A
j
.B
i
) = 1/n
2
+ 1/n
2
= 2/n
2


Suy ra bng phn phi xc sut ca (X,Y) nh sau

Y
X
1

2

i

n

1

1/n
2
2/n
2

2/n
2

2/n
2

2

0

1/n
2
2/n
2

2/n
2

: : : : :
i

0 0

1/n
2

2/n
2

: : : : :
n

0

0

0

1/n
2


T suy ra lut phn phi xc sut ca X v Y nh sau:

p
i
= P(X = i) =
2
1 ) ( 2
n
i n +
i=1, 2, , n
q
i
= P(Y = i) =
2 2
1 2 1 ) 1 ( 2
n
i
n
i
=
+
i=1, 2, , n


3. Hm phn phi xc sut
nh ngha. Hm phn phi xc sut ca vect ngu nhin (X,Y) l hm 2 bin
F(x,y) = P(X x, Y y) (x,y) R
2
Tnh cht.
(i) K hiu F
X
v F
Y
tng ng l cc hm phn phi ca bin ngu nhin X v
Y. Ta c
F
X
(x) = ) , ( lim y x F
y +
= F(x, +) x R
F
Y
(y) = ) , ( lim y x F
x +
= F(+, y) y R
(ii)
1 ) , ( lim =
+
+
y x F
y
x

(iii)
0 ) , ( lim ) , ( lim ) , ( lim = = =


y x F y x F y x F
y
x y x


(iv) Hm F(x,y) khng gim theo tng i s

F(x
1
, y
1
) F(x
2
, y
2
) (x
1
, y
1
), (x
2
, y
2
) R
2
, x
1
x
2
& y
1
y
2

(v) Cho a, b, c, d R, a < b, c < d. Ta c

P(a < X b; c < Y d) = F(b, d) F(a, d) F(b, c) + F(a, c)
CM.
Cc tnh cht (i) (iv) suy ra t nh ngha.
chng minh tnh cht (v) ta biu din s kin

(a < X b; c < Y d) = (X b ; Y d) (X a ; Y d)(X b ; Y c)

v t , p dng cng thc tnh xc sut ca s kin tng, suy ra

P(a < X b; c < Y d) = F(b, d) [F(a, d) + F(b, c) F(a, c)]
= F(b, d) F(a, d) F(b, c) + F(a, c)
pcm

4. Hm mt phn phi xc sut

nh ngha. Hm mt phn phi xc sut ca vect ngu nhin lin tc (X,Y) l
o hm hn hp cp 2 ca hm phn phi F(x,y)

f(x,y) =
y x
y x F

) , (
2
(x,y) R
2
Tnh cht.
(i) Hm mt khng m
f(x,y) 0 (x,y) R
2
(ii) Hm phn phi
F(x,y) =


x y
dudv v u f ) , ( (x,y) R
2

(iii) Tch phn kp
1 ) , ( =

+

+

dxdy y x f
(iv) Vi mi min D R
2
, xc sut

P((x,y) D) =

D
dxdy y x f ) , (
CM.
(i) hin nhin
(ii) t
G(x,y) =


x y
dudv v u f ) , ( (x,y) R
2

Suy ra

y x
y x G

) , (
2
= f(x,y) (x,y) R
2
v
0 ) , ( lim =


y x G
y
x

Vy
F(x,y) = G(x,y) (x,y) R
2



(iii) suy ra t (ii).
(iv) Nu D l min ch nht th (iv) suy ra t (ii). Nu D l min bt k ta chia D thnh
cc hnh ch nht nh, v bng phng php gii hn ta suy ra (iv).

+ V d. Cho vect ngu nhin (X,Y) c mt

f(x,y) =
( )( )
2 2 2
1 1
1
y x + +
(x,y) R
2

Ta c
F(x,y) =
( )( )
2 2 2 2
2
arctan
2
arctan
1 1
1

\
|
+
|

\
|
+
=
+ +


y x
dudv
v u
x y


Cho min ch nht

D = {(x,y) | 1 < x < 3 & 0 < y < 1}

ta tnh xc sut (X,Y) ri vo D:

P((x,y) D) = F( 3 ,1) F(1,1) F( 3 ,0) + F(1,0)
=
(
(

\
|
+ + |

\
|
+ |

\
|
+ |

\
|
+ |

\
|
+
2 2 4 2 2 3 2 4 2 4 2 3
1
2
2

=
48
1
48
18 20 27 30
2 ` 4
3 .
2 . 6
5 .
16
9 .
4 . 6
3 . 5 . 1
2 2 2 2
2
=
+
=
(

Hm mt ca cc to .
Cho hm mt f(x,y) ca vect ngu nhin (X,Y). Ta xc nh hm mt f
X

v f
Y
ca cc bin ngu nhin X v Y.
T mc 2, 3 ta suy ra cc hm phn phi F
X
v F
Y
ca X v Y nh sau

F
X
(x) = F(x, +) =


+

(

x
du dv v u f ) , (
F
Y
(y) = F(+, y) =


+

(

y
dv du v u f ) , (
Vy
f
X
(x) = ) (
'
x F
X
=

+

dy y x f ) , (
v
f
Y
(y) = ) (
'
y F
Y
=

+

dx y x f ) , (

+ V d. Cho vect ngu nhin (X,Y) c hm mt sau

f(x,y) =

> +
+
1
4 9
, 0
1
4 9
,
6
1
2 2
2 2
y x
y x

Tm hm mt f
X
v f
Y
ca X v Y.
Gii.
Khi |x| 3 ta c

f
X
(x) =
2
9
1 2
9
1 2
9
9
2
6
1
2
2
x dy
x
x
=

cn nu |x| > 3 th hin nhin f
X
(x) = 0.
Vy

f
X
(x) =

>

3 | | , 0
3 | | , 9
9
2
2
x
x x

Tng t ta c
f
Y
(y) =

>

2 | | , 0
2 | | , 4
2
1
2
y
y y

5. Hip phng sai v h s tng quan.
Cho vect ngu nhin (X,Y). Gi s tn ti k vng

a = E(X) v b = E(Y).

Hip phng sai ca X v Y , k hiu
X,Y
, l tr

X,Y
= cov(X,Y) = E[(X a).(Y b)]

nu k vng v phi tn ti.


Trng hp (X,Y) l vect ngu nhin ri rc vi lut phn phi:

{[(x
i
, y
j
), p
ij
] | i I, j J }

ta c
( )( )

=
I i J j
ij j i Y X
p b y a x
,


Trng hp (X,Y) l vect ngu nhin lin tc vi hm mt f(x,y) ta c

( )( )

+

+

= dxdy y x f b y a x
Y X
) , (
,

Ghi ch: xem bi Hm bin ngu nhin.

Cng thc KoenigHuyghens:

X,Y
= E(X.Y) E(X).E(Y)
CM.

X,Y
= E[(X a).(Y b)] = E(X.Y) bE(X) aE(Y) + a.b = E(X.Y) E(X).E(Y)

B . Cho bin ngu nhin X v Y c lch qun phng
X
v
Y
. Khi
hip phng sai
X,Y
tn ti v
|
X,Y
|
X
.
Y


CM.
S dng bt ng thc
x.y
2
2 2
y x +

v cc cng thc tnh hip phng sai trn ta suy ra s tn ti ca
X,Y
.
By gi ta xt biu thc khng m

0 g( ) = D( .X + Y) = cov( .X + Y, .X + Y) =
2

X
2
+ 2..
X,Y
+
Y
2

- Trng hp
X
= 0:

g() = 2..
X,Y
+
Y
2
0
X,Y
= 0 |
X,Y
|
X
.
Y


- Trng hp
X
> 0: Tam thc g() 0 nn

= 0
2 2 2
,

Y X Y X
|
X,Y
|
X
.
Y



H s tng quan ca X v Y , k hiu
X,Y
, l tr

X,Y
=
Y X
Y X

,


trong
X
v
Y
( 0) l lch qun phng ca X v Y.
T b suy ra
|
X,Y
| 1

Hai bin ngu nhin X v Y gi l tng quan nu
X,Y
0, ngc li, nu
X,Y
=0
ta ni X v Y khng tng quan.
Nu
X,Y
> 0 th bin ny tng ko theo bin kia tng.
Nu
X,Y
< 0 th bin ny tng ko theo bin kia gim.

Ta xt trng hp
X
0 v |
X,Y
| =
X
.
Y
.
Khi , theo chng minh b , = 0, tc g() c nghim kp
0
. Nh vy
bin ngu nhin
0
X + Y c phng sai bng 0. T suy ra
0
X + Y = C (hng)
hu nh khp ni (tr vng c xc sut bng 0). Vy c th vit
Y =
0
.X + C
tc Y l hm tuyn tnh ca X.
Nh vy,
X
0,
Y
0 v |
X,Y
| = 1 th ta ni X v Y tng quan tuyn tnh.

+ V d 1. Tr li v d 1 mc 1. Mt thng c a qu cu trng v b qu cu en. Rt
lin tip 2 qu cu (khng tr li vo thng). K hiu X
i
, i=1,2, l cc bin ngu nhin
nhn gi tr 1 nu ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu
cu en. Khi cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu.
Ta c
E(X
1
) =
b a
a
+
, E(X
2
) =
b a
a
+
, E(X
1
.X
2
) =
) 1 )( (
) 1 (
+ +

b a b a
a a


2 1
, X X
= E(X
1
.X
2
) E(X
1
).E(X
2
) =
) 1 )( (
) 1 (
+ +

b a b a
a a


2
|

\
|
+ b a
a

=
) 1 ( ) ( ) 1 ( ) (
) 1 ( ) )( 1 (
2 2
2
+ +
=
+ +
+ +
b a b a
ab
b a b a
b a a b a a a

Mt khc
D(X
1
) = D(X
2
) =
2
) ( b a
ab
+


1
1
.
2 1
2 1
2 1
,
,
+
= =
b a
X X
X X
X X

+ V d 2. Lut phn phi chnh qui hai chiu.
Vect ngu nhin (X,Y) gi l tun theo lut phn phi chnh qui 2 chiu nu
c hm mt dng

f(x,y) =
(
(

|
|

\
|
+
|
|

\
|

Y X Y X
b y a x b y a x
Y X
e

) )( (
. 2
) 1 ( 2
1
2
2 2
2
.
1 2
1

trong
a, b l k vng ca X, Y

X
,
Y
l lch qun phng ca X, Y
l h s tng quan ca X v Y

Ghi ch: Nu = 0 th

f(x,y) =
2 2
2
1
2
1
.
. 2
1
. .
. 2
1
|
|

\
|

|
|

\
|

Y X
b y
Y
a x
X
e e


= f
X
(x).f
Y
(y)
vi f
X
, f
Y
l cc hm mt ca X, Y c phn phi chun N(a,
X
), N(b,
Y
).

II. PHN PHI C IU KIN - BIN NGU NHIN C LP

1. Trng hp vect ngu nhin ri rc.
Cho vect ngu nhin ri rc (X,Y) vi lut phn phi

{[(x
i
, y
j
), p
ij
] | i I, j J }

Vi mi x
i
, y
j
, i I v j J, xc sut X = x
i
vi gi thit Y = y
j
gi l xc
sut c iu kin iu kin P(x
i
/ y
j
).
Xc sut Y = y
j
vi gi thit X = x
i
gi l xc sut c iu kin iu kin
P(y
j
/ x
i
).
C nh y
j
, j J, phn phi

{(x
i
, P(x
i
/ y
j
)) | i I}

gi l phn phi c iu kin ca bin ngu nhin X vi iu kin Y = y
j
.

C nh x
i
, i I, phn phi

{(y
j
, P(y
j
/ x
i
)) | j J}

gi l phn phi c iu kin ca bin ngu nhin Y vi iu kin X = x
i
.

Ta c

P(x
i
/ y
j
) =

=
=
= =
I i
ij
ij
j
j i
p
p
y Y P
y Y x X P
) (
) ; (

P(y
j
/ x
i
) =

=
=
= =
J j
ij
ij
i
j i
p
p
x X P
y Y x X P
) (
) ; (


Ghi ch: Hin nhin ta c

1 ) / ( = =

I i
ij
I i
ij
I i
j i
p
p
y x P
1 ) / ( = =

J j
ij
J j
ij
J j
i j
p
p
x y P
K vng c iu kin
K vng c iu kin ca X vi iu kin Y = y
j
, j J, l i lng

E(X / y
j
) =

I i
j i i
y x P x ) / (

K vng c iu kin ca Y vi iu kin X = x
i
, i I, l i lng

E(Y / x
i
) =

J j
i j j
x y P y ) / (

Bin ngu nhin c lp.
Hai bin ngu nhin X v Y gi l c lp vi nhau nu lut phn phi c iu
kin ca mi bin trng vi lut phn phi (khng iu kin) ca n, tc l
P(x
i
/ y
j
) = P(X = x
i
) = p
i
i I, j J
P(y
j
/ x
i
) = P(Y = y
j
) = q
j
i I, j J

T nh ngha ta thy bin ngu nhin X v Y c lp khi v ch khi

p
ij
= p
i
.q
j
i I, j J

+ V d 1. Mt thng c a qu cu trng v b qu cu en. Rt ngu nhin 1 qu
cu, tr li vo thng, sau rt 1 qu na. K hiu X
i
, i=1,2, l cc bin ngu nhin
nhn gi tr 1 nu ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu
cu en. Khi cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu v ta d dng thy
rng X
1
v X
2
c lp vi nhau.

+ V d 2. Tr li v d 1 mc 1. Mt thng c a qu cu trng v b qu cu en. Rt
lin tip 2 qu cu (khng tr li vo thng). K hiu X
i
, i=1,2, l cc bin ngu nhin
nhn gi tr 1 nu ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu
cu en. Khi cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu.
Hy xc nh lut phn phi c iu kin ca X
2
i vi X
1
=1.
Ta c

P(X
2
= 1 / X
1
= 1) =
1
1 ) 1 )( (
) 1 (
1
11
+

=
+
+ +

=
b a
a
b a
a
b a b a
a a
p
p


P(X
2
= 0 / X
1
= 1) =
1
) 1 )( (
.
1
01
+
=
+
+ +
=
b a
b
b a
a
b a b a
b a
p
p


Ta thy phn phi c iu kin ca X
2
i vi X
1
= 1 khc phn phi khng
iu kin ca X
2
. Vy X
1
v X
2
khng c lp.
K vng c iu kin ca X
2
i vi X
1
= 1 l

E(X
2
/ X
1
= 1) =
1
1
+

b a
a

Trong khi
E(X
2
) =
b a
a
+



2. Trng hp vect ngu nhin lin tc
Cho vect ngu nhin lin tc (X, Y) c mt f(x,y).
Vi mi y R tho f
Y
(y) 0, hm
f
X
(x/y) =
) (
) , (
y f
y x f
Y
, x R,
gi l hm mt phn phi c iu kin ca X vi iu kin Y = y.

Tng t, vi mi x R tho f
X
(x) 0, hm
f
Y
(y/x) =
) (
) , (
x f
y x f
X
, y R,
gi l hm mt phn phi c iu kin ca Y vi iu kin X = x.

Hin nhin ta c

f
X
(x/y) 0 x R , 1 ) / ( =

+

dt y t f
X

f
Y
(y/x) 0 y R , 1 ) / ( =

+

dt x t f
Y



Bin ngu nhin X v Y gi l c lp vi nhau nu
f
X
(x/y) = f
X
(x) y R , f
Y
(y) 0, x R
hoc
f
Y
(y/x) = f
Y
(y) x R , f
X
(x) 0, y R

Suy ra X v Y gi l c lp vi nhau nu
f(x,y) = f
X
(x).f
Y
(y) (x, y) R

K vng c iu kin ca X vi iu kin Y = y, f
Y
(y) 0 , l gi tr

E(X / y) =

+

dt y t f t
X
) / ( .
V k vng c iu kin ca Y vi iu kin X = x, f
X
(x) 0 , l gi tr

E(Y / x) =

+

dt x t f t
Y
) / ( .



+ V d. Cho r > 0 v vect ngu nhin (X,Y) c mt

f(x,y) =

> +
+
2 2 2
2 2 2
2
, 0
,
.
1
r y x
r y x
r

Vi |y| < r ta c

f
Y
(y) =
2
2 2
2
.
2
.
1
) , (
2 2
2 2
r
y r
dx
r
dx y x f
y r
y r

= =

+

+


Vi |y| r ta c f
Y
(y) = 0.
Vy, vi |y| < r, ta c
f
X
(x/y) =
) (
) , (
y f
y x f
Y
=

>

2 2 2
2 2 2
2 2
, 0
,
. 2
1
y r x
y r x
y r


Suy ra f
X
(./y) f
X
(.), vy X v Y khng c lp vi nhau.
V hm mt chn, nn k vng c iu kin

E(X / y) = 0 .
2 2
2 2
=

+

y r
y r
dx x

III. HM I S NGU NHIN

1. Hm 1 i s ngu nhin.
Y = (X)
a) Trng hp X l bin ngu nhin ri rc.
Cho X c lut phn phi
{(x
i
, p
i
) | i I}
K hiu
{y
j
| j J }

l tp hp cc tr khc nhau ca (x
i
), i I.
t
q
j
=

=
j i
y x
i
p
) (
j J
Khi bin ngu nhin Y = (X) c lut phn phi

{(y
j
, q
j
) | j J}

+ V d.
Cho n N, n > 0, X l bin ngu nhin c phn phi

)
`

=
|

\
|
+
n n n n k
n n
k
), 1 ( ,..., 1 , 0 , 1 ),..., 1 ( ,
1 2
1
,

Khi bin ngu nhin Y = |X| c phn phi
)
`

=
|

\
|
n n k p
n
k
k
), 1 ( ,..., 1 , 0 ,
vi
p
0
= 1/(2n+1) v p
k
= 2/(2n+1) k = 1, 2, , n


b) Trng hp X l bin ngu nhin lin tc.
Cho X c hm mt f(x).
(i) Gi thit (x) kh vi n iu tng trong (a,b) cha cc gi tr ca X. Ta c
F
Y
(y) = P(Y y) = P((X) y) = P(X
1
(y)) = F
X
(
1
(y))
Suy ra

dy
y d
y f
dy
y d
dx
y dF
dy
y dF
X
X Y
) (
)). ( (
) (
.
)) ( ( ) (
1
1
1 1

= =

dy
y d
y f y f
X Y
) (
)). ( ( ) (
1
1

=



(ii) Gi thit (x) kh vi, n iu gim trong (a,b) cha cc gi tr ca X. Ta
c
F
Y
(y) = P(Y y) = P((X) y) = P(X
1
(y)) = 1 F
X
(
1
(y))
Suy ra

dy
y d
y f
dy
y d
dx
y dF
dy
y dF
X
X Y
) (
)). ( (
) (
.
)) ( ( ) (
1
1
1 1

= =

dy
y d
y f y f
X Y
) (
)). ( ( ) (
1
1

=


Hp nht c hai trng hp ta c
dy
y d
y f y f
X Y
) (
)). ( ( ) (
1
1

=



+ V d 1. Cho bin ngu nhin X c phn phi chun N(0,1). Tm lut phn phi ca
Y = X
3
.
Gii.
Hm mt phn phi ca X l
f(x) =
2
2
1
2
1
x
e

Hm y = (x) = x
3
l hm n iu tng v kh vi trong (, +). Ta c
x =
1
(y) =
3
y
3
2
1
3
1 ) (
y
dy
y d
dy
dx
= =

Vy hm mt ca Y l

g(y) = .
1
2 3
1
3
1
.
2
1
3 2 3 2
2
1
3
2
3
2
2
1
y y
e
y y
e

=



+ V d 2. Cho bin ngu nhin X c hm mt f(x). Tm hm mt ca bin ngu
nhin Y = a.X + b, a, b R, a 0.
Gii.
Hm y = (x) = a.x + b n iu. Ta c
x =
1
(y) =
a
b y

a dy
y d
dy
dx 1 ) (
1
= =

Vy hm mt ca Y l
g(y) =
| |
1
.
a a
b y
f |

\
|


(iii) Trng hp hm (x) khng n iu.
Gi s bin ngu nhin X ly gi tr thuc khong (a,b), cn (x) n iu
tng khc trn (a,b), ngha l c th chia (a,b) thnh n khong con J
i
, i=1, 2,,n, ri
nhau sao cho (x) n iu trn mi khong con .
K hiu
i
: J
i
(a,b),
i
(x) = (x) x J
i
, i=1, 2, ,n.
Cho khong (y,y+y) (a,b). K hiu

(x
i
, x
i
+ x
i
) =
i
1
((y,y+y)) i = 1, 2, , n.

(c th x
i
c du bt k). Ta c

P(y < Y < y + y) =

=
+
n
i
i i i
x x x X P
1
) , ( (

Vy, hm mt ca Y l

g(y) =
y
x x x X P
y
y y Y y P
n
i
i i i
y y

+
=

+ < <

=

1
0 0
) , ( (
lim
) (
lim
=

=

(

+
n
i
i
i
i i i
y
y
x
x
x x x X P
1
0
.
) , ( (
lim
= ( )
dy
y d
y f
dy
y d
x f
i
n
i
i
n
i
i
i
) (
. ) (
) (
). (
1
1
1
1
1
=

+ V d. Cho bin ngu nhin X c phn phi chun N(0,1). Tm hm mt ca
bin ngu nhin Y = X
2
.
Gii.
Hm y = (x) = x
2
c hai nhnh n iu trn J
1
= (0, +) v J
2
= (, 0).
Cc hm

1
: J
1
R
+
,
1
(x) = x
2
v
2
: J
2
R
+
,
2
(x) = x
2

c cc hm ngc tng ng l x = y y =

) (
1
1
trn R
+
v x = y y =

) (
1
2
trn
R
+
. Hm mt ca X l
f(x) =
2
2
1
2
1
x
e

p dng cng thc trn ta nhn c

g(y) = ( ) ( )
dy
y d
y f
dy
y d
y f
) (
. ) (
) (
. ) (
1
2 1
2
1
1 1
1

=
( ) ( ) y y y
e
y y
e
y
e
2
1
2
1
2
1
. 2
1
2
1
.
2
1
2
1
.
2
1
2 2

= +

y > 0

2. Hm nhiu i s ngu nhin ri rc.

a) Cho (X, Y) l vect ngu nhin vi lut phn phi

{((x
i
,y
j
), p
ij
) | i I, j J }

Cho (x,y) l hm hai bin. Xt bin ngu nhin Z = (X,Y).
K hiu

{ z
k
| k K }

l tp hp cc gi tr khc nhau ca tp

{(x
i
,y
j
) | i I, j J }

Vi mi k K, k hiu

r
k
=
ij
z y x IxJ j i
p
k j i
=

) , ( , ) , (

Khi Z c lut phn phi

{(z
k
, r
k
) | k K }

Cho X v Y c lut phn phi tng ng

{(x
i
, p
i
) | i I }
v
{(y
j
, q
j
) | j J }

Nu X v Y c lp vi nhau th
r
k
=
j i
z y x IxJ j i
q p
k j i
=

) , ( , ) , (


+ V d. Mt thng cha n qu cu nh s t 1 n n. Rt ngu nhin qu cu th
nht, khng b li thng, sau rt qu th hai. Gi X v Y l s ca qu cu th
nht v s ca qu cu th hai. Hy tm lut phn phi ca X+Y.
Gii.
Ta d dng tnh c xc sut

p
ij
= P(X = i, Y = j) =

=
j i
n n
j i
,
) 1 (
1
, 0


Hin nhin l X+Y nhn cc gi tr t 3 n 2n1. Cho k {3, 4, , 2n1}.
Xt cc trng hp sau:
(i) 3 k n v k l. Ta c

P(X+Y = k) =
) 1 (
1
1
1
,

= =


=

= +
n n
k
p p
k
i
i k i
k j i
ij

(v k l nn khng th xy ra i=ki p
i,k1
= 1/n(n1) i = 1, 2, , k1)

(ii) 3 k n v k chn. Ta c

P(X+Y = k) =
) 1 (
2
1
1
,

= =


=

= +
n n
k
p p
k
i
i k i
k j i
ij


(v k chn nn p
i,k1
= 1/n(n1) i = 1, 2, , k1 & i k/2)

(iii) n + 1 k 2n 1 v k l.
Xt cp (i, j), i + j = k. Ta c j = k i , v

1 i n & 1 k i n k n i n

T suy ra
P(X+Y = k) =
) 1 (
1 2
,

+
= =

=

= +
n n
k n
p p
n
n k i
i k i
k j i
ij


(iv) n + 1 k 2n 1 v k chn.
Vi i = k/2, p
i,ki
= 0. Suy ra
P(X+Y = k) =
) 1 (
2
,

= =

=

= +
n n
k n
p p
n
n k i
i k i
k j i
ij


b) Tnh n nh ca phn phi nh thc v phn phi Poisson.

nh l 1. Cho cc bin ngu nhin X v Y c lp, tun theo lut phn phi nh
thc B(m,p) v B(n,p), 0<p<1. Khi tng X+Y c phn phi nh thc B(m+n,p).
CM.
Min gi tr ca X+Y l 0, 1, 2, , m+n. Cho k N, 0 k m+n, k hiu
q=1p, ta c
P(X+Y = k) =

=
+
= +
= = =
k
i
i k n i k i m i
k j i
q p i k n C q p i m C j Y P i X P
0
. ). , ( . ). , ( ) ( ). (
= ) , ( . . ) , ( ). , ( .
1
k n m C q p i k n C i m C q p
k n m k
k
i
k n m k
+ =
+
=
+

Vy X+Y c phn phi nh thc B(m+n,p).

nh l 2. Cho cc bin ngu nhin X v Y c lp, tun theo lut phn phi
Poisson P() v P(), >0 v >0. Khi tng X+Y c phn phi Poisson P(+).
CM.
Min gi tr ca X+Y l N. Cho n N, ta c

P(X+Y = n) =

=

= +

= = =
n
i
i n i
n j i
i n
e
i
e j Y P i X P
0
)! ( !
) ( ). (




=
!
) (
. .
)! !.(
!
!
) (
0
) (
n
e
i n i
n
n
e
n n
i
i n i




+
=

+
=

Vy X+Y c phn phi Poisson P(+).


3. Hm nhiu i s ngu nhin lin tc.

a) Tng hai bin ngu nhin.
Cho vect ngu nhin (X,Y) c hm mt f(x,y). Xt bin ngu nhin Z =
X+Y.
Gi G(z) l hm phn phi ca Z. K hiu

D
z
= {(x,y) | x+y z }.
Ta c
G(z) = P(Z z) = P(X+Y z) = P((X,Y) D
z
)

=

= dx dy y x f dxdy y x f
x z
D
z
) , ( ) , ( z
R

Ly o hm G(z) ta nhn c hm mt g(z) ca Z.

g(z) = G(z) =

dx x z x f ) , (
Tng t ta c
g(z) =

dy y y z f ) , (

Trng hp X v Y c lp ta c
g(z) =

= dy y f y z f dx x z f x f
Y X Y X
) ( ). ( ) ( ). (

trong f
X
v f
Y
l cc hm mt ca X v Y.

Ghi ch: Cc php ton vi f
X
v f
Y
nh trn gi l tch chp v k hiu l
f
X
* f
Y


+ V d 1. Cho X v Y l cc bin ngu nhin c lp, phn phi u trn [0, 1]. Tm
phn phi ca X+Y.
Gii.
Hm mt f
X
v f
Y
ca X v Y nh sau:

f
X
(t) = f
Y
(t) =
[ ]
[ ]

1 ; 0 , 0
1 ; 0 , 1
t
t


Suy ra hm mt g(z) , zR, theo cng thc
g(z) =

=

1
0
) ( ) ( ). ( dx x z f dx x z f x f
Y Y X

Ta xt cc trng hp sau.

(i) z 0: Ta c
z - x < 0 x(0; 1) f
Y
(z-x) = 0 x(0; 1) g(z) = 0

(ii) z > 2: Ta c
z - x > 1 x(0; 1) f
Y
(z-x) = 0 x(0; 1) g(z) = 0

(iii) 0 < z 1: Ta c

f
Y
(z-x) =

< <

1 , 0
0 , 1
x z
z x
g(z) = z dx
z
=

0


(iv) 1 < z 2: Ta c

f
Y
(z-x) =

<

1 0 , 0
1 1 , 1
z x
x z
g(z) = z z dx
z
= =

2 ) 1 ( 1
1
1


Cui cng ta c

g(z) =

<
<
<

z
z z
z z
z
2 , 0
2 1 , 2
1 0 ,
0 , 0
v th:



+ V d 2. Cho X v Y l cc bin ngu nhin c lp, c phn phi m E(), >0.
Khi X+Y c phn phi Gamma (b,) vi b=1/ v =2.

Ghi ch: Lut phn phi Gamma (b,) c hm mt
f(t) =

>

0 , 0
0 ,
) (
1
1
t
t e t
b
b
t

trong hm Gamma () =

0
1
. dx e x
x
(c tnh cht (+1) = .()).
Gii.
Hm mt f
X
v f
Y
ca X v Y nh sau:

f
X
(t) = f
Y
(t) =

<

0 , 0
0 ,
.
t
t e
t

Suy ra hm mt g(z) , zR, theo cng thc

g(z) =

>
=

0 , 0
0 , ) ( ). (
) ( ). (
0
z
z dx x z f x f
dx x z f x f
z
Y X
Y X

1
1 2 0
Ta c
z
z
x z x
z
Y X
e z dx e e dx x z f x f
. 2
0
) .( .
0
. . . . . ) ( ). (



= =


Vy
g(z) =

>

0 , 0
0 , . .
. 2
z
z e z
z

+ V d 3. Cho X
1
v X
2
l cc bin ngu nhin c lp c phn phi chnh qui
N(m
1
,
1
) v N(m
2
,
2
) . Hy chng minh rng X
1
+ X
2
c phn phi chnh qui

N(m, ) vi m = m
1
+ m
2
v
2
=
1
2
+
2
2
.
CM.
Ta biu din cc bin ngu nhin X
1
v X
2
nh sau

X
1
=
1
.N
1
+ m
1
v X
2
=
2
.N
2
+ m
2


trong N
1
v N
2
l cc bin ngu nhin c phn phi chun N(0, 1).
Suy ra

X
1
+ X
2
=
1
.N
1
+
2
.N
2
+ m
1
+ m
2


a N N
m m
N N
X X
+ + =
+
+
+
+
+
+
=
+
+
2 1
2
2
2
1
2 1
2
2
2
2
1
2
1
2
2
2
1
1
2
2
2
1
2 1
. .

vi

2
2
2
1
2 1
2
2
2
1
2
2
2
2
1
1
; ;

+
+
=
+
=
+
=
m m
a


By gi ta chng minh rng Y = .N
1
+ .N
2
c phn phi chun N(0, 1).
Hm mt ca .N
1
v .N
2
tng ng l

f
1
(t) =
2
2
1
2
1
|

\
|

t
e v f
2
(t) =
2
2
1
2
1
|
|

\
|

t
e

Gi g l hm mt ca Y. Ta c

g(x) =



|
|

\
|
|

\
|

= dt e dt t f t x f
t t x
2 2
2
1
2
1
2 1
2 .
1
) ( ). (




Bin i biu thc
Q(t) =
2
2
2 2 2
2
2
2
2 2
2
2
2
2 2
2 2 2 2 2 2
1
2
1

x xt t t xt t x t t x
+ = + + =
|
|

\
|
+
|

\
|


= ( ) ( )
2
.
2
1
2 2
. 2
2
1
2
2
2 2 2
2
2
2 2
4 2 2 2
2 2
x
x t
x x
x xt t + = + +

Suy ra

g(x) =
2
2
2
2
2
1
.
2
1
2
1
) (
2
1
2
1
2
1
2 .
1
x
x t
x
t Q
e dt e e dt e

|
|

\
|

= =

l mt ca phn phi chun N(0, 1).
Cui cng t

X
1
+ X
2
=
2 1
2
2
2
1
. m m Y + + +
suy ra pcm.

b) Hiu hai bin ngu nhin.
Cho vect ngu nhin (X,Y) c hm mt f(x,y). Xt bin ngu nhin Z =
XY.
Gi G(z) l hm phn phi ca Z. K hiu

D
z
= {(x,y) | xy z }.
Ta c
G(z) = P(Z z) = P(XY z) = P((X,Y) D
z
)

=

= dx dy y x f dxdy y x f
z x D
z
) , ( ) , ( z
R

Ly o hm G(z) ta nhn c hm mt g(z) ca Z.

g(z) = G(z) =

dx z x x f ) , (
Tng t ta c
g(z) =

+ dy y z y f ) , (

Trng hp X v Y c lp ta c
g(z) =

+ = dy y f z y f dx z x f x f
Y X Y X
) ( ). ( ) ( ). (

trong f
X
v f
Y
l cc hm mt ca X v Y.

+ V d . Cho X v Y l cc bin ngu nhin c lp, phn phi u trn [0, 1]. Tm
phn phi ca XY.
Gii.
Hm mt f
X
v f
Y
ca X v Y nh sau:

f
X
(t) = f
Y
(t) =
[ ]
[ ]

1 ; 0 , 0
1 ; 0 , 1
t
t


Suy ra hm mt g(z) , zR, theo cng thc

g(z) =

=

1
0
) ( ) ( ). ( dx z x f dx z x f x f
Y Y X

Ta xt cc trng hp sau.

(i) z < 1: Ta c
x - z > 1 x(0; 1) f
Y
(x-z) = 0 x(0; 1) g(z) = 0

(ii) z > 1: Ta c
x - z < 0 x(0; 1) f
Y
(x-z) = 0 x(0; 1) g(z) = 0

(iii) 1 z 0: Ta c

f
Y
(x-z) =

< < +
+
1 1 , 0
1 0 , 1
x z
z x
g(z) = z dx
z
+ =

+
1
1
0


(iv) 0 < z 1: Ta c

f
Y
(x-z) =

< <

z x
x z
0 , 0
1 , 1
g(z) = z dx
z
=

1
1


Cui cng ta c

g(z) =

<
<
< +

z
z z
z z
z
1 , 0
1 0 , 1
0 1 , 1
1 , 0
v th:



c) Tch hai bin ngu nhin.
Cho vect ngu nhin (X,Y) c hm mt f(x,y). Xt bin ngu nhin Z =
X.Y.
Gi G(z) l hm phn phi ca Z. K hiu

D
z
= {(x,y) | x.y z }.
Ta c
G(z) = P(Z z) = P(X.Y z) = P((X,Y) D
z
)

1
0 1 -1
=




(
(
(

+
(
(
(

=
0
0
) , ( ) , ( ) , ( dx dy y x f dx dy y x f dxdy y x f
x
z
x
z
D
z

z R

Ly o hm G(z) ta nhn c hm mt g(z) ca Z.

g(z) = G(z) =

\
|
= |

\
|
+ |

\
|
dx
x x
z
x f dx
x x
z
x f dx
x x
z
x f
| |
1
. ,
1
. ,
1
. ,
0
0

Tng t ta c
g(z) =

|
|

\
|
dy
y
y
y
z
f
| |
1
. ,

Trng hp X v Y c lp ta c

g(z) =

|
|

\
|
=
|

\
|
dy
y
y f
y
z
f dx
x x
z
f x f
Y X Y X
| |
1
). ( .
| |
1
. ). (

trong f
X
v f
Y
l cc hm mt ca X v Y.
+ V d . Cho X v Y l cc bin ngu nhin c lp, phn phi u trn [0, 1]. Tm
phn phi ca X.Y.
Gii.
Hm mt f
X
v f
Y
ca X v Y nh sau:

f
X
(t) = f
Y
(t) =
[ ]
[ ]

1 ; 0 , 0
1 ; 0 , 1
t
t


Suy ra hm mt g(z) ca X.Y, zR, theo cng thc

g(z) =

|

\
|
= |

\
|

1
0
| |
1
| |
1
). ( dx
x x
z
f dx
x x
z
f x f
Y Y X

Ta xt cc trng hp sau.

(i) z < 0: Ta c
z/x < 0 x(0; 1) f
Y
(z/x) = 0 x(0; 1) g(z) = 0

(ii) z > 1: Ta c
z/x > 1 x(0; 1) f
Y
(z/x) = 0 x(0; 1) g(z) = 0

(iii) 0 z 1: Ta c

f
Y
(z/x) =

< <

z x
x z
0 , 0
1 , 1
g(z) = z dx
x
z
ln
1
1
=

Cui cng ta c

g(z) =

<
<

z
z z
z
1 , 0
1 0 , ln
0 , 0
v th:




c) Thng hai bin ngu nhin.
Cho vect ngu nhin (X,Y) c hm mt f(x,y). Xt bin ngu nhin Z =
X/Y.
Gi G(z) l hm phn phi ca Z. K hiu

D
z
= {(x,y) | x/y z }.
Ta c
G(z) = P(Z z) = P(X/Y z) = P((X,Y) D
z
)

=



(
(

+
(
(

=
0
. 0
.
) , ( ) , ( ) , ( dx dy y x f dy dx y x f dxdy y x f
y z
y z
D
z

z R

Ly o hm G(z) ta nhn c hm mt g(z) ca Z.

g(z) = G(z) = ( ) ( ) ( )

= + dy y y y z f ydy y y z f ydy y y z f | | . , . . , . . , .
0
0

Tng t ta c
g(z) =

\
|
dx
z
x
z
x
x f
2
| |
. ,

Trng hp X v Y c lp ta c

g(z) = ( )

\
|
= dx
z
x
z
x
f x f dy y y f y z f
Y X Y X 2
| |
. ). ( | | . ). . (

trong f
X
v f
Y
l cc hm mt ca X v Y.

+ V d . Cho X v Y l cc bin ngu nhin c lp, phn phi u trn [0, 1]. Tm
phn phi ca X/Y.
Gii.
Hm mt f
X
v f
Y
ca X v Y nh sau:

1
0 1
f
X
(t) = f
Y
(t) =
[ ]
[ ]

1 ; 0 , 0
1 ; 0 , 1
t
t


Suy ra hm mt g(z) ca X.Y, zR, theo cng thc

g(z) = ( ) ( )

=

1
0
. | | ). . ( ydy y z f dy y y f y z f
X Y X

Ta xt cc trng hp sau.

(i) z < 0: Ta c
z.y < 0 y(0; 1) f
Y
(z.y) = 0 x(0; 1) g(z) = 0

(ii) 0 z 1: Ta c
0 z.y 1 y(0; 1) f
Y
(z.y) = 1 x(0; 1) g(z) =
2
1
2
1
0
2 1
0
=
(

=
=

y
y
ydy
(iii) 1 < z : Ta c

f
Y
(z.y) =

<

1
1
, 0
1
0 , 1
y
z
z
y
g(z) =
2
1
0
. 2
1
z
ydy
z
=

Cui cng ta c

g(z) =

<
<

z
z
z
z
1 ,
. 2
1
1 0 ,
2
1
0 , 0
2
v th:


1/2
0 1
IV. BIN NGU NHIN n CHIU

1. Khi nim.

nh ngha. Cho khng gian xc sut (, B, P), n N, n > 1. nh x

X: R
n
, X() = (X
1
(), X
2
(), , X
n
() )

gi l bin ngu nhin n chiu hay vect ngu nhin n chiu , nu X
1
, X
2
, , X
n
l
cc bin ngu nhin trn khng gian (, B, P). K hiu

X = ( X
1
, X
2
, , X
n
)

Hm phn phi ca vect ngu nhin (X
1
, X
2
, , X
n
) l hm n bin

F(x
1
, x
2
, , x
n
) = P(X
1
x
1
, X
2
x
2
, , X
n
x
n
)

Trng hp X
1
, X
2
, , X
n
l cc bin ngu nhin ri rc:
Lut phn phi ca (X
1
, X
2
, , X
n
) nh sau

( ) ( ) { }
n n i i i i
I i I i p x x
n n
,..., , ,...,
1 1 ,...,
1 1

vi
( )
n n
i n i i i
x X x X P p = = = ,...,
1 1
1 ,...,
(i
1
, , i
n
) I
1
x x I
n

trong I
1
, , I
n
l cc tp ch s m c hu hn hoc v hn.

Trng hp X
1
, X
2
, , X
n
l cc bin ngu nhin lin tc:
Hm mt phn phi ca (X
1
, X
2
, , X
n
) l o hm ring hn hp

f(x
1
, x
2
, , x
n
) =
( )
n
n
n
x x
x x F

...
,...,
1
1


Cho D R
n
. Xc sut ( X
1
, X
2
, , X
n
) D c tnh theo cng thc

P( ( X
1
, X
2
, , X
n
) D ) = ( )

n n
D
dt dt t t f ... ,..., .....
1 1


2. Lut phn phi ca cc bin ngu nhin thnh phn.

a) Vect ngu nhin ri rc.
Xc sut ca bin ngu nhin thnh phn X
k
, 1 k n.

p
k
= P(X
k
= x
k
) =


+ +
+
1 1 1 1 1 1
1 1 1
,..., , , ,...,
... ...
I i I i I i I i
i i k i i
k k k k n n
n k k
p

Xc sut ca vect ngu nhin thnh phn (X
1
, , X
k
), 1 < k n.

( )

+ +
+

= = = =
1 1
1 1 1 1 1
,..., , , ,..., 1 ,...,
... ,...,
k k n n
n k k k k k
I i I i
i i i i i i k i i i
p x X x X P p

b) Vect ngu nhin lin tc.
Mt ca bin ngu nhin thnh phn X
k
, 1 k n.
f
k
(t) = ( )

+ + n k k n k k
dt dt dt dt t t t t t f ... ... ,..., , , ,..., ...
1 1 1 1 1 1


Mt ca vect ngu nhin thnh phn (X
1
, , X
k
), 1 < k n.
f
1,,k
(t
1
, , t
k
) = ( )

+ + n k n k k
dt dt t t t t f ... ,..., , ,..., ...
1 1 1


3. Phn phi c iu kin.

a) Vect ngu nhin ri rc.

Cho vect ngu nhin (X
1
, X
2
, , X
n
), n N, n > 1, vi lut phn phi

( ) ( ) { }
n n i i i i
I i I i p x x
n n
,..., , ,...,
1 1 ,...,
1 1

vi
( )
n n
i n i i i
x X x X P p = = = ,...,
1 1
1 ,...,
(i
1
, , i
n
) I
1
x x I
n

trong I
1
, , I
n
l cc tp ch s m c hu hn hoc v hn.

Lut phn phi c iu kin ca (X
1
, X
2
, , X
k
), 1 k n, vi iu kin
X
k+1
=x
k+1
, , X
n
=x
n
l phn phi

( ) ( ) { }
k k x x i i i i
I i I i p x x
n k k k

+
,..., , ,...,
1 1 ,..., / ,...,
1 1 1

vi
n k
n k k
n k k
i i
i i i i
x x i i
p
p
p
,...,
,..., , ,...,
,..., / ,...,
1
1 1
1 1
+
+
+
= (i
1
, , i
k
) I
1
x x I
k


b) Vect ngu nhin lin tc.
Cho vect ngu nhin lin tc (X
1
, X
2
, , X
n
), n N, n > 1, vi hm mt

f(x
1
, x
2
, , x
n
)

Hm mt c iu kin ca (X
1
, X
2
, , X
k
), 1 k n, vi iu kin
X
k+1
=x
k+1
, , X
n
=x
n
, f
k+1,,n
(x
k+1
, , x
n
) 0, l

( ) ( ) { }
k k x x i i i i
I i I i p x x
n k k k

+
,..., , ,...,
1 1 ,..., / ,...,
1 1 1

vi
( )
( )
( )
n k n k
n k k
n k k
x x f
x x t t f
x x t t f
,...,
,..., , ,...,
,..., / ,...,
1 ,..., 1
1 1
1 1
+ +
+
+
=

4. Bin ngu nhin c lp.

nh ngha. Cc bin ngu nhin X
1
, X
2
, , X
n
gi l c lp vi nhau nu lut
phn phi ca mi h con trch t ( X
1
, X
2
, , X
n
) khng ph thuc vo gi tr cc
bin ngu nhin cn li.

nh l 1.
Cho vect ngu nhin ri rc (X
1
, X
2
, , X
n
), n N, n > 1, vi lut phn phi

( ) ( ) { }
n n i i i i
I i I i p x x
n n
,..., , ,...,
1 1 ,...,
1 1

vi
( )
n n
i n i i i
x X x X P p = = = ,...,
1 1
1 ,...,
(i
1
, , i
n
) I
1
x x I
n

trong I
1
, , I
n
l cc tp ch s m c hu hn hoc v hn.

Cc bin ngu nhin X
1
, X
2
, , X
n
c lp vi nhau khi v ch khi

( ) ( )
n n
i n i i i
x X P x X P p = = = .....
1 1
1 ,...,
(i
1
, , i
n
) I
1
x x I
n

nh l 2.
Cho vect ngu nhin lin tc (X
1
, X
2
, , X
n
), n N, n > 1, vi hm mt

f(x
1
, x
2
, , x
n
)

Cc bin ngu nhin X
1
, X
2
, , X
n
c lp vi nhau khi v ch khi

f(x
1
, x
2
, , x
n
) = f
1
(x
1
). . f
n
(x
n
) (x
1
, , x
n
) R
n


V. K VNG V PHNG SAI

nh l 1.
Cho vect ngu nhin ri rc Z = (X
1
, X
2
, , X
n
), n N, n > 1, vi lut phn
phi

( ) ( ) { }
n n i i i i
I i I i p x x
n n
,..., , ,...,
1 1 ,...,
1 1

vi
( )
n n
i n i i i
x X x X P p = = = ,...,
1 1
1 ,...,
(i
1
, , i
n
) I
1
x x I
n

trong I
1
, , I
n
l cc tp ch s m c hu hn hoc v hn.
Cho nh x : R
n
R sao cho (Z) l bin ngu nhin.
Khi k vng E[(Z)] ca (Z) l

E[(Z)] = ( )

I i I i
i i i i
n n
n n
p x x
1
1 1
,...,
. ,..., ...
vi iu kin chui hi t tuyt i.
CM.
Ta chng minh cho trng hp n=2. Trng hp n > 2 chng minh tng t.

K hiu li Z = (X, Y) l vect ngu nhin vi lut phn phi

{[(x
i
, y
j
), p
ij
] | i I, j J }

vi I, J l cc tp ch s dng hu hn {1,2,,n} hoc v hn {1,2,, }.
K hiu
V = { z
k
| k K },

trong K l tp ch s m c, l tp gi tr khc nhau ca (Z).
Khi , vi mi k K ta t

r
k
= P((Z) = z
k
) =

k
I j i
ij
p
) , (

trong
I
k
= { (i, j) I x J | (x
i
, y
j
) = z
k
}

Ta thy I
k
, k K, ri nhau tng cp v

K k
k
I

= I x J
Suy ra

E[(Z)] = ( ) ( ) ( )


= = =
I i J j
ij j i
IxJ j i
ij j i
K k I j i
ij j i
K k
k k
p y x p y x p y x r z
k
. , . , . , .
) , ( ) , (

nh l 2.
Cho vect ngu nhin lin tc (X
1
, X
2
, , X
n
), n N, n > 1, vi hm mt

f(x
1
, x
2
, , x
n
)
Cho nh x : R
n
R sao cho (Z) l bin ngu nhin.
Khi k vng E[(Z)] ca (Z) l

E[(Z)] = ( ) ( )

n n n
dt dt t t f t t .... ,..., . ,..., ...
1 1 1


vi iu kin tch phn hi t tuyt i.
CM.
Suy ra t nh ngha v php i bin ca tch phn Lebesgue (cng nhn).

Cc nh l sau l h qu ca 2 nh l trn.

nh l 3. Nu X
1
, X
2
, , X
n
l cc bin ngu nhin c k vng th

X
1
+ X
2
+ + X
n


c k vng v
E(X
1
+ X
2
+ + X
n
) = E(X
1
) + E(X
2
) + + E(X
n
)

nh l 4. Nu X
1
, X
2
, , X
n
l cc bin ngu nhin c lp c k vng th

X
1
.X
2
. X
n


c k vng v
E(X
1
.X
2
. X
n
) = E(X
1
).E(X
2
)E(X
n
)

H qu. Nu X , Y c lp v c phng sai th

cov(X,Y) = 0


nh l 5. Nu X
1
, X
2
, , X
n
l cc bin ngu nhin c phng sai th

X
1
+ X
2
+ + X
n


c phng sai v

D(X
1
+ X
2
+ + X
n
) =

=
+
n j i
j i
n
i
i
X X X D
1 1
) , cov( . 2 ) (


H qu. Nu X
1
, X
2
, , X
n
l cc bin ngu nhin c lp c phng sai th

X
1
+ X
2
+ + X
n


c phng sai v

D(X
1
+ X
2
+ + X
n
) = D(X
1
) + D(X
2
) + + D(X
n
)


+ V d 1. Mt thng c a qu cu trng v b qu cu en. Rt lin tip 2 qu cu
(khng tr li vo thng). K hiu X
i
, i=1,2, l cc bin ngu nhin nhn gi tr 1 nu
ln rt i c qu cu trng, nhn gi tr 0 nu ln rt i c qu cu en. Khi
cp (X
1
, X
2
) to thnh bin ngu nhin 2 chiu.

Theo v d 1, mc 5, bi I, ta c bng phn phi ca vect ngu nhin (X
1
,
X
2
)


X
2
X
1
1 0
1
1
1
+

+ b a
a
b a
a

1 + + b a
b
b a
a

0
1 + + b a
a
b a
b

1
1
+

+ b a
b
b a
b


lut phn phi ca X
1
v X
2

p
1
= P(X
1
= 1) = p
11
+ p
10
=
b a
a
+

p
0
= P(X
1
= 0) = p
01
+ p
00
=
b a
b
+

q
1
= P(X
2
= 1) = p
11
+ p
01
=
b a
a
+

q
0
= P(X
2
= 0) = p
10
+ p
00
=
b a
b
+


k vng, phng sai v hip phng sai

E(X
1
) = E(X
2
) =
b a
a
+
& D(X
1
) = D(X
2
) =
2
) (
.
b a
b a
+


cov(X
1
, X
2
) = E(X
1
.X
2
) E(X
1
).E(X
2
)

=
) 1 ( ) (
.
) ( 1
1
2 2
2
+ +
=
+

+ b a b a
b a
b a
a
b a
a
b a
a

Suy ra
D(X
1
+ X
2
) =
) 1 ( ) (
) 2 .( . . 2
) 1 ( ) (
. . 2
) (
. . 2
2 2 2
+ +
+
=
+ +

+ b a b a
b a b a
b a b a
b a
b a
b a


D(X
1
X
2
) =
) 1 ( ) (
) .( . . 2
) 1 ( ) (
. . 2
) (
. . 2
2 2 2
+ +
+
=
+ +
+
+ b a b a
b a b a
b a b a
b a
b a
b a


+ V d 2. Cho bng phn phi xc sut ca vect ngu nhin (X, Y) nh sau

Y
X
1 0 1
1 p/4 q/4 p/4
0 q/4 0 q/4
1 p/4 q/4 p/4

vi 0 < p < 1 v q = 1 p.
Ta c
E(X.Y) = p/2 p/2 = 0

Suy ra X v Y khng tng quan.
Mt khc v
P(X = 0; Y = 0) = 0 P(X = 0).P(Y = 0) = q
2
/4

nn X v Y khng c lp.

+ V d 3. Cho vect ngu nhin (X, Y) c phn phi u trn hnh trn bn knh R
> 0, tc (X, Y) c hm mt

f(x,y) =

> +
+
2 2 2
2 2 2
2
, 0
,
.
1
r y x
r y x
r


Ta c
cov(X,Y) = E(X.Y) E(X).E(Y)

=

+ + +

2 2 2 2 2 2 2 2 2
. . . . .
r y x r y x r y x
dxdy y dxdy x dxdy y x = 0 ,

v cc hm di du tch phn u i xng qua gc to trn min ly tch phn.
Suy ra X v Y khng tng quan.
Mt khc, theo v d mc 2, bi II, X v Y khng c lp.
CHNG 4
HI T NGU NHIN

I. HI T XC SUT

1. Khi nim hi t xc sut.

nh ngha. Cho X l bin ngu nhin v (X
n
)
n 1
l dy bin ngu nhin trn khng
gian xc sut (, B, P). Ta ni rng (X
n
)
n 1
hi t xc sut n X, k hiu

X X
P
n
n


nu

> 0, P(|X
n
X| ) 0 khi n

> 0, P(|X
n
X| < ) 1 khi n

+ V d. Ngi ta cho v s qu cu vo 3 thng vi xc sut nh nhau. Vi mi n >
0, gi Y
n
l tn s v X
n
l tn sut qu cu ri vo thng th nht trong s n qu
cu th vo ba thng. Chng minh rng

3
1
P
n
n
X


Gii.
Vi mi n > 0, Y
n
c phn phi nh thc B(n,1/3) vi

E(Y
n
) =
3
1
. n v D(Y
n
) =
9
2
. n

Vi > 0 bt k ta c

( )

= =
|
|

\
|
=
|
|

\
|

.
3
.
3
1
.
3
1
n
n
k
n n n
k Y P n n Y P X P

( ) ( )

=

=
|

\
|
=
|
|
|
|

\
|

n
k
n
n
n
k
n
k Y P
n
k
n
k Y P
n
n
k
0
2
2
.
3
2
3 ) . (
1
.
3

=
2 2
. . 9
2
) (
) . (
1
n
Y D
n
n
=
T suy ra
0
3
1

|
|

\
|

n n
X P
3
1
P
n
n
X



+ V d 2. Cho dy bin ngu nhin (X
n
)
n 1
, > 0, X
n
c phn phi m E(n.) vi
mi n 1. Chng minh rng 0
P
n
n
X

.
Gii.
Vi > 0 bt k ta c

( ) [ ]

. . . . . .
. . 0
n t n t n
n
e e dt e n X P

= = =

T suy ra
( ) 0 0
n n
X P 0
P
n
n
X



2. Bt ng thc Trebsep.

Cho bin ngu nhin X c phng sai D(X). Khi

> 0, P(|X E(X)| )
2
) (

X D

CM.
(i) Trng hp X l bin ngu nhin ri rc vi lut phn phi

{ (x
i
, p
i
) | i I }.
Vi > 0, ta c
P(|X E(X)| ) =


|

\
|

) (
2
) (
) (
X E x
i
i
X E x
i
i i
p
X E x
p
( )
2
2
2
) (
. ) (
1

X D
p X E x
I i
i i

=

(ii) Trng hp X l bin ngu nhin lin tc vi hm mt f(t).
Vi > 0, ta c
P(|X E(X)| ) =


|

\
|

| ) ( |
2
| ) ( |
) (
) (
) (
X E t X E t
dt t f
X E t
dt t f

2
2
2
) (
) ( . )) ( (
1

X D
dt t f X E t =

3. Lut s ln yu.
a) nh l Trebsep.
Cho X
1
, X
2
, , X
n
, l dy bin ngu nhin khng tng quan tng i v
c phng sai b chn bi hng s C no . K hiu
Y
n
=
( )
n
X E X
n
i
i i
=

1
) (
n = 1, 2,

Khi
0
P
n
n
Y


CM.
Ta c
E(Y
n
) = [ ] 0 ) (
1
1
=

=
n
i
i i
X E X E
n
v D(Y
n
) =
n
C
n
C n
X D
n
n
i
i
=

=
2
1
2
.
) (
1

Theo bt ng thc Trebsep suy ra: vi mi > 0

P(|Y
n
| )
2
. n
C

v t ta c
( ) 0
n n
Y P 0
P
n
n
Y


pcm
Sau y l cc trng hp ring ca nh l Trebsep.

b) nh l Khin-Chin.
Cho X
1
, X
2
, , X
n
, l dy bin ngu nhin khng tng quan tng i, c
phng sai b chn v c cng k vng a. K hiu
Y
n
=
n
X
n
i
i
=1
n = 1, 2,

Khi
a Y
P
n
n



b) nh l Bernoulli.
Cho X
1
, X
2
, , X
n
, l dy bin ngu nhin c lp c phn phi Bernoulli
tham s p, 0 < p < 1. K hiu
Y
n
=
n
X
n
i
i
=1
n = 1, 2,

Khi
p Y
P
n
n


Ghi ch: Trong trng hp ny ta c

P(|Y
n
p| )
2 2
. . 4
1
.
) 1 (
n n
p p

Bt ng thc ny c th c s dng tm khong tin cy ca tham s p.

II. HI T THEO LUT

1. Khi nim hi t theo lut.

nh ngha. Cho X l bin ngu nhin v (X
n
)
n 1
l dy bin ngu nhin trn khng
gian xc sut (, B, P). Ta ni rng (X
n
)
n 1
hi t theo lut n X, k hiu

X X
F
n
n


nu

x R, F
X
lin tc ti x F
Xn
(x) F
X
(x) khi n ,

trong F
X
, F
Xn
l cc hm phn phi ca X , X
n
, n=1, 2,

T nh ngha suy ra:
Nu X X
F
n
n

v a, b l cc im lin tc ca F
X
th

P(a < X
n
b) P(a < X b) khi n .

+ V d. Cho X
n
, n 1, c phn phi

)
`

=
|

\
|
+
n k
n n
k
,..., 1 , 0
1
1
,
Chng minh rng dy (X
n
)
n 1
hi t theo lut ti bin ngu nhin X c phn
phi u trn [0; 1].
CM.
Ta c

1
.
1
] . [
) (
1
1 .
+

+
=
+

n
x n
n
x n
x F
n
x n
n
X
x (0; 1)
v

F
Xn
(0) = 1/(n+1), F
Xn
(x) = 0 x < 0 v F
Xn
(x) = 1 x 1

T suy ra
x R, F
Xn
(x) F
X
(x) khi n ,

X X
F
n
n



nh l 1. Cho X l bin ngu nhin ri rc v (X
n
)
n 1
l dy bin ngu nhin ri rc
trn khng gian xc sut (, B, P). Gi s X v dy (X
n
)
n 1
c cng min gi tr ri
rc { v
k
| k K }, K l tp ch s m c hu hn hay v hn. Khi

X X
F
n
n

k K, P(X
n
= v
k
) P(X = v
k
) khi n .

Gi chng minh. Mnh suy ra t nh ngha v t nhn xt rng vi mi kK
ta c
P(X = v
k
) = F
X
(b) F
X
(a) a, b tho (a; b) { v
k
| k K } = { v
k
}

nh l 2. Cho X l bin ngu nhin v (X
n
)
n 1
l dy bin ngu nhin trn khng
gian xc sut (, B, P). Khi
X X
P
n
n

X X
F
n
n



2. Hi t theo lut ca phn phi nh thc n phn phi Poisson.
nh l. Cho dy bin ngu nhin (X
n
)
n 1
c phn phi nh thc B(n, p
n
) tho
n.p
n
> 0 khi n . Khi X X
F
n
n

, trong X c phn phi Poisson P().

ng dng.
Trong thc t, khi n 30 , p

0.1 v n.p < 10, th ta c th coi B(n, p) xp
x phn phi Poisson P(n.p).

+ V d. Cho php th c s kin A vi xc sut P(A) = 0.05. Thc hin php th
100 ln. Tnh xc sut s kin A xy ra 2 ln.
Gii.
K hiu Y l bin ngu nhin ch tn s xut hin A trong 100 php th. Y tun
theo lut phn phi nh thc B(100, 0.05).
(i) Tnh chnh xc:
P(Y = 2) = C(100, 2) * 0.05
2
* 0.95
98
0.081

(ii) Tnh xp x:
V s ln th 100 > 30 v xc sut p = 0.05 < 0.1 v n.p = 5 < 10, nn c th
coi Y tun theo lut phn phi Poisson P() vi = n.p = 5. Vy
P(Y = 2)
! 2
5
2
5
e 0.084.

Nh vy c th coi y l xp x khng ti.


III. NH L GII HN TRUNG TM

1. nh l.
Cho (X
n
)
n 1
l dy bin ngu nhin c lp tng h v c cng lut phn
phi vi k vng a v phng sai
2
> 0. t

M
n
*
=

) ( a M n
n

vi M
n
= ( )
n
X X X
n
+ + + ...
1
2 1


Khi dy (M
n
*
) hi t theo lut n bin ngu nhin c phn phi chun
N(0,1).
CM. Cng nhn.

Ghi ch: So snh vi lut s ln yu: Gi thit ca lut s ln yu yu hn gi
thit ca nh l gii hn trung tm, nhng kt lun ca nh l gii hn trung tm
mnh hn.


2. Hi t theo lut ca lut nh thc n lut phn phi chun.

Ta ch ra rng lut nh thc B(n, p) l tng ca n lut nh thc B(1,p) c
lp. Lut B(1,p) c k vng a = p v phng sai
2
= p.(1p). Nh vy, p dng
nh l gii hn trung tm ta nhn c

nh l. Cho (X
n
)
n 1
l dy bin ngu nhin c lut phn phi B(n,p), 0 < p < 1.
Khi
) 1 , 0 (
) 1 .( .
.
N
p p n
p n X
F
n
n

ng dng. Trn thc t, khi n 30 v p 0.5 ta c th coi lut

B(n, p) N(np, ) 1 .( . p p n ).

+ V d.
Cho X ~ B(100; 0.4). V n = 100 > 30 v p = 0.4 0.5, c th coi X xp x
lut

N(100*0.4; 6 . 0 * 4 . 0 * 100 ) = N(40; 2. 6 )

p dng tnh xc sut

P(X 50) = |

\
|

= |

\
|

04 . 2
6 2
40
6 2
40 50
6 2
40 X
P
X
P 0.9793


3. Hi t theo lut ca lut Poisson n lut phn phi chun.

Ta ch ra rng lut Poisson P(n.) l tng ca n lut Poisson P() c lp.
Lut P() c k vng a = v phng sai
2
= . Nh vy, p dng nh l gii hn
trung tm ta nhn c

nh l. Cho (X
n
)
n 1
l dy bin ngu nhin c lut phn phi Poisson P(n.),
>0. Khi
) 1 , 0 (
.
.
N
n
n X
F
n
n

ng dng. Trn thc t, khi 10 , ta c th xp x

P() N(, ).

+ V d. S khch hng X ca mt quy hng trong 1 gi tun theo lut phn phi
Poisson P(30). Tnh xc sut c khng qu 20 khch hng trong 1 gi.
Gii.
V tham s = 30 > 10 nn c th coi X c phn phi chun N(30, 30 ). T
suy ra
P(X 20) = |

\
|

= |

\
|

826 . 1
30
30
30
30 20
30
30 X
P
X
P
=
0,1
(1.826) = 1
0,1
(1.826) = 1 0.9661 = 0.0339


4. Cch tnh xc sut im ca phn phi nh thc v phn phi Poisson bng
lut phn phi chun.

Cho X l bin ngu nhin c phn phi nh thc hoc phn phi Poisson xp
x phn phi chun N(a, ). tnh xc sut P(X = k), k N, ta c th s dng mt
hai cng thc xp x sau.

Cng thc 1. Dng cho phn phi nh thc v phn phi Poisson.

P(X = k) = P(X k) P(X k 1) = F
X
(k) F
X
(k1) =
a,
(k)
a,
(k1)

Cng thc 2: Dng cho phn phi nh thc B(n, p), 0 < p <1, n N.

P(X = k) =

= =
+ = + <
= =
n k n n X P
n k k k k X k P
k X P
a
a a
a
, ) 5 . 0 ( 1 ) 5 . 0 (
1 , ) 5 . 0 ( ) 5 . 0 ( ) 5 . 0 5 . 0 (
0 , ) 5 . 0 ( ) 5 . 0 (
,
, ,
,

+ V d. Cho X c phn phi nh thc B(n, p), n=30 v p=0.4. Tnh P(X = 10).
Gii.
V n 30 v p0.5 nn c th coi X xp x phn phi N(30*0.4;
6 . 0 * 4 . 0 * 30 ) = N(12; 2.68).
- Cng thc 1:
P(X = 10) =
a,
(10)
a,
(10 1) =
0,1
(
68 . 2
12 10
)
0,1
(
68 . 2
12 9
)
=
0,1
(0.75)
0,1
(1.12) = 0.0925

- Cng thc 2:
P(X = 10) =
a,
(10 + 0.5)
a,
(10 0.5) =
0,1
(
68 . 2
12 5 . 10
)
0,1
(
68 . 2
12 5 . 9
)
=
0,1
(0.56)
0,1
(0.93) = 0.1115


CHNG 5
THNG K M T

I. KHNG GIAN MU

nghin cu tnh cht no ca cc vt th ca mt tp hp ln, ngi ta
thng ly mt s vt th nghin cu, ri t rt ra kt lun cho tt c vt th
trong tp hp.

+ V d. xc nh tui th ca mt loi bng n, ngi ta khng th th nghim
tt c bng n, m ch th nghim mt s bng ri suy ra tui th chung (tt nhin
vi tin cy no ).

nh ngha. Tp hp tt c vt th ban u gi l tp tng th. Mu l tp con cc
vt th ly ra t tp tng th. S phn t ca mu gi l c mu.

Bng phng php no c th ly ra nhiu mu khc nhau cng c mu.
Tp hp tt c cc mu cng c mu ca mt tp tng th gi l khng gian mu ,
v mi mu c coi l mt im ca khng gian mu.

Mun cho t mu ly c c th suy ra chnh xc tnh cht ca tp tng th
th mu phi tiu biu. Mu c coi l tiu biu nu ngi ta ly mu mt cch
ngu nhin, tc l mi phn t ca tp tng th c th ri vo mu vi xc sut nh
nhau (c th chn h ho hoc sinh s ngu nhin bng my tnh).

Mu c hai tnh cht: lp hoc khng lp v c th t hoc khng c th t.
Gi N l s tt c vt th, n l c mu.

Mu c lp c th t l mt chnh hp lp chp n t N phn t v s mu l

N
n


Mu khng lp c th t l mt chnh hp khng lp chp n t N phn t v
s mu n l
A(N, n) = N(N1) (Nn+1)

Mu c lp khng th t l mt t hp lp chp n t N phn t v s mu l

C(N+n1, n)

Mu khng lp khng th t l mt t hp chp n t N phn t v s mu l

C(N, n)

Nu N ln v n nh th t l s mu lp v khng lp xp x 1, nh vy vic ly
mu lp v khng lp cng cho kt qu gn nh nhau.

By gi gi s tnh cht ca vt th cn nghin cu l i lng ngu nhin
X. Khi mi mu c n s cho kt qu l b (X
1
, X
2
, , X
n
). Ta ni l ly mu

(X
1
, X
2
, , X
n
)
t i lng ngu nhin X.

Mu (X
1
, X
2
, , X
n
) c phn lp theo mt trong hai cch sau:
(i) Phn lp n:

{(x
i
, n
i
) | 1 i k }

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n

(ii) Phn lp ghp:

{([a
i
, a
i+1
), n
i
) | 1 i k }

vi a
1
< a
2
< < a
k
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), i=1,,k, n
i
= n.

Ghi ch: Phn lp ghp ch p dng cho X l bin ngu nhin lin tc.


II. BIU DIN PHN PHI MU

1. Trng hp phn lp n.
Cho i lng ngu nhin X, n N. Gi s ta c mu c n vi phn lp n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n.

Tn sut ca x
i
l i lng
n
n
i
, i=1,,k.

Bng phn phi tn sut ca X c dng

x
1
x
2
x
i
x
k
n
n
1

n
n
2

n
n
i

n
n
k



Biu tn sut c biu din trn mt phng to bng cc on thng biu
din tn sut.






n
i
/n
. . . . . . . .
. .


x
1
x
2
0 x
i-1
x
i
x
i+1

x
k-1
x
k

a gic tn sut l ng gp khc (mu xanh) ni cc nh trn ca cc on
thng tn sut.





n
i
/n
. . . . . . . .
. .


x
1
x
2
0 x
i-1
x
i
x
i+1

x
k-1
x
k
Tn sut tch lu l hm phn phi mu sau:

F
n
(x) =

= <
<
+
=

k
j j
j
i
i
x x
k j x x x
n
n
x x
, 1
1 ,..., 1 , ,
, 0
1
1
1


th c dng bc thang


1


. . .
.


. . . .


x
1
x
2
0 x
i-1
x
i
x
i+1

x
k-1
x
k


Ghi ch: F
n
(x) l tn sut s kin X x, cn hm phn phi F(x) l xc sut s
kin X x. Vy theo lut s ln yu (nh l Bernoulli) ta c

) ( ) ( x F x F
P
n
n

x R,
tc l
> 0, x R, P(|F
n
(x) F(x)| < ) 1 khi n .


2. Trng hp phn lp ghp.

Cho i lng ngu nhin lin tc X, n N. Gi s ta c mu c n vi phn
lp ghp

{([a
i
, a
i+1
), n
i
) | 1 i k }

vi a
1
< a
2
< < a
k
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), i=1,,k, n
i
= n.

Tn sut ca lp ghp i, tc khong [a
i
; a
i+1
) l i lng
n
n
i
, i=1,,k.
Cc gi tr trong lp [a
i
; a
i+1
) c xp x bng tr trung bnh
2
1 +
+
i i
a a


Bng phn phi tn sut ca X c dng

[a
i
; a
i+1
)
2
1 +
+
i i
a a
n
i
n
n
i

[a
1
; a
2
)
:
:
:
[a
k
; a
k+1
)
2
2 1
a a +

:
:
2
1 +
+
k k
a a

n
1

:
:
:
n
k
n
n
1

:
:
n
n
k



T chc tn sut l cch biu din tn sut trn mt phng to trong tn
sut
n
n
i
c biu din bng hnh ch nht y [a
i
; a
i+1
) v chiu cao l
) (
1 i i
i
a a n
n

+
, i = 1, , k.







. . . . . . . .
. .


a
1
a
2
0 a
i-1
a
i
a
i+1

a
k-1
a
k
a
k+1


a gic tn sut l ng gp khc (mu xanh) ni cc trung im y trn ca
cc hnh ch nht k nhau trn t chc tn sut.

on ngoi cng bn tri ni trung im [a
1
; a
2
) vi im m
0
trn trc honh
cch a
1
mt khong bng na on [a
1
; a
2
).

on ngoi cng bn phi ni trung im [a
k
; a
k+1
) vi im m
k+1
trn trc
honh cch a
k+1
mt khong bng na on [a
k
; a
k+1
).






. . . . . . . .
. .


m
0
a
1
a
2
0 a
i-1
a
i
a
i+1

a
k-1
a
k
a
k+1
m
k+1




Hm tn sut tch lu l hm phn phi mu c ng cong tn sut tch lu l
ng gp khc ni cc im
(a
1
, 0), (a
2
,
n
n
1
), (a
3
,
n
n n
2 1
+
), . . . , (a
j+1
,

j i
i
n
n
), . . . , (a
k+1
, 1)

th c dng


1





. . . . . . . .
. .


a
1
a
2
0 a
i-1
a
i
a
i+1

a
k-1
a
k
a
k+1













III. CC THAM S C TRNG

1. Cc tham s v tr.

Cho i lng ngu nhin X, n N, v mu c n ca X.

a) Tr trung bnh mu.
(i) Trng hp mu phn lp n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n.
K hiu tn sut ca x
i
l f
i
=
n
n
i
, i=1,,k. Ta nh ngha cc tr trung bnh
sau:
Trung bnh cng hay k vng mu:


= =
= = =
k
i
i i
k
i
i i a
x f x n
n
x m
1 1
1


Trung bnh hnh hc :


= =
= =
k
i
f
i
n
k
i
n
i g
i i
x x m
1 1


Trung bnh iu ho:


= =
= =
k
i i
i
k
i i
i
h
x
f
x
n
n
m
1 1
1
1
1


Trung bnh bnh phng:


= =
= =
k
i
i i
k
i
i i q
x f x n
n
m
1
2
1
2
. .
1


(i) Trng hp mu phn lp ghp.

{([a
i
, a
i+1
), n
i
) | 1 i k }

vi a
1
< a
2
< < a
k+1
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), i=1,,k, n
i
= n.
K hiu tn sut ca lp ghp i, tc khong [a
i
; a
i+1
) l f
i
=
n
n
i
, i=1,,k. Ta
nh ngha cc tr trung bnh tng t nh trng hp mu phn lp n vi x
i
thay
bng c
i
=
2
1 +
+
i i
a a
.
Trung bnh cng hay k vng mu:


= =
= = =
k
i
i i
k
i
i i a
c f c n
n
x m
1 1
1



b) Trung v mu.
(i) Trng hp mu phn lp n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n.

Trung v mu , k hiu med, l s ng gia dy x
1
, x
2
, , x
k
xc nh nh
sau.
Xp n tr x
i
theo th t nh sau

x
1
, x
1
, , x
1
, , x
i
, x
i
, , x
i
, , x
k
, x
k
, , x
k

n
1
n
i

n
k

Khi , nu n = 2.m+1 l th med l phn t v tr th m+1, nu n = 2.m
chn th med l trung bnh cng ca phn t v tr th m v phn t v tr th
m+1

+ V d 1: Cho mu c 9 sau

3; 4; 4; 5; 6; 8; 8; 10; 11

y n = 9 = 2*4 + 1. Vy med l phn t th 5 (=4+1), tc med = 6

+ V d 2: Cho mu c 100 sau

171; ; 171; 174; ; 174; 177; ; 177; 180; ; 180; 183; ; 183
6 17 41
27 9

y n = 100 = 2*50. Vy med l trung bnh cng ca phn t th 50 v
phn t th 51, tc med = (177+177)/2 = 177.


(ii) Trng hp mu phn lp ghp

{([a
i
; a
i+1
), n
i
) | 1 i k },

vi a
1
< a
2
< < a
k+1
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), f
i
=
n
n
i
, i=1,,k, n =
n
i
.

Trung v mu , k hiu med, l gi tr m ti hm tn sut tch lu F bng
, tc F(med) = .
med c xc nh nh sau:
Tm khong [a
h;
a
h+1
) cha med tho

p
h1
=


<
h i
i
h i
i
f f
2
1
1
= p
h


Trung v med c tnh t phng trnh

h
h
h h
h
h h
h
f
p
p p
p
a a
a med
1
1
1
1
5 . 0 5 . 0

med = a
h
+ ( )
h h
h
h
a a
f
p

1
1
5 . 0


+ V d: Cn 100 thanh nin ta c bng tn sut lp ghp sau

[a
i
; a
i+1
) 59.5 62.5 62.5 65.5 65.5 68.5 68.5 71.5 71.5 74.5
f
i
5% 18% 42% 27% 8%

V

p
2
= 5% + 18% < < 5% + 18% + 42% = 65% < p
3

nn khong cha med l khong th 3

[a
3
; a
4
) = [65.5; 68.5).

Suy ra

med = 65.5 +
% 42
% 23 5 . 0
(68.5 65.5) = 65.5 + (27/42).3 = 67.4 (kg)

c) Mode mu.
(i) Trng hp mu phn lp n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n.

Mode mu l x
m
(1 m k) c tn s n
m
ln nht (c th c nhiu mode)u
+ V d. Mu c 13

x
i
2 5 7 9 10 11 18
n
i
2 1 1 3 2 3 1

c hai mode l 9 v 11.



(ii) Trng hp mu phn lp ghp

{([a
i
; a
i+1
), n
i
) | 1 i k },

vi a
1
< a
2
< < a
k+1
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), f
i
=
n
n
i
, i=1,,k, n =
n
i
.

mode c xc nh nh sau:
Tm khong [a
h;
a
h+1
) c tn s ln nht (c th c nhiu khong nh
vy).

mode c tnh theo cng thc

mode = a
h
+ ( )
h h
h h h h
h h
a a
n n n n
n n

+
+

1
1 1
1
) ( ) (


+ V d: Cn 100 thanh nin ta c bng tn sut lp ghp sau

[a
i
; a
i+1
) 59.5 62.5 62.5 65.5 65.5 68.5 68.5 71.5 71.5 74.5
f
i
5% 18% 42% 27% 8%

V lp [65.5; 68.5) c tn sut ln nht nn mode c tnh nh sau

Mode = 65.5 +
27 42 18 42
18 42
+

(68.5 65.5) = 67.34

2. Cc tham s phn tn

Cho i lng ngu nhin X, n N. Gi thit X c mu c n hoc phn lp
n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n, hoc phn lp
ghp

{([a
i
; a
i+1
), n
i
) | 1 i k },

vi a
1
< a
2
< < a
k+1
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), c
i
=
2
1 +
+
i i
a a
, i=1,,k,
n = n
i
.

a) tri rng.
tri rng ca mu l hiu
x
k
x
1
cho mu phn lp n
v
a
k+1
a
1
cho mu phn lp ghp.

b) Phng sai mu v lch chun

( )

=
k
i
i i
x x n
n
S
1
2
2
1
cho mu phn lp n
v
( )

=
k
i
i i
x c n
n
S
1
2
2
1
cho mu phn lp ghp.

Ghi ch: Trong trng hp phn lp ghp, nu cc khong [a
i
; a
i+1
) bng nhau
v bng c, th c th s dng phng sai hiu chnh

12
2 2 2
c
S Shc =

(
12
2
c
gi l hiu chnh Shepard)

i lng
2

= S S gi l lch chun.

c) lch trung bnh

=
=
k
i
i i
x x n
n
e
1
.
1
cho mu phn lp n
v

=
=
k
i
i i
x c n
n
e
1
.
1
cho mu phn lp ghp

d) Momen mu
Momen mu bc a (a N):

m
a
=

=
k
i
a
i
x
n
1
1
cho mu phn lp n
v

m
a
=

=
k
i
a
i
c
n
1
1
cho mu phn lp ghp
Momen trung tm mu bc a (a N):


a
= ( )

k
i
a
i i
x x n
n
1
.
1
cho mu phn lp n
v

a
= ( )

k
i
a
i i
x c n
n
1
.
1
cho mu phn lp n

Momen trung tm rt gn bc a:

a
a
a
s

=



3. Cc tham s hnh dng
a) H s bt i xng mu

3
3
3 1

= =
s

b) H s nhn mu

3
4 2
=


4. Cc im phn t

a) Trng hp mu phn lp n

{(x
i
, n
i
) | 1 i k },

vi x
1
< x
2
< < x
k
v n
i
l tn s xut hin x
i
, i=1,,k, n
i
= n.
K hiu tn sut ca x
i
l f
i
=
n
n
i
, i=1,,k.
im phn t ca mu, k hiu q
1
, l tr x
i
nh nht tho
4
1
1

=
i
j
j
f .
im ba phn t ca mu, k hiu q
3
, l tr x
i
nh nht tho
4
3
1

=
i
j
j
f .
Khong [q
1
; q
3
] gi l khong phn t v tr = q
3
q
1
gi l lch phn t.
+ V d. Cho mu

x
i
1 2 3 4 5 6 7 8 9 10 11 12
n
i
1 3 8 12 13 16 12 14 9 5 5 2
f
i
0.01 0.03 0.08 0.12 0.13 0.16 0.12 0.14 0.09 0.05 0.05 0.02
f
j
0.01 0.04 0.12 0.24 0.37 0.53 0.65 0.79 0.88 0.93 0.98 1

im phn t q
1
= 5, v

= =
= =
5
1
4
1
37 . 0
4
1
24 . 0
j
j
j
j
f f .
im ba phn t q
3
= 8, v

= =
= =
8
1
7
1
79 . 0
4
3
65 . 0
j
j
j
j
f f .

Khong phn t l [q
1
; q
3
] = [5; 8]
lch phn t l q
3
q
1
= 8 5 = 3


b) Trng hp mu phn lp ghp
{([a
i
; a
i+1
), n
i
) | 1 i k },

vi a
1
< a
2
< < a
k+1
v n
i
l s x
i
ri vo khong [a
i
; a
i+1
), f
i
=
n
n
i
, i=1,,k, n =
n
i
.
Hm tn sut tch lu l hm c th l ng gp khc ni cc im
(a
i
; F(a
i
)), vi F(a
i
) =

=
1
1
i
j
j
f , i=1,,k,k+1.
im phn t l im q
1
tho F(q
1
) = 1/4
im ba phn t l im q
3
tho F(q
3
) = 3/4
Khong [q
1
; q
3
] gi l khong phn t v tr = q
3
q
1
gi l lch phn t.


IV. PHN TCH THNG K BIN NGU NHIN 2 CHIU

1. Tng qut
a) Mu phn lp n
Cho i lng ngu nhin hai chiu (X, Y), n N. Mu phn lp n c n
ca (X, Y) c dng nh sau

{((x
i
, y
j
), n
ij
) | 1 i r & 1 j s }

trong r, s N, n
ij
N, n
ij
= n.

Mu trn c th biu din dng bng nh sau

Y
X
y
1
y
2
y
j
y
s
x
1
n
11
n
12
n
1j
n
1s
x
2
n
21
n
22
n
2j
n
2s
: : : : :
x
i
n
i1
n
i2
n
ij
n
is
: : : : :
x
r
n
r1
n
r2
n
rj
n
rs


Tn sut cp (x
i
, y
j
) l i lng f
ij
=
n
n
ij
, 1 i r, 1 j s.
K hiu
n
i,
=

=
s
j
ij
n
1
, 1 i r
v
n
,j
=

=
r
i
ij
n
1
, 1 j s

Ta c hai mu ca X v Y l

{(x
i
, n
i,
) | 1 i r }
v
{(y
j
, n
,j
) | 1 j s }

Tn sut c iu kin ca x
i
vi iu kin y
j
l i lng
j
ij
n
n
,

Tn sut c iu kin ca y
j
vi iu kin x
i
l i lng
, i
ij
n
n

Cc tham s c trng.
- Tr trung bnh mu:

=
r
i
i i
x n
n
x
1
,
.
1
v

=
s
j
j j
y n
n
y
1
,
.
1

- Phng sai mu:

( )

=
r
i
i i
X x x n
n
S
1
2
,
2
1
v ( )

=
s
j
j j
Y y y n
n
S
1
2
,
2
1


- Hip phng sai mu:

( )( ) y x y x n
n
y y x x n
n
S
r
i
s
j
j i j i
r
i
s
j
j i j i
XY . . .
1 1
1 1
,
1 1
,
= =

= = = =

- H s tng quan mu:
R
XY
=
Y X
XY
S S
S

.


b) Mu phn lp ghp
Cho i lng ngu nhin hai chiu (X, Y), n N. Mu phn lp ghp c n
ca (X, Y) c dng nh sau

{(([a
i
;a
i+1
), [b
j
;b
j+1
)), n
ij
) | 1 i r & 1 j s }

trong r, s N, n
ij
N, n
ij
= n.

Mu trn c th biu din dng bng nh sau


Y
X
[b
1
;b
2
) [b
2
;b
3
)

[b
j
;b
j+1
)

[b
s
;b
s+1
)

[a
1
;a
2
) n
11
n
12
n
1j
n
1s
[a
2
;a
3
)

n
21
n
22
n
2j
n
2s
: : : : :
[a
i
;a
i+1
) n
i1
n
i2
n
ij
n
is
: : : : :
[a
r
;a
r+1
)

n
r1
n
r2
n
rj
n
rs


Tn sut cp lp ([a
i
;a
i+1
), [b
j
;b
j+1
)) l i lng f
ij
=
n
n
ij
, 1 i r, 1 j s.
K hiu
n
i,
=

=
s
j
ij
n
1
, 1 i r
v
n
,j
=

=
r
i
ij
n
1
, 1 j s
Ta c hai mu ca X v Y l

{([a
i
;a
i+1
) , n
i,
) | 1 i r }
v
{([b
j
;b
j+1
), n
,j
) | 1 j s }

Tn sut c iu kin ca [a
i
;a
i+1
) vi iu kin [b
j
;b
j+1
) l i lng
j
ij
n
n
,

Tn sut c iu kin ca [b
j
;b
j+1
) vi iu kin [a
i
;a
i+1
) l i lng
, i
ij
n
n
.
K hiu x
i
= (a
i
+ a
i+1
)/2, i=1,,r v y
j
= (b
j
+ b
j+1
)/2. Ta nh ngha
cc tham s c trng tng t nh trng hp phn lp n.

Cc tham s c trng.
- Tr trung bnh mu:

=
r
i
i i
x n
n
x
1
,
.
1
v

=
s
j
j j
y n
n
y
1
,
.
1

- Phng sai mu:

( )

=
r
i
i i
X x x n
n
S
1
2
,
2
1
v ( )

=
s
j
j j
Y y y n
n
S
1
2
,
2
1


- Hip phng sai mu:

( )( ) y x y x n
n
y y x x n
n
S
r
i
s
j
j i j i
r
i
s
j
j i j i
XY . . .
1 1
1 1
,
1 1
,
= =

= = = =

- H s tng quan mu:
R
XY
=
Y X
XY
S S
S

.


+ V d.
xc nh mi quan h gia chi ph qung co v doanh s bn hng ngi
ta thng k s liu trong 10 thng nh sau:

i 1 2 3 4 5 6 7 8 9 10
p
i
480 450 480 540 570 420 390 520 470 480
c
i
22 18 20 24 24 22 14 22 18 16

y p
i
v c
i
tng ng l s sn phm bn ra v chi ph qung co trong
thng i, i=1,,10.

T bng trn ta suy ra mu thng k ca s sn phm bn ra X nh sau:

x
i
390 420 450 470 480 520 540 570
n
i,
1 1 1 1 3 1 1 1

v mu thng k ca chi ph Y nh sau:

y
j
14 16 18 20 22 24
n
,j
1 1 2 1 3 2

T ta tnh c

x = 480; y = 20;
2
X S

= 2600;
2
Y S

= 10.4; XY S

= 118; R
XY
= 0.72

+ V d 2. Bng sau cho mu thng k im 2 mn ton (X) v tin (Y) thang im 20
ca 100 sinh vin


Y
X
[0;4) [4;8) [8;12) [12;16) [16;20)
[0;4) 2 5 2
[4;8) 1 12 10 3
[8;12) 3 28 12 1
[12;16) 1 5 10 2
[16;20) 1 2

Mu thng k ca X l

[a
i
;a
i+1
) [0;4) [4;8) [8;12) [12;16) [16;20)
n
i,
9 26 44 18 3
x
i
=(a
i
+a
i+1
)/2 2 6 10 14 18

v Y l


[b
j
;b
j+1
) [0;4) [4;8) [8;12) [12;16) [16;20)
n
,j
3 21 45 26 5
y
j
=(b
j
+b
j+1
)/2 2 6 10 14 18

T ta tnh c

x = 9.20; y = 10.36;
2
X S

= 14.08;
2
Y S

= 12.5104; XY S

= 8.608; R
XY
= 0.65


c) m my im

biu din mu 2 chiu ngi ta dng khi nim m my im.
Cho mu phn lp n c n ca (X, Y)

{((x
i
, y
j
), n
ij
) | 1 i r & 1 j s }

trong r, s N, n
ij
N, n
ij
= n.
Mi cp (x
i
, y
j
) vi tn sut n
ij
c biu din bng n
ij
im t xung quah
im M
ij
(x
i
, y
j
) hoc bng hnh trn tm M
ij
(x
i
, y
j
) bn knh t l thun vi n
ij
.
Hnh to ra gi l m my im biu din mu 2 chiu. im G( x , y ) gi l
tm im ca m my im.

Khi nim m my im biu din mu 2 chiu phn lp ghp cng nh
ngha tng t .


2. iu chnh tuyn tnh

iu chnh tuyn tnh l tm ng thng iu chnh m my im biu din
phn phi mu ca vect ngu nhin (X,Y).
Ta p dng phng php bnh phng nh nht.
K hiu l ng thng c phng trnh y = a.x + b (a0). Vi mi im
M
k
(x
k
, y
k
) trn m my im ta k hiu P
k
(x
k
, a.x
k
+b), Q
k
((y
k
b)/a, y
k
) l cc im
chiu ca M
k
ln theo Ox v Oy.



M
k

Q
k


P
k




a) ng thng hi qui ca y theo x.
ng thng hi qui ca y theo x l ng thng c h s a, b lm cc tiu
tng

S(a,b) = ( )

= =
=
n
k
k k
n
k
k k
b x a y P M
1
2
1
2
.
Gii h sau theo a v b

( )
( )

= =

= =

=
= =
0 . 2 2
0 . 2 2
1
1 1
n
k
k k
n
k
k k k
n
k
k
x a y nb
b
S
x a y x x b
a
S


Kh b ta c

2
2
1
2
1
1
.
1
X
XY
n
k
k
n
k
k k
S
S
x x
n
y x y x
n
a

=
=
=

T suy ra

x
S
S
y x a y b
X
XY
2
.

= =

V y l im duy nht c cc o hm trit tiu v S(a,b) > 0 b chn di
nn n cng l im cc tiu. Vy phng trinh ng thng hi qui ca y theo x
l

( ) x x
S
S
y y
X
XY
=

2



b) ng thng hi qui ca x theo y.
ng thng hi qui ca x theo y l ng thng c h s a, b lm cc tiu
tng

S(a,b) =

= =
|

\
|
=
n
k
k
k
n
k
k k
a
b y
x Q M
1
2
1
2


Tng t nh trn ta tnh c phng trinh ng thng hi qui ca x
theo y l
( ) y y
S
S
x x
Y
XY
=

2

Ghi ch:
- Trong trng hp phn lp n ta coi lp (x
ij
, n
ij
) c n
ij
im trng nhau v
cc phng trnh ng thng hi qui vn ng.
- Cc ng thng v giao nhau ti im G( x , y ) v c cc h s gc
cng du vi XY S

.
- Cc ng thng v trng nhau khi v ch khi
XY
Y
X
XY
S
S
S
S

=
2
2

2 2 2
. Y X XY S S S

= 1
2
=
XY
R

Nu R
XY
gn 1, th ta ni X v Y tng quan tt.



V. PHN PHI XC SUT CA I LNG
THNG K TRN KHNG GIAN MU

1. Khi nim phn phi xc sut ca i lng thng k

Cho i lng ngu nhin X c mt f(x). Gi s (x
1
, x
2
, , x
n
) l mu ca
X v c mt f(x
1
). . f(x
n
). Mt hm Y = g(x
1
, x
2
, , x
n
) bt k gi l i lng
thng k trn khng gian mu. Y = g(x
1
, x
2
, , x
n
) cng l i lng ngu nhin.
+ V d. k vng mu x v phng sai mu
2

S l cc i lng thng k.

Vn t ra l tm hm phn phi H(y) ca Y.
Ta c
H(y) =

y
G
n n
dx dx x f x f ... ) ( )... (
1 1

vi
G
y
= { (x
1
, x
2
, , x
n
) | g(x
1
, x
2
, , x
n
) y }

2. Phn phi xc sut ca mt s i lng thng k

a) Phn phi xc sut ca k vng mu
nh l 1. Nu mu (x
1
, x
2
, , x
n
) c ly t i lng ngu nhin X c phn
phi chun N(,
2
), th
(i)

=
=
n
k
k
x
n
x
1
1
c phn phi chun N(,
n
2

)
(ii) n
x

c phn phi chun N(0, 1)


b) Phn phi
2
(khi bnh)
nh ngha. Nu X
i
, 1 i n, l cc i lng ngu nhin c cng phn phi
chun N(0, 1), th bin ngu nhin
U =

=
n
k
k
X
1
2

c phn phi khi bnh vi n bc t do c k hiu l
2
n
.

nh l 2. Cho bin ngu nhin U c phn phi
2
n
. Khi
(i) Hm mt ca U l

f(u) =

>
|

\
|

0 , 0
0 , .
2
2
1
2
1
2
2 /
u
u e u
n
u n
n


(ii) E(U) = n; D(U) = 2.n

Ghi ch. (a) =

0
1
dx e x
x a
(a > 0).
nh l 3. Cho bin ngu nhin X c phn phi chun N(,
2
) v (x
1
, x
2
, , x
n
) l
mu ca X. Khi i lng thng k

2
2
1
s
n

c phn phi
2
1 n
, trong
s
2
= ( )

n
k
k
x x
n
1
2
1
1




c) Phn phi student
nh ngha. Cho bin ngu nhin Z c phn phi chun N(0,1) v U c phn phi
2
n
(n 1) c lp vi nhau. Khi bin ngu nhin
t = n
U
Z

tun theo lut phn phi student vi n bc t do.

nh l 4. Cho t tun theo lut phn phi student vi n bc t do (n 1). Khi
(i) Hm mt ca t l

f(t) =
2
1
2
1
1
.
2
.
2
1
+
|
|

\
|
+
|

\
|

\
| +

n
n
t
n
n
n

t (-, +)


(ii) Vi n > 1: E(t) = 0 (f(t) l hm chn).
Vi n > 2: D(t) =
2 n
n


nh l 5. Cho X tun theo lut phn phi chun N(,
2
) v (x
1
, x
2
, , x
n
) (n 1)
l mu ca X. Khi i lng thng k

t = n
s
x
.


c phn phi student vi n-1 bc t do, trong

s
2
= ( )

n
k
k
x x
n
1
2
1
1

CM.
Suy ra t nh l 3 v nh ngha v

t = n
s
x
.

= 1 .
. 1

n
s n
n
x

d) Phn phi Fisher
nh ngha. Cho cc bin ngu nhin c lp U
1
c phn phi
2
1 n
v U
2
c
phn phi
2
2 n
(n1, n2 1). Khi bin ngu nhin

F =
2
1
2
1
n
U
n
U


tun theo lut phn phi Fisher vi cp bc t do (n1, n2), k hiu l F
n1,n2
.

nh l 6. Cho bin ngu nhin X c phn phi F
n1,n2
. Khi
(i) Hm mt ca X l

f(t) =

>
|

\
|
+
|

\
|
|

\
|

\
|
|

\
| +

0 , 0
0 ,
2
1
1 .
2
2
2
1
2
1
2
2 1
2
2 1
1
2
1
2
1
t
t t
n
n
t
n n
n
n n n
n n
n
n


(ii) E(X) =
2 2
2
n
n
n2 > 2; D(X) =
( )
( )( )
2
2
2 2 . 4 2 . 1
2 2 1 . 2 . 2

+
n n n
n n n
n2 > 4


By gi ta cho (x
1
, x
2
, , x
n1
) l mu ca X , (y
1
, y
2
, , y
n2
) l mu ca Y v

=
=
1
1
1
1
n
i
i
x
n
x ; ( )

=
1
1
2
2
1
1 1
1
n
k
k
x x
n
s
v

=
=
2
1
2
1
n
i
i
y
n
y ; ( )

=
2
1
2
2
2
1 2
1
n
k
k
y y
n
s


nh l 7. Cho X v Y l cc bin ngu nhin c lp c phn phi chun cng
phng sai (D(X) = D(Y)). Khi i lng thng k
F =
2
2
2
1
s
s

c phn phi Fisher F
n1-1,n2-1
.
CM.
Suy ra t nh l 3 v nh ngha.
VI. PHN PHI TIM CN CHUN
CA I LNG THNG K

Theo cc nh l gii hn, khi c mu n tng n v cng th c th chng
minh nhiu i lng thng k c hm phn phi xc sut tin ti hm phn phi
chun. Cc phn phi gi l phn phi tim cn chun.

nh l 1. Cho i lng ngu nhin X vi E(X) = v D(X) =
2
v (x
1
, x
2
, , x
n
)
l mu ca X. Khi

n
x
.

c phn phi tin ti phn phi chun N(0,1) khi n+.


T nh l 1 suy ra

nh l 2. Cho s kin A ca php th c xc sut p v n 1. Gi s php th
c thc hin n ln mt cch c lp v s kin A xut hin m ln. Khi

( )
n
p p
p
n
m
.
1 .

c phn phi tin ti phn phi chun N(0,1) khi n+.

nh l 3. Nu i lng ngu nhin U c phn phi
2
n
, th cc i lng

n
n U
. 2

v ( ) 1 . 2 . 2 n U

c phn phi tin ti phn phi chun N(0,1) khi n+.

nh l 4. Nu i lng ngu nhin t c phn phi student vi n bc t do , th
phn phi xc sut ca t tin ti phn phi chun N(0,1) khi n+.

Ghi ch. Vi n 30 phn phi student c coi l trng vi phn phi chun
N(0,1).

CHNG 6
L THUYT C LNG

0. BI TON C LNG

Cho X l i lng ngu nhin c lut phn phi P(x, ). Gi thit dng ca
P bit, nhng tham s cha bit v ta cn tm cch c lng . C hai
phng php tip cn: c lng im v c lng khong.

1. c lng im
c lng im l da trn mu (x
1
, x
2
, , x
n
) ca X, ta tm i lng thng
k

(x
1
, x
2
, , x
n
)

thay cho vi chnh xc no .
i lng

(x
1
, x
2
, , x
n
) gi l hm c lng ca .

2. c lng khong
c lng khong l da trn mu (x
1
, x
2
, , x
n
) ca X, ta tm khong
[

1
,

2
]
trong

1
=

1
(x
1
, x
2
, , x
n
) v

2
=

2
(x
1
, x
2
, , x
n
), sao cho c th coi

2


vi tin cy no .


1. C LNG IM

1. Hm c lng ca mt tham s

Cho bin ngu nhin X vi lut phn phi P(x, ) v mu (x
1
, x
2
, , x
n
) ca X.
nh ngha 1. i lng thng k

(x
1
, x
2
, , x
n
) c chn s dng thay cho
gi l hm c lng ca .

+ V d 1. Gi s E(X) = v D(X) =
2
. Ta c th coi

=
=
n
k
k
x
n
x
1
1
l c lng
ca v ( )

=
n
i
i
x x
n
S
1
2
2
1
l c lng ca
2
.

ng vi mi tham s c th c nhiu hm c lng khc nhau. Vn
t ra l phi chn hm c lng theo tiu chun no c th coi l tt.

nh ngha 2. Hm c lng

(x
1
, x
2
, , x
n
) ca gi l c lng khng
chch nu
E[

(x
1
, x
2
, , x
n
)] =

vi mi trong khong xc nh H no .

Nu coi

(x
1
, x
2
, , x
n
) l sai s ca c lng th iu kin trn chng
t k vng sai s bng 0.

+ V d 2. K vng mu x l c lng khng chch ca k vng . Tht vy, ta
c
E( x ) = ( )

= =
= |

\
|
n
k
k
n
k
k
x E
n
x
n
E
1 1
1 1
=

+ V d 3. i lng thng k ( )

=
n
i
i
x x
n
S
1
2
2
1
l c lng chch ca phng
sai
2
. Tht vy, ta c

( ) ( ) ( ) ( ) ( )
(

=
(

=
|
|

\
|

= =

n
i
i
n
i
i
x E x x x E
n
x x E
n
S E
1
2
1
2
2
1 1

( ) ( ) ( ) ( ) ( ) ( ) ( )
(

+ =
|
|

\
|

n
i
i i
x E x x x x E x x x E
n
S E
1
2
2 2
2
. . 2
1

( ) ( ) ( ) ( ) ( ) ( ) ( )
(

+ =
|
|

\
|

n
i
i i
x E x x x E x E x E x x E
n
S E
1
2
2 2
2
. . 2
1



2 2
2
2
2
1

= =
|
|

\
|

n
n
n
S E

Ghi ch. V (n1)/n 1 khi n+, nn vi n > 50 ta c th coi

2

S s
2
= ( )

n
k
k
x x
n
1
2
1
1


chnh xc ca cc c lng khng chch.
Gi s

(x
1
, x
2
, , x
n
) l c lng khng chch ca v
D[

(x
1
, x
2
, , x
n
)] =
2


Khi , theo bt ng thc Trebsep, vi mi > 0, ta c

P{|

(x
1
, x
2
, , x
n
) | < . } 1
2 2 2
2
1
1
.

=

Nu chn = 3 th

P{|

(x
1
, x
2
, , x
n
) | < 3. } 1 1/9 0.889

Cng thc trn ng vi mi phn phi xc sut ca X. Nu

(x
1
, x
2
, , x
n
)
c phn phi chun N(,
2
) th ta c
P{|

(x
1
, x
2
, , x
n
) | < 3. } 0.997

Trong thc t ngi ta vit
|

(x
1
, x
2
, , x
n
) | < 3.
v gi l cng thc 3.
c lng khong ta s nghin cu chnh xc trit hn.

nh ngha 3. c lng khng chch

(x
1
, x
2
, , x
n
) ca gi l c lng
hiu qu trn khong H ca , nu vi mi c lng khng chch T(x
1
, x
2
, , x
n
)
ca ta c
D[

(x
1
, x
2
, , x
n
)] D[T(x
1
, x
2
, , x
n
)] H

nh l 1 (bt ng thc Cramer-Rao). Cho bin ngu nhin X c mt f(x, ), (x
1
,
x
2
, , x
n
) l mu c n ca X tho mt s iu kin nht nh v

(x
1
, x
2
, , x
n
) l
hm c lng khng chch ca . Khi

D[

(x
1
, x
2
, , x
n
)]
2
) , ( ln
.
1
(

x f
E n


+ V d 4. Cho bin ngu nhin X c phn phi chun N(,
2
). Ta ch ra rng x
l c lng hiu qu ca . Tht vy, v

2
) , ( ln

x x f

nn
2
) , ( ln
.
1
(

x f
E n
=
( )
n
x
E n
2
2
4
2
.
1

=
(

Mt khc ta bit rng D( x ) =
n
2

. Suy ra x tho bt ng thc Cramer-Rao. Vy

x l c lng hiu qu ca .

nh ngha 4. Hm c lng

(x
1
, x
2
, , x
n
) ca gi l c lng vng nu
> 0 H, lim
n+
P{ |

(x
1
, x
2
, , x
n
) | < } = 1

trong xc sut P c tnh theo .

nh l 2. Cho

(x
1
, x
2
, , x
n
) l hm c lng ca tho
(i)

(x
1
, x
2
, , x
n
) l c lng khng chch ca hoc

lim
n+
[E(

(x
1
, x
2
, , x
n
)) ] = 0

(ii) lim
n+
D[

(x
1
, x
2
, , x
n
)] = 0

Khi

(x
1
, x
2
, , x
n
) l c lng vng ca .
CM.
p dng bt ng thc Trebsep ta c

> 0, P{|

(x
1
, x
2
, , x
n
) E[

(x
1
, x
2
, , x
n
)] | < } 1
( )
2
1
,...,

n
x x D

T , s dng (ii), suy ra
> 0, lim
n+
P{|

(x
1
, x
2
, , x
n
) E[

(x
1
, x
2
, , x
n
)] | < } = 1 (*)

Nu

(x
1
, x
2
, , x
n
) l c lng khng chch, tc E[

(x
1
, x
2
, , x
n
)] = ,
th theo nh ngha n l c lng vng.
Ta xt trng hp
lim
n+
[E(

(x
1
, x
2
, , x
n
)) ] = 0

Cho > 0 bt k. Tn ti n

tho
|E(

(x
1
, x
2
, , x
n
)) | < /2, n n


Mt khc, t bt ng thc
|

(x
1
, x
2
, , x
n
) | |

(x
1
, x
2
, , x
n
) E[

(x
1
, x
2
, , x
n
)]| +|E(

(x
1
, x
2
, , x
n
))
|

suy ra: Vi mi n n

, s kin
|

(x
1
, x
2
, , x
n
) E[

(x
1
, x
2
, , x
n
)] | < /2

ko theo s kin

|

(x
1
, x
2
, , x
n
) | /2 + /2 =

Vy

P{|

(x
1
, x
2
, , x
n
) | < } P{|

(x
1
, x
2
, , x
n
) E[

(x
1
, x
2
, , x
n
)]| < /2 }

T , theo (*), suy ra
lim
n+
P{|

(x
1
, x
2
, , x
n
) | < } = 1

Vy

(x
1
, x
2
, , x
n
) l c lng vng ca .

+ V d 5. Xt c lng x ca = E(X). Theo v d 1, x l c lng khng
chch ca . Tip theo

D( x ) =
n
x D
n
x
n
D
n
i
i
n
i
i
2
1
2
1
) (
1 1
= =
(

= =

Vy theo nh l trn, x l c lng vng ca .

+ V d 6. Trong mt l sn phm, c ly 1 sn phm th xc sut ly phi ph phm
l p. Ngi ta ly n sn phm, th c m ph phm. Tm c lng khng chch ca
p.
Gii.
Gi X
i
, i=1, 2, , n, l s ph phm xut hin trong ln ly sn phm th i.
R rng X
i
l i lng ngu nhin c lut phn phi

P(X
i
= 1) = p v P(X
i
= 0) = 1 p

Ta c
E(X
i
) = p & D(X
i
) = p(1p) i = 1, , n

Nh vy vic ly n sn phm tng ng vi vic ly mu c lp (x
1
, x
2
, ,
x
n
). Vy theo v d 2,

x =
n
m
x
n
n
i
i
=

=1
1

l c lng khng chch ca p.
Theo v d 5, m/n cng l c lng vng ca p.

Ghi ch: m/n l c lng hiu qu ca p.

+ V d 7. Trong mt x nghip, bit s n v nguyn liu cn thit sn xut ra 1
thnh phm ngi ta ly mu c 20:

3.0; 3.8; 3.1; 3.2; 3.5; 3.2; 3.5; 3.6; 3.3; 3.8 3.5; 3.2; 4.0;
3.6; 3.4; 3.5; 4.3; 3.5; 3.0; 4.0

Gi X l i lng ngu nhin ch s lng n v nguyn liu cn thit
sn xut 1 thnh phm. Ta cn c lng = E(X). Theo v d 2 v v d 3, ta ly
x =

=
20
1
20
1
i
i
x = 3.5
lm c lng ca v ly

s
2
= ( )

20
1
2
19
1
i
i
x x
lm c lng ca
2
= D(X).
T ta c th xp x phng sai ca x

D( x ) =
2
/n s
2
/n =
2
.

Ta c =
n
s
= 0.8. Vy theo cng thc 3 ta c
= 3.5 3*0.8 = 3.5 0.24
vi xc sut 0.889.

Kt qu:

Tham s
Hm c lng

(x
1
, x
2
, , x
n
)
E

(x
1
, x
2
, , x
n
) D

(x
1
, x
2
, , x
n
)
Tnh cht ca

(x
1
, x
2
, , x
n
)
K vng
= E(X)
x =

=
n
i
i
x
n
1
1


n
2

- khng chch
- vng
- hiu qu, nu
X phn phi
chun
Xc sut p m/n p p(1p)/n
- khng chch
- vng
- hiu qu
Phng sai
2
s
2
=
( )

n
i
i
x x
n
1
2
1
1

2
|

\
|

4
4
1
3 1

n
n
n

vi
4
=E(X-)
4
- khng chch
- vng



2. Phng php hp l cc i (R.A.Fisher)

Gi s i lng ngu nhin X c hm mt f(x, ) vi dng ca f bit,
nhng cha bit. c lng ta ly mu (x
1
, x
2
, , x
n
) v lp hm

L() = f(x
1
, ) x . . . . .x f(x
n
, ) (1)

L() gi l hm hp l ca mu, n ph thuc x
1
, , x
n
v nhng coi x
1
,
, x
n
l hng v l bin. Vn t ra l tm

(x
1
, x
2
, , x
n
) sao cho

L(

(x
1
, x
2
, , x
n
)) L() H (2)

t () = ln[L()], iu kin trn tng ng
(

(x
1
, x
2
, , x
n
)) () H (3)

c lng

(x
1
, x
2
, , x
n
) xc nh bi iu kin trn gi l c lng hp
l cc i ca .
Nu () kh vi theo th ti

(x
1
, x
2
, , x
n
) ta c

0 =

d
d
(4)
Phng trnh ny gi l phng trnh hp l v mi nghim ca n, nu tho
(2) hoc (3) u l c lng hp l cc i ca .

+ V d 1. Cho bin ngu nhin X c phn phi chun N(,
2
),
2
bit, cha
bit v (x
1
, x
2
, , x
n
) l mu c n ca X. Hy tm c lng hp l cc i ca .
Gii.
Ta c

L() =
( )
( )

=

n
i
i
x
n
e
1
2
2
2
1
2
1

() = ln[L()] = n. ( ) 2 ln ( )
=
n
i
i
x
1
2
2
2
1

d
d ) (
= ( )
=
n
i
i
x
1
2
1

Vy, phng trnh hp l l
( )
=
n
i
i
x
1
= 0

Gii phng trnh ny ta c c lng hp l cc i ca l

(x
1
, x
2
, , x
n
) = x x
n
n
i
i
=
=1
1

(v
2
2
) (

d
d
=
2

n
< 0, nn ti

hm () t gi tr ln nht).

Ghi ch: L thuyt trn c th m rng cho trng hp = (
1
, ,
k
), trong
h phng trnh hp l l

i

) (
= 0 , i=1, , k

+ V d 2. Cho bin ngu nhin X c phn phi chun N(,
2
),
2
v u cha
bit v (x
1
, x
2
, , x
n
) l mu c n ca X. Hy tm c lng hp l cc i ca .
Gii.
H phng trnh hp l l

) , (
2
= ( )
=
n
i
i
x
1
2
1

= 0
2
2
) , (

= ( )
2
1
2
4
2 2
1

n
x
n
i
i

=
= 0

Gii ra ta c

= x v ( ) =
=

n
i
i
x
n 1
2
2
1

o hm ring cp 2 l

2 2
2 2
) , (

n
=

; ( )

=
=


n
i
i
x
1
4 2
2 2
1 ) , (

( )
( )

=
=

n
i
i
x
n
1
2
6 4 2
2
2 2
1
2
) , (

Th =

v
2
=
2

vo cc o hm ring ta c

A =
2 2
2
2
) , (

n
; B =

\
|
=


n
i
i
x
1
4 2
2
2
1 ) , (

= 0
C =
( )
4 6
2
4
1
2
6 4 2
2
2
2
2
.
2
1
2
) , (

= =
|

\
|
=

n n n
x
n
n
i
i



B
2
A.C =
6
2
2

n
v A < 0
Vy (

,
2

) l c lng hp l cc i.

Ghi ch:
- Trng hp X l bin ngu nhin ri rc, ta cng nh ngha tng t khi
nim c lng hp l cc i.
- c lng hp l cc i l c lng vng (CM). Khi n kh ln, n c
phn phi tim cn chun v kh gn c lng hiu qu.
- Khi nim c lng hp l cc i nh ngha theo (2) hoc (3) da trn
quan im gi tr ca trong thc t l gi tr ng vi xc sut xy ra ln nht (v
vy n l hp l nht).
2. C LNG KHONG

nh ngha.
Cho bin ngu nhin X c phn phi ph thuc tham s , H, v mu (x
1
,
x
2
, , x
n
). Khong [

1
,

2
], trong

1
=

1
(x
1
, x
2
, , x
n
) v

2
=

2
(x
1
, x
2
,
, x
n
), gi l khong c lng (tin cy) ca tham s vi tin cy , 0 < < 1
, nu
P{

2
} =

Bi ton 1. Cho bin ngu nhin X c phn phi chun N(,
2
) vi bit v
cha bit. Cho mu (x
1
, x
2
, , x
n
) v , 0<<1. Hy xc nh khong tin cy ca
vi tin cy .
Gii.
i lng n
x

c phn phi chun N(0,1). Gi (u) l hm phn phi
chun N(0,1), tc
(u) =

u t
dt e
2
2
2
1

Ta tm u

> 0 tho
= P{ u

n
x

} = (u

) (-u

) = (u

) [1 (u

)] = 2.(u

) 1
T suy ra

u

=
|

\
| +

2
1
1


Vi u

ta c
= P{
n
u x

n
u x

+ }


Vy
[
n
u x

,
n
u x

+ ]
l khong c lng (tin cy) ca vi tin cy .

+ V d. o 25 ln chi tit my. Gi s khng c sai s h thng v sai s ngu nhin
c phn phi chun N(,
2
) vi = 10. Bit x = 100 , hy tm khong tin cy ca
chiu di chi tit my vi tin cy = 0.99.
Gii.
Ta c
u
0.99
=
1
(0.5 + 0.99/2) =
1
(0.995) = 2.575

n
u x

= 100
25
10
. 575 . 2 = 100 5.15 = 94.85 ;
n
u x

+ = 100 +
25
10
. 575 . 2 = 100 + 5.15 = 105.15

Vy [94.85 ; 105.15] l khong tin cy ca vi tin cy 0.99.

Bi ton 2. Cho bin ngu nhin X c phn phi chun N(,
2
) vi bit v
cha bit. Cho d > 0 v R, 0<<1, phi ly mu c (n) nh nht l bao nhiu
c lng x ca khng sai khc vi qu d n v vi tin cy (P{| x |
d} ) ?
Gii.
Vi
u

=
|

\
| +

2
1
1


ta c
= P{
n
u x

n
u x

+ }

= P{ | x |
n
u

}
Vy
P{| x | d}
n phi tho
n
u

d n
2
2
2
d
u

Suy ra n nh nht l
n =
(
(
(
(

2
2 2
d
u

trong x( k hiu s nguyn nh nht x.

+ V d. Cho bin ngu nhin X c phn phi chun N(,
2
) vi
2
= 25. Phi ly
mu c (n) nh nht l bao nhiu c lng x ca khng sai khc vi qu d
= 1 n v vi tin cy = 0.95.
Gii.
Theo trn n nh nht l

n =
(
(
(
(

2
2 2
d
u

=
(
(
(

1
25 .
2
95 . 0
u
= 1.96
2
.25( = 96.04( = 97

Bi ton 3. Cho bin ngu nhin X c phn phi chun N(,
2
) vi v cha
bit. Cho mu (x
1
, x
2
, , x
n
) v , 0<<1. Hy xc nh khong tin cy ca vi
tin cy .
Gii.
Ta xt i lng thng k

n
S
x
( s
2
= ( )

n
i
i
x x
n
1
2
1
1
)
i lng ny c hm phn phi Student vi n1 bc t do, k hiu l T
k
(t).
Tng t nh bi ton 1, vi

t
n1,
=
|

\
| +

2
1
1
1

n
T
ta c


= P{
n
s
t x
n , 1

n
s
t x
n , 1
+ }


Vy
[
n
s
t x
n , 1
,
n
s
t x
n , 1
+ ]
l khong tin cy ca vi tin cy .

+ V d. Mt ging la gieo trn 10 ming t th nghim c iu kin ging nhau,
cho sn lng tnh theo cng n v nh sau

25.4; 28.0; 20.1; 27.4; 25.6; 23.9; 24.8; 26.4; 27.0; 25.4

Hy xc nh khong tin cy ca sn lng ging la vi tin cy = 0.95,
bit sn lng la l i lng ngu nhin c phn phi chun N(,
2
) vi v
2

cha bit.
Gii.
Ta tnh c
x = 25.4 v s = 2.24.
v tra bng ta c t
9, 0.95
= 2.262. T ta tnh cc cn ca khong tin cy

1
= 25.4 2.262 .
10
24 . 2
= 23.8 v
1
= 25.4 + 2.262 .
10
24 . 2
= 27

Vy khong tin cy ca sn lng ging la vi tin cy = 0.95 l

[23.8; 27]

Bi ton 4. Cho bin ngu nhin X c phn phi chun N(,
2
) vi v cha
bit. Cho mu (x
1
, x
2
, , x
n
) v , 0<<1. Hy xc nh khong tin cy ca
2
vi
tin cy .
Gii.
Theo nh l 3, bi V, chng 5 (Thng k m t), i lng thng k

2
2
1
s
n

c phn phi
2
vi n 1 bc t do.
K hiu
k
(u) l hm phn phi ca phn phi
2
vi k bc t do. Ta tm 2
s dng u
1
v u
2
sao cho

) ( ) (
1
1 1 2 1 2
2
2 1
u u u s
n
u P
n n
=
|

\
|

=

Trong cc s u
1
v u
2
tho iu kin trn, ngi ta thng chn sao cho

2
1
) (
1 1

u
n
u
1
=
|

\
|

2
1
1
1

n

v
1
2
1
) (
2 1

u
n
u
2
=
|

\
| +

2
1
1
1

n

Suy ra
|
|

\
|

2
1
2 2
2
1 1
s
u
n
s
u
n
P =
Vy khong tin cy ca
2
vi tin cy l
(

2
1
2
2
1
;
1
s
u
n
s
u
n


+ V d. Xt v d bi ton 3. Xc nh khong tin cy ca phng sai sn lng
la
2
vi tin cy = 0.9.
Gii.
Ta c s
2
= 2.24
2
= 5.02. Tra bng hm phn phi
2
9
ta c

u
1
= ) 05 . 0 (
2
9 . 0 1
2
1
1
9
1
9
1
1

= |

\
|
= |

\
|

n
= 3.33
v
u
2
= ) 95 . 0 (
2
9 . 0 1
2
1
1
9
1
9
1
1

= |

\
| +
= |

\
| +

n
= 16.92
T suy ra
02 . 5
92 . 16
1 10 1
2
2
2
1

= s
u
n
= 2.67
v
02 . 5
33 . 3
1 10 1
2
1
2
2

= s
u
n
= 13.57
Vy khong tin cy ca phng sai sn lng la
2
vi tin cy = 0.9 l

[2.67; 13.57]

Bi ton 5. c lng tham s vi mu c ln.
Trong cc bi ton trc ta gi thit X c phn phi chun v s dng hm
phn phi chnh xc ca cc i lng thng k.
Tuy nhin, nu c mu ln, ta c th s dng phn phi tim cn chun
tm khong tin cy cho n gin.

+ V d 1. Gi s s kin A ca php th c xc sut p. Thc hin php th n
ln vi n kh ln. Gi s A xut hin m ln. Hy tm khong tin cy ca p vi tin
cy , 0 < < 1.
Gii.
Theo nh l 2, bi VI, chng 5 (Thng k m t), ta c th coi i lng

n
p p
p
n
m
) 1 (

c phn phi tim cn chun N(0,1).
tm khong tin cy ca p ta xp x
p(1p)
|

\
|

n
m
n
m
1
T suy ra

=
|
|
|
|

\
|

u n
n
m n m
p
n
m
u P
2
) (

=
|
|

\
|

+

3 3
) ( ) (
n
m n m
u
n
m
p
n
m n m
u
n
m
P

Vy ta c khong tin cy ca p vi tin cy l
(

3 3
) (
;
) (
n
m n m
u
n
m
n
m n m
u
n
m


V d, cho

n = 4000; m = 3200; = 0.95

ta tnh c
m/n = 0.8;
( )
400
4 . 6
4000
800
8 . 0
2 3
= =

n
m n m
= 0.0063
Tra bng ta c
u
0.95
= 1.96

Vy khong tin cy l

[0.8 1.96 x 0.0063; 0.8 + 1.96 x 0.0063] = [0.788 ; 0.812]


+ V d 2. Gi thit nh v d 1 v cho d > 0. Hi phi thc hin t nht bao nhiu
ln m/n khng sai khc p qu d vi tin cy , tc P(|m/n p| d) = .
Gii.
Vi n ln ta c th coi i lng

n
p p
p
n
m
) 1 (

c phn phi tim cn chun N(0,1).
Ta c

|
|
|
|

\
|

u n
p p
p
n
m
u P
) 1 (
=

|
|

\
|


n
p p u
p
n
m
P
) 1 (

=
Vy

P(|m/n p| d) =
n cn tho

d
n
p p u

) 1 (

n ( ) p p
d
u
1
2
2

V p(1 p) , nn ta ch cn ly n nh nht
2
2
4
1
d
u

, tc
n =
(
(
(

2
2
4d
u

Chng hn, cn c lng t l ph phm p trong l hng vi tin cy =
0.95 v sai s khng qu d = 0.01. Hi phi ly c mu t nht l bao nhiu.
Ta c u
0.95
= 1.96. Vy c mu t nht l

n =
(
(
(

2
2
4d
u

= 9604
01 . 0 4
96 . 1
2
2
=
(
(
(

+ V d 3. Cho bin ngu nhin X c phn phi chun N(,
2
) vi v cha bit.
Cho mu (x
1
, x
2
, , x
n
) vi n kh ln v , 0<<1. Hy xc nh khong tin cy ca
vi tin cy .
Gii.
Vi n ln (n>30), i lng thng k

n
S
x
( s
2
= ( )

n
i
i
x x
n
1
2
1
1
)
c phn phi tim cn chun N(0,1).
Ta c

|
|

\
|

u n
s
x
u P =

|

\
|
+
n
s
u x
n
s
u x P

=

Vy khong tin cy ca vi tin cy l

(

+
n
s
u x
n
s
u x

;

Chng hn, cho
n = 1376; x = 70.4; s = 0.37; = 0.99.
Tra bng ta c u
0.99
= 2.58. Vy khong tin cy l

(

+
1376
37 . 0
58 . 2 4 . 70 ;
1376
37 . 0
58 . 2 4 . 70 = [70.375; 70.425]

Bi ton 6. c lng trong trng hp tp tng th hu hn v mu khng lp.
Cho N phn t, trong c M phn t c tnh cht . Hy c lng t l
p =
N
M

vi tin cy .
Gii.
Chn ngu nhin n phn t, gi m l s phn t c tnh cht . i lng
ngu nhin m c phn phi siu hnh hc

P(m = k) =
) , (
) , ( ). , (
n N C
k n M N C k M C
, k=0, 1, , k
0
(k
0
= min{n,M})
vi
|

\
|
n
m
E = p v
|

\
|
n
m
D =
n
p p
N
n N ) 1 (
.
1

Vy
n
m
p =

l c lng khng chch ca p.

Nu N v n ln th
n
p p
N
n N
p
n
m
) 1 (
1

c phn phi tim cn chun N(0,1).
T suy ra
|
|
|
|

\
|

u n
p p
N
n N
p
n
m
u P
) 1 (
1
=


|
|
|
|

\
|

n
p p
N
n N
u
n
m
p
n
p p
N
n N
u
n
m
P
) 1 (
1
) 1 (
1

=
trong u

=
|

\
|
+

2
1
1

=
|

\
|

2
1

L

V tham s p hai cn trn cha bit nn c th thay n bng gi tr
n
m
, tc
l
|
|
|
|
|

\
|
|

\
|

+
|

\
|

n
n
m
n
m
N
n N
u
n
m
p
n
n
m
n
m
N
n N
u
n
m
P
1
1
1
1

=

Suy ra khong c lng [p
1
; p
2
] ca p =
N
M
vi tin cy c cn di

p
1
=
n
n
m
n
m
N
n N
u
n
m
|

\
|

1
1

v cn trn
p
2
=
n
n
m
n
m
N
n N
u
n
m
|

\
|

+
1
1

(i) Trng hp bit N, c lng M:
T p
1

N
M
p
2
vi tin cy suy ra

p
1
.N M p
2
.N vi tin cy

+ V d. Trong l 3000 hp tht ly ra 200 hp th c 40 hp km cht lng. Tm
khong c lng ca s hp km cht lng vi tin cy = 90%.
Gii.
Ta c
N = 3000; n = 200; m = 40; = 90%;
Suy ra
m/n=40/200 = 0.2; u

= 1.65 ;

045 . 0
200
1
) 2 . 0 1 ( 2 . 0
1 3000
200 3000
. 65 . 1
1
1
=

=
|

\
|

n
n
m
n
m
N
n N
u

p
1
= 0.2 0.045 = 0.155; p
2
= 0.2 + 0.045 = 0.245;
v
p
1
.N = 0.155 x 3000 = 465; p
2
.N = 0.245 x 3000 = 735;
Vy
465 M 735 vi tin cy 90%.

(ii) Trng hp bit M, n khng ng k so vi N, c lng N:
C th coi 1
1

N
n N
. Suy ra khong c lng [p
1
; p
2
] ca p =
N
M
vi
tin cy c cn di

p
1
=
n
n
m
n
m
u
n
m
|

\
|

v cn trn
p
2
=
n
n
m
n
m
u
n
m
|

\
|

+
1

T p
1

N
M
p
2
vi tin cy suy ra

2
p
M
N
1
p
M
vi tin cy

+ V d. c lng s c trong h ngi ta bt 1000 con nh du ri th li
xung h. Sau bt ln th hai 1000 con th thy c 100 con nh du. Hy tm
khong c lng s c trong h vi tin cy 0.9.
Gii.
Gi N l s c trong h
M = 1000 l s c nh du
n = 1000 l s c bt ln th hai
m = 100 l s c nh du bt c ln th hai.
Ta c
m/n = 100/1000 = 0.1; = 90% ; u

= 1.65
v
6 . 31
495 . 0
10 10
3 . 0 65 . 1
1000
9 . 0 1 . 0
65 . 1
1
=

=
|

\
|

n
n
m
n
m
u

= 0.0157

p
1
= 0.1 0.0157 = 0.0843; p
2
= 0.1 + 0.0157 = 0.1157;

v
2
p
M
= 1000/0.1157 = 8643 v
1
p
M
= 1000/0.0843 = 11862

Vy
8643 N 11862 vi tin cy 90%.


Bi ton 7. ng dng bt ng thc Trebsep.
Cho X l bin ngu nhin c phn phi bt k vi phng sai
2
bit, (x
1
,
x
2
, , x
n
) l mu ca X. Tm khong c lng ca k vng = E(X) vi tin cy
(0 < < 1).
Gii.
Ta bit i lng

=
=
n
i
i
x
n
x
1
1

c E( x ) = v D(X) =
n
2

. Theo bt ng thc Trebsep, vi > 0 ta c

P{| x | } 1
2
2
.

n

Vy vi h s tin cy cho trc ta ch cn xc nh

> 0 tho

1
2
2
.

n
=

=
) 1 .(

n

Khi khong c lng ca vi tin cy l

[ x

; x +

]

+ V d. Cn 100 em b 18 thng ta c trng lng trung bnh l 12.8 kg. Bit
trng lng em b 18 thng l i lng ngu nhin c lch qun phng =
2.1. Hy xc nh khong c lng ca k vng vi tin cy = 0.95.
Gii.
Ta c

=
) 1 .(

n
=
) 95 . 0 1 .( 100
1 . 2

= 0.939
Vy khong c lng l

[12.8 0.939; 12.8 + 0.939] = [11.861 ; 13.739]