Tom Tat Ly Thuyet Xac Suat

Tm tt L thuyt xc sut
TS. L Xun Trng

Khoa Ton Thng k
TS. L Xun Trng (Institute)
1 / 32
1. Khng gian Xc sut

Mt khng gian xc sut l mt b ba (, F , P ), trong
Khng gian mu : tp hp tt c cc kt qu c kh nng xy ra

ca mt th nghim hay hin tng ngu nhin.
Khng gian cc bin c F : mt -i s cc tp con ca , tc l
F 2 tha cc iu kin:
- F
- A 2 F ) Ac 2 F
- Nu Ai 2 F , 8i 2 N th [i=1 Ai 2 F .
o Xc sut: mt hm P : F ! R tha mn cc tnh cht sau

- P (A) 0, 8A 2 F
- P () = 1
- Nu A1 , A2 , ... l cc bin c ri nhau (Ai \ Aj = , 8 i 6= j) th
P ([i=1 Ai ) = P (Ai ) .
i
2 / 32
1. Khng gian Xc sut

V d 1: X t th nghim "tung mt xc sc cn i v ng cht gm 6
mt"
Khng gian mu: = f1, 2, 3, 4, 5, 6g .
C th xc nh nhng khng gian cc bin c khc nhau trn cng

khng gian mu
- F0 = f, g
- F1 = 2
o xc sut
- Trn F0 : hm P : F0 ! R cho bi P () = 0 v P () = 1.
- Trn F1 : hm P : F1 ! R cho bi
P (A) =
i
,
6
vi i l s phn t ca A 2 F1 .
3 / 32
2. Bin ngu nhin

Cho (, F , P ) l mt khng gian xc sut. Mt hm s : ! R
sao cho vi mi 2 R, ta c
g := f 2 : ( )
g 2 F ,
c gi l mt bin ngu nhin (hay mt hm F -o c) trn .

1, 2 A,
V d 2: Gi s A 2 F . Khi hm s IA ( ) =
l
0, 2
/ A,
mt bin ngu nhin trn v nu 2 R, ta c
8
< , 1
Ac , 0 < 1,
f 2 : IA ( ) g =
:
, < 0,
u l cc phn t ca F .
4 / 32
3. Sigma i s sinh bi bin ngu nhin

Gi s : ! R l mt bin ngu nhin. Ta k hiu ( ) l h tt
c cc tp con ca c dng
(B ) : = f 2 : ( ) 2 B g ,
trong B l mt tp Borel ca R (B 2 B(R)). Khi ( ) l mt

sigma i s trn v ta gi l sigma i s sinh bi bin ngu nhin
.
V d 3: Xc nh sigma i s c sinh bi bin ngu nhin IA ( )
cho trong V d 2.
Gii X t B 2 B(R). Khi
8
>
, nu 0, 1 2
/ B,
>
>
<
A,
nu
1
2
B
v 0 2
/ B,
IA 1 (B ) =
c
>
A , nu 0 2 B v 1 2
/ B,
>
>
: , nu 0, 1 2 B.
Vy (IA ) = f, , A, Ac g .
5 / 32
4. Phn b xc sut ca bin ngu nhin
Xt khng gian xc sut (, F , P ) v : ! R l mt bin ngu nhin.

Ta c th xc nh mt o xc sut P xc nh trn B(R) nh sau
P (B ) = P
(B ) .
Ta gi P l phn b xc sut ca bin ngu nhin .

Hm s F : R ! [0, 1] xc nh bi
F (x ) = P (( , x ]) = P (
x ) , x 2 R,
c gi l hm phn b xc sut tch ly ca .
6 / 32
5. Hm mt ca bin ngu nhin

Cho l mt b.n.n xc nh trn khng gian xc sut (, F , P ).
Nu tn ti mt dy s thc i mt khc nhau x1 , x2 , ... sao cho
P (B ) = P ( 2 B ) = P ( = xi ) ,
xi 2 B
vi mi B 2 B(R), th ta ni c phn b ri rc vi cc gi tr
x1 , x2 , ... v mt f (xi ) := P ( = xi ) ti xi .
Nu tn ti mt hm kh tch Lebesgue f : R ! R sao cho
P (B ) = P ( 2 B ) =
f (x ) dx,
vi mi B 2 B(R), th ta ni c phn b lin tc tuyt i v f

c gi l hm mt ca .
7 / 32
6. Cc c trng ca bin ngu nhin

Cho l mt b.n.n xc nh trn khng gian xc sut (, F , P ).
K vng (Expectation):
E ( ) =
8
< xP ( = x ) ,
: R +
nu c phn b ri rc,
xf (x ) dx, nu c phn b lin tc.
Phng sai (Variance):
Var ( ) = E (
E ( ))2 = E 2
(E ( ))2 .
Moment bc k :
Mk ( ) = E k .
8 / 32

Lu :
Trong nh ngha k vng, ta hiu rng tng
xP ( = x )
hoc
Z +
xf (x ) dx
phi tn ti hu hn. Lc ta ni kh tch.

E (IA ) = P (A)
Nu c moment bc k th s c mi moment bc b hn k.
Nu E j jk
< th xc sut ui (tail probability) hi t v 0, tc
lim
n !+
P (j j > n )
= 0.
nk
9 / 32

Mt s tnh cht
E (a) = a, 8a 2 R.
E (a 1 + b 2 ) = aE ( 1 ) + bE ( 2 )
Var (a) = 0, 8a 2 R.
Var (a 1 ) = a2 Var ( 1 ) , Var ( 1 + 2 ) = Var ( 1 ) + Var ( 2 )
Nu l mt bin ngu nhin v g : R ! R l mt hm o c th
E (g ( )) = g (x ) P ( = x ) , khi c phn b ri rc,
E (g ( )) =
R +
g (x ) f (x ) dx, khi c phn b lin tc.
V d 4: Gi s l bin ngu nhin c hm mt xc nh bi

P ( = 0) = 0, 2; P ( = 1) = 0, 5; P ( = 2) = 0, 3.
Tnh E ( ) v E 2 .
10 / 32
7. Mt s phn b thng gp
Phn b
B (n; p )
Hm mt
P ( = k ) = Cnk p k (1
P ()
P ( = k ) = e
U (a; b )
f (x ) =
Exp ()
f (x ) =
N ; 2
f (x ) =
k
k!
1
b a,
0,
e
0,
p1 e
2
p )n
x 2 (a, b )
x2
/ (a, b )
x ,
x 0,
x < 0.
(x )2
22
K vng
np
Phng sai
np (1 p )
a +b
2
(b a )2
12
1
2
11 / 32
8. Phn b ng thi v phn b bin

Cho 1 , 2 l hai b.n.n xc nh trn (, F , P ).
Vi A, B 2 B(R), ta t
P 1 2 (A
B ) = P ( 1 2 A, 2 2 B ) .
Khi P 1 2 l o xc sut trn B(R2 ) v gi l phn b xc sut

ng thi ca 1 , 2 .
Hm phn b xc sut tch ly ng thi ca hai bin ngu nhin 1
v 2 c xc nh nh sau
F 1 2 (x, y ) = P ( 1
x, 2
y) .
Hm phn b xc sut tch ly bin

- theo 1 : F 1 (x ) = P 1 2 (( , x ] R) = P ( 1
- theo 2 : F 2 (y ) = P 1 2 (R ( , y ]) = P ( 1
x, 2 +) .
+, 2 y ) .
12 / 32
9. Hm mt ng thi - hm mt bin
Gi s 1 v 2 l hai bin ngu nhin c phn b ri rc v
1 2 fx1 , x2 , ...g , 2 2 fy1 , y2 , ...g .
Phn b xs ng thi ca 1 , 2 cho bi
P 1 2 (A
B) =
xi 2A,yj 2B
P ( 1 = xi , 2 = yj ) .
Ta gi f 1 2 (x, y ) = P ( 1 = x, 2 = y ) l hm mt ng thi.
Hm mt bin theo 1 v 2 ln lt xc nh bi
f 1 (xi ) = P ( 1 = xi , 2 = yj ) ,
j
f 2 (yj ) = P ( 1 = xi , 2 = yj ) .
i
13 / 32
9. Hm mt ng thi - hm mt bin
Nu tn ti mt hm kh tch Lebesgue f 1 2 : R2 ! R sao cho
RR
P 1 2 (A B ) = A B f 1 2 (x, y ) dxdy ,
th ta ni 1 v 2 c phn phi xs ng thi lin tc tuyt i. Hm

f 1 2 c gi l hm mt xc sut ng thi ca 1 , 2 .
Hm mt xc sut bin theo 1 v 2

f 1 (x ) =
f 2 (y ) =
Z +
Z
f 1 2 (x, y ) dy ,
f 1 2 (x, y ) dx.
14 / 32
10. Hm ca cc bin ngu nhin

Cho 1 v 2 l hai b.n.n trn khng gian (, F , P ) c hm mt ng
thi l f 1 2 (x, y ) v g : R2 ! R l hm Borel. Khi
g ( 1 , 2 ) l mt bin ngu nhin trn (, F , P ).
K vng
- nu 1 v 2 ri rc
E (g ( 1 , 2 )) = g (x, y ) f 1 2 (x, y )
x y
- nu 1 v 2 lin tc
E (g ( 1 , 2 )) =
Z + Z +
g (x, y ) f 1 2 (x, y ) dxdy
15 / 32
10. Hm ca cc bin ngu nhin

Cho 1 v 2 l hai b.n.n trn khng gian (, F , P ) c hm mt ng
thi l f 1 2 (x, y ). Gi s
1 = g1 (X , Y ) , 2 = g2 (X , Y ) ,
trong X , Y l hai b.n.n v nh thc Jacobi
J=
g1
X
g2
X
g1
Y
g2
Y
6= 0.
Khi hm mt ng thi fXY (x, y ) ca X , Y tha mn

fXY (x, y ) = f 1 2 (g1 (x, y ) , g2 (x, y )) jJ j .
16 / 32
11. Mt s v d
V d 5: Cho hai bin ngu nhin ri rc X , Y vi hm mt xc sut

ng thi fXY xc nh bi
fXY (1, 1) = P (X = 1, Y = 1) = 0, 5
fXY (1, 2) = P (X = 1, Y = 2) = 0, 1
fXY (2, 1) = P (X = 2, Y = 1) = 0, 1
fXY (2, 2) = P (X = 2, Y = 2) = 0, 3
Tnh xc sut P (X = 1) v P (Y = 1) .
17 / 32
11. Mt s v d
V d 6: Cho hai bin ngu nhin X , Y vi hm mt ng thi
fXY =
6xy (2 x y ) , (x, y ) 2 (0, 1)

0, (x, y ) 2
/ (0, 1) (0, 1) .
(0, 1) ,
Tm fX (x ) v fY (y ) .
V d 7: Cho hai bin ngu nhin X , Y c hm mt ng thi
fXY =
x + y , (x, y ) 2 (0, 1) (0, 1) ,

0, (x, y ) 2
/ (0, 1) (0, 1) .
Tnh E (X ) , E (Y ) , Var (X ) , Var (Y ) v cov (X , Y ) .

(cov (X , Y ) = E ((X E (X )) (Y E (Y )))
= E (XY ) E (X ) .E (Y ))
18 / 32
11. Mt s v d
V d 8: Cho hai bin ngu nhin X , Y vi hm mt ng thi
fXY (x, y ) =
x + y, 0 x
0, otherwise.
1,
t Z = X + Y . Xc nh hm mt v hm phn phi tch ly ca Z .

V d 9: Gi s X , Y l hai bin ngu nhin c hm mt ng thi l
fXY (x, y ) =
e x1 , 0 x2
0, otherwise.
x1 < +,
t Z1 = X + Y v Z2 = X Y . Tm hm mt ng thi ca Z1 , Z2
v hm phn b tch ly bin ca Z2 .
19 / 32
12. Xc sut c iu kin. Tnh c lp

Cho A, B 2 F sao cho P (B ) 6= 0. Xc sut c iu kin ca A khi
cho trc B xc nh bi
P (AjB ) =
P (A \ B )
.
P (B )
Hai bin c A, B 2 F c gi l c lp nu
P (A \ B ) = P (A) .P (B )
Hai bin ngu nhin v c gi l c lp nu vi mi A, B 2
B(R) ta c
f 2 Ag v f 2 B g
l hai bin c c lp.
Ta ni hai sigma i s F1 v F2 l c lp nu 8A 2 F1 , 8B 2 F2
th A, B c lp.
20 / 32
12. Xc sut c iu kin. Tnh c lp
Theorem
Nu v l hai bin ngu nhin kh tch th chng khng tng quan,
tc l
E (. ) = E ( ) E ( ) hay suy ra cov (, ) = 0.
21 / 32
13. Hm sinh monment

Hm sinh moment ca bin ngu nhin c xc nh bi
M (t ) = E e t ,
nu k vng tn ti. Nh vy, nu f l hm mt ca th
M (t ) = x e tx f (x ) ,
M (t ) =
Ch :
R +
khi ri rc,
e tx f (x ) dx, khi lin tc.
- Hm sinh moment cho php xc nh cc moment Mk ( ) = E k .
22 / 32
13. Hm sinh monment

Theorem
Nu M (t ) hu hn trn mt khong m cha 0 th hm t 7! M (t ) kh
vi mi cp v
(k )
M (t ) = E e t . k .
H qu l
(k )
M
Chng minh
d
dt M (t ) =
d2
M
dt 2
(t ) =
d
dt
d
dt
R +
R +
(0) = E k = Mk ( ) .
e tx f (x ) dx =
xe tx f (x ) dx =
R +
R +
xe tx f (x ) dx = E e t ,
x 2 e tx f (x ) dx = E 2 e t ,
23 / 32
13. Hm sinh monment

V d 10:
U (a, b )
M (t ) =
Z b
e tx dx =
N ; 2
Z +
e tx .e
dx =
M (t ) = exp t +
e bt
(b
e at
.
a) t
(t < ) .
Exp ()
M (t ) =
P ()
M (t ) = e tk
k =0
k!
2 t
2
= exp ( exp (t )
)
24 / 32
13. Hm sinh monment
Theorem
Nu hm sinh moment M (t ) ca b.n.n tn ti trong ln cn ca 0
th n xc nh duy nht hm phn phi xc sut, ngha l khng th
c hai bin ngu nhin khc nhau c cng hm sinh moment.
Nu v l hai bin ngu nhin c lp th
M + (t ) = M (t ) .M (t )
V d 11: Gi s hm sinh moment ca mt bin ngu nhin X l
MX (t ) = e 3(e
1)
Tnh P (X = 0).
25 / 32
14. S hi t ca cc bin ngu nhin

14.1. Mt s bt ng thc quan trng
Lemma
(Bt ng thc Markov) Cho l bin ngu nhin khng m, ngha l
P ( 0) = 1. Khi , vi mi c > 0,
P (
c)
1
E ( ) .
c
Lemma
(Bt ng thc Chebyshev) Cho l bin ngu nhin c k vng
E ( ) = v phng sai Var ( ) = 2 . Khi , vi mi c > 0, ta c
P (j
c)
2
c2
26 / 32

14.2. Hi t theo xc sut
Ta ni dy bin ngu nhin ( n ) hi t theo xc sut n bin ngu

nhin nu vi mi > 0,
lim P (j n
n!
j > ) = 0.
K hiu n ! .
V d 12: Gi s Xn l bin ngu nhin

8
< 1/n,
1 1/n,
f Xn ( x ) =
:
0,
c hm mt
khi x = 1,
khi x = 0,
otherwise.
Khi Xn ! 0.
27 / 32

14.3. Hi t theo phn b
Cho dy b.n.n ( n ) c cc hm phn b l F n (x ) v b.n.n c hm

phn b l F (x ). Ta ni n hi t theo phn b v , k hiu
d
n ! , nu
lim F n (x ) = F (x ) ,
n!
ti mi x sao cho F lin tc.

V d 13: Gi s Xn = 1 +
l
1
n
F Xn ( x ) =
l b.n.n hng s. Hm phn b ca Xn

0, x < 1 + 1/n,
1, x 1 + 1/n.
Ta c Xn ! X , trong X = 1 l b.n.n hng s.

28 / 32

14.4. Hi t trung bnh
Ta ni dy b.n.n ( n ) hi t theo trung bnh bc p v b.n.n , k hiu

Lp
n ! , nu
lim E (j n
n !+
jp ) = 0.
Quan h gia cc loi hi t
29 / 32

14.5. Lut s ln
Theorem (Lut s ln)

Gi s ( n ) l dy cc b.n.n c lp c cng phn b xc sut v
E ( n ) = , Var ( n ) = 2 , 8n 2 N.
Khi
n =
1 + 2 +
n
+ n
! khi n ! +.
30 / 32

14.6. nh l gii hn trung tm
Theorem (nh l gii hn trung tm)

Gi s ( n ) l dy cc b.n.n c lp c cng phn b xc sut v
E ( n ) = , Var ( n ) = 2 , 8n 2 N.
Khi
n =
( 1 + 2 +
+ n)
p
n
!Z
N (0, 1) .
V d 14: Gi s n B (1, p ) , 8n 2 N. Khi = 1 + 2 +

B (n, p ). Theo nh l gii hn trung tm, ta c
xp x vi b.n.n Z
N (0, 1) .
+ n
np
np (1 p )
31 / 32

14.6. nh l gii hn trung tm
V du 15: Gi s
- thi gian s dng mt loi pin c k vng 40 gi v phng sai 20 gi
- khi mt cc pin ht nng lng, ngi ta thay n bng mt cc khc
- ta s dng 25 cc pin v tui th ca chng l c lp
Tnh xc sut tng thi gian s dng ln hn 1100 gi.
32 / 32

Tom Tat Ly Thuyet Xac Suat

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Tom Tat Ly Thuyet Xac Suat

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Tm tt L thuyt xc sut

TS. L Xun Trng

TS. L Xun Trng (Institute)

1. Khng gian Xc sut

Khng gian mu : tp hp tt c cc kt qu c kh nng xy ra

o Xc sut: mt hm P : F ! R tha mn cc tnh cht sau

TS. L Xun Trng (Institute)

1. Khng gian Xc sut

C th xc nh nhng khng gian cc bin c khc nhau trn cng

2. Bin ngu nhin

c gi l mt bin ngu nhin (hay mt hm F -o c) trn .

3. Sigma i s sinh bi bin ngu nhin

trong B l mt tp Borel ca R (B 2 B(R)). Khi ( ) l mt

TS. L Xun Trng (Institute)

4. Phn b xc sut ca bin ngu nhin

Xt khng gian xc sut (, F , P ) v : ! R l mt bin ngu nhin.

Ta gi P l phn b xc sut ca bin ngu nhin .

c gi l hm phn b xc sut tch ly ca .

TS. L Xun Trng (Institute)

5. Hm mt ca bin ngu nhin

vi mi B 2 B(R), th ta ni c phn b lin tc tuyt i v f

6. Cc c trng ca bin ngu nhin

xf (x ) dx, nu c phn b lin tc.

Phng sai (Variance):

TS. L Xun Trng (Institute)

6. Cc c trng ca bin ngu nhin

phi tn ti hu hn. Lc ta ni kh tch.

< th xc sut ui (tail probability) hi t v 0, tc

TS. L Xun Trng (Institute)

6. Cc c trng ca bin ngu nhin

g (x ) f (x ) dx, khi c phn b lin tc.

V d 4: Gi s l bin ngu nhin c hm mt xc nh bi

TS. L Xun Trng (Institute)

8. Phn b ng thi v phn b bin

Khi P 1 2 l o xc sut trn B(R2 ) v gi l phn b xc sut

Hm phn b xc sut tch ly bin

TS. L Xun Trng (Institute)

th ta ni 1 v 2 c phn phi xs ng thi lin tc tuyt i. Hm

Hm mt xc sut bin theo 1 v 2

TS. L Xun Trng (Institute)

10. Hm ca cc bin ngu nhin

TS. L Xun Trng (Institute)

g (x, y ) f 1 2 (x, y ) dxdy

10. Hm ca cc bin ngu nhin

Khi hm mt ng thi fXY (x, y ) ca X , Y tha mn

TS. L Xun Trng (Institute)

V d 5: Cho hai bin ngu nhin ri rc X , Y vi hm mt xc sut

TS. L Xun Trng (Institute)

6xy (2 x y ) , (x, y ) 2 (0, 1)

x + y , (x, y ) 2 (0, 1) (0, 1) ,

Tnh E (X ) , E (Y ) , Var (X ) , Var (Y ) v cov (X , Y ) .

TS. L Xun Trng (Institute)

t Z = X + Y . Xc nh hm mt v hm phn phi tch ly ca Z .

TS. L Xun Trng (Institute)

12. Xc sut c iu kin. Tnh c lp

12. Xc sut c iu kin. Tnh c lp

TS. L Xun Trng (Institute)

13. Hm sinh monment

e tx f (x ) dx, khi lin tc.

- Hm sinh moment cho php xc nh cc moment Mk ( ) = E k .

TS. L Xun Trng (Institute)

13. Hm sinh monment

TS. L Xun Trng (Institute)

13. Hm sinh monment