Chapter 3

Lut phn phi xc sut ca bin ngu nhin nhiu chiu
Cc khi nim c s
Cc khi nim c s
Chng 3: Bin ngu nhin nhiu chiu

L Xun L, Trn Minh Ton
chng trc chng ta quan tm n xc sut ca bin ngu nhin ring r.

Nhng trong thc t nhiu khi ta phi xt ng thi nhiu bin khc nhau c quan
h tng h (v d khi nghin cu v sinh vin mt trng i hc th cn quan
tm n chiu cao, cn nng, tui, . . . ). Do dn n khi nim bin ngu nhin
nhiu chiu hay vct ngu nhin.
(1)
cho n gin, ta nghin cu bin ngu nhin hai chiu (X, Y ), trong X, Y
l cc bin ngu nhin mt chiu. Hu ht cc kt qu thu c u c th m
rng kh d dng cho trng hp bin ngu nhin n chiu.
Vin Ton ng dng v Tin hc, HBK H Ni
H Ni, thng 8 nm 2012
(1)
Bin ngu nhin hai chiu c gi l ri rc (lin tc) nu cc thnh phn ca n

l cc bin ngu nhin ri rc (lin tc).
Email: lexuanly@gmail.com,toantm24@gmail.com
T.M. Ton (SAMI-HUST)
Bin ngu nhin nhiu chiu
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Cc khi nim c s
Cc khi nim c s
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Cc khi nim c s
Cc khi nim c s
nh ngha 3.1
Hm phn phi xc sut ca bin ngu nhin hai chiu (X, Y ) c xc nh nh sau
F (x, y) = P (X < x, Y < y), x, y R.
(3.1)
Nhiu ti liu gi hm trn l hm phn phi xc sut ng thi ca hai bin X v Y .
Tnh cht (tip)

Cc hm
F (x, +)
P (X < x, Y < +) = P (X < x) =: FX (x)
F (+, y)
P (X < +, Y < y) = P (Y < y) =: FY (x)
l cc hm phn phi ring ca cc bin ngu nhin X v Y v cn c gi l

cc phn phi bin ca bin ngu nhin hai chiu (X, Y ).
Tnh cht
0 F (x, y) 1, x, y R;
F (x, y) l hm khng gim theo tng i s;
nh ngha 3.2
F (, y) = F (x, ) = 0, x, y R v F (+, +) = 1;
Hai bin ngu nhin X, Y c gi l c lp nu
Vi x1 < x2 , y1 < y2 ta lun c
F (x, y) = FX (x).FY (y), x, y R.
P (x1 X x2 , y1 y y2 ) = F (x2 , y2 ) + F (x1 , y1 ) F (x1 , y2 ) F (x2 , y1 ) .
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Phn phi xc sut ca bin ngu nhin hai chiu ri rc
Phn phi xc sut ca bin ngu nhin hai chiu

ri rc

ri rc
Trong
pij = P (X = xi , Y = yj ) i = 1, m, j = 1, n.
nh ngha 3.3
Kch thc bng ny c th chy ra v hn khi m, n chy ra v hn.
Bng phn phi xc sut ca bin ngu nhin hai chiu (X, Y ) ri rc c xc nh
nh sau
Y
X
x1
x2
..
.
xi
..
.
xm
y1
...
yj
...
yn
Tnh cht
pij 0 i, j;
pij = 1;
p11
p21
..
.
pi1
..
.
pm1
P (Y = y1 )
...
...
..
.
...
..
.
...
...
p1j
p2j
..
.
pij
..
.
pmj
P (Y = yj )
...
...
..
.
...
..
.
...
...
p1n
p2n
..
.
pin
..
.
pmn
P (Y = yn )
P (X = x1 )
P (X = x2 )
..
.
P (X = xi )
..
.
P (X = xm )
1
i,j
Hm phn phi xc sut c xc nh theo cng thc F (x, y) =

Cc phn phi bin c xc nh nh sau:
P (X = xi ) =
P (X = xi , Y = yj ) =
pij
j
P (Y = yj )
P (X = xi , Y = yj ) =
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pij .
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ri rc
V d 1
Gii
Cho bng phn phi xc sut ng thi ca (X, Y ) nh sau:
Ly tng ca hng, ct tng ng ta thu c
Y
1
X
1
0.10
2
0.15
0.25
0.05
0.10
0.35
X
P (X = x)
2
0.55
Ta c
F (2, 3) =
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Y
P (Y = x)
1
0.25
2
0.30
3
0.45
pij = p11 + p12 = 0.35.
xi <2 yj <3
Tm bng phn phi xc sut ca X v Y , sau tnh F (2; 3).
1
0.45
7 / 30

ri rc
pij ;
i,j: xi <x, yj <y
8 / 30
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ri rc
Phn phi xc sut ca bin ngu nhin hai chiu lin tc

lin tc
nh ngha 3.4
Ch 3.1
Hm hai bin khng m, lin tc f (x, y) c gi l hm mt xc sut ng thi

ca bin ngu nhin hai chiu lin tc (X < Y ) nu n tha mn
Hai bin ngu nhin X, Y c gi l c lp vi nhau nu ta c

P (X = xi , Y = yj ) = P (X = xi ).P (Y = yj ), i = 1, m, j = 1, n
P ((X, Y ) D) =
f (x, y)dxdy D R2 .
(3.2)
Cc xc sut c iu kin vn c tnh nh thng thng, tc l

P (X = xi , Y = yj )
P (Y = yj )
P (X = xi , Y D)
P (X = xi |Y D) =
P (Y D)
P (X = xi |Y = yj ) =
Tnh cht
hoc
F (x, y) =
x y
f (u, v)dudv;

+
+
f (x, y)dxdy.
Cng thc cng tng t vi P (Y = yj |X = xi ) , P (Y = yj |X D).

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Phn phi xc sut ca bin ngu nhin hai chiu lin tc

lin tc
Cc tham s c trng ca bin ngu nhin hai chiu
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K vng v phng sai ca cc thnh phn

Trng hp (X, Y ) ri rc
Tnh cht (tip)

2 F (x, y)
f (x, y) =
;
xy
EX =
Cc hm mt bin
VX =
P (X = xi ) =
theo y : fY (y) =
f (x, y)dx.
Hai bin ngu nhin X v Y c gi l c lp nu f (x, y) = fX (x).fY (y) x, y.

Hm mt c iu kin ca X khi bit Y = y:
xi pij ;
EY =
x2i pij (EX)2 ;
yj P (Y = yj ) =
VY =
yj pij
yj2 pij (EY )2 .
Trng hp (X, Y ) lin tc
(x|y) =
theo x : fX (x) =
f (x, y)dy;
+
+
EX =
x.f (x, y)dxdy;
+
+
EY =
y.f (x, y)dxdy
+
+
VX =
x2 .f (x, y)dxdy (EX)2 ;
VY =
f (x, y)
.
fY (y)
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+
+
y 2 .f (x, y)dxdy (EY )2 .
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Hip phng sai v h s tng quan
nh ngha 4.1
Cho bin ngu nhin hai chiu (X, Y ), hip phng sai ca hai thnh phn X v Y , k
hiu l XY , c xc nh bi
Ch 4.1
i vi bin ngu nhin Z = g(X, Y ) ta c
EZ = E [g(X, Y )] =
XY = E [(X EX)(Y EY )] = E(XY ) EX.EY,
+
+
(4.3)
trong E(XY ) c xc nh theo cng thc

xi yj pij ,
i vi bin ngu nhin ri rc
i j
+ +
E(XY ) =
xy.f (x, y), i vi bin ngu nhin lin tc
g(x, y).f (x, y)dxdy
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nh ngha 4.3
Ma trn hip phng sai ca bin ngu nhin hai chiu (X, Y ) c xc nh bi
XX XY
=
Y X Y Y
nh ngha 4.2
Ta ni rng X v Y khng tng quan nu XY = 0.
nh ngha 4.4
Nhn xt
XY = Y X ;
Phng sai chnh l trng hp ring ca hip phng sai
(V X = XX , V Y = Y Y );
Nu X, Y c lp th ta c E(XY ) = EX.EY . Khi XY = 0, tc l X v Y
khng tng quan. Vy ta c, nu hai bin ngu nhin c lp th khng tng
quan. iu ngc li cha chc ng.
H s tng quan ca hai bin ngu nhin X v Y , k hiu l XY v c xc nh

theo cng thc
XY
XY =
.
(4.4)
X Y
Ch 4.2
C th chng minh c |XY | 1. Nu XY = 1 ta ni hai bin ngu nhin X
v Y c tng quan tuyn tnh;
Nu XY = 0 ta ni hai bin ngu nhin X v Y l khng tng quan.
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Hm ca bin ngu nhin
Hm ca mt bin ngu nhin
Hm ca bin ngu nhin

V d 2
Cho bin ngu nhin X c bng phn phi xc sut
Nu ta xc nh l mt hm ca bin ngu nhin X th Z tr thnh mt bin ngu

nhin mi. Ta s tm hm phn phi xc sut cho Z trong mt s trng hp n gin.
nh ngha 5.1
X
P (X = x)
1
0.1
0
0.2
1
0.3
2
0.2
3
0.2
Xc nh lut phn phi xc sut ca Z = X 2 v tm k vng ca Z.
Cho bin ngu nhin X c hm phn phi xc sut. Khi hm phn phi xc sut ca
Z c xc nh theo cch sau:
FZ (z) = P (Z < z) = P (g(X) < z) = P (X D),
(5.5)
trong D = {x|g(x) < z}.

Tuy nhin ty vo tng bi c th c cc cch gii ngn hn.
Gii
Ta c X {1, 0, 1, 2, 3}, suy ra Z {0, 1, 4, 9} vi cc xc sut tng ng:
P (Z = 0) = P (X = 0) = 0.2;
P (X = 4) = P (X = 2) = 0.2;
Z
P (Z = z)
K vng EZ =
Hm ca bin ngu nhin
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zi p i
i
P (Z = 1) = P (X = 1) + P (X = 1) = 0.4;
P (Z = 9) = P (X = 3) = 0.2.
0
0.2
1
0.4
4
0.2
9
0.2
= 3.
Hm ca bin ngu nhin
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Hm ca hai bin ngu nhin
V d 3
Xt bin ngu nhin Z = g(X, Y ), trong (X, Y ) l bin ngu nhin hai chiu bit
lut phn phi. Ta s xt lut phn phi xc sut ca Z trong mt s trng hp n
gin theo cch sau:
Thanh AB di 10cm bng nhin b gy mt im C bt k. Hai on AC v BC

c dng lm hai cnh ca mt hnh ch nht. Tm hm phn phi xc sut ca bin
ngu nhin ch din tch hnh ch nht .
Gii
Gi X l bin ngu nhin ch di on AC, ta c X U (0; 10). Gi Y l bin ngu
nhin ch din tch hnh ch nht, ta c Y = X(10 X). Do
X (0; 10)
Y = X(10 X) (0; 25). Vy ta c hm phn phi xc sut ca Y l
0, y 0
FY (y) =
.
1, y > 25
Vi 0 < y 25 ta c
FY (y) = P (Y < y) = P (X(10 X) < y) = P X 2 10X + y > 0
= P X < 5 25 y + P X > 5 + 25 y
5 25 y
= P 0 < X < 5 25 y + P 10 > X > 5 + 25 y =
.
5
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FZ (z) = P (Z < z) = P (g(X, Y ) < z) = P ((X, Y ) D) ,

trong D {(x, y)|g(x, y) < z}.
i vi bin ngu nhin hai chiu lin tc (X, Y ) vi hm mt ng thi f (x, y) ta c
P ((X, Y ) D) =
f (x, y)dxdx,
ng thi k vng
EZ = E (g(X, Y )) =
+
+
g(x, y).f (x, y)dxdy.
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Hm ca bin ngu nhin
Lut s ln v nh l gii hn trung tm
Lut s ln
Lut s ln
V d 4
Hai ngi bn hn gp nhau cng vin trong khong thi gian t 17h n 18h. H hn
nhau nu ngi no n trc th s i ngi kia trong vng 10 pht. Sau 10 pht i
nu khng gp s v. Thi im n ca hai ngi l ngu nhin v c lp vi nhau
trong khong thi gian trn. Tnh xc sut hai ngi gp c nhau.
Bt ng thc Trebyshev
nh l 1: Cho Y l bin ngu nhin khng m. Khi vi > 0 tu cho trc ta c:
P (Y ) <
E(Y 2 )
2
Gii
Quy gc thi gian v lc 17h. Gi X, Y l bin ngu nhin ch thi im ngi A, B
n, ta c
X, Y U (0; 60). Do X, Y c lp nn chng c hm mt ng thi
1 , (x, y) [0; 60]2
f (x, y) = 3600
. Gi Z l bin ngu nhin ch khong thi gian gia
0,
ngc li
thi im hai ngi n. Ta c Z = |X Y |. Khi , xc sut hai ngi gp nhau l
P (Z < 10) = P (|X Y | < 10) = P ((X, Y ) D) ,
P (Z < 10) =
SD
3600
Bin ngu nhin nhiu
chiu
1100
11
=
.
3600
36 H Ni,24/30
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Ta chng minh cho trng hp Y l bin ngu nhin lin tc.

+
+
+
1
1
P (Y ) =
f (y)dy = 2
2 .f (y)dy 2
y 2 .f (y)dy
E(Y 2 )
1
2
y 2 .f (y)dy =
2
0
Tuy nhin du bng khng th ng thi xy ra c 2 du nn ta c PCM.
trong D l giao min |X Y | < 10 v hnh vung [0; 60]2 . Vy

Chng minh
24 / 30
Lut s ln
Lut s ln
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Lut s ln
Lut s ln
p dng nh l 2 vi X =
Bt ng thc Trebyshev
nh l 2: Cho X l bin ngu nhin c EX = , V X = 2 hu hn. Khi vi > 0
tu cho trc ta c:
2
P (|X | ) < 2
hay tng ng
2
P (|X | ) 1 2
1
n
Xi ta c lut s ln Trebyshev
i=1
Lut s ln Trebyshev
Nu dy cc bin ngu nhin X1 , X2 , ...Xn , ... c lp, c k vng hu hn v phng
sai b chn (V Xi C vi C l hng s), khi vi > 0 tu cho trc ta c:
lim P (|
n+
n
n
1
1
Xi
EXi | < ) = 1
n i=1
n i=1
H qu
Chng minh
Nu dy cc bin ngu nhin X1 , X2 , ...Xn , ... c lp, c cng k vng (EXi = ) v

phng sai b chn (V Xi C vi C l hng s), khi vi > 0 tu cho trc ta c:
Ta chng minh cho trng hp X l bin ngu nhin lin tc.

Ta ch cn t Y = |X |, lp tc p dng nh l 1 ta c PCM.
lim P (|
n+
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n
1
Xi | < ) = 1
n i=1
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Lut s ln
Lut s ln Bernoulli
nh l gii hn trung tm
p dng lut s ln Trebyshev vi trng hp Xi B(1, p) chnh l s ln xy ra A

trong php th th i ta c lut s ln Bernoulli.
Xt n php th c lp, cng iu kin.

Trong mi php th, xc sut xy ra A lun l p.
m l s ln xy ra A trong n php th.
khi vi > 0 tu cho trc ta c:
lim P (|
Gi s {Xn } l dy bin ngu nhin c lp cng phn phi vi EXi = , V Xi = 2 .
n
t Xn =
Xi . Khi vi n ln ta c:
Lut s ln Bernoulli
n+
i=1
Xn N (,
m
p| < ) = 1
n
2
)
n
hay l
Xn
n N (0; 1)
Vi lut s ln Bernoulli ta chng minh c iu tha nhn trong phn NH

NGHA XC SUT THEO THNG K, l vi n + th m
p
n
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Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Chng 3: Bin ngu nhin nhiu chiu

chng trc chng ta quan tm n xc sut ca bin ngu nhin ring r.

Vin Ton ng dng v Tin hc, HBK H Ni

H Ni, thng 8 nm 2012

Bin ngu nhin hai chiu c gi l ri rc (lin tc) nu cc thnh phn ca n

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Nhiu ti liu gi hm trn l hm phn phi xc sut ng thi ca hai bin X v Y .

Tnh cht (tip)

P (X < x, Y < +) = P (X < x) =: FX (x)

P (X < +, Y < y) = P (Y < y) =: FY (x)

l cc hm phn phi ring ca cc bin ngu nhin X v Y v cn c gi l

F (x, y) l hm khng gim theo tng i s;

Hai bin ngu nhin X, Y c gi l c lp nu

Vi x1 < x2 , y1 < y2 ta lun c

F (x, y) = FX (x).FY (y), x, y R.

P (x1 X x2 , y1 y y2 ) = F (x2 , y2 ) + F (x1 , y1 ) F (x1 , y2 ) F (x2 , y1 ) .

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu ri rc

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu

Phn phi xc sut ca bin ngu nhin hai chiu ri rc

Phn phi xc sut ca bin ngu nhin hai chiu

Kch thc bng ny c th chy ra v hn khi m, n chy ra v hn.

Hm phn phi xc sut c xc nh theo cng thc F (x, y) =

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu ri rc

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu

Cho bng phn phi xc sut ng thi ca (X, Y ) nh sau:

Ly tng ca hng, ct tng ng ta thu c

Bin ngu nhin nhiu chiu

pij = p11 + p12 = 0.35.

Tm bng phn phi xc sut ca X v Y , sau tnh F (2; 3).

T.M. Ton (SAMI-HUST)

Phn phi xc sut ca bin ngu nhin hai chiu ri rc

Phn phi xc sut ca bin ngu nhin hai chiu

i,j: xi <x, yj <y

T.M. Ton (SAMI-HUST)

T.M. Ton (SAMI-HUST)

Bin ngu nhin nhiu chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu ri rc

Phn phi xc sut ca bin ngu nhin hai chiu

Lut phn phi xc sut ca bin ngu nhin nhiu chiu

Phn phi xc sut ca bin ngu nhin hai chiu lin tc

Phn phi xc sut ca bin ngu nhin hai chiu

Hm hai bin khng m, lin tc f (x, y) c gi l hm mt xc sut ng thi

Hai bin ngu nhin X, Y c gi l c lp vi nhau nu ta c

Cc xc sut c iu kin vn c tnh nh thng thng, tc l

Cng thc cng tng t vi P (Y = yj |X = xi ) , P (Y = yj |X D).

Bin ngu nhin nhiu chiu