, .

, .


.
-
A . ..
1
2
3

A .
A A Ac A.

A1 , A2 , . . . A A1 A2 . . . A.

A -.

A -,
(, A)
A .

, .


,
, ,
.
1.

.
2.
.
.
1
2

. {, }.

. {1, 2, 3, 4, 5, 6}.

. {0, 1, 2, . . . }.

5
6

, , ...

. {t : t > 0}.
, .



. ()
.
A - , A
- ( ) (.
) ( ).
(Kolmogorov)
(, A) .
( ) P
, P : A R, ,
1
2
3

A A, P (A) > 0.
P () = 1.

A1 , A2 , . . .
(. Ai Aj = ,
P

i 6= j), P (
A
)
=
P
i =1 i
i =1 (Ai ).

(, A, P) .
, .

(, A, P) ,
X :R
, { : X () 6 x } A, x R.

P ({ : X () 6 x }) = P (X 6 x ) = F (x )



.

, .


1.
X .. ,
{x1 , x2 , . . . , xn , . . .}.
f (x ) = P (X = x ) ,
:

(i ) f (xi ) > 0, i = 1, 2, . . .,

(ii )

+
X

f (xi ) = 1.

i =1

2.
X .. f : R R,
P (X B ) =

f (x )dx
B

f (x ) ,
:

(i ) f (x ) > 0, x R,

(ii )

f (x )dx = 1.

, .

EX =

x f (x )

, X ..

x f (x )dx

X ..

Eg(X ) =

g(x )f (x )

, X ..

g(x )f (x )dx

X ..

g(X ) = (X EX )2 , E(X EX )2 = VarX

, .

.. X .

-
1
2
3
4

Ec = c, c .
E(aX + b) = a EX + b
X > 0 EX > 0.

|EX | 6 E|X |.

-
1

Varc = 0, c .

Var (aX + b) = a 2 VarX

3
4

VarX = EX 2 (EX )2

VarX = EX (X 1) + EX (EX )2

, .


, X B(n , p)
f (x ) = P (X = x ) =

n
x

px (1 p)n x , x = 0, 1, . . . , n , 0 < p < 1.

EX = np , VarX = np(1 p).

Poisson , X P()
f (x ) = P (X = x ) = e

x
, x = 0, 1, . . . , > 0.
x!
EX = VarX = .

, X Ge (p)

f (x ) = P (X = x ) = p(1 p)x , x = 0, 1, 2, . . .

EX =

1p
p

, VarX =

, .

1p

p2


Gauss, X N (, 2 )
(x )2
1
f (x ) =
e 22 , x R , R , > 0.
2 2

EX = , VarX = 2 .
, X G(a , )
f (x ) =

(a ) a

x a 1 e x / , x > 0 , a , > 0.

EX = a , VarX = a 2 .
, X E()
f (x ) =

e , x > 0 , > 0.

: E() G(a = 1, = ).

EX = , VarX = 2 .
, .

g() . X
.. fX (x ), ..
Y = g(X ) ..

 dg1 (y) 




fY (y) = fX (g1 (y))

dy

1
X G (n , ), Y = cX G (n , c ), c > 0.

c =

, Y =

2X

2
G (n , 2) X2n
.

, .

MX (t ) = Ee tX , t .

.. X
0, .

MX (0) = 1

MaX +b = e tb MX (at )

d k MaX +b (t ) 
dt k

t =0

= EX k

, .

X B(n , p),
MX (t ) = (pe t + 1 p)n , t R.

X P(),
X N (, 2 ),

MX (t ) = e e , t R.
1

MX (t ) = e t + 2

2 2

, t R.

: X N (0, 1),
1 2

MX (t ) = e 2 t , t R.
4

X G(a , ),

MX (t ) =

(1

, .

t )a

, t<