XSTK

L thuyt xc sut
Cc khi nim c bn v bin c ngu nhin
1. Khng gian xc sut

Trc ht chng ta a vo khi nim mt h A cc tp con no ca khng gian cc bin c ngu nhin c
bn c gi l -i s nu:
1.
2.
A A suy ra \A A
3.
Nu A1 , A2 , ... l d1y cc tp hp thuc A, khi
Ai cng thuc A.
Trong l thuyt xc xut, tp cc bin c ngu nhin l mt -i s A. Mt nh x P t A vo tp cc s thc

R
P :AR
tho m1n cc tin sau:
1.
Vi mi A A
2.
P () = 1
3.
Nu A1 , A2 , ..., Ai , ... l cc bin c ngu nhin i mt xung khc nhau thuc A, khi

P
Ai =
P (Ai )
0 P (A) 1
P (A) c gi l xc sut ca bin c ngu nhin A. Trong l thuyt xc sut (, A, P ) c gi l khng

gian xc sut.
Tnh cht ca xc sut
(A)
P () = 0.
(B)
A B P (A) P (B).
(C)
P (A) = 1 P (A).
(D)
P (A + B) = P (A) + P (B) P (AB).
(E)
P (A + B + C) = P (A) + P (B) + P (C) P (BC) P (AB) P (AC) + P (ABC).
(F)
P (A1 + A2 + ... + An ) P (A1 ) + P (A2 ) + + P (An ).
(G)
Vi d1y cc bin c gim dn A1 A2 A3 ... (hoc tng dn A1 A2 ...), khi

lim P (An ) = P ( lim An ).
2. ng dng tnh xc sut cc bin c ngu nhin

Khng gian cc bin c ngu nhin c bn gm n bin c ng kh nng
= {1 , 2 , ..., n },
Khi do P () = 1, suy ra P (i ) =
1
n
P (1 ) = P (2 ) = ... = P (n )
vi mi i v nu
A = {n1 , n2 , ..., nm } P (A) =

1
m
.
n
http://www.ebook.edu.vn
Ta cn ni
P (A) =
S trng hp thun li cho bin c A

.
S trng hp ng kh nng
Trng hp khng gian cc bin c ngu nhin c bn l mt min hnh hc, gi thit rng xc sut
bin c ngu nhin c bn thuc min A t l vi o ca A, khi
P (A) =
o ca A
.
o ca
( o y c hiu nh l di, din tch hoc th tch ty theo c nhc n l min hnh hc no).
Bi tp 1
1. Gieo lin tip mt xc xc, k hiu Ak l bin c: ln gieo th k l ln u tin mt 6 chm xut hin.
a. H1y tnh P (Ak ).
b. Tm xc sut mt 6 chm xut hin mt ln gieo no .
c. H1y tm xc sut sau mt s l ln gieo, mt 6 chm xut hin.
2. Mt tp 10 v trong c 3 v c thng. Chn ngu nhin 5 v, tm xc sut trong c ng 2 v c
thng.
3. Mt hp ng 3 bi , 3 bi trng, 3 bi xanh. Chn ngu nhin ra 6 vin bi, tm xc sut c 3 mu
trong s 6 vin bi c chn ra.
4. Chng minh rng
N
n+1
n1
n
CN
=
CN
(n N)
k
k=1
5. Mt cht im xut pht t 0, lang thang ngu nhin trn trc s, n dch chuyn sang phi hoc sang tri 1
n v vi xc sut bng 12 . Tm xc sut sau n bc, cht im ti v tr k trn trc s.
6. Bi ton gp g v bi ton gieo kim ca Buffon.
3. Xc sut c iu kin v s c lp ca cc bin c ngu nhin

Xc sut ca A vi iu kin B xy ra, k hiu
P (A/B) =
P (AB)
P (B)
T nh ngha xc sut c iu kin, suy ra cng thc nhn xc sut

P (AB) = P (A/B)P (B)
P (A1 A2 An ) = P (An /A1 A2 An1 )P (An1 /A1 A2 An2 ) P (A2 /A1 )P (A1 )
Nhn xt rng vi k hiu P (A) = P (A/B) l xc sut c iu kin ca bin c A vi iu kin B (B c

nh), khi (, A, P ) cng l khng gian xc sut.
Hai bin c A v B c lp nhau nu
P (A/B) = P (A) P (AB) = P (A)P (B).
Cc bin c A1 , A2 , ..., An c lp, nu vi bt k k bin c i mt khc nhau Ai1 , Ai2 , ..., Aik k = 2, 3, ...n
trong d1y cc bin c trn
P (Ai1 Ai2 Aik ) = P (Ai1 )P (Ai2 ) P (Aik )
Trong ng dng thc t h cc bin c m mi bin c lin quan ti mt php th ngu nhin trong dMy cc
php th c tin hnh c lp nhau to thnh h cc bin c c lp.
nh l 1 (nh l xc sut y ) Nu A1 , A2 , ..., An , ... l h y cc bin c ngu nhin, A l bin c
ngu nhin bt k, khi

P (A) =
P (A/Ai )P (Ai ).
i=1
Bi tp 2
1. Mt cht im xut pht t x = k, lang thang ngu nhin trn trc s, n dch chuyn sang phi hoc sang
tri 1 n v vi xc sut bng 12 . Cht im dng li nu n t ti cc v tr ht x = 0 hoc x = n. Tm xc
sut mt lc no n dch chuyn ti trng thi ht x = 0. (Xch Markov).
2. Ri ngu nhin N vin bi vo n hp. Vi iu kin mt hp xc nh t trc (v d hp th nht) khng
rng, tm xc sut hp c ng K vin bi (K 1).
3. Mt x th bn bia, xc sut trng bia ca x th bng p. Tm xc sut sau n ln bn lin tc, ln bn
th n l ln u tin x th bn trng bia.
4. A v B chi mt tr chi nh sau: A gieo xc xc, kt qu gi s mt k chm xut hin. A gieo tip ng
thi 2 ng xu k ln. Nu t nht c mt ln xy ra bin c c hai ng xu cng xut hin mt nga, khi A
thng cuc, ngc li A b thua. Hi tr chi c li cho A hay B?
5. A v B chi mt tr chi nh sau: A gieo ng thi 2 xc xc. Nu tng bng 7 hoc 11, A thng cuc,
nu tng bng 2,3 hoc 12, A thua cuc. Cc trng hp cn li, A lp li tr chi cho n khi c ngi thng
ngi thua. Tm xc sut A thng. (S: 23 )
6. Cho n hp, mi hp cha ng a bi trng v b bi . Ly ngu nhin 1 vin bi t hp th nht v b sang
hp th hai, sau ly tip 1 vin bi t hp th hai v b sang hp th ba,... Cui cng ly 1 vin bi t hp
th n. Gi A l bin c vin bi ly t hp th nht b sang hp th hai l vin bi trng, B l bin c vin bi
ly t hp th n l vin bi trng. K hiu pn = P (B/A). Chng minh rng
pn =
a
b
+
(a + b + 1)1n .
a+b a+b
7. Cc hp c nh s 0, 1, 2, ..., N v hp mang s k cha k bi , N k bi trng (k = 0, 1, 2, ..., N ).

Chn ngu nhin mt hp v t hp ny chn ln lt c hon li tng vin bi. Gi An l l bin c ln chn
th n ly c vin bi .
a. Tnh P (A3 /A1 A2 )
b. Gi s t hp 1 chn ngu nhin chn ln lt hai vin bi khng hon li. Tm xc sut c hai bi 1
chn l bi .
4. Cng thc Bernoulli

Gi s xc sut xy ra bin c A l p. Khi xc sut trong n ln tin hnh php th ngu nhin c
lp nhau c ng k ln xy ra A bng
Pk;n = Cnk pk q nk
(trong p + q = 1).
Bi tp 3
1. Tm xc sut mt gia nh 5 ngi con c ng 3 trai, 2 gi.
2. Bit xc sut u th bng bn A thng B mi sc l p. Hai u th u vi nhau ti a 5 sc, ngi
no thng trc 3 sc l ngi thng chung cuc. Tm xc sut u th A thng chung cuc.
S:
p
0,3
0,4
0,5
0,6
0,7
Xc sut cn tm: P (A) = p3 (1 + 3q + 6q 2 )

0,16308
0,31744
0,5
0,68256
0,83692
i lng ngu nhin v phn b xc sut
1. Khi nim c bn
Mt nh x X : R trn khng gian xc sut (, A, P ) tha m1n
{ : X() < x} A vi mi x R
3
c gi l i lng ngu nhin X. Hm

F (x) = P (X < x) vi mi
xR
c gi l hm phn b xc sut ca i lng ngu nhin X. Hin nhin

P (a X < b) = F (b) F (a)
Nu tn ti mt hm khng m f : R [0, +) sao cho hm phn b F (x) ca i lng ngu nhin X tho
m1n
b
F (b) F (a) = P (a X < b) =
f (x) dx vi mi a < b R,
a
khi hm f c gi l mt xc sut ca i lng ngu nhin X. i lng ngu nhin c hm mt

c gi l i lng ngu nhin lin tc. c bit
F (x) =
f (x) dx
vi mi x R.
Ti cc im hm mt lin tc F (x) = f (x). Ch rng i lng ngu nhin ri rc (i lng ngu

nhin m min gi tr l tp khng qu m c) khng c hm mt , phn b ca n thng c cho di
dng

pn = P (X = xn ), n = 0, 1, 2, ... trong
pn = 1
n
hoc di dng bng
X
P
x1
p1
...
...
x2
p2
xn
pn
...
...
trong
Tnh cht hm phn b, hm mt

1.
F () = limx F (x) = 0,
2.
Hm phm b n iu tng v lin tc tri trn R.

+
f (x) dx = F (+) F () = 1.
3.
4.
pn = 1.
F (+) = limx+ F (x) = 1.
Vi i lng ngu nhin lin tc, xc sut X nhn cc gi tr trong mt tp hu hn hoc v hn

m c lun bng 0. Suy ra
P (a X < b) = P (a < b) = P (a X b) = F (b) F (a).
Bi tp 4
1. X l s li in sai trong mt trang sch gio khoa NXB Gio dc. Ngi ta bit rng
P (X = 0) = 0.85,
P (X = 1) = 0.1,
P (X = 2) = 0.05
Nh vy X l i lng ngu nhin ri rc nhn cc gi tr 0, 1, 2 v bng phn b ca X thng c vit

X
0
1
2
di dng sau
P 0.85 0.1 0.05
Hm phn b ca X khi bng
0.85
F (x) =
0.95
nu
nu
nu
nu
x0
0<x1
1<x2
2<x
2. Gi X l s ln bn lin tc vo bia cho n khi trng bia, p l xc sut trng bia ca mi ln bn. Gi thit
cc ln bn c lp nhau, khi bng phn b ca X
X
P
1
p
2
qp
...
...
n
pq n1
4
...
...
(p + q = 1)
3. X l im chn ngu nhin trn on [a, b] (gi thit rng xc sut X thuc khong (u, v) [a, b] t l
vi di on [u, v]). Khi X l i lng ngu nhin lin tc vi hm mt

1
nu a < x b
f (x) = ba
0
nu x a hoc x > b
(X c gi l i lng ngu nhin c phn b u trn on [a, b].)
4. Nu f (x) l hm mt ca X, khi hm mt ca Y = aX + b bng

1
yb
g(y) =
f
|a|
a
5. Tm hm mt ca 2 , bit phn b u trn on [1, 1].
2. K vng, phng sai ca i lng ngu nhin

Vi cc i lng ngu nhin ri rc c phn b
X
P
x1
p1
...
...
x2
p2
xn
pn
...
...
K vng ca X, k hiu E(X) bng

E(X) =
nu chui hi t tuyt i.
x i pi
i=1
Trng hp X l i lng ngu nhin lin tc c f (x) l hm mt

E(X) =
xf (x)dx
nu tch phn hi t tuyt i.
Ch rng k vng l ton t tuyn tnh v

E((X)) =
(x)f (x)dx
trong f (x) l hm mt ca X.
Phng sai D(X) v lch tiu chun X ca X

D(X) = E(X EX)2 = EX 2 (EX)2 ,
Hin nhin phng sai ca hng s bng 0 v
X =

D(X).
D(X) = 2 D(X).
Bi tp 5
1. X l s tr s sinh trong mt ngy mt bnh vin nh. Bit phn b ca X
X
P
0
0.3
1
0.4
2
0.2
3
0.1
Khi trung bnh s tr em mi sinh trong mt ngy bng

EX = 0 0.3 + 1 0.4 + 2 0.2 + 3 0.1 = 1.1
2. Gi X l s ln gieo xc xc lin tc cho n khi mt 6 chm xut hin. H1y tnh s ln gieo trung bnh.
3. Mt cng vic trong xy dng d tnh s c hon thnh trong khong thi gian t 10 n 14 ngy. Gi s
X l s ngy cng hon thnh cng vic , phn b ca X c d tnh nh sau
X
P
10
0.1
11
0.3
12
0.3
13
0.2
14
0.1
E(X) = 11.9 ngy, D(X) = 1.29

5
Nh thu c lng chi ph ton b cho cng trnh gm 85 triu tin vt liu xy dng v tin nhn cng l 1.6
triu ng mt ngy cng. Khi chi ph ton b cho cng trnh bng
(triu ng)
Y = 85 + 1.5X
Vy k vng hay gi tr trung bnh ca ton b chi ph l
E(Y ) = 85 + 1.5E(X) = 85 + 1.5 11.9 = 102.85 (triu ng)
D(Y ) = 1.52 D(X) = 1.52 1.29 = 2.9025 Y = 2.9025 = 1.7037
4. K vng v phng sai ca phn b u trn [a, b]

EX =
(a b)2
a+b
, DX =
2
12
3. Cc phn b thng gp
1. Phn b nh thc
X
P
0
p0
1
p1
...
...
k
pk
...
...
n
pn
trong pk = P (X = k) = Cnk pk q nk , p + q = 1, k = 0, 1, ..., n

Nhn xt rng i lng ngu nhin c phn b nh thc c th biu din di dng
X=
n
Xi
i=1
trong Xi ghi li kt qu ca vic xut hin hay khng xut hin bin c A trong d1y cc php th ngu
nhin c lp (P (A) = p)

1 nu A xy ra trong php th th i
Xi =
0 nu A khng xy ra trong php th th i
2. Phn b Poisson
X
P
0
p0
1
p1
2
p2
...
...
k
pk
...
...
trong
pk = P (X = k) = e
k
,
k!
> 0, k = 0, 1, 2, ...
3. Phn b hnh hc
X
P
1
p
2
qp
...
...
n
q n1 p
...
...
trong p + q = 1.
4. Phn b m
X l i lng ngu nhin c phn b m, nu hm mt ca X bng

ex nu x > 0
f (x) =
vi > 0
0
nu x 0
5. Phn b chun
X l i lng ngu nhin c phn b chun, k hiu X N (m, 2 ) nu hm mt ca X bng
(xm)2
1
f (x) =
e 22
2
trong > 0, m R.
6
S dng
I=
dx =
2
x2
ta d dng chng minh hm f (x) ni trn l hm mt v

EX = m, DX = 2 .
Nhn xt rng X N(m, 2 ) khi v ch khi Z =
X N (0, 1)
Xm
1
(x) =
2
N (0, 1). Ngi ta thng k hiu hm phn b ca

x
u2
2
du.
Tra bng phn b chun, ta c

Quy tc 3 Nu X N (m, 2 ), khi

3
X m
x2
3) = 1

P (m 3 X m + 3) = P (
e 2 dx = 2(3) 1 = 0, 9973

2 3
3 i lng ngu nhin nhiu chiu

1. Hm phn b v hm mt chung
Xt mt cp hai i lng ngu nhin (, ). Nu chng ta ng thi kho st hai i lng ngu nhin
v , chng ta s coi chng nh cc to ca mt vc t ngu nhin (hay mt im ngu nhin) (, ). Cc
gi tr c th c ca n l cc im (x, y) trong mt phng to xOy. Gi tp E l mt min phng bt k
E R2 v P, (E) = P ((, ) E) l xc sut im ngu nhin (, ) ri vo tp E. Ngi ta gi P, (E),
vi mi E R2 l o xc sut ca cc tp hp trn mt phng sinh bi vc t ngu nhin (, ).
nh ngha 1 Hm
H(x, y) = P ( < x, < y) = P ({ (, x)} { (, y)})
vi mi x, y R l hm phn b chung ca hai i lng ngu nhin v (hay cn gi l hm phn b
ng thi ca vc t ngu nhin (, )).
Nu tn ti mt hm khng m h(x, y) 0 sao cho

P ((, ) E) =
h(x, y) dxdy
E
vi mi min E ca mt phng. Khi ta ni h(x, y) l hm mt ca vc t ngu nhin (, ) (hay cn gi

l hm mt chung ca v ).
i vi cc i lng ngu nhin ri rc, thay cho hm phn b ng thi H(x, y) l cc xc sut
P (xi , yj ) = P ( = xi = yj )
(hoc vit gn hn P ( = xi , = yj ).)
Chng thng c vit di dng bng. minh ho, ta xt v d sau.
V d
i lng ngu nhin X o mc hi lng ca ngi dn sng trong mt khu chung c mi xy dng v Y
biu th s nm ngi dn sng trong khu chung c . Gi s mc hi lng ca ngi biu th qua cc
gi tr X = 1, X = 2, X = 3 hoc X = 4 (gi tr X cng ln tng ng vi mc hi lng cng cao). i lng
ngu nhin Y nhn cc gi tr 1 nu ngi dn sng khng qu 1 nm trong khu chung c v nhn gi tr 2
trong trng hp ngc li.
X
Y
1
2
Tng
Tng
0.04
0.06
0.1
0.17
0.15
0.32
0.18
0.2
0.38
0.1
0.1
0.2
0.49
0.51
1
Bng phn b trn cho bit, chng hn

P (3, 2) = P (X = 3, Y = 2) = 0.2
l xc sut khi chn ngu nhin mt ngi sng khu chung c, ngi c mc hi lng 3 v sng trn
1 nm trong khu chung c . Ct tng cho phn b ca Y
P (Y = 1) = 0.49, P (Y = 2) = 0.51
Hng tng xc nh phn b ca X
P (X = 1) = 0.1, P (X = 2) = 0.32, P (X = 3) = 0.38, P (X = 4) = 0.2
Trng hp tn ti hm mt chung, hin nhin

P ((X, Y ) E) =

H(x, y) = P (X < x, Y < y) =

F (x) = H(x, +) =
G(y) = H(+, y) =
vi mi tp E R2 .
h(x, y) dxdy
E
h(u, v) dudv,
2H
= h(x, y)
xy
h(u, v) dv du
l hm phn b ca X.

h(u, v) du dv
l hm phn b ca Y.
Hm mt ca X, Y tng ng l
f (x) =
h(x, y) dy,
g(y) =
h(x, y) dx
nh ngha 2 Cc i lng ngu nhin v c gi l c lp nhau nu vi mi x, y R

H(x, y) = P ( < x, < y) = P ( < x)P ( < y) = F (x)G(y) h(x, y) = f (x)g(y)
nh l 2 Gi s X, Y c hm mt chung h(x, y), khi

E ((X, Y )) =
(x, y)h(x, y) dxdy.
c bit nu X, Y l cc i lng ngu nhin c lp nhau, khi

E(XY ) = EX EY,
D(X + Y ) = DX + DY.
V d 1.
Gi s hm mt chung ca X v Y
h(x, y) =
S dng f (x) =
6
5 (x
+ y2 ) nu 0 < x < 1, 0 < y < 1

trong trng hp ngc li
h(x, y) dy, hm mt ca X
f (x) =
1
6
g(y) =
1
6
(x + y2 ) dy = 65 (x + 13 ) nu 0 < x < 1
nu x
/ (0, 1)
hm mt ca Y
5
(x + y2 ) dx = 65 ( 12 + y2 ) nu 0 < y < 1
nu y
/ (0, 1)
8
V d 2.
(X, Y ) phn b u trn hnh trn tm (0, 1) bn knh bng 1. Hm mt chung ca X v Y
h(x, y) =
Hm mt Y bng
g(y) =
nu x2 + (y 1)2 < 1
trong trng hp ngc li

2
h(x, y) dx =
2yy2
nu
nu
E(Y ) = 1, D(Y ) =
0<y<2
y
/ (0, 2)
1
4
Bi tp
1. Gi s X v Y l hai i lng ngu nhin c lp c cng phn b chun N(0, 1). H1y tm hm mt
ca Z = |X|signY .
2. Chn ngu nhin 2 im M v N trn on [0, 1], 2 im M, N chia on [0, 1] thnh 3 phn, gi cc
di ca 3 on thng tng ng l cc i lng ngu nhin X1 , X2 v X3 .
a) H1y tm cc hm mt ca X1 , X2 v X3 .
b) H1y tnh cc k vng E(X1 ), E(X2 ) v E(X3 ).
2. Phn b c iu kin
Gi s A l bin c c xc sut P (A) > 0 v X l i lng ngu nhin ty . Ta c nh ngha sau
nh ngha 3 Ngi ta gi hm
F (x/A) = P (X < x/A) vi x
l hm phn b c iu kin ca X vi iu kin bin c A xy ra. Nu F (x/A) kh vi, k hiu f (x/A) =
F (x/A) v
x
f (t/A) dt vi x
F (x/A) = P (X < x/A) =
khi f (x/A) c gi l hm mt c iu kin ca X vi iu kin bin c A xy ra (hoc ni tt l hm

mt ca X vi iu kin A).
Ta c nhn xt rng nu Ai , i = 1, 2, ... l mt h y cc bin c. Khi theo cng thc xc sut y
, hm phn b ca X c th biu din theo cc hm phn b c iu kin:

F (x) = P (X < x) =
P (X < x/Ai )P (Ai ) =
F (x/Ai )P (Ai )
i
o hm c hai v theo x, ta cng c kt qu tng t cho hm mt c iu kin

f (x) =
f (x/Ai )P (Ai ).
i
Bi tp
Mi ngy s ca cp cu ti mt bnh vin l i lng ngu nhin N tun theo lut Poisson vi tham s .
Ngi ta phn ra hai loi cp cu: cp cu do tai nn giao thng (loi A) v cp cu v cc l do khc (loi B).
Gi thit rng p l xc sut mt ca cp cu thuc loi A, cp cu do tai nn giao thng. K hiu XA l i
lng ngu nhin biu th s ca cp cu thuc loi A, XB l s ca cp cu thuc loi B trong ngy.
1. Vi k, n l hai s nguyn, h1y tnh P (XA = k/N = n).
2. Xc nh lut phn b ng thi ca (N, XA ).
9
3. Xc nh lut phn b, k vng v phng sai ca XA .

4. Xc nh lut phn b ca XB .
5. XA v XB c c lp vi nhau khng?
Gii bi tp: N c phn b Poisson vi tham s .

P (N = n) = e
n
n!
1. Vi k, n l hai s nguyn, P (XA = k/N = n) = Cnk pk q nk .

2. Xc nh lut phn b ng thi ca (N, XA )
P (N = n, XA = k) = P (XA = k/N = n)P (N = n) = Cnk pk q nk e
=
1
1
e n pk q nk = e (p)k (q)nk
k!(n k)!
k!(n k)!
n
=
n!
vi n k.
3. Xc nh lut phn b, k vng v phng sai ca XA .

P (XA = k) =
P (XA = k, N = n) =
n=k
= e
e (p)k (q)nk
n=k
1
=
k!(n k)!
(p)k (q)nk
(p)k (q)i
(p)k q
(p)k
= e
= e
e = ep
k!
(n k)!
k! i=0 i!
k!
k!
n=k
4. Tng t lut phn b ca XB

P (XB = i) = eq
(q)i
i!
5. XA v XB c lp vi nhau. Tht vy xt P (XA = k, XB = i), k hiu n = k + i, khi

P (XA = k, XB = i) = P (XA = k, N = n) = e (p)k (q)nk
= ep
(p)k q (q)i
e
= P (XA = k)P (XB = i),
k!
i!
1
=
k!(n k)!
vi mi k, i 0.
Gi thit (X, Y ) l vc t ngu nhin c h(x, y) l hm mt chung. Khi Y l i lng ngu nhin
lin tc, hm mt ca Y l

g(y) =
h(x, y) dx.
Ta nh ngha xc sut c iu kin ca bin c {X < x} vi iu kin Y = y nh l gii hn ca P (X <

x/y Y < y + y) khi y dn ti 0. Hm
F (x/y) = lim P (X < x/y Y < y + y)
y0
c gi l hm phn b c iu kin ca X vi iu kin Y = y, tt nhin vi gi thit tn ti gii hn trn.

Do nh ngha xc sut c iu kin v tnh cht ca hm phn b chung
P (X < x/y Y < y + y) =
P (X < x, y Y < y + y)
H(x, y + y) H(x, y)
=
P (y Y < y + y)
G(y + y) G(y)
(H(x, y) l hm phn b chung ca X v Y , G(y) l hm phn b ca Y ). Chia c t v mu cho y, chuyn

qua gii hn khi y 0 ta c
F (x/y) =
y H(x, y)
g(y)
f (x/y) =
F (x/y) =
x
2
xy H(x, y)
g(y)
h(x, y)
.
g(y)
f (x/y) c gi l hm mt c iu kin ca X vi iu kin Y = y.

10
Ch rng cc hm mt c iu kin cng nh phn b c iu kin y ch c xc nh ti y sao

cho g(y) > 0. Ti nhng im m g(y) = 0, hm mt f (x/y) c xc nh ty ( n gin, ti
ngi ta thng gn cho f (x/y) gi tr 0). Vit chnh xc hn, mt c iu kin
h(x,y)
nu g(y) > 0
g(y)
f (x/y) =
0
nu g(y) = 0
Tng t hm mt c iu kin ca Y vi iu kin X = x

h(x,y)
nu f (x) > 0
f (x)
g(y/x) =
0
nu f (x) = 0
Suy ra h(x, y) = f (x/y)g(y) = g(y/x)f (x). T ta nhn c cc cng thc tng t nh cng thc xc
sut y

f (x) =
h(x, y) dy =
f (x/y)g(y) dy
g(y) =
h(x, y) dx =
g(y/x)f (x) dx
Ch rng nu X, Y l cc i lng ngu nhin c lp nhau khi cc hm mt c iu kin

f (x/y) = f (x) khng ph thuc vo y cng nh g(y/x) = g(y) khng ph thuc vo x.
nh l 3 Gi s l mt song nh
:DT
D R2 , T R2
kh vi ti mi im thuc D. (X, Y ) l vc t ngu nhin nhn cc gi tr trong D v h(x, y) l hm mt

ng thi ca vc t ngu nhin . Khi hm mt ca (U, V ) = (X, Y ) bng

g(u, v) = h 1 (u, v) |J(u, v)|
trong J(u, v) l Jacobien ca 1 .
x

1
1
K hiu (x, y) = (u, v), khi Jacobien ca bng J(u, v) = u
y
u
x
v
y
v
x y
x y
u v
v u
Nhn xt 1 Gi s h(x, y) l hm mt chung ca (X, Y ). Cc i lng ngu nhin U v V c xc nh

X = a11 U + a12 V
Y = a21 U + a22 V
Khi mt chung ca (U, V ) bng

a11
trong A =
a21
a12
a22
g(u, v) = h (a11 u + a12 v, a21 u + a22 v) |det(A)|

l ma trn khng suy bin.
V d X v Y l hai i lng ngu nhin c lp thuc N (0, 1). Khi = X + Y v = X Y cng
c lp v c cng phn b chun ( N (0, ( 2)2 )). Tht vy

(u+v)2
(uv)2
X = 12 ( + )
| det A| = 12 g(u, v) = 12 e 8 12 e 8
1
Y = 2 ( )
Suy ra
1
u2
1
u2
g(u, v) = e 22 e 22
2 2
2 2
1
2
Nhn xt 2
1. Nu X v Y l hai i lng ngu nhin c lp, khi hm phn b c iu kin ca X vi iu kin
Y = y trng vi hm phn b ca X, (khng ph thuc vo iu kin Y = y)
F (x/Y = y) = P (X < x/Y = y) = P (X < x) = F (x).
2. Tng qut hn, gi s (x, y) l mt hm hai bin bt k, X v Y l hai i lng ngu nhin c lp.
Khi hm phn b c iu kin ca (X, Y ) vi iu kin Y = y trng vi hm phn b ca (X, y)
P ((X, Y ) < x/Y = y) = P ((X, y) < x.
11
Chng hn tnh hm mt ca tng hai i lng ngu nhin c lp X v Y , c th suy ra t nhn xt

trn nh sau:
Xt Z = (X, Y ) = X + Y , hm phn b c iu kin ca Z vi iu kin Y = y (k hiu H(z/y)), theo
nhn xt trn bng hm phn b ca (X, y)(= X + y)
H(z/y) = P (X + y < z) = F (z y)
o hm hai v theo z xc nh hm mt , ta c mt c iu kin ca Z vi iu kin Y = y (k
hiu h(z/y))
h(z/y) = f (z y).
p dng cng thc xc sut y m rng tnh hm mt ca Z (k hiu r(z)), ta c

r(z) =
h(z/y)g(y) dy =
f (z y)g(y) dy.
y chnh l cng thc xc nh hm mt ca tng hai i lng ngu nhin c lp.

Hon ton tng t ta c th thit lp c cc hm mt ca XY v X/Y , nu X, Y c lp nhau. Bn
c t chng minh cc kt qu sau:
a. Hm mt ca XY bng
s(z) =
b. Hm mt ca
X
Y
bng
t(z) =

1
z
f ( )g(y) dy
|y| y
|y|f (zy))g(y) dy
Chng hn ta phc qua cch dn dt n kt qu a. tnh hm mt ca XY . Trc tin ta tm hm

phn b c iu kin ca XY vi iu kin Y = y (xt hai trng hp y > 0 v y < 0). Hm phn b c iu
1
f ( zy ), vy hm
kin bng hm phn b ca y X (khng iu kin), suy ra, hm mt ca y X bng |y|
mt ca XY

1
z
s(z) =
f ( )g(y) dy.
|y|
y
Bi tp
1. Gi s X v Y l hai i lng ngu nhin c lp c cng phn b u trn (1, 1). H1y tnh hm mt
ca X + Y .
2. Gi s X v Y l hai i lng ngu nhin c lp c cng phn b u trn (a, b) ( n gin ta gi thit
a, b l cc s dng 0 < a < b). H1y tnh hm mt ca i lng ngu nhin tch XY .
3. Gi s X v Y l hai i lng ngu nhin c lp c cng phn b m vi tham s . H1y tnh hm mt
ca |X Y |.
4. Gi X v Y l hai i lng ngu nhin c lp, c cng phn b m vi tham s . K hiu g(y/x) l
hm mt ca X + Y vi iu kin X = x v f (x/y) l hm mt ca X vi iu kin X + Y = y. H1y
xc nh cc hm mt c iu kin g(y/x) v f (x/y).
4. Khc mt cht vi bi tp 4, gi s X v Y l hai i lng ngu nhin c lp, X c phn b m vi
tham s , trong khi Y c phn b m vi tham s , ( = ). K hiu g(y/x) l hm mt ca X + Y vi
iu kin X = x v f (x/y) l hm mt ca X vi iu kin X + Y = y. H1y xc nh cc hm mt c
iu kin g(y/x) v f (x/y).
5. Gi s X = (X1 , X2 ) v Y = (Y1 , Y2 ) l hai im chn ngu nhin (theo phn b u) c lp nhau trn
ng trn n v:
x2 + y 2 = 1
H1y tm hm mt ca i lng ngu nhin

X
Z = 1
Y1
12

X2
Y2
3. K vng c iu kin
Gi s A l bin c c xc sut P (A) > 0 v X l i lng ngu nhin ty . Tng t nh nh ngha
k vng ca i lng ngu nhin, ta c nh ngha sau
nh ngha 4 Nu X l i lng ngu nhin ri rc ch nhn cc gi tr xi , i = 1, 2, ..., khi

E(X/A) =
xi P (X = xi /A)
i
c gi l k vng c iu kin ca X vi iu kin bin c A xy ra.

Trng hp X l i lng ngu nhin lin tc vi f (x/A) l hm mt c iu kin, khi

E(X/A) =
xf (x/A) dx
c gi l k vng c iu kin ca X vi iu kin bin c A xy ra.

Nu X v Y l hai i lng ngu nhin lin tc vi f (x) v g(x) l cc hm mt ca chng. Gi
f (x/y) l hm mt c iu kin ca X vi iu kin Y = y K vng ca X vi iu kin Y = y, c k
hiu E(X/Y = y) l tch phn

E(X/Y = y) =
xf (x/y) dx,
nu tch phn tn ti v hi t tuyt i.
nh l 4 Gi thit rng X v Y l hai i lng ngu nhin lin tc, tn ti k vng c iu kin ca X i
vi Y , khi
E(X) = E(E(X/Y )).
Chng minh
K hiu h(y) = E(X/Y = y) (ngi ta gi h(y) l hm hi quy ca X vi iu kin Y = y)

h(y)g(y) dy =
E(X/Y = y)g(y) dy =
E(h(Y )) =
=
Mt khc f (x) =
xf (x/y) dx g(y) dy =

f (x/y)g(y)dy dx
f (x/y)g(y) dy nn
E(h(Y )) = E(E(X/Y )) =
.p.c.m.
xf (x) dx = E(X)
4. Tng quan v h s tng quan
nh ngha 5 Nu X v Y l hai i lng ngu nhin tn ti k vng E(X) v E(Y ), khi

cov(X, Y ) = E[(X E(X))(Y E(Y ))]
c gi l covarian (hay cn gi l m men tng quan) ca X v Y .
Hin nhin nu X v Y c lp , khi
cov(X, Y ) = E[(X E(X))(Y E(Y ))] = E(X E(X)) E(Y E(Y )) = 0
13
Trng hp X = Y , khi covarian cov(X, X) = D(X).

M men tng quan ca hai i lng ngu nhin c cc tnh cht sau
i) cov(X, Y ) = E[(X E(X))(Y E(Y ))] = E(XY ) E(X)E(Y )
ii) cov(X, Y ) = cov(X, Y ) = cov(X, Y )

iii) K hiu x = D(X) v y = D(Y ) l cc lch tiu chun ca X v Y . Khi
|cov(X, Y )| x y .
Tht vy xt
E[(Y tX)2 ] = E(Y 2 2tXY + t2 Y 2 ) = E(Y 2 ) 2E(XY )t + E(Y 2 )t2 0 vi mi t.
y l tam thc bc hai khng m vi mi t, suy ra
[E(XY )]2 E(X 2 )E(Y 2 )hay |E(XY )|

E(X 2 ) E(Y 2 )
p dng bt ng thc trn vi X E(X) v Y E(Y ) thay cho X v Y

|cov(X, Y )| = |E[(X E(X))(Y E(Y ))]| D(X) D(X) = x y .
Nhn xt rng t chng minh trn suy ra
|cov(X, Y )| = x y
Y l mt hm bc nht ca X : Y = aX + b.
nh ngha 6
(X, Y ) =
E[(X E(X))(Y E(Y ))]

cov(X, Y )

=
x y
D(X) D(X)
c gi l h s tng quan ca X v Y .
Hin nhin h s tng quan c cc tnh cht

i) 1 (X, Y ) 1. Du bng xy ra khi v ch khi Y = aX + b (hoc X = aY + b)
ii) Nu X v Y c lp, khi h s tng quan (X, Y ) = 0
H s tng quan o mc ph thuc tuyn tnh gia Y v X. Nu |(X, Y )| xp x 1 khi cc im
ngu nhin (X, Y ) gn nh to thnh mt ng thng trn mt phng to . Khi (X, Y ) = 0 ta ni X v
Y khng tng quan. Ch rng nu X v Y c lp khi chng khng tng quan, ngc li t s khng
tng quan ca X v Y khng suy ra chng c lp vi nhau.
nh ngha 7 K hiu c = cov(X, Y ) l m men tng quan ca X v Y . Khi ma trn

D(X)
c
C=
c
D(Y )
c gi l ma trn covarian (ma trn tng quan) ca X v Y .
Duy tr cc k hiu x , y l cc lch tiu chun ca X v Y , l h s tng quan ca X v Y . T
nh ngha h s tng quan suy ra c = x y . Khi ma trn covarian c th vit di dng
2

x
x y
C=
x y
y2
Do || 1 nn
2

det(C) = x
x y

x y
= (1 2 )x2 x2 0
y2
Phng sai ca i lng ngu nhin cho ta bit lch i lng ngu nhin v gi tr trung bnh ca i
lng ngu nhin . Ma trn cc h s tng quan cng ng vai tr tng t nh phng sai khi xt dao
ng ca vc t ngu nhin.
Gi s d l ng thng i qua (EX, EY ) (gi tr trung bnh ca vc t ngu nhin (X, Y )) v

n (, ) l
vc t n v ch phng ca d. Gi
Z = (X EX) + (Y EY )
14
l hnh chiu vung gc ca (X EX, Y EY ) ln ng thng d. Phng sai ca Z s c tnh thng qua
ma trn covarian C nh sau
D(Z) = 2 E(X EX)2 + 2 (Y EY )2 + 2E(X EX)E(Y EY ) =
= 2 x2 + 2 y2 + 2x y
Nhn xt rng phng sai ca Z l dng ton phng vi ma trn covarian C l ma trn ca dng ton phng
. Do det(C) 0, ni chung C l ma trn bn xc nh dng. Nu X v Y c lp tuyn tnh (|| < 1),
khi C l ma trn xc nh dng thc s.
Nhn xt 3 S dng cc php ton i vi ma trn, ta c th m rng khi nim ma trn covarian cho nhiu
i lng ngu nhin
Xi , E(Xi ) = mi , cov(Xi , Xj ) = ij , i, j = 1, 2, ..., n
Khi ma trn covarian ca (X1 , X2 , ..., Xn ) l
11
21
C(X) =
n1
12
22
n2
1n
2n
nn
Gi s ai , i = 1, 2, ...n l cc s thc bt k. Khi

n

D(
ai X i ) = E
i=1
cov(
n

i=1
ai X i ,
i=1

i
Tng t
n
n
ai (Xi mi )
2
ai aj ij
b i Xi ) =
i=1

i
ai bj ij
K hiu A,B,X,M l cc vc t ct vi cc thnh phn ai , bi , Xi , mi tng ng. C(X) l ma trn covarian ca

X. T cc ng thc trn suy ra
E(AT X) = AT E(X) = AT M
D(AT X) = AT C(X)A
cov(AT X, B T X) = AT C(X)B = B T C(X)A.
Hm c trng
1. i lng ngu nhin phc

Trong l thuyt xc sut ngi ta s dng hm c trng nh l mt cng c quan trng chng minh cc
nh l gii hn, nghin cu cc c trng s ca i lng ngu nhin nh: k vng, phng sai... Trc
khi dn vo khi nim hm c trng, ta cn tm hiu mt cht v i lng ngu nhin phc.
Gi v l hai i lng ngu nhin, khi = + i c gi l i lng ngu nhin phc. N thc
cht l mt hm vi gi tr phc c xc nh trn khng gian cc bin c ngu nhin c bn . K vng v
phng sai ca c xc nh nh sau
E() = E() + iE()
D() = E(| E()|2 )
Hai i lng ngu nhin phc 1 = 1 + i2 v 2 = 2 + i2 c lp nhau nu cc vct ngu nhin (1 , 1 )
v (2 , 2 ) c lp nhau. S c lp ca nhiu i lng ngu nhin phc cng l s c lp ca cc i lng
ngu nhin 2 chiu. D dng chng minh c khi
E(1 2 ) = E(1 ) + E(2 )
D(1 + 2 ) = D(1 ) + D(2 )
15
Kt qu ny cng m rng cho trng hp nhiu hn hai i lng ngu nhin c lp.
2. Hm c trng v cc tnh cht ca hm c trng

Hm c trng ca i lng ngu nhin c xc nh trn R
(t) = E(eit ) = E(cos t) + iE(sin t)
Trng hp l i lng ngu nhin ri rc

khi
(t) =
+
pn cos txn + i
n=1
+
x1
p1
x2
p2
pn sin txn =
n=1
...
...
xn
pn
+
...
...
pn eitxn .
n=1
Nu l i lng ngu nhin lin tc vi f (x) l hm mt , hm c trng ca

(t) =
f (x) cos tx dx + i
f (x) sin tx dx =
f (x)eitx dx.
Hm c trng lun lun tn ti v chng c cc tnh cht sau

1. Gi tr hm c trng ti t = 0 lun bng 1, (0) = 1 v |(t)| 1 vi mi t R.
Tht vy, (0) = 1 l hin nhin. p dng bt ng thc E 2 (X) E(X 2 ) vi bt k X

|(t)|2 = E 2 (cos t) + E 2 (sin t) E(cos2 t) + E(sin2 t) = 1.
2. Vi mi t R
(t) = E(eit ) = E(cos(t)) + iE(sin(t)) = (t).
Nu c phn b xc sut i xng qua 0 (hay hm phn b ca v trng nhau), khi hm c

trng ca nhn cc gi tr thc v (t) l hm chn.
3. Vi cc s thc bt k a v b, hm c trng ca i lng ngu nhin X = a + b bng
E(itX) = eibt (at).
4. Hm c trng (t) lin tc u trn ton b R.
Chn > 0 ty . K hiu A l bin c || > sao cho P (A ) = P (|| > ) < 3 . Khi
(t) = E(eit /A )P (A ) + E(eit /A )P (A ). Suy ra
|(t) E(eit /A )P (A )| = |E(eit /A )P (A )| 1 |P (A )|
T y ta suy ra
|(t1 ) (t2 )| E(|eit1 eit2 |/A )P (A ) +
2
2
E(|(t1 t2 )|/A ) +
3
3
Do E(|(t1 t2 )|/A ) |t1 t2 | nn |(t1 ) (t2 )| nu |t1 t2 | < =
3 .
5. Hm c trng c tnh cht c bit quan trng sau y: Gi s 1 , 2 , ..., n l cc i lng ngu nhin
hon ton c lp, khi hm c trng ca tng X = 1 + 2 + n bng
X (t) =
n

i (t)
i=1
Do nhn xt s c lp ca nhiu i lng ngu nhin phc cng l s c lp ca cc i lng ngu

nhin nhiu chiu, nn kt qu trn c suy ra t nh l k vng ca tch cc i lng ngu nhin c
lp bng tch cc k vng.
16
6. Nu tn ti cc mment cp k, (k = 1, 2, ..., n) ca , khi hm c trng (t) kh vi cp n v

(k)
(0) = ik E( k ) (k = 1, 2, ..., n).

Theo gi thit
+
f (x)|x| dx tn ti v hu hn nn
(t) =
+
xeitx f (x) dx hi t u theo t, suy ra
ixeitx f (x) dx (0) = i
xf (x) dx = iE()
Lp lun tng t vi k = 2, ..., n.

7. Ta cng nhn kt qu rt mnh sau y ca hm c trng: Cc hm phn b c xc nh duy nht
+
bi hm c trng ca n. Ngoi ra nu gi thit tch phn |(t)| dt < + khi hm mt
f (x) lin tc, v
+
1
f (x) =
(t)eitx dt
2
8. Cho mt d1y cc hm phn b F (x), F1 (x), F1 (x), ... cng vi cc hm c trng tng ng (t), 1 (t), 2 (t), ...
iu kin cn v
lim Fn (x) = F (x) ti mi im lin tc ca
F (x)
l, vi mi s thc t R
lim n (t) = (t).
Bi tp 6
1. Hm c trng ca k (k = 1, 2, ..., n) phn b theo lut 0, 1
E(eitk ) = eit (1 p) + eit p = 1 + p(eit 1)
n
Suy ra hm c trng ca phn b nh thc = i=1 i (do l tng ca cc i lng ngu nhin
c lp i )
(t) = E(eit ) = (1 + p(eit 1))n
2. Hm c trng ca phn b Poisson
(t) =
k
itk
k!
k=0
=e

(eit )k
k=0
k!
it
= e(e
1)
3. Hm c trng ca phn b m
(t) =
ex(it) dx =
1
1
it
4. Hm c trng ca phn b u trn (1, 1)

(t) =
1
2
eitx dx =
sin t
t
Ch rng tng t nh hm c trng ca i lng ngu nhin vi f (x) l hm mt , ngi ta cn

a vo mt hm khc c nh ngha nh sau
+
G(t) = E(et ) =
etx f (x) dx
Khc vi hm hm c trng, hm G(t) khng phi lun lun tn ti. i vi phn b chun N (0, 1)
+
+
+
(xt)2
(xt)2
x2
t2
t2
t2
1
1
1
etx e 2 dx =
e 2 + 2 dx =
e 2 e 2 dx = e 2
G(t) =
2
2
2
S dng n ta c th tnh hm c trng ca phn b chun
17
5. Hm c trng ca phn b chun N (0, 1)

(t) = G(it) = e
(it)2
2
t2
= e 2
6. S dng tnh cht 3. hm c trng ca phn b chun N (m, 2 )

(t) = eimt
2 t2
2
7. Hm c trng ca phn b 2n = 12 + 22 + + n2 . y l tng ca n i lng ngu nhin c lp

c cng phn b 2 vi mt bc t do. Ta 1 bit rng hm mt ca mi s hng bng

x
1 e 2
nu x > 0,
2x
h(x) =
0
nu x < 0
Hm c trng ca 21 bng
k2 (t) =

x
x
1
1
e 2 dx =
e 2 (12it) dx =
2x
2x
0
0

2 u2 (12it)
1
e 2
=
du =
1 2it
0
eitx
Vy hm c trng ca phn b 2n vi n bc t do
(t) = (1 2it) 2
Ch rng t tnh cht 6. c th tnh k vng, phng sai v mment cc cp ca cc i lng ngu nhin
da vo hm c trung ca cc i lng ngu nhin . Chng hn phng sai ca i lng ngu nhin phn
b 2n vi n bc t do bng: (0) n2 = 2n.

Bi tp 1. Cc hm no l hm c trng trong s cc hm sau
a) (t) =
1
1+t2
Xt hm mt f (x) =
trong tnh cht 7.
e|x|
2 .
1
e|x|
=
2
2
Hm c trng ca phn b bng (t) =

1
eitx dt e|u| =
1 + t2
1
1+t2 .
Nu p dng tch phn
1
eiux dx
(1 + x2 )
Vy (t) = e|t| l hm c trng ca phn b Cauchy.

4
b) (t) = et khng l hm c trng.
Do (0) = 0 suy ra D() = 0, v l.

c) (t) = sin t khng l hm c trng.
d) (t) = cos t l hm c trng ca vi phn b ca : P ( = 1) = P ( = 1) = 12 .
e) (t) = 12 (1 + cos t) l hm c trng ca vi phn b ca : P ( = 1) = P ( = 1) =
P ( = 0) = 12 .
1
4,
f) Tm hm c trng ca i lng ngu nhin c hm mt f (x) = 1 |x|, vi |x| 1

(t) =
eitx (1 |x|)dx =
2
t
sin
t
2
2
Ta cng c th t c kt qu trn bng cch chng minh f (x) = 1 |x| l hm mt ca tng hai
i lng ngu nhin c lp phn b u trn on [ 12 , 12 ].
18
Bi tp 2. Chng t rng nu (t) l hm c trng, khi
1
2(t)
cng l hm c trng.
Gi s 1 , 2 , ... l d1y cc i lng ngu nhin c lp cng c (t) l hm c trng. Gi l i lng

ngu nhin c lp vi d1y trn v
P ( = n) =
Xt
=
1
2n+1
(n = 0, 1, ...).
1 + 2 + +
0
nu > 0,
nu = 0
p dng nh l k vng y
(t) = E(eit ) =
E(eit /{ = n})P ( = n) =
n=0

1
((t))n
=
n+1
2
2
(t)
n=0
Bi tp 3. Chng minh rng tng ca hai i lng ngu nhin c lp c phn b chun (vi cc tham s ty
) cng l i lng ngu nhin c phn b chun.
Tht vy hm c trng ca tng hai i lng ngu nhin c lp c dng hm c trng ca phn b
chun
2 t2
2 t2
2
2 t2
1 (t)2 (t) = eim1 t1 2 eim2 t2 2 = ei(m1 +m2 )t(1 +1 ) 2 .
Lut s ln v nh l gii hn trung tm
1. Cc dng hi t v khi nim v lut s ln

S n nh dn ca tn sut ti xc sut ca bin c A chnh l dng n gin nht ca lut s ln. Ngi ta
gi chung cc quy lut khng nh s hi t ti hng s C ca trung bnh cng ca d1y n i lng ngu nhin
Y1 + Y2 + + Yn
C
n
khi n
l lut s ln.
nh ngha 8 Cho dMy Yn , n = 1, 2, ... cc i lng ngu nhin. Ta ni Yn hi t theo xc sut ti i
P
lng ngu nhin Y , k hiu Yn Y , nu vi bt k > 0
lim P (|Yn Y | > ) = 0.
Ta ni dMy cc i lng ngu nhin Xn ,
h.c.c
n = 1, 2, ... hi t hu chc chn ti X, k hiu Xn X, nu

P ( lim Xn = X) = 1.
n
Ta c th chng minh hi t hu chc chn ko theo hi t theo xc sut. iu ngc li ni chung khng
ng. Tht vy

1
{ : Xn X} =
|Xm X| <
k
n=1 m=n
k=1
h.c.c
Gi s Xn X, suy ra vi mi > 0

P
{|Xm X| < } = lim P
{|Xm X| < } = 1.
n
n=1 m=n
m=n
Do vy
lim P (|Xm X| < ) = 1
hay Xn X.
h.c.c
Nhn xt rng Xn X tng ng vi

{|Xm X| < } = 1
lim P
n
vi mi > 0
m=n
19
sup |Xm X| 0.
mn
nh l 5 (Trbsp) Gi s X l i lng ngu nhin tn ti k vng m = E(X) v phng sai 2 = D(X).

Khi vi mi > 0 ta c:
2
P (|X m| ) 2
Chng minh Vi i lng ngu nhin khng m Y , ta bit rng P (Y )

P (|X m| ) = P (|X m|2 2 )
E(Y )
.
Do
E(|X m|2 )
2
= 2.
2
2. Lut s ln v nh l gii hn trung tm

By gi ta pht biu v chng minh nh l sau v lut s ln
nh l 6 (Lut yu s ln) Gi s X1 , X2 , ... l cc i lng ngu nhin c lp c cng k vng v phng
sai
E(Xi ) = m, D(Xi ) = 2 , i = 1, 2, ...
Khi
X1 +X2 +...+Xn
n
hi t theo xc sut ti m
X1 + X2 + ... + Xn P
m
n
Chng minh Ta c
E
X1 + X2 + ... + Xn
n
= m, D
X1 + X2 + ... + Xn
n
2
n
p dng nh l Trbsp ta c .p.c.m.

X1 + X2 + ... + Xn

2

P
m > 2 .
n
n
Nhn xt rng nh l trn vn ng nu ta thay gi thit s c lp bng s khng tng quan ca cc i

lng ngu nhin X1 , X2 , ...
Cui cng ta pht biu, khng chng minh nh l sau ca Kolgomorov
nh l 7 (Lut mnh s ln) Gi s X1 , X2 , ... l cc i lng ngu nhin c lp c cng hm phn b.
Khi iu kin cn v X1 +X2n+...+Xn hi t hu chc chn ti
X1 + X2 + ... + Xn h.c.c

n
l tn ti k vng E(Xi ) v E(Xi ) = .
S dng cc kt qu v hm c trng ta c th chng minh nh l gii hn sau
nh l 8 Cho mt dMy cc i lng ngu nhin c lp cng phn b X1 , X2 , X3 , ..., Xn , ... vi E(Xk ) =
m, D(Xk ) = 2 vi mi k = 1, 2, ... Khi

x
X1 + X2 + + Xn nm
1
u2
lim P
<x =
e 2 du
n
n
2
Chng minh K hiu (t) l hm c trng ca Xk m, khi hm c trng ca
dng tnh cht 6 ca hm c trng v khai trin Taylo n cp 2

t
t2
1
=1
+o
2n
n
n
Do tnh c lp ca X1 , X2 , ..., Xn hm c trng ca
X1 +X2 ++X
n nm
Xk
m
n
bng
!
"n
bng t n
. Suy ra
$n
$n

t2
1
t
t2
+o
= lim 1
= e 2 .
n
n
n
2n
n
lim
20
. ng
y chnh l hm c trng ca phn b chun thuc lp N (0, 1), t tnh cht cui cng ca hm c trng,
suy ra iu phi chng minh.
c bit khi X c phn b nh thc
P (X = k) = Cnk pk q nk , 0 < p < 1, q = 1 p, 0 k n,
ngi ta chng minh c rng
P (A X B)
B np +
npq
1
2
A np
npq
1
2
((.) l hm phn b chun thuc lp N (0, 1))

Cng thc ny cn c gi l nh l Moivre-Laplace.
V d T l hc sinh gii trong mt trng ph thng bng 25%.

1. Tm xc sut khi chn ngu nhin 100 em, s hc sinh gii dao ng t 10 n 20.
2. H1y tm xc sut khi chn ngu nhin 500 em, s hc sinh gii khng t hn 120 em.
Gii:
1. Gi X l s hc sinh gii trong s 100 em chn ra, X c phn b nh thc vi p =0,25 n = 100.
k
P (X = k) = Cnk pk q nk = C100
(0, 25)k (0, 75)100k
trong 0 k 100. Suy ra xc sut cn tm

P (10 X 20) =
20
k
C100
(0, 25)k (0, 75)100k .
k=10
tnh gn ng xc sut trn, p dng cng thc Moivre-Laplace

P (10 X 20) (b) (a).
trong
10 100 0, 25 12
a=
= 3, 58
100 0, 25 0, 75
Vy
20 100 0, 25 + 12
b=
= 1, 04 v
100 0, 25 0, 75
(a) = (3, 58) = 0, 000172
(b) = (1, 04) = 0, 14917
P (10 X 20) 0, 14917 0, 000172 = 0, 148998.

2. Tng t nh phn 1, xc sut cn tm xp x
120 500 0, 25 + 12
1 (
) = 1 (0, 465) = 1 0, 32 = 0, 68.
500 0, 25 0, 75
Ch rng nu X c phn b nh thc m n kh ln v p nh, cng vi gi thit limn np = > 0, khi
cc s hng ca phn b nh thc tin dn ti cc s hng tng ng ca phn b Poisson
lim Cnk pk (1 p)nk = e
k
.
k!
Ni cch khc trong trng hp ny

k
(np)
.
Cnk pk (1 p)nk
= enp
k!
21
V d T l ph phm mt cng ty may mc bng 1,2%. H1y tm xc sut trong mt l hng 500 chic
o s mi, s o b li khng vt qu 11 chic.
p = 0.012 kh nh, p dng cng thc gn ng nu trn
P (X 11)
11
enp
k=0
(np)k
= 0, 98.
k!
Ta c th minh ha s xp x ca phn b nh thc vi phn b Poisson tng ng trong trng hp

p=
1
, n = 64.
32
bng bng so snh di y
k
0
1
2
3
4
5
6
7
8
9
Phn b nh thc
Cnk pk (1 p)nk
0,131
0,271
0,275
0,183
0,090
0,035
0,011
0,003
0,001
0,000
Phn b Poisson
k
enp (np)
k!
0,135
0,271
0,271
0,180
0,090
0,036
0,012
0,003
0,001
0,000
(Cc kt qu trn c tnh bng Mathematica 4.0)
22
Thng k ton
Mu ngu nhin v phn b mu
Xt mt mu ngu nhin
(X1 , X2 , ..., Xn )
tng ng vi i lng ngu nhin X
D(X) = 2 .
E(X) = m,
Gi l i lng ngu nhin:
P ( = xi ) =
1
n
vi mi i = 1, 2, ..., n.
Khi E(), D() c gi l cc c trng mu. Ngi ta k hiu X = E() l k vng mu v S 2 = D()
l phng sai mu. Hin nhin
n
X1 + X2 + ... + Xn
1
X=
Xi
=
n
n i=1
v
S2 =
E(X) =
1
1 2
2
(Xi X)2 =
X X .
n i=1
n i=1 i
n
n
1
1
2
E(Xi ) = m, D(X) = 2
D(Xi ) =
.
n i=1
n i=1
n
tnh k vng ca phng sai mu, ta s dng

n
1 2
1
2
(Xi X)2 =
Xi X .
n i=1
n i=1
Suy ra
1
E(S ) = E
n
2
K hiu
n

(Xi X)2
i=1
1
2
E(Xi2 ) E(X ) =
n i=1

n
2
1 2
n1 2
2
2
(m + ) m +
=
=
.
n i=1
n
n
n
S2 =
Khi
n
1
S2 =
(Xi X)2 .
n1
n 1 i=1
E(S 2 ) =
S 2 c gi l l phng sai mu iu chnh.
n
n1 2
= 2 .
n1
n
E(X) = m = E(X), E(S 2 ) = 2 = D(X),

Nhn xt 4
1. X khng nhng hi t theo xc sut m hi t hu chc chn ti m = E(X).
2. S 2 , S 2 hi t hu chc chn (suy ra cng hi t theo xc sut) ti 2 khi n .
23
2 Cc hm phn b thng gp trong thng k

Hm Gamma, Beta v tnh cht hm Gamma, Beta
A. Tch phn sau hi t vi mi x > 0, y > 0
(x) =
et tx1 dt,
B(x, y) =
tx1 (1 t)y1 dt.
Tch (x) thnh hai tch phn

(x) =
t x1
e t
dt =
t x1
e t
dt +
et tx1 dt = I1 + I2 .
1
Tch phn I1 hi t v vi 0 < x < 1, 0 < t 1, ta c et tx1 < t1x
.
t x+1
t x1
Tch phn I2 hi t v limt+ e t
= 0, suy ra vi t ln e t
<
1
.
t2
B. Tch phn sau hi t vi mi x > 0, y > 0.

B(x, y) =
1
0
tx1 (1 t)y1 dt.
Tch (x) thnh hai tch phn

B(x, y) =
tx1 (1 t)y1 dt =
tx1 (1 t)y1 dt +
tx1 (1 t)y1 dt.
1. (1) = 1.
2. (x + 1) = x(x). Tht vy vi x > 0, xt
(x + 1) =
et tx dt =
3. limx0+ (x) = limx0+
(x+1)
x
tx det = tx et |+
+
0
xtx1 et dt = x(x)
= +.
4. Vi x k > 0, k l s t nhin bt k
(x) = (x 1)(x 2) (x k)(x k) suy ra (n) = (n 1)!
5. Ch rng ( 12 ) =
, suy ra
1
(2n 1)!!
1 3 (2n 1)
(n + ) =
=
2
2n
2n
6. Ta cng nhn kt qu sau ng vi mi s thc x > 0, y > 0

B(x, y) =
(x)(y)
.
(x + y)
Phn b Gamma, Beta

1. Nu Xi N (mi , i2 ),
i = 1, 2, ..., n c lp, khi trung bnh mu

X=
X1 + X2 + + Xn
N (m, 2 )
n
trong
m=
m1 + m2 + + mn
,
n
24
i2 =
12 + 22 + + n2
.
n
2. Phn b ca Y = X 2 vi X N (m, 2 ). Hm mt ca Y
y

y
(y+m2 )
g(y) = (2 2y)1 e 22
em 2 + em 2 .
Nu m = 0
y
1
1
e 22 y 2 .
2 2
Phn b ca Y = X 2 l trng hp c bit ca phn b Gamma: G(y, , p) = const ey y p1 .
g(y) =
3. Phn b Gamma l phn b c hm mt

G(x, , p) =
p
ex xp1 ,
(p)
> 0, p > 0, x > 0.
M men cp k ca phn b Gamma

+
+ p
p
(p + k)
k
x p1
e
ex xk+p1 dx = k
.
x
x dx =
mk =
(p)
(p)
(p)
0
0
V vy k vng v phng sai ca phn b Gamma ln lt bng
m=
p
,
2 = m2 m21 =
(p + 2)
p
p2
= 2.
2
2
(p)
(1)
Bi tp Gi s X phn b u trn on [0, 1]. Chng minh rng Y = ln X c phn b Gamma vi

cc tham s = 1, p = 1.
4. Phn b Beta l phn b c hm mt
B(x, , ) = [B(, )]1 x1 (1 x)1 =
( + )
x1 (1 x)1 ,
()()
0 < x < 1.
c bit B(x, 1, 1) = x l hm mt ca phn b u trn on [0, 1].

Bi tp 1. H1y tnh cc m men cp k ca phn b Beta. ( B(+k,)
B(,) ).
T suy ra k vng v phng sai ca n. (m =
2
+ ,
(+)2 (++1) ).
Bi tp 2. Gi s X v Y c lp c phn b Beta vi cc tham s (1 , 1 ) v (2 , 2 ) tng ng. Chng

minh rng XY cng c c phn b Beta vi cc tham s (2 , 1 + 2 ), nu 1 = 2 + 2 .
Hng dn: Xt php bin i u = xy, v = x. Khi Jacbin bng v1 . Tch phn hm mt chung ca
(U, V ) theo v t u n 1 ta c mt ca XY .
X
c phn b
Bi tp 3. Gi s X G(1 , 1) v Y G(2 , 1) c lp c phn b Gamma. Khi u = X+Y
Beta vi cc tham s (1 , 2 ).
x
, v = y. Tch phn hm mt chung theo v t 0 n .
Hng dn: Xt php bin i u = x+y
nh l 9 Nu X G(, p1 ), Y G(, p2 ) c lp, khi r = X + Y v f =
r G(, p1 + p2 ) v hm mt ca f bng
X
Y
cng c lp. Ngoi ra
(p1 + p2 )
f p1 1
.
(p1 )(p2 ) (1 + f )p1 +p2
Chng minh. Hm mt ca (X, Y ) bng
i bin x = r sin2 , y = r cos2 ,

r sin 2. Mt ca (r, ) bng
c exy xp1 1 y p2 1 .
0 < r < +, 0 < <
2,
khi Jacobien ca (x, y) bng J(r, ) =
c er rp1 +p2 1 (sin )2p1 1 (cos )2p2 1 ,
(2)
2
iu chng t r v c lp. Suy ra r = X + Y v f = X
Y = tg cng c lp. T biu thc (2) hin
nhin r G(, p1 + p2 ).
xc nh hm mt ca f , ta s dng php i bin = arctg f , ta thu c kt qu
f p1 1
(p1 + p2 )
.
(p1 )(p2 ) (1 + f )p1 +p2
1

1
, khi 0 up2 1 (1 u)p1 1 du = 0
Ch rng vi php bin i u = 1+f
25
f p1 1
(1+f )p1 +p2
df .
1. Phn b 2 .
Nu Xi N(0, 1), i = 1, 2, ..., n c lp, khi phn b ca X12 + X22 + + Xn2 c gi l phn
b 2 vi n bc t do. Ngi ta thng k hiu 2 (n) l lp cc i lng ngu nhin c phn b 2 vi
n bc t do. y l trng hp c bit ca phn b Gamma ( = 12 , p = n2 ) vi hm mt
1 n
x
n
1
G(x, , ) = n n e 2 x 2 1 ,
2 2
2 2 ( 2 )
x > 0.
Do ng thc (1), k vng v phng sai ca phn b 2 (n) ln lt bng

2 = 2n.
m = n,
2. Phn b F .
Nu X1 2 (m), X2 2 (n) c lp, khi phn b ca

F =
1
m X1
1
n X2
c gi l phn b F vi (m, n) bc t do.

Mt ca
X1
X2
bng
m
( m+n
f 2 1
2 )
.
m
n
( 2 )( 2 ) (1 + f ) m+n
2
Mt ca phn b F vi (m, n) bc t do bng

m
n
m
2
( m+n
x 2 1
2 )
.
m
n
( 2 )( 2 ) (1 + mx ) m+n
2
n
3. Phn b Student (hay cn gi l phn b t).

Nu X 2 (n) v Y N (0, 1) c lp, khi phn b ca
Y
T =
n
X
c gi l phn b T (hay phn b Student) vi n bc t do. Phn b ng thi ca (Y, X) bng
c e
y2
2
e 2 x 2 1 .
i bin y = r sin , x = r2 cos2 , 0 < r < +, 2 < <

J(r, ) = 2r2 cos . Mt ca (r, ) bng
c e
r2
2
2,
khi Jacobien ca (x, y) bng
rn (cos )n1 ,
iu chng t r v c lp. Ch rng h s c ca c(cos )n1 bng c = [B( 12 , n2 )]1 . xc

nh hm mt ca T , ta s dng php i bin
ny
t
t = = ntg hay = arctg ,
x
n
ta c hm mt ca phn b T vi n bc t do

$1
n+1
n+1

2
2
( n+1
1 n
t2
t2
2 )
S(t, n) =
nB
,
1+
=
1+
.
n
1
2 2
n
n
n( 2 )( 2 )
Nu
X
2
2 (n) v Y N (m, 2 ) c lp, khi

Y m
T =
n
X
c phn b Student vi n bc t do.

K hiu S(n) l lp cc i lng ngu nhin c phn b Student vi n bc t do.
26
4. Phn b ca trung bnh mu v phng sai mu.

Nu Xi N (m, 2 ), i = 1, 2, ..., n c lp, khi

X1 + X2 + + Xn
2
X=
N m,
n
n
n 1 2
n 2
S =
S 2 (n 1).
2
Tht vy, k hiu X = (X1 , ..., Xn )T v xt php bin i trc giao Y = AX vi ( 1n , 1n , , 1n ) l

hng th nht ca A. Khi
(a)
Y1 = X n

2
(b) Y12 + + Yn2 = X12 + + Xn2 = (Xi X)2 + nX Y22 + + Yn2 = (n 1)S 2
(c) Vi vc t m = (m, m, ..., m), ta c A(X m) = Y (m n, 0, ..., 0) = (Y1 m n, Y2 , ..., Yn ).

Suy ra
(Y1 m n)2 + Y2 + + Yn2 = (X1 m)2 + (X2 m)2 + + (Xn m)2 .

Bit hm mt ca X bng
c e
Vy mt ca Y bng

(xi m)2
22
2
(y1 m n)2 +y2 ++yn
22
c e
.
2
2
iu chng t Y1 = X n N (m n, ), Yi N (0, ), i = 2, ..., n c lp v
Y 2 + + Yn2
(n 1)S 2
= 2
2 (n 1).
2
2
By gi ta suy ra h qu quan trng: T c phn b Student vi n 1 bc t do, vi
T =
X m
X m
n=
n 1.
S
S
Tht vy T bng thng ca 2 i lng ngu nhin

T =
trong
Xm
n
N (0, 1)
S n
X m
n1
n:
nS 2
2
(n1)S 2
2
27
2 (n 1).
3 Khong tin cy cho gi tr trung bnh

(a) Mu c phn b chun vi phng sai 2 1 cho. Khong tin cy cho gi
tr trung bnh, vi tin cy 1
X u < m < X + u ,
n
n
trong u c xc nh t h thc P (|u| u ) = ,
u N(0, 1).
(b) Mu c phn b chun vi phng sai cha bit. Khong tin cy cho gi tr
trung bnh, vi tin cy 1
S
S
X t < m < X + t ,
n
n
trong t c xc nh t h thc P (|t| t ) =
(t c phn b Student vi n 1 bc t do.)
Nu kch thc mu ln (n 30), mc d phn b mu c th khng

l phn b chun, tuy nhin p dng lut gii hn trung tm ta c th
s dng cng thc sau tnh khong tin cy cho gi tr trung bnh,
tin cy 1
S
S
X u < m < X + u ,
n
n
u N(0, 1).
4 Khong tin cy cho xc sut

Cho bin c ngu nhin vi xc sut p cn phi c lng. Gi thit p% = nk
l tn sut xut hin ca bin c . (Kch thc mu ln - thng thng
n 40). Khi vi tin cy 1 , khong tin cy cho xc sut
u
u
p%
p%(1 p%) < p < p% +
p%(1 p%),
n
n
u N(0, 1).
5 Khong tin cy cho phng sai ca phn b chun

Mu c phn b chun vi phng sai 2 cn phi c lng. Vi tin cy
1 , khong tin cy cho 2
nS 2
nS 2
2
<
<
2
21
2
trong 2 c xc nh t h thc P (2 > 2 ) = ,

(2 l i lng ngu nhin c phn b 2 vi (n 1) bc t do).
28
6 Khong tin cy cho hiu cc gi tr trung bnh ca phn b chun

6.1 Trng hp phng sai bit
Gi (X1 , X2 , ..., Xm ) l mu ngu nhin tng ng vi i lng ngu nhin X N (m1 , 12 ), (Y1 , Y2 , ..., Yn )
l mu ngu nhin tng ng vi i lng ngu nhin Y N (m2 , 22 ). Cc tham s m1 , m2 cha bit v
12 , 22 l cc tham s 1 bit. Gi thit tip cc i lng ngu nhin
X1 , X2 , ..., Xm ,
Y1 , Y2 , ..., Yn
c lp nhau.
D dng nhn thy
E(X Y ) = m1 m2
D(X Y ) = D(X) + D(Y ) =
12
2
+ 2
m
n
Suy ra
u=
(X Y ) (m1 m2 )
&
12
22
m + n
c phn b chun, thuc lp N(0,1).

Khong tin cy cho hiu cc gi tr trung bnh m1 m2 vi tin cy 1
(X Y ) u
2
12
+ 2 < m1 m2 < (X Y ) + u
m
n
trong u c xc nh t h thc P ((|u| u ) = ,
2
12
+ 2,
m
n
u N (0, 1).
Nu n1 , n2 ln ( 30), ta xp x cng thc trn cho hiu cc gi tr

trung bnh m1 m2 c trong trng hp cc mu M cho khng tun theo
phn b chun, s dng S1 v S2 thay cho 1 , 2 tng ng trong cng
thc trn.
6.2 Trng hp cc phng sai cha bit v bng nhau

Gi (X1 , X2 , ..., Xm ) l mu ngu nhin tng ng vi i lng ngu nhin X N (m1 , 2 ), (Y1 , Y2 , ..., Yn )
l mu ngu nhin tng ng vi i lng ngu nhin Y N(m2 , 2 ). (Chng c phng sai bng nhau).
Cc tham s m1 , m2 , 2 cha bit v gi thit rng cc i lng ngu nhin
X1 , X2 , ..., Xm ,
Y1 , Y2 , ..., Yn
c lp nhau.
D dng nhn thy
E(X Y ) = m1 m2
2
2
D(X Y ) = D(X) + D(Y ) =
+
=
m
n

m+n
mn
2
Suy ra
u=
(X Y ) (m1 m2 )
&
m+n
mn
c phn b chun, thuc lp N(0,1). D dng chng minh c

2
+ nSY2
mSX
m+n2
29
l c lng khng chch ca 2 . Ngi ta chng minh c rng (thay 2 trong thng k trn bng c lng
ca n)

(X Y ) (m1 m2 )
mn(m + n 2) (X Y ) (m1 m2 )

t= & 2
=
&
2
2
mSX +nSY
m+n
m+n
mSX
+ nSY2
m+n2
mn
c phn b Student vi m + n 2 bc t do.

c bit khi hai gi tr trung bnh bng nhau m1 = m2

mn(m + n 2)
X Y

2
m+n
mSX
+ nSY2
cng c phn b Student vi m + n 2 bc t do.
Khong tin cy cho hiu cc gi tr trung bnh m1 m2 vi tin cy 1 bng
t=
2
n
2
Mu {Xi }m
i=1 N (m1 , ) {Yi }i=1 N(m2 , ), c phn b chun vi
2
phng sai cha bit. Gi thit cc phn t mu c lp nhau.

m+n
m+n
(X Y ) S.t
< m1 m2 < (X Y ) + S.t
,
mn
mn
trong k hiu S 2 =
2
mSX
+ nSY2
v t c xc nh t h thc
m+n2
P (|t| t ) = (t c phn b Student vi m + n 2 bc t do.)
7 Kim nh gi thit v gi tr trung bnh (trng hp 2 bit)

Bi ton 1 v quy tc kim nh
Mu c phn b chun vi phng sai 2 1 cho. Kim nh gi thit v k
vng mu, mc ngha
(H) : m = m0 ,
vi i thit
(K) : m = m0 .

X m0

Quy tc: Bc b (H) nu
n = |uqs | > u ,
u N(0, 1).
Bi ton 2 v quy tc kim nh

vng mu, mc ngha
(H) : m = m0 ,
vi i thit
(K) : m > m0 .
X m0
n = uqs > u ,
c xc nh t h thc P ((u u ) = , u N (0, 1).
Quy tc: Bc b (H) nu

trong u
30

vng mu, mc ngha
(H) : m m0 ,
vi i thit
(K) : m > m0 .
X m0
n = uqs > u ,
Quy tc: Bc b (H) nu

trong u

vng mu, mc ngha
(H) : m = m0
hoc
(H) : m m0
vi i thit
(K) : m > m0 .
X m0
n = uqs > u ,
Quy tc: Bc b (H) nu

trong u
Hon ton tng t, chng ta s xt bi ton kim nh 1 pha na
Bi ton 3

vng mu, mc ngha
(H) : m = m0
hoc
(H) : m m0
vi i thit
(K) : m < m0 .
X m0
n = uqs < u ,
Quy tc: Bc b (H) nu

trong u
31
8 Kim nh gi thit v gi tr trung bnh (trng hp 2 cha bit)

Mu c phn b chun vi phng sai 2 cha bit. Kim nh gi thit v k
vng mu, mc ngha
(a) Bi ton 1
(H) : m = m0
vi i thit
(K) : m = m0 .

X m0
> t ,
n
Quy tc: Bc b (H) nu

S

(b) Bi ton 2
(H) : m = m0
hoc
(H) : m m0
vi i thit
(K) : m > m0 .
X m0
n > t ,
S
c xc nh t h thc P (t t ) =
Quy tc: Bc b (H) nu tqs =

trong t

(c) Bi ton 3
(H) : m = m0
hoc
(H) : m m0
vi i thit
(K) : m < m0 .
X m0
n < t ,
S
c xc nh t h thc P (t t ) =
Quy tc: Bc b (H) nu tqs =

trong t
32
9 Kim nh gi thit v s bng nhau ca cc gi tr trung bnh

9.1 Trng hp phng sai bit
2
n
2
Mu {Xi }m
i=1 N (m1 , 1 ) {Yi }i=1 N(m2 , 2 ), c phn b chun vi
2
2
phng sai 1 , 2 1 bit. Kim nh gi thit v k vng mu, mc ngha
(a) Bi ton 1
(H) : m1 = m2
vi i thit
(K) : m1 = m2 .

X Y
> u ,
Quy tc: Bc b (H) nu & 2

1 + 22
m
trong u c xc nh t h thc P ((|u| u ) = ,
u N (0, 1).
(b) Bi ton 2
(H) : m1 = m2
hoc
(H) : m1 m2
vi i thit
(K) : m1 > m2 .
Quy tc: Bc b (H) nu
X Y
&
> u ,
12
22
+
m
n
trong u c xc nh t h thc P ((u u ) = ,
u N (0, 1).
(c) Bi ton 3
(H) : m1 = m2
hoc
(H) : m1 m2
vi i thit
(K) : m1 < m2 .
Quy tc: Bc b (H) nu
X Y
&
< u ,
12
22
+
m
n
trong u c xc nh t h thc P ((u u ) = ,
u N (0, 1).
Nu mu c kch thc ln (m, n > 30), mt cch xp x kh tt l

p dng quy tc nu trn kim nh gi thit khng, k c trng hp
phn b mu khng c phn b chun, thay cc phng sai 12 , 22 trong
2
v SY2 .
thng k u bng cc phng sai mu iu chnh SX
33
9.2 Trng hp cc phng sai cha bit v bng nhau
2
n
2
Mu {Xi }m
i=1 N (m1 , ) {Yi }i=1 N(m2 , ), c phn b chun vi
2
phng sai cha bit. Kim nh gi thit v k vng mu, mc ngha
(a) Bi ton 1
(H) : m1 = m2
vi i thit
(K) : m1 = m2 .

mn(m + n 2)
X Y

Quy tc: Bc b (H) nu

2

m+n
mSX
+ nSY2

> t ,

(t c phn b Student vi m + n 2 bc t do.)

(b) Bi ton 2
(H) : m1 = m2
hoc
(H) : m1 m2
vi i thit
(K) : m1 > m2 .

mn(m + n 2)
X Y

> t ,
Quy tc: Bc b (H) nu
2 + nS 2
m+n
mSX
Y
trong t c xc nh t h thc P (t t ) =
(c) Bi ton 3
(H) : m1 = m2
hoc
(H) : m1 m2
vi i thit
(K) : m1 < m2 .

mn(m + n 2)
X Y
Quy tc: Bc b (H) nu

< t ,
2 + nS 2
m+n
mSX
Y
trong t c xc nh t h thc P (t t ) =
34
10 Kim nh gi thit v s bng nhau ca cc phng sai
2
n
2
Gi s {Xi }m
i=1 N(m1 , X ) {Yi }i=1 N (m2 , Y ) l cc mu hon ton
c lp, c phn b chun. Kim nh gi thit v cc phng sai, vi mc
2
ngha . Ta sp xp sao cho SX
> SY 2
(a) Bi ton 1
2
(H) : X
= Y2
vi i thit
2
(K) : X
= Y2 .
Quy tc: Bc b (H) nu
2
SX
> F/2 ,
SY 2
2
l i lng ngu nhin phn b F vi m 1, n 1 bc t do.)
trong F/2 c xc nh t h thc P (F F/2 ) =

(F
(b) Bi ton 2
2
(H) : X
= Y2
hoc
2
(H) : X
Y2
vi i thit
2
(K) : X
> Y2 .
Quy tc: Bc b (H) nu
2
SX
> F ,
SY 2
trong F c xc nh t h thc P (F F ) =
(F
l i lng ngu nhin phn b F vi m 1, n 1 bc t do.)
11 Kim nh gi thit v xc sut ca bin c ngu nhin

Gi sA l bin c ngu nhin c xc sut P (A) = p cha bit. Ta s dng c lng
p% = X =
X1 + X2 + + Xn
n
trong Xi bng 1 hoc 0 ty theo bin c A xy ra hoc khng xy ra php th ngu nhin th i, i = 1, 2, ..., n.
(%
p thc cht l tn sut xut hin ca bin c A). Khi n%
p c phn b nh thc vi
E(n%
p) = np,
D(n%
p) = npq, q = 1 p
vi mc ngha cho trc

Ta 1 bit, theo nh l gii hn trung tm
n%
p np p% p
= n
npq
pq
c phn b xp x chun ( N (0, 1)) khi n ln. V vy s dng thng k

u = uqs =
p% p0
n
,
p0 (1 p0 )
u c phn b xp x chun N(0,1), khi gi thit (H): p = p0 ng.
35
Kim nh gi thit v xc sut ca bin c ngu nhin.
Gi thit kch thc mu n ln (n 40). Kim nh gi thit v xc sut,

mc ngha
(a) Bi ton 1
(H) : p = p0
vi i thit
(K) : p = p0 .

p% p0

Quy tc: Bc b (H) nu n
> u ,

p0 (1 p0 )
trong u c xc nh t h thc P (|u| u ) =

(u
c phn b chun u N (0, 1).)
(b) Bi ton 2
(H) : p = p0
hoc
(H) : p p0
vi i thit
(K) : p > p0 .
p% p0
n
> u ,
p0 (1 p0 )
Quy tc: Bc b (H) nu
trong u c xc nh t h thc P (u u ) =
(u
(c) Bi ton 3
(H) : p = p0
hoc
(H) : p p0
vi i thit
(K) : p < p0 .
Quy tc: Bc b (H) nu
p% p0
n
< u ,
p0 (1 p0 )
trong u c xc nh t h thc P (u u ) =
(u
Trong bi ton 2, bi ton 3, u c xc nh t h thc

P (u > u ) =
trong khi bi ton 1, u c xc nh t h thc

P (|u| > u ) =
36
12 Kim nh gi thit v tnh ph hp ca hm phn b

Gi thit mu ngu nhin gm n phn t mu. Cc phn t mu c phn loi
thnh r nhm: mi nhm cha ni phn t mu, mi phn t mu ch thuc mt
nhm duy nht
r

n = n1 + n2 + ... + nr =
ni .
i=1
Xt bi ton kim nh mc ngha , gi thit khng sau y:
(H) : Xc sut mi phn t mu thuc nhm th i bng pi

r

(
pi = 1).
vi mi i = 1, 2, ..., r
i=1
Quy tc: Bc b (H) nu
Q2 =
r

(ni npi )2
npi
i=1
trong
> 2 ,
c xc nh t h thc P (2 > 2 ) = ,
(2 l i lng ngu nhin c phn b 2 vi r 1 bc t do).
Ngi ta cng s dng phn b 2 kim nh cc bi ton v tnh ph hp ca hm phn b. Xt bi

ton kim nh gi thit:
(H): Mt i lng ngu nhin X no c phn b dng F (x, ) vi i thit ngc li.
Gi s tham s = (1 , 2 , ..., k ) l vc t, gm k tham s to thnh (chng hn nh dng phn b
chun F (x, ) = F (x, m, 2 ) N (m, 2 ) gm 2 tham s thnh phn).
gii bi ton , ngi ta chn mt mu ngu nhin
(X1 , X2 , ..., Xn )
tng ng vi i lng ngu nhin X v chia cc phn t mu vo r nhm: mi nhm cha ni phn t mu,
mi phn t mu ch thuc mt nhm duy nht
n = n1 + n2 + ... + nr =
r
ni .
i=1
Gi s pi l xc sut i lng ngu nhin X nhn cc gi tr thuc nhm th i, i = 1, 2, ..., r vi iu kin

gi thit (H) ng. Khi
1 = p1 + p2 + ... + pr
Hin nhin ni l i lng ngu nhin c phn b nh thc vi k vng E(ni ) = npi . Xt thng k
Q2 =
r

(ni np%i )2
np%i
i=1
trong p%i , i = 1, 2, ..., r l xc sut X nhn cc gi tr thuc nhm th i, xc sut c tnh thng qua
% m
% = (
'1 ,
'2 , ...,
'k ) l cc c lng hp l cc i ca cc tham s 1 , 2 , ..., k .
hm phn b F (x, )
Ngi ta 1 chng minh c rng vi n ln v gi thit (H) l ng khi Q2 s c phn b xp x
phn b 2 vi r k 1 bc t do, k l s tham s ca phn b F (x, ) trong gi thit (H).
(Gi s phn b F (x, ) l phn b chun N (m, 2 ), c coi nh vc t (m, 2 ) v s tham s ca
phn b bng k = 2, trng hp F (x, ) l phn b m chng hn s tham s ca phn b l k = 1,...)
Min bc b ca kim nh do vy l
W = {(X1 , X2 , ..., Xn ) Rn /
37
r

(ni np%i )2
i=1
np%i
> 2 }.
trong 2 c xc nh t h thc P (2 > 2 ) = , (2 l i lng ngu nhin c phn b 2 vi r k 1

bc t do). Ta tm tt quy tc trn trong bng sau
Kim nh s ph hp vi hm phn b cha tham s cha bit.

Gi thit mu ngu nhin gm n phn t mu. Cc phn t mu c phn loi
thnh r nhm: mi nhm cha ni phn t mu, mi phn t mu ch thuc mt
nhm duy nht
r

n = n1 + n2 + ... + nr =
ni .
i=1
Xt bi ton kim nh mc ngha , gi thit khng sau y:
(H) : Mu ngu nhin c phn b dng F (x, )
Q2 =
Quy tc: Bc b (H) nu
r

(ni np%i )2
i=1
np%i
> 2 ,
trong p%i , i = 1, 2, ..., r l xc sut X nhn cc gi tr thuc nhm th i,

% m
% = (
'1 ,
'2 , ...,
'k )
xc sut c tnh thng qua hm phn b F (x, )
l cc c lng hp l cc i ca cc tham s 1 , 2 , ..., k .
Phn v 2 c xc nh t h thc P (2 > 2 ) = ,
(2 l i lng ngu nhin c phn b 2 vi r k 1 bc t do).
13
Kim nh v tnh c lp
Ngi ta c th kim nh v tnh c lp ca cc bin c ngu nhin, cc i lng ngu nhin. Chng ta trnh
by vn di dng sau y:
Cho hai h y cc bin c
A1 , A2 , ..., Ar ; B1 , B2 , ..., Bs .
H1y kim nh gi thit hai h c lp:
(H): P (Ai Bj ) = P (Ai )P (Bj ) vi mi i = 1, 2, ..., r; j = 1, 2, ..., s.
Xt mt mu ngu nhin c n (mu gm n phn t mu). Ta a vo cc k hiu sau:
nij l s ln xy ra bin c tch Ai Bj trong tp hp cc phn t mu.
s
ni. = j=1 nij l s ln xy ra bin c Ai .
r
n.j = i=1 nij l s ln xy ra bin c Bj .
Hin nhin
r
s

ni. =
n.j = n
i=1
j=1
s
r
nij = n.
i=1 j=1
38
Cc s nij c xp vo bng sau y:

j
i
1
2
.
.
.
r
Tng
. . .
Tng
n11
n21
n12
n22
nr2
n.2
n1s
n2s
.
.
.
nrs
n.s
n1.
n2.
nr1
n.1
nr.
n
Ta tm tt quy tc kim nh trong bng sau
Kim nh v tnh c lp.

Cho hai h y cc bin c
A1 , A2 , ..., Ar ;
B1 , B2 , ..., Bs .
H1y kim nh gi thit hai h c lp, vi mc ngha bng :

(H) :
P (Ai Bj ) = P (Ai )P (Bj ) vi mi i = 1, 2, ..., r; j = 1, 2, ..., s.

Quy tc: Bc b (H) nu
s
r

nij
i=1 j=1
ni. n.j 2
n
ni. n.j
n
> 2 ,
trong 2 c xc nh t h thc P (2 > 2 ) = ,

(2 l i lng ngu nhin c phn b 2 vi (r 1)(s 1) bc t do).
Ch rng xp x tng i tt nu
ni. n.j
n2
5 vi mi i, j .
39
14 H s tng quan mu
Trong l thuyt xc sut, chng ta bit rng o mi quan h gia hai hoc nhiu i lng ngu nhin, ngi
ta thng tnh cc h s tng quan gia chng.
(X, Y ) =
cov(X, Y )
E[(X E(X))(Y E(Y ))]

.
=
x y
D(X) D(X)
Nu X v Y l hai i lng ngu nhin c lp khi h s tng quan (X, Y ) = 0. Trng hp

|(X, Y )| = 1, gia X v Y c mi quan h ph thuc tuyn tnh Y = aX + b. Trong thng k, thay v hai
i lng ngu nhin X, Y ta xt mu ngu nhin
(X1 , Y1 ), (X2 , Y2 ), ..., (Xn , Yn )
C th coi chng nh cc im ngu nhin trn mt phng to . H s tng quan mu c nh ngha
n
n
1
1
(xi x)(Yi Y )
xi Y i x Y
r = n i=1
= n i=1
.
Sx SY
Sx SY
2
SX
, SY2 l phng sai mu ca X, Y tng ng
n
2
SX
=
D dng chng minh c

1 n
r=
1
1 2
1
1 2
2
2
(Xi X)2 =
Xi X , SY2 =
(Yi Y )2 =
Y Y .
n i=1
n i=1
n i=1
n i=1 i
i=1 (xi x)(Yi
Sx SY
n1
Y)
n
xi Yi nx Y
.

n
2 nX 2
2 nY 2
X
Y
i=1 i
i=1 i
=
n
i=1
Chng hn ta xt bi ton d bo nh l hng nm trn sng Hng ti H ni, ngi ta thu thp cc s liu
hng nm v lng ma trong thng Su trn thng ngun sng Hng (Xi ) v nh l tng ng vi nm
ti H ni (Yi ). Cc s liu gi nh nhm gip c gi nghin cu cch s dng hi quy trong cng vic d
bo c cho trong bng di y
STT
1
2
3
4
5
6
7
8
9
10
11
12
Nm
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
Lng ma (X)
720
720
730
590
660
780
770
710
640
670
520
660
nh l (Y )
1405
1405
1439
1133
1272
1519
1524
1364
1253
1324
1002
1303
STT
13
14
15
16
17
18
19
20
21
22
23
24
Nm
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
Lng ma (X)
690
500
460
610
710
620
660
620
590
740
640
805
nh l (Y )
1337
960
879
1176
1382
1178
1271
1194
1161
1449
1225
1377
Nu ta minh ho cc cp s liu (xi , yi ), i = 1, 2, ..., 24 trong bng trn bng cc im trn mt phng,
chng ta cm nhn thy mt mi lin h gia lng ma (X) hng nm v nh l ti H ni (Y ), lng ma
cng ln th l do ma gy nn cng cao. H s tng quan mu s gii thch mi quan h gia hai i lng:
lng ma hng nm v nh l ti H ni. tnh h s tng quan mu gia chng, ta tnh cc c trng k
vng mu v phng sai mu ca X v Y
x
1
n
n
i=1
Sx2
y
xi
658,95833
1
n
n
i=1
yi
1272,16667
1
n
n
i=1 (xi
Sy2
x)2
85, 024252
40
1
n
n
i=1 (yi
y)2
163, 50712
H s tng quan mu do vy bng

r=
1
n
n
x)(yi y)
= 0, 97045.
Sx Sy
i=1 (xi
Da vo h s tng quan mu, sau ny ngi ta gii thch c mc lin h gia hai i lng ngu
nhin X v Y khi biu din chng thng qua mi quan h tuyn tnh.
15 Hi quy bnh phng trung bnh tuyn tnh

Gi s
(X1 , Y1 ), (X2 , Y2 ), ..., (Xn , Yn )
l mu ngu nhin tng ng vi hai i lng ngu nhin X v Y . Chng hn khi xt bi ton d bo nh
l hng nm trn sng Hng ti H ni 1 ni trong mc trc. Chng ta cm nhn c mi lin h gia
lng ma (X) hng nm v nh l ti H ni (Y ), tuy nhin khng c thng tin no hn v mi lin h thc
gia X v Y , khi ta gi thit gia chng c mi quan h tuyn tnh (bc nht). Mt khc do chng ta
xem lng ma v nh l l cc i lng ngu nhin, v vy khi d bo lng ma Y vi iu kin lng
ma X bng mt gi tr x no , ta ch c th kho st hm phn b c iu kin ca Y . (X cn gi l
bin c lp v Y c gi l bin ph thuc). c trng quan trng ca phn b c iu kin l k vng c
iu kin E(Y /X = x). V vy trong chng ny chng ta hn ch ch xt trng hp k vng c iu kin
E(Y /X = x) l hm tuyn tnh i vi X
E(Y /X = x) = x + .
Ch rng khi X tng 1 n v, k vng c iu kin ca Y s tng

E(Y /X = x + 1) = (x + 1) + = x + + = E(Y /X = x) + .
ch ra c s ph thuc hm , vi thng tin duy nht l cc cp s liu (xi , yi ), i = 1, 2, ..., n, trong bi
ton hi quy ngi ta coi xi l cc biu hin c th ca bin ngu nhin X, yi l cc biu hin c th ca bin
ngu nhin ph thuc Yi tng ng. Do ng thc trn, k vng c iu kin ca Yi tho m1n
E(Yi /X = xi ) = xi +
i = 1, 2, ..., n.
Nh vy sai s gia Yi v k vng c iu kin E(Yi /X = xi ), k hiu

i = Yi E(Yi /X = xi ) = Yi (xi + )
l i lng ngu nhin c k vng bng 0
E(i ) = E(Yi ) E(E(Yi /X = xi )) = E(Yi ) E(Yi ) = 0.
Vy
mu hi quy tuyn tnh ca Y i vi X c tm tt nh sau:
i lng ngu nhin c lp X nhn cc gi tr xi , khi

Yi = xi + + i
(3)
i = 1, 2, ..., n.
trong , l cc h s cn c lng, y = x + c gi l ng thng hi quy, i l i lng

ngu nhin c k vng E(i ) = 0.
Ta gi a, b l cc c lng bt k ca cc h s , tng ng. Khi ng thng hi quy c c

lng l ng thng
y = ax + b.
lch (hay tm gi l sai s) gia yi vi ng thng trn ti im xi , k hiu ei bng
ei = yi (axi + b).
41
lch ny c th dng hoc m tu theo gi tr mu (xi , yi ) l im nm trn hoc nm di ng thng

c lng y = ax + b. Mt trong cc phng php c lng c nhiu u im l tm cc c lng a, b ca
, sao cho tng bnh phng cc lch ei t gi tr nh nht. Ngi ta gi phng php c lng nh
vy l phng php bnh phng b nht. ng thng hi quy nhn c t phng php bnh phng b
nht cn c gi l hi quy bnh phng trung bnh tuyn tnh.
Cc c lng a, b ca v da trn phng php bnh phng b nht, tc l lm cc tiu hm
u(a, b) =
n

(Yi axi b)2 .
i=1
Bi ton trn c th gii mt cch d dng bng cch tm im dng ca hm u(a, b) :

n
u
= 2 i=1 (Yi axi b)xi = 0
a
n
u
i=1 (Yi axi b) = 0
b = 2
T phng trnh th hai suy ra
(4)
b = Y ax.
Thay b vo phng trnh th nht, khi
n
n

[(Yi Y ) a(xi x)]xi =
[(Yi Y ) a(xi x)](xi x) = 0.
i=1
i=1
Suy ra
a=
n
(x x)(Yi
i=1
n i
2
i=1 (xi x)
Y)
n
SY
i=1 xi Yi nxY
=
=r
,
n
2 nx2
Sx
x
i=1 i
trong r l h s tng quan mu

1 n
i=1 (xi x)(Yi Y )
n
r=
=
Sx SY
1
n
n
xi Y i x Y
.
Sx SY
i=1
(5)
(6)
2
SX
, SY2 l phng sai mu ca X, Y tng ng
n
1
1 2
2
(Xi X)2 =
Xi X ,
n i=1
n i=1
2
SX
=
SY2
1
1 2
2
=
(Yi Y )2 =
Y Y .
n i=1
n i=1 i
(7)
Vy hm hi quy bnh phng trung bnh tuyn tnh c dng

y = ax + b = y + r
Sy
(x x).
Sx
Tr li v d v d bo l, ta 1 tnh
x = 658, 95833,
y = 1272, 16667,
Sx = 85, 02425,
Sy = 163, 5071
H s tng quan mu r = 0, 97045. p dng cng thc tnh cc h s a v b ca ng thng hi quy

y = ax + b
Sy
a=r
= 1, 86623
Sx
Sy
b = y rx
= 42, 39808.
Sx
Vy ng thng hi quy ca Y i vi X
y = 1, 86623x + 42, 39808.
Ta pht biu nh l sau
42
nh l 10 [nh l Gauss-Markov]
Gi thit rng theo (3) mu hi quy tuyn tnh ca Y i vi X :
Yi = xi + + i
i = 1, 2, ..., n
tho mMn
E(i ) = 0,
D(i ) = 2 ,
vi mi
E(i j ) = 0,
i = j, i, j = 1...n
Khi cc c lng a, b ca v theo phng php bnh phng b nht l cc c lng khng chch
c phng sai nh nht. Hn na vi mi
s thc u v v, ua + vb cng l c lng c phng sai nh nht
trong s tt c cc c lng tuyn tnh
pi Yi = P Y khng chch ca u + v.
Theo (4) v (5) a v b l cc hm tuyn tnh ca Yi
n
(x x)(Yi Y )
n i
a = i=1
,
2
i=1 (xi x)
b = Y ax.
Vy
E(a) = E
n
(x x)(Yi
i=1
n i
2
i=1 (xi x)
Y)
n
i x)(E(Yi )
i=1 (x
n
2
i=1 (xi x)
E(Y ))
E(b) = E(Y ax) = ax + ax = .
n
(x x)(xi
i=1
ni
2
i=1 (xi x)
x)
Hay a, b l cc c lng khng chch ca v .
E(b) = ,
E(a) = .
Nhn xt rng
E(b) = ,
E(a) = ,
D(b) =
2
,
n
D(a) =
2
.
nSx2
nh l 11 Vi cc iu kin ca nh l Gauss-Markov, k vng ca tng bnh phng sai s

E(SSE) = (n 2) 2
Ni cch khc nu k hiu
SSE
=
n2
(SSE =
n

[yi (axi + b)]2 .)
i=1

nSY2 (1 r 2 )
=
,
n2
khi 2 l c lng khng chch ca 2 , cn c gi l sai s chun (Standard Error).
c lng cho phng sai ca c tnh nh sau:

n
1 n
(xi x)(Yi Y ) xi x
SY
a=r
= n i=1
=
Yi .
Sx
Sx2
nSx2
i=1
t Ci =
xi x
2 ,
nSx
vi mi gi tr c nh ca xi , phng sai ca h s a bng

D(a) = D
n

xi x
i=1
nSx2
Yi
n
n

2
= D(
Ci Yi ) = 2
Ci2 =
.
nSx2
i=1
i=1
S dng nh l trn, k hiu

s2a =
2
SSE
=
nSx2
n(n 2)Sx2
ta c s2a l c lng khng chch ca D(a), do vy sa c coi l sai s trung bnh ca h s gc ca

phng trnh ng thng hi quy.
43
Ch rng nu cng vi cc iu kin ca nh l Gauss-Markov, ta gi thit thm i (sai s trong mu hi

quy) c phn b chun, khi thng k
a
t=
sa
c phn b Student vi n 2 bc t do. Do vy khong tin cy ca cn c th vit di dng
(8)
a t s a < < a + t s a .
Cng da trn c s t c phn b Student vi n 2 bc t do, ta c th kim nh cc gi thit
H0 :
hoc
= 0
H0 :
0
vi i thit
H1 :
> 0 ,
a 0
> t .
sa
(Cc kim nh mt pha khc hoc kim nh 2 pha cng theo quy tc tng t 1 bit).
theo quy tc bc b
H0
nu
tqs =
c bit nu gi thit = 0, Yi = + i khi E(Yi ) = khng b nh hng bi bin c lp X. Ni

cch khc s bin thin ca bin ph thuc Y hon ton khng mt phn no c th gii thch bng mi quan
h tuyn tnh vi X.
Nhn xt rng khi = 0, tqs = saa l gi tr quan st (t Stat) ng vi h s gc trong bng
ANOVA phn tch hi quy.
Tng t xt h s t do ca hi quy trung bnh tuyn tnh thc nghim
n
n
n
1

SY
1
xi x
i=1 (xi x)(Yi Y )
n
=Y x
=
Y
Yi x.
b = Y rx
i
2
Sx
Sx
n i=1
nSx2
i=1
t Ci =
xi x
2 ,
nSx
khi
b=
n

1
i=1
Ci x Yi .
Suy ra vi mi gi tr c nh ca xi , phng sai ca h s b bng

2

n
n
n

1
1
1
x2
Ci
2
2
2 2
2
D(b) =
2 x + Ci x =
.
Ci x =
+
n
n2
n
n nSx2
i=1
i=1
i=1
K hiu
s2b = 2
n

1
i=1
x2
nSx2

2 ( ni=1 x2i )
(1 r2 )SY2 (Sx2 + x2 )
=
,
(n 2)Sx2
n2 Sx2
ta c s2b l c lng khng chch ca D(b), sb c coi l sai s trung bnh ca h s t do ca phng
trnh ng thng hi quy.
Cng nh h s gc ca ng thng hi quy, ngi ta chng minh c rng nu i c phn b chun,
khi thng k
b
t=
sb
c phn b Student vi n 2 bc t do. Do vy p dng phng php c lng khong tin cy cho gi tr
trung bnh, ta nhn c khong tin cy ca
(9)
b t s b < < b + t s b .
Khi = 0, tqs =
hi quy.
b
sb
l gi tr quan st (t Stat) ng vi h s t do trong bng ANOVA phn tch
V d 1
Trong v d mc trc, ng thng hi quy ca Y i vi X
y = 1, 86623x + 42, 39808.
Sai s trung bnh

n
SSE
37363, 89302
2
SY 1 r =
=
= 41, 21115.
=
n2
22
n2
44
1.
Sai s khi c lng cc h s a v b ca ng hi quy

Ta bit rng
s2a =
s2b
SY2 (1 r 2 )
2
(n 2)SX
2
+X )
(1 r 2 )SY2 (SX
=
.
2
(n 2)SX
Thay vo tnh ta s c cc sai s khi c lng a v b. Sai s trung bnh ca a

sa = 0, 098939
Sai s ca b
sb = 65, 73696
2.
Kim nh quan h tuyn tnh ca hm hi quy

Nh 1 trnh by trn, kim nh v mi lin quan tuyn tnh tng ng vi kim nh gi thuyt
(H): = 0 vi i thit (K): = 0
Khi gi thit (H): = 0 ng, gi tr quan st ca thng k

tqs =
a 0
1, 86623
= 18, 86
=
sa
0, 098939
tra bng phn v phn b Student vi n 2 = 22 bc t do, mc ngha = 0, 05 ta c phn v

t0,05 = 2, 405468. Gi tr quan st ln hn nhiu so vi phn v t0,05 = 2, 405468. Ta bc b gi thit
= 0, mi quan h gia Y v X l quan h tuyn tnh.
Nhn xt rng tng ng vi kim nh trn, ta c th s dng thng k F .
Fqs =
(24 2)r2
= 355, 7938
1 r2
Vi mc ngha = 0, 05 tra bng phn v phn b F vi 1 v n 2 = 22 bc t do, ta xc nh

F2 = 5, 78632
Gi tr quan st Fqs = 355, 7938 ln hn rt nhiu so vi F2 = 5, 78632, ta bc b gi thit (H): = 0,
tc l mi quan h tuyn tnh gia Y v X kh cht.
3.
Khong tin cy cho h s gc ca ng hi quy

Thng k
t=
a
sa
c phn b Student vi 22 bc t do. p dng cng thc (8) tm khong tin cy vi tin cy 95% cho
h s gc : a t sa < < a + t sa (phn v t0,05 = 2, 405468) ta c khong tin cy cho h s gc
l
(1, 628237 ; 2, 104225)
45
V d 2
H1y phn tch hiu qu ca vic u t qung co (X) v doanh thu ca mt cng ty (Y ) trong khong thi
gian mt nm. Cc s liu c cho trong bng di y:
X
Y
X
Y
7
14,99
9
18,61
5
12,08
6
14,25
2
5,55
3
5,52
4
9,79
9
16,38
4
9,68
4
12,49
7
15,94
5
12,54
S dng lnh {= LINEST (Y, X, 1, 1)} trong EXCEL (nhn ng thi cc phm CT RL + SHIF T +
EN T ER) ta thu c bng sau
1.72676783
0.199411812
0.882330203
74.98357456
163.7465154
2.965007587
1.161334855
1.47775679
10
21.83765129
Hng th nht l cc h s hi quy a = 1.72676783, b = 2.965007587 y = 1.72676783x + 2.965007587

Sai s trung bnh ca cc h s hi quy a v b trong hng th hai.

D() = 0.199411812
D() = 1.161334855.
Hng th ba l h s s tng quan r 2 = 0.882330203 v sai s chun (standard error) bng
= 1.47775679.
Hng th t cho gi tr quan st Fqs = 74.98357456 ca phn b F vi 10 bc t do.
Hng th nm l cc tng bnh phng ton phn theo Y (cn k hiu l SST ) nSY2 = 163.7465154 v
phn d R20 = 21.83765129 (k hiu l SSR) trong bng phn tch phng sai
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.939324333
R Square
0.882330203
Adjusted R Square 0.870563223
Standard Error
1.47775679
Observations
12
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
df
1
10
11
SS
163.7465154
21.83765129
185.5841667
Coefficients
2.965007587
1.72676783
MS
163.7465154
2.183765129
Stand Error
1.161335
0.199412
F
74.98357456
t Stat
2.5531
8.6593
Significance F
5.84643E-06
P-value
0.028710768
5.84643E-06
Lower 95%
0.377392
1.282451
Upper 95%
5.552623
2.171085
p dng cng thc (8) ta c 2 cn trn, cn di (1.282451; 2.171085) ca h s gc ca ng thng

hi quy vi tin cy 95%. Cc nhn xt sau cng thc (8) v (9):
a
b
tqs =
, tqs =
D(a)
D(b)
cho ta cc gi tr quan st t Stat 8.6593 v 2.5531. Cng thc (9) tnh khong tin cy cho h s t do b ca
ng thng hi quy vi tin cy 95%
(0.377392; 5.552623).
46
16 Hi quy nhiu chiu

Bi ton hi quy nhiu chiu l bi ton xt tc ng ca nhiu bin ngu nhin (X1 , X2 , ...) ti mt bin ngu
nhin khc (Y ). Chng hn khi mun tm hiu l1i sut hng nm ca cc cng ty ti chnh, ngi ta thy l1i
sut t l thun vi tng thu (t thu ca nh nc, n v ca tng thu ny tnh theo % v k hiu l X1 ),
ng thi cng t l nghch vi s vn phng giao dch (X2 ). (Do s cnh tranh gia cc cng ty, s vn phng
giao dch c m ngy mt tng). Gi Y l t l l1i sut hng nm ca cng ty (n v %).
Bng sau cho ta s liu quan st c v cc i lng ny trong vng 25 nm.
STT
1
2
3
4
5
6
7
8
9
10
11
12
13
X1
3.92
3.61
3.32
3.07
3.06
3.11
3.21
3.26
3.42
3.42
3.45
3.58
3.66
X2
7298
6855
6636
6506
6450
6402
6368
6340
6349
6352
6361
6369
6546
STT
14
15
16
17
18
19
20
21
22
23
24
25
Y
0.75
0.71
0.66
0.61
0.7
0.72
0.77
0.74
0.9
0.82
0.75
0.77
0.78
X1
3.78
3.82
3.97
4.07
4.25
4.41
4.49
4.7
4.58
4.69
4.71
4.78
X2
6672
6890
7115
7327
7546
7931
8097
8468
8717
8991
9179
9318
Y
0.84
0.79
0.7
0.68
0.72
0.55
0.63
0.56
0.41
0.51
0.47
0.32
Mu hi quy nhiu chiu

E(Yi /X1 = x1i , X2 = x2i , ..., Xk = xki ) = + 1 x1i + 2 x2i + ... + k xki ,
i = 1, 2, ..., n.
hay
Yi = + 1 x1i + 2 x2i + ... + k xki + i ,
trong i l cc hng s cn c lng v i l bin ngu nhin c k vng bng 0. Cc mu ngu nhin l
cc im quan st
(x1i , x2i , ..., xki , yi ), i = 1, 2, ..., n.
Do mu hi quy nhiu chiu
i = 1, 2, ..., n.
Suy ra
E(Yi /X1 = x1i + 1, X2 = x2i , ..., Xk = xki ) E(Yi /X1 = x1i , X2 = x2i , ..., Xk = xki ) = 1
(Ngha l trong v d trn nu tng thu tng thm 1%, vi s vn phng giao dch X2 khng i, khi
t l lMi sut hng nm tng thm 1 .)
Gi a, b1 , b2 , ..., bk l cc c lng tng ng, khi mu d bo ca bin ngu nhin Y l
y = a + b1 x1 + b2 x2 + ... + bk xk .
Theo cc sai s
ei = yi (a + b1 x1i + b2 x2i + ... + bk xki ),
i = 1, 2, ..., n.
i vi mu hi quy tuyn tnh nhiu chiu, cc c lng a, b1 , b2 , ..., bk cn xc nh theo phng php bnh
phng b nht, tc l tng bnh phng cc lch
SS =
n

i=1
e2i =
n

(yi a b1 x1i b2 x2i ... bk xki )2
i=1
t gi tr nh nht.
Phng trnh
y = a + b1 x1 + b2 x2 + ... + bk xk
c gi l mt phng hi quy ca Y i vi X1 , X2 , ..., Xk .
Trc ht ta pht biu nh l sau
47
nh l 12
Gi thit rng mu hi quy tuyn tnh ca Y i vi X1 , X2 , ..., Xk :
Yi = + 1 x1i + 2 x2i + ... + k xki + i ,
trong
1. x1i , x2i , ..., xki l cc th hin ca X1i , X2i , ..., Xki . Cc bin ngu nhin c lp vi i .
2. E(i ) = 0,
D(i ) = 2 ,
vi mi
E(i j ) = 0,
i = j, i, j = 1...n
3. Hng ca ma trn (xij ) bng k.

Khi cc c lng a, b1 , b2 , ..., bk xc nh theo phng php bnh phng b nht ca v 1 , 2 , ..., k
l cc c lng khng chch c phng sai nh nht. Hn na vi mi s thc d0 , d1 , d2 , ..., dk , c lng
d0 + d1 b1 + d2 b2 + + dk bk cng l c lng c phng sai nh nht trong s tt c cc c lng tuyn
tnh khng chch ca
d0 + d1 1 + d2 2 + + dk k .
T h thc
yi y = (
yi y) + ei ,
bnh phng c hai v ng thc trn v cng chng li theo i ta c

n
n
n

(yi y)2 =
(
yi y)2 +
e2i .
i=1
i=1
i=1
ng thc c ngha nh sau: v tri l tng bnh phng cc lch gia cc phn t mu ca Y vi gi tr
trung bnh mu y, k hiu SST (total sum of squares) c phn tch thnh tng ca hai phn: phn th nht
l tng bnh phng cc lch gia hi quy yi vi trung bnh mu y v phn th hai l phn d: tng bnh
phng cc sai s. K hiu
n

(yi y)2 = nSy2
SST =
(Tng bnh phng chung)
i=1
SSR =
n

(
yi y)2
(Tng bnh phng hi quy)
i=1
SSE =
n
e2i
(Tng bnh phng sai s).
i=1
Theo ng thc: SST = SSR + SSE, khi t s

R2 =
SSR
SSE
=1
SST
SST
c gi l h s xc nh biu din lc ca hi quy. 0 R2 1 v khi R2 cng gn vi 1, phn d SSE

(tng bnh phng cc sai s) cng nh so vi tng bnh phng cc lch chung ca Y .
Ch : h s xc nh iu chnh
2
R =1
SSE/(n k 1)
.
SST /(n 1)
Ngi ta chng minh c rng vi cc iu kin ca nh l trn

n 2
SSE
2
i=1 ei
se =
=
nk1
nk1

l c lng khng chch ca 2 . Ta gi se = s2e l sai s chun.
Vic tnh sai s chun ca cc h s hi quy bk , bk1 , ..., b2 , b1 , a phc tp hn (xem phn hi quy n
gin, mt chiu). Cc chng trnh phn mm thng k s tnh gip ta cc sai s .
Thc hnh trn EXCEL

Xt v d v l1i sut hng nm ca cc cng ty ti chnh, s dng lnh {= LIN EST (Y, X, 1, 1)}, ta c
bng sau
48
-0.000249079
3.20485E-05
0.865296068
70.66057082
0.40151122
0.237197475
0.055559366
0.053302217
22
0.06250478
1.564496771
0.079395981
Hng th nht l cc h s hi quy vit theo ng th t

y = bk xk + bk1 xk1 + ... + b2 x2 + b1 x1 + a
Hay y = 0.00025x2 + 0.2372x1 + 1.5645.
Sai s trung bnh (cn bc hai ca phng sai) ca cc h s hi quy bk , bk1 , ..., b2 , b1 , a cho trong hng
th hai.

D(b2 ) = 3.20485E 05,
D(b1 ) = 0.055559,
D(a) = 0.079396.
Hng th ba l h s xc nh gii thch lc ca hi quy R2 = 0.865296068 v sai s chun (standard error)

se = 0.053302217.
Hng th t cho gi tr quan st Fqs = 70.66057082 ca phn b F vi (k, 22) bc t do. (Trong v d ny
k = 2).
Hng th nm l cc tng bnh phng SSR = 0.40151122 v phn d SSE = 0.06250478.
Ch rng hi quy tuyn tnh nhiu chiu thng xuyn c s dng hn hi quy n gin (mt chiu),
nu cn cc bin c lp tc ng ng k ti bin ph thuc. Chng hn trong v d trn , bin ph thuc
(lMi sut y) t l thun vi tng thu (x1 ). Trong khi nu ta ch quan tm ti lMi sut v tng thu, hi quy n
gin cho ta kt qu
y = 1.326 0.169x1
lMi sut gim khi x1 tng(!)
Tng quan bi v tng quan ring

Ta nhn mnh rng tng ng vi mu quan st yi ,
i = 1, 2, ..., n l mu d bo
yi = a + b1 x1i + b2 x2i + ... + bk xki ,
i = 1, 2, ..., n.
H s tng quan gia chng c gi l h s tng quan bi, n o mc tc dng tuyn tnh ca
X = (X1 , , Xk ) ln Y . (D dng chng minh c: Y Y khng tng quan (trc giao) vi X1 , , Xk .
Thc cht ca phng php bnh phng nh nht l sau khi tnh tin h trc to ti im
(EY, EX1 , ..., EXk ) Rk+1 , Y l php chiu vung gc Y xung L2 (X1 , ..., Xk )). Suy ra, nh 1 bit
trong l thuyt v khng gian Hilbert h s tng quan chng qua l csin ca gc gia hai vc t, h s
tng quan bi bng cn bc hai ca h s xc nh
R=
Trong v d ca chng ta R =
R2 .
0.8652 = 0.93.
Khi kho st mi tng quan ta tnh h s tng quan gia cc i lng ngu nhin, chng hn ij =
ij (Xi , Xj ). l o ton phn mi tng quan gia chng (c k n mi quan h thng qua cc bin
ngu nhin khc: X1 , ..., Xk ). Nh trn ta bit rng c th phn tch mt i lng ngu nhin thnh tng ca
hai i lng ngu nhin khng tng quan (chiu vung gc xung L2 (X2 , ..., Xk ))
Y = YY 2...k + (Y YY 2...k ) = YY 2...k + Y 2...k ,
X1 = X1 + (X1 X1 ) = X1 + 1 2...k
C th coi Y 2...k = Y YY 2...k l phn cn li ca Y sau khi 1 loi i cc tc ng tuyn tnh ca X2 , ..., Xk
vo Y . Tng t 1 2...k = X1 X1 l phn cn li ca X1 sau khi 1 loi i cc tc ng tuyn tnh ca
X2 , ..., Xk vo X1 . Khi h s tng quan gia hai phn d Y 2...k = Y YY 2...k v 1 2...k = X1 X1
c gi l h s tng quan ring (mi quan h ni ti, khng ph thuc vo cc i lng ngu nhin khc:
X2 , ..., Xk ) gia Y v X1 . K hiu Y.1 = (Y 2...k , 1 2...k ).
Quay tr li v d trn, ta tnh h h s tng quan ring gia l1i sut (Y ) v s vn phng giao dch c
m ra (X2 ). Ta lp bng sau m cc ct d liu l hi quy ca Y theo X1 v hi quy ca Y theo X2 .
49
STT
1
2
3
4
5
6
7
8
9
10
11
12
13
Y 2...k
0.086830251
-0.005600136
-0.104647917
-0.196930487
-0.10862179
-0.080165276
-0.013252248
-0.034795734
0.152265111
0.072265111
0.007339019
0.049325955
0.072856378
1 2...k = X1 X1
-53.63957787
9.06929472
263.1517884
540.9815244
501.2947138
371.7287666
174.5968723
65.03092506
-186.980106
-183.980106
-223.9196743
-427.991137
-381.4966525
STT
Y 2...k
0.153152011
0.109917223
0.045286765
0.042199793
0.112643243
-0.030295912
0.06323451
0.028751869
-0.141543765
-0.022939434
-0.059556828
-0.197717709
14
15
16
17
18
19
20
21
22
23
24
25
1 2...k = X1 X1
-451.2549257
-298.5076835
-318.2055251
-269.3374194
-343.9748293
-219.9858604
-184.4913759
-156.0683541
288.6899192
383.2448354
538.6184565
563.4261304
H s tng quan ring gia l1i sut (Y ) v s vn phng giao dch c m ra (X2 ) khi bng Y.1 =
0.85617. (S dng lnh CORREL).
Bnh phng h s tng quan ring (0.85617)2 = 0.73, vy 73% phn bin ng ca l1i sut (Y ) c
gii thch bi s ph thuc tuyn tnh (t l nghch) vo s lng vn phng giao dch c m.
Tng t h s tng quan ring gia l1i sut (Y ) v (X1 ) bng Y.2 = 0.6731. (T l thun).
Ta cng c th tnh tng quan ring gia lMi sut (Y ) v (X1 ) bng cch s dng cc cng thc (??-??)
C10
5.929936871
=
= 0.673126.
01.(23...n) =
C00 C11
3.10432981 25
Khong tin cy v kim nh gi thit cho cc tham s ca hi quy.

Cc vn v khong tin cy v kim nh gi thit cho cc tham s ca hi quy da trn nh l sau
nh l 13
Vi cc gi thit nh trong nh l 12, ng thi gi thit thm rng rng cc s hng sai s i c phn b
chun. K hiu sbk , sbk1 , ..., sb2 , sb1 sa l cc sai s chun ca cc h s hi quy bk , bk1 , ..., b2 , b1 , a, khi
ta =
a
,
sa
tbi =
b i i
,
sbi
i = 1, 2, ..., k
l cc i lng ngu nhin c phn b Student vi n k 1 bc t do.

Chng hn trong v d l1i sut ca cc cng ty ti chnh, vi tin cy 99%
0.081 < 2 < 0.394,
(sb1 t b1 1 sb1 t + b1 ,
0.000339 < 1 < 0.000159.
t = t0.01 = 2.81876,
Do mu hi quy nhiu chiu
sb1 = 3.2 105 ,
b1 = 0.000249)
i = 1, 2, ..., n.
Suy ra
E(Yi /X1 = x1i + 1, X2 = x2i , ..., Xk = xki ) E(Yi /X1 = x1i , X2 = x2i , ..., Xk = xki ) = 1
Ngha l trong v d 1 nu nu s vn phng giao dch tng thm 1000, (vi tng thu X1 khng i), khi
t l l1i sut hng nm gim t 0.159 ti 0.339.
Kim nh gi thit cho mi tham s ca hi quy.

Cng da trn c s tbi c phn b Student vi n k 1 bc t do, ta c th kim nh cc gi thit
H0 :
i = i,0
hoc
H0 :
i i,0
vi i thit
H1 :
i > i,0 ,
50
theo quy tc bc b
H0
nu
tqs =
i i,0
> t .
sbi
(Cc kim nh mt pha khc hoc kim nh 2 pha cng theo quy tc tng t 1 bit).
c bit nu gi tr thc ca 1 = 0
Yi = + 2 x2i + ... + k xki + i
khng b nh hng bi bin c lp X1 khi cc bin X2 , ..., Xk nhn cc gi tr c nh cho trc. Ni cch
khc X1 khng gp phn vo gii thch mi quan h tuyn tnh gia bin ph thuc vi cc bin c lp.
Trong v d trn kim nh H0 : 1 = 0 vi i thit H1 : 1 > 0
tqs =
Nhn xt rng khi i = 0, tqs =

phn tch hi quy.
bi
sbi
bi i,0
0.237
=
= 4.27
sbi
0.0555
l gi tr quan st (t Stat) ng vi h s gc i trong bng ANOVA
Nu mc ngha rt b 0.5%, tra bng 22 bc t do (1 pha) t = 2.81876, ta vn bc b H0 :

Tng t xt bi ton kim nh H0 : 2 = 0 vi i thit H1 : 2 < 0
tqs =
ta bc b H0 :
1 = 0.
b2 0
0.000249
= 7.78 < t = 2.81876,
=
sb 2
0.0000320
2 = 0 mc 0.5%.
Ta c th kim nh Bi ton (2): gi thit

H0 :
hoc
i = i,0
H0 :
i i,0
vi i thit
H1 :
theo quy tc bc b H0
i < i,0 ,
nu
tqs =
i i,0
< t .
sbi
Bi ton (3):
H0 :
i = i,0
vi i thit
H1 :
theo quy tc bc b H0
i = i,0 ,
nu

i i,0

> t/2 .
|tqs | =

sb
i
Kim nh gi thit ng thi cho cc tham s ca hi quy.

H0 :
1 = 2 = = k = 0
vi i thit
H1 :
Tn ti t nht mt i : i = 0.
Nu gi thit H0 ng, Yi = + i , nn E(Yi /X) = l hng s. Cc bin c lp Xi khng c nh hng

(tuyn tnh) ti Y . Kim nh gi thit H0 thc cht nhm bc b tnh ph thuc tuyn tnh gia cc bin. Ta
bit rng SST = SSR + SSE, trong SSR nhm gii thch s bin ng ca hi quy (s ph thuc tuyn
tnh ca bin ph thuc vo cc bin c lp), cn SSE l phn bin ng ngoi hi quy. Do vy nu gia cc
bin ngu nhin khng tn ti quan h tuyn tnh khi SSR tng i nh so vi SSE, ni cch khc t s
gia SSR v SSE cng ln, kh nng bc b gi thit khng (quan h tuyn tnh) cng cao. V th to ra
mt thng k nh vy ngi ta s dng kt qu sau:
Nu gi thit H0 : 1 = 2 = = k = 0 ng v i c phn b chun, khi
F =
SSR/k
SSE/(n k 1)
51
c phn b F vi (k, n k 1) bc t do. Vy ta c quy tc mc

Bc b H0
nu
Fqs =
SSR/k
> Fk,nk1, ,
SSE/(n k 1)
trong
P (Fk,nk1 > Fk,nk1, ) = .
Nhn xt rng do R2 =
SSR
SST
=1
F =
SSE
,
SST
suy ra
SSR/k
nk1
R2
=
.
SSE/(n k 1)
k
1 R2
Tr li v d l1i sut tit kim v cho vay

Fqs =
SSR/k
0.40151122/2
=
= 70.66057082
SSE/(n k 1)
0.06250478/22
Vi mc ngha 1%, Fk,nk1, = 5.719, nh hn rt nhiu so vi Fqs = 70.66057082, ta bc b gi thit

H0 .
Kim nh gi thit ng thi cho mt tp con cc tham s ca hi quy.

Gi thit rng ta cn kim nh k1 tham s u tin ca hi quy bng 0.
H0 :
(Vi i thit
H1 :
1 = 2 = = k 1 = 0
Tn ti t nht mt i, 1 i k1 : i = 0.)
Nu gi thit H0 ng, cc bin X1 , X2 , ..., Xk1 khng c nh hng g ti Y , do vy ta tin hnh c lng
hi quy ca Y ch thng qua cc bin Xk1 +1 , Xk1 +2 , ..., Xk
Yi = + k1 +1 xk1 +1,i + + k xki + i
Khi ta hy vng SSE ca mu hi quy c khc nhiu so vi SSE ca mu hi quy mi.
Thng k
(SSR SSE)/k1
F =
SSE/(n k 1)
c phn b F vi (k1 , n k 1) bc t do. Vy ta c quy tc mc
Bc b
H0
nu
Fqs =
(SSE SSE)/k1
> Fk1 ,nk1, .
SSE/(n k 1)
D bo.
Vi mu hi quy nh 1 ni trn, k hiu a, b1 , b2 , ..., bk l cc c lng theo phng php bnh phng
b nht cc h s hi quy, khi vi mu th n + 1 ca cc bin c lp:
(x1,n+1 , x2,n+1 , ..., xk,n+1 )
d bo ca bin ph thuc (Yn+1 = + 1 x1,n+1 + + k xk,n+1 + n+1 )
Yn+1 = a + b1 x1,n+1 + b2 x2,n+1 + + bk xk,n+1
l c lng tuyn tnh khng chch tt nht ca Yn+1 .
Tr li v d quen thuc nu x1,n+1 = 4.50 v s lng cc vn phng x2,n+1 = 9000 khi
Yn+1 = a + b1 x1,n+1 + b2 x2,n+1 = 0, 39.
Ngoi ra nu gi thit i c phn b chun khi chng ta c th tnh cc khong tin cy cho cc
d bo Yn+1 .
52

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L thuyt xc sut

Cc khi nim c bn v bin c ngu nhin

1. Khng gian xc sut

Nu A1 , A2 , ... l d1y cc tp hp thuc A, khi

Trong l thuyt xc xut, tp cc bin c ngu nhin l mt -i s A. Mt nh x P t A vo tp cc s thc

P (A) c gi l xc sut ca bin c ngu nhin A. Trong l thuyt xc sut (, A, P ) c gi l khng

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

P (A + B + C) = P (A) + P (B) + P (C) P (BC) P (AB) P (AC) + P (ABC).

P (A1 + A2 + ... + An ) P (A1 ) + P (A2 ) + + P (An ).

Vi d1y cc bin c gim dn A1 A2 A3 ... (hoc tng dn A1 A2 ...), khi

2. ng dng tnh xc sut cc bin c ngu nhin

A = {n1 , n2 , ..., nm } P (A) =

S trng hp thun li cho bin c A

3. Xc sut c iu kin v s c lp ca cc bin c ngu nhin

T nh ngha xc sut c iu kin, suy ra cng thc nhn xc sut

Nhn xt rng vi k hiu P (A) = P (A/B) l xc sut c iu kin ca bin c A vi iu kin B (B c

7. Cc hp c nh s 0, 1, 2, ..., N v hp mang s k cha k bi , N k bi trng (k = 0, 1, 2, ..., N ).

4. Cng thc Bernoulli

Xc sut cn tm: P (A) = p3 (1 + 3q + 6q 2 )

i lng ngu nhin v phn b xc sut

c gi l i lng ngu nhin X. Hm

c gi l hm phn b xc sut ca i lng ngu nhin X. Hin nhin

khi hm f c gi l mt xc sut ca i lng ngu nhin X. i lng ngu nhin c hm mt

Ti cc im hm mt lin tc F (x) = f (x). Ch rng i lng ngu nhin ri rc (i lng ngu

hoc di dng bng

Tnh cht hm phn b, hm mt

Hm phm b n iu tng v lin tc tri trn R.

F (+) = limx+ F (x) = 1.

Vi i lng ngu nhin lin tc, xc sut X nhn cc gi tr trong mt tp hu hn hoc v hn

Nh vy X l i lng ngu nhin ri rc nhn cc gi tr 0, 1, 2 v bng phn b ca X thng c vit

2. K vng, phng sai ca i lng ngu nhin

K vng ca X, k hiu E(X) bng

Trng hp X l i lng ngu nhin lin tc c f (x) l hm mt

nu tch phn hi t tuyt i.

Ch rng k vng l ton t tuyn tnh v

Phng sai D(X) v lch tiu chun X ca X

Khi trung bnh s tr em mi sinh trong mt ngy bng

E(X) = 11.9 ngy, D(X) = 1.29

E(Y ) = 85 + 1.5E(X) = 85 + 1.5 11.9 = 102.85 (triu ng)

D(Y ) = 1.52 D(X) = 1.52 1.29 = 2.9025 Y = 2.9025 = 1.7037

4. K vng v phng sai ca phn b u trn [a, b]

trong pk = P (X = k) = Cnk pk q nk , p + q = 1, k = 0, 1, ..., n

ta d dng chng minh hm f (x) ni trn l hm mt v

N (0, 1). Ngi ta thng k hiu hm phn b ca

Tra bng phn b chun, ta c

3 i lng ngu nhin nhiu chiu

vi mi min E ca mt phng. Khi ta ni h(x, y) l hm mt ca vc t ngu nhin (, ) (hay cn gi

(hoc vit gn hn P ( = xi , = yj ).)

Chng thng c vit di dng bng. minh ho, ta xt v d sau.

Bng phn b trn cho bit, chng hn

Trng hp tn ti hm mt chung, hin nhin

H(x, y) = P (X < x, Y < y) =

nh ngha 2 Cc i lng ngu nhin v c gi l c lp nhau nu vi mi x, y R

c bit nu X, Y l cc i lng ngu nhin c lp nhau, khi

+ y2 ) nu 0 < x < 1, 0 < y < 1

khi f (x/A) c gi l hm mt c iu kin ca X vi iu kin bin c A xy ra (hoc ni tt l hm

o hm c hai v theo x, ta cng c kt qu tng t cho hm mt c iu kin

3. Xc nh lut phn b, k vng v phng sai ca XA .

Gii bi tp: N c phn b Poisson vi tham s .

1. Vi k, n l hai s nguyn, P (XA = k/N = n) = Cnk pk q nk .

3. Xc nh lut phn b, k vng v phng sai ca XA .

4. Tng t lut phn b ca XB

5. XA v XB c lp vi nhau. Tht vy xt P (XA = k, XB = i), k hiu n = k + i, khi

Ta nh ngha xc sut c iu kin ca bin c {X < x} vi iu kin Y = y nh l gii hn ca P (X <