Mt s cng thc phn xc sut

I. Xc sut ca bin c :
*
n(A)
m(A)
P(A)

P(B)+P(C) nu B v C l xung khc
* A=B+C P(A)=P(B+C) =
P(B)+P(C)-P(B.C) nu B v C l khng xung khc
P(B).P(C) nu B v C l c lp
A=B.C P(A)=P(B.C) =
P(B).P(C/B)=P(C).P(B/C) nu B v C l khng c lp

*
n 2 1 n 2 1
A ... A A ...A A A + + +
*
n 2 1 n 2 1
A ... A . A ...A A A + +
* P(A)+ ( ) A P =1
Cng thc Bernoulli:
( ) ( )
x n x x
n n
p 1 p C x P

, x = 0,1,2,,n
Cng thc Xc sut y :

n
1 i
i i
) )P(A/H P(H P(A)
Cng thc Bayes:
n 1,2,.., i
/A) )P(H P(H
/A) )P(H P(H
P(A)
/A) )P(H P(H
/A) P(H
n
1 i
i i
i i i i
i

II. Bin ngu nhin v quy lut phn phi xc sut :
1. Cc tham s c trng:

n
1 i
i
p
i
x
nu X l bin ngu nhin ri rc
E(X) =

+

xf(x) nu X l bin ngu nhin lin tc

n
i
i i
p x
1
2
nu X l bin ngu nhin ri rc
E(X
2
) =

+

) (
2
x f x nu X l bin ngu nhin lin tc
V(X)= ( ) ( )
2
X E X E = ( ) ( ) ( )
2
2
X E X E
( ) ) ( X V X
Phm Hng Huyn-TKT 1
2. Mt s quy lut phn phi xc sut thng dng:
X A(P)

*
( ) ( ) 1 ; 0 1
1


x p p x X P
x
x
* E(X)=p ; V(X)=p(1-p) ; ( ) ) 1 ( p p X
X B(n,p)


( q=1-p )
*
( ) ( ) n x p p C x X P
x n
x x
n
,..., 1 , 0 1

* E(X)=np ; V(X)=npq ; ( ) npq X
N x
0

* Mt ca X B(n,p): x
0
=
p np x p np + +
0
1
X P()
*
( )
!
1 ) (
x
e
p p C x X P
x
x n
x x
n

; x=0,1,2,
( n kh ln, p kh nh; =np )
* E(X)=V(X)=; ( ) X
* Mt ca X P():

0
1 x
; x
0
N
X N(,
2
)
( )
2
2
2
x
e
2
1
f(x)

( > 0 )
* E(X)= ; V(X)=
2
; (X)=
*
,
_

,
_

< <

a b
b X a P
0 0
) (
* P(X<b)
5 , 0
0
+
,
_

b
* P(X>a)
,
_

a
0
5 , 0
*
( )

,
_

<

0
2 X P
Phm Hng Huyn-TKT
X 0 1
P 1-p p
X 0 1 x n
P

0 0 0 n
n
q p C
1 1 1 n
n
q p C
x n x x
n
q p C


0
q p C
n n
n
2
Gi tr ti hn chun:
* nh ngha:
( )

>U U P
, U N(),1)
* Ch :
645 , 1 ; 96 , 1 ;
05 , 0 025 , 0 1

U U U U


Gi tr ti hn Student:
* nh ngha:
( )
( )

>
n
T T P , T T(n)
* Ch :

U T T T
n n n

) ( ) ( ) (
1
; vi
30 n
Gi tr ti hn Khi bnh phng:
* nh ngha:
( )
( )

>
n
P
2 2
,
2

2
(n)
Gi tr ti hn Fisher- Snedecor:
* nh ngha:
( )
( )

>
2 1
,n n
F F P , F F(n
1
,n
2
)
* Ch :
( )
( )
1 2
2 1
,
1
,
1
n n
n n
F
F

III. Bin ngu nhin hai chiu ri rc

X
Y

1
x
2
x
.
i
x
.
n
x
Tng
1
y
P(x
1
,y
1
) P(x
2
,y
1
) . P(x
i
,y
1
) . P(x
n
,y
1
) P(Y=y
1
)
2
y
P(x
1
,y
2
) P(x
2
,y
2
) .. P(x
i
,y
2
) .. P(x
n
,y
2
) P(Y=y
2
)
. . . .
j
y
P(x
1
,y
j
) P(x
2
,y
j
) . P(x
i
,y
j
) P(x
n
,y
j
) P(Y=y
j
)
. . . . . . .. .
m
y
P(x
1
,y
m
) P(x
2
,y
m
) . P(x
i
,y
m
) .. P(x
n
,y
m
) P(Y=y
m
)
Tng P(X=x
1
) P(X=x
2
) P(X=x
i
) . P(X=x
n
) 1

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

( ) ( ) ( ) ( )



n
i
j i j
m
j
j i i
y x P y Y P y x P x X P
1 1
, ; ,

( ) ( ) ( )
( )
( )
j
j i
j i
y Y P
y Y x X P
y Y x X P

,
/

( ) ( ) ( )( ) ( ) ( ) ) ( ) ( , ) ( ( ( ,
1 1
Y E X E y x P y x Y E Y X E X E Y X Cov
n
i
m
j
j i j i XY

( ) ( ) Y X
XY
XY

Phm Hng Huyn-TKT 3
( ) ) , ( 2 ) ( ) (
2 2
Y X abCov Y V b X V a bY aX V + + +
III. Mt s quy lut s ln :
Bt ng thc Trbsp:
X bt k; E(X), V(X) hu hn; >0
( ) ( )
2
) (
1

X V
X E X P <
( ) ( )
2
) (

X V
X E X P
nh l Trbsp:
X
1
, X
2
,, X
n
c lp tng i; E(X
i
), V(X
i
) hu hn i=1,2,,n; >0
( ) 1
1 1
1 1

,
_

<

n
i
i
n
i
i
n
X E
n
X
n
P Lim
nh l Bernoulli:
f l tn sut xut hin bin c A trong lc Bernoulli vi 2 tham s n, p
> 0 , ta c
( ) 1 <

p f P Lim
n
B. Mt s cng thc trong phn Thng k ton
I. Mt s cng thc trn mu:

( )

k
i
i i
k
i
i i
k
i
i i
x n
n
s Ms
n
n
s
x x Ms x n
n
x x n
n
x
1
2 2 *
2
2
1
2 2
1
) (
1
;
1
;
1
;
1

* Tn sut mu f l hnh nh ca tham s p trong tng th trn mu.
* Tng th : X ( )
2
, N
X

,
_

n
N
2
,

( ) ( )
n
X V X E
2
,


* Tng th X A(p) f
,
_

n
pq
p N ,

( ) ( )
n
pq
f V p f E ,

( khi n ln).

II. Mt s cng thc v c lng:
1. c lng gi tr tham s

trong quy lut ( )

2
, N
Phm Hng Huyn-TKT 4
C
ng
thc
Trng hp bit
2

(t gp)
Trng hp cha bit
2
(thng gp)
n30 n>30
KTC
i
xng
2 2

U
n
x U
n
x + < <
) 1 (
2
) 1 (
2

+ < <
n n
T
n
s
x T
n
s
x


2 2

U
n
s
x U
n
s
x + < <
KTC
c
lng
max

U
n
x + <
<

( ) 1
+
n
T
n
s
x

<

U
n
s
x +
KTC
c
lng
min

U
n
x > >

( ) 1

n
T
n
s
x

>

U
n
s
x
Cng
thc
xc
nh
kch thc
mu mi
(n
*
) sao
cho: Gi
nguyn
tin cy
(1-) v
mun
di
khong
tin cy i
xng I

I0

2
2 /
2
0
2
*
4

U
I
n
2 ) 1 (
2 /
2
0
2
*
) (
4

n
T
I
s
n

2
2 /
2
0
2
*
4

U
I
s
n
Ch :
2
I

2. c lng gi tr tham s p trong quy lut A(p)

KTC i xng

2 2
) 1 ( ) 1 (

U
n
f f
f p U
n
f f
f

+ < <

KTC c lng max

p

U
n
f f
f p
) 1 (
+ <
KTC c lng
min
p

U
n
f f
f p
) 1 (
>
Cng thc xc nh kch
thc mu mi (n
*
) sao cho:
Gi nguyn tin cy (1-) v
mun di khong tin cy i
xng I I
0

( )
2
2 /
2
0
*
1 4

U
I
f f
n

Ch :
2
I

Phm Hng Huyn-TKT 5
Ch :
Nu P=
N
M
th c th c lng M qua P v N (quan h M v P l thun chiu), c th c
lng N qua P l M (quan h N v P l ngc chiu).
3. c lng gi tr tham s
2
trong quy lut ( )
2
, N
Cng thc Trng hp bit

(t gp)
Trng hp cha bit

(thng gp)
KTC hai pha ( ) n n
s n s n
2
2
1
2 *
2
) ( 2
2 /
2 *

< <
( ) 1 2
2
1
2
2
) 1 ( 2
2 /
2
) 1 ( ) 1 (

< <

n n
s n s n

KTC c
lng max
2

( ) n
ns
2
1
2 *
2

<
( ) 1 2
1
2
2
) 1 (

<
n
s n

KTC c
lng min
2

( ) n
ns
2
2 *
2

>
( ) 1 2
2
2
) 1 (

>
n
s n

III. Mt s cng thc v kim nh gi thuyt thng k

Kim nh v tham s ca quy lut phn phi gc
1. Bi ton kim nh v tham s

trong quy lut ( )

2
, N :
a. Bi ton so snh

vi gi tr thc cho trc 0

Trng hp
2
bit (t gp)
Cp gi thuyt cn kim
nh
Min bc b ca gi thuyt H
0
H
0
: 0


H
1
: 0
>


( )

'

>

U U
n x
U W ;
0
H
0
: 0


H
1
: 0
<


( )

'

<

U U
n x
U W ;
0
H
0
: 0


H
1
: 0



( )

'

>

2 /
0
;

U U
n x
U W
Trng hp
2
cha bit (thng gp)
Cp gi thuyt
cn
kim nh
Min bc b ca gi thuyt H
0
Trng hp n

30 Trng hp n>30
H
0
: 0

H
1
: 0
>

( )
( )

'

>

1 0
;
n
T T
s
n x
T W

Phm Hng Huyn-TKT 6
( )

'

>

U U
s
n x
U W ;
0
H
0
: 0


H
1
: 0
<

( )
( )

'

<

1 0
;
n
T T
s
n x
T W

( )

'

<

U U
s
n x
U W ;
0
H
0
: 0


H
1
: 0


( )
( )

'

>

1
2 /
0
;
n
T T
s
n x
T W

( )

'

>

2 /
0
;

U U
s
n x
U W
b. Bi ton so snh hai tham s
1

vi
2

ca 2 quy lut phn phi chun

Trng hp
2
2
2
1
,
bit (t gp)
Cp gi thuyt cn kim
nh
Min bc b ca gi thuyt H
0
H
0
:
2 1


H
1
:
2 1
>

'

>
+

U U
n n
x x
U W ;
2
2
2
1
2
1
2 1
H
0
:
2 1


H
1
:
2 1
<

'

<
+

U U
n n
x x
U W ;
2
2
2
1
2
1
2 1
H
0
:
2 1


H
1
:
2 1

'

>
+

2 /
2
2
2
1
2
1
2 1
;


U U
n n
x x
U W
Trng hp
2
2
2
1
,
cha bit; n
1

30
, n
2

30
(thng gp)
Cp gi thuyt cn kim
nh
Min bc b ca gi thuyt H
0
H
0
:
2 1


H
1
:
2 1
>

'

>
+

U U
n
s
n
s
x x
U W ;
2
2
2
1
2
1
2 1
H
0
:
2 1


H
1
:
2 1
<

'

<
+

U U
n
s
n
s
x x
U W ;
2
2
2
1
2
1
2 1
Phm Hng Huyn-TKT 7
H
0
:
2 1


H
1
:
2 1

'

>
+

2 /
2
2
2
1
2
1
2 1
;

U U
n
s
n
s
x x
U W
Trng hp
2
2
2
1
,
cha bit
Cp gi thuyt cn kim
nh
Min bc b ca gi thuyt H
0
H
0
:
2 1


H
1
:
2 1
>


( )

'

>
+

k
T T
n
s
n
s
x x
T W

;
2
2
2
1
2
1
2 1
H
0
:
2 1


H
1
:
2 1
<


( )

'

<
+

k
T T
n
s
n
s
x x
T W

;
2
2
2
1
2
1
2 1
H
0
:
2 1


H
1
:
2 1



( )

'

>
+

k
T T
n
s
n
s
x x
T W
2 /
2
2
2
1
2
1
2 1
;


( )( )
( ) ( )( )
( ) ( )
2
2
2 1
2
1
1
2
1
2
1
2
2
2 1
/ /
/
;
1 1 1
1 1
n s n s
n s
c
c n c n
n n
k
+

2. Bi ton kim nh v tham s

2
trong quy lut ( )
2
, N :
a. Bi ton so snh
2
vi gi tr thc cho trc
2
0

Cp gi thuyt cn kim
nh
Min bc b ca gi thuyt H
0
H
0
:
2
0
2


H
1
:
2
0
2
>


( )

'

>

) 1 ( 2 2
2
0
2
2
;
1
n
s n
W

Phm Hng Huyn-TKT 8

H
0
:
2
0
2


H
1
:
2
0
2
<


( )

'

<

) 1 ( 2
1
2
2
0
2
2
;
1
n
s n
W

H
0
:
2
0
2


H
1
:
2
0
2


( )

'

< >

) 1 ( 2
2 / 1
2 ) 1 ( 2
2 /
2
2
0
2
2
;
1
n n
hay
s n
W

b. Bi ton so snh hai tham s

2
1

vi
2
2

ca 2 quy lut phn phi chun

Cp gi thuyt cn
kim nh
Min bc b ca gi thuyt H
0
H
0
:
2
2
2
1


H
1
:
2
2
2
1
>

'

>
) 1 , 1 (
2
2
2
1
2 1
;
n n
F F
s
s
F W

H
0
:
2
2
2
1

H
1
:
2
2
2
1
<

'

<

) 1 , 1 (
1
2
2
2
1
2 1
;
n n
F F
s
s
F W

H
0
:
2
2
2
1

H
1
:
2
2
2
1

'

< >

) 1 , 1 (
2 / 1
) 1 , 1 (
2 /
2
2
2
1
2 1 2 1
;
n n n n
F F hay F F
s
s
F W

3. Bi ton kim nh v tham s p trong quy lut A(p):
a. Bi ton so snh gi tr tham s p vi gi tr thc p
0
cho trc:
Cp gi thuyt cn
kim nh
Min bc b ca gi thuyt H
0
H
0
:
0
p p
H
1
:
0
p p >

( )
( )

'

>

U U
p p
n p f
U W ;
1
0 0
0
H
0
: 0
p p

H
1
: 0
p p <


( )
( )

'

<

U U
p p
n p f
U W ;
1
0 0
0
H
0
: 0
p p

H
1
: 0
p p

( )
( )

'

>

2 /
0 0
0
;
1

U U
p p
n p f
U W
b. Bi ton so snh hai tham s
1
p
vi
2
p
ca 2 quy lut Khng-Mt
Phm Hng Huyn-TKT 9
Trong :
2 1
2 2 1 1
n n
f n f n
f
+
+

Kim nhphi tham s

Kim nh v dng quy lut phn phi gc:
* Cp gi thuyt cn kim nh:
H
0
: X Quy lut A
H
1
: X Quy lut A
(Xt quy lut A l ri rc)
* Min bc b ca gi thuyt H
0
:
( )
( )

'

>

1 2 2
1
2
2
;
r k
k
i
i
i i
n
n n
W


Trong :
Mu ngu nhin 1 chiu v X l X(n); x
i
xut hin n
i
ln ;
n n
k
i
i

1
;
i i
np n
;
( )
i i
x X P p ; r l s tham s trong quy lut A cn c lng, tham s ca quy lut A c c
lng bng phng php c lng hp l ti a;
Phm Hng Huyn-TKT
Cp gi thuyt cn
kim nh
Min bc b ca gi thuyt H
0

H
0
:
2 1
p p
H
1
:
2 1
p p >
( )

'

>

,
_

U U
n n
f f
f f
U W ;
1 1
1
2 1
2 1

H
0
:
2 1
p p
H
1
:
2 1
p p <

( )

'

<

,
_

U U
n n
f f
f f
U W ;
1 1
1
2 1
2 1

H
0
:
2 1
p p
H
1
:
2 1
p p

( )

'

>

,
_

2 /
2 1
2 1
;
1 1
1

U U
n n
f f
f f
U W

10
Kim nh v tnh c lp hay ph thuc ca 2 du hiu nh tnh:
* Cp gi thuyt cn kim nh:

H
0
: X , Y l c lp
H
1
: X , Y l ph thuc
* Min bc b ca gi thuyt H
0
:
( )( ) ( )

'

>

,
_

1 1 2 2
1 1
2
2
; 1
k h
h
i
k
j
j i
ij
m n
n
n W


Trong :
Mu ngu nhin 2 chiu v X,Y l X(n); gi tr (x
i
,y
j
)xut hin n
ij
ln;
n m n n n n m n
k
j
j
h
i
i
h
i
k
j
ij i
k
j
ij j
h
i
ij


1 1 1 1 1 1
, ,
.
Kim nh Jarque-Bera v dng phn phi chun:
H
0
: X tun theo quy lut phn phi chun
+> H
1
: X khng tun theo quy lut phn phi chun
MBB ca H
0
:

'

>
1
]
1

+
2(2)

2
4
2
3

JB ;
24
3) (a
6
a
n JB W
( a
3
l h s bt i xng, a
4
l h s nhn)
-------------------------------------------------------------------------------------
Phm Hng Huyn-TKT 11