[j 1.2 10.05.2010.

 

1 . . . Hn =
3
A H



P(A1 A2 An ) =
n
1
X


P(Hk ) P(A|Hk )
= P(A) =
= P(A1 )P(A2 |A1 ) P(An |A1 An1 )


k=1


[ ]
[ ]





P(A1 + A2 + . . . + An ) =
1 . . . Hn =
4
A H
2


n1
= p1 p2 + . . . + (1) pn ,
P(H
)

P(A|H
)
i
i


= P(Hi |A) = n
nk+1
n
P
P
P
P(Hk ) P(A|Hk )
j pk =

P(Ai1 Aik ).
k=1
i1 =1 ik =ik1 +1


[ j]
[ ]


/ )

JJ ()


p
def
2
2
(X) = DX = EX E X 

(-

[xk j X, pk P{X = xk }]


n
X
def
EX =
xk pk


k=1

JJ


def 
cov(X, Y) = E (X EX)(Y EY) =

= E(XY) EX EY

1


2

def

cov(X, X) = DX

J J



= XEX
, = YEY
;
DX
DY


E(aX) = a EX, a = const

X, Y =
= E(XY) = EX EY

3
E(X + Y) = EX + EY

def

(X, Y) = cov(, ) =

J () X


def
2
2
2
DX = E(X EX) = EX E X 

=


:


1
Da = 0, a = const


2
2
D(aX) = a DX, a = const


3
X, Y =
= D(X + Y) = DX + DY

E(XY) EX EY
cov(X, Y)

=
X Y
DX DY

 J



1
j:

P{X = m} =

M
n

3
: [X ()]



k
P{X = k} = e
k!
EX = ,
DX =



NM
nm


N
n





2
: [X Bi(n, p)]


 
n k nk
P{X = k} =
p q
k
EX = np,


DX = npq

4
j:


P{X = k} = (1 p)k1 p

EX = 1/p

.......................................................................................................



1
(): [X R[a, b]
U[a, b]]
(
1
, x [a, b],
f(x) = ba
0,
x 6 [a, b].

x < a,
0,
xa
F(x) = ba , x [a, b],

1,
x > b.
EX =

a+b
,
2

DX =

: j f(x), j


j:


1
f(x) > 0

R

2
f(t) dt = F() = 1

R x2

3
P{x1 6 X 6 x2 } = x1 f(t) dt


0
4
F (x) = f(x)
:

(b a)2
.
12

DX = 1/2 .

f(t) dt = P{X 6 x}.

F(x) =


2
2
(): [X N(m, )]


2
1
(xm)
2
x > 0;
f(x) = e 2 ,
2
EX = m,
DX = 2 .




3
j: [X E()]
 (


x > 0,
x ,
f(x) = e
0,
x < 0.
EX = 1/,



def

xf(x) dx

EX =


j
(X N(0, 1)):


1
(y) =
2

def

4
j ( > 0):



f(x) =
,
x>0
(2 + x2 )

5
- ( > 0
> 0):


X1 eX
(),
x>0
f(x) =

t2 /2

x m
dt =
= F(x)

j :


1
0 (y) =
2

def

e
0

t2 /2

1
dt = (y)
2

:


0 (y) = 0 (y)
(y) = 1 (y)


2

J




2
np > 10 (n +, p (0, 1))

:
 


knp

.) : < a 6 npq 6 b < +

EX = np:




1
np
<
10
(n +, p 0, np < +)



:
'

k
P{X = k} e
k!
b
X
k
P{a 6 X 6 b}
e
k!


n (k np)2 o
exp
P{X = k} (x) = p
2npq
2npq


 
.) :
1

k=a

&

[ = np]


Z b
1
x2 /2
e
dx =
P{a 6 X 6 b}
2 a
 b np 
 a np 
=

npq
npq



J
j

y1 = g1 (x1 , . . . , xn ),

..
.

yn = gn (x1 , . . . , xn );

j . .:

Jg1

def



= (xi )0yj ni,j=1 6= 0;

f(t, s) dt ds

f(x, y) =


00
Fxy
(x, y)

{z

f(x1 , . . . , xn ) dx1 . . . dxn = 1.

P{X A} =

fX (x1 , . . . , xn ) dx1 . . . dxn =

ZA

f(x, y) dx

. .:



Z + Z x
FX (x) = lim F(x, y) =
f(t, s) ds dt
y+

= P{Y B}

fX (x1 , . . . , xn ) |Jg1 | dy1 . . . dyn =

fY (y) =


, fY (y1 , . . . , yn ) (Y1 , . . . , Yn ) B.
:

Z

f(x, y) dy

Z +

fX (x) =

f(x1 , . . . , xn ) > 0,
+

:
Z

F(x, y) =

.
. (X1 , . . . , Xn ) A j j f(x1 , . . . , xn ) =
fX , j


1


2

Z
FY (y) = lim F(x, y) =
x+


f(t, s) dt ds

J J
[p = 1/2]
 1
1 
def
Xk :
, S n = X1 + . . . + Xn , p m =
1/2 1/2
P{Sn = m};


1
n = 2m, m N




2m
1
p2m = P{S2m = 2k} =
m + k 22m



2
n = 2m 1, m N


p2m1 = P{S2m1 = 2k 1} =

!
2m 1
1
m + k 1 22m1

[p 6= 1/2]
 1 1 
def
Xk :
, q = 1 p;
q p
(
pn = P{Sk = n} =
qn = P{Sk = n} =

p
n
1p ,

1,
(

0 6 p < 21 ,
1
2

1p
n
p

1,

< p 6 1.
1
2

< p 6 1,

0 6 p < 21 .

J
J

j X : R C,


X (t) = E(eitX )
[ j]
Z +
=
eitX dF(x) [ ]



j X.
def

dF(x) = f(x) dx :

Z

(t) =


itX

5


6

f(x) dx.

J







X (t) 6 X (0) = 1

X (t) = X (t)

j t

X1 , . . . , Xn =
= X1 +...+Xn (t) = X1 (t) Xn (t)

X Y = FX FY
n
< +,

E|X| 

n N =

Z +
(k)
(iX)k eitX dF(x),
X (t) =

Xn X = n (t) (t)
n

1


2


3


4

n (t) (t) C (0) = Xn X

(k) (0)
EXk =
ik


J J
:


F
Xn X Fn (x) F(x)
n

n

:




P
Xn X P |Xn X| > 0
n

n

:



Xn X P{Xn X} = 1
n

n

:



Xn X E|Xn X|2 0
n

 


= P = F

[ j !]

J



E|X|r
P |X| > 6
r

,


0
1
Xk :
,
1p p
def

Sn =

n
P

Xk ,

k=1

ESn = np



p(1 p)
 Sn

= P 
p > 6
n
n2

[r = 2] =

E|X EX|2
DX
= P |X EX| > 6
= 2
2

[j j]
J


n
o ES2
P max |Sk | > 6 2n
16k6n



J
()

n
P

Xk E

k=1

n
P

J


X1 , . . . , Xn , C DXk 6 C =
=

Xk
P

k=1

Sn ESn P
0,

n
n


ES
 n
n
P 
 > 0
n
n

X1 , . . . , Xn ,



DXk

< +

2
k
=
k=1





EX < +


= j

J ()

n
P

Xk E

k=1

n
P

Xk

k=1

0
n

n
P

n
P
Xk E
Xk
F
k=1
k=1
s
Z N(0, 1).
n
n
P
D
Xk

Sn ESn
0,

n
n



S


ESn 
 n
P lim 

=0 =1
n n
n

k=1


Sn ESn F

Z N(0, 1)
DSn n

J
j j

(X1 , . . . , Xn ); Xk j X; n

() j

:


j , j; ( j )


n
X
def 1
Xn =
Xk
n
k=1


 j , :


n
X
1
def
xn =
nk xk ,
n
k=1


j n
k j j P
j xk ,
nk = n.

j:
m j :



def
bs2n =

1X
nk (xk m)2
n
k=1

m j :



n
X
1
def
s2n =
nk (xk xn )2
n
k=1


j:
m j :


n
X
1
b2 def
S
(Xk m)2
n =
n
k=1


m j :


n
2 def 1 X
Sn =
(Xk Xn )2
n
k=1


j:

e2 def
S
n =


1 X
(Xk Xn )2
n1
k=1

J
2 - n

X1 , X2 , . . . , Xn N(0, 1) = X21 + . . . + X2n 2n



.............................................................
n
Y N(0, 1),

Z 2k

Y
X= p
tn
Z/n

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
..
=

n, k

Y 2n ,

Z 2k

X=

Y/n
Fn,k
Z/k

1

Xn m
n N(0, 1);

2

b2
nS
n
2n ;
2

3

nSn
2n1 ;
2

4

1
k = 1 j j , f(x) = (1+t
2) .
.............................................................

Xn m
q
n 1 tn1 .
2
Sn

( j .)

-
X (, ), > 0, > 0, X > 0,
X1 eX
()
= 1 j j , X E().
f(x) =

 J )

Be(p)

B(, )

Bi(n, p)

(+) 1
x
(1
() ()

n
k

NB(n, p)

Geom(p)

IG(p)

E()

LN(m, 2 )

N(m, 2 )

Pas(n, p)

2 ()

2 (n)

n+k1
k

x)1 ,

0<x<1

k = 0, 1, . . . , n

n k
p q,

k = 0, 1, . . .

p qk1 ,

x>0

k = 1, 2, . . .

ex ,
1

x 2

DX

Be(p) = Bi(1, p)

pq

( + )2 ( + + 1)

Be(p)

np

npq

IGk (p)

(kq)/p

(kq)/p2

2 (, ) = 2 (2)

/2

Geom(p) = Pas(1, p)

1/p

q/p2

IG(p) = NB(1, p)

q/p

q/p2

E() = (1, )

1/

1/2

B(, ) =

(, 1)
(, 1) + (, 1)

Bi(n, p) =
NB(n, p) =

x>0

n
P
k=1
n
P

(ln xm)
2

x>0

2
1
(xm)
e 22 , < x <
2

n kn
k1
p q , k = n, n + 1, . . .
n1

k
e ,
k!


EX

k=1

p qk , k = 0, 1, 2, . . .

()
R(a, b)
U(a, b)

k nk
pq ,

k = 0, 1

x1
,
ex ()

(, )

()

pk q1k ,

()

1
,
ba
1
2(n/2) (n/2)

k = 0, 1, . . .

LN(m, 2 ) = exp N(m, 2 )

N(m, 2 ) = ln LN(m, 2 )

x(n/2)1 ex/2 ,

x>0

. . , . . : , , , 2004.

2
2

e2m+ e 1

k/p

(kq)/p2

R(a, b) = B(1, 1)

a+b
2

(b a)2
12

2 (n) = (n/2, 1/2)

2n

Pas(n, p) =

n
P

Geomk (p)

k=1
n
P
k=1

a6x6b

em+

(k ) =

P
n

k=1


:
f(x, );

:


)
b

b j j.
=
b 0
D
n+


F(x, ).

g(X) j ,
b def

= g(X).

j:


b .

n+

b j j



 
b
b
E =
: E .
n+

j:


b .

n+

b j j j



 
P
b
b

P{| | > } 0 .
n+
n+

J
j

L(X, ) =

j :
n
Q

f(Xk , ),

. j ,

n
Q

P {X = k},

. j ,

b = | L0 (X, ) = 0.

k=1

xx L0 , j
X j . b j ,
b
j , j L(X, )
. : X (0, ), L(X, ) =
b = max Xk , j k Xk (0, ).
b
1/;

k=1

j j.
j j L(X, ). j L(X, ) D,


(m)

J
(2 )

xx j j (2 ):
j

xx j (m):
b2
b2
nS
nS
n
2n , b = 2n; j 2n > b:
2

P{|Xn m| 6 } = ;


Xn m
n nS
o
h nS
2
2 i
b
b
n N(0, 1), z j

n
P
> b = (!), 0, 2 n .

2
n;





 Xn m 
P 
n 6 z

= (!), z =

j
h
z
z i
Xn , Xn + .
n
n

n.

(j )

J
c = 2n;1 :

o
n nS
b2
n
6 c = ,
P
2

xx j j,
:
Xn m
n 1 tn1 .
Sn

b2
nS
n
6 c.
2


h nS

b2
n
:
, + .
2
n;1

b 6

P{|X m| 6 } =

b2
nS
n
6 c:
2

n nS
b2
b2 o
nS


n
n
2


P
6

6
= ,

c
b
 Xn m

P 
n 1 6 tn1; = (!),

Sn


: b =
h
tn1;1
tn1;1

Sn , Xn +
Sn .
: Xn
n1
n1
2
, c = 2n; 1 :

 n; 1+
2
2
.................................................


n nS
o
n nS
o 1
b2
b2
n
n
P
<b =P
>c =
(!),

2
2
2
 b2
b2 
xx j p = P(A). j
nSn
nS
n
.

:
,
j j A n
2n; 1 2n; 1+
2
2
, Sn Bi(n, p). 

j Xn = Sn /n.
2
j
xx : Sn
2
b 2 b = 2
S
n
n1; , c = n1;1 .
P{|Xn p| 6 } = .
Xn p
p
n N(0, 1), j z =
p(1 p)

p
n:
p(1 p)






 Xn p 
P p
 n 6 z
p(1 p)

= (!),
: [p1 , p2 ],



p1 , p2 j
2

(n + z2 )p2 (2nXn + z2 )p + nXn = 0.


xx j 2 : j H0 (m = m0 ) , T =

Xn m0
n 1 tn1 .
Sn
j


P{|Xn m0 | > } =


|Xn m0 |

= PH0
n1>
n1 =
Sn
Sn
= P{|T| > c} = ,



xx j X . j
,

j
. j -.
xx j H0 . , H1 , jj j . j
j j c = tn1; , . j
, j j , .
|xn m0 | > , j ,
H ( = 0 ). , j .
 .

xx
J (2 )
j j ,
j xx m: j b2
, .

 H0 (2 = 20 ) , nS2n 0

xx j Wn , (x1 , x2 , . . . , xn ),
: (x1 , x2 , . . . , xn ) Wn , j H0 ,
(x1 , x2 , . . . , xm ) 6 Wn , H0 . , :

2n .
j


n nS
o
n nS
o
b2
b2
n
n
PH0
6 1 = PH0
> 2 = .
2
20
20


= PH0 {(X1 , X2 , . . . , Xn ) Wn },

2n , j 1 =
2n;1 , 2 = 2n; . j

= PH1 {(X1 , X2 , . . . , Xn ) 6 Wn }.

(m)

c = F 1

(p)

c=
n.

1
2

nbs2n
> 2 ,
20

j , .
xx m: 2
b2 ,
, Sn S
n
2
- n1 .

xx j j 2 : j X
N(m, 2 ).

0
j H0 (m = m0 ) , Z = Xn m
n

, N(0, 1).


1
:
PH0 {|Xn m0 | > } = = P{|Z| > c},


nbs2n
6 1
2
0

j () j.
.................................................

xx j X Bi(1, p) .
H0 (p = p0 ).

, .

j |xn m0 | > , j.

 


xn W = , m0 m0 + , + ,


j .
.

2
, (p-)


PH0 |Xn m0 | > |xn m0 | =
n |X m |
|xn m0 | o
n
0
= PH0
n>
n = ,

def

Z= p

Xn p0
p0 (1 p0 )

n.

j H0 j > 30, Z .


PH0 {|Xn p0 | > } = P{|Z| > } =


N(0, 1) c, .
j |xn p0 | > , j,
.

j < , j.
10

 2 -


j H0 F(x) = F0 (x) , j
j X s , j
j . {X} r j S1 , S2 , . . . ,
Sr . j mj j j
Sj . j mj Mj Bi(n, pj ), j pj = PH0 {X Sj }.

- j


r
2
X
(Mj npj )
2U =
.
npj
j=1


j H0 ,
2rs1 . j c =
2rs1; ,

H0

pj F0 . Mj j j j
Sj (j j Mj ).



2
P{ > c} = .
 U

j - c, j, .

j
j j
, Mj = nj , pj =
F0 (xj ).

11

Xn E Xn
q
= Z N(0, 1)
D Xn

P{|Z | 6 z } =

|Z | 6 z

m
j 2

Xn m
n = Z N(0, 1)

P{|Z| 6 z } =

m
j 2

Xn m
Sn

n 1 = T tn1

b2
nS
n
= H 2n
2

j 2
m

2
nSn
2

j
m

=H

2n1

P{|T| 6 tn1; } =
P{H > b} = (.); P{H > c} = 1 (.)
P{H < b} = P{H > c} = 1
(.)
2

0;

0;

Xn

nb
S2n
2n;

2
nSn
2n1;

i h
;

h
, m1 m2
j, 21 = 22

(Xn1 Y n2 )(m1 m2 )
r

12

2
2
n1 Sn +n2 Sn
1
2

1
n1

+ n1
2

p
n1 + n2 2 = T tn1 +n2 2

P{|T| > c} = 1


, m1 m2
j, 21 , 22

(Xn1 Y n2 )(m1 m2 )
s
2
1
n1

P{|Z| 6 z } =

tn1;1 Sn

;
n1

Xn +

tn1;1 Sn

n1

nb
S2n
;
2n;1
2
nSn

2n1;1

 h
+ ;

(Xn1 Y n2 )

n N(0, 1)

nb
S2n
2 1
n;

 h
; + ;

nb
S2n
2 1+

n;

2
2
nSn

2
n1;

(Xn1 Y n2 ) +
s

1
2

nSn
2
n1;

;
S
tn1 +n2 2;1 i

21
n1

S
22
n2

21
n1

tn1 +n2 2;1

(Xn1 Y n2 ) + z

p(1p)

Xn +

(Xn1 Y n2 ) z
= Z N(0, 1)

+ n2

Xn p

i h
;

z
;
n

Xn

22

n2

[p1 , p2 ]; p1 , p2 j
2

(n + z2 )p2 (2nXn + z2 )p + nXn = 0

1+
2

m
j 2

Xn m0
n = Z N(0, 1)
H0

PH0 {|Z| > c} =

)
(c = 1 1
2

m
j 2

Xn m0

PH0 {|T| > c} =

( )

H0 ( = 0 )

Sn

n 1 = T tn1

j 2
m

b2
nS
n
= H 2n
H0
20

j 2
m

nSn
= H 2n1
H0
20

J
j 21 = 22

Xn1 Y n2
r
2
2
(n1 Sn1 + n2 Sn2 )

p
1
n1

1
n2

n1 + n2 2 = T tn1 +n2 2
H0

13

Xn Y n2
r1
= Z N(0, 1)

J j
m1 , m2

b2 /2
b2
S
S
n1
n1
1
=
= F Fn1 ,n2
b2 /2
b2
H0
S
S
n2
n2
2

PH0 {H 6 1 } = PH0 {H > 2 } =


m0 +

;
n


cSn
n1


m0 +

cSn ;
n1

+ = 
H
0


+ = 
H
0

H (; 1 ] [2 ; +) = 
H
0

J
j 21 , 22

J j
m1 , m2

xn ; m0

(c = tn1; )

H0

xn ; m0

21
n1

Sn1 /21
2

Sn2 /22

22
n2

H0

Sn1
2

Sn 2

= F Fn1 1,n2 1
H0

Xn p0
p
n = Z N(0, 1)
H0
p0 (1 p0 )

PH0 {|T| > c} =

T (; |c|] [|c|; +) = 
H
0

PH0 {|Z| > c} =

Z (; |c|] [|c|; +) = 
H
0

PH0 {F 6 c1 } = PH0 {F > c2 } =

F (0; c1 ] [c2 ; +) = 
H
0

(c1 = Fn1 ,n2 ; ; c2 = Fn1 ,n2 ;1 )

2

PH0 {F 6 c1 } = PH0 {F > c2 } =

(c1 = Fn1 1,n2 1; ; c2 = Fn1 1,n2 1;1 )

2

PH0 {|Z| > c} =

Z (; |c|] [|c|; +) = 
H
0


[1] Vesna Jevremovic: Verovatnoca
i statistika, Matematicki fakultet, Beograd, 2009.
[2] . . , . . , . . : , , , 2005.
[3] : , , , 2008.
[4] . . , . . : , , , 2004.
[5] . . : , , , 2007.

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