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BI GING 3
MT S VN C BN
V XC SUT THNG K
TRONG KINH T LNG
MC TIU BI GING:
1. K hiu tng
2. Php th, khng gian mu v bin c
3. Bin ngu nhin
4. Xc sut
5. Bin ngu nhin v hm phn phi xc sut
6. Hm mt xc sut a bin
7. c im ca cc phn phi xc sut
8. Mt s phn phi xc sut quan trng
9. Mt s php ton ma trn
10. Suy din thng k
I TNG BI GING:
1. Ti liu bi ging cho sinh vin i hc
2. Ti liu tham kho n tp cho hc vin cao hc
K HIU TNG
K hiu tng
K t (sigma) c thng nht s dng ch tng:
n
X i Xi X1 X 2 ... X n (3.1)
i 1
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar sumX=@sum(x)
1
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Php th
Mt php th c hai c tnh:
1) Khng bit chc kt qu no xy ra
2) Nhng bit c cc kt qu c th xy ra
Khng gian mu hay tng th
Tp hp tt c cc kt qu c th xy ra ca mt php th
c gi l tng th hay khng gian mu.
Bin c
Mt bin c l mt nhm cc kt qu c th xy ra c mt
php th. Ni cch khc, l mt tp hp con ca khng
gian mu.
Cc php tnh v bin c:
Bin c hi (AB): A xy ra hay B xy ra
Bin c giao (AB): A xy ra v B xy ra
Bin c ph ( A ): A xy ra, A khng xy ra
Bin c xung khc: AB =
2
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
XC SUT
3
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
4
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
X f(X)
0 0.25 0.25
1
2 0 1 2
Tng 1.00 Hnh 3.1: PMF ca bin ngu nhin ri rc
Ngun: Gujarati, 2006, trang 34
Phn phi xc sut ca bin ngu nhin lin tc
V d, gi X l bin chiu cao ca mt ngi, c o
bng mt. Gi s ta mun tnh xc sut chiu cao ca
mt ngi trong khong 1.56m n 1.80m.
3.54924276
3.04924276
2.54924276
2.04924276
1.54924276
1.04924276
0.54924276
0.04924276
1.4 1.44 1.48 1.52 1.56 1.6 1.64 1.68 1.72 1.76 1.8 1.84 1.88 1.92 1.96
6
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
7
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Hm xc sut bin
Xc sut X nhn mt gi tr nht nh bt k Y nhn gi
tr g c gi l xc sut bin ca X, v phn phi ca
cc xc sut ny c gi l hm phn phi xc sut bin.
BNG 3.7: Phn phi xc sut bin ca X v Y
X f(X) Y f(Y)
0 0.08 0 0.11
1 0.12 1 0.16
2 0.24 2 0.23
3 0.24 3 0.27
4 0.32 4 0.23
Tng 1.00. 1.00
Ngun: Gujarati, 2006, trang 41
T bng xc sut kt hp gia X v Y ta c th tnh cc
hm xc sut bin nh sau:
f(X) = f (X, Y)
y
f(Y) = f (X, Y)
x
Nu hai bin X v Y l hai bin ngu nhin lin tc th
ta s thay k hiu tng thnh k hiu tch phn.
Hm xc sut iu kin
Gi s ta mun tm xc sut c 4 my in c bn nu bit
c 4 my tnh c bn trong ny, v chnh l xc sut
c iu kin. Hm phn phi xc sut c iu kin ca mt
bin ngu nhin c th c nh ngha nh sau:
F(YX) = P(Y=yX=x) (3.14)
F(XY) = P(X=xY=y) (3.15)
Mt cng thc n gin tnh hm phn phi xc sut c
iu kin s nh sau:
f ( X, Y )
F(YX) = (3.16)
f (X)
f ( X, Y )
F(XY) = (3.17)
f (Y)
8
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Gi tr k vng: Thc o nh tm
Gi tr k vng ca mt bin ngu nhin ri rc, k hiu
l E(X), c nh ngha nh sau:
E(X) = X = xf (X) (3.18)
x
Gi tr k vng ca mt bin ngu nhin l trung bnh c
trng s ca cc gi tr c th c ca bin , vi xc
sut ca cc gi tr ny, f(X), ng vai tr nh cc
trng s. Gi tr k vng ca mt bin ngu nhin cng
c gi l gi tr trung bnh, mc d chnh xc hn l
gi tr trung bnh tng th.
Tnh cht ca gi tr k vng
E(b) = b (3.19)
E(X+Y) = E(X) + E(Y) (3.20)
E(X)
E(X/Y) (3.21)
E(Y)
E(XY) E(X)E(Y) (3.22)
Nu X v Y l hai bin ngu nhin c lp, th
E(XY) = E(X)E(Y) (3.23)
E(X2) [E(X)]2 (3.24)
E(aX) = aE(X) (3.25)
E(aX+b) = aE(X) + b (3.26)
9
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Phng sai
qu nh
Phng sai
qu ln
X
Hnh 3.3: PDF ca cc bin ngu nhin lin tc cng gi tr k vng
10
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
= E(XY) - xy
Tnh cht ca hip phng sai
Nu X v Y l hai bin ngu nhin c lp, hip
phng sai ca chng bng khng v khi E(XY) =
E(X)E(Y) = xy.
cov(a+bX, c+dY) = bdcov(X,Y) (3.37)
cov(X,X) = var(X) (3.38)
11
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
nghing v nhn
nghing v nhn cho ta bit iu g v hnh dng
ca phn phi xc sut. nghing (S) l mt thc o s
mt cn xng ca th phn phi xc sut, v nhn
(K) l mt thc o cao hay thp ca th phn phi
xc sut.
M men th ba: E(X-x)3 (3.39)
M men th t: E(X-x)4 (3.40)
12
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
E ( X x )3
S = (3.41)
3x
i xng
X
Hnh 3.4: nghing ca phn phi
C ba kh nng xy ra nh sau:
Nu S = 0, PDF i xng quanh gi tr trung bnh
Nu S > 0, PDF b nghing phi
Nu S < 0, PDF b nghing tri
E(X x ) 4
K = (3.42)
[E(X x ) 2 ] 2
C ba kh nng xy ra nh sau:
Nu K = 3, PDF c nhn chun v c gi l
mesokurtic
Nu K < 3, PDF c ui ngn v c gi l
platykurtic
Nu K > 3, PDF c ui di v c gi l
leptokurtic
13
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
ui ngn
nhn chun
ui di
X
Hnh 3.5: nhn ca phn phi
T TNG TH N MU
Trung bnh mu
Trung bnh mu ca mt bin ngu nhin X c n quan st
c k hiu l X (c l X ngang) v c nh ngha nh
sau:
n Xi
X (3.43)
i 1 n
Trung bnh mu c xem l mt c lng ca E(X), t
trung bnh tng th. Mt c lng n gin l mt qui
tc, mt cng thc, hay mt thng k cho ta bit lm sao
c lng mt i lng ca tng th. Gi s X c 7
quan st vi cc gi tr nh sau: 8, 9, 10, 11, 12, 13,
14. Vy X = 11, v con s 11 ny c gi l mt gi tr
c lng ca trung bnh tng th.
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar
meanX=@mean(x)
14
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Phng sai mu
Phng sai mu c k hiu bng S2x , l c lng ca
phng sai tng th 2x . Phng sai mu c nh ngha
nh sau:
n (X i X) 2
S2x (3.44)
i 1 n 1
n-1 c gi l s bc t do (d.f.). Bc t do l s
ngun thng tin (piece of information) v mt bin ngu
nhin. hiu khi nim ny, ta xt v d sau y.
BNG 3.8: nh ngha khi nim bc t do
1
Chng minh: (X X) X X X nX X X 0
15
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
(X X)
3
M men th ba: (3.48)
(n 1)
(X X)
4
M men th t: (3.49)
(n 1)
16
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar skewX=@skew (x)
scalar kurtX=@kurt(x)
-3 -3 -2
-2 -
-1
0 1 2
2 3 3
khong 68%
khong 95%
khong 99.7%
17
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
1
1 X x
2
f(X) = exp - (3.51)
x x
2 2
Mt kt hp (hay mt hm) tuyn tnh ca hai hay
nhiu bin ngu nhin theo phn phi chun s theo
phn phi chun y l mt tnh cht c bit quan
trng ca phn phi chun trong kinh t lng.
i vi phn phi chun, th nghing S l 0 v
nhn K l 3.
Phn phi chun ha
Mc d mt phn phi chun hon ton c xc nh bng
hai tham s, gi tr trung bnh v phng sai tng th,
nhng cc phn phi chun c th khc nhau hoc gi tr
trung bnh, hoc phng sai, hoc c hai.
18
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
-3 -2 -1 0 1 1 2 2 3 4
Hnh 3.7: So snh cc phn phi chun c trung bnh v phng sai khc nhau
X x
1
2
Chng minh: E(Z) = E E(X x ) 0 do E(X-x) = E(X) E(x) = x - x = 0. V Var(Z) =
x x
2
X x 1 2 1 2
2 2 2
E[Z-E(Z)] = E(Z ), do E(Z) = 0, vy E(Z ) = E
2 E(X x ) 2 x 1
x x x
19
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm167=1-@cnorm(1.67) = 0.0475
scalar probs167=@cnorm(1.67) = 0.9525
scalar probs_167=@cnorm(-1.67) = 0.0475
scalar Zval09525=@qnorm(0.9525) = 1.67
3
Nu qu v ang s dng my vi tnh m li ci tra bng thng k th c y nh bn nhn qua ci khc kht .
Hy m Excel ra l lm th ny: = NORMDIST(X, Mean, Standard_dev, Cumulative). Trong , X l gi tr
cn tnh xc sut tch ly (1.67), Mean v Standard_dev y ln lt l trung bnh (0) v lch chun (1)
ca bin X, v Cumulative c hai la chn l True (ng tnh xc sut tch ly) v False (khng tnh
xc sut tch ly). trng hp ang xt, ta chn True. Ngc li, nu ta bit xc sut tch ly, gi tr
trung bnh v phng sai th ta d dng tnh gi tr ca bin nh sau: =NORMINV(0.9525,0,1) = 1.67.
4
y l c s quan trng cho vic gi nh rng hn nhiu ui c phn phi chun (s c ni n bi ging
6).
20
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
21
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00
8.75 9.25 9.75 10.25 10.75 11.2
1 n
5
Chng minh: Do X
n
Xi nn ta c:
i 1
1 1 1
E ( X) [E(X1) E(X 2 ) ... E(X n )] [ x x ... x ] (n x ) x
n n n
X X 2 ... X n 1
var( X) var 1 [var( X1 ) var( X 2 ) ... var( X n )]
n n2
1 2
(n 2x ) x
n2 n
22
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Phn phi mu ca gi
tr trung bnh
Tng th c phn
phi chun
Phn phi t
Phn phi xc sut c s dng rt nhiu trong phn kinh
t lng cn bn l phn phi t, cng c gi l phn
phi t Student.
6
Trn thc t, cho d phn phi xc sut nn tng l g, trung bnh mu ca mt c mu t nht c 30 quan st s
c th xp x chun (Gujarati, 2006, pp.88).
23
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
2x
Nu X ~ N(x, ), th bin chun ha Z c nh ngha
n
(X x )
nh sau: Z = ~ N(0,1) nu c hai tham s x v
x
n
2x
u c bit. Nhng gi s ta ch bit x v gi tr
n
( X i X)
2
c lng ca x bi c lng mu Sx
2 2
. Nh vy,
n 1
nu thay x bng S x ta s c mt bin mi nh sau:
(X x )
t = (3.54)
Sx
n
L thuyt thng k cho rng bin t s theo phn phi t
vi s bc t do l (n-1), y l tham s duy nht ca
phn phi t.
-4 -3 -2 -1 0 1 2 3 4
24
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
7
Hm phn phi xc sut t trn Excel l: =TDIST(X, Deg_freedom, Tails). X ngha l gi tr t cn tnh xc
sut (1.9365), ngha l din tch di ng phn phi t t t n + (ta s bit y chnh l vng bc b gi thit
H0). Deg_freedom l s bc t do (14). Tails c hai la chn: 1 (mt ui), v 2 (hai ui). Gi tr xc
sut ta tnh c t cng thc ny chnh l P-Value (s c gii thiu bi ging 4). Nu ta bit mc
ngha (s c trnh by bi ging 4) v s bc t do, ta s tm c gi tr t theo cng thc sau:
=TINV(Probability, Deg_freedom). V d, =TINV(3.66%,14) = 1.9365. Lu , Ph lc B cui bi ging 3 s
hng dn cch v th phn phi t bng Excel.
25
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Zi Z1 Z1 ... Z1 ~ ( k )
2 2 2 2 2
(3.56)
8
Bc t do trong phn Chi bnh phng bng s bin ngu nhin c ly bnh phng
26
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
vi df = 4 vi df = 6 vi df = 2
0 2 4 6 8 10 12 14 16 18
9
Hm phn phi xc sut Chi bnh phng trn Excel l: =CHIDIST(X, Deg_freedom). X ngha l gi tr 2
cn tnh xc sut (v d 6), ngha l din tch di ng phn phi Chi bnh phng t 2 n + (ta s bit y
chnh l vng bc b gi thit H0). Deg_freedom l s bc t do (v d 2). Gi tr xc sut ta tnh c t cng
thc ny (4.98%) chnh l P-Value. Nu ta bit mc ngha (s c trnh by bi ging 4) v s bc t do,
ta s tm c gi tr 2 theo cng thc sau: =CHIINV(Probability, Deg_freedom). V d, =CHIINV(4.98%,2)
=6. Lu , Ph lc C cui bi ging 3 s hng dn cch v th phn phi 2 bng Excel.
27
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
(X i X)
2
2
S X = (3.57)
m 1
(Yi Y)
2
S2 Y = (3.58)
n 1
By gi ta xt t s sau y:
S2X (Xi X) /(m 1)
2
F = (3.59)
S2Y (Yi Y) /(n 1)
2
28
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
c im ca phn phi F
Ging phn phi chi bnh phng, phn phi F10 cng
b nghing phi v nm trong khong t 0 n v cng.
Ging phn phi t v phn phi chi bnh phng, phn
phi F s dn v phn phi chun khi k1 v k2 tng
ln v cng.
Bnh phng ca mt bin ngu nhin c phn phi t
vi k bc t do s c phn phi F vi 1 v k bc t
do.
t 2k ~ F1, k (3.60)
y l mt tnh cht c ngha rt quan trng trong phn
phn tch hi qui bi.
Cng nh mi quan h gia phn phi t v F, cng c
mi quan h gia phn phi F v phn phi chi bnh
phng nh sau.
2
F(m,n) = khi n (3.61)
m
Tm li, phn phi F rt quan trng trong kinh t lng
khi chng ta thc hin phn tch phng sai (ANOVA) v
kim nh cc bin di dng t s gia cc phng sai v
d kim nh gi thit ng thi, kim nh Wald, kim
nh Chow, kim nh nhn qu Granger,
Ngoi ra, qu v c th tham kho thm cc loi phn
phi khc nh phn phi beta, phn phi nh thc, phn
phi Gama, phi Poisson, phn phi Weibull, trong cc
ti liu chuyn v thng k, v d Hong Trng (2007), v
phn tr gip trong Eviews (statistical distribution
functions). Do cc loi phn phi ny t s dng trong
chng trnh kinh t lng c bn nn cun sch ny s
khng cp.
10
Hm phn phi xc sut F trn Excel l: =FDIST(X, Deg_freedom1, Deg_freedom2). X ngha l gi tr F
cn tnh xc sut (v d 4), ngha l din tch di ng phn phi F t F n + (ta s bit y chnh l vng
bc b gi thit H0). Deg_freedom1 l s bc t do ca t s (v d 2). Deg_freedom2 l s bc t do ca
mu s (v d 14). Gi tr xc sut ta tnh c t cng thc ny (4.23%) chnh l P-Value (s c gii thiu
bi ging 4). Nu ta bit mc ngha v s bc t do ca t v mu s, ta s tm c gi tr F theo cng thc
sau: =FINV(Probability, Deg_freedom1, Deg_freedom2). V d, =FINV(4.23%,2,14) = 4.
29
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
1.20
1.00
0.80
0.60
0.40
0.20
0.00
0 0.5 1 1.5 2 2.5 3 3.5 4
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm4=1-@cfdist(4,2,14) = 0.0423
scalar probs4=@cfdist(4,2,14) = 0.9577
scalar fval09577=@qfdist(0.9577,2,14) = 4
30
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
I S MA TRN
Mt s khi nim
Ma trn
Ma trn A c M dng v N ct thng c k hiu gn l
[aij] c th c th hin nh sau:
a11 a12 a13 ... a1N
a a a ... a 2 N
A [a ij ] 21 22 23
.......... .......... .......... .....
a M1 a M 2 a M3 ... a MN
Trong aij l thnh t dng th i v ct th j ca ma
trn A. Trong m hnh hi qui c in, ma trn X c gi
l ma trn M dng v N ct. d dng nhn bit s bc
ca mt ma trn, ngi ta thng k hiu s dng v ct
ca ma trn nh sau:
1 5 7
2 3 5
A 6 1 3 B 1 0 4
2x3 3x 3 8 9 11
Thao tc vi Eviews
to ma trn A, th trn ca s lnh ca Eviews ta nhp: matrix(2,3) matrixA
Sau nhp gi tr cc thnh t ca ma trn A nh sau:
matrixA.fill 2, 6, 3, 1, 5, 3
Vect ct
Mt ma trn c M dng v ch mt ct c gi l mt
vect ct, v c minh ha nh sau:
3
4
Y 5
4x1
9
Trong m hnh hi qui c in, cc ma trn dng vect ct
l ma trn bin ph thuc Y, ma trn h s hi qui B, v
ma trn hng nhiu u.
Thao tc vi Eviews
to vect ct Y, th trn ca s lnh ca Eviews ta nhp: vector(4) vectorY
Sau nhp gi tr cc thnh t ca vect Y nh sau: vectorY.fill 3, 4, 5, 9
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BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Vect dng
Mt ma trn c mt dng v N ct c gi l mt vect
dng, v c minh ha nh sau:
Z 2 5 - 4 10 17
1x 5
Thao tc vi Eviews
to vect dng Z, th trn ca s lnh ca Eviews ta
nhp: rowvector(5) vectorZ
Sau nhp gi tr cc thnh t ca vect Z nh sau:
vectorZ.fill 2, 5, -4, 10, 17
Ma trn chuyn v
Ma trn chuyn v ca ma trn A vi M dng v N ct, c
k hiu l A l mt ma trn c N dng v M ct c c
bng cch thay i dng v ct ca ma trn A nh sau:
4 5
4 3 5
A 3 1 A 5 1 0
3x 2 5 0 2x3
Thao tc vi Eviews
to ma trn chuyn v (AT) ca ma trn A, th trn ca
s lnh ca Eviews ta nhp:
matrix AT @transpose(A)
Do vect l mt loi ma trn c bit, nn chuyn v mt
vect dng l mt vect ct v ngc li.
3
4
Y 5 A 3 4 5 9
4 x1 1x 4
9
Ma trn con
Ma trn A c 3 dng, 3 ct, gi s b i dng v ct th
3 ca ma trn A, ta s c ma trn B vi 2 dng, 2 ct. B
c gi l ma trn con ca ma trn A.
1 5 7 1 5
A 1 0 4 B
3x 3 8 9 11 2 x 2 1 0
32
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Cc loi ma trn
Ma trn vung
Ma trn c s dng v s ct bng nhau c gi l ma
trn vung, nh ma trn A v ma trn B trn.
Ma trn ng cho
Mt ma trn vung vi t nht mt thnh t khc khng
trn ng cho chnh v cc thnh t khc c gi tr
khng c gi l ma trn ng cho.
2 0 0
2 0
A 0 5 0
B 0 3
3x 3 0 0 1 2x 2
Ma trn v hng
Mt ma trn ng cho vi cc thnh t trn ng cho
u ging nhau c gi l ma trn v hng. Ma trn v
hng hay gp trong kinh t lng l ma trn phng sai -
hip phng sai ca hn nhiu trong m hnh hi qui tuyn
tnh c in nh sau:
2 0 0 0 0
0 2 0 0 0
var cov(u) 0 0 2 0 0
5x5
0 0 0 2 0
0 0 0 0 2
Ma trn n v
Mt ma trn vi cc thnh t trn ng cho u bng 1
c gi l ma trn n v, c k hiu l I. Ma trn
n v l mt trng hp c bit ca ma trn v hng.
1 0 0 0
1 0 0 0 1 0 0
I 0 1 0 I 0 0
3x 3 0 0 1 4x 4 0 1
0 0 0 1
Ton t ma trn
Php cng ma trn
Ta c A = [aij] v B = [bij]. Nu A v B l cc ma trn c
cng bc, th php cng ma trn c nh ngha nh sau:
A + B = C
33
BI GING 3: N TP XC SUT THNG K
ThS Phng Thanh Bnh
Php tr ma trn
Php tr ma trn cng c thc hin theo mt nguyn tc
nh php cng ma trn (C = A B); ngha l, ta tr cc
thnh t ca A cho cc thnh t tng ng ca C.
Thao tc vi Eviews
thc hin php tr hai ma trn A v B, th trn ca s
lnh ca Eviews ta nhp:
matrix matrixC=A-B
Tch v hng
nhn mt ma trn A vi mt v hng , ta nhn mi
thnh t ca ma trn A vi nh sau:
A = [aij]
1 5 2 10
V d, nu = 2 v A , th A =
2 x 2 1 0 2 0
Thao tc vi Eviews
thc hin php nhn mt s k v ma trn A, th trn
ca s lnh ca Eviews ta nhp: matrix matrixD=k*A
Php nhn ma trn
Gi s ta c A l mt ma trn M dng, N ct, v B l mt
ma trn N dng, P ct. Th ma trn C = AB s l mt ma
trn c M dng v P ct nh sau:
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N
cij a ik b kj i = 1, 2, M v j = 1, 2, , P
k 1
Ngha l, thnh t dng th i v ct th j ca ma trn
C c tnh bng cch nhn cc thnh t ca dng th i
ca ma trn A vi cc thnh t tng ng ca ct j ca ma
trn B v cng tt c cc tch li.
Xem v d sau y11:
2 1
3 4 7
A 5 6 1 B 3 5
2x3 3x 2 6 2
(3x2) (4x3) (7x6) (3x1) (4x5) (7x2) 60 37
A*B = C
2 x 2 (5x2) (6x3) (1x6) (5x1) (6x5) (1x2) 34 37
Thao tc vi Eviews
nhn ma trn A v B, th trn ca s lnh ca Eviews
ta nhp: matrix AB=A*B
Lu :
AB BA
Tch ca mt vect dng v mt vect ct l mt v
hng
u1
u 2
.
uu = [u1 u2 un] = u i2
.
.
u n
11
Thc hin php nhn ma trn trn Excel nh sau: Gi s trong bng tnh Excel ma trn A ang v tr A1:C2,
v B ang v tr A4:B6. Bc mt, ta chn khi v tr s t ma trn C (gi s D4: E5). Bc hai, ti u tin
ca ma trn C (tc D4) ta nhp cng thc =MMULT(A1:C2, A4:B6). Bc ba, nhn phm F2, sau gi
ng phm Ctrl+Shift, v cui cng l nhn phm Enter.
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A A 1 = A 1 A = I
Xem v d sau y12:
1
2 4 - 1 2 1 0
A 6 8 v A 1 6 th AA1
2x 2 1 0 1
2x 2 -
8 4
Thao tc vi Eviews
tm ma trn nghch o (AI) ca ma trn A, th trn
ca s lnh ca Eviews ta nhp: matrix AI=@inverse(A)
Ma trn nghch o c cc tnh cht sau y:
(AB)-1 = B-1A-1
(A-1) = (A)-1
12
Thc hin php nhn ma trn trn Excel nh sau: Gi s trong bng tnh Excel ma trn A ang v tr A1:C2.
Bc mt, ta chn khi v tr s t ma trn A-1 (gi s A4: B5). Bc hai, ti u tin ca ma trn A-1 (tc
A4) ta nhp cng thc =MINVERSE (A1:C2). Bc ba, nhn phm F2, sau gi ng phm Ctrl+Shift, v
cui cng l nhn phm Enter.
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nh thc ma trn
Tng ng vi mi ma trn vung, A, l mt con s nht
nh c gi l nh thc ca ma trn. nh thc ca ma
trn A thng c k hiu l det A hay A . V d,
1 5 7 1 5 7
A 1 0 4 v A 1 0 4
8 9 11
8 9 11
Vic tnh gi tr nh thc i vi ma trn 2 dng 2 ct
tng i n gi bng cch ly tch ca hai thnh t
trn ng cho chnh tr tch ca hai thnh t trn
ng cho ph (a11a22 - a12a21). Tuy nhin, vic tnh gi
tr nh thc ca cc ma trn nhiu dng v nhiu ct (v
d 3 dng 3 ct, hay 5 dng 5 ct) s tr nn kh khn v
lun lm nhiu sinh vin cm thy s hi! Tuy nhin, vic
tnh gi tr nh thc trn Excel thc ra l mt vic ht
sc nh nhng. V d, trn bng tnh Excel gi tr cc
thnh t ca ma trn A nm trong khi A1:C3, ta ch cn
nh cng thc =MDETERM(A1:C3) vo mt no th ta s
bit gi tr ca nh thc A l 116.
Thao tc vi Eviews
tnh nh thc ca ma trn A, th trn ca s lnh
Eviews ta nhp:
scalar detA=@det(A)
Cc tnh cht cn lu ca nh thc ma trn:
Mt ma trn c gi tr nh thc l khng c gi l
ma trn suy bin v mt ma trn c gi tr nh thc
khc khng c gi l ma trn khng suy bin. D
nhin, mt ma trn suy bin th khng th c ma trn
nghch o. Tnh cht ny rt quan trng khi chng ta
phn tch trng hp a cng tuyn hon ho. Mt ma
trn suy bin c ngha l dng (hay ct) ny l mt
hm tuyn tnh ca dng (hay ct) khc trong ma trn
.
Nu tt c cc thnh t ca bt k mt dng no ca
ma trn u bng khng, th gi tr nh thc s bng
khng.
A A
o v tr ca hai dng hay hai ct bt k no s lm
thay i du ca nh thc.
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39
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C LNG CC THAM S
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Z =
X x ~ N(0, 1) (3.63)
x / n
iu ny c ngha rng phn phi mu ca trung bnh
mu X cng theo phn phi chun. Nu X khng theo phn phi
chun, th theo nh l gii hn trung tm X s theo phn
phi chun nu c mu ln.
Tuy nhin, do khng bit gi tr phng sai 2x , nhng
( X x X)
2
ta c th s dng c lng ca n l S2x th
n 1
t =
X X ~ td.f.=(n-1) (3.64)
Sx / n
theo phn phi t vi (n-1) bc t do, (d.f.).
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-2.045 2.045
P(-2.045
X X 2.045) = 0.95 (3.66)
Sx / n
Sx S
P( X - 2.045 X X + 2.045 x ) = 0.95 (3.67)
n n
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S S
X 2.045 x X X 2.045 x
n n
Hnh 3.14a: Khong tin cy 95% ca X vi s bc t do l 29
S X S
X 2.756 x
X 2.756 x
n
n
Hnh 3.14b: Khong tin cy 99% ca X vi s bc t do l 29
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KIM NH GI THIT
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13
Acceptance region, critical region, v the region of rejection.
14
Critical value. Lu , cc sch thng k hoc kinh t lng Vit Nam dch thut ng critical l ph
phn hoc ti hn. Tuy nhin, iu quan trng l ta nn hiu bn cht ca thut ng ny. V d, ta thng ni
a critical decision c ngha l mt quyt nh c ngha sng cn, theo kiu thng lm vui, thua lm gic.
Trong thng k, cc ranh gii ca vng chp nhn c gi l cc gi tr ph phn, v cc ranh gii ny l ng
phn chia gia vic chp nhn v bc b gi thit H0. Ngoi ra, cc gi tr ny l cc gi tr chun c tnh da
trn mt phn phi nht nh (v trc y chng c nh km dng cc bng thng k phn ph lc cc
sch gio khoa) gip sinh vin tra v so snh, cho nn i khi chng c gi l gi tr tra bng. Ngy nay,
chng ta thng tra nhanh cc gi tr ny bng cc cng thc nh TINV, FINV, CHIINV, trn Excel hoc
cc hm @qtdist, @fqdist, @qchisq, trn Eviews.
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15
V cc phn mm kinh t lng u cung cp cc thng tin gi tr thng k t v gi tr xc sut tng ng, nn
phng php kim nh ny c s dng ph bin.
16 (X X )
Bit rng t= theo phn phi t vi bc t do l (n-1), nn ta c th d dng tnh c gi tr xc sut
Sx / n
tng ng ca n bng cng thc =TDIST(x,Deg_Freedom,Tails). V d, =TDIST(2.045,29,2) = 5%. Ngoi ra,
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95%
Vng chp
nhn H0
2.5% 2.5%
-2.045 2.045
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95%
Vng chp
nhn H0
5%
1.699
Vng chp
nhn H0
2.5% 2.5%
17.91 26.49
X
Vng chp
nhn H0
2.5% 2.5%
-2.045 2.045 t
Hnh 3.16: Mi quan h gia hai phng php kim nh
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Kim nh ngha 2
Nh bit, nu S2 l phng sai mu t mt mu c ly
ngu nhin vi n quan st t mt tng th c phn phi
chun vi phng sai l 2, th
S2
(n-1) 2 ~ (2n 1) (3.71)
Ngha l, t s ca phng sai mu/phng sai tng th
c nhn vi s bc t do (n-1) c phn phi 2 vi s
bc t do l (n-1). Lu rng, (n-1) v 2 ch l cc con
s nht nh, ring bn thn S2 l mt bin ngu nhin v
gi tr ca S2 s thay i t mu ny qua mu khc (tng
t nh X ). Do X l mt bin ngu nhin c phn phi
2
chun, th S2 c xem gn nh mt X , nn theo nh
ngha bi ging 3, S2 s c phn phi 2. Hn na, v
tri ca phng trnh (3.71) l mt bin tng ca (n-1)
2
bin S 2 , nn s bc t do s l (n-1).
BNG 3.14: Tm tt kim nh 2
Gi thit khng, H0 Gi thit khc, H1 Vng ph phn/bc b H0 nu
(n 1)S2x
2x 02 2x 02 2 , ( n 1)
02
(n 1)S2x
(21 ), ( n 1)
2x 02 2x 02 02
(n 1)S2x
2 / 2, ( n 1)
2x 02 2x 02 02
hay (21 / 2), ( n 1)
Ngun: Gujarati, 2006, trang 124
V d, t mt mu ngu nhin nh Bng 3.11 ta c phng
sai mu l S2 = 131.9, ta kim nh xem gi tr ny c
khc g mc ngha = 5% so vi gi tr phng sai
thc ca tng th l 99.1 hay khng.
H0: 2 = 99.1 v H1: 2 99.1
Lu , qu v cn xem y l loi gi thit g trn ba
trng hp c trnh by Bng 3.14 xc nh gi tr
2 ph phn cho ng. Ta c n = 30 nn thay vo phng
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131 .9
trnh (3.70) ta s c gi tr 2 tnh ton l (30-1) =
99 .1
38.598 vi s bc t do l 29. T cng thc
=CHIINV(2.5%,29) = 45.72 > 38.598 > =CHIINV(97.5%,29) =
16.05, ta khng bc b gi thit H0 mc ngha 5%.
Ngoi ra, ta c th tnh xc sut c c gi tr 2
bng hoc ln hn 38.598 (vi 29 bc t do) theo cng
thc =CHIDIST(38.598,29) = 0.1096 hay 10.96%. V xc sut
ny ln hn mc ngha c chn l 5%, nn ta khng bc
b gi thit H0 cho rng phng sai thc l 99.1.
Thao tc vi Eviews (trn ca s lnh)
Gi tr phng sai mu ca ROE: scalar ROEvar=@var(roe) = 131.9
hoc scalar ROEvar=@stdev(roe)^2 = 131.9
Gi tr ph phn chn trn: scalar chisqc975=@qchisq(0.975,29) = 45.72
2
Kim nh ngha F
Ta bit, nu ta c hai mu ngu nhin t hai tng th
c phn phi chun X v Y, vi m v n quan st, th
S2X (Xi X) /(m 1)
2
F (3.72)
S2Y (Yi Y) /(n 1)
2
12 22 12 22 S12
F / 2, ndf , ddf
S22
hay F(1 / 2), ndf , ddf
Ngun: Gujarati, 2006, trang 125
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