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4.1
. ..
.
(= ) (= ),
(,). ,
. ,
, (,) .
.
. 1000
, (), (),
(1, 2, 3, ), ()
. ,
(, , 1, 2, 3, ,,)
.
.
.. .
1. ( ..).
{1, 2, 3}
.
1, 2 3, 2, 3, 4, 5
6. .. 3 4.
P(=3, =4) 2/9. , 9
{11,12,13,21,22,23,31,32,33},
13 31. P(X=x, =y),
x=1,2,3 y=2,3,,6.
2 3 4 5 6
1 1/9 0 0 0 0
2 0 2/9 1/9 0 0
3 0 0 2/9 2/9 1/9
1
4.2
.. (,) (x,y)
(x,y)
. x,y
, . Dx,y
1 Dx,y
x
1
y.
. Dx,y
[Xx, Yy], P(Xx, Yy).
x,y,
. :
FXY ( x, y ) P( X x, Y y ) (1)
(1) (4.4)
.
FXY ( x, y ) (
..) .. (,).
FXY ( x, y ) (4.5) .
1. x1x2 y1y2
FXY ( x2 , y2 ) FXY ( x1 , y1 ) FXY ( x1 , y2 ) FXY ( x2 , y1 ) 0 (2)
( (x1,y2) (x2,y2)
2)
D={x1 < X x2, y1 < Y y2 } D
D
, (x1,y1) (x2,y1)
P(x1 < X x2, y1 < Y y2) 0.
3
..
P(x1 <X x 2 , y1 <Y y 2 ) =
2
FXY ( x2 , y2 ) FXY ( x1 , y1 ) FXY ( x1 , y2 ) FXY ( x2 , y1 ) 0
.
lim FXY ( x, y ) FXY ( x, ) FX ( x)
y
.. .
2
FXY ( x2 , y2 ) FXY ( x1 , y1 ) FXY ( x1 , y2 ) FXY ( x2 , y1 )
(x1,y2) (x2,y2) (x1,y2) (x2,y2) (x1,y2) (x2,y2) (x1,y2) (x2,y2)
3
lim FXY ( x, y ) FXY ( , y ) 0 lim FXY ( x, y ) FXY ( , ) 1
x x
y
(. FXY (, y ) x +,
x +).
2.
1 . 4
.
6
5
0, x 1 y 2
4
1/ 9, 1 x 2, y 2
1/ 9, x 2, 2 y 3
3
2
3 / 9, x 2, 3 y 4
FXY ( x, y )
4 / 9, 2 x 3, y 4
6 / 9, x 3, 4 y 5
1 2 3
8 / 9, x 3, 5 y 6
4
1 x 3, y 6
0, x 1
1/ 9, 1 x 2
y +, FX ( x)
4 / 9, 2 x 3
x3
1,
.. ..
1, 2 3.
1 2 3
P(X=x) 1/9 3/9 5/9
3
0,
y2
1/ 9, 2 y 3
3 / 9, 3 x 4
, x +, FY ( y )
6 / 9, 4 x 5
8 / 9, 5 x 6
1
y6
.. .. Y
2 6.
2 3 4 5 6
P(Y=y) 1/9 2/9 3/9 2/9 1/9
4.3.1
4.3.1. .
.. (,) 1.
(xi,yj) (
) 0,
0. 5 0
. ,
1/9, 2/9. 6
35=15 5
4
2, 3, 4, 5 6
1, 2 3, 3
0. 2
1.
, .. (,). 1 2 3
(xi,yj)
0, 5
0.
x1, x2, ,xn
,
y1, y2, ,ym
.
nm
(xi,yj), i=1,2,,n, j=1,2,,m
pij f XY ( xi , y j ) P ( X xi , Y y j ), i 1, 2,.., n, j 1, 2,..., m ,
.. (,).
4
.
m
[X=x i ]= [X=x i , Y=y j ]
j1
n n n
P(Y=y )= pij P(X=x i , Y=y j ) , fY ( y j ) f XY ( xi , y j ) . (4)
i=1 i=1 i 1
(3) (4)
. pij,
pi P( X xi )
p j P (Y y j ) .
.
3. 1,
.
yj
2 3 4 5 6 pi
xi
1 1/9 0 0 0 0 1/9
2 0 2/9 1/9 0 0 3/9
3 0 0 2/9 2/9 1/9 5/9
p j 1/9 2/9 3/9 2/9 1/9 1
2.
4. 52 .
.. 1, 2, 3 4 ,
, . , ..
1 0 .
(,)
.
yj
1 2 3 4 pi
xi
0 5/26 5/26 5/26 5/26 10/13
1 3/52 3/52 3/52 3/52 3/13
p j 1/4 1/4 1/4 1/4 1
5
4.4
4.4. .
.. , ,
FXY ( x, y ) FX ( x) FY ( y ), x, y (5)
P ( X xi , Y y j ) P ( X xi ) P (Y y j ), i, j , (6)
pi j pi p j , i=1,,n, j=1,m (7)
..
, .
5. 3 4.
3,
f X (1) fY (2) (1/ 9)(1/ 9) 1/ 81 1/ 9 f XY (1, 2)
.. , .
4, (10/13)(1/4)=5/26 (3/13)(1/4)=3/52.
.
f X ( x) fY ( y ) f XY ( x, y ), x 0,1, y 1, 2,3, 4 .
, ..
2. , .. , . :
P ( X A, Y B ) P ( X A) P (Y B ) (8)
[], [] .
.
P ( X A, Y B )
( x , y ) AB
P ( X x, Y y ) P( X x) P(Y y )
x A y B
P ( X x) P (Y y ) P ( X A) P (Y B )
x A yB
6. .
1 () 0
(). ..
.
8
,
6
={, , , , , , , }
P(KKK)=P(KK)==1/8.
. ,,
.
1 3 3
1 2 1
1 2 1
1 1 1
0 2 1
0 1 1
0 1 1
0 0 3
(,) (,)
yj
0 1 2 3 P( X x)
xi
0 1/8 1/4 1/8 0 1/2
1 0 1/8 1/4 1/8 1/2
P (Y y ) 1/8 3/8 3/8 1/8 1
zj
1 3 P( X x)
xi
0 3/8 1/8 1/2
1 3/8 1/8 1/2
P(Z z) 3/4 1/4 1
P(=1, =2)
=1 =2. 2/8.
.. , ,
.
P(Y=2|X=1),
2 =1.
:
P({Y 2} { X 1}) P( X 1, Y 2) 1/ 4 1
P(Y 2 | X 1)
P({ X 1}) P( X 1) 1/ 2 2
=1 ( ) 1, 2
3
1 2 3
P(Y=y|=1) 1/4 1/2 1/4
7
.
=1 fY | X ( y | X 1) .
f XY ( x, y )
fY | X ( y | X x ) , y Iy
f X ( x)
IY .
f XY ( x, y )
f X |Y ( x | Y y ) , x Ix
fY ( y )
I X .
fY | X ( y | X 0)
0 1 2
P(Y=y|=0) 1/4 1/2 1/4
fY | X ( y | X 0) fY | X ( y | X 1)
( . ..
.
0 1.
fY | X ( y | X x1 ) fY | X ( y | X x2 ), x1 , x2 I x
, .
.. .
7. .. ,
p. .. Z=min{X,Y}.
,
f X ( k ) fY ( k ) p (1 p ) k , k 0,1, 2,...
,
p (1 p ) k 1
FX (k ) FY (k ) 1
j k 1
p (1 p ) j 1
1 (1 p )
1 (1 p ) k 1 , k 0,1, 2,...
FZ ( z ) P( Z z ) P(min{ X , Y } z ) 1 P(min{ X , Y } z ) 1 P( X z, Y z )
1 P( X z ) P(Y z ) 1 (1 FX ( z ))(1 FY ( z )) 1 (1 p) z 1 (1 p) z 1
1 (1 p) 2( z 1) 1 (1 ) z 1 , z 0,1, 2,...
1- (1- p ) 2 ,
. 1- 1- 2 p p 2 p (2 - p ) .
p (2 - p ) .
8
4.4. ..
, ..
f XY ( xi , y j ) P ( X xi , Y y j ) .
, .. =(,).
.. .
FZ ( z ) P ( Z z ) P (( X , Y ) z ) P (( X , Y ) Dz )
Dz {( x, y ) : ( x, y ) z} .
FZ ( z ) P(( X , Y ) Dz )
( xi , y j )Dz
P( X xi , Y y j ) (9)
F(z)
(
). ..
X, Y , .
. (, convolution)
Z=X+Y ,
. (10), .
n
f Z ( zs ) P ( Z zs ) P ( X Y z s ) P ( X xi , Y z s xi ) (10)
i 1
m
P( Z zs ) P( X Y zs ) P( X zs y j , Y y j )
j 1
(11)
.. .
8. , .. B(n, ) B(m, ).
Z=X+Y .
n
P ( X i ) i (1 ) ni , i 0,1,..., n
i
m
P (Y j ) j (1 ) m j , j 0,1,..., m
j
(10)
k k
P ( Z k ) P ( X s, Y k s ) P ( X s ) P (Y k s )
s 0 s 0
9
n m k s
n
m
k k (1)
s (1 ) ns
s
k s
(1 ) mk s
k
(1 ) n mk
s 0 s0 s k s
n m k
(1 ) nmk
k
(1) ( (2.29) ).
B(n+m, ).
9. , .. P()
P() ,
f X ( x) (1 ) x , x 0,1, 2,... fY ( y ) (1 ) y , y 0,1, 2,...
Z=X+Y.
z z
P ( Z z ) P ( X x, Y z x) P ( X x) P (Y z x)
x0 x0
z
(1 ) x (1 ) zx
x0
=
z
P( Z z ) 2 (1 ) z ( z 1) 2 (1 ) z
x0
=2. ,
1 .
1
.
.
4.6
4.6.
.. ..
n m
Eh( X , Y ) h( xi , y j ) pi j , , .. (12)
i1 j 1
10
Eh(X,Y)
E|h(X,Y)|.
.
X, ,
(,)
m EX Y
=0 m0= , .
, :
n m n m n
mk 0 EX k xi k pi j xi k pi j xi k pi . EX k
i1 j 1 i1 j 1 i1
.. , , 2,
. .. (,),
, , 2, 2, .
... .
, .
, X EX , Y EY
X E ( X X ) , Y E (Y Y )
2 2 2 2
, (covariance) Cov(X,Y)
Cov( X , Y ) ( X )(Y Y )
(correlation coefficient) (,)
Cov( X , Y )
( X , Y ) , Var ( X ) , Y Var (Y )
X Y
3.
1. E (1 X1 ... n X n ) 1E ( X1 ) ... n E ( X n )
2. Cov( X , Y ) XY E EY
3. Cov( X , Y ) Cov( X , Y )
4. ( X , Y ) ( X , Y ) . ,
X EX Y EY
( X , Y ) Cov( X *, Y *) , X * , Y* , (
X Y
) .. , .
..
5. 1 ( X , Y ) 1 , 2=1 , .
6. , , EXY EX EY , Cov( X , Y ) 0
n
7. Var (1 X 1 ... n X n ) i 2Var ( X i ) 2 i j Cov( X i , Y j )
i1 i j
11
.
5 Schwarz, .
EXY EX 2 EY 2 .
1/ 2
E ( X Y )2 0 ,
, EX 2 2 EXY 2 EY 2 0 .
0
Schwarz.
5 .
, :
2 ( ) 2 ( )( )
2
( )( ) ( ) 2
-
Schwarz . Schwarz
, .. ,
0, -.
.. , , 6,
.
. .. (
8). .. , , .
.. , . ,
.. ,
norm
(..), . X Cov ( X , X ) X . ..
( /),
.. ( ).
. ,
7 ,
X Y Var ( X Y ) Var ( X ) Var (Y ) 2Cov( X , Y )
2
X Y 2
2 2
XY ( )
( 5),
Y X Y
X Y 2 X 2 Y 2 2 X Y ( )
-
.
, X
.. 6
.
( ) ..
.
12
10. n 1 n,
.
.
(
), ,
.
.
.
k 1, 2, , n , X k .. 1, k
0 .
,
1/n. P( X k 1) 1/ n, P( X k 0) (n 1) / n, . X k ..
p 1/ n . , ( X k ) 1/ n, Var ( X k ) (1/ n)(1 1/ n) (n 1) / n 2 .
.. 1 , 2 , n
.
1 2 n
X k .
( 1 2 n ) 1 E 2 E ( n ) 1
4.10
4.10 *
.
f ( E ) Sn / n , S n n ,
( ) P(E) .
.
.. Bernoulli, 1
p, (0p1) 0 q=1-p.
*
. , ,
4 6, (15).
13
.. 1 0
Bernoulli p=1/2.
1 , 0 .
.. .
..
EX 1 p 0 q p
EX 2 12 p 02 q p
EX 2 ( EX ) 2 p p2 pq
.. . (..
1 0 ).
x1 , x2 , x3 , ...
0 1. ,
x1, x2 , x3 , ...
.
x1 , x1, x1, ...
,. X 1 Bernoulli
p. x2 , x2 , x2, ...
,. X 2
Bernoulli p.
X1 , X 2 , X 3 , ...
Bernoulli p.
Sn X1 X 2 X 3 ... X n
.. n .
4.6, :
ESn EX1 EX 2 EX 3 ... EX n np
Var ( Sn ) VarX1 VarX 2 ... VarX n npq
.. X k 0.
Sn S S 1 pq
.. E n p Var n 2 Var ( Sn ) .
n n n n n
Sn pq
Sn / n
n n
S
Chebyshev ( 4.62 ) .. . n :
n
14
S 1
P n p Sn / n 2 .
n
( Sn / n )
S pq
P n p 2 .
n n
S
n P n p
n
0.
p 0.
.
,
() .
.
. X1 , X 2 , X 3 , ..., X n , ...
c , 0 :
c X n p
lim P X n c 0 (13)
n
X X 2 X 3 ... X n
Xn 1 .
n
>0
lim P X n 0 ,
n
X n .
.. Xk
Bernoulli p pq<.
.
5. Xn 1 Yn
2
1. X n Y n 1 2 .
2. X n Y n 1 2 .
3. X n / Y n 1 / 2 , 2 0 .
4. X n 1 , P( X n 0) 1 .
15
11. X1 , X 2 , X 3 , ... .. E ( X k ) ,
E ( X k 2 ) 2 , E ( X k 3 ) 3 E ( X k 4 ) 4 ,
1 n
. S 2 S 2
n i1
( X i X ) 2 .
S 2 Var ( X k ) .
1 n 1 n
S 2 S 2 i
n i1
X 2
X 2
, X Xi .
n i1
X n 2 ,
.. 2 (;),
1 n
n i1
X i 2 2 .
1 n
X X i
n i1
.
1 n
X i 2 X 2 2 2 , Var ( X k ) ,
n i1
.
11
.
..
..
.. ,
, (...).
.
. X1 , X 2 , X 3 , ..., X n , ... .. X n
Fn ( x) . X .. .. F ( x ) .
lim Fn ( x ) F ( x ) (14)
n
x F ( x ) , X n
..
.. X n .
F ( x ) .. X n .
1
12. .. .. F(x). X n X
n
16
..
X n .
1 1 1
Fn ( x) P( X n x) P( X x) P ( X x ) F ( x )
n n n
, x F ( x ) ,
1 1
lim Fn ( x) lim F ( x ) F ( x lim ) F ( x) .
n n n n n
..
, X n .. , X n .
... n,
.. Sn X1 X 2 ... X n (z)
.. ,
1 z
e x / 2 dx
2
( z )
2
z (. 465 ).
, X1 , X 2 , X 3 , ..., X n , ... .. EX i
Var ( X i ) 2 , n
z n
P( Sn z ) P( X 1 X 2 ... X n z ) (15)
n
13.
=1.72 . =0.12 . ,
, 25 , 1.75 .;
Xi i=1,2,,25, 25 =1.72
. =0.12 . , ..., (15)
z 25 1.72 z 43
P( S25 z ) P( X 1 X 2 ... X 25 z )
25 0.12 0.6
z. :
17
S 25
P( X 1.75) P( 1.75) P( S 25 25 1.75) P ( S 25 43.75)
25
43.75 43 0.75
1 P( S 25 43.75) 1
0.6
1
0.6
1 1.25 1 0.8944 0.1056
5.2
5.2.11
, , , .. , , , , ,
. ,
p, q r
. n
.
n X Y .
.. (,), (n;p,q).
(, )
(x,y) (, ), 0 x n, 0 y n, 0 x y n .
(, )=(x, y)
, , , ,, , , , (16)
x, y n-x-y,
. (16)
p x q y r nx y .
, (16) n x
, n-x y
.
n
n x n! (n x)! n!
y x ! (n x)! y ! (n x y )! x ! y ! (n x y )!
x
n
,
x, y, n x y
.
n!
P ( X x, Y y ) p x q y r nx y , x, y , 0 x y n (17)
x ! y ! (n x y )!
n n x n n x
n!
P( X x, Y y)
x0 y 0 x0 y 0 x ! y ! (n x y )!
p x q y r n x y
( p q r) 1
n
18
(, ) .
, k+1
p1 , p2 , ..., pk , pk 1 n .. X 1 , X 2 , ..., X k , X k 1
n; p1 , p2 , ..., pk , pk 1 , n; p1 , p2 , ..., pk , pk 1 .
n!
f ( x1 , x2 , ..., xk , xk 1 ) p1x1 p2 x2 ... pk 1xk1 , xi , x1 x2 ... xk 1 n (18)
x1 ! x2 ! ... xk 1 !
k (n, pk), k
,
n x n x
n!
f X ( x ) P ( X x ) P ( X x, Y y ) p x q y r nx y
y 0 y 0 x ! y ! (n x y )!
n! n x
(n x)! n
px q y r nx y p x (q r ) nx
x ! (n x)! y0 y ! (n x y )! x
n
p x (1 p ) nx
x
X np, Var X np 1 p , Y nq, Var Y nq 1 q
n n x n1 n x
n! n!
EXY xy p x q y r nx y xy p x q y r n x y
x0 y 0 x ! y ! (nx y )! x1 y 1 x ! y ! (nx y )!
n1 n x
n! (nx1)!
pq p x1 q y 1r nx y
x1 ( x1)! (nx1)! y 1 ( y
1)! ( n x y )!
n1
(n 2)!
n (n 1) p q p x1 (q r ) nx1
x1 ( x 1)! (n x 1)!
n(n 1) pq ( p (q r )) n1 n(n 1) pq
npq pq
X ,Y .
np (1 p ) nq (1 q ) (1 p )(1 q )
14. 10 , 15 5 .
5 . ,
. ()
2 , 2 1 ; ()
100 ;
19
() 5 ,
(, ) (5; 1/3, 1/2), ..
5 x y
1 1 1
x y
5!
P ( X x, Y y ) , x, y , 0 x y 5
x ! y ! (5 x y )! 3 2 6
5! 1 1 1
2 2 1
P ( X 2, Y 2) 60 1 5
2!1!1! 3 2 6 9 4 6 18
() 100 (100; 1/3, 1/2). =100/3,
=50. ( 100-X-Y)
(100-X-Y)=100-EX-EY=100-100/3-50=16.66667,
16 17 .
15. 10%
1 5% .
. 10
30 .
.
.. ( 10) ,
.. W
.
.. (,) (10;0.1,0.05),
W=10X+30Y
EW Var(W).
( )
=np=100.1=1, Var(X)=np(1-p)=100.1(1-0.1)=0.9
=nq=100.05=0.5, Var(Y)=nq(1-q)=100.05(1-0.05)=0.475
Cov(X,Y)=-npq=-100.10.05=-0.05
W=E(10X+30Y)=10EX+30EY=101+300.5=25
Var(W)=Var(10X+30Y)=102Var(X)+302Var(Y)+21030Cov(X,Y)=
=1000.9+9000.475-6000.05=487.5
1. 2 .
.
.
2. . 36
.
f(x,y)
(,) .
20
3.
1933, 5 .
.
.
15 20 25 30 35 40 45 50 55 60 65 70 75
.
15 33 189 56 8 2 288
20 18 682 585 106 19 5 2 1 1418
25 1 140 511 179 40 14 6 3 1 1 896
30 11 75 101 42 20 10 5 2 1 1 268
35 2 10 24 28 19 13 8 5 2 1 112
40 1 5 9 14 12 10 6 4 2 1 64
45 1 3 5 9 9 7 4 3 1 42
50 1 3 7 6 5 3 1 26
55 1 3 5 4 3 1 17
60 1 1 4 3 2 11
65 1 1 3 2 1 8
70 1 1 1 3
52 1024 1238 424 143 78 56 47 34 26 20 9 2 3153
,
20 .
4. ,
-1 0 2 6
-2 1/9 1/27 1/27 1/9
1 2/9 0 1/9 1/9
3 0 0 1/9 4/27
() , () , () >0, >0.
5. , .. g h
P(X=x, Y=y)=g(x)h(y)
) P(X=x), P(Y=y) g h.
) x
g ( x ) y
h( y ) 1 .
) ,
6. , .. f.
... W=a+bX, Z=c+dY, b>0, d>0. ,
, W,Z .
7.
. )
, , P(X=x, Y=y) x, y. (
13 ). ) , .
1313 26 52
(. ) p ( x, y ) / , x+y13, ) p(13,13))
x y 13-x-y 13
21
8.
.
.. , , .
9. .
() , () .
:
X
0,
1,
, Y
0,
1,
.
.. , () ().
, .. ,
.
10. ( )
, (-(+)) .
, , n
. ..
(,) .
(. p ( x, y ) /
x y n-x-y n
11. .. -2, -1, 1, 2 1/4. Y X 2 ,
.. (, ). (,).
(. (,)=0, . )
12. .. U, V, W. X=U+V, Y=U+W. :
Cov(X, Y)=Var(U).
13. .. X1 , X 2 , X 3 , ..., X100 Bernoulli
p. P( S100 50) ,
Sn X1 X 2 X 3 ... X n . (.
S n . S n
P( Sn k ) P(k 0.5 Sn k 0.5) S n
.. k).
14. .. X1 , X 2 , X 3 , ..., X n E(Xi)= Var(Xi)=2.
X X 2 X 3 ... X n
X 1 Xi E ( X )
n
Var ( X ) 2 / n .
22