Professional Documents
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XSTK ZT2015 PDF
XSTK ZT2015 PDF
Sch in t SE001
NHP MN HIN I
XC SUT & THNG K
c Prof. Dr. Do Duc Thai & Prof. Dr. Nguyen Tien Zung
c
Sputnik Education
y l phin bn in t min ph
dnh cho cc bn c ca
Sputnik Education
2 Sputnik Education
Mc lc
Li ta cho bn e-book . . . . . . . . . . . . . . . . . . . . . . . . . 9
Li gii thiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1 Xc sut l g . . . . . . . . . . . . . . . . . . . . . . 15
1.1 Xc sut l g ? . . . . . . . . . . . . . . . . . . . 15
1.1.1 Xc sut ca mt s kin . . . . . . . . . . . . . . . . . 16
1.1.2 Ba tin v s nht qun ca xc sut . . . . . . . . 17
1.1.3 Xc sut ph thuc vo nhng g ? . . . . . . . . . . . 19
1.1.4 Tnh xc sut bng thng k . . . . . . . . . . . . . . . 21
1.2 M hnh ton hc ca xc sut . . . . . . . . . . 24
1.2.1 Khng gian xc sut . . . . . . . . . . . . . . . . . . . 24
1.2.2 Phn b xc sut Bernoulli . . . . . . . . . . . . . . . . 28
1.2.3 Phn b xc sut u . . . . . . . . . . . . . . . . . . . 30
1.2.4 M hnh xc sut vi v hn cc s kin . . . . . . . . 33
1.2.5 nh x gia cc khng gian xc sut . . . . . . . . . . 34
1.2.6 Tch ca cc khng gian xc sut . . . . . . . . . . . . 36
1.2.7 Phn b nh thc . . . . . . . . . . . . . . . . . . . . . 41
1.3 Xc sut c iu kin . . . . . . . . . . . . . . . . 42
3
1.3.1 nh ngha xc sut c iu kin . . . . . . . . . . . . 42
1.3.2 S c lp v ph thuc ca cc s kin . . . . . . . . 45
1.3.3 Cng thc xc sut ton phn . . . . . . . . . . . . . . 48
1.3.4 Cng thc Bayes . . . . . . . . . . . . . . . . . . . . . 49
1.4 Mt s nghch l trong xc sut . . . . . . . . . . 52
1.4.1 Nghch l 1 (Nghch l Simpson). Thuc no tt hn? . 52
1.4.2 Nghch l 2. Hong t c ch em gi khng? . . . . . . 53
1.4.3 Nghch l 3. Vn Phm c phi l th phm? . . . . . . 54
1.4.4 Li gii cho cc nghch l . . . . . . . . . . . . . . . . 55
1.5 Lut s ln . . . . . . . . . . . . . . . . . . . . . 57
1.6 Bi tp b sung cho Chng 1 . . . . . . . . . . . 61
2 Bin Ngu Nhin . . . . . . . . . . . . . . . . . . . . 66
2.1 Bin ngu nhin v phn b xc sut ca n . . . 66
2.1.1 Bin ngu nhin l g? . . . . . . . . . . . . . . . . . . 66
2.1.2 M hnh ton hc ca bin ngu nhin . . . . . . . . . 68
2.1.3 Phn b xc sut ca bin ngu nhin . . . . . . . . . 70
2.1.4 Cc loi phn b xc sut trn R . . . . . . . . . . . . 74
2.2 Mt s phn b xc sut thng gp . . . . . . . 78
2.2.1 Phn b hnh hc v phn b nh thc m . . . . . . . 78
2.2.2 Phn b Poisson . . . . . . . . . . . . . . . . . . . . . 80
2.2.3 Phn b u (trng hp lin tc) . . . . . . . . . . . 83
2.2.4 Phn b normal . . . . . . . . . . . . . . . . . . . . . . 85
2.2.5 Phn b m . . . . . . . . . . . . . . . . . . . . . . . . 89
2.2.6 Phn b Pareto . . . . . . . . . . . . . . . . . . . . . . 90
2.3 K vng ca bin ngu nhin . . . . . . . . . . . 92
4 Sputnik Education
2.3.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . 92
2.3.2 Trng hp tng qut: tch phn trn khng gian xc
sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
2.3.3 K vng ca phn b xc sut trn R . . . . . . . . . . 100
2.3.4 Gi tr k vng hnh hc . . . . . . . . . . . . . . . . . 103
2.4 Phng sai, lch chun, v cc moment . . . . 107
2.4.1 Phng sai v lch chun . . . . . . . . . . . . . . 107
2.4.2 Cc moment ca mt bin ngu nhin . . . . . . . . . 110
2.4.3 Bt ng thc Chebyschev v bt ng thc Markov . 115
2.5 Hm c trng, hm sinh, v bin i Laplace . . 118
2.5.1 Hm c trng . . . . . . . . . . . . . . . . . . . . . . 118
2.5.2 Tm li phn b xc sut t hm c trng . . . . . . . 120
2.5.3 Hm sinh xc sut v bin i Laplace . . . . . . . . . 124
3 Vector ngu nhin . . . . . . . . . . . . . . . . . . . 128
3.1 Vector ngu nhin . . . . . . . . . . . . . . . . . 128
3.1.1 Phn b xc sut ng thi . . . . . . . . . . . . . . . 128
3.1.2 Cc phn b xc sut bin . . . . . . . . . . . . . . . . 131
3.1.3 Hm mt ng thi . . . . . . . . . . . . . . . . . . 132
3.1.4 Hm c trng ca vector ngu nhin . . . . . . . . . 134
3.2 Cc bin ngu nhin c lp . . . . . . . . . . . . 136
3.2.1 S c lp ca mt b bin ngu nhin . . . . . . . . 136
3.2.2 Mt v d khng hin nhin v s c lp . . . . . . . 139
3.2.3 Mt s h qu ca s c lp . . . . . . . . . . . . . . 140
3.3 Lut s ln . . . . . . . . . . . . . . . . . . . . . 143
3.3.1 Dng yu ca lut s ln cho phn b bt k . . . . . . 143
Sputnik Education 5
3.3.2 Dng mnh ca lut s ln . . . . . . . . . . . . . . . 145
3.3.3 Tch ca mt dy v hn cc khng gian xc sut . . . 146
3.3.4 Chng minh nh l 3.8 . . . . . . . . . . . . . . . . . 148
3.4 S tng quan gia cc bin ngu nhin . . . . . 151
3.4.1 Hip phng sai . . . . . . . . . . . . . . . . . . . . . 151
3.4.2 H s tng quan . . . . . . . . . . . . . . . . . . . . . 152
3.4.3 Quan h tuyn tnh vi sai s bnh phng nh nht . 158
3.4.4 H s tng quan v quan h nhn qu . . . . . . . . 161
3.5 Phn b v k vng c iu kin . . . . . . . . . 163
3.5.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . 164
3.5.2 Trng hp lin tc . . . . . . . . . . . . . . . . . . . 167
3.6 Phn b normal nhiu chiu . . . . . . . . . . . . 169
3.6.1 nh ngha ca phn b normal nhiu chiu . . . . . . 169
3.6.2 Trng hp hai chiu . . . . . . . . . . . . . . . . . . . 171
3.6.3 Mt s tnh cht ca phn b normal nhiu chiu . . . 174
4 Cc nh l gii hn . . . . . . . . . . . . . . . . . . 177
4.1 nh l gii hn trung tm . . . . . . . . . . . . . 177
4.1.1 nh l de Moivre Laplace . . . . . . . . . . . . . . . 177
4.1.2 nh l gii hn trung tm . . . . . . . . . . . . . . . . 181
4.1.3 Gii hn ca dy hm c trng . . . . . . . . . . . . 186
4.2 Hi t yu v cc kiu hi t khc . . . . . . . . 188
4.2.1 Hi t yu v hi t theo phn phi . . . . . . . . . . 188
4.2.2 Cc metric trn khng gian cc phn b xc sut . . . 191
4.2.3 nh l tin compact ca Prokhorov . . . . . . . . . . 196
4.2.4 nh l lin tc . . . . . . . . . . . . . . . . . . . . . . 197
6 Sputnik Education
4.2.5 Cc kiu hi t khc ca dy bin ngu nhin . . . . . 202
4.3 Phn b 2 v nh l Pearson . . . . . . . . . . . 203
5 Thng k ton hc . . . . . . . . . . . . . . . . . . . 210
5.1 Cc vn thng k . . . . . . . . . . . . . . . . 210
5.2 c lng bng thng k . . . . . . . . . . . . . 220
5.2.1 Mu thc nghim v phn b thc nghim . . . . . . . 220
5.2.2 Hm c lng . . . . . . . . . . . . . . . . . . . . . . 223
5.2.3 c lng khng chch ca phng sai . . . . . . . . 226
5.2.4 Phng php hp l cc i . . . . . . . . . . . . . . . 227
5.2.5 Phng php moment . . . . . . . . . . . . . . . . . . 232
5.3 Sai s v tin cy ca c lng . . . . . . . . 233
5.3.1 Sai s ca c lng . . . . . . . . . . . . . . . . . . . 233
5.3.2 Khong tin cy v tin cy . . . . . . . . . . . . . . . 236
5.3.3 Khong tin cy cho lch chun . . . . . . . . . . . . 239
5.3.4 Phn b Student . . . . . . . . . . . . . . . . . . . . . 241
5.4 Kim nh cc gi thuyt . . . . . . . . . . . . . . 245
5.4.1 Mt s nguyn tc chung ca kim nh bng thng k 246
5.4.2 Kim nh Z v kim nh T cho k vng . . . . . . . . 250
5.4.3 Kim nh so snh hai k vng . . . . . . . . . . . . . 253
5.4.4 Kim nh F so snh hai lch chun . . . . . . . . . 257
5.5 Kim nh 2 . . . . . . . . . . . . . . . . . . . . 259
5.5.1 Trng hp m hnh xc sut c nh . . . . . . . . . . 260
5.5.2 Trng hp m hnh xc sut c c lng theo
tham s . . . . . . . . . . . . . . . . . . . . . . . . . . 263
5.5.3 Kim nh 2 cho s c lp . . . . . . . . . . . . . . . 266
Sputnik Education 7
5.6 Phn tch hi qui . . . . . . . . . . . . . . . . . . 268
5.6.1 Hi qui tuyn tnh n . . . . . . . . . . . . . . . . . . 270
5.6.2 Hi qui tuyn tnh bi . . . . . . . . . . . . . . . . . . 271
5.6.3 Hi qui phi tyn . . . . . . . . . . . . . . . . . . . . . 273
A Li gii cho mt s bi tp . . . . . . . . . . . . . . 279
1.1 Li gii bi tp Chng 1 . . . . . . . . . . . . . 279
1.2 Li gii bi tp Chng 2 . . . . . . . . . . . . . 286
1.3 Li gii bi tp Chng 3 . . . . . . . . . . . . . 299
1.4 Li gii bi tp Chng 4 . . . . . . . . . . . . . 308
B Phn mm my tnh cho xc sut thng k . . . . . 313
C Bng phn b Z . . . . . . . . . . . . . . . . . . . . 316
T Sch Sputnik . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319
8 Sputnik Education
Li ta cho bn e-book
9
lm cng tc vin, l mt d n nhm em li cc sn phm gio dc
c cht lng cao nht cho hc sinh v sinh vin, gp phn ci thin
nn gio dc ca Vit Nam. Vo thi im 05/2015, T Sch Sputnik
ra mt bn c 5 cun sch cho hc sinh, v c k hoach ra mt
hng chc cun sch khc trong nm tip theo.
Cc tc gi tin rng T Sch Sputnik gm ton nhng cun sch
rt hay, c chn lc v dch hoc vit rt cn thn. Trong c
nhng cun sch nh Nhng cuc phiu lu ca ngi thch m
ni ting ton th gii, in ra hng triu bn, ln u xut hin
Vit Nam. C nhng cun sch ni ting khc nh Ba ngy nc T
Hon trc y tng c dch ra ting Vit, nhng bn dch mi
ca Sputnik chnh xc hn, trnh c nhiu li sai ca bn dch c.
Bn c s khng ph tin khi mua chng cho bn thn hay tng
ngi thn.
Xin mi bn c tm hiu k hn v T Sch Sputnik pha cui
cun sch ny. Cc tc gi mong rng bn c s nhit tnh hn ng
T Sch Sputnik, qua vic mua sch, qung b cho T Sch Sputnik,
v.v. ng h T Sch Sputnik l mt cch thit thc gp phn em
li cc sn phm gio dc c cht lng tt hn cho Vit Nam. Xin
chn thnh cm n bn c!
HanoiToulouse, 05/2015
10 Sputnik Education
Li gii thiu
11
liu c tht, nhm gip bn c cm nhn c cc ng dng thc
t ca xc sut v thng k.
Quyn sch ny c 5 chng cng thm phn ph lc. Chng
1 gm mt s khi nim c s ca l thuyt xc sut. Chng ny
khng i hi kin thc c bit g v ton, v hc sinh ph thng
cng c th c v hiu c phn ln. Tuy nhin, kin thc ca
Chng 1 khng hon ton hin nhin, k c i vi nhng ngi
hc i hc. Trong qu trnh son tho, cc tc gi c em mt s bi
tp hi kh ca Chng 1 cc hc sinh i hc v cao hc ngnh
ton, v phn ln h lm sai! Cc bi tp khng phi l kh v
mt ton hc ( gii chng ch cn lm vi php tnh s hc n
gin), m l kh v chng cha ng nhng s t nh v bn cht ca
xc sut. Hy vng rng, bn c s thy c nhng s t nh , v
trnh c cc sai lm m nhiu ngi khc hay mc phi.
T Chng 2 n Chng 4 ca quyn sch l l thuyt xc sut
ca cc bin ngu nhin. Chng 2 l v cc bin ngu nhin nhn
gi tr thc. Chng 3 l v cc b nhiu bin ngu nhin, hay cn gi
l cc vector ngu nhin. Chng 4 l v cc nh l gii hn, trong
c nh l gii hn trung tm, c coi l nh l quan trng
nht ca l thuyt xc sut v l hn tng ca thng k ton hc.
Chng 5 ca quyn sch l gii thiu v thng k. Bn c s tm
thy trong chng ny nhng vn c th gii quyt bng thng
k nh c lng, kim nh, d bo, nhng nguyn tc c bn nht
ca thng k, v mt s phng php thng k nay tr thnh kinh
in. Ph lc A cha li gii ca nhiu bi tp trong 4 chng u
tin ca quyn sch.
12 Sputnik Education
hiu tt cc vn c bn ti trong Chng 2 v cc chng
tip theo, bn c cn c mt s kin thc chun b v gii tch ton
hc, nh php tnh vi tch phn v khai trin Taylor-Lagrange, cng
vi mt t kin thc v i s tuyn tnh. Nu c thm mt t kin
thc v tp v gii tch hm th cng tt. Trong sch c a ra nh
ngha v tnh cht ca mt s khi nim ton hc cn dng, v d
nh tch phn Lebesgue trn khng gian xc sut, bin i Fourier,
hi t yu, v.v.
Quyn sch ny c th dng lm sch gio khoa hay sch tham
kho cho mn xc sut thng k bc i hc hoc cao hc nhiu
ngnh khc nhau. Sinh vin cc ngnh khng phi ton c th b qua
cc phn chng minh cc nh l tng i phc tp trong sch, m
ch cn hiu ng pht biu ca cc nh l quan trng nht v cch
p dng chng. Cc sinh vin ngnh ton th nn tm hiu c cch
chng minh cc nh l.
Do khun kh ca quyn sch c hn, nn cn rt nhiu khi nim
quan trng ca xc sut v thng k khng xut hin trong sch, v
d nh qu trnh ngu nhin, phng php bootstrap, hi qui tuyn
tnh suy rng, v.v.. Hy vng rng quyn sch ny cung cp c tng
i y cc kin thc c s, bn c c th hiu c cc ti
liu chuyn su hn v xc sut v thng k khi cn thit.
bin son quyn sch ny, cc tc gi c tham kho nhiu sch
bo lin quan n xc sut thng k, v c trch li nhiu bi tp v
v d t cc ti liu . Nhng sch m cc cc tc gi tham kho
nhiu c lit k phn Ti liu tham kho. Trong c nhng
sch nng, c nhiu chng minh cht ch v kh nng v ton,
Sputnik Education 13
v d nh quyn Theory of probability and random processes ca
Koralev v Sinai [5], v c nhng sch nh, d c c th nm
c nhng tng chnh, nhng khng c chng minh, tiu biu
nh quyn The cartoon guide to statistics ca Gonick v Smith [2].
Cc hnh minh ha trong quyn sch ny ch yu c ly t
internet. Chng ti tin rng cc hnh thuc phm vi public v
khng b hn ch v mt bn quyn, nhng nu do s sut m chng
ti s dng hnh c bo v bi lut bn quyn m cha xin php,
th chng ti xin thnh tht xin li trc.
Nhng bn tho u tin ca quyn sch ny c c mt s ng
nghip, bn b v sinh vin c v gp sa li v trnh by li cho
tt ln. Cc tc gi xin chn thnh cm n s quan tm v gip
ca h. Tt nhin, mi li cn li trong sch l thuc v trch nhim
ca cc tc gi. c bit, chng ti mun cm n cc bn Phan Thanh
Hng, Nguyn Tuyt Mai, Nguyn Thu Ngc, Trn Quc Tun v L
Vn Tun, l cc thnh vin ca Trung Tm Ton Ti Chnh v Cng
Nghip H Ni tch cc tham gia gip chng ti son phn li gii
cho cc bi tp.
Quyn sch ny l mt sn phm ca Trung Tm Ton Ti Chnh
v Cng Nghip H Ni do cc tc gi thnh lp vo u nm 2009,
c vit vi mc ch trc ht l phc v cho nhu cu ca bn
thn Trung Tm. Cc tc gi hy vng rng, quyn sch ny s c ch,
khng ch cho Trung Tm, m cn cho mt lng rt ln cc c gi
khc ang hoc s quan tm v xc sut v thng k.
H Ni Toulouse, 2010
14 Sputnik Education
Chng 1
Xc sut l g
1.1 Xc sut l g ?
15
Chng 1. Xc sut l g
c 3 cnh ca, ng sau 1 trong 3 cnh ca l 1 mn qu ln, cn
sau 2 ca cn li khng c g. Ngi chi c chn 1 trong 3 cnh
ca, nu chn ng ca c qu th c nhn qu. Sau khi ngi
chi chn 1 ca, ngi hng dn chng trnh m mt trong hai
ca cn li ra, nhng s ch m ca khng c qu. Sau ngi chi
c quyn chn, hoc l gi ci ca mnh chn ban u, hoc l i
ly ci ca cha c m cn li. Theo bn th ngi chi nn chn
phng n no? V sao ? Hy th ngh v n mt cht trc khi tip
tc c.
16 Sputnik Education
1.1. Xc sut l g ?
0 P (A) 1 (1.1)
Sputnik Education 17
Chng 1. Xc sut l g
18 Sputnik Education
1.1. Xc sut l g ?
Sputnik Education 19
Chng 1. Xc sut l g
20 Sputnik Education
1.1. Xc sut l g ?
Sputnik Education 21
Chng 1. Xc sut l g
22 Sputnik Education
1.1. Xc sut l g ?
Sputnik Education 23
Chng 1. Xc sut l g
24 Sputnik Education
1.2. M hnh ton hc ca xc sut
ii)
P () = 0, P () = 1. (1.7)
iii) Nu A B = th
Sputnik Education 25
Chng 1. Xc sut l g
26 Sputnik Education
1.2. M hnh ton hc ca xc sut
[
X
P (A) = P (A1 (An+1 \ An )) = P (A1 ) + P (An+1 \ An )
n=1 n=1
n
X
= P (A1 )+ lim P (Ak+1 \Ak ) = P (A1 )+ lim (P (An+1 )P (A1 ))
n n
k=1
(1.10)
Sputnik Education 27
Chng 1. Xc sut l g
28 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 29
Chng 1. Xc sut l g
30 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 31
Chng 1. Xc sut l g
(Chng hn, GGT c ngha l con th nht l con gi, con th hai l
con gi, con th ba l con trai). S kin 2 trai mi gi l hp ca
3 s kin thnh phn trong m hnh xc sut ny: T T G, T GT, GT T .
Nh vy xc sut ca n bng 3/8.
Bi tp 1.3. C mt nhm n bn, trong c hai bn Vva v Lily.
Xp cc bn trong nhm thnh mt hng dc mt cch ngu nhin.
Hi xc sut Vva v tr ngay sau Lily trong hng l bao nhiu?
32 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 33
Chng 1. Xc sut l g
34 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 35
Chng 1. Xc sut l g
36 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 37
Chng 1. Xc sut l g
y mi Mi l S hoc N , v (N ) = 0, (S) = 1. nh x
: {S, N }N [0, 1]
38 Sputnik Education
1.2. M hnh ton hc ca xc sut
Sputnik Education 39
Chng 1. Xc sut l g
40 Sputnik Education
1.2. M hnh ton hc ca xc sut
n!
y, Cnk = l nh thc Newton. ngha t hp ca
k!(n k)!
Cnk l: n l s cc tp con c ng k phn t trong mt tp hp c n
phn t, hay ni cch khc, n l s cch chn ra mt nhm con vi
k phn t, t mt nhm c n phn t.
Nhc li rng ta c cng thc i s quen thuc sau:
n
X
(x + y)n = Cnk xk y nk . (1.17)
k=0
Sputnik Education 41
Chng 1. Xc sut l g
42 Sputnik Education
1.3. Xc sut c iu kin
P (A B)
P (A|B) = . (1.18)
P (B)
Sputnik Education 43
Chng 1. Xc sut l g
44 Sputnik Education
1.3. Xc sut c iu kin
Sputnik Education 45
Chng 1. Xc sut l g
46 Sputnik Education
1.3. Xc sut c iu kin
Sputnik Education 47
Chng 1. Xc sut l g
Bi Bj = i 6= j , ni=1 Bi = . (1.24)
48 Sputnik Education
1.3. Xc sut c iu kin
Sputnik Education 49
Chng 1. Xc sut l g
hp cng thc trn vi cng thc xc sut ton phn cho P (A), ta
c:
vi mi k = 1, 2, . . . , n.
50 Sputnik Education
1.3. Xc sut c iu kin
Sputnik Education 51
Chng 1. Xc sut l g
52 Sputnik Education
1.4. Mt s nghch l trong xc sut
Sputnik Education 53
Chng 1. Xc sut l g
54 Sputnik Education
1.4. Mt s nghch l trong xc sut
P (C|A).P (A)
P (A|C) = .
P (C|A).P (A) + P (C|A).P (A)
1.(1/2) 1/2
P (A|C) = = = 2/3,
1.(1/2) + (1/2).(1/2) 3/4
Sputnik Education 55
Chng 1. Xc sut l g
56 Sputnik Education
1.5. Lut s ln
1.5 Lut s ln
Sputnik Education 57
Chng 1. Xc sut l g
S(1) = 1, S(2) = 1/2, S(3) = 2/3, S(4) = 3/4, S(5) = 3/5, S(6) =
2/3, S(7) = 4/7, S(8) = 5/8, S(9) = 5/9, S(10) = 1/2, S(11) =
6/11, S(12) = 7/12, . . . . Cc con s S(n) m chng ta thu c ni
chung khc 1/2, nhng lut s ln ni rng chng ta c th yn tm
rng khi n tin ti v cng th S(n) s tin ti 1/2: limn S(n) =
1/2.
Di y chng ta s pht biu lut s ln mt cch cht ch
thnh nh l ton hc v chng minh n, cho phn b Bernoulli.
Gi s c mt php th no c th thc hin c nhiu ln,
v xc sut xy ra kt qu X trong mt ln th l mt hng s p,
0 < p < 1. (V d: php th l tung xc sc, kt qu l hin ln 1
chm, xc sut l p=1/6). Ta gi Xk,n l s kin sau: khi thc hin
n ln php th th X xut hin k ln trong s n ln th. Chng ta bit
rng xc sut ca Xk,n tun theo phn b nh thc:
58 Sputnik Education
1.5. Lut s ln
1 P (Xn ) = Un + Vn , (1.32)
trong
X X
Un = Cnk pk (1 p)nk v Vn = Cnk pk (1 p)nk ,
0k<n(p) n(p+)<kn
(1.33)
tin ti 0 khi n tin ti v cng. nh gi Vn , chng ta c th dng
th thut sau y: Gi l mt s dng bt k, khi ta c
X
Vn e(kn(p+)) Cnk pk (1 p)nk
n(p+)<kn
(kn(p+)) C k pk (1 p)nk
P
0kn e n
X
= en Cnk (e(1p) p)k (ep (1 p))nk (1.34)
0kn
= en (e(1p) p + ep (1 p))n
= [e (e(1p) p + ep (1 p))]n = f ()n ,
Sputnik Education 59
Chng 1. Xc sut l g
lim P (Bn,1 Bn,2 . . . Bn,s ) = 1. (1.35)
n
60 Sputnik Education
1.6. Bi tp b sung cho Chng 1
Sputnik Education 61
Chng 1. Xc sut l g
xc sut ti sao?
Bi tp 1.20. (S may ri). Gi s c mt loi x s ch c 100 s, t
00 n 99, mi ln quay c 1 s trng gii.
i) Tnh xc sut sao cho trong 100 ln quay, khng c ln no s 68
trng gii.
ii) Tnh xc sut sao cho trong 100 ln quay, s 99 trng gii ng
2 ln.
Bi tp 1.21. Mt lp hc c 36 hc sinh. Hi rng xc sut c
hai hc sinh ca lp c cng ngy sinh nht l bao nhiu? (Vit cng
thc tnh s , v th c lng xem s gn s no hn trong
3 s ny: 0, 50%, 1?)
V d 1.21. C n ngi chi tr tung mng trong mt d hi: mi
ngi cm 1 ci m ca mnh, tung vo gia phng. Sau mi
ngi nht ly mt ci m trong s cc m c tung mt cch ngu
nhin. Chng minh rng xc sut khng c ngi no nht c
ng m ca chnh mnh l
1 1 1 (1)n
+ ... + .
2! 3! 4! n!
Khi n tin ti v cng th s ny tin ti e1 .
Bi tp 1.22. (B BorelCantelli). Gi s (An )nN l mt dy cc
tp con o c trong mt khng gian xc sut (, P ). Gi B l tp
hp cc phn t ca m nm trong mt s v hn cc tp con An
ca dy. Chng minh rng:
i) Nu
P
n=1 P (An ) < th P (B ) = 0.
ii) Nu tn ti mt s v v hn cc tp con An ca dy tha mn
iu kin P (An ) , th P (B ) .
62 Sputnik Education
1.6. Bi tp b sung cho Chng 1
Sputnik Education 63
Chng 1. Xc sut l g
64 Sputnik Education
1.6. Bi tp b sung cho Chng 1
Sputnik Education 65
Chng 2
66
2.1. Bin ngu nhin v phn b xc sut ca n
Sputnik Education 67
Chng 2. Bin Ngu Nhin
68 Sputnik Education
2.1. Bin ngu nhin v phn b xc sut ca n
X : (, P ) R. (2.1)
Sputnik Education 69
Chng 2. Bin Ngu Nhin
PX (B) = P (X 1 (B))
70 Sputnik Education
2.1. Bin ngu nhin v phn b xc sut ca n
Sputnik Education 71
Chng 2. Bin Ngu Nhin
72 Sputnik Education
2.1. Bin ngu nhin v phn b xc sut ca n
4) limx+ FX (y) = 1.
Ngc li, mi hm s thc trn R tha mn 4 tnh cht trn l hm
phn phi ca mt phn b xc sut trn R
X
PX (]xk+1 , xk ])
k=1
P
l mt chui hi t, v bi vy phn ui k=n PX (]xk+1 , xk ]) ca n
tin ti 0 khi n tin ti v cng. Tnh cht th 3 v tnh cht th 4 c
th chng minh mt cch hon ton tng t. Khng nh ngc li
l bi tp dnh cho bn c.
Sputnik Education 73
Chng 2. Bin Ngu Nhin
74 Sputnik Education
2.1. Bin ngu nhin v phn b xc sut ca n
mt 1 v 2 , th 1 = 2 hu khp mi ni trn R, tc l tp
{x R, 1 (x) 6= 2 (x)} c o Lebesgue bng 0. Mt phn b xc
sut c th l lin tc m khng lin tc tuyt i. (Bi tp: xy dng
v d). Tuy nhin, trong thc t, khi ngi ta ni n mt phn b
xc sut lin tc trn R, thng c hiu l n lin tc tuyt i,
tc l c cho bi mt hm mt . Ch rng hm mt chnh
bng o hm ca hm phn phi xc sut (hu khp mi ni). Rt
nhiu vn trong thc t c th c m hnh ha bng cc bin
ngu nhin vi phn b xc sut lin tc, v d nh nhit ca nc
bin, gi du ha, sn lng in, trng lng ca trng g, v.v.
Cng thc trn chng qua l cng thc i bin trong tch phn,
v sinh ra t cng thc df (x) = f 0 (x)dx.
Mt im x R c gi l mt im ht ca mt phn b xc
sut PX nu nh PX (x) > 0. B sau cho thy mt phn b xc
sut l lin tc khi v ch khi n khng c im ht:
Sputnik Education 75
Chng 2. Bin Ngu Nhin
= FX (x0 ) +
P S
k=1 PX (]xk1 , xk ]) = FX (x0 ) + PX ( k=1 ]xk1 , xk ])
= FX (x0 ) + PX (]x0 , x[) = PX (] , x[)
= PX (] , x]) PX (x) = FX (x) PX (x),
l tp hp cc im ht ca n (tc l tp hp cc im gin on
ca hm phn phi xc sut). Khi KX l tp hu hn hoc cng
P
lm l m c, v PX (A) = xKX PX (x) 1.
76 Sputnik Education
2.1. Bin ngu nhin v phn b xc sut ca n
vi DX (x) = PX (] , x] KX ) gi l phn ri rc ca FX , v
CX (x) = FX (x) DX (x) gi l phn lin tc ca FX . Phn b PX
c gi l hn hp nu nh c hai phn ri rc v lin tc u
khc 0. Nu phn lin tc khng phi l lin tc tuyt i (khng
vit c di dng tch phn ca mt hm khng m), th ta c th
tch n tip thnh tng ca phn lin tc tuyt i v phn lin tc k
d, nhng chng ta s khng i vo chi tit y.
V d 2.7. Trong xe t thng c kim ch mc xng, dao ng trong
khong t 0 (0%, tc l ht xng) n 1 (100%, bnh xng y). Mc
xng c kim ch vo c th coi l mt bin ngu nhin nhn gi
tr trong on thng [0, 1] vi phn b xc sut lin tc. Tuy nhin,
mt s xe t c, kim b hng, c lc n ch ng mc xng nhng
c lc n b tc ch s 0 tuy rng xe cn xng. Khi , phn b xc
sut khng cn l lin tc na m l hn hp, vi "ht" ti im 0.
Bi tp 2.2. Gi s bin ngu nhin X c phn b xc sut lin tc
vi hm mt X sau : X (x) = 0 khi |x| > 1 v X (x) = 1 |x| khi
|x| 1. Tm hm mt ca phn b xc sut ca bin ngu nhin
Y = arcsin(x).
Bi tp 2.3. Gi s bin ngu nhin X c phn b xc sut lin tc v
i xng, theo ngha X v X c cng phn b xc sut. Chng minh
Sputnik Education 77
Chng 2. Bin Ngu Nhin
78 Sputnik Education
2.2. Mt s phn b xc sut thng gp
k
P (k) = Ck+r1 pr (1 p)k
k
Nh thc Newton Ck+r1 trong cng thc trn l s cch chn ra
r 1 phn t t tp hp {1, 2, . . . , k + r 1}. (Mi cch chn nh vy
ng vi mt tnh hung, vi k ln tht bi v r 1 ln thnh cng
trong s k + r 1 ln th u tin, v ln th th k + r thnh cng).
k
Cc nh thc Newton Ck+r1 k
cn c th vit di dng Ck+r1 =
(k+r1).....(r+1).r
k! = (1)k (r).(r1).....(rk+1)
k! = (1)k Cr
k , v chng
Sputnik Education 79
Chng 2. Bin Ngu Nhin
80 Sputnik Education
2.2. Mt s phn b xc sut thng gp
Sputnik Education 81
Chng 2. Bin Ngu Nhin
n!
Cnk (/n)k (1 /n)nk = (/n)k (1 /n)nk
k!(n k)!
k n(n 1) . . . (n k + 1)
= (1 /n)k (1 /n)n .
k! nk
Khi n tin ti v cng th (n(n 1) . . . (n k + 1)/nk )(1 /n)k tin
ti 1 (k y l c nh) v (1 /n)n tin ti e , bi vy ta c
k
lim Cnk .(/n)k (1 /n)nk = e . (2.14)
n k!
Xem th minh ha trn hnh 2.3 cho trng hp = 3, 5, n = 35,
p = 0, 1.
M hnh phn b Poisson l m hnh thng c dng cho cc
bin ngu nhin dng s s kin xy ra trong mt khong thi gian
no .
V d 2.9. Bin ngu nhin s v tai nn giao thng xy ra trong
mt ngy mt vng no c th c m hnh ha bng phn
b Poisson. Ta s gi s cc tai nn giao thng xy ra mt cch ngu
nhin, c lp vi nhau, v trung bnh mi ngy c v tai nn. Ta
s chia 24 ting ng h trong ngy thnh n khong thi gian (n l
mt s rt ln), sao cho c th coi rng trong mi khong thi
gian c nhiu nht 1 v giao thng xy ra, v kh nng xy ra tai nn
giao thng trong mi khong thi gian bng /n. Khi tng s tai
nn xy ra trong ngy tun theo phn b nh thc vi cc tham s
n, p = /n, v khi cho n tin ti v cng ta c phn b Poisson.
Tt nhin phn b Poisson khng th l phn b xc sut chnh xc
ca vn (v s ngi l hu hn, v s tai nn b chn trn bi
82 Sputnik Education
2.2. Mt s phn b xc sut thng gp
Sputnik Education 83
Chng 2. Bin Ngu Nhin
(
1
ba khi a x b
(x) = . (2.15)
0 khi x < a hoc x > b
84 Sputnik Education
2.2. Mt s phn b xc sut thng gp
Sputnik Education 85
Chng 2. Bin Ngu Nhin
86 Sputnik Education
2.2. Mt s phn b xc sut thng gp
(2)
T frequency ting Anh va c ngha l tn sut va c ngha tn s. phn
Sputnik Education 87
Chng 2. Bin Ngu Nhin
88 Sputnik Education
2.2. Mt s phn b xc sut thng gp
2.2.5 Phn b m
Sputnik Education 89
Chng 2. Bin Ngu Nhin
90 Sputnik Education
2.2. Mt s phn b xc sut thng gp
Sputnik Education 91
Chng 2. Bin Ngu Nhin
2.3.1 Trng hp ri rc
92 Sputnik Education
2.3. K vng ca bin ngu nhin
Sputnik Education 93
Chng 2. Bin Ngu Nhin
l hng s :
E(c) = c. (2.21)
94 Sputnik Education
2.3. K vng ca bin ngu nhin
Sputnik Education 95
Chng 2. Bin Ngu Nhin
96 Sputnik Education
2.3. K vng ca bin ngu nhin
v
n
X
J (F ) = ai+1 .P (F 1 (]ai , ai+1 ])). (2.27)
i=0
I (g) J (F ) , .
Sputnik Education 97
Chng 2. Bin Ngu Nhin
hi t tuyt i.
Tng t nh tch phn Riemann thng thng, tch phn Lebesgue
trn khng gian xc sut c tnh cht n iu, tuyn tnh, v giao
hon vi php ly gii hn ca mt dy hm hi t u:
98 Sputnik Education
2.3. K vng ca bin ngu nhin
R
i) Nu F 0 (hu khp mi ni trn ) th F dP 0. Tng qut
R R
hn, nu F G th F dP GdP.
ii) Nu Fn hi t u n F trn , c ngha l limn sup |Fn ()
R
F ()| = 0, th limn Fn dP = F dP.
iii) Vi hai s thc a, b bt k, ta c
Z Z Z
(aF + bG)dP = a F dP + b GdP. (2.32)
nh l 2.8 (Lebesgue). Gi s Fn : (, P ) R l mt dy hm o
c trn khng gian xc sut (, P ) tha mn hai iu kin sau:
i) |Fn | G vi mi n, trong G l mt hm kh tch trn .
ii) Fn hi t hu khp mi ni n mt hm o c F trn , c
ngha l tp cc im sao cho limn Fn () = F () c o
bng 1.
Khi ta c Z Z
F dP = lim Fn dP. (2.33)
n
Sputnik Education 99
Chng 2. Bin Ngu Nhin
F ()| > }. Ta c
Z Z Z
| F dP Fn dP | |F Fn |dP
Z Z Z
dP + 2GdP + 2 GdP.
\An An An
R R
chng minh | F dP Fn dP | tin ti 0 khi n tin ti v cng,
R
ta ch cn chng minh An GdP tin ti 0 khi n tin ti v cng vi
mi . V Fn hi t hu khp mi ni n F trn , nn tp hp cc
im m nm trong v s cc tp An c o bng 0. Do P (An )
tin ti 0 khi n tin ti v cng (xem khng nh th hai ca Bi tp
R
1.22), t suy ra An GdP tin ti 0 khi n tin ti v cng.
nh l 2.6 v s bo ton gi tr k vng di nh x bo ton
xc sut c th c pht biu li di dng nh l v s bo ton
tch phn Lebesgue di dnh x bo ton xc sut:
iii) Nu g l mt hm s thc th
Z Z
E(g(X)) = g(x)dPX = g(x)X (x)dx. (2.37)
xR
trung bnh hnh hc, cn trung bnh cng l trung bnh s hc.
Trung bnh nhn c th c nh ngha qua trung bnh cng v qua
hm logarithm ln, v hm ngc ca hm ln, tc l hm exp:
Y X
( ai )1/n = exp( (ln ai )/n). (2.38)
i i
hm ca p.
s .
E(|X|k )
P (|X| a) . (2.50)
ak
X X
MX (y) = E(exp(yX)) = E( (y k /k!).X k ) = E(X k ).(y k /k!)
k k
(2.52)
Hm MX (y) = E(exp(yX)) c gi l hm sinh moment ca
X.
2.5.1 Hm c trng
(k)
trong X l k hiu o hm bc k ca X .
(k) dk dk
X (s) = X (s) = E( exp(isX))
dsk dsk
= E((iX)k exp(isX)) = ik E(X k exp(isX)). (2.55)
(k)
t s = 0, ta c X (0) = ik E(X k ).
Trong gii tch, php tnh trn gi l php bin i Fourier. C ngha
l, hm c trng chnh l bin i Fourier ca hm mt .
Chia c hai v ca cng thc (2.56) cho b a, v cho b tin ti a,
ta c cng thc sau, gi l php bin i ngc Fourier, tnh
hm mt t hm c trng:
Z
1
F (x) = eisx F (s)ds. (2.58)
2
1 dk GX (z)
v ta c P (X = k) = vi mi k Z+ .
k! dz k z=0
T quan im ca gii tch phc, hm c trng X (s) v hm
sinh GX (z) gn nh l mt, c th chuyn t hm ny sang hm kia
bng cch i bin. Bi vy, tt nhin cc moment ca mt bin ngu
nhin cng c th suy ra c t hm sinh xc sut ca bin ngu
nhin . Ta c nh l sau:
(4)
Xem wikipedia: http://fr.wikipedia.org/wiki/Pierre-Simon_Laplace.
128
3.1. Vector ngu nhin
3.1.3 Hm mt ng thi
Tt nhin, nu mt hm khng m l mt hm mt ng
thi trn Rn , th n phi c tnh cht
Z Z
... (x1 , . . . , xn )dx1 . . . dxn = 1, (3.8)
tng ng Xi v X , th ta c th vit
Z Z
X1 (x) = ... (x, y2 , . . . , yn )dy2 . . . dyn , (3.9)
P (X Ba,b ) =
n !
1
Z Y e 1sk ak
e 1sk bk
= lim ... lim X (s)ds
(2)n T1 Tn 1sk
T<s<T k=1
(3.14)
(trong ds = ds1 . . . dsn l k hiu o Lebesgue trn Rn ).
iii) Nu hai vector ngu nhin n chiu c cng hm c trng, th chng
cng c cng phn b xc sut trn Rn .
iv) Gi s m N v E(|Xi |m ) < vi mi i = 1, . . . , n. Khi hm
c trng kh vi lin tc m ln, v
1 |k| X (0)
E(X1k1 . . . Xnkn ) = , (3.15)
( 1)|k| xk11 . . . xknn
PX (A1 . . . An ) = P (X1 A1 , . . . , Xn , An )
n
Y n
Y
= P (Xi Ai ) = PXi (Ai ). (3.17)
i=1 i=1
vi mi x = (x1 , . . . , xn ) Rn .
Hm phn phi xc sut ca tch trc tip (R, PX1 ). . .(R, PXn )
chnh l hm F(x1 , . . . xn ) = ni=1 P (Xi xi ) = ni=1 FXi (xi ). Phn
Q Q
vi mi (x1 , . . . , xn ) Rn .
iii) Hm c trng X (s1 , . . . , sn ) ca X = (X1 , . . . , Xn ) l tch ca
cc hm c trng Xi (si ):
n
Y
X (s1 , . . . , sn ) = Xi (si ). (3.21)
i=1
1 x R
x e . y () = 0 x1 ex dx gi l hm gamma. Bit
()
rng (k) = (k 1)! vi mi k N. Chng minh (bng qui np)
rng, nu X1 , . . . , Xk l k bin ngu nhin c lp vi phn b m
vi tham s , th tng ca chng X1 + . . . + Xk c phn b gamma
vi cc tham s k, .
Bi tp 3.7. Gi s X v Y c phn b xc sut ng thi lin tc,
vi hm mt xc sut ng thi sau y:
(
xexy khi x, y > 0
(x, y) = .
0 ti cc im khc
T suy ra:
P (X = x, Y = y) = P (X = x|N = x + y).P (N = x + y)
x x+y (p)x ((1 p))y
= Cx+y px (1 p)y e = e v,
(x + y)! x! y!
x
= y) = (p)
P
P (X = x) = yZ+ P (X = x, Y x! .C1 ,
P ((1p))y
P (Y = y) = xZ+ P (X = x, Y = y) = y! .C2 ,
vi C1 = ep , C2 = e(1p) , v P (X = x).P (y = y) = P (X =
x, Y = y). iu c ngh l, trong trng hp ny (khi m tng
N = X + Y tun theo phn b Poisson), hai bin X v Y c lp vi
nhau!
3.2.3 Mt s h qu ca s c lp
ii)
X X
var( Xi ) = var(Xi ), (3.24)
i i
iii)
Y
GPi Xi (z) = GXi (z), (3.25)
i
iv)
Y
Pi Xi (s) = Xi (s). (3.26)
i
3.3 Lut s ln
2 n
Sn var(Sn )
P
= P (|Sn E(Sn )| n)
= 0,
n (n)2 n2
(3.28)
t suy ra iu phi chng minh.
Pn
i=1 Xi
P lim = = 1, (3.29)
n n
Pn
i=1 Xi
hay ni cch khc, hu nh chc chn rng, tin ti khi n
n
tin ti v cng.
Y
= i = {(x1 , x2 , x3 , . . .)|xi i i N}. (3.30)
i=1
Y n
Y
Pi (Ai ) = lim Pi (Ai )
n
i=1 i=1
Y Y Y Y Y Y
P( Ai Bi ) = P ( Ai ) + P ( Bi ) P (( Ai ) ( Bi ))
i i i i i i
Y Y Y
= P ( Ai ) + P ( Bi ) P ( (Ai Bi ))
i i i
Y Y Y
= Pi (Ai ) + Pi (Bi ) Pi (Ai Bi ).
i i i
1 Pn
hp con {(xi )iN RN | limn n i=1 Xi = } trong RN . nh l
3.8 tng ng vi khng nh
P (A) = 0, (3.34)
1 Pn
trong A = RN \ {(xi )iN RN | limn n i=1 Xi = }.
C mt chi tit k thut l: tp A trn khng nht thit nm
trong sigma-i s ca (R, P1 )N xy dng nh trn. Khi ta phi
hiu P (A) = 0 nh th no? Vn ny dn n nh ngha sau:
P (A) = 0.
B 3.10. Vi mi n N ta c
Xn
E(( Yi )4 ) = n4 + 3n(n 1) 4 Cn2 , (3.35)
i=1
Chng minh. Ta c
n
X n
X X X
( Yi )4 = Yi4 + 6 Yi2 Yj2 + 4 Yi3 Yj
i=1 i=1 i<j i6=j
X X
+6 Yi2 Yj Yk + Yi Yj Yk Yl .
i6=j6=k i6=j6=k6=l
Xn n
X X
E(( Yi )4 ) = E(Yi4 ) + 6 E(Yi2 )E(Yj2 ) = n4 + 3n(n 1) 4 .
i=1 i=1 i<j
vi mi n N.
ta c
1
P (Bk ) < . (3.38)
2k
B 3.13. Ta c
1
A Ak v P (Ak ) < (3.40)
2k
vi mi k N.
Chng minh. i) Ta c:
Cc tnh cht trn suy ra trc tip t nh ngha. Tnh cht tuyn
tnh cng ng vi bin Y , nn ta ni rng cov(X, Y ) c tnh cht
song tuyn tnh.
Hnh 3.2: Trng lng c lng bng soi siu m v trng lng
thc t
(2)
R.L. Schild, R. Fimmers, L. Hansmann, Fetal weight estimation by three-
dimensional ultrasound, Ultrasound in Obstetrics and Gynecology, 16 (2000), 445
452.
E((Y aXb)2 )
(
a = 2aE(X 2 ) 2bE(X) 2E(XY ) = 0
E((Y aXb)2 )
. (3.50)
b = 2b 2aE(X) 2E(Y ) = 0
cov(X, Y )
Nghim duy nht ca h phng trnh tuyn tnh trn l a =
var(X)
v b = E(Y ) aE(X), bi vy y l im cc tiu ca E((Y aX
b)2 ). C th tnh ra rng, gi tr cc tiu ca E((Y aX b)2 ) bng
var(Y ).(1 r(X, Y )2 ).
cov(X,Y )
ng thng y = ax + b vi cc h s a = var(X) v b = E(Y )
aE(X) c gi l ng hi qui tuyn tnh (linear regression), hay
ng quan h tuyn tnh khp nht (fittest) cho hai bin ngu nhin
X v Y , vi sai s bnh phng nh nht. ng ny l mt trng
hp ring (trng hp tuyn tnh n bin) ca phng php hi qui
(regression, mc ch l vit c mt bin ngu nhin di dng
hm s ca cc bin ngu nhin khc, vi sai s chp nhn c),
theo nguyn tc bnh phng nh nht.
Trong thc t, ta khng bit ht cc gi tr ca (X, Y ) (tc l
khng bit chnh xc phn b ng thi ca (X, Y )), m ch bit
(3)
Ngun: M. Killas, International correlation between gun ownership and rates of
homicide and suicide, Can. Med. Assoc. J. 1993, 148 (10), 17211725.
(4)
Xem: http://www.sciencedaily.com/releases/2009/08/090811080751.htm
(5)
Xem trang web http://en.wikipedia.org/wiki/Correlation_does_not_imply_causation
Hnh 3.3: Tai nn giao thng cht ngi v chanh ti nhp khu
3.5.1 Trng hp ri rc
P (X A, Y = y)
PX|Y =y (A) = PX|Y (A|y) = P (X A|Y = y) =
P (Y = y)
(3.51)
(vi mi tp hp A R thuc sigma-i s Borel). Hm phn phi
xc sut c iu kin l hm
P (X x, Y = y)
FX|Y =y (x) = FX|Y (x|y) = PX|Y =y (] , x]) = .
P (Y = y)
(3.52)
K vng c iu kin ca X vi iu kin Y = y l
Z
E(X|Y = y) = xdPX|Y =y . (3.53)
xR
P (X = k, Y = m)
P (X = k|X + Y = k + m) =
P (X + Y = k + m)
k m
k! e m! e (k + m)! k m
= k+m =
(+) (+) k!m! ( + )k+m
(k+m)! e
k k m
= Ck+m ( ) (1 )
+ +
Ni cch khc, t r = k + m, ta c
k rk
PX|X+Y =r (k) = Crk ( ) (1 ) ,
+ +
P
Chng minh. Ta c th vit X = y Xy , vi Xy = X khi m Y =
y v Xy = 0 khi m Y 6= y. Khi E(X|Y = y) = E(Xy )/P (Y = y),
v
X X X
E(X) = E( Xy ) = E(Xy ) = E(X|Y = y)P (Y = y).
y y y
v bi vy, ta c:
X,Y (x, y)
X|Y (x|y) := X|Y =y (x) = . (3.57)
Y (y)
Xt = A.Zt + t . (3.62)
1 1 y2 y2
Y (y) = Y1 (y1 )Y2 (y1 ) = exp( ( 12 + 22 ))
21 2 2 1 2
1 1
= exp( (y.(0 )1 .yt )
2 det 0 2
1 1
= exp( (x ).1 .(x )t ).
2 det 2
Cc nh l gii hn
177
Chng 4. Cc nh l gii hn
Khi
1 1
Pn (k) = p exp( z 2 ).(1 + n (k)), (4.3)
2 np(1 p) 2
! Z
b
Sn pn 1 2
lim P a p b = ex /2 dx. (4.5)
n np(1 p) a 2
(1)
Cc chng minh c in ca cng thc Sterling kh di. Nhng c th xem mt
chng minh ngn gn v n gin, da trn hm gamma v nh l hi t b chn
Lebesgue (nh l 2.8) trong bi bo sau: J. M. Patin, A very short proof of Sterlings
formula, The American Mathematical Monthly, Vol. 96 (1989), No. 1, pp 4142.
dng nh l 4.1, ta c:
!
Sn pn X
P a p b = Pn (k)
np(1 p) azb
X 1 1
= n exp( z 2 ).(1 + n (k)), (4.6)
2 2
azb
1
trong n = p bng bc nhy ca z trong tng pha
np(1 p)
trn. Bi vy, theo nh ngha tch phn Riemann, ta c
Z b
X 1 1 1 2
lim n exp( z 2 ) = ex /2 dx, (4.7)
n 2 2 a 2
azb
Sn n
t Zn = , ta c
n
Sn n
iu c ngha l, qua php bin i tuyn tnh Zn = ,
n
ta c th a bin ngu nhin Sn v mt bin ngu nhin Zn c k
vng bng 0 v phng sai bng 1. Bin ngu nhin Zn ny c gi
l chun ha ca Sn , hay cn gi l tng chun ha ca X1 , . . . , Xn .
Sau khi chun ha nh vy, ta c th so snh dng iu ca phn
b ca Zn vi cc phn b chun ha khc (c cng k vng bng 0
v lch chun bng 1). nh l gii hn trung tm pht biu rng,
bt k phn b ban u (ca X1 ) ra sao, khi n ln th phn b ca
tng chun ha Zn c th c xp x rt tt bng phn b normal
N (0, 1), v khi n tin ti v cng th n tin ti N (0, 1). Ni mt cch
chnh xc hn:
Khi vi mi a, b R, a < b, ta c:
Z b
1 2
lim P (a Zn b) = ex /2 dx. (4.11)
n a 2
n2 nn
n 1
lim en 1 + + ... + = .
n 1! 2! n! 2
Mnh 4.5. Vi mi s R ta c
hoc l
d
Zn PZ . (4.19)
l ln cn ca A trong R.
iii) Khong cch KolmogorovSmirnov gia PX v PY l i lng
Chng minh.
i)iu kin cn. Gi s c mt im lin tc x0 ca F sao cho
Fn (x0 ) khng hi t n F (x0 ). Khi tn ti mt hng s c > 0 v
mt dy s t nhin nk tin ti v cng sao cho |Fnk (x0 )F (x0 )| >
c vi mi k N. Ta s gi s F (x0 )Fnk (x0 ) > c vi mi k. (Trng
hp c th chn Fnk (x0 ) F (x0 ) > c vi mi k hon ton tng
t). Do tnh lin tc ca F ti x0 , tn ti > 0 nh sao cho
F (x0 ) F (x) < c/2 vi mi x [x0 , x0 ]. Do cc hm phn b
xc sut l hm tnh tin tng, ta c Fnk (x) Fnk (x0 ) vi mi x
[x0 , x0 ], t suy ra F (x)Fnk (x) > c/2 vi mi x [x0 , x0 ],
Rx
v do tn ti mt hng s dng C = x00 (c/2)e|x| dx > 0, sao
cho d(Pnk , P ) > C vi mi k. iu c ngha l d(Pn , P ) khng
tin ti 0 khi n tin ti v cng.
ii) iu kin . Gi s F (x) = limn Fn (x) ti mi im
lin tc ca F . Gi s > 0 l mt s dng ty . Nhc li rng
hm F l mt hm n iu khng gim b chn, v tp cc im
khng lin tc ca F l hu hn hoc m c. Ta c th chn
mt dy hu hn x0 < x1 < . . . < xN cc im lin tc ca F sao
R x0 |x| R
cho e dx < , xN e|x| dx < , v vi mi k = 0, 1, . . . , N
1 ta c hoc l 0 F (xk+1 ) F (xk ) < /(xN x0 ) hoc l
0 < xk+1 xk < /N . Gi I l tp cc ch s k tha mn 0
vi
Z x0
An = |Fn (x) F (x)|e|x| dx+
R
(x) F (x)|e|x| dx < 2,
xN |FnZ
X xi+1
Bn = |Fn (x) F (x)|e|x| dx <
kI xi
P R xi+1
2
R xN 2
< kIZ xi xN x0 dx x0 xN x0 dx = 2,
X x i+1
Cn = |Fn (x) F (x)|e|x| dx
kJ xi
4.2.4 nh l lin tc
Z Z
F dP < /6 , F dP < /6, (4.30)
],R] ]R,+[
v
Z Z
F dPn < /6 , F dPn < /6 (4.31)
],R] ]R,+[
Z Z
F dPn F dP < /3 (4.32)
]R,R] ]R,R]
Z Z
1 sin(x)
X (s)ds = dPX
2 xR x
Z Z
sin(x) sin(x)
= dPX + dPX (4.38)
|x|2/ x |x|>2/ x
k
X (i npi )2 d
2s1 , (4.43)
npi
i=1
s
X (i npi )2
tc l bin ngu nhin hi t theo phn phi n 2s1 ,
npi
i=1
khi n tin ti v cng.
2 = n 1 , v
(1 np1 )2 (2 np2 )2 (1 np)2 (1 np)2
+ = +
np1 np2 pn (1 p)n
n 2
(1 np)2
P
i=1Xi nE(X)
= = .
p(1 p)n n(X)
j=1,...,s1
(G1 , . . . , Gs )t = (aij )i=1,...,s .(Z1 , . . . , Zs1 )t . (4.45)
oij
aij = vi mi i = 1, . . . , s, j = 1, . . . , s 1. (4.46)
1 pi
s1
X oij
Gi = Zj vi mi i = 1, . . . , s, (4.47)
j=1
1 pi
t suy ra:
2
s s s1
X X X o ij
(1 pi )G2i = (1 pi ) Zj
i=1 i=1 j=1
1 pi
Xs s1
X X
= o2ij Zj2 + oij oik Zj Zk
i=1 j=1 j6=k
s1 X
X s XX s s1
X
= ( o2ij )Zj2 + ( oik )Zj Zk = Zj2 (4.48)
j=1 i=1 j6=k i=1 j=1
R
trong l hm gamma: (a) = 0 xa1 ex dx.
Hnh 4.3: Hm mt ca 2k , vi k = 1, 2, 3, 4, 5
Thng k ton hc
5.1 Cc vn thng k
210
5.1. Cc vn thng k
3 3 = 9 ln thng 5.
ITT-LOCF Completers
---------------------------- ----------------------------
Qnexa Qnexa Qnexa Qnexa
EQUIP (OB-302) Placebo Low Dose Full Dose Placebo Low Dose Full Dose
56 Weeks (n=498) (n=234) (n=498) (n=241) (n=138) (n=301)
-------------- ------- -------- --------- ------- -------- ---------
Mean Weight
Loss (%) 1.6% 5.1%* 11.0%* 2.5% 7.0%* 14.7%*
Greater than
or equal to
5% weight
loss rate 17% 45%* 67%* 26% 59%* 84%*
Theo bng trn, tng s ngi tham gia th nghim lm sng (trong
th nghim ) l 498 + 234 + 498 = 1300 ngi. t th nghim ko
di 56 tun, nhng c nhng ngi b d gia chng: trong s 498
ngi c nhn placebo (trng ging nh vin thuc tht, nhng
(2)
Ngun: http://ir.vivus.com/releasedetail.cfm?ReleaseID=407933
(4)
J. Daugman, Wavelet demodulation codes, statistical independence, and pattern
recognition, in: Proceedings IMA-IP: Mathematical Methods, Algorithms, and Appli-
cations, (Blackledge and Turner eds.), Horwood, London, 2000, pages 244260.
(x1 , x2 , . . . , xn , . . .)
5.2.2 Hm c lng
= (x1 , . . . , xn ). (5.4)
Nu g l mt hm s n bin bt k, v x1 , . . . , xn l mt mu thc
nghim c n ca mt bin ngu nhin X, th g(X1 , . . . , Xn ) c gi
l mt hm thng k ca bin ngu nhin X, v gi tr g(x1 , . . . , xn )
c gi l mt thng k (statistic). Nh vy, ta c th ni rng, hm
c lng (estimator) l mt hm thng k dng c lng mt
i lng no , v i lng c c lng bng thng k.
Khi c ca mu thc nghim c th thay i, th ta cn khng
phi l mt, m l mt dy hm c lng: mi hm cho mt c mu
n. Ta s k hiu chung mt dy hm c lng nh vy ( cng
c lng mt i lng ) bng mt ch ci (v d ) v gi chung
chng l mt hm. Ta mun rng, khi n cng ln th ni chung sai s
gia c lng v gi tr tht ca phi cng nh. Tnh cht
ny c th pht biu chnh xc mt cch ton hc nh sau, v gi l
tnh nht qun(5) (consistency), ca hm c lng:
nh l trn gii thch v sao ngi ta hay dng cng thc phng
n Pn 2
2 1 X i=1 xi
sai mu hiu chnh s = xi , thay v cng
n1 n
i=1
n Pn 2
1X i=1 xi
thc xi , khi ni v phng sai ca mt b n s
n n
i=1
(x1 , . . . , xn ). T l gia phng sai mu hiu chnh v phng sai
n
mu l , tin ti 1 khi n tin ti v cng.
n1
d
L() = 0. (5.15)
d
1
L(a, b) = a,b (x1 ) . . . a,b (xn ) = , (5.16)
(b a)n
n n Pn 2
2 1X 2 1X i=1 xi
= (xi ) = xi . (5.22)
n n n
i=1 i=1
(1 + b0 ())2
E(|(X1 , . . . , Xn ) |2 ) . (5.29)
nI()
suy raZ
Z
p ln (, x) p
1( ((X) ) (, x))2 dx)( ( (, x))2 dx) =
E(|(X) |2 ).I(), v ta c iu phi chng minh.
P ( [ , + ]) = 1 p, (5.30)
X p
P( < c) FN (0,1) (c) = PN (0,1) (] , c[).
/ n
p
vi mi c. Ta s thay bng lch chun thc nghim = p(1 p),
v X bng gi tr p = 0.52 ca n, trong cng thc trn. Nh vy,
FN (0,1) (c) l tin cy cho khong tin cy mt pha
p
]p c p(1 p)/n, [ = ]0.52 0.02498c, [
vi tin cy 90%.
Bi tp 5.9. Gi s c mt loi xe t mi, cho 5 ngi chy th 5 xe
khc nhau trn ng cao tc, vi kt qu chy 100km ht ln lt
l 4.53, 3.82, 4.37, 3.91, 4.16 lt xng. Tm khong tin cy cho s lt
xng tiu tn trung bnh ca loi xe ny cho 100km ng cao tc,
vi tin cy 90%.
hoc l
vit
hoc l
P = P (G A | H0 ), (5.40)
X 0 X 0
Z= hoc l Z = , (5.41)
/ n / n
trong :
i) X l gi tr trung bnh ca mt mu thc nghim c n ca mt bin
ngu nhin X
ii) Gi thuyt y l v k vng = E(X) ca X. Gi thuyt H0 l
= 0 , v i thuyt l 6= 0 (hoc l H0 : 0 , H1 : > 0 ;
hoc l H0 : 0 , H1 : < 0 ).
iii) Hoc l X c gi s l c phn b normal vi lch chun
bit trc, hoc l n ln sao cho c th coi l Z c phn b normal
chun tc, v thay v dng ta dng , trong 2 l phng sai thc
nghim (cho bi cng thc (5.3)).
X 0
vng, tc l kim nh dng thng k T = , v coi rng T c
/ n
phn b Student T vi n 1 bc t do.
V d 5.17. (Thuc cm). Gi s mt hng dc phm mun kim
nh s hiu nghim ca mt loi thuc cm mi. Thuc c a
cho 100 ngi bnh ngu nhin s dng khi bt u c triu chng
cm. Gi s mt ngi b cm m khng cha bng thuc, th qu
trnh b cm ko di trung bnh 7 ngy. Gi X l Gi s di trung
bnh ca t b cm ca nhng ngi c th cho dng thuc mi
l X = 5.3, vi lch chun thc nghim l 1.5 ngy. Hi thng tin
ny c chng t thuc c hiu nghim khng?
V X = 5.3 < 7 nn chng ta mun chp nhn i thuyt H1
(thuc hiu nghim). Nhng trc khi chp nhn n, chng ta cn
phi khng nh c rng gi tr P y,
P = P (X 5.3|H0 ),
P (X c|E(X) = 7) = , (5.42)
10(c 7)
P (Z ) (5.43)
1.5
X Y
Z=r . (5.44)
2X 2Y
nX + nY
X Y
T =r . (5.45)
2X 2Y
q
nX +nY
nY + nX . nX +nY 2
kt qu nhn c l:
Ngi tr: 77, 68, 82, 55, 91, 63, 78, 56, 47, 80, 78, 60;
Ngi gi: 76, 35, 66, 53, 85, 38, 47, 66, 72, 61.
Gi thuyt H0 l ngi tr v ngi gi c hi lng v cuc sng
nh nhau. Mu thc nghim y tng i nh, khng thch hp
cho kim nh Z, nhng ta c th dng kim nh T. Gi X l bin
hi lng ca mt ngi tr, Y l bin hi lng ca mt ngi
gi. Theo hai mu thc nghim trn, ta c:
2m /m n2m
Fm,n = = (5.46)
2n /n m2n
c gi l phn b F vi m v n bc t do.
trong
((m + n)/2)mm/2 nn/2
c= . (5.48)
(m/2)(n/2)
5.5 Kim nh 2
i 0 1 2 3 4
ni 713 299 66 16 1
i 0 1 2 3
np0i 704,44 310,73 68,53 11,28
c s bc t do bng 4 1 1 = 2. Ta c
Khi ta mun kim tra xem hai s kin hay hai bin ngu nhin
no c c lp vi nhau khng, ta cng c th dng 2 . Chng
hn, gi s ta c bin ngu nhin X nhn m gi tr x1 , . . . , xm , v
bin ngu nhin Y nhn n gi tr y1 , . . . , yn . Gi thuyt H0 : X c
lp vi Y c ngha l P (i, j) := P (X = xi , Y = yj ) = P (X =
xi )P (Y = yj ) vi mi i, j. M hnh gian xc sut y c mn phn
t (X = xi , Y = yj ). M hnh xc sut y c m + n 2 tham
s, c ngha l nu ta c lng c m + n 2 gi tr P (X =
x1 ), . . . , P (X = xm1 ), P (Y = y1 ), . . . , P (Y = yn1 ), th ta bit c
ton b phn b xc sut ca khng gian xc sut (nu chp nhn
gi thuyt P (X = xi , Y = yj ) = P (X = xi )P (Y = yj ) vi mi i, j).
Bi vy, s bc t do ca phn b 2 cn dng trong kim nh gi
thuyt H0 y l: mn (m + n 2) 1 = (m 1)(n 1).
S bc t do y l (m 1)(n 1) = (3 1)(3 1) = 4. Ta c
P (24 5, 329) > 25%. Nh vy ta chp nhn gi thit H0 : tui
khng nh hng (ng k) ti khuynh hng chnh tr.
c nhn B t chi
Nam 526 550
N 313 698
Y = F (X1 , . . . , Xs ) + , (5.53)
Y = aX + b + (5.55)
hp tng qut, ta c
2
P
var(aX + b)
2 var(Y ) (1/n) i i
R = = , (5.59)
var(Y ) var(Y )
hay c th vit l
s
X
i hXi , Xj i = hY, Xj i j = 0, 1, . . . , s. (5.63)
i=0
1 31.0 1 24
2 12.5 5 115
3 15.5 6 80
4 6.7 9 195
5 30.0 2 53
6 21.0 3 52
7 18.5 3 75
8 8.6 10 126
9 9.0 7 138
10 18.0 5 70
11 11.0 5 150
12 13.0 5 156
13 11.0 8 124
14 9.0 7 180
15 8.0 8 143
16 12.0 8 97
17 17.5 4 100
18 7.0 8 200
19 20.0 4 80
20 6.0 8 230
21 15.3 5 109
22 23.0 3 37
23 4.5 13 130
24 7.0 8 180
25 24.5 2 25
26 12.5 5 142
27 15.0 5 70
28 7.0 7 166
29 24.0 2 45
30 11.5 6 146
31 23.5 3 55
32 7.2 8 245
33 29.0 1 13
34 9.9 8 188
35 33.0 0 10
36 14.3 5 90
37 17.5 3 101
38 12.0 6 116
39 6.5 8 182
40 5.6 7 223
41 11.0 5 124
42 17.5 3 101
43 13.5 5 73
44 19.2 4 61
45 6.9 7 216
46 1.5 16 246
47 13.0 7 135
48 11.0 10 105
49 9.3 9 145
50 3.8 15 78
51 13.0 5 119
52 14.0 8 86
53 15.5 4 73
54 10.5 7 130
55 8.5 9 161
56 3.5 14 175
57 3.0 16 165
58 7.9 9 126
59 5.5 8 258
60 5.3 11 273
mn):
distance
attrition = 10. (5.70)
(age + 0.5)
tng l, cc xe ni chung chy t ra 10 nghn km mt nm. Mc
10 nghn km mt nm c coi l mc vi hao mn thp, v vi
hao mn th gi xe gim theo cp s nhn. Nu chy trn 10
nghn km mt nm, th hao mn cao hn mc thp, v gi ca xe
gim thm i. My tnh cho kt qu:
Li gii cho mt s bi tp
279
Ph lc A. Li gii cho mt s bi tp
n
[ n
X X X
P( Ai ) = P (Ai ) P (Ai Aj ) + P (Ai Aj Ak )
i=1 i=1 i6=j i6=j6=k
n
\
. . . + (1)n1 P ( Ai ).
i=1
Bi tp 1.3. C n! cch xp n bn thnh mt hng dc, trong c
(n 1)! cch xp Vva ngay sau Lily. Nh vy xc sut Vva
(n 1)! 1
ngay sau Lily trong hng l = .
n! n
C th gii cch khc nh sau. Xc sut Vva khng ng u
hng l (n 1)/n. Khi Vva ng u hng th khng th ng sang
Lily, cn khi Vva khng ng u hng, th xc sut Lily ng
ngay trc Vva l 1/(n 1) (v trong n 1 v tr cn li th c 1 v
tr l ngay trc Vva). Bi vy xc sut Vva ng ngay sau Lily
l: (n 1)/n 1/(n 1) = 1/n.
Bi tp 1.4. Gi l khng gian mu, A l bin c c hai ngi
trong nhm vit tn ca nhau. Ta c || = 45 = 1024, |A| = C52 .43
C54 .C42 .4 = 520 . (u tin chn ra hai ngi trong nhm vit tn ca
nhau, 3 ngi cn li vit tn mt ngi bt k trong nhm, nh vy
nhng cch vit tn m c hai cp trong nhm vit tn ca nhau
c tnh hai ln). Xc sut c hai ngi trong nhm vit tn ca
|A| 65
nhau l P (A) = = .
|| 128
Bi tp 1.5. Gi l khng gian mu, M l bin c i A gp i
B trong gii, M1 , M2 , M3 ln lt l cc bin c i A gp i B
vng 1, vng 2, vng 3. Ta c P (M ) = P (M1 ) + P (M2 ) + P (M3 ), vi
1
P (M1 ) = . || = C82 .6! = 28.6!. (C C82 cch chn hai i vng
7
chung kt, 6.5 cch chn hai i b thua vng 2 v 4.3.2.1 cch
phi l ngi thng set cui cng. Xc sut Nam thng trn l
2 2 3 2 3
C22 .( )3 + C32 .( )3 . + C42 .( )3 .( )2 = 0.31744.
5 5 5 5 5
P (A B) P (A B)
Bi tp 1.9. P (A|B) = P (B|A) = P (A) =
P (B) P (A)
P (B).
Bi tp 1.10. Gi A l bin c trong 3 con mo c t nht mt con
l mo ci, B l bin c c 3 con mo u l mo ci. Ta cn tnh
P (A B) P (B) (1/2)3 1
P (B|A) = = = 3
= .
P (A) P (A) 1 (1/2) 7
Bi tp 1.11. A, B c lp nn P (AB) = P (A).P (B). Ta c P (A) =
P ((A B)(AB)) = P (A B)+P (AB) = P (A B)+P (A).P (B).
Suy ra P (A B) = P (A).(1 P (B)) = P (A).P (B). Vy A v B c
lp.
Bi tp 1.12. Ta ly 3 s kin A, B, C trng vi 3 s kin X, Y, Z nh
trong v d 1.18. Ta c P (X) = 1/2, P (Y ) = P (Z) = 1/6, P (XY ) =
1/12 = P (X).P (Y ), P (X Z) = 1/12 = P (X).P (Z), P (Y Z) =
1/36 = P (Y ).P (Z), P (X Y Z) = 0 6= P (X).P (Y Z). Nh vy
X c lp vi Y v Z nhng khng c lp vi Y Z.
Bi tp 1.13. Gi C l s kin qun rt ra u tin l qun c. Ta
12 13 13 39 1
c P (B) = P (B|C).P (C) + P (B|C).P (C) = . + = <
51 52 51 52 4
13
= P (B|A). Vy hai s kin A v B khng c lp.
51
Bi tp 1.14. Gi A l bin c ngi c chn l n ng (A l bin
c ngi c chn l n b), B l bin c ngi c chn l tha
cn. Theo cng thc xc sut ton phn P (B) = P (B|A).P (A) +
P (B|A).P (A) = 0.65 0.5 + 0.534 0.5 = 0.592.
Bi tp 1.15. Gi A l bin c ngi c chn l n ng, B l bin
... B ) 1 khi n .
Bn,2 n,s
P (B|A).P (A)
P (A|B) =
P (B|A).P (A) + P (B|A).P (A)
0.85 1/30
= 0.295.
0.85 1/30 + 0.07 29/30
Bi tp 2.2. Hm mt ca X:
(
0 nu |x| > 1
X (x) =
1 |x| nu |x| 1
Hm mt ca Y l:
sin x cos x + cos x nu x [ 2 , 0]
Y (x) = sin x cos x + cos x nu x [0, 2 ]
0 nu |x| > /2
do FX (x) + FX (x) = 1.
Nu F khng lin tc, khi kt lun trn khng cn ng. Phn
v d: X c phn b xc sut tp trung ti x = 0, tc P (X = 0) = 1,
khi : F (x) + F (x) = 2 vi x = 0.
Bi tp 2.5. Vi mi y [0, 1], t g(y) = sup{x : FY (x) < y}. Ta
chng minh: g(y) z FY (z) y. Tht vy :
Bi tp 2.7. X E() hm mt :
(
ex nu x > 0
X (x) =
0 nu x 0
x
e e c y nu y > 0
nu x > 0
Y (y) = c = c
0 nu y 0
0 nu x 0
Vy Y E( c ).
Bi tp 2.8. Ta c:
P (X > s + t, X > s)
P (X > s + t|X > s) =
P (X > s)
e(s+t)
= = et = P (X > t)
es
1
X (x) = x nu x [0, 1]
Y (y) = d ln x = 1/x
| dx | 0 nu x / [0, 1]
(
ey y > 0
=
0 y 0
nu x 1
X (x) = x+1
0 nu x < 1
Y = X s , s > 0. Xt y = f (x) = xs , ta c:
X (x) x+1 = 1 nu x 1
Y (y) = = s xs1 s x+s
|f 0 (x)| 0 nu x < 1
1
+1 nu y 1
= s ys
0 nu y < 1
1
(Do x = y s > 1 y > 1). Vy Y c phn phi Pareto vi tham s .
s
1 1
Bi tp 2.11. X U(0, 1), Y = . Xt y = f (x) =
1X 1x
1
f 0 (x) =
(1 x)2
Ta c (
1
X (x) (1 x)2 = y2
nu y 1
Y (y) = 0 =
|f (x)| 0 nu y < 1
X 1 2 95 Y 5 6 99
4
C98 4
C97 C44 C44 C54 4
C98
p 5 5 5 p 5 5 5
C99 C99 C99 C99 C99 C99
Nu cu tr li l c: s s nm trong on 2n1 + 1; 2n
Ln th i: Ta s xc nh c s nm trong on c di 2ni .
Vy, sau n ln, ta s xc nh c s A chn.
ii) Ta s chng minh mt khng nh tng qut hn: gi s X l
mt tp hu hn c m phn t, A chn mt phn t ca X, v B hi
cc cu hi kiu phn t c nm trong tp con Y ca X khng,
v A s tr li l c hoc khng. Khi mi chin thut hi ca B s
cn trung bnh t nht l log2 m cu hi xc nh phn t m A
chn. (Trng hp bi ton nu ra l trng hp m = 2n ).
Ta c th chng minh khng nh ny bng cch qui np theo m.
Vi cc s m nh (v d m = 2 hay m = 3), d dng kim tra trc
tip khng nh), v vi m = 1 th khng nh l hin nhin. Gi s
ta chng minh c khng nh cho cc tp c khng qu m 1
phn t (m 2), ta s chng minh rng khng nh ng cho tp X
vi m phn t.
D l chin thut no, th cu u tin ca B cng phi c dng
phn t c nm trong Y khng, trong Y l mt tp con ca
X m B chn ra. Nu cu tr li l c, th trong cc bc tip theo
B phi chn cc tp con ca Y , v nh vy, theo qui np, s cn
thm trung bnh t nht l log2 |Y | ln hi. y ta c th coi rng
1 |Y | = k < |X| = m. Nu cu tr li l khng, th c ngha l
phn t A chn nm trong X \ Y, v s cn thm trung bnh t nht
log2 |X \ Y | = log2 (m k) ln hi. Xc sut phn t m A chn ri
vo Y , tc l A tr li Yes cho cu hi u tin l |Y |/|X| = k/m,
i) Ta c:
Z Z
1= Y (x)dx = c sin xdx = c cos x = 2c,
0
0
do c = 1/2.
Z
1
ii) E(Y ) = x sin xdx = . Mt cc gii thch khc l, hm
0 2 2
mt Y (x) i xng quanh im x = /2, v do gi tr k vng
ca Y bng /2.
Bi tp 2.18. X c phn phi Pareto vi tham s > 1, hm mt :
nu x 1
X (x) = x+1
0 nu x < 1
K vng ca X l:
Z
+1
E(X) = x +1
dx = x = .
1 x + 1 1 1
Bi tp 2.19. Gi (ai , bi ), i = 1, . . . , n, l cc cp gi tr ca (F, G),
1
ai , bi > 0. T gi thit ta c P (F = ai , Gi = bi ) = , v
n
v v v
u n u n u n
uY uY uY ai + bi
n n n
G(F ) = t ai , G(G) = t bi , G((F + G)/2) = t .
2
i=1 i=1 i=1
X k X k1
E(X) = e k = e
k! (k 1)!
k1 k1
= e e = ,
X k X k1
E(X 2 ) = e k2 = e k
k! (k 1)!
k1 k1
X k1 X k1
= e (k 1) +
(k 1)! (k 1)!
k1 k1
= e (e + e ) = 2 +
p p
= E(X 2 ) (E(X))2 = 2 + 2 = .
(
ax2 + b nu 0 < x < 1
Bi tp 2.21. E(X) = 2/3 , X (x) =
0 nu khng
Ta c
Z1
a b
2/3 = E(X) = x(ax2 + b)dx = +
4 2
0
v
Z Z1
a
1= X (x)dx = (ax2 + b)dx = + b.
3
0
1/3, t suy ra
Z1
2
E(X ) = x2 (2x2 + 1/3)dx = 2/5 + 1/9 = 23/45
0
k
Y
P (A) = P (Ai ) = (1 p)k .
i=1
S m m+k m + mk
p qm 1 q m1 (1 q)
Cm (1 q)m
m
X
i mi
E(S) = Cm q (1 q)i (m + ik)
i=0
m
X m
X
i mi i mi
=m Cm q (1 q) + k iCm q (1 q)i
i=0 i=0
m
X
i1 mi
= m + k(1 q)m Cm1 q (1 q)i1
i=1
= m + mk(1 q),
m
X
2 i mi
E(S ) = Cm q (1 q)i (m + ik)2
i=0
m
X m
X
2 i mi i 2
= m + 2mk iCm q (1 q) + k i2 Cm
i mi
q (1 q)i
i=0 i=0
nh thc ca ma trn
a1 a2 an
a21 a22 a2n
an1 an2 ann
1. Hm sinh xc sut ca X:
X
k
X
k1 k
X pz
G(z) = P (k)z = p(p1) z = pz (zpz)k = .
1 z + pz
k=1 k=1 k=0
T ta c:
p 2p(1 p)
G0 (z) = 2
, G(z) = ,
(1 z + pz) (1 z + pz)3
v phng sai ca X l:
2(1 p) 1 1 1p
var(X) = G(1) + G0 (1) (G0 (1))2 = + 2 = .
p2 p p p2
Hm Laplace:
n
X
tX
L(t) = E(e )= etk Cnk pk (1 p)k = (et p + 1 p)n .
k=0
Bi tp 3.1. Ta c:
S hng th nht:
PF (] , b]]c, d]]e, f ])
= PF (] , b]] , d]]e, f ]) PF (] , b]] , c]]e, f ])
= PF (], b]], d]], f ])PF (], b]], d]], e])
+ PF (] , b]] , c]] , e]) PF (] , b]] , c]] , f ]
= FF (b, d, f ) FF (b, d, e) + FF (b, c, e) FF (b, c, f )
S hng th hai:
PF (] , a]]c, d]]e, f ])
= FF (a, d, f ) FF (a, d, e) + FF (a, c, e) FF (a, c, f )
Vy:
12h 13h
0 1
1, x [0, 1] 1, y [0, 1]
X (x) = , Y (y) =
0, x
6 [0, 1] 0, y
6 [0, 1]
Ta c:
1 1 1 1
P ( X Y ) = PX,Y ( x y )
4 4
ZZ 4 4Z Z
7
= X,Y (x, y)dxdy = dxdy =
16
41 xy 14 1 xy 1
4 4
0x1, 0y1
7
Vy xc sut hai ngi gp nhau theo hn l .
16
Bi tp 3.3. Gi s tn ti hm mt ca (X, X 3 ) l X,Y (x, y) vi
X 3 = Y . Xt hm s f : R2 R2 , (x, y) 7 (x3 y, x + y) l song
nh kh vi lin tc, c Jacobian
3x2 1
J = = 3x2 + 1 6= 0
1 1
+
Z ey vi y>0
Y (y) = (x, y)dx = .
0 vi y 0
Suy ra
Ta c:
19 18 50
= E(Xi ) = .50 .50 =
37 37 37
2 = var(Xi ) = E(Xi2 ) E(Xi )2 <
t t +st ) t t
X (s) = E(eisX ) = E(ei(sAZ ) = E(eisAZ )eis
Ta c sAz t =
P P
j ( k sk akj )Zj suy ra
t
Y P Y 1 P 2
E(eisAZ ) = Eei( k sk akj )Zj = e 2 ( k sk akj )
j j
12 ( 1
Y P P P P
= e k,l sk akj sl alj ) = e 2 k k sk sl ( j akj alj )
j
1 t
= e 2 ss
t 1 sst
Vy X (s) = eis 2 .
X2
Bi tp 3.20. Xt phn phi ca 2
Z 2
X2 2 x2
P( < t) = P ( 2t < X < 2t) = e 2
2 2 0
o hm theo t
0 et et
F X 2 (t) = X 2 (t) = 1(0,+) (t)
2 t 2 t
Ta cng c
ez
Y 2 (z) = 1(0,+) (z)
2 z
X2 Y2
t X 0 = 2 ,Y
0 = 2 suy ra X 0 , Y 0 l cc bnn c lp.
Ta c
etz
X 0 ,Y 0 (t, z) = 1(t>0,z>0)
tz
Suy ra
eu u
Z Z
dz
X 0 +Y 0 (u) = X 0 (u z)Y (z)dz = p = eu
R 0 z(u z)
Ta c:
Z Z +
1 2 +1) b2
Z1 (a) = f (Z) (a, b)db = |b|e(a 2
Z2 R 2
1
=
(a2 + 1)
Bi tp 3.22. i) t U = X, V = Z suy ra X = U, Y = V 1 r2 +
rU .
Ta c:
p p 1
U,V (u, v) = X,Y (x, y) 1 r2 = X,Y (u, v 1 r2 + ru)
1 r2
1 u +v
2 2
= e 2
2
2 2
1 u2 1 v2
R
Suy ra U (u) = R U,V dv = 2 e v ta cng c V (v) = 2 e ,
U .V = U,V Vy X, Z l cc bnn c lp v c phn b N (0, 1).
+
Z 2
1 u 1 1
= (e 2(1r2 ) )du =
2 1 r2 2 1 r2
0
1
Suy ra I = P (X > 0, Y > 0) = 14 + 2
2 arcsin(r)
1
arcsin(r).
iii) S dng php t cu i). Ta c Y = 1 r2 Z + rX.
V Z, X l cc bnn c lp c phn phi chun tc nn d thy Y
cng l phn phi chun tc.
Ta c:
X,Y (x, y) 1 (x ry)2
X|Y (x | y) = =p exp( )
Y (y) 2(1 r2 ) 2(1 r2 )
it 1)
(t) = e(e .
Pn
Vy nu Sn = k=1 Xk l tng cc bin ngu nhin c lp c cng
phn b P (1) th hm c trng ca Sn l:
it 1)
Sn (t) = [X1 (t)]n = en(e .
Xn X
n2 t2
exp(in t ) X
2
n2 t2
in t ln X
2
(n , n ) (, ).
vi , 0 no . Ta c iu cn chng minh.
Bi tp 4.6. Trc ht ch rng phn b hnh hc vi tham s p c
hm c trng c tnh nh sau:
X X
p (t) = eitk pk = eitk p(1 p)k1
k1 k1
p X peik
= [(1 p)eit ]k =
1p (1 eik ) + peik
k1
Vy
it
!1
t it 1 en
Xn (t) = Xn ( ) = it.e n it
+1 .
n n n
1
lim Xn (t) = .
n n 1 it
x
FYn (x) = P (Yn x) = P ( max Xi 1 )
1in n
x
= 1 P ( max Xi 1 )
1in n
n
Y x
=1 P (Xi 1 )
n
i=1
1 (1 x )n nu x 0, n >> 1,
= n
0 nu x < 0.
1 ex nu x 0,
n
0 nu x < 0.
d
Vy Yn
P.
Bi tp 4.9. Theo nh l Fubini ta c:
Z Z Z
1 1
| X (s)ds| = | ( eisx dPX )ds|
2 2
Z R
1 1
=| ( eisx | )dPX |
2 R ix
Z
sin x
=| dPX |
x
ZR Z
sin x sin x
| |dPX + | |dPX
|x| 2 x |x|> 2 x
Z Z
1
dPX + dPX
|x| 2 |x|>
2 2
1 2 2
= (1 + P [ , ])
2
T ta c
2 2
Z
1
P[ , ] | X (s)ds| 1.
313
Ph lc B. Phn mm my tnh cho xc sut thng k
Bng phn b Z
Z | 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
----+----------------------------------------------------------------------
0.0 | 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 | 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 | 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 | 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 | 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 | 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 | 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 | 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 | 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 | 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 | 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 | 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 | 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 | 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
316
1.4 | 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 | 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 | 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 | 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 | 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 | 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 | 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 | 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 | 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 | 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 | 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 | 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 | 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 | 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 | 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 | 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 | 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
[9] Trn Mnh Tun, Xc sut v thng k L thuyt v thc hnh tnh
ton, NXB HQGHN, 2004.
318
Gii thiu T Sch Sputnik
Cc sch xut bn
319
quyn sch gii thiu rt nhiu iu th v v ton hc, ng thi va
c gi tr rt cao v vn hc v cha nhiu in tch lch s th v.
Cuc phiu lu ca nhn vt chnh trong cun sch ly k khng km
Nghn l mt m.
Hp vi mi la tui.
Mt s sch sp xut bn
Nguyn Tin Dng dch t ting Anh, qung 160 trang, hon
thnh bn tho 03/2015.
Cun truyn cho thin nin ny c bit ch n c ct truyn
hn hoi, v cuc sng v tnh bn ca nhng hc sinh lp 8 mt
trng hc M, ng thi mi chng u gii thiu cc tng v
khi nim ton hc mt cch rt t nhin v gn gi cuc sng. Cun
sch ny xut bn bn M nm 2006, v ot nhiu gii thng
v sch cho thin nin.
Nguyn Vn Hng dch t ting Anh, qung 360 trang, hon thnh
bn tho 03/2015.
y l quyn sch kinh in v hnh hc cho hc sinh ph thng,
c dng lm sch hc chnh thc Nga trong nhiu thp k, v gn
y c dch sang ting Anh. N trnh by mt cch h thng v l-
Nguyn Tin Dng dch t ting Nga, qung 240 trang, hon
thnh bn tho 04/2015
Cun sch ny cng vi hai cun sch khc l Ba ngy nc
T Hon v Thuyn trng n V (hay cn gi l Thy th S
Khng) to thnh mt b ba tp sch ni ting do Levshin v Alek-
sandrova vit vo thp k 1960. T n nay, b sch ny c
ti bn lin tc hng nm, in ra nhiu nc trn th gii, tr thnh
sch gi u ging ca hng trm nghn bn tr, nhng ngi m
v sau s tr thnh cc nh khoa hc, bc s, k s, thng gia, nh
qun l, v.v.
Bn dch mi ny do Sputnik xut bn trnh c nhiu li sai
ca mt bn dch c ang c lu hnh ti Vit Nam.
Sch hp vi mi la tui.
Spivak, Cu lc b ton hc lp 6 - lp 7.
Cc a ch bn sch Sputnik
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330
cng thc Bayes, 50 hm phn phi, 72
cng thc Sterling, 179 hm phn phi thc nghim,
cng thc xc sut ton phn, 221
48 hm phn phi xc sut ng
c ca mu, 220 thi, 129
cht, 196 hm phn phi xc sut bin,
chun Lk , 202 131
chui Fourier, 121 hm phn phi xc sut c iu
kin, 164
gi tr P, 248
hm sinh moment, 118
gi tr thc nghim, 221
hm sinh xc sut, 124
gi thuyt H0 , 245
hm thng k, 224
gretl, 156
h s bt i xng, 111
hu khp mi ni, 69 h s tng quan, 153
hi qui, 268 hi t hu khp mi ni, 202
hi qui phi tuyn, 273 hi t hu nh chc chn, 202
hi qui tuyn tnh, 159 hi t theo phn phi xc sut,
hi qui tuyn tnh n, 269 189
hi qui tuyn tnh bi, 271 hi t theo xc sut, 202
hm c trng, 119, 135 hi t yu, 188
hm hp l, 228 hip phng sai, 151
hm o c, 69
hm c lng, 223 k vng, 92
hm ch bo, 70 k vng c iu kin, 164
hm mt , 74, 132 k vng hnh hc, 104
hm mt ng thi, 132 k vng mu, 222
hm mt bin, 133 k vng thc nghim, 222
s bc t do, 203