YuHuBpepcuTetckuwH yueb6uHUK BBEQEHUE B SKOHOMETPUKY “Kpuctodep flo DoyrepTu Vi3QAHME TPETbE Nepesog c axrnuiickoro PexomeHgopato B kaecTBe YHEOHKKa, AUIS CTYAEHTOB SKOHOMMYeCKMX CeLMasibHOCTe BBICLUX yYeOHBIx 3aBegeHni Mocksa MH®PA-M 2009YAK 330.115(075.8) BBK 2.172873 an Introduction to Econometries Third Edition was originally published in English in 2006, ‘This translation is published by arrangement with Oxford University Press Hacmosuauit nepeeod mpemsezo wsdlanus «Beedenue ¢ sxowomempury, onybiauxowannoco na anesiicKa ss0iKe 6 2006 2003, enixodum ¢ csem no coeiacosanurd cusdameascmaos «Oxford University Presse Tepenon c axrnuiicKoro — 0.0. Zamxos, E.H.JIykau, 0.10, ubancun Hayminit penaxrop nepenoma — 0.0. Zanxoe Aoyrepim K. TL71_ Brenesme w axowomerpnky: YueGwuK. 3-¢ uaa. / Mep. caxr,— M.: HHOPA-M, 2009. — XIV, 465 c. — (YawipepeirtercKuit yueGunk). ISBN 978-0-19-928096-4 (atir.) ISBN 978-5-16-003640-3 (pyeck.) Kira Kpucrosbepa Joyrepr ~ oni v3 cantax nomyanputx weomtLax yeGHLHKOR SKOHOMETpHKG HAN CTYAEHTOS-IKOHOMMCTOS. B YPETBEN KSHIAHMK KEITH auTOp Y'esL HONE TiuuHe TeHIeMUN pasBHtTHs: SKOHOMETDHYECKOH TeOpHH # NPHKIaAHOTO NpOr— PaNnekorD OBecreucHA. KIAIOUIE prt HOBRIX Haw Kk MpHROXeHEGH. Kary OTAANAET TOCTYMHOCTS HATOXCHHS, GONBIIOe UNICO CoNepAATEAEABNE TPENEPOB, TPATOKEHIH, KOHONIMECKIX KONMCHTEpHes. B10 Xe npeMst 8 HEM MIpEACTaRNEH IM;pOKHL XPYT SKOHO™ -Mempinieeie Mouexef H NeTOIO8, FeOGKOMIIMEIXSKOHOMICTY —HCEACHORATEMO, NPAKTAKY, penoaasare:n0. Tlepeoe nananie Gau10 pexonensowatio MAnHCrepcTBON OOpasOnEnA B KaecTbe yueGunika 25 CTyReH:TOB IKOHOMIECKHX CTeILIANDHOCTEH BYOB. BBK 22.172873 ISBN 978-0-19-928096-4 (axrz.) © Christopher Dougherty, 1992, 2002, 2006 ISBN 978-5-16-003640-3 (pyccx.) © Mepenon na pycckuii s3n1k. 0.0. 3aMKon, EH. JIykaur, 0.10. LiluGanxun, 1997, 2004, 2009 © Opnrnnan-maxer, obopmaenne. HH®PA-M, 1997, 2004, 2009 Peaarop JIE. Muponoea Koppextop M.B, Jumeunosa Opurittan-Maxer nonrotonnen B «Msnarentctne HH@PA-M> Tloanucano B meyars 25.02.2009. opwar 70% 100/,,. Byara odpceraa. Iapuurtypa «Newtons. Tlevars oqycettiaa. Yer. nes. m. 38,7. Yx.-Wa, 1. 39,74. “Tupax 1000 9k3. Hetia cnoGontias. 3aKn3 Ne 1886 Vagarenpcxuti os «HH@PA-M» 127282, Mockea, yn. Tloaapyas, 1. 318 Ten.: (495) 380-05-40, 380-05-43 axe: (495) 363-92-12 E-mail: books@infra-m.ru _http://wwwinfra-m.ru Omesaraxo c rorosins dbaittos sakassika p OAO «HMITK 4«Ymsmonckuti Jlom nears. 432980, r Vassioncx, yx. Toruapona, 14OT HAYYHOTO PEDAKTOPA NEPEBOJIA Kuura Kpricrodepa Jloyrepti «Beelenne B 9KOHOMETPHKy> XOpOUlo SHAKOMA poccHiickomy uHTaremo. Mepenon ee nepporo n31aHKA 6bu1 onyOnHKOBaH B 1997 r., Broporo — 8 2004 r: 3a npowenume Tomb 37a KHHTa CbIrpalla HEOMEHHMY! POT B Pa3BHTHH Npero_aBaHHA BBOLHOTO KypCa SKOHOMETPHKH B POCCHIICKHX By3aX. 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Onna 13 TPHuMH jaHHOrO H3MeRe- Hs COCTOSIIa B TOM, YTO H3-3a CXOKUX OGOsHAYeEHH GLLIO TpysHO pasiM4yaTh xa- pakrepucruku BHIGOpKH MW XapakTepHCTuKU TeHepambHol copoKynHocTH. Evie OsHO!t NPHYHHO!t H3MCHEHUIt B STOM TLIaHe GELTO %eTAHMe OOecHeuHTS COBMeCTH- MOCTb ¢ KYPCOM CTaTHCTHKH, KOTOpBIii OGLMHO MpenecTEyeT Kypcy 3KOHOMeTDH- ku. B 3TOM Kypce MalOTCA OCHOBBI PperpeccHOHHOTO aHalH3a ¢ MCIOsIb3OBaHKEM gHaka cyMMMpoBaHist D. Pacurmpenve raasni « (0.2) Tule CYMMMPOBaHMe IPOHSBOAUTCA MO BCCM BO3MOXHBIM 3HAvCHHAM X. B nepoii vacru ta6. 0.3 nloKa3aH mpouece pacuera MareMaTH4ecKoro OXKHIA- HMA HeKOTOpol dbyHKuMH oT X. Mpemnonoxum, yo X mMoxkeT NIpHHHMaTh n pa3- AMYHBIX 3HAYEHHIL OT X, 10 X, C COOTBETCTBYIONIMMH BEPOATHOCTAMH OT P, 10 P,. B nepsom cron6ue 3ancnipaior nosMoxtate 3Haverna X. Bo Bropom 3arHicbtBa- ioTch COOTBETCTBYIOWIKe BeposTHOCTH. B TpeTbem cronGue PaccuHTbIBAIOTCA SHa- 4eHHa YHKUKH JIA CooTReTCTByIONIHX BenHMH X. B deTBeptom cronG6ue nepe- MHOXKarOTCA SHCA H3 BOPOro K TpeTbero cronGyoR. OrBer NPHBOAKTCA BCYMMH- pylolleii CTpoKe veTBeproro cTronGua. TaGnuya 0.3. Maremarnieckoe oxnmarne g(X) (npAMep C AByMs VrpanbHtiMy KCTS) Maremarnveckoe oxwjanne, o(X) Matemarmveckoe oxuparue, X? x Pp oX) o(X\p x Pp x Xp % Py atx) 91%), 2 186 4 on x Po glx,) 9%,)P2 3 2736 9 0,50 x Ps 9l%) 9(%)P3 4 3/36 16 1,33 5 4/36 2 (28 6 5/36 36 «5,00 7 6/36 49817 8 5/36 64 (8,89 9 4/36 81 9,00 10 9/86 = 100 8,83 a a a oe 4 2361212 x, Pa atx.) oe), 12 186 144 = 4,00 Boero Atleni= Later 54,88B npasoii vacrw TaGn. 0.3 noKasan mpouecc pacuera MaTeMarHueckoro OKLA HHS BeNMUMHBL A? [19 MpuMepa C ABYMS MIpANbHAIMH KocTaMH. Bbi MoxeTe pe- LNT, YTO OHO PaBHO [1,?, KO STO Ke TAK. E(X*) pasro 54,83. B ta6n. O.2 6bu10 no- Ka3aHo, 470 MaTeMaTHNeCKoe oxumalne X paso 7. Takum o6pasom, E(X2) He pan~ HO 12, 9TO OsHaYaeT HeOGxOMMMOCTD TuNATENBHO pasmMare UX) a [ECP (nocnentiee pastio nportanenermio E(X) u E(X), te. 12). Mpasuna pacyeta maTemaTuyecKoro OxUfaHKa Cymectsyior Tpw panna, KoToppie Aatee GyLyT HCMOMb3IOBaTECA MHOFO pas. 91H Npanyaa NOTH OVEBHUHBL, 1 OHM OPMHAKOBO IIPUMeHMMEE [LIA JICKPeTHEIX 1 HenpepbibHbIX CryyaiiHbIX HepeMeHHBIX. FIpasuso 1. MaremaTnueckoe OMAK CyMMbI HCCKO/IBKHX IePCMCHHBIX paB- HO CYMMe HX MaTeMaTHuecKMX OkMaHHi. Hanpumep, eci HMeIOTCA TpH Cysait- Hie riepemertinse X, Yu Z, 10 EQ +Y +2) = BX) + BY) + BD). (0.3) Mpaeuso 2, Ecam cnywaitnan nepemertaa yMHoxkaeTca Ha KOHCTaNTY, TO ee Ma~ TeMaTHMeCKOe OXIMIAHHe YMOXKAeTCA Ha Ty xe KONCTaHTy. Eos X — cryuaiiviaa nlepementtiag 1 6 — KOHeTaHTa, TO E(bX) = bE). (0.4) Mpacuno 3. Maremarmieckoe oxnutarine KoncrartTbi ecTb ona cama. Hanpumep, ecnn 6 — koneranta, To E(b) =b. (0.5) Jloxasarenscrno npasvina 2npenocraniiem nraremo Bynpaxnerun 0.5. Tpa- BHO 3 TPHBMAsIbHO, NOCKOILKY OHO Clesyer 13 ONpeneenus KOHCTaHTEI, JloKasa~ TCIBCTRO MpaBuina / OTHOCHITEMbHO NPOCTOe, H MBI cro ONYCTHM. OGpeaAnHAA Bce TPH NpaBia BMECTe, MOXHO YTIPOCTHTb H GOCE COXKHBIC BbI- paxerna. Hanpumep, npennonoxM, 470 BEI XOTHTe paccuntaTe E(Y), rae Y=b, +6,X, (0.6) 6, 1b, — KoncTantsl. Cnenopatenbio, E(Y) = Ely + bX) = = E(b,) + E(b,X) cormacto npanay 7 , +B, £0) cornacto mpasuia 2 3. (0.7) Takum o6pa30M, BMecTO HemOcpemcTBeHKOro BENCNeHHs E(Y) MoxHO pac- cumrars E(X) u nonyauTs E(Y) u3 ypasnenna 0.7. TeopeTnyeckas Aucnepcus QUCKpeTHOH Cnyyalinon nepemeHhont B 910i KHMre Hac GysleT HHTepeCoBaTb OMHa U3 CbyHKUHit NepemeHHOt X, ee TeopeTHueckar JNCHepeHA, ABIAIOWIAACA NOmesHoi Mepoli pas6poca wis BeposT- HOCTHOTO pacnipenencHus. OHa OnpenenseTcs Kak MaTeMaTH¥ccKOe OxMAKHe KBallpata paHOCTH Mexiy BeNMHNHO XM ee MaTeMaTHYeCKHM OxHMIAHKEM, TOecTb, Benuunnbl (X— p,)*, me Wy — MaTemaTHyecKoe oxnmanne X. Tvcnepcns OObMHO ObosHaTaeTCH Kak 04, H CCIM SICKO, O KAKO! TepeMeHHOii HeT peyb, TO HIDKHA KELIeKe MOXeT ObITS ONYULEH: 0} = BUX -W 1= 6% -B)? a ++, “WY 2 = LO - WY Dy. (08) M3 0} Moxno noxysnTs oy — meopemuueckoe cmandapmioe omnaonenue — cTOub Ke pacnpoctpareHHy! Mepy pa36poca JL pacnipenesienus BepostHocteit; cTallapTHoe OTKOHeHMe ClyYaHOl NepeMeHHOli ecTb KBaLpaTHbIli KOPeHb V3 ee aucnepenn. MBI npormocrpupyem mpouenypy pacueTa TeopeTHuecKOit uMcHepcKn Ha npHmepe c Gpocanne siByx HrpaibHibIx Kocteit. HlockombKy f= EX) =7, (X— pw)? BaHHOM culyuae paso (X—7)2, PaccunTaem MaTeMarHuecKOe OXxIJLAHMe BENMUH- ub (X— 7)?, verombsys cxemy, npescrasnennyio B Tab. O.3. Jonosuntenbubtii cTonGen (X — 4) Npenctaninet onpeacnenHplit Tan pacueta (X — 1). Cyumupys nocnesHnit cronGeu B TaGn. 0.4, nonyauM 3HatieHHe mucriepcun o%, paBHioe 5,83. Caenoparenbito, crarlaptHoe orkioHeHte cy paBio «/5,83, Te. 2,41. OgHHM 43 BAXKHIX IPMIOKeHHii NpaBMa pacseTa MaTeMaTHYeCKOTO OKHaHHA ABAACTCA CPOpMYsIa pacueTa TeOpeTHYeCKO! AHCMepcHH cuyyaiiHOH NepemeHHoit, KOTOpad MOXeT Obitb 3allncaHa Kak of = U2) — 2 (0.9) TaGnnya 0.4. [ivcnepors.X ana rerepansHort conoxynHocry (npnmep c peyms urpanbieinan KocTAMN) x Pp xX-n Ou? CHP 2 1/36 5 25 0,69 3 2/36 “4 16 0,89 4 3/36 3 9 0,75 5 4/36 -2 4 0,44 6 5/36 A 1 0,14 7 6/36 0 0 0,00 8 5/36 1 0,14 9 4/36 2 4 0,44 10 3/36 3 9 075 W 2/36 4 16 0,89 12 186 5 25 0,69 Beero 5,83S10 BLIpaxeHe MOMMA OKASBIBAeTCA Gonee yLOOHEIM, eM TepBoHavaTbHOe onpenesenve. JlokasarenscTRo jlaeT XOpOUmMi IpHMep McnONsOBaHHA HpABHt pacueta MaTeMaTHYecKOro OMAHA. No onpezeseHnMio Aucnepeun, OFF [(X-wyP }=2(x7 20 X +44) =E(X?)+ Ey X)+ (uh) au}. (0.10) =6(X?)-2n) +h =F( Taku o6pasom, ec bbl XOTHTe BLIUHEITUTD TeopeTHueckylo MNCTIepcuio wis X, Bbl MOXeTE paccuuTaTh MaTeMaTUYECKoe OXHAHHE BeMMUHHE! X? v BEIMeCTR U3 nero H. MloctosHvas u cnyyaiivan cocTapnsiowne cnyyaiHor nepemeHHor Yacto pMecto pacemorpenusl cy4aitHolt BeIUYHNIEL Kak enMHOTO YeTOrO MOXx- ‘HO 1 YHOSHO pa36uTb ee Ha NOCTOSHHYIO HM YHCTO CIIyYAliHyW COCTABIAIOUIME, Me TOCTOMHHAA COCTABMOUIAA BCera CCT Ce MateMaTHeCKoe OxMIaHHe. Eom X— cuyvaiitian TepeMertas H jly— ee MaTeMaTHMecKOe OXHIAHHe, TO JEKOMTIOSHLUINA coyuaiinoit BeNMUHHEI 3arlcpIBaeTCA CreAyIOLIHM Obpa3zom: X=pyta, (O11) me u — cnyvaiinas cocramiaiomas (B perpeccnOHHOM aHasiu3e OHa O6bI4HO Mpen- crapjleHa CJIYYaliHbIM W1eHOM). Koneuno, MoxHO 6bUI0 GEL NocMOTpeTs Ha STO ¢ APyrol CrOpoHAL HW CKABATH, To cnyyaliar cocTaBIAOUlad u ONpevenseTcs KaK pasHocTs MExay XM py u=X-jty (0.12) Vs onpenenenns cremyer, 410 MaTeMaTWuecKoe OxkNaHMe BEMYHHB! 4 PaBHO. nymo. M3 ypapnennsi (0.15) ume Elu)) = BX,— wy) = BOL) + Ey) = oy hy = 0 (0.13) Tlockonexy Bec pas6poc snadenuii X o6ycnoBnen w, HeyMBHTeNbHO, YTO TeO- petuyeckas Ancnepcua X pasna Teoperuyeckoii sucrepcun uw. MocneqHee HeTpyn- HO Nokasate. To onpenenenuio, 03 = {(X-py)*}= 26") (0.14) 02 = E{(u-cpen u)?}=£ {(u-0)} = BQ"). (0.15) ‘Taku o6pa3om, o? Moxxer ObiTb 9KBHBAICHTHO ONpenesiena Kak sNcnepcua X wu. O60Sias, MOxHO yrRepxaTb, YTO ecan X— cnyuaiiHaa NepemenHas, onpene- JeHHast TO bopMysie (0.11), tile py — 3anatinoe sMcHO Hu — coysalinbiit sien C MaTeMaTHYecKHM Oxilannem 0 H TeoperHueckoii sucnepcuelt c2, To MaremaTH- Neckoe oxmtaHHe BeMHUNHBL X paBHo fiy, a-TeopeTuueckaslucTepcus — 2 10Peeerenna © Cayvatinas nepemennas XY onpenensactes Kak pasHOCTb M@KY GONBLIMM H MCHBLIMM YNCAMH, BbINABLIHMH MIpH OpocarHMH nByx KocTel!. Ec OHM paBHibi Mexkay COGOH, to X cuntaeres pasHoii Hymio. Haitante pacnpemencHue wepostHocreli ans X. ©2. Cryyaitnas nepemcnnas X onpenenseres Kak HaMOONbLLee 13 ABYX UMCeN, BINABLIMX pH GpocaHiHH uByx KOCTe#i, HAM JOGOMY H3 BHINABLINX SHCesT, CCIM OHH OAHHAKOBBI. Haitante pacnpenencnue peposTHocreii a1 X". © Haiwrre Maremanimeckoe oxtmarue cnyyaiiHol BemmTIHHEI XB ynpaxHeHHnt 0.1, 84 Haiiawre maremariueckoe oxWaaHue crysaiiHol! REMAX B ynpaxtennn O.2. ©. Tycrs X—cnyuaiinas nepemennas c MaremaruveckiM OxCLTAITHEM fy, 1k — KOHC- ‘anita. Jlokaxarre, To MaremaTHveckoe OXIATHE LX PaBHO App. Paccuntaitre E(X2) nis nenvanur X, onpeqenentoit 8 ynpaxnernn 0.1. Paccuntaiire F(X?) ana senmaMnsl X, onpenercHHoll 8 ynpaxHeHmn 0.2. Tycte X ecrb cymMa O4KOB, Bbinanaloliux NpH GpocaHMn UByX MrpaabHBIx KOCTeH. Paccuntaiire BOSMOXKHEIe 3HaveHHa BeMMIUHE! ¥, sanapaeMoli Kak Y= 2X + 3, upac- cuntaitre E(Y). NoKaxute, 170 OHO paBHo 2E(X) + 3. 0.9. Paccurmaitre Teoperimeckyio criepcmto H CratmaprHoe oTKIOHeHHe BemMuMNEL X, onpeneneHHoi 8 ynpaxkHenHn O.1, Hcromb3ys OnpereneHMe, 3a1aHHOe ypaBHEHHeM (0.8). 0.10". Paccunatire Teoperuseckyio AcrlepeHio H CraHmaprHoe oTKiOHEHHE BenHYHHEA X, onpeneieHHoli B ynpaxHeHnn 0.2, ucnosbsys! onpeneneHMe, salaHHOe ypaBHeHHem (0.8). 0.11. Herionnayst ypannenme (0.9), naiture zucnepemo caysaitriolt nemvanrer X, onpene- TeHHOi B ynpaxHeHUH O.1, 1 NOKDKHTe, 4TO OTRET NOMyYaeTCs TAKHM KE, KAK B YN paxtenun 0.9. (Bamevanue. But yxe paccumtan py B ynpaxvennn 0.3 1 EC?) p ynpaxnennu 0.6.) 0.12". Vicnonesys ypasnenne (0.9), naiiawre sucnepcmo cnysatinoit nenmunnts X, onpene- JenHOl B ynpaxHeHHH 0.2, H NOKAKHTE, 4TO OTHET TONYYAeTCA TAKUM KC, KAK B yn paknernn 0.10. (Zanewanue, Bui yoke paccunrasn pty 8 ynpaxnenn O.4 1 £2) a ynpaxnennn 0.7.) : 0.3. HenpepbisHbie cnyyaiitbie nepemeHHbie fnotHocts BeposTHocTH C anckpernnimn ciysaiHniMH nepeMeHHbins ONEHE NerKo OGpamerbes, 0- CKONBKY OHH 110 ONpeneNeHHio NPHBMMAlOT 3HaVeHHA H3 HEKOTOPOTO KOHeYHOTO Hadopa. Kaxn0e 13 9THX 3Ha4eHHi CBAZAHO C OnpeneeHHOH BCPOATHOCTHIO, Xa- pakrepnsylomeii ero «Bec». Ec 3TH «Beca U3BECTHBI, TO He COCTABHT Tpysla pac- cUITTaTh meopemuueckoe cpednee (MaremaTH4ecKoe OxXYWlaHHe) H AMCTIepcHIO. CyM= Ma Bcex ReposTHOCTeli PaBHa eNMHMUe. STO NOKagaHO Ha puc. O.2 su mpHMepa c ABYMS| KTpAbHBIMH KocTAMH. Bemmunna X MoxeT NPHHUMATE 3HAVEHHA OT 2 70 12, m CooTBeTCTByIONINe BeEPOATHOCTH MpeCTABAeHD! Ha PUCYHKe. * Oreerat k ynpaxxicHia, MOMEYCHHBIM SBesONKOH, NpHBCHEHH B KAKIOMY ee 3HAueHHIO. BMecTo 3TOrO Mul GyeM TOBOPUTL O BeposITHOCTH TOFO, YTO CHYYAHHAs BENMYHHA NENT B MPCACNAX sajlaHHOrO HHTepBANa, H BEDO- ATHOCTS NpeACTAaBeHa rpacpHuecKH MOLWaNbIO B Mpesenax HaHHOrO MHTepBasa. Harpumep, 8 npescTaBleHHOM cny4ae BepoxTHOCTD TOFO, {TO cAyYaiHaA BENMH- Ha X NEKUT B MHTepBate OT 59 70 60, papra 0,05, nocKouIEKy DaHHEIM NPOMexyTOK coctamser !/j OT BeeTo NpOMexyTKa Mexky $5 1175. Ha puc. 0.3 BepomTHOCTe TOTO, UTO BEMHUVHa XsIeKMT BHYTPH HAMHOTO HHTepRAma, NOKasava B BHT NpAMO- yronbunka. TockonbKy ero ruiowiai pabtia 0,05, a ero. ocHOBaNMe paBHo eaMHHue, ero BbICoTa JO/KHa paBHsTCs 0,05. To 2Ke NPABHUIO BEPHO JUL BCEX HATEPRANOB U3 jvama3ova 3HayeHull, KOTOpHe MoxeT, NPHHUMATEX. Haifas BbIcoTsI 11 BCEX TOUCK B MAHHOM MHaMasoHe, Mbl CMO:KEM OTRETHTb Ha ‘TaKOli, HaNpHMep, BOMPOC: C KaKOHi BePOATHOCTHIO Temmlepatypa 6ymeT HAXONNTECA Bucora (nnorkocT’ aeporTHoeTH) 0,05 55 5960 65 70 75 TenneparypaF Pucynox 0.3B lMana3oxe or 65 n0 70°F? Orset onpeneseTca TuIOMambIO B AHANa3z0He OT 65 10 70°F, npencrasrennoii sanrrpaxonannoit (purypoit Ha prc. 0.4, Octiopanne 32- LITPHXOBAHHOFO TIPAMOYTOMBHMKA paBHO 5, ero BbICoTa paBHa 0,05, u, coorBeT- CTBEHHO, TIO La paBHa 0,25. UcKomas BepoaTHocT paBHia '/,, 410 BJIOGOM cry yae ONEBHTHO, MOCKOMEKY NPOMEXYTOK oF 65 10 70°F cocrapaser '/, Bcero pac- ‘cMaTpHBaeMoro AMalta30Ha. Bucora (nnotHocre eeposTHocTy) 0,05 55 60 65 70 75 Temneparypa,’F PucyHox 0.4 Beicora 3a TpUNOBAHHOM TLIOLIAJIM B KOHKpeTHOH ToUKe (opMasIbHO HAsLBA- TCs ILIOTHOCTBIO BepOsITHOCTH B 9TO!! TOUKe, H ECAH ITA BBICOTA MOXCT OBIT 34- Tiucava kak ¢yHKUHA SHaNeHHi CoyvaiiHol! NepeMeHHOl, TO 91a yHKUKA Ha3bI- paeTea ¢bynknueli nagTHOCTH nepostTHocTH, B itatlieM mpaMepe sro f(x), rire X— tem neparypa, H AX) =0,05 a0 55< X75, AX) = Ona X< 55 man. X> 75, (0.16) AaHHei npumep bul HcKOUHTEMBHO MpOCTHIM, HOCKONIbKy cbyHKUMA TIOT- HOCTH BepOsITHOCTH B HeM Ghia MOCTOAHHOii BO BCeM {HAaTa30He BO3MOXHEIX 3HA- uennii X. [lance mbI paccMorpuM MpuMep, B KOTOPOM 97a cbyHKUa He sBaseTCs KOHCTAHTO/i, NOCKOMBKY He BCe TeMMepatyps! paBHoBeposHel. CMpennonoxkHM, UTO HEHTPANbHOe OTOIIEHHE H KOHMUMOHEp paboraior TaKHM OGpAazoM, YTO TeM- repatypa HuKora He Manaer HIDKe 65°F, a 8 XapKHe JM TeMmepatypa MpeBLUUAeT STOT YpOBeHb, He TpepbItaa, KaK H pave, 75°F. Mit Gynem cantarb, 70 MmIOT- HOCTb BEPOsTHOCTH MaKCviMalbHa IIpH TeMnepatype 65°F, H Daiec Oa paBHOMep- HO yOisaer fo Hyna nipH 75°F, kak 0KasaHo Ha puc. 0.5. OGmas orpannserinas Miou|a”b BHYTpH BCero paccMaTpHBaeMoro sManasoHA, Kak BCeTpIa, PABHa EMUMUE, MOCKONIDKY COBOKYNHAs BepOsTHOCTS paBHa eMMHHe. Touma TpeyrombHHKa pabHa MOMOBHHe NPOMSBeAeHHA OCHOBAHHA Ha BLICOTY, TogToMy rosy4aem My x 10 x Boicota (0.17) w BbICOTAa mpH 65°F paBHa 0,20. 134 BepostHocm 0,20 0,15 0,10 0,05 65 70 75 Texmeparypa,F Pucyox 0.5 TipennonokHM BHOBb, YTO MbI XOTHM 3HATb BePOATHOCTS HAXOKACHHA TeMNe- Pparypbl B MpoMexyTKe Mexay 65 u 70°F. Ona npelictabs1ena 3allTpUXOBAaHHO!i T10- manbio Ha puc. 0.6, Hc MOMOLIBIO SeMeHTAapHO! TeOMETPHH SICHO, YTO OHA paBHa 0,75, Ecnm BbI npenmountaere NpoLeHTHOE H3MepeHHe, TO ITO O3HaYAeT, YTOC Be- postHocrbio 75% Temnepatypa nonaser B AMaNa30H 65—70°F, H-TOMBKO c BeposIt- Hocrbio 25% — B quaria30n 70—75°R B xaHHoM ciy4ae (byHKIHs MIOTHOCTH BepOsTHOCTH 3anMcBIBacTcA Kak flX), rae SX) = 1,5—0,02x a8 65 < Xs 75, (0.18) fl) = O09 X< 55 nan X>75. (Bet MoxeTe mpopepHtTs, “to byHKuns f(X) pasa 0,20 npn 65°F 1 0 npn 75°F) NnotHocte: ‘BepontHoctn 0,20 0,15 0,10 0,05 65 70 75 Tewneparypa,°F Pucynox 0.6EcuM BEI XOTHTe pacCUHTaTb BEPOATHOCTH AIA Gomee CnOxKHOM yHKUMH, oNe- MeHTapHolt reoMerpHH Gynet HenocTaTouno. B oOnem cayuae BAM NIpHLeTCA HC- NONBSOBATL HHTErPANLHOE MCUHCHEHHE WK CHEUMANbHEIe TAOMMUb!, CCIM OHH Cy- lecTBYIOT. H MpoOHsHOCHTCA KaK «po». Ilia nepemerHEIx X u Y on onpenenierca Kak pr = \oxoy B uncamtene nepemuoxaiores enunnusl usmeperust Xu ¥. Jlucnepeun Xu YB 3HaMeHaTeme H3MepeHEI B KBampaTax CRMHMLAX H3MepeHHs ITHX MepeMeHHEX. Ho Kak TOKO MbI OepeM B 3HaMeHaTeNe KpaapaTHBlit KOPeHb, CMMHULBI N3MepeHHA SHCIINTEN 1 SHAMEHATENs CTAHOBATCH OLMHAKOBIMH, 3H@IHT, BEIPaxeHHe B Ue~ OM CTaHOBHTCs GespasMepHBiM. B OJHOM H3 ynpaxHenuis BE CMOxKETe yOeRUT- ca, ¥ro 3ayena Xn Vax oMHeiHbIMM OYHKUHAMH He HaMeHUT KosdibHUKeHT KOp- pensyun. Eoin Xn ¥— nesapncuMele nepemenHbie, 10 pyy paBHO HyMo, TaK KaK paBHa nysilo HX TeopeTHuecKan KOBApHALIN. ECR MeXIly MepeMenHbIMH CyMecTBYET T10- TOKHTENBHAS SABHCHMOCT, TO Cy, A CHIENOBATEMHHO, H Py OVAYT NOMOHTENTEHEE mu. Ecru cyuiecTByeT TOvHas MOVIOKHTCNbHAT MMHeHHAA JABMCHMOCTb, TO Pyy MpHMeT CBOC MaKCHMA@IBHOe 3HAYeHHe, paBHoe exMHMUe. AHAIOrH4UHBIM O6pa30M TIpw OTpHuATENbHOF 3ABHCHMOCTH py, OyMeT OTPHLLATEIBHBIM, C MHHMMAIBHBIM 3HayeHvem —|. BbIlosHHTe LOKa3aTe/IbCTBO STOTO B KayeCTBE yIIpaxKHeHHA. (0.32) YopaxHenna 0.13". 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ATA RAK LX, Nyy X,} CYMHHD, HX KOMGMHALLS TAK ake enyyalua - Cpeauee sHayenne Bbi6opKn X, oObluHad OWeCHKa 11a TeopeTHYecKOrO cpesHe- To, 1a€T NPOCTOH NPHMep, Tak KAK 9TO TIpocTO cpemHee BeNMuMH X;: Ki +My be +X,)=2 DM (0.33) iA * Bopycckossnwofi sutepatype Ht coco olleHUBAHIIR, M sHavere OLeHKit YaCro COKPALICHHO Hasbinalor MpOCTO OUeHKOH. Vora B MaIbHEHWIEM Mid TOKE GyieM TAK NOCTYMaTs, eC HS KOHTEKCTa ACHO, OEM HET pe. (FTpus. Hay. ped.) 20yxxuun morHoctm BepostHocrn Xn X us06paxensi Ha pc. O.7. Ha pucyx- Ke mpennonaraetca, s10 X uMeeT HOpMalibHOe pacnpenenenne. But BIUITe, 4TO pacnpenenenusa X vw X CHMMerpHUHD! OTHOCHTeNBHO Ly. PasHMya B TOM, TO pacnpenenenue X yxe 1 Bhune. XY OGLIYHO GIUDKe K [Ly YeM OTLeMBHOE HaGIuOme- Hue X, noTomy YT sto cpenHee sHayenne. Hexoroppre X, B BbIGopKe GyayT Gonb- We, 4eM TeopeTHYecKoe CpenHee, HeKOTOpBIe OyyT MEHBILIe, NOMOKUTENBHBIC H OTpHlatenbHbIe OTKIOHEHMA GyayT KOMNeHCKpOBath Apyr Apyta. Mbi noKaxKem, ro pacnpenenenue X uMeer 2uCHepciio 63, a BuIGOPOHoE cpenHee — AUCHepcHtO (0.34) TlonesHo nonpoGuee oGbacHHuT> Bbipaxenve (0.34), 3mecb npucyTeTByIOT He- CKOJIBKO KOHIENTYAIbHBIX BONPOCOR, KOTOPHIe OOAIATEMBHDI /LIA MOHMMAHHA CTa~ THeTHYeCKOit TeopHn. Tpoiitem ro cHcTeme ypabHennii (0.34) pabericTBo 3a pa- BeHCTBOM. Tlepsoe paberctso npocto oObacHseT conepKaHe 0%. Bropoe paBeHcTBo HCMomb3yet CBONCTBO AMCHepCHH 2, YTOObI BbIHECTH 1/n us BhIPAKEHAA AMCHEpCHN. ITO 3HateHKe NOTWKHO ObiTb BOSBELEHO B KBALpAT. B 1perbem Hf YeTBepTOM PaBeEHCTBAX YACTO BOSHHKAIOT NpoGrembl. Tpetbe pa- BeHCTBO 4HTAeTCH KAK var (X, +... +X.) = var(X;) +... + var(X,). (0.35) ynxya nnoruocr# ynkuya nnorwocm ‘seportHoctn X seposTHoctn X A x u x Pucynox 0.7. Cpasnenne dynxunii nnorHocrn BeporTHocTH oAMHONHOTO HaGnioneHMA wBuiGopowHoro cpeAHero a3necs ucnonbayerca cBoticreo nueriepenn 7. B ypapnenun (0.35) Her teoperH- yecKOoli KOBapMaLlMM, TaK Kak Npenrionaraetes, YTO HAGMOLeHHA CreHepupoBaHl HesaBnicumo. Yerweproe panencreo wraeres KaK var(X}) = 0%, 108 Beex i. (0.36) Yro snech npoucxonnr? Ecan semmuuna X npwivmaet KOHKpeTHoe 3HaueHTe Aust HaGmogeHua i, TO Kakas 3ech MOxXeT GIT Teopernueckan AMCHepCHs? Otset nocTaTouHo Mpoct, Mbi 1o0s2KHBI YYBCTBOBaTb Pa3HHUy M@KTY 602MooC- Heu pachipeseseHHem HaGMONeHHi M CpenHUM SHaYeCHHeM BBIGOPKH, J10 TOTO KaK BbIGOPKa CTeHEPHPOBANA, H JICICTBHTENLHbIMH HeXONaMH, Mocne TOTO KaK creHe- puponatia BuGopKa. Mis Gynem paxtimatb, TAKUM O6pas0M, anpuoprece w anocme- puopHeie Nonamun. YT06bI FOBOPHTS O KOHKPETHBIX BELUAX, MPELNONOXKM, 4TO X HOPMANEHO pac- Tipeneseno ¢ TeopeTHVeCKM CpeqHHM 5 MH ovicrepcHeit 10; B BbIGopKe 10 HaGmoze- nuit. Tlepsas erpoxa taGn. O.5 (b\Gopka 1) noKa3hinaer pesybratbl cryyaiiHbtx 3Ha~ uennitt or X, 40 X,. Cpenvee svayexve BbiGopKu papxo 5,04. Monysennme yacna OTHOCATCA K anocmepuoprtim noxamuam. OcTaBiuneca 19 cTpOK — TaKHe Ke, KaK Tepkas, HO TONIBKO C MpyTHMM cnyyariHbIMH 3HaveHHaMH X. PaccmarpuBaemsre oT- TaGnnua 0.5. Peaynorarei cnyyaiitem sHatieHni OFX, 0 Xiq BeiGopka =X, =X, Xe Xe MyM Xp eX OX 1 6,25 435 530 644 463 313 5,97 5.21 3,88 6.28 5,04 2 3.81 519 449 551 441 4,39 543 475 539 563 4,90 3 5,65 4,88 686 642 6,98 450 4,92 7,04 5,32 577 5,83 4 5,78 415 399 586 627 632 3,80 4,78 3,67 4,83 4,95 5 2,92 548 507 4,75 4,73 5,09 550 446 350 4,76 4,63 6 482 3,01 5,59 5,02 537 4,06 604 5.21 6,17 459 4,99 7 5,84 4,30 469 382 521 574 605 7,29 377 513 5,18 8 5,13 5,02 535 4,03 4,90 542 490 4,21 4,41 550 4,89 9 413 516 585 611 7,12 577 3,91 630 388 281 5,10 10 621 491 401 445 575 3,20 384 393 408 388 4,33 W 7,32 3,96 2,75 569 4,60 7,90 361 588 547 3,34 5,05 12 652 551 534 547 451 572 2,78 440 455 480 4,06 13 471 5,06 6,22 5,99 462 5,00 5,38 3,56 3,90 5,35 4,98 14 «4.59 4,54 463 4,84 638 562 4,75 5.86 4,57 4,64 5,04 15 513 499 7,36 4,60 3,85 5,26 613 5,26 583 483 5,32 16 426 4,99 449 448 4,76 3.77 549 5,31 6,66 6,44 5,07 7 407 5,55 4,26 5,07 4,96 4,88 585 5,51 4,21 5,12 4,90 18 3,83 5,14 5,69 5,24 3,41 4,24 5,00 499 5,40 4,09 4,70 19 438 5,54 3,70 5,08 5,59 4,00 5,16 4,64 6,25 6,03 5,03 20 474 445 469 5,67 5,51 3,84 5,14 4,89 416 489 4,80 Cpenvee 4,95 4,81 502 5,23 518 4,87 4,98 5,17 4,75 4,89 4,98 Avenepews 1,110.43 1,19 0,64 0,98 1,33 0,89 0,96 0,99 0,77 0,09 22JEABHO, COOTRETCTEYIOUIME 3HaYEHIs LOMKHEI ObITb OTHECEHBI K anocmepuopHto.n nonamuan. Tenep cocpenorownes Ha HaGmoneHnH X,. OneHvBad ero JHAvCHHs WIA 20 BbIGOPOK, MbI MOXKEM HTYUTHBHO NOHATE, KaKOBO €To 6o3MosKHoe pacripenene- Hue. Mbi BHIIMM, YTO cpennee sHavenve paBHo 4,95, a onenennan mucnep- cus — 1,11. Dro HeynMBHTeNbHO, Tak Kak X, Obui creHepHpopan cryyaltio, HC- TOmbSysi HOpMasbHOE PacripenesteHne C TeOpeTHYeCKHM CPeAHUM 5 H Teoperuue- cKoll guenepeueii enunuua. Sto cnpaBesMBo ALA Bcex HaGnogeHult X. B Kax.OM cayuae 13 20 BEIGOPOK cpesHee NPHONNSUTeENbHO paBHO 5, a OWeHe HHA AKCHepCHst TIipxMepro paBHa enunne; NpHOMCKeHHBIe 3HaveHHA OyAyT TOUNee, eCNH paamep shiGopKH ynemrustres. Mii HMeeM 370 B BIMTY, Kora HHILIEM <3(0%, +--+9%,) S(ck+. +04) (0.37) B ypapennu (0.34). Mi rosopum, yro pucnepcus eo2sosKnozo pacripenenenus X,, no toro kax BbiGopKa creHepHponana, paBHa oj, Tak Kak cnyualivas repemen- aa X, nonyyaetca w3 pacnpenenenma X. Sto cnpapesivBo Jia BCeX Apyrux Ha- OmoneHnii. Korieaio, mui ganirrepeconanibi He B pactipenesieHsix oTAeNbHEIX HaGsoneHntit, a B pacripenenennn oUeHKH, B sAHHOM Cayyae — X, Mbt ropopum, sro nMcHIEpeHs BO3MOKXHOFO pacnpenencHna X, 10 TOF KAK BBIGOPKA creHepupoBara, paBHa Wn. 0.6. HecmeujeHHocth uv scqekTHBHOCTh Bonburas ¥acrs aviain3a B Nocnenyioulux rnaBax Gys1eT NOCBALLICHa TPeM OCHOB- HBIM CBOHCTBAM CnOcOGOB OLEHHBAHMs: HecMeMlleHHOCTH (unbiasedness), abcbeK- tusnocr (efficiency) w coctostemocrs (consistency). Tlepsiie mea cBoticrBa oT- HOCSITCA K KOHEUHBIM BLIGOPKaM, file YHC/10 HAGMONCHHM M3BECTHO H OrpakWYeHO, CoctositenbHocTs — CBOiICTBO MeTOMOB OUICHHBAHS Ha GomBUIHX BbIGODKaX, KO- rma KonvecTRO HaGmoneHMit CTpeMUTCH K GECKOHEYHOCTH; OHO Byler paccMoTpe- Ho B calepyioutem nonpasneste. HecmeujeHHocTe Tlockoupky ONeHKH ABISOTCH CLyYaiiHBIMK Tepe MeHHBIMM, HX 3HaYCHKA MIN NO COBNaJLeHHFO MOTYT B TOUHOCTH PaBHSTECA XapakTepucTHKaM TeHepalbHOll CO- BOKynHocTH. OSE GyleT NpHcyrcTRORATL ONpeneneHHad OUMOKa, KOTOpAT MoxXe? GLITL OONLUIOM HI MaNOit, NOMOKKTENBHOM KIM OTPHUATENLHO!, B 3aBH- CHMOCTH OT 4UCTO Cay4aiHEIX COCTABIATIONLAX BeTHYHH XB BHIGOpKe. XOTA 9TO 1 HEH36eXKHO, Ha HHTYHTMBHOM YPOBHe KeTaTeNbHO, TEM HE MeHee, ‘“TOGBI OLeHKa B CpesHEM, 3a HOCTATOUHO AIMTeMbHBI Mepvod, Obi1a AKKypaTHO!t, Buipaxasch hopMansHo, MbI XOTENK OBI, STOO MaTeMaTHTYECKOE OXHIAHHe OUeH- KH paBHsuIoch Gti CooTBETCTBYIOULEH XapakTepHCTUKe reHepAalbHO!l COBOKYTHOC- tH. EcuW 970 Tak, TO OWeHKa Ha3blBAeTCs HecMeMentOi. EcmH 970 He TAK, TO OLeH- Ka Ha3bIBACTCA CMCMeHHOE, 1 PASHHIa MexX1y €€ MaTeMaTHYCCKHM OKHTAHHEM HL COOTBETCTBYIOWIC!t XapakTepUCTHKOl reHepaNnbHOli COBOKYNHOCTH Ha3biBacTCA cmemmenHem.Hauzem ¢ BeGopouroro cpemHero. ABAACTCA JIM OHO HECMCLICHHOH OLeHKOI reopermueckoro cpennero? Pasiit a E(X) ut yy? Ja, 310 TaK: well 1 E(X)=E4+(X, +..4X,) bo F(X, 4.4N, )= (x {j+ea)}=t (Xt %,) 1 I IL = {E+ ECAH (lee + +Hy)= (nity )=Hx (0.38) OGpatuTe BHHMAHHE, KOT MBI eNa1H STOT War: Le a) £(X,)}= Abr +e+Hy)s (0.39) MbI HCNOUIOBAIIM TOT (bakT, TO BOIMOXxHOE pacnpeneeHue X, uMeeT TeopeTHueC- Koe cpeiee pty. Mbi cHoba paGoraem c npexkiespeMeHHoii KOHLENUKeN. Mis TonbKo To NoKa3anK, WO BEGOPOHOE CpenHee ARINeTCH HECMEMEHHOI o”eHKoH TeopeTH4ecKoro cpesHero ply. Ho 97O He eAMHICTBeHUBIH HecmeMlenHbIt ToKa3aTesb, KOTOPbIii Mbl MOXEM CKOHCTpyHpoBars. MpemnooxkUM, UTO B Haulcii BuIGopKe TOuLKO ja HaGuoneHA — X, uX, JhoGoe BaneuleHHoe cpenHee ITHK HaOmoseHuit OyneT HeCMeMeHHOH OUEHKOi TPH YoROBME, STO CyMMa BeCOR paBHa eanHuue. Mpeanonoxum, Mol nOCrpoWNH CseAYIOUIYIO OLEHKY: ZO AN, + gk, (0.40) Maremarieckoe oxiianne Z 6yner cnenyiouin: E(Z) = E(A,X) +p Xq) = EX) + F(AQXg) = = E(X)) +2 ECXg)= Pylty + Pably = Oy +g My. (041) Eom )., 12 B CyMMe natoT enmHiuy, To E(Z) = py. 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Vira, mit noKa3ain, 470 BEIGOpOMHOe cpemHee HMeeT HaMMeHBIUyIO jncrep- cio cpen olfeHOK paccmaTpHBaeMoro THNA. ITO O3HAvaeT, YTO OHO HMeeT HaH6O- Jee «CKATOE» BEPOATHOCTHOE pactipeneieHKe BOKPYF HCTHHHOTO cpenHero uM, CyIe- NOBATENBHO (B BEPOATHOCTHOM CMBICHIE), #BIACTCH HaMOoee TOIHBIM. Crporo ro- BOpA, 97a OLeHKA HanGonee adcbeKTHBHA CpemM BCX HECMELIEHHEIX OUeHOK. Koneuno, Mbt Noka3anu 9T0 TOKO JYIs Ciy4as C WByMS| HaGruoNeHHKsIMH, HO Cne- JHHbIC BRIBOLbI BEpHb! /L18 BbIGOpoK m060TO pasmepa, ECM HAGMOCHHA He 3a- BHCAT Apyr OT pyra. Cyenaem s1Ba 3aKO4HTesIBHBIX 3aMe4aHHa. BO-nepBbix, 9p eKTHBHOCTb — 3TO omHocumenbroe nowamue. S10T TEpMHH MOXET HCHONLSOBATHCA TONBKO JLIS| CpaB- HOUMA A/IbTePHATHBHEIX CHOCOGOR OLeHHRAHHA, a HE JyIL XApAKTePUCTHKH H3Me- HCHMA AMCHepcnn ODHOTO HM TOTO Xe crocoa. B yacTHocTH, Kak GymeT NOKa3aHO B caenytoniem paanene (0.8), sInCrepcuis OueHKM, BOODLE roBOpA, YORIBacT No Mepe pocra pazmepa nbiGopKn. 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