f (x ) =
( s ) ds
xs
(1)
, f ( x ) , (s ) -
. f ( x ) , -
x12
(s) =
(2)
sz
f ( z ) dz
.
sz
. . .- . X =
= ( X 1 , X 2 ) , p
( x1 , x2 )
X1 , X 2
x12 + x22 -
( X
) ; X 1
p X ( x1 ) - . X
1
(
;
). R
X 12 + X 22 , X -
, p R ( r )
;
X1 , X 2
( x1 , x2 ) = ( 2 r ) 1 pR ( r ) .
X 1 - ; R - ,
e = ( e1 , e2 )
1 z 2
dz .
1
= f ( x ),
p X 1
x
x
, f ( x ) ( s ) - (1)
f ( z ) dz
1 f (0)
+
s
1
1
= ( x)
p R
s
s
=0
. f (0) = 0 , . . .- :
(s) =
1
x
p R 1 p e1 ( z ) dz =
z
z
1
x 2
p 1
2 R z
= x, x z2 = s,
( f (x ) ) . . .- . , f (0)
,
x 0
p X ( x1 ) =
e1 -
; e ( , [2], 1, 10 ). x1 > 0
. f (2)
.
, . . .- . 2 , .
.
. . . .
. ( , [1] ) 1823- ( ) .
( u , x )
. x ( 0 , 0 )
t
t ( x)
.
.
. . . (1), f ( x)
, ( s )
2 g t ( x ) , g
1
, s -
sin
.
x
u =
2( s ) 1 ds
. f (x)
; t ( x )
= const -
= const
[ . ( Ch. Huygens,
1673 ) ].
.: [1] A b e l N. H., Oeuvers compltes, t. 1, Christiania, 1839,
p. 2730; [2] .,
, . ., . 2, ., 1984; [3] . .,
, 2 ., . ., 1937; [4] .,
., , . .,
. 1, 3 ., ., 1951.
; Abelian group ,
( )
.
. .- n ( ) . . .- ( ,
,
). . .-
.
( mod 2
1.
e s x x 1 dx =
, x f ( x )
,
f ( x ) ~ x 1
, s 0
). 0 1 ,
0 + 0 = 0 , 0 + 1 = 1 + 0 = 1,
( )
, >0, s > 0
s
1+1 = 0
e s x f ( x ) dx ~
( )
s
. . G . 1 , 2 , ... , n , ... ,
. f ( x )
P { n = 0 } = q n ,
, ,
.
2. ,
P { n = 1} = pn = 1 qn
S n = 1 + 2 + ... + n
,
( S n , 1 , 2 , ... , n 2 - ). :
) n0 n0 G -
,
,
n > n0
pn0 = qn0 = 1 2
Sn
A - . | z |
z -
f ( z) =
min ( pn , qn ) =
n =1
, n S n
zn
z 1
f (z) A
( ).
1- . 0 < z < 1
z = e s
.
) ) , ) S n
, ;
G .
. .- ,
( ,
).
.: [1] .,
, . ., ., 1965; [2] . ., . ., . ., 1966, . 11, . 1,
. 335; [3] ., , . ., ., 1981; [4] D v o r e t z k y A.,
W o l f o w i t z J., Duke Math. J., 1951, v. 18, p. 50107; [5] Probability measures on metric spaces, L. N. Y., 1967.
<1
n =1
;
)
an
n =1
G( x) =
n x
f (z) =
e s x d G ( x ) = s
s x
G ( x ) dx .
x G ( x ) A , s 0
f (z) ~ s
s x
A dx = A
.
, . .
.
.: [1] .,
, . ., . 2, ., 1984.
; Abel theorems , .
; Abel theorems ,
; abstract ergodic theorem
, .
; abstract decision rule ,
.
; open queueing system ,
.
= { M : M G , M I G = },
GK = { M : M G , M I K = },
G
( ) Tg ,
G . ,
.
( ) ( )
sample range ,
{ X i }in= 1 { X (i ) }in = 1
Wn
. X i , 1
in
= X ( n ) X (1) -
F , Wn -
P {Wn < x } = n
( F ( x + t ) F (t ) )
n 1
( p N ) . I
, II I
. , I
. .- N 1
p 1 II . .- p
,
( ). . .-
.
.: [1] H a d a m a r d J., Bull. sci. math., sr. 2, 1893, t. 17,
p. 24046; [2] S y l v e s t e r J. J., Phil. Mag. 1867, v. 34, p. 461
72; [3] , ., 1969;
[4] H e d a y a t A., W a l l i s W. D., Ann. Statist., 1978, v. 6,
p. 1184238.
; adaptation algorithm -
. -, , . , . .-
p -
d F (t ) , x 0
. . . ( , ) . ( . ) Wr , s = X ( s ) X ( r ) ,
1 r < s n . . .
.: [1] ., , . ., .,
1979; [2] . ., . ., , 3 ., ., 1983.
H NT H N = N E N
, E N . . .- . ( , [1] ). ,
N = 2 . ( , [2] ).
. .- +1
, .
. .- : N 0 ( mod 4 ) N = 2
, , . . .
( )
. .
. .- ( ) .
.: [1] . .,
, ., 1984; [2] B i c k e l P. J., Ann. Statist., 1982,
v. 10, 3, p. 64771.
( )
; adapted random process ,
.
F F ; F adapted function ,
.
;
adaptive controlled random process i n d i s c r e t e
t i m e ,
.
; adaptive procedure
, -
; adaptive estimator
;
. . . .
.
.: [1] B i c k e l P. J., Ann. Statis., 1982, v. 10, 3,
p. 64771.
( ) ; spain o f a d i s t r i b u t i o n ,
.
; step factor ,
.
,
; step of arithmetic distribution , ,
.
, : K G
.
K , , G
( ) = 0 .
1
G R ,
n
;
additive functional o f i n t e g r a l e t y p e
s
ts =
f ( u , (u )) d u ,
0t < s
, ( )
,
f : [ 0 , + ] R1 R1
,
.
.: [1] . ., , 2 ., ., 1986; [2] . .,
. ., , ., 1970.
( )
; additive functional o f M a r k o v p r o c e s s , ;
.
( )
; additiv functional o f t h e W i e n e r
p r o c e s s ,
s
u
s
( t = t + u ,
t < u < s )
w (t ) , t 0 ( ts , w (u ) , u [ t , s ] ,
t < s At s
) s
t , 0
t < s .
;
additive function , ( )
= , A U B K
C , n R ,
, . - . , K ,
A K B K A U B K
( K U ).
. . . . , K
, , K
,
( A1 U ... U Am ) = ( A1 ) + ... + ( Am )
K - ( Ai )1 i m
.
K U I ,
: K G
( A U B ) + ( A I B ) = ( A) + ( B )
, A , B , K
.
, ,
.
.: [1] ., , . . ., .,
1953.
; additive noise
,
( ) ; additive problems o f n u m b e r t h e o r y
(
) .
. f ( x ) , p
. N
N = f ( x1 ) + f ( x2 ) + ... + f ( xn )
I ( N , n )
, 0
x1 , x2
, ..., xn
n -
A B
P { 1 = f ( k ) } = 1 p ,
( AU B ) = ( A ) + ( B )
k = 0 , 1, ..., p 1
, a
10
p 1
.
. 1 , 2 , ..., n
. n
= M 1 , D 1 = 2 > 0
= 1 + ... + n .
P { n = N } =
2 i z N
1
p
p 1
2 i z f ( x )
k = 0
dz .
(*)
; additive random ( stochastic )
process ,
; affine shape
P { n = N } = p n I ( N , n ) .
(*) , I ( N , n )
:
1) n , p ; 2) n , p
; 3) n p
= p ( n )
.
.
I ( N , n ) . I ( N , n )
. , ,
S ( f , z) =
1
p
p 1
e 2 i z f ( x )
x=0
z - p
, S ( f , z ) -
, .
( ) ; f a u l t
tree , .
; r a n d o m
tree , .
; linear tree code , .
; tree code
,
( ) .
(
) . ;
. ,
. . .-
, ( ) . . .-
.
.: [1] ., , , . ., ., 1986.
; flow
( X , A , ) -
,
. f ( x )
{ T , t R } :
.
. .- .
( G. Castelnuovo, 1933 ) , , f (x ) = x -
x X . T t - t -
, I ( N , n )
.
. . ( 1956, , [1] ) . ,
f (x ) = x
f (x ) = x 2 I ( N , n )
. . .- :
,
( , [3] ).
. . , .,
[4].
.: [1] . .,
, ., 1971; [2] . ., . ., . ., , ., 1975; [3] . .,
. . .
, 8, 1983, . 121, . 6282; [4] . ., . ., .,
., 1984.
; additive
model , , .
;
additive measure ,
.
t1 , t 2 R T t1 + t 2 x = T t1 T t2 x
.
, ; B e r n o u l l i f l o w , .
nuous
; c o n t i flow , .
; m e a s u r flow , .
K K ; K flow , K .
*
; parameter
of flow , .
, ; filtration / family of algebras ( , A , P)
.
able
T ; , t T
( , A , P)
At . ( At ) t T
t T
At A
s , t T ,
s t
As At , ( At ) t T
. ( M , B ) X (t )
B,
s T , s T
11
{ : X ( s, ) } -
( f1 ) ( f 2 ) f1 f 2 -
N t -
= R + -
, . , ) H
( N t ) t T . T
, ( At ) t 0
: ) , t
At
As ; ) A
( M - )
d
g U g , g f S ( M )
U g ( f ) U g1 = ( g f ) ,
s>t
A0
A -
.
.: [1] ., ,
. ., ., 1975.
;
intensity of flow , .
( ) ( );
last income first outcome ( LIFO ) .
,
,
.
- .
.
,
n - .
1 - B (t ) .
;
n - , , n -
.
.: [1] . ., , . ., ., 1965.
; Akaike information
criterion, AIC , , ,
.
; Akaike
criterion
, ;
; axiomatic quantum field theory ;
.
. . d
( , [2] ). ., M
,
H -
d
, f S ( M )
d
{ ( f ) , f S ( M ) , d
2}
( g f ) ( x ) = f ( g 1 x ), x M d ;
) M d - U g
{P , = q , ..., d } M d -
; ) H g U g d
{ ( f ) , f S ( M )}
.
wn ( f1 , ..., f n ) = ( ( f1 ) , ..., ( f n ) , ) H
( , [1] ).
.
.: [1] ., ,
. ., ., 1967; [2] W i g h t m a n A., G a r d i n g L.,
Ark. Phys., 1964, v. 28, p. 12984; [3] . .,
[ .], , ., 1987.
; active
variable , .
;
active experiment .
; Aldous Rebolled condition
,
.
; Alexandrov space ,
.
; Alexandrow theorem
. M , ( X , G )
. G1 B X \ G2 P ( G1 ) =
= P ( X \ G2 ) G1 , G2 G , ( G ) B P P M
.
M - ( P ) - P M
:
1) P , ( G )
; f ( f ) f - ,
lim P ( B ) = P ( B )
12
2) G G
lim inf P ( G ) P (G )
lim P (X ) = P ( X )
; alpha faktor analysis , ;
.
,
; potential alpha kernel ,
.
;
alpha potential ,
y - x
I ( x : y ) I ( y : x ) = O ( log ( l ( x ) + l ( y ) ) ),
lim P ( X ) = P ( X )
.
.
, .
. . [1]- .
.: [1] . ., . ., 1940, . 8,
. 30748; 1941, . 9, . 563628; 1943, . 13, . 169238; [2] . ., . , 1976, . 31, . 2, . 368.
I ( y : x ) = K ( x ) K ( x | y )
. .. I
, :
;
3) F
lim sup P ( F ) P ( F )
. .
K ( x | y );
; Kolmogorov complexity entropy
, ,
, . .
.
( ) ( , )
. G - x K G ( x ) , p , G ( p )
= x . -
F , G
K F ( x ) K G ( x ) + O ( 1)
( , [1] ). ( ) , K ( x )
.
. . ; ,
. .- . .-
. . .- ( + O (1) );
( ). . .- ( ,
[2] ).
. .- , . . ( , [2] [4] ); ., y x -
l ( z ), z . . .- . . K M (x ) - ( [3] [5] ).
: n
. .-, , n + O (1) - , [ 0 , 1]
( , )
( , [3], [5] ). M (x) , x
log 2 M ( x )
.
M .
(1)
M ( x) < + ;
(2) r M ( x ) -
r, x
; .
. .-
( , [3] ).
. . . ( C. Shannon )
, .
1) x , p q , x ,
H = ( p log 2 p +
+ q log 2 q ) , 0 1 , p q
.
l ( x ) , K ( x ) l ( x ) H + O (1) .
, . .,
( ) .
x ,
;
, x -
.
2) 0 1 - p q (
) n
. .- K - n ,
( p log 2 p + q log 2 q ) - .
.: [1] . ., , 1965, . 1, . 1, . 311; ( , . .,
, ., 1987, . 21323 ); [2] . ., . ., . , 1970, . 25, . 6,
. 85127; [3] . ., , .,
1981, . 16, . 1443; [4] . ., . , 1984,
. 276, 3, . 56366; [5] . ., . , 1973,
. 212, 3, . 54850; [6] H a r t m a n i s J., Bull. European Ass.
Theor. Comp. Sci., 1984, 24 ( Oct. ) p. 7378 [7] .,
., . , 1988, . 43, . 6, . 12966.
13
; Allais paradox
.
{F } -
{F } -
F f G U ( F ) > U (G ) ,
(1)
[ 0 , 1]
U ( F + ( 1 ) G ) = U ( F ) + (1 ) U ( G )
(2)
U ( ,
).
. [1]- { 0 ., 5 . ., 25 . . } , F1 , F2 ,
F3 , F4 . .
0 .
5 . .
25 . .
F1
F2
0,01
0,89
0,1
F3
0,9
0,1
F4
0,89
0,11
, 5 . ,
,
5 .- 25 .- .
, (
)
.
, ,
-
, , . , f
, F1 f F2
F3
f F4
. (1) (2)- U
( F1 + F3 ) 1 2 f ( F2 + F4 ) 1 2 ,
,
; lower
ladder random variables ,
.
; alternative , , ( ) ,
. , , , . . . .,
. .
; alternative hypothesis , .
; forecast
of meteorological binary variables of events / alternating meteorolgical forecast
, - - ( ., . ). . . . .
. . .- (
, , Y
Y - ),
, . . . , ,
. . . . ( , , ;
)
.
.: [1] . ., . . . .,
1937, . 14, . 4957; [2] . ., . . .
., 1955, 4, . 33949; [3] . ., , ., 1981.
*
( F1 + F3 ) 1 2 = ( F2 + F4 ) 1 2 .
{Y1 , Y2 ,...} .
( ,
).
( , [2] ).
.: [1] A l l a i s M., Econometrika, 1953, v. 21, p. 50346;
[2] . ., . ., . .,
- , ., 1980.
*
f1 ( x ) f 2 ( x ) .
14
, .
,
( 1 ) .
; ;
- - - - - ; o - .
1. .
. ,
.
, . . .-.
2.
. t = 0
X 1 ; X 1 -
f1 ( x ) -.
. X 1
X 1
.
X 1
X 1 -
~
~
. ( s , x ) Ps , x { } = 1 t < ~
~
~
(t ) = ( t ) , ( t ) (t ) ,
, .
f 2 ( x ) -. ( i 1) i -
(
) , ;
,
f1 ( x ) - e
,
,
e x -
.
. ( )
,
.
, . . . .
. .,
- k
. , k
pij
; pi j , i - j -
. .
.: [1] . ., . ., , .
., ., 1967.
; subprocess
.
( X , B )
~
~
~
( ( t ) , , Ft s , Ps x ) ( ( t ) , , Ft s , Ps x ) -
. , :
~
) ( ) < ( ) ;
~
~
) 0 t < ( ) , ( t ) = (t ) ;
~
~
~
~
) Ft s = Ft s [ t ] , t = { : ( ) > t } , Ft s [ t ] ,
~s
s
s
Ft t , A Ft
~
A I t
~s ~
~
Ft s , Ps x ) .
s
P ( s , x, t , ) ( ( t ) , , Ft , Ps x ) -
, P ( s , x, t , ) , ,
~
P (s, x, t , ) P ( s, x, t , ) .
.: [1] . ., . ., , . 2, ., 1973; [2]
, ., 1985; [3] . ., , ., 1959.
, ; subclass o f a M a r k o v c h a i n , ;
; subnet
, ( )
; amplitude modulation (t )
,
Z (t ) = c ( 1 + m 0 ( t )) ( t ) , < t <
, M (t )
D 0 ( t ) = 1
( t ),
= 0, D (t ) = 1 , c
< t < ,
M 0 ( t ) = 0,
m, 0 < m <1
,
, m .
0
(t ) ( t ) ,
B ( ) B 0 ( ) ,
Z (t )
BZ ( ) = c 2 B ( ) ( 1 + m 2 B 0 ( ) )
.
0
(t ) ( t ) , f ( ) , f
( )
f Z ( ) :
f Z ( ) = c 2 ( f ( ) + m 2 f 0 ( ) f ( ) ),
, ( ( t ) , , Ft , Ps x ) ( ( t ) , ,
X 1 X 2 -
- . , X 2
X i + X i - .
~s ~
( ( t ) , , Ft , Ps x ) ( ( t ) , , Ft , Ps x )
( ( t ) , , Ft , Ps x ) ( ( t ) , , Ft , Ps x ) , .
15
. (t ) ( t ) 1 2
,
0 < 2 << 1 ,
f Z ( ) 1
; amplitud modulated impulse
process
, -
(t ) =
, ( 1 2 ) f Z ( ) ,
X n ( t tn )
(*)
n=
. f Z ( ) -
, ( t ) -
= 2
, ,
t n , n = 0 , 1,... , -
, , X n ,
f Z ( 1 ) c 2 [ f ( 1 ) + m 2 ( f 0 ( 0 ) f ( 1 ) +
+ f 0 ( 2 ) f ( 1 + 2 ) ) ] ,
n = 0 , 1,...
.
{ tn } ( - ), { X n } M X n
= m,
f Z ( 1 2 ) c 2 [ f ( 1 2 ) + m 2 f 0 ( 2 ) f (1 ) ] ,
= a ,
, (t )
f Z ( 2 ) c 2 [ f ( 2 ) + m 2 ( f 0 ( 2 ) f ( 0 ) +
X n2
+ f 0 ( 1 2 ) f ( 1 ) ) ].
Z (t )
Z (t ) . (t )
( t ) , , .,
.
.: [1] ., .,
. , . ., ., 1969; [2] . ., , 2 ., ., 1968;
[3] . ., , 4 ., ., 1962;
[4] ., , . .,
., 1974.
; amplitud modulated
harmonic oscillation
X (t ) = X 0 ( t ) cos ( 0 t + )
, 0 ,
X 0 ( t ) , . [ 0 , 2 ]
,
X 0 ( t ) [ f 0 ( ) ]
<< 0
. . . . X (t )
= 0
= 0
. ,
X (t )
= , = + 20
= 20 .
F ( d , d ),
16
M (t ) = m
( u ) du
(t + ) (t ) =
=a
( u + ) ( u ) du + m ( u ) du
.
tn = n T0 ( T0 ) tn
= n T0 + n ( { n }, { X n } -
) , (t ) T0 .
.: [1] . ., . ., , ., 1973; [2] . ., , . 1, .,
1976; [3] . ., ., 2 ., . 1, ., 1974; [4] ., , . ., . 12, ., 1961
62; [5] ., , . ., ., 1974.
; amplitud modulated random process
(t ) = 0 ( t ) ( t )
, 0 ( t )
, (t ) . . . .
.- . (t ) , . . . . (t ) ,
;
( t ) =
e i t dK ( )
, (t ) -
= 0 -
(1)
, dK ( ) ,
D (X
X (1) X ( 2)
, X ( 2) ) - :
; amplitude
frequency response , .
; analytic
characteristic function X P - z = 0
.
z = t + is, | z | < r f
| Im z |
< z
f (z) =
D ( X (1) , X (1) ) = 0 .
D (X
(1)
,X
( 2)
) =
i2 ( xi(1) xi( 2) ) 2
i = 1
. :
n
( j)
r A
, xi , i
>0
) , A
. . .-.
t X
xi(1) xi( 2) ,
i =1
.
f , , r
12
D ( X (1) , X ( 2) ) =
e i z x P (dx)
P { | X | > A} = O ( e
D ( X (1) , X ( 2) ) = D ( X ( 2) , X (1) ) ,
< }
, i a, i b , f
{ z : a < Im z < b }, f
. . . .-
, .
.: [1] . ., . .,
, ., 1972; [2] ., , . ., ., 1979.
; analogous method
:
,
. ,
, . .- ,
- .
, . .-
,
- ,
( - , ,
). - .
. .
( ) X -
( )
= 1,..., n
( j)
, i i -
. , .,
( , , ; ).
X j Y j ( j ) , . .- (
) Y ( X 0 )
= Y j , X 0 -
, Y , j
,
D ( X 0 , X j ) = min D ( X 0 , X j ) .
j
. .
( , [3] ).
.
.
.: [1] . ., . ., , ., 1983; [2] . ., . ., ,
., 1982; [3] , ., 1985.
; Andersons inequality ,
. F -
, C F
t [0 , 1], y F (C + t y )
(C + y ) , , ( C ) ( C + y )
,
, .
17
R - . . , .,
,
f : 1) f ( x ) = f ( x ) ,
. . . ( ,
[1], [2] ), t K . D -
f ( x ) -
x R n ; 2) > 0 { x R n ; f ( x) } -
. . . . ( , ).
.: [1] . ., . . - , 1967,
. 90, . 1210; [2] . ., . . . .,
1966, . 30, 1, . 1568.
. .
.
. . ,
.
.: [1] A n d e r s o n T., Proc. Amer. Math. Soc., 1955, v. 6,
2, p. 17076; [2] B o r e l l K., Ark. mat., 1974, v. 12, 2,
p. 23952; [3] . ., . .,
, ., 1985.
; Anderson Jensen theorem
, ( )
)
s t o p p i n g time , .
; instantaneous state x ,
:
lim p ( t , x , x ) = 1,
t0
q x = lim
t 0
1 p (t , x, x )
= + ,
t
p ( t , x , x ) t x x - . . .- 1951- . . . ( P. Lvy )
, . . .
. . . .-
( ) , . . .
.
.: [1] - , , .
., ., 1964.
; Ansari Bradley test
. , ,
. :
; 1 ; 2
. . .
. . .- .
, . . .-
; .
.
( )
,
.
, -
. , ( )
( , [2], [3] ).
.
.: [1] A n s a r i A. R., B r a d l e y R. A., nn. th. Statist,
1960, v. 31, 4, p. 117489; [2] ., .,
, . ., ., 1983;
[3] M o s e s L. E., Ann. th. Statist., 1963, v. 34, 3, p. 97383.
; antiferromagnetic model
. , . .-
d
{ xt , t Z }
, t Z d
, e Z
t { 0 ; 1; 2 , ...}
xt
D - S : D D
,
| h |
D ( x ) ( S *t ) ( x) =
= dS t ( S t x ) S *t .
18
xt +e = xt
. . .
h xt , A = { t } ,
U A ( x A ) = xs xt , A = { s , t } , s t = 1,
dig A lar ,
0 ,
U
:
= 1, t Z d , h R .
< 2 d , x , x 1
t + ... + t d
xt1 = (1) 1
xt2 = xt1 .
h = 0 . . .
. h 0 d
( ) .
a ( t , x ) t (
, ). , a ( t , x ) x t
( )
.
; drift vector
, .
; leading
function , , .
*
h - , h - . ,
.
.: [1] . ., . .,
1968, . 2, . 4, . 4457.
; antisimmetric Fock
space , .
; antisymmetric variate
method , .
; antithetic variables
method , f
s
[ f (1 , ..., s ) + f ( 1 1 , ..., 1 s )] 2
, i , [ 0 , 1]
.
.: [1] H a m m e r s l e y J., M o r t o n K., Proc. Cambr. Phil.
Soc., 1956, v. 52, p. 44975.
; drift coefficients , , .
/ ; drift coefficients
. . .
. ( )
d x (t ) = a ( t , x ( t ) ) dt + ( t , x ( t ) ) d w ( t )
( , ), . . ( ) a ( t , x ) ( ).
a (t , x )
t - t + t -
x(t + t ) x(t ),
t 0 x (t ) = x , o( t )
,
,
. .
, .
, , .
. . .
; posterior mean
.
; posteriori distribution ,
.
, p () -
p(x | ) {
= }
~
- - . .-
p ( | x) =
p () p ( x | )
+
p ( ) p ( x | ) d
.
K ( x ) p ( x | )
, . . x -
, K ( x ) - . xi - -
p ( x | 0 )
, p ( | x1 ,..., xn )
. .- n -
.
. .-
.
.: [1] . ., , 4 .,
. ., 1946.
19
( )
;
a posterior risk o f a d e c i s i o n f u n c t i o n X
( ) x
L ( , ( X ) ) .
G ( x ) . .-
.
, .
*
; approximation theorem A -
A A -
.
( ,F , P ) , U , F -
A .
A U
lim P ( An A U A n A ) = 0
(1)
An A ;
lim P ( A \ An ) = lim P ( An \ A ) = 0
n
= P ( An ) P ( An A ) + P ( An A )
= lim P ( An )
n
, 1 2
.
,
.
.: [1] . ., ., , . ., 1966; [2] E l d e r t o n W. P., Frequency curves and
correlation, Camb., 1953; [3] . ., . .,
, 3 ., ., 1983.
( K , )
( K , )
( K , ) approximating functional ,
; approximable event , .
; a
priori probability , -
; a prior information -
P ( A ) = P ( An A ) + P ( An A ) =
, ,
, . , . , , .
(1)
n
. , , 1 2 -
P ( A) =
A U
A
.
A F (1)
, A -
.
,
;
approximation of complex distributions b y s i m p l i e r
o n e s
.
.
.
y = f ( x )
1 dy
x + C1
=
y dx
C0 + C1 x + C 2 x 2
, C0 , C1 C2
;
, . ,
( , A ) ,
, A
-
. ,
P { d }, ( , A ) -
Cap ( , A ) -
P = { P , }
, . P - ( , B ) -
Q {d }
. . . , ( , [3] ).
.: [1] ., , . ., .,
1960 ( ); [2] ., , . ., ., 1975; [3] . ., .
., 1981, . 26, 1, . 1531.
; a prior information
usage -
2 , 1 2
20
( , , 2 W )
. . .-
.
= r
, A q -
( q p ) , 0 < q < p, r q . R = r
= 0 + B
0 , ( p q ) , B
p q [ p ( p q )] .
( 0 , B , 2W )
= 0 + B ,
.
r = R + , r q ,
R (q p ) , q
M = 0 , cov = V
(q q ) .
; ( 0 , 0 , W0 )
0 =
Y
r
0 =
W0 =
W
0
2 V
( W 1 + 2 R V 1 R ) 1 ( W 1 Y + 2 R V 1 r ) (*)
.
P ( d )
p
- ( R ) .
r =
P ( d ),
V =
( r ) ( r ) P (d ) ,
R = Ip,
V 0
I p ( p p ) .
(*)
;
L -
~
~
M ( ) ( ) P ( d )
.
,
= { R p : ( r )U 1 ( r ) k }, k > 0
,
R = Ip,
V = kU
(*)
~
~
max a M ( ) ( ) a
aR
. r
= 0 -
1
R V R ,
(*)
.
.: [1] . ., . ., , ., 1987; [2] , ., 1983.
;
priori distribution , ,
,
.
( , ) (
) . ,
. - ( -
. .- ) -
P - .
( - )
. . . , ,
. . .-
.
( )
; a prior
risk o f a d e s i g n f u n c t i o n
.
;
sequential analysis ,
( )
,
.
.
( A. Wald ) . ,
(
) ,
,
(
,
).
. .- . 1 , 2 ,...
,
F ( x ) = P { 1 x } .
,
.
( ) d D
21
( ) .
, ;
( ,
) . , An =
; n
A .
An n ( n
) , A (
, sup
s ( x ) M x g ( x ) +
;
.
: s ( x )
, ,
, ?
.
g ( x ) : g ( x ) c < . s ( x )
g ( x ) , g ( x )
= ( , d ) ( )
.
W ( , , d )
M W ( , , d )
* = ( * , d * )
. ;
, = ( d )
.
R ( ) =
= M x g ( x1 ) .
M W ( , , d ) (d )
*
W ( , , d ) -
c + W1 ( , d )
c 0 , W1 ( , d )
( ) .
*
d , ,
*
- . . .-
. .
X = ( xn , An , Px ) , n 0 x E , ( E , B )
Q g ( x ) = max { g ( x ) , T g ( x)} .
M x g ( x ) -
= sup M x g ( x )
0 = inf { n 0 : s ( xn ) = g ( xn )}
.
Px { 0
< } = 1, x E , 0
= { x : s ( x ) = g ( x )}
0 = inf { n 0 : xn } .
,
. , , .
. . .
1 1
0 . ( )
D - : d = 1
( H 1 : = 1 ) d = 0 ( H 0 : = 0
). W1 ( , d )
a , = 1, d = 0,
W1 ( , d ) = b , = 0 , d = 1,
0 ,
, Px ( ) x E
. , n
, g ( xn ) .
s ( x )
s ( x ) = lim Q n g ( x ) ,
; An n ( n )
22
s ( x ) = max { g ( x ) , T s ( x )} -
, xn , n -
, x . s ( x )
>0
= { x : s ( x ) > g ( x )},
R ( ) R ( )
= ( * , d * )
) .
= inf { n 0 : s ( xn ) g ( xn ) + }
*
( ) ,
f ( x ) , T f ( x ) f ( x ) -
f ( x ) , T f ( x ) =
)
. ( ) d = d ( ) (
) D A
x E x -
W ( , , d ) = c + W1 ( , d ) , R ( )
R ( ) = c M + a ( ) + d ( )
( ) = P { d = 0 | = 1},
( ) = P { d = 1 | = 0}
, , P
. n = P { = 1 | An } H 1 : = 1
= ( : 1 , ... , n ) -
An
R ( ) = M [ c + g ( )]
= min ( a , b ( 1 ) ) . xn =
, g ( )
= ( n , n ) -
, ( )
= inf R ( )
. = ( , d )
= P1{ d = 0} , ( ) = P0{ d = 1}
> 0 , > 0 ;
, ( , ) , ( ) , ( )
M 0 < ,
M1 < . .
. + < 1
( )
= inf { n 0 : n ( a , b)} ,
( ) = min { g ( ), c + T ( )}
. ( ),
1,
d =
0,
g ( ), T ( ) -
b,
a
, , A
B , 0 A < B 1 , =
= { : A < < B } ,
, n d --
= [ 0 , 1] \ ( A , B ) .
b = b ,
= inf { n 0 : n }
= ) .
p0 ( x) p1 ( x)
F0 ( x ) F1 ( x) - d =
( 0
= ( dF0 + dF1 ) 2
= ( , d ) a = a
- ,
a
= ( * , d * )
= a b = b ( , )
, ,
( , ) M 0 M 0 , M1 M1 .
n = p1 ( 1 ) ... p1 ( n ) p0 ( 1 ) ... p0 ( n )
, ( 1 )
* = ( * , d * )
H 0 : = 0 H 1 : = 1 t
.
,
*
= ( * , d * )
= inf { t 0 : ( t ) ( a , b ) } ,
1, b ,
d* =
0 , a ,
t = ln t
= 1 -
t = e t t / 2 ,
1.
A 1
B 1
= n :
< n <
1
A
1
B
0 = inf { n 0: n C } .
B 1
0
, d = 1 ,
1 B
A 1
H 1 : = 1 ; 0
1 A
, d
= 0 -
= 0 , H 0 : = 0 .
b a
b = ln (1 ) / , a = ln / ( 1 )
( 2 ).
= ( , d )
:
~
t = t ( , ) ,
~
1, ~t h ( , ) ,
d =
0 , ~t < h ( , ) ,
23
. . .
1957- ( , [1] ). - ( , [3] )
. , ,
.
0
2.
= ( , d )
~
t = t ( , ) ,
t ( , )
~
1, ~t h ( , ) ,
d =
0 , ~t < h ( , ) ,
= ( c + c ) 2 , h ( , ) = ( c2 c2 ) 2 , c
1
2
. M 0
ex
dx =
= 2 ( , ) , M1 = 2 ( , ) -
M0 *
( , )
= 2
,
t ( , )
(c + c ) 2
M1 *
( , )
=2
t ( , )
( c + c ) 2
( x , y ) = ( 1 x ) ln (1 x ) y + x ln x (1 y ) .
,
M 0 t ( , ) 17 30 ,
0, 03
M1 t ( , ) 17 30 .
,
. ,
= ,
lim M 0 * / t ( , ) = lim M1 * / t ( , ) = 1 / 4
0
.
.: [1] ., , . ., .,
1960; [2] . .,
, ., 1976.
( )
; sequential decoding
( ) ,
( , )
; , (
) ,
24
1.
, .
, .
,
.
.
,
n D -
(
1- ).
2- .
,
,
, .
. .- :
,
.
-
F (x) = P { < x} ,
A1 x
1 F ( x ) A2 x
, A1 , A2 , 1 , 2
.
1 = 2 = , ,
. .
( ),
( ) .
;
.
.
.: [1] W o z e n c r a f t J. M., IRE Nat. Conv.
Rec., 1957, v. 5, pt. 2, p. 1125; [2] . ., , ., 1974.
( = 0)
f ( )
X 1 ,..., X n ,...
( p ( , x ) -
k n
An = ( X k ),
P { f N f ( )} , ( f = lim
, f n
.
( , ) = M [ ln p ( , xn ) ln p ( , xn )] ,
Dc = { : f ( ) > c } , Dc = { : f ( ) < c } .
f n)
f n = min f r ,
= f n ( X 1 ,..., X n ), n = 1, 2 , ... -
f n f n+1 ,
f ( )
f n = inf { c : n ( c ) An ln (1 ) 1} ,
n ( c ) = sup
; c
< f ( ) .
( )
c > f ( ) ( c < f ( ) )
M Tc
M Tc
ln (1 ) B ( c )
ln (1 ) 1 B ( c )
(1)
ln p ( , X r ) ,
ln p ( r 1 , X r )
r =1
= n ( X 1 ,..., X n ) , n = 1, 2 , ... n
f* =
n
max
r = 1, ..., n
f ()
,
= sup{ c : n An ln (1 ) 1} ,
n (c ) = sup
Dc
ln p ( , X r ) .
r =1
B ( c ) = inf ( , ) , B ( c ) = inf ( , ) ,
Dc
An =
c > f ( ) .
Tc = min { n : f n c }
Dc r = 1
()
.
.
Tc = min { n : f n c } ( )
(2)
f n = f n ( X 1 ,..., X n ) , n = 1, 2 , ... f ( ) -
f n f ( ) -
n = 1, 2 , ...
r =1,..., n
n = 1, 2 , ... P { f f ()} ,
- p ( , x )
).
( ).
= ( 1 , ..., m ) R m -
yox
; sequential confidence bounds /
limits
Dc
25
M Tc 1 -
N = min { n : n 4 c 2 K 2 2 }
(5)
.
f () a -
, K
( N , z1 , z 2 ) , N ,
(1 + ) 2 ( , [2] ).
An , n
= 1, 2 , ... ,
P { N < } = 1 , z1 z 2 AN ,
N = min { n : n max ( n1 , c 2 K n2 S n2 )} + k ( )
P { z2 z1 a } = 1 ,
P { z1 f ( ) z 2 } .
,
1 ,
ln (1 ) 1
[ 1 + o (1)]
W ( a )
M N
. M xn
max { B [ f ( ) + a t ] , B [ f ( ) t ] } . (4)
N = min { n : f n f
z1* = f * , z2* = f
N
p ( , x ) = exp [ x b ( )] ,
a },
*
N
[6]- . I n =
~
I r -
r =1
~
I n = { : Mn ( ) (1 ) 1} , n = 1, 2 , ... ,
Mn ( ) =
p ( , xr ) dF ( )
r =1
p ( , xr )
r =1
n -
<
,
; sequential probability ratio test
H 0 : p ( x ) = p0 ( x ) H 1 : p ( x ) = p1 ( x)
( , d )
F ( I ) > 0
I n , n = 1, 2 , ...
( , [6] ).
X 1 , ... , X n , ... , a 2 N ( a , 2 )
p ( x )
X 1 , X 2 ,...
. . . . .-
Ln =
p1 ( xk ) p0 ( xk )
k =1
( A , B ) , 0
, F , -
.
2 , K n K , a n , S n2
a
(5)-
0
z2 = a N + ( c 2 )
, K ( )
W ( a ) =
0ta
z1 = a N ( c 2 ) ,
, n1
= inf
< A <1< B
= inf { n 1 : Ln ( A , B)} ;
d = 0 ( ) ( H 0 )
L A , d = 1 L B
. [1]- ( , [2]- ).
, . . . .-
( - ) -
, .
( , [1] ) a
, A B
: A (1 ) , B (1 ) . [3] [4]-
. , a
q [ P0{ d = 1} + c0 M 0 ] + (1 q ) [ P1{ d = 0} + c1 M1 ]
26
. . . . ( A B -
) ,
Pi M i i H i
, i
= 0 , 1 , q , H 0 - , c0 ,
c1 . . . . .
,
P0{ d = 1} P0 { d = 1} ,
P1 { d = 0} P1 { d = 0}
( , d ) M 0
M1 . . . . .-
[5]- ( , [2] ),
[6]-
. . . . .-
( A B )
[7] [8]- .
.: [1] ., , . ., .,
1960; [2] . ., , ., 1976; [3] W a l d A., W o l f o w i t z J., Ann. Math.
Statist., 1948, v. 19, 3, p. 32639; [4] W a l d A., W o l f o w i t z J., Ann. Math. Statist., 1950, v. 21, 1, p. 5299; [5] . ., ii i , 1958, . 1,
1, . 10104; [6] I r l e A., S c h m i t z N., Math. Oper. und
Statist., 1984, Bd 15, 1, S. 91104; [7] . .,
. ., 1987, . 32, . 1, . 6272; [7] . .,
. ., 1988, . 33, . 2, . 295304.
; sequential estimation
.
t
{ At } A ,
t 0
( , A , P ) .
{ At } ( ),
At , ( , )
<
~
, ( , )
~
, M =
~
, ( , )
; M
. ,
~
( , )
~
M ( ) 2 ( I ( ) M ) 1
( ,
(*)
[1] ), I ( )
(
).
p ( x ) - ,
[ .,
p( x)
M ( ) n
(
).
,
( , [2] ) (*)
.
.: [1] W o l f w i t z J., Ann. Math. Statist., 1946, v. 17, 4,
p. 48993; [2] . ., . ., , ., 1974; [3] . ., . ., . ., 1974, . 19,
. 4, . 70013.
; sequential design
of estimation , .
,
;
sequential design of experiment ( y1 ,..., y N ) = y1N
, y n - (
N , n - ) y n +1 -
xn +1 ( y1n ) X . . . . . . . .
,
. . . .- .
. . .- ( Y , Y )
x
P . ( X , X )
xn : Y n 1 X ,
= ( U , N ) . B Y ,
= 1, 2 , ...
PU { y n B | y1n 1 } = Pxn ( B ) ( PU )
, X Y
- P
. (1)- ,
(1)
y n xn
y1n1 - . :
n - , , .
P ( ) PU - Y N = { y1N } . inf P ( N
< ) = 1
P ,
, ( ) = d P ( ) d P ( ) =
xi
, ( yi )
i =1
]
,
( , [3] ); p ( x ) ,
, x, ( )
= d Px ( ) d Px ( ) .
27
, x1
y1
d ( ) Y N -
; w ( , )
. , (U , N , ) s
0 + 1
1 , ( i , 1i ) =
1 1i ]
min K , ( ) ,
1i
X , ( X , X ) - .
2) P { = j } = ( j ) P1 , ..., PM -
M w ( ( y1n ), ) . ,
M ( ) ,
ln , , S ( f ) =
f xi ( yi ) .
i =1
N = M N <
x
D S ( f )
f =
D S ( f ) = M
D ( f
xn
( yn ) |
M ( ) ( ) T bb T + ( I + b ) ( N J ) 1 ( I + b ) ,
y1n 1 ) ,
= N
( ) , ( B)
n =1
B X
f (dx) = N f ,
N
M : N0
inf * sup R, , R , = K , ( ) K , -
- , 1
X /
Px ( dy ) f x ( y ) .
= 0 ,
M S ( f ) = N
{ n N , xn B }
n =1
.
, :
1) K , = M ln , ;
= M ,
(
( ) , ( ) - );
3)
M S ( f v 1 f T ) .
: yN
( y1N ) ( )
, K , ( )
[
K , , I ( ) I
I I ( )
= ( b1 , ..., b p ) .
M ( yn | y1n 1 ) = ( xn , ) , D ( y n | y1n1 ) = ( xn , ) ,
. ( x , )
(2)
= T f ( x ) , ( x , ) ( x ) ,
N = const S ( m ) const , :
= S 1 ( m ) S ( f T y )
I = M ln , ( ln , ) T = M S ( , ,T )
I , b
5)
.
. . ., N n
2) R p -
K, I
ln [
(3)
, m
1
= f ( x)
( x) f ( x ) . (2) n n
= an , n -
0 - . ,
~
yn = y n ( xn , 0 )
(3)
,
f 0 ( x ) = ( x , 0 ) ,
~
y
. -
].
.
1) H i , i = 0 , 1 i -
, f 0 ( x ) , -
H i : i , i
= 0 , 1 , 0 U 1 = ,
0 I 1 = :
N 0 ( i , 1i ) sup inf K , , i
X * 1
28
diag ( ( x1 ) , ..., ( x N )) ( , ).
1) 3)
; M , q () 1
( , ); -
( , [2] ). 4) 5)
an S ( B )
B ( x)
( dx )
n ,
4)- B = I , 5)- B = m .
,
. ., 4)
: n , { Am }
T
y1 n L ,
I n Ln 0 , a n11
xn
0 Pn
n =1
. h R p :
ln d P n 1 / 2 ( )
+ h an
h T n
(1 2 )
h + n ,
(4)
n ( , h ) 0 P n ,
( n , I n ) ( , I ) , I ,
(
~ N ( 0 , I 1 )
d > c , P
. D . . .- .
d c , D = D d , d > c ,
D
d Pn ( ) =
h TI n
,
( . )
D - .
, . . .
,
. 1950- . .
( , [1] ) .
. N P n
c . d , d c , P ,
). (4)- x
= 0 . = nD N hNn,,dD
p ( d ) = d e d !,
( d ) p ( d ) =
, P -
d= 0
x X
, .
.: [1] , .,
1983; [2] . ., . . . ., 1979,
. 43, 6, . 120326.
.
. . .
; sequential estimators
P ,
-
. . . .
P D - ( . )
, .
, = (d ) > 0
(N
n d ) p (d )
d= 0
( N n) d ,
(d ) = N d n,
0,
d c,
d = c +1
d > c +1
.
.: [1] . ., , ., 1986, . 34063; [2] . .,
, ., 1975; [3] . .,
, ., 1979.
; sequential structure . . .
(x) =
= min ( x1 , ..., xn )
, n - n ,
x = ( x1 , ... , xn ) , (x) , . i -
xi :
1, i - ,
xi =
0 , i - ,
i = 1, ... , n , n .
29
(1 , 2 )
1, ,
0 , .
n ( 0 , 1 ) -
. ., ,
( , ).
( , [4] ): ( , d ) ,
sup M (
).
, sup M
.: [1] ., .,
, ., 1984.
),
A )
d , A , 0 , ..., k
( )
( ) , ( , d ) H i ,
i = 0 , ..., k . . .-
(-
) .
,
,
.
(
) { P } ,
( , [1] [3] ). {P }
H 0 : 0 H 1 : 1 -
(1 , 2 ) M
( );
( , [5], [6] ).
(
) ,
( , [7], [6] ).
H 1 : 0 H 0 : = 0 , H 0
, , H1
,
( , [8] ).
., X i
N ( , 1) ,
= inf n m :
X i > [ ( n + 1) ( ln ( n + 1) + a ) ]1 2
=1
h
M - -
( ) ; n ( 0 , 1 )
P1 {
<
H1
. m a ,
( P1 {
< }
< }
, 0 < < 1
< } = 1
, n ( 0 , 1 ) , H 0 :
= 0
H 1 :
= 1
[ ( 0 , 1 )
].
30
.
,
., [11], [12]- .
.: [1] W a l d A., W o l f o w i t z J., Ann. Math. Statist., 1948,
v. 19, p. 32639; [2] ., , .
., ., 1960; [3] . ., , ., 1976; [4] K i e f e r J., W i e s s L., Ann.
Math. Statist., 1957, v. 28, 1, p. 5774; [5] L o r d e n G., Z.
Wahr. und verw. Geb., 1980, Bd 51, 3, S. 291302; [6] . ., . ., . .,
1987, . 32, . 4, . 67990; [7] L o r d e n G., Ann. Statist., 1976,
v. 4, 1, p. 28191; [8] R o b b i n s H., Ann. Math. Statist., 1970,
v. 41, 6, p. 13971409; [9] S i e g m u n d D., Sequential analysis B.
N. Y., 1983; [10] W o o d r o o f e M., Nonlinear renewal theory in
sequential analysis, Phil., 1982; [11] L o r d e n G., Ann. Statist.,
1977, v. 5, 1, p. 121; [12] . ., . ., . ., 1983, . 28, . 544554;
[13] . ., . ., 1987,
. 32, . 1, . 14953.
( )
; arithmetic simulation o f
r a n d o m p r o c e s s e s
;
,
.
k , m . f ( m ) f ( k + m) =
= f ( k ) + f ( m ) , , f ( k m) =
= f ( k ) f ( m ) k m ,
p ( m ) = max { : p
. p ,
m } , y n : [ 0 , 1] [1, n ] , 1 -
, y n ( 0 )
= 1 , y n (1) = n .
f n
Hn (t , m) =
fn ( p
p (m)
) an ( t ) ,
0 t 1
p yn ( t )
. H n ( t , m ) - { n , An , Pn }
,
n = { 1, ..., n } , An , -
, Pn ({ m } )
= 1 n . an (t ) -
. H ( t , ) D [ 0 , 1]
. C [ 0 , 1] - . H n ( t , m )
. . ( [1], , [2], [3] ) , n
H ( t , ) Pn -
w (t ) .
H n ( t , m )
. H n ( t , m )
w (t ) - ( , [9], [10] );
( , [11] ); ( , [6] )
; ( , [5], [6] )
w (t ) - ( ,
[6] ).
( , [7] ).
g n ,
U n ( t , m ) = d n1
gn ( m + k) , 0 t 1 ;
k t hn
n hn , d n . U n ( t , m ) , { n , An , Pn } .
g n . . . . ( , [4] ) , U n ( t , m )
w (t ) -
. . . ( 1967 ) :
g n ( m) = ( m ) , n U n ( t , m ) w ( t )
? ( m ) .
[8]- .
.: [1] . .,
, 2 ., , 1962; [2] . ., .
, 1955, . 103, . 36163; [3] . ., Lect. Notes
Math., 1976, v. 550, p. 33550; [4] . ., . ., . . ., 1959, 6 (13), . 8895;
[5] . ., . ., . .
, 1982, . 25, . 20711; [6] ., .
. ., 1984, . 24, 3, . 14861; [7] .,
., . . ., 1984, . 24, 2, . 72
81; [8] . ., . , 1986, . 290, . 786
88; [9] P h i l i p p W., Proc. Symp. Pure Math., 1973, v. 24, p. 233
46; [10] B a b u G. J., Probabilistic methods in the theory of arithmeticcal functions, Calcutta, 1973 ( Diss. ); [11] B i l l i n g s l e y P.,
Ann. Probab., 1974, v. 2, p. 74991.
; arithmetic distribution x = n h ,
n = 0 , 1, 2 ,..., h > 0 . h -
. .- . . . ( , ). . .-.
. .- h = 1 ,
. . . . .-
2 h .
,
( z ) z 0 0 ( z 0 ) = 1 ,
. .-. h = 1
. .-.
.: [1] .,
, . ., . 2, ., 1984.
,
;
arithmetics of probability distributions ,
.
; ARIMA
process ,
.
; arcsine
law , . . 1939-
{ t , t 0 ; 0 = 0}
. t [ 0 , t ]
, , t , { u : u > 0, 0 u t }
. t t
. . :
P { t t < x } = F1 2 ( x ) = 2 1 arcsin x ,
0 x 1 , t > 0.
( , [2] ):
31
1 , ... , n , ...
,
S k = 1 + ... + k , 1 k n , S0 = 0 ;
vn = min { k : S k = max S m } ,
0mn
. .- . .,
. .- ( ,
). . . .
. .
K n 0 , 1, ... , n S k > 0 k ( ,
).
lim
, ,
0 < < 1 F ( x ) ,
F1 ( x ) = E ( x )
F0 ( x ) = E ( x 1);
x0
E ( x ) = 0 , x > 0 E ( x ) = 1 .
. . . t S t
< t St +1
, 0 <
<1
, St
= t St
P {1 0} = 1,
, ( 0 , 1) -
:
p( x) =
x (1 x ) 1 , 0 < < 1;
= 1 2 . .- . .- . . .- (1 ) -,
(1 )
lim L( xy ) L( x ) = 1
.
. . ( , [3] ).
.: [1] .,
, . ., . 2, ., 1984; [2] .,
, . ., ., 1969; [3] . ., . ., 1971, . 16, 4,
. 593613.
; arcsine distribution
1
x ( 1 x )
x ( 0 , 1) ,
x ( 0 , 1)
2 arcsin x ,
F (x) =
1,
1
- .
.: [1] ., , . ., . 2, ., 1984.
32
, ,
p( x) =
0,
sin
x ( 0 , 1] ,
x >1
; arctangent law f o r r a n d o m m a t r i c e s ,
.
; Aronszajn
Kolmogorov theorem
:
f
, , , ( ) H
{ a , } , s , t
f ( s , t ) = ( a s , at ) . f -
,
.
; ARMA
process , ,
.
; increasing random process
= ( t ) t 0 , 0 = 0
:
1)
, s t s
t ;
P ( A ) P ( B ) . P ( B ) > 0 A B
2) At
= ( At ) t 0 ;
3) t > 0 P t <
lim t = .
P( A| B) =
< , . . .
, M n < n 1
( n , n 1)
lim n = P
P ( A I B ) = P ( A) P ( B )
, A B
. P ( B ) > 0 (1)
M = M
= ( t , t 0 )
H ( s ) d
= H ( , s )
.
. . .- .
.: [1] ., ,
. ., ., 1975; [2] . ., . .,
, ., 1986; [3] ., . .,
, . ., .,
1994.
; increasing
point , .
( ) ; dependent events ( , F , P )
A A , B A
P ( A I B ) P ( A) P ( B )
.
, .
; independence ,
. . .
, , , , , .- .
( , F , P )
, F
(2)
.
:
1) AF , A ;
2) P ( S ) = 0 , AF , S A
, A B1 \ B2 ;
;
3) A Bi , i = 1, 2 B1 B2
= M H ( s ) d s
(1)
P ( A | B ) = P( A )
P( AI B)
P( B )
, P ( A I B ) , A B -
, .
. . . - -
F -
P
. ,
. .-
.
A B . .
. A B ( A , B F ),
4) A B , A B , A B
.
n ( n > 2 ) A1 , ... , An . .-
. ., 2 m n m - k1 , k 2 , ..., k m n
Ak1 , ..., Akm
,
(3)
, ( ).
A1 , A2 , ... , An . .- (
. .- )
. .- , i j ,
Ai A j , i = 1, n . -
, , , .
. . . . .
, ; , ,
,
( , [1], . 24 ).
. . . ( , A , P )
, A , , P , A -
.
. .- ( A
B ).
A1 B1 , ... , An Bn (3)
33
( ) ,
B1 , B2 , ... , Bn .
T , n 2
- t1 , ... , t n T
. . .-
. .,
X 1 , ..., X n ,
( t T )
. 1 k
Ak . .-
Bk = { , Ak , Ak , }
. .- .
. .- ( , [1] ).
X 1 + ... + X n
n
X =
(4)
X t , t T . . B ( X t ) -
1
n
. .- , B ( X t )
(X
X )2
(5)
j =1
X t .
( X k - -
A1 , ... , An . .- -
) . : (3) (4)
. .- X k -
I Ak - . . ,
1,
I Ak ( ) =
0,
Ak ,
Ak
. . .
X 1 , ... , X n . .-
.
1) a1 , ... , an
( a1 , ..., a n )
Y1 =
aj X j
j =1
Y2 =
Xj
j =1
a j b j
, X j ( , .,
).
. .
.
2) .
1 2 , - .
m [ 0 , 1]
, F1 ( x ) , F2 ( x) , ... -
u1 , u 2 , ..., u n -
[ 0 , 1] - , m -
X k ( )
f X k ( uk ) = M e i uk X k .
m{ : 0 1, X k ( ) < x } = Fk ( x )
. .- :
( , .,
, , ),
( , ., ,
) . , .
.
1)
. X 1 , ..., X n
.
[ 0 , 1] -
34
. .-
1 -
3)
.
Y0 , Y1 , Y2 , ..., Yn , ... h ( x , y ) ( ) .
X 1 = h ( Y0 , Y1 ), X 2 = h ( X 1 , Y2 ) , ..., X n = h ( X n1 , Yn ) , ...
. , .,
.
.
4) .
, , ,
X 1 , X 2 , ..., X n , ... -
( m ,
X k X l , k l > m
).
. . .
5) . p 2 q 2 ,
. N 1 - N - ( 1 N ). Ap ( Aq )
p - ( q - )
.
1 N
1 N
P ( Ap ) =
, P ( Aq ) =
,
N p
N q
P ( Ap I Aq ) =
1 N
.
N pq
N Ap Aq
. , N
S = SN
A2 , A3 , ... , A ps ( p j , j - )
, . , . .
.
6) . . .- .
.: [1] . ., , 4 .,
., 1924; [2] . .,
, 2 ., ., 1974; [3] . ., , .: , , ., 1956; [4] ., ,
, . ., ., 1963; [5] ., , ., . 12, ., 1984;
[6] . ., ,
2 ., , 1962.
,
; property independence of class events ,
.
; test of independence . p n q ; p1 , ..., p q .
q
,
11 12 ... 1q
21 22 ... 2 q
...
q1 q 2 ... qq
, , j k
jk = 0 .
lH =
n2
jj
n2
j =1
jk
lHn 2 =
jj
j =1
, l , jj
p
M (lr ) =
j =1
kk - ,
r
n j
+ n
2
2
j =1
n j
pk
k =1
j =1
nj
pk
k =1
j =1
, 2 ln l
r
nj
+ n
2
2
f =
1
p ( p +1 )
2
p
i =1
( p j + 1) .
= 1
2 p3
p 3j 9 p 2
6n p 2
p 2j
j
p 2j
. j - p j
= 1 -
, p
35
f = p ( p 1) / 2 . = 1
( 2 p + 11 ) / 6n .
- ,
n 2 -
, ,
n 2 -
.
.: [1] ., ., , . ., ., 1976.
]
( )
( ) ; independent ( statistically independent ) events ( , F , P ) ,
A F , B F
P ( A I B ) = P ( A) P (B )
(*)
; P
, P
( , [2] ).
P ( A ) > 0 P ( B | A) = P ( B ) , , A
B
P (AI B)
,
P ( A)
P ( A I B ) = P ( B ) P ( A ) . , P ( B ) > 0
P ( A | B ) = P ( A ) , P ( A I B ) = P ( A ) P ( B )
.
1 . A B ,
A B , A B , A B
( , [1] ).
2 . B1 B2
A , A B1 U B2 . .
.- ( , [1] ).
A1 , A2 , ... , An ( Ai F , i = 1, n )
. . .-, Ai - . . . .
3.
Ai ( i = 1, n ) -
P ( Ai I A j ) = P ( Ai ) P ( A j ), i j ; i , j = 1, n
2
( Cn ) .
r =1
2k n
Bir =
P (B
ir
.
S k ( k , Ak , Pk ) .
P ( A1 I A2 I ... I An ) =
k -
, B1 , B2 ,..., Bn . . .
36
; independent
algebras of events , .
,
P
P ;
independent algebras of events relatively to
probability P , .
; independent
algebras of events , .
; independent classes
of events , .
; t o t a l l y independent classes of
events , .
( )
; independent thinning o f a p o i n t
p r o c e s s , .
; independent trials
, P P ; independent events
relatively to probability P ,
.
Ai Ai , i = 1, ..., n ,
r =1
;
totally independent random events ,
. . .- ( , A , P ) ( k , Ak , Pk )
B1 , B2 , ... , Bn ( Bi F )
.: [1] . ., . ., . ., ,
., 1979; [2] . ., . ., 1980.
P ( B | A )
i j , i , j = 1 , n Bi , B j - . . .-.
.
. . .-,
P ( Ai )
i =1
.
. . .-
, ,
:
.
.: [1] . .,
, ., 1982.
= 1, 2 , ... , T
) ( t )
m = M ( t )
m ,
*
m T - , t
m) =
2
m2 T
= (2 T )
2
( T ) b ( ) d
0
M ( m*T m ) 2 = m2 T = ( 2 T 2 )
T 1
( T ) b ( ) b ( 0 ) T
=0
= M [ ( t + ) m ] [ (t ) m ] ,
b ( ) =
(t ) -
[ , b ( 0 ) , (t ) ]. N 1 , ..., N m
m N*
=N
= M
N -
N ef = b ( 0 ) m2 T . ., t
t ) ( t )
T1 = ( 1 b ( 0 ) )
b ( ) d
0
, T
>> T1 N ef
T 2 T1
m 2 = M ( t )
2
2 = M [ ( t )
M ( t )]2 m k = M k ( t ) , . . . . .
T
(t )
. ( t )
b ( ) = C e
, .
( )
-
( ) .
F
. f F - ,
.
( ) =
f ( x ; ) P (dx) N
[ f (1 ; ) + ...
+ f ( N ; )] * ( )
- ), . . . . .,
( )
; independent shift o f a p o i n t p r o c e s s
i =1
; independent
random events , .
; pairwise independent random events ,
; dependent trials
M ( m*T
,
; independent spectral types of measures , ,
cos ,
m , m 2 , (1) , ... , ( t ) ,
2
. . . . . T - [1]-
.
.: [1] B a y l e y G. V., H a m m e r s l e y J. M., J. Roy. Statist. Soc. Suppl., 1946, v. 8, 2, p. 18497.
= 1 ,..., k P ( dx )
i .
* ( ) ( ) - C - , C (n) . P = P ( dx ; )
.
.: [1] . .,
, 2 ., ., 1975; [2] . ., .:
, ., 1964, . 563; [3] . .,
. ., . VI . . .
. , , 1962, . 42537.
*
; dependence
, ,
. -
, -
-
; - .
.
37
.
( , , ):
cov ( ; ) = M (( M ) ( M )),
( ; ) = cov ( ; )
D D .
(1)
(2)
,
( , )
= a + b ( a
b , a 0 ) ,
3 -
, = D
, , .
. .,
As = 0 .
, : As > 0 ; 2
As < 0 . M 0
, ,
.
: , . .
, , . . .
+ 1, a > 0 ,
( ; ) =
1, a < 0
( , [2], ., 249 ).
.
( ) . ( , ) > 0 , ,
( , ) < 0
, ( , ).
( 1906-
) .
-
( , [1] ).
( , F , P ) , {Fn }
, F0 F1 ... Fn .
n m B k Fk , Fn
,
. . .
n = 10, p = 1 5 ( ) n = 10, p = 4 5
( )
As =
1 2 p
n p ( 1 p)
( k ; r ; p )
n+ m B n+ m | Fn } = P {1 B1 , ..., n1 B n1 / Fn }
(3)
, Fn P
, . (3)
.
.
.: [1] ., , . ., ., 1962;
[2] . ., , ., , 1980; [3] . ., , ., 1969.
; interaction radius ,
.
;
asymmetric channel , .
; coefficient of skewness
b)
2 1
As = 3 ; 3 = 2 ;
a)
As =
2 p
r (1 p )
.
. . .
. . ,
.
. . , .
.
, .
. . ,
, .
As =
1
ns 3
(x x)
i
i =1
3
As = 3
38
,
x1 , ... , xn
, x
.
s -
L ( n ) L ( n ) ,
;
z.
L ( n ) L
L ( n ) L
z.
L ( n ) L ( n )
;
z.
z.
L ( n )
L
L.
Fn F .
.
, , L ( n )
tam.
~ L (n )
n =
nk
= n* =
k= 1
*
nk
k=1
, nk -
*
nk nk
*
L ( nk )
*
= L ( nk ) .
n = 0 P ( k ; n , p ) -
: ) p = 1 / 5, , ) p = 4 / 5
.
, ; skewness of a distribution
. .
.
.
( , [1] ).
( ) , . . ( ).
. . ( ) ,
( ).
.: [1] ., , .
., 2 ., ., 1975.
*
nk
k =1
L ( n ) - . ,
; n L ( n ) L ( n ) . ,
.
n L ( n ) L ( n )
(
) ,
L ( n* )
tam.
L ( n ) ~ L ( n* )
L ( n )
nk
. , [1], . VIII,
28.1, 28.2.
.: [1] ., , ., 1962.
*
; asymptotically independent
random variables , .
*
; asymptotic expansion .
F ( x ) ( , ) -
, c1
>0
lim x { 1 F ( x ) + F ( x )} = c1
; asymptotic independence
.
nk
. - p
( 0 < p < ) .
f ( x ; , ) .
0 <
<1
x > 0 ,
f ( x; , ) =
1
x
( 1 )
k =1
k +1
sin
( + 1)
2
( k + 1) k
x .
k!
(1)
> 1 (1)- .
1 < < 2 , x > 0 ,
39
f ( x; , ) =
k
cos
2
(1)
( )
;
asymptotic expansion o f a d i s t r i b u t i o n
( ( k + 1) / ) k
x
k!
k =0
1 2
1 + 1 +
.
k
(2)
G( ) =
< 1 (2)- .
= 1, x > 0 , N
f (x +
1
x
ln x , 1, ) =
k =0
0 , 0 , ( ), a j , - ,
t i + i
ln t d t .
. k - M n
= a,
r 3 -
g ( z) < 1
lim
g ( z ),
P { n < x} = G ( x )
; n
n
1
i n a -
Fn ( x ) x -
i =1
r 2
Fn ( x ) = ( x ) +
Qm ( x)
nm
m =1
+ o(n
( r 2 ) / 2
1
2
l =1
1
kl !
ex
l , 1 l -
n .
, M X 1
= 0 , M X 12 = 2 > 0 , M X 1
<
k 3 k
|t|
, n
z2 2
= (x ) +
dz ,
< x =
i =1
j 2
Q j ( x ) + o ( n ( k 2 2 ) )
j= 1
x R .
Q j ( x) =
l
,
.
.: [1]
, . 2, ., 1985; [2] .,
, . ., . 2, ., 1984.
40
. . . ( [2] ). .
( [3] ). .
.
( [4] ). [5] [7]- .
., : { X n }
m+ 2 s 1 ( x )
l +2
( l + 2 )! l + 2
1887- . . Fn ( x ) ( x )
1
P
n
( 0 , 1)
Qm (x ) =
, ( x)
k 2
, ( x)
.
Fn ( x ) , n -
.
{ k , k 1} ,
{ j ( )}, 0
j +1 ( ) = o ( j ( ) )
t k
D n =
j ( ) + o( k ( ) )
. G ( )
, k
bk = Im
a
j =0
bk k
x + O ( x N 2 ) ,
k!
P ( ) 0
1
2
ex
P3 j 1 ( x ) ,
P3 j1 ( x) , x - ( 3 j 1)
X 1 ( j + 2 ) -
. Q j ( x)
.
( )
,
,
.
.: [1] . ., . . ., . 2, . ., 1947;
[2] E d g e w o r t h F. V., Trans. Comb. Philos. Soc., 1905, v. 20,
p. 3665; [3] C r a m e r H., Scand. Aktuarietidscrift, 1928, v. 11,
p. 1374, 14180; [4] E s s e e n C.-G., Acta math., 1945, t. 77,
p. 125; [5] . ., ., . .,
, . ., . 1972; [6]
, ., 1972; [7] H l l P., Rates of
convergence in the central limit theorem, Boston, 1982.
( )
; asymptotic expansion o f t h e r i s k o f a n
e s t i m a t o r
( ,
) . .,
. . n
f ( x , )
H 1 : 1 H 0 : 0
, 0 1 , -
. n -
H 0 H1 , , .
{ n } ,
n ( X n | n ) X n
n { n ( X n )}
,
lim sup M n , n ( X n ) M n, n ( X n | n ) = 0
, { n ( X n )}
, .
. . .- .
., (*) ,
lim
M | |2 = n 1 g1 + n 3 2 g 2 + ... + n k 2 g k 1 + O ( n ( k +1) 2 )
(*)
r n ( n ) r n ( n ( | n ) ) = 0
, r n ( n ) , n
, g i . . -
n . , ., [1]-
.
.: [1] . ., .,
1976, . 21, . 1, . 1633; [2] . ., . .
. . 1981, . 45, 3, . 50939.
.
. . .- , { n }
( ) ;
asymptotic expansion o f e s t i m a t o r s ,
( ,
) .
., n
f ( x , )
. .
i = n 1 2 h1 + ... + n k 2 hk + n
, hi , n
n
. . .-, ,
.
.: [1] . ., . ., .
, 1963, . 149, 3, . 51820; [2] . .,
. ., 1973, . 18, 2, . 30311;
[3] . ., . ., 1977, . 104, 2, . 179
206.
; asymptotically Bayes
test
,
.
:
Pn, , n X n
. . . . . .
(
. . .- ). . . .-
, .
.: [1] . ., , .,
1984; [2] L i n d l e y D., Proc. 4-th Berkeley symp. math. statist.
probab., v. 1, Berk., 1961, p. 45368.
*
, n
I (n) ( )
( ( n)
( n)
, D ( ) ,
. n
I ( n )1 ( ) D ( n ) ( ) 1
( (n)
,
.
.
f ( x,a, ) =
1
2
( xa )2
2 2
41
a .
n
, f ( x , a , )
k a
.
n
D () =
1 , ... , n .
(k a ) = D
k =1
M
( k a )
k =1
k =1
a ) = n D ( k a ) = n ,
(k a )2 n = D
k =1
( k a ) =
k =1
= n D [k a ] = 2 n ,
2
, :
2
n
ln
M
= ,
ln
M
ln ln
= 0,
a
n
=
2
2
I ( ) =
k ,
k =1
s2 =
)2
k =1
. s 2 . ,
M ( s 2 ) ( ) =
=
=
n
1
M
( k a ) 2 n ( a ) 2
n 1
k =1
1
M
n 1
(
k =1
( a) =
a ) 2 ( a ) n M ( a ) 3 = 0 ,
42
a - s 2 . . . . .-.
.: [1] . ., . ., . ., , .,
1979.
,
; asymptotic
mergence of states o f a M a r k o v c h a i n ,
;
; asymptotic stability i n p r o b a b i l i t y
, ( ),
.
0
0.
n
22
1
n 1
. ,
; asymptotically efficient estimator
a
n
n2
0
; asymptotic deficiency , ( ) -
( , [1] ). ,
1
n
I ( ) D ( ) =
0
( k a )2 n =
k =1
( k a ) ( j a ) 2 = 0,
k, j =1
= M
0
0
2 2
n 1
.
, , , . . . .
.
, ,
.
. . . .-.
.: [1] . ., , . ., ., 1968; [2] . .,
. ., ,
., 1979; [2] . ., , .,
1984.
( )
asymptotic efficiency o f a t e s t
;
.
30 40- , ,
.
. .- .
, P
H 1 :
H 0 : = 0 . ,
- N 1
,
N 2 .
e12
= N 2 N1
. e12
, ,
, ,
, .
.
- , lim e12 ( , , ) (
0
) ; -
, lim e12 ( , , ) ( )
0
1 , lim e12 ( , , ) (
1
)
.
.
.,
,
.
., , 1
; H 1 :
>0
H 0 : = 0 . X
t - . t
X - .
,
. , X - t -
> 0
1 - .
-
1
0
. , , 0
,
- .
e12
.
.: [1] ., .,
, . ., ., 1973; [2] B a h a d u r R.,
Ann. Math. Statist., 1967, v. 38, 2, p. 30324; [3] H o d g e s J.,
L e h m a n n E., Ann. Math. Statist., 1956, v. 27, 2, p. 32435;
[4] . ., , ., 1995; [5] L a i L., Ann.
Statist., 1978, v. 6, 5, p. 102747; [6] B e r k R., B r o w n L.,
Ann. Statist., 1978, v. 6, 3, p. 56781; [7] K a l l e n b e r g W.,
Ann. Statist., 1982, v. 10, 2, p. 58394; [8] W i e a n d H.,
Ann. Statist., 1976, v. 4, 5, p. 110311; [9] K a l l e n b e r g W.,
Ann. Statist., 1983, v. 11, 1, p. 17082; [10] G r o e n e b o o m P., O o s t e r h o f f J., Int. Statist. Rev., 1981, v. 49, 2,
p. 12741.
,
; R a o asymptotic
efficiency of estimators , . .
, 20- 60-
. . .
,
.
.
.: [1] R a o C. R., J. Roy. Statist. Soc., 1962, v. B 24, 1,
p. 4672; [2] . .,
, . ., ., 1968; [3] . .,
. ., ,
., 1979.
, ;
W o l f o w i t z asymptotic efficiency of estimators
, . [1]
.
,
. { n }
b
>0
b -
lim P { n ( bn 1 2 , + bn 1 2 )}
, { n }
.
.
43
.: [1] W o l f w i t z
J., . .,
1965, . 10, 2, . 26781; [2] W e i s s L., W o l f o w i t z J.,
Maximum probability estimators and related topics, [ B. N. Y. ], 1974;
[3] . ., . ., , ., 1979.
> 0
= 1, n )
, ).
; asymptotic neglectability ,
.
H 1 : 1
= \ 0
H 0 : 0 . K
1 1 . . . .
,
.
{ n }
; asymptotic
estimation theory ,
,
. .
1. . . .- n
X (n ) = ( X 1 ,..., X n )
(1)
. . . .-
( n ) .
, , . . .
( ,
),
.
(1) P
T = T (P ) - (1)
Tn ( X 1 , ..., X n ) ;
, . . ., , Tn ( X 1 , ..., X n )
n . ,
Tn T
1. (1)
= ( P ) = M X 1
a =
(
1
n
j =1
PP { | ( P ) a | > } 0 ),
n ( a2
2 ) 1/ 2 ( a )
, { n } K K
1 1
.
K
( { n } K )
lim sup M n, 1 ( n n ) 0
; asymptotically most powerful
unbiased test
S n , ( ,
n -
. { n } K
lim sup M n, n
n 0
.
2. f ( x ) (1) p - p . p - z p .
( p (1 p ) )
1 / 2
n f ( p )
( z p p )
.
3. F ( x ) = P {X 1 < x } , Fn ( x )
-
.
. . . . . , n -
(1) .
Fn ( ) C ( , ) - F ( )
44
C ( , ) -
n ( Fn ( x ) F ( x ))
w ( x) M w ( x )
. . .
(n )
. X
X . X {X , A }
X - P ,
{P , }
T - ( ) - P -
= F ( x) ( 1 F ( x)) .
2.
). T -
.
( ) X
. T ( X ) .
T
-
. , > 0
0 T
; , ,
{ } .
.
6. (1) .
1 3 d , p , F
. 3-
. F , X j
g ( F ) - ,
g ( Fn )
.
7. 5- X ,
t
, X (t )
S ( u ) d u .
0
8. X T m
X (t ) , 0 t T
T
. X T
= T 1 X ( t ) d t , m
0
( ), . . . Pu
, 0 , .
4. 1 3 X
.
5. X , k
, R
(2)
,
k .
( ) 0 .
, ,
: X = X (t )
d X (t ) = S (t ) d t + dw (t ) ,
0 t 1
( X (t + ) X
)( X (t )
= X n , = n 1
X = +
, T ; T
X T ) d t R ( ) , > 0
.
. . .-
, ,
.
; P , ,
(3)
, S
, S L2 ( 0 , 1) , w .
,
, . . . .,
, .
. . .
.
. . .- .
3. (
- ) ( )
{ P , } X . . . .- ( )
T , 0 ,
, ( ) (
P ( u ) =
d Pu
( X ),
d
R k , ,
.
9.
X T = ( X 1 , ... , X T ) X j -
1-
X j = X j 1 + j
, i , ( 0 , )
2
,
( 1, 1) .
T , T ,
j X j 1
j=2
X
j =1
2
j
45
10. , (2) X
X . (3) S = S ( t ; )
,
R .
1
S (t ; ) d X (t )
2
, .,
S ( t ; ) = S ( t ) , R ,
S ( t ) dt
S ( t ) dX
( t ) = + o (1) .
T - T
. , . . .- 0
P { | T T |
> }
. M | T T | ,
M exp{ b | T T | }
0 1
.
n
= D n = n 1 (1 ) ( 4n ) 1; -
P { | n | > }
2 exp{ 2n 2 } .
,
T T -
.
a ( ) ( T T ) T
R . , { f ( x ; )}
{ f ( ; )}
I ( )
f f d
i j f
n ( n ) -
,
I
( )
n ( n )
p
n
ln ( u ) =
ln f ( X
; u)
, . ,
n ( n ) = I 1 ( ) n 1/ 2
d
ln f ( X j ; ) + o (1)
d
.
12. R
, f ( x ; ) = f ( x ) .
I ( ) = I =
( , , . ). , (1) .
j =1
. X {X , A , P , }
46
f ( x ; )
. a ( ) ( T T )
j =1
1 10 .
4. T T -
T T
.
.
(1) , X j -
N ( , I 1 ( ) ) , p > 0 .
j =1
M n
,
.
, T ( X )
.
11. (1) X j 1
n = n 1
( z p , z q , ... ), ( Fn ) -
{X , A }
, T - T
1 3 , ( a , a , ... ),
a ,..., z p p
S (t ; ) d t = 0
( 1 ),
( 2 ), ( 3 )
, T T .
f ( x )
f 1 ( x ) d x
n ( n ) ,
( 0 , I 1 ) . I , n , , ,
n - . ., f ( x ) = ( ( )) 1
x 1e x , x > 0
n
1/
>2
<
( n ) ( 0 , I ) 1
. 1
1/
< 2
( n )
.
13. X j
,
= 1 .
n
= n 1
X
j =1
l 0
lim lim
sup M u l ( n ( Tn u ) ) M l ( )
0 n | u | <
n ( n ) ( 0 , 3 )
( , . 4 )
.
., (1) , . 4-
( ). Tn -
, n -
.
f ( x ; )
.
. T T
N ( 0 , I ( )) ; ( , . 4 ), nn
1
lim M l ( n ( n ))
n
f ( , )
= M l ( ) -
n ( n )
.
. ,
:
.
.
.
. X j
: M l ( n ( n ) )
.
5.
, , . .,
( R ) T -
[ 0 , ) -
M l (T ; ) . T -
( 12, d
, , M l ( T ; )
-
,
( T
-
).
l - - , 0
T - - .
,
l ( T ; ) = l ( ( ) | T | ) ,
( ) .
0 0
sup M u l ( ( ) ( T u ) )
| u |<
~
sup M u l ( ( )( u ) ) = 0
| u |
~
, ,
( )
. ,
,
.
= 0 ) *n = min X j + n
l - ; ,
l
l(s +u) e
d u .
,
( , ) ,
M l ( n ( n ) )
.
( 2- ).
6. ,
. ,
, : , ,
.
14. (1) ,
P { X 1 x } = F ( x ) . F
, X
= n 1
j =1
47
; F , X
. z
n ( X )
F -
2
n (z
1/ 2
= 1 , M
1/ 2
n (z
1/ 2
= (1 + o (1 ) ) 2
( 2 ).
14- ,
, (
), , M . , ., Tn - ,
.
7. . . .- , n - . -
n ( n )
. , ., M
,
. k ,
. , n
k . k = k ( n ) ,
., k ( n ) n 0 k (n) / n 1 , . . .-
.
, . . , ,
.
.
, ,
l : , diam l 1 ( ) ( ) 0
,
. -
. ,
: .
15. (1) R - X j
f (x ) -
;
f ,
H ( b ( x y ) ) f ( y ) dy
a = a ( n ), b = b ( n ), H .
H ( b ( x y )) dFn ( y ) (
) .
.: [1] . ., , .,
1984; [2] . ., . ., , ., 1979; [3] .,
., , . .,
., 1973; [4] ., .,
48
; asymptotically
unbiased test
. X n ,
n
. X n H 1 : 1
= \ 0
H 1 : 0 n
.
, { n } . . . .
.
.: [1] ., .
, . ., ., 1975; [2] . ., , ., 1984.
; asymptotically unbiased estimator
;
, . {Tn }, bn ( )
= M Tn , n = 1, 2 ,...,
Tn -
n bn ( ) 0 ,
{Tn },
.
.
. X = ( X 1 ,..., X n ) a = M X i ,
2 = D X i .
n - a
, . ., ., 1976;
[5] ., , . .,
2 ., ., 1975; [6] . .,
, ., 1972; [7] G r e n a n d e r U.,
Abstract inference, N. Y. [a. o.], 1981; [8] L e C a m L., Asymptotic
Methods in Statistical Decision Theory, N. Y. [a. o.], 1986; [9] L e h m a n n E., Theory of Point Estimation, N. Y. [a. o.], 1983.
sn2 =
1
n
(x X
i
i =1
n)
Xn =
1
n
i =1
{ s n } 2 . .
2
. . , , 2 X
n -
bn ( 2 ) = M sn2 2 = 2 n 0
.
., .: [1]
, . ., 2 ., ., 1975; [2] . .,
. ., , .,
1989.
( ) ; asymptotic admissibility o f s t a t i s t i c a l t e s t , ( )
.: [1] . ., , .,
1984; [2] . ., . .,
, ., 1979; [3] W a l d A.,
.: Proc. 2-th Berkeley symp. math. statist. probab., Berk., 1951,
p. 111.
; asymptotically uniformly most
powerful test
; asymptotically
minimax tst
,
. X n ,
n
. n -
. . . . . .
lim sup M n, 1 ( n n ) 0
: X n
H 1 : 1 H 0 : 0
( , , n -
). n ( X n ) , X n n -
. n n
lim sup M n , n ( X n ) M n , n ( X n )
n
1
=0
, { n ( X n )}
, . (*)
lim
(*)
inf M n , n ( X n ) sup
inf M n , n ( X n ) = 0
{ n } K 1
;
asymptotically uniform distribution
. U = ( 1 , 2 , ... )
S k = 1 + ... + k . h
lim P { Sn = j mod h } = 1 h ,
. . . ,
j = 0 , 1, ... , h 1
. . . .
.: [1] . ., , .,
1984; [2] . ., . ., .: , ., 1982, . 7990.
; asymptotically minimax estimator -
, U
.
R1
A , U ,
min { P (
( , [1] ). S n . . .-
n f n ( 2 r h ) 0 -
( ,
[2], [3] ).
n ,
Lah ) : 0 a h 1} =
h ,
r = 0 , 1, ... , h 1 ( , [4] ). S n . . .-
, . . .
. U A
Lah = { m : m = a + kh }
, . n , n
,
11
.
. , ., .
.: [1] . ., . .,
, 3 ., ., 1987; [2] . ., .
, 1954, . 98, 4, . 53538; [3] . ., , ., 1987;
[4] D v o r e t z k y A., W o l f o w i t z J., Duke Math. J., 1951,
v. 18, p. 50107.
49
; B a h a d u r asymptotic
relative efficiency , ( )
. n
P { X n < x } = Fn ( x ) ( x )
( x)
; H o d g e s
L e h m a n n asymptotic relative efficiency ,
, u n ( x ) Fn ( x ) -
( )
; P i t m n asymptotic relative efficiency , ( ) -
n S n
P { S n*
n x - ( < x < )
{ S n* }
S n*
< x } -
Fn ( x ) = ( x ) + ( x )
Sn a n
) . { S n } :
> 0 n
M ( (
ak ) ; k ak > Bn ) 0 ,
2
k=1
M k = ak ,
D k = k2 ,
Bn2 =
2
k
~
Sn =
k =1
Sn
a
k =1
Bn
( x ) = ( x) ,
y ( x) = 1[ Fn ( x ) ] = x +
Q ( x)n
k
k 2
+ O ( n ( r +1) 2 )
k =1
( [1]
[2]- ).
un ( x ) = x +
Q ( x) n
k
k 2
+ O ( n ( r +1) 2 )
k =1
. . . .- .
.: [1] . ., . .,
1959, . 4, 2, . 13649; [2] W a z o w W., Proceeding of symposia in applied mathematics, 1956, v. 6, p. 25159.
; asymptotically normal estimator ,
.
X 1 , ..., X n
.,
M X i4 <
X =
1
n
M Xi = ,
2
s
i =1
1
n
DX i = 2 ,
.
(X
X ) 2
i =1
. . . .-.
, {
n ( X ),
. ., , .,
50
Pk ( x ) , x - ,
n ( s 2 2 ) }
.: [1]
1972.
+ O ( n ( r +1) 2 )
P { un ( X n ) < x } = ( x ) + O ( n ( r +1) 2 )
.
{ n } , (
1
Ln ( ) = 2
Bn
1 2
. S n
, n
( x ), ( 0 , 1) *
P (x ) n
k =1
S n = 1 + ... + n .
S n* =
( x ) -
u n ( X n ) - X n -
3
, k
3
4 22
= M ( X i ) k .
.: [1] . ., , .,
1984; [2] . ., . ., , ., 1979.
; asymptotic
Pearson transformation , . . . .
. t
P { X < x } = F ( x , t ) ( x)
; ( x ) . X
F ( x , t ) :
F ( x, t ) = ( x) + ( x)
P ( x) t
k
+ O(t
),
= ( x ), Pk ( x ) .
, :
y ( x ) = 1 [ F ( x , t ) ] = y r ( x ) + O ( t r +1 ),
yr ( x ) = x +
k ( x)
tk .
k =1
, ur ( x )
= y r ( x ) + O ( t r +1 ) , t 0
P { ur ( X ) < x } = ( x ) + O ( t r +1 ) .
., X ( p , q ) , t
= 1 q 0 , p = const -
F ( x, t ) = I ( x, p ) + O (t )
, I ( x , p ) , p .
u1 ( x ) = x [ 1 s ( x + p 1)] ,
s = t [ 2 + t ( p 1)]
, s 0
.: [1]
. ., . ., 1963, . 8, 2, . 12955; [2] . .,
. ., ,
3 ., ., 1983.
;
asymptotic design ,
.
( ) ; asymptotic
density o f a s e t , .
; asynchronous channel of multiple access ,
.
; asynchronous channel , .
; assosiated
spectrum of a process ,
.
( ),
; lower value of a game , ,
.
; lower
r +1
k =1
( x )
P { u1 ( X ) < x } = I ( x , p ) + O ( s 2 ) .
quartiler
p =
1
. ,
4
( ) ; lower limit o f
sequence
of
random
e v e n t s
A1 , A2 ,... , , (
) ; An ,
n = 1, 2 , ... ,
.
A* { An }
lim An . A*
n
A* = lim An =
n
UIA
n =1 m = n
. , ,
, { An }
( )
.
51
; positive outlier
, , .
A* = lim An =
n
An
( )
; lower boundary o f s e q u e n c e o f r a n d o m e v e n t s ,
, .
; length of outlier
, ,
n =1
.
.: [1] . ., . ., . ., , .,
1979.
( ) / ( )
; outlier
; changepoint
problem ( ). ,
( ). ,
= ( t ), t 0 -
,
;
excursion of a random process and field
( )
.
(t ), t = ( t1 , ..., t N ) R N
( N = 1 , N 2 ) u ( t )
+
Au ( )
= { t R N : ( t ) u }
. . . .
. .- , , .- ( , [1] [3] ).
{ ( t ), t (0 , T )} T
.
(1) , t < ,
t = t( 2)
t , t ,
( ) ,
( 2)
(1)
[ ( At ) t 0
At = ( s , s t ) ] , = P { < }
.,
R ( ) =
= M ( | 0 ) t - , .
a { : P {
*
R ( * ) = inf R ( )
< } a }
( , [1] ), { : P ( < ) a }
.
, t , t
T ( T
> T ), .
. ,
( , [2] ).
.: [1] . .,
, 2 ., ., 1976; [2] . ., . ., . ., . . - ,
1988, . 182, 5, . 423.
52
.
T H
t m ( ) H m .
(t ) C
c (t ) ( )
, , 0
( C 0 ).
(t ) C
,
, . , ( 0 , T ) (t ) C ( ) n - ( );
, ,
.
( )
.
, H C T
, n , 0
H m
.
n , , , 0 , H , H m
-
. ., n , H
.
n
( ) , (t )
( ) ,
( , [9] ). ( , [10] ) ( N + 1)
.
( ) H
.
n , H H m
( , [4] ) .
. ,
H m -
( , [5], [6] ).
{ ( t ), t R N } -
u ~
Pu
N = 1 { ( t ), t R1}
u
H u , S u Vu
( M (t )
= 0 );
, .
B(s) =
~
Pu u
M ( t ) ( t + s ), s , t R N
. u
, | t | < H 0 , H 0 > 0
M ( 0 ) = 0 ,
u -
B ( t ) B ( 0 ) < A
ln | t |
1+
, A
> 0, > 0
. H u , Vu , S u ,
(t ) u , ( N + 1)
(t ) u ( ) g (t ) = u ,
( N + 1) N .
i (t ) = ( t ) ti ,
1 i, j N
(1)
t , ..., t
(k )
i = 1,..., N ,
k = 1, 2 ,...
ij (t ) = ( t ) ti t j ,
2
i = 1, ... , N , ij ( t ( s ) ) , 1 i j N
( , [11] ).
( t ) , (t ) ;
Y (t ) = ( ( t ) , ( t ) )
y12 + y 22 < u 2 ( t ) ( , ; )
(t ) ,
i ( t (s ) ) ,
,
( , [11] ).
D R N (t ), t R N
( t (s ) ),
.
B (t ) | t | < H 0 , H 0 > 0
;
+
Au ( ) I D
4B (t )
t1n1 ...
t NnN
N
4B (0)
<
ln | t |
1+
, A
> 0, > 0,
= D , D . ( t )
, N
ni = 4 , ni = 0 , 1, ... , 4 ,
i = 1, ... , N
. ( , [8] )
~
~
lim Pu {u H u > } = lim Pu { u 2 Su2 N > } =
= lim Pu { u 22 ( N +2 ) Vu2
( N +2 )
> } = e
B ( 0)
= 2 , N u+ ( D )
( , [12] ).
,
i =1
0.
(t ), t R N
+
Au ( ) I I 0 ( I 0
= [ 0 , 1]n ) -
( , [3] ).
N = 2 u
2
N + (D) , D = D U ,
N +2
= ( 2B ( 0 ) )
(1)
( z )
( N / 2 + 2 ) det , > 0 ,
2
(1)
= ( M i (0) j (0) )1 i ,
~
jN
, Pu , (t )
. , [ 0 , T ] ,
T
( , [13] ).
Au+ ( ) .
53
Au ( )
= { t : ( t ) = u }
. ( , [3] ).
( , [14] ) ; u
(
A ) ,
.
( , [15] ),
u A
u (
F - . ( , F , P ) , F ( x )
. > 0
F ( x + ) F ( x ) > 0 , x F (x) -
.
.
.
a1 , a 2 ,... ( ) p1 , p 2 ,...,
, p
, Fa ( x )
1
pa
pk ; ak -
kx
, I 0 , A -
( , x ] . Fa ( x ) -
) .
, F -
, Au ( ) Au ( )
( , [16] ).
.: [1] ., .,
, . ., ., 1969; [2] . .,
, . [1],
. 34178; [3] A d l e r R. J., The geometry of random fields, N. Y.,
1981; [4] . ., , ., 1964; [5] . ., ,
. ., ., 1955; [6] . ., .,
. 17. 2, 1962; [7] . ., .: IV , . 2, ,
1985, . 26971; [8] . ., . ., 1987, . 32, . 4, . 72233; [9] W i l s o n R. J., Adv.
Appl. Probab., 1988, v. 20, p. 75674; [10] . .,
. ., 1990, . 35, . 1, . 14853; [11] . ., . ., . .,
1969, . 14, . 2, . 30214; [12] . ., . ., 1979, . 24, . 3, . 59296; [13] . ., . ., 1974, . 19, . 3,
. 50113; [14] . ., . .,
.: , ., 1972, . 6289; [15] . ., .: , ., 1972,
. 90118; [16] . ., . .,
. , 1979, . 249, 2, . 29497; [17] . ., .: , , . , . 19,
., 1982, . 15599; [18] . .,
, ., 1970.
*
; atom
x .
( , F , P ) , F ( x )
. A F F { A}
= 0 , F -
A , , F { A}, A ( ).
.
. ( 0 , 1) r1 , r2 , ...
, ri -
.
rk [ 0 , 1] 2
F , [ 0 , 1]
54
. p = 1
F
.
p <1
,
[ F p Fa ] q = Fc
q = 1 p .
F = p Fa + qFc
(*)
Fa Fc . F ,
p = 1 Fc -
. ,
(*)- p = 0 . ;
(*) , p 0, q 0, p + q = 1 .
, .
.: [1] .,
, . ., . 2, ., 1969.
*
; atomic component , .
; atomic
measure , , -
, ( , A )
= ( U i ) U
, A , ( ) = 1 i ,
, i A , ( i ) > 0 A A
A i , ( A) = 0 ( A ) = ( i )
-:
. (
)
.
. .
1- ,
( ) .
- . - , ( B ) > 0 B A A B , A A , 0 < ( A ) < ( B ) , ( , A )
.
: A B A A A -
( A ) - [ 0 , ( B ) ]
.
.: [1] ., , . ., ., 1969.
; atomic distributions A , . A A ( , F , P )
, P ( A )
, A B A , P ( B )
=0
P ( A \ B )
=0
>0
i, j =
- , . .
- .
/
/ ;
acyclic / aperiodic Markov chain ,
, C ,
( , ; ). . . .- t
lim pij ( t ) = p j
t , t k , t k +1,..., t 1 ,
( k + 1) , P
t k +1, t k
P =
...
t , t k
( )
;
autocorrelogram o f r a n d o m p r o c e s s . , .
; autocorrelation function
, .
( )
;
autocorrelation o f r a n d o m p r o c e s s , t (t )
t k , t k +1 ...
1
...
...
...
t , t k +1
...
t k , t
t k +1, t
...
Pi , j , i, j .
( t k + 1), , ( t 1) - ( t k )
(t )
, -
( t k )
. F ( x0 , x1 ,..., xk ), ( t k ) ,
t , t k , t k +1, ..., t 1 =
, .
; autoinformation measure ,
pi - -
( t k + 1) ,, (t ) , k > 1
p j - ,
; attractor
D ( i ) D ( j )
( t k 1 ) , ..., ( t 1) -
(t )
C ,
cov [ ( i ), ( j )]
(i ) ( j ) ,
( )
; acyclic / aperiodic state o f a M a r k o v c h a i n ,
k = 0,
k = 1,
k = 2 , ...
D ( t ),
t , t 1 ,
(t , k ) =
t , t k , t k +1,..., t 1,
Pt k , t
( Pt k , t k Pt , t )1 / 2
. , F ( x0 , x1 , ... , xk )
(k + 1) ,
t 1, t k , t , t k +1, ... ( t k + 1) ,, ( t 1) - ( t ) ( t k )
- .
. . . . (t ) p
k p +1
(t , k ) 0 ,
k = 0 , 1,..., p
( t , k ) = 0 . -
t t + h . .
(t )
, (
. t - , h - )
.
.
.: [1] ., ., . , . ., . 1, ., 1974; [2] . ., ., ,
. ., ., 1973; [3] . ., .,
, .
., ., 1976.
, ; partial autocorrelation function , ,
,
, (t ) ,
t = 0 , 1,...
p -
; autocovariance function
, .
55
( )
;
autocovariance o f r a n d o m p r o c e s s , t
t+ h . M ( t
M t ) ( t + h M t + h ) . , , (
) . .
h - t - . .
.
, ;
partial autocovariance function .
; probabilistic automation ,
.
]
; automatical classification
n
C0 , C1 , ... , C m ( -
) , . C0 , C1 , ... , C m
; C 0
n , C j
, C j 1
; Cm n .
.: [1] ., ., , .
., ., 1977; [2] .,
, . ., ., 1988.
, ; scaling limit
of a probability distribution ,
.
,
; scaling limit of a random field ,
( X t Ak X k ) . . . ,
X 0 = a . M X t2 < , t 0
M Xt = a
Ak = k H , 0 H 1
M (Xt Xs) = | t s |
2
2H
. , -
H . 0,5 < H
X t X s
,
, H . . .
H = 0,5 , . . ,
H
= 1 , X t = a + X t , M X = 0 , M X 2 =
= 2 . . . , Ak = k H .
.: [1] . ., .: . , ., 1985, . 27477; [2] M a n d e l b r o d t B.
B., V a n N e s s J. W., SIAM. Rev, 1968, v. 10, 4, p. 42237;
[3] T a q q u M. S., Z. Wahr. und verv. Geb., 1979, v. 50, p. 5389.
; self-similarity , .
; self-similarity equations ,
.
( ) ; automorphism
o f a m e a s u r e s p a c e ( , A , P )
T , P
,
1
A) =
= P ( T A ) = P ( A ) . , -
A A
A A , T A A
P ( T
. .
( mod 0 ).
mod 0
. xn , < n <
.
, ,
X t , t 0 , k 0
; automorphism o f
m o d 0 , ( ) .
K K ; K
automorphism , K .
; autoregressive integrated moving average
process , ( ; ARIMA
process ), t = 0 , 1, ...
,
; selfsimilar probability distribution ,
.
(t ) ,
- . ,
( t k t )
d
[ , . . . .
( t ) d ].
56
. . . . (t )
Ak
, X k t
Y (t ) a1 Y ( t 1) ... a p Y ( t p ) = Z (t )
b1 Z ( t 1) ... bq Z ( t q )
C d1
C d2
( t 1) +
( z ) = z p a1 z p 1 ... a p
(*)
, (*)
Y (t ) = d ( t ) = (t )
(t ) =
b Y ( t )
=0
( t 2 ) ... + (1) ( t d ) , Z (t ) ,
d
t = 0, 1, ... ,
, b ai -
(
), a1 ,..., a p , b1 ,..., bq
1 ( z ) = ( z ) =
(t ) ( )
( , ; );
, a1 , ... , a p , b1 , ... , bq
.
. . . . .- . ( G. Box ) .
( G. Jenkins ) .
,
( , [1] ).
.: [1] ., .,
. , . ., . 12, ., 1974.
; autoregression model
( t ) + a1 ( t 1) + ... + a p ( t p ) = 2 Z ( t )
,
{ ( t ), t T } , T
,
{ Z ( t ), t T } ,
M Z (t )
s, t T
= 0, M Z ( s ) Z ( t ) = s t ,
. .-
.
. .
, .
. .
.
.: [1]
, 2 ., ., 1985; [2] ., .,
. , . ., . 1,
., 1974; [3] ., ., , . ., ., 1976.
; autoregressive process
(t )
.
., {Y ( t ) }
2 -
, (*) . .
f ( ) = ( 2 2 ) ( e i )
, , ( e ) . rk
= M ( t ) ( t k ) , rk = a1rk 1 + ...
+ a p rk p , k > 0 b
rk = 2
bb
+k
=0
. a k - k
= rk r0
= R p1 p
A = (a1 , ... , a p ) , p =
= ( 1 , ..., p )
= { 0 , 1, 2 ,...} -
=0
, (*) . p, q
d
R p
( ). , .
.: [1] G r e n a n d e r V., R o z e n b l a t t M., Statistical analysis of stationary time series, Stockh., 1956; [2] .,
, . ., ., 1964.
f r a c t i o n a l autoregressive process
;
,
;
autoregressive spectral estimator ,
; .
regression
Xn
{ X n , n = 0 , 1,...}
auto
X n1 ,
X n2 ,..., X nm . m
. X n -
X nk , k = 1,..., m
X n = 1 X n1 + ... + m X nm + n
(*)
(*)
, 1 ,..., m , i
a1 ,..., a p ,
,
( ), . .
(t ) = a1 ( t 1) + ... + a p ( t p ) + Y ( t )
p , Y (t ) -, ,
, 0, 2
. z
57
. (*) .
.
; rezolution bandwidth and calculation
bandwidth
,
,
. N
N ( x ) ,
N AN N 0
.
( ,
)
b = 1 2 AN .
N N .
.: [1] . .,
, ., 1982; [2] ., ., , . ., ., 1982; [3] . .,
, .,
1981; [4] B l a c k m a n R., T u k e y J., The measurement of
power spectra. From the point of view of communications engineering,
N. Y., [1959].
; separate redundancy , .
*
AN
bN (t ) = b ( AN1 t )
, AN , bN (t )
.
.
.
( , [4] ) N f N ( )
P1
,
:
1 ( M fN ( )) 2
Wl =
N D fN ( )
2N
(*)
( x ) dx
Wl
:
Wl
1
AN
1,33
AN
< 0 1 ;
1,86
AN
2 (2 + 1)
2
AN (2 2 + 2 + 1)
f ( ) -
( )
.
fN ( ) -
58
Q P2
P2
, 0 . ,
.
; decomposable
branching process
,
, . n -
(t ) = ( 1 ( t ) , ... , n ( t ) )
, k (t ) , t
k - . i i
; P1
= 1 AN , -
A A ;
A separating plan ,
N ( x) = AN ( AN x ), AN > 1, An ;
, 1 AN
. b
i + 1 (1 2 ... n ) (t )
= ( 1 ( t ) , ... , n ( t ) )
. . .- .
n .
( , ) (t ) - .
, N ( ,
[1] ); a n , bn > 0 , S n n
.
f f c -
t . i -
aii 0 a11 ,..., ann p ( p 1 )
, t
1 p
Q1 ( t ) = q1t 2
q1
>0
( 1 + o (1)) ,
. a11
...
= ann = 0
( t ) Q1 ( t )
(t ) Qn (t )
P 1
< y1 , ... , n
<
A
(
t
)
Ann (t )
11
< yn | j ( t ) = ij ;
j (t )
1
( s1 ,..., sn ) = 1 1 +
sn
21n
. . . (t ) -
[2] [4]- .
[5]- .
.: [1] . ., ,
., 1971; [2] . ., . ., 1976, . 100,
. 42035; [3]
. ., . ., 1977, . 104,
. 15161; [4] O g u r a Y., J. Math. Kyoto Univ., Ser. A., 1975,
v. 15, 2, p. 251302; [5] . ., . .,
.: . . . . , . 23, .,
1985, . 367.
*
posability
self-decom-
, c ( 0 , 1)
f c , u
f (u ) = f (c u ) f c ( u ) ,
. , f c -
.
f ,
( , [1] ).
f 0
. S n bn
.: [1]
., , ., 1962.
; decomposable test , .
*
; law
of decomposability , .
; indecomposable distribution
- , R - ( n 2 )
. .-. - . .-
, , . .-
, . .-
.
. .
.
.: [1] . ., . .,
, ., 1972; [2] . .,
. ., . ., 1984, . 29, . 2,
. 34851; [3] . ., . ., . VI
. . . , ,
1962, . 42537.
n
t
( s1 ,..., sn )
0.
. ,
. .- .
>0
j =1
, f
Sn
an bn
N .
, L ,
; indecomposable
branching process
,
( )
n
(t ) = ( 1 ( t ) , ..., n ( t )) . . . , , k (t ) ,
t k - .
= M ( j ( t ) | k ( 0 ) =
. Aij (t )
= ik , k = 1,..., n ) , A (t ) = ( Aij ( t ))
A (t ) = A (1) . -
A (1) . ,
A (1) , t
Aij (t ) = ui j t + o ( t ) , , A (1) -
; ( u1 , ... , u n ) ,
(1 , ... , n ) , A (1) - -
. . . .
,
>1
<1
= 1
. (t ) -
59
, . . .
.
i t
t ,
(t )
(t )
P 1
< x1 , ... , n
< xn | k (0) = ik ,
Ain (t )
Ai1 (t )
k = 1, ..., n ;
k =1
k (t )
>0
,
x1 = x2 = ... = xn .
. . . .-
.
.: [1]
1971.
. ., , .,
; Baxter theorem
: 0 t T
(t ) t -
M (t ) = m (t ) t , s - b ( t , s ) =
= M [ (t ) M (t ) ] [ ( s ) M ( s ) ]
, 0 t T m(t ) ,
t s b ( t , s ) , (t ) N -
(
[ 0 , T ] N )
b ( t, s ) t
t=s
p
p ; Banach
space o f s t a b l e t y p e p ,
p .
;
Banach space w i t h S a z o n o v p r o p e r t y , S -
.
m (t ) b ( t , s ) ,
, ,
, p < 1
D + (t ) = lim+
st
Lp ( ,
[2] ).
b (t , t ) b( s , t )
,
ts
.: [1] . ., . .,
1958, . 3, . 2, . 20105; [2] . ., . ., 1973, . 18, . 1, . 6677; [3] .
., , .,
1989.
b (t , t ) b( s , t )
D (t ) = lim
st
ts
2n
lim
k =1
kT
( k 1) T
n
n
2
l pn -
[ D (t ) D+ (t ) ] d t
containing
(*)
( , [1] ). , (t )
b ( t , s )
n
l p ; Banach space
. ., ( , [1] ), 1 p < 2 l p
= min ( t , s )
, (*)- T - ;
(*) . ( , [2] );
. . . ( , ., [3] [7] )
, 1 ( t )
2 ( t ) ( )
, ( ,
., [3] [9] ).
.: [1] B a x t e r G., Proc. Amer. Math. Soc., 1956, v. 7, p. 522
27; [2] L e v y P., Amer. J. Math., 1940, v. 62, p. 487550;
[3] . ., . ., 1961,
. 6, . 1, . 5766; [4] . ., .:
. . , . 5, 1971, . 7180; [5] . .,
. ., 1972, . 17, . 1, . 15360;
l pn
uniformly
>0
n n Bn B
n
, d ( Bn , l p )
< 1+
, l p ,
x = ( x1 , ..., xn ) n
:
1 p <
1 p
i =1
xi
= max { | xi | , 1 i n } ,
d ( E , F ) E F
61
d ( E , F ) = inf { || T || || T 1 || } ,
E F
.
. .
l2n
( ).
: . .- , .
l np
. . .
:
) . . l pn , ,
, , p < p . .
;
) . . l1n , ,
, , 1 < p 2 p . .
;
) . .
l pn
1 p
<2
, , , p . .
.
ln . .-
x
i
, . . B
xn n
, xn B . , 1 p 2 ,
p > 2 . . ; . .- 1 (
, p < 1 ) .
n p , .
xn n , xn B , n N
xn
B p . . . , 2 p < ,
, p < 2 . . .
n ,
. B p , ,
, c p B - M X k
= 1, 2 , ...
X d P
. , ,
. l PIP
cp
< ,
Xk
(*)
k =1
k =1
.
B p , , , (*)
p
p
B -
PIP
PIP; Banach space
, ( , A , P )
xn
);
. .-
.
.: [1] M a r e y B., P i s i e r G., Studia Math., 1976, v. 58,
fasc. 1, p. 4590.
X : B
M X k = 0 , k = 1, 2 , ... , n
( i i , i
w i t h PIP B
n ,
P { n = +1 } = P { n = 1 } = 1 2 ,
n N . B
k =1
k =1
.
Lr ( , , ) , 1 r < p
Xk
= max ( r , 2 )
p = min ( r , 2 )
,
. I p > 1 .
C [ 0 , 1] c0
p p ; Banach space o f c o t y p e
p , p .
p
p ; Banach space o f t y p e p
. 2 2
. :
. .- 2 2 , ,
( ) ( ).
p . . B . .- ,
xn
xn f n
;
p
p
.
, M exp ( i t f n ) =
62
= exp ( | t | p ) , t R1 . , 1 p 2 , ,
p > 2 . . ; . .-
( f n ) p , -
p < 1 . p . .- p
. . . 2 . . 2 . .-.
B . .- p , p1 < p
p1 . B - p
p1 p p1
, p < 2 p 2
> p p 2
.
.: [1] H o f f m a n n J r g e n s e n J., Aarhus Univ. Matem.
inst., preprint, 197273, 15; [2] M a u r e y B., P i s i e r G.,
Studia Math., 1976, v. 58, 1, p. 4590; [3] W o y c z y n s k i W.,
.: Probability un Banach spacez, N. Y., 1978.
; Bartlett estimator , ;
xi =
; i S i i
i -
= 1, ..., k , N =
, i
i =1
M = N ln
. H 0 : 1
2
i i
i =1
= ... = k2
ln S i2
i =1
1
1 +
3 ( k 1)
i =1
1
> C ( k , 1 , ..., k , )
N
.
i
>3
Ck l
lk = x1k
ij
ni ,
i = 1, 2 , n1 n2 ,
n2
kl
n1 ,
l =1
L =
n1
2 -
. C ( k , 1 , ..., k , ) [2]- .
.: [1] B a r t l e t t M. S., Proc. Roy. Soc., 1937, V. A. 160,
p. 26882; [2] . ., . .,
, 3 ., ., 1983.
n1
(l
Q =
k =1
L )2
k =1
, kl . H 0 : 1
= 2 =
( )
n1 L
[ Q ( n1 1) ]1/ 2
>C
. H 0 , ( n1 1) -
t . n1
= n2
.
.: [1] S c h e f f e H., Ann. Math. Statist., 1943, v. 14, 1,
p. 3544; [2] . ., , ., 1966.
; principal component analysis ,
, 1) . . . (
) n x p
= U T x U
, min ( max )
x - .
:
p =1,
p = 2 .
j =1
( j ) max ,
U
2 (1 ) max , 2 ( 2 ) max v2 v1 .;
U2
U1
( k 1) -
ni
i - -
H 0 , -
xij ~ N ( i , i ) 2 ,
kl ( n1 n2 ) 1 / 2 ( n1 n2 ) 1/ 2 + n21 , l n1 ,
=
1
l > n1
n2 ,
; Bartlett lag
window , .
;
Bartlett test
j =1
( ) ; baricentre o f a
p r o b a b i l i t y m e a s u r e , ( ) -
j = 1, ..., ni .
; Bartlett Scheffe test
D ( x ) min , D ( x ) , x
U
D , D ( x ) -
63
, x
-
U TU = E
E U = 0,
E . .
2 ( j ) = j . N j U j -
j U j
S = ( N 1) X X
X,
( N n ) . . . ., ,
.
2) . . . ( ) p .
, n ( n
> p)
N
.
:
Q min ,
= X X T, = V V T, X ,
n
, V = X U ,
Q , (Q )
U
u1 , ..., u p
X X
S - ( N 1)
j ( x ) -
(
).
( , [3] ) .
. . . .
( , [4] ); . . . .- ( , [5] ).
.: [1] R a o C. R., Sankhya, ser. A, 1964, v. 26, p. 32958;
[2] G o w e r J. C., Biometrika, 1966, v. 53, 3/4, p. 32538;
[3] . ., . . . ., 1960, 3,
. 43239; [4] P e a r s o n K., Philos. Mag., 1901, v. 2, p. 55972;
[5] H o t e l l i n g H., J. Educ. Psych., 1933, v. 24, p. 498520;
[6] J o l l i f f e I. T., Principal Component Analysis, 1986; [7] . ., .:
- , ., 1974, . 189228;
[8] O k a m o t o M., .: Proceed. of the Second Intern. Symp. of
Mult. Analysis, N. Y. L., 1969, p. 67385; [9] A n d e r s o n T. W.,
Ann. Math. Stat., 1963, v. 34, 1, p. 12248.
; principal components method
, .
; Bayes formula , .
; BBGKY equations hierarchy / chain
64
, , .
; Bellman optimality principle , .
;
Bellman equation , ,
.
; Bellman Harris process ,
( G , h ) ,
. . .
[1]-
.
. . .- - .
G ( t ) . h ( s )
. Z ( t ) . . .- t
,
F ( t ; s ) = M [ s Z ( t ) | Z ( 0 ) = 1]
F(t ; s ) =
. . . .-
( ,
[2] ).
3) . . . ( ) f ( x ) j -
, .
; Bell numbers
h ( F ( t u ; s ) d G ( u ) + s (1 G ( t ))
0
.
, , ,
; .
.: [1] B e l l m a n R., H a r r i s T., Proc. Nat. Acad. Sci.
USA, 1948, v. 34, 12, p. 60104.
; Belyayev alternative , ;
; Benfords law , .
; Baire
algebra T
; T
f : T R -
. . .
- .
. .
. . .-
. G
.
.: [1] ., , . ., ., 1953.
; Baire
set , .
; Ber
function , .
; Bair measure 1)
, G
( , [1] ).
2) . . T . . . .
0 . .
( ) .
B0 ( T ) - U U = T
( U ) sup (U )
, . . , T -
= (T )
.
. .,
( , ) , .
.: [1] ., , . ., ., 1953,
. 21823.
; Baire class
; Baire
classififition , .
; Behrens Fisher problem
. x11 , ..., x1n1 , x21 , ..., x2 n2 ,
, xij ~ N ( i , i2 ) , i = 1 , 2 . ( 1 , 2 , 1 , 2 ) ,
2
j = 1, ..., ni
( X1 , X 2 ,
S12 ,
S 22
) ,
Xi =
ij
ni ,
1 j ni
Si2 =
(x
ij
Xi ) , i =1 , 2 .
1 j ni
. . . K ,
H 0 : 1 2 = { ( X 1 X 2 ,
S12
S 22
) K } -
( 0 , 1) , - ( ).
n1 n2 -
. . .- ( , [2] ).
. . .- ( , ., [3] [6] ) L
, -
H0
{ ( X 1 X 2 ) S1 ,
S12
S 22
L } -
12
22
.
.
.: [1] B e h r e n s W. U., Landwirtsh. Jahrb, 1929, Bd, 68,
6, S. 80737; [2] . .,
, ., 1966; [3] Selected papers in statistics and probability by A. Wald, N.Y. [a.o.], 1955, p. 66995;
[4] . ., . ., 1968,
. 13, . 3, . 56169; [5] W e l c h B. L., Biometrika, 1947, v. 34,
p. 2835; [6] L e e A. F. S., G u r l a n d J., J. Amer. Statist. Assoc.,
1975, v. 70, p. 93341.
; Burgs method o f e s t i m a t i o n o f p a r a m e t e r s o f a u t o r e g r e s s i v e p r o c e s s i -, i = 1, ..., p
a2 ( p) - p .
x1 , x2 , ..., xn p
( ,
). . ( J. Burg ) ( , [1] )
( , ,
) ,
a2 ( p) . . .
p - ( )
. . .-
( , [2] )
.
. .- .
, ., [3], [4]- .
[2], [5], [4]-
.
.: [1] Modern Spectrum analysis, N. Y., 1978, p. 3841; [2] U l r i c h T., B i s h o p T., Rey. Geophys. Space Phys., 1975, v. 13,
1, p. 183200; [3] S m y l i e D., C l a r k e G., U l r i c h T.,
Methods in Comput. Phys., 1973, v. 13, p. 391430; [4] . ., (
, , ), ., 1985; [5] . ., ,
. ., ., 1985.
; Burlings inequality ,
.
; Bernsteins inequality , . . ( 1911, , [1] ) ;
( , ).
M X j
= 0 M X 2j = b j , j = 1, ..., n ,
X 1 , ..., X n M X j
bj H
l 2
l ! 2 ( l > 2 , H , j - )
, S n
= X 1 + ... + X n
r > 0
P { | S n | > r } 2 exp{ r 2 2 ( Bn + Hr )} ,
(1)
65
Bn =
. X j
( M X j
= 0 , M X 2j = 2
Xj L,
j = 1,..., n ) (1)
P { | S n | > t n
} 2 exp { t 2 2 (1 + a 3 ) }
; a
= Lt
(2)
n .
. . (1)- . . (2)-
(2)
2
2
u 2 2
du =
t2 2
, 0 < <1
1 2 e
t
2 t
2
. 1967-
. .-
.
.: [1] . ., , 4 ., .
., 1946; [2] . ., Math. Ann., 1929, Bd 101,
S. 12635; [3] H o e f f d i n g W., J. Amer. Statist. Assoc. , 1963,
v. 58, 301, p. 1330; [4] . ., .
., 1968, . 13, . 2, . 26674; [5] . .,
. , 1968, . 3, . 6, 73139; [6] .
., . ., 1970, . 15, . 1, . 10607.
;
Bernstein theorem , .
; Bernulli
flow , .
; Bernoulli sequence , .
; Bernoulli automorphism ,
.
;
Bernoulli random walk . . .
.
.
. .-, ., . .,
x k h ( k , h > 0 ) ( ). t = 0
0 , t , 2 t , 3 t , ...
.
h p q = 1 p
, .
, (
) p - .
1.
.
i , i - ( )
. 1 , 2 , ..., n , ...
.
n t S n
= 1 + ... + n .
, . .-
. ( . .-
).
( ,
) ,
. .
.
. . ( , t = 1 , h = 1 ).
.
.
1 p q - , p = q = 1 / 2
, p q
. 1
, 2
3
. . , 1 , 2 , ..., n , ...
. i
.
( )
N 2 , 1 + ... + N < x N 2
0
).
66
. ., , : t
, x ( , 1,
N -
, 1 + ... + N
e s
ds
. 2 n N 2 n
M ( N 2n ) =
2 n +1 n
C2 n 1
2 2n
n :
M ( N 2n ) ~ 2
a = ( k + 1 2 ) ( k 0 , )
, q k - k 1 p .
. .,
a ( a > 0 ) . zt , x , t
x n ( n
) ,
x > a
zt , x = q zt +1, x 1 + p zt +1, x +1 ,
zt , a = 1 ,
0t n
z n, x = 0 ,
x > a
. p = q = 1 2
. ( A. Moivre ) . ( P. Laplas )
. :
2. , 200000
.
: . .-
( 2 ) .
, . .-
Tn n 1 2 - . , k , n k
T2 n
= 2 k p2 n, 2k
p2 n, 2 k ~
x (1 x )
, x
= xn, k = k n .
:
0 < < 1
P { Tn n < }
dx
x ( 1 x)
arcsin .
, 10000
9930
0,1
, , (
).
.
p > q + -; p < q - .
+
, ., p < q S
= max S i
0 i <
P { S + = x } = (1 p q ) ( p q ) x
.
.
. .- . .,
, . a
, a .
zt , x = 1
/2
sin (a + x )
( cos ) d ,
sin
(*)
n t x a
+ 1.
2
=a + x + 2
p = q =1 2 , t = 1 N , h = 1
, .,
. .
N
. T
-
=T
. n N
x=0, a
, t
=0 ,
N = , (*)
1
2
2
ez
dz =
2
2
ez
dz
.
X ( ) - min X ( )
0 v T
, .
.
. .
.
.: [1] .,
, . ., . 12, ., 1984.
; Bernoulli endomorphism ,
.
67
Bernoulli numbers
. -
. . :
x
=
x
e 1
n =0
ln ( x + 1) ( x + 1 2 ) ln x x + ln 2 +
xn
Bn
n!
, Bn . . .
= (1) n1 B2 n , n 1 . .
( , [1] ). n
. n 3 n -
Bn = 0 , . .- B0 = 1 , B1 = 1 / 2 ,
B2 = 1 / 6 ; B4 = 1 / 30 , B6 = 1 / 42 , B8 = 1 / 30 , B10 =
k=1
B2 k
x 2 k +1 .
2 k ( 2k 1)
. .-, ,
. h
,
M =
Ck ( 21k 1) Bk h k k ;
k =0
n 1
k
n
n >1
Bk = 0 ,
= B h , > 1 , 1 = 1
k =0
.
n 90 B2 n , n 250
( , [2] ).
z - . . ( z ) =
k =1
B2 n = (1) n1
2 ( 2n )!
( 2n ) , n 1 .
(2 ) 2 n
. . , , ,
,
.
. .
, .:
2 2 n1 1
x 2 n1
dx =
ax
2n
e +1
a
2n
B2 n , a > 0, n 1 ;
, .:
tg z =
(1)
n 1
2 2 n ( 2 2 n 1 ) B2 n
n =1
sh z
ln
=
z
2 2 n 1 B2 n
n =1
z 2 n1
,
(2n)!
z 2n
,
n ( 2n )!
z <
z < .
. . :
n 1
x+n
f ( x + k) =
k =0
k =1
f (t ) d t
1
( f ( x + n ) f ( x )) +
2
B2 k
( f ( 2 k 1) ( x + n ) f ( 2 k 1) ( x )) + Rr ( x , n ) .
(2k )!
68
.
,
( , [3] ).
.: [1] ., , . .,
1986; [2] Tables of the higher mathematical functions, v. 2, Bloomington, 1935; [3]
.,
, . ., 2 ., ., 1975; [4] . .,
, 3 ., ., 1967; [5] ., , . .,
., 1965.
; Bernoulli distribution ,
.
; Bernoulli
scheme , .
;
Bernoulli trials ( ., )
,
. . .
.
p (
) , q = 1 p
( )
. n ,
.,
...
123
n 3
pp q ... q p =
1
424
3
n 3
= p3q n 3 . . .
. ., ,
, . n
. .- S n .
{ S n = k}
P { Sn = k } = C nk p k q n k
,
k = 0 , 1 , ..., n ;
(*)
Sn
. (*) n , P { S n = k } -
,
( , [1], [2] ). X 1 . { X n
q ... q p
1424
3
= k}
P {Y1 = k } = q k p ,
k = 0 , 1, ... . Y1
( ) p - . n
, m
. . .- , , n0 , n n0
n -
P{ m n p } 1
. Yr , r -
, , r -
( r + k ) -
{Yr = k }
p + q = 1 . n = 1 + ... + n . ,
. .
( , ,
, ,
. ).
. .- 0 1 -
. , , p = q = 1 / 2
.
, ( 0 , 1) ,
. j ( )
0 1 , j
( ) / 2
j
= 1, 2 , ... .
- .
j=1
, P { i ( )
= 0} = P { i ( ) = 1} = 1 2 j ( ) -
. , -
1 - . .
, p = 1 / 2 . ( 0 , 1) -
, p ( p 1 / 2
) . . .
. . ( ,
). . .
.
.: [1] . ., , 6 .,
., 1988; [2] .,
, . ., . 12, ., 1984; [3] ., ,
, . ., ., 1963.
; Bernoulli theorem
. . . . ( J. Bernoulli ) Ars conjectandi ( )
.
. . . ( ,
) ;
. .
, (
) - n0
.
., . , p = 2 / 5 n 25550
P { 1 50 m n p 1 50} 0, 999
.
. ,
, n0
n0 > (1 + ) / 2 log 1 / + 1 /
,
m n p >
(1 P ) -
2 exp{ n 2 2} .
n
17665
( -
, n
6502
; :
n0 6498 ). 1 P
( ,
).
.: [1] ., , . .,
., 1986; [2] . ., , 4 .,
., 1924; [3] . ., , 4 ,
. ., 1946.
; Bernoulli vector , .
; Bernoulli shift
. . . T
( Y , B , )
( I
i I
(Yi , Bi , i )
= Z + Z )
69
= (i , i I ) = ( i , i I ) -
, i
= i +1 .
= Z+
T
(
,
. ( Y ,
B,
), I = Z
(
)
) .
. .-
( ) ; ., . . , . . K . . .
( ) ( ) ,
( ) . .- . xn ,
< n < -
, ,
, xn
( , [1], [2] ),
( , [3] ) .
. .- ( , , ). T . .
t
{ S ,
, T
< t < }
= S .
1
. .- , .
.: [1] ., ,
, . ., ., 1978; [2] O r n s t e i n D.,
W e i s s B., Isr. J. Math., 1974, v. 17, 1, p. 94104; [3] . ., . ., , ., 1970.
;
Burr distribution , ,
. [1]- . . .
.
; Berry Esseen inequality
F G f , g ( F , G ) .
G
. . .- -
. ( , [1] ) . ( , [2] )
- .
:
T
( F, G ) A
f (t ) g (t )
T , q
dt
q
+B ,
t
T
(1)
= sup G ( x ) ,
x
A( ) =
( 2V ( ) )
V () =
B ( ) =
sin t
0
V ( )
,
2V ( )
(2)
dt
1 + cos ,
3,1
3,8
4,5
5,2
5,7
6,7
A( )
0,5930
0,4659
0,4169
0,3992
0,3956
0,3951
B()
4,4376
4,6812
5,1967
5,8610
6,3923
6,7236 .
A B (2) (1) V ( ) , -
A () B () ( ,
[3], [4] ). . . .
= 2 = 1; 2 ; 3 ; 4 ; 5
.
. .-
F ( x) = 1
1
, x0, >0, >0
(1 + x )
.
.: [1] B u r r I., Ann. Math. Statist., 1942, v. 13, 2, p. 21532.
70
, .,
,
. . . .-
,
( , , ).
.: [1] B e r r y A. C., Trans. Amer. Math. Soc., 1941, v. 49,
1, p. 12036; [2] E s s e n C.-G., Ark. Mat., Astr. och Fysik,
1942, Bd 28A, 9, S. 119; [3] Z o l o t a r e v V. M., Z. Wahr.
und verw. Geb., 1967, Bd 8, S. 33242; [4] v a n B e e k P.,
Z. Wahr. und verw. Geb., 1972, Bd 23, S. 18796.
; Berri Essen theorem M X i = 0 ,
M X 12 + ... + M X n2 = 1, = M X 1
+ ... + M X n
<
, X 1 , ..., X n -
S n
= X 1 + ... + X n
Fn -
-
,
( Fn , ) C ,
(1)
, C . . . ( ,
) , .
. ( , [1] [2]- ) - . X i
Sn
Sn =
= ( Y1 + ... + Yn )
n , M Yi = 0 , M Yi 2 = 1
; (1)
:
( Fn , ) C
n,
(2)
= M Y1 . (1) (2)- C -
( , [5] ). C
- . . [4]- :
(1) C 0,7975 , (2) C 0,7655
(
[4]
[3]
).
( Fn , ) C1 min ( 3 , 3 ) n
C1 , n
1/ 2
. . ( ,
[2] ), .
- 0 1 ,
- 0 2
( , [3] ).
.: [1] B e r t r a n d J., Calcul des probabilits. P., 1889; [2] P o i n c a r H., Calcul des probabilits. 2 d., P., 1912; [3] ., ., , .
., ., 1972.
; Bessel
operator , .
; Bessel process a ( t , x) = ( 1) 2 x ,
b ( t , x ) = 1 .
L =
C 0 -
;
; ( x , y ) .
= min (1, n / 4) 3 =
= 3 x 2 F ( x ) ( x ) dx , F , Y1 .
.: [1] B e r r y A. C., Trans. Amer. Math. Soc., 1941, v. 49,
1, p. 12036; [2] E s s e n C.-G., Ark. Mat. Astr. och Fysik,
1942, Bd 28A, 9, S. 119; [3] E s s e e n C.-G., Skand. Actuar.,
1956, 34, p. 16070; [4] . C., .:
, ., 1982, . 10915;
[3] . .,
, ., 1986.
; Bertrand problem , .
;
Bertrand paradox
( )
. .
. [1]-
.
( 1 2 , 1 3 , 1 4 ) :
x
1
2
d2
1 d
dx 2 + 2 x dx
. = d , . . d
w (t ) = {w1 ( t ) , ..., w d ( t ) }
w (t ) =
2
i (t )
=2
i =1
. .
; beta approximation
. . .
.
N , n M
:
P { = m } =
Cn Cn m
M N M ;
=
Cn
N
0,
max ( 0, M + n N )
m min ( M , n )
N 25 P { m }
. . ( , [1] )
P { m } I1 x ( n m + c , m c + 1)
, 0 t 1 , a > 0 , b > 0
71
1
B ( a, b )
I t ( a , b) = Ba ,b ( t ) =
mk = B ( m + k , n ) B ( m , n ) , k = 1, 2 , ...
z a 1 ( 1 z ) b 1 dz
; .-
,
m ( m + n)
mn ( m + n ) 2 ( m + n + 1)
( N 2)2
n =
N 1
c =
= ( m 1) ( m + n 2) , = 0 . m < 1 n < 1
, ,
m < 1 n < 1 ,
U
n M ( M 1)(n 1)
.
( N 1) [( N M )( N n) + n M N ]
;
beta distribution ( )
m = n =1 2
. .-
,
, m , n , -
B ( m , n )
x (1 x )
(1 x ) n 1 dx
. (1)- x = 1 (1 + t )
m , n ( t ) =
m 1
1 2 ,1 2 ( x ) =
(1)
, ( 0 , 1) - -
.-
. m = 1 n = 1 , . ( 0 , 1)
1
x m 1 (1 x ) n 1
B ( m, n)
F ( m , m , n ; it )
.: [1] . ., , , ., 1987.
B( m , n ) =
m,n ( x )
N ( n + M 1) 2 n M
,
N ( N 2)
m, n ( x ) =
n > 1 , m,n ( x ) -
n M ( N n) ( N M )
,
[( N M ) ( N n ) + n M N ] [ N (n + M 1) 2n M ]
x =
2 ( m n ) (m + n 2) . m > 1
1
t m 1
, 0<t <
B ( m , n ) (1 + t ) m + n 2
(2)
.
.
(1) (2)
I VI .
.- : 1
2 , m n
, ,
1 ( 1 + 2 ) m,n ( x )
. . -
, , .-
: . . ., F Fm, n =
= n m2 m n2
P { Fm , n < x } = Bm 2 ,
(1) m = 0,5 , n = 3,5 ; ( 2) m = 1, n = 3 ; (3) m = 1,5 , n = 2,5 ; ( 4) m = 2,
n = 2
( m + n = 4 ).
.- :
I x ( m , n ) Bm , n ( x ) =
1
=
B ( m, n )
.-
72
m 1
(1 y )
n 1
dy , 0 < x < 1
n 2
( m x (n + m x ) )
k ).
F , , . .
.
Bn m,
m +1 ( 1 p ) =
C nk p k (1 p ) n k
k =0
.
. ; ., .-
.
; m u l t i d i m e n s i o n a l
beta distribution , .
; Bayes
formula ( )
. A1 , ... , An :
U Ai = , i j Ai I A j = ; ,
. i P ( Ai )
> 0.
P (B ) > 0 B
Ai
P ( Ai ) P ( B | Ai )
n
i = 1, n
(*)
P ( Ai ) P ( B | Ai )
. P ( Ai ) , Ai , P ( B | Ai ) , Ai ( P ( Ai )
> 0)
B . (*)
. ( T. Bayes ) , 1763-
.
, .
.: [1] o . ., , 2 ., ., 1974.
; Bayesian decision function /
rule
. . . .
; ( . . .- ) ,
- . , .
.: [1] ., , . .,
., 1975.
; Bayesian
decision ( ). , ,
.
;
Bayesian test
. . . .
X , P , X , p ( x | ) .
H 0 : 0 H 1 : 1
; 0 1 , -
.
q 0 + q1 = 1 .
r ( ) = q0 M 0 ( X ) + q1 M 1 ( 1 ( X ) )
( ; )
, i
M i ( X ) =
= 0, 1
(x ) f
i ( x )
(dx ) ,
p ( x | ) i ( d ) .
i =1
( ) 0 1 0 ( )
1 ( ) H 0 H1 q 0 q1
f i (x) =
P ( Ai | B ) ,
P ( Ai | B ) =
( ) ( ) .
. . ( ; ) :
0 , q0 f 0 ( x) > q1 f 1 ( x) ,
(x ; ) =
1, q0 f 0 ( x) < q1 f 1 ( x)
, { n } { ( ; n )}
. .- ( ) . . , ( ; ) . .
.
. .-
.
. .-
; 0 1 - 0
1 , .
(x ) f
( x) (dx )
;
. X
f 0 ( ) f 1 ( )
.
. .
.
.: [1] . ., , .,
1984; [2] ., , .
., 2 ., ., 1979; [3] .,
, .: , . ., ., 1967;
[4] ., , . ., .,
1975; [5] . .,
, ., 1969.
; Bayesian measurement , ,
.
73
;
Bayesian principe -
.
. w ( , ) = c , k = 1 ,
.
( D , , w ) , ( D , , W ) ( X , P )
*Q .
; X X , P , ,
D ( X ) : X D
; Bayesian regression
. , .
; Bayesian
risk
w ( ( x) ; ) P (dx) .
W ( ( ) , ) =
.: [1] . .,
( ), ., 1984.
X -
P f =
= d P ( x) d -
Q
g (t ) = d Q( t ) d , X
Q X
. ,
. .- . , , ( )
, .
; Bayesian estimator
f (X ) =
q ( t ) f ( X ) (d t )
t
(*)
Q - . . .-
( D , , W ) Q
Q ( X ) ,
Q X
(*)
.
Q ( X ) = Q X Q X
.
. . .
D = { 1 , 2 },
= {1 , 2 },
w ( i , j ) = wij ,
.,
( w11 = w 22 = 0) . P X
{ = 1} { = 2 } ;
f 1 ( X ) f 2 ( X ) < a ( 1 q ) q ( 1 a )
= w12
,
n ( , )
. . .
( n x 2 + 2 )
( n 2 + 2 )
.
. . .- (
)
- .
, .
.: [1] . ., , .,
1984; [2] . ., . ., , ., 1979; [3] .,
, . ., ., 1975.
; Bayesian strategy
( ).
, , , .
, w ( , )
= c ( ) ,
2
74
- -
; e m p i r i c a l Bayesian
approach G
D , R
*Q =
= ( d ) ,
-
;
Bayesian approach , -
.,
= 2 ,
(w12 + w 21 ) , q { = 1}
, ( X )
a
L ( | d | )
, f q ,
- , Q X
; - ( , )
( ).
Q ( D , , w )
Q X
L(, d ) = d
q ( t ) ft ( X )
,
f (X )
q (t | X ) =
L ( , d )
tQ
(dt ) =
t q (t | X ) ( d t)
,
x
G
(k )
= ( x1 , ... , xk ) -
. x , X ( ., ) ; P ( | ) ,
X - , ,
- D
d .
x1 , ..., xk , X - X 1 , ..., X k
P ( | i ), i = 1 , ..., k
1 , ..., k G
.
, x
(k )
, X - ( )
PG ( ) =
P( | ) G(d )
.
G G
= {G ( , ) ,
}
, - PG ( , ) (k )
;
X
G
G ( , k ) - .
; . ( 1911, , [1] )
. .- .
G
( , [2] ) .
. .-
.
. . ( , [3] ) ( )
, G -
p k ( x , x ( k ) ) =
p ( x | ) G ( d )
(*)
RG ( k ) = M L ( , k ( X , X ( k ) )) =
...
Xk
(k )
.
.
( [4], [5] ) . , , ,
.
. .
G = G ( x ) k
= k ( x , x ( k ) ) -
; ( X
k +1
, X k +1 ) -
.
L ( , d ) G
k :
G(d
xi ) .
i =1
( k - ) k G -
.
;
.
G -
G - G X -
= PG2
. : PG1
G1 G2 G1 = G2 , G
.
1. ( 0 , ) -
0 ( ) > 0 (
) .
x -
. 0 1 :
, , 0 1 -
. , ( G )
-
g () , G . X
pG ( x ) =
) , PG
, p (x | ) , P ( , ) -
L ( , k ( x, x ( k ) )) P ( dx | )
,
RG ( k ) RG ( G ) , k -
( ) , p k ( x, x
G(d )
( g () ) d
x
X =x
2 pG ( max ( 0 , x ) < pG ( x ) ,
d1 , d 2 .
, G - X - . , pG (x)
( ., ) .
2. n ;
( ) . -
.
X , x n , G
75
x
pG ( y , n ) = P { X = y}
,
G (x) =
x + 1 pG ( x + 1, n + 1)
n +1
pG ( x , n )
.
G ( x )
(
; , [7] ), ,
. n , n 1
. n -
.
. . ( [5] [6] )
, , ,
.
, ,
. ,
( , ., [9] ).
k
.
, , O ( k
) - (
);
[10]- .
, . .
( , [11] ).
. x -
G (x)
( x , PG ) = inf G ( x) ( x , PG ) = sup G ( x)
G
; PG
= PG
G .
.
. .
.
, , ,
;
,
.
d . [12]-
76
( , ).
.: [1] G i n i C., Metron, 1949, v. 15, p. 13371; [2] F o r c i n a A. Int. Statist. Rev., 1982, v. 50, p. 6570; [3] . ., . . . . 1941, . 5, . 8594;
[4] R o b b i n s H., .: Proceedings Berkeley Symposium Mathematical Statistics and Probability, v. 1, Berk. Los Ang., 1956, p. 157
63 ( . . , 1964, . 8, 2, . 13340 ); [5] R o b b i n s H., Ann. Math. Statist., 1964, v. 35, 1, p. 120 ( . .
, 1966, . 10, 5, . 12240 ); [6] N e y m a n J.,
Rev. Inst. Int. Statist., 1962, v. 30, 1, p. 1127 ( . .
, 1964, . 8, 2, . 11332 ); [7] . .,
. , 1963, . 150, 4, . 73335; [8] S i n g h R. S.,
Ann. Statist., 1979, v. 7, 4, p. 890902; [9] . ., . . , 1983, 11, . 6773;
[10] . ., .: IV . . .
. . . ., , 1985,
. 2, . 78; [11] . ., .: .
, 1970. . . ., ., 1972, . 4855;
[12] . ., . . , 1983, 11,
. 4258.
; Bayesian approach t o s t a t i s t i c a l p r o b l e m G
RG ( ) =
R ( , ) G ( d )
. , . .- X
( ., ) P ( | ) -
( ) ( ) G
; R ( , ) -
( G
), RG ( )
= M L ( , ( x) ) , L( , ( x) ) .
RG ( ) - G = G (x)
, RG ( G )
.
, inf RG ( ) .
RG ( | x) =
L ( , (x ) ) p (x | ) G ( d )
pG ( x )
, p
= d P d
X [
(X , X ) ],
pG (x) =
p ( x | ) G ( d )
X - ( ) , L ( , )
.
. PG
, ,
RG ( ) =
G (
| x ) pG ( x ) ( d x ) .
,
, ,
G
> 0
RG ( G ) inf RG ( ) +
.
. H 0 : 0 ( d 0 ) H 1 : 1
=
= \ 0 ( d1 )
0 1 :
1, 1i ,
L (, di ) =
0 , i ,
,
i = 0, 1
= d i
H i H 1i
RG ( di | x) =
,
. G
.
; , , . .
.: [1]
.,
, . ., ., 1974; [2] H a r t i g a n J. A., Bayes theory,
N. Y. [a. o.], 1983; [3]
.,
, . ., ., 1975; [4] . .,
, ., 1984; [5]
. .,
.: , , 1984, . 10,
. 1353.
;
Bayesian deviation , , .
p ( x | ) G ( d ) pG ( x )
1i
.
, ,
( ).
.
. . (
)
( , ).
. .
,
( ,
,
). , ( .,
) d
,
d
RG ( d , ) = M { L ( , d ) | ( x ) = d } , d D
.
d 1974- . .
.
[5]- .
1 , 2 , ... ,
, G ( .,
, ) . .-
, . , G -
,
.
; equilibrium
statistical mechanics , .
,
;
;
equiprobable scheme f o r g r o u p allocation of
particles , , .
, ; equiprobable allocation of particles / uniform
allocation of particles , /
, .
( ) ; regeneration o f
a M a r k o v p r o c e s s , ; .
; renewal
input ,
77
; renewal
time
.
; renewal function F (t ) F - - n -
H (t ) =
(t ) =
n 0
P {X
t}
n 0
0) ;
n = X n X n1 , n 1
H (t ) , ( X n , n
F -.
P { n = 0} < 1 , H (t )
H (t ) = 1 +
H ( t s ) dF ( s )
0
( [ 0 , t ]
). H (t ) , ,
,
H( t + s) H( t) + H(s)
t , s 0 ,
lim
t dF (t ) . ,
; ) ( R R -
. . ), ) , )
( ), ) , ) .
.
.: [1] . ., . ., , . ., ., 1967; [2] . ., , .: . . . . , . 2, ., 1974, . 99128; [3] .,
, . ., . 2, ., 1984.
;
renewal process F (t ) ,
, , 1 , 2 , ... -
H ( t)
1
= ,
m
t
X n
, ( )
.
.
.
. .-
.
,
, . .- . . .-
( , )
, , .
. .-
: ) -
m2 =
t dF (t )
2
t =
t m H (t ) t m + m2 2m 2
.
, F ( t )
, a > 0
lim ( H ( t + a ) H ( t ) ) = a m
, F (t ) - { 0 , d , 2d , ...}
.
lim ( H ( t ) t m ) = m2 2m 2
.
.: [1] . ., . ., ,
. ., ., 1967; [2] ., , . ., . 2, ., 1984.
; renewal interval
; renewal theory
78
= 1 + 2 + ... + n , n 1 , X 0 = 0
. (t )
t ) = 1 + max ( n : X n t )
n 0
.
n = X n X n 1
( ) , t t
( ) . t
( X n , n
0)
,
.
. . . t
H (t )
= M t
;
:
H k (t ) = M ( t ) k ( k 2 ):
, .
H k (t ) =
I(X
C ki (1) i 1
i =1
k i ( t
s ) dH ( s ) .
(t )
(t ) ,
t ( X n , n
0)
( )
(t ) , (t ) (t )
(t ) = t t ,
lim t 1H ( t ) = 1 / m , m = M k
q ( t s ) dF ( s )
u
.
n n -
F (t ) -
= M 1
1 - ,
lim [ H ( k + 1) H (k )] = 1 / m
; k . . .
. . , : n
(1 F ( t ) ) dt
( 0 , ) - -
g (u )
( , ).
= 1 e t , t 0 , . .-
, P { t = n + 1 } =
F (t )
= ( t ) e
n! , n 0 , H (t ) = 1 + t , qu ( t ) = e
,
m = 1 / (t ) (t )
n
. .- ,
lim [ H ( t + h ) H ( t ) ] = h / m
h > 0
, qu (t )
1
m
. . .- ,
k
P { ( t ) u , ( t ) } = qu + ( t )
lim qu ( t ) =
k =1
. . .
.
(t ) (t ) . (t ) (t )
H (t ) = M (t ) . . .
(t ) = t t 1
qu (t ) = 1 F ( t + u ) +
Sn =
.
.: [1] . ., . ., ,
. ., ., 1967; [2] ., , . ., . 2, 1984.
; ; ; s u p e r p o z i k
t i o n o f renewal process t , 1 k l
lim
1
m
g ( t u ) dH ( u ) =
1
m
g (k )
k =1
.
H (t )
( nk , n 0) ,
m H (t ) = t + M (t )
. .
n 0,
1 k l }
( n , n
0) .
t =
I ( n t )
dH ( u ) P{
> t u + }
, . .-
+ ... +
tl
. .- l
.
; renewal theorem -
. 1 , 2 , ... ,
,
, k
P{ ( t ) > } =
n0
t1
(*)
,
t (*)-
(t ) -
{ nk ,
g ( u ) du
, . n
, .
1
m
lim M ( t ) =
G ( t ) dt =
M12
,
2m
G (t ) =
P{
> } d
79
( k - t
x (t ) =
). , t
, H (t ) , F (t )
. .
.
.
,
k +2
. M 1
1 Me
lim inf
R (t ) =
1
m2
ln t
= o ( t k ) .
k +1
G ( u ) du + o t
t
M1k + 2 < k -
R (t ) =
1
m2
j t
y ( t ) dt ,
t dF (t ) .
:
(a ) F (t ) , F (t ) :
F ( n h + ) F ( n h ) < 1 ,
n0
h > 0 y (t ) [ 0 , ) -
> t } ,
, > 0 ,
c <
P {1
R (t ) < c e
var R ( t ) < c e t
;
renewal equation
t
x ( t s ) dF ( s )
, [ 0 , ) -
, x , y , F
.
[ 0 , t ] .
. .- .
y (t ) -
sup
[ n , n + 1]
y (t ) <
. k
n0
(t , )
.
.: [1] . ., . ., ,
. ., ., 1967; [2] ., , . ., . 12, ., 1984; [3] . .,
, ., 1972; [4] S t o n e C., Trans. Amer. Math. Soc.,
1965, v. 120, 2, p. 32742; [5] T a k a c s L., Combinatorial
methods in the theory of stochastic processes, N. Y. [a. o.], 1967.
m -
P { 1 k + 1} + o ( t k 1 ) .
k> j
x (t ) = y ( t ) +
<
> 0 ,
1
m
lim x ( t ) =
M12
t
R (t ) = H ( t )
m
2m 2
i 1
y ( t s) d H ( s )
M12
t
+
+ o (1 ) .
m
2m 2
H (t ) =
sup
n 0 [ n , n + ]
y (t )
inf
[ n , n + ]
y (t ) 0 ;
(b) F (t )
, F
(t ) -
, y (t )
, [ 0 , ) - t
.
.: [1] . ., . ., ,
. ., ., 1967; [2] ., , . ., . 2, ., 1984; [3] . ., . ., . .,
. . ., 1983.
; white noise -
(t )
. . . ( )
B (t )
= 2 ( t ) , 2
, (t ) . . .
( .,
). (t ) . .
(t ) =
e i t d z ( )
(*)
e i t dz ( )
. .- .
80
( ) ,
M dz ( )
2
d ,
2
< <
Y (t ) =
.
(*) ,
(t )
, =
c ( t , s ) d (s) = c ( t ,
= ,
(t ) dz ( )
d (t )
[ d (t ) dz ( ) ],
c ( t , s ) ds <
a ( ) = a
( t ) d ( t ) .
, a
(t ) -
: (t )
(t ) = a +
= (t ) .
it
d z ( )
dz ( ) ,
Y (t ) = a ( t , Y ( t ) ) + ( t , Y ( t ) ) ( t )
Y (t ) ;
, ,
.
. .
(t ) -
Y (t )
Y ( s ) ,
s < t (u ) , u > t
P (z )
P ( d dt ) Y (t ) = (t )
Y (t ) =
(t ) =
(t
= ( a 2 ) d .
.: [1] . .,
, 3 ., ., 1987.
. ., -
;
f r a c t i o n a l white noise , .
;
white noise i n a f i n i t e b a n d w i d t h
( ,
) , , , f ( ) = f 0 = const ,
> , f ( ) = 0 (
B ( ) =
1
dz ( )
P ( i )
M dz ( )
; d i s c r e t e white noise ,
d Y (t ) = a ( t , Y ( t ) d t + ( t , Y ( t ) ) d (t )
(t ) d t
= ( , )
, =
s k )
, ~ ( ) , (t )
c ( t , s ) ( s ) ds =
, c ( t , s )
( ) d z ( )
( t ) ( t ) dt =
k)
. . ( k - -
... , 1 , 0 , 1 , ...
), (t ) (t )
.
f ( ) d = 2 f 0
sin
. . .
. .-
,
>
; prewhitening
. Yt -
81
, Z t
;
Zt =
cY
t r
, t
. .- ( , [1] [3] ).
. .- ,
, e ( t )
= 0 , 1, 2 , ... .
lim M [ e ( t ) e ( t ) ]2 = 0
r =0
h( ) =
e ( t ) 2
ei r
f ( )
(*)
( t ) = { 1 ( t ) , 2 ( t ) , ..., n ( t )}
r =0
,
( ,
f ( ) , Yt -
). cr ,
. .
p
h ( ) (
k (t ) +
).
, Z t h ( ) -
;
Bhattacharya Rao spherical distance ,
.
( )
;
bilinear model f o r r a n d o m p r o c e s s / bilinear
time s e r i e s m o d e l (t )
p
(t ) +
i =1
i =1
j =1
a (t i ) = e(t ) + b e(t i ) +
i
i =1
c i j ( t i ) e ( t j ) , t = 0 , 1 , 2 , ...
(*)
, e ( t )
: M e ( t )
= 0 , M e 2 ( t ) = 2 < ( ),
{ a i , 1 i p } , { b j , 1 j q } { c ij , 1 i r , 1
j s } . e ( t )
, . .- . (*)
p, q, r , s
BL ( p, q, r , s ) . i = 1, ..., r
j = 1, ..., s c ij = 0 , . .
( p , q )
.
. .-
,
. . .
. .- ,
82
i
ku u ( t
i ) = ek ( t ) +
i =1 u = 1
, (*)- f ( ) .
bkuj eu ( t j ) +
j =1 u =1
i =1
j =1
e ( t j ) ,
u = 1 =1
ij
ku
u (t i )
k = 1, ..., n
, e ( t )
= { e1 ( t ) , ...,
en ( t )} , t = 0 , 1 , 2 , ... : M e ( t )
,
i
{ aku
,
= 0 , G -
1 i p , k , u = 1, ..., n } , { bkuj , 1
ij
j q, k , u = 1, ..., n } ,
{ cku
, 1 i r, 1 j s ,
k , u , = 1, ..., n } .
( X , I )
( X , I ) ; bicompact / compact set i n a t o p o logica l
s p a c e K X ,
. K , K
( . )
. K , ,
, K -
( , [1] ). . .
. - . ,
.
.-, . .
.: [1] .-., , . ., 2 .,
., 1981; [2] . .,
, . ., 1948.
; billiards , .
; bimodal distribution , ,
. . .
.
, , / .
; binary relations
statistics
, .
( ),
( ), ( ) .
. (
) , , . , , ,
.
,
- .
,
, . . .
( , [1] ). . .
.-
( , [2] ).
, .
, .
20-
( , [3], [4] ). A B
( A , B ) d ( A, B )
( A , B ) = 1 2 d ( A , B ) k ( k 1)
, k . ( , [5] )
.
- . . .-
, ,
.
.: [1] . ., - , ., 1979; [2] . ., .:
, .,
1985, . 169203; [3] . ., . .,
, 3 ., ., 1983; [4] ., , . ., ., 1975; [5] . ., , ., 1982; [6] ., ,
. ., ., 1978.
; binary branching process
, ( ), . . . .- t ( t ; s )
.
bt
( t ; s ) = 1 ( 1 s ) (1 s ) + 1
2
c1 c2 (t )
. ( t ) a ( t ) + b
= 1 ( t ) -
(c1 , c2 )
; , . . .-
c1 = 1, c2 = 0 c1 = 1, c2 = 1 . ,
. . . ( , ., [1] ).
. . .- . ( , [2], [3] ).
. . .- ;
. . .-
, ., -
.
. . .- (t )
; (t )
( t ) a ( a )
. ( t )
, a ( t ) ( t ) ;
>a
M ( t ) = 0 ,
M 2 ( t ) a 2 ,
. . .- .
(t ) ,
1,
sgn x =
1,
, Y (t )
x 0 ,
x < 0
= sgn ( t ) . . .-, Y (t )
(t )
( ,
); Y (t ) - (t ) -
( , [4] ).
(t ) . . .- B ( ) = M ( t + ) ( t )
= 0
( , [1] ).
.: [1] M a s r y E., SIAM J. Appl. Math., 1972, v. 23, 1,
p. 2833; [2] W i e n e r
N., Acta math., 1930, t. 55, 23,
p. 117258; [3] .,
, . ., ., 1963, . 194; [4] K e d e m B., Binary
time series, N. Y., Basel, 1980.
; binomial coefficient
C Nn
( x + y )N =
C Nn x n y N n ,
n=0
( t ; s ) = 1 e a t (1 s )
( e a t 1) ( 1 s ) + 1 ,
2a
a 0.
; binary random process ,
, b > 0 .
. . . .
.: [1] . ., , .,
1971.
C Nn =
N!
N ( N 1) ... ( N n + 1)
=
, 0 n N
n! ( N n )!
n!
83
. . N
n . . .
( nN ) .
pk = P { = k } = b ( k ; n, p) = Cnk p k q n k
( , ).
. .- . .,
C Nn = C NN n , C Nn ++11 = C Nn + C Nn +1 ,
N
n
N
= 2 N , C Nn =
n=0
C Nnkm , 1 m n .
k
m
k =0
. .-
. .,
CMm C Nn mM
,
C Nn
p ( M , N, m, n) =
0 m n N , m M N , n m N M
Bn =
1
M ( 1) ... ( n + 1) =
n!
n
N
P{ = N }
N =n
= u log 2 u ( 1 u )
. h ( u )
log 2 (1 u ) , = ( 2n + 1) / 2 N ,
C Nn 1 =
2 N h ( )
2 N
e ( N , n ) ,
2) n = 20, p = 0, 1 p = 0,5 ;
3) n = 20, p = 0, 2 = np = 4 -
0 ( N , n) ( 16 n ( 1 ) ) 1 .
. .- . :
N!
=
,
n
,
n
,
...,
n
n
!
n
1
2
k
1 2! ... nk !
k >2,
n1 + ... + nk = N ,
q (
q 1 . . - ):
N
N
=
n q
(q
i =1
( q i 1)
N n
, q >1
( q i 1)
i =1
.
.: [1] . ., . ., , 3 ., ., 1983; [2] .,
, . .,
. 12, ., 1984.
84
p . .- ( ) , 0 p 1 . . .
.
1 , 2 , ..., 0 1 , p 1 p
,
( i n = 1
. . ).
i
: i - , i
= 1 , i = 0 .
,
. { i , i 1} -
1)
i =1
= 1 + ... + n , n 1 p . .
. . .- ( s )
( q
= 1 p) . (s)
= ( p s + q ) n -
b0 + b1s + ... + bn s . .
; bk
= b ( k , n, p ) .
. .- :
M = n p , D = M [ M ] 2 = n p (1 p ) ,
M ( M ) 2 = n p (1 p ) (1 2 p ) ;
. .-
As = (1 2 p )
n p (1 p ) ,
Es = (1 6 p (1 p )) n p (1 p ) ,
f ( z ) = ( 1 + p ( e i z 1) ) n
.
y
F( y ) = P{ y } =
[ y]
k
n
p k (1 p ) n k , 0 < y < n
k= 0
( )
,
,
. X n , n = 0 , 1, ... (X , d )
, ,
*
. X n , n
= 0 , 1,
... , (X , d )
,
, X n ,
n = 0 , 1, ...
, [ y ] , y - .
y
y n p + 0,5
+ Rn ( y, p )
F( y) =
n p (1 p )
, ,
Rn ( y , p ) = O ( n 1 2 ) .
n . .
F( y)
; common
probability space method
. { X n } ,
d ( X n* , X 0* ) 0
, Pn P0 ; Pn , X n , n
= 0 , 1, ... .
( , [1] ).
, ( Pn , P0 )
1
B ( [ y ] + 1, n [ y ] )
t [ y ] (1 t ) n [ y ] 1 d t
. ( X , d )
( )
, B ( a , b ) .
n , p
(*)
. . . .
*
: (*)- X n
X 0 -
Pn P0
d ( X n* , X 0* ) 0
*
, b ( k ; n, p ) ,
{ X n }
( , [1] ).
. . . .- : { X n }
b (k ; n, p)
(n p)
k!
e n p ,
, n 0 < c y C ( c C )
, 0 < p < 1 p -
F( y) =
[ y]
k =0
k
k!
e + O ( n 2 ), > 0
= ( 2n [ y ] ) p ( 2 p ) .
. .- .
.: [1] . ., , 6 .,
., 1988; [2] .,
, . ., . 1, ., 1984; [3] . .,
. ., , 3 ., ., 1987;
[4] . ., . , 1953, . 8, . 3,
. 13542; [5] . ., . .,
, 3 ., ., 1983.
;
binomial sample , .
, X n
= Fn1 ( Y ) , n = 0 , 1, ... , Fn ( ) , X n -
, Y , [ 0 , 1] - .
. . . .
( , [2], [3], [4], [5], [6] ).
.: [1] . ., . .,
1956, . 1, . 3, . 289319; [2] . ., . ., 1956, . 1, . 2, . 177238; [3] .
., , ., 1961;
[4] S t r a s s e n V., Proc. 5th Berk. Symp. Math. Stat. Probab.,
1967, v. 2, 1, p. 31543; [5] K o m l o s J., M a j o r P., T u s n a d y G., Z. Warh. und verw. Geb., 1975, Bd 32, 1, S. 11131;
1976, Bd 34, 1, S. 3358; [6] B e r k e s I., P h i l i p p W., Ann.
Probab., 1979, v. 7, 1, p. 2954.
; one-step transition probability , .
; homogeneous chaos
n
, R , n 1
85
( , [1] ). . .
( )
.
.: [1] W i e n e r N., Amer. J. Math., 1938, v. 60, p. 897936;
[2] ., a , . ., ., 1987.
; homogeneous random field s
S = {s } X ( s )
, S G = { g } -
, s
G . . . . : n = 1, 2 , ...
g G n s1 , ..., s n g s1 , ... , g s n - , X ( s )
. . . ; s S , s1 S
M X (s)
<
M X ( s )
g G
= M X ( g s ) , M X ( s ) X ( s1 ) =
= M X ( g s ) X ( g s1 ) , X ( s )
. . . .
G
k
k R k
( R - Z
) . . . , . . . , ,
k
. (E , B ) -
. R -
, p n ( x , ) , n 0
G , R -
. . ., , .
. . .
;
. . .-
( , ., [1] [3] ). . . .
; , -
X = ( X n ) pn ( x , )
n - . E
= { 1, 2 , ...}
pij ( n , n + 1)
= p n ( i , { j})
n - . ( i, j E ) .
. . . . .
. . . .
.
; homogeneous measure , .
; homogeneous Poisson measure , .
,
;
R n y is homogeneous class of functions
n -
F : - f ( ) =
= f ( ) f F
- R2 . , F - 2 R2 ( n 1) ( n 2 ) . F -
N -
- -
.
.: [1] ,
., 1983.
86
R -
( ), (
)
( , ., [4] ),
. . .- ( , ).
.: [1] Y a g l o m A. M., .: Proeedings of 4th Berkeley
symposium mathematical statistics and probability, v. 2, Berk. Los.
Ang., 1961, p. 593622; [2] .,
, . ., ., 1970;
[3] . ., ,
., 1980; [4] . ., . .,
, . 2, ., 1967.
; homogeneous random process with independent increments ,
.
,
;
time homogeneous random process ,
.
; homogeneous generalized
field , .
; homogeneous and
geometric process , .
; homogeneous and isotropic geometric
process , .
; homgneous and isotropic random field
, G -
( ,
). M X (t )
< +
, m ( ) S1 S 2
m
[ ( S )
d ( ) ,
, cn
; (2)
.
. . . . R
R - .
2
. . . .- R -
:
X ( r, ) =
Z kl ( ),
(1)
Yk ( r ) Z kl ( d ) +
sin k
Yk ( r ) Z k2 ( d ) +
l = 1, 2 , (3)
.
( ., ). g G
M X (t ) = 0,
, X ( t )
Yn ( r ) d ( ) ,
cos k
k =1
X (t ) -
k =0
t R
M X (t ) t - M X ( t ) X ( s ) = B ( | t s | )
B(r ) =
= 2 n1 ( n / 2) n 2 ,
i j ]. (1)-
X (t ) ,
. (
) G
. . . . .-
,
.
B ( r ) :
( )
t s t s
M Z ml ( S1 ) Z ml11 ( S 2 ) = m 1 l 1 ( S1 I S 2 )
M X ( t ) X ( s ) = g M X ( g t ) X ( g s ) g ,
= { X1(t ) ,
... , X n ( t ) }
B ( r ) = M X ( t + r ) X ( t ) = ( Bi j ( r ) )
n J ( n 2) 2 ( x )
Yn ( x ) = 2( n 2) 2
( n 2) 2
2 x
, ( ) , [ 0 , + ) -
, X (t )
. X (t )
( , [1] ):
X (t ) = cn
+
h (m, n)
m=0
l =1
( r )
( n 2) / 2
Z ml ( d )
(2)
h ( m , n) = ( 2 m + n 2 )
( m + n 3 )!
( n 2 )! m!
r2
+ Bkk (r ) i j
.
Bl l ( r ) Bk k ( r ) , ,
.
Bk k ( r ) = M X k ( t + r ) X k ( t ) ,
( r , 1 , ..., n 2 , ) , t ,
S ml ( 1 , ..., n 2 , ) ,
ri r j
Bl l ( r ) = M X l ( t + r ) X l ( t ) ,
S ml ( 1 , ..., n 2 , )
I m + ( n 2 ) / 2 ( r )
X l ( t ) , X (t ) r , X k (t ) r -
. . . . .-
.
.: [1] . .,
, ., 1980; [2] . ., . ., , . 12, ., 196567; [3] . .,
. ., 1957, . 2, . 3, . 292338.
87
; joint
measurement , .
; joint distribution
. X 1 , ..., X n , ( , A , P ) -
;
Birkhoff Khinchin ergodic theorem
... , 1 , 0 , 1 , ...
M 0
, (X k , Bk ) -
= lim
. . . ,
.
X 1 , ..., X n ,
n
. . R ( X 1 , ..., X n ) ( , ). X (t ) , t T
, t1 , ..., t n T X ( t1 ) , ..., X ( t n ) -
, n 2.
.: [1] . ., . ., , 3 ., ., 1987.
,
; joint probability density , .
; single server queueing
system ,
. . . .-
,
. , . . .-
z n +1 = f ( z n , n )
( z n ) , ( n ) .
n - wn
wn +1 = max { 0 , wn + n un }
, n , n -
, u n , n n + 1 - -
k = lim
k = m
k =0
1
2n + 1
k = n
, , I , { i } -
.
. ( [1] ),
. . ( [2] ) .
(t ) , < t <
M ( 0 ) < ( ).
.: [1] B i r k h o f f G., Proc. Nat. Acad. Sci. USA, 1931,
v. 17, p. 65660; [2] C h i n t s c h i n A., Math. Ann., 1932, Bd 107,
S. 48588.
; one-valued property
of a set relatively to a measure , ,
.
( ) / ( )
/ ;
union / sum o f r a n d o m e v e n t s
A B
,
A U B sup ( A , B ) .
:
Ai ,
iJ ,
; Laplace first law / distribution ,
Ai
88
1
n +1
1
n +1
X 1 , ..., X n
. . X (t )
M ( 0 | I ) = lim
. B1 B1 , ... , Bn Bn
<
i - ,
U A ,
i
i=J
, Ai
. ,
A ( A ) ,
A U = A,
AU = .
A A U B , B A U B . C
, A B C ,
, ., E - E c1
c2 -
AU BC,
i Dn D p+ f ( ci ) + ( 1) i D p f (ci ) = 0 , i = 1, 2
A U B A B
.
: A U B = B U A ;
:
:
A I ( BU C ) = ( A I B) U ( A IC ) ;
= A
.
.: [1] . ., . ., .
., , ., 1979;
[2] ., , .,
1969.
; one-dimensionl diffusion , . . .-
. . .- . ( , [1], [2] ) ,
. -
. . ( , [3], [4] ) . . .
( , [4], [5] ).
1
= ( t , , At , Px ) , E R
. . x D D -
, . . . E - , E
, , , .
E = [c1 , c2 ] , ( , )
. .- ( ) p ( x ) n ( x )
, x E . p ( x )
= Px { 1 = c2 } E - ,
, 1 , - I
= ( c1 , c2 ) - -
. n ( x ) I - D +p m ( x ) - ,
m ( x ) = M x 1 < ( D +p m ( x ) -
lim
y x
. .-
( , [4], [5] ). . .- . .-
[1], [2]- .
. .-
( , [4], [5] ). ,
. .
( , ; ; [4], [5] ).
, ; .
.: [1] F e l l e r W., Ann. Math., 1952, v. 55, p. 468519;
[2] F e l l e r W., Ann. Math., 1954, v. 60, p. 41736; [3] . ., . , 1955, . 105, . 20609; [4] . ., , ., 1963; [5] ., ., , . .,
., 1968; [6] . ., . . . -,
1960, . 9, . 14389.
; ;
; one-dimensional diffusion; c l a s s i f i c a t i o n
= ( c1 , c2 ) R1
E - X =
= { X t , , At , Px }
of
boundaries
. c1 . ) X
= lim X t Px { X = c1}
t
, c1
) Px { X = c1 , < }
, c1
; ) c , ( c1 , c )
, M x c , c1
[ , ; ) ) x E -, ) ( c1 , c )
m( y ) m( x)
p( y ) p ( x )
, c E ]. c2 .
; D p m ( x ) -
). , , n ( ci )
= n (c1 + 0 ) n ( c1 ) ,
2 = n ( c 2 ) n ( c 2 0) .
A U ( B UC ) = ( A U B ) U C ;
: A U A
, 1
= i ,
i = 1, 2 , 1 ( 2 ), c1 - ( c2 - )
c1 c2 , . .
.
1
c2 ( c1 ) -
. .- E R . ., c1 E
. n ( x ) E - I
c1
A f ( x )
A ,
Dn D +p
f ( x ) , x E . A
f
( , [4], [5] );
c1 E - ,
; c1 E X
E \ { c2 } - , c1
89
. : x x
c1
=0
( ,
; ).
E
. ( , [3] ).
.: [1] . ., , ., 1963;
[2] ., ., , . ., ., 1968; [3] F e l l e r W., Ann. Math., 1952,
v. 55, 2, p. 468599.
; one-dimensional random
process , .
; one-parameter
Euler numbers , .
; one-sample Students test , .
; one-sided distribution ,
.
; one-sided infinitely divisible distribution
[ r , ) ( ( , r ] )
r < . F ( x ) -
., . . . . .
.: [1] . ., . .,
, ., 1972; [2] ., , . ., .,
1975.
; one-sided Students
test , .
; bispectrum ,
.
; bispectral function
( , ,
).
; bispectral density , , M ( t ) = 0
( t ) ( , ) .
.: [1] B r i l l i n g e r D., Ann. Math. Stat., 1965, v. 36,
p. 135174; [2] B r i l l i n g e r D., R o s e n b l a t t M., .:
Spectral Analysis of Time Series, N. Y. L. Sydney, 1967, p. 153
88, 189232; [3] ., ,
. ., ., 1974; [4] S u b b a R a o T., G a b r M.,
An introduction to bispectral analysis and bilinear time series models,
N. Y. [a. o.], 1984.
; bit
2 ( . binary digit, ). . .
,
( . natural digit ) ( . hartley ) .
; Blackman Tukey method ( t ),
t = 0 , 1, ... ( ) t = 1, 2 , ..., T xt
*
f ( ) f T ( ) -
lext F = inf { x : x , F - } ,
f T* ( ) =
rext F = sup{ x : x , F - } .
>
. lext F
rext F
<
, F
. F , f ( t )
G ( x ) ,
k T 1
aT ( ) BT* ( ) cos
*
, BT ( )
(*)
=0
t +T
xt , xt ,
t =1
) -
aT ( ) , > kT , -
G x 0 ( x 0 )
, k T , T -
. lext F
>
( rext F
<
dG <
( x 1 d G < )
0
lext F =
x 1 dG ,
90
rext F =
dG .
( ., k T
= 0,1 T ). . . . [1]- -
[ xt I T ( ) BT ( )
I T ( ) -
*
, f T - (*)
] ( , ., [5] ).
. . .-
( , ., [6] ).
.: [1] B l a c k m a n R. B., T u k e y J. W., The measurement
of power spectra, N. Y., 1959; [2] ., .,
, . ., . 12,
., 197172; [3] ., , . ., ., 1976; [4] ., .,
, . ., .,
1974; [5] . .,
, ., 1981; [6] . ., . ., . - . ., 1982, . 70,
9, . 24355.
; Blackwell theorem , , .
; block , .
( ) ; block decoding n
n
; - . . .-
,
. . .-,
, ,
. ,
. .
( , ( ) ).
.: [1] . ., . .,
, ., 1982.
; block code A
n . n
. .-
, R
= n 1 log 2 M . .-
, M . .- .
. . . A -
( ,
A < -
) . . A - k , . .
( ) ( n , k ) .
2
O ( n ) -.
, . .
.
.
. .-
.
.: [1] ., ,
. ., ., 1974; [2] - . ., .
. ., , , . ., ., 1979.
; block design
,
. -
. [1]-
. .,
, , , .
, ,
( ) .
,
.
,
. . .
. ., . .
yi j k = + i + j + i j k ,
i = 1, ..., t , j = 1, ..., b , k = 1, ..., K ij
(*)
,
yi j k , ( i , j ) k - ,
, i , j , j -
i - , ijk
. , ,
,
, , j .
( , ) . .- .
, , ,
. . , . .- ( ) ,
.
. , . .- ( , [2], [3] ).
k b
, t > k . ., t
r
, ( . ).
- r t = b k ( t 1) =
= r (k 1) , .
-
.
(*) i
k
c
i
= 0 ) -
. k1 , ..., k t 1
k
= ( k1 , ..., kt 1 )
91
D , ki , k i
. D - . .
.
, , D - - .
. .- ( . , ), b , k , t
r , , . . , :
1) m
; i -
ni ;
2) i - i ;
3) i - , j - , k -
p ij k = pki j .
m = 1 -. -
; - ,
( , [8] ).
, (*) . X
( i , j ) , i = 1 , ..., t , j = 1, ..., b ( ,
), i ,
, 1
T
= T 1 = 0 , T = (1 , ..., t ) , T =
= ( 1 , ..., s ) , 1 .
.
Z =
( i, j ) , ri =
(i , j ) ,
j
(i , j ) ,
kj =
r = (r1 , ..., rt ) ,
T
( t 1) - , C ( ) = K ZK 1Z T , ,
l1T l2T k1
k2 , cov ( k1 , k 2 ) = l1TC ( ) l2 ,
C , C - g .
=k
, c , d C ( )
*
= c I + d 11
T
C ( ) - C ( ) S
, C ( ) S -
*
,
m
( (
i
i =1
92
) i ( ) ) 0
= 1, 2 , ...,
i ( ) , C ( ) - i - ( ).
*
: ( C ( )) S -,
*
, ( C )
( , ).
, k i = k ,
. - .
:
,
, . , ;
*
S - C ( ) *
. - .
.: [1] . ., , . ., 1958; [2] .,
, . ., ., 1980; [3] .,
, . ., ., 1970; [4] Partially
balanced design, .: Encyclopedia of Statistical Sciences, v. 6, N. Y.,
1985; [5] Nearly balanced design, .: Encyclopedia of Statistical
Sciences, v. 6, N. Y., 1985; [6] C l a t w o r t h y W. H., Nables of twoassociate-class partially balanced designs, Wash., 1973; [7] . ., , ., 1970; [8] . ., . .,
, ., 1979; [9] G i o v a g n o l i A.,
W y n n H. P., Proc. Berk. Conf. in Honor of J. Neyman and J.
Kiefer, 1985, v. 1, p. 41833.
; block scheme
, .
; block
struture , .
; block frequency , .
-
- ; Blumenthal Getoor Mc Kean theorem ,
;
, k j
; Bochner integral
( ) . , ( , A , ) ,
, B . f : B
(
) A - ,
.
lim
f n ( ) f ( ) d ( ) = 0
(*)
f n : B , f : B
. ,
, f n - B -
, (*) f -
. f
.
f ( ) d ( ) < +
( B ) = 1 1 B ... p B p
( B ) = 1 1 B ... q B
, B xt
= xt 1 , M xt , xt , at -
, a
.
. .- - .
.: [1] ., , . ., .,
1967.
. ( z ) = 0 ( z ) = 0
Z
: xt
: t R
f (t ) =
f (t )
j,
p, d , q
j = 1, ..., p , j , j = 1, ..., q 2
.
. . . [1]- . d - Wd , t
Rn
f (t ) - n
= (1 B ) d ( xt M xt )
. p q d -
. , R -
f ( 0 ) = 1
[2]- :
w d 1, t 1 w d , t
- .
. [1] [2]- . . . . . . ( , [3] )
.
( )
w d , t . ( p , q ) - -
. . .- R - ( ,
[5], [6] ).
., Z ( ) . ( F. Riesz )
. ( H. Herglotz ) . . . .
.
( ,
, ).
.: [1] B o c h n e r S., Vorlesungen ber Fouriersche integral, Lpz., 1932. ( . . .,
, . ., ., 1962 ); [2] B o c h n e r S., Math. Ann.,
1933, Bd 108, S. 378410; [3] K h i n c h i n e A., Math. Ann.,
1934, Bd 109, S. 60415 ( . . . , 1938,
. 5, . 4251 ); [4] ., , . ., . 2, ., 1984; [5] . ., . .,
, ., 1961; [6] .,
, . ., ., 1981; [8] .,
., , . , . 2,
., 1975.
; Box Jenkins approach / method
( )
. , ,
,
. ,
xt , t = 1, ..., n ( p, d , q )
(
) ; (1 B ) ( B ) ( xt
d
M xt ) = ( B ) at
.
d 1 , ( p , q ) -
w d , t ; k > q q
,
k > p , p
. p
q - ;
.
rq + i =
j rq j + i
i = 1, ..., p
j =1
.
,
C k = ( k + 1 k +1 + ... + q k q ) 1 +
j =1
2
j
,
C k , k = 1,..., q ,
w d , t = w d , t
w d , t j
j =1
. a
2
.
; ,
93
w d , t
. a t
. . . .
.
[1]- .
q = 0 ,
,
( .,
). q 0 ( , ., [5] ) j k
.
[3]- ( p , q )
( , [3] ). [4]- .
.: [1] ., ., . , . ., . 1, ., 1974; [2] S a i d S.,
D i c k e y D., Biometrika, 1984, v. 71, 3, p. 599607;
[3] A k a i k e H., A r a h a t o E., O z a k i T., Computer Science
monographs, 1975, 5; [4] A k a i k e H., N a k a g a v a T., Statistical Analysis and Control of Dynamic Systems, Dordrecht, 1988;
[5] F r i e d l a n d e r B., IEEE Trans. on Inform. Theory, 1982,
v. IT-28, 4, p. 63946.
; Box Wilson method
( ,
).
; Bogolyubov equations
hierarchy / chain
t
( = 0 )
. . . .
:
(n)
( ; t ) = { (n) ( , t ) , H (n) } +
t
+
H ( n ) ( ( q1 , p1 ) , ... , ( qn , pn ) ) =
1
2
|| p
||2 +
j =1
94
U ( || q
1 j1 , j2 n
j1
q j2 || )
U ( r ) , r 0 n , V ( qn + 1 | q1 , ..., qn )
U ( || q
n +1
q j || ) ,
j =1
qn+1 R
q1 , ..., qn R
, { , }
. { t } , ,
(*)
. (*)
[1]- . .
. ( ,
)
. (*)
- ( , [2], [4] ). ( , [5] ).
. . .
( , [6], [7] ).
.: [1] . .,
, . ., 1946, ; ,
. 2, ., 1970, . 90196; [2] G a l l a v o t t i G., L a n f o r d O.,
L e b o w i t z J., J. Math. Phys., 1972, v. 13, 11, p. 2898905;
[3] . ., . ., . ., , ., 1985; [4] . ., . .,
. . , 1974, . 19, 3, . 34463; [5] G u r e v i c h B. M., S u h o v Y u. M., Comm. Math. Phys., 1976,
v. 49, 1, p. 6396; 1977, v. 54, 1, p. 8196; 1977, v. 56, 3,
p. 22536; 1982, v. 84, 3, p. 33376; [6] S p o h n H., Rev. Mod.
Phys., 1980, v. 52, 3, p. 569615; [7] . ., . ., . ., .: . . ,
. 2, ., 1985, . 23584.
; Bolshevs approximation ,
.
1 , ..., n
P { 1 = r1 , ... , n = rn } =
1
r!
r1! ... rn ! n r
(*)
.
r n r
n
i , i -
, (1 , ..., n ) . . .
1, 2 , ..., n r1 , ..., rn
(*) ;
.
.: [1] .,
, . ., . 1, ., 1984.
; Boltzmann statistics
( )
. . ( L. Boltzmann; 1868 71 )
;
.
,
N i
. i - Gi 6
h 3 , h
= 6 ,62 10 27
.
. Gi N i , N M
WB ( ... N i ... ) = N !
GiNi N i ! ,
1 i M
N =
, ,
. . .-
.
, , ,
,
WB - N ! .
. .- ,
,
N E -
. .- f ( , t )
( , [2], [3] ).
{ f n }, f n = f ( q1 , 1 , t ) f ( q 2 , 2 , t ) ... f ( qn , n , t ) , . . ( , [2] [4] ).
, . .-
. - . .-
,
,
( )
.
.: [1] ., , . .,
., 1956; [2] Nonequilibrium phenomena, Stud. Stat. Mech., 1983,
v. 10; [3] . ., . ., .: . . . . , . 14, ., 1977, . 539; [4] . ., [ .], .: .
. , . 2, .,
1985, . 233307; [5] ., ,
. ., ., 1981; [6] ., , . ., ., 1978.
; Bonferronis inequality n
A1 , ... , An r
P[r ] -
. ,
W -
;
:
ni = N i Gi = e( i )
kT
E =
k = 1, 38 10 16 erg grad ), T , .
.: [1] ., ., , . ., 2 ., ., 1980; [2] ., , . .,
., 1955.
;
Boltzmann equation . 1872- ( , [1] )
,
:
f ( q, , t )
t
+
f ( q, , t )
+
q
[ f (q, , t ) f (q, 1 , t ) f ( q, , t ) f ( q , 1 , t ) ]
| 1 | B ( 1 , ) d d1 ,
f ( q , , t ) q R 3
v R 3 t , S 2 ,
( , 1 ) 0 , B ( , ) , ,
= ( 1 , ) , 1 = 1 + ( 1 , ) .
,
[1] [4] ).
( ,
( 1 ) j r C jj r p j ,
(1)
j=r
pj =
i Ni ,
P[r ] =
1 i1 <...< i j n
IA
ik
k =1
, p0 = 1 .
n r Pr
:
Pr =
P[i] =
i=r
(1)
j r
C jj1r p j .
(2)
j=n
(1) (2) pr , pr +1 ,
..., pr + k 1 , pr + k , ..., p n ,
. ., (1) k = 1 k = 2 ,
=n
P { A } P I A .
i
i =1
i =1
, .
.: [1] B o n f e r r o n i C. E., Publ. Ist. Sup. Sci. Econ. Commun.
Firenze, 1936, t. 8, p. 162; [2] B o n f e r r o n i C. E., .: Volume
95
; Borel algebra , , .
;
Borel algebra
, .
. .- .
. , .
.: [1] ., , . ., ., 1953.
;
Borel set (
) . . .
.
,
. . . 1 -
, 1 . , .
.
G , F , G , F .
. .- - .
G
( . . ).
. . , .
.
, , .
.: [1] ., , . ., . 1, .,
1966; [2] ., . . .
. , . ., ., 1975.
;
Borel function T , f . a R
f
(( a , + )) T -
, g R
. T
. .
T - , f
( A ) -
. g f , T - . .- . g + f ,
g ( R ), g f , sup ( g , f ), inf ( g , f ) , g
1
x T ,
f = lim f n . .-. . .
n
. ( T , S ) , , T -
96
, T -
.
n
f R - g
. . , x R n
f ( x) = g ( x)
.
T . .- 1 -
; 1 . . .-
,
. . .-
.
. .-
.
.
,
( ). . .
; T Y
, A Y
f 1 ( A ) T
T Y , f , T Y
, B T - , f ( B )
, , Y - .
Y - ( ) . f
( ) ,
f ( B) Y .
.: [1] ., , . ., . 1,
., 1966; [2] ., . .
. . , . ., .,
1975.
,
; Borel strong law of large numbers
( , ) .
( , [1] )
. 1 , ..., n ,...
P { i = 0} = P { i = 1} =
S n
1
, i = 1, 2 ,... .
2
1 2
k =1
. . [1]- ,
Sn n 1 2
. .-. ( f n ) nN , T - . .
= Rn
. , R - ,
). : f , T -
1
. .
. g o ( T , S )
, f , ( , A R f
n .
. ( G. Hardy, 1914 ) . ( J. Littlewood )
,
lim
Sn n / 2
n ln n
<
1
2
. 1922- . .
; ,
P lim
n
Sn n / 2
1
=
= 1.
n ln ln n
2
, .
.: [1] B o r e l E., Rend. Circolo mat. Palermo, 1909, v. 27,
p. 24771; [2] .,
, , . ., ., 1963.
;
Borel mapping , .
, ; Borel field of sets , M M -
,
, .
; Borel
measurable function , .
; Borel
model ,
.
- P ( A ) ,
.
. . ,
.
. . .
. . . .- -
( , [1] ) ( , [2] ) .
.: [1] B o r e l E., Rend. Circolo mat. Palermo, 1909, v. 27,
p. 24771; [2] C a n t e l l i F. P., Atti Accad. naz. Lincei, 1917,
v. 26, p. 3945; [3] . .,
, ., 1987; [4] .,
, . ., ., 1962.
; Borel Cantelli Lvy
lemma , .
; Borel Tanner distribution m = k , k + 1, ... ( k
)
pm = P { = m } =
k
m m k 1 e m m k ,
( m k )!
; Borel
measure T
. ( T ) = 1 , . .
. . .-
, , .
. . . .,
,
, ,
n
. . . R -
. . .
.: [1] ., , . ., ., 1953.
-; Borel zero-one law
, .
; Borel theorem , ,
P lim An = P
n
I UA
k =1 n = k
= 0.
A1 , A2 , ... , lim An n
0 -, 1 - . ,
, :
P(A )
n
: 1) k = 1 , = 0,3 = 0, 7 ;
2) k = 5 , = 0,3 = 0, 7 .
;
k - .
; empty blocks test F1 n1 F2
97
n2
0(1) ( n1 ,
n2 )
.
. . .
F1 F2 - .
( , ):
u = 20(1) ( n1 , n2 ) + 2 ( n1 + 1) + =
= 2 0( 2) ( n2 , n1 ) + 2 ( n2 + 1) + ,
, 0 1 , 0 ( n2 , n1 ) ( 2)
.
.: [1] ., , . .,
., 1967; [2] . ., .: .
. .
, . 26, ., 1988; [3] M o o d A. M.,
Ann. Math. Statist., 1940, v. 11, p. 36792.
, F ( zk ) F ( zk 1 )
. 0
= 1 N , k = 1, 2 , ..., n
>C
n i = n n ( n 1) in 1 ,
in 1
. -
.
n -
;
.
r
1 N -
0 ( n , N )
. 0
.
. . .- r = cr 0 0 + cr1 1 + ...
+ cr r r ; k k
. .
.: [1] . ., . ., . ., , ., 1976.
98
= n1 ( x1 , ..., xi 1 , xi +1 , ..., xn ) , xi
*n = n 1
ni
i =1
.
n n
M ( n ) = b1 n + b2 n 2 + o (n 3 )
*
, n -
, n
. . .
.
0 ( n , N )
i = 1, ..., n
.
. . . n -
( z k 1 , z k ] ,
. . . .-
, 0 C , 0
M ( *n ) = b2 n 2 + o (n 3 ) .
. . .- m ,
. n -
. . .
n* = ( n ( n 1) ) 1
ni
*n ]2
i =1
.
.: [1] M i l l e r R. G., The jackknife a review Biometrika
61, p. 117, 1974; [2] Q u e n o u i l l e M., Biometrika, 1956,
v. 43, 34, p. 35360; [3] T u k e y J., Ann. Math. Statist.,
1958, v. 29, 2, p. 614; [4] ., , . ., .,
1988.
; Boze Einstein model , .
; Boze Einstein statistics
- [ ( , , )
] . . ( S. Boze )
. ( A. Einstein ) 1924- . - .
n . - r
n
Cnr + r 1
C nn+r11
( ,
) r -
n C rn11 ( r > n) .
,
.
., { n p } ; n p
p ,
= 0 , 1, 2 ,... .
; boson
space , .
*
; partition ,
-
-
. Bi , Bi
i j , Bi I B j = , i, j = 1 , n ,
, ( i = 1, n ) ,
n
U1 B
= ,
i=
Bn = { B1 , ... , Bn }
. Bi - Bn
A (Bn )
Bn
n
2 :
n = 2 , B2 = { B, B } A ( B2 ) = { { B }, { B } ,
, } .
( , F , P ) , Bi F , i = 1, n , Bn =
. . . n p
= { B1 , ... , Bn }
V
. ,
- Bn .
i = pi2 2m Gi
, , Gi >> 1 .
{N i } ; N i
n p - .
,
W (Ni ) =
(G + N
i
i Ni
1)! N i !( Gi 1)!
ni = N i Gi = ( e
Ai =
i =1
.
, .
.: [1] . ., , ., 1980.
)
; partition o f
n u m b e r , .
E =
( )
.
A (Bn )
( i )
1)
K K ; K partition
{ T , t Z R }
t
1) t 0 T t ,
VT
t
= ( mod 0 ) ,
- ;
= 1, 38 10 16 erg grad
natural
2)
, , k ( k
),
T .
. . .-
, . . .-
,
.
.: [1] ., , . ., .,
1966; [2] . ., . ., . .,
. 2- ., .,
1997; [3] ., , . ., . 1, ., 1984; [4] . .,
, .: , . 2,
., 1970.
3)
T t = ( mod 0 ) ,
-. K . t < 0
. K .- K
.
/
; dizjoint familis of
measures -
. ( X , A ) .
G 99
=
( X X ) 0 ( X ) = 0
A , , ( { X , } ,
) .
( X X ) = 0
{ X , } ,
X I X
= =
{ ,
, A
()
.
. X [ 0 , 1] [ 0 , 1] , A
= [ 0 , 1] U [ 2 , 3 ]
. [ 0 , 1] , 0 x 1 , y =
, [ 2 , 3 ] ,
x = 2 , 0 y 1 .
X , { , [ 0 , 1] U
U [ 2 , 3 ]} , { , [ 0, 1]}
,
, n
R - , n
l
,
1- m
.
( , [1] ) . . n pnk , 0 < p nk < 1 , k = 1, ... , k n
. , ., ,
,
. (1)- Ynk , m = 1 ,
Z nk nk
k - , nk = nk ,
k = 1, ... , k n , ,
n pnk ; (2)-
zn = n .
. .-
; (1)- f nk k
n
( , [2] ).
cr r -
r=0
[1]- ( ) ,
. . .-.
X , c . - X - 2c
r =
kn
I (
nk
= r)
k =1
[ I ( A) , A ]. . .-
-. X
[ 0 , 1] - -
. . .- 2 - , X - . . .-
c - . , X - . . .
, , . . . .
.: [1] . ., . . ,
1984, . 113, 2, . 27375; [2] . .,
. ., , ., 1980; [3] . ., , .,
1979.
. . .-
[2] [6]- .
, n , k n
( , [3] ), 2
c
; decomposable statistic
Xn =
kn
f nk ( Ynk , Z nk )
(1)
k =1
, Ynk Z nk
, l m , f nk ,
R l + m
( ). Tnk = ( Ynk , Z nk ) , k = 1, ... , k n
Pn
nk = ( nk , nk ) , k = 1, ... , k n
- , ,
n =
kn
nk
= yn , n =
k =1
100
kn
k =1
nk
= zn .
(2)
. .- .
X n . .- ( f n k ( n k ), n k ) , k
= 1, ... , k n
, ,
, . .-
, Pn - . .-
, . .- .
.: [1] . ., . , 1970, . 192,
5, . 98789; [2] . ., . ., . ., .: . . . . ,
. 22, ., 1984; [3] . ., . ., . ., . . - , 1986, . 177; [4] . ., .: . . . . ,
. 26, ., 1988; [5] . ., .: . . . . , 1985, . 30, 1, . 17074; [6] H o l s t L.,
Ann. Probab., 1981, v. 9, 5, p. 81830.
;
separability condition , .
;
separation principle
, .
, w = (w t ) t 0 -
. { k , k
( M k
= ( Yt ) t 0
u = ( u t ) t 0 X s , 0 s t -
( Ft X ) ~ = (w
~ )
, X = ( X t ) t 0 w
t t 0
Ft
~
d X t = A ( t ) Yt d t + B ( t ) d w
t
1
n
1
2 P ( T )
1
2 P ( T )
l ( y) exp
L ( t,
( y T ( Y )) 2
2 P (T )
dy +
( y T ( Y )) 2
y, ut ) exp
2 P( T )
dy dt ,
( t ( Y ), P ( t ) ) t 0
A(t ) P (t ) ~
d wt ,
B (t )
2
A ( t ) P( t )
dP ( t )
,
= 2 a ( t ) P ( t ) + b 2 ( t )
dt
B( t )
w = (w t ) t 0
t
wt =
dX s A ( s ) s ( Y ) ds
;
B(s)
,
Y
(Y )
= ( t (Y ) )t 0
1
n
Mk
. . . . . . .
1933- . . ( , [6], . 99 100 ).
.
17- 18- . [1]-
, n
1
n
>0
X s , 0 s t -
Yt - Yt
.
.: [1] W o n h a m W. M., SIAM J. Control, 1968, v. 6, 2,
p. 31226.
; law of large number
(1)
n A ,
k , k = 1, 2 , ..., k - A - , , 1 0
p 1 p .
. , A
( , [2] ). p k , A
k - , k
p = ( p1 + p2 + ... + pn ) n
,
d i (Y ) = ( a ( t ) t ( Y ) + c ( t ) ut ) d t +
P { | n p | > } 0 ,
VT (u ) =
L ( t , Yt , ut ) d t
=M
0 < p < 1 p A -
.
( X 0 , Y0 ) ,
n p n
~ w -
, w
Vt (u ) = M l ( YT ) +
dYt = ( a ( t ) Yt + c ( t ) ut ) d t + B ( t ) d w t
< + )
1}
>0
= 1, 2 , 3 ,...
P{ | n p | > } 0
(2)
. , . . ( 1846 ) ;
. (2)-
. .
, . . .
.
: M n ( M i - ) p -, p - .
, k
( ) .
. . ( 1867 )
, 1 , 2 , ..., n , ...
101
>0
1
n
1
n
k =1
> 0
k =1
(3)
. . . M k
2
, -
= M k2 ( M k ) 2
, k - D k
1
n
k ,
. . . (3) ,
. . ( 1929 )
.
. . .-
.
. 1 , 2 , ..., n , ...
C1 , C 2 , ..., C n , ... ,
>0
P{ | n Cn | > } 0
k =1
= o ( n 2 ) . , . .
(4)
( { n C n }
. . . (
)
. . .- ( , [3] ):
; (4) Cn ,
{ k , k 1}
), 1 , 2 , ..., n , ...
n
1
D
k 0
2
n
k =1
lim P
n
1
n
>0
n
1
n
k =1
k =1
..
n,1 , ..., n, kn ,
< =1
. , ( , [3] ) . . . .
. . .-
[
(3)
2
;
; , ]. . . . . . . k .
k ,
k
: n,
k ,
0 ,
( n, kn - ,
).
. k1 = 1,
k 2 = 2 , ..., n, k = k / n
.
n = n,1 + ... + n,kn
k =1
n, k =
= m n . m ,
.
, 1 , 2 , ..., n , ... -
Cn
k M k Ln ,
k M k > Ln
? . . ( 1928 ).
n,k -
. n,k ,
n - M n M n
(3) .
102
>0, L>0
1+
<L
n ,k
n ,k
1
>1
. n
kn
P{ |
n,k
0,
n, k =
, Ln .
., ,
. . .-
: n
n, k
| > 1} 0
k =1
n
kn
~2
M
k =1
n, k
n -
. 1 , ..., n , ... ,
~
M n,k
, j i
. .
M n,k ,
j - n
kn
. n
k =1
, Cn
= M n
. . .- (3)
. { i }
( j i ) i -
i -
( ). . . . : n
. n n
1
M
n
n P { | 1 | > n } 0
(5)
.
(5) . ., n
. n
n t / n
- ), (5)
= e t -
, n - n
t
i , e -
, n -
.
. . .
. .,
n - n 1 , 2 , ..., n
: n
= 1 +
... + n ,
, 1 , 2
. n n
, n
1 1 2 x 3 2
e
x , x > 0,
p ( x ) = 2
0,
x0
. , i
, n n
( ) n [
, . . . , n n - o (1) ].
. . .- ( , )
, i j i j , .
. . ( 1907 )
P
n
( -
1 + ... + n
a = lim M k ; , n
1 (1 + x )
e
k a 0
k =1
k =1
a > 0
. . . .-
. . :
L , R , ( n) , n
D j < L ,
R ( i , j ) ( | i j | ) , { n }
(3) . . .
. { n } ,
lim
1
n
=0
j =1
, R j
= R (i , i + j ) .
. ,
. :
, . (
). ( , ).
d , ,
. ., { n } ,
M n ( x , x - )
,
1 + ... + n
n
>0
M 1 > 0
103
. . .
. ,
1
T
( t ) dt
( , [1] ).
, k , k 1 F (x ) ,
,
sup
, ( t )
( , ., [11] ).
,
.
. .
( 195155, , [10] ).
. .
. n, 1 , ..., n, n ,
>0
. f ( n,1 , ..., n , n )
. . . ; ,
n [ . ( 1925 ) ,
, , ].
.: [1] B e r n o u l l i J., Ars conjectandi, opus posthumum, Basilae, 1713 ( . . ., ,
., 1986); [2] P o i s s o n S.-D., Recherches sur la probabilit des
jugements en matire criminelle et en matire civile, prcedes des rgles gnrales du calcul des probabilits, P., 1837; [3] .
., . . ., . 2, . ., 1947; [4] . ., , 4 ., ., 1924; [5] . .,
, 4 ., . ., 1946; [6] .
., , 2 ., ., 1974;
[7] . ., . ., , . .,
1949; [8] ., , ., ., .,
1956; [9] .,
, . ., ., 1965; [10] . ., , .: .
. , ., 1955, . 54174; [11] ., , . ., ., 1962; [12] U s p e n s k y J. V., Introduction
to mathematical probability, N. Y. L., 1937.
; law of large numbers i n B a n a c h s p a c e s
. ,
, ,
. , 1
. . . .-
, 1
.
. . .-
.
. . . . . . .
104
< x <
Fn ( x) F ( x) n
0
1 ,
Fn ( x) =
1
n
I {
< x}
k =1
, I { k
< x} ,
< x}
{ k
. ,
( I { k < x } , < x < ) ,
.
. . .-
. ( , [2] ) . , { k , k
1}
( B, )
,
,
1
n
k =1
1 , , M 1
<
1
n
lim
= M1 ;
k =1
M 1 , 1 .
. . .-
, . . .- .
( )
. . .-
( , [3] [5] ).
. . .-
.
.: [1] G l i v e n k o V., Atti Accad. naz. Lincei., 1928, v. 8,
p. 67376; [2] M o u r i e r E., Ann. Inst. H. Poincar, 1953, t. 13,
p. 161244; [3] .,
, . ., ., 1965; [4] H o f f m a n J r g e n s e n J., P i s i e r G., Ann. Probab. 1976, v. 4, p. 58799; [5] T a y l o r R. L., Lect. Notes in Math., 1978, 672; [6] . ., . .,
, ., 1989.
; law of large numbers f o r n o n - s t a t i o n a ry random processes
1) ( t )
lim
1
T
(t ) d t
= ,
(1)
1
T
lim
( t ) =
(1)
t =1
,
( , ) 1
[
(1) (1)
]. t
, M ( t )
M ( t ) ( s ) = B (t , s )
t , s - , ., C <
T
> 0, S > 0
T S -
T S
1
TS
lim
T ,
S
B ( t , s ) dt ds
,
0 0
1
TS
T S
B ( t , s ) dt ds < C
0 0
, . . .
( , [1], [2] ).
. . . ,
,
( t ) , (
= Z ( + 0)
Z ( 0 ) , Z ( ) , ( t )
,
(1) (1)- 0 t T
S t T , T S
( , [3], [4] ).
. . .
( t )
( , [5], [6] ).
2) ., t ,
= lim
1
T
F ( x ) ,
M ( t ) d t
= 0 ( , [5], [6] ). ,
( t )
.
.: [1] K a w a t a T., Trans. Amer. Math. Soc., 1965, v. 118,
6, p. 276302; [2] K a w a t a T., .: Keio mathem. seminar
reports, 1, Yokohama, 1973, p. 123; [3] .,
, . ., ., 1962, . 49699; [4] .
., . ., 1959, . 4, . 3, . 291310;
[5] N a g a b h u s h a n a m K., B h a g a v a n C. S. K., Sankhya,
Ser. A., 1969, v. 31, p. 421424; [6] R a o M. M., .: Developments
in statistics, v. 1, N. Y., 1978, p. 171225; [7] ., ., , . ., .,
1969, . 99103.
; law of large numbers
f o r M a r k o v
p r o c e s s e s
-
. 1 , 2 , ... , i , i = 1, 2 , ...
( i , Ai ) .
(i , Ai ) = (, A ) 1 , 2 , ...
. : 1) 0 < ( ) <
>0
, ( A ) <
p ( , A )
< 1
, ,
X ( ) ( d ) < .
lim
= [ ( t ) M ( t )] ,
n = sup
1 k <
.
T T
B (t , s ) d t d s = 0
0 0
( , [7] ). ( t ) ,
= 0 , , , = 0 ,
= 0 F ( , ) - -
1
n
X ( ) = X ( ) ( d )
k
k =1
.
1) ; ,
.
,
:
M ( t ) = 0 = 0
2) - .
, A - , X ( ) , -
(2)
0 t
[ (2)-
1
T2
M ( t )
lim
= 0 -
, , , F ( )
, , ( t ) -
].
( , [3], [4] ); (t ) -
sup
P ( A | B) P( A) .
A Ak + n , BAn , P ( B ) >0
k - , k = X k ( k ) .
[3]- .
Xk ,
k =1
12
k
<
D k / k 2 < ,
k =1
105
lim
1
n
M k ) = 0
(*)
12
k)
<
12
k
n 2
k =1
=0
k =1
k =1
<
12
k
, k
k =1
( , ).
lim n1 n 2
=0
k =1
, (*)-
( , [2] ).
.: [1] . ., , . .,
., 1956; [2] S t a t u l e v i c i u s V., Proc. 2-nd Japan USSR
Sympos. on Probab. Theory, 1972, v. 1, p. 13852; [3] . .,
. .- . , 1984, . 3, . 5077.
; law of large numbers f o r s t a t i o n a r y
r a n d o m p r o c e s s e s 1) , ( t )
lim
T S
1
T S
(t ) d t
(1)
lim
T S
=0
1
T S
T 1
(t )
(2)
=0
= M (t )
, ( t )
, (*) .
(1
b ( )
, [
lim
k =1
T 1
1
T
lim
(1)
t =S
. [ (1) , (1)
], (
) .
. . .- . . ( , [1], [2] ).
,
]. . . .- . . , ( [4], [5] ); (2)
(2) ( t ) = 0
( , [3] ).
. . .- R
Z k
.
.: [1] . ., . ., 1933, . 40, . 12428;
[2] K h i n t c h i n e A., Math. Ann., 1934, Bd 109, S. 60415;
[3] ., , . ., ., 1956;
[4] S l u t s k i E. E., .: Actualits Sci. et Industr., 738, P., 1938,
p. 3355; [5] . ., .: , .,
1960.
; law of large numbers f o r
r a n d o m f i e l d s
. : , , 1
(
) . ., ,
X ( t ) R m
= 0 . -
, M X ( t )
B ( h )
= M X (t + h ) X (t )
B(h) =
...
i hk k
e k =1
F ( d ) ,
( t ) = 0 Z ( )
- ( , ., [3] ).
Bm - . X ( t )
F( ),
2) = M ( t ) , ,
[ , ]m
X (t ) =
b ( ) = M [ ( t + ) M ( t + ) ] [ (t ) M (t )]
... e
i t k k
k =1
z ( d )
, z ( ) , Bm - -
lim
1
T
106
b ( ) d
0
=0
(2)
M z ( S1 ) Z ( S 2 ) = F ( S1 I S 2 ) ,
S1 Bm ,
S 2 Bm . z { ( 0 )} - ,
lim
1
( 2 N + 1) m
|X j | N,
j =1,..., m
X (t )
= ( 0 , ... , 0)
. 1 M X (t ) - ( M X (t ) =
P { | S n n An | } 1
, ( 0 ) , R - 0
= 0 ) , M Z { (0)} =
= F {(0)} , F {(0)} = 0,
...
log log
j =1
1
|j |
( , [1], [2] ). X (t )
, X (t ) - ( ,
[3] ),
M | X ( t ) | ( ln + | X ( t ) | ) m1 < +
. . . .-, , .
[4] [5]-
.
.: [1] . ., . .,
1977, . 22, . 2, . 295319; [2] . ., .
. , 1981, . 25, . 2940; [3] S m y t h e R. T.,
Ann. Probab., 1973, v. 1, p. 16470; [4] . .,
, ., 1980; [5] . ., . . , 1984, . 30,
. 3438.
; strong law
of large numbers (
) ,
,
1
.
,
S n
(1)
= 1 + ... + n .
An - ,
S n n An 0
S n +1 (n + 1) An +1 , ...
>0
, , 1
, , .,
.
. . . . . [1]-
(
; ,
). ( 0 , 1) (
) ( , ). ., - ,
n ( )
2 n n ( ) -
n =1
0 1 1 2 . S n ( )
k ( )
k =1
n , S n ( ) n
. ,
S n -
( 1- ) 1 2
. .
, S n n - ( 0 , 1)
- 1 2 - . ,
- 10 0 , 1, ..., 9
. , 1 10 -
n ( 0 , 1)
- 1 10 - .
, r
r
(3)
n 1- , (1) . . . .- , .
, -
,
. (1) . . . .- , An - ,
n ln ln ln n 1 2
- 1 10 -
(2)
n 1- ,
(1) . . . .- , .
:
0
S n n An n ,
(2) . . . . .
1 , 2 , ..., n , ...
. . ., (1)
n 16
, (4)
An = 0 , An -
F ( d ) < +
, X (t )
(4)
.
. [2]- (
) . . . .-
.
Bn, k =
j M j
j =1
,
:
(B
n, 4
+ Bn2, 2 ) n 2 < .
n =1
107
. .
. ,
n 0 ( n )
P { | S n n An | > n } <
.
(5)
1 . , n -
S n n An n
. . . .- (
).
i k ri , k ,
< n 2 k +1 k
, Z k = 2
n
n -
(k )
(k )
, :
> 0
P{ | Z
m Zk | > } < ,
>0
(7)
m Z k , Z k - ( , [6] ). (7)- -
. .,
n = O ( n ln ln n ) n -
, (7) :
. . .
, . . .
. . . .-
exp {
k =0
max S n n An > n
nk < n nk +1
. 2
1 , (3) .
. (5) ,
.
.
. . . .- . . . .
. . . [3], [4]- An = M ( S n n )
|ik | = n
= 2 k
(5)
n =1
cn = sup | ri , k | , Cn =
. . . . (5)
, nk
> 0
DZk } <
Bn, 2 Cn = O ( n 2 ) .
. i -
. . . .-
:
. . ( 1930 )
,
( 1933 ) . (1)
D n n 2 <
(6)
= M ( Sn n )
(1) -
n =1
. . . .- An
. (6)
, bn
bn
n2
, . . . .-
D n
= bn n -
. (6) (
. . . .-
)
. m n , n - .
P{ |
m n | > n } . . . .- -
. ,
1 n m n < n .
, . . . .- -
.
108
D Z k = 2 2 k
(k )
. . . .-
( , [7] ). ., R ( n ) n
:
ln 2 n n | R ( n ) | , ( 0 + ... + n ) ( n +
+ 1) M 0 1 . . . . .,
Y = lim ( 0 + ... + n ) ( n + 1)
n
1 ( Y
0 -
. Y M 0 -
). . . . . .
. . . .- ( , [9] ).
. S n n - An -
.
.: [1] B o r e l E., Rend. Circolo mat. Palermo, 1909, v. 27,
p. 24771; [2] C a n t e l l i F. P., Atti Accad. naz. Lincei, 1917,
v. 26, p. 3945; [3] . .,
(t )
M ( t )
= M (t ) .
2) (t ) ,
(t ) [
(1) (2)-
, = M ( t ) ]
lim
, Z k (7)-
lim
hk ( ) , . ,
{ P (
>0
> n ) + exp ( 1 2n +1 hn ( ) )}
(8)
n =1
.
. . (7) . .
Z k Wk
,
. ,
- j ( (6) (8) ) . . . .-
.
[10]- ,
.
.: [10] . ., . ., 1972,
. 17, . 4, . 60918; [11] . ., .
., 1958, . 3, . 2, . 15365.
; strong law of
large numbers f o r s t a t i o n a r y r a n d o m p r o c e s s e s 1) (t )
lim
T S
1
T S
(t ) d t
(1)
lim
T S
1
T S
(t )
b ( s) = 0
s = 0
(3)
b ( s ) = M [ ( t + s ) M ( t + s ) ] [ ( t ) M (t )]
( ,
). ( t )
M (t ) < ,
(1) (2) 1 ,
, M (t )
<
[ ( t )
],
= M (t )
(3)-
[ ( t ) . . . .-
].
, , ( t ) ,
,
, [ ( t )
], (1) (2) 1 [ ( t )
]. [1]- ;
( , [2], [3] ) ( ) ( t ) . . . .-
, , , (3) 1 T 1 T
>0
(3) , . . . . ,
( , [4] ). [4], [5]- , 1 T ( log T ) / T , a > 3 (3)
a
( t )
T 1
b ( s ) ds = 0
Wk = max ( | m | m : 2 k < m 2k +1 ) .
. . . .-
1
T
= .
. . . .- ]
, hk ( )
<
( t
, , )
. . . .- .
1) [ ( t )
(1)
t=S
1 . . . . .-
; ,
, . . . . .
( , [6], [7] ), C > 0 > 0 ,
s -
(t )
109
( log log s )
.
2
b(s)
= ( n 1) 1
(t )
.
.: [1] B l a n c L a p i e r r e A., T o r t r a t A., C. r. Acad.
sci., Ser. A B, 1968, t. 267, 20, p. 74043; [2] L o e v e M.,
Rev. Sci., 1945, v. 83, p. 297303; [3] B l a n c - L a p i e r r e A.,
B r a r d R., Bull. Soc. Math. France, 1946, t. 74, p. 10215;
[4] . ., . ., 1964,
. 9, . 2, . 35865; [5] . ., .
., 1966, . 11, . 4, . 71520; [6] . .,
. ., 1973, . 18, . 2, . 38892;
[7] . ., . ., 1977,
. 22, . 2, . 295319.
; strong law of large numbers f o r r a n d o m
s e t s ,
.
,
, ,
- ( , ). . . . . .
, .
,
( z, ) =
mn1
tr I z
a = n 1
k n = mn n < 1 .
xk ,
, ,
( z , )
) z 1
( ,
, ,
1 k n + k n ( , ) = z 1 .
. . . . : cn
lim cn2 ln [ n ( n mn ) 1 ] = 0
, cn ln det
= n ... ( n m + 1) ;
, An
T
( a1 a2 ) ( a1 a2 )
( a1 a2 ) T 1 1 ( a1 a2 )
n1 + n2 2 m m m
n1 + n2 2
n1 n2
, m
1 2 ,
M 1 = a1 , M 2 = a2 ,
1 = ( n1 + n2 2 ) 1
, z , I , mn , .
x1 , x2 , ..., xn ( N ( a , ) )
k =1
. p -
( xk a ) ( xk a ) T ,
k =1
, .
n2
p=1
n1
( xk a1 ) ( xk a1 ) T +
k =1
( y p a2 ) ( y p a2 ) T ,
xi yi , 1 2
,
a1 = n11
0<c<
= n21
) - ,
, ( z ,
p lim [ ( z , ) M ( z , )] = 0 ,
n
( z )
mn
[ z
Im z 0
= M ( z , )
( 1 k n + k n z ( z ) ) ]1 + o (1)
p =1
110
a2 =
n2
yi .
i =1
, . . . .
( z ) = mn1
x,
i =1
lim mn n = c ,
n1
( a1 a2 ) T ( I +
+ ) 1 ( a1 a2 ) -
( a1 a2 ) T ( I + 1 ) 1 ( a1 a2 )
( n 1 + n 1 ) tr 1 ( I + 1 ) 1
1
, ,
1 k m + k m m1 tr ( I + 1 ) 1 = 1 , > 0,
km = m ( n1 + n2 2 ) 1
.
. . . .- .
A x = b , A = aij ,
P { Fn G1 } 0 , P { ( Fn F ) n x G2 } 0
, (*)
.
. . ( ) G , H
x = [ I n + AT A ]1 ATb , > 0
Ax
=b
K (G , H ) =
. . . .- . X -
R ( G, H ) =
c R m b
n
( A T b, k ) ( c , k ) <
k =1
, ,
lim
sup
n k = 1, ..., n
n 1 k ( AT A ) < ,
lim m n 1 < 1 ,
.
A = X
1
p lim ( x , c) +
n
2
f ( z , y ) = n 1
[
k =1
+ k ( z ) (1 + f ( z , y ) ) ]
,
+ o (1)
k ( z ) K T ( z ) K ( z )
K ( z ) = n 1 2 A + z b c T n1 2 .
.: [1] . ., . ., 1987,
. 32, . 2, . 25265; [2] . ., , ., 1988; [3] . ., .
., . ., ,
., 1982.
; large
deviation f o r e m p i r i c a l d i s t r i b u t i o n f u n c t i o n
. Fn = Fn (t )
F = F ( t ) ( x1 , ..., xn ) , G1 , G2
. G1 G2
, n , x
dG
( t ) dH ( t )
dH
R (G , H ) = lim
K ( H + G , H )
K(H, H + G)
= lim
0
2
2
.
F
M1
M 2
G1 G2
ln P { Fn G1 } ~ n inf K ( H , F ) ,
HG1
ln P { ( Fn F ) n x G2 } ~ x 2 inf R ( H , F ) .
HG2
M1F M 2F .
y ( 1 + 2 f ( z , y ) ) + 2 1 +
n
1 1
; G (t ) H (t ) -
f ( z , y ) z = 0 dy = 0
z
1
2
, f ( z , y )
m
dG
( t ) dG ( t )
dH
, -
. var G = 0 , F ( G , H )
k k , A A -
ln
N ( aij , 2 )
lim n 1
(*)
= x ( n )
., F [ 0 , 1] - , M 2
inf K ( H , F ) = inf K ( H , F )
HG 0
HG
, G
G -
G - .
. . ( x1 , ..., xn ) .
(*) x <
ln n . .-
.
. .-
( ) Gi
.
, .
.: [1] . ., . ., 1957, . 42, 1, . 1144;
[2] . , . ., 1967, . 12,
. 4, . 63554; [3] . ., . .,
. . ., 1978, . 19, 5, . 9881004; 1980, . 21, 5,
. 1226; [4] G r o e n b o o m P., O o s t e r h o f f J., R u y m g a a r t F. H., Ann. Probab., 1979, v. 7, 4, p. 55386.
111
; large deviations f o r a r a n d o m w a l k
. S = ( S 0 , S1 , ... )
= ( s0 , s1 , ...)
,
as =
, , V s
aR
= ( a s0 , a s1 , ...) , a = { a s : s } .
x x
P {S x } 0
1. , inf g ( t ) > 0
B1 = { max ( s n ( t ) x g ( t ) ) > 0 }
t [ 0,1]
.
2. , inf g ( t ) < 0
B2 = { max ( s n ( t ) x g ( t ) ) < 0 }
t [ 0,1]
.
< 0 , 0 > 0
(1)
,
.
S n = 1 + ... + n , n 1 , S 0 = 0
( ) = X M e X1 < ,
(4)
, 1 2 . ,
, . .
(2)
( ) = sup ( ln ( ) )
. .
.
(2) . .
(1) ; S = S (n )
.
t ( a ( t ) / t ) = ( ) a ( t )
( S k , k n = n (x))
= n n .
(2) . . .
( )
. g (t ) , [ 0 , 1]
g (t ) < g + (t ) -
= 0 , D k = 1 (1)
. M k
sn ( k / n ) = S k
g (0) <
n,
k = 0, 1, ..., n
s n ( t ) [ 0 , 1]
t , - , .,
( 0 , 1)
( ) = 2 2 a ( t ) = t .
, 1
g
x g (t )
= { g ( t ) : g ( t ) g ( t ) < g + (t )}
g ( t )
, x , n
P { sn ( ) x } 0 .
(3)
g (t ) ,
x , n
P { sn ( ) x } 0 .
. .-
.
. .,
P { s n ( ) x } = [ P { max ( sn ( t ) x g + (t ) ) > 0} +
0 t 1
. . .
112
t - .
- , a ( t )
n
g - . g ( t )
P ( B1 ) ~ c n e
s n ( t ) -, .,
.
. a ( t ) -
n ( g )
(5)
a g ( t ) - x g ( t )
n -
. ., g (t ) a g ( t )
t g , q
t g g (t ) a g ( t ) -
,
= 1 2 1 ( q + 1) .
g (t ) a g ( t ) -
( q = ) , = 1 2 .
( t , g )
.
, a (t )
. (5) , 0 , ,
;
( t g , g ( t g ) ) .
P { S n = } > 0 P { B1 , S n = } , (
P { S n = } = 0 , P { B1 , S n } ,
).
=0
0 < t <1
= t (1 t ) .
(5) , , ,
n
(5)- n - n 1 e 1 g
, 1 = 1 /( q + 1) ( , [1]- ).
,
.
P ( B2 )
.
g m = min g ( t ) < 0 , h (t ) , ( 0 , 0 ) (1, g m )
g (t )
ln P ( B2 ) ~ n
, A A -
= z ( n ) . w ; y = y ( n ) ,
y = o ( z )
, z
P {1 > x } P {1 < x } x ( ., ) , . .
. . .
. ( 0 , 0 ) ( t , a ) s n (u ) ( ) -
<ut
.
( ) -
>>
ln n
P ( B1 )
P{1 > x n g1 ( t )} d t ,
(6)
< , r <2
, ( A ,
ln n )
. (4) ,
( A , n1 6 ) . , 1)
A - ,
2) (
A ).
A A y = o ( z ) ,
ln P { s n y A ) ~ ln w ( y A )
(8)
, ( A , z )
, . A -
ln ln n = o ( z ) ,
(A, z )
= o( y)
. (4)
, ( A , n )
P ( B2 ) ~ n P { 1 < x n g m }
M 1
2) ln w ( [ ( y A )] ) ln w ( y A ) ( 1 + o (1) )
ut
B , B , ( B ) .
.
, A 1)
g1 ( t ) = min g ( u )
2) y = o ( z ) w ( [ ( y A ) ]1 z ) = o ( w ( y A) ),
d ( u ) = a d (u ) -
. x
P { sn y A } ~ w ( y A ) , A A
1) y , A A ln w ( yA ) c y 2 ,
P ( B2 )
( , [2] ).
k (4) ,
. x P { s n x A} 0 .
, . , A z
:
A h (t ) .
P ( B1 ) ~ n
B
.
, A B g (t ) = 0
, . . ( A , z )
h( t ) d t
n
, u d ( u ) = 0 ,
k n
, , S n -
.
(3) C [ 0 , 1] -
( t , g )
A - .
= max S k ( , [4] ) -
= min { t : g ( t ) g m } > 0 . x c ln n ,
. , , S n
( t , b ) = t ( b / t ) + (1 t ) ( b /(1 t ) )
b (t )
P ( B2 ) ,
(6) (7)
( , [3] ).
g (t ) -
( t , b ) = sup ( t , ) 1 ( )
( , [5] ).
(7)
113
(8)- . ,
ln P { s n y A} ~
y2
inf
2 2
( x A P , x f
( g (t )) 2 dt , g A I C1 ,
(9)
C1 , [ 0 , 1] - .
(8) (9) y ~ c n , j , .
ln P { s n x A} -
. ,
x ( , [6] ),
1
ln P { s n x A} ~ n inf
g ( t ) dt ,
n
P {1
g A I C1 .
x } , P {1 < x }
( ) , A P { s n x A} (
f A ). , P ( A ) - , A
. , x
, P ( x A ) -
( x 0 , A
).
. . , , A . ,
. [
x ln P ( x A ) - ] ,
A ,
P ( x A ) - ,
) ;
. , ,
:
P { s n x A } = w ( x A ) ( 1 + o (1) ) + ( c1 ( A) + o (1) )
A = A ( g , g + ) = { g : g ( t ) < g ( t ) < g + ( t ); 0 t 1}
, g ( t ) , g + ( t ) .
c1 ( A) , c2 ( A ) n - [ (7) (8)- .
( , ., [1] [3]- . )
. ( t ) = w ( t )
] x
ln n
( , [3] ).
(2)- . ( )
. k
( , [7] ).
.: [1] . ., . . ., 1964 , . 5, 2,
. 25389; 4, . 75067; [2] . ., . .
., 1962, . 3, 5, . 64595; [3] . .,
. , 1983, . 38, . 4, . 22754; [4] . .,
. ., 1967, . 12, . 4, . 63554; [5] . ., .: , , 1984, . 93124; [6] . .,
. ., 1981, . 26, . 1, . 7387;
[7] . ., . ., 1976,
. 21, . 2, . 23552; . 3, . 51226.
, W , C ( 0 , 1) - ,
A C ( 0 , 1)
ln W ( x A ) ~ x 2 ( A )
,
( A) =
( f ) =
( ( f )
), C
1
2
inf ( f ) ,
f AIC1
( f (t ) ) 2 dt
= f (t )
f ( 0 ) = 0 . A ( A0 ) = ( A ) , -
; large deviations f o r a r a n d o m p r o c e s s
.
. .
( ) . ( t )
. X , X
, P , P
A0 A , A
= C ( 0 , 1)
= ( f ) .
X .
X , , C ( 0 , 1) D ( 0 , 1) .
x A f = 0
X - (t )
( ) P ( x A ) -
. A P
( t )
114
( f ) = sup { ( f ) ln M e ( ) }, f X
X
( A0 ) = ( A )
(*)
1) + 2) ) A X
ln P ( x A ) ~ x 2 ( A )
( , [4], [5] ), ( A)
sn (t )
i nt
X i -
( X 1 , ..., X n
M Xi = 0 )
[ x n
x = x ( n ) ,
P { s n x A} n W ( x A )
] ( , [1] ).
s n (t ) ( )
. . P {
(n)
A}
(n )
( = x 1sn ( t ) ) ,
f (t ) = 0 , A .
, .
, ,
= D ( 0 , 1)
(n)
f A
lim k 1 (n) ln P { ( n ) A } = S ( A)
= inf ( f ) .
.
. . , .,
[2], [6] [9]-.
. .-
:
3) F ( f ) X - ,
lim k 1 ( n ) ln M e k ( n ) F (
(n ) . . ,
k (n ) S ( f ) -
(n )
,
- f
:
= sup { F ( f ) S ( f )}
f X
( n ) (t ) t ,
= n 1 - . z R1 , x R1
(n ) x
(n)
G ( t ; x, z ) = ln M e z ( (t + ) x ) ( n ) (t ) = x
(n )
( , [10], [11] ).
( , [2] ).
( t ) X =
, P
X - ( P
) .
(n)
H ( t ; x, ) = sup { z G ( t ; x, z ) }
z R1
G ( t ; x, z ) .
(n )
n S( f ) =
n1
H ( k n , f ( k n ) , f ( k n ) )
k= 0
0 n
, k ( n ) - , S ( f )
[ 0 , ) . S (A) = inf S ( f ) .
f A
:
0) s 0 ( s )
= { f : S ( f ) s}
;
1) A X
lim inf k 1 ( n ) ln P { ( n ) A} S ( A )
n
;
2) A X
lim sup k 1 ( n ) ln P { ( n ) A} S ( A )
n
, k ( n ) S ( f ) ,
(n )
, ( , [2] ). S ( A0 )
= S ( A)
[ (*) ], A X S
.
1), 2) :
. ( ,
[2] ).
x P ( x A) -
;
( , [12], [13] ).
.: [1] . ., . , 1983, . 38,
. 4, . 22754; [2] . .,
, .,
1986; [3] . . . , . ., ., 1978; [4] . .,
. ., . . ., 1978, . 19, 5, . 988
1004; [5] B a h a d u r R. R., Z a b e l l S. L., Ann. Probab., 1979,
v. 7, 4, p. 587621; [6] V a r a d h a n S. R. S., Com. Pure Appl.
Math., 1966, v. 19, 3, p. 261286; [7] . .,
. ., 1967, . 12, . 4, . 63554;
[8] . ., . ., 1976,
. 21, . 2, . 30923; [9] . ., . .,
, ., 1979; [10] S c h i l d e r M., TAMS,
1966, v. 125, 1, p. 6385; [11] . .,
. ., 1976, . 21, . 1, . 215; [12] . ., . . ., 1964, . 5, 2, . 25389; 4,
. 75067; [13] . ., . -
. . ., 1984, . 3, . 93124.
115
; large deviations
probabilities P { S n an > bn } , P { S n an < bn } ,
P { | S n an | > bn } , S n = 1 +
+ 2 + ... + n , { j } , {bn }
{an } , bn > 0 > 0 lim P { | S n an | bn1 >
, ,
n n ( ) ( ) ; D = { ( , d ) :
n 1 ln P { n n a } * ( a ) , a A ,
( )
.
i , i
= 1, 2 , ... ,
,
2 - , a n
=0
bn
= xn n
n xn .
( , [2] )
( , [3] ) ( , [2], [6],
[9] ) .
[7], [9]- . . .- ;
( , )
. : > 0 F (x)
= P { < x} , -
, ,
k s k
1+
( k! )
sk
, 0
2k
, k
= 3 , 4 , ... , 0
x < 1
(*)
{ 1 + ( x + 1) ( (1 x 1 ) 1 ) }
1 = (1 / 6 ) ( 2 / 6 )1/(1+ 2 ) ,
L (x) , = 0 , > 0
s k , ( x ) , ( , [8],
[9] ).
. . .-
. . . .
., (*) , x > 0
x -
x 2
( x )
P { x } exp
2
2
2 x + ( x )
= ( 1 + ) 1 .
( ).
1 , 2 , ..., n , ... j ( )
= ln M exp{ j } , j = 1, 2 , ...
116
; ( a )
= inf { a + ( ) :
[ c , d ] } ( , [9] ).
., , . ., .,
.: [1]
1962; [2]
. ., , ., 1972; [3] . .,
. ., , ., 1965; [4] . ., .:
, . 10, ., 1972, . 524; [5] . .,
. ., 1974, . 19, . 1, . 15254;
[6] . ., . ., 1965, . 10,
. 2, . 23154; [7] S t a t u l e v i c i u s V., Z. Wahr. und
verw. Geb., 1966, Bd 6, 2, S. 13344; [8] ., ., ., . . ., 1978,
. 18, 2, . 99116; [9] ., .,
, , 1989;
[10] P l a c h k y D., S t e i n b a c h J., Period. Math. Hungar.,
1975, v. 6, p. 34345.
; Brownian excursion ,
w e (t ) = ( 2 1 )1/ 2 w ( (1 t ) 1 + t 2 ) , 0 t 1
1
1 F ( x ) = (1 ( x ) ) exp{ L ( x )}
} A = { a : ( ) = a , D }
. : ( ) [ c , d ]
>}=0
[ c , d ], 0 c < d
( )
w e (t ) , 0 t 1 ,
1 = sup{ t 1 : w ( t ) = 0 } 1 = inf { t 1 : w ( t ) = 0 }
, t = 1 w (t ) - , w (t ) -
. . . ;
[1]- ( 2 ). . .
. .- [2] [7]- .
.: [1] ., .,
, . ., ., 1968; [2] D u r r e t t R. T.,
I g l e h a r t D. L., M i l l e r D. R., Ann. Probab., 1977, v. 5,
1, p. 11729; [3] D u r r e t t R. T., I g l e h a r t D. L.,
Ann. Probab., 1977, v. 5, 1, p. 13035; [4] V e r v a a t W.,
Ann. Probab., 1979, v. 7, 1, p. 14349; [5] G e t o o r R. K.,
S h a r p e M. J., Z. Wahr. und verw. Geb., 1979, Bd 47, H.1,
S. 83106; [6] K n i g h t F. B., Trans. Amer. Math. Soc., 1980,
v. 258, 1, p. 7786; [7] I m h o f J. P., Stud. sci. Math. Hung.,
1985, v. 20, 14, p. 110.
;
m u l t i p a r a m e t r i c Brownian motion ,
.
; ; Brownian excursion
, .
; Brownian motion process
( ) . 1827- . ( R. Brown ) .
- , ;
;
,
.
XX .
( L. Bachelir ), . ( A. Einstein ) .
( M. Smoluchowski ) . t
t ;
= 0 .
t 0
. [ 0 , t ]
, - ,
. ,
, t - .
,
- .
M t = 0 ,
M ( t + s t )
, 0
<
... < t n ,
. . c
. .,
c = k T 3 a
(*)
a , k , T
, .
. ( N. Wiener, 1929 ) . . .-
, { ( , t ); t 0}
( ( , F , P ) - ) :
1) ( ; 0 ) = 0 ;
2) 0 = t1 < t2 < ... < t n , ti +1 ti , i = 0 , 1, ... ,
n 1 ;
3) s, t 0 t + s t -
t1 , t2 , ..., tn
i =1
1 ( x xi 1 ) 2
1
2 (ti ti 1 ) 2 exp i
ti ti 1
2
x0 = 0 , x1 , ... , xn .
( ; t )
.
.: [1] ., ., , . ., . ., 1936; [2] .,
, . ., ., 1973; [3] .,
. . ., ., 1972;
[4] . . 2-, . , . . , . . , . . , ., 1985.
; m u l t i v a r i a t e Brownian motion process
, .
; Brownian bridge , .
;
Brownian meander
= f ( s ) t - .
,
f ( s ) = c s . c
w m ( t ) = (1 1 )1/ 2 w ( 1 + (1 1 ) ) , 0 t 1
( )
w m (t ) , 0 t 1 ;
1 = sup{ t 1 : w ( t ) = 0 } t = 1
w (t ) - . . .
.
.: [1] D u r r e t t R. T., I g l e h a r t D. L., M i l l e r D. R.,
Ann. Probab., 1977, v. 5, 4, p. 11729; [2] D u r r e t t R. T.,
I g l e h a r t D. L., M i l l e r D. R., Ann. Probab., 1977, v. 5, 1,
p. 13035.
;
brownian sheet , .
; Browns method of forecasting / prediction
. t . . .
t (k ) = a0 (t ) + a1 (t ) k + ... + a p (t ) k p
0 , s - ;
4) - ( ) ( , t )
.
a0 ( t ) , ..., a p ( t ) ,
t - .
.
( ) t 0
t = ( ; t ) -
t j
( j ) ) 2
j= 0
117
, - .
<1
. . { I k } -
U I T1 ( ,
,
.
).
.: [1] Stochastic geometry, geometric statistics, sterelogy, Lpz.,
1984; [2] .,
, . ., ., 1978.
t ( k ) - t +1 ( k ) - . ., p = 1 a0 ( t + 1)
a1 ( t + 1)
; Bunyakovskiis inequality
a0 ( t + 1) = ( 1 ) t +1 + a0 ( t ) + a1 ( t ) ,
M -
M M
a1 ( t ) = ( 1 2 ) t +1 ( 1 2 ) a1 ( t )
( 1 2 ) a0 ( t ) + a1 ( t )
.
.: [1] B r o w n R., Smoothing, forecasting and prediction of discrete time series, Englewood Cliffs (N. Y.), 1963; [2] .,
, . ., ., 1981.
; Brownian
sheet , .
; angular modulation ,
.
; angular frequency , .
; buffer memory , ( ).
; s t a n d a r d i z e d Boolean algebra
( M ) 2 M 2 M 2 .
a 2 + b 2 > 0 a b ,
a + b = 0 . (*)-
cov ( , )
; r a n d o m Boolean
.
function ,
; Boolean model
R n -, Tn . . . : Tn -
N = { ti }
{Di } . U =
ti Di { ti } { Di }
ti N
. N
, . .
. U
= {ti }
R n - . .-,
U I Tr . .-, Tr , R n - r ,
r n . U I T1 {I k } -
, { I k } . I k I - . U
. .-, - { I k , I k }
, { I k } -
( , ) .
118
D D ,
, .
(*)
( , ) 1
.
; Burgers equation , .
; Burkholder Gundy Davis inequalities
c p M [ , ] Tp / 2 M ( T* ) p C p M [ , ] Tp / 2 ,
,
p 1
= { t , t 0}
,
0 = 0 , [ , ] = ( [ , ]t , t 0 ) , -
, T
; t
= ( t* , t 0 )
= sup s . c p C p p -
s t
p > 1
, p = 1
;
bootstrap estimator ,
.
; bootstrap method
of estimation X n = ( x1 , ..., xn )
X n -
.
F , xi - , T (F ) , F -
[ ., T (F ) F - ,
]. Tn ( X n ) , X n T ( X )
. X n
n ( X n , F )
= Tn ( X n ) T ( F )
.
n
{ n ( X n , F )} D { n ( X n , F )} . n ( X n , F ) .
. . .- . n ( X n , F ) ( n -
) X n n ( X n , Fn )
. Fn , X n
*
, X n
Fn i = 1, n
.
Tn - [ n ( X n , F )
]
n -
.
. , ,
*
. Fn xi j , i
= 1, N , j = 1, n
N *
X 1n
1*
*
, ..., x1*n ) ,
= ( x11
n ( X 1*n
, X N* n
Fn ) , ... , *N
= ( x *N 1 , ..., x *N n )
= n (
X N* n ,
Fn )
1* , ... , *N . . . .- .
Tn ,
(. )
.
.
.: [1] . ..,
, . ., ., 1988.
*
;
Boot-strap method
. . 1977-
. . ,
- .
- 20- 50-
. .
[8]- : Bootstrap
- . .
- .
; ,
.
, ,
; ,
. .
( ) -
, . .-
( B. Efron ).
,
. ,
. ,
. , (
) , , .,
. ,
,
. 1949-
. ( M. Quenuille ) ( , [1] ) . , ,
.
.
. .
( , [2], [3] )
(
) .
, ,
.
. 1969-
( , [4] ).
. . . ,
. . .
. . .-
.
.
1 , ..., n -
= P { i < x } . = ( 1 , ..., n )
F = ( F )
, F ( x )
119
. n
R ( , F ) = r ( , ) =
= ( )
R ( , F ) = M F L ( ( ) , F )
(1)
. L ( , F ) F
= ( F )
. . . (1)
R ( , F ) -
R ( ) = R ( * , F ) M F L ( ( * ) , F )
(2)
...
l ( ( z1 ,..., z n ), dF ( z1 ) ... dF ( z n ) )
, l ( , )
(7)
= L ( , F ), =
.
F - .
, F , ,
, n 1 , ..., n 1 / n
. , {1 , ..., n } -
. F , F
1 - 1 , n - n
*
, , F -
(1 + ... + n = n )
n ,
1* ,
... ,
n*
1 , ... , n
(3)
.
. ( )
*
(5)
x dF (x) , s =
1
= (x )
=
( x ) dF ( x) n
P { ( * ) < x | 1 , ..., n } =
...
d F ( z1 ) ... d F ( z n ) = G ( x)
{ z : ( z ) < x }
P { ( ) < x }
...
dF ( z1 ) ... dF ( z n ) = GF (x)
L ( ( z1 , ..., z n ), F ) dF ( z1 ) ... dF ( z n ) =
L ( z , F ) dG ( z )
(6)
F . ,
F - F = { F , H } ,
H R p
p , F -
- , F = F
= ( Fn ) = t ( )
, - ( H ) , R ( )
120
i =1
, 0 <
. (2)
:
...
2
n
{ z : ( z ) < x }
R ( ) =
R ( ) - (7)-
(4)
= * , - -
.
, (6)
. ,
. , .
.
-
. . ( , [5] )
. n = ( x1 + ... + xn ) n
* = ( 1* , ... , n* ) F - n
1
, 0! = 1
1! ... n ! n
n!
1
*
m =
m
<;
i* ; ( i* , i =
i =1
= 1, ..., m ) , F = Fn ( 1 ,
..., n -
1 / n ) . m , n
P { | m* n | > (1 , ..., n ) } 0
> 0
. .
, t -
m , n
P { m ( m* n ) < t sn 1 , ..., n }
(t ) - ,
.
.
[6]- . . . . ,
, H n ( t )
= ( t n ) -
H n ( t ) H n ( F , t ) = PF {( *n ( * ) ( ) ) < t
n}
H n ( F , t )
,
H n ( F , t ) = PF { n ( ) ( ) < t
n}
.
, . . .
,
, .
.
.: [1] Q u e n o u i l l e M. N., Approximate tests of correlation in
time series // J. Roy, Statist. Soc.-Ser. B., 1949, 11, p. 6884; [2] Q u e n o u i l l e M. H., Notes on bias in estimation // Biometrika, 1956,
43, p. 353360; [3] T u k e y J. W., Bias and confidence in not
quite large samples / Ann. Math. Statist., 1958, 29, p. 614;
[4] . ., . ., ,
. .
. . . , 3, 1969; [5] B i c k e l P.
J., F r e e d m a n D. A., Some asymptotic theory for the bootstrap.,
Ann. Statist., 9, 6, p. 431443, 1981; [6] B e r a n R., Estimated
sampling distributions; the bootstrap and competitors, Ann. Statist.,
10, 1, p. 212-223, 1982; [7] .,
, . ., .,
1988; [8] : .-.: , 1978.
, .
; bootstrap distribution ,
.
; Bienaime
Chebyshev inequality , .
;
Buffon ring , .
; Buffons needletossing problem
.
. 1733- , 1777-
( , [1] ). :
- 2 a O y
2 l ( l < a ) .
. x
, .
x
. = {( x , ) : 0 x l , 0 } .
x l sin .
C = {( x , ) : x l sin , ( x , ) }
2- . x ,
( 0 , 1)
( 0 , ) - ,
P (C ) =
l sin d
2l
a
(*)
.
(*) , (
). , n - m n P (C ) , 2 l a
~ mn
2l n
am
.
.
. .- :
,
121
; . .
,
.
.: [1] B u f f o n G., Essai darithmetique morale Supplementa
LHistoire Naturelle, 1777, t. 4; [2] ., .,
, . ., ., 1972; [3] . . , .,
1980.
; Buffon Sylvester problem
m -
; [1]- . ; . m
. Bi , i -
,
I B
i =1
i =1
Bi
. .
i =1
Bi
Bi
i =1
.
[2]- . , . . . .
.: [1] S y l v e s t e r J. J., Acta Math., 1890, v. 14, p. 185
205.
()( )
, ;
coupling o f r a n d o m p r o c e s s e s ,
,
- ( ).
( ), ,
.- . , ,
.
, ,
.
.
, ; .
.: [1] . ., , ., 1980; [2] . .,
, ., 1978; [3] . ., , , .:
.,
, . ., ., 1989.
; reward function ,
.
; attraction domain , .
;
domain of attraction o f a s t a b l e l a w , G . . F , An
Bn
> 0 , x - n
F n ( Bn x + An ) G ( x )
(*)
, n , n
. (*)
X i An
i =1
Bn
G ( x ) , X i F ( x )
.
. .-
. -
.
0 < 2 , . .- ,
0 <
<
|x|
F ( dx ) <
(*)- Bn Bn
= n1/ h ( n )
, h ( n ) .
G . .- , Bn
,
G
1/
Bn = a n
= n1 /
. (*)
( a > 0 ) Bn -
, F
.
F ( x ) - , 0 < 2
. .-
z
lim z 2 ( z )
d ( x) = ( 2 )
; ( z )
F ( z ) + F ( z ), z > 0 (
= 1
[3] ).
0 < < 2
F ( x ) = ( C1 + o ( 1) ) | x | h ( | x | ) , x ,
F ( x ) = 1 ( C2 + o ( 1 ) ) x h ( x ) , x
, h ( x )
0, C 2 0, C1 + C 2 > 0 .
= 2 ,
, C1
:
1) F ( x ) ;
2)
( 1 F ( x ) + F ( x ) ) x 2 ,
.
. .- ( , ., [3] ).
.: [1] . ., . ., ,
. ., 1949; [2] . ., . .,
, ., 1965;
[3] . ., . ., 1956, . 1,
. 3, . 35761.
123
; domain of attraction o f a s t a b l e d i s t r i b u t i o n o n a g r o u p
G , - G { n } G
{ xn } ,
Yn = n ( S n o xn )
(1)
n
G ,
o , S n
= X 1 o ... o X n -
, K , : K Aut (C0 )
= 0 K , 0 ,
C 0 - , , K -
( , [1] ). G g
exp : g G ,
G ( , , )
, g .
, o
o
( ., M ( G ) , M 1 (G ) )
G - ,
X 1 , ... , X n
A
g -
.
G Aut G
A -
. g - T .
M ( G ) -
,
EG
( E ) = ( ( E ) ) , (1)
n
n ( n ) xn
(2)
n
,
- n , xn , xn
. : D ( )
o
, , D ( )
( , [2], [3] ). ,
k , . .-
d
. ., R ( d ) { X n }
(d ) ,
= (U i , Yi ) ,
. X i X i
G
T = { t , t > 0}
U i SO ( d ) ,
( , ). G -
U i - .
: (d ) - -
, D ( ) , ,
. . M ( G )
, (1)
(2) n = 1 / n
. D ( ) DN ( ) ,
. . . (1) (2)
xn = e , . .
. G
. ( , , . .
. ) . .-
M 1 (G ) . ,
. G -
, G
,
D ( ) , ,
. .- ( , [1] ).
G C0 K
T C
, C 0
124
Yi , Yi R d R d - .
: 1)
n n -
SO ( d ) ;
, .
.: [1] H a z o d W., Lecture Notes in Math., 1986, 1210,
p. 30452; [2] h k h l v Y u. S., In: Probability Measures on
Groups, X, N. Y., 1991, p. 23948; [3] H a z o d W., S c h e f f l e r H.P., J. Theor. Probab., 1993, v. 6, 1, p. 17586; [4] . ., . ., 1982, . 27, . 2,
. 34244; [5] . ., . . ., 1985,
. 25, 3, . 3952; [6] . ., . .
., 1990, . 30, 1, . 1429.
; domain of attraction o f n o p e r a t o r s t a b l e d i s t r i b u t i o n
R d - ,
d
R - { An }
R d - { an } , n
Yn = An ( S n an ) -
, S n =
= X 1 + ... + X n
. B -
, An n B
,
.
B , R d - d
. R - - ( a , C , M )
d
, a R ,
C , M . ,
= g p
, p R p -
. d n,
> 0 , M n, ,
n P { X , d n , ( y ) } M n , { [ y , )} = 0
lim sup
n S d 1
, X
mn,ln () = n M ( X , I {
b = a , +
. . . :
D N ( ) , ,
u ( 1 + u 2 ) 1 M (du ) .
K ( A ) = 0 , lim t { s B x : x A, s > t } = K ( A ) Fg ( )
t
, A , A
( , [1], [2] ).
, ,
.
S d 1 = { R d : = 1} .
2
j =1
an ( ) = 0
hn, ln ( n j ) , n j
ln ( )
, { n1 , ..., n d }
.
- . .-,
, ,
{ nj , j = 1, ..., d } ,
1
Rn : Rn* nj = ( an ( nj ) w (e j )) e j
. , D N ( ) , ,
S d 1
Fg ( ) D N ( g ) F p ( ) D N ( p ) -
g n ()
= Rn*
Rn*
:
1) X 1 an ( ) w ( g n ( ), M g n ( ))
;
2) lim
sup
S d 1
an ( ) w ( g n ( ) ) Rn*
= 0;
3) mn ( ) = mn, g n ( ) { n1 , ..., n d }
,
a 2 ) a 2 }
) ] M ( du )
u 3 (1 + u 2 ) 1 M (du ) +
, mn,
, D N ( )
w () = sup {w 0 :
2 1
Fg Fp , Rg R p -
an ( ) = sup { a 0 : n M ( X 1 ,
lim sup hn , ln ()
R p .
(1 + u
| u | >1
K ( A ) = M ( t x : x A , t 1) , A L .
| u | 1
I E ( t B x ) t 2 d t K ( dx ),
A L I Rp
2 1
u , [ (1 + u ,
a1 ( M , b ) = b +
an () w ( ln () ) }) ,
X,
= { 0 } , Rg R p =
L = { x R d : x = 1, t B x > 1 t > 1 } ,
I E , E R d ,
d 1
I ( A) , A ,
= R . :
M (E ) =
(d n, , M n, ) , . l n () , S
, Rg R p B R p I R g
, , R d -
y > 0
, g , R g -
d 1
( y 2 w 2 ) M (dy ) + C
w2}
S d 1 - , a b =
= min ( a , b ) , C , C , M , M
Rn* - :
1
Rn* x =
x , nj
Rn* nj
nj ,
j =1
125
{ n1 , ..., nj } . Rn { S n } .
{ n1 , ..., n d } ,
( , [3] ).
, , , . , X 1
. .-, , ,
lim
sup
t S d 1
t P{
> t} M ( X1,
X1,
) =0
. a n ()
, An
( , [4] ). < 2
( , [4] ).
.: [1] J u r e k Z. J., . ., 1982,
. 27, . 2, . 396400; [2] H u d s o n W. W., M a s o n J. D.,
V e c h J. A., Ann. Prob., 1983, v. 11, 1, p. 17884;
[3] H a h n M. G., K l a s s M. J., Z. Wahr. und verw. Geb., 1985,
Bd 69, S. 479505; [4] H a h n M. G., K l a s s M. J., Lecture Notes
Math., 1981, 860, p. 187218.
JS
. M
= 2 2 . JS
, R -
+J S = ( 1 2 ( p 2 ) | X |2 ) + X
, a+
= max ( a , 0 ) -
.
X n JS
JS
n , + n
, -
n .
n > , > 0
:
n M n
= p 2 ( p 2) 2 4 n 1
n -
.
( 1 + (1) )
(1)- 1956- .
JS
JS
( , [1] ),
+
[2]- .
. ( )
;
attracting boundary , ; -
, , i
; Jessen Wintner theorem :
,
, ,
( , ). ( , [2], VIII .,
5 ), . . . . ( , [3] ).
.: [1] J e s s e n B., W i n t n e r A., Trans. Amer. Math. Soc.,
1935, v. 38, 1, p. 4888; [2] .,
, . ., . 2, ., 1984; [3] . ., . ., .
., 1975, . 20, . 4, . 71224; [4] ., , . ., ., 1979.
( 1 , ..., p )
(1 , ..., p ) .
.
N ( , G ) X
;
L ( , )
= T H ( )
, G , H
.
= X + G g ( X )
M L ( , ) = M ( L ( X , ) + ( X ) )
, g : R R , N ( , G ) ,
2 E ,
R p g
, R - N ( , E )
J S
= ( 1 ( p 2)
JS
X -
( x) =
)X
< M x
= 2 , R p ,
ij
( x ) = f 1 ( x)
i , j =1
(1)
f ( x )
126
gi ( x )
2
+ g i ( x ) g j ( x) ,
xj
i , j =1
C = (Cij ) = G H G .
(2)
g ( x ) = ln f 2 ( x ) , f ( x ) > 0 .
, :
2
, E . p > 2
M JS
2 f
xi x j
= ( C 1/ 2 x ) ( x ) -
( x ) = ( ) ( C
1 / 2
, ( 1 , ..., p )
x) ,
.
, X -
. p > 2
, , = ( 2 p ) 2
= x
, 2 p
= ( 1 ( p 2 ) H 1G 1 X TG 1 X ) X
= G = E JS
.
JS H
. -
.
1) G ,
JS
G - n 1 ,
S . p > 2
( 1 ( p 2 ) ( n p + 3 ) X T S 1 X ) X
( x )
* * ; * algebra
X - ( , [2] ).
j = 1, 2 , ..., 2 t
q - . .
j + i
yi , xi Fq
j =1
( ) X
T
X ( )
(1 2 ( p 2 ) | 0 |2 ) 0
, X
= ( X ij ), 0
.
3) X X i
, M X i
= i , M ( X i i ) 2 = 1 , M ( X i i )3 = 0 ,
M ( X i i )4 = k
a 4, 5 + 4 (k 3 ) 3
b ( a + | X | 2 ) ) X
yi xij = S j ,
j = 1, 2 , ..., 2 t
i=1
, i ( 0 , ) -
b p2,
ci i j = 0 ,
i=0
ij
, ,
( ) G ( ) -
2) yi =
, , Cij ( x )
p>2,
= ( 1
X - .
4) X -
Fq
, q m -
. (
, ; algebra of events
1 < 2 X -
( , [4] ).
.
. . ,
.
. . .
.
X ,
127
. p > 3 , 0 < a
( 1 a | X |2) X
2 ( p 2 ) p M 0 | X | 2
| | ,
. . .
1) ;
k
. 2) R - { x = ( x1 , ..., xk ) R :
ai xi < bi , i = 1, ..., k , ai < bi + } -
, R - . 3) -
, . 4) ( .
P
. P ( E ) = 0 , E
= 1 , E . A A -
( A -
)
, P ( E )
.
.: [1] . ., , 2 ., ., 1974; [2] .,
, . ., ., 1969.
, -
; algebra of events
, , ,
, .
,
; algebra
of quasiloal observables ,
= Y * Y X 0 , -
. Y U , X
X U .
X Z 0 , X Z , -
U - ,
.
I C * U -
, X 0 ( X ) 0
( I ) = 1 . S
U * * .
. 1) ,
,
X ( ) C * . -
P (d )
2)
= ess sup X ( ) ( , ) -
LC ( , ) C
p ( )
p ( ) (d ) ,
( x) =
, , X X
X ( ) p ( ) ( d )
LC ( , ) .
( X * )* = X , ( X + Y )* = X * + Y *
3) H
B( H )
( X Y )* = Y * X * ,
C * . S , tr
H - , ( X ) = tr S X B( H ) -
( X )* = X *
X , Y , ...
, . .,
* . ,
, * . X
Y - , .,
( , ). , ( ) * -
, X ,
X = X .
*
X X
. . .
2
p( ) c ( mod )
= X
, ; algebra of observables -
X ( ) P (d )
(X ) =
128
U , C
.
*
C H - .
C *
*
. C
W * [ . 2) 3) ]. { X } U sup ( X )
= ( sup X ) , W *
U -
W *
2) 3) .-
.: [1] ., C * , .
., ., 1974; [2] ., .,
, .
., ., 1982.
,
; algebra of cylinders
= t
t T
n ( a , b ) = ( 2 ) 1
dy
cos [ y f (t ) ]
f (t ) d t ,
A , T , t
b - , n ( a , b ) 1 2
t T At
. i , i
. A
= {t , t T } : Ts E
A
t
t S
(*)
T - , Ts = {t , t S },
t
t S
A ,
t
At , t S -
t S
{ {t , t S } : t Et At ,
t S
t S } .
E (*) .
At , S - (*)
, A - , ,
.
, .
.: [1] ., , . ., ., 1969; [2] ., ,
. ., ., 1962.
; algebraic random equation
1 , ... , n
f (t ) = t + 1 t
n
n1
+ ... + n = 0
(*)
= 1 + i1 , 2 = 1 i1
= k + i k , 2 k = k i k , 2 k +1 = 1 ,, n =
= n2 k ,
1 ... n ,
l , l , l = 1, k , j , j = 1 , ..., n 2 k k , 0-
[ n 2 ] - .
1 , ... , n
p ( x1 , ... , xn ) , (*) . i -
,
p ( Re zi , Im zi ; i
( i
= 1, ... , n
= 1, ..., n )
i -
, i
p ( Re i , Im i ; i = 1, ..., n )
zi z j
i , j = 1, n ,
i > j
> arg z n , i
,
z i
i = 1, n . (*)
(a, b)
hn (t ) = n t n1 (1 t 2 ) (1 t 2 n ) 1 .
.: [1] . . . ., . ., .,1999; [2] .,
, . ., ., 1965.
;
Jackknife method , (
) .
,
; sum of random number of random
variables , .
, ;
sheme of summation of random variables
,
S n = X 1 + ... + X n
. . .-
. (*) 1
,, 2 k 1
M n ( a , b) = 1 [ 1 hn2 ( t ) ]1 2 (1 t 2 ) 1d t ,
a
, S ,
= 1, n ( 0 , 1)
X j , j = 1, ..., n
.
. ,
.
( X 1 , ..., X n ) n -
( , , ),
(
, ). . .
, ,
.
p p -
; p summing operator
; degenerate distribution n . n -
. . . .
, ( ) r ,
n - . r . .-
. - .
. .
. . . ,
.
n ( a , b ) :
129
, x = 0 . .-. . .- L ( 0 ) .
, , ; nondegenerate distribution , .
; nondegenerating branching process , ; .
; degenerate / singular bivariate normal distribution , .
; degenerate / singular measure , .
; strictly stable distribution
, Bn > 0 -
{ t }t <
( ) ,
,
. ,
= ( t , At , Px ) , ( E , B )
, p ( t , x , ) ( , A )
;
G ( x, , , ) , 0 < 2 ,
).
t 0 , x E , B
, 0 <
{ t } At , t 0 , A = { A : A A , A I { t }
( -
At , t 0 } )
Px { +t | A } = p ( t , , )
Px ,
Px { + | A } = p ( , , ) ,
, , , 1)
( , [1] ), ,
: 1 , x > 0 ,
( 1 G ( x , , ) ) = C ( x , , ) (1 ) 2
= 1
, 1+
= (1 ) .
. . .-
.
.: [1] . ., , ., 1983.
; strong Markov property t = (t ), t 0
, { t }t >
130
Px
M x ( ) = M x ( M )
. . .- ; , , A ( t ), t 0
<s, >s
t < s t -
( , [1] ). A
.
G ( x , , ) = G ( x , , , 1) -
. (*)- . . .-
:
G ( x, , , ) = G ( x
(*)
. . . . ( , [1] )
0 , + 0 =
min ( 1, 2 1) , > 0
1 /
( - A
n ,
W - . W -
( , A ) s - s + t - t
1 , ..., n
[2]-
(*)-
. . . .-
[3]- . . . .-
. . . .
.
.: [1] D o o b J. L., Trans. Amer. Math. Soc., 1945, v. 58,
p. 45573; [2] . ., . .,
. ., 1956, . 1, . 1, . 14955; [3] B l u m e n t h a l R., Trans. Amer. Math. Soc., 1957, v. 85, p. 5272; [4] . ., , ., 1959;
[5] . ., , .,
1975.
; strong Markov process
. . . . -
[1] [2]- ,
[ . . . . ( J. Doob ),
. . ,
. . . . ( J. Hunt ) ].
. . .-;
( , [1] ).
, : 1) = { t , At , Px }
E
2) , t 0
F ( x ) = M x f ( t ) , x E f E - , . . . ( , [1] ). A t
At + =
Au
u >t
.
.: [1] . ., . ., .
., 1956, . 1, . 1, . 14955; [2] B l u m e n t h a l R.,
Trans. Amer. Math. Soc., 1957, v. 85, p. 5372; [3] . ., . ., 1957, . 2, . 2, . 187
213; [4] . ., ,
., 1975.
; Johnson Welch transformation t
. X Y
, X
~ N ( , 1) , Y 2 n
= nX Y
. p - p
, T
p = T ( p)
1 +T
2n
, ( p) p ( , [1] ).
( Fv1 ( p )) ,
T < 0 ,
*p =
1
( Fv ( 1 p )) , T > 0 ,
1
, Fv ( p ) p . n
v n x3 ,
( sign T ) ( 1 x ) 2 ,
n ( 1 x 2 ) x 3 / 2 ,
~
2
2
1 / 2
)
, x = T ( T + 2n ) , p p = O (n
, n p p
= O ( n 3 / 2 ) .
; pairwise independence ,
.
; paired correlation
coefficient , .
; attainable boundary , ;
; inattainable boundary , ;
,
; nonaccessible state o f a M a r k o v c h a i n
, ;
/ / / ; defect (t ) ,
(t ) t
t
( , ),
( t ) = t sup { s t : ( s ) (t )}
( ) M ( )
D ( ) . . . ,
> 0
{ : | ( ) M ( ) | }
D
P{ | M |
} 1/ 2 .
P { } M
(
).
:
P{ | | } M | |r r ,
.
. . , { ( t ), ( t ) ; t
G (t ) = P { k
0}
. ,
t } M k = m
n =
, n 1
k =1
G* ( t ) =
(1 G( s ) ) ds / m
0
. . .
.: [1] . ., . ., , .
., ., 1967.
; Chebyshev inequality ,
.
132
P { | M | } M | M | r r , r 1
( r = 2 . .- ),
x - ,
f ( x)
P{ | | } M f ( ) f ( )
(*)
. (*)
. .,
P { } M e c e c ,
c>0
. ,
. . . . .- ,
( , [4] ).
,
. ., ,
- ,
P{ | | } ( 4 3 ) ( 2 2 ) ,
P { max X (i ) M X (i ) x } x 2 tr ( C 1B C 1 ) , x > 0
2 = D .
. .-
, . . .
, .
. .
.
P{ | 1 + ... + n ( M 1 + ... + M n ) | }
D (1 + ... + n ) 2
P { max | 1 + ... + k ( M 1 + ... + M k ) | }
1 k n
D (1 + ... + n ) 2
. . . ( ,
).
. .-
2
P{ | 1 + ... + n | } 2 exp
2
2 ( 1 + a / 3 )
, | i |
m 2 ai - ( ai X )
M X 1 a1
+ ... + M X n a n
, x 0 X
m! B 2 Lm2 2
(1)
= X 1 + ... + X n
p x = P{ | X | xB + M | X | } exp{ x 2 (2 + 2 xL / B ) }
. .-
.
. (X , | | ) X i
C , M i = 0 , 2 = D (1 + ... + n ),
a = C 2 ( , ). . .-
i
.
( , [5] ).
.: [1] . ., . ., 1867, . 2, . 19;
[2] . ., , 4 ., ., 1924;
[3] . ., , 2 ., ., 1974; [4] ., ., , . .,
., 1976; [5] . ., .: .
. . . , . 10, ., 1972, . 524.
( , [4] ). . ., (1)
ai = 0 m = 3
px cx 3 L B + exp { cx 2 } , x > 0
( , [5] ), c , c . (2)
, [4], [6].
, , .
.: [1] ., .,
, . ., ., 1976;
[2] T o n g Y. L., Probability inequalities in-multivariate distributions,
N. Y., 1980; [3] O l k i n I., P r a t t J. W., Ann. Math. Statist., 1958,
v. 29, 1, p. 22634; [4] . ., . .,
. ., 1985, . 30, . 1, . 12731;
[5] . ., . ., 1978, . 23,
. 3, . 63037; [6] . ., J. Multivar. Analysis,
1976, v. 6, 4, p. 47399.
; Chebyshev theorem , ,
.
; ;
; Chentcov distribution density estimator , , ;
; m u l t i d i m e n s i o n a l a n a l o g s o f
t h e Chebyshev inequality X A -
; Chernov boundary -
P{ X A} inf { ( X ) : ( x) 1, x A ;
( x) 0, x A }
. ., X
= ( X (1) , ..., X ( d ) )
. 1 2
h ( x) . 1 ( ) , 1
h ( x)
B -, C , ,
C 1 BC 1 ,
1 ( ) =
exp ( j h) p ( h 1 ) dh ,
133
j - s h ( x ) 1 ( s ) :
f , F
exp(s h) p(h ) dh ,
1 ( s ) =
a a + h F - , h > 0 .
F ( x ) =
( s ) = ln 1 ( s ) . , g ,
:
p g ( g = h 1 ) = exp( s h + ( s ) ) p ( h ) 1 ,
g -
M ( g 1 ) =
h p g ( g = h 1 ) dh =
d ( s )
,
ds
D ( g 1 ) =
d 2 ( s )
ds 2
.
p g :
p (h 1 ) dh =
exp ( ( s ) s h ) p g ( g = h 1 ) dh =
= exp ( ( s ) ) exp ( s h ) p g ( g = h 1 ) dh .
t
s 0 , t h
exp ( s h ) exp ( s t )
, ,
exp ( ( s) s t ) p g ( g = h 1 ) dh .
t
exp ( ( s) s t )
s 0 .
.: [1] .,
, . ., ., 1979.
; inversion formula f (t )
F ( a + h ) F ( a ) = lim
134
F -
1
2
e i t x f ( t ) dt
( . . ).
, [1] [3]-.
.: [1] ., , . .,
., 1979; [2] .,
, . ., . 2, ., 1984; [3] . .,
,
., 1987.
, ;
time reversal , .
; reversed Markov process
,
. t , t ( , ) . t
= t
.
-
t = t , t , , t
[ , ( h )
.
.: [1] C h u n g K. L., W a l s h J. B., Acta. math., 1969,
t. 123, p. 22551; [2] S m y t h e R. T., W a l s h J. B., Invent.
math., 1973, t. 19, p. 11348; [3] N a g a s a w a M., Nagoya Math.
J., 1964, v. 24, p. 177204; [4] J e u l i n T., Z. Wahr. und verw.
Geb., 1978, Bd 42, H. 3, S. 22960.
; reversed Markov chain ,
p g ( g = h 1 ) dh < 1
1
2
1 e i t h i t a
e
f ( t ) dt
it
,
.
X = ( X 1 , X 2 , ... ) Y n = X n , n 0
Y
= ( ..., Y1 , Y0 ) -
( , [1] ); Y X -
. . .-.
. . .- . pij X
, Y
p i j = P {Y n = j Yn1 = i } = j pi j i
(*)
, i , j E , n 0 .
X . . . .
pij (*) ,
> 0 = p ji , X -
- X i
. pij
.
.: [1] ., , . ., .,
1956; [2] ., ., , . ., ., 1970; [3] . ., . ., , . 1, ., 1971.
; weight , / .
( )
; weighing o f s u p p o r t i n g p o i n t s
;
- - .
; weighted quadratic
deviation , / .
, ; oblique
rotation o f f a c t o r i a l a x e s ,
.
; method of
residues , ,
.
; exit rate / probability density ,
,
; weighted
design / strategy k
; exit
rate , , .
; output signal , .
; Chungs law of the
iterated logarithm ,
N .
; weight matrix
. . .
.
xnT =
D = x1 ,..., xN
i -
n -
, , 1 , +1 0
xn i
.
xn i i - n -
- 1 0
.
n = 1 , ..., N ; b0 , bi , i -
, i
= 1 , ... , k ; n , n - .
- ( ,
[1] ). ( ,
[2] ). . .- ( , [3], [4] ),
.
.: [1] Y a t e s F., J. Roy. Statist. Soc. Supp., 1935, v. 2,
p. 181247; [2] H o t e l l i n g H., Ann. Math. Statist., 1944,
v. 15, p. 297305; [3] . .,
, ., 1976; [4] B a n e r j e e K. S.,
Weighing designs, N. Y., 1975.
;
weighted least squares method / generalized least
squares method , .
; aggrgation of states o f a M a r k o v
c h a i n , ; .
;
aggregation function , ;
; multiple access channel
.
. .- ( ,
).
~
~
Y1 , Y2 , Y ( Y1 , Y2 , Y )
y y1 y 2 ) .
p ( ~
(M 1 , M 2 )
y1m1 Y1 N ,
y m2 2 Y2 N , 1 mk M k , k = 1, 2 ( Yk N , Yk
N - )
Y
C m1 m2 Y
, 1 mk
Mk ,
k = 1, 2 .
~
, C
~
y - ( ~
y Y N ) ,
m1m2
, y m1 y m2
( m1 m2 ) . m1
m2
135
Pe ( m1 , m2 ) =
~
y Cm1 m2
p(N ) ( ~
y | y m11 , y m2 2 )
~
y = (~
y1 , ..., ~
yN ) Y
y k = ( y k1 , ..., y kN ) , k = 1, 2
p( N ) ( ~
y | y1 , y 2 ) =
p (~
y | y1n , y2 n ) .
n =1
. . Por
Pmax
1
Por =
M1 M 2
Pe ( m1 , m2 ) ,
Pmax = max Pe ( m1 , m2 )
m1 , m2
>0
M k
, k
= 1, 2 , Por. <
N , R
= ( R1 , R2 ) ( . )
. . .- Ror
R .
Rmax .
Ror . . . Ror
:
Ror = co
R ( p1 , p 2 ) ,
p1 ( y1 ), p2 ( y2 )
(*)
co , p1 , p2 , , Y1 , Y2
y | y1 , y 2 )
p ( ~
Y1 , Y2 , Y p1 ( y1 ) p 2 ( y 2 )
p( ~
y | y1 , y 2 )
~
R ( p1 , p2 ) = {( R1 , R2 ) : 0 R1 I ( Y1 ; Y | Y2 ) ,
~
~
0 R2 I ( Y2 ; Y | Y1 ) , R1 + R2 I ( Y1 , Y2 ; Y )}
, I .
, Rmax Ror -
( ).
. .- . ., L . .-
, . .
.
. .- . , ,
, . .- . ,
( ).
.
136
.
.: [1] . ., . .,
, ., 1982; [2] ., .,
, . ., ., 1985; [3] V a n d e r M e u l e n E. C.,
IEEE Trans. Inform. Theory 1977, v. 23, 1, p. 137.
m1 , m2
N ( Rk )
-
, ,
. Ror, as. - . -
( , ). .-
:
, .
. .
.
.
.
.- .
( ),
, , ,
.
( ,
.)
.
. . .,
. -
( ),
,
( )
. . .-
.
.
( . ) . .
, .
.
, .
. .-
,
.,
,
, .
.- .
.: [1] ., , . ., ., 1979; [2] B e r t s e k a s D., G a l l a g e r R.,
Data Networks, N. Y., 1987.
; r a n d o m multiple access
, .
; multichannel queueing system , , ( , ,
) . . . .,
, ( ,
). . . .-
. - , . . .-
. . .- . . . .-
.
; multichannel queueing
system , .
; multiascade queueing
system , .
; multiterminal channel .
K L
~
{ (X , SX ), (X , SX~ ), Q ( x, A ), V }
; multicomponent source - .
.
M U M X1 , ..., X M ( ) p ( x1 , ..., x M ) ,
xm X m . xm U
m - .
, p ,
N
p ( N ) ( x1 , ..., xM ) =
~
~
~
(X , SX~ ) = (X1 , SX~ ) ... (X L , SX~ )
L
p (x
1n
, ..., x Mn )
i =1
p
xm
,
K ,
. . .-
( , ).
. .- ( K = 1 ),
( L = 1 ), ( K = L = 2 ). , .
.: [1] . ., . .,
, ., 1982; [2] ., .,
, . ., ., 1985.
(N )
, -
. . .- ( ,
, . );
.
. . . .
, ( ) .
.: [1] . ., . .,
, ., 1982; [2] ., .,
, . ., ., 1985.
, ( X , SX ) - V
;
multiple mixing , r ( , A , P )
: V , ,
T
:
, k Vk , k , -
lim P
n
( X k , SXk ) - , Vk ( X k , SXk ) - . , 1 k
X k . .- k - -
, X l , 1 l
L l -
.
. .-
Yk , Yk
p( ~
y1 , ..., ~
y L | y1 , ..., y K )
~
~
, y Y , y Y .
. .
. . ,
. .-
IT
i =0
A0 , ..., Ar ,
ki ( n )
Ai
P ( A ) = 0 ,
i
i =0
A - { ki (n) ,
min
n 0 i < j r
k i ( n) k j ( n) = 0
.
. . . 1
; . . , , r 2
. r ( r + 1)
137
- - r - ( , ).
.: [1] . ., . , . ., 1949,
. 13, 4, . 32940; [2] . ., . .,
. ., , ., 1980.
; multiple stochastic
integral , .
; multiple Wiener integral ,
, f L
( R n+ )
( )
In ( f )
= ...
~ B ( mH 2 , m E 2)
, X
mH 2 m E 2 I ; mET mH
~ F (mH , mE )
, T
, mH 2 m E 2 II
.
, .
;
multidimensional Brownian process ,
.
f ( t1 , ..., t n ) dw t1 ... dw tn
. ,
f
- , . . . .
:
1) M I n ( f ) = 0 , n 1;
~
~
2) M I n ( f ) = M I n ( f ) , f , f -
3) M I n ( f ) I m ( g ) = 0 , m n ;
~
4) M I n ( f ) I n ( g ) = n! f , g~ ,
. . . .
. .- , ,
.
. . ., , = ( 1 , ..., s )
1 ( ) , ..., s ( ) ,
, , f n -
( 1 , ..., s -
, , A , w - .
. . . , , .
.: [1] I t o K., J. Math. Soc. Jap., 1951, v. 3, p. 15769.
= R
). . .
(R n+ )
; multidimensional observation
n ( n > 1) -
- ;
5) L2 ( A ) =
n ( fn )
n=0
; multidimensional beta
distribution X
2 2
. , H ~ mH ,
E ~
m2 E
H E . T
= T (1 + T ) = H ( E + H )
=H E
f (t ) =
q ( ) =
B (mH
B ( mH
1
( mH
2 , mE 2 )
2 ) 1
i1 , ..., is
, 0t <
(1 ) ( m E
i1 , ..., is
( , ., / ).
2 ) 1
R -
s F ( x1 , ..., xs )
= p ( x1 ,..., xs )
x1 , ..., xs
0 1
, B ( a, b) .
138
, ,
t ( mH 2 ) 1
2 , m E 2 ) ( 1 + t ) ( mE + mH )
p ( x1 ,..., x s )
A ( A , R
)
P { A} =
, ) p x
p ( x1 , ..., x s ) 0 ,
,
,
. x1 ,..., x p (
Rs
. . i
= i ( )
= F1 ( x1 ) ... Fs ( x s )
p ( x1 , ..., xs ) = p1 ( x1 ) ... ps ( xs ) , Fi (x ) pi ( x ) ,
f (1 ,..., s ) - . .-
; . . ,
M f ( 1 , ..., s ) =
.
. .- t
(t )
= Me
i t x
= ( t1 , ..., t s )
- , t x
= t1 x1 + ... + t s x s . . .- M ...
ks
k1
...
k1
( s M s )
ks
M ( 1 M 1 )
, k1 + ... + k s . . .-
M =
= ( M 1 ,..., M s )
2- . i j
i , j M ( i M i )
( j M j ) = 0 , 1 , ..., s
( ). m , s - , . .
s
; . . R - m
.
1 , ..., s ,
, .-.
;
multivariate density , ; ,
. x1 , ..., x p
, ( )
( ) .
; ( )
; ( )
(
) . n
i = 1, s , i ,
.
1 , ..., s
= ( x1 , ..., x p )
(1)
. . .
. . . .-
x , (1)
.
P ( x ) ( )
.
. . . :
. .
.; . . .; . . .-.
(1)
,
. :
;
; . : x
f ( x | , V )
f ( x | , V) =
1
( 2 )
p 2
12
exp ( x ) V -1 ( x ) (2)
2
N p ( , V ) ,
= ( 1 , ..., p ) T , x -
; multivariate statistical
analysis , -
l = M xl , l = 1, 2 , ..., p , V = vij
p
i , j =1
, x -
139
, vij
= M ( xi i ) ( x j j ) ,
x (
V = p ; ,
V = p < p ,
, p . ,
x
).
, (1)
N p ( , V ) , (2)- V
1
n
x i
(3)
i =1
( x i ) ( x i )
(4)
i =1
, , p
N p ( ,
1
- ,
V ) V
n
= nV
Q
( , [4] ) ,
|( n p 2) 2 exp 1 tr ( V 1 Q
)
|Q
,
p
( n 1) p 2 p ( p 1) 4
( n 1) 2
|V|
{(n j ) 2}
2
| V ; n) =
(Q
j =1
,
Q
.
0,
-,
| , ( | V
,
V
n
n 1
. (7) n1 n2
(1)
N p ( , V ) ; (3) (4) (5) ni S ni i -
, S n1 S n2
.
. . .- , , ,
,
.
.
1)
( ) ( , ,
. ) . .,
x p N p ( , V )
(1)
( 2)
, q p q x
x
.
~
-, V V
, :
(1)
(1)
( 2)
V =
V21 V22
= V11 V12 .
V
V
V
21
22
x
(2)
V11 V12
( 2)
( 2)
) N q (
(1)
), ) ( , [1], [2] ).
n N1 ( 0 , 2 p ) ,
n p
n p
T2 =
n ( ) S n1 ( )
p ( n 1)
p ( n 1)
1
[ (n1 1) S n1 + ( n2 1) S n2 ]
n1 + n2 2
S n1+ n2 =
+ B( x
n ( | S n | | V | 1) -
140
(7)
,
( p , n p ) ( p, n1 + n2 p 1) F
), T ( , [5] )
. ( ,
[1] ) S n
Sn =
n1 n2
( n1 n2 ) S n11+ n2 ( n1 n2 )
n1 + n2
= 1
V
n
n + n2 p 1
n1 + n2 p 1 ~ 2
T = 1
( n1 + n2 2 ) p
( n1 + n2 2 ) p
(6)
(8)
,
B
,
:
=V
V
1
B
12 22
= V 11 V 12 V 221 V 21 ;
B N q ( p q ) ( B , VB ) -
n ( p q )
( VB V
).
,
( )
.
( )
( ) .
2)
.
[ (1)
], ., .
I. -
,
= *
; T , (6)
= .
II. ( , *
(4)
, V
j
j - ,
j = 1, 2 , ..., k .
V. x - p
p1 + p2 + ... + pm = p .
,
p1 , p2 , ..., pm
(1)
= ( 2) =
...
= (k ) =
nj
(x
U p , k 1, nk =
( j)
i
( j ) ) ( x (i j ) ( j ) )
j =1 i =1
k
nj
j =1
i =1
(x
( j)
i
) ( x (i j ) )
( j)
, xi ,
n j
j -
p -
( j ) ,
n = n1 + ... + nk (3)
nj V
j
( n j 1) 2
(i )
x x (4)
.
, , , .
( , )
. ,
x - [ i -
p xi
x l , l = 1, 2 , ..., p
nj
j =1 i =1
(n k ) 2
( x (i j ) ) ( x (i j ) )
= ( x1i , ..., x pi ) T
[ l -
n xl
= ( xl 1 ,..., xl n )
].
( , [1], [2], [7] )
.
k 2
(
).
,
( x )
, ,
.
, , , :
(
);
;
.
( ) . r -
, ( , ) P ( x | r )
, , (1)
P (x) =
j =1
ni V
i
,
V
, V
i
],
i =1
nV
)
( 2)
=
; T
.
III.
( , )
(1)
x (1) , x ( 2) , ..., x ( m )
P ( x | r )
r=1
141
, r r -
(n)
( ). ( { x i }1 )
r , r k -
. , ,
, .
( ,
( . taxis + nomos ),
( , [2], [6] )
.
(
, i
xij
= 1 ,..., p ; j = 1, ..., n ) -
, ., -
ij
n
i , j =1
( , , ) , , ,
-
- .
( , [6] )
-
ij
n
i , j =1
( p ) ,
-
. ,
, ,
.
.
.
x ( . )
( ) q x
(1)
( . ) ( ) ( p q )
( 2)
;
(1)
F - x -
(1)
( 2)
q f (x ) .
,
, ,
.
( ) ( ) ,
xij ,
i = 1, ..., p , j = 1,..., n
ij ,
i , j = 1,..., n
.
142
, ,
( , ),
( )
.
.
, x = ( x1 , x2 , ..., x p ) ( x ) , z
= ( z1 , z 2 , ..., z m ) T
m << p
, n [ ekzo , + genos
; ] . [ (1)
] ,
, .
, (1) x -
,
.
. . .-
( ; ; . )
( ,
, , ).
.: [1] ., , . ., ., 1963; [2] . .,
., , . ., ., 1976; [3] . ., Bull. Int.
Stat. Inst., 1969, 43, p. 42541; [4] W i s h a r t J., Biometrika,
1928, v. 20A, p. 3252; [5] H o t e l l i n g H., Ann. Math. Stat.,
1931, v. 2, p. 36078; [6] K r u s k a l J. B., Psychometrika, 1964,
v. 29, p. 127.
; multidimensional scaling
( )
(
. ) ; . ,
, ( )
( , [1] ).
1952- ( , [2] )
.
.
. . - .
.
- ,
( , [3] ).
: . .
. .
. . .- .
.
,
, .
( , [4] ).
-
( , [5] )
. .
. .- ( , [6] ).
. .
.: [1] ., , .
., ., 1988; [2] . ., .: , . ., ., 1972, . 95
118; [3] S h e p a r d R. N., Psychometri, 1962, v. 27, 23,
p. 12540, 219-46; [4] C a r r o l l J. D., C h a n g J. J., Psychometri, 1970, v. 35, 3, p. 283319; [5] . ., , ., 1986;
[6] C o o m b s C. H., A theory of data, N. Y., 1964.
; multidimensional
random walk d ,
d
d Z , d > 1 .
R d , d > 1 . . . .
. ,
d
, R -
. . . .- 2 d
.
d 2 - , . . . . . . .-
( , [1] ):
d = 2 . . . (
). d = 3 0, 35 -
( d
> 3 ).
. . .- Z
( , [4] ). d
Z d+
- ,
Z +d 1
>3
.
. ( ., Z + Z
= 1 , Z +
d
= d ). 1- .
( ;
, [5] ). = 2
( , [5] ). ( , [5]
[3]- ).
Z d+ -
d 1 + K ( z )
,
K ( z ) z , | z | = 1
( , [5] ).
, , ( .,
2
. ). Z + ( , [5] ). -
( , [6] ). ,
, , ( ,
[7] ). -
, , - .
.
.: [1] ., , .
., ., 1969; [2] . .,
, ., 1972; [3] .,
., , . ., ., 1987; [4] . ., . ., . . . -, 1979, . 39, . 348; [5] . ., .: . . . . ,
. 13, ., 1976, . 535; [6] L e C a l l J. -F., Comm. Math. Phys.,
1986, v. 104, p. 471528; [7] C h a y e s J. T., C h a y e s L., Comm.
Math. Phys., 1986, v. 105, p. 22138; [8] B r i c m o n t J., F r o h l i c h J., Comm. Math. Phys., 1985, v. 98, p. 55378.
; multidimensional
random variable p ( p > 1) . ,
. . . i p -
= ( 1 , ..., p ) T . . .
Z + ( , -
) . . . .- , , , . .
.- .
i
Z +
( ) . , ,
d = 2 , 3
,
. . . . .
. . .- , . . . .-
,
143
= (U 1i1 , ...,U pi p )
U ji j , j .
Pi1, ..., i p
.
. . .-
.
.: [1] ., , . ., ., 1963.
; multidimensional random
process , .
;
model of structure of multivariate data
. n p X ; n , p
. ( p )
.
,
, : ()
,
() , -
, ; () ( . ),
;
() . .
( ) ,
,
; ()
.
() , X II = F ( X I ) +
,
, X I X II
( X II -
, X I - -
), .
, , ,
, ,
,
.
.
,
.
, , ( ), ,
.
. ,
,
144
( p > 1 ) ,
.
, ., .
, ,
. .
.
( ., ).
.
,
; ,
( ,
).
. .
, .,
. , .
.
.
. .,
,
,
.
., ,
.
. -
,
( , ).
,
( .,
) .
.: [1] T u k e y J. W., Ann. Math. Statist., 1962, v. 33, p. 167;
[2] T u k e y J. W., Exploratory data analysis, Reading, 1977; [3] L e b a r t L., M o r i n e a u A., W a r w i c k K. M., Multivariate descriptive statistical analysis, N. Y., 1984; [4] Interpreting multivariate
data, N. Y., 1981.
,
, . . . .
,
, . . . .
.
; multidimensional Wiener
process , m
, R - ,
X ( t ) = ( X 1 ( t ) , ..., X m ( t ) ), t 0 .
. . . .
M exp { i ( z , X ( t ) ) } = exp { t [ i ( a , z ) ( B z , z ) / 2 ] }
, a R
K K ; Y1 , ...,Yk ,
. , k - k - k -
, 1 k K . k - ( K 1)
mki , 1 i K ,
, B - . w ( t ) , t 0
. . .-
.
. . .- ,
( , [1] ). m = 2
( ). m = 3
P { lim w ( t ) = + } = 1
t +
> 1
( ln T ) / m1 / 2
P lim
t
T
inf w ( t ) 1 = 1 .
t >T
.: [1] ., .,
, . ., ., 1968; [2] . ., . ., , . 2, ., 1973.
k .
nk ( ~
y1k , ..., ~
y n 1, k , mk1 , ..., mkN ) Yk k -
mki , i k
k - n - n k -
~
y1 ,..., ~
y n1 , k .
~
y ) ( y , ..., ~
1/ 2
n k K
N K
a = 0 , B = I ( I , R -
X ( t ) = ta + B1 / 2w ( t )
. N
). X( t ) , t 0 w ( t ) , t 0
1 k K , i k
1 mki M ki mki k - i -
R m - B .
B . . . . t 0 . . . w ( t ) , t 0
m
Y1 , ...,Yk p ( ~
y1 , ..., ~
y k / y1 , ..., y k )
1k
Nk
k - m1k , ..., m Kk
m 1k ,..., m Kk
= P { m ki = mki ,
i } ( -
Pe 1 Pe
k
mki - ). . .- R
R = { Rki } , > 0
Mki 2
N ( Rk i )
1 i, k K , i k Pe <
N . . .
R -
. R
.
. .- ( K = 2 )
. ( C. Shannon ) 1961- (
).
.: [1] V a n d e r M e u l e n E. C., A survey of multi-way
channels in information theory. 19611976, IEEE Trans. Inform.
Theory, 1977, v. 23, 1, p. 137; [2] .,
, . ., ., 1963,
. 62263.
; multimodal distribution ,
.
; Dudleys
metric , ; .
; Dudleys condition . { ( t ) , t T } T
; t T M (t )
= 0 , M 2 ( t ) < ,
T d ( t , s ) = [ M ( ( t ) ( s ) ) 2 ] 1/ 2 .
H ( , T , d ) , ( T , d ) -
.
1/ 2
j = 0 , 1, ..., n 1
(2)
( , [1] ). (2) k - k - ( )
. k -
S n -
k - .
(
).
,
, (2)
;
S n < S j , j = 0 , 1 , ..., n 1
(3)
k - k -
, k - S n - k -
( H ( , T , d ) )
Sn > S j ,
. .-. . . (t )
T - d
( , [1] ).
. . (t ) -
. (2) (3)
,
. F , .
.
( , ( ) , [2], [3] ).
.: [1] D u d l e y R. M., J. Funct. Anal., 1967, v. 1, 3,
p. 290330; [2] D u d l e y R. M., Lect. Notes Math., 1984, 1097,
p. 1141; [3] . ., . - ., .,
1985, . 5, . 327.
*
; embedded renewal process
,
( ,
).
1 , 2 , ... F - ,
,
S 0 = 0 , S n = 1 + 2 + ... + n ,
(1)
n , S n n > 0 . .,
I ( ) { S n I }
I
S1 , S 2 , ...
. n , n .
n > 0 ,
n > 0
146
. .
n -1,
{ S n }
16- .
o . (26, 16) .
[
; (2)
. ]
{ S n } n - .
S n n n = 135 - (
S 135 = 137 ). n
.
n , (1, 3, 5, 7, 9) (2, 4, 6, 8, 10)
, n n
( n = n n ) .
( S 0 , S1 , ... )
( ).
n = 31 ,
.
5 18 ,
o .
. T1 , ( 0 , )
, H 1
S H1 - . T1
. T1
, k
>n
=n
a -
n +1 , ..., k
,
T1 - T2
.
: k - k -
T1 + ... + Tk H 1 + ... + H k
. ,
( , )
.
, S n - {S n } .
,
.
. 1 , 2 ,...
ab a x
e ,
p( x) = a + b
a b b x
e ,
a + b
- ;
H 1
q = 1 F ( )
(
T1
; embedded Markov chain (t )
k k +1 , k 0 k
P
P { ( k + t ) A | A k } = P k { ( t ) A }
k
= ( k ) , k 0
(t )
. . . .- .
, ( k , k ; k 0 ) ,
(t )
= (t ) , (t ) = max { k : k t }
.
.: [1] . ., . ., . ., . , ., 1983; [2] . ., . ., ,
. 2., ., 1973.
; embedded branching
process 1)
. a b
ae
1 s
, ( )
.
.: [1] .,
, . 2, ., 1984.
i i
x>0
.
, i , -
b x
f ( s ) - . a = b ,
x<0
[ (0 , ) ( , 0 ) - ] -
. , H 1
;
, .
2) (t ) , t 0
.
. p ( x )
a e a x - . T1 -
; Ti H i -
H 1 -
= ( n ) , > 0 , n = 0 , 1, 2 , ... -
. . . . . ,
,
. . . .- ( , [1] ).
.
.: [1] A t h r e y a K. B., N e y P. E., Branching process, B.
Hdlb. N. Y., 1972.
; inclusionexclusion
method . ., A1 , ..., An
r
P (r ) =
f ( s ) -
2 f (s) = a + b
(a + b) 4ab s .
( b a ) b - .
(*)
pk =
2
(1 ) k r C kr p k
k =r
) ( b a ) b .
P { A j1 I ... I A jk }
147
k r - r + t -
P ( r ) ( t -
) ( t - )
; ( , ).
. . . (*) .
.: [1] . .,
, ., 1977.
; circular
law . n
ij n 1 2
Hn =
ij ,
i , j = 1, ..., n , n -
; , M ij
0 < < , Re ij
>1
pij ( x) qij ( x) :
sup sup
n
= 2,
Im ij
= 0 , M ij
i , j =1, ..., n
>0
1 / (1 F ( x)) ,
( x ) = [ (1) (1 + x) + (1) (1 x ) ] / 2 ,
1 / F ( x) ,
x 1,
x < 1,
x 1.
0 < p <1 ,
x
,
(1 F ( x )) (1 F ( x ) + F ( x ) ) p , n
.
.-
p exp ( 1 /( p x ) ), x > 1,
P { Sn < x } q
q exp (1 / ( q x) ), x < 0.
, q = 1 p .
.: [1] D a r l i n g D. A., Trans. Amer. Math. Soc., 1952, v. 73,
1, p. 95107; [2] . .,
, ., 1986.
( ) ; support o f a m e a s u r e . T ( F ) = 1
2 +
i , j =1,...,n
< .
F T S -
x y
1 ,
p lim n ( x , y ) = ( x , y )
S ,
. t T , ,
S - , U
2 1 , x 2 + y 2 < 2 ,
( x, y)
=
x y
0 ,
x 2 + y 2 2 ,
2
F ( Re
x ) F ( Im k y ) ,
k =1
k , H n , y < 0
F ( y ) = 1 , y 0 F ( y ) = 0 .
.: [1] . ., . ., 1984,
. 29, . 4, . 66979.
; narrow
topology , , .
; narrow convergence , .
; topology of narrow convergence
, .
( S ) = 1 , T
, .
148
, .
sup sup M ij
n ( x , y ) = n 1
. ( . ,
= 1 + ... + n , n 1
(U )
> 0 . (
)
.
, ,
. .- . ,
,
. . .
( )
port d e s i g n
; sup , -
; carrier signal , .
; carrier frequency , .
,
; extension of measure
. R , , R -
. R A ( R )
, Y R , Y ( Y )
= ( Y ) ( ).
.
, ,
,
.
. A
= 0 Z Y Z A
= 0 ) ,
.
, ( ) . ( - ) ( Y U Z ) \ Z
; Y ,
Z Z
.
( ( Y U Z ) \ Z ) = ( Y ) .
; stable distribution
( ) .
.
X - Z X . :
1) , Z
- ;
2) 1 2 1 ( Z ) =
= 2 ( Z ) , Z
,
.
: , ,
,
- .
, X -
( Z j )1 j m , X ,
Z j , 1 j m
.
X -
, , .
( ) , ( ) . ( , [3],
. .- ).
.: [1] ., , . ., ., 1953;
[2] ., , .
., ., 1969; [3] . .,
, ., 1983.
,
; supporting point of a design , -
{ Ak , Bk > 0}
Y A , ( Y )
( , ( Z )
{Xk}
Z n = Bn1 ( X 1 + ... + X n An ) ,
n = 1, 2 , ...
S - . - . . .
( [1], [2] ).
. .- -
.
. .- , ,
0 < 2 . = 2
1
R ,
=0
0 < < 2 R ,
1
x < 0, H ( x ) = c2 x ,
H ( x )
= 0 H ( x ) = c1 | x | ,
x > 0 , ck 0 ,
c1 + c2 > 0 . . .- .
(
= 2 ; = 1 , c1 = c2 , = 0
1
, c1 c2 = 0 ) 2
G , , g
. G . .-
f . , = 1 .
. . ( [3] ):
log f ( t ) = i t | t | ( 1 i A ( t , , ) ) ,
()
A(t , , ) =
tg sign t ,
2
=
2
log | t | sign t ,
1 ,
= 1 ,
0 < 2 , | | 1 , 0 R1 .
. .- :
log f ( t ) = i t t
B ( t, , ) ,
(B)
B ( t , , ) =
exp i K ( ) sign t
2
+ i log | t | sign t ,
2
, 1 ,
= 1 ,
K ( ) = 1 + sign ( 1) -
; stable algorithm , .
; stable subspase , .
149
A =
B , A =
. .- . . .- , ,
. .-
[4]- . S M
:
F S , , , b1 b2
B ; 1 ,
tg B K ( ) ,
2
2
A = B cos B K ( ) ,
2
A = B cos B K ( )
2
A = ctg
F ( b1 x ) F ( b2 x ) = F ( b x + a )
.
G ( x , , , , ) x -
b > 0 a .
. .- , = 0 = 1
. . .-
: x , , g ( x , , ) =
b1 + b2 = b , 0 < 2 , . .-
= g ( x , , ) ; x 0 , < 1 ,
g ( x, , 1 ) = g ( x, , 1) ; g ( x, , ) >
> 0 ; g ( x, , ) ;
g ( x, , ) 1 , g ( x 1/ , , ) < 1 , x > 0
.
S M -
= 0
. G . ., , 1, = 0 = 1,
= 0 ( ) C M
, An
. M . .- .
.
,
0 <
2 , | | min 1,
= B K ( ) ,
C = B ;
1 , > 0 .
1
=1
= ( x 1 , , , 1)
: 1 2 ,
-
x g ( x , , , 1) = x g ( x
1 +
F ( a1 x + b1 ) F ( a2 x + b2 ) = F ( a x + b)
, F ( x )
, .
f ( t ) . .- ,
t t
t i t b
f
f
.
a = f a e
a
1 2
. .- :
1 , ..., n ,
n =
n
> 0 , n
k n ,
(*)
k =1
.
Fn ( x) n , {Fn ( x)} n
. .- . , . . F ( x )
, 1 , , 1 ),
= ( 1 + ).
. .- . .- ( = 1 )
( , ; ).
150
> 0 , 2 > 0 , b1 , b2
a > 0 b ,
12
B C = B
+ B2 .
arc tg
. .- . ( x , , , ) =
. R - . .
( , ),
( ,
) , . .-
. . - ( 20- 90- ) , ,
, . . ( , [4] ).
F (x) , .
(C)
( , , ) (B) C = B
b > 0 , a = 0 , F M
(*) , n
Fn ( x) , F ( x ) - .
, . .- . , .
.: [1] L e v y P., Calcul des probabilits, 1925; [2] L e v y P.,
Thorie de laddition des variables alatoires, 2 d., P., 1954; [3] . .,
, ., 1938; [4] . .,
, ., 1983; [5] .,
, . ., . 2, ., 1984.
; stable distribution i n a B a n a c h
s p a c e X
, :
b1 > 0 , b2 > 0 b > 0 a B ,
( b1 X ) ( b2 X ) = ( b X + a ) ,
.
(1)
<1
g ( x , , , ) -
x s g dx =
f ( x)
(dx) i w ( f , )}
(2)
S1
, f B , S1
= { x B : x = 1} ,
S1 - ,
f ( x) sign f ( x) (dx) , 1
tg 2
S1
( f , ) =
2
f ( x) ln f ( x) ( dx) ,
= 1.
S
1
1 (2)
. . ; . .-
, .
. . : B - . .
, B -
. . .-
,
,
. ,
.
.: [1] L i n d e W., Infinitely divisible and stable measures on
Banach spaces, Lpz., 1983; [2] W e r o n A., Lect. Notes in Math.,
1984, 1080, p. 30664.
; ; ; stable distribution; i n t e g r a l t r a n s f o r m s ,
g - .
, . .-
,
.
= 1 ( . .- )
(B)-
( Re s 0 ) :
sx
exp ( s s sign ( 1 ) ), 1;
gd x =
exp ( s + s log s ) ,
= 1;
(1 )
(1 s ) s 2
2
sin s
(1 s )
.
it
w k (t ) =
cos
cos
(k it )
(k it )
(1 i t )
(1 i t )
= 0 , 1 .
< Im t < 1 .
.: [1] . ., , ., 1983.
; stable distribution
o n a g r o u p G { t , t 0} . { t , t 0}
: t > 0
, k
( f ) = exp { i f ( x0 )
sin
b = b1 + b2 , 0 < < 2 , ,
. .- . = 2
. 0 < < 2 . .-
= 0.
( 1 < Re s < )
(1)
( X ) X ,
, , x < g ( x , , 1, , )
t ( A) = t A + X t ,
(*)
X t , G G - ,
{ t , t > 0} , G .
, T = { t , t
> 0}
, t , G
Aut (G )
t , s > 0 t s = t s t 0 t ( g ) e ( e , G ) g G . , G - ,
: E G
( E ) = ( 1 ( E )). f
A :
( f )( x ) = f ( ( x )) ( A) ( f ) = A ( ( f ))
( f ) ( A ) .
G
A { t , t 0}
G
> 0 ,
(*) , ,
. t > 0
X t = 0 , G
T X t G , t
151
. Aut (G ) ,
; 2) t , ,
Aut ( G ) - ; 3)
c ( 0 , 1) G X
, I
= c A + X , A { t , t 0}
, G ,
; 4) t T -
, ( A)
, , ,
R*+
() =
. 4)
G
. X = 0 ,
.
T ( , c ) , -
T ( , c ) .
( ( Z)
( ) .
.
G - M 1 (G ) -
, , T , { t = t ( ), t > 0} G -
,
1) t s = t + s , t - 2) t ( s ) = ts ,
1) 2) t , s 0
. t ,
t 0 2) , , T . { t , t 0} , ,
, ( t )
= c t , t 0
Aut (G ) c ( 0 , 1) c
. , { t , t
( , c)
0}
, ,
, c > 0 ( Z) { c , n Z }
n
{ c , n Z } ) ( , [2] ).
G , T = { t , t 0} , G -
, { t , t
0} ,
G -
= K ,
K , G K .
{ t , t 0} , T , K T .
, 0
C K (T ) = { x G : t ( x ) K K , t 0},
C (T ) = { x G : t ( x ) e, t 0}
, : ) C K (T ) G - C (T )
K - ;
) C (T ) G - ; ) t 0 t ( G \ Ck ( T ) )
= 0;
) C (T ) T , -
0} , t 0
( , [1], [2] ).
M (d )
{ t , t
H n ( , [3], [4] ).
, T
.
( , [7] ).
.: [1] H a z o d W., Lect. Notes in Math., 1982, v. 928, p. 183
208; [2] H a z o d W., Lect. Notes in Math., 1986, v. 1210, p. 304
52; [3] B a l d i P., Lect. Notes in Math., 1979, v. 706, p. 19;
[4] D r i s c h T., G a l l a r d o L., Lect. Notes in Math., 1984, v.
1064, p. 5680; [5] H a z o d W., N o b e l S., Lect. Notes in Math.,
1988, v. 1379, p. 90106; [6] H a z o d W., S i e b e r t E., Semigroup Forum, 1986, v. 33, p. 11143; [7] H a z o d W., S i e b e r t E., J. Theor. Probab., 1988, v. 1, p. 21126.
( , [5] ).
.
I = I ({t } ) = { Aut ( G ) : ( t ) = t , t 0}
t
( ) .
Z = Z ({ t }) =
= { ( , c) : Aut (G ), c > 0, ( t ) = t c , t 0}
t
( . ) (
) . , I
( , 1) Z .
( , c ) = c : Z R *+ = ( 0, )
. I Z :
1) Aut (G ) - Aut ( G ) R*+ -
152
t = t K ( , [6] ).
;
;
; s e r i e r e p r e s e n t a t i o n o f a stable distribution .
1 2 ,
g ( z , , ),
z 11 g ( z 1 , , ), 0 < 1
(z) =
, g . .- . ( z )
= 1 , = 0 ( z ) z = 1 ,
.
( , )
(z) =
z k 1 ;
> 0
.
(1)- ,
k =1
ak 0 < 1
ak =
(1) k 1
f ( x; , , , c) =
( 1 + k)
sin ( 1 + ) n
2
( 1 + k)
, x . .-
( , 0 , ), , [1]-.
.: [1] . ., , ., 1983.
; ; ;
stable distribution; s i m u l a t i o n o f r a n d o m v a r i a b l e s ,
.
., 0 < < 1 , = 1 , = 0 = 1
. .- Y ( ) , ( 0 , 1)
1 , 2
sin 1
sin
1
1 (1 )
log (1 2 )
(1 )
; stable function of
distribution , .
; index of
stable distribution ( , ).
(t ) -
tg 2 ,
( t, ) =
2
ln | t | ,
1 ,
= 1 .
e i t x exp { i t c | t |
.
.
1) = 2
;
2) = 1
;
3)
f ( x)
e 1 2 x , x > 0 ,
= 2 x 3
x0
0,
= 1 2 ;
4) = 0
.
> 0
f ( x ; , , , c ) f ( x; , , , c) =
c 1 f ( ( x y ) c 1 2 ; , , 0, 1) ,
1
= 1 x y
2
ln c ; 1, , 0, 1 , = 1
c f
c
=0, c = 1
f ( x ; , ) = f ( x ; , , 0, 1)
,
f ( x; , ) = f ( x; , ) .
(1)
(
) , , , , c , 1 1 ,
0 2 , c 0
- .
.: [1] C h a m b e r s J. M., M a l l o w s C. L., S t u c k B. W.,
J. Amer. Statist. Assos., 1976, v. 71, p. 34044; [2] . ., , ., 1983.
t
ln ( t ) = i t c | t | 1 + i
(t , a )
|
|
y
t
(1 + i
( t, ) ) }d t
|t |
. 1 2 a
.
g ( x , , ) -
sin (1 )
1
sin 1
1
2
( 0 < < 2 )
p ( 0 < p < )
.
.: [1]
, ., 1985.
;
stable process , ,
. . .-
: . . (t ) , ( 0 ) = 0
153
( , ) , C
> 0 , ( 0 , 2 ) [ 1, 1]
M exp{ i (t ) } =
= exp t i C | | 1 i
( , )
|
A R
1,
( , 1) =
2
2
M (t)
< , s ( 0 , ) , M (t )
A1 , ..., An
n A
ln | | .
- . . . .
.
= , t > 0 -
= = 0 (t ) - M exp { i (t ) } =
(t ) ,
s
n n -
( , ) = tg
; robust estimator ,
= exp { t C | | } , = 1 - .
; stable state ,
, x
:
=0
lim p ( t , x , x ) = 1 ,
t0
1/
1 ( k t ) k ( t )
. = 0 = 2
( t ) = t .
A1 U ... U An
q x = lim
t 0
1 p( t , x, x)
< ,
t
, .
.: [1] . ., , ., 1964.
. . .
; stable semigroup
{ Q ( t )} ,
t > 0 , t t - , G
. G ( , . VI, 1 ): X , X 1 , X 2 ,...
, G
S n = X 1 + ... + X n . G
> 0
,
d
S n = cn X + n
x - , = inf { t : t 0 , t x } , x -
(*)
, G ;
G (*) n = 0
, G
. t t - ( ) .
t 0 o Qt
). E
,
; E
( ,
).
( ),
. F , R -
Y = { w = ( F1 , F2 ,... ) : F j F, I w = F1 * F2 * ... F }
.
.: [1] .,
, . ., . 2, ., 1984.
G F
M -
M (G ) = { w : I w = G } F - F( , G ) =
= { F : L ( F , G ) } , L .
, t , 0 .
154
P { > t } = exp ( q x t ) ,
t 0 . q x = 0 . . ( =
Qt ( x ) = G ( t ( x t ) )
n cn
p ( t , x , x ) , x t x -
( , G ) = sup { ( F , G ) : F F ( , G ) } ,
( F , G ) = sup{ ( w , Y( G ) : w Y( F ) },
( w , w ) = sup { L ( F j , F j ) : j 1 },
,
F ( , ) -
( w , Y ( G )) = inf { ( w , w ) : w Y( G ) }
. , 0
(, G )0
(*)
. d ,
:
x 0 ( x ) 0 ,
. L F - . (*) ,
( , [2]
.- )
.
,
. . . , [1]- F = F1 * F2 ,
Fi F w -
.
.: [1] . ., , ., 1960; [2] . .,
, ., 1986.
; stability i n
p r o b a b i l i t y , ( )
.
( )
; stability o f q u e u e i n g s y s t e m s
.
.
.-
( u , f , ) , u
( Q ( r ) , Q ) ( d ( P ( r ) , P ) ).
f - F
= F (P)
P
Q
P = { P } Q = {Q }
,
( u
, ., , - , ).
., , F , r
P
Q
P ( r )
P Q ( r ) = F ( P ( r ) )
F (P) = Q
u = ( u1 , u 2 ,...) ,
= (1 , 2 ,... ) , R R l -
, U k -
lim P { k B } = F (B ) .
(r )
. , u k u k
F (B ) F
( B ) - .
(r)
.
( , ; , ;
, ;
).
. .
e
.- , ., k , k
( k + 1) -
s
, k k -
, x
= max ( 0 , x ) .
u = ( u1 , u 2 ,... ) ,
uk = ( ke , ks ) ,
X k = ks ke , = (1 , 2 ,... ) , k k - [ { vk } , k
vk +1 = ( vk + k )
],
w = ( w1 , w 2 ,... ) , { vk }
P {w1 B } = lim P { k B } ,
k
w k = sup
X i .
j 1 i = k j +1
V = { } v = f (u ) . u
Q
( ,
, , . ),
( , . ). U = {u }
, U V P Q
{( k
(r )e
,k
(r ) s
)} , r 1 -
( r ) .
, X = { X k }k 1 , M X 1
< 0;
X r X -
; r
(r )
M ( X 1 ) + M ( X1 )+ < ;
> x} 0
(r )
{ w k }, { n( r+)k }k 1
P { 1
(r )
>
r , n w .
155
d ( F1 , F2 ) = sup F1 ( x) F2 ( x)
k +1 = R ( (k + e ks i ke ) + ) , k 1
, ( F1 , F2 )
( F1 F2 ) ( x) , F1 F2 -
F(t ) d t ;
.
.- . X rj X j - ( .,
) (r )
. ., : X X
-
w = ( w1 , w 2 , ... )
.
( ) ( ., , , ;
) .
.-
( > 1 ), ,
e
( r )e
. ., {( k , k )} {( k
(r )s
, k
)}
( x) -
> 1 M ( X j ( r )+ )
X j ). (r )
: X X
, r - M X 1
< M X 1 < 0 ,
(r )
( W (r ) , W ) C ( ( F (r ) , F ) + ( Q(r ) , Q ) )
( X
= ( x1+ , ... , xm + ) -
, r - > 1
, F (x ) F
(r )
j
{ k } - .
i = (1, 1, ...,1)
; R ( x) , x
+
x x
F (x) = P { X 1 < x };
Q( x) =
< 0 , M ( X 1( r )+ ) C <
> 1 ,
( W , W ( r ) ) C1 [ ( ( 1e , 1s ) , ( 1( r )e , 1( r ) s ) ) ] 11/
, , ,
W ( x ) = P {w1 < x } .
r -
>0
(r )s
M exp ( j
) C < -
( W , W ( r ) ) C 2 ( ( 1e , 1s ), ( 1( r ) e , 1( r ) s ) )
d (W ( r ) , W ) C1[ d ( F ( r ) , F ) ]1 1 /
| ln (( 1e , 1s ), ( 1( r ) e , 1( r ) s ) ) |
.
r - > 0
(r )
M exp { X 1 } C <
d (W ( r ) , W ) C2 d ( F ( r ) , F ) ln d ( F ( r ) , F )
. ( d ) , , , ,
(r )
( ). X X
, , , ,
.
. m -
= ( ke , ks ) ( )
.
{ 1 , 2 , ...} , k = ( k ,1 , ..., k ,m )
,
156
. .
.
uk
. {( j , j )}
uk
= ( ke , ks ) k = ( )
. n -
q n
.
= ( q1 , q 2 , ...) ,
n { qn+ k }k 1 -
< ,
. M 1
( r )e
. , { j } { j
;
{( (jr ) e ,
(jr ) s )}
r {( j , j )}
M 1( r ) s
< ; , j 0
M 1s
P 0s
e
k
k=0
= 0 = 0.
d X ( t ) = b ( t , X ) dt +
, k
s
{( k , k , k )}
.
. ,
ke
ks
uk = ( ke , ke , ks , ks ) ,
0 , 1s , 1s + 2s , ...
x - b ( t , 0 ) = 0 ,
r ( t , 0 ) = 0 x , (1)
.
.- ( , [1] ):
d X (t ) = grad x b ( t , 0 ) X dt +
s ( t ) = 1s + ... + s (t ) 1 , ( t ) 1s , 2s , ...
t ; q ( t ) , t
(
), q ( 0 ) = 0 ; { q ( x ), x 0}
t
0} .
1 ), ( k( r ) e , k( r ) s , k( r ) e , k( r ) s ) -
.
:
{ k = e ( x ) s ( k ) e ( k 1) + s ( k 1); k 1 }
, M
< 0 ; { e ( t ); s ( t ) } (r )
(r )
M [ s ( r ) (1) s ( r ) ( 0 ) ] M [ s (1) s ( 0 )]
, { q ( x) }
r { q ( x) }
.
.: [1] Handbuch der Bedienungstheorie, Bd1, B., 1983; [2] . ..,
, ., 1980; [3] . ., ,
., 1978.
( )
lity o f M a r k o v p r o c e s s e s
; stabi
. -
grad x r ( t , 0) X d w r ( t ) ;
(2)
r =1
( r
(1)
k 1 .
.
e ( t ) , t ,
{ q ( t + x ); x
. b ( t , x ) r ( t , x ) t -
X , b , r , R l - , w r -
, u = ( u1 , u 2 ,...) ,
( t, X ) d w ( t)
r
.
e
r =1
(r )
.- (
)
( , [1], [2] ). .,
X ( ) -
X ( 0 ) 0 sup | X ( t ) |
t> 0
.
.-
( , [1], [2] ).
.
{ 0 , 1, 2 , ...}
. P = { pi , j } ,
( ., 0
), q n = ( q n ( k )) k 0 , n
. :
P (r ) , r 1 ,
{ , ( r ) , r 1 } , r
sup
n
qn ( k ) qn
(r )
(k ) 0
k =0
i , j
pij( r )
pij
q0( r ) ( i )
q0 ( i )
.
.
.: [1] . ., ,
., 1969; [2] . .,
, . ., ., 1969; [3] . .,
, ., 1978; [4] . ., .:
. , ., 1984,
. 2227.
( )
; stability o f c h a r a c t e r i z a t i o n o f d i s t r i b u t i o n s
157
. . .
. .- . [1] ( 38 ) ,
. ( )
; , = F1 F2
( , )
.
. . . ,
.
( , [2] ).
.
.
, ,
= ( F1 F2 , ) 1 , 2
( Fk , k ) =
,
= O( 1
log 1/ ) .
. . . . . ( , [3] )
( , [4], [5] )
.
[6]- , . X , Y
, A X , B Y
J :X F
D = ( JA ) I B C = A
I ( J 1B )
(X , Y , F ,
A , B ) A B
. X X
. C
, x X
( x , A ) + ( J x, B ) 0 ( x, C ) 0
. D - ( , ) :
1) A - ;
2) B - ;
3) J , A
.
= { ( F1 , F2 )} , Fk F ( F , R1 -
), Y = F , J ( F1 , F2 ) =
= F1 F2 , A = X , B = {} , -
X
( ( F1 , F2 ) ( F1, F2) ) = L ( F1 , F1 ) + L ( F2 , F2 ) , = L
, L .
.: [1] L v y P., Thorie de laddition des variables alatoires,
2 d., P., 1954; [2] . ., . . . .,
158
( )
;
stability o f r e g e n e r a t i v e p r o c e s s e s
. V = ( V1 , V2 , ... )
, S 0
= 0 , S1 , S 2 ,...
, j
= S j S j 1 , j 1 , P { 1 1 } = 1 a ( k ) =
= P {1 = k} , k 1 . N 0 < < 1
, 1 k N } = 1
, { a ( )} N ( N , ) -
{ k : a ( k )
. V V , a a , N ( N , )
; :
)
M ( 1 ) g
M 1 g ,
,
n T
, d
, c
g , , N , - ;
)
M exp ( 1 ) g1 , M exp ( 1 ) g1
, 0 < 0
c1 = c1 ( g1 , , N , )
n T
, 0 c1
.
. : V
V - ; V V .
,
, .-
.
.: [1] . .,
, .,
1978.
( )
;
stabilit o f a s t a t i s t i c a l p r o c e d u r e
X
.
( .,
), . ( )
.
.- ,
; .,
.
( , [1] ). x
, tn
, -
= n 1 x s Styudent
. t n
. n - Styudent
t n
. n ,
n - Styudent t n -
,
t n .
. t n -
. .
n2 =
(x x)
i
. n
.
, , , n
2
n
, ( n 1) -
. ,
. .
,
.- : ( x )
x . F ( x ) -
( x ) - ,
, , F ( x )
x
.
.-
, . ,
X 1 ... X n
X = ( X ( k +1) + ... + X ( nk ) ) (n 2k ) ,
k = [ n ],
< 1/ 2
,
. .
( , ( ) ), ,
.
-
.
.
.- . 20- 1- -
, X -
,
X (1) , ..., X ( k ) ( )
( , X ( n k +1) , ..., X ( n ) - ) X ( k +1) - ( , X ( n1) - ) .
.: [1] ., ., , . ., ., 1973; [2] ., , . ., ., 1991.
( )
;
stability o f a s t o c h a s t i c m o d e l
.
. ( , ( ),
, ( ), ,
( ), , ). .
,
. , ,
( ,
( ) ;
).
( ) ;
;
; stability o f a
s t o c h a s t i c m o d e l;
q u a n t i t a t i v e e s t i m a t e s , , .
.- .
X Y
( X , ) (Y , ) , F : X Y
( ).
A X B Y ,
. ( A , B , F ) (
) .
X A B = Y ;
FA - ,
A X
B Y
C = A
I F 1 ( B ) ,
C X
( ) .
. A B -
.
159
1.
> 0 = ( ) > 0
( X ) ( X , A ) + ( FX , B ) < ( ), X X
( FX , FA ) <
, B X X .
2. > 0 = ( ) > 0
,
( X ) = ( X , A ) + ( FX , B ) < ( )
( X , C ) <
, > 0
= ( ) , ( X , C ) < ( X ) <
, X X
.
, X
Y ( ,
, ) , .
.
. .,
, ( ., , )
; ( ,
) ,
.
,
( .,
).
. .
., ( ., ,
) .
. .- 1- . 2
.
.
. ( )
,
( , ( ) ). ., , . .-
, , X Y
, , .
1 2- ( ) ( ) .- ,
.
160
. ,
, .
. .
.
. -
. ( ) (
( ) - )
. , ( ) -
[ , ( ) - ]
.
-
.
,
,
.
.: [1] Z o l o t a r e v V. M., Bull. Inst. Statist. Inst., 1977,
v. 47, 2, p. 382401; [2] . ., , ., 1986;
[3] . ., . ., , ., 1988.
( )
; stability o f d i f f e r e n t i a l e q u a t i o n s
w i t h r a n d o m p a r a m e t e r s
,
. .
F ( x, t , ) ; x , F R n , x
x -
,
xt = F ( x , t , ) , x ( t 0 ) = x0
. X
(1)
( x0 ,t0 )
( t , ) , (1)
F ( 0 , t , ) 0 , , x = 0
sup P { | X ( x0 , t0 ) ( t , ) | }
t t0
, .
, t , X
( x0 , t0 )
( t , ) 0 , x = 0
.
x0 (2)
(x , t )
P sup X 0 0 ( t , )
t t0
, x = 0
.
p . ( p -
) .
,
. ,
( , [1], [2] ).
. . ,
. p p . , p p (
A > 0 ,
>0
M X
( x0 , t0 )
(t )
A | xk | p e t
)
.- .
.
p > 0 p .
dx dt = F ( y ( t , ), x ) ( F ( y , 0 ) 0 )
x = 0 . ( X ( t ), Y ( t ))
x = 0 .-
.
.: [1] . .,
, . ., ., 1969; [2] . .,
, ., 1969.
; parameter of stable ,
, , -
; stability theorem i n t h e q u e u e i n g t h e o r y
( ) ( , ( )
).
= { n }
( ) u = { u n } n +1
= f ( n , u n ) , n 1
. u n n R R
, k 1 , l 1 .
. .- .
I. ,
( ,
; ).
v , ( , ( )
).
II. -
( , ;
).
III. ( .
) ( , ;
).
,
- .
.: [1] . .,
, ., 1980; [2] . .,
. ., 1975, . 20, . 4, . 83447;
[3] . ., . ., 1976, . 101, 3, . 416
54; [4] . .,
, ., 1978; [5] . ., . ., 1975, . 20,
. 3, . 57183; [8] Handbuch der Bedienungsheorie, Bd 1, ., 1983.
;
;
; stability theorem; m e t r i c a p p r o a c h
l
. { n } R -
n +1 = f ( n , u n ) ,
n 1
(1)
{ u n } R k - .
d ( X , Y ) d ( FX , FY ) FX FY
. : f
l ( f ( u , ), f ( u , )) l ( , ) + k ( u , u )
, { u n } (1)- 1 { n }
d ( j , j ) d (1 , 1 ) +
j 1
d ( ui , ui ) ,
j = 2 , 3 , ...
(2)
i =1
,
l
l , k
R , R - .
, d
, (2)
. { u n } { u n } , (2)
, , .
( ., f ).
.
.: [1] Handbuch der Bedienungstheorie, Bd 1, B., 1983; [2] . ., . , 1976, . 101, 3, . 41654;
[3] . ., , ., 1986, . 416.
161
; ;
; stability theorem; t e s t
f u n c t i o n s m e t h o d
.
v = f (u ) ,
.
l
{ n } R - , 1
n +1 = f ( n , u n ) ,
n 1
(*)
, { u n } k
, R - ,
{ n( r ) }
1( r )
= 1, 2 , ...
(r )
{ u n }
(*)- . k , l ,
R k R l - ;
( X , Y ) = inf { > 0 : P { j ( X , Y ) > } < }
j
R - X Y ; j = k , l ; G ( x ), x 0
sup ( n , n( r ) ) < ,
n 1
inf { T C N + C1
T
. . ,
.
.: [1] . ., , ., 1978;
[2] . ., . ., 1975,
. 20, . 3, . 57183.
;
; ; stability theorem; r e n o v a t i o n s m e t h o d
(
).
, = { n } ( ) -
= { un }
n + 1 = f ( n , u n ) ,
n =1
, N
WN ( x , y ),
x , y Rl
x , y Rl
= ( N )
, ,
W N ( x , y ) N l ( x , y )
( u1 , u1( r ) )
WN ( f ( x , u1 ) , f ( y , u1( r ) ) ) WN ( x , y ) N ( x , y ), x , y R l
. :
{ I ( An )} , P ( A0 ) > 0 , w k + 1 =
= f ( w k , uk )
x, y
N ( x, y)
; {
)C <
(r )
( u1 , u1 ) 0 ( 1 , 1 ) 0 ; r
(r )
n 1
. .
(r )
< 1 ( )
(r )
} (*) -
; { An } {
; {w
(r )
(r )
} { (r ) } -
. , { I ( An )}
P ( A0 ) > 0 ,
sup ( n , n( r ) ) 0
: ( u1 , u1 )
(r )
} ( .,
) u
. : r -
162
P {{ n + k } B } P {{w k } B }
(r )
= {w n }
, n
, , { u
(*)
M N ( x , y ) 1
sup M G
n 1
.
An , [ n L , n ]
, N W N ( x , y )
1 G(n) } =
nT
, C1 C G - .
G( n ) < .
= ( N ( ) ) , N ( ) ,
1 ( )
lim inf P
r
>0
j =0
A(j r ) P
j =0
Aj
j ( u1 , ..., u L + j ) - , w
(r )
r w - .
. .- , .,
sup d
n 1
sup
n T + L
( n , n( r ) )
d ( T ( u n T L , ..., u n 1 ), T (u ( r )
n T L
+ 2 sup P
n 1
A j + P
j = n T
n 1
n 1
j = n T
, ..., u
(r )
n 1
(r )
Aj
)) +
.
, ,
r
,
( , ( )( )
),
.
.: [1] . .,
, ., 1980; [2] . .,
.: , ., 1980,
. 5257.
; stopping
time , t - t 0 { : ( ) t } At ,
{ At , t 0} ( , A , P) = ( ) ( ) . t 0 t -
{ : ( ) < t } At
, { At + , t
As . -
s >t
{ At , t
0}
. .-
( ) = inf { t 0 : ( t ; ) }
, ( t ; ) ( M , B )
{ At , t
0}
.: [1] ., ,
. ., ., 1975; [2] . ., . .,
,
., 1982.
*
; stopping time
r e l a t i v e l y t o f l o w : , +
, { , F, P }
t } Ft
t , B B
( X , B) ,
(t )
Ft F ,
) F P ( , A F , P ( A ) = 0 B A B F , F P
)
F0 ;
) 0 s < t s t
Fs Ft ( Ft t -
);
) t 0 Ft =
IF
( Ft , t
s >t
) , {Ft }t 0
{ Ft }t 0 ( t ) , . .- ( t ) [ 0 , ] . ., ( t ) , . .-
.
, {Ft } . . . ,
t 0 { t } I A Ft A F
F ; F
( )
. F At Ft , At I { > t } , F
.
. .-
.
1) 1 2 . .-, 1 2 1 2
. .-.
B ( , inf { } = + ).
{ ( s ) B } , s
Ft
.
. { u n } { I ( An )} -
. Ft
. t
. .-, At +
. ,
t [ 0 , t ] -
d . d ( w1 , w1 )
0}
.
[ 0 , ) - ( t )
, { Ft }t 0 . . . . .-
lim n . .-.
3)
1 2
.
4)
F1
.-,
F F F 2
2 <
F 2
1 2 . .- 1 2
F 2 , F1 F 2 .
163
5) n . .- n ,
Ft =
F n ; n
F =
.
6) n . .- n , n
< , Ft =
>
IF
VF
; n ,
n <
F =
VF
<
7) 1 2 . .-, A F 2
I { 2 1} F1 , A I { 2 < 1} F
.
, . . t -
F
Ft =
Fs ).
; Dyson distribution
;
( . )
. . .
. . .
.
, ; debut
of a set , R + A - ,
DA ( ) = inf { t R + : ( t , ) A}
D A , , { t R + : ( t , ) A }
n . .- ,
n < n , - . . .
. . .
. { Ft } , { R + , B+ , P }
( , t ) = I{t > } ,
= [ 0 , ) , B+ R + -
, P , B+ - ,
, ( t , ) A );
, D A ( )
. ( )
= -
( At ) t 0
8)
. . . .-, A F *
A { } F ,
At - P
( At ) t 0 .
, .
.: [1] ., ,
. ., ., 1975.
; defect ,
{ } F ,
. ( ( t ) , ( t ) ; t 0 )
. , G ( t ) = P { k t } , M k = m
{ = } = F
n =
.
9) n . . n , . .-;
n n
G* ( t ) =
; a s y m p t o t i c deficiency , ( ) .
, , A F .
,
164
( 1 G (s) ) ds m
.
10) . .-, A . .,
= F
n 1
. .
A,
,
=
+ , A
. . F
k ,
. .-.
. ., A F .
k =1
n - ( n , , ),
( t ) ( t ) - t
( , A , P )
( t ) = t sup { s t : ( s ) ( t ) } .
= + . .
, R +
, . .-.
. .- :
*
t R +
s <t
R +
.: [1]
, . , ., 1985.
) ,
, ; defect o f a
random
w a l k / s p e n t w a i t i n g t i m e
. S n , n = 0 , 1, ...,
, g ( n )
.
d = g ( g ) S g 1
( )
, g = inf { k 1 : S k g ( k ) }
1- , .- , k n n 1 ( , ( )
.
1 , 2 , ...
).
.
,
1-
.-
. , d n = o( n ) , ,
S 0
= 0 , S1 = 1 ,
S 2 = 1 + 2 ,, S k = 1 + ... + k
g .
[ g
= S g g ( g )
( ) ]. g ( t ) = x =
= g , ( x) = g
( x) -, .
P { ( x) > u , ( x ) > } x ( , [1] [3] ).
P { ( x) = n , ( x ) u , ( x ) } =
n x/a
x 2 a 3
1
x 2 a 3
1
a
P { 1*
u +
(t ) = ( 2 ) 1/ 2 exp ( t 2 2) ,
( ) ;
deficiency o f a t e s t ( ,
) , 1- 2-
d n = k n n ,
k n , n .
, ,
, n k n ;
d n .- d
= lim d n
, d
. d n d - ,
, ;
k n -
: 1
[ k n ] [ k n ] + 1
,
= 0 + t n 1 2 , t > 0
n, t -
n, t - ,
(
>0
lim n ( n, t n, t ) = r (t )
).
,
. ,
, u
= 1 (1 ), t ( , ) =
= I 1 2 ( 0 ) ( u + u ) , I () = M [ ln p ( X , ) ]2 ( ). ,
.
1* ( , [4] ).
d = 2 r ( t ( , ) ) ( u + u ) ( u )
t } d t + o
- ( R )
p ( x, ) . n
{ ( x) u, ( x) > } = { ( x u ) > u + }
, . .
.- , .
.,
> 0 = 0 -
= k n [k n ] .
n, t n, t n1 2 . , .-
. 2-
.
2- . 3-
r ( t ) 0 , d = 0 ,
, .
. [1]- . .-
20-
165
; decoding
; l i s t decoding , .
()( )
; b l o c k decoding , -
, . . .
. , ., ,
.- ( , ( )
) .- .
( ) , L
( .- ), - ( > 0 )
( ).
. .,
X , :
~
P { X X } - ~
2
; M ( X X ) -
~
( X
).
.
.
. .
,
, .-
. , . : , , , . .
.-
( ) .
y1 , ..., ~
y n )
. ., ( ~
x1 , ..., ~
xm ) ( ) .- ( ~
, ,
, ( ~
y1 , ..., ~
y n ) ,
(~
x1 , ..., ~
xm ) ;
. .-
( ., ).
,
.- .
.
, .,
.
.: [1] . ., ., , . ., ., 1963; [2] ., , . ., .,
1974; [3] .,
, . ., ., 1966; [4] . ., . ., , ., 1982; [5] .,
, . ., ., 1966.
; s e q u e n t i a l decoding ,
( ).
; a l g e b r a i c decoding ,
.
; c o m p l e x i t y o f decoding ,
( ) .
166
()
; m a x i m u m l i k e l i h o o d decoding ; ~y
x ,
p( ~
y | x) ,
~
x = arg max p ( ~
y | x ) . x
,
. . .- , , ( , .- ).
.: [1] ., ,
. ., ., 1974.
; demodulation , .
; c o m p l e x demodulation ,
.
; demographic statistics
, ,
,
,
. . .
,
.
. . :
- , - .
, , -,
. . . .
, ,
.
. .-
. ( )
, ., ,
,
.
( )
( )
, .,
( ).
, ;
x -
( , , 1 5 ,
4; 10; 15 ). 1 .
.
,
( ) .
.
hx = K x / Px
(1)
,
K x , x - x + ( .,
) , Px
. .,
x - x + -
. .-
q x ;
x - x + -
K x , x
= lim k x = lim hx
0
. ., x ( x - x + x
) x x - .
x , x +
,
. .,
, ( ) ; , ,
. , (1)-
h
.
. , 0 1
0 2
, h h
( ) 0
h = 0 h1 + 0h 2 0h1 0h 2 =
Px .
.
.
= h1 + h 2 . -
K x = Kx
Tx
( ), ., , ;
Tx , ( x , x + )
. Tx -
ix + exp
(2)
hxi =
.
, , 1 q 0
.
.
, , t - ,
( t , t + 1) t + x - , ( x 1 ), , x 1 x
x - x + 1
.
; ,
.
t , t + 1
k xt , t +1 = ( K xt + K xt +1 ) 2 S xt +1
K xt , t x ,
x + , S xt +1 , t + 1 -
.
( )
ix + exp ix + d
0 i
hx
. 0 <
<
(3)
x+ - -
,
0 i
hx
= 1 ( 1 hxi ) K xi ( K 1x + K x2 )
.
- ,
0 i
hx
= 1 exp ( x k xi )
.
x , x +
k xt , t +1 -
( 1x + 2x + ) d d
( x , x + ) -
- Tx . . .-
hx = k x ( 1 + ( 2 ) k x )
.
; , (1) 1-
. (3)
fx =
x+ exp
x + d d ,
167
fx =
x + d
f x ,
, x .
k x -
f x = x [ 1 exp ( k x ) ]
kx ,
f x = x
.
,
, i -
i 1 .
,
, .
( )
. m
, , 10 , m
= 3, 4
5 ( ) , ( )
,
. . .
( .,
) .
,
. , ( )
.
.
( ) (
) .
( )
(
) , ., .
: ,
;
.
: .,
.
,
.
.
.
168
( , 1988 ) ,
( , 1955 ).
. .-
. K x
. ,
.
.
. .-
;
,
.
, , ,
.
,
. ( ., ) , ,
.
.: [1] . ., ,
., 1945; [2] . ., , ., 1971; [3] , 3 ., ., 1985; [4] , ., 1985; [5] S h r y o c k H. S., S i e g e l J. S., The methods and materials of demography,
4 ed., v. 12, Wash., 1980; [6] Model life tables for developing countries, N. Y., 1982.
; dendogram
,
.
; deile ,
= m 10 K ; m = 1, 2 , ..., 9 . .
, ,
. K 9 10 K1 10
.
Y ( t ) = X ( t p ), t = 0, 1, ..., [( N 1) p ] , p > 1
, [ ]
.
Y (t )
( , ) ( 2 p )
- . -
- .
( 2 p ) 1 ( ) = 0
( ) 0
( , ). .-
( ).
p X (t )
. . -
.- X ( t )
(2 )
( ) = 0 ,
( ) 0 .
. .-.
.: [1] ., ., , . ., ., 1982.
; deterministic choas
theory , .
; deterministic channel
. ,
. . Y - -
Y - , ( y ) Y
( y) Y
= log 2 M
, M
.
.
.
; deterministic
tact interval , .
; Davis inequalities ,
.
( )
; greatest lower bound o f
rando m
e v e n t s , ( ) / ( )
.
; exact endomorphism ( , A , P)
IT
A = N T ,
A , A T n A A -
( )
; least upper bound o f
r a n d o m
e v e n t s , ( ) / ( ) .
; exact band
, .
; bundleless measure , .
; value ,
, .
( ) ; value o f a
m o d e l , ,
( ) ; value o f a
g a m e , , .
;
value function ( f , ) = f ( x ) ( x ) dx
A f = g
A =
. ( g , ) = ( f , ) = I ( f ) , g ( x ) =
= ( x x0 ) f 0 ( x0 ) -
I ( f 0 ) - . g ( )
, ( x) - x I ( ) , x
[ I ( ) - ] .
. . , , ,
.
.: [1] . ., . .,
, 2 ., ., 1981; [2] .,
.,
, . ., ., 1972; [3] . . [ .],
, ., 1976.
; variate-difference method
Yt = f ( t ) + X t , t = 0 , 1, ... , f (t )
, X t -
, N , 0
1 . ( , A , P )
, X t
, . .-
; A -
M X t = 0 , D X t = 2 .
, N
. , X n , n 0
. .-.
. . . . .
[1]- K ( , K )
.
.: [1] . ., . . . ., 1961,
. 25, 4, . 499530; [2] . ., . .,
. ., , ., 1980.
; exact design
, .
. .
. .- , f (t )
r - t , r f (t ) = 0 ,
[ f ( t )
= f ( t ) f ( t 1) , r f (t ) = ( r 1 f ( t ) ) ]
M r Yt = 0 . , 2
Vr =
T r
t =1
( r Yt ) 2 ( T r ) C 2rr
169
, T .
T r
M Vr = +
2
( f (t ))
(T r )
t =1
C2rr
( D Vr - , .,
[1]- ). Vr ( 0 , 1)
.
[ , r
( m , q ) ,
0 m < q ]
, i , j
, x ; x , xt M xt . a t -
.
t < 1 , t q xt , a t
. a t -
raa ( k ) | k | > 0 , .
k =1
2 = n ( n + 2)
H q : f (t ) 0 ;
q
H q 1 : f (t ) = 0, q 1 f (t ) 0 ;
ra2a (k ) ( n k )
..
H m+1 : m + 2 f ( t ) = 0 , m +1 f ( t ) 0 ;
H m : m +1 f ( t ) = 0 .
(Vr Vr +1 ) Vr +1 .
.: [1] .,
, . ., ., 1976; [2] ., .,
, .
., ., 1976; [3] ., , . .,
., 1981.
,
; timevarying code ,
, ,
K p q 2 ( , [2] ).
. .- a t
a t . a t
, ( 1 )
Q = ( n 2 ) 2
Q = ( n 1) 2 , n - ).
= 0, 01 ; 0, 05
0,10 K
= 1, 63 ; 1, 36
1, 22 .
; B o x J e n k i n s diagnostic checking
q 0 ( )
. .-
, ,
( , [3] ).
. . ,
. . .-
( , [1] ).
( )
xt ,
= [ a1t , ..., a m t ]
; signed measure , .
; Dynkins formula , ; ,
.
t = 1, 2 , ..., n
.
( , ;
).
. .- , ( , [4], [5] ), ,
.
. . ( , [1] )
at = ( xt x )
( xt j x )
j =1
170
j =1
a t j , t = 1,..., n
m a t =
( , [4] ).
.: [1] ., ., . , . ., . 1, ., 1974; [2] K e n d a l l M., S t u a r t A., The advanced theory of statistics, 4 ed., v. 3,
L., 1983; [3] . ., ( , , ), .,
1985; [4] L u t k e o h l H., J. Time Series Analysis, 1985, v. 6,
1, p. 3552; [5] T s a y R., T i a o G., Biometrika, 1985, v. 72,
2, p. 299315.
; diagram method
-
.
,
.
.: [1] . ., . ., , . 2, ., 1967; [2] . ., . .,
. , 1974, . 29, . 3, .11159.
;
diagram expansion techniques
.
. .
( x ) , R d - , . R
nk
n1
( x1 ) ...
( n1 + ... + nn ) 2
x1 , ..., xk ,
[1] [3]- .
.: [1] ., .,
. , . ., ., 1984; [2] . ., . ., ,
., 1985; [2] . ., .: .
. . . , . 24, ., 1986, . 11186.
j 0 ], | | = 1 + ... + n , , , - n Tx
; , , a ( x + z , )
= a ( x, Tz ( ),
(2)
K B = K B ( x , y , ) (2) :
K B ( x + z , y + z , ) = K B ( x , y , Tz ),
. . .
. n
p( x) , x R , n
. .-
p ( x ) log p ( x ) dx
Rn
.
. . , ,
.
. . ,
, .
.: [1] . ., . .,
. ., . 3- . . , 1958, . 3,
. 30020; [2] . ., . .,
, ., 1982.
, ; ; ; differential
operator with random coefficients / random differential operator; s p e c t r a l t h e o r y o f R n -
(2)
x , y , z Rn .
B ( 2) K B ( 0 , 0 , ) L ( )
, K B ,
trR B = M x { K B ( x , x , ) } =
= lim
; differential entropy -
= c 1 x ,
[ = (1 , ..., n ) , j ,
x j ( l ) , l . . .-
h( x) =
(1)
, x R n , Dx
( ) , i - ni
; xi (l ) ,
a ( x , ) Dx ,
A
, ., A - , B ( )
| | m
U z A U z = ATz ( )
A = A =
1
Ln
K B ( x , x , ) dx
(3)
|x j | L 2
. ( {Tx } ) trR B ( - -
). , (1) a -
, -
A . A
2
( A ) , L ( R ) - 2
. L ( ) - A ,
,
A u ( ) =
|a| m
a ( x , ) Dx
( Tx )
x =0
( A) , ,
2
, - L ( R
) - A -
, , {Tx } ( , [4] ).
, A .
171
N ( ) = lim NV ( ) | V |
(4)
V , R n - ,
NV ( ) , V -, - ,
A , |V | , V , V
, V , .
N ( ) . ( A )
N ( ) - .
= trR E , E , A -
, N ( )
. N ( )
( , [1] ).
+ N ( ) .
:
N ( ) = (2 ) n M x mes { : R n ,
(x , )
| | = m
< } + O ( ( n 1) m ) =
= c n m + O ( ( n1) m )
( , [1], [6], [11] ).
N ( ) - ,
;
( ,
., [10], [12] [14] , [16] [18] ).
(4)
( , [1], [2] ).
, V , (
0 )
( , [3] ).
- ,
( ) ,
, ind R A = trR N A trR N *
A
, A , A ,
N A N A* , ker A ker A* -
( trR
, ; differentiation system
,
;
. , ( , S , ) ,
P , - .
( )
f ( x ) = lim
(Z n )
= P (x)
(Zn )
, P , - , , x , - ,
f , (
d
), ( Z n ) nN x ( d
), P f =
.
P -
:
1) Y S , Y - ,
Y ( P ) ;
2) ( )
(3)- ,
P ( x ) < +, x
).
( ,
)
. .- ,
( , )
( , [5], [6], [8], [9] ).
.: [1] . ., . ., 1977, . 104, 2, . 207
26; [2] . ., . ., : , ., 1977, . 93107; [3] . ., . , 1982, . 37, . 5, . 18586;
[4] . ., . ., . ., 1984, . 123,
4, . 46076; [5] . ., . . .
., 1978, . 42, 1, . 70103; [6] . ., . , 1973, . 28, . 1, . 364; [7] . .,
P .
1)
. 1)
.
.: [1] ., , . ., ., 1953;
[2] . ., . ., ,
, 2 ., ., 1967; [3] . .,
, ., 1984.
172
- ; P , -
; diffuse measure , .
;
diffusion process ,
.
,
r
. , R
. . ,
r
At f (x) =
1
f
+
2
xi
bi ( t , x )
i =1
aij ( t , x)
i , j =1
2 f
xi x j
; c o n t r o l l e d
diffusion process , .
; diffusion process o n
a
g r o u p
= (t ) -;
G B ( B = B (G ) G -
)
2
{ s , t | 0 s t , ( s , t ) R } (C )
( G - C -
) , G - A
. bi ( t , x )
, ai , j ( t , x ) (
) .
( )
.
p ( s , x, t , y ) -
T ( s, t )
s
t =s
= lim
h0
, T ( s, t ) = T s , t
T ( s, t ) f ( g ) = s ,t ( g , f ) =
. . :
r
p( s, x, t , y )
+
x
+
1
2
i =1
aij ( s, x )
i , j =1
p ( s , x , t, y )
=
x
1
2
bi ( s , x )
i, j = 1
i =1
p ( s , x, t , y )
+
xi
2 p( s, x, t , y )
=0
xi y j
2
( ai j ( t , y ) p ( s , x , t , y ) )
yi y j
.
t = s ( y x ) ,
s < t ( x y ) .
[1], [2]-
,
,
.
.: [1] . ., , ., 1963;
[2] ., . ., , . ., ., 1968; [3] . ., . ., , ., 1965;
[4] . ., . ., , ., 1968.
; diffusion process w i t h f o r m r e f l e c t i o n t h e b o u n d a r y , ;
f ( h ) s, t ( g , d h ) ;
( ) ; A , s 0 , G - 2
C 0
.
T ( s , t )
u + Au = 0
s
( bi ( t , y ) p ( s , x , t , y )) +
yi
1
[ T ( s h, s ) E ]
h
, u
lim u ( s , g , t )
st
= f (g)
(1)
u ( s , g ; t ) = T ( s, t ) f ( g )
f C , (1)-
. .- A T ( s , t ) -
.
(1) :
1)
,
2
; 2) A C - C 0 ; 3)
C g
. .-
-
.
2
: A C0 d
A ( ) 2-
:
173
Am
i , j =1
m
st
[ m]
f C ( s , g ) H , d 0 h
b[i m ] ( s, g ) D gi + c ( s, g ) .
i =1
Am
lim u ( s , g ; t ) = f (g ) ,
a [ijm ] ( s , g ) Dgi D gj +
(2)
s0
G - aij ( s0 , h )
d 0[ m ] r ( h ) Gm - -
= p m ( A ) , p m , G -
. (3)
D (G ) m .
= lim Gm : u
D (Gm ) -
G = lim Gm ,
mN
g = lim gm ,
m N
m N
G =
= p m (u ) = u o pm m N
u ( s, t , h ) d
G -
s,t ( g , ) =
h . -
2-
D (G ) = lim D (Gm )
mN
( Gm ) mN
[m]
L ( u ) = 0 , L A + A +
(4)
( g m ) mN , C0k ( Gm )
k -
, ( D )1 i m , Gm
= pm (G )
gm
= d pm (g)
, N .
Am f (g ) =
m
A
,
; :
i ( g , h )
Bi[m ] = Am ( i ) , c = Am ,
= x i (h) x i ( g ) , ( x i (h) )1 i m , g G
N g p m ( h ) Gm , p m : G Gm ,
mN
aij[ m ] ( s , t )
= [ 0 , ) G
[m]
u
+ Am u [ m ] = 0
s
(3)
( ) u
[ m]
( s, g , t , h ) ,
u [ m ] ( s, g ; t ) =
Gm
174
i =1
( g, h )
f ( h) f ( g )
1 + ( g , h)
1 + ( g , h )
i ( h ) Di h ( g )
( s, g ; dh) . (5)
( g , h )
A + A -
, (4) s, t
.
. .-
.
. .- T ( s , t ) , G -
l g
G = lim Gm
m N
Gm \{ g }
( aij[ m ] , Bi[ m ] , c )1 i , j m, m N
aij[ m ] = Am ( i j ) ,
, A
u [ m ] ( s , g , t , h) f (h) d 0[ m ] h ,
, . . ( ) ( ) . . ., ,
A , D (G ) - .
. .- T ( s , t ) G
K - rg ,
. .,
( K ) . . ., ,
Dk (G ) - K , Dk (G ) , D (G ) - K Dk (G )
D ( G / K ) -
, G / K , G K
G .
K . .-,
,
.
(G , B ) -
( nk )1 k kn , n N
(6)
. Tn ( s, t ) , (6) , T ( s , t )
Am Am + Am ; Tn ( s, t ) Gm T ( s, t ) ( C )
,
f (g
Tn ( s , t ) f ( g ) =
) s(,nt) ( dh ) ,
(7)
< tn l +1 , 1 k < l k n
(n)
sup t n k = 0 ,
1,
0,
e ,
e .
T ( s , t ) u s, t
u (3) (4)
. (6)
bi( n ) ,
(n)
)1 i , j m, n N
. (6)
A
aij( n ) ( t nk ) =
. .-
1
2 t nk
bi( n ) ( t nk ) =
x (g) x
i
( g ) nk (dg ) ,
Ne
1
t nk
x ( g)
i
nk ( dg )
bi( n ) ( t nk ) =
(5) (2)- A
.
s(,nt) =
- R = F ( ) g
= F ( g ) k ( g ) K = k ( )
, r : C R , k : G K , C
( , [6] ).
.: [1] ., .
, . ., ., 1986; [2] ., , . ., ., 1981;
[3] ., ,
. ., ., 1965; [4] . ., .
., 1972, . 17, . 3, . 54957; [5] . .,
. ., 1972, . 17, . 4, . 80204; [6] .
., . ., 1973, . 18, . 1, . 4455.
; diffusion b r a n c h i n g process
G
. ,
. G
( ).
=0
x G
Z x ( t )
;
r .
H ( t , x , s () ) = M
Z x (t )
s (
x ,i ( t ) )
i =1
( e, g )
nk (dg ) ,
1 + (e, g)
(
) H ( 0, x, s ( ) ) = s ( x ) -
(e, g ) i
x ( g ) ( n ) ( t nk , dg ) ,
( e, g )
, st , TR , R - R
, x , 1 ( t ) , ..., x , Z x (t ) ( t ) , t
(6) A + A 2-
0 s t 1
= nk ... nl , C ( G ) - st = stR K
; t
nk (dg )
G \ Ne
1
( n ) ( t nk ) =
t nk
. , (7)
(s, t ) ,
G R r , > 0
, F ( s )
Ne
( n ) ( t nk ) =
, K
K -
= e ,
e(r ) =
( aij( n ) ,
G K R
, TK , K - K
G = R K . k( n ) k = ( (n ) ) -
n 1 k k
n
s - s , s
, TR , R - G / K - C -
n ,
lim
TK ( s , t ) T ( s , t ) -
, K ,
s(,nt)
( , [6] )
Tn ( s , t ) T ( s , t ) = TR ( s , t )
lim H ( t , x , s ( ) ) = 0
x G
=e
175
H
=
t
i =1
2H
+ ( F(H ) H )
xi2
.
M Z x ( t )
M Zx (t ) ~ K e
( ( m 1) 1 ) t
1 ( x) , x G , t ,
>0
, K
(*)
, m = F (1)
, 1
>0
, 1 ( x ) > 0 ,
r
i =1
2
+ d = 0 ,
xi2
; diffusion vector , .
; binary random process , .
; steepest ascent , ; dilatasion
lim ( x ) = 0
x G
(*) ( m 1) 1
;
dynamical forecasting , ,
;
; ; dynamic programming; s e n sitive
c r i t e r i a
, 1-
.
A ( x) , p ( y | x , a ) , -
, . . .
,
.
G ,
a A ( x ) , x X
G ( ,
).
.: [1] . ., , .,
1971; [2] I v a n o f f B. G., J. Multivar. Anal., 1981, v. 11, 3,
p. 289318.
( x) = M x
; diffusion coefficients
( ,
( ) ).
( )
) . . b ( t , x )
= (t , x ) (t , x )
(
)
( ) - , w ( t ) ,
, a ( t , x )
( t , x ) ( R d - ) ( R d1 -
d
R - ) .
. .- : t 0 t -
t + t - x ( t + t )
x ( t ) R d x ( t ) = x (
, ), o ( t )
( b ( t , x ) , ) t
- .
, , ,
.
.: [1] . ., , ., 1963.
176
t 1 r ( xt 1 , at ) ,
0 < <1
(1)
t =1
, M x , Px
, x X .
lim
( x) ( x)
, (
, X
. x
d x ( t ) = a ( t , x ( t ) ) d t + ( t, x ( t ) ) d w ( t )
d1 R
1 - .
d1
( 1 )n
, n
g 0 ( x , N ) = M x
g n +1 ( x , N ) =
1
N
0,
x X
n
= 1, 0 , 1, 2 , ... ( , [2] ).
r ( xt 1 , at ) , x X , N = 1, 2 , ...
t =1
1
N
tg
( x , t ) , n = 0 , 1, 2 , ... ,
t =1
, ,
g n ( x , N ) = M x
1
N
( , [3] ),
n = 1, 0 , 1, 2 , ... ,
C Nn + nt r ( xt 1 , at ) .
t =1
n ,
).
(1)
- .
:
(1) -
= 1
+ h2 ( x ) ( 1 ) 2 + ... , x X .
( x) = sup ( x ) , x X
;
s t o c h a s t i c dynamic programming ,
( x ) = h1 ( x ) (1 ) + h0 ( x ) + h1 ( x) (1 ) +
; Richardson dynamical number
+ h2 ( x ) ( 1 ) 2 + ...
{ h1 , h0 , ...}
, .
hm = hm n ,
m = 1, 0 , 1, ..., n . 1- -
( , [1] );
n 1 n . n 0
h1 , h0 , ..., hn n + 1 ;
a A1 ( x )
a A0 ( x )
(2)
x X ,
f (y) p(y | x, a) ,
yX
A1 ( x ) = A( x ) , Am ( x ) , Am 1 ( x ) , hm1 ( x) .
p( y | , ) = 1,
p( x | , ) = 0 ,
;
dynamical system , .
; dynamical system w i t h p u r e p o i n t
s p e c t r u m
t
. {S } , ( , A , P )
t
( , ) {U }
. ,
{U t } .
1-
h1 ( x ) = sup P a h1 ( x),
Pa f ( x) =
( 1) .
.: [1] B l a c k w e l l D., Ann. Math. Statist., 1962, v. 33,
p. 71926; [2] V e i n o t t A. F., Ann. Math. Statist., 1969, v. 40,
p. 163560; [3] S l a d k y K., Kybernetika, 1974, v. 10, p. 35067;
[4] . ., . ., .
, 1982, . 37, . 6, . 21342; [5] D e k k e r R., H o r d i j k A.,
Math. Operation Research, 1988, v. 13, p. 395420.
= h1 ( x ) (1 ) + h0 ( x ) + h1 ( x) ( 1 ) +
.
{ h1 , h0 , h1 , ...}
, n 1 n ,
r ( x , a ) = r ( y, c ) = 1 ,
r ( x , b ) = 0 .
: ( x ) = a , ( y ) = c ( x ) = b , ( y ) = c .
( x) = ( x) = 1 + + 2 + ... = ( 1 ) 1 ,
( x) = + 2 + ... = (1 ) 1 1 .
, ,
.
. . . . . .
. .
, . . .
( ,
, ).
. .
(t ) =
a s cos ( s t + s ) +
bs sin ( s t + s )
, a s , bs , s
.
( , [2] ).
.: [1] . ., . ., . .,
, ., 1980; [2] . ., , ., 1981.
; ; ; dynamical system; s m a l l
s t o c h a s t i c p e r t u r b a t i o n s o f
:
1) &t = b ( t , t ) , t ;
2) &t = b ( t ) + & t ;
3) .
1) 2) , ,
( , [1], [2], [4], [5] ). 2)
177
, &t
= b ( t ), 0 = x
, ( , [3] ).
.: [1] . ., . .,
, ., 1979; [2] . .,
, .,
1986; [3] . ., . , 1983,
. 33, 6, c. 92931; [4] . .,
, .,
1987; [5] . ., ,
., 1969.
( )
; dynamical system o f s t a t i s t i c a l m e c h a n i c s
( )
M - { S t } .
M -
, , .
M - ( M M )
M - ( )
( M ) = 1 . ( )
M ( ) .
d
( , [1], [2] ). R U -
,
d = 1, 2
( U ) ( , [2] [6] ).
M -
.
. .- .
U -
. U
( M ) = 1 M M -
; ; ; Diophantine approximation; e r g o d i c
p r o b l e m s , ( )
.
; Dirac measure
, , .
; Dirichlet space , .
; Dirichlet
form , .
; s t o c h a s t i c Dirichlet
problem ,
; Dirichlet distribution
{ ( x1 , ... , xk ) R k : x1 + ... + xk = 1, xi > 0 }
,
f ( x1 , x2 , ..., xk ) =
1 ( , [7], [8] ).
U .
,
.
. .-
.
, M -
.
. U
. .
. .-
, t t = 0 S t
. -
.
178
(1 + ... + k ) 1 1
x1 ... xk k 1 ,
(1 ) ... ( k )
i > 0 , 1 i k
X 1 , ..., X k
. . . , , X
X i j
a0 j - ; 0 =
i =1
r1 , ..., rk
. .-
M ( X 1r1 ...
X krk )
k
( 0 )
+ ri )
i =1
( 0 + r0 )
( )
i
i =1
, r0
p( x , y ) ,
p1 ( xi ) =
Xi
i ( 0 i ) 02 ( 0 + 1 ) , X i
X j - i j , cov ( X i , X j ) =
, i 0
p2 ( y j ) =
= i j 02 ( 0 + 1) .
; discounting
i = 1, ... , m ,
(1)
p( x , y ) ,
i
j = 1, ... , n .
(2)
xiX
X Y p1 ( x)
y j Y
i =1
p2 ( x )
{ X Y , p ( x, y )} , X Y .
X Y p ( x , y )
,
( , ).
xi X yi Y
; discount rate ,
, X Y
. , , .
. , ,
( ., ) X
( ) . , X
,
.
.: [1] . ., . .,
, ., 1928.
;
discret ansamble , m X = { x1 , ..., xm }
p ( x ) -
{ X , p ( x )}
xi X ,
i = 1, 2 , ..., m
( )
. p ( xi ) , P ( A )
A, AX
, p ( xi ) 0 ,
p ( xi ) = 1 , Pr ( A) =
i =1
xi A
A . =
.
Pr ( A) A .
X .
X Y
xi X , y j Y , i = 1, ... , m , j = 1, ... , n .
X Y Y X .
X =Y
, X
.
. X 1 X 2 ... X n
( x (1) , x ( 2) , ..., x ( n ) )
(1)
( 2)
X 1 , x
, x
X 2 . . n
X - , X
.
X Y X Y .
( xi , y j )
X Y -
p ( xi , y j )
p ( x , y )
; xi X , y j Y . ,
(3)
( ) ; K a r h u n e n
L o v e disret decomposition ,
.
p ( xi )
p X
p ( xi , yi ) = p1 ( xi ) p2 ( yi )
; discrete white noise ,
,
(
2
-
), ( t ) -
= 0 , 1, 2 , ... .
. . . : = 0 B ( ) =
( t ) , t
= M (t + ) (t ) = 2
| | > 0
B( ) = 0
= 2
.
,
; the property of discrete
separability of data portion ,
f ( )
; discrete probability
distribution , .
*
; discrete Fourier transform :
a ( n1 , ..., nk ) =
N1 1
N k 1
j1 = 0
jk = 0
...
179
. .- ,
, , ,
.
.: [1] . ., . .,
, 3 ., ., 1987.
( )
x ( j1 , ..., jk ) =
1
N1 ... N k
N1 1
N k 1
... a (n , ..., n ) W
k
n1 = 0
nk =0
( ),
n1 j1
N1
jl = 0 , ..., N 1,
l = 1, ..., k , Wn = exp { 2 i N };
... WNknk jk
nl = 0 , ..., N l 1,
k > 1
, k = 1 . . ., x a
, x . . .
.
A = WN N
, An
xN = ( x (1) , ..., x ( N 1 ) ) T , WN ,
( n + 1 ) -
( j + 1) - WNnj , n , j = 0 , ..., N 1 ,
( N N ) . . . .- ( , ,
).
*
;
discrete sourse , .
; digital modulation ,
.
; discrete
measure , .
; discrete distribution
{1}, { 2 },... A
( , A )
pi > 0 , i = 1, 2 , ... , pi = P ({i }) ,
. .
pi = 1 -
i =1
pi ;
A A
P ( A) =
.
. . ,
.
i j , Ai A j =
= P ( Ai ) 0 ,
X ( ) Ai ,
i= 1
X ( ) = xi , Ai . ( , A , P )
X ( )
. . .- .
. .- .
180
, .
*
; discrete random variable
, ( , F , P )
( ) . ( )
x1 , x2 , ..., xn , ... ,
( ) : R1 . ( ) , , n
{ : ( ) = xn } F
(1)
F
.
, ( ) (1) ,
( ) F , x R1
{ : ( ) < x } =
{ : ( ) = xi } F .
xi < x
, ( ) F
, ( , [1], 1, . 54 ),
x { : ( ) = x} F .
x1 , ..., xn ,... -
i: i A
P ( A ) = 1
,
; discrete sample of a process
, ( ) ( , F , P )
pi
A1 , A2 ,... A , pi
; discrete distribution
function , .
; discret renormalization group ,
, n -
P { : ( ) = xn } = pn , n = 1, 2,...
(2)
. (2)
.
P { : ( ) = xn } = pn , n = 1, 2 , ...
( ) -
.
( , , ,
, . ).
p n ( ) - xn
. ( ) -
:
( ) -
x1
x2
xn
[ , ]
P { ( ) = xi }
p1
p2
pn
.
[ , ] ( t )
( ) . . .-
.
( ) . . .
pn 0 ,
, ( t ) + ( t )
pn = 1
, M ( t ) ( M ( t ) )
.
.: [1] . ., . ., .
., , ., 1979.
; disretization problem
.
{ ( t ), t (; + )} -
k , k
= 0 , 1, ...
= (k )} , ( t )
{ ( k )
.
M ( t ) = M ( k ) B ( ) =
= B ( ), t = 0 , 1, ...
.
( t )
( t ) ,
B ( ) , ( t ) .
( t ) f ( ) ( k )
f ( ) =
f ( + 2 j )
-
. < <
, ( t ) . ( t ) -
. Y ( t ) .
= 0 , D (t ) = 2
( t ) , t ( , ) M (t )
BY ( t )
2
2 2
n =1
1
4 n 2 2 (1 B (t ) )
exp
,
2
n
( ) 2
< t <
= o ( )
BY (t ) 12 . ( t ) - 2 h
2
,
,
fh ( )
j =
2
2h
1
3 2 2
exp 2 2 2 2
3
8 n h
n =1 n
< <
3 2
2 2 n
, ( t ) -
.
Y (t ) - (t )
(t) =
k =
sin ( t k )
( k )
sin ( t k )
(1)
*(t ) =
(t ) ( k )
k =
1949-
. . . ,
t -
.
M | ( t ) * ( t ) |2 = 0
k =1
.
( t )
B Y ( t ) 2 B (t )
(2)
. [ , ]
( t ) (1) , ,
. , (2)
, ( t )
, 2 - .
2 k 2
( 1) k exp
,
( ) 2
< t <
. ,
( ) < 1 B Y ( t ) 10 8 B ( t ) .
.: [1] . .,
, .1, ., 1966; [2] . .,
, ., 1981; [3] . ., . 1949, . 4, . 4, . 17378.
181
~
QS ( ) =
X . k D1 , ..., Dk
,
, i - Pi ( X ) ,
{ d ( X ; , )} M
{ d ( X ; , )} ]2
[M
i
ij
i
j
j
ij
i
j
{ d ( X ; , )} + q D
{ d ( X ; , )}
q D
ij
i = 1, ..., k . Pi ( X )
ij
,
j = 1, 2 , ... , k , X jl D j ( { X jl } , l = 1, ... , n
wij
Di , { X jl },
l = 1, ... , n ). X -
D j ( )
S - ,
, . X .
. .-
k
Q(S ) =
cij q j PS ( i | j )
i , j =1, i j
, cij , q j PS ( i | j )
j - i - , j -
( )
S j - i -
.
cij ,
q j . , X
ln ( qi Pi ( X ) )
i = 1, 2 , ..., k j . , X i
d j(X ) =
= ln ( q j P j ( X ) ) .
d j ( X ) dij ( X ) =
= d i ( X ) d j ( X )
. , S ,
d j ( X ) = arg max d i ( X ) , S : X D j
1 i k
Qt ( S ) =
q j PS ( i | j )
i , j =1, i j
.
.
{ d ( X ; )} d i ( X ) = d i ( X ; )
,
, .:
182
qi
ij
d ij ( X ; i , j ) = d i ( X ; i ) d j ( X ; j ) , q i
( . ) X j1 , X j2 , ..., X jn j
q i = ni n .
, .,
j , wij
i
{ ( X ) } D
{ ( X ) }
cij , M
i
i
(X )
, X - i -
,
. , , k = 2 , .
. ( A. Wald )
. , , P1 ( X ) P2 ( X ) -
.
.: [1] F i s h e r R. A., Ann. of Eugenics, 1936, v. 7, p. 17988;
[2] . ., , . ., ., 1968.
; discriminant function
. X
= ( x1 , ..., x p ) T -
k
H 1 , ..., H k . k
g i ( X ) . .- , i = 1, ..., k
: l
= arg max g i ( X )
1 i k
, X H i .
i ( X )
= a ( X ) g i ( X ) + b ( X ) . .- -
g i ( X ) . . ,
,
a( X ) > 0
b(X ) ,
X -
b(X ) =
= g k ( X ) , a ( X ) 1 k 1 . .
. , , .,
.
, k
= 2 , g ( X ) = g1 ( X ) g 2 ( X )
. .- , X H 1 ,
, g ( X ) > 0 , g ( H ) 0 X H 2
. g ( X ) . .-
, H 2 H1
p
. . .-
( ) .
, . .- 1936-
. .
( , )
:
g ( X ) = X T S 1 ( X 1 X 2 )
= imin
1i
1
( X 1 X 2 ) T S 1 ( X 1 + X 2 ) + c ,
2
, , ; X i , H i
; c .
.: [1] F i s h e r R. A., Ann. Eugenics, 1936, v. 7, 17988;
[2] .,
, . ., ., 1963.
; discriminant model , .
,
.
. y1 ,..., y N
H i : y j = i ( x j , i ) + j , j = 1, ..., N
(*)
,
i
( ), i R
mi
i = 0, 1
, j
= 0 , D j = 2 , = ( x1 ,..., x N ) . 1 , ..., n ,
, M j
Ti ( , ) =
1i (
j =1
x j , i ) ) (dx)
.
,
. . x1 , ..., xn
i n = arg min
i
F ( y j i ( x j , i )) ,
i = 0, 1
j =1
xn +1 = arg max F ( 0 ( x , 0 n ) 1 ( x , 1n ) )
( (x
i
xn +1 ( n + 1) - . ( ,
).
.
min F ( 1 ( x , 1 ) 0 ( x , 0 ) ) ( dx ) , i = 0 , 1
i
* -
0 ( ) 1 ( )
.
: 0 ( ) 1 ( ) k k + d [ 1, 1]
1 ( x) =
k +d
m xm ,
m=0
F ( y ) = y 2 , 1 = :
n2 + m 1 . , l
m =1
Tk + d (x)
d
, ) 1i ( x j ,
1i
))
j =1
F ( ( x , )
x X
; design of discriminating
experiments , ,
i ( , i ) =
H i H 1 i -
F ( 2 , 2 )
.
1 i
, H 1i
L2 ( ) - i ( , i ) . H i
Ti ,
-
*
-
( , [2] ). k k + d r
, d = 1, 2 .
( , [2] ) 1 ( ., ) .
i
H i i , i = 1, ..., m
F0 i , ,
Ti ( , ) -
.
*
, H i
Ti -
i ( x , i ) = f i T ( x ) i
, ( )
i f i ( )
i
M
183
M (i )
i0 =
F (d ) ,
i
D0i =
( ) ( )
i
i
0
i T
F ( d i )
0
. (*)
0 i tr [ M (i ) ( ) ( D0i + i0 ( i0 ) T ) ]
.
( , ., [1] ).
,
, ( , [3] ). (*) 0 < < 1 , H 0
D ( ) - .
F , H 0
H 0 .
( ) , l ( D ( )) - ,
( , ) . ( , )
- , H 0
1
,
( , [4] ).
tr DF ( l ) DF ,
H 0
D ( ) . 1
,
.
.: [1] , .,
1983, .16; [2] . ., .: , ., 1975; [3] .,
. , . ., .,
1975; [4] M u l l e r - F u n k U., P u k e l s h e i m F., W i t t i n g H., Linear Algebra Appl., 1985, v. 67, p. 19034.
;
analysis of variance
. .
, . .-
, , .,
.
.
. . : , ,
( I ),
( II
)
; ( ) ,
.
. , . .
( , . ) . .,
, p
i - mi ( ) ;
m = m1 m2 ... m p - . , ,
p . q , ,
, - . ,
q ,
,
, ,
.
,
.
( , [3], [4] ).
.
1. Y
( ), = M Y . y -
. . .
. [1]-
. , . .-
.
, . .- ,
.
[2]- . . . ,
.
. .- ,
, . .- ,
( A )
. Yij , i = 1,..., q ( q = 4 ), j = 1, ... , n
184
, ij .
, yij i -
.
M Yij = + i ; , i - , ni , i -
q
, i
= 1, ..., q ,
= n.
i =1
Yi j = + i + i j , i = 1, ..., 4 , j = 1, ..., ni
(1)
, Yij , i - j - -
, ( D1 , D2 23% , D3 32% ,
D4 67% ), ( ) . . I . , i = 0 H 0
Yi k j = + i + k + i k + i k j ,
i = 1, ... , 4 ,
k = 1, 2 ,
y = 1, ..., nik
(2)
, nik A - i - -
1-
S =
i , i
H 1 : 1 ; H 2 : k ;
H 3 : ik
. , ,
( H 1 , H 2 ) ( H 3 ) .
. , ,
2
, -
,
.
,
.
.
( , [5], [7], [8] ); :
S1 , ... , S q , 1 , ... , q
S =
S i 2 2 ( )
i =1
, S1 , ... , S q 2
( i ) -
ij
i ) 2
= 1, ..., 4 -
,
4
n
i
=0
i =1
, .
:
1
n
= y =
nj
1
ni
i =1
yij y , i = 1, ..., 4
(3)
yij , n =
i =1 j =1
i = yi y =
: nik - , , . I II
1 , 2-
.
ni
(y
i =1 j =1
B - k - , i k j . . .- -
= ( Si i ) ( S j j )
F ( i , j ) .
.
2. 1- ( ., ) 0; 23; 32; 67 .
( ) . . , II
.
3. 1- ( 4 A ), ( 2
B ) .
. , F
i =1
ni
j =1
n ,
i
. .-
i = + i ) , S S
, -,
M S ( -
) ( ) M S
.
SS B =
n (y
i
y ) 2 ; B = 3, MS B = SS B B ,
(4)
i =1
SS R =
ni
i =1
j =1
(y
ij
yi ) 2 ;
R = n 4 ; MS R = SS R R
(5)
. MS R 2
2
: : M S R
= S 2 . (4) (5) -
S ST =
ni
(y
i =1
. H 0 : i
ij
y ) 2 ;
vT = n 1
(6)
j =1
0 -
;
F
F
,
185
F = MS B MS R
(7)
a2 = ( M S B M S R ) k ,
.
F ( B , R )
.
4. 1- n1
= ... = n4 = 9
( , [6],
[5] ):
I (3) :
3 = 0,1193 ; 4 = 0,4158 .
(5) (6)
SS B = 4,2321 ; B = 3 ; MS B = 1,4107 ;
SS R = 14,0569 ; R = 32 ; MS R = 0,4393 ;
SST = 18,2890 ; T = 35
= 3,21
F ( 3; 32 ) ,
; F F
H 0 < 0,05 1- .
.
n1
n2
n3
n4
4,079
4,859
3,540
5,047
3,298
4,679
4,870
4,648
3,847
4,368
5,668
3,752
5,848
3,802
4,844
3,578
5,393
4,374
4,169
4,709
4,416
5,666
4,123
5,059
4,403
4,496
4,688
4,928
5,608
4,940
5,291
4,674
5,038
4,905
5,208
4,806
4,0963
4,6252
4,7477
5,0442
2 , 2
, a
k =
. i
a2 , ,
, 2
= 0 ,
( )
2
. a
186
i =1
2
i
i =1
n
i
i =1
( q = 4 ), H 0 -
;
;
m o d e l analysis of variance , II
; m i x e d
, ( ) . .
( , [1] ) ( )
.
, , .
, N
y = X +
U i i
(*)
i =1
.
d
X , U i , R , i R ,
mi
cov i = I mi , i = 1, ..., l .
M y = X , cov y =
), H 0
(7)
F .
( , [5], [7] ).
. .- [7]- .
[5]- .
. .-
,
.
. .-
( , [8], [9] ).
.: [1] F i s h e r R. A., Statistical methods for research workers,
13 ed., L., 1958; [2] S c h e f f e H., Ann. Math. Stat., 1956, v. 27,
p. 25171; [3] . ., ,
, . ., .: , .,
1981, . 4658; [4] . ., , .,
1971; [5] ., ., .
, . ., ., 1982; [6] C i s s i k J. H.,
J o h n s o n R. E., R o k o s c h D. K., J. Appl. Physiology, 1972,
v. 32, p. 15559; [7] ., , .
., ., 1980; [8] ., . ., , . ., ., 1983; [9] S c h r a d e r R. M., M c K e a n J. M., Commun. Statist., 1977, v. A6,
9, p. 87994.
a (
, q
.
(1) , i
, ij
q 1
dG
i
i =1
, Gi
= U i U iT , di = i2 -
i (*) ,
( , d1 , ..., d l )
.
.
( MINQUE ), y
,
, .
.
.: [1] F i s h e r R., Trans. Roy. Soc. Edinburgh, 1918, v. 52,
p. 399433; [2] ., , . .,
., 1980; [3] R a o C. R., K l e f f e J., Estimation of variance components and applications, Amst., 1988.
;
dispersion method i n t h e n u m b e r t h e o r y
+ = n
(1)
( )
,
.
. . . . 195861-
,
( ,
) . . .
( A. Weil ) .
(1)
D + = n
(2)
, , D - ( ) , D ( D ) , ( ) ( D ) ,
, D . F
.
D (D )
, A ( n , D )
. (2) ( )
A ( n , D )
D ( D )
. F S
= V
1 A ( n , D )
(3)
D ( D ) D + = n
. (3)- -
V =
V 2 D0 V
(4)
, D0 , (D) ,
V =
1 A ( n, D)
D ( D ) D + = n
(2) .
. .
,
2
1 A ( n, D ) =
D+ = n
D ( D )
1 , 2
. . .-
1 -
,
.
. (3)
(4)- (2) .
(2) (1)
.
. .-
= l
, l ,
, .
. . .- ( , [3] )
, , . .- . .,
: ( = x1 , x2 ,..., xk , k = const ,
= x y ) ; ( = p , = x y );
( a
D+ =n
S =
(5)- D (D) ,
(2)- D -
(5)
=p
= x +y ).
2
.: [1] . .,
, ., 1961; [2] . .,
. , 1965, . 20, . 2, . 89130; [3] . .,
. .,
, , 1974, . 522.
;
D - (
, ). .
.
D = M ( M ) 2
(1)
187
D = M 2 ( M ) 2 ;
D ( c ) = c 2 D ,
= D
, .- .
M
( M < );
D , ( )
.
.
.
) x1 , x2 , ... P {
(
= xk } = pk , k = 1, 2 , ...
pk = 1 ),
(x
D =
( x M )
dF ( x)
(
);
) p(x)
( x M )
p ( x) dx
.
. .
. ., M M , M ( M )
.,
. .
.
,
. , .-
1 , ... , n
.- D ( 1 + ... + n ) :
D ( 1 + ... + n ) =
D
i =1
+ 2
cov ( ,
i
i<j
cov ( i , j ) = M { (i M i ) ( j M j ) }
188
(2)
. (2) , 1 , ..., n
. , , (2)
. , (2)-
cov ( i , j ) = 0 , 1 , ..., n - -
.
. . ,
,
. 1 , 2 , ..., n ,... , n D n 0 ,
>0
P { | n M n | > } 0
;
) F (x)
,
D =
D ( 1 + ... + n ) = D1 + ... + D n
M ) 2 p k
D =
1 , ..., n - ,
cov ( i , j ) = 0 . , -
c ,
., D ( )
( ) ( ,
), n - n M n - .
. .
.
-
= ( M )
D - ,
D . -
, , 0 1
, , .
.
-
= + a -
, a , . , F ( x ) - , ,
F (( x a ) / ) a
.
M
= 0 , D = 1
, M
= a , D = 2
. , ,
j)
~
a = M , =
~
D . -
.
.: [1] . ., , 6 .,
., 1988; [2] .,
, . ., . 12, ., 1984; [3] . .,
. ., . .,
, ., 1979; [4] ., , . ., 2 ., ., 1975.
( )
;
sample variance / variance o f e m p i r i c a l d i s t r i b u t i o n , .
; ;
; e s t i m a t o r o f variance
x1 , ..., xn
, ,
s2 =
1
n 1
( x j x )2
j=1
,
,
. , x
.: [1]
., 1967.
1
n
xj .
j =1
., , . .,
( ) ; variance o f
r a n d o m s e t
A - ,
D A = M 2 ( A, M A)
, M A , A .
.: [1] . ., . . . . .
. - , 1979, . 85, . 11328.
( )
; t u r b u l e n t e n e r g y dissipation
, ( )
.
, .
.: [1] . , ., 1998, . 188.
.: [1] . ., . .,
1968, . 2, 4, . 3143; [2] L a n f o r d O., R u e l l e D., Comm.
Math. Phys., 1969, v. 13, 3, p. 194215; [3] P r e s t o n C h.,
Random Fields, B. [a. o.], 1976; [4] R u e l l e D., Thermodynamic
formalism. Reading ( Mass.), 1978.
; Dodge plan
, .
; likelihood function X
p ( x, ) - ( ); x X - , . ln p ( x , ) . , . . ( . . ) -
( ) .
0 ,
P0
d P
( x)
d P0
X ,
X = ( Y , Z ) , Z
. .
, Z z
Y - . .
.
. . . [1]- .
, ( )
.
; likelyhood ratio
( ) Yn
qn
pn
,
( X 1 , ..., X n )
, , X 1 , ..., X n , ... -
( , ; ).
.: [1] . .,
, . ., ., 1969.
.
.
; disjoinct
spectral type of measure , ,
.
pn = pn ( X 1 , ..., X n ) qn =
= qn ( X 1 , ... , X n ) , ( X 1 , ... , X n )
Yn =
qn ( X 1 , ... , X n )
pn ( X 1 , ... , X n )
. ,
pn -,
X 1 , ... , X n
pn -
. , , Yn
pn -, qn - ,
189
H 0 . . . . (1)-
. , Yn -
.
pn - .
.
i = { i }, i = 0 , 1 ( -
pn -, X n+1
) (1)
X 1 , ..., X n -
p ( x , 0 ) max { p ( x , 0 ) ; p ( x , 1 )} =
p n+1 p n ,
= min { 1; p ( x , 0 ) p ( x , 1 ) }
M ( Yn+1 | X 1 = x1 , ... , X n = xn ) =
q n+1 ( x1 , ..., xn , y )
pn+1 ( x1 , ..., xn , y )
pn+1 ( x1 , ..., xn , y )
dy .
pn ( x1 , ..., xn )
(*)
pn+1 ;
y - . qn+1 -
qn . , (*)- qn pn
,
. . .
- .
- ( x ) . . .
{ x : ( x ) < } -
( ; ) = M ( X )
(1) .
{ P ; }
,
M ( Yn+1 | X 1 , ... , X n ) = Yn
. . Yn .
, , .
.: [1] ., ,
. ., . 2, ., 1984; [2]
.
; m o n o t o n likelihood ratio , -
.
.
X P , , X
X n ) n . X
= ( X 1 , ...,
pn ( x ( n ) ; ) =
p ( xi , ) ,
1 i n
; likelihood ratio
f o r r a n d o m p r o c e s s s , ( ) .
; likelihood
ratio test, LRT , . . .
;
. . . . .
. ( , [1], [2] ).
X P
. X x
H 1 : 1 H 0 : 0
, 0 1 , - , 0 U 1
(n )
(n )
. . . . ( )
( x ) = sup p ( x , ) sup p ( x, )
0
(1)
(1)
190
(1)
n ( x (n ) ) = sup pn ( x ( n ) , ) sup pn ( x ( n ) , )
0
(2)
0 R k ,
r = k m > 0 m , Ln
= 2 ln n ( X (n) ) H 0 -
( 0 ) n
2
r - , . . .
. . . .- , , H 1n :
1n = { = 0 +
n ; 0 0 , R k \ 0 }
, , 0 , R
. Ln ,
2
r -
, ;
0 0 - .
.
,
( , [3] [6] ). . . .
( x ) = p ( x, 0 ) p ( x , ) ,
= 0 ( x) ,
{ P ; 0 }
. ,
. . . 0 .
. . .- ,
, ., ,
, C ( ) . ( , [6] ).
-
, , . . .
, , (
, . . .
). . . .-
, (
), . . . .
( ) ( ,
[3] ); (
). . . .
( , [12] ),
( ) ( , [13] ).
.: [1] N e y m a n J., P e a r s o n E. S., Biometrika, 1928,
pt 1, p. 175240; pt 2, p. 26394; [2] N e y m a n J., P e a r s o n E. S.,
Phil. Trans. Roy. Soc. London, 1933, v. A 231, p. 289337;
[3] W a l d
A., Trans. Amer. Math. Soc., 1943, v. 54, 3,
p. 42682; [4] W i l k s S. S., Ann. Math. Statist., 1938, v. 9, 1,
p. 6062; [5] ., , . .,
., 1967; [6] . ., .: .
. . . , . 17, ., 1979, . 356; [7] L e C a m L., .:
Proceedings of the 3-ed Berkeley symposium mathematical statistics
and probability, v. 1, Berk. Los. Ang., 1956, p .12956; [8] L e
C a m L., Univ. Calif. Publs. Statist., 1960, v. 3, 2, p. 3798;
[9] ., . , . ., ., 1975; [10] C h i b i s o v D.
M., v a n Z w e t t W. R., . ., 1984,
. 29, . 3, . 41739; [11] P f a n z a g l J., .: Developments in
statistics, N. Y., 1980, v. 3, p. 197; [12] B a h a d u r R. R., Some limit theorems in statistics, Phil., 1971 ( SIAM ); [13] .
., , ., 1984; [14] ., , . ., 2 ., ., 1979.
s t r o n g likelihood principle ,
; birthanddeath process { 0 , 1, 2 , ...} h 0
, h n n + 1 n 1
= ( x ) , { P ; }
, 0
; birth time
, .
;
-
; w e a k likelihood
principle , .
; likelihood equation
.
, n h + o( h ) n h + o ( h ) ; o ( h ) -
. n - n -
: ,
,
. . . .
.-
. . . .-
, . n = n + ,
n = n , . . . n ;
h 0 h + o ( h )
( ); h + o ( h ) ,
, h + o ( h ) . = 0 , .
= 0 ,
. .
n = ,
.
.: [1] .,
, . ., . 1, ., 1984; [2] . .,
. ., . .,
, ., 1982.
( )
; generating functional o f
a continuous convolution of measures sem i g r o u p G ,
D(G ) -
A f : = lim
t 0
f ( x) t (dx) f (e)
A , { t , t
0},
. A E (G ) [ g
, f D(G ) f g D (G ) ]
.
A . . , { t , t
0}
.
(n )
. . . t t
191
t 1 . .- A An
.
t(n )
t - n ,
f E (G ) n
, ,
.
2) X
,
An f A f ( , [1] [3] ).
. n , G
, k n , k n ,
, { t , t
0 } . . A
. :
1) n[ knt ] t , t 0 ( );
2) exp [ t k n ( n e ) ] t , t 0 (
);
3) E (G ) k n ( n e ) A ( . .- ).
,
( ,
[2], [4] ).
.: [1] H a z o d W., . ., 1995,
. 40, . 4, . 92934; [2] S i e b e r t E., Adv. Math., 1981, v. 39,
p. 11154; [3] K h o k h l o v Y u. S., in: Probability measures on
groups X, N. Y., 1991, p. 23947; [4] H a z o d
W., S c h e f f l e r H.-P., J. Theor. Probab., 1993, v. 6, 1, p. 17586.
; p r o b a b i l i t y
generating function , ( )
; e x p o n e n t i a l generating function , ( )
( )
; generating function o f a s e q u e n c e o f n u m b e r s , a0 , a1 , ..., a n ,...
F( z) =
zn
n=0
, z ,
. z -
. F ( z )
a n - , z
. a0 , a1 , ..., a n ,... ,
,
. . .
. 1) b0 , b1 , ..., bn , ...
;
g(z) =
n=0
192
bn
zn
n!
MXn
n=0
zn
n!
X .
3) X , ,
FX ( z ) = M z X =
P {X
= n} z n
n=0
, X
. X . .
X (t )
X (t ) = FX ( ei t )
.
. . . .,
P{ X = n } =
1 (n )
FX (0) ,
n!
M X = FX (1) ,
( )
; m o m e n t
generating function
X
. , . . s = 0 s
( s ) = M exp ( s X )
- . ( s ) s 0
, , . . mes > 0 .
. .
k = 0, 1, ...
M X k = (k ) ( 0 ) ,
, .
X 0 ( X 0 ) ,
. . s 0 ( , s 0 ) .
, , ( )
.
.: [1] .,
, . ., . 12, ., 1984.
( )
;
generating function o f a n i n t e g e r v a l u e d r a n d o m v a r i a b l e s . X ,
,
( z, X ) = M z X =
= e t A . ,
, .
.: [1] ., . ., . , . ., . 1, ., 1962; [2] .,
, . ., . 2,
., 1984.
( )
; generator o f a d i f f u s i o n p r o c e s s
k =0
L =
ai j ( x )
i, j
, -
a random vector
.
A f = lim
t 0
Tt ,
Tt f f
t
c( x)
xi
. .,
,
f (Xt )
( X s ) ds
( )
; generating function o f
bi ( x )
( X t , Px ) Px -
t R1
( )
; generating function o f a r a n d o m
v a r i a b l e , ( ) .
X : Tt Ts = Tt + s , t , s 0
.
. . ,
.
.: [1] ., ,
. ., . 1, ., 1984; [2] . ., , ., 1971.
, ( )
2
+
xi x j
( , ).
.: [1] . ., , ., 1963.
X . .
f X (t )
f X (t ) = ( e i t , X ) ,
Cb2
( ) ; generator o f a
p r o c e s s
z k P{ X = k }
X -
z , | z | 1 .
Tt
(*)
f X f - ,
f - (*)-
( D A ). Tt
, . . A
f ( X t , Px )
A - , A f = .
.
; generator
; random walk
; fulling
;
dominating vector , .
; sequence
of dominating vectors , .
,
;
dominated family of distributions ,
, , .
; Doeblin
condition
,
193
( ,
). 1937- . ( W. Doeblin ) .
(E , B )
p ( n, x, ) -
: ( )
B - m ,
, p ( m, , )
>0
1 .
.: [1] ., , . ., .,
1956; [2] ., , . ., ., 1969; [3] ., ,
. ., ., 1997.
; Doeblin
theorem ,
.: [1] .-., ,
. ., ., 1962; [2] B l u m e n t h a l R. M., G e t o o r R. K.,
Markov process and potential theory, N. Y. L., 1968; [3] S m y t h e R. T., W a l s h J. B., Invent. Math., 1973, v. 19, p. 11348;
[4] . ., . ., 1977, . 22, . 2,
. 26478; [5] M i t r o J. B., Z. Wahr. und verw. Geb., 1979, Bd 47,
H. 2, S. 13956, Bd 48, H. 1, S. 97114; [6] . .,
.: . ,
. 20, ., 1982, . 37178.
; dual predictable projection .
, .
; Doob inequalities * = { t* , t 0}
; Doeblin universal law
, .
P { T* a }
M T
<
;
; dual Markov process ,
( )
= ( t , At , P x )
( E , A ) - ,
E - .
= ( t , At , Px )
( d x ) p ( t , x ; d y ) = ( d y ) p ( t , y; d x )
(*)
,
(
( r ( x , ) << ( ) r ( x , )
<< ( )
> 0 , x E ),
. . . . ( ,
)
; . . .-
. ,
. . . . ,
. . .-,
~ ~
( , A ) -
Px , P x ~
;
, ,
.
194
p
M t
M ( T* ) p
p 1
*
, t
, p >1
= sup s , = ( t , t 0 )
s t
, T
T <.
( 0 = 0 ) , [ , ] =
= ( [ , ]t , t 0 ) = ( t ,
t 0 ) ,
).
(*) r r
1
M t , a > 0 ,
a2
P { T* a } <
1
1
M [ , ] T 2 M
a2
a
.
.: [1] ., , . ., .,
1956; [2] . ., . ., , ., 1986.
; Doob centering
tion , .
; Doob centering
tants { n }
func
cons-
M arctg ( n cn ) = 0 , n = 1, 2 ,...
cn . . . .-
. . . .- ,
{ n an } an
an = cn
{ ( t ), t T } ,
M arctg ( ( t ) f ( t ) ) = 0
f ( t )
.
.: [1] . ., , . .,
., 1956; [2] ., . . ., . 1,
., 1960.
; equalizing strategy , , .
,
; correction for continuity
; Doob Meyer decompozition X
X = M + A , M
, A .
. p
. ., Y
, Y Y = M + A (
A ,
).
. . .-
. . . . .
[1]- ; (
, ;
) . . [2]- . . . .
( , [3] [4] ).
.: [1] . ., , . .,
., 1956; [2] . ., , .
., ., 1973; [3] . ., . ., 1981, . 115,
2, . 16378; [4] L e n g l a r t
E., Lect. Notes Math., 1980,
v. 784, p. 50046.
; doubling i n e n g i n e e r i n g
.
. .-
. .- ,
,
. .,
= 0 + 1 + ... + , n
, 1
,
.
/
; supporting point of a design ,
.
; site model , .
,
; forward Kolmogorovs
equation , ,
,
.
; rectangular distribution ,
.
, c = 0,5 - .
P { n x} =
Cnk p k (1 p ) nk =
k =0
x np + c
1
+ O
,
n p (1 p )
n
(1)
c . n n , n 1 p - .
P { n x } + P { n n n x 1} = 1
. (1)-
xnp +c
n p ( 1 p )
x n p + (1 c )
+
n p (1 p )
=1
.
z - ( z ) + ( z )
(2)
, c , (2)
, ,
x np +c
n p (1 p )
x n p + (1 c )
0
n p (1 p )
c = 0, 5 . (1) c = 0, 5
, .
.: [1] ., , .
., 2 ., ., 1975; [2] ., ., , . ., 2
., . 12, ., 198081.
*
; property ( regularty ) changing function -
( K a r a m a t a J. ) 1930-
.
U ( 0 , ) - , t
x A -
195
U (t x )
( x)
U (t )
( x ) = x ,
. , U
.
. . .- .
U (x) = x L ( x )
(2)
. U ( t x ) U ( t ) x -, , t
x > 0
L(t x)
1,
L(t )
1 F ( x )
(3)
), , (2)
.
U , , ( < < )
, , (2) ,
, L .
U ( x 1 ) , , , U .
.
F1 F2 ,
1
Li ( x)
x
1
( L1 ( x ) + L2 ( x ) ) .
x
~ x L ( x ) ,
1 F *r ( x ) ~ r x L ( x )
.
:
) lim U ( t )
t
U ( t ) ;
) U ( t ) = ( log t ) ;
) - U ( t ) = [ log log ( t + 1)] .
lim c ( t ) 0 ,
.
.
( 0 , ) - L ( -
1 Fi ( x ) =
1 G ( x ) ~
(1)
t +
lim ( z ) = 0 ,
z +
U ( t ) = c ( t ) exp
t0
(z)
z
dz
.
.: [1] .,
, . 2, ., 1984; [2] , . , ., 1985.
; proper estimator ,
.
;
Dvoretzky lemma , l pn -
; Dvoretzky procedure ,
.
. G = F1 F2 -
; Dvoretzky Rodgers
theorem , l np -
, ,
; Li -
; Edgeworth
serie
a n) n Fn ( x ) ;
f ( x) = ( x) +
(1)
bk , k + 2 ( k + 2) ( x ) + ... + bk , 3k (3k ) ( x )
nk
k =1
( sn M sn )
( s n
Fn ( x ) = ( x ) +
(*)
f (x) ,
+ Q1 ( x ) n
Qk (x) = ( x )
(2)
q1 + 2 q 2 + ... + k q k
= k
r =1
1
qr !
r ,
s = q1 + ... + qk .
dk ( x)
(x) =
.
d xk
.,
Q1 ( x ) = ( x )
bk , k + 2l n - , 3 , ..., k l + 3 -
= j j , 2
H k + 2 s 1 ( x ) ,
q r - , H
r
,
),
e x
(1)
r +2
( r + 2 )! r + 2
= 1 + ... + n , 1 , ..., n
1
+ ... + Qm ( x ) n m 2 + Rm ( x , n ) ,
D sn -
( x) =
1 2
1 1
10 2 ( 6)
( 4)
3 ( x )
4 ( x) +
n 4!
6!
1 1
35
280 3 (9)
( 5)
(7)
3 2 5 ( x ) +
3 4 ( x ) +
3 ( x ) + ... .
7!
9!
n
5!
bk , k + 2l .
; Edgeworth Kramr expansion a , 2
k
k = M ( X i a ) , 3 k m + 2 , F (x ) ( X 1 + ... + X n
( 1 x2 ) ,
2
( 3 4 ) ( x 3 3 x) 3 ( x 5 10 x 3 15 ) .
72
24
= ( x)
1 1
f (x) = ( x ) 1 2
3 (3) ( x ) +
3!
n
Q2 ( x) =
, j ,
1 j - . ., . .
m + 2
r<m+3
M X j a
<
Rm ( x , n )
( n(1+ x )
( 1 + x )r
n ( r 2)
(3)
, u 0 ( u ) 0 .
r = 3 F - R1 ( x , n ) <
< ( n ) n 1 2
. m = (1)
. . . .
. (1) . [2]- .
X j
R d - , d > 1 ( , [4] ) . .
( , [3] ). F
0 < 2 G (x) ( , [5] )
. . .- . . . .-
k
197
k =
.-
. n
x k d ( F ( x) G ( x) )
.
.: [1] E d g e w o r t h F., Trans. Camb. Philos. Soc., 1905,
v. 20, p. 3665; [2] C r a m r H., Camb. Tracts Math. And
Math. Phys., 1937, 36 ( . . , ., 1947 ); [3] . .,
, ., 1972; [4] . .,
. : .
, ., 1980, . 11621; [5] . ., .:
VI
, , 1962, . 4950.
; efficient estimator , . . .-
( - ). . . .
.
. . . ,
. ,
. . . .
, .
.: [1] ., , .
., 2 ., ., 1975; [2] . ., . ., , ., 1979;
[3] ., ,
. ., ., 1968.
( )
; s e c o n d o r d e r efficiency o f e s t i m a t o r s
.
[1]- . . 1 , ..., n ,
f ( x , ) - ,
, ()
. lim n n ()
n
= () ,
n ( )
,
lim ( n () n () )
.
, , ,
, .
, ,
[2] [6]-
. ,
198
f ( T1 , ..., T p )
, Ti
2- .-
(
). 2-
.
.
2- .
.
R n ( n , ) = M
,
n ( n )
>0
= ( , + ) , + . 2-
. -
n
Rn ( n , ) = R0 ( ) n 1 p ( ) + o ( n 1 )
(1)
R0 ( ) = / 2 ( ) ,
= 2 / 2 1 / 2 ( ( + 1) 2 ) ,
p ( )
C () ,
0 < 1 . p [ , + ]
, (1)
.
(1) n : *n
> 0 , n
= M
ln f ( 1 , )
, n ()
n = n ( 1 , ..., n )
o ( n ) -
Rn ( *n , ) Rn ( n , ) n 1 ( ) + o (n 1 )
, n
q -
, q 0 , q 0 ,
q C ( ) , q n ,
q , , .
2- .
n = n + n 1 g ( n ) { | g ( n ) | < n1/ 2 }
(2)
, g C () , n -
. n ,
(2)- g
( + 1) M 3,1 ( )
g ( ) = T 1 ( ) 2
ln ( ) +
6 ( )
(3)
, ( ) > 0 ,
M i j () = M
ln f ( 1 , ) . (2), (3)
n, q .
n, p ()
2 1 ( )
( 2+ ) / 2
( )
( ) + p0 ( )
, p0 ( )
. ., f ( x, )
(4)
f ( x , )
= f ( x ) , f ( )
p0 () =
/ 2 ()
4 ( + 1) M 4,1 ()
24
2 ()
M 1, 4 ()
+ ( + 2 )
3
2
()
.
( ) = 2 () I ( 2 + ) 2 () , ( ) = q ( ) 2 ( )
( u ) du ,
() =
(u ) du
( ) d ,
= lim () ,
<
(u ) du ( ) d ,
= min ( , + ) ,
= max ( , + )
. : 1) , , ,
, = ;
2) , , , q
, max (, ) = . ., n , ,
,
+1
( 2 + ) / 2 (u ) exp
6
M 3,1 ( )
( )
d du
( , [11], [12] ).
. i
q ( , [12] ).
.: [1] F i s h e r R., Proc. Cambr. Philos. Soc., 1925, v. 22,
p. 70025; [2] L i n n i k Y. V., M i t r o f a n o v a N. M., Sankhya,
Ser. A, 1965, v. 27, 1, p. 7382; [3] . .,
. ., 1973, . 18, . 4, . 689702; [4] . ., . ., 1976, . 21, . 1, . 16
33; [5] . ., . . . ., 1981,
. 45, 3, . 50939; [6] P f a n z a g l J., W e f e l m e y e r W.,
J. Multivar Anal., 1978, v. 8, 1, p. 129; [7] R a o C., Sankhya,
Ser. A, 1963, v. 25, 2, p. 189206; [8] E f r o n B., Ann.
Statist., 1975, v. 3, 6, p. 1189242; [9] G h o s h J., S u b r a manyam
K., Sankhya, Ser. A, 1974, v. 36, 4, p. 32558;
[10] E g u c h i S., Ann. Statist., 1983, v. 11, 3, p. 793803;
[11] G h o s h J., S i n h a B., Ann. Statist., 1981, v. 9, 6,
p. 133438; [12] . ., . .,
1985, . 30, . 2, . 30938.
resource
efficiency
, .
( )
;
efficiency o f a s t a t i s t i c a l p r o c e d u r e
= lim () ,
, ( 1 , q = 1 ).
n, -
( )
. , 0 ( , )
+
( ) =
2 2 +
R ( n , , ) =
+ o (n 1 )
2
2na
, = cos
, < 2
= ( a, a ) ,
[ [3]- M 3,1 ( )
= p0 () = 0 ]. -
.
( ) .
, ,
.
.
; : ,
.
.: [1] . ., , .,
1984; [2] V o i n o v V. G., N i k u l i n M. S., Unbiased, Estimators
and Their Appliations, v. 1, Univariate Case, Dordrecht, 1993;
[3] G r e e n w o o d P. E., N i k u l i n M. S., A Guide to Chi-squared
Testing, N. Y., 1996.
, ;
efficiency / utility o f m e t e o r o l o g i c a l forecast ,
,
( )
.
- ,
. . , .
. .-, ,
( , [1] ).
. .- 0 = ( R R+ ) R
, R+ R
199
( , );
-
.
,
0 ,
0 . 0 = 0 , , .
, .
. .
,
, .
.: [1] . .,
, ., 1981; [2] . .,
, 1933, . 3, . 4, . 48999; [3] . ., . . . ., 1955, 4, . 33949;
[4] T h o m p s o n J. C., .: Weather forecasting and weather
forecasts; models, systems and users, v. 2, Boulder ( Colo.), 1976,
p. 52578.
200
,
( p, 0 p 1 ) ;
.
. , n -
k n ( A) n
[ k n ( A) , A n ]
, p .
n - k n ( A) n - p - , . .,
. 1 2 - .
n = 10 ,
.
;
4 5,
6- .
n = 100
, 40 60 ( ,
).
. , ,
, .- . , ,
.-
,
.
, .- , .
. .- . , , .- 0,003
( ).
.
: , - ( )
P . A P P ( A ) , A .
.: [1]
, 2 ., ., 1974.
. ., -
; probability i n q u a n t u m
p h y s i c s , ,
. ., , (
)
. ,
,
, , .
.
,
,
. ,
( , U ) - P ( d )
,
.
,
,
( , ).
,
( ,
; , ).
,
. ( N. Bohr )
20- 30-
( , [1] ). de facto .
. ( J. Neumann ) [2] ,
20- 60- .
H S , X ( , , );
S ( d ) ,
X ( ) .
S ( d ) S , X ( ) X
; ,
.
. .
( , [3] ),
, :
X ( )
H - . 2- X X ( ) X
, -
X ( ) X
f ( X ( ) ) f ( X ) .
. ( S. Kochen ) . ( E. Speker ) ,
.
, ,
-
X ,
X ( ) X , , . . ,
,
.
( , [4] ). X 1 , ..., X n Y1 , ..., Ym
X i Y j = Yj X i ,
i = 1 , ..., n ,
j = 1, ..., m
(1)
. , { X i } { Y j }
. (1)
X 1 , ..., X n Y1 , ..., Ym S
X 1 ( ) , ..., X n ( ) , Y1 ( ) , ..., Ym ( )
( , U ) S ( d )
,
tr S X i Y j =
X i ( ) Y j ( ) S (d ) M S X i Y j
n, m
S ( d ) S , X ( ) X ( ) , .
,
.
, .
., X 1 ( ) , X 2 ( ) , Y1 ( ), Y2 ( ) , [ 1, 1]
, ( , U , P )
;
M P X 1 Y1 + M P X 1Y2
+ M P X 2Y1 M P X 2Y2 2
(2)
. (2) tr S X i Y j
. 1 / 2 -
,
(2)- 2 2
. , ,
, .
, .
.: [1] ., , . 2, ., 1971;
[2] ., ,
. ., ., 1964; [3] B e l l J., Rev. Mod. Phys., 1966, v. 38,
p. 44752; [4] . ., , ., 1985.
, a
posteriori; a posteriori probability ,
.
201
a priori; a
priori probability , .
, ;
probability of connectedness o f a r a n d o m g r a p h
, .
; probability space ,
A (
) A - P ( )
( , A , P ) . . . . .
[1]- . - , . A
( ) . . .-, B A , A B,
P (B ) = 0 A A
. .-
. ( , A , P ) . .-,
A A N M , P ( M ) = 0 A U N
A
A -
P P ( A U N )
= P( A ) -
, A - . ( , A , P ) . . ( , A , P )
.
. .
: A f
E f
B , B E P ( f
( E ) A ,
( E )) = P ( f 1 ( B)) .
. .-
( , ) . . .- .
: T t1 , ..., t n
R
Pt1 , ..., tn
,
:
,..., t n
1
( y1 , ... , y n ) R
( I y 1 , ..., y n )
1, ..., n
1 , ..., n ,
,..., t n 1
( I y1 , ..., yn1 ) .
= { x = { xt }, t T , xt R1} -
A - P
202
, T t1 , ..., t n
n B
Pt1 ,..., tn ( B ) = P { t1 ( x) , ..., t n ( x) B }
t ( x ) = xt
A .
.: [1] . .,
, 2 ., ., 1974; [2] . ., . .,
, . ., 1949; [3] .,
, . ., ., 1969; [4] . ., . ., . ., , ., 1979.
*
( )
; probability space, g e n e r a t e d b y r a n d o m v a r i a b l e ( , F , P )
= ( )
( R1 , B , P ) ; R1
1
, B , R ( a , b ]
b}
= { x R1 : a < x
( ) , ;
P (B) = P { : ( ) B }, B B
P , B
( ).
.: [1] ., , . ., ., 1962.
; probability space method
, .
;
; error function , .
;
; transition probability ( E , B )
s x t E :
P { t E | s = x } = p ( s , x ; t , E ),
s t, x E , E B
p ( s, x ; t , E )
. ,
. .
. t
,
p ( s , x ; s + n , E ) n ,
. . . . . n . .
.
E
p ( s, x ; t , E ) =
p ( s, x ; t , y )
y E
. .- ;
p ( s , i ; t , j ) = pij ( s, t ), i E , j E . ,
. . , p ( s, x; t , E ) =
= p ( t s, x , E ) , pij ( s, t ) = pij ( t s ) .
s t -
pij ( t + s ) =
. .- (1), (2) .
. . , ,
, i
E \ R -
mi .
k =1
mi
;
( X , A ) ( Y , G )
. . p ( x , E ) , x X , E G
, 1)
p ( x , E ) E x A
mi = 1 +
; ,
; absorbtion probability i n a M a r k o v
c h a i n
, 1 ,
1 ( ). { X t }t = 0 , 1, 2 , ...
E , C
( ,
; ). , C
,
. C i . .
i ,
i(n ) ,
i E
(n)
, i , n - . .-;
1,
0,
i C ;
i E \ C
q = 1 p ,
. 0 n ,
R
i C ,
i E \ ( C U R ) .
(1)
. . i i R
pij j , i R
= i0
( i - )
( r i r n ) (1 r n ) ,
( n i ) n ,
p 1 2
p =1 2
i =
,
,
(r
=q p)
0 = 1 , i = q i 1 + p i +1 , i = 1, 2 , ..., n 1 , n = 0
1
q p
i n 1 r ,
1 r n
mi = i ( n i ) ,
R . E \ R
- ,
1,
0,
= { 1, 2 , ... , n 1 }
. (1), (2) 0 i
mi =
i(n ) = Pi { X t E \ C , 0 t < n , X n C } .
i =
( )
.
(1), (2)
(3), (4) .
( ). E = { 0 , 1 , ..., n } ,
. (3),
(4)
n 1
i =
(4)
n=0
i(0) =
(3)
mi = 0 , i E \ R
.: [1] .,
, . ., ., 1984; [2] . ., . ., 1980.
i =
pij m j , i R ,
jE
2) p ( x , ) x ( Y , G ) - .
(2)
j E
. R ( E )
, (2) (1)
. R , ,
, i R
R .
p 1 2 ,
p =1 2
. n
E -
0- .
R = {1, 2 , ... } (1), (2) (3), (4) :
1,
r i ,
i =
i (q p),
mi =
+ ,
p 1 2
p >1 2
p < 1 2,
p1 2,
i 0 ,
i 1 .
. .-
i j k
203
ij - i - j mij - . i k
( j )
. mij -
( , ;
).
(2) (3)
;
.
.: [1] ., , . ., . 1, ., 1984; [2] .,
., , . ., ., 1970.
; probabilistic combinatorial analisys ,
,
, ,
. .
,
.
.
. .- .
1. .
N -
( n m ) .
( N ; n, m) n = m ,
0 < 1 m N m ln m
2. .
( n m ) ( 0 , 1)
A
E nm = { per A = 0} ,
H nm = { A - m n + 1
}
, m n
m -
P { H nm | E nm } 1
, per A , A .
N n
N = N ( n ) > n2/3 + ,
( 0 , 1)
>0
> 0 , n ,
P { | per A M ( per A ) 1 | > } 1
, M ( per A ) , per A -
= n ln n + c n + o ( n ) P ( n , N ) =
= P { per A > 0 } , n P ( n , N )
. N
exp{ 2 e c } .
N = N r = n ln n + ( r 1) n ln ln n + n (n) + o (n)
n n P ( n , N r , r )
= P { ( A) r } ,
P ( n , N r , r ) 1 , ( A) , A ( 0 , 1) n
.
3. . S n , N = {1, 2 , ..., n }
n . N ( s, s ) = { i : s ( i ) = s( i ) , 1 i n } -
.
1 , 2
s s
. N ( s, s ) = s
= 1 , = 2 e , 0 < < 1 = e
,
= 1 (1 , 2 )
( e
, e ) ,
; 0 < < 1
, e
.
N
( n m ) ( 0 , 1)
. ( n m ) 0 , 1 , ..., s 1 , s > 1 ,
> 0 , m = s ,
.
204
s s .
i , si , 1 i k ,
M n ( s1 , ..., s k ) = { s : s s1 , ..., s sk , s S n } =
= per ( I ( 1 ... k ) ) ,
.
s S n , s1 , ..., s k S n
, - , A ( i ) = { s ( i ) = sv ( i ) }
, 1
k , 1 i n .
n ( s1 , ..., sk ) = | { i : A1 ( i ) U ... U Ak ( i ) }, 1 i n |
n k
=k
. , ., ( k n )
L ( k , n ) n k
L ( k , n ) = ( n ! )k e
( ) ( 1 + o (1) )
k2
.
4. .
n
n
.
( n ln n )
( n + 1) ( ( ~n + 1) ) . n ~
n ( n ) = 1
ln n -
= 1 2 ) .
d n , n
-
nl
n = 1 / l
(n)
~ ( n ) , n , , n
P { ( n ) = k } = (1 e1/ k ) exp
j 1 + o (1) .
k 1
j =1
( + 1) 1 x < y < 1
x y n
~ ( n )
P x
< y
n
k=1
(1) k
{ J k ( y , 1) J k ( x , 1) } ,
k!
P { xi + 1 = u n } =
xi m ,
...
dx
dx1
n ,
x1
xn
k 1 ,
< n .
Qn , n ,
1 / 2
n ln Qn ln 2 n ln 3 n
2
, ( 0 , 1) .
5. .
X = { x1 x2 ... xn } -
, n n 2 n
. n ,
1
( n ne )
n ( e 2 ) e 1
n ( 0 , 1) -
. n , n
P{ n < x 2 n }
k =
.
d ( xi ) ,
u
n
e u
( 1 + o (1) )
i = d ( xi ) 1 , 1 i n ; [ x1 1 x2 2 ... xn n ]
[ x1 1 x2 2 ... xn n ]
n n 2
; i - i
, 1 i n . ,
.
6. . n N -
( n2 )
n, N
J0 (m, n ) = 1 ,
J k ( m, n ) =
n = o ( n1/ 6 )
n ( 0 , 1) . l
u = dn
2 2
k x
( 1 2k 2x2 )
N = n ln n + cn , c , P ( n , N ) , n, N
2
k n k
k ,
n P ( n , N ) 1 .
P0 (n , N ) exp { e
2 c
P0 ( n , N ) n
} .
n , n, N
, n n n , = e 2 c
. ( n , N ) 1 n ,
( n , N )
.
7. . X n n n
. X
( X , )
x = ( x ) , x, x X x x , ( x , x)
. n ( x , ) ,
n u
= o ( n1/ 6 )
205
P{ n
n = u } = u eu
n = n [ er ln 2 e r ln ( e 1) ] , r e r = n ,
( X , ) - n n
1 / 2
ln n
n ln n
2
2
( 0 , 1) .
p n , , s n
x X
9. . X n
X = X 1 U ... U X k , X 1 , ..., X k
. n
; n
. n
P { ( n ( 2 n1 1 / 2 ) ) 2 n / 21 = x } =
k k 1
,
e k k!
P { pn = k }
n = u } = u eu
k = 1, 2 , ...
2
( 1 + o (1) )
r , x
. ( X , )
n / 6
n n
r
.
8. . X n k
( n , k ) -
. n Bn -
. Bn
. n ( n n ln n ) ( n ln n )
( 0 , 1)
. n (l ) l
r , r e
= m ,
n ( n ( l ) r l l ! ) / r l l ! ( 0 , 1)
i1 , i2 , ..., ik k ( n (i1 ) i1 )
ik )
i1 , ..., ( n ( ik )
ik ) n -
1- ,
, l
= r l / l ! . n -
ex
( 1 + o (1) )
P { ( n ( 2 n1 1 / 2) ) 2 n / 2 1 } ~ ( ) ( ) ,
( x) =
e u
/2
du
.
X = X 1 U ... U X k , . n
; n
. n :
2
n
2 j
~
P n
= j
,
2
1 + 2C0
j = 0 , 1 , ...,
2 j ( j + 1)
n 1
~
P n
= j
,
2
2C1
j = 0 , 1 , ..., ,
C0 =
j =1
1
2
C1 =
j =0
1
.
2 j ( j + 1)
X n 2 1 ;
X 1 , X 2 , ... , . X = X 1 U ...
U X n n X
n
. | y |
o ( log 2 n ) y - n
P { n ( l ) > 0} 1 l ! / r l , r e r = n
. , n , n P { n
n1
0 , 2 n / 6 -
r ( n )
; n
. ( X , ) x X
. 1 i1
er ln 2 e r ln ( e 1) .
P { sn
x - ;
( 1 + o (1) )
= 1} 1
P { n [ log 2 n ] + y } = e 2
[ y ] + n
, [ log 2 n ] n
(1 + o (1) )
= { log 2 n } -
. n n -
log 2 n - .
10.
.
.
.
P{ n < x } ee
206
[ x ] +
n Gn ( p) p
, q
; p + q = 1 . Gn ( p )
Gn ( p ) , , ,
Gn ( p ) - . n ( p, k ) n ( q , k )
, Gn ( p )
Gn ( p ) k
n k
M n ( p, k ) = p 2 ,
k
2 ln n
ln (1 / q )
2 ln n
k > max
ln (1 / p)
, n
M n ( p , k ) = o (1) ,
M n ( q , k ) = o (1)
p n > n0 ( p )
2 ln n ln (1 / p ) -
Gn ( p) , 2 ln n ln (1 / q ) ( p + q
X 0 , X 1 , ...
.
( . ). 0 < p < 1 -
Gn ( p )
X -
. ,
X - 0 , 1 , ...
; [ z ] , z - .
n k
M n ( q , k ) = q 2
k
= 1 ).
.: [1] ., .,
, . ., ., 1976; [2] . ., , ., 1978; [3] . ., , ., 1982; [4] . ., ,
., 1984.
; probabilistic methods i n n u m b e r t h e o r y
.
, . XX I . ( E. Borel ) . .
.
, , (
), . .
.
. ,
, ,
.
( n , 0 ) 0 , ( n , 0 )
/ 0
, p ,
- .
- - :
~ .
. ., 1 -
- . ,
. ., , L , ( , ; ), , , 0 ,
0 ( X , Y ) = sup { | f X ( t ) f Y ( t ) | : t R1}
1
4 r
2 ( X , Y ) = sup
| f X (t ) f Y (t ) |2 dt : r > 0
( f X , X ) :
L ~ ~ p ~ 0 ~ p 0 p
(*)
, pp -
:
X - X 0 , X 1 , ..., 0 , 1 , ...
n
( X n , n ) 0 ( X n , n ) 0
.
p ~
pp . (*) -
207
L pp pp , L pp pp ,
0 pp , pp 0 , 0 .
, X - , p
:
K X
( x , K )
, ( + 0 , K )
= 0 , K - ( , K )
pp X
,
( ) , (u ) ( + 0 ) = 0.
X
pp ( ) ; (u )
( + 0) = 0 .
,
;
probabilistic metric
X -
. X X P -
,
(1)
(2)
(3)
- , , , , ,
( . .- ) . .-
.
. .
( , ( ),
( ), , , ).
. . .
[1] [2]
( . 1 )- . . .-
, ,
, , ,
; .
.: [1] . ., . .,
1983, . 28, . 26487; [2] . ., , ., 1986.
; ; ; probabilistic
metric; h o m o g e n i t y o f s
( Tc ( X ), Tc ( Y ) ) = c s ( X , Y )
, Tc
,
, a , b > 0 Ta Tb = Tb Ta = Ta b . Tc .
U , X 1 X 2 ... X n
( , ) = 0 P ( = ) = 1 ,
( , ) = ( , ) ,
( , ) ( , ) + ( , )
( )
( , )
, x, y U
Tc ( x
X - .
X - ( , ) < ,
y ) = Tc ( x) Tc ( y )
Tc (x) = c x
Tc (x) =
, ( , ) =
= x sign x ( x y = max ( x, y ) )
, ., (2) (3) ( , ) =
Tc .
, .
. .
. ( , ) -
; ; ; probabilistic
metric; r e g u l a r i t y o f -
P P , . .
,
(1)
. . .
( , ) = 0 P = P
.
( , ) (P , P )
- (
P , P
, ,
).
. . ( ,
,
. ).
208
X
.
, X , Y , Z X
(X
Z, Y
Z ) (X , Y )
(1)
. (1) :
X 1 , X 2 , Y1 , Y2 X
( X 1 X 2 , Y1 Y2 ) ( X 1 , Y1 ) + ( X 2 , Y2 )
(2)
. . , , , (1) X Y Z
.
(2)-
. , ,
.
, .
.,
( X Y = X + Y ) [ X Y =
= max ( X , Y ) ] .
.
.
X -
( , )
.
. .-
.
(1)- (2)- .
(1)-
(Z
X, Z
Y ) (X , Y)
. (1)
(1)- .
.: [1] . ., . ., 1976, . 101, 3,
. 41654; [2] . ., , ., 1986.
; ; ; probabilistic metric;
s t r u c t u r e o f
.
. . .-
,
. . .
.
.
X , (U , d )
,
.
I. . w ( X , Y ; t ) , P2 (0 , ) -
, P2
= { PXY } , X
.
w ( X , Y ; t ) : t , t1 , t 2
,
) w ( X , Y ; t ) = 0 P{ X
= Y} = 1
w ( X , Y ; t ) t - , -
w -
, (1) ,
- .
= 2 = .
(1) . .- :
( X , Y ) ( U = R ) ,
w ( X , Y ; t ) = (1 / 2) max ( | f X (u ) f Y (u ) | : | u | 1 / t ) ,
f X , X
;
- ,
w ( X , Y ; t ) = P{ d ( X , Y ) t } ;
,
:
w ( X , Y ; t ) = sup{ P { X A} P { Y At } : A B }
B , U -
At = { x : d ( x , y ) < t , y A} .
II. . Y = { g } , (U , g ) - .
( X , Y ; Y) = sup{ | M ( g ( X ) g ( Y ) ) | : g Y }
(2)
X - . .-. , s
( ), ,
, , . .-. Y
(U , d ) - ,
2. ( X , Y ) =
g ( x)
PX PY ( dx)
(3)
( w PXY - , PX , PY
PX
X - . .-. ( X , Y )
= PY
);
, g ( x) 0 , U -
. , g ( x )
) w ( X , Y ; t ) = w ( Y , X ; t ) ;
= x
s ,
) w ( X , Y ; t1 ) w ( X , Y ; t1 + t2 ) ;
, U
) w ( X , Y ; t1 + t2 ) w ( X , Z ; t1 ) + w ( Z , Y ; t2 ) .
3. ( X , Y ) = sup
. .- , g
(1)
g ( x , A ) (P
PY ) ( dx) : A A , (4)
209
. .-, A , U - . g ( x, A )
= I ( x A ) g ( A)
; probabilistic distance
. . .
d( X , Y )
. . .-
, . . :
( X , Y ) = sup{ | g ( A) | | PX ( A) PY ( A) | : A A}
P { X = Y } = 1 ,
, g ( A) , A - .
(3)-
.
4. (4)- , .
5. . .-
d(X , Y ) = 0
(*)
. . .- X Y PX , PY
d ( X , Y )
( X , Y ) = ( x , y ) ( PX PY ) ( dx) ( PX PY ) (dy )
. .- . . .-
(*) PX = PY
, , U U - , : x j U ,
d (X , Y) = 0
j R1
( x , x ) = 0 , ( x , y ) = ( y, x ) ,
i<j
; probability theory
( xi , x j ) i j 0 , 1 + ... + n = 0 .
. .-
( X , Y ) = 0 PX = PY
, , ,
M ( X , Y ) h ( X ) h (Y ) = 0 M h ( X ) = 0
.
. . S XY ( A , B )
P2 A A -
, , A , B -
.
B
x
A
yB
x A
A -
( X , Y ) = max { ( S XY ) ( SYX )}
( S XY ) = sup inf { ( A , B ), S XY ( A , B ) } .
AA BA
;
A = B
(5)
S XY ( A, B ) (5)
A { ( , x ) : x R1} .
.: [1] . ., . ., 1976, . 101 (143),
3, . 41654; [2] . ., .
., 1978, . 23, . 2, . 28494; [3] . .,
. ., 1983, . 28, . 2, . 26487; [4] . ., . ., 1984, . 29, . 4,
. 62553; [5] . ., Lect. Notes Math., 1983, Bd 982,
S. 17290.
210
( ).
n
k n ( A) / n p ( 0 p 1) .
A P ( A)
, -
S XY ( A , B ) = P ( X A) P ( Y B )
. . .
.
.
. S
A
, . S n
, n
, . k n ( A ) , A n
. k n ( A ) / n A
, . .
,
. . .- ,
.
.
, A
. .,
n
, 1 / 2 - .
,
51 52
; , 1 / 2 -
.
( )
:
, . A1 , ..., Ar :
. A1 , ..., Ar B A1 , ..., Ar
A1 , ..., Ar
A1 , ..., Ar .
A , - ;
A A :
B = A1 U A2 U ... U Ar =
P ( A) =
UA
i =1
C = A1 I A2 I ... I Ar =
IA
i =1
.
A
.
, - A -
: A , A
, . A , -
. ,
( ),
( ).
. .- P ( A )
. , A
= { }
A -
( A - ,
, ,
; , , ). P A A
( ) :
1. P ( A ) 0 ( P - ),
2. P ( ) = 1 ( P - ),
3. i j , Ai I A j = ,
U A
i
i =1
P( A )
i
i =1
( P - ).
A - P 1, 2, 3
, ( , A , P ) .
1933- . .
- . .-
.
( ) ,
P ( A ) . .
P
. ., , ;
A . P
p ( ) ,
:
p ( ) 0 ,
p ( ) = 1 .
p ( )
(1)
( .,
).
. p( ) - -
(1)
P ( A) =
N ( A)
,
N ( )
N ( A) , A ( A
) .
P .
, m ()
(
)
, A A
P ( A) =
m ( A)
m ( )
(2)
. (2) .
1 3 P - A
. , . .-
. . .
. . .-
.
A B P ( A | B)
P ( A | B ) = P ( A I B) P ( B) ,
P(B) > 0
(3)
.
.
P ( A | B) = P ( A )
(4)
, A B
( )
( , ). (3) (4)- A B
( ) :
P ( A I B) = P ( A ) P ( B)
(5)
(5) A B
P ( A I B ) . A B -
, , -
kn ( A I B )
k ( A ) kn ( B)
n
n
n
n
211
n - . , A B
.
, Ai Ai
P ( A1 I ... I Ar ) = P ( A1 ) P ( A2 ) ... P ( Ar )
, A1 , ... , Ar
.
.
,
,
- { Ai }
.
= ( )
( , A , P ) =
, { : ( ) B } A ,
A ,
( B - ) P (B) ( )
.
P (B) - F ( x)
= P { : ( ) < x } , x ( , )
) p ( x ) : B R
,
P ( B ) =
. , -
i .
S S1 , S 2 , ..., S n
(1)
( 2)
( n)
I Ak(nn )
p ( x) dx ;
p ( x ) 0
p ( x) dx = 1 .
; x1 , ..., xn , ... P { : ( ) = xk } = p k -
(6)
, S S1 , S 2 , ..., S n -
S .
P ( Ak(11) ), P ( Ak(22) | Ak(11) ) , ..., P ( Ak(nn ) | Ak(11) I Ak(22) I ... I Ak(nn11) ) (7)
(7) (3) (6)
.
:
) ,
(1)
( 2)
(n)
(7) , P ( Ak ), P ( Ak ) , ..., P ( Ak )
; ) S i S i 1 ( ) , (7)
P ( Ak(11) )
P ( Ak(22) | Ak(11) ), P ( Ak(33) | Ak(22) ) , ..., P ( Ak(nn ) | Ak(nn11) )
.
;
212
.
. ( -
i j , Ai I A j = ( - ) -
Ak , Ak , ..., Ak
, ( ) , B
{ : ( ) B } , B R1 . { : ( ) B } -
; A1 , ..., Ar
. ( , A , P ) ,
P ( B ) =
Pk { = x k } .
xk B
p ( x) =
( x a )2
2 2
, x ( , )
(8)
e x , x 0, > 0
p ( x) =
0,
x<0
.
P { = k } = C nk p k q nk ,
k = 0 , 1 , ..., n
(9)
, , n
, p 0 p
1, p + q = 1.
.
( , ,
).
. 1 , ..., n P1 , ...,n { (1 , ..., n ) B }
1
, B , R - ,
B R n . B R1
I
i =1
{ i Bi } =
{ | S n a | > } -
P{ i B i }
i =1
, 1 , ..., n ,
.
,
, ., { a < 1 + ... + n < b } ,
( ) , .
. .-
(9) n -
1
2 n p (1 p )
n p)
ex
x = (m
n p (1 p ) .
,
. .- .
., ,
, ,
. ,
( , ,
, ,
).
1 , ..., n , ... M k = a ,
D k = 2 ,
;
Sn =
1 + ... + n
n
. > 0
{ | S n a | } n
1- , S n
a - . , S n - a -
0,
. , S n - a -
n - (
) n
;
.
.
( ),
.
n
.
,
. .
( ,
).
XX 20- ,
. ., 1
, 2
. ,
1 + ... + n , n -
1
( 1- )
n
. ,
n - ,
n1 , n - (
n
).
(
).
, , .
.
.
XX
( . ) .
. . .-
, , (t )
. t ,
, ., , , ( ) , t , . t ,
( ) . ( t1 ), ( t 2 ) , ..., ( t n )
; t1 , t 2 , ..., t n n -
. :
;
.
. t0 t1 ( t 0 < t1 )
( t ) t t 0 t -
, ( t1 )
( t 0 ) - (
).
.
t0
;
213
t0 ( )
t
> t 0
t0
.
,
.
.
;
.
;
M (t ) M ( t ) ( t + )
t - . ( t )
(t ) =
it
dZ ( )
, Z ( )
.
(
), .
,
( , ; , ;
).
,
. ( t ) s < t
( t ) -
( s ) - .
.
.
.
,
( ., , .
; , ). , ,
.
. . . 17 .
. .- . ( B. Pascal ), .
( P. Fermat ), . ( Ch. Huygens )
. . ( J. Bernoulli )
. .- ( 1713-
).
214
. . ( ) ( 18- 19-
) . ( A. Moivre ), . ( P. Laplace ), . ( C. Gauss ) . ( S. Poisson )
. . .
( , )
.
- ( 1812 ) ( 1837 )
;
. ( A. Legendre, 1806 ) . ( 1808 )
.
. .- ( 19- 2- )
. . , . . . .
. . . ( 18- )
; .
( L. Euler ), . ( N. Bernoulli ) . ( D. Bernoulli ) .
. .- . .- . . ,
. .- , . . . 19- . . . . .
. . . . . .-
;
. . . , ( 1867 ). ,
. . .
( 1901 ).
1907- . .
( ).
19-
[ . ( A. Qutelet ),
. ( F. Galton ) ] [
. ( L. Boltzmann ) ] . . , . .
. . . .- ( )
. . .- . .
( E. Borel ), . ( P. Lvy ), . ( M. Frchet ),
. ( R. Mises ), - .
( N. Wiener ), . ( W. Feller ), . ( J. Doob ),
. ( H. Cramr )
. .
; . . . .- , , ,
. .-
.
[ . . . . . . ]. ( 30- ) ( . . ) .
. . . . . ,
. . , . . . . . .-
.
: . ,
. 23, ., 197072; XIX .
. . . , ., 1978.
. B e r n o u l l i J., Ars conjectandi,
opus posthumum, Basileae, 1713 ( . . .,
, ., 1986 ); M o i v r e A. de, Doctrine
; probability theory o n a l g e b r a i c
s t r u c t u r e s ,
;
. . .
, , , , .
,
.
,
.
( ,
).
( ., , ,
.).
. ( ., ) , ,
( ,
; ; ).
,
R1 -
.
, ,
.
( 1 , 2 , )
( .,
, ).
. . . 1
. R - ,
, .
R1 , -
.
( ,
).
. ,
( , ( ), ).
. . ,
.
1
R - ( , , , /
).
, , ,
,
.
.: [1] .,
, . ., ., 1965; [2] ., , . ., ., 1981;
[3] ., , . ., ., 1970; [4] R u z s a I. Z., S z e k e l i G. J.,
Algebraic Probability Theory, N. Y., 1988; [5] B l o o m W. R., H e y e r H., Harmonic analysis of probability measures on hypergroups,
B., 1955.
P{ | m | < B } = P{ | m | > B } = 1/ 2
, m ,
( - , m = M
). . . .
( ) :
( B / ) = 3/ 4 ,
( x ) , ( 0 , 1) .
, B
= 0 , 674496 .
; probability measure , , , ,
, A ( )
, P
,
215
P ( ) = 1 i j Ai I A j = ,
i =1
1)
i =1
U A = P ( A )
= { , } ,
( ).
A = { { } , { }, , },
P ({ } ) =
= P ({ } ) = 1 2 .
;
2) = { 0, 1, 2 , ...} , A , -
2 G . .- ( )
, 1 2 (*) ;
( ). 1 2 . .-
G
( ), 1 2
y G -
f ( y) =
) f 2 ( x ) d ( x)
P ( { k }) =
k
k!
e , > 0
, f1 f 2 1
( ).
2 .
3) = R ; A , R - ,
A A ,
1
P ( A) =
x2 2
dx
( );
x(t ) , A - , P ,
:
= (2 ) n
( t t
i
i 1 )
1 2
bn
a1
an
...
1
exp
2
i =1
n 0
( ).
.: [1] . ., , 2 . ., 1974; [2] . .,
, 6 ., ., 1988.
; probability measure o n a
g r o u p G
B . ,
, B , (G , B ) .
G , B .
1 2 , G ,
1 2 ( B) =
(Bx
1
) d 2 ( x) =
2 ( x 1 B ) d1 ( x) , B B ,
= S 1 S 2
. M (G )
e , e , G
.
( , A , P ) X 1 , X 2 : G ( G , B )
(
G ), X 1 X 2 PX1X 2
( xi xi 1 )
dx1 ... dxn ,
t i t i 1
, S 12
PX1X 2 , PX1 PX 2 ,
i =1
b1
. .- M (G ) -
. 1 2 S 12 , S 1 S 2
4) = C0 [ 0 , 1] , , [ 0 , 1] - -
f (yx
(*)
= PX1 PX 2 .
. .
, , ( ). ( ) , .
. .-
. , , . G . .
= , ,
.
. . S S -
- S - S
.
. G , ( X k ) ,
G -
= X 1 ... X n . S n G -
S n
S , , S -
PS
1 2 -
( ) ,
, G - 1 2 - . 1
, S n S PSn PS
216
. PS - ,
.
.
. G , , X 1 , X 2 , ...
G -
, X 1 -
X
k=2
. PS n
= , S n
.
.: [1] .,
, . ., ., 1965; [2] .,
, . ., ., 1981;
[3] P a r t h u s a r a t h y K. R., Probability measure on metric spaces,
N. Y., 1967.
;
arithmetic of probability distributions
( ) .
. . .- ( ) , I 0 ( ,
; )
.
. . .- :
( , , ;
. )
;
; ;
( , , ) . .
.: [1] . ., . .,
, ., 1972; [2] . .,
. ., . ., .:
. . . , . 12, ., 1975, . 542; [3] ., , . ., ., 1979; [4] . ., . ., 1986, . 31, . 1,
. 330.
,
;
arithmetics of probability distributions o n A b e l i a n g r o u p ,
, 1 2
- 1
2 -
. R , . ( H. Cramr ), . ( P. Lvy ),
. . , . . , . . , . . , . ( R. Cuppens ), . . ( , [1], [2] )
.
. , (
).
,
, ,
. ,
,
. . .-
.
G , M 1 (G ) ,
G - .
1
1
2 M (G ) , M (G ) -
= 1 2
, 1 M (G )
.
-
,
.
,
1
M (G ) I 0 - .
. .
1
: 1) M (G )
= m K , mK , -
,
, I 0 ; 2) I 0
( , [3] ).
d
, R -
,
I 0 . , T -
. , G
G T
. G
G T - .
, ,
( ).
, G , ( ) ,
. . , ,
, ( , [4] ).
R - -
, I 0 . ,
, . x G
x
, 2- ( , [5] ).
I 0 . , , I 0
, , I 0
I 0
. ,
. , , G
217
, ( ) . ; , I 0 , I 0
( , [4] ).
= e( F )
I 0 F
. F - .
I 0 . . ( F ) = { x1 , x2 } , G
= e ( F ) - I 0
x1 x2 , , ,
2- . F G -
, ( F ) { x0 , x1 , ..., xn } ,
{ x0 , x1 , ..., xn } , = e ( F )
I 0 ( , [6] ), 2 x0 = 0 . A G
{ xi }in=1
k1 x1 + ... + k n xn
( k i ) k1 = ... = k n
, A
=0
=0
F , F G
n
n m - , = e ( F ) I 0 .
F
G
, 2
; 2) G
I 0
R n + D ;
D , p > 2 p
.
.: [1] . ., . .,
, ., 1972; [2] .
., . ., 1986, . 31, . 1, . 330; [3] . ., ., . . .,
, 1965, . 9, 2, . 11546; [4] F e l d m a n G. M.,
F r y n t o v A. E., J. Multiv. Ann., 1983, v. 13, 1, p. 14866;
[5] . ., . . ., 1970, . 10, 3, . 53743;
[6] . ., ,
,1990.
; probability distribution , ( )
n o r m a l probability paper
,
-
.
M 1 (G ) I 0
. G 2
1
, M (G )
( E ) mG ( E ) , 0 <
<1
E , I ( mG , G -
).
,
, R -
, F e ( F ) I 0
, F , ( F )
.
.
G T - ,
, G R + D
, D
. G - F , e ( F ) I 0 .
. ,
I 0 .
I 0 ,
, I 0
.
: 1) I 0
218
100-, 8-
.
.
( ).
:
,
.
,
.
.: [1] ., . ., , . ., ., 1951;
[2] D i x o n W. J., M a s s e y F. J., Introduction statistical analysis,
N. Y. Toronto L., 1951.
,
; probability of misclassification
. . . . . . .
. X D1 , ..., Dk S -
: max ( d1 ( X ) , ..., d k ( X ))
= d j (X )
, S : X D j , d j ( X ) , j - . i - Di j -
D j . . .
P{ i | j } =
pi ( X ) d X
Rij
pi ( X ) , i -
= d j (X )) } .
pi ( X ) , , P { i | j } :
) , , ,
P { i | j } ; , . . .-
;
) P {i | j }
; . . .
.
, . . .-
( ) .
pi ( X ) , . . .-
( , ).
; probabilistic automation ,
,
. . . ( ) X ,
Y Z -: Z Y ,
( | z , x ) , z Z , x X . . .- . ,
x = ( x1 , ..., xn ) X n , z =
= ( z 0 , ..., z n )
= ( y1 , ..., y n )
( ) -
, A Z
P { z 0 A } = 0 ( A)
0 ( i ) = P{ z0 = i}
( a , j | a, i ) = P { zn = a, yn = j | zn 1 = a , xn = i }
.
X , . . . . .
. . .
,
. . . .- , . . y n -
, ( | z , x ) Z . . .-
.
. . . . . .
. .- ( , [1] ).
. . ,
.
.: [1] . ., , ,
1970; [2] ., , . ., ., 1963, . 43263; [3] R a b i n M. O., Inform.
and Control, 1963, v. 6, 3, p. 23045; [4] . ., . ., . ., , ., 1978; [3] . ., , , 1975.
; probability Borel measur
, .
; probability
generating function , .
; probabilistic number
theory ,
( , ).
. . . ,
N - .
, . . .- ,
.
( f ( m1 + m2 ) = f ( m1 ) + f ( m2 )
g ( m1 m2 )
m =
P { ( z n , y n ) A | z 0 , ..., z n 1 ; x1 , ..., xn } =
= ( A | z n 1 , xn ),
n 1
A Z Y A - 1 . xi , zi , yi i ( i - ) , ,
. X , Y , Z
. . . .; X Y Z
= g (m1 ) g (m2 ) ).
p N
p || m
( p ,
p || m , p m - ,
+1
m - )
f ( m)
219
g (m)
, :
f (m) =
An =
pn
f ( p )
p || m
sup
f
g ( m) =
g( p
).
, f ( p ) g ( p ) - , f (m) g (m) -
. .,
a ln m ( a ) .
h(m) , ,
. 1 ( m)
2 ( m) , m -
m
1 (m) h ( m ) 2 ( m) . .,
1,
2nt
( f (m) An ) 2 = n
m =1
1,
m m0 ( m ) 2 ( ln ln m ) ln m ,
(1)
f (m) , t > 0
- m n
f ( m) An < t Bn
.
, t , m n
p n
C .
, n0 , n n0 -
( m ) ln ln n < t
p|m
, m > 1 m - ( m)
1
n Bn2
f 2 ( p )
,
p
Bn2 =
n 3 / 2 C ln 1 n ,
(m) =
f ( p)
,
p
p || m
ln ln n
. 1917-
. ( G. Hardy ) . ( S. Ramanujan )
. 1979- . f n (m)
, Cn
> 0
E n ( h ) = n 1
h ( m)
m =1
. E n ( ) = ( 1 + o (1) ) ln ln n .
( n
). , , h ( m ) ,
, .
h ( m )
.
.
n = { 1, 2 , ..., n } , An , n - , Pn , n - [ Pn { ...} ,
m n , ]. { n , An , Pn }
h ( m ) , m n ,
E n (h) .
Pn { | h (m) C n | > Dn } = o (1)
Cn Dn
. , f (m)
.
220
Pn { | f n ( m ) C n | } = o (1)
, , ,
n = o (1)
p n
min { 1, ( f n ( p ) n ln p ) 2 }
= o (1 )
p
(2)
.
n p n , 1 m
( p)
, f n
(m)
:
f n( p ) (1) = 0 p m , f n( p ) (m) = f ( p )
( p)
, f n
(m) = f ( p )
n 1 ( [ n / p ] [ n / p +1 ] ) ~ p (1 p 1 )
.
f (m) =
f n( p ) (m)
pn
, (1) ,
f n( p ) ( m )
( (1)- 3 2
). ,
X p S n
= Xp
pn
X p - , ,
P { X p = f ( p ) } = p ( 1 p 1 ) , 0 .
XX 70- ,
f (m) , f (m) ln m -
. (2)
.
h ( m ) Pn { h ( m ) E } ; E . .
. Cn Dn -
Fn ( C n + Dn x ) = Pn { h ( m ) < C n + Dn x }
, (6) (5)
.
[ f
1
f ( p) 1
. . ( M. Kac )
p
: ., Bn
, Dn 0 -
.
Fn (C n + x ) -
Bn , ln n - . Fn ( An + Bn x)
, u = 0 , u -
Bn2
:
Fn ( x) , ,
| f ( p) | 1
| f ( p) | < 1
| f ( p ) | <1
( t ) = exp
f ( p) 0
(e
itu
1 itu ) u 2 dV (u )
.
.
Pn
ln p < x ln n , > 0 , 1
p || m
(3)
1
<
p
V ( u)
f 2 ( p )
p
p n ,
f ( p ) < u Bn
Cn = 0
1939- . ( P. Erdos ) . ( A. Wintner )
ln n
1- V ( ) = 0 , V ( + ) = 1
. ,
, (6)
, (5) .
( ). , F ( x )
f 2 ( p)
p
] (6)
. f (m)
Fn (C n + Dn x ) F (x) -
f ( p)
,
p
= f ( p)
f ( p )
V ( u ) ,
.
) h (m ) = f (m )
1
,
p
(4)
2 i
1+ i
1 i
ez
z exp
e i t u 1 u z
e du d z
, , .
Cn , XX 70- , Fn (C n + x) -
, . , Fn (C n + Dn x )
. Dn -
. C n
= An , Dn = Bn
Bn2
p n ,
| f ( p ) | > Bn
>0
f 0 ( p )
0
p
(5)
, A > 0 ,
.
. .,
f (m)
max
pn
( ; ,
) ,
Fn ( An + Bn x )
Dn , Dn = O ( ln A n)
1
2
u 2 / 2
du = (x)
(6)
.
(5) , Bn ln n -
. , Bn
f ( p) Bn1 = n = o (1)
Fn ( An + Bn x ) = ( x) + O ( n )
. ( n ) . ( A. Rnyi ) . ( P. Turn ) .
221
. x
x0
= o ( ln ln n )
Fn ( ln ln n + x ln ln n ) ,
x > 0 1 Fn ( ln ln n + x ln ln n )
e
Kn ( x)
| x| +1
( | x | ) 1 + O
ln ln n
= x ( ln ln n )
g ( p) 0
, P { ln | g ( m) |
. g ( m) , g (m) - g ( p )
= 0 , 1-
.
, , ,
.
. h(m) a Pn { h ( m)
= a } -
. f (m)
. ., Z - p(k )
1
p
=0
+ rk (n)
f ( p) = k
k 0 ,
=1
rk ( n ) 0 .
.
. k = ln ln n +
+ o ( ln ln n ) ( m )
e ln ln n
(1 + o ( 1 ) )
k
2 ln ln n ln n
. k
Pn { ( m ) = k} .
. 1
: { n , An , Pn } , , A N
lim Pn { m A} , A N
n
. ,
. hk (m)
h ( m ) - ,
>0
xkn
hk (m) h (m) } = 0
kZ
1=
p n,
k k
= 0 -
< ln | Cn | + xDn }
. , ,
Pn
hk ( m ) h ( m ) .
.,
f k (m) =
exp ( i t f ( p ) )
p
. Pn { f ( m) = k } ( x )
. .,
222
(7)
pn
Pn { (m) = k } =
, Gn (x) x
1
<
p
k Z
= o (1)
(7)
, , , d = 1 d = 2
f ( 2 ) .
.
.
k An
Bn Pn { f (m) = k }
Bn
F (x ) - Gn ( 0 ) - F ( 0 ) - -
f ( p ) K Bn -
it k
k Z
) g (m)
.
p (k) e
k - d , -
sup
x2
+ ( (1 + ) ln ( 1 + ) ) ln ln n ,
2
1 / 2
f ( p) = k
1
=
p
f ( m )
, x - ,
K n (x ) =
, ( m )
f ( p )
p m , p k
Pn
. f k ( m) f ( m) , , , (3)
( ).
- .
.
p - .
( , ( ) ) C[ 0 , 1]
A n , p r Q p -
D[ 0 , 1] . ., -
. Pn -
f (m) . Bn
Q n , p r Q n ( Q p ) = 1 / p . . . .-
yn (t ) = max { z ;
B z2
t Bn2
0 t 1,
},
=
= o (1) A A n
: Pn ( A) Q n ( A)
Wn ( m , t ) = Bn1 ( f y n (t ) ( m ) Ay n (t ) )
. D[ 0,1]
B -
f ( p ) -, . f
Pn ( B ) = Pn { Wn ( m , t ) B } , B B
. Pn
. , Pn ,
, , (5) .
.
f1 ( m + a1 ) + ... + f s ( m + a s )
.
,
,
ai
f i (m)
1 i s . ai - n - .
f1 (m + a1 ) + ...
+ f s ( m + a s ) ,
f ( P ( m ) ) , f ( P( pm ) ) ,
P ( m ) , m 1 , pm , m - f ( a m ) -,
am
( , [1] ).
. . .
( , [8] ).
. ) . Fn ( C n + Dn x )
x k dFn ( Cn + Dn x ) =
1
nDnk
( f ( m) C n ) k ,
{ n , An , Qn}
( p)
( m) , p r
. B
Pn
pr
f ( p ) ( m) B = Q n
f ( p ) ( m ) B + o (1 )
p r
.
.
f (m) Pn { f (m) B }
Pn { r (m) B } .
) . f n ( m)
g n ( m)
e i t x dFn (x) =
1
n
i t fn ( m)
m =1
| x|
k ( n ) =
f ( m ) f ( p ) (m) ,
m - p - ,
it
sgn k x dGn ( x ) =
1
n
g n ( m)
it
sgn k g n (m)
m =1
k = 0 , 1 ; 0i t = 0
m =1
k = 1, 2 , ...
( )
. , .,
, k ( n ) k -
. n t R
h ( m ) = hn, t ( m ) -
k -
(k 1)!! -
Fn (C n + Dn x) ( x )
.
) ( , [2] ).
, . . r = r ( n ) , ln r = o ( ln n ) , { , A n , Pn } { , A n , Q n }
,
= N , N , Q p ,
E n ( h ) - ;
h ( m ) 1
0- . 20- 60-
. E n ( h ) -
, .
Z (s) =
m =1
h(m)
=
ms
1 +
p
h( p)
h( p2 )
+
+ ...
2s
s
p
p
223
= + i
, s
>1.
h(m) =
2 i
m =1
ds
1
,
n + Z(s)
s
2
= 1 + 1 / ln n
= 1
Z ( s ) . ,
= n ( t ) ,
Mn (h) =
n i Z ( + i )
+ o (1)
(1 + i ) ( )
, ( s ) .
h ( m ) , o (1)
t [ T , T ] Fn ( x) Gn ( x)
.
E n ( h ) - h ( m )
x ( u ) = Eeu ( h )
x ( u ) = u 1 K ( u ) x ( ) d + o (1)
0
, K ( )
.
,
.
) .
Z - a
{ Z; a ( mod m )} , m = 1, 2 , ... . S
; S -
. P -
. h ( m ) , m N
h ( x ) , x S
. h ( x )
. ., f (m)
f ( x) =
f ( pk )
pk x
, ; probabilistic solution of
differential equation
. 2-
. ,
.
, , ( , [1] [5] ).
,
( , [6], [7] ).
( , [8], [9] )
,
. [9]-, , ,
.
d
. R
d .
d
, R - b ( x ) , R
d1
- ( )
R - ( z ) , d1
. w t d1 . y R
=y
x S P ,
, , (3) .
Pn { f ( m) < u } P { x : f ( m) < u } -
, x0
. ,
S -
.
.: [1] . ., . , 1966, . 21,
. 1, . 51102; [2] . .,
, 2 ., , 1962; [3] . ., .:
, , 1974,
. 81118; [4] ., . . ., 1980,
; xt
. L
224
d xt = b ( xt ) dt + ( xt ) dw t , t > 0
y
DR
Lu =
i , j =1
xty
a ij ( x) u xi x j ( x) +
(1)
- D -
d
b ( x) u
i =1
a ij ( x) =
xi
( x)
(2)
1
( x) ( x)
2
. u ( x ) D -
,
L u + f = 0 D -,
(3)
u = D -
(4)
. G , G -
, G - .
n
{ }
, G . G ,
1
, y D
u( y) = M
f ( xty ) d t + ( x yy )
(5)
. : ) M (G )
x G , x H ;
) H - { j } , j 0 { n } n ( n
= 1 ... n
.
(5) (3), (4) . (3), (4)
- , , , (3), (4)
. u
(5) u
, , , u , (3), (4)
. .
y (1)-
(5)-
.
( , [14] )
( , [15] ), ( , [13] ) .
.: [1] P h i l i p s H. B., W i e n e r N., J. Math. and Phys.,
1923, v. 2, p. 10524; [2] C o u r a n t R., F r i e d r i c h s K., L e w y H., Math. Ann., 1928, Bd 100, S. 3274 ( . .
. , 1941, . 8, . 12560 ); [3] . .,
. . . . . , 1933, . 36372
( . . .:
, ., 1986, . 14148 ); [4] . ., Asymptotische Gesetze der Wahrscheinlichkeitsrechnung, B., 1933 ( . .
, . ., 1936 );
[5] . ., Math. Ann., 1934, Bd 109, S. 42544;
[6] B a c h e l i e r L., Calcul des probabilities, P., 1912; [7] . ., Math. Ann., 1931, Bd 104, S. 41558, ( .
. . ., .: , ., 1986, . 60105 ); [8] I t K., Mem.
Amer. Math. Soc., 1951, v. 4; [9] . ., . .
., 1950, . 2, 4, . 3763; 1951, . 3, 3, . 31739; [10] . ., , ., 1963; [11] .,
., , . ., ., 1986; [12] S t r o o c k D.
W., V a r a d h a n S. P. S., Multidimensional diffusion processes, B.
[a. o.], 1979; [13] . .,
, ., 1977; [14] . .,
e . ., . , 1980, . 250, 3, . 521
24; [15] . ., . ., . .
. . , 1982, . 8, . 15368.
( )
; probabilistic characterization o f g r o u p s
, ,
.
1
. , R -
. , ,
,
.
M ( G ) - H
), G -
. G M (G ) , G ,
-
.
,
( , [1], [2] ).
.
G
. X 1 , X 2 , ... G , Yn
= X 1 X 2 ... X n . G , -
, , Yn X 1 , X 2 , ..., X n , ...
( , [1] ).
G
, G
x G
lim
n x n
=0
, G
{ n } ( ) ,
. G , ,
, G - .
.
.
. . .
,
.
,
( , ).
1
, R -
. ,
225
,
.
, ,
( )
; .
; .,
, ,
,
( , ;
).
.
G
. G
( , [1], [3], [4] ).
1
, M (G ) -,
.
,
. SO ( 2 ) SU (2) , .
.
, .
.: [1] ., , . ., ., 1981; [2] . .,
. , 1970, . 195; . 127477; [3] .
., . , 1970, . 192, . 72335; [4] . ., . , 1972, . 203, . 52427.
; probabilistic coding , ( )
( ) .
. . .- ( ) . . . .-
.
Y ,
X
. X Y - ( , )
F ( x , y ) -
= x ,
Y F ( y | x ) -
. X
.
X Y
F ( y | x)
M [ Y | X = x ] = Y (x) -
226
Y ( x ) ,
. . .- F ( y | x ) - .
= F ( y | x ) ,
Py (x)
F ( y | x ) , X Y F ( y | x) , Py
y - -
.
, . . .
, ,
Y ( x ) - .
X Y
( , , ;
); . . .-
. . . .-
n ( .,
n ) Y .
R = ( r1 , ..., rn )
, ri i - ri
0,
= 1 . X
i =1
( ., n ) , X j -
i -
P i | j - ij
= nij
ij
i =1
, ; probabilistic weather
forecast ( )
. X
, nij , Y - i - X - j -
. Y
, , Y
; X -
Y -
.
( ij ) ,
. . .
;
, . . . .-
,
, ,
.
. . .- ( , ) .
Y , 1,
0 . P { | X = x } = M ( Y | X = x )
.
. . .-
,
,
. . . .
.
.: [1] . ., . .,
, ., 1983.
, ;
; ; probabilistic weather
forecast evolution
( ). . . .-
.
.
.
. . .-
. ( ) ; ( )
; ,
,
; ,
. ,
.
,
;
,
.
:
.
, .
,
.
., n
( n 1 , ..., n ).
R = ( r1 , r2 , ... , rn ) , r j 0,
rj = 1
j =1
( r j ,
j ). ( ., j ) D
, d i
=1
= (d1 , ..., d n )
= 0 .
j i d j
( R , D )
,
S ( R , D )
= Si ( R )
.
. . . .-
,
PS ( R , D ) = 1
= 1
1
2
1
( R D, R D) =
2
n
(r
d j )2
j=1
.
.
;
R
.
( ., : ,
) D = ( 0 , 0,1) R1 = ( 0,4, 0,1, 0,5 )
R2
RPS ( R , D ) = 1 ( R D, R D ) ( N 1)
, r j
k =1
rk ; d j =
dk .
k =1
, RPS , PS .
.: [1] . ., . ., , ., 1983; [2] M u r p h y A. H., E p s t e i n E. S., J. Appl. Met., 1967, v. 6, 5, p. 74855.
;
random / stochastic process , .
, ; large deviations
probabilities , .
; redundancy
. . . : 1)
; 2)
;
3)
;
4)
,
. X = { x }
X 0
, X 0 X .
227
: , , . : ( )
. . .
, . . . ., -
, . . . .
.
. .
. . .
.: [1] , ., 1983;
[2] . ., . ., - , ., 1975;
[3] , ., 1985; [4] .
., ,
., 1974.
multiple
redundancy
, .
( , [4], [7] ).
.-, .,
( , [1], [2] ). K. to [3]- a E .-
. , = { a }
E \ { a } ( t
t - t
>0
{ a }
E \ { } Pa ,
A ( t ) , a . ,
~
.- { Y } -
,
; t e m p o r a r y redundancy
, .
o p t i m a l redundancy
, .
; g e n e r a l redundancy ,
.
; ; structured redundancy , .
( )
; B r o w n i a n excursion , .
( )
; excursion
o f a M a r k o v p r o c e s s = ( t , At , Px ) , t 0
[ , ]
t ( t = ,
) t -
: ) D [ 0 , ]
= ( l )( D ) < [ l , [ 0 , ] - ], { Y
: ( A ( ) , Y ) D } -
;
) Di
( Di ) .
. ( , [5] );
.-
( , [5], [6] ). [5]- .- .
.: [1] ., .,
, . ., ., 1968; [2] .,
, . ., ., 1972;
[3] I t K., Proc. Sixth Berk. Symp. Math. Statist. and Probab.,
1972, v. 3, p. 22540; [4] . ., .
., 1971, . 16, . 3, . 40936; [5] M a i s o n n e u v e B.,
Ann. Probab., 1975, v. 3, 3, p. 399411; [6] G e t o o r R. K.,
S h a r p e M. J., Adv. in Math., 1982, v. 45, p. 259309; [7] B l u m e n t h a l R. M., Z. Wahr. und verw. Geb., 1983, Bd 63, 4,
S. 43344.
( ) ; excursion o f a
W i e n e r p r o c e s s 0- w ( t )
.
Z , w ( t ) , t 0 .
( ,
). , ( E , B ) - -
, B . { t : t } -
, , Z1 ti Z
[ 0, ) - Z - Z n , n = 1, 2 , ...
{ ti }
( , ) ( , ) -
, Z 2 ti Z U Z1
, t : [ , ) E
; .-
.
.-
= X t + : [ 0 , ) E
Yt
en ( t ) =
w ( an + t (bn an ) )
.-
,
228
.,
bn an
Z n = ( an , bn )
0 t 1 , n = 1 , 2 , ...
= sign w ( t ) . Z
, en n
P { n = 1} = P { n =
1} = 1 2 . en . t Z n n
2y2
p ( 0 , 0; t, y ) =
2 t 3 ( 1 t ) 3
0 < t <1 ,
2(t s)
e( y + x)
2 t ( t 1)
. . . ( , , ).
. . .-
,
. . .-
. , . . .-
y>0,
1 s
p ( s , x ; t , y ) =
1 t
[e ( y x )
e y
32
y
x 2 ( t s )
2 (t s )
] ey
( )
, T ( , [1] ).
(*) . . .- x1 , ..., xn -
2 ( 1 t ) + x 2 2 (1 s )
p(a, b) =
a ( b a )3
, 0<a<t <b<
a (t a)
p2 ( b ) =
1
b
t
bt
(*)
;
exponential family of distributions
p( x, ) =
d Pw
=
d
= C ( ) h ( x ) exp { C1 ( ) 1 ( x) +
,
... + C m ( ) m ( x) }
(X , U )
P = { P } ,
(*)
xX , ,
C1 ( ) , ..., C m ( ) - .
( 1 , ..., m )
..., m . . .- -
m . . .- . = { ( 1 , ..., m ) : }
.
R
( xi ) , j = 1, ..., m .
. . .-
; experiment error , , -
= C j ( ) , j = 1,
, t j ( x1 , ..., xn )
p ( x ; a , 2 ) = ( 2 2 ) 1 / 2 exp{ ( x a ) 2 2 2 }
.
.: [1] .,
, . ., ., 1972; [2] ., .,
, . ., ., 1968.
= ( t1 , ..., t m ) , ,
. n - -
. . . .
.,
p1 ( a ) =
i =1
1
2
p ( xi ; ) = R ( T ( x1 , ..., xn ) ; ) r ( x1 , ..., xn )
i =1
= (a, 2) ,
m = 2 , 1 ( x) = x 2 ,
C1 ( ) = 1 2 2 , 2 ( x) = x , C2 ( ) = a 2 .
,
. . . . 1-
. . .
.
. . .- XX 30-
. . ( G. Darmois ),
. ( B. Koopman ) . ( E. Pitman )
. . . .-
. ( R. Ficher ) . . . .
.
.: [1] . ., . ., . ., , ., 1972;
[2] . ., , ., 1966; [3] ., , . ., 2 ., ., 1979; [4] . ., , ., 1972;
[5] B a r n d o r f f - N i e l s e n O., Information and exponential
families in statistical theory, N. Y., 1978.
;
exponential autoregressive model / EXPAR proses , .
;
exponential autoregressive process / EXPAR proses , , ,
.
; exponential inequality
, .
229
( )
; exponential transformation o f r a n d o m p a t h
:
= c cos ,
w
. ( c cos )
exp ( l c cos ) ; , ,
c .
.: [1] . ., . ., , 2 ., ., 1982; [2] . ., .
. . . , 1981, . 21, 6, . 143544.
A+ ( z , ) = exp
= f (t )
( ).
St f ( t ) }
= f = inf { t 0 :
S 0 = 0,
S1 , S 2 , ... ,
, ( , [1],
[2] )
1 z M e i X1 = ( 1 M ( z ( 0 + ) e i ( 0 + ) ; ( 0 + ) < ) )
*
; ( 0 + ) ( 0 + )
. (1) (3) ( x ) . . ( x ) , ,
( ( x )
= 0, Im < 0
( , [1], [2] ):
1 M ( z ( 0 + ) e i ( 0 + ) ; ( 0 + ) < ) = A+ ( z , ),
e i u d u M ( z ( u ) e i ( u ) ; ( u ) < ) =
230
<
),
k 1 P { X k > 0}
; 0 M X 1
(1)
( , [1] ).
A, B, C ( , [4] ), t 0
M X 1* > 0 ,
A ( t ) P { ( 0 + ) > t } B ( t )
= 0, 0 < D X 1 < ,
A ( t ) + B ( t ) P { ( 0 +) > t } C ( t )
,
( t ) = P{ X1 > t } , ( t ) =
( u ) du .
X 1 -
M ( 0 + ) < , n ( , [1] )
. | z | < 1, Im
(3)
. ( 0 + )
( x), ( x ) ,
f ( t ) = x = const f , f -
( 1 M ( z e i ; * < ) )
S1 = X 1 , ...,
, X 1 ,..., X k
k =1
; M X 1
) ,
= 1 z M e i X1 ( , ).
f = S f ( )
zk
M e i Sk ; S k > 0
k
k =1
. S t , t 0
S k = X 1 + ... + X k
A ( z , ) =
, .
( ) ; excess / overshoot o f a w a l k ,
( ).
(2)
p p ; exponential p stability , ( ) -
A (z, )
1 +
,
A
+(z, )
G ( t ) lim P { (u ) < t } =
u
1
M ( 0 + )
P{ ( 0 + ) > x }dx
0
. , u ( 0 + )
. G ( t ) , ( ) -
P{ ( u ) = n , ( u ) < x } u = u ( n )
( , [3], [5] ). u 0
( , [6], [10] ):
k +2
k +1
M X1
M X1,
k +1
k+2
k +2
M k (u )
M X1
M X 12 ,
k +1
M k (u )
M X 1 > 0,
s 2
. . . H 0 : 2 0 -
M X1 0
, X i -
,
A . .-
( , [3], [13] ),
( , [6], [7] ), ( , [9] ) .
. (u ) - n
[8], [11], [12]- .
.
.
d.: [1] .,
, . ., . 2, ., 1984; [2] . .,
, .,
1972; [3] . ., . . ., 1962, . 3, 5,
. 64594; 1964, . 5, 2, . 25389; [4] . .,
. ., 1964, . 9, . 3, . 498515; 1972, . 17, . 1,
. 14347; [5] . ., . .,
1984, . 29, . 2, . 41011; [6] . .,
. ., 1973, . 18, . 2, . 35057; 1976, . 21, . 3,
. 48696; [7] . ., . .,
. ., 1969, . 14, . 3, . 43144; [8] . ., . ., 1984, . 29 . 2, . 248
63; [9] . ., . . . ., 1969,
. 33, 4, . 861900; [10] L o r d e n G., Ann. Math. Statist.,
1970, v. 41, 2, p. 52027; [11] K e s t e n H., Ann. Probab.,
1974, 2, p. 35586; [12] J a c o d J., Ann. Inst. H. Poincar B,
1971, v. 7, 2, p. 83129; [13] W a l k H., Stoch. Proc. Appl.,
1989, v. 32, 2, p. 289304.
( )
; excess o f a d i s t r i b u t i o n
. .-
. .-
( , [1] ). . , , . ,
. .- ( )
,
(
) .
.: [1] ., , .
., 2 ., ., 1975.
; coefficient of excess ,
; excessive function ,
;
( ,
). ( E , B ) , p ( x, ),
xE , B
. 0 f
f B
P f f ,
P f () =
f ( y ) p ( , dy )
f ( .,
1 , 2 , ... f 0 f i = f (i )
{ f1 , f 2 , ...}
Pf f
pij f j fi , i 1
, pij , i j
).
. .- : (x)
( x ) , (x) ( (x) )
x E B
( ) . . .- . 0 , B v
R =
. .- .
n0
. .-
.
. . f 0 (
n
2 .
2 = 0 . 2 > 0 , 2 < 0
<
( , [2] ) -
.
. . . .,
E , B
. ( E , B )
p ( t , x , dy ) , t 0 , x E
2 =
1
n s4
(X
i =1
X )4 3
.
,
X 1 , ..., X n ,
, 4 ,
; excessive function f o r a M a r k o v c h a i n
) lim P f
2 = 44 3
f,
0 f ( B -
B - )
t 0 Pt f f
231
lim Pt f = f
t 0
Pt f ( ) =
( ) ;
extrapolation o f a r a n d o m p r o c e s s ,
f ( y ) p ( t , , dy )
f
. . .
.: [1] ., , . ., ., 1997;
[2] D e l l a c h e r i e C., M e y e r P.-A., Probabilits et potential,
Ch. IXXI: Thorie discrt du potentiel, P., 1983.
; excessive function f o r a p a r t o f t h e W i e n e r p r o c e s s
, ;
; excessive measure
, -
. ( E , B )
p ( x , ), x E , B
x ( k +1) = x ( k ) + k sk ,
k
(*)
, 0 , 1 , ...
; s0 , s1 , ... ,
n ( );
x ( 0) X . (*)
g ( x ) = M y ( x ) -
[1] [3] );
3) -
p ( x, ) (dx )
( ., 1, 2 , ...
= ( { i } )
, {1 , 2 , ... } ,
i 1
).
. . .
. .- . ., ( E , B )
t 0 , xE
. . B
. . . .
:
pij , i j
P ( )
x X R n . y ( x )
pij i j , j 1
P ,
M y ( x ) - ;
( , [1] ).
. . . , , ,
( ) .
. . . , ,
:
1) -
(
);
2)
( : , , , D ,
Q , A . ). ( ,
. B -
; design of extremal experiments
; excessive measure f o r a M a r k o v c h a i n
; , .
p ( t , x, dy ),
, Pt , t 0 t 0 Pt
Pt ( ) =
p ( t , x , ) ( dx)
232
(
; , [2], [3] );
4)
( ,
[2] [4] ). . . .
( , [2], [3], [6] )
( , [2] [5] ).
,
k > n x ( k ) x ( 0) , ... , x ( k 1)
.
20- 60-
.
[ ( n + 1) ] y ( x
(i )
( , ; , )
.
, , ,
,
.
.
x ( k ) s k
N ( N > n) [ X
y ( x )
m = m ( ( nn ) )
m = m ( (1n ) ) F ( m ) = 1 F ( m ) = 1 2n
. . . .-
: F ( u n ) = 1 1 / n
u n n F ( u1 ) = 1
u -.
u n - 1 , ..., n
u1 - -
x ( k ) - ,
( x) - x -
1- . ( n 1) / n 1 / n -
. - ( , [1] ).
].
(k )
( x ) )
. ,
s k ,
x -
( k + 1)
. x
.
(k )
x
k -
- { z j },
y ( z j ), j = 1, 2 , ...
,
; x
j = 1, 2 , ...
( k + 1)
y ( z j ) < y ( z j 1 )
= z j .
.
2
[ x
(k )
1( n ) , ..., n( n ) F ( n ) ( x)
lim ( F
(n)
Fn n (x ) = P { ( n n ) < x } = F n ( x ),
F1n ( x ) = P { (1n ) < x } = 1 (1 F ( x )) n .
F (n) ( 0 ) = 1 1 n .
( x ) ) = ( x ) = exp ( e
n
a x
lim n ( 1 F ( y / a n ) ) = e y
, a
= lim an , F ( n ) (1 / an ) = 1
n
1 / n e ( , [2] );
exp ( r /( x + r ) ) k , x r ,
lim ( F ( n ) ( x) ) n = ( x) =
0,
x < r
n
+ ( a1 , a 2 , ..., a n ) T 2 n
]
,
.
.: [1] ,
., 1983; [2] . ., . ., , ., 1987; [3] . ., . ., , ., 1965; [4] . ., . ., . ., , 2 .,
., 1976; [5] . ., ,
., 1979.
lim
1 F ( n ) ( x)
= ck ,
1 F ( n) ( c x )
>0;
lim ( F ( n ) ( x) ) n = (x) =
exp ( ( (w x ) / w ) k ) , x w ,
1,
x >w
lim
x 0
1 F ( n) ( c x + w )
= ck ,
1 F (n) ( x + w )
>0.
( x ) , ( x ) , ( x )
.
F( n n ) ( x ) = 1 F(1n ) ( x )
233
,
.
.: [1] ., ,
. ., ., 1965; [2] G n e d e n k o B., Ann. Math., v. 44,
3, p. 42353.
; extremal statistical
problem X 1 , X 2 , ..., X n X, y Y , f n : X n Y R1
( ). ,
.
, , .
.: [1] ., , . ., ., 1953;
[2] ., , .
., ., 1969.
*
f n - y ( f n ) Y -
, X 1 , X 2 , ..., X n y -
P { : ( ) ( ) } = 0
.
, .
( C. Gauss, 1795 )
. . .- . . . . .
. . .- .
.: [1] . ., .:
, ., 1982, . 412.
;
equivalent additive functionals , ;
; equivalent partitions , .
; equivalent measures
( ) . , E ,
S , E -
( ) ( )
. ( ) ( ) . . .-,
x - ( x R ) .
= ( )
= ( )
= . =
, ( ) ( ) . . .
.
. 1) ( ) 0-
, ( ) -
p ( x) = p ( x)
x - ( x R1 )
( ) = ( )
( ) ,
) M , S -
. M -
, ;
( << << ).
F = F , = . ( )
x
: P { : ( ) = x } = 0 . ,
M - ,
M -
;
.
= P { : ( ) = 0} = 0
, , ,
<<
d
( x) = 0
x E :
d
P { : ( ) = ( )} = P { : ( ) = ( )} =
, ( ) ( ) . . . .
2) ( ) , 0- P { : ( )
= 0 }<1
( P { : ( ) = 0} = 1
, ). ( ) - -
.
- . .,
, .
,
1
. ., R -
1
234
{..., x2 , x1 , x0
= 0, x1 , x2 , ...}
P0 = P { ( ) = 0},
P j = P { ( ) = x j } = P { ( ) = x j }, j = 1, 2 , ...
; 0 < x1
P0 + 2
= 1.
( ) = ( ) . , = ,
P { : ( ) ( )} > 0, ( ) ( ) . . . .
3) , , .
1
= =
g (x)
( x R ) B , g ( ) g ( )
g ( )
= =
= g ( ) .
.
.
( , . 1 )
= ;
= , = . = , = .
,
2
. ,
. P {
= 0} = 1
.
.: [1] ., .
., 1999; [2] ., . ., 1962.
, ;
equivalently conversing sequence of random variables , .
; equivalent charges , ,
.
; equivariant estimator
;
elementary event .
( , A , P ) ,
.
, - , . .
: , ,
, . . A {}
.
, , , ,
, .
g X = X g A = A g G ; - G , P ( A )
= Pg ( g A )
A A g G - .
( g X )
= g ( X ) g G - ,
( X ) G
, X X - .
G - L , g G - L ( , )
= L ( g , g ) .
. . .
.
.: [1] ., , . .,
., 1975; [2] ., , .
., 2 ., ., 1979.
aliasing ,
- / / .
; elementary set , ( ) .
; elementary probability , .
G ( G )
. , Y , X - G ( -
) .
Y ( Z ) = ( Z I Y ),
. { P , } ( X , A)
, G , X - ,
, G
, S , X
G , S -
Z S
Y , S G
( G ) .
( ) .
Y (
) ( ), Y . :
Z Y g g G ( g ( Z ) Z ) = 0
( Z )
= 0 (Y \ Z ) = 0
, , .
( )
.
. , R , n 1
n
, R -
,
.
.: [1] . .,
, ., 1983.
; Elfing equivalence
theorem , .
235
; elliptic
law n n = ij
;
( ij , ji ), i j , i , j = 1, ..., n
. , n = 1, 2 , ...
( ij , ji ), i j , i , j = 1, ..., n
M ij = 0,
M ij
= n 1 , M ij ji = n 1 ,
i j,
, n
ij
0 < <1
n
i , j =1
ij , ji - -
= 1 , ..., 4 , > 1
pij ( x s ), s
sup
sup
i , j =1, ..., n
>0
ij ( xs )
dx
< , s =1 ,
..., 4 ,
s =1
sup
sup
i , j = 1, ..., n
M ij n
2+
<
. x y
lim n ( x , y ) = ( x , y )
1 ,
n ( x , y ) = n 1
F ( Re k x ) F ( Im k y ) ,
k=1
y < 0 F ( y ) = 1 , y 0 F ( y ) = 0 , k , n
, ( x, y )
p ( x , y ) = 1[ 1 ( a 2 + b 2 ) 2 ]1
, , x y
2
2 2
(b x a y ) ( 1 a + b )
2
2 2
+ (a x + b y) ( 1 + a + b )
< a + b2
2
a = Re , b = Im .
.: [1] . ., . , 1985, . 40, . 1,
. 67104.
;
;
; M o n t e C a r l o s o l u t i o n m e t h o d f o r a n elliptic equation
u ( ) - ,
236
u ( x ) = M x F (W ) , , W
x , F
. ., u ( x ) = 0, x G
= ( x ) ; W (t )
, F (W ) =
= (W ( ) ) , G
; u ( x ) |G
. , , , , -,
.
( ).
, F (W ) -
.
,
( , [6] ).
.
, .,
.
.: [1] . ., [ .], , ., 1980; [2] . .,
. ., . ., , ., 1984;
[3] ., .: ,
. ., ., 1959, . 275301; [4] M u l l e r M., Ann. Math.
Statist., 1956, v. 27, 3, p. 56989; [5] . ., . ., . ., .: ,
., 1982, . 6982; [6] . ., . ., . , 1984, . 275, 4, . 80205.
c ; emigration
i n b r a n c h i n g p r o c e s s , ,
.
; empirical Bayesian decision function / rule
,
f ( x, ) = x e x !, x = 0 , 1, ... -
,
,
:
G ( x) =
( x + 1) fG ( x + 1)
,
fG ( x )
x ,
, 1
fG ( y) =
f ( y , ) G ( ) ,
G . , G ,
k
x1 , ..., xk -
. . . N
. . . .-
.
f G ( )
. k f G ( x + 1)
f G (x) ( .,
fG ( y ) - x1 , ..., xk
).
G ( x) = ( x + 1) fG ( x + 1) fG ( x)
; . . . .
.
.: [1] ., , 1966, . 10, . 5, . 122
40; [2] ., , . .,
., 1975.
; empirical Bayesian approach
, .
; empirical
orthogonal functions , X ( r ) ,
N x ( rk ),
k = 1, ..., N
= 1, ..., N
b = bik ,
, x ( r )
. , . . .
j ( rk )
N
x ( rk ) =
a j j ( rk ) , k = 1, ... , N
j =1
{ x ( rk ), k
= 1, ..., N }
j (rk )
. , j ( rk )
= j ( rk ) , (*)
m < N
. a j
; a j - :
. . . .
, k G ( x)
{ j (rk )}, k
2 ... N 0 .
1,
a j ak = j jk , jk =
0,
j = k
j k
, (*)
,
2 ( m ) = m +1 + ... + N
.
. . . . [5] . . [1]
. ,
r1 , ..., rN N ( , [2], [3] ).
, , m - N - 2
( m ) . .,
N 10
2 (1)
j =1
jj
j=1
50%- (
), (3) 10%- -
. b - j
. a j -
N x ( rk )
, . . .-
. ,
. . . j ( rk ) j
.
. . . G
x ( r ) .
(
, ).
x ( r ) B ( r1 , r2 )
X ( r ) , , j ( r ) j , G , B ( r1 , r2 )
bi k j ( rk ) = j j ( ri ) ,
i , j = 1 , ..., N
k =1
k =1
( j ( rk ) ) 2 = 1,
j = 1 , ..., N
. , (*)
.
237
.: [1] . ., . . . .,
1960, 3, . 43239; [2] , ., 1970; [3] . ., , 1980, 4, . 11319; [4] . ., . ., . .
, 1982, . 18, 5, . 45159; [5] L o r e n z E. N., MIT Statist. Forecasting Proj. Sci. Rep., 1, Camb.
( Mass )., 1956.
; empirical measure , , ( )
; empirical distribution ,
. 1 , ..., n -
.
,
Fn* ( x)
x1 , ..., x n
, 1
. xi , i
= 1, ... , n
1 n
1 , ..., n
( xi
, ., x
, x
l n - ). , x1 , ..., xn
< xi +1 . , xk < x xk +1
x < x
k - . , x k < x x k +1 ,
k = 1, 2 , ..., n 1 ,
, xi
(1)
Fn* ( x ) F (x) -
F (x)
,
k
= Fn* ( x), x (, + )
n
F (x) = P { < x }
0,
= k n,
1,
x (1) ,
( k ) < x ( k +1) , 1 k n 1
x > (n) .
, x1 , ..., x n
x k
< xk +1
1 n - . 1 , ..., n -
Fn* ( x )
.
Fn* ( x )
; x x1 x < x
,
x > xn
< x n -
;
xk < x xk +1
Fn* ( x ) =
k
n
k
Fn* ( x ) =
n
(2) . ,
1 , ..., n . . x
.
( . ) . n
Fn* ( x ) . x -
M Fn* ( x) = F (x) ,
x1 , ..., xn n ,
- xi
.
.
x1 , ..., xn
1 , ..., n
D Fn* ( x) = F ( x ) [ 1 F ( x) ] n
k n .
P
x n Fn* ( x )
F ( x ) -
. , Fn* ( x ) F (x ) -
. n
.
, i , i - ( n -
. . . F (x ) -
1, 2 , ... , n - .
x1 , ..., x n
1 x
Dn = sup Fn* ( x) F ( x)
) i -
( i = 1, ... , n ) , i -
P { lim Dn = 0 } = 1
n
238
).
lim P { n Dn < z } = K ( z ) =
(1) k e 2 k
2 2
, z>0.
n =
F ( x ) , F0 ( x )
Dn ( ,
, ).
. .- ( ) , .,
1
D =
n
*
k =1
1
n
(1)
( xk M ) ,
r
k
k =1
D =
1
n
(x
M )
k =1
. .-
.
.
.: [1] . ., . ., , 3 ., ., 1983; [2] . ., , . ., ., 1960;
[3] . ., , ., 1984.
( 3)
( 2)
( 3)
( 2)
( x (3) ) y 2 ( x (3) ) dV
( x ( 2) ) y3 ( x ( 2) ) dS ,
(*)
y1 , y 2 , y3 ,
dV = dx dy dz dS = dx dy .
(*) -
, r ,
y1 , y 2 , y3
( x (3) ) y1 ( x (3) ) dV +
+
G ( x
k =1
( 3)
X =
m *r =
dX dt
= y3 ( x, y, t ) -
.
X , ,
X -
:
xk ,
y2 = y2 ( x , y , z , t )
= y1 ( x, y, z , t ),
y3
1
M =
n
*
, X -
, , y1 =
( ) . X X -
,
y1 , y 2 , y3 ,
.
, y1 , y 2 , y3
,
( X - y1 , y 2 , y3
)
. y1 , y 2 , y3
. . . .
. . .- - ,
, ,
- , ,
. ( )
, (*)
. . . .
.
.: [1] . ., .
., 1975.
;
e x a c t endomorphism , .
; endomorphism
m o d 0 , ( ) .
239
( ) ; endomorphism
o f a m e a s u r e s p a c e ( , A , P )
.
, T : :
1) T = ;
1
2) A A T A A , P ( T A ) = P ( A ) , T
( , A , P )
.
1) T A
; entropy power
p (x) = p ( x1 , ..., xn ), xi R,
. . . . ( C. Shannon )
.
.
. . N ( )
N ( ) =
( mod 0 ) ;
. X n , n 0 .
;
energy norm , ; .
;
energy spectrum , , .
; energy
, ;
; energy
level , .
, ; energy of a particle ,
,
pk =
( N k )! k
p0 ,
k!
k
0k n
, dt
, dt
, . .
( T. Engset ) 1918- ;
.
.: [1] Handbuch der Bedienungstheorie, unter der Leitung von B.
W. Gnedenko und D. Knig. Bd 2, B., 1984.
; pulse width
modulation , .
; negative outlier , , .
240
i = 1, ..., n
1
2
exp h ( )
( 2 e ) n / 2 n
, h ( ) , -
h ( ) =
p ( x) log p ( x ) dx ,
p (x ) - .
ri j , i, j = 1 , ..., n
N ( ) det ri j ;
, ,
N ( ) M ( M )2
; , ,
. ,
. .- .
, N ( ) N ( )
( ) ,
N ( + ) N ( ) + N ( ) ;
, ,
.
.: [1] ., , . ., ., 1963, . 243332; [2] B l a c m a n N. M., IEEE Trans. Inform. Theory, 1965, v. IT-11, 2,
p. 26771; [3] C o s t a M. H. M., C o v e r T. M., IEEE Trans.
Inform. Theory, 1984, v. IT-30, 6, p. 83739.
;
entropy criterion , ().
; entropy
p k = P { = xk }, k = 1, 2 , ...
(X = { xk , k = 1, 2 , ... } )
H ( ) =
log pk
( 0 log 0 = 0 ). ( )
( )
2 e . N = X
, .-
H ( ) log N ,
H ( ) = log N . H ( ) 0
H ( ) = 0 , ,
pk -
H ( ) =
pi ln pi r
i =1
H (
p1 + ... + p r
1
. p1 = ... = pr =
r
.
f (x ), x X
H ( f / ( ) ) H ( ) .
( )
entropy o f a p a r t i t i o n
q j = P { = y j }, j = 1, 2, ... , Y = { y j ; j = 1, 2 , ...}
.
.: [1] ., , . ., ., 1969; [2] ., , . ., ., 1974; [3] .
., . ., , ., 1982;
[4] ., ,
. ., ., 1963.
; a l g o r i t h m i c entropy / Kolmogorov
complexity entropy , .
pk = P { = xk }, k = 1, 2 , ..., X = { xk ; k = 1, 2 , ...}
pk | j = P { = xk | = j } .
qj
, Pi D
.
:
) H ( | ) H ( ) , ,
,
; ) H ( ) = H ( | ) + H ( ) = H ( | ) + H ( ) .
k = ..., 1, 0 , 1, ...}
= { k ,
H ( ) = lim n 1H ( ( n ) )
n
(n )
(*)
= ( 1 , ..., n ) . , (*) -
H ( ) = lim H ( n | n1 )
n
.
( , S ) ,
,
.
H ( d | d )
H ( d | d ) =
log
d
( d )
d
E (D ) =
( Di ) ln ( Di )
( - ),
D = { D1 , D2 , ... } , Di , D (
pk | j log pk | j
( , )
H ( | ) ,
H ( | ) =
)-.
.- ,
,
.
H ( ) , H W ( ) H ( )
p + ... + pr
ln 1
= ln r
r
, d / d
.
.
.-
H W ( ) , W -
Di ,
i j
Di I D j = .
, E (D ) = .
; d i f f e r e n t i a l entropy ,
.
( ) ; entropy o f a
d y n a m i c a l s y s t e m ,
. ( , A , P ) T
h (T ) . = ( ) ,
( , A , P ) ,
,
n ( ) = ( T n ) , ,
. n H n ( 0
) n
h ( T , ) ; h ( T , )
{ n , n 0 }
( , [3] ) n
241
( 1 , ..., n )
- . ,
h (T ) = sup h ( T , ) ,
- .
( )
, h (T ) .
. -
= const
, .- .
, 0n1
Tn = T 1 ... T n1 ,
Ai0 T
.
. . . ( , [2] ) . .-
. .
( , [1] ) .
.-
.
.- [2]-
; h (T )
= h (T , )
, n = 1, 2 , ...
A ( , T
T
( . ) ).
T , ,
- A Tn - , n Z .
( , [4], [5] ),
.
T ( Y , B , )
,
h (T ) =
( yi ) ln ( yi )
, y i , ;
h (T ) = .
h (T ) =
i pij ln pij
i, j
, { i } , pi j
.
. : .
- ( ) .
242
:
1) h (T ) 0- + - ( 0 , )
;
2) k 0 h ( T k ) = k h (T ) ; { T t , t 0}
, t
h (T )
= t h (T ) ( , [7], [11] ); T ,
h ( T 1 ) = h (T ) , h ( T t ) =
= | t | h ( T 1 ) , < t < . h (T 1 )
.
3) . .- ;
4) . ( , , ) .-
; .- ;
5) T P , T
P1 P2 - aP1 + ( 1 a ) P2
, h ( T )
, hi , Pi
= ah1 + ( 1 a )h2
.-,
i = 1, 2 .
.- ( , [6] ),
( , [7] ),
( , [8] ) .
.: [1] . ., .: .
, ., 1987, . 8691;
[2]
. ., .: . , ., 1959, . 124, 4, . 76871;
[3] . ., , ., 1960; [4]
. , . , 1959, . 124, 5, . 98083;
[5] . ., . , 1959, . 125, 6, . 1200
02; [6] . ., . , 1963, . 148,
4, . 77981; [7] C o n z e J. P., Z. Wahr. und verw. Geb.,
1972, Bd 25, 1, S. 1130; [8] K r e n g e l U., Z. Wahr. und
verw. Geb., 1967, Bd 17, 3, S. 16181; [9] . .,
. , 1967, . 22, . 5, . 356; [10]
., , . .,
., 1969; [11] . ., . ., . ., , ., 1980; [12] .,
., , . .,
., 1988.
( ) ,
; t o p o l o g i c a l entropy o f a d y n a m i c a l
s y s t e m , ( )
.
( ) ; entropy o f c o n t i n u o u s r a n d o m
v a r i a b l e s , .
( )
; entropy o f a r a n d o m w a l k o n a
g r o u p , .
; r e l a t i v e entropy , ,
.
( ) D
D ; entropy o f m e a s u r a b l e o f D p a r t i t i o n ,
( X , ) D
.-, .
D
, . H (D ) =
, ( , ) - p ( , ) W
, -
~
~
x X :
~
W = { p ( , ) : M ( , ) } ,
(C ) log ( C ) ,
D -
. , , .
;
p r e f i x entropy , .
( ) ; entropy o f f i n i t e
o b j e c t , .
( ) ; entropy o f
s t a t i o n a r y p r o c e s s
= { k , k = ..., 1, 0 , 1, ...}
E ( ) = lim n 1E ( n )
(*)
n = {1 , ..., n } .
, (*)
E ( ) = lim E ( n | n 1 )
n
.
, .
;
c o n d i t i o n a l entropy , ,
, ( ) .
; entropy
, / .
~
(X X, S X S X~ )
p ( ) -
( , ) W - . W
( W -
),
H W ( ) = inf I ( , )
; I ( , ) , - -
(1)
(2)
x ) .
. ( x, ~
(1) ( W (2)
) (
) .
.: [1] ., , .:
, . ., .,
1963, . 243332; [2] .,
, . ., ., 1974; [3] .,
, . ., ., 1969.
; epidemic process
. ,
, ,
,
,
.
.
,
,
.
/
/ ; epsilon
entropy / entropy
. . ( C. Shan-
non ) . X ,
P ( ) = p ( ) , ( X, S X )
~
x ) , S X S X~
( X, S X~ ) , ( x , ~
( )
>0
~
H ( ) = inf I ( , )
(X, S X )
~
(X, S X~ )
>0
W W ; W entropy
.
( x, ~x ) , x X ,
H (D) =
p ( ) -. p ( , )
(1)
~
, I ( , ) , - -
X X -
( , ) , P ( )
= p ( )
~
M ( , )
(
(2)
).
~
~)
, ( X, S X ) ( X , S X
( x , ~
x )
( , )
243
0,
( x , ~x ) =
1,
x=~
x,
x~
x
) . - . . H W ( ) (1)
,
,
=0
, P~ W .
H 0 ( ) = H ( ) .
. . .
. . Q C
= ( 1 , ..., n )
, M j = 0 , j = 1, ..., n
. . ( H ( C , Q ) ) . . ., C
.,
( x , ~x ) =
log max ( M 2j , 1)
j =1
,
n
min ( , M
2
j
) =
j =1
.
,
. - .- .
= ( 1 , ..., n ) j , j = 1 , ..., n
,
~
X = X,
( x , ~x ) = n 1
~
x ),
, ,
( , ; ).
E = { 1, 2 , ..., } . . . X
pij ( n ) -
i E , i - , ( 1 , 2 , ... )
x = ( x1 , ... , xn ) ,
= lim pij ( n )
n
( . . .-
i =1
~
x = (~
x1 , ... , ~
xn ) X
). n ,
pij ( n ) j
1- ( i , j )- i , j E
0,
i ( xi , ~xi ) =
1,
H ( )
xi = ~
xi ,
x ~
x.
i
= 1 + log + ( 1 ) log ( 1 ) .
H ( ) - .
.
; ergodic Markov chain
P { j = 1} = 1 2 ,
(x ,
. . .- . .
. . . .
.: [1] . ., . .,
, ., 1982; [2] . ., .
, 1956, . 108, 3, . 38588; [3] . .,
. ., . , 1959, . 14, . 386;
[4] ., ,
. ., ., 1963, . 243332; [5] B e r g e r T., Rate distortion
theory, Englewood Cliffs (N. J.), 1971.
1
2
- C
2 - -
(xj ~
x j )2
j =1
H ( ) =
. . . C -
.,
( x , ~x ) = ( 1 ( x , ~x ) , ..., m ( x , ~x ) )
, = ( 1 , ..., m ), i > 0 , (2)
~
M i ( , ) i ,
i = 1 , ..., m
(3)
~
(2) (3) , , ( , ) -
. ( , ) P~ - W
, PX ( )
= p ( )
, -
W ( H W ( ) -
244
, . . . ( , [2] ).
. , .,
[3]- .
.: [1] .,
, . ., . 1, ., 1984; [2] . ., .
, 1977, . 234, 2, . 31619; [3] .,
, . ., ., 1989; [4] . ., . ., 1985, . 30, 2, . 23040.
( )
; ergodic problems o f
D i o p h a n t i n e a p p r o x i m a t i o n
. , .
, . ( E. Borel ), . .
.
q - [ 0 , 1]
T1 : x { q x } , { } ,
. T1
; 0 , 1 , ..., q 1 [ 0 , 1]
q -
.
[ 0 , 1]
{ 1 x }, x 0 ,
T2 x =
x = 0
0,
1
ln 2
dx
,
1+ x
A A
.
, T2 .
i - ( , , . 5,
. 811 ) ai ( ) , qi ( ) i - , ,
., ( )
:
lim
- :
0 ij < 1 , 1 i m , 1 j n . mn mn
E mn . Amn , mn Pmn
. ( mn , Amn , Pmn )
n
. a R - ,
T : ( a1 , ..., a m ) ( mod 1)
.
.
,
A
M ( A) =
m , n , mn , ;
1
( a1 ( ) + ... + an ( ) ) = ,
n
T = T a : mn 1m
, i ,
ai , mod 1 .
A A1m
Pmn ( T 1 A ) = 1m ( A )
; a1 a 2
Ta1 Ta 2 ,
A1 , A2 A1m
Pmn { T a11 A1
I T a 21 A2 } = P1m ( A1 ) P1m ( A2 ) .
2
1
,
lim
ln q n ( ) =
n n
12 ln 2
-, .
( , [5] ) ( ,
[2] ) - .
p q , , -
1. S , a 0 , a R n
, a S
A ( a ) A1m .
1m
(1)
{ A (a)}
a S
( a1 , ..., a n ) A ( a ) ( mod 1) , a S
(2)
p q < f(q) q
mn .
, f ( x ) -
(1) S -
, mn (2)
; ( ) .
;
i1 a1 + ... + ik ak
< fi (a ) , 1 i n
a
a
a = max ( | a1 | , ..., | ak | ) .
.
2. mn N ( Q , ) (2)
a =
= ( a1 , ..., ak ) R k -
( )
( ). .
( ,
[3] ).
= (a1 , ..., an ) S
= max ( | a1 | , ..., | an | ) Q . S -
, mn
N ( Q, ) = ( Q ) + O ( ( 1 2 ( Q ) ) ( ln ( Q ) )3 2 + )
,
>0
245
(Q ) =
P1m ( A ( a ) ) .
. { S
aS ,
max ( | a1| , ..., | an | ) Q
, p - ,
,
.
.: [1] ., , . ., 1969; [2] . ., . .,
. ., , ., 1980; [3] . ., , .,
1977; [4] . ., , 4 ., ., 1978;
[5] G a l a m b o s J., Representations of real numbers by infinite series, B., 1976; [6] S c h w e i g e r F., Acta arithmetica, 1966, v. 11,
p. 45160.
;
ergodic theory XX 2030-
. ,
. ( L. Boltzmann ) .
( J. Gibbs ) . . .- .
,
( ,
) .
. . .- .
.
, , ,
, .-
. .,
( ) ,
. , - , .,
. , ,
. .,
,
Pn = a0 n r + ar 1 n + ... + ar .
(1)
a0 , a1 , ..., ar 1
,
{P ( n ) } - r
( , [1] ).
, , . ( ,
[1], [2] ).
,
.
X 0 ( ) , { S (t ) } ,
. X t ( )
= X 0 ( S t )
246
(t )
,
{ X t ( ) }
. . .
. X 0 ,
X t ( < t < )
X0
- ,
, { S
(t )
( ,
).
, .
. .,
( , A ) , { S ( t ) } ,
.
{ S
(t )
} - -
, ,
.
1. { S ( t ) }
CA
t , < t <
.
t
P ( S C )
= P (C )
(t )
{ S } -
. ,
A , -
, { S ( t ) } - ,
P .
; , .,
.
, { S
(t )
} -
.
. P t
,
* t
( S ) P
( ( S * ) t P ) ( C ) = P ( S t C ) , C A .
* t
( S ) P P0
,
P0 -
.
.
2. . { S ( t ) } P0
.
1
, f L ( , A , P0 )
(
) ,
1
T
lim
f ( S t ) dt = lim
= lim
1
2T
1
T
t -
f ( S t ) dt =
f ( ) d P ( )
0
3. . { S (t ) }
, P0
Q 0 P0 - -
d Q0
* t
. Q t = ( S ) Q 0
d P0
P0 -
qt ( ) = q0 ( S t ) .
lim
f ( ) d Q t ( ) = lim
t
= lim
f ( ) q ( ) d P ( ) =
t
f ( ) q ( S ) d P
0
f ( ) d P ( )
0
(t )
, {S } ( , ). Q
. ,
P0 . . . .
.
4. . . . . K ( , [3] ) .
. K K
. K
,
( , ).
= { ( s ), < s < }
0 = f ( ) = f ({ ( s ) , < s < }) ,
t
= f ({ ( s + t ) , < s < })
( ), K . K
.
. K
.
5. .
.
X 0 = f ( )
,
1
DX t
( Xt t M X0 )
f ( S u ) du
t M X 0 = M X t , DX t X t -
,
.
, q0 ( )
f ( S ) dt .
P0 -
X t ( ) =
.
.
X t
= f ( S t )
. . .-
X 0
.
6.
. . .-
b f (t ) = M f ( S t ) f ( ) ( M f ( ) ) 2
.
, , ( ) . , ,
.
b f (t ) - . .- .
.
7. .
.
{ S t }
. , , ,
, ., , .
,
,
.- .
. .-
.
.
.
( H. Poincar ) .
. ( J. Hadamard ), .
( G. Birkhoff ), . ( E. Hopf ) ( [2], [4] ).
XX 60- . .
( , [3] )
K .
.
. . . .-
,
, . . , K
. . . . .
( , [1], [2] ) . K
247
.
( , [6] ). ,
. , K
-
K .
.
. .-
.
.
,
.
( x1 , ..., xd ) d
, t ( s )
, N t ( )
= (t+ ) t , ,
t+ , B .
T
= [ 0, )
( x1 + c1 , x2 + c2 x1 , ..., xd + cd , x1 + ... + cd , d 1 xd 1 )
. .-
, cij ( , [1] ).
R
( [ 0 , ) , B+ N ) ( X , B ) ( B+ , [ 0 , )
t , t T
t t ,
.
N
,
Z ,
. , , ,
.
.
.
.: [1] . ., . ., . .,
, ., 1980; [2] .
. , . 2, ., 1985; [3] . ., .: . , ., 1987,
. 8691; [4] . .,
, . ., 1950; [5] C ., .
, 1959, . 124, 4, . 76871; [6] .,
, ,
. ., ., 1978; [7] .,
, . 12, . ., ., 1987.
( )
; ergodic
class / s e t i n a M a r k o v c h a i n ,
;
, t , t T
: ( t , ) t ( )
).
( x1 , ..., xd )
St ( ) =
1
t
t 1
k=0
, ,
St ( ) =
1
t
du
M . , . .
S ( )
= lim S t ( )
S ( )
= M ( ) -
( )
.
; , ,
0 , 1 , ... M < ,
; ergodic theorems
= t + s ( ) t T
.
t , t T t , t T
lim S t ( ) = M ( | G )
(*)
-
. ( , A , P ) [
, G ,
, N ,
t = t 0 .
T = { 0 , 1, 2 , ... } ] [ T = [ 0 , ) ],
( X , B ) ( t ) , t T
; N ,
t T
.
, t , t T
.
s T s
248
1 M
<
(*) p .
.
S ( ) - M ( ) - G
. G -
.
.
; ;
,
.
. .-
. , N 0 -
).
. ., X , ij
, t , t 0 + t , t 0 -
i - j
- . M
<
{ ij } -
. i j
d = 1 ,
ij
t d t < ,
lim S ( ) = M
dt |G
t
.
. .-
, , < 1 cij < n 1
M ( | G )
lim M t ,
i j X E - ,
lim S t ( ) S t ( )
ij (
lim M t
M t
. .- .
,
.
.: [1] ., , . ., ., 1969; [2] . ., ,
., 1981.
; ergodic theorems f o r M a r k o v
p r o c e s s e s 1) . .
.
, ., ,
,
.
. .
( 1906 07 ). . . ( 1936 ),
. ( W. Doeblin )
- . . .-
,
.
. . ( , [5], [2] )
. pij ( n )
X n i j .
lim n 1
pij ( n ) j cij n ;
pij ( m ) = ij
m =1
, , j ,
ij
).
E ( , [12] );
.
; cij
.
X = ( X n , Px ) ( E , B )
. .- .
( M. Frechet ), . , . . , . . ,
. ( K. Yosida ) . ( Sh. Kakutani )
( , [1] ).
( , ) ,
p ( n , x , ), B , n 1 X
Pn ( ) =
p ( n , x , ) ( dx ) .
, ( )
<
( , [4] ).
; , X
m B ( E )
T ,
B ( E )
:
( , ;
x E , n , p ( n , x, ) 0
, d , i , f ii , i
P - -
.
X (E ) = -
). i ,
n 0- ,
ij = 0 ( , ;
, B -
P m T < 1 ,
= sup f
, P , B ( E ) -
P f () =
f ( y ) p ( , dy ) .
249
. . ( , [4] ). E - E k B -
. .- ( , [2] ). X { j } , -
: ) Ek -
= 1 ; ) X
, x E k p ( x, E k )
Ek - X k [ ( Ek , Bk )
, Bk , B
] k
xD = E \
UE
p ( n , x, D ) 0 n
x D
. , X k
,
p ( n , x , ) k ( )
n x E k ( X k
).
, .,
. ,
lim n 1
p ( m , x, ) =
m =1
( x, E
Ek - ,
p ( x , ) , x Ek , Bk , X k ;
lim
) k ( )
x E B ,
( x , Ek ) = lim p ( n, x , Ek )
n
Ek .
. . .
( , [3], [11] ) ,
P
. . . . .- ( , ).
. .-
.
( , [3], [4], [10], [14] ).
. .
. ,
. .-
. .- ,
( , [7], [13] ). ,
. . ,
( , [7] )
. . ( , ).
,
.
. .-
( , [11], [12] ).
[9]- .
.
2) . .
( , ).
.
1
n
f ( Xm ) =
m=0
f ( j)
f ( j ), j E
.
.
.: [1] . ., , . .,
., 1956; [2] - , ,
. ., ., 1964; [3] F o g u e l S. R., The erqodic theory of
Markov processes, N. Y. [a. o], 1969; [4] R e v u z D., Markov
chains, Amst. [a. o], 1975; [5] K o l m o g o r o f f A., . .,
1936, . 1, . 60710; [6] . .,
. ., 1960, . 5, . 2, . 196214; [7] D u f l o M.,
Revuz
D., Ann. Inst. H. Poincar. B, 1969, t. 5, p. 22344;
[8] . ., . , 1977, . 234, 2, . 316
19; [9] N u m m e l i n E., Z. Wahr. und verw. Geb., 1978, Bd 43,
S. 30918; [10] . ., . ., 1981,
. 26, . 3, . 496509; [11] . ., . ,
1982, . 263, . 55458; [12] . ., .
., 1985, . 30, . 3, . 23040, 47885; [13] . ., , ., 1989; [14] . ., . ., 1986, . 31, . 4,
. 64150; [15] .,
, . ., ., 1989.
; ergodic theorems
for stationary random process and homog e n o u s r a n d o m f i e l d s .
1.
; . T , P (T ) , T -
, ( , A , P ) ;
, X (t ), t T , T -
p 1 M
( X (t) ) < ,
p
t T . Lp -
X ( ) ( )
M * ( X ) L p ( , A , P ) ,
{ n } P ( t )
lim
X ( yt )
n ( dt )
= M *(X )
(1)
L ( , A , P ) y T
; { n } X ( ) p
, . L - M ( X ) L - , 1 r < p .
r
250
L - ,
X ( ) M ( | X ( x) | p ) <
p
, L -
, 1 p < . X t1 , t 2 ( t ) = X ( t , t1 , t 2 ),
An ( B) = ( An I B) / ( An ) ; (1)
lim
t , t1 , t 2 T , M * ( X t1 , t2 ) = M * ( X ) . X ( )
*
= M( X ( t ) | J X )
, M ( X )
, J X , X ( )
A - P = mod 0 .
X ( ) , L2 ( , A , P ) -
X ( t ), t T
H X
( An )
X (t ) -
JX
t T .
[2] [1]
- . ,
, X ( )
X ( ) J X
( ),
*
M ( X ) = M X , M
M X (t )
-
. . ( L. Boltsmann ) . .
( J. W. Gibbs )
,
. X = R
Z M ( X )
( X ( t ) | J )
M ( X ) = M
X
.
. .- An : An ( B ) =
= An I B An R - ( Z - )
, An
An
= [0, n]
= [ n , n ] , B , B R (
B Z ) ( ).
. .- ( , ).
2. ;
. { n } P (T )
T -
; :
1) { n } T -
;
2) { n } L - , M ( X ( t ) ) <
p
( p 1 ) X (t ) .
T An , n
= 1, 2 , ...
0 < ( An ) < T - ,
An
{ An }
.
( , [23] ).
( mean ergodi theorems
). { n }
lim
JX = { : H X ,
( X (t ) | J ) ,
U X = , t T } . M * ( X ) = M
X
X ( y t ) ( dt ) = M ( X )
{ An } ,
U t X ( y ) = X ( t y ), t , y T U t .
( An An x )
=0
( An )
( , [19] ); R -
r ( S n ) S n An
{ An } ( , [5] ). ( X
=R
Z , An
= [ 0, n ]
[ n , n ] ) . . ( , [12] )
. . ( , [6] ) ( X
= Rm
Z , m 1, An
m
) . X
,
( An ) { An }
; . .
( , [22],
. . ). [13]
[19]- . .-
.
3. ;
.
M ( X ( t ) ) <
X (t ) , t T y T
(1) [ (2) ] , { n }
( { An } ) T -
;
( poinwise ergodic theorems ). q P (t ) , q -
T - , n q
k - , n =
q -
1
n
, n = 1, 2 , ... -
k =1
( , [21] ); q X ( ) { q }
( , [18] ). { An }
1 n <
251
, { An }
( , [8], [21] [23] ); ., ( S n ) S n
m
, R -
.
, [12] ( , [3] ) . .
. [9] [11]-
.
4. .
. [24]- lim
lim
n
1
n +1
k =0
.
.
k =0
f , g L ( , A , m ) , g
0.
lim
g ( )
, . .-
( , A , m ) ,
1
; ergodic theorems f o r W i e n e r
p r o c e s s e s -
k=0
f ( k )
f ( k )
. .
l ( A)
l ( s t : w ( s ) A)
=
l (s t :w (s) B)
l(B)
, l , w ( s )
, A , B , l (B )
< .
.: [1] ., .,
, . ., ., 1968.
; ergodic random process
(t ) ,
. [7]- . .- L ( , A , m)
[ ( t )] m ( )
L ( , A , m)
( m
S < 1 S -
; R -
( , [14] ).
.: [1] A l a o g l u L., B i r k h o f f G., Ann. Math., 1940,
v. 41, p. 293309; [2] B i r k h o f f G., Duke Math. J., 1939, v. 5,
p. 1920; [3] C a l d e r o n A., Ann. Math., 1953, v. 58, p. 18291;
[4] C h a c o n R., O r n s t e i n D., Ill. J. Math., 1960, v. 4, p. 153
60; [5] D a y M., Trans Amer. Math. Soc., 1942, v. 51, p. 399412;
[6] D u n f o r d N., Duke Math. J., 1939, v. 5, p. 63546; [7] D u nf o r d N., S c h w a r t z J., J. Ration. Mech. Anal., 1956, v. 5,
p. 12978; [8] E m e r s o n W. R., Amer. J. Math., 1974, v. 96,
p. 472-87; [9] E m e r s o n W., G r e e n l e a f F., Adv. Math.,
1974, v. 14, p. 15372; [10] K r e n g e l U., Ergodic theorem, B. N.
Y., 1985; [11] V e r s h i k A. M., Selecta Math. Sovietica, 1982,
v. 2, p. 33150; [12] W i e n e r N., Duke Math. J., 1939, v. 5, p. 1
18; [13] U r b a n i k K., Studia Math., 1958, v. 16, p. 268334;
[14] . ., . ., 1977,
. 22, . 295319; [15] ., .,
. , . ., ., 1962; [16] . ., . ., . .,
, ., 1980; [17] .,
, . ., ., 1969; [18] . .,
. ., 1965, . 10, . 55157; [19]
. ., . . ., 1962, . 2, 1,
. 195213; [20] . ., .
., 1972, . 17, . 38083; [21] . .,
. , 1967, . 176, . 79093; [22] . ., . . . -, 1972, . 26, . 95-132;
[23] . ., ,
252
()
s T [ ( t + s ) ] -
T ),
M [ ( t )] - ( (t ) [ ( t )] - ).
20- ,
; , ,
( , ., [1] ).
t ;
.
, [ ( t )] , ,
, ,
[ ( t )] M [ ( t )]
t - , (t ) . . . .
[ ( t )]
( T ).
[ ( t )] t 0
( t 0 ) ; . . . M ( t )
= const
, (t )
(
T
1 ). [ ( t )] = ( t 0 ) ( )
.
( ,
T )
( , ,
);
1
1-
. (t )
;
(t ) ( 1
) M (t )
<
, ; , .,
,
(t ) -
T 1 m -
; , m
( )
= M [ ( t ) ] -
. ,
, ; (t )
( , ,
- ), ,
( )
, ( t ) M (t ) F ( )
( , [2], [3], [4], t , [5], [6] ).
(t ) (t ) - -
[7],
[8]- ; .
( 0 s T T
[ ( t )] -
[ ( t + s ) ] -
, ( t 0 )
) [9]- .
( )
(t )
.
(t )
- ( t 0 ) ( t1 ) ;
(t )
, (t )
, Y ( t )
= ( t ) ( t + )
( -
) 1- .
B ( ) = M ( (t + ) ( t ) )
b ( ) = M [ ( t + ) M ( t + ) ] [ ( t ) M ( t ) ]
f ( )
T
F ( )
2- . ( x0 , ..., xn 1 ) n
,
M [ ( t 0 ), ( t 0 + t1 ) , ..., ( t 0 + t n 1 ) ] <
[ ( t ) ] = [ ( t0 ), ( t0 + t1 ) , ..., ( t0 + tn 1 ) ]
(
)
,
.
,
( ) .
(t ) ,
m ( ) = ( 2T ) 1
T
[ ( t
,
(t ) - T 1 (t ) - -
(t )
+ s ), ( t 0 + t1 + s ) , ..., ( t 0 + t n 1 + s ) ] ds
, , ( , ., [5] ). : .
.: [1] . ., . ., . .,
, ., 1980; [2] M a r u y a m a G., Mem.
Fac. Sci. Kyusyu Univ., Ser. A, 1949, v. 4, 1, p. 45106; [3] ., ,
. ., ., 1961; [4] . ., . . ., 1950,
. 2, 2, . 2547; [5] . ., , ., 1963; [6] ., .,
. , . ., ., 1969; [7] P a r z e n E.,
Ann. Math. Statist., 1958, v. 29, 1, p. 299301; [8] . .,
, ., 1964; [9] . ., ,
, 2 ., 1989; [10] N e u m a n n J.,
Ann. Math., 1932, v. 33, 4, p. 587642; [11] N e u m a n n J.,
, . ,
., . 1, ., 1987, . 762; [12] . ., .
, 1949, . 4, . 2, . 57128.
ergodicity
( , A , P)
, .
A A
, P ( A ) > 0 , P ( \ A ) > 0
.
.
.
253
{ S
(t )
} X = { X ( t ) , t R d Z d } -
, . , Y ( x ) L ( , A , P )
T
1
Td
Y( S
...
( t1 ... td )
x ) dt1 ... dt d M Y
( Z ).
.
.: [1] . ., . ., . .,
, ., 1980.
; Erlang formula n k
pk
, :
pk =
1
k !
i=0
1
i!
, 0 k n .
pn - . 1917- .
.
, .
; Erlang distribution
( n ) n n 1 n x
x e
,
( n)
p( x) =
>0
, [ 0 , ) - , , , n , n ,
(n)
n = 0, 1, 2, ...
(n) =
t n 1 e t d t ,
( Re n > 0 ) ,
( n + 1) = n ( n ), ( n + 1) = n!,
(1 ) = ( 2 ) = 1, (1 / 2 ) =
. . 1 1 n
. . . .
. ( A. Erlang ) .
n . . n , n
; n = 1 . ., > 0 . . .-
f ( z ) = ( 1 iz / n )
.
254
. .-
.
.: [1] .,
, . ., 2 ., ., 1971.
; erosin
, -
; Esseen
theorem , .
;
confidence set , , ,
( ,
, , ,
).
, ; confidence probability , , ,
.
; confidence interval
. .
. . .-
. ,
. .-
. . .
. R
, P ,
, ( ) ,
1
. ( x ) ( x ) R - ,
1 ( x ) < ( x ) , x R n .
p ( ) = P { ( ) < < ( s ) } ,
, ( ( ), ( ) )
, ( 0 < < 1) , ( )
( ) ,
. p ( ) - , ( , )
. .
. P = inf p()
. p ( )
( , ) , ( , )
( ) .
. . .
( . ) .
- ,
C ( X ) [ C ( x ) , xX ]
, . .- , -
~
P { | n | < } = p ( )
u ( ) -
C ( X )
PC ( )
PC ( ) = PC [ u ( ) , ] ,
n
n
. ,
PC ( )
u ( ) C ( X )
, .
. -
~
, n - , , -
( n -
). , (
n - 20 30 )
.
, .
.: [1] . ., . ., . ., ,
., 1979; [2] . ., , ., 1964;
[3] . ., - , 2 ., ., 1962;
[4] ., , ., 1979.
; confidence estimation -
PC ( ) - C ( X )
. PC ( ) = P { C ( X)
u () | } = const P { X X | } = const = 1
. PC ( )
, , PC = inf PC ( )
; (
).
. .-
. .,
0,5 1 ,
Pc [ u ( ) , ]
.
, u ( ) - u U
. X X
.
( x )
.
,
PC ( u , ) , u U , .
p( x | ) , x X ,
C , , u - u ( ) -
. , X - .
. . X - C ( X ) ,
u ( )
.
U , u ( ) , , C ( X )
xX U -
; , u U
{ C ( X ) u }
.
PC ( u , ) =
p ( x | ) d ( x ), u U ,
{C ( X ) u }
- C ( X )
u
.
: C -
C
PC [ u ( ) , ] ,
,
PC ( u , ) PC ( u , ) ,
u U ,
.
1 ,
. .
255
. .- u ( ) -
.
, M X i
X 1 , ..., X n , n 2
= 1 , D X i = 2
, .
u ( ) = 1 .
X =
. T
1
n
Xi
i =1
s2 =
1
n 1
(X
X )2
i =1
= n ( X 1 ) s -
( n 1) - 1
2 > 0 )
( | 1 | < ,
t -
. .- ( ,
[1] [3] ).
.: [1] ., ., , . ., . 12, ., 1983; [2]
.,
., , . .,
., 1973; [3] . ., . ., ,
., 1981.
; confidence band o f l e v e l
, 0 < < 1 , ( x ) = T f ( x)
A X
inf
{ X ts
R P
n < 1 < X + t s
n}
t - . 1 C ,
= ( 1 , 2 ) -
PC ( 1 , 2 ) = P { | T | < t }
.
,
.
.
.: [1] ., , . .,
., 1967; [2] .,
, . ., 2 ., ., 1979; [3] ., , . ., ., 1964; [4] . ., . ., 1965, . 10, . 1,
. 18792.
D ( y ) R A , D ( y )
P { ( ( x , ( x ) ), x A ) D ( y ) }
(1)
= ( y1 , ..., y N )T
P = P ( y F ) F =
, y
= ( f ( x1 ) , ..., f ( xN ) )T , xi X , i = 1, ..., N .
(1) ,
. . ,
. B D ( y ) D ( y ) \ B
,
.
, P F - , V -
= F T V 1F ( ) ~
, . V M
2
( 0 , M
) .
( x ) = f T ( x ) , P { U R P } ,
( x ) = inf u f ( x ), ( x ) = sup u f ( x )
u U
u U
T
(2)
D ( y ) = { ( x , ( x ) + z ) , x A , z ( x ) }
, .
; confidence band
D ( y ) = {( x , ( x ) + z ) , x A , ( x ) z ( x )} (3)
. F - -
. ., k
n F n Fn -
p p ,
, ( 0 , 1)
P { F n ( x ) F ( x ) F n ( x ) x - }
0 + 1 x V
. F n Fn
, F
. F
256
= { u : 2u T M u k } , R - -
( x ) = ( x ) = k
, b > 0, x
s 2 = ( N p ) 1
i =1
1 + b ( x x )2
= ( x1 + ... + x N ) N .
( yi ( xi ) ) 2
,
, s , k F .
, [1].
(3)-
( x ) = ( x ) =
= sup f T ( x ) :
max
i = 1 , ..., p
T
f ( zi ) , i k
, i
(4)
> 0 , zi X -
, k , ( x )
( x)
M ( x) ( x) =
= 2 f T ( x ) M 1 f ( x1 ) .
.,
( x ) = 0 + 1 x (1) + ... + m x ( m) ,
( x (1) , ..., x ( m ) ) = x R m
x1 , ..., x N
( x )
, k z1 , ..., z m + 1
m
R - , V
= I
X i :
M X i = 0, D X i = 1,
M X i X j = p, 1 i < j m + 1 .
R - m
( ) .
( , [2] ) ( z i ) ,
(4)
.
( x ) w ( x ) dx ,
w ( x ) 0 , x R
(3) .
.: [1] ., ,
. ., ., 1980; [2] . ., . .,
, .,
1973; [3] N a i m a n n D., Ann. Statist., 1984, v. 12, 4,
p. 1199214.
; confidence zone , .
; reliability optimization
.
. .
. :
( . ),
( ) , .
.
(
)
. ,
.
: ., , , .
( )
.
.
,
. (
. )
( ) .
.
,
;
,
.
. .-
: (
)
(
) .
.: [1] , ., 1983;
[2] . , ., 1985;
[3] . ., , ., 1969;
[4] . .,
, ., 1981; [5] . ., . ., , ., 1971.
; mathematical theory
of reliability
. . . .-: 1)
; 2)
,
; 3) ,
( , [1] ) .
. . .-
. , .
.
257
. . .- ( ) X = { x }
. t
( ) (t )
. ( )
( ) X 0 , X - . ( ) ( t ) X 0
.
. ( )
( ),
.
,
.
, ( ) .
n . i - xi
, xi
= 1 , xi = 0 .
. =
( x1 , ..., xn )
= ( x1 , ..., xn )
= 1 , = 0 .
.
,
:
= min xi =
1 i n
x .
i
i =1
i Fi ( t ) = P { i t } , pi
= P { xi = 1} = Fi ( t ) , Fi (t ) = 1 Fi ( t )
. , t
F (t ) = h ( F1 (t ) , ..., Fn ( t )) .
. ,
,
.
.
( , ) ( ; , [4] ).
, ., , ,
( , ,
).
,
, .
( , ). ( )
,
.
( , ).
. -
. t = 0 . t ,
, .
, .
U i Vi
x1 , x2 , x3 , A B , B C
F ( s ) G ( s ) -
A C
. - ,
. ,
.
.
,
.
T = m + m1 ( 1 )
= max ( x1 x2 , x2 x3 , x1 x3 ) = x1 x2 + x2 x3 + x1 x3 2 x1 x2 x3
; m1
.
i - xi , i - .
xi xi , i = 1, ..., n ( x1 , ..., xn ) ( x1 , ..., xn )
, .
xi - pi
= P { xi = 1}
.
h ( p1 , ..., p n ) = P { = 1}
. h ( p1 , ..., p n )
. i -
258
, m
= M U i = M min (U i , Vi ), = P { Vi U i }
, .
( ).
.
( , ).
. . .-
. . .- .
, , ( ., )
. ,
.
. . .-
.
( )
.
. 1) n
.
,
, . i
mi
= 1, ..., n . mk = min mi
, , ij = 0 .
, pij
(k j )
, i
1 i n
k
.
( ) . N .
. :
B
C .
, ., T -
, r -
. t S (t ) -. [ N , B, ( r ) ]
N ,
r - . [ N , B, ( r ) ]
+ ( N r + 1) t r
S ( tr )
t1
= t1 + ... + tr 1 +
t1 , ... , t r
= 1 e t
= ( r 1 ) / S ( t r ) .
[ N , B, T ] , N T ,
.
,
,
( , [1], [5],
[6] ).
, , ( )
.
xij i -
j - , ij i -
, x j
= { xij , ij , i = 1,..., k j }
. i - , ij = 1 ; i -
pij 1,
i =1
pij
F ( xij ) =
ki
[ F ( x ) ] [1 F ( x ) ]
ij
ij
ij
1 ij
C( xj, ) > 0
i =1
. : )
, , ; )
, F ( s ) G ( s ) - [ G ( s ) ]; )
.
x1 , ..., x m , ,
. F ( s )
F ( s ) = 1
F ( t )
>0
1
us
D ( u )
N (u )
, D ( u )
(*)
= D (u ) D (u 0),
D ( u ) ij = 1 xij u xij -
; N ( u ) , xij
, i
u xij -
.
x1 , ..., x m ), ), )
, m
(*)
F ( s )
( , [7] [8] ).
. ,
( .,
, . ). ( ) , ,
.
. . . . -
259
.
.
.
. , 0
( )
F0 ( t ) = P { R t } R . 0
r ( 0 , ) 0 , r ( 0 , 0 ) = 1 .
1 = 1 ( t )
0,
1 ( s ) ) ds = R
. 1
F ( t , 1 ) = P
= F0
. , r ( 0 , )
F0 ( s ) .
. . .-
( , [1] ).
.: [1] , ., 1983;
[2] . ., . ., . .,
, ., 1965; [3] ., ., , . ., ., 1984; [4]
, ., 1985; [5] K a l b f l e i s c h J., P r e n t i c e R. L., The statistical analysis of failure time data, N. Y. [a. o.],
1980; [6] L a w l e s s J. E., Statistical models and methods for lifetime data, N. Y. [a. o], 1982; [7] . ., . .
, 1985, 4, . 4559; [8] .
., . ., .: , ., 1985, . 317; [9] , . 8, ., 1990.
; reliability
,
, , ; .
; confidence coefficient , , .
; reliability function : 1) . .
R = R ( p1 , ..., pn )
; R
= ( p1 , ..., pn ) , R = 1 ( 1 p1 ) ...
260
(u ) du
n - .
. . E ( R )
, Pe ( n , R ) n R
r ( 0 , 1 ( s ) ) ds
p1 , ..., pn -
P (t ) = exp
E ( R ) = lim sup
log Pe ( n , R )
n
n
r ( , (s) ) ds R =
0
P (t ) .
. . P ( t )
,
, ; reliability function, r e l i a b i l i t y c o e f f i c i e n t n -
r (
... ( 1 p n ) .
. .- ( ., ) .
2) . . (0 , t )
( ) n . E ( R ) -
R C , C
, Rcr . 0 R < Rcr
Rcr
E ( R ) ( , ( ) ,
).
.: [1] ., ,
. ., ., 1974; [2] ., . , . ., ., 1965; [3] .,
., , . ., ., 1985.
= P { t 0 } .
M -.
t
, P { t }
=.
.
.
.
- .
. .
.
, , ,
.
,
. ,
;
. .
.
.
.
.: [1] . .
27.002-83, ., 1983; [2] . , ., 1985; [3] , .,
1983.
; reliability index
.
i - X i ,
P { X i = 1} = pi = M X i , i = 1 , ..., n .
X = ( X 1 , ..., X n ) . i -
i -
. . .
P { ( X ) = 1 } = h = M (X)
, M X , X ,
.
. .-
. .- :
h = h (p) .
p1 = p 2 = ... = p n = p
h(p)
. h ( p ) - (
h ( p ) - )
. ,
. . p -
h .
h ( p ) = pi h ( 1i , p ) + ( 1 pi ) h ( 0 i , p ) , i = 1 , ..., n
( , [1] ).
.: [1] ., ., , . ., .,
1984.
/ ; confidence level ,
, , .
; ; ; reliability theory;
analytical statistical method /combined sim u l a t i o n m e t h o d 1 , ..., k f .
1 , ..., k
, f M1 , ..., M k . f , M i
( , ,
).
;
.
.
. ,
( ),
( ) .
( ,
, ) .
.
; .
261
.
.
- .
.: [1] . ., , ., 1975; [2] . .,
, ., 1980; [3] . .,
, ., 1982; [4] . ., . .,
, ., 1988.
; Euclidean
quantum field theory
d
, R ( d 2 )
d
M
( , R
). M -
,
,
.
R d - , M d - d
: T S (R ),
S (R d ) [ S (R d ) , R d -
], ( T ) = ( T , ) R d -
S (R d ) A
( ) .
( , SO .;
, [2] ).
( , [3] ).
; Euclidean
field , .
; Euclidean
shape , .
x; Euclidean approach , P [ ]2 ,
.
; evolutional censoring ,
( ).
; evolutional stochastic differential equation
( . )
d u ( t , ) = A ( u ( t , ) , t , ) dN ( t ) +
+ B ( u ( t , ), t , ) dM ( t )
t > t0 ,
d u (t , x ) =
1 ... n =
S n ( x1 , ..., xn )
( x ) dx ... dx
i
d
1
d
n
i =1
( Rd )n
i S (R d ) ,
S n ( x1 , ..., xn ) ( )
( )
d n
( M ) , n
= 1, 2 , ...
- .
.: [1] ., P [ ]2
262
1
u xx ( t , x ) dt + u x ( t , x ) d w ( t ) ,
2
( t , x ) (0, T ] R1 ,
u (0 , x ) = u 0 ( x ) , x R1
R -
; . ( E. Nelson,
, [1] ) .
u ( t 0 , ) = u 0 ( )
, A B
H , N , M
, , (1)
. H A B .
. . . .-
. .,
S (R d ) - ,
( F A )
(1)
, w , u 0 , L (R )
1
, W2 (R ) , W2 (R )
. . . .
1
. W2 ( R ) A :
1 2
, B: =
2 x 2
x
, W2 (R )
.
. . . . . . . .
( , [1] [3] ),
,
. ., 2- . . . .-
( , [4] ).
. . . .-
. , M
. :
, (1)
.
. . . . .-
.
H , H H , V
( ,
). : ) V H V ; ) V , H -
; ) c , V -
= ( , ) H
V ,
V ( , - - )
, H V , V
, . , a) )
V H .
W pm (G ) ( = V )
L2 ( G ) ( = H ) , G ,
d
R - , d p
2 ( d m p ) G -
. , ( , A , { At }, P )
E
( E = E )
w (t )
. P
, L ( E , H ) ,
E - H - ,
; , S
= V [ 0 , T ] -
A : S V B : S L 2 ( E , H ) .
,
v V . ,
du ( t , ) = A ( u ( t , ) , t , ) dt +
+ B ( u ( t , ), t , ) d w ( t ) , t T ,
(2)
u ( 0 , ) = u0 ( )
(3)
. . . . K , > 0
1 , 2 , 3 V , ( t , ) [ 0 , T ] :
A1 ) A - : A (1 + 2 ) R1 -
;
A2 ) ( A, B) - :
2 (1 2 ) ( A (1 ) A ( 2 )) +
K 1 2
B (1 ) B ( 2 )
2
A3 ) ( A, B) - :
2 A ( ) +
B ( )
K( 1 +
);
A4 ) A - :
A ( )
K(1+
).
A1 A4 u 0 L ( ; A0 ; H ) ,
(2) (3) .
L2 ( [ 0 , T ] ; P , V ) I L2 ( ; C ( [ 0 , T ] ; H )) ( , [1], [2] ).
( .,
, ,
) .
. . . . .-
, ( A + 1 / 2 B B )
.
. . . .-
. . .,
A , B , .
, . . . . ,
. ., :
du (t ) = u ( t ) dt +
u ( t ) (1 u ( t )) d w ( t )
.
( ,
[5] ). , (2) (3)
. ; A5 ) V -
H - .
A B
( , [6] ).
. . . .-
, - .
. . . .- ,
, . . . .-
( , [6] ).
, . . . .- (1) . . . . . ,
A2 , A4 , A5 .
. . . .-
. ,
.
. A3 . ,
.
B . . . .-
( , [7] ).
. . . .- ( , [8] ).
.: [1] P a r d o u x E., quations aux drivs partiells stochastiques nonlineaires monotones. Thse doct. Sci. Univ. Paris Sud., P.,
1975; [2] . ., . ., .:
. , . 14, .,
1979, . 71146; [3] . ., . , ., 1983; [4]
. ., . ., , ., 1983; [5] V i o t M., Solutions faibles
dequations aux derivees partielles stochastic nonlineaires. These doct.
Sci. Univ. Pierre et Marie Curie, P., 1976; [6] G r i g e l i o n i s B.,
M i k u l e v i c i u s R., Lect. Notes Contr. and Inf. Sci., 1985, v.
69; [7] C u r t a i n R. F., P r i t c h a r d A. J., Lect. Notes Contr.
nd Inf. Sci., 1978, v. 8; [8] . ., .
, 1982, . 37, . 6, . 15785.
;
evolutionary spectral function ,
.
263
. . . :
(t ) =
ei t A ( t ; ) d Z ( ) ,
(1)
Z ( )
, ,
,
M dZ ( ) d Z ( ) = 0, M dZ ( )
= dF ( ), (2)
A ( t ; ) t -
A ( t ; dF ( ) < ,
(3)
2
<
) t - .
. ( . . .- ; , [1], [2] )
A ( t ; ) -
f ( ) = F ( ) ]
( , ., [2], [4] ).
.: [1] P r i e s t l e y M. B., J. Roy. Statist. Soc., Ser. B , 1965 ,
v. 27, 2, p. 20437; [2] P r i e s t l e y M. B., Spectral analysis and
time series, v. 2, Ch.11, L. [a. o.], 1981; [3] ., ., , . ., ., 1972; [4] M a n d r e k a r V., Proc. Amer.
Math. Soc., 1972, v. 32, 1, p. 28084.
; evolutionary
spectral measure ,
; Euler numbers
n 1,
1 k n (*)
E n, k ;
E n, k =
(1) m Cnm+1 ( k m ) n .
m=0
A(t ; ) =
it
. .- :
dKt ( ) ,
1 x
=
1 xe t (1 x )
dK t ( )
En, k = k En 1, k + ( n k + 1) En 1, k 1 ,
( t - M (t )
F ( )
t - = 0 -
. . . .- (t ) [ dZ ( ) (2) , A ( t ; ) (3)
t - (1) ] .
(t ) , , , t - A ( t ; )
F ( )
xk
k =0
tn
.
n!
(1 , 2 , ..., n ) - k
i 1 < i ,
( 0
i = 1 , ..., n
= 0 ).
k = n 2 + x n 12
En , k
n!
= A ( t ; ) F ( ) (t )
. , , ,
, (t ) (1) . . .-
.
,
( ., ; , [3] ) .
[ ., (t )
264
n=0
n, k
. . , ,
. E n,k / n! 1, 2 , ..., n
e i (t s ) A ( t ; ) A ( s ; ) dF ( )
. F ( t ; )
x -
B ( t ; s ) = M ( t ) ( s )
B (t ; s ) =
ex
/2
.
. . En -
:
k =0
.: [1]
, ., 1977.
x 2 k
( 2 k )!
n=0
En
xn
.
n!
. .,
( ), ; numerical simulation o f a r a n d o m p h e n o m e n o n
. -
,
, ,
, ,
.
.: [1] . ., ,
., 1973; [2] . .,
, 2 ., ., 1975.
; negligible set
. ( X , S , ) , Y
X - .
( Y ) = 0 , Y
*
( , S , ) ,
- . X
, X - x X
U ( x )
, Y I U ( x )
( Y X ) X - ,
Y X X
.
. . . , , .
( , [3] )
. . . .,
E
E - E -
.
.: [1] ., .
. .
. , . ., ., 1977;
[2] ., , . ., ., 1953; [3] . ., , .,
1984.
;
indifference zone
H 0
H 1
. . .- H 0 - ,
. . ., ,
,
., > 0 , 0 +
[ ( 0 , 0 + ) ] ,
H 0 : 0
.
.
.: [1]
., , .
., 2 ., ., 1979.
;
negation / complement of an event ,
.
;
reflecting barrier / boundary ,
.
;
reflecting boundary , ;
; bound
model , .
( ) ; communicating states o f a M a r k o v c h a i n , ; .
; complementarity observables , .
A
A ; elementary event, f a v o r a b l e
t o A A
. .,
= { GG, G, G, } , A = {
}
. A . . .-
{G G} { G } .
; maximum
likelihood method ,
.
265
/
; maximum likelihood principle
,
; ,
.
x X
,
p( x, )
/ ;
most accurate confidence set ,
,
,
.
X , ( X, B, P ) ,
). . . . .-
1 2
( x ), ,
.
.
. . . . ,
C ( X )
( x ) .
H 0 : 0 H 1 : 1
. . . .
;
sup p ( x ; )
sup p ( x ; )
H 1 H 0 [ H 0 : =
= 0
H 1 : = 1
. . . .
p ( x ; 1 ) p ( x ; 0 )
].
, . . . .-
,
( ) ( , , ).
. . . .
. , X x1 x2
, p ( x1 ; )
h ( x1 , x2 ) p ( x2 ; )
, -
. X Y
x y , X Y -
p X ( x; ) pY ( y ; )
.
x y ,
,
p X ( x ; ) h ( x , y ) pY ( y ; ) ,
.
.: [1] ., ., ,
. ., ., 1978; [2] . ., .,
, . ., ., 1973.
266
= { C ( X )} P
, -
inf P { C ( X ) } = P
. - C ( X ) . . . . , C ( X )
P { C 0 ( X )} P { C ( X ) },
. , , .
.: [1] . ., , .,
1984.
; most accurate invariant confidence set
.
X , ( X , B , P ) ,
,
= { C ( X )} P,
0 < P < 1 ,
. X - X g
G = { g } { P }
. g G C ( g X )
= gC ( X ) , - C ( X )
G
, g , - g
G
= {g}
. -
C ( X )
P { C0 ( X ) } P { C ( X )},
, - C0 ( X )
.
, , .
.: [1] . ., , .,
1984.
, ; worst distribution , , .
; least favorable
distribution
.
( X, DX , P ) , X
d ( )
( D , DD )
, ( , D , t ), t T
. L ( , d )
d
.
( t , d ) =
L ( , d ( x)) d P ( x) d ()
d
sup ( t , d ) = ( t * , d )
t*
d ( ) . . . . d
( ) ( * , d )
t
. , , . . . , ,
,
; , d
,
dD
tT
tT
d .
,
. . . . X X Q
H1 X -
H 0 = { P , } H 0
. ,
p ( x ) =
= d P ( x) d ( x) q (x ) = d Q ( x) d ( x ) , ( x ) ,
( X, DX ) , { t , t T } ,
( , D ) .
t T H 0 H t , X
p ( x ) = d ( )
.
, H1 - H t
. t , . . .
{ t , t T } t*
t*
X f * ( x)
t
q (x) , H t*
{ H t , t T } H1
. , , , .
.: [1] ., , .
., 2 ., ., 1979; [2] ., , . ., ., 1975.
ft ( x ) =
. . . . : H
H1 H 0 -
tT
. H1 -
, { t , t T }
t T
).
= P { H 0 | H 1} 1 - . ,
= P { H 1 | H 0 } ( , = 0,05 ;
= 0,01 )
- .
1- 2-
(
) . . .. . . .-
; . . .-.
H 0 H1
, . . .-
.
.: [1] . ., , .
., 2 ., ., 1979; [2] . ., .:
, . 8, . 1988, . 12942; [3] . ., . ., . .,
, ., 1979; [4] N e y m a n J., P e a r s o n E., Phil. Trans. Roy. Soc. London., Ser. A,
1933, v. 231, p. 289337.
267
( yi X i ) 2 = min
i =1
, X i ,
;
weighted least squares / generalized least squares
method , .
; least squares method -
X i - . S () 1 , ..., p -
;
. .
. . . . . ( C. Gauss, 1974 95 ) .
( A. Legendre, 1805 06 ) . .
( A. Cauchy, 1936 ) . . . . . . . ( 1958 ) . . . .-
. . ( K. Pearson, 1896 )
. . . .
. . . ( 1898 ) . . ( 1946 ) . .
. .-
. . ( A. Aitken, 1935 )
. .
( R. Fisher, 1922 25 )
. . . ( 1946 ), .
. ( J. Durbin, M. Kendall, 1951 ), . ( W. Kruskal, 1961 ) . . . .- ( )
. . ( S. Rao, 1962 )
. . ( A. Hoerl, 1962 ) . . . . . ( Ch. Stein, 1956 )
. .
.
. . . . .
, n Y = ( y1 ,..., y n )
Y = X + , X = ( xij ) p
( n p ) . , p n (
T
, A = X X
);
= (1 ,..., p ) T ,
;
n .
, ( 1 , ... , n )
. S () -
,
; S
= 0 , ,
( X T X ) = X TY
. , X
, , A
= X T X
= ( X T X ) 1 X TY .
Y = ( y1 , ... , yn ) T .
F ( x ) - . .,
F ( x ) -
y1 , ... , y n ,
, ( ,
, );
p
: 1)
j -
j =1
j =1
j ,
= min
,
); 3) cov
= min ,
. . . .
;
4) tr (cov ) = M ( M ) T ( M ) = min ,
M = .
. . . .
. ,
2 = D 1 = Y X
( ),
S2 =
1
T . S 2 , 2 - .
n p
F ( x )
F ( x ) = P { 1 < x }, F ( x ) = 1 F ( x ) -
. . . .
. Y - .
. . . .-
S ( ) = Y X
268
= ( Y X )T ( Y X ) =
~ N p ( , 2 ( X T X ) 1 , n
1
( X T X )1 2 ( ) ~ N ( 0 , 1) , n .
,
.
2
i , i N ( 0 , )
: 1) . . . .
,
( T , 2 ) = ( 1 , ..., p , 2 )
N n ( 0 , ) , ,
n - .
2
, = 0
( , ) -
, W
; 2)
S 2
; 3)
, . . . .
N p (, 2 ( X T X ) 1 n
, n . n
2
S
: F (x ) .
n
,
j = 1, ... , p
r ( j , S 2 ) 0
, ,
.
:
, ( k p ) . G
G H
= G
. . . .
,
.
, , X
, ( , , ).
P
= 2 ( X T X ) 1 - ,
A = X T X (
= H = ( h1 , ..., hk ) T
. H . . . .
h1 , ... , hk
h1 , ..., hk
) ]
i j . , h h
j
, hi - i j hi
= 0
. , , . . . .- , ,
.
; ( n n ) . W
:
( Y X ) T W ( Y X ) = min .
, ,
cov =
1
. W =
, . . . .
. .,
n
~ N p ( , ( X T 1 X ) 1 )
1
T 01 [
np
.
n
yi = + i ,
i = 1, ... , n , 1 , ..., n
( ,
,
, M i = 0 ; M i 0
,
).
D i = 2 d i , d i , 2
. Y
= 1 + -
= ( y1 , ..., yn ) T ,
( 1 n ) . 1 = (1,...,1) -
, Y
= ( 1 , ..., n ) T . . . . .-
S ( ) =
w (y )
i
= min , w i = di1
i =1
, :
= w 1
= 0 ; i , j = 1, ..., k ,
S2 =
( , S 2 ) ( , 2 ) . . . . .
: M ( hi hi ) ( h j h j )
= Y X ( -
).
. G
= 01
w =
w i yi ,
i =1
i =1
2 :
S2 =
1
n 1
w i ( yi ) 2
i =1
n - 1 , ..., n
~ N ( , 2 w )
, -
.
,
i N ( 0 , 2 d i ) , S 2 ( ) S , ,
( n 1) S 2 2 (n 1)
2 , ( ) S
( n 1) - t
.
269
1. 20
. ( ) ( ni
yi - ,
= n = 20 ).
D =
ij xi x j
i , j =1
40
41
42
43
44
46
ni
=
.
X = 1 = ( 1,...,1) , = diag
n y n
= 41,50
= 0,95
19-
t = 2,09 ,
, = 41,50
t S = t
ni ( yi ) 2
( 12 , ..., n2 )
1,
(1) -
i =1
yi i2
i2 ;
i = 1
= 2
1
= y =
n
i =1
. . .
. . , ,
( ) X X ( )
=
= const p
( , ). Q (c ) =
T
n ( n 1) = 0,80
i =1
= 0,95
42,30
40,70
. ,
.
D N ( 0, 1)
.
x (t )
, -
, w i = ni , ,
W = diag ( n1 ,..., nk )
n : ( )
39
. ,
i=n
yi
2. y (t ) = x ( t ) + ( t )
, x ( t )
= { R p :( ) T X T X ( ) c }, c > 0 . 2
i , i N ( 0 , )
c > 0 :
,
h ( s , t )
(t ) , x (t )
P { Q ( c 2 ) } = P { 2p c },
2
. y (t ), t1 , ..., t n
p p -
. -
.
Y = X + , Y =
; 2
2
S - :
P { Q ( cS 2 ) } = P { Fp , n p c },
= ( Y X )T
1 ( Y X ) = min = ( X T 1 X ) 1
T
X Y
ij
. -
,
,
n
n
ij xi y j
ij xi x j
=
i , j = 1
i , j =1
270
(1)
F p ,n p p, n p F
.
3.
a1 , ... , a n
, Ai -
yi - : yi = Ai ai .
, M yi
= 0
. ,
M yi = + ai = ( + a ) + ( ai a ),
a =
1
n
a
i =1
, :
Y = X + , = ( 1 , 2 ) T , 1 = + a ,
1
a1 a
X =
2 = ,
1
1
...
a2 a ... an a
i ( 0 , ) ,
. 1 , 2
X T X .
:
2 =
i =1
1
1 = y =
n
y i ( ai a )
yi ,
i =1
( ai a ) 2
i =1
D 2 = 2
(a a )
i
P ( k +1) = [ I K ( k +1) X k +1 ] P ( k )
2
X k , X k - ; K
P { Q ( C 2 ) } = P { 22 c } = 1 exp ( c 2 ) .
2
:
[ y
2 ( ai a )]2
Q (c ) = { R 2 : n ( ) 2 + 2n a ( ) ( ) +
+ ( ) 2
ai2 c }
. . . . A
jj
= X T 1Y
cov = P = A1 .
1
A = X X
, ,
.
T
( ti ) + i , i = 1, ..., n
, 1 , ..., p
t ( t , t1 , ..., t n ). X
= ( i ( ti )) -
. , ,
, i (t ) - ( ., 1 ( t ) = 1,
2 ( t ) = t , 3 ( t ) = t 2 , ... ). , j ( t ) [ ., j ( t )
i =1
. . . .-
, ( p 1) .
j =1
= P { F2, n 2 c } .
, , ( , )
(k )
( , )
.
. . . . ( . , )
. . . .-
yi =
i =1
P { Q (c S )}
= diag ( 12 , ... , n2 )
K ( k + 1) = P ( k ) X kT+1 [ X k +1 Pk X kT+1 + k2 ]1 ;
i =1
1
S2 =
n2
P -
. , =
( k + 1) = ( k ) + K ( k +1) [ y k +1 X k +1 ( k ) ];
( 1 - 0,01
).
.
( , ).
. . . .-
.
. A
-
( ) 2
( 2 ) 2
Q (c ) = R 2 : 1 1 + 2
c ,
D1
D 2
D 1 =
, -
. A
A = A + I ,
(k )
1 2 :
, A - -
(0)
( 0)
(k )
.
P
1 2 , ,
, . -
= cos ( j 1) t , j = 1, ..., p ].
, , j ( t ) ,
.
,
j ( t ) , j = 1, ... , p -
271
. p
,
( , )
, .,
.
4.
, y
2
( m ) , ( km / s ).
= a 2 + b y + c
. , :
10
[ y a
S ( a , b, c ) =
2
i
. Y
,
(2) .
( )
.
5. t
= exp ( t )
. , -
, ln ln -
( )
. . . . .-
,
,
D ( ln ) 2 D . ,
bi c ]2 = min
ln i w i
i =1
yi
4,28
3,53
3,16
2,98
2,60
2,23
2,05
1,67
1,49
1,12
88,7
98,0
100,0
102,8
106,7
115,8
118,9
130,2
138,9
146,3
f i S = 0
(0)
,
-
, X
G2 ( ) = 0 + 1 + 2 2 }
( 0 ) = 0 , j , k = 0 , 1, 2 , ..., j k ,
i =1
,
. ,
G0 , G1 , G2 .
. . . .
. n Y
F (0)
Y F ( ( 0) ) =
( ) X +
= ( y1 , ..., yn )T -
yi = f i ( 1 , ..., p ) + i , i = 1, ..., n
, i
p
n
, f i F : R R
( ,
). . . . .- j -
j - ,
:
2
i =1
272
yi f i ( ( 0) ) =
j =1
f i (0)
( ) X j + i , i = 1, ..., n ,
j
= ( 1 , ..., n ) T
(3)
X =
= ( X 1 , ..., X p ) T -
. . . .-
S ( ) = Y F ( )
= F ( ( 0) ) X + . ,
,
X :
,
:
10
= (0) (2)
X X 1 , ..., X p -
{ G0 ( ) = 1 ; G1 ( ) = a0 + a1 ;
G ( ) G
.
.
.
-
. {1, , }
= i2
[ yi f i ( 1 , ..., p ) ]2 = min .
(1) = ( 0) + X . ,
D i
~
p
(n)
, : n
,
~
(0)
.
,
1 2
.
(3) ,
( ) ( ,
).
,
,
.
.: [1] . ., - ,
2 ., ., 1962; [2] S e a l H. L., Biometrika, 1967, v. 54, 12,
p. 124; [3] . ., , ., 1981; [4] . .,
, . ., ., 1968; [5] ., ,
, . ., ., 1977;
[6] , ., 1975; [7] A r n o l d S. F., The theory of linear models and multivariate analysis,
N. Y., 1981; [8] . ., ,
., 1989; [9] . ., ,
.: , . 3, ., 1982.
Y = X +
= ( 1 , ..., n ) T
M = 0 , cov =
. ,
4, p. 71323; [5] . ., . . -
, 1968, . 104, . 189214; [6] . ., .
. . , 1979, . 85, . 13757; [7] . ., . , 1979, . 247, 3, . 56569;
[8] . ., , .,
1981; [9] . . ., . ., ., 1978.
. . . .
( ) = ( X X ) X Y
T
Y = X +
(1)
. ,
,
1
T 1
(2)
( ) -
( , [1] ). (2)
(1)
. ,
( , [2] [5] ).
. . . .
( , [6] ) (2) .
(
)
( k + 1) = [ X T ( ( k ) ) 1 X ]1 X T ( ( k ) ) 1Y
,
(k )
(k )
= ( 1 , ..., n )T
, M i
= 0 , D i = 2 ,
. ,
.
(
[1]- ; , [7] ). ( ,
[8] ).
(2)
-
;
( , ., [9] ).
.: [1] Z e l l n e r A., J. Amer. Statist. Assoc., 1962, v. 57,
p. 34868; [2] J a m e s G. S., Biometrika, 1951, v. 38, p. 32429;
[3] R a o C. R., Proc. 5-th Berk. Symp. Math. Stat. Probab., 1967,
v. 1, p. 35572; [4] H a n n a n E. J., Econometrica, 1976, v. 44,
R p
= ( 1 , ... , p )
.
,
= ( 1 , ... , p ) T .
. ,
H = b
(2)
, H , m p , ( m p )
. , b
= ( b1 , ..., bm ) T .
p
, R -
(2) , m .
, (2) , -
= (1 , ... , p ) T
= + ( X T X ) 1 H T S ( b H )
= Y X ( k )
(1)
, X , p n , (n p )
i = 1, ... , n ,
( ) = ( X X ) X Y
T 1
= ( y1 , ..., yn )T
(3)
S = [ H ( X T X ) 1 H T ]1
= ( X T X ) 1 X TY , . . . .
( ) ( , [1] [3] ).
(2)
.
cov = V [ I H T SH ( X T X ) 1 ] ,
V
= 2 ( X T X ) 1 = cov . 2
273
s2 =
1
( Y X ) T ( Y X )
n p + m
.
( X H )
[5]- .
.
H b
,
( H )i bi , i = 1, ... , m .
(4)
(4) , -
. . . . - , ,
( H )i = bi , (4)
. -
,
( , [5] ).
M [ ( ) T ( ) ] =
j =1
D j +
[ M (
j ) ]2
j =1
, (4) -
. . . .
( , [5] ).
( , [6], [7] ).
(4) ,
( , [8], [9] ).
.: [1] C h i p m a n J. S., R a o M. M., Econometrika, 1964,
v. 32, 12, p. 198209; [2] L i e w C. K., J. Amer. Statist. Assoc., 1976, v. 71, 355, p. 74651; [3] . ., , . ., .. 1968;
[4] . ., , .,
1981; [5] ., ,
, . ., ., 1977; [6] .,
, . ., ., 1979; [7] .,
., , . ., ., 1986; [8] . , 1982; [9] . ., , ., 1989.
; simplest point process
, .
; most selective confidence set , .
; nearest neighbour algorithm ;
274
; nearest mutual ancestor ,
. . . . . . . . . .-
[1], [2]- .
.: [1] F l e i s c h m a n n K., P r e h n U., Math. Nachr., 1974,
Bd 64, S. 35762; [2] . ., .
., 1975, . 20, . 3, . 61423; [3] . ., . ., .: . .
. , . 23, .,
1985, . 367.
;
best linear unbiased estimator, BLUE ,
; best linear prediction ,
;
;
noise immunity
.
,
.,
. .- / ( )
.
.: [1] ., . .,
, . ., ., 1982; [2] ., .,
, . ., ., 1969; [3] . .,
, 2 ., ., 1965.
; robust estimator
, .
; nuisance parameter
,
. .,
. .-;
. .-. . .- ; ,
. . .-
, .,
yi = a + i , i = 1, ..., n a
1 , ..., n . . ( ) .
. .-
. -
( , ., ) ; ,
, . .
( ) .
. .- (
) .
. .- ,
. .- , . .- . .-
( , ., C ( ) ).
[5] B a s u
p. 113.
. . . [1]- .
.: [1] H o t e l l i n g H., Ann. Math. Statist., 1940, v. 11, 3,
p. 27183; [2] . ., , ., 1966; [3] . .,
. , ., 1982, . 21732; [4] B a s u D., J. Amer. Statist. Assoc., 1977, v. 72, 358, p. 35566;
/ / ; key
renewal theorem , .
; null
hypothesis , .
/ /
/
; r a n d o m permutation substision ,
; stochastic
curve integral ,
; factor
, -
; factor
analysis ,
x = + +
(1)
, x
( p 1) , = M ( x ) ,
M [( x ) ( x ) T ] = ,
( p m )
, ,
xT =
1
N
xi S =
i =1
1
N 1
( xi x ) ( xi x ) T
i =1
~~
= T + S
~
~
, ( p m) , ( p p )
],
( S ; S ) - . -
~2
12
: [ tr ( S S )]
~ 1
tr ( SS
~
) ln | SS 1 | p .
~
) = inf ( S ;
(S;
)
( p m) x ( m << p ) , M ( T ) = 0 , M ( T ) = I
A p
( , , ,
), ( p 1) (
: S p A p
, A p ( p p ) ,
),
M ( ) = 0 , M ( T ) = 0 , M ( T ) = , . . .- (1)
, S p ( p p )
( S, ) =
f ( gi ) ,
i = k +1
= T + .
(2)
, x
-
. m > 1
[ (1 2 ) m ( m 1)] ,
, , (1)- -
= T , - = T T
(2) . ,
.
( , [1] )
. . .
. .
( ),
,
,
, .
x1 , x 2 , ..., x n
.
,
276
k + pm
f ( x) ,
, x = 1
~
H = S H G,
H TS H = I
(3)
, G g1 ... g p ( p p ) , H
,
f ( g k ) > f ( g k + p m )
= S H (I G )
1
1
12
, G1
(m m) , H1 (3)
~
( p m)
. -
( x - )
N -
). 2 m > p . . .
(
) ( , [4], [5] ).
, - (3)
. , -
~
, p -
.
- . x ~ N p ( , )
-
k + p m
( g i1 + ln g i 1)
y = ( y1 , ..., y n ) ,
. , y = c + s + l , c = F x ,
M y = M s = M l = M c. n r F
s , l - , M x s T = 0,
M x l T = 0, M s l T = 0 . y = t + l , y = c + u
= s + c, u = s + l;
t , u
, t
.
,
C = M y y , Cc = M c c = F F ,
1
2
k + p m
Ct = M t t ,
S 2 = M s s ,
E2 = M l l ,
U 2 = M u u = S 2 + E 2 ;
(1 g i ) 2
i = k +1
x 0
V = diag C ,
0 -
T S 1
) - .
T S 1 ( x0 x ) (1
. ., , , .
, ,
, , . . . , , ,
. ( , .,
[1] [3] ).
.: [1] ., , .
., ., 1972; [2] ., , .
., ., 1974; [3] ., , .
., ., 1980; [4] A n d e r s o n T. W., R u b i n H., Proc. 3-rd
Berk. Symp. Math. Statist. and Probab., 1956, v. 5, p. 11150;
[5] T u m u r a Y., S a t o M., TRU Math., 1980, v. 16, 2,
p. 12131; [6] . ., .:
,
., 1980, . 20832.
;
; ;
i d e n t i f i c a t i o n o f a m o d e l o f factor analysis
-
= + -
, ( p m)
,
m T .
, .
H 2 = diag Cc ,
T 2 = diag Ct = H 2 + S 2 ,
= 0 , M x x = I .
x ,
i = k +1
( .
). , M x
C0 = C V .
D
.
. . w = (w1 , ..., w n )
= (w Cc w ) ( w D 2 w )
. .
D2 = V 2 ,
D 2 = U 2 , D 2 = H 2 , ,
, , .
c = ( w C w ) ( w V 2w )
.
. ,
,
, .
.: [1] M c D o n a l d P. P., R o d e r i c h P., Brit. J. Math
and Statist. Psychol., 1970, v. 23, 1, p. 121.
;
factor set , .
; factor experiment
.
,
( , , . .-
,
,
277
).
( , ),
, , ,
, ( ,
.,
).
. i - si , li1 , ..., lis
( , ) , Fi
lik ,
, i -
k - ;
. . .- ;
( , ).
. .- . ( ) . . .
. . .-
. . .- .
,
,
. . .-
( , .,
), ,
,
( , )
.
.
:
yijk = + x1i + x2 j + ijk ,
yijk , k - ,
x1i
x2 j
, ijk , , , ,
2
,
.
, . n
:
y = + 1 x1 + ... + n xn + .
y -
.
:
278
. , , , . .- .
. . . .-
. n
n
2
( ). . .
, ( ) . . . ( , , [1] [3] ),
.
. .- . ,
. .-
(
( .
), .
.
, . . ,
, ,
.
,
. . .-
. ., n
n
2 - ( n + 1) -
( , 2
2
n p
n p
. .- ,
n +1
). -
. ,
; ,
,
.
. .- - ( ., , ,
),
. .-
. ., ,
,
.
( )
-
( , ,
). . .-
. A ,
, B A
.
. .-
( ,
, ,
).
. .
. . , , xi ni
= N
j1 , ..., j r -
A ( j1 , ..., jr ) =
k =1
ik
( jk ) , . .
, .
. .-
- . s k ( N , k , s, t )
. r
, 2r + 1
, . r
= 1
.
( ,
):
, ( - ) (
. ,
.
,
.
( ., ) .
.: [1] . ., , ., 1976; [2] , ., 1983, . 1014; [3] . .,
. .,
, ., 1987; [4] R a g h a v a r a o D., Constructions and
Combinatorial problems in design of experiments, N. Y. [a. o.], 1971;
[5] R a k t o e B. L., H e d a y a t A., F e d e r e r W. T., Factorial
designs, N. Y. [a. o.], 1981.
; factor
model , .
; factorial moment
. , X m ( m 1 )
[m ]
= X ( X 1) ... ( X m + 1)
) D
. . , .
( , ,
).
,
. ., 0 , 1 2 EG ( 4 , 3 )
( , )
. . .- ,
. .- . ., . .
- ,
DX = M X [ 2] +
[m ]
= [m ] (1),
x1 + 2 x2 + 2 x3 = 0 ( mod 3 )
( m ) ( z ) , ( z ) m - . -
. .
.
, ; .
.: [1] . ., .,
, . ., ., 1966.
x1 + x2 + 2 x3 = 0 ( mod 3 )
D = {xui } =
x1
x 2 x3
x4
0
1
2
0
1
2
0
1
2
0 0 0
0 1
1
0 2
2
1 1
2
,
1 2
0
1 0 1
2 2 1
2 0 2
2 1 0
xu 3 xu 4 , 3
xu1 + 1 xu 2 + 1
, ,
:
0 1 2
1 2 0
2 0 1
0 2 1
1 0 2.
2 1 0
( p m) - ( ,
; ) m T
; ( p
m m )
( )
, 1
; T , ( m 1)
(
(m 1) ). T
, . . . ,
. . . .
, . , . [3], [4]-
279
.
.: [1] ., , .
., ., 1972; [2] ., , . .,
., 1980; [3] A r c h e r C. O., J e n n r i c h R. I., Psychometrika,
1973, v. 38, 4, p. 58192; [4] J e n n r i c h R. I., Psychometrika,
1973, v. 38, 4, p. 593604.
( t ) = min { k : S k t } , ( t ) = S (t ) t ,
. n t < 0
.
. .,
Yn =
; factorial semiinvariant / cumulant
. ( z ) . ln (1 + z ) Z
m! - m
. . .
( , ).
.: [1] . ., ., , . ., ., 1966.
; factorization identites
(
)
.
1 , 2 , ...
,
f ( ) = M e i 1 , S 0 = 0,
Sn =
j =1
.-
| z | 1,
( Im = 0 )
1 z f ( )
1 z f ( ) = Az+ ( ) Az ( )
(1)
,
Az ( ) , Im > 0
1 z f ( )
. (1)
Az ( ) = exp
e ix dx
n =1
zn
P { S n < x } , | z | < 1
n
,
P { S n = 0} = 0 , n = 1, 2 , ... .
; n
S n
[ Az ( ) ] .
( , [2] ):
P {Yn d x, n = k }
280
0+ = 0 = 0 ,
P { ( t ) dy , ( t ) = l } .
(2)
. .- . (2) ,
.
.
Az , , , ,
; ., t 0
n ( t ) t
n ( t ) ( S k t k , 1 k n
)
n t .
n ( t )
n ( t )
Az
.
n ( + ) n -
.
. | z |
< 1,
< 1 | z | , Im 0
(1 z )
zn M (
exp ( i Yn ) ) =
n=0
Az + (0)
Az + ( )
. .- :
1.
n=0
0k n
n+ = max { k n : S k = Yn } ,
(t ) = S (t ) t .
.
( )
Az+ ( )
Y0 = 0 , Yn = max S k , Y = Y ,
n = min { k n : S k = Yn } ,
(t ) = min { k 1 : S k t } ,
(n , t )
( 0, 0 ) , (1, S1 ) , (2 , S 2 ) ,
n = min { k n : S k = Y n}
min S k ,
0k n
z n M ( exp ( i Yn ) ; n = n ) =
1
.
Az + ( )
z n M ( n exp ( iYn ) )
n=0
2.
z n M ( n exp ( iY n ) ) =
(1 z ) (1 z f ( ))
n = 0
(3)
3. = 1 (3)-
Az+ ( 0 )
z n M exp ( iYn ) =
(1 z ) Az+ ( )
n=0
1. | z | 1 , Im 0
1 M ( z ( 0) e i ( 0) ; ( 0 ) < ) = Az + ( ) .
M ( z ( + 0) ; Y > 0 ) = 1 exp
M ( 0 ) =
n =1
P { Y = 0}
zn
P { S n > 0} ;
n
P{ Y < } = 1 , P {Y = 0} = 0 ,
n =1
6. M exp ( i Y ) =
P { S n > 0}
< .
n
3. , ( ( ) = f ( i ) -
x > 0
M ( z ( x ) e ( z ) ( x ) ; ( x) < ) = e ( z ) x .
M ( z ( 0) e ( z ) ( 0) ; (0) < ) = 1 .
P { n = n } = P { Yn = 0} =
P {1 = x } = c p x1 ( c > 0, p 0, x = 1, 2 , ...) .
P{ ( x ) = n} =
P { n = k } = P { k = k } P {Ynk > 0} .
n 1 ( 1 2 P { S n > 0} ) . | r | <
n =1
<
k - ),
n
( + 0)
< =
lim P < = lim P n
arcsin
n
n
n n
. | z |
< 1,
x
P{ Sn = x } +
n
p x
x 1
P{ S n = x}
P { S n = x 1} ,
+
1 p n
n
f ( n , x )
Az + ( )
d
P { S n < x } , S n - . p = 0
dx
( 1 1) ,
M ( e
(4)
,
x = 0
M ( z ( + 0 ) e i ( + 0 ) ; ( + 0 ) < )
i 1
; 1
< 0}
x
P{ S n = x} .
n
M ( e
i 1
; 1
> 0}
, 1 z f ( )
Az + ( )
P { ( x ) = n} =
e i x d x M ( z ( x ) e i ( x ) , ( x ) < ) =
x
1 d x
f (n, x) +
f ( n , x) ,
dx n
n
P{ ( x ) = n} =
Im 0 , Im > 0
) 1 -
( 2 n)!
;
22 n (n!) 2
( , M1 = 0 , D1
4. ( x ) (x ) :
a) P {1 x } = ce x
P {Yn = 0}
;
2n 1
( ).
2.
.,
( , Y ) -
= er
Im = 0
.
7. k ,
M ( 0 )
< + )
( + ) > 1
(z) , ( ) = 1 z ,
,
0 < z < 1 inf ( ) .
A1+ (0)
,
A + ( )
P{ ( 0 ) = n } =
2. M 1 = 0 , D 1 = 2 < , M ( 0 ) -
0 < Re
5. :
8. r =
(4) -
. .- :
z n
= exp
M exp ( i max ( 0, S n ) ) .
n = 1 n
4.
Az+ ( ) Az+ ( ) .
( , [2] ). 1 e
281
( , [8] ):
Q0 ( z , ) =
z n M ( e i Sn ; N > n ) ,
( s ) = M e i t 1 , ( s ) = ln M e i s (1) , Im s = 0 ,
) 1 z ( s ) = + ( s, z ) ( s, z ) 0 ( s, z ) ,
n=0
Q1 ( z , ) = M ( z N e i S N ; S N a ) ,
Q2 ( z , ) = M ( z N e i S N ; S N b ) ,
N
. . . , , . ( ) .
( , , ) .
.
( . ) . . ,
.
. . ( , [3] ) . ( , [3], [4] ).
. .- ,
. . . .
( t ) ( , [5], [6] ).
z ( z ( ) ) ,
( ) = ln M exp ( (1) ) .
( , [7] ).
.: [1] .,
, . ., . 2, ., 1984; [2] . .,
, .,
1972; [3] . ., . . ., 1962, . 3, 5,
. 64594; [4] . ., . . ., 1969, . 10, 6,
. 133463; [5] . ., . .,
1966, . 11, . 4, . 65670; [6] . ., .
., 1979, . 24, . 3, . 47585, . 4, . 873-79; [7]
. ., . . . ., 1969, . 33, 4,
. 861900; [8] K e m p e r m a n
J. H. B., Ann. Math. Statist.,
1963, v. 34, 4, p. 116893.
; factorization method
.
k , k 1
Sn =
k =1
( t ) . . .
282
( s, z ) = exp m
zk
P{ S k < x } ,
k
e isx dx
zk
P { S k = 0}
k
0 ( s, z ) = exp
k =1
k =1
) [ ( s ) ]1 = f + ( s, ) f ( s, ) ,
f + ( s, ) =
= exp ( e i s x 1) d x ( e t t 1 P { ( t ) > x} d t ,
0
f ( s, ) = exp ( e i s x 1) dx
(e
0
t P { ( t ) x } dt .
t 1
S n ( t ) . .,
S n+ = sup S m , + (t ) =
0m n
= sup ( t ) ,
0u t
M e i s Sn = + ( 0, z ) (1 z ) + ( s, z )
n=0
M ei s
(t )
dt = f + ( s, )
.
.: [1]
. ., . .,
1966, . 11, . 4, . 65670; [2] . .,
, ., 1972; [3] , 2 .,
., 1985.
; factorization theorem
, .
; interaction
of factors D - . . ( ,
)
(
) . N D F1 , ..., Fr ( r 1)
( r )
z = { z1 , ..., z N }T R N ,
N
= 0,
i= 1
z F1 , ..., Fr
z i2
0.
i =1
( r 2 ) - ,
( r 2 ) -
z - D
F1 , ..., Fr
.
( . ) .
, .- .-
.
( ) ; factor
quotient o f a d y n a m i c a l s y s t e m , , .
; Fano
algorithm , ( ).
;
Fano inquality
,
. X , Y N ( ) .
= P { X Y } , ( ) H ( X | Y )
H ( X | Y ) log 2 ( N 1) + h ( ) ,
h ( )
= log 2 (1 ) log 2 (1 ) .
. . .
.: [1] ., ,
. ., ., 1974; [2] . ., .
., , ., 1982.
; utility function . : M
, f , M - .
M - U ,
a f b U ( a ) U (b)
(1)
, (1)- U
.
U , V { M , f } ( , ), g ( x )
, U ( a )
= g (V ( a ) ) .
{ X , A }
(1) , M - P
U (P) =
u ( x ) P( dx )
(2)
( u , X - ), u
, , . . (2) ( , ).
. . .
( , [1] ): ,
- . . .
. . .
.: [1] B e r n o u l l i D., Specimen theoriae novae de mensura
sortis, Comment. acad. sci. imper. Petrop., 1738, t. 5, p. 17592
( . .: Econometrica, 1954, v. 22, 1 ); [2] .,
., ,
. ., ., 1970; [3] .,
, . ., ., 1978.
; utility theory ,
.
, ,
. .
,
( ,
. ),
. ,
.
. .- .
( , [1] ).
( . ) -
( , 4 ). . .- .
. ( , [2] ).
1. .
M -
T M 2 . ( a , b ) T , a f b
( a , b - ) ( a, b ) T , b
fa
b , a - ). f
( a , b -
,
( a f b a f b ) ( a
f b, b f c a f c )
. a f b b f a , a ~ b
( a , b - ). a f b ( a f b
a ~ b ). f f
. { M , f }
. ~ M
M - f f
.
2. . M - U ,
a f b U ( a ) U (b)
,
. U .
283
U , V , { M ,
f}
, g ( x ) , U ( a )
H M , a f b
a, b M a
f h f b h H
, f , . 1: M - f ,
, , M - f
, .
.
{ ( x , y ) }
,
0
, f
,
.
3. . M , [0, 1] a , b M
a + (1 ) b M
1 a + 0 b = a,
a + (1 ) b = (1 ) b + a
[ 0, 1]
( a + ( 1 ) b ) + (1 ) b = a + ( 1 ) b .
. .- 2-:
:
) [0, 1]
c M
f b a + (1 ) c f ab + (1 ) c ;
2 0 ( ) , [ 0, 1]
( f b, b f c ) a + (1 ) c f b, b f a + (1 ) c ;
f -
, U , [ 0, 1]
U ( a + (1 ) b ) = U ( a ) + (1 ) U ( b ) .
(1)
4. . { X , A } , A M
=P ,
X - . Px , x
,
x
1 2
= g (V ( a ) ) .
10 (
. 2- 3
; P , f
f y Px f Py
f X -
. P
, P
284
{ P ( A ) = 1, y p x x A} Py p P
,
U (P) =
u ( x ) P ( dx )
, u , X -
.
, u
, U
(
, . 5, 7, 8 ).
2 3 . .-
.
, ,
. , ,
.
,
,
.
.
.
., ,
(1)
0
1 2
, , (1)
: a M -
; (1)
a - , (1 ) b -
.
.
5. .
. F F
; f , F - , U
1 : U
.
2 : A n
Fn ( A ) F ( A ) , U ( Fn ) U ( F )
. .
4: F ,
F - U 2 ,
U (F ) =
u ( x ) F ( dx) .
(2)
1 , (2)-
u .
U
, (2)- u
. .,
, U
F ( x ) G ( x ) dx , -
, (2)- u
( ).
6. . F
. , .
F ( x ) , F . :
B1 ( 1 - ):
F , G F x -
F ( x) G( x)
, F
(3)
fG;
B2 ( ):
F , G F m x m F ( x ) G ( x ) ,
F f G . [
F ( m x) = 1 F ( m + x + 0)
Q , U ( F ) = U ( G )
F , G
U (( F + Q ) 2 ) = U ( ( G + Q ) 2 )
. .
5. F , U
A 2, B 1 C ,
u ,
U (F ) =
U (Ex ) = x
( m,
) -
,
, .
,
. mF
F2
, F
, U ( F )
= f ( mF , F )
f ( x, y ) x > 0 ,
f ( x , y ) y < 0 ( B1 B2
(5)
( E x , x - ),
U ( F ) = u 1
( u ( x ) F ( dx ) ),
(6)
u , u - . F -
(4)- .
( ). F
, u ( x ) = exp{ c x }, c > 0
. (6) :
U (F ) =
1
ln
c
( e
cx
F ( dx ) .
, C, 1
U (F G ) = U (F ) + U (G )
. F m ,
m . B1 B2
(4)
A 1 , u .
,
x -
x > 0 - , F m ].
( u ( x ) F ( dx ) ) .
, . , .
, F G
,
( + ) 2
F o G ( ). o
. :
U ( F ) = U ( G ) , U ( F o G ) = U ( F ) .
. 6: F
o ,
F F - mF ; F -
). G F
, (3) , U ( F ) < U ( G ) .
U A 1, B 1 ; v
(2) , u
, F (2)-
, B1 , , ,
u , B2 , ,
, u
.
7. .
, ,
. C
:
, U ( F )
= ( mF ) . (5) , U ( F ) = mF . 6-
, F
, ., mF F -
. 6 :
F ,
U A1 ,
U ( F ) = const .
285
8. .
.
. ,
, ., n :
U (F) =
... u ( x , ..., x
1
(7)
(7)- .
, F -
n , j , j -
u ( x1 , ..., xn ) . (7)
(1 , ..., n ) . ,
u ( x1 , ..., xn ) = ( u ( x1 ) + ... + u ( xn ) ) n
(7) (2) , u ( z )
z .
X X (
, , 4 ) u ( x, y ) ;
x y - .
X -
x f y u ( x, y ) w ( y )
, w . ,
,
. ,
.
, w ( y ) = u ( y , y ) u ( x, y )
y - x - , u ( y , y )
y ,
.
( X , )
P ( , [4] )
P f Q
u ( x,
y ) P ( dx ) Q ( dy )
w ( y ) Q ( dy )
P f Q
u ( x, y ) P (dx) Q (dy)
u ( x, y) Q ( dx ) Q( dy )
P P y -
u ( x,
g ( y) =
y ) P ( dx ) . ., P = F
286
u ( x , y) F ( dx ) = 0
(8)
F .
F ( , 4 ) U (5), 1, 1 : U ( F ) = U ( G ) ,
U ( ( F + G ) 2 ) = U ( F ) ( )
. U ( F )
(8) , u ( x, y )
, x -
u ( x, x ) = 0.
.: [1] B e r n o u l l i D., Comment. acad. sci. imper. Petrop.,
1738, t. 5, p. 17592 ( . .: Econometrica, 1954, v. 22,
1 ); [2] ., .,
, . ., ., 1970; [3] D e b r e u G.,
Theory of value, N. Y. L., 1959; [4] ., , . ., ., 1978; [5] . ., . ., . .,
- , ., 1980; [6] Handbook of mathematical psychology, v. 13, N. Y.
L., 196365; [7] A l l a i s M., Econometrica, 1953, v. 21, 4, p.
50346; [8] . ., .: , ., 1983, . 181212.
; phase ,
,
,
,
, , < <
X ( t ) Y ( t )
Y ( t ) . , FXY ( )
X ( t )
Y ( t )
.
, .
.: [1] ., .
, . ., ., 1980; [2] .,
., , . .,
. 2, ., 1972; [3] ., ,
. ., ., 1974.
; phase
diagram ( .,
)
.
.
w ( y ) 0 ,
( , 5 ).
;
state space o f a M a r k o v c h a i n o r a M a r k o v
p r o c e s s
( ).
;
state space o f a r a n d o m / s t o c h a s t i c p r o c e s s ,
(, A , P) ( t ) = ( t , ) , t T
( T )
, ( M , B ) , ( t , )
t - t T
( , A ) ( M , B )
.
.
. . , ,
, ( ., M , B
, M - ).
.: [1]
, 2 ., ., 1985.
; phase transition
.
. .-
. U
(1 , 2 ) . , X
A x A X
U A ( x A )
- -
. U
P , (1 , 2 ) ,
- (
- ) P
- 0 -
( 0
), U
( (1 , 2 ) ) U
. . , .
X . .
.
- .
, . .-
,
.
0 , U
0
,
U 0 - U . .
. . .
, ., . . . ,
. .-
. , . .
. .-
X Y ,
.
. .
, . . . ., . . .- ( ., )
.
,
, (
) . .-
. . . .
. .- .
. = ( ) , -
. .
.
.
, - . .- .
. .- ,
,
., .
. .- ,
( , ),
.- .
.: [1] . ., . .,
. , ., 1985;
[2] ., , . ., ., 1971; [3] ., . , . ., ., 1971; [4] . .,
, ., 1980; [5] L i g g e t t, T h o m a s M.,
Interacting particle system, N. Y. [a. o.], 1985.
;
phase modulation , ,
.
; phase density , .
; faza spectrum , .
; phase frequency characteristic , .
; phase shift / displacement , , .
/
; phase
modulated oscillation
X ( t ) = A sin ( 0 t + a ( t ) )
(*)
, 0 ,
a ( t )
0 - .
. . .
( , ., [1] [4] ); a ( t )
, . (*) a ( t )
287
( ; , [4], [5] ).
X ( t ) ,
( X ( t )
Feller solution
equation
lim M X ( t + ) X ( t ) = B0 ( )
f 0 ( )
( , )
a ( t )
( , ., [1] [8] ). ., a ( t )
,
M [ X ( t + ) X ( t ) ] 2 = D ( )
,
B0 ( ) = 0,5 A 2 e D ( )
cos 0 ,
f 0 ( ) = 0,25 A 2 {G ( 0 ) + G ( + 0 ) }
d t = ( t ) dWt + b ( t ) dt
G( ) =
2 } cos d .
a ( t ) D ( ) = 2 | |
( , [9] ), ,
A 2 2
8
b - ):
1) b ,
2) 2 ,
3) ( ) 2
.
1) (*)-
. 2) 3)
. . .
.: [1] . ., . . ., 1973,
. 37, 3, . 691708; [2] . ., . .,
. , 1979, . 245, 1, . 1820; [3] . ., . . . ., . 50, 2, . 21141.
; Feller transition function
1
1
+
.
( 0 ) 2 + 4 4
( + 0 ) 2 + 4 4
, a ( t )
( ,
).
.: [1] .,
, . ., . 2, ., 1962; [2] . .,
, . 1, 2 ., ., 1974;
[3] . ., ,
. ., . 1, ., 1972; [4] P a p o u l i s A., Probability random
variables and stochastic processes, 2 ed., N. Y. [a. o.], 1984; [5] P a p o u l i s A., IEEE Trans. Acoust., Speech, Signal Proc., 1983,
v. 31, 1, p. 96105; [6] P a p o u l i s A., Trans. 9-th Prague Conf.
Inform. Theory, Statist. Decis. Funct., Rand. Processes, 1983, V. B,
p. 10511; [7] . ., , 4 ., .,
1962; [8] Z a d e h L. A., Proc. IRE, 1951, v. 39, 4, p. 42528;
[9] W i e n e r N., W i n t n e r A., Nature, 1958, v. 181, 4608,
p. 56162.
; Fefferman inequality , .
288
; Feller Markov chain ,
exp{ D ( )
(*)
. . . (
, ,
f0 ( ) =
;
of a stochastic differential
( t , At , Px ) ,
x R d Px
- ). B0 ( )
;
Feller process (E , B )
, E , B
, p ( t , x, ) , t 0 , x E ,
B , , t 0
Pt f ( ) =
f ( y) p ( t , , dy)
Pt : f Pt f ,
t 0 ,
f E -
- .
. [1]- .
. .- . . . ( , ).
(
E ). ., E , ( E , B ) - p ( t , x , )
, E -
, t 0 p ( t , x, U ) 1 , U
x ,
-, ,
( ,
[2] ). . .
.
:
Pt , t 0 -
E -
( , [3] ). ., E
Pt
E - ,
.
,
( ,
[2];
).
. .- , .
,
,
( , [4] ). .
.: [1] F e l l e r W., Ann. Math., 1952, v. 55, p. 468519;
[2] . ., , ., 1963;
[3] W a l s h J. B., Ann. Math. Statist., 1970, v. 41, p. 167283;
[4] . ., . ., 1981, . 26, . 3,
. 496509; [5] . ., . , 1982, . 263,
3, . 55458.
; Feller semigroup , .
; Fermi Dirac statistics
( 1 2 , 3 2 , ...) ,
= 1)
( n p
= 0) .
, i
= Pi 2 2m Gi
Gi >> 1 . { N i } , N i n p - .
,
W ( Ni ) = i
Gi !
N i ! ( Gi N i )!
.
, E
N
i
N
i
ni = N i Gi = ( ( i ) + 1) 1 , ,
T .
.: , . - .,
, . 1, ., 1984.
;
fermion space , .
; Fernique
theorem , ;
/ ; c h a n n e l fading
,
(
) ( ). .
;
,
( ., ) . .
. .
. ,
( )
. (
), ,
. [ 0, 2 ] ,
. . . w ( x )
w ( x )
= ( x 2 ) exp{ x 2 2 } (
) w ( x )
= ( x 2 ) exp{ ( x 2 +
+ a 2 ) 2 } I 0 ( a 2 ) ( ) .
.-
,
, , .
.: [1] ., , . ., ., 1973.
; Feynman Kas formula ,
.
; difference pseudomoment , .
289
( , [1], [2] )
, x o x ( ( t )) , i ( t ) t , , [ 0, 1] -
i ~ N ( 0, 2 )
yi = T f ( xi ) + i ,
i = 1, ..., N
.
yi , f ( ) -
T
ei* = | yi T f ( xi ) | i1 ( 1 f T ( xi ) M 1 f ( xi ) ) 1 2
M =
yi -
, D - ,
D -
; ( ,
[3], [4] ).
D
d 0 ( x, y ) = inf { > 0 : ,
( i , yi -
.
( D , d ) , .
f ( xi ) f ( xi ) ). . .
i =1
. . . . .-
, yi
, hi :
xo y
sup { | ln ( ( ( t ) ( s ) ) ( t s ) ) | : t s } }
.
D - [3]- . A D ,
, ,
A -
w x [ 0, ) , w x [1 , 1) , w x ( ) 0
x A -
hi = f T ( xi ) M 1 f ( xi )
w x (T ) = sup { | x ( s ) x ( t ) |: s, t T } ,
.
.: [1] . ., , ., 1987, . 224
42; [2] ., .,
, . ., 2 ., . 12, ., 1986; [3] A t k i n s o n A.
C., Plots, transformations and regression, Oxf., 1985.
w x ( ) = sup { min { | x ( t ) x ( t1 ) | , | x ( t 2 ) x ( t ) | } :
( ) 2
2 ; space o f r i g h t continuous functions with left limits / spac e o f C A D L A G f u n c t i o n s
, [ a, b) -
, ( a, b] - [ a, b ]
. , , 2-
.-
-
. .
2- .
2- .-
: , D = D [ 0, 1] ,
[ 0, 1) - , ( 0, 1] -
, [ 0, 1]
.
= sup { | x ( t ) | : t [ 0, 1] }
, D - C [ 0, 1] -.
D
d ( x, y ) = inf { x o y + i : }
290
t1 t t 2 , t 2 t1 , t1 , t , t 2 [ 0, 1] } .
D -
. . C [ 0, 1] ( )
. D,
.
B
( )
B
( , [5] ),
( , [6] ). , C ( )
.
2- .- [2]- .
.: [1] . ., . , 1955, . 104,
. 3, . 36467; [2] . ., .
., 1956, . 1, . 3, . 289319; [3] . .,
. ., 1956, . 1, . 2, . 23947 ( .:
, ., 1986, .
38493 ); [4] . ., . ., 1956, . 1, . 2, . 177238; [5] D u d l e y R. M., III. J.
Math., 1966, v. 10, 1, p. 10926; [6]
.,
, . ., ., 1977; [7] . ., . , 1972, . 27, . 1, . 341;
[8] . ., . .,
.
S S ; S space
, ,
; space
, .
,
; space with topology ,
.
, ; space of elementary events , .
, ( ) ; decision space ,
, .
0 C ( X )
f1 , ..., f n > 0
:
f i ( x) d ( x)
f i ( x) d 0 ( x) < .
C ( X ) -
X ( , [2] ).
C ( X ) - ( G )
, , , (G) -
C ( X ) -;
(G) . C ( X ) -
.- .
X -
C ( X ) .
X - ( ) ,
, C ( X ) ( , [1], [2] ).
K , C ( K )
= sup { | x ( t ) | : t K }
K -
( , [3] ).
C ( K ) -
( C ( K ),
) -
.
K = [ 0, 1] . 2-
.
C ( K ) - .
C [ 0, 1] ,
, , ( , [4] ).
.: [1] ., , . ., .,
1975; [2] K e l l e y J. L., N a m i o k a I., Linear topological spaces,
N. Y. [a. o.], 1963; [3] . ., . ., , , 2 ., ., 1967; [4] . ., , . ., ., 1961; [5] , 2 ., 1972.
, ; space
of measure
. ( X , G ) , G
, C ( X ) , X - ,
f = sup f ( x )
x X
. ( X , G ) , C ( X ) -
C ( X ) G ( S ) -
. , C ( X ) -
( f ) =
f ( x ) d ( x )
( , [1] ).
C ( X ) - , -
,
*
M C ( X )
; M - .
. M
C ( X ) - . M - M - . ( X , G )
, M -
( n ) - , M ( , [1] ).
( X , G ) ,
M - ( P, Q)
.
- . P M
, P -
- .
X ,
M - -
.
.: [1] . ., . ., 1940, . 8, 2,
. 30748; 1941, . 9, 3, . 563628; 1943, . 13, 23, . 169
238; [2] ., ., .
, . ., . 1, ., 1962; [3] .
., . ., 1950, . 1, . 2, . 177238;
[4]
., ,
. ., ., 1977; [5] ., .
, . ., ., 1977.
, ;
state space o f a M a r k o v c h a i n ,
,
; state space o f a r a n d o m p r o c e s s
, .
291
, ,
. ., ( ) i (t )
, . . .- ( t + 1) -
( t + 1)
:
( t + 1) = 1 ( t ) + ... + ( z (t )) ( t ) .
(n) = n
; ( n)
.
.: [1] . ., . .,
. ., 1974, . 19, . 1, . 1525; [2] . ., . ., 1974, . 19, . 2,
. 31939; [3] . ., . ., 1975,
. 20, . 2, . 43340; [4] . ., .
., 1977, . 22, . 3, . 48297.
; fiducial probability -
. . , , ,
, . ,
, (5)
. (5)
. . .
( A. P. Dempster, 1963 ), . . . ( D. A. S. Fraser,
1961 ), ( 1961 ) .
.: [1] . .,
, ., 1968; [2] F i s h e r R., Proc. Camb. Philos. Soc.,
1930, v. 26, p. 52835; [3] F r a z e r D., Biometrika, 1961, v. 48,
p. 26180; [4] . ., . , 1970, . 191,
4, . 76365.
; fiducial interval F ( | x ) = 1 F ( x | )
,
, x ,
F ( x | ) - . x x
(
) .
. . ( R. A. Fisher ) .
. T
, g ( T , ) , T -
F ( | x)
, - .
. . .- 1 ( x ) 2 ( x ) -
P { g (T , ) < } = F ( )
(1)
. 1
. .
inf { F ( 2 | x ) F ( 1 | x ) } = 1
x
g (T , ) <
> h (T , )
(2)
. (1)
P { > h ( T , ) ] = F ( )
. T0 , T
(3)
P { > h ( T0 , ) ] } = F ( )
(4)
- .
., N ( , 1) n
x . y
P x <
=
n
= ( x ) ~ N ( 0, 1 n )
Px -. -
F ( x | ) -
=
= 1 F ( x | ) ( x
*
, x - F ( | x )
= 5,832 ,
P > 5,832
= ( )
n
; fiducal distribution P = { P , } x - .
( , [1] ) , x
1
dy = ( ) .
N y 0,
n
. . F ( | x)
.
- , , .
,
.
.: [1] F i s h e r R., Proc. Camb. Philos. Soc., 1930, v. 26,
p. 52835; [2] . ., , ., 1973.
(5)
).
. . ( ,
[2] [4] ). g G - X -
. x - P g x -
292
Pg () ,
. : X D
( , ( g x )
= g ( x ) x g - )
L ( d )
( ,
Lg ( g d ) = L ( d ) , d g -
) . G , P :
0 P0
; filter phase
,
.
, .
( ) ; filtering o f s e m i m a r t i n g a l e , .
( )
; s i g n a l filtering
. . s (t )
x , g G , g x
P .
D , - [ B ()
s ( ) s ( t ) -
B ( X )
. s ( ) - x ( )
; , G
B B ()
].
G -
D - ( g ) ( B ) ( g ( B ) )
. . .
L ( ( x ) ) d P ( x )
P* =
= { Px* : x X } .
G X - , . .-
P * = { Px* : x X } S ( x )
P { S ( x ) } = Px* { S ( x ) }
-
[ S ( x ) - S ( x ) g G
g S ( g x) ].
. . . [1]- .
. ., 1, 2, 3, ... ,
n ,
1, 2, 3, ... , ..., 3, 2, 1
, ,
,
. t - t > 0 t -
.
( ,
; ).
.: [1] L e v y P., Ann. sci. cole norm. supr., 1951, t. 68,
p. 32781; [2] - , .
. ., ., 1964.
h ( t , ) x ( ) d
h ( t, ) M x ( ) x ( u ) d ,
u [ t 0 , t1 ]
t0
.
x( ) s ( )
, .-
. .
.-
( , [2] ).
.: [1] ., , , . ., . 1, ., 1972; [2] . ., . ., , ., 1974.
of
random
.
<
t1
M x (u ) s (t ) =
, h ( t , )
t0
..., 3, 2, 1 n
t1
s ( t ) =
.
.
u [ t 0 , t1 ]
M | s ( t ) s ( t ) |2 s ( t )
L ( ) d ( ) L ( ) d ( )
x (u ),
)
; filtering
p r o c e s s e s , ;
; filtering equation
for filtering density of a diffusion proc e s s
( t , x )
:
( t, x ) = ( t, x )
( t , x ) dx ,
( t , x ) 2-
. , ,
. ( t , x )
293
( t, x )
. . -
.
.: [1] . ., . ., , ., 1974; [2] . ., , ., 1983.
; filtering equation f o r d i f f u s i o n p r o c e s s e s
t [ f ] = M [ f ( ( t ) ) | Y ( s ), s t ]
; final probability o f a b r a n c h i n g p r o c e s s , ; .
; final reward
, .
; final type
i n a b r a n c h i n g p r o c e s s
( ), Y ( s ) ( -
( , ).
,
.
), f . t [ f ] -
; finitary flow
, (t )
,
. . . . .
[1]- .
.: [1] . ., . ., , ., 1974.
; gain of a filter , .
; filtered
Poisson process , .
; final
probability E
i j -
pij ( n ) - n
j E
i -
= 1 p j . . .- -
.
. ., , , E 1-
,
( , ; ).
. .-
- 1
; E
, .
p j 1
i j
.
( ).
E = {0, 1, 2 , ...} , p00 = 1 , pi ,i +1 = p , pi , i 1 = 1 p , 0 < p < 1 ,
; finiterange potential , ( ) .
; finitary
boundary , ;
.
; Fisk integral , .
; Fisk Stratonovich integral , .
; Fisher approximation ,
.
;
Fisher transformation
2
. n n -
. n ,
2
, { n } , 2
M n
x R, x :
2 n
2
P n
x = ( x ) 2 ( x )
3
2n
= {1, 2 , ...} .
1 / 2 , . .- p0 = 1 , p j = 0 ,
1
,
n
= ( x) + O
j 1 . p > 1 / 2 , i = 0, 1, 2 , ...
i
. .- .
, .
294
lim pij ( n ) = 0 ,
j 1
1
2n
2
1
1
+ ( 5 ) ( x ) + ( 3) ( x )
+ O 3 2 =
9
2n
n
, R
1 p
,
lim pi 0 ( n ) =
n
p
= n, D n2 = 2n -
. , n - ,
i = 1, 2 , ... , E = C U R , C = { 0}
p
, .
( x)
(1)
( x ) = ( x ), r ( x ) = ( r +1) ( x ).
.
, , n -
2 n2 -
2n 1 1 - .
, n x R , x
P 2 n2 2n 1
1
x = ( x ) 2 ( x )
1
2n
i , i
+
n
(2)
. . .
. , , > 0 .
m
P { m } = P { 22m + 2 2 }
; (2)
:
4 ( m + 1) 1 ] =
= [ 4 m + 3 2 ).
(3)
25
X =
1
n
( X 1 , Y1 ) ,
( X 2 , Y2 ) , , ( X n , Yn )
, , ,
:
P { X i < x, Yi < y } =
( x 1 ) 1
( x 2 ) 2
2 1 2
( u 2 2 u + 2 ) 2 (1 2 )
du d ,
1 = M X i , 12 = D X i , 2 = M Yi , 22 = D Yi ,
1
1 2
M ( X i 1 ) ( Yi 2 ) .
X i Yi
Xi , Y =
i =1
1
n
Y .
i
i =1
2 n 3
( 1 2 ) ( n1) 2 ( 1 r 2 ) ( n4) 2
(
n
2
)
n + m 1 ( 2 r )m
, | r | < 1,
pn ( r ) =
2
m!
m=0
|r|1
0,
. . [2]-
r - z
z =
1+ r
1
ln
= arg th r
1 r
2
, , , n - ; n -
z , :
Mz =
1+
1
+
ln
1
2 ( n 3)
2
Dz =
3 2
+ ...
1
4
(
n
3
)
1
1+
,
ln
2
1
1
2
1
2 6 2 + 3 4
+ ...
.
1
n 3
2( n 3 )
n
3
6 ( n 3)2
z H 0 : = 0
, , H 0
z z ; Fisher z transformation
( Yi Y ) 2
i =1
. [1]- , r n 3
4x +1 2
.
.: [1] . ., . .,
1963, . 8, . 2, . 12955; [2] . .,
, . ., ., 1977;
[3] G r e e n w o o d P. E., N i k u l i n M. S., A guide to chisquare
testing, N. Y., 1996.
. (3)
( X i X )2
i =1
= ( x) + O
( X i X ) ( Yi Y )
i =1
r =
1 1 ( 3)
1
1
( x ) ( 3) ( x )
+ O 3 2 =
6 12
n
2n
P { m } 1 [ 4
| | 1 .
z
.
.: [1] F i s h e r R. A., Biometrika, 1915, v. 10, p. 50721;
[2] F i s h e r R. A., Metron, 1921, v. 1, 4, p. 332;
[3] . ., . ., , 3 ., ., 1983; [4] . ., , . .,
., 1977.
; Fisher exact test , ,
.
295
F F ; Fisher F distribution , F , , ,
pab ( x ) =
1
( a b ) a 2 x b 21 [ 1 + ( a b) x ]( a +b )
B[ a 2 , b 2 ]
, ( 0 , ) -
, a, b
>0
F = 22 s12 12 s 22
1
= 2
m 1 n 1
. F .- ( . F .
).
, B ( a, b )
. a
x
>2
= ( a 2) b a (b + 2)
b > 2
. . F .-
b ( b 2) -, b > 4 2b ( a + b 2 ) a ( b 2 ) 2
2
( b 4 ) - . . F -. 2-
( VI ). . F .- a 2 b 2
X 1
X 2
= b X 1 a X 2 -
Fa ,b
. Fa ,b
Ba ,b ( x )
:
( a b) x
.
P { Fa ,b < x } = Ba 2, b 2
1 + (a b) x
. F .
.
a = m b = n ,
Fm n =
m2
n2
(*)
F m n
2
F , m n
, m n
.
. F .
2
. X 1 , ..., X m Y1 , ..., Yn , ( a1 , 1 ) ( a2 , 2 )
.
s12 =
1
m 1
(X
X) ,
1
n 1
(Y
Y)
s22 =
, 1
, X
b = 10; (3) a = b = 10 .
F F , ,
, , ,
.
. F .-
. m = 1 (*) Fmn - n - . . F .- .
. F .- .
( , [1] ) , , ,
z ,
1
ln F . z
2
. , . F . .
( G. Snedecor, 1937 ) .
. F .-
F z =
.
, , z .
.: [1] F i s h e r R., Proc. Intern. Math. Congr. Toronto, 1928,
v. 2, p. 80513; [2] ., .,
, . ., ., 1966; [3] ., , . ., ., 1980; [4] . .,
. ., , 3 .,
., 1983.
z z ; Fisher z distribution
296
F : (1) a = b = 2 ; (2) a = 4,
m, Y =
Y
j
p( x) =
= 2 m1m1 / 2 m2m2 / 2
( ( m1 + m2 ) / 2) e m1x
( m1 / 2 ) ( m2 / 2 ) ( m1e 2 x + m2 ) ( m1 + m2 ) / 2
(, ) -
m1
1 , m2 1
. . z .-
:
f (t ) = [ m2 m1 ]it
( ( m1 + i t ) 2 ) ( ( m2 it ) 2 )
.
( m1 2 ) ( m2 2 )
(1 m2 1 m1 ) 2 (1 m2 + 1 m1 ) 2 .
F
m1 m2 F ,
1
ln F 2
m1 m2 . z .-. -
; Fisher Yates test ,
.
z =
F
. [1]- 1924-
. ,
. z .
. . z .
z ,
F .
-
.
;
FKG inequality ., ; Fock space
. H ( )
H s,an ( s)
(a ) ( n ;
, [1] ).
; Fisher Irwin test ,
,
f ij , i = 1, 2 , j = 1, 2 -
f i. =
f ij ,
f. j =
f ij , i, j = 1, 2 -
. H 0 : pij
= pi. p. j
Fs , a ( H ) = n = 0 H s, an ,
. H = L2 ( , ) [ ( , ) -
f11
P { f ij | f i. , f . j , i , j = 1, 2}
H 0 -
( , [1], [2], [3] ).
[2], [6]- .
.: [1] ., ., , . ., ., 1973; [2] . ., . ., , 3 ., ., 1983;
[3] G i b b o n s J. D., .: Encyclopedia of statistical scienes, v. 3,
N. Y., 1982, p. 11821; [4] L i e b e r m a n G. J., O w e n D. B., Tables of the hypergeometric probability distribution, Stanford ( Calif. ),
1961; [5] V i l a p l a n a J. P., Table of hypergeometri probability
distribution, pt. 2, Panama, 1976; [6] ., .,
, . ., .,
1985; [7] P r a t t J. W., G i b b o n s J. D., Concepts of nonparametric
theory, N. Y., 1981; [8] F i s h e r R. A., J. Roy. Statist. Soc., 1935,
v. 98, p. 3954; [9] Y a t e s F., J. Roy. Statist. Soc., 1934, v. 1,
p. 21735; [10] I r w i n J. O., Metron., 1935, v. 12, 2, p. 8394.
Fs ,a ( L2 ( , ) ) xi , i = 1 , ..., n
], . .
, p , . H 0 -
H s, a0 = C 1 ,
= f0
f n ( x1 , ..., xn ) d ( x1 ) ... d ( xn ) .
n = 1 n
.: [1] . ., , 2
., ., 1986; [2] ., .,
, . ., . 1, ., 1977.
297
( f L) , { a ( f ), f L }
,
( , H -
):
a ( f1 ) a ( f 2 ) m a ( f 2 ) a ( f1 ) = 0,
a ( f1 ) a ( f 2 ) m a ( f 2 ) a ( f1 ) = ( f1 , f 2 ) E ,
j j ( ti
[ i L -
j =
( s ) ( a ) ]
, L -
:
i =1
= n ( i f ) ( 1 ... i ... n )
i
a ( f ) 1 = 0 , 1 Fs ,a ( L ) .
; Fokker Planck equation , , , ,
, .
;
Fokker Planck Kolmogorov equation ,
, .
:
p
yi =
j =0
298
j ti
+ i =
t
i
j 1 ( t i
) j 2 ( t i )
( ti ) = 1 .
(1)
:
1) j =
y
i
( ti ) ;
i =1
2) D ( j ) = D ( i ) = 2 ;
3) s 2 = 2 = ( n p 1) 1
y
i =1
2
i
j =1
2
j
, p -
0 , ..., p
,
p +1 =
yi p +1 ( ti ) ,
i =1
( 2 ) p +1 =
; Forsythe
method / algorithm
,
.
yi -, i = 1 , ..., n -
i =1
i =1
( , [1] ),
j (2) :
(2)
i =1
s ,a
j =
ti 2j 1 ( ti ) ,
a ( f ) ( 1 ... n ) s ,a =
1
n
j j ( t ) = ( t j ) j 1 ( t ) j j 2 ( t ) ,
{ a ( f ), f L } , L , L - s ,a
1 ( t ) = 1 t
. Fs ,a ( L )
(1 ... n )
0 ( t ) =
. H a ( f ) , f L
(2)
. ,
, a ( f ), a ( f ) -
i =1
( ) , (1)
k = j,
, 0 k, j p
k j,
1,
0,
(t ) (t )
j
( , ) , L - , -
(1)
j j ( t )
(1)
, + -
M i = 0 , D i = 2 ,
) + i ,
j =0
n p 1 2
1
( ) p
2p +1
n p2
n p2
.
.
.: [1] F o r s y t h e G., J. Soc. Industr. Appl. Math., 1957,
v. 5, p. 7488; [2] ., , .
., ., 1970.
; Fortet
Kharkevich Rozanov spectrum ,
.
; Fortet Mourier metric
( , ; ). (U , d )
, X U - -
= { f } U -
Gq
, :
| f ( x) f ( y) |
L p ( f ) = sup
:
d ( x, y ) [ max (1, d ( x, c ), d ( y , c ) )] p 1
x y, x, y U 1, p 1, 0 < q
= sup{ | f ( x ) | : x U } q
, c , U - .
. . .- : 1) ( X , Y ;
, 2) ( X , Y ;
G11 )
G1 )
( , [2] ).
q < , . . . X - . X n X c U
mn = M d p ( X n , c ) < , n = 0, 1, ... ,
( X n , X 0 ; Gp ) 0 , n mn m0
( X n , X 0 ) 0 (
).
; Foster
criterion , .
; fractal , .
.
( . , ,
);
. .
. [1]-,
: . ,
,
. ( . )
,
, ,
( . ) ( , [2]-, ).
;
, ,
, , . M ( . )
: x U n ( x )
, - .
[ ., , ,
rn - ,
D , y - ( y x ) rn -
g n : U n D ; g n (U n I M ) , ( , , )
- ]
. .
, . ,
, , ,
, .
( ., ) ,
. .
, :
. ( , [1] )
. ,
. ,
fraction ( .
) ( )
fractus .
. .- , , , , .
, .
. , (
; , [4]-
): .
; .
,
. , ,
.
. ( K. Weierstass ) . - ( B. Van
de Wairden ) , . ( G. Peano ), .
( H. Koch ) . ( D. Hilbert ) , .
( W. Sierpinski ) .
-
.
;
.
( .
) .
299
, , ,
[2], [3].
, ., , ,
, , .-. .
. ,
, . .
4
10 , 10
. -
, .
. ( ., - .-;
). ,
, ,
. , ;
:
?
,
.
.- , .
( , , [4] ).
.: [1] M a n d e l b r o t B. B., On fractal geometry and a few of
the mathematical questions it has raised. Proc. Intern. Congr. Math.,
Warszawa. 1983, v. 2, Warszawa, 1984, p. 166175; [2] . ., . ., , . ., .,
1993; [3] C a r l e s o n L., G a m e l i n T. W., Complex dynamics,
N. Y., 1993; [4] F a l c o n e r K. J., The geometry of a fractal sets,
N. Y. [a. .], 1985.
; fractional brawnian motion , .
( ) ; fundamental lemma o f
m a t h e m a t i c a l s t a t i s t i c s ,
.
; fundamental matrix o f a M a r k o v c h a i n
, ;
; functional redundancy , .
; path integral , .
; d i s c r e t e Fourier transform , .
-
{ A , }
( ) =
A ( g ) ( dg )
(*)
( ,
G ).
.
G , G - . . ( ) :
1) . . ( )
;
2) A , A ( g ) = I g G , ( )
= I -
, I , H - .
3) . .- { ( ) , }
;
4) 1 2 1 2 , . .
1 ( ) 2 ( ) -
5) ( B ) = ( B 1 )
( B
= { g G : g 1 B } ),
( ) - ; ,
, , ( ) -
;
6) G - n - ,
, , n ( ) ( ) ,
.
G ( ., ),
, . -
. (*)
.
G ,
, G . ,
G - - . . G
( ) =
( g ) ( dg )
G -
( ) . ( ) , G
G
.
1) 6) ( ) -
Fourier transform
. .,
tion on a
;
of a probability distribug r o u p G -
300
( 1 ) = 1 ,
1 G
( ) 1 ;
1 ( ) 2 ( ) =
= 1 ( ) 2 ( ) . , ( ) -
.
, G
= R R ,
1
t ( x ) = e , x G = R1 , t G = R1
itx
. . -
,
( t ) =
R1
exp { i t x } ( dx ) .
.: [1] .,
, . ., ., 1965; [2] .,
, . ., ., 1981.
; f i n i t e Fourier transform
, .
; f a s t Fourier transform
, .
; Fourier Stiltjes
transform , .
;
Gelfand integral B -
. ( , B , ) , B , , , B -
X , - B -
B -
B -
~ 2
D (T ) = F : p 2 ( F ) = ( n + 1)! f
< ,
n +1
~
f n , f n - .
F D ( T ) . . .
x ( X )
X - x
, x X
x ( x ) =
. x
.
, . . -
.
.: [1] . ., . -. . .
. . . i. . . ., 1936, . 13, . 1,
. 3540; [1] ., ., , . ., 2 ., ., 1962.
( )
; l a g w i n d o w generator , .
( ) ; generator o f a p r o c e s s
; . , , , .
;
extended stochastic integral ( , . )
- , w
. . . .- .
( ,
[1], [2] ). ( , A , P ) , A = {w } , H =
= ( Ft )
F =
I n ( f n ( , t1 , ..., t n ))
n=0
, f n ( )
L2 ( R +n+1 ,
n +1
) , I n -
302
n +1 (
f n ( t , t1 , ..., tn ) )
n=0
, T ( F ) = 0 , T (F )
x ( x ) d
. H - F
. -
= L2 ( R + )
T (F) =
= p 2 ( F ) .
H - ,
F D ( T ) T ( F )
d w t - .
F T (F ) H - L2 ( ) - .
T D .
F H , D ( D )
DFt
2
H
dt <
, F D ( T )
M T (F )
= F
2
H
+ M
DFt ( s ) DFs ( t ) ds dt .
T D :
D ( D ) , F D ( T ) , M D , F = M T ( F )
;
, ,
L2 (R + ) -
.
. . . , , ,
( , F , P ) ,
F L2 (R + ) - -
,
.
. . . P F
( , [3] ). . . .
D ( T ) -
.
, T
. : F = wT I [ 0,T ] .
T ( F ) = wT2 T .
( . . .; , [4],
[5] ). F H , { ei } , L2 (R + ) -
. F dw t
F , ei I i ( ei )
D Ft
d t < , DFt ( s ) -
, . . . , T ( f ) + tr D F - . . . .
- .
. . .
.
.: [1] . ., . .,
1975, . 20, . 2, . 22337; [2] . ., . ., .: -
. ( 2530 1974 ), . 1, ,
1975, . 12367; [3] . ., . ., 1987, . 32, . 1, . 11424; [4] N u a l a r t D., Z a k a i M.,
Probab. Theory and Related Fields, 1986, v. 73, 2, p. 25580;
[5] ., . . ., 1984, . 24, 1,
. 121130; [6] . ., . .,
. , 1973, . 208, 3, . 51215.
; broadcast channel , .
~
Y , Y1 ,
~
~
y1 , ~
y 2 | y ) , Y , Y1 ,
Y2 p ( ~
~
~
~
Y2 , ~
y1 Y1 , ~
y 2 Y2 , y Y . . .
K = 1 , L = 2
( , )
. ( M = 3 ):
,
.
1- A1 = { 1, 2 , 3}
2- B1 = {1, 3} ,
B2 = { 2 , 3} , C1 = {1} , C2 = { 2} . ,
,
. . .-
y1 , ~
y 2 | y ) - ,
p ( ~
p( ~
y1 | y ) p ( ~
y 2 | y ) (
(U , Y , Y1 , Y2 ) -
(U
U Y + 2
); ,
p (u , y , ~
y1 , ~
y2 ) = p ( u , y ) p ( ~
y1 , ~
y 2 | y ) -
y1 , ~
y 2 | y ) . .-
, p ( ~
R =
= { ( R1 , R2 , R3 )} , . . . .
. . .
p1 ( ~
y1 | y ) p2 ( ~
y 2 | y ) q ( ~
y2 | ~
y1 ) ,
~
~
~
y1 Y1 , ~
y 2 Y2
p( ~
y2 | y ) =
q ( ~y
~
y1
|~
y1 ) p ( ~
y1 | y )
, . .
( . ) ( ) . . .-
y Y ,
~
~
y1 Y1
p1 ( ~
y1 | y ) = 0 p1 ( ~
y1 | y ) = 1 , . . .
. .- .
., . .- (
. .- ). . . ,
. .
.
.: [1] . ., . .,
, ., 1982; [2] ., .,
, . ., ., 1985; [3] C o v e r T., IEEE Trans.
Inform. Theory, 1972, v. 18, 1, p. 214.
; abyusted range , .
; Gibbs phenomenon (
).
. .
( , , A1 = {1, 2 } ,
) . f ( x )
B1 = C1 = { 1} , B2 = C 2 = { 2} )
, a f ( x0 0 )
(
, , A1 = { 1, 3} , B1 = { 1, 3} , C1 = { 1} , B2 = { 3} ,
C2 = { 2} ).
s n ( x ) -
{ x : 0 < | x x0 | < h }
~
0 R3 I (U ; Y2 ) ,
~
~
0 R1 + R3 min { I ( Y ; Y1 ) , I ( Y ; Y1 | U ) + I (U ; Y2 ) } ,
~ ~
( I ) ( U , Y , Y1 , Y2 )
f ( x0 + 0 ) b . A < a b < B
A = lim s n ( x),
n
. .- R
( ) .
. .- R - . ., . .-
( R1 , R3 ) ,
f ( x) - x0
x x0 0
B =
lim s n ( x ) ,
n
x x0 + 0
x0 s n ( x) . . . . .
,
, .
. .
.
(
), .
303
.: [1] . ., , . 1,
., 1977, . 958; [2] ., ., , . ., ., 1982.
; Gibbs limit state , -
( ) . -
.
-
;
Gibbs distribution
.
d R d ( )
N . . N
X 1 , ..., X N
(1)
, , U
.
, ,
.
- . . . ,
N -
pN ,
, H ( x1 , ..., x N ) , x1 , ..., x N - -
, Z N ,
,
p - 1- ;
= N = const
, - . . U
e N
N,
=
N!
N =0
e N
, N
N!
(4)
, N -
.
, ,
H
.
, H ( x ),
N
. . . , -
x [ 0 , )
, ,
H ( x1 , ..., xN ) =
1
2
( | x x
i
(2)
|)
i j
. ,
H ( x1 , ..., xN ) =
1
2
(|x x
i
i j
|) +
U (x )
i
(3)
H , U ( x ), x ,
, . ,
e
, dist ( x , ) 0 U ( x ) 0 .
H ( x1 , ..., xN ) =
( ) .
, ,
N
- ( x1 , ..., x N )
N { x1 , ..., x N }
. , . .
.
.
, ,
N N
304
N . .
.
. .
(
. . ), . ., ( . . )
.
N - H . . . (1) , H ( x1 , ..., x N ) = H
.
, -
=N
= H - , -
U , -
,
. e . . . .
( . . ) .
- t T . .-
. U
= { U A (xA ), A T }
, T
( X , B , m ) . .
p ( xt , t ) = exp ( H ( xt , t ) ) Z
( )
,
H ( xt , t ) =
A ( xt
, t )
Z .
. ., , U -
. . .
. .- . U ,
.
.: [1] ., . , . ., ., 1971; [2] D o b r u s h i n R. L., T i r o z z i B., Comm. Math. Phyz., 1977, v. 54, 2, p. 17392; [3] E l l i s R., Entropy. Large deviations and statistical mechanics, N. Y.,
1985; [4] G e o r g i i H.-Q., Canonical Gibbs measures, B. N. Y.,
1979.
; Gibbs
postulate , .
; Gibbs density , .
; Gibbs finite state , .
U = {U A ,
H ( x) =
, R U { } - , x A X
- . , T
A - . T x X T
H ( x | xT \ ) =
U A ( xA )
(1)
A T , A , | A |<
, x A , x A - -
= Z d d
X m
= { 1, 1} , T = Z d ,
U A 0 A = {t }
A = { s , t } , | s t | = 1 ,
. X
. T = Z , ,
,
. . . .
;
,
p ( x | xT \ ) d
. ., X
, ,
.
Z . . .- . U {t , t 1} ( xt , xt 1 ) = ln pt ( xt | xt 1 ) , pt ( xt | xt 1 )
,
A { t , t 1} , U A 0 .
= Zd , X = R
H ( x) =
(4)
U s , t x s xt
s , t Zd
U A , | A | ,
A (xA )
.
,
A T , | A | < } A T A
AT
U s, t R
|U
sup
t Z d
s ,t
|<
s Z d
.
.
U
= {U ( A )}
, A , R
. x R -
( xT \ ) =
exp { H ( x | xT \ ) } m ( dx )
(2)
, m , m | | . , m
H ( x | xR d \ ) =
UA
A x: A
(3)
, R x = x I . ,
. x , xT \
. . . ,
, - -
p ( x | xT \ ) = exp{ H ( x | xT \ ) } Z ( xT \ )
, (1) (2)
, (3)- .
xT \ .
= { X ( t ), t T \ } = { X ( t ), t } - -
T X T \
X
m (3)- , { X t , t T }
.
( . ) .
. . .
1 .
d
, , , Z
X U A ( x A )
. X
X - ,
.
305
sup | U ( x A ) | <
: 0 A
V - , PV ( | xW ) W Z d \ V
(5)
xA
. U . . .- Zd
, X - S (U )
( )
. ,
. U . . . , n ,
xZd \V , n = 1, 2 , ...
n
(6)
xA
A: 0 A
.
(5) , (6)
, ,
.
( d .
) ( , [1], [2] ):
sup
t Zd
s, t
< 1.
(7)
st
s, t Z , s t
d
x , x
s ~
.
. . .-
. - U = { U }
- . -
U , x -
,
,
, .
. . .
. ., (5) (7) : PV
306
d
, V Z
lim
sup var ( PV ( | xW ), PV ) = 0.
dist (V , W ) x
W
, sup | U ( x A ) | -
xA
(8)
diam A
, (8)-
. (6) ,
.
,
. . . S (U )
( ) d . , . -
( ., ) . .
,
(4)
. ,
V Z
xt R ,
t V
, c > 0
u s ,t xs xt c
s , t V
(x )
t
(9)
t V
, t Z
,
. . . . 0 -
. . . .
. (9)
. ., . d = 1, 2
( xs xt ) 2
s , t Z d : | s t | =1
. . . . d = 3 ,
,
.
.: [1] . ., . .,
1968, . 13, . 2, . 20129; 1970, . 15, . 3, . 46997; [2] . ., . ., 1968, . 2, . 4, . 31
43; [3] . ., . ., . , ., 1985; [4] ., , .
., ., 1977; [5] . ., , .,
1980; [6] D o b r u s i n R. L., Gaussian random Fields Gibbsian point
of view, .: Multicomponent random systems, N. Y. Basel, 1980,
p. 11959; [7] P r e s t o n C h., Random Fields, B., 1976; [8] R u e l l e D., Thermodynamic formalism, Reading ( Mass. ), 1978.
; input / arrival
flow / stream . . . , t n R
;
, , ( t n t n +1 ). t n -
n-
. .- n -
.
. .
. . .-
. .-, . .- .
, . .
.
. , .
.: [1] . .,
, ., 1972; [2] . ., . ., , 2
., ., 1987.
; arbitrary input / arrival flow / stream
with lack of memory ,
.
. .-
.
, .
.: [1] . .,
, ., 1963; [2] . ., , ., 1978.
,
; regular input / arrival flow / stream with
lack of memory , .
,
; singular input / arrival flow / stream
with lack of memory ,
; recurrent input / arrival
flow / stream , n - -
z n
;
entrance distribution , ;
P { z1 < t } = F0 ( t ) , P { z n < t } = F ( t ) , n 2
= F (t ) = 1 e t , t 0 -
. . (
). , .
.: [1] .,
, ., 1965; [2] . ., , ., 1978.
; input / arrival
flow / stream with lack of memory
[ 0 , t )
, t 0 ;
{ (t ), t 0 }
. , ti , t j , 1 t i
<tj n
( t j ) ( ti ) , . . . ( t , t + s ) k t
,
. .-, s > 0 .
, t < s t , s
( s ) ( t ) ( s ) ( t ) -
; (t ) .
,
{ xn } .
; entrance law
, .
; input signal
. . . .
.
( ),
: (t ) ,
, .
t n = z1 + z 2 + ... + z n , n 1 .
. F0 ( t )
; entrance rejets
, .
;
waiting time
.
. .
. . .- :
, ,
( , ).
. .-
M , M , - M
= ( M + )
, ,
.
; expected utility , .
; expected reward criterion
,
( )
; power o f a s t a t i s t i c a l t e s t H1 H 0 , H1 , H 0
. H 0 H1 ( H 0
,
: H 0 : 0 , H 1 : 1 = \ 0 ),
H 0 - H1 - . . ( ) -
307
( = 1 = 0 U 1 )
.
:
H 1 : 1 = \ 0 H 0 :
0
. inf ( ) -, ( )
1
. ( , , ).
.: [1] . ., , .
., 2 ., ., 1979; [2] ., ., , . ., ., 1971; [3] . ., , . ., ., 1960;
[4]
., , .
., ., 1975.
,
; power function of a test
.
( X, B , P ) , X
x
H1 X
P -
H 0
H1 - H 0 -
( x ) d P ( x) ,
= 0 U 1 ,
(*)
. (*)- ,
P , , . . ( )
; gain , .
; strictly unimodal
distribution , / .
; strong Feller property o f
a M a r k o v p r o c e s s e s ( X , B) ( X ,
B )
P ( t , x , ) , t > 0
f B ( X )
P ( t , x, dy ) f ( y ) C ( X )
, B ( X )
, C ( X ) .
H 0 = { P , 0 }
( ) =
F (x) = Tt f (x) =
P H 1 = { P , 1 = \ 0 }
( )
,
; strong likelihood principle ,
.
.
; strong Feller
transition function ,
, H1 H 0
H 0
X - . f
.
. ( J. Neyman ) . ( E. Pearson ) H1 H 0 -
. .
: 1 , 0
0 <
<1
() ,
. . () -
,
H 0
.
.: [1] . ., ,
. ., 2 ., ., 1979; [2] ., , . ., 2 ., ., 1975; [2]
. ., , .,
., 1960.
; power spectrum , .
308
t0
p ( t , x , ),
Pt f ( ) =
>0
xE,
f ( y) P ( t ,
, dy )
.
. . .- ( , [2] ). . . .-
. . .-
( ,
)
. . .-
( , [2] ). . . .- [1]-
.
. . .- ,
.
( , [3] ).
.: [1] . ., . .,
1960, . 5, . 1, . 728; [2] . ., , ., 1963; [3] T u o m i n e n P., T w e e d i e R., Proc. London
Math. Soc., 1979, v. 38, p. 89114.
( )
; strong harmonizability o f a
r a n d o m p r o c e s s ,
.
; strong infinitezimal operator / generator ,
.
f n : B 0 A ,
( \ 0 ) = 0
lim
f n ( )
f ( ) = 0 , f
(
) .
f : B , , ,
[
0 A , ( \ 0 ) = 0 f ( 0 ) , B - ] B
f 1 ( ) A .
f : B , ,
, , ( )
( ).
.: [1] ., , . .,
., 1967.
; Haar measure
G E
B - , G - ,
s G { s g : g A}
A B
, ( s A )
= ( A ) , s A
. f ( p ), p E
{ s g : g A}
B
f ( p) (d p) =
f (s p) (d p)
. . ( . . ) . . .-,
G - K -
( K )
= ( K 1 ) , . .-, K 1 ,
{ g 1 : g K } . T
~ T -
. . ;
~ = c , c
. .-,
. T - ( T - ) , ( t ) > 0, tT , ( e ) = 1 , e , T
. ( t t )
- : X (U )
. ( A ) = ( s A ) ,
, ;
ring of sets , .
,
; ring of sets , , , .
;
smooth measure X
= ( t ) ( t ) , t , t T
U
U
= lim (U ) .
( , )
.
. X
, , ,
, .
.: [1] . ., . ., 1961, . 55, . 1,
. 35100.
( ) ; smoothing inequality
. . .- :
( P, Q ) c ( P , Q ) + C ( ),
T - . .-,
( p g ) = ( g ) ( p ), g T , pA , A
, c , P Q
T .
, { ,
.: [1] .,
, . ., ., 1950; [2] . .,
, ., 1965.
; event
, ,
.
*
A B
A B ; event A implies
event B A
B
A B B A . A , B
.
B = A U B A = A I B , A B ; A A ;
B C A C ; A , A A .
.: [1] . ., . 5-
., .: 1969; [2] ., , ., 1969.
310
> 0} -
, 0
,
C ( ) , , P Q - 0
. ,
( x ) = ( x / ) . - P
Q
.
. .- .
,
, ( x )
= ( x / ) , 0
1. . .:
( P, ) c1 ( P , ) + c2
c1 c2 , P .
2. . .:
a) ( P, Q ) ( P , Q ) + c log 1 / ,
c , P Q ;
S ( ) +
) ( P, Q ) 1 ( P , Q ) + c2 (1 + ) ,
P , Q , q ( x ) h -
= sup { h 1
h
q ( x + h ) q ( x ) dx } <
3. s . .: 0 < s 2 ,
4. . .
. ., f ( x ) g ( x ) , x 0
f ( x ) 0 , g ( x ) 0 P
( P, ) f ( ( P , ) ) + g ( )
.
.: [1] B e r g s t o m H., Skand. aktuarietidskr., 1945, v. 28,
1/2, p. 10627; [2] E s s e e n C. G., Acta math., 1945, t. 77,
1, p. 3125; [3] S a z o n o v V. V., SANKHYA, ser. A, 1968,
v. 30, pt. 2, p. 181204; [4] . ., .
., 1970, . 15, . 4, . 64765; [5] . .,
. ., 1975, . 20, . 1, . 312; [6] . ., . ., 1976, . 21, . 2,
. 40610.
, -
( ) .
;
Hamburger theorem , .
; Hamiltonian strategy ,
.
,
; Hahn theorem
on signed
, . X -
S . X
A B { A , B } :
1) Y S Y I A S ( Y I A ) 0,
2) Y S Y I B S ( Y I B ) 0.
A , ,
B,
. , { A , B }
X
. | | ( Y )
= + (Y ) + (Y ) , Y S
( Y )
( Y ), Y S
.: [1] ., , . ., ., 1953;
[2] . ., . .,
, 5 ., ., 1981.
; hanning window , .
; Hunt process
.
E , ,
X = ( X t , , At , Px ), t 0
E
= E U { } , E -
, .
( )
1 2 ... X n E
{
= < }
, X ,
= lim n .
n
; smoothing distribution ,
= + ,
-
. S .
c , P Q .
; smoothing parameter
, ,
( , X { A , B } -
| | ,
s ( P, Q ) s ( P , Q ) + c ,
0 <
Y S
). .
, c1 c 2 .
+ (Y ) = ( Y I A ) , (Y ) = ( Y I B ),
( , [1], [2] ).
. .-
( , [1],
).
.: [1] . ., ,
. ., ., 1962; [2] B l u m e n t h a l R. M., G e t o o r R. K.,
Markov processes and potential theory, N. Y. L., 1968.
; Hardy
entropy , .
; metod of harmonic decomposition , .
; harmonic function f o r a M a r k o v p r o c e s s ,
;
harmonic function f o r a M a r k o v c h a i n ;
311
; ( E , B )
= ( X n , Px )
p ( x, ) , x E , B X
. E - f
( 0 f
) B E -
f ( y ) p ( x , dy ) =
M x f ( X1 )
; harmonizable correlation function ,
.
; harmonizable random
field t = ( t1 , ..., t n ) n R n
f ( x)
f
, M x , Px
,
( t n Z
)
X (t ) =
[ ., 1, 2, ...
, f f i
= f (i )
, pij , i
j , i 1 ]. . .-
( x ) , x E , ( x )
B
Px .
M x f ( X )
f ( x)
<
n
X (t ) , n ,
t Z n { k :
M X (t ) X ( s ) B (t , s )
= inf { t 0 : X ( t ) U } , X
( ; ,
).
. n
. .
( ) . .-.
; harmonic interpolation
n
0 +
2k
cos k x + 2 k 1 sin k x )
k=1
; harmonic averaging ,
312
F ( dk , dk )
(2)
n n
, Z
n , n
F ( , ) = M Z ( ) Z ( ) ,
Z () =
dZ ( k ) .
.: , .
t Z ,
(t ) =
it
dZ ( )
(1)
(t )
1
1
, t R = ( , ) , t Z -
= [ , ] , Z ( ) -
. . . .- 1940- .
( M. Love ) [1]-
. 496 99- . . , (t )
. . .-
( , ).
i ( t k s k)
X (t ) .
. .
U ,
U , E -
B ( t , s ) (2)
M x { f ( X ); < } f ( x )
,
..., n } -
. (1)-
. . .-
, (1)
. , f
f ( x ) X
k i < , i = 1,
, Z ( d k ) , n n -
E -
X = ( X t , , At , Px ) , t 0 -
E - ,
(1)
Z ( dk )
t R n k = ( k1 , ..., k n ) n ,
pij f j = f i
f . .- ,
it k
{ f1 , f 2 , ... } -
F ( , ) = M Z ( ) Z ( ),
Z ( ) = dZ ( )
, ,
(2)
V ( F ) = sup
F ( i , j ) <
i =1
j =1
. . [3]- , Y (t )
(3)
, -
1 , ..., n 1 , ..., n
. (1)-
[ F ( d , d )
].
(1), (2) (3)-
M ( t ) ( s ) = B ( t, s ) =
i ( t s )
F ( d , d ) (4)
H (t ) . . .- (
Y (t ) H
; , ). .
. [5]- , ,
, . . .- H
- H -
H - .
. . . ( . . . )
:
lim
, . (t ) -
. [ F ( , ) ; [1]-
, , [2] ].
= ( , )
, t R
. . . .
. . [3]-
( , , [4] [8]- ). . . (3)
F ( , )
lim
ab
<
i 0 t
( t ) d t = Z ( 0 + 0 ) Z ( 0 0 )
1
T
B( t + , t) d t =
e i F ( d , d )
= 0 , = 0
~
. . . . B ( )
~
F () =
W ( F ) = sup
B ( t , s ) - (4) (t ) - . . . , F ( d , d )
1
T
dF ( ) = F ( d ,
d )
(5)
F ( )
,
1 , ..., n 1 , ..., n
.
. . .- .-
. . . .
. . . ; ( -
i =1
j =1
F ( i , j )
, a1 , ..., a n
b1 , ..., bn . (5)
, (2) Z ( )
( , ., [9], . 347 48 [5] ). (5)
(4) ,
; (t )
B ( t , s ) - (4) (t ) (1)
(
). (t ) (1) (2) (5) ,
. . . ; ( )
. . [10]- ,
;
. [6] [8]- (
) , ,
( , (t ) -
; ).
) R ,
n 2 .
, , [6] [8]- .
.: [1] ., , . ., ., 1962;
[2] H u r d H. L., IEEE Trans. on Inform. Theory, 1973, v. 19, 3,
p. 31620; [3] . ., . .,
1959, . 4, . 3, . 291310; [4] B o c h n e r S., .: Proc. Third
Berk. Symp. Math. Statist. and Probab., v. 2, Berk. Los Ang., 1956,
p. 727; [5] M i a m e e A. G., S a l e h i H., Indiana Univ. Math.
J., 1978, v. 27, 1, p. 3750; [6] R a o M. M., Lenseignement
math., 1982, t. 28, 34, p. 295351; [7] R a o M. M., Proc. Nat.
Acad. Sci. USA, 1984, v. 81, p. 461112; [8] R a o M. M., .:
Handbook of Statistics, v. 5, Amst., 1985, p. 279310; [9] ., . ., . , . ., . 1, ., 1962; [10] . .,
. ., 1963, . 8, . 2, . 18489.
; harmonization conditions
B ( t , s ) = M ( t ) ( s )
1
, (t ) , t R
1
t Z
= ( , ) (
= { 0, 1, 2, ... } )
313
. t R ,
( , ).
( (t )
= h ( t ) 0 ( t ) , 0 ( t ) F0 ( ) ( t )
, . . , ., [2] ).
F ( , ) =
(t ) , ,
B ( t, s ) =
i ( t s )
d 2 F ( , )
, F ( , ) , R
(1)
2
( , ., [3] ). B ( t , s ) R -
F ( , ) - N < N -
, (1)
, n ( t1 , s1 ) , ..., ( t n , s n )
c1 , ..., cn
3) Z (u ) ,
, F0 ( u )
,
h ( t, u ) =
c
( x, y ) R
B (t j , s j )
h ( t , u ) dZ ( u )
.
,
.
4) Z (u )
M Z (u ) Z (v ) = B Z (u , v )
2
R - , h(t ) (2)
exp ( i t j x i s j y )
d 2 F ( , ) =
(2)
j =1
R 2 - , B ( t , s )
f ( , ) -
(t )
d F ( , ) = f ( , ) d d .
2
, h(t ) -
h (t ) =
h ( t u ) dZ ( u )
. 1) B ( t , s ) B ( t , s )
(t ) =
.
(1) (2)
( , ., [3], [10]
[11] ).
. .-.
dK u ( )
K u ( ) - - u -
it
(t ) =
j =1
sup
2) K ( )
M d Z ( u ) dZ ( v ) = ( u v ) dF0 ( u ) dv
-
K ( ) K ( ) dF ( ) .
it
dK ( )
314
= dK ( ) dK ( )
exp [ i ( u v ) ] d
B Z (u , v ) .
.: [1] ., , . ., ., 1962,
. 49699; [2] R a o M., Lenseignement math., 1982, t. 28, p. 295
351; [3] H u r d H. L., IEEE Trans. on Inform. Theory, 1973,
v. IT 19, p. 31620; [4] . ., .
., 1963, . 8, . 2, . 18489; [5] B o c h n e r S.,
Bull. Amer. Math. Soc., 1934, v. 40, p. 27176; [6] C r a m e r H.,
Trans. Amer. Math. Soc., 1939, v. 46, p.191201; [7] D o m i n g u e s A. G., Duke Math. J., 1940, v. 6, p. 24655; [8] E b e r l e i n W. F., Duke Math. J., 1955, v. 22, p. 46568; [9] R u d i n W.,
Fourier analysis on groups, N. Y. L., 1962; [10] . .,
. ., 1959, . 4, . 3, . 291310;
[11] C a m b a n i s S., L i u B., Inform. and Control, 1970, v. 17,
p. 183202.
.
:
{a
s (t L + j ) = 1 +
cos ( k j ) + bk sin ( k j ) } ,
(*)
ak =
bk =
2
L
2
L
s ( t L + j ) cos ( k j ) ,
,
.
.: [1] ., , . ., ., 1962.
( )
; product o f a m e a s u r a b l e s p a c e s , ( ) .
( ) ; product m e a s u r e . ( X t , S t , t ) t T ,
, t T X t S t t ( X t ) = 1 ( ,
j =1
s ( t L + j ) sin ( k j ) ,
j =1
j = 2 ( j 1) L .
(*)-
s ( t L + j ) .
.: [1] H a r r i s o n P., Appl. Statist., 1965, v. 14, p. 10239;
[2] ., , . ., ., 1981.
; hartley
t ) . , t T Yt S t t T
t - Yt = X t .
,
. : 1H . = 1 lg 2 bit
3,32 bit .
;
Hartman Wintner Strassen theorem ,
, A
A =
A A ,
(*)
A ,
P P , , A - , : (*)
A A
P ( A) =
( A )
. A - .
.- ,
( , A , P )
( , A , P ) - X , ,
X .
t T
p rt , t T -
t T
, A , A ,
of
t T
( )
, =
( , A , P ) . , ,
. ( S t ) t T -
probability
.
t T
( ) ; product o f a
f a m i l y o f a l g e b r a s , ( ) ; product
s p a c e s ( , A , P ) ,
t T
t T
t T
t T
(Y )
t
t T
.
( t ) t T
. ,
t T
X , S ,
t
t T
t T
t T
, ( X t , S t , t ) t T
X , S
( X t , S t ) t T
t T
t T
t ( t ) t T
t T
, t , t T
315
t . ., R n
t T
n
( ,
n - ). ,
{ 0, 1}
~
; Hellinger integral P P
:
<< Q , P << Q Q
nN
n N n { 0, 1}
, n ({ 0 } )
= n ({1}) = 1 2 .
. ,
. ,
.
.: [1] ., , . ., ., 1953;
[2] ., , .
., ., 1969; [3] ., .,
. , . ., . 1, ., 1962.
; Hausdorff pseudometric ,
.
G X
G , { x : g ( x ) > 0}, g G .
( X , G )
X -
G - .
.: [1] ., , . ., .
., 1937; [2] . ., . , 1976,
. 31, . 2, . 368.
~ 1
dP
dQ
dQ
; Q , P P
.
, .
; Hellinger metric ( , A ) P ( )
( P, Q ) = (1 2 )
[ ., , V
2 ( P , Q ) = (1 2 )
g ( x ) dF ( x ) g ( x ) dF ( x )
n
(*)
. , (*) { Fn }
].
dP dQ
(*)
. - dx
, , P p ( x )
, (*) p q P Q
2 ( P , Q ) = (1 2 )
p ( x)
q ( x)
) dx
2
. . .
H ( P, Q ) =
= (P + Q) 2
. . V - . . .
n g ( x )
dV
dQ
dV
, V , - , P
Q -
, { Fn ( x ) } F ( x ) - ,
dP
dV
dP
dQ
. , , Q
; .
; Hausdorff structure o f a p r o b a b i l i t y
m e t r i c , ; .
;
Hausdorff theorem
~
( d P ) ( d P )1
dP dQ
dV
dV dV
2
( P, Q )
=1 2
.
. . :
1) 0 ( P, Q ) 1 , ( P, Q ) = 0 P
2)
( P, Q ) = 1 P
F - .
.: [1] H e l l y E., Sitzungsber. Math. Naturwiss. KI. Keiser.
Akad. Wiss., 1912, Bd 121, S. 26597.
(P Q) ;
316
= 1 H ( P, Q )
=Q;
3) = 1 2 , P = P1 P2 , Q = Q1 Q 2 ,
1 2 ( P, Q ) = (1 2 ( P1 , Q1 ) ) ( 1 2 ( P2 , Q 2 ) )
,
def
( x, y ) yI ( x = 0 ) = 0 ( x, y ) , 0 ,
Pi , Q i P ( i ) , i = 1, 2 .
1 2 ( x, y ) = (1 2 ) ( x y ) 2 ,
. .- .
4) . .
:
2 ( P, Q) ( P , Q )
2 ( P, Q ) ,
2
1 2 ( x, y ) ( x, y ) 8 1 2 ( x, y ) .
1
. .
,
( , ).
, ., , P Q
, .
, , ( ) ( )
~
P P H
~
H ( ) 1-
2- .
( P, Q) = ( 1 2 ; P, Q ) - :
2
( P, Q ) ( ; P , Q ) 8 ( P , Q ) ,
1
( ; P, Q ) = 0 P = Q
. . .
P - ( Q P )
:
~
~
Er ( P, P ) = 1 ( P, P )
P n = P1 ... Pn
~
~
~
P n = P1 ... Pn
~
( 1 2 ) e 2 n Er ( P n , P n ) e n
,
~
~
= log H ( P, P ) 2 ( P, P ) .
.: [1] ., . .,
, . ., ., 1994.
; Hellinger distance , . .
( ; P, Q ) =
( pV , qV ) d V ,
0 < <1
(1 ) y x y
Q << P H ( ; P, Q ) 1 ,
QP
H ( ; P, Q ) 0 ,
QP
H ( ; P, Q ) = 0 , ( 0, 1) ,
QP
H ( ; P, Q ) = 0 , ( 0, 1) .
P n , Q n , n 1
( x , y ) = x
, V , ( , A )
, , P , Q
) ( Q n ) ( P n ) - n ,
P n ( A n ) 0 Q n ( An ) 0 , A n A ; ) ( Q n ) ( P n ) -
n k
A1 , A2 , ... , k P nk ( Ak ) 1
Q
, ( Q << P ) Q -
H ( ; P, Q ) = 1 2 ( ; P, Q )
~
Er ( P, P ) = inf { ( ) + ( ) : }
1 2
.
. .
nk
( Ak ) 0 . :
0 n
[ P << V ,
Q << V ;
,
.,
( Q ) ( P ) lim inf H ( ; P, Q ) = 0
( ; P, Q ) = M V ( pV , qV ) = 1 M V p V q1V ,
( Q ) ( P n ) lim inf H ( ; P, Q ) = 0
, M V , V
( 0, 1)
V = ( P + Q ) 2 ] pV = d P d V , qV = d Q d V . . .
.
:
( x, y ) 0 , x, y 0 ,
( 0, 1) ,
n
317
;
Hellinger process -
. ( , A , A = ( At ) t 0 ) ,
A = ( At ) t 0 ( , )
~
( , A ) P , P , ( , A ) - ~
~
~
; Pt = P | At Pt = P | At , P P At -
Q , P
loc
loc
<< Q, P << Q,
~
t 0 Pt , Pt , Q t Pt << Q t ,
~
Pt << Qt , Q t = Q | At .
zt =
H ( ) t
~
d Pt
z~t =
,
d Qt
d Pt
,
d Qt
Yt ( ) = z t z~t1
= M QYt , Pt Pt -
H ( )t
d Pt
dQ
t
~ 1
dP
t
d Qt =
dQ
t
~
( d Pt ) ( d Pt )1
= 0 A ( )
, Y ( ) = M ( ) A( ) . ( 0, 1)
h( ) 0 = 0 h ( ) = ( h ( ) t ) t 0
A ( ) 0
, ( Q
), h ( )
= I h ( ) ,
~
~
= I , = { z _ > 0} U [ [ 0 ] ] , = { z > 0} U [ [ 0 ] ]
A ( ) = Y ( ) h ( ) ,
Y ( )
s_
d hs ( ) .
~
h ( ) P P ( 0, 1) c
. z~ z z~
Q ,
( z , z~ ) ( z , z~ )
, :
h ( )t =
(1 ) 1
c
c
2, z , z
z
1
c
c
, z , z~
z - z~_
1
c
c
, z~ , z~
z~ 2
x
y
+ 1 +
, 1 +
~
z
z
_
_
318
~
1) Q = ( P + P ) 2 ,
z + z~ = 2
h ( ) =
(1 ) 1
z_
1
+ ~
z_
z c, z c
x
x
z
+ 1 +
, 1
~ .
z
z
_
_
~
d Pt
~ loc
2) P << P Z t =
,
d Pt
h ( ) =
(1 )
2
1
c
c
Z , Z
Z 2
x
x
Z
1+
+ + (1 ) 1 +
Z
Z
1 1
1
h = 2 Zc, Zc
8 Z
2
1
2
1+
x
Z
Z
.
. .-
.
1. A =
VAt , = ( )
~
{ t } At , t 0 ) ; P << P ~
~
P
, P0 << P0 h ( )
0,
0 .
A ( )t =
= x + (1 ) y x y1 .
Y ( ) = ( Yt ( ) t ) t 0 Yt ( ) = z t z~ 1 D
M ( )
z c , z~ c , z c z~ c - -
; ( x, y )
; :
z~ c , z~ c , z c z~ c - -
z c, z c ,
t( z , z~ ) .
~ loc
2. P << P ,
~
: P << P
~
, P { h ( 1 2 ) < } = 1 ,
~
P P ,
~
P { h (1 2 ) < } = 0 .
.: [1] L i p t s e r R. S h., S h i r y a e v A. N., On the problem
of predictable criteria of contiguity. Proc 4th USSR Japan Symp.,
Lect, Notes Math., 1983, 1021, p. 386418; [2] .,
. ., ,
. ., ., 1994.
; hamming window , .
; Hannan Quinn riterion ,
;
; Hermitian positive function , .
= ij
,
T
H n
- . . . .
H n - , H n 1 ... n 1
- . . . . H n -
2 , i = 1, ..., n.
n -
,
, B ,
, An = (a1 , ..., an ) . . . . H n - ,
U n H n U n
H n
U n - , An
. . . H n -
P { An L B } =
( dU
.
( , [1] ).
.: [1] . ., , .,
1980.
, ;
countably additive set function / additive set
function
(
) . K
, G
( G - + ). K
( X i ) i I
K -
UX
i I
(X )
i
i I
, : K G .
( I I - ). , ( ) , G
,
.
G R - ,
. . . .- - . ,
(
+ ).
, . . . .
. , , . ( , )
. - ( , )
. .-. . .
.
.: [1] . ., . ., . . .
, 3 ., ., 1987; [2] ., , .
., ., 1953; [3] . ., . .,
, 2 ., ., 1977.
; countable probabilistic
automation , .
; countable / denumerable Markov chain
1) . . .
.
2) . . .
. . . .
. . ( , [1],
[2] ).
1936 37- . . ( ,
[4], [5] ).
. . .
,
( , [6], [10] ).
( )
( ) pij , i j
E - . E
, , , { 0, 1, ..., N } { 1, ..., N }
, N ; E , , { 0, 1, ... } {1, 2 , ... }
. ( )
pi = P { X 0 = i } , i E ,
n
= { X 0 = i0 , ..., X n = in }
P ( n ) = pi 0 pi0i1 ... pin1in
{ X 0 , X 1 , ... } . ,
P { n 1 } 0 , n
pij P = pij
E -
319
. pij ( n ) n i
pij ( m + n ) =
pik ( m ) pkj ( n ), m, n 1
k E
pij ( n ) P n .
P n n = 1, 2 , ... , , , ,
n
n
P - .
. . ,
( , ;
).
. . . . , , , ( , ., [6] ),
, ,
( , [7] [10] ).
1. { 0, 1 , ..., N }
. , 0 N
i ( 0 < i
pi , i +1
= p ( p ( 0, 1) )
pi , i 1
= q =1 p
< N)
i + 1
; algebra of countable type , -
, , .
; ennumerative problems i n
c o m b i n a t o r i a l a n a l y s i s , .
; heteroscedastic regression ,
.
i 1 -
;
Heisenberg model
. , 1 j N 1 ,
; {x s } ( X -
i - lim pij ( n ) = 0 .
n
i + i = 1 . p = q = 1 2 , i = 1 i N 1 .
p 1 2 , i = ( N i ) ( N 1) 1 ,
= q p 1 ( 0 i N ) .
2 ( ).
{ 0, 1, ... } . . .- pi 0 = qi
pi , i +1 = 1 qi , qi ( 0, 1 ) , i 0 pij
= 0 . i
i + 1 -
0
, n - i 1
,
i (
, ).
, , ,
( , ), pi
= 1 qi .
j = lim pij ( n ) ,
=1
= 0 p0 p1 ... p j 1 , j 1
.
.: [1] . ., . .-. - -,
1906, . 15, 4, . 135 56; [2] . ., . .
320
) S R
:
, U
h xt , A = { t } ,
U A ( x A ) = I x s x t , A = { s , t }, s t = 1 , s , t Z d ,
A -
0,
. .- ( Z
) h
=0
I > 0 ( )
, ,
-
.
. . XYZ
. X
= S 1 R 2
XY . XY 2
. Z
: XY
, ,
, , -
.
. . .
.: [1] F r o h l i c h J., S i m o n B., S p e n c e r T., Comm.
Math. Phys., 1976, v. 50, 1, p. 7985; [2] B r i c m o n t J., F o n t a i n e J., L a n d a u L. J., Comm. Math. Phys., 1977, v. 56,
3, p. 28196; [3] F r o h l i c h J., S p e n c e r T., Comm. Math.
Phys., 1981, v. 81, 4, p. 527602.
; redundancy .
X - X { X k } ,
< k <
X = ( ..., X 1 , X 0 , X 1 ,... ) ,
U - .
= 1 H (U ) H max
, H (U )
H max X
,
.
.
.
. .
. , ,
,
.
.: [1] ., ,
. ., ., 1974; [1] . ., .
., , ., 1982.
;
decision function X D -
. ( D , A ) -
x - ( | x )
( ) . . .
x ( | x ) D -
= ( x ) . . .,
. . .- , ( | x )
d
= d ( x)
, -
. ,
. .- ;
. .- X - D -
.
. .
( , , , ).
.: [1] ., ,
.: , ., 1967, . 300522.
;
; Bayes decision function ,
; m i n i m a l decision function , .
;
;
; m i n i m a l c o m p l e t e c l a s s o f decision
function , .
;
u n i f o r m l y b e s t decision function
. , .
; o p t i m a l decision function , ( ) .
;
n o n r a n d o m i z e d decision function ,
.
;
r a n d o m i z e d decision function , .
;
; ; c o m p l e t e c l a s s o f
decision function
,
. K
( , - ). K
* K * , *
R ( , )
R ( , ) ,
K K K
, R ( , ) ,
,
. , ;
;
decision criterion , , , .
; decision rule , , -
; i n v a r i a n t decision
function ,
Hi ,
( , d )
( , A , P )
; u n b i a s e d decision function , ( ) -
; a d m i s s i b l e decision
function , .
i = 0 , ..., k
{ At } ,
At A ( ), d , 0 , ..., k (
) (
). ., ,
. . .
321
( , d ) . .- w ( , , d )
,
inf
( , d )
w(,
, d ) q ( d ) =
w (
, , d ) q (d )
, ( , d ) . . q ( d ) ,
( ) . .-
.
. .
( ).
.: [1] . .,
, ., 1976.
3 - (
) A - P -
. . ( J. Bertrand )
:
1) - B C
. . B C
. , P ( A )
( , .,
( ) ). . [6]-
.
. .- ,
( , ).
.
. ,
. . .-
.
( )
.
. , , ,
.
.: [1] ., ., , . ., ., 1972; [2] .,
, . ., ., 1983;
[3] B a d d e l e y A., Adv. Appl. Probab., 1977, v. 9, p. 82460;
[4] L i t t l e D., Adv. Appl. Probab., 1974, v. 6, p. 10330;
[5] Geometrical probability and biological structures, B. [a. o.], 1978;
[6] R e n y i A., Wahrschein-lichkeitchnung, 2 Aufl., B., 1966.
;
geometrically ergodic Markov chain ,
.
=1 3.
pm = P { = m } = p ( 1 p ) m , 0 < p < 1
2)
.
P( A ) = 1 4 .
3) [ 0, 1] -
.
[ 0, 2 ] - .
P ( A) = 1 2 .
( , ).
(1 p ) p (1 p ) p - ; -
As = (2 p)
1 p ,
Eks =
= 6 + p 2 (1 p ) - .
p
,
p .
:
1)
dp d
2
1 p2
2) 1 p dp d ;
3) (2 ) 1 dp d .
.
( H. Poincar ) . ,
( ; , ). 3) . -
322
p = 0, 2 p = 0,5
. . pm
. . . ,
; p
.
. . :
. . , m n
, ,
P { m + n | m } = P { n }
. , . . . .- .
.: [1] .,
, . ., . 1, ., 1984; [2] . .,
. ., . .,
, ., 1979.
;
geometric process J . U
, .
n
J : R - d , R -
n
, R - , . . .- U .
U
. .- . U = R R . .
( ),
. . . . .
. .-; J -
n
, J - - .
, ,
,
( , ),
. H
H . R n -
, , , J
U = R n - R d - ,
( ) - ,
R d . ., -
= R n [ 0, ) -
. , J
= R2
[ 0, ) [ 0, 2 ) ,
. : O x O x 1
R [ 0, ) - d
. . .- R
, . . - (
, d
), R - .
d
R - 1 = L P ,
d
L , R - , . .- , P
; P . . .-
. .-
( ).
. .-
P ( ,
).
. .
,
. .,
; ,
( ) .
. .- .
R d - . .
. .- .
, = L m , L ,
. 1) 1
R n - , , m
, [ 0, ) - -
. 1 -
.
. .-
n
. R -
, n
R - , x
, . .- ;
.
( ) ,
.
J - . .- ( ) .
. .- .
N ( B ) B J
. B1 , ..., Bk J
. .- 1 - . . .
1 .
( ., 1 -
,
), . .- 1) - . ( ., ,
1 - k ) . .-
( ).
2)
( , [1] ).
2) 2
. 2 - -
k ( B1 ... Bk ) = M [ N ( B1 ) ... N ( Bk ) ] k -
. . 2 - . 2 -
. . .-
- .
323
k
, . .-
3)
- .
.: [1] Stochastic geometric statistics. Stereology, Lpz., 1984.
; i s o t r o p i c geometric
process , .
( )
( ); s t a t i o n a r y ( h o m o g e n e o u s )
geometric process , .
, ;
geometrization of the statistical theory . P ( ) .
{ P , } [ (
) - A ] . , ,
. ( , )
: P ( )
P ( d ) ( , ) .
, ,
( (i ) , A (i ) )
{ P(i ) , } , i = 1, 2 12 21
,
P( 2) 21
{ P(1) ,
P(1)
P(1)
12
P( 2) ,
} { P( 2) , }
. - . .,
.
-
. . .,
.
.
.
( ! ) ( )
. ( )
.
d.: [1] . .,
, ., 1972; [2] C e n c o v
N. N., Oper.
Forsch. Statist., Ser. Statist., 1978, v. 9, 2, p. 26776; [3] A m a r i
S h u n I c h i, Lect. Notes in Statist., 1985, v. 28; [4] Geometrization of statistical theory Lancaster, 1987.
; g r o s s - e r r o r sensitivity , .
324
; hydrodynamical limit ,
.
; hydrodynamical
limit approach / propagation of chaos
.
. . . . [4]-
,
,
, .,
.
. . .- , ,
. 0 ,
- - .
t = 0 P0
, , P0 P0
. ,
P0 - ( P0 ) ,
. , P0
Pt t ( )
. 0 Pt
Pt
, .
.: [1] . ., . ., . .,
.: . .
, . 2, ., 1985, . 23584; [2] B o l d r i g h i n i C., D o b r u s h i n R. L., S u h o v Y u. M., J. Stat.
Phys., 1983, v. 31, p. 577615; [3] Nonequilibrium phonemena II.
From stochastics to hydrodynamics, Amst. N. Y., 1984, p. 123294;
[4] M o r r e y C., Comm. Pure Appl. Math., 1955, v. 8, p. 279326;
[5] S p o h n H., Rev. Modern Phys., 1980, v. 52, p. 569615;
[6] S z n i t m a n A. S., Probab. Theory and Related Fields, 1986,
v. 71, p. 581613.
; hydrodynamical equation , .
; hydrodynamic equations
. . .- ,
:
3
u ( t , x ) dt +
u u
x j =
j =1
= v u + p ( t , x ) + f ( t , x ), div u = 0,
u
= (u1 , u 2 , u 3 ) , p , f -
, v > 0 , R
. -, ,
= ( x1 , x 2 , x 3 ) , u ( t , x ) = 0 , t = 0 u ( t , x ) = u 0 ( x ) . u 0 ( x ) =
= u0 ( x, ) , u ( t , x, ) .
u ( t , x, ) P
.
; Hilbert transformation , : x
; Hille Iosida theorem
.
X , A , X
.
. A Tt
X :
) A D A , X - ;
) f A f = g
gX
> 0
f D A ;
f DA ,
>0
f Af
X + , X - (
+
+
). f A f X , > 0 f X
, f X
Tt f X
.
.: [1] ., ,
. ., ., 1951; [2] ., ,
. ., ., 1967; [3] . ., ,
., 1963; [4] ., . ., . , . ., . 1, ., 1962.
(*)
( , )
, M , N n M
N ,n N .
n = 50, n = 10, M = 10 M = 25
. ., , ,
(*) N ,
M , N M
, n
m
. , (*)
max ( 0, M + n N ) m min ( n, M )
. (*) m > n m
Cn
= 0 m 0
= 0 n
, , p m
m
.
1 - . M N = p , (*)
Anm = C nm m! , p + q = 1 .
p N ,
pm C nm p m q nm
. . .- N -
,
= n p - . . .- 2 = n p q +
+ ( N n ) ( N 1) n p q
.
N . .-
.
( ) , ,
, N
.
:
6n M
p0 exp
.
3
(
2
N
1
)
+
1
. .-
(z) =
ANn M
ANn
j =0
AMj ANj
ANj M + j n
zj
.
j!
F ( , , , z )
,
= n , = M , = N M n + 1
( . . ).
. .
.
(*)
.
.: [1] L i e b e r m a n G., O w e n D., Tables of the hypergeometric probability distribution, Stanford, 1961; [2] . .,
. , . .,
., 1966; [3] . ., . .,
, 3 ., ., 1983.
325
; hypergroup
K , K K -, K - B ( K )
( x, y ) a x o y , o
.
:
1) x, y , z K x o ( y o z )
= ( x o y ) o z )
( x , x K );
2) x, y K supp ( x o y ) ;
3) K - K - x x , x = x
( x o y )
= y o x x, y K ;
4) e K , e o x = x o e = x
x K ;
5) x, y K
e supp ( x o y )
x = y ;
6) K K - K - ,
R( K )
( x, y )
supp ( x o y ) .
x, y K x o y = y o x , K
; 1) 4)
, K .
[1]-
.-
( , [2] ). .-
-
.
.-
.
, , . . ,
.- ( , [4], [5]- ). .-
.
.-
.- .
.-
.
.: [1] J e w e t t R. I., Adv. Math., 1975, v. 18, 1, p. 1
101; [2] S p e c t o r R., Lect. Notes in Math., 1975, v. 497,
p. 64373; [3] D e l s a r t e J., C. r. Acad. sci. Paris, 1938, t. 206,
p. 17882; [4] . ., .: . . , . 26, ., 1985, . 57106; [5] . .,
.: . , . 24, .,
1986, . 165205; [6] H e y e r H., Lect. Notes in Math., 1984,
v. 1064, p. 481550.
; hyper Greek Latin cube
, .
326
X ( t )
. X ( t )
X ( t ) = ( ( t ), 1 ( t ), 2 ( t ) , ..., k ( t ))
, ( t )
[ ( t ) , X ( t )
], i ( t )
, k
= | ( t ) | [ ( t ) ]
. X ( t )
-,
( 1 ( t ) , ..., k ( t ) ) -
. . . .-
, ( t ) 0
( t ) = 0 j ( t ) = ij , ij
. j ( t ) t
, ij
. ( t )
- , , 0
. . . .
; . . .-
.
. . .- ,
,
, .
, ,
. . . . . . .-
( ) .
,
, . . .- .
.
.: [1] . ., . ., . ., , ., 1973;
[2] . ., , ., 1978; [3] . ., [ .], , .
, 1988.
; histogram
. .
.
x1 , ..., xk +1 k
( , )
X 1 , ..., X n
; [ xi , xi +1 )
mi , i = 1, ..., k hi = ( mi n ) 100%
; x1 , ..., xk +1
mi ( xi +1 xi ) hi ( xi +1 xi ) ,
[ xi , xi +1 ] ;
, , .
.
[ xi , xi +1 )
mi hi - .
, ,
. k 1 + log 2 n
.
., 1000 .
.: [1] . .,
, ., 1972; [2] . .,
. , .,
1970; [3] A b o u J a o u d e S., Ann. Inst. H. Poincar. B., 1976,
v. 12, p. 21331.
; Hitsuda
Skorohod construction ,
.
; Hodges estimator ,
.
; Hall theorem , .
; Holt Winters model . , t
X t k , . . .-
,
.
22-27
27-32
32-37
37-42
42-47
47-52
100
130
400
170
100
100
, X t + k
= { a0 ( t ) + a1 ( t ) k } s ( t + k L ) -
, s ( t ) , L
( )
. .
( .,
, L = 12 ).
a0 ( t ), a1 ( t ), s ( t ) :
a0 ( t ) = 1
xt
+ [ (1 1 ) { a0 ( t 1) + a1 ( t 1) }] ,
s (t L )
a1 ( t ) = 2 { a0 ( t ) a0 ( t 1) } + (1 2 ) a1 ( t 1) ,
s ( t ) = 3
xt
+ (1 3 ) s ( t L ) ,
a0 ( t )
1 , 2 , 3 .
.: [1] H o l t C., Carnegie Inst. Tech. Res. Mem., 1957,
2; [2] W i n t e r s P., Manag. Sci., 1960, v. 6, p. 32442;
[3] ., , . ., ., 1981.
1000 ,
6 ; 5 .
. .
. .
.
.
.
. :
2
; homoscedastic regression
- , .
;
Hotelling test , T 2 , H 0 : , p
N ( , B )
L .-
(
= ( 1 , ..., p ) T - H 0
) n 1/ 3
. -
~ n1/ 3 ; m
B - 0
= ( 10 , ..., p 0 ) T
.-
. . . , p
n 1 m + 2 k ~ n m / ( m +2 )
X 1 , ..., X n , n 1 p , -
( , [1] ). C ( , [2] ).
N ( , B )
( , [3] ) L . - ( ., , . .
).
T 2 = n ( X 0 ) T S 1 ( X 0 ) ,
327
1
X =
n
i =1
1
Xi , S =
n 1
(X
X ) ( X i X )T
i =1
B .
F =
p( x) =
( ( n + 1) 2 ) x k
21
( 1 + x n ) ( n+1)
( ( n k + 1) 2 ) ( k 2 ) n
k 2
, ( 0, ) - ,
n k
, n k
1 . k = 1 . T 2 . , k > 1
n p
T2
p ( n 1)
p n p
F
n ( 0 ) T B 1 ( 0 )
2
. k Y ,
S =
T T , . , H 1 : 0 -
= 0 p N ( , B ) ,
H 0 :
X 1 , ..., X n F
, , H 0 ,
p n p
.
. . .
T
i Zi
i =1
, Z i Y -
Y ,
T 2 = Y T S 1 Y n -
. T . ( Y ,
). k = 1 ,
F .
. .- , F F ( p, n p ) , H 0
, F ( p, n p ) , F -
1
n
T2 =
Y2
n2 n
= t n2 ,
t n n - .
L ( , B ) = L ( X 1 , ..., X n ; , B ) =
1
| B | n 2
exp
np 2
( 2 )
2
(X
i =1
) T B 1 ( X i )
X 1 , ..., X n -
0 H 0 : =
= 0
. H 1 :
, B
n = 10
T F
:
2n
= ( n 1) ( T + n 1) = ( n p ) ( p F + n p ) .
2
H 0 : = 0 . .
( , , ).
.: [1] ., , . ., ., 1963; [2] . ., , . .,
1968.
T 2
T 2 ; Hotelling T 2 distribution
: (1) k = 5;
( 2) k = 6; (3) k = 7.
, Y - ( , ) -
,
n ,
. T
. .
. T . t
, .
X 1 , ..., X n
,
T 2 = n ( X ) T S 1 ( X )
n 1 . T .-
328
X =
1
n
1
n 1
i =1
(X
X ) ( X i X )T .
x0
= 0, xn = n 1
i =1
( t
t =0
. F -
xt ( )
; , ., [3], [4] ). ,
xt ,
n k +1 2
T
nk
k n k + 1 F
( , [3], [5] ). Vn , , c n
, T .
.: [1] H o t e l l i n g H., Ann. Math. Statist., 1931, v. 2, p. 360
78; [2] ., , . ., ., 1963.
2
T
T 2 ; Hotelling T 2 statistic ,
T 2 .
; Hoeffding measure , .
; Hlders inequality
. [1]- . : , r > 1 ,
1 r + 1 s = 1 ,
12
, Vn ~ n
n
( ),
c = const , H 0,5 - (
H - 0,74 - ). H
(
)
.
xt ( ) . .-
( , [6] ). ,
( )
B ( k ) = 2 f ( 0 ) <
k =
[ B ( k ) , xt , f ( ) ], H
M | | ( M | |r )1 r ( M | | s )1 s
.
. .- ,
M | | ( M 2 )1 2 ( M 2 )1 2 .
= 0, 5
( , [3] ). . . [7],
[8]- , yt
yt +1 yt xt -,
D ( ) = M ( yt yt ) 2 = C | |2 H , 1 2 < H < 1
.
xt
; Hurst
phenomenon
B ( k ) = 0,5 C { | k + 1 |2 H 2 | k |2 H + | k 1 |2 H }
( ,
xt ) . . ( , [1], [2] ) ; , , , ,
, ,
.-
690 ( )
.
xt , t = 0, 1, ..., n ( ) ( . ; R / S
) :
Vn = Rn S n =
max
0u n
t =0
xt u xn min
0 u n
n 1
x
t =0
2
t
( xn ) 2
t =0
xt u x n
,
H - ( , , [9] ).
, [10],
[4]. [3]- . .
( .,
,
) . . .
= xt 1 , a t
a ,
, ,
f ( ) =
= ( a2 2 )[ 4 sin 2 2 ] , H = + 1 2 .
. . xt .
329
( , ., [13] ), xt
= yt + mt
, yt
Myt = 0,
My
k =
t +k
(k ) = 0 ,
k =
yt - , mt
. . .
.: [1] H u r s t H. E., Trans. Amer. Soc. Civil Engrs., 1951,
v. 116, p. 770808; [2] H u r s t H. E., Proc. Inst. Civil Engrs., 1956,
pt 1, v. 5, p. 51990; [3] M a n d e l b r o t B., T a q q u M., Bull.
Intern. Statist. Inst., 1979, v. 48, book 2, p. 69104; [4] H e l -
; pure
strategy , , ; .
; pure state
, .
; chaos
(
) ,
(
)
.
. ,
x t
t (x) - . x ,
x
, ,
( ) ,
(
) . , [ , x y t ( x ) t ( y )
( ., ) ],
, t ( x ) -
t -
( , t (x) t ( y ) ),
t -
( | ln | )
. (
) ( - ) ,
( | ln | )
( t ( y ) - ), ,
, . x
,
,
.
, , ,
. ., t (x )
. .
( , [1] ).
, ,
.
-
, ?
(
).
,
(
)
,
( ,
)
( ), , ,
, ( ),
(
),
( ) ( , [2], [3] ).
, , , t
( ., )
f ( ( x ) ) g ( x ) d
t
f , g
( )
. , .
,
;
. ,
. (
) ; :
0 , t
(
),
t .
( , [3] ).
( ,
).
( , [4] ).
, ; ( ) ,
.
( , ) ( s
W W
s
). W W ,
,
331
,
, ,
.
,
, ,
. 3 2
(
) ;
. ( .
s
. ) W W -
, (
) ; .
,
, ,
( ! ) ( , [5] ).
.
.: [1] . ., [ ], ., 1976; [2] ., ,
, . ., ., 1978; [3] ., , . ., ., 1979; [4] . .,
. ., , . ., ., 1993;
[5] P a l i s J., T a k e n s F., Hyperbolicity and sensitive chaotic
dynamics at homoclinic bifurcations, Cambridge, 1993.
; h o m o g e n e o u s chaos , .
; characteristic transform
, M .
; characteristic functional ,
F ( g ) =
exp ( i g ( x ) ) dF ( x ) , g T
, T
, T , T - .
F - ( B - )
T - g -
. . . . . [1]-
.
T , B .
1) F ( 0 ) = 1 F ,
n
2) F , T
,
( T - { f n }
x T f n ( x ) f ( x ) f T f -
);
3) T - g , g1 , g 2
F ( g ) 1 ,
F ( g1 ) F ( g 2 ) 2 [ 1 Re F ( g1 g 2 ) ] ;
4) F ( g ) = F ( g ) ;
5) . .
;
6) . .
. .- ;
7) K , T - , { F : F K } . .- T
;
8) { Fn } F - , { Fn }
T - -
( ) F - .
T - 1) 2)
, , T -
,
( , [2] ).
T -
. .
. B -
- . ,
,
( , [4], [5] ).
. .-
. ., [6]
. .
.
. .- , [7].
.: [1] . ., .
, ., 1985, . 17879; [2] M o u r i e r E., C. r. Acad.
sci., 1950, t. 231, p. 2829; [3] G r o s s L., Mem. Amer. Math.
Soc., 1963, v. 46, p. 162; [4] . ., .
., 1958, . 3, . 2, . 20105; [5] . .,
.: . VI
( 1960 ), , 1962, . 45562;
[6] . ., . ., 1973,
. 18, . 1, . 6677; [7] . .,
, ., 1984.
( )
; characteristic functional o f a
r a n d o m m e a s u r e , .
; characteristic function ,
332
( z R )
cl F ( g k g l ) 0
k , l =1
c1 , c2 , ..., cn
T g1 , g 2 , ..., g n
z -
( z ) = M ei z = M ( cos z + i sin z )
(1)
; -
3. [ a, b ]
. .- :
. ( z )
.
(z) =
(z) =
e i z x dF ( x )
(2)
(z) =
( z ) . .- F ( x )
exp ( i t x ) d ( x )
(2)
, ( B )
= P { B } , B ,
.
. .:
R -
( z ) = e z
.
+
(z) =
izx
(3)
p ( x ) dx
p ( x) =
, - . .-
(4)
p ( x) =
cos z xk pk ,
a2 + ( x )2
( z ) = ei z
1 sin z x
pk .
k=
( | e
izx
| =1 )
. .- (2) (
) .
1. > 0 . .-
( z ) = exp [ ( e i z 1 ) ]
.
2.
. .-:
( z ) = ei z p + q = 1 + p ( e i z 1)
, P {
< x < +
k=
iz
( z ) = ea | z| ;
= M cos z + i M sin z
M sin z =
, . .:
e i z xk P { = xk } =
= 0 , = 1.
a
, a > 0,
a2 + x2
k=
M cos z =
.
6. :
( z ) = M ei z =
; a
(z) =
= 1 -
5. > 0
( z ) . .-
( ) .
, P { = xk } = pk ,
. .
pk 0 ,
( z ) 2
( z ) = exp i z a
(z) =
sin a z
az
4. ( a, ) . .
;
, . .
izx
e i zb e i z a
1
.
ba
iz
[ a, a ] -
F ( x) ,
k = 1, 2 , ... ;
= 1} = p , P { = 0 } = 1 p = q .
a| z|
.
. . .-
.
10. , z -
| ( z ) |
(0) = 1 .
20. a b , a + b
. .- a + b ( z )
= ei zb ( a z ) .
30. ( z ) = ( z ) .
40. ( z ) .
50. n 1 , ..., n
. .- . .-
( z ) , ..., n ( z ) - :
1
333
m1 = s1 ,
1 + ... + n ( z ) = M ei z ( 1 + ... + n ) =
= M (e
i z1
i z 2
... e
i z n
) =
m2 = s 2 + s12 ,
i ( z )
m3 = s3 + 3 s1 s 2 + s1 ,
i =1
1 , ..., n
,
1 + K + n ( z ) = [ 1 ( z ) ]n .
s1 = m1 = M ,
k=
r=
1 1
M | |
, k
k -
(z) =
k =0
(0) = i M ,
3 M | |n
.-
k .
( a ; ) ( )
s1 = a, s2 = 2 .
( i z )k
(i z )n
M k +
n ( z)
k!
n!
z 0
n ( z ) 0 .
, k 3 s k = 0;
, | n ( z ) |
s3 = m3 3m1 m 2 + 2m13 ,
..........................................................................
( z ) . .- k
(k )
s 2 = m2 m12 = D ,
s4 = m 4 3m 22 4m1 m 3 + 12m12 m 2 6m 44 ,
( z k z r ) ck cr 0 .
70. n 1 ,
n
..................................................
,
.
. . ,
. . :
F( y ) F ( x ) =
f ( z ) = ln ( z ) z = 0 k
( k
1 M | | k < + ) ;
(k )
f (z ) - k
( 0 ) - 1 / i k - - k
1
i
[ ln ( z ) ](zk =) 0
1
ik
f (k ) ( 0 ) =
1 dk
ln ( z )
.
k
k
i d z
z = 0
k ( k ) k
k
.
1
f ( 0 ) = M ,
i
s2 =
i z x
e
iz
i z y
( z ) dz .
(*)
F( y ) F ( x ) =
1
lim
2 u 0
2 2
e i z x e i z y
( z ) e z u dz ,
iz
x< y.
, . .,
,
( z ) = M cos z .
( z ) . . -
.
.
1. ( 0 ) = 1 ( z ) ( z R1 ) -
1
M = f ( 0 ) ,
i
D = f ( 0 )
s1 =
lim
. (*)
:
() . k s k ,
s =
1
2
z1 , ..., z n 1 , ..., n ,
1
f ( 0 ) = D
i2
, M D ,
.
m k , k :
n = 1, 2 , ...
n
(z
z j ) i j 0
i , j =1
,
( ).
mk = M k , k = 1, 2 , ... .
2. , , ( z ) ( z R1 ) :
334
2) ( 0 ) = 1 ;
1) ( z ) 0 ;
3) z , ( z ) 0
, ( z ) . .- (
1920 ).
3. ( z ) . . expP ( z ) ( P ( z ) ), P ( z )
).
4. 1 , ..., n
, M n
= 0, D n2 = 1, FS~ ( x )
~
+ ... + n
Sn = 1
n
, ( z ) i
n
( 0 ; 1)
1}
.
. .- . .-. , . .-
. .- .
f (t ) . . f1 ( t )
= f ( x) e
i a t
=e
iat
( a
) f 2 ( t )
. .- .
. .- e i a t , . .-
. .- .
, . .
f (t ) = f1 ( t ) f 2 ( t )
f1 ( t ) f 2 ( t ) . .-
, . . . . . f1 ( t ) f 2 ( t ) f (t ) . .- ( ) .
. . ,
. . . . . ., F ( x )
, . . . .-.
. .- . .
( , [1] ).
) . .
. .- .
, .
) . .- .
n = ( 1 , 2 , ..., n ) ( ) . . z
= ( z1 , ..., z n )
( z ) = M exp [ i ( z1 1 + ... + z n n ) ]
. -
, n
. .
( z1 , ..., zn ) =
; a n a l y t i c characteristic function ,
.
. . . n { FS~ ( x ), n
., , .
., . 2, ., 1984; [4] . ., . .,
. . .
, 3 ., ., 1987; [5] . .,
, ., 1983.
( zk )
k =1
.
.: [1] ., , . .,
., 1979; [2] ., , .,1962; [3] -
. 19- . .
( , [1] ). . . .- , ,
P -
.
P
f ( t, P ) =
it x
P ( dx )
.
. . . (
, ) ,
. :
1) P
f ( t , P ) .
2) P1 , P2 , ..., Pn
f ( t , P1 * P2 * ... * Pn ) = f ( t , P1 ) f ( t , P2 ) ... f ( t , Pn )
.
3) Pn n P w
( Pn
P ) , f ( t , Pn ) f ( t , P )
t R
| t | T .
4) f ( t , Pn ) t = 0
g (t ) , g ( t )
= f ( t, P )
P Pn
P
( ).
- . ., P
( ) t f ( t , P )
, P -
f ( t , P ) - , .
. . .
( , , ).
( , ,
).
335
. . .-
( .,
).
. . .
, ,
, (
).
f ( , P ) =
q ( , x ) P ( dx )
,
. . .- .
.: [1] . ., , ., 1948, . 179
218, 22150; [2] ., , . .
., ., 1979; [3] .,
, . ., ., 1981.
,
,
; characteristic index,
parameter of stable , , .
( ) ; characteristic operator
. ,
= ( t , At , Px ) E - . U U
U .
x A
M x f ( xU ) f ( x )
A f ( x ) = lim
U x
M xU
x E , f DA [
DA ( x ) A x ,
DA ( x ) ].
xE
.
. . , .
. . : x0 f
, A f ( x0 )
0.
. . -
: A f ( x ) x
f . . . : f
336
. .
, (
):
A f (x) =
1
2
2 f
( x) +
xi x j
ij ( x )
i, j
b ( x ) x
i
( x),
aij ( x ) ( ),
.: [1] . ., , ., 1963;
[2] . ., . ., , . 2, ., 1973.
; characterization theorems
.
1. X :
1) X 1 ,
X 2 , X 3
2) X - p ( x ) , x = ( x1 , x2 , x3 )
2
x1 + x 2 + x3 . X
p( x ) =
1
1
exp
( x12 + x22 + x32 ) ,
3/ 2 2
2
( 2 )
2
> 0 (
).
n
2. X R
X = ( X 1 , ..., X n ) .
,
X =
1
n
j=1
, U x
, .
x , f DA ( x ) ,
0 . R d -
bi ( x ) .
.
, q
.
f ( , P ) 1) 4) -
DA =
A f ( x0 )
s2 =
1
n
(X
X )2
j =1
. ,
, X .
3. X k R
, a1 , ..., a n , b1 , ..., bn
. Y1
= a1 X 1 + ... + an X n
Y2
= b1 X 1 + ... + bn X n
, X
.
. , n = 2 , a1 = a 2 = b1 = 1 b2 = 1 , Y1
= X 1 + X 2 , Y2 = X 1 X 2
. ai b j -
, Y1 Y2 -
X .
.
X R Q1 ( X ) Q2 ( X ) . .- .
.: [1] . ., . ., . ., , ., 1972.
G , G
, CG , G
(G ) , G - , s (G ) ,
G - , I (G ) , G -
. G K
K ;
T .
f n : G G f n ( g ) = ng ( n ) f n (G )
=G
(n)
G
= G , G .
G -,
( 2)
. X + Y X Y ,
, ,
, I B (G ) (G ) = E g
( , [2] ). :
CG 2 ,
G ,
X Y , Y , I (G ) (G ) ,
X + Y X Y
( , [2] ).
, X j , j
L1 = 1 X 1 + ... + m X m
= 1 X 1 + ... + m X m
= 1, 2 , ..., m R1 -
L2 =
( j , j - )
, X j
(
).
. X j , j = 1, 2 , ..., m G , j , { a j }mj=1 ,
{ b j }mj=1
[ , j -
G ( j ) { 0} ] L1 = a1 X 1 + ... + a m X m L2 = b1 X 1 + ...
+ bm X m
. G
G Rn + D ,
n0
(1)
, D
( . ) , j -
j (G ) . G ( 2 )
= { 0}
, j -
X Y , X + Y X Y
. G 3 -
, G . G -
, j - -
B (G )
. ,
I B (G ) = I (G ) I B (G ) . k I B (G ) -,
( 2)
, , K
= K .
B (G ) ( )
I B (G ) (G )
B (G )
I B (G ) (G ) = B (G )
G :
K G G / K
T 2 - ( , [2] ).
= k (G ) , K G
G / K
.
, X Y (
)
X + Y X Y ,
X Y ( ).
. , X Y
G -,
,
CG 2
, , ,
j1
= j2 = G ,
j1 j2 -
j -
( , [3] ).
. G ,
G , i X j ,
j = 1, 2 , ..., m G
m
{ a j } j =1 { b j } j =1
= b1 X 1 + ... + bm X m
j - j I ( G ) ( G ) ( , [3] ).
, L1
= a1 X 1 + ... + a m X m
L2
L1 L2 , . , ,
. X j , j = 1, 2 , ..., m G -
j ,
m
, { a j } j =1 , { b j } j =1 , G
337
. L1
+ am X m
L2 = b1 X 1 + ... + bm X m
= a1 X 1 + ... +
j - j (G )
, G ,
( p)
G
= { 0} , p ( , [3] ).
Aut ( G ) , X
. X j , j
= 1, ..., s i , G
, X j , j
, { a j }mj= 0
(2) a0 X 1 a1 X 1 + ...
+ am X m , X j
( ). I A ( G ) = I ( G ) I A ( G ) .
A M (G ) G -
,
j , j Aut ( G ) .
. G
L1 L2
j - j I ( G ) ( G ) ?
, R , n > 1 ( ,
[1] ).
.
(I) , G :
n
R1 - -
= 1, 2 , ..., m
I A ( G ) s ( G ) = A (G )
(3)
, G
(1) , , G ( p ) = { 0}
, p ( , [4] ).
A M (G ) (3) ,
, .
G :
p CG p
( , [5] ).
U (G ) G -
, ,
j - ;
(II) , G Z ( 3 ) G , G () ()- ;
g G T -
. ( G ) U ( G ) . ( G )
= U ( G ) T
j - , j
, CG
j ,
G
( , [6] ).
n g = g 0 G -
j1 j2 j1 = j 2 = mZ (3)
, j - ( j )
( j ) Z ( 3 ) ,
Z ( n ) n , 2 , 2
( 2 ).
. G , .
j , G
X j j Aut ( G ) , L1
= X 1 + ... + X s
L2
= 1 ( X 1 ) + ...
+ s ( X s ) j -
j I ( X ) ( G ) .
A = { a j }mj= 0 ,
A (G ) G -
; - : X j , j = 1, 2, ..., m , m 2 ,
G -
, a0 X 1 a1 X 1 + ... + a m X m
. M (G )
A =
{ a j }mj= 0
338
(2)
, g 0
.
.: [1] . ., . ., . ., , ., 1972;
[2] . ., . ., 1986,
. 31, . 1, . 4758; . ., 1996, . 41,
. 4, . 90106; [3] . ., . , 1988,
. 301, 3, . 55860; [4] . ., . . .,
1989, . 41, 8, . 111218; . . ., 1990, . 42, 1,
. 13942; [5] . .,
,
., 1990; [6] . ., Studia Math., 1982, v. 73,
p. 8186; [7] . ., . , 1969, . 6, 3,
. 30107; [8] .,
, . ., ., 1981.
, ; characterization of
distributions
.
. .- . 1)
x 0, t > 0
P { x + t | x } = P { t }
( ),
,
P { t } = e t , t 0,
> 0 .
2) , +
, -
. ( )
( ) .
, .
.: [1] . ., . ., . ., , ., 1972.
;
exclusion method , ,
, .
; outer measure
, .
, ; error
, ,
, ; , , .
;
probable error , .
( ) ; error o f e x p e r i m e n t , ,
.
, a
, b
= M ( X i a )
( ), i
- -
, ; , . , , 1 , ..., n
, M i
, ,
, X i
p ( X 1 , ..., X n | a, 2 )
p ( X 1 , ..., X n | a, 2 ) =
1
; s y s t e m a t i c error , .
x1 , x2 , ..., xn .
= a + i , i = 1, ..., n
, X 1 , ..., X n
. . .- . ( C. Gauss )
.
. ( W. Gosset; Student, , 1908 )
. ( R. Fisher, 1925 ) .
. .
.
( ) a
= D1 = ... = D n
.
, , , .
, ,
, b -
, ( b = 0 )
; m e a n r o o t s q u a r e error
, .
; s t a n error , .
; r a n d o m
error , .
; error integral , .
;
theory of errors , ,
( 2 )
1
exp
2
2
( X i a )2
i =1
.
. .-
. . .-
2
a
.
T =
X,X
i
2
i
. T
Xn =
1
n
S n
i =1
, a
1
n 1
(X
X n ) 2
i =1
Xn
S n
, X n a
, xi
.
.
x1 , ..., xn - , X 1 , ..., X n
.
X i
X i = a + b + i , i = 1, 2, ..., n
=0
.
1 , ..., n
dard
n 1
2
n
S n2 -
( n 1) 2 .
n ( X n a ) S n
( n 1) - , a
339
( ) .
. . .- ; .
.
.: [1] . ., , . ., ., 1960; [2] . ., -
, 2 ., ., 1962; [3] . .,
, .: , . 4, .,
1984.
; vector of
errors , .
; linear approximation , ( )
a (t ) B(t
1
[ r Y (t ) . , k (t )
. ], B (t ) (t )
. . . . . ,
.
.: [1] . ., , ., 1980.
;
sequence of linearly independent random variables
, .
; s t o c h a s t i c
, .
linear algebra
; linear filter ,
2
L ( )
2
( t ) L ( ) t
:
( ) =
a (t s ) ( s )
a ( t s ) ( s ) ds ,
a (t ) ( r k ) ,
340
a(t )
( )
it
a ( t ) dt
( )
.
(t )
(t ) =
Y (t ) =
it
( d )
a ( t1 ) B ( t2 t1 ) a T ( t2 ) < ,
it
( ) ( d ) ,
L2
. FY ( ) (t )
F
dFY ( )
= ( ) dF ( )
( ) . , ,
, fY ( )
,
= ( ) f ( ) T ( ) .
(t ) , Y (t ) ,
fY ( ) = ( )
f ( ) , ( ) , arg ( )
, ( )
.
a ( t ) = 0 , t < 0 , . .
( ) . ,
,
M ( t ) = 0, M (t )
= s , M ( t ) ( s ) = 0, t s
(t )
Y (t ) =
Y (t ) = A ( ( t ) ) =
i t
t =
s =
t1 , t 2
Y ( t )
1 ( ) ,..., n ( ) . { n ( )}
( ) =
( , F , P )
Y (t ) = A ( ( t ) ) =
ai - -
a (t )
( , ( )
) , ( ) ( )
ai i ( ) = 0 } = 1
i =1
t1 ) a ( t 2 ) dt1 dt 2 <
a (t s ) ( s )
s =
, ,
. Y (t ) -
. F
Y (t ) , ,
, F
ln f ( ) d >
( )
ln f ( )
d
>
1 + 2
( )
. [ 0, p ] ,
a (t ) . .- (t )
(t ) =
t+ p
a (t s ) ( s )
s=t
p
,
1
f ( ) =
2
i k
, 3
., ., 1987; [3] . .,
, ., 1963; [4] . ., , ., 1980;
[5] . ., , ., 1981; [6] .,
, . ., ., 1976; [7] .,
, . ., ., 1974; [8] ., ., ,
. ., ., 1982; [9] ., .,
, . ., ., 1978;
[10] Handbook of statistics, v. 5, Time series in the time domains,
Amst. [a. o.], 1985.
,
linear function
k= 0
estimable
y = + , y RN , RN , R p ,
.
[ 0, q ] ,
M = 0, cov = 2 I
. .- Y (t )
(t ) ,
l - , a y , M a y
(t ) q
. .,
= l T .
p N
T
, l ( -
( t ) + b1 ( t 1) + ... + bq ( t q ) = ( t )
2
Q( z ) = 1 + b1 z + ... + bq z
f ( ) = 2 2 Q ( e i )
T
. l
= 0
= y ,
T
M l T T = l T ,
D l T = 2l T ( T ) l
A , A -
g , AA A = A . .,
y j = 0 + 1 + j , j = 1, ..., N y j = 0 + 2 +
( t ) + b1 ( t 1) + ... + bq ( t q ) =
T
). l l
.
1- .
:
(t k ) .
k =0
Q ( z ) , ,
( q, p )
, ( q, p ) -
( . ) .
. . - ( , [4] [8] ). .,
(t ) = ( t 1) ( t 1) + 1 ( t 1),
Y (t ) = H ( t ) ( t ) + 2 ( t )
. Y (t ) -
(t )
( , [7] ).
, [9], [10].
.: [1] . ., . ., , 3 ., ., 1987; [2] . ., [ . ] -
+ j , j = n + 1, ..., 2n l11 + l 2 2 l1 + l 2
= 0 (
).
.: [1] ., , . ., .,
1980; [2] ., , .
., ., 1980.
; linear
hypothesis
2
: n N n ( a, I )
( I ) s < n . R
s
a r s .
r s .
. .- .
= ( 1 , ..., n ) ,
, M i
= a i , i = 1,
i = s + 1 , ..., n
Di = ,
a1 , ..., a s ,
..., s, M i
= 0,
i = 1, ..., n
. a1
= ... = ar = 0 ,
341
r < s < n H 0 .
. 1 , ..., n 1 , ..., m , n + m 2
, N1 ( a, ) N 2 ( b, )
, a , b ,
= b = 0 . .-,
b = b0 . . .
. H 0 : a
a0 b0 a = a0 ,
.: [1] ., , .
., 2 ., ., 1979.
( )
;
; linear interpolation o f a
r e g r e s s i o n f u n c t i o n
. . .
.
Y = ( Y1 , ..., Yn ) T
X = ( X 1 , ..., X m ) T
f ( x) =
M ( Y | X ) -
= ( f1 ( x ) , ..., f n ( x ) ) , x = ( x1 , ..., xm ) R m , Y - X -
M (Y | X ) = f ( X )
.
Y = f ( X ) f (x) -
A
A M ( X X ) = M ( YX ) , A M .
,
T
D = M ( X X T ) ,
(
) A
= M( Y X ) T D 1 .
,
, , ,
. A X
f ( X ) = M ( Y | X ) -
. f ( X ) . .
Y = A X : 1) M = 0
( n . ); 2) M ( X )
=0
( M -
). Y . .
Y = AX + , AX
M = 0 .
, , , ,
.
; linear code
; linear correlation X Y ,
Y X
X Y
, | | - , .
. .
.
; linear
test
.
X
Y . f ( x )
, Y
Y = B X
Y - , B ,
( m n ) .
M - . = Y Y = Y B X
B
.
z = ( z1 , ..., z n ) R n
z T M ( T ) z = z T M { ( Y Y ) ( Y Y ) T } z
= M ( Y | X ) , f ( X ) = a + AX -
, Y - X -
, a
= M Y A M X , A = aij
, ( n m ) .
. Y - Y
, ,
. M X M Y ,
z M { ( Y Y ) ( Y Y ) } z z M { ( Y Y ) ( Y Y ) } z
. .- f ( X )
z R
, B
= A Y = B X
342
m n . , Y - X -
: f ( X )
= AX
. ,
. .
M (Y | X ) = A X
, , M ( Y | A )
= a + AX
(1)
,
.
Y , yi , i = 1, ..., n n
Z = (1, X 1 , ..., X m ) T , B = a : A
,
M (Y | X ) = M (Y | Z ) = B Z
(2)
( (2) ) . ( B A a ). (1) , M X
= Om
, Ok
M Y = On
= (1
o , ... , o ) . ,
424
3
k
Y - X - ,
Y Y , Y
= A X
= Y Y : 1) M ( | X ) =
= M = On ; 2) M ( X T | X ) = M ( X T ) = Om n ,
Om n m n
( ,
Y = Y +
).
A A -
A M ( X X T ) = M ( Y X T ) . X
D = M( X X T )
, A A
= M ( Y X ) D 1
T
.
. . X Y
-
.
, , , ( ) .
; linear system , .
;
linear estimator ,
(
) . . . .-
,
. , . . .- ,
, , , ,
.- ,
. , ( )
. . .-
. ., Y = X +
( )
= ( X X ) 1 X Y , Y
; X , n p ( p - ) xi ,
i = 1, ..., n , k = 1, ..., p
, Y p
.
Qk p , k = 1, ..., p
M = 0, M ( ) = 2 I ( I )
n .
.: [1] ., ,
. ., 2 ., ., 1975; [2] . ., , . ., ., 1968; [3] .,
, . ., ., 1975; [4] ., , . ., ., 1980.
linear m i n i m u m v a r i a n c e estimator
R ( Y , , 2w ) T
l - ;
w
( . . . ).
. . . l
=0
l -
T
, ,
Tw 1 = Tw 1Y .
; a d m i s s i b l e linear
estimator , .
; linear stochastic differential equation
, .
;
; ; linear stochastic differential equation; s t a b i l i t y o f s o l u t i o n s t
R n - . . . . ,
d X (t ) = B( t ) X ( t ) dt +
r ( t ) X ( t ) dw r ( t )
(*)
r =1
, B
r , n n , X (t ) , R n - ,
w r (t ) . ,
, (*) . , p . . . .- p
343
. , (*)
p (
) , x - p
V ( t , x ) , k i
>0
( , ) X i ,
k1 | x | V ( t , x ) k 2 | x | ;
p
L V ( t , x ) k3 | x | ;
2V
xi x j
V
k 4 | x | p 1 ;
xi
= K + f
, p > 0 -
p . t
.
n
. . . .- R -
| x | = 1
. n = 2
( , [4] ). n
( , [1] ).
.: [1] . ., , ., 1969.
; linear stochastic differential parabolic equation o f s e c o n d o r d e r
, . . . . .- , .,
.
d u ( t, x ) =
b (t , x ) u
i
i =1
l =1
i =1
il (t ,
xi
i, j = 1
ij
( t , x ) u xi x j ( t , x ) +
(t , x ) + c (t , x ) u (t , x ) d t +
x ) u xi (t , x ) + hl (t , x ) u (t , x ) dw l (t )
aij ( 1 2 )
il
jl
, w (t ) ,
.
344
i = 1, 2 , ..., m .
k4 | x | p 2
[ L (*) ].
t - (*) -
;
;
; linear equation; M o n t e C a r l o
s o l u t i o n o f -
, .
; K . X i :
1) n = K n + f
;
Xi
;
2)
;
3)
.
.: [1] . .,
, ., 1975; [2] . ., . .,
. ., , ., 1984.
; Markov line-wise process
( t ) = { X ( t ), Y ( t ) } , burada X ( t ) = t t k birinci tip s t k - ( t k t < t k +1 )
, Y (t )
( t k , t k +1 ) E = {i }
. t k
( t k +1 0 )
( 0, j )
= ( y, i ) Pij -
. . . .-
.
. . . .
.
.: [1] . .,
, .: . VI . . ,
, 1962, . 30923.
; chi divergence , .
; chi square test , 2 ,
0 : = ( 1 ,..., k )
,
. ( K. Pearson, 1903 ).
n ; k E1 , ..., E k ,
, (
i j
Ei I E j = ,
i, j = 1, k ). i , Ei
, i = 1, k . i ni
= ( 1 , ..., k )
Pk 1 ( x ) = P { k21 x } =
n!
P { 1 = n1 , ..., k = nk } =
p1n1 p2n2 ... pknk ,
n1! n2 ! ... nk !
e z 2 dz
.
, : n E1 ,..., E k k ,
cov ( i , j ) = n pi p j .
i j
pi( 0) = pi(n0) n -
n pi i
. pi
k
> 0,
n k , 0- .
( 0)
min n pin
=1
[2]- X 2 -
) H 0 ,
p1
p1( 0) ,
..., pk
k 2
( , [23] ).
pi i :
( k 1 ) -
pi = P ( Ei ) , i = 1, k .
D i = n pi (1 pi ) ,
2 ( k 1)
1
2
( ( k 1) 2)
pk( 0)
pi( 0)
pi( 0)
i =1
X2 =
( i n pi( 0) ) 2 n pi( 0) = n +
i =1
2
i
n pi( 0)
.
2
H 0 X x
: X
H 0 , X
<x
H 0
. x - , H 0
,
- ( 0 < < 0,5 ) . , x - X
. k
P { X x | H0 }
(*)
(0)
( 0)
sup P { X 2 x | H 0 } Pk 1 ( x ) ;
| x| <
min n pin( 0) . - . .-
i
. [11]- . [10]-
. k > 3 k n -
( 0)
pin
, i
= 1, 2 , ..., r
r + 2 , ..., k n
pin( 0)
pin( 0)
pin( 0)
mi , i = r + 1,
= 1, 2, ..., r
0 ). H : pi = pi(n0)
(U
; m1 , m2 , ..., mr
( , i
. - x - X
( , k n - ),
, . ,
x x - ; (*) ,
.
: n n pi
0 , k ;
, n , k pi
P {X 2 < x | H }
0
( ) -
i =1
x k +1
sup
2 ( k 1)
| x| <
X 2 n
mi ) 2 mi + k2 r 1
i =1
, U i , mi
, U 1 , ...,U r ,
k2 r 1 . X 2
5 r k min n
i
pin( 0)
<5
(0)
n pin
i 5- r
.
345
X 1 , ..., X n
F ( x, ) - ( | x | < )
T
= ( 1 , ..., m )
{ F ( x ; )} ,
H 0
. - . .
. x0 < x1 < ... < xk ,
( x0
= , xk = + ) k ( k > m )
( x0 , x1 ] , ..., ( xk 1 , xk ] ,
i = 1, 2 , ..., k
pi ( ) = P { X 1 ( xi 1 , xi ] | H 0 } > 0 ,
p1 ( ) + p2 ( ) + ... + pk ( ) = 1 X 1 , ..., X n
= ( 1 , ..., k )
. -
X 2( ) =
n pi ( ) ] 2 n pi ( )
i =1
. H 0 X ( n )
, n
,
~
X 2 ( n ) = min X 2 ( ) .
pi -
( pi () > 0 ) , pi ( ) u
2
- ( i = 1, 2 , ..., k ; u ,
pi ( ) u
= 1, 2 , ..., m )
m - , [19]-
H 0 ,
~
X ( n ) n
( k m 1)
, . - . . H 0 ( , [1], [6], [8],
X 1 , X 2 , ..., X n n [
n , L () =
f ( X ; ) ,
i
f ( x; ) =
i =1
F ( x; ) x
H 0 , X 2 ( n )
n
],
( , [18] ),
346
1 ,..., k 1 M 1
= 0 , D 1 = 1
, 1 , ..., m
0 1 ,
( , [18] ). . . ( , [18] )
, . - .
.-
( , )
.
. [19], . . [18]- ,
,
,
.
,
.
[3]-: ., ,
;
[13] [16]- , [15]- ,
; [5], [7] [9], [20]-
n -
p( x) =
n2
1
e x 2 x n 21
( n 2)
, ( 0, ) - ;
n ,
.
, , ,
F ) . ,
. . .
.
. . . , .
. . .-
. n - : .,
( n2 n )
2n
.
n
P { n2 < x } ( 2 x ) 2n 1 )
, ( x )
. , .
.: [1] ., , .
., 2 ., ., 1975; [2] ., .,
, . ., ., 1966; [3] L a n c a s t e r H.,
The chi-square distribution, N. Y., [a. o.], 1969; [4] .
., . ., , 3
., ., 1983.
1)
2)
; chi distribution , , n
p( x) =
2
1
x n 1 e x 2 , n > 0
2 n 21 ( n 2 )
( , ), ( 0, ) - ,
.
: 1) (1) n = 2 ;
(3) n = 6 2) (1) n = 10 ; (2) n = 20 ; (3) n = 30 .
(2) n
=4;
. . .
; III
. . . .-
( ) . . . .- f ( t )
= (1 2 i t ) n 2 ; -
, n 2 n - .
. . .- .
n - . . .- ,
X 1 , ..., X n ,
n2 =
= X 12 + ... + X n2 . . . .-
.
. . . . .,
,
( 1 , ..., n )
n2
f (t ) =
1
( n 2 )
k =0
( i 2t ) k
( (n + k ) 2 )
k!
; :
m k = 2 k / 2 ( ( n + k ) 2 ) ( n 2 )
( ; ,
347
. ,
,
( ( n + 1) 2 )
2 ( ( n + 1) 2 ) ( n 2 ) n + ( 2 2 )
( n 2 )
. X 1 , ..., X n ,
n
2
i
i =1
n - . .
; n = 2 . . , n = 3
.
;
queueing discipline ( , )
. . . .
. ., ,
, .
( , . ). . .
. . .-: ( ), (
), (
) .
; queueing system ( , )
m ( 1 m ) ; . .- .
, , . . ;
.
, . .
. ,
,
( , . ). . .
( , ;
).
. . 20- 50-
.
. : 1, 2 , ..., m ; i
i + 1, ..., m
. .
.
.
.
( ), ,
( ).
.
- . .-
. .,
.
348
-
( . )
: .,
.
( , ,
, , ,
). . . . .-
: ., ; ;
; ;
, .
.: [1] . ., . .,
, 2 ., ., 1987; [2] .,
, .
., 2 ., ., 1971; [3] . ., , ., 1972; [4] ., , . ., ., 1979;
[5] ., , .
., ., 1979.
; o p e n queueing system ,
.
; s i n g l e s e r v e r queueing
system , .
; s i n g l e - c h a n n e l
queueing system , .
; m u l t i l i n e a r queueing
system , .
; m u l t i c h a n n e l
queueing system , .
; m u l t i c a s c a d e
queueing system , .
; ; ; s t a b i l i t y o f a
queueing system , ( )
.
,
; s i n g l e - s e r v e r
queueing system
.
M G 1 (
; ,
) . .
( 1932 ).
, ( s ) = M exp{ s } ,
. = < 1
( s ) = (1 ) 1 (1 ( s ) ) , Re s 0
s
= M .
, ( s ) = M exp { s } ,
,
.
( GI M m ,
G I Ek m , M G 1 , Ek G 1 )
. ., G I M m -
( s )
( s ) = ( s + ( s ) ) Re s 0 , s > 0 .
M G 1 , G I M 1 , E k G 1 ,
G I Ek 1 -
k
pk
k m 1 pk = A k
, A ,
(1 ) m x
dF ( x )
,
, F ( x )
= a < m
. G I G 1
( , ).
( )
.
. .-
.
. . .- .
.
.: [1] . ., , ., 1966; [2] . .,
, ., 1972; [3] , . ., ., 1984; [4] . ., . ., . ., , ., 1982.
M M m k -
,
; m u l t i s e r v e r queueing system
( , )
. G I G m . .- (
).
. , n - wn
ma
wn
a -
m a -
.
G I G m , , .,
,
k w -
: , m
k Z
, k
= (1 )
k 1
=1,
(1 ) - . . .-
.
.: [1] . ., . .,
, 2 ., ., 1987; [2] . ., , ., 1972; [3] C o o p e r R. B., Introduction to queueing
theory, 2 ed., L., 1981.
; queueing loss / balk / blocking system ,
( ) (
). . .-
. M M m 0
. ( A. Erlang ) . ( C. Palm )
( , ) ,
,
. ( ,
).
( , ,
; ).
( , )
.
; ,
. ;
; ;
.
. .- :
( )
. . .-
349
. . .
. ,
( , ; )
( , [2] ).
. .-
. .,
. .
. .
, , .
.: [1] . .,
, ., 1963; [2] . .,
. ., . .,
, ., 1968; [3] . .,
, ., 1980.
; c l o s e d queueing system
, .
; p a r t i a l l y
a v a i l a b l e queueing system ,
.
; f u l l y a c c e s i b l e
queueing system , .
; queueing theory ,
,
. . . . . .- : ,
,
,
:
( , [1] ).
. . . . ( A. Erlang ) 20- 20-
,
. . . 1932 33-
.
. . 1931- , . . . 1934- . . . . . .
( 1955; , [1] ).
. . .-
, ,
. ( , ) ;
( , ) ;
.
350
,
.
(
). m - ,
( m
=1
) ( m
>1
) .
.
, r
.
( ). ( r = ) ( r = 0 ) .
. 20- 50-
. ( D. Kendall )
.
A| B | m | r , m r , A , B
. A | B | m | , ,
A B m . A = GI ( general independent ) ,
B = G ( general )
. A | B | M , E k ,
D ,
( ) , , . , Z n -
n -
.
M M m r
. (t ) t
( ) . (t ) k > m k = , k m + r
k = 0 , k m k = k ,
k > m
k = m ,
, . r < =
, t k
pk (t ) t k
. ,
. N
N m + r - .
. r
<m
= / ;
(t )
m - .
; = m
, . < m (t )
( , ,
).
( 1953- . ) . . . : ,
.
. . 20- 30-
M G 1 .
. . . :
1. .
, ,
.
( ,
)
,
.
( , )
.
.
-
. ,
(
).
:
.
.
.
.
( , )
.
.
, . ,
x -
F ( z | x ) .
, . . . .
( , , ).
2. . ,
, . ,
. . .- .
.
, . .
G I | G | 1
. . ( ) , . . .
.
.
( , , ). . . .
.
.
( .,
)
.
. . .
( , ;
,
).
3. .
( )
.
. ., M G
. m M M m
. (
,
) .
. . .
( , )
( )
,
( ,
).
4. .
. . ( 1955 ) . , ,
, . ( , . )
( , ).
. . .- ,
. : .
. . 1932-
( M | G | 1
- );
L = w , L
( ), ,
w ; . .
:
351
, ( , . )
- .
5. , .
, ,
. :
pik
, ,
i - { f k }
(f
f i ) pik , > 0 -
. i -
f k pik < . -
( 1956 ).
( M | G | m | r )
. x(t )
,
f ( x ) | x |
f ( x ) ,
t 0 M f ( x ( t ) ) -
( ,
; ).
( ) .
,
. , .
6. . , , ( ) . .,
. , ;
.
7. . . .- . ;
, , .
.: [1] . .,
, ., 1963; [2] . ., . ., , 2
., ., 1987; [3] . .,
, ., 1966; [4] . ., , ., 1980; [5] . ., [ .,] , .,
1973; [6] . ., . ., . ., , ., 1982; [7] ., , . ., ., 1979.
( ,
) . ,
.
1.
( , )
.
,
.
( , [1] ),
( , [2], [3] ).
.
2. ,
( )
. ( , [4] ),
.
,
.
( .,
)
. 1- ,
,
.
, .
: (
), (
, )
.
.
.
. . .- , ,
.
, (t ) =
= { e ( t ), r ( t ), s ( t ); t 0}
, ,
q (t ) = e ( t ) r ( t ) s ( t ) 0 . e (t )
t ,
r (t ) t ,
s (t ) . ,
, q (t ) (t )
= r ( t ) e ( t ) .
e, r , s
( . )
, .
(t ) -
;
; asymptotic methods
of queueing theory
e, r , s
352
. ,
, .
, ( , [5] ).
3.
( ) . ,
, ,
.
(
) . ,
.
-
. ,
( , [6] ), ( , [7] ), ( , [8] ), ( , [9] ),
( , [5] ).
4. .
( ) ( ) ( , [10] [11] ). .,
q (t ) = ( q1 ( t ) , ..., q N ( t ) ) 1, ..., d
N =
q (0)
i
i =1
1
q ( u N )
N
( u ) = ( 1 ( u ) ,..., d ( u ) )
. (u )
,
q (t )
.
, ,
. .
.: [1] K i n g m a n J. F. C., Proc. Camb. Phil. Soc., 1961,
v. 57, p. 90204; [2] . ..,
, ., 1972; [3] . .., . ., 1972, . 17, . 3,
. 45868; [4] . ., . . ., 1963, . 3,
1, . 199205; [5] . ..,
, ., 1980; [6] F r a n k e n P.,
Operationsforschung und Math. Stat., 1970, 2, S. 923; [7] . ., . ., 1975, . 20,
. 4, . 83447; [8] . .., .
., 1977, . 22, . 1, . 89105; [9] . .,
.: , ., 1980,
. 5256; [10] D a i J. G., Ann. Appl. Probab., 1995, v. 5, p. 4977;
[11] . ., . ., , 1992, . 28, . 326.
n
) (t )
: ( t )
= ( ( t ); 1 ( t ) , ..., n ( t ) ) ,
(t ) , i (t ) , i -
; i ( t ) = 0 . . . ( D. R. Cox,
1955 ) , . .
( , ).
; ; ; queueing theory; i n s e n s i t i v i t y p r o b l e m / i n v a r i a n c e p r o b l e m , , ,
,
.
( , [1] ). . .
( 1961 ).
.
.: [1] , . ., ., 1984.
; statistical simulation of
queueing systems , ( )
; queueing network -
( , ) .
( , ) ; ; .
. . .- .
. . ,
. . .-
,
.
.
N ( )
n . j -
G j ( x ) = P { j < x }, j = 1, ..., N
(k )
j },
k = 1, 2 , ... ( ) -
;
; ;
queueing theory; s u p p l e m e n t a r y v a r i a b l e s
m e t h o d ( t ) = ( ( t ); 1 ( t ), 2 ( t ),...)
, (t ) ( ), i (t ) , t
, . , n , , G
. .,
M G n (
353
= ij
. i -
ij
j - .
, G
= ( G1 , ..., G N )
.
. .-
, G j ( x )
q ( t )
jx
= [ q2 ( t ) , ..., q N ( t ) ]
, q j ( t ) ,
, q1 ( t )
= 1 e
j - t
= n q2 ( t ) ... q N ( t ) .
lim P { q ( t ) = k } = pn ( k ) ,
k = ( k 2 , ..., k N ) ,
(1)
pn ( k ) = c
( / )
i
ki
= n,
i =1
i =1
c , i ,
( , [1] [4] ).
. .- G
= 1, 2, ...
(k )
, . .- 1 , k
j , j 2 ij
. j -
j1 .
N 1 ( 2- N - ) . , G
.
, q1 ( t ) = .
Gj ( x) = 1 e
jx
, q (t )
.
j 2
1 1 > j j
(2)
),
,
. . . , . 20- 60- , 70-
;
,
, , . .
. .
( ,
[10] [13] ).
.: [1] ., ,
. ., ., 1979; [2] ., , . ., ., 1979; [3] K e l l y F. P., Reversibility and stochastic Networks, N. Y., 1979; [4] . .,
. ., .: . .
. . , . 21, ., 1983, . 3119; [5] G n e d e n k o B., K o n i g D.,
Handbuch der Bedienungstheorie, Bd 2, B., 1984; [6] F r a n k e n P.,
[a. o.], Queues and point processes, B., 1981; [7] G o o d m a n J.,
M a s s e y W., J. Appl. Probab., 1984, v. 21, p. 86069; [8] . ..,
, ., 1980; [9] . ..,
, 2 ., ., 1966; [10] . ..,
. ., 1986, . 31, . 3, . 47490; 1987, . 31, . 2,
. 28298; [11] . ., . ., .:
. . . . , . 26, ., 1988, . 396;
[12] . ., . ., . ., , ., 1989; [13] D a i I. G.,
Ann. Appl. Probab., 1955, v. 5, p. 4977.
; Khinchin inequality f o r i n d e p e n d e n t r a n d o m f u n c t i o n
L p .
f k p > 2
lim P { q ( t ) = k } = p ( k )
(3)
p(k ) = c
sup f k
Lp
( t ) dt = 0
.
N
( / )
i
1 i
ki
c ( , [1] [4] ).
(1) (3)
( , [1] [4] ). (1), (3)
G j ( x ) -
, (2) 1 M 1
> j j , j 2
i =2
( , [9] ).
( , [8], [9] ).
. .-
(
ck f k
k= 0
Lp
k =1
1/ 2
ck2
N , ck - .
. ,
n , pn ( k ) p ( k ) ,
354
< ,
2
k
< ,
k =1
rk = sign sin 2 k t
k rk ( t )
f (t ) =
, p > 0
k =1
Ap
k =1
1/ 2
ck2
1/ p
| f ( t ) | dt
Bp
k =1
1/ 2
ck2
, B p
= ( O p ) , p .
. . [1]- . A1 -
1
2 - .
. .- ( , [4] ).
0 < p , q < C ( p, q ) , B
xk
C ( p, q)
k rk ( t )
k =1
k rk ( t )
k =1
Lp
Lp
. . .- :
, G I 0
, G I 0 F1 , F2 ...
( G Fk - ).
.: [1] . ., . . . , 1937, . 1,
. 1, . 617; [2] . ., . ., , ., 1972.
; Khinchin theorem i n t h e
q u e u e i n g t h e o r y 1)
( ) -
a k2 + bk2 <
= lim
( ak cos k t + bk sin k t )
k =1
L p - ( p
<
) .
; Khinchin formula , ,
, .
; Khinchin spectral function , .
; Khinchin
theorem X nj S n = X n1 + ... + X nn
. S n An
- ; An . . .-
. . ( , [3] ).
, , .
.: [1] . ., , . ., 1938; [2] . ., . .,
, . ., 1949; [3] . ., . ., 1936, . 1(43), . 91730.
( )
( ); Khinchin factorization theorem
. H = H 1 H 2 H k
( k = 1, 2 ) Ea
H E a , H
. G
. ( [1]-, ,
[2] ) , F F = G F1 F2 ...
k =1
, 1
1
P { ( ) > 0}
. . ( +
);
2) . . ,
; ;
3)
. .: ,
.
.: [1] . ., . .,
, 2 ., ., 1987.
; Khinchin theorem i n t h e t h e o r y o f s t a t i o n a r y r a n d o m p r o c e s s e s ,
, ( t ) ,
< t <
B ( )
= M ( t + ) ( t ) -
B ( ) =
e i dF ( )
(1)
- ; ( t ) F ( ) ,
. . . 1934- . .
( , [1] ) . . ( N. Wiener; , [2] )
1930- x ( t ), < t <
,
lim
1
2T
B ( )
x ( t + ) x ( t ) dt
= B ( )
(2)
- ; ,
B ( ) (1) (
M ( t + ) ( t ) - ; , x ( t ) ( t )
355
). .
, F ( 2 ) F (1 )
[ 1 , 2 ]
x ( t ) (
) .
, B ( ) | |
, . .
, B ( ) -
f ( ) f ( ) d ( )
d x ( t )
. . . [3]- 1914- .
( , [4], [5] ).
. .- ( t ) ,
t = 0, 1, 2 , ... . [7]- .
(1)-
.
.: [1] . ., . , 1938, . 5,
. 4251; [2] .,
, . ., ., 1963, . 4; [3] E i n s t e i n A.,
Arch. Sci. Phys. Natur., 1914, Ser. 4, t. 37, p. 25456; [4] . ., . ., 1985, . 21, . 4, . 101
07; [5] . ., .: . 1982
1983, ., 1986, . 2556; [6] . .,
, ., 1981, . 14546;
[7] W o l d H., A study in the analysis of stationary time series.
Uppsala, 1938.
; Khinchin Kolmogorov
theorem , .
; partial coherence , .
; partial correlation
function k kk -;
k - kk
- . X t ( p, q )
, ( p, q )
;
( B )( X t MX t ) = ( B ) At
, ( B )
, B X t
(*)
= 1 1 B ... p B p
= 1 1 B ... q B q -
= X t 1 , M X t , X t
2
, At , a
. k ( )
X t kk , k
356
= 1, 2, ...
. . .
=0
, X t
, k
>p
kk
= 0 .
p 0 , q 0 , k > p , . . . ( B )
.
. . . ,
.
.: [1] ., ., .
, . , . 12, ., 1974.
; partial correlation coefficient
. , ,
X 1 , ..., X n R n -
= X 1 X 1 34 ... n Y2 = X 2 X 2 34 ... n
12 34 ... n =
M { ( Y1 M Y1 ) ( Y2 M Y2 ) }
DY1 DY2
, 1 12 34 ... n
1.
. . .
= ij
ij , X i X j , ij | | ij
,
12 3 ... n =
k = 1, 2 , ... -
, ( B )
( , [1] ). (*)- q
., n
=3
12
.
11 22
12 3 =
12 33 13 23
2
2
( 1 13
) (1 23
)
X 1 , ..., X n X i X j
. . . . . . . 12 34 ... n
X 1 X 2 ( ) 12 -
. 12 34 ... n 12 X 1 X 2
X 3 , ..., X n
. X 1 , ..., X n -
, . . .- .
. . .-
r12 34 ... n =
R12
R11 R22
, Rij , rij
rij - R = rij
P { ( t1 ) = ... = ( t n ) = 1} =
.
, r12 34 ... n
( ( N n + 1) 2 )
( 1 x 2 ) ( N n 2) 2 ,
( ( N n ) 2 )
. t 0 p ( t ) 1
p ( t )
r
1 r2
, r
= r1234 ... n
p (t ) = exp
( 0, ]
min ( t , x )
m
(
dx
)
1 ex
, m , ( 0, ] -
,
( N n) .
.: [1] ., , .
., 2 ., ., 1975; [2] ., ., , . ., ., 1973.
/ / ; marginal distribution , .
/ ; arithmetic of special semigroups
n
. . . . R -
. . . .-
20- 60- . .
( , [1] ) . . . . . : I ( )
, I 0
n
( R -
; , ;
), N . .
. p P . (t ) ,
t 0 , 0 1
0 = t 0 < t1 < ... < t n
= P { ( t ) = 1} p -
. p P
( N ). . . .
N n
ti 1 ) = 1}
. P -
.
I
1 < x < 1
t =
i =1
P { ( t
; I 0
= { e t : 0} ,
e t -
; N G P - .
: 1) : n
; n
SO ( n + 1)
R - -
SO ( n ) -
; . 2)
,
: ;
; .
3)
: ,
; ; , .
.: [1] Stochastic analysis, L. [a. o.], 1973; [2] U r b a n i k K.,
Stud. ath., 1964, v. 23, 3, p. 21745; [3] . ., . ., 1986, . 31, . 1, . 3
30; [4] . ., . ., 1986,
. 31, . 3, . 43350; [5] R u z s a I., S z e k e l y G., Algebraic
probability theory, 1988.
; special semimartingale , .
; control sequence ,
.
; control o f t h e
systems with distributed parameters
. .-
. ,
. ., ,
.-.
.-
; . .,
.
d ( t , x ) = [ L ( t , x ) + l ( t , x ) u ( t , x )] dt + b ( t , x ) dw t ,
( t , x ) |D = 0 , ( 0, x) = ( x )
[ L , w ,
( x ) , l b , t R + ,
x D R n ].
u .- .
.: [1] K u s h n e r H. J., SIAM J. Control, 1968, v. 6, 4,
p. 596614; [2] .-., . , 1973, . 28,
. 4, . 1546; [3] B e n s o u s s a n A., J. Franklin Inst., 1983,
v. 315, p. 387404; [4] . .,
, ., 1985; [5] ..,
, .
., ., 1987.
,
.
. . . dxt = b ( t , s + t , xt ) dt ,
t 0 ( t )
xt R
w ti i
d
i A
{w ti + h
w ti
; ( , t , x )
i = 1, ... , d1 ) , t 0 ( , A , P) -
{ At } - d1 (
= ( xi , i = 1, ..., d ) R d
( d d1 ) , b ( , t , x )
d . , b - , t , x -
, , t -
x -
b i ( , t , 0 )
ij ( , t , 0)
A - ,
{ At } - t = t ( ) ,
t 0 ,
; A
d
. s 0 , x R , A
dxt = b ( t , s + t , xt ) dt + ( t , s + t , xt ) dw t ,
x0 = x
(1)
(
, s, x
). xt
) . A
.
C ( [ 0, ), R d ) R d - , [ 0, ) -
. [0, ) t
d
. C ( [ 0, ), R ) - x[ 0 , )
C ( [ 0, ), R d ) , s
. N t
x s ( x[ 0, ) -
N t -
C ( [ 0, ), R )
) s
wt =
( At ) -
( , t , x ) , b ( , t , x )
= 1, ..., d1 }
t , h 0 -
) . A -
:
. . .- .
( , A , P) , { At , t 0} , A -
(w ti ,
, i
. a A , t 0 , x
, At
, w t , ..., w t 1 , w t t ,
A -
= t ( x[ 0, ) )
{N t } - t = t ( x[ 0, ) )
(1) { At } -
,
= t ( x[ 0, ) )
, ( s , x )
. ( s , x )
AT ( s, x)
358
t ( xt )
A M ( s, x) ( s , x )
. [ 0, t ]
xr t -
m , t , x - ].
( M ) = .
( s, x ) = sup M s, x
, t . AT ( s, x )
t
e t f ( s + t , xt ) dt + ( s + , x ) e
0
[ A M ( s, x ) ] (1)-
. , s 0 , x R , AT ( s, x ) d
(1)
xt , s , x . ,
t ( ) = t ( x[0,, s, x) ( ) ) AT ( s, x ) A , s, x
, xt
, s, x
= xt
( ) .
, s,
, , xt
C ( t , x )
0 , f ( t, x )
sup ( L + f ) = 0
L =
( s, x ) =
a
a ( , s, x ) = ( aij ( , s, x ) ) = ( , s, x ) ( , s, x ) 2
f t ( s + t , xt ) dt + g ( s + Q , x Q ) e
,
, s , x ,
.
( s, x ) -
( s, x ) = sup ( s, x )
(2)
( s, x )
( s, x )
. 0 ,
. (2)- A AT ( s , x )
T ( s , x )
, -
( M ( s, x ) )
. A M ( s, x )
AT ( s, x ) A ( M ) ( s, )
( T ) ( s , x ) ( s , x )
= [ -
, ., , b, c, f , g ( , x ) ,
, ( s, x )
- x -
, t , x -
K (1 + | x | )
c, f , g
, K
= 0 ( s, x )
(4)- t0 =
= 0 ( s 0 + t , xt )
,
( s0 , x0 ) - -
= { t0 } ( s0 , x0 ) -
( M ) ( s0 , x ) = ( s0 , x0 ) .
= ( , T ) R d , T , , b , c , f , g (4) ( , [1] ).
, Q
. . .
. ., A
( , [1] ), T
t
.
. . . ,
, ,
g - Q - , -
()
. ( s, x )
(A M ( s, x ) )
c ( s , x )
xi
i, j 1- d -
( s + r , xr , s , x ) dr ,
= M s , x
+
+ aij ( , s, x )
xi x j
s
+ bi ( , s, x )
( s + t , xt , s , x ) - Q -
r
(4)
. A, s 0 , x R d
, s, x
t Q = min ( t , Q ) , ( s + , x ) e t -
[ 0, ) R - g ( t , x ) -
t , s , x =
, s, x
, . (3)-
.
. A [ 0 , ) R
(3)
, ( s , x ) = Ms , x
Q
e t f t ( s + t , xt ) dt + g ( s + Q , x Q ) e Q
359
. . .- ,
,
d
( C [ 0, ), R , N ) , .
.: [1] . ., , ., 1977; [2] F l e m i n g W. H., R i s h e l R. W.,
Deterministic and stochastic optimal control, B. [a. o], 1975;
[3] . ., . ., 1975, . 98, 3, . 45093;
[4] . ., . .,
, ., 1974; [5] W o n h a m W. M., SIAM J. Control,
1968, v. 6, 2, p. 31226; [6] D a v i s M. H. A., SIAM J. Control,
1976, v. 14, 1, p. 17688.
; controlled Markov
process
,
. , ,
. . . .-
( )
.
,
. . . . (
) . . .
. . .- ;
( ,
, ). . . .-
( , );
,
( , [4] ). . . .-
( , [5], [6] );
( ,
). . . .- [7]-
.
. . .- ( )
. . .- (
) .
.: [1] . ., . .,
, ., 1977; [2] . .,
, ., 1977; [3] .,
.,
, . ., ., 1978; [4] ., . . ., 1978, . 18, . 1, . 14767;
[5] . ., . ., 1971, . 86 ( 128 ), . 61121;
[6] B e n s o u s s a n A., L i o n s J. L., Lect. Notes in Math.,
1975, v. 134, p. 522; [7] C h i t a s h v i l i R. J., Lect. Notes in
Math., 1983, v. 1021, p. 7392.
360
Px - (
M x - ) . . .- x
. . . .
.
. . . .
. . .: 1)
X , 2) x X
( ) A ( x ) , 3) a A( x ) -
x y
p ( y | x, a) . ,
( x ) = M x
r ( xt 1 , at ) t 1
(1)
t =1
[ ( 0, 1] ],
g ( x ) = lim
1
M x
n
r (x
t 1 ,
at )
(2)
t =1
, r ( x, a ) , a A( x ) ,
x X
r ( xt 1 , at , xt )
p ( xt | xt 1 , at )
]. - ( g )
( )
[ g ; g
(2)- ].
:
Pa f ( x ) =
f ( y ) p( y
x, a )
y X
Ta f ( x ) = r ( x , a ) + P a f ( x ) , a A( x )
P f ( x ) = sup P a f ( x ) ,
a A ( x )
T f ( x ) = sup T f ( x ) , x X .
a A( x )
< 1 (1) = T
( ) . (2)
g
g = Pg , h + g = T1h
(3)
( h
X ) (3)- ,
h g .
x A( x ) ,
x X
. g ,
,
.
X A
. . .-
( , [2], [3], [5], [7] );
.
, ,
; .
.: [1] .-.,
, . ., ., 1964; [2] . .,
Trans. 4-th Prague Conf. Inform. Theory , 1967, . 131203;
[3] . ., . .,
, ., 1975; [4] ., .,
, . ., ., 1977;
[5] . ., . ., 1980,
. 25, . 1, . 7182; [6] . ., . .,
. , 1982, . 37, . 6, . 21342; [7] . ., . ., . , 1984, . 275,
. 80609.
: 1)
( X , X ) ; 2)
;
controlled object , ,
( A , A ) ; 3) x0 X , 0 < t1 <
> 0 )
x1 , x2 , ..., xn X ( n = 0, 1, 2 , ... )
( t1
/
;
controlled semi Markov process / s e m i M a r k o v
decision
p r o c e s s ,
x (t ) , t 0 ,
a1 , a 2 , ...
a A t 0 x
q ( t , x0 t1 x1 ... t n xn , a ) ; 4)
t n +1
=t
t n + 1 ( n + 1) - -
xn +1 - Q ( t , x0 t x1 ...
t n xn , a ) , X , X - . , , q . x0 t1 x1 t 2 x2 ... t n
= { x ( t ) } :
t n t < t n +1 , n = 0, 1, 2 , ...
x ( t ) = xn
(*)
= 0 t n -
+ ). At , t > 0 = { }
( t 0
; x ( s ) , s
<t
A
t
. A - , { A }t = 0
t
= ( t, ) , t > 0 ,
. t n ( ) < t
tn + 1 ( )
( t , )
= ( x0 t1 x1
... t n xn , t ) -
.
, x X . . .,
, { x ( t ) }t 0 ,
(*)
Px { x0 = x } = 1 ,
Px { t n +1 > t x0 t1 x1 ... t n xn } =
tn
Px { xn + 1 | x0 t1 x1 ... t n xn t n+1 } =
= ( t , x(t ) )
,
( t , ) = ( t , x ( t ))
.
361
( x ) = M x
( s , x ( s ), ( s ) ) ds
0
r ( t , x ( t ), ( t ) ) dt
( ) . . .
,
, X , A (
r t - ),
M x , Px , r ,
0 . .,
( x ) = ( 0, x ) = sup ( x ) , x X
t 0
(t , x) .
( t , x ) = sup [ r ( t , x , a ) + q ( t , x, a )
t
a A
[ ( t , y ) ( t , x ) ] Q ( dy | t , x , a ) ( t , x, a ) ( t , x )]
X
( ) .
, , ,
, . . . . . . .-
, .
. . .-
.
.: [1] . ., . .,
, ., 1977; [2] . .,
. ., 1980, . 25, . 24770; [3] D u y n S c h o u t e n F. A. v a n d e r, Markov decision process, Amst., 1983.
;
controlled random sequence ,
; controlled random
process ; ( ) . . . .-
( , ,
, ).
; controlled discrete time
random process , ,
( ) . , ( ) ( ) .
.
362
. ( R. Bellman )
( , [1] ); ,
( ) ( , [2] ).
.
. . .- .
[3]- . .
. , [5] [6] [7]- . .
.- . .,
. . . . . .-
( , [8] );
.
. . ( , [9], [10] )
. . ( , [11] ) .
. . .- [13]-
. 70-
. . .
.
. . .,
( ). Z = { X , A, A ( h ) h H , p }
: 1)
( X , X ) ; 2)
( )
( A , A ) ; 3) H = U H t , t = 0, 1, ...
A ( h ) , h H
( H0
), Dt +1
=X
= { ( h , a ) : a A ( h ) , h H t } , H t A
H t +1 = Dt +1 X ;
h H t t
ht
ht = x0 a1 x1 ... at xt , xi , xt X ,
ai +1 A ( x0 a1 ... xi ), 0 i < t ,
(1)
a A ( ht ) t + 1 at +1 - ; 4)
p ( / ha ) , X , h H , a A ( h ) h a Dt +1 ,
t = 0, 1, 2 , ... ( X , X ) - ,
X Dt +1 - ha .
x X .
ht , t 0 at +1 -
; , , ( | h ) ,
A , h H , h H
A ( h ) - A H (t ) -
( t 0 ) h ( A , A ) - . H (t ) ( h ) t ( h ) . [14], [20]-
, h
; -
.
t h A ( h ) , h H t
[
, ,
t ( h ) A ( h ) t : H t A ].
, , H - (
) ; ( Z , ) , (3)
. { n }n 1
,
. { t } t 1 ht t ( ht )
t ( | h ) = 1 ( t ( h ) ) , h H t , t 1 ;
- . H (1) h -
w ( x ) = lim M x n ( h )
n
(
, , , n - ). :
. x X -
H - Px
, , :
Px { at +1 B | x0 a1 ... xt } = ( B | x0 a1 ... xt )
( Px )
( Px )
B A ,
X , t = 0, 1, 2 , ...
Px { x0 = x } = 1
{xt } , t = 0, 1, 2 , ... Px ,
x
Z . . .-.
Px M x .
p
xt +1 = f ( ht , at +1 , t +1 ) , t = 0 , 1, 2 , ...
. ( , [19] ).
A ( ht ) = At ( xt ) , p ( | ht at +1 ) = pt ( | xt at +1 ) , t 0
t 1 at
t =1
( , ).
.
(3)
x X H
Px , M x
hH
. (2) x - h H n , n > 0 ,
Ph { ( x0 a1 ... xn ) = h } = 1
, t n .
( )
w ( h ) = sup w ( h ) , h H
. H t - w w
wt wt
; w0 . w ( h ) - h - .
a A( x) , x X
,
].
t ( | ht ) = t ( | xt ) , t 0 ,
= ( | x) ,
x X , .
( ) ,
{ xt }t 0 ( ) .
, x X
w ( x )
= w( x )
h H w ( h ) = w ( h ) ,
( . )
,
[ A t ( x ) = Ax , pt ( | xa ) = p ( | x A) ,
w ( x ) w( x ) g ( x ) ,
x X
X -
, g
( g
= const = > 0
).
, ,
, .
hN = hN ( h ) -
( N ) .
w ( x ) = M x ( h )
r (x
w ( x ) = w ( x ) , x X -
, { t }t 1 -
, t ( | x )
1
n
w ( x ) = lim M x
(3)
363
R ( h ),
( h ) =
(4)
U ta f ( h ) =
t =1
Rt t .
Rt
0 ( Rt 0 )
Ut f (h) =
a
t - , -
( ) . (4)
n 0
:
wn ( hn ) = M h
a A ( h ) , h H t 1 ,
Tt a f ( x ) =
[ r ( x a y ) + ( x a y ) f ( y ) ] p ( dy | xa ) ,
t
h Hn .
U t f ( h ) = sup U ta f ( h ) ,
Z (4)-
Rt ( ht ) =
i ( xi 1 ai xi ) rt ( xt 1 at xt ) , t 1
i =1
, , i
>0.
rt ( x a y ) t ( x a y ) , x a y X A X
t
a A( h )
U t f ( h ) =
i =1
i ( xi 1ai xi ) n ( xn ) , n = 0, 1, 2 , ...
n ( x ) , x X , t
= 0 t = n
a
t
f ( h ) ( da | h ),
h H t 1
; (4)
U t U t
( ) ; , t 1 .
wn ( hn ) =
a At ( x ), x X
t >n
Rt (ht ) ,
wn ( h ) = sup wn ( h ) ,
[ Rt ( hay ) + f ( hay ) ] p ( dy | ha )
f ( hay ) p ( dy | ha ),
Tt f ( x ) = sup Tt f ( x ) ,
a At ( x )
Tt f ( x ) =
f ( x ) t ( da | x ), x X
, (
a
= T a Tt = T t - ).
( Z , ) .
Tt
( ) Z
, rt = r t =
(
)
:
t - . n ( x ) = ( x ) = w ( x )
n - . , , = const
;
,
=1
<1
, ( Z , )
Z , t 1
r (a x y ) , 1 t N
rt ( x a y ) = R( x ) , t = N + 1
0,
t > N +1
,
N
. X - R .
(4) H t - H t 1 - , X X - .
t = 1, 2 , ...
364
wt 1 ( h ) = U t wt ( h ),
h H t 1 , t = 1, 2 , ...
wt 1 ( h ) = U t wt ( h ),
t 1 ( x ) = Tt t ( x ), x X , t = 1, 2 , ... ,
(5) (6)
(7)
( x) = T ( x) , x X
, ,
t 1 ( x ) = T t ( x ) , x X , 1 t N
(8)
.
X
. ,
, N ,
, t = 1, 2 , ..., N
[ (5) wN
= , (6)
wN = 0 , (7) N = 0 , (8) N = R ].
.
.
( )
wt 1 ( h ) = U t wt ( h ) ,
h H t 1 , t = 1, 2 , ... ,
wt 1 ( h ) = U t wt ( h ) ,
t 1 ( x ) = Ttt ( x ) , x X , t = 1, 2 , ... ,
,
wt1 ( h ) = U t wt ( h ) ,
h H t 1 , t = 1, 2 , ...
wt1 ( h ) = U t wt ( h ) ,
t1 ( x ) = Tt t ( x ), x X , t = 1, 2 , ... .
.
- ,
; (4)
,
(9)
lim M h w n ( hn ) 0, w ( h ) , h H
n
lim M h wn ( hn ) = 0 , h H
, . (9) -
= .
, ,
.
X , A
w - ( ) > 0
( )
. :
1) U t Tt ( ) ; 2) h A ( h ) , h H t 1 ( ) a
= t ( h ) x At ( x ) , x X
= t ( x ) ,
> 0 a A ( h ) h H t 1
U t wt ( h )
a At ( x ) x X
Tt a t ( x ) .
, . U t Tt
.
.
( )
: 1) X A
; 2) A Dt , t 1 ;
3) p , t = 1, 2 , ...
, X - f
F ( ha ) =
f ( x ) p ( dx | ha ) , ha Dt
Dt - ; 4) H - ( ); 5) (4)
Rt -
.
t rt , t , rt .
wt , wt t
(
, ), U t , U t Tt ,
t ;
( , ) ( [19],
[23]- ).
: 1) X A ; 2) Dt , t 1
p ( | ) ;
3)
; 3 ) (4)
Rt ;
3 ) t rt
. U t , U t Tt
,
, ,
t , , -
x - (
) ( H t 1 X -
), . (
) ( ,
[14], [20], [24] ); X , A , A ( h ) , P t
, , Rt rt
(
{ z : f ( z ) > c } ).
U t , U t Tt
, wt , wt t
( , ), H t 1 X - -
t
( h x -
).
> 0
.
K .
: 1) w K
w ( ) ; 2) K
( . )
; 3) w
K . K
365
, , , (
x0 x1 ht )
.
. . .
. .,
,
[ 1) ]
,
.
[25], [26]- .
X A -
.
( ) .
. . .- t xt
( yt , zt ) ,
( B | ht )
yt , z t
A ( ht )
., , .
., ., 1977; [19] . ., . ., , ., 1977; [20] .,
., : , . ., ., 1985; [21] . .,
, ., 1981; [22] W h i t t l e P., Optimization
over time, v. 12, N. Y., 198283; [23] S c h a l M., Proc. 6-th Conf.
Probab. Theory, Bus., 1981, p. 20519; [24] . .,
. ., . , 1982, . 37, . 6, .
21342; [25] . ., . ., Statistics
and control of stochastic processes: Steklov seminar 1984, N. Y.,
1985, p. 69101.
; controllability
. x , n , u , n , A (t ), B (t ) , n n n r
; x
F ( t , ) B ( ) B
y0 a1 ... yt . ( y , )
, z 0
. t z t
366
( ) F T ( t , ) d
( F ).
A , B ,
( yt , zt ) - ( yt , t )
.
. .
. . .- ,
( , [21] ).
. . .-
. ( ) , , ,
, ,
.
, , ;
.
.: [1] ., , .
., ., 1960; [2] B e l l m a n R., J. Math. Mech., 1957, v. 6,
p. 67984; [3] .-.,
, . ., ., 1964; [4] B l a c k w e l l D.,
Ann. Math. Statist., 1962, v. 33, p. 71926; [5] B l a c k w e l l D.,
Ann. Math. Statist., 1965, v. 36, p. 22635; [6] B l a c k w e l l D.,
Proc. 5-th Berk. Symp., 1967, v. 1, p. 41518; [7] S t r a u c h R. E.,
Ann. Math. Statist., 1966, v. 37, p. 87190; [8] D u b i n s L. E.,
S a v a g e L. J., How to gamble if you must, N. Y., 1965; [9] . ., Trans. 3-rd Prague Conf. Inform. Theory, 1964,
p. 65781; [10] . ., Trans. 4-th Prague Conf. Inform.
Theory, 1967, p. 131203; [11] . .,
. ., 1965, . 10, . 318; [12] . .,
. , 1964, . 155, . 74750; [13] H i n d e r e r K.,
Foundations of non-stationary dynamic programming, B., 1970;
[14] B l a c k w e l l D., F r e e d m a n D., O r k i n M., Ann.
Probab., 1974, v. 2, p. 92641; [15] H o r d i j k A., Dynamic
programming and Markov potential theory, Amst., 1974; [16] S t r i e b e l C h., Optimal control of discrete time stochastic systems, B.,
1975; [17] . ., . .,
, ., 1975; [18] .,
= A ( t ) x + B ( t ) u [ s , t ]
, ,
rang [ B A B A 2 B ... A n 1 B ] = n
. ( A , B )
d x ( t ) = Ax( t ) dt + B dw ( t )
x (t )
t
> 0 ,
, , ( A , B )
. .
.
.: [1] K a l m a n R. E., Bol. Soc. Mat. Mexicana, 1960, v. 5,
p. 10219; [2] . ., . .,
, ., 1974; [3] . . .,
, . ., ., 1984.
; ideal gas
-
(
). . . > 0
( -
z -
- ).
p R
( -
), R - . ( )
( 2 1 ) d
exp
d 2
. . . ( ,
( ) ): ( d p )
, p R . . .
. .-
. - , . .-
K ( , [1] ) ,
B ( , [2] ).
M ,
, t = 0 S t t
;
. (3) . .
2 = M ( X s Y s ) . 2 ( X , Y ) = 0
FX
Ds , m ,
f ( m ) ( x ) f ( m ) ( y ) x y , x , y R1
> 0 ( d p )
.
. . ,
( , [3] ).
. . ; R ( , [2], [4], [5] ), . . .
. .- ( , [6],
[7] ). , , , . .
.
.: [1] . ., . ., .
., 1971, . 5, . 3, . 1921; [2] A i z e n m a n M., G o l d s t e i n S., L e b o w i t z J., Comm. Math. Phys.,
1975, v. 39, 4, p. 289301; [3] L a n f o r d O., L e b o w i t z J.,
.: Lecture Notes in Physics, v. 38, Berk. [a. .], 1975, p. 14477;
[4] . ., . ., 1972, . 6, . 1,
. 4150; [5] . ., . ., .:
. , . 14, .,
1979, . 147254; [6] Comm. Math. Phys., 1985, v. 101, p. 36382;
[7] M a l y s h e v V. A., N i k o l a e v I., J. Stat. Phys., 1984,
v. 35, 3-4, p. 37579; [8] B u n i m o v i c h L. A., S i n a i Ya. G.,
Comm. Math. Phys., 1981, v. 78, 4, p. 47997.
= FY , FX ,
X .
3. m 0 < 1 , s = m + > 0 .
, R - f ;
s ( X , Y ) = sup { M ( f ( X ) f ( Y ) ) : f Ds }
s . .-. s 1
:
s( X, Y ) =
1
(s)
( x t )
s 1
d ( FX ( t ) FY ( t ) ) dx ,
.
4. f X , X
. s
3 ( X , Y ) = sup { | t | s f X ( t ) f Y ( t ) : R1 }
s . .-.
5. L ( X , Y ) ,
2
2
r
4 ( X , Y ) = sup
L ( xX , xY ) dx : r > 0
; ideal metric s -
. .-.
X - ( X , Y )
FX1 ( x )
, X -
,
(X
Z ) (X , Y )
Z, Y
(1)
Tc : X X, c > 0 s
(Tc X , Tc Y ) = c s ( X , Y ).
(2)
.
. .- .
6. 5 ( X , Y ) = sup{ | x | s FX ( x ) FY ( x ) : x R1} , s 0
Tc X = cX
Y = max ( X , Y )
s . .-.
7. 6 ( X , Y ) = sup { | t | s W X ( t ) WY ( t ) : t R1 } , s 0
. .- .
.
Tc X = c X X Y = X + Y
. .-, W X , X -
. . ,
. . ( ; ).
8.
. . . .,
X Y = X +Y ,
1. ( X , Y ) = M X Y
0 < 1 ,
. .-.
2. 2 ( X , Y ) = sup { | M ( ( X + x ) s ( Y + x ) s ) |: x R1 },
s . .- ( s 1 ). 2
M ( X k Y k ) = 0, k = 1, ..., s 1
(3)
Tc X = | x |c sign x X
,
Y = X Y
Y = max ( X , Y ) Tc X = c X
, s
= 1 . .-.
. .-
( , )
.
367
X 1 , ..., X n , M X 1 = 0 , M X 12 = 1 , , Y1 , ..., Yn
,
. S n
= ( X 1 + ... + X n )
n , S n* = (Y1 + ... + Yn )
n -
. S n n - . s > 2 s
s ( S n , Y1 ) = s (( X 1 + ... + X n )
n , ( Y1 + ... + Yn )
n) =
= n s 2 s ( X 1 + ... + X n , Y1 + ... + Yn )
n s 2
( X k , Yk ) = n13 n s ( X 1 , Y1 )
(4)
k =1
.
s = ( X 1 , Y1 )
M X
, (3)
< , (4) -
n s ( S n , Y1 ) -
.
X - ,
-
= 0 . .
: a
c > 0
( Tc ( X
a ) , Tc ( Y
a ) = (X , Y )
X , Y X.
. .-
, , U n = T1 C n X n a n ,
Vn = T1 C n Yn
an -
X n , Yn
3) q ( w ( u c ) ) c q ( w ( u ) ) , c > 0 ;
4) q ( cw ) c q ( w ) ,
1
, R .
s
= d + ( + )
. .-.
.: [1] . ., . .,
1983, . 28, . 2, . 26487; [2] . .,
, ., 1986,
. 1.
; idempotent measure o n a g r o u p =
-, ( ) .
G
G -
( , [1] ). ,
, ., ,
(
)
- .
. .-
.
G G - . .-
G - (
) .
( ) ( , [2] ).
.: [1] ., - , . ., ., 1981; [2] ., , . ., .,
1950.
, .
Tc s = 0
. .-. Tc ,
X , Y X Tc ( X
Tc
Y ) = ( Tc X ) ( Tc Y ) , c > 0 ,
. .-
. .,
Tc
. . .
, R
X Y - ,
( X , Y ) = q{ x ( X
TX U , Y
TX U ) }
q ( w )
w (u ) , u R1 W
w, w1 , w2 W .
1) q ( w ) 0 , q ( 0 ) = 0 ;
2) q ( w1 ) q ( w1 + w2 ) q ( w1 ) + q ( w2 ) ;
368
X 1 , X 2 , ...
S n = X 1 + ... + X n ,
= ( a , b) = min { n : S n ( a , b )}
S1 , S 2 , ... ( a , b ) ,
a < 0 < b . X j 0 , P { < } = 1 . . . P { S
P { S A , = n },
a }, P { S b }
P { S n B , > n },
A ( , a ) U [ b, ) ,
(*)
B ( a, b)
. ( , ,
), (
), , - .- .
- ,
.
, ,
p , q
=1 p
. X j j - ,
P { X j = 1} = 1 P { X j = 1} = p
, S n n .
a , b
. { S a }
, { S
b}
. :
P { S a } =
1 ( p q )b
, pq;
1 ( p q )a +b
P { S a } =
b
, p = q =1 2
a+b
. ,
b a , p = q = 1 2 ,
a
a + b 1 ( q p )a
M =
, pq;
q p
q p 1 ( q p ) a + b
M = a b, p = q.
2n
P { S a, = n } =
p(na) 2 q(n+a) 2
a+b
a 1
cos
n 1
a+b
k =1
P { > n } =
( 4 pq ) ( n +1)
a+b
p
q
b2
sin
sin
k
a+b
a + b 1
sin
ak
a+b
k
k
sin
a+b
a+b
k
1 2 pq cos
a+b
cos n
k =1
q
kb
+
a+b
p
a 2
sin
ka
.
a+b
( , [3] ) . ( A. Moivre ), .
( N. Bernoulli ), . ( J. Lagrange ), . ( P. Laplace ) ,
.
(*) .
X j - ,
M(e
i X j
, Xj
< 0)
M ( e
i X j
( X j - e
, Xj
> 0)
- ),
(*)
( , [4] ). .,
p1 0,
k = 1, 2 , ...
. (*)
, . , X j
(*) a , b
( , [1], [2] ).
.
.: [1] . ., . .,
1962, . 7, . 4, . 393409; [2] . ., .
., 1979, . 24, . 3, . 47585; . 4, . 87379; [3] T a k a c s L., J. Amer. Statist. Assoc., 1969, v. 64, 327, p. 889906;
[4] K e m p e r m a n J. H. B., Ann. Math. Statist., 1963, v. 34,
4, p. 116893.
*
; distance between two random variables
= ( ) = ( )
r ( , ) = sup
x R1
P { : ( ) < x } P { : ( ) < x } =
= sup F ( x ) F ( x)
x R1
r ( , ) ; -
P { X 1 = k } = C p1k 1 , C > 0 ,
; F ( x ) F ( x ) , ( )
( )
r ( , ) r ( F , F )
1
. r R -
. ,
d
1) r ( , ) 0 r ( , ) = 0 = ;
2) r ( , ) = r ( , );
3) r ( , ) r ( , ) + r ( , ).
, , .
.: [1] ., ,
., 1999.
*
( ) ; double sequence o f r a n d o m v a r i a b l e s { X k , n }; k = 1, 2 , ..., n ; n = 1, 2 , ...
. n - ( )
, . . ( ,
, ).
.: [1] ., , .
., . 1, 2., ., 1984.
; dyadic
stationary random process , ( )
.
369
pij
1- ,
i -
ij
. ( ) W
(1)
Q ( ) ( , [4] ).
( ) , (W , U ) -
= 1,
j -
( )
( d ) N ( ) -
W
ij
= 1.
. . .
( , ; ), ,
- ,
,
.
.: [1] .,
, . ., . 1, ., 1984.
*
(
) ; doubly stochastic Poisson process
( , [1] ) . , . . . .-
( ) W ( ) .
N ( ) . . . .- ( ) ( ) -,
P{ N ( B ) = k } =
[ ( B )]k ( B )
e
( d ) =
k!
[ ( B)]k ( B )
e
k!
= M
, ,
( [1], [2], [3] ).
( , F , P ) , R = ( , + ) ;
.
.
N ( ) , t
B , R - ;
M ;
M
B = { N ( ) : N ( A1 ) = r1 , ..., N ( Ak ) = rk } , k 1 ,
r1 0 , ..., rk 0 ,
F - P M -
. , N ( ) ,
( ) = M N ( ) W ,
U
C = { ( ) : ( Ai ) = xi , i = 1, ..., k } ,
Ai B , Ai I A j = , i j , x 0 , i, j = 1 , ..., k , k 1
, W -
.
B B
[ ( B ) ]k ( B )
e
, k = 0 , 1, 2 , ...
k!
+
+1
t e t , t 0 , ( +1) = t e t dt ,
f (t ) = ( + 1)
0
0,
t < 0 , > 1, > 0
, G ( 0 )
; Q ( ) ,
, N ( )
0
. . . ., ( t ) = ( 0, t ] = G ( t ) , t 0 ; -
( ) , G (t )
A1 , ..., Ak B , Ai I A j = , i j
P{ N ( B ) = k } =
M -
(1)
( ) W ; N ( B1 ) , ...,
P{ N ( t ) = n} =
, B B , | B | , B
( n + + 1)
( n + 1 ) ( + 1 ) + G (t )
+1
N ( t )
= N ( 0, t ] , t 0 -
.
. . . .-
.
. . . .- .
1. ( ) . . . .,
1
, , ( x )
. 2. ,
, . . . .- ,
f *( s) =
. , <
= B
. -
G( t )
, n 0
+ G ( t)
N ( Bn ) , n 1 , Bi B , Bi I B j = , i j , i, j = 1, ..., n
( B )
=0
1
1 ln g * ( s )
g*( s ) =
f 0* ( s ) = g 0* ( s ) f * ( s )
sx
d G ( x ) , G ( x )
370
G (0) < 1 ,
g 0* ( s ) =
e sx dG0 ( x ) G0 ( x )
( 1 , 2 ) -
. 3.
Me
s 1 ( 0 )
= g 0 ( s ) , Me
s [ 1 (1) 1 ( 0 ) ]
= g (s)
.
4. F ( x ) ,
, . . . .- ,
>0
K(z) , z > 0 ,
z dK ( z ) < +
, s 0
f *( s ) = + s +
(1 e sz ) dK ( z )
(*)
. (t ) :
0 . , (*)
K ( + ) K ( 0 ) < . K = 0 , . K > 0 ,
K ( z ) K (0)
K
(t ) 0 -
G (z) =
; (t )
. (
, 1 2 ) -
1 K - ,
( t ) = 0 G ( x )
.
.: [1] . ., . ., . ., . . ., 1983; [2] S n y d e r D. L., Random point process, L. etc: Wiley and Sons, 1975;
[3] G r a n d e l l J., Doubly stochastic Poisson process. Lect. Notes.
Math., 1976; [4] K e r s t a n J., M a t t e s K., M e c k e J.,
Unbergrenzt teilbare Punktprozesse, Berlin: Akad. Verlag, 1974.
; two-armed
bandit , .
( ). t = 1, 2 , ...
( 2 2 ) ,
, .
. . [1]-
.
( 1 , 2 ) ( , ) - ,
( M , ) - , M
> ,
1 2 - (
). [2]- .
,
.
( )
( , [3] )
. [4]- m n
( ) , ( m n )
.
( m n ) ,
( 2 2 )
.
,
.
.: [1] T h o m p s o n W., Biometria, 1933, v. 25, p. 28594;
[2] F e l d m a n D., Ann. Math. Statist., 1962, v. 33, p. 84756;
[3] G i t t i n s J., Multi-armed bandit allocation indices, N. Y., 1988;
[4] . ., . ., , ., 1982; [5] B e r r y D., F r i s t e d t B., Bandit problems, L. N. Y., 1985.
;
; dual Markov process .
j -
, F j
1 p
1 p
= 1, 2 .
. 1 p p
, ( F1 , F2 )
. . . . . . . .
; j
.
. ( ,
). u
.
, .
, : 0 1 . ( 1 , 2 ) ,
( )
C = 1 + p log p + (1 p ) log (1 p )
.
( )
binary digit o f a n i n f o r m a t i o n
;
quantity
, , .
371
; bivariate / two dimensional normal distribution X 1 X 2 ( )
(t ) = exp it T m
, t
1 T
t Ct
2
= ( t1 , t 2 ) , m = (m1 , m2 )
C =
12
1 2
1 2
22
X 1 X 2 .
| | < 1 , . . .- ,
f ( x1 , x2 ) =
1
2 1 2 1
exp
2
2(1 )
( x m )2
2 ( x1 m1 ) ( x2 m2 )
( x2 m2 ) 2
1 21
1 2
22
1
( ).
X 2 = x2 X 1 -
m1 = m 2 = 0 , 1) 1 = 2 = 1 ,
f ( x1 | X 2 = x2 ) =
1 2 (1 2 )
1
1
exp
x1 m1
2
2 12 (1 2 )
. | |
. . .- , [1].
( x 2 m2 )
2
F ( x1 , x2 ; ) -
F ( x1 , x2 ; ) = ( x ) ( y ) +
= 1 -
m = 0 , 12 = 22 = 1 1 2 -
f ( x , x ; ) d .
1
f ( x1 , x2 ; ) , F ( x1 , x2 ; ) - ,
( x)
372
k ( x) k (
y)k
k ( x ) = ( 2 ) 2 H k 1 ( x ) exp ( x 2 2 ) k! , k = 1, 2 , ...,
F ( x1 , x2 ; ) = P { 1 < x1 ; 2 < x2 } =
k =1
F ( x1 , x2 ; )
= ( x1 ) ( x2 ) +
= 0 ; 2) 1 = 1 , 2 = 2 ,
= 0 ; 3) 1 = 1 , 2 = 2 , = 0,8
.
H k ( x ) .
.: [1] . ., . .,
,
., 1962.
T 2
T 2 ; two-sample T 2 statistic
T .
; two-sample Student
test , .
;
double exponential distribution ,
.
1 < 2 . :
? ,
( ).
K : ( 1 , 2 )
H . .-
.
.: [1] ., , .
., 2 ., ., 1979.
p ( x ) = e | x | / 2
, ( , + ) - ,
,
( , ).
. . .
,
, . . .
1 2 ,
+ 1 2 .
. . .- ; ., 2
-, 2 -,
Es = 6 3 -
2 it
f (t ) = e
( t + ) = 0 2
,
- .
. . . .
.
.: [1] .,
, . ., . 2, ., 1984.
; bimodal distribution ,
.
/ ; climate
(
, ,
) . .-
, (
)
( ), (
) (
).
,
, . ,
, .
. .-
. .- ,
, , ,
.
.
.
, . .
, ,
. . , .
.: [1] . ., . ., , ., 1979; [2] . ., ,
., 1982; [3] , . ., ., 1977; [4] The global climate, Camb.,
1984.
; climatic
norm / long-rang averaged value
. . . ,
;
= 0,5 ; (2) = 1 ; (3) = 2
.
= 0 (1)
373
. .- . . ., , 30 100
. . .-
, 1931 60-
.
.: [1] , ., 1957.
;
climat forecast , , .
; climatic system , / .
; climatic time series
, , . . . .-
( )
. - . . . 250 . , 100 , 30
.
12
; stochastic model of climate / climatic stochastic models ,
.
= inf { k 1 : k x }
g (t ) = x = const . . . . . | z | < 1 ,
Im < 0
. ( x )
M ( z ( 0 + ) ; ( 0 +) < ) = 1 A+ ( z , 0 )
14
( ) 10 10
. . . . .
.: [1] . ., . ., , ., 1982.
( )
/
; first arrival time ,
i x
(1)
d x M ( z ( x ) ; ( x ) < ) = 1 A+ ( z , 0 ) A+ ( z , )
( , [1] [3] ),
A+ ( z , ) = exp
1 z M e
i 1
k =1
zk
M ( ei k , k > 0 )
k
( , ). (1) , ( 0 + ) (
/
/ ; first
passage time / hitting time
), , ,
. E , , = ( t ,
0 , At , Px ) , t 0
. A E . . . TA = inf { t 0 ;
t A } , t = 0 A =
= inf { t > 0 ; t A} (
0 = inf ). A
( , [1] ). A
. . . E \ A
.
, . . .- T( a , b ) -;
k 1 P { k > 0} ;
k =1
M 1 0 ( , [1], [2] ).
( 0 + ) , : ) ( 0 + ) ( 0 < < 1 )
= lim
;
first exit time / hitting time ,
374
> 0}
k =1
; ) ( 0 + )
( a, b ) R , T( a , ) a
.
.: [1] G e t o o r R. K., Lect. Notes in Math., 1975, v. 440.
P{
( P { k > 0} )
k=1
( , [6] ). H ( x )
= M ( x )
. k
H ( x) =
P {
x} .
k =1
= M 1 > 0 , ( x ) x 1 / a
x H ( x ) / x 1 / a ( , [1] [3] ).
{ ( x ) n } = { max k x }
1 k n
, x
= x(n)
P { ( x) n } =
e t
dt + o (1)
x / n
, o (1) x - .
, , > 0
, | | M exp ( 1 ) <
. x 1 -
,
P { ( x ) = n} =
x n ( x / n )
e
( 1 n, x n)
n3 / 2
, ( )
(2)
= sup { ln M e 1 }
, ( 1 n , x n )
, 1 n , x n
( , [4], [5] ).
M1
= 0 , 2 = D1 , 0 < 2 < , x
d +1
- ( lg d
).
( , 1.)
1.
n 0 ,
n ( x / n ) ~ x 2 (2n 2 ) 0
(2)-
P { ( x ) = n } ~ C x n3 / 2
.
( , [7], [8] ).
f (t ) ,
x g ( t ) = x f ( t x ) . . . .
d
lg
d +1
0,0969
0,0792
0,0669 0,0580
0,0512
0,0458
. . . .- [2]
[3]- ,
.
- . . . .- . , 0 < 1 [0, 1] -
x .
= 10 lg
x a z 2 ( a b ) 3 ( , [1],
[3] ).
y1 < z < y 2 , ,
P { x g < y1 x } 0 ,
P { xg > y 2 x } 0
(3)
.
(3) .
. . . . ( , [9], [10] ). ( [11],
[13] ), .
.: [1] ., , . ., . 2, ., 1984; [2] . ., , ., 1972;
[3] . ., , ., 1976; [4] . ., . . ., 1962, . 3, 5, . 64594;
[5] . ., . ., 1960, . 5,
d - .
d +1
d
= { } [0, 1] -
*
10
d lg
d +1
- . ,
d
* -
.
1.
( ln m ) 2
1
exp
3
, > 0
p ( ) = t 2
2 2
0
,
0
.
2
lg m lg e lg e
d -
375
pd = lg
; illustrative variable ,
d +1
+ 2
exp ( 2 k 2 2 2 lg 2 e )
d
k =1
sin [ 2 k ( lg ( d + 1) m lg e ) ] sin [ 2k ( lg d m lg e ) ]
2k
.
., m = 0, 46 , = 1 ( [4]- , . 246 ), p d
= lg
d +1
+ Rd ;
d
Rd - 2- .
2.
d
Rd
d
Rd
1,18710-2
3,00710-3
3,14610-3
-4,39110-3
3,67410-3
2,45010-3
1,27510-3
3,25410-4
3,76710-4
, ; simulation of a random
phenomenon
, ,
. . . .-
.
-
( , ( ) ).
; immigration i n a b r a n c h i n g p r o c e s s ,
= 1, 2 , ..., N 2 n
. N , ., N = 100
2. n
lg
d +1
- . ,
d
N [ 0, 1] -
, [ z ] , z
, { z } .
.: [1] .,
, . ., . 2, ., 1984; [2] R a i m i R. A., Amer.
Math. Monthly, 1976, v. 83, 7, p. 52137; [3] H i l l T. P., Statist. Sci., 1995, v. 10, 4, p. 35463; [4] ., , . ., 2 ., ., 1975.
; null hypothesis
. . ., , H 0 . ,
. . , (
. .- ) > 0 ( )
( ) .
/ ( )
( ) ( ) ; initial distribution o f a M a r k o v c h a i n ( p r o c e s s )
( ) s X s ,
s = min { t : t T } , T
( ) . . / . .
( ) , { X t1 , ..., X tn } , ti T
.
376
; impulse
noise .
; impulse phase modulation process ,
.
; impulse renewal process
, .
; impulse response function
( )
h(u ) , L y ( t ) x ( t )
y (t ) = L x (t ) =
h ( u ) x ( t u ) du
. x ( t )
,
L ( ., ) , . . .
h ( u ) : h ( u ) u < 0 h ( u )
=0
y ( t ) -
(
). . . . ,
; ., x ( t ) - x ( t ) . . . ( u ) - .
h ( u ) . . .-
H ( ) -. , .
; impulse
noise , , ( , , . )
.
. .- ;
-
. ,
,
( , [1] ). . .
( ,
[2] ). .
.: [1] .,
, . ., . 1, ., 1961; [2] . ., , 2 ., . 2, .,
1975.
impulsive process w i t h t h e m o d u l a t e d
b y i n t e r v a l s , .
;
tacts
,
; impulse process with
constant tact by intervals ,
.
; impulse Poisson process ,
.
; impulse response function
( , ) ; { t n , n = 0 , 1, ... } {A n } .
A n = ( An , Bn ) - , An , n - , Bn , ,
(t ) =
An ( ( t t n ) Bn ) .
(2)
n =
, Bn
= const
, -
, ( t )
; An
, t n
, ( t )
; An , n - Bn , ( t )
, ,
.
. . . { t n , n
= 0 , 1, ...}
.
( t ) . . .- , -
, .
{ t n } (
; impulse random process
, ( t )
( ., , , )
. . . .-
(t ) =
( t tn , A n )
(1)
n =
, ( t , A ) A
= ( A1 , ..., Ak )
; A ,
t n , n = ... 1, 0 , 1 ...
( , )
, .
(t ) =
(t t
n
, An )
(1)
n =
. . .- ;
, n - n . (1)
( ., [1] ) . . .- ; (1) . . .-
.
. . .- (
), , ( t )
(
); { A n , n = 0, 1, 2 , ...}
tn
- )
(
; , ., [2] )
. { A n ; n = 0, 1, ...} t n
,
. . . . . . . . . .- , t n +1 t n
( , ),
, ( t )
- . . .- ,
,
T0 ,
T0 ,
,
t n - t n = n T0 + n .
n = = const
) ,
( t ) . . .
.
( ., = 0 ), { A n }
, ( t )
( {A n }
, ) ; , T0
377
, ( t )
. n , n
= 0 , 1, ... ,
{A n } -
, , . . .-
,
( t n
n T0 -
,
).
-
( . . .- ; , ., [1] )
.
. . .-
.
.: [1] . ., . ., , ., 1973; [2] . ., , 2 ., ., 1982;
[3] . ., , 2 ., . 1, ., 1974; [4] . ., .:
, 2 ., . 1., .; [5] ., , .
., . 12, 196162; [6] ., , .
., ., 1974; [7] . ., . ., p . ., . , ., 1983.
( ) ; failure
, .
, , .
; failure hunting ( ) .
. ,
,
.
,
, - .
.
.: [1] , ., 1985.
; fault tree
( ,
). . .
.
: 1, 2 3, 4
. . .
. . . .
378
.: [1] ., .,
, . ., ., 1984.
, ; failure
of element , .
, ; failure of
system , .
/
; probability of
breakdown free / failure free operation / survival
function , .
1
1 ; distribution function of failure rate
i n t h e r e j i m 1 , .
; failureless
. . .
, , , .
; gamma percent age operating before failure
( )
t -, P (t )
. ,
, .
( ) , ,
; index o f a r a n d o m v a r i a b l e,
index o f a d i s t r i b u t i o n
f (t ) ,
Br ( )
0 < r
< ( )
( , [2] ).
.: [1] . ., . , 1970, . 194,
5, . 101012; [2] . .,
, ., 1986.
( ) ; indicator o f e v e n t , A
A,
A
1,
I A ( ) =
0,
; indicator variable , .
;
indicator metric
P -, t 0 ,
: f A
D A -,
lim t 1 ( P t f f )
t 0
, f A f . ,
. .
.
2)
, ( )
. .-
Pt f ( x ) = M x f ( t )
K ( X , Y ) i( X , Y )
; ( t , Px ) . .-
, ; indicator of set A
0, A,
I A ( ) =
1, A
I A IB A B , I A = I B A = B ,
I AB = 0 A B = ,
I An =
An
I U An = I A1 + ( 1 I A1 ) I A2 + ( 1 I A1 ) ( 1 I A2 ) I A3 + ... ,
I lim inf An = lim inf I An ,
I lim sup An = lim sup I An , I lim An = lim I An .
A
M I A ( ) = 1 P { A } + 0 P { A} = P { A}
.
. . .
. .
M x f ( ) f ( x ) = M x
A f ( ) d t
t
f D A (
t 0
; , Fx ( ) < , f
I = 0 , I = 1 , I A + I A = 1
An
A f ( x ) = lim t 1 ( M x f ( t ) f ( x ) )
). t
. , - - 0 1 -
. ,
, x - ( M x , Px
, - I A ( )
I I An =
, 1)
i ( X , Y ) = M I ( X Y ) = P{ X Y }
, I . . .
. ( )
. . .,
,
,
i ( T ( X ) , T ( Y ) ) = i ( X , Y ) . i ..- K
). . . 2-
.
( t , Ps , x ) . .
At f ( x ) = lim ( t t ) 1 ( M t , x f ( t ) f ( x ) )
t t
;
.
.: [1] . ., , ., 1963;
[2] ., ., , . ., ., 1968; [3] . ., . ., , . 2 , ., 1973.
379
3) . . . . ;
infinitesimal operator / generator of a conv o l u t i o n o f m e a s u r e s G t - { S t , t
0}
= e
=0
.
G U G
( ) K
lim sup nk ( G \ KU ) = 0
.
, { t , t 0 } G
, lim t
nk ( ) u u
lim sup
n 1 k k
n
n 1 k k
n
, { nk } K -
, e , G e -
.
.: [1] .,
, . ., 1965; [2] . ., .
., 1972, . 17, . 3, . 54957.
t 0
.
t > 0 t
St f ( x ) : =
; informant
f ( x y ) t ( dy )
, f G b
. .
.
,
t
{ P , t } P ( d )
S ( G ) -.
; t -
G -
Su ( G ) { S t , t > 0 }
, - . ( ) ( -
. S t , t > 0
- . , { P }
t 0
Su ( G ) -
D N f - , { t , t 0} G .
A f : = N f ( e ) . . . , N f ( x )
= A ( Z x f ),
(1)
, ..., ( N ) ) .
t
- ( d )
N f ( x ) : = lim t 1 ( St f ( x ) f ( x ) )
. .- N
Z x , G b
x S ( G )
p ( ; t ) .
P ( ) - . p ( ; t )
t = ( t1 , ..., t m )
,
.
.-
:
. N
A
S t , t > 0 ( , t )
.
, , ;
.
.: [1] ., , . .,
., 1967; [2] ., , . ., ., 1981.
, ; infinitesimal system
of measures G nk , k = 1, ..., k n , n 1 -
p ( ; t )
grad t ln p ( ; t ) =
1
p ( ; t )
p ( ; t )
, ...,
t1
p ( ; t )
t n
p ( ; t )
.
. . -
,
. ,
: ,
: G
U
lim sup nk ( G \ U ) = 0 .
n 1 k k
n
nk ( ) , , nk
, { nk } , ,
T - u -
380
p ( (1) , ..., ( N ) ; t ) =
pk ( ( k ) ; t )
k =1
. :
grad ln pk ( ( k ) ; t ) .
k =1
.- .
,
, ,
j , k
Mt
ln p ( ; t )
=
tk
Mt
Zn
.
. .- -
. ., ( Z , Z )
ln p ( ; t )
p ( ; t ) d = 0 ,
t k
PZ~ n -
= { ( Z j , Z j ),
j = 1, 2 , ... } ~
~
n ~n
( Z , Z ) = ( ( Z1 , Z1 ) , ... , ( Z n , Z n ) ) -
2 ln p ( ; t )
ln p ln p
= I jk ( t ) = M t
t j
t k
t j tk
~
~
I ( Z n : Z n ) ( Z n , Z n )
. . .
~
~
Z n = Z n , I ( Z n : Z n ) = H ( Z n ) Z n
.
.
-
, : , > 0
I jk ( t )
j ; k =1
(1)
, ...,
(N )
) t = ( ) ,
, ,
.
grad ln p ( ; t ) = 0
t = -
,
( )
. t =
*
n0 ( , )
N ,
*N
.
.: [1] ., , . .,
., 1967.
; information sequence ,
; information stability
.
lim P
n
, i
~
Zn; Z n
>0
~
iZ n ;Z~ n ( Z n : Z n )
1
~
I (Z n : Z n )
, ,
~n
( Z , Z ) -
< =1
H n ( X n ) X n n ( ,
).
~n
, I ( Z : Z ) -
( : )
iZ n ; Z~ n ( ; ) = log a Z n ; Z~ n ( ; ) , a Z n ; Z~ n ( ; ) ,
~
~
( Z n ; Z n ) PZ n ; Z~ n - Z n Z n -
(*)
,
~
( x n , ~x n ) , x n X n , ~x n X n -
. (*) ,
~
PX n ( ) = p n ( ) ( X n , X n ) -
lim
> <
U n ; ( X n , S n ) , X
~
n
P n ( ) = pn ( ) X , ( X n , S ~ n )
X
X
log P ( Z n )
H (Z n )
n
n
~
M n ( X n , X n ) n , n 0
, .- ,
det I jk ( t ) 0
n > n0 ( , )
~
I (X n : X n )
=1
H n ( X n )
, U n
.
( Q n , V n ) ;
~
(Y n , SY n ) (Y n , SY~ n ) ,
Q ( yn , A ) ,
y Y n ,
A SY~ n .
(Y n , SY n ) - V n - n
. C ( Q , V ) ( Q , V )
. A S
~
Y n
~
P { Y n A | Y n } = Q (Y n , A)
381
, Y
~n
I =
~n
. ( Y , Y )
n
lim
~
I (Y n : Y n )
=1
n
C (Q , V n )
n
R( X , Y ) =
1 e 2 I ( X :Y )
, X Y , I ( X : Y ) .
. . . R ( X , Y ) - X Y
I ( X : Y ) .
. . . R - -
:
R = 0 , , X Y . X Y
,
- , R = ; ,
I = 2 1 ln (1 2 ) .
. . .
. R -
R
1 e 2 I ,
382
j =1
nif
n
ln
n nij
ni. n. j
, n
, s t
, nij , ( i, j ) ,
t
ni. =
, ( Q , A )
; informated redundancy . . .- ( , )
i =1
.
. .
.
, . .-
.
.: [1] .,
, . ., ., 1967; [2] . .,
. , 1959, . 14, . 6, . 3104; [3] . ., , 1960, . 7, . 1
201; [4] ., , .
., ., 1960.
*
ij
n. j =
j =1
ij
i =1
, . . .- .
, I
.
.: [1] L i n f o o t E., Information and Control, 1957, v. 1, 1,
p. 8589; [2] ., ,
. ., ., 1967.
; information matrix , N
N
p
y = + , y R , R , R , M = 0 ,
cov - cov = W 1 ( det 0 )
= TW ;
. . .-
( , .,
,
).
; ; information matrix;
F i s h e r i n f o r m a t i o n t
. P ( d )
p ( ; t ) - t
= ( t1 , ..., t m )
( , )
. .- t =
I jk () =
ln p ( ; t ) ln p ( ; t )
t j
t k
p ( ; ) d
(1)
t =
j , k = 1, ..., m . t
. .
.
I() . .-
jk
( ) dt j dt k =
(2)
j,k
, { P }
.
P =
(d p
)2 p j ;
p j = P ( j ) , j
. (2)
. ,
.
I ( ) Q = P f
Q
. .-
. . . , z1 , ..., z m
I Qj , k z j z k
j, k
P
j ,k
z j zk
; information distance ( , A )
P Q
J ( P, Q ) . . .-
. . .-
:
j, k
. . . . I
(i )
( ) -
( P, Q ) =
pi ( ; t ) . .-,
p ( (1) , ..., ( N ) ; t ) =
p (
i
(i )
(i )
; t)
S ( P, Q ) = 2 arc cos
I N () =
N I () . . .
. t
( ) = ( (1) , ..., ( N ) )
D
[ N I () ]1
. -
.
m
j ( )
j ] [ k ( ) k ] I j k ( ) m N 1
(3)
j,k = 1
,
.
. , ., :
M M I () m N 1 + o ( N 1 ) ,
(4)
(3)- M
V .
dV =
(1)
det I ( ) d 1 ... d m
; det I ()
=0
, , , . , . , . .
( , [1] ).
.: [1] F i s h e r R. A., Proc. Cambr. Phil. Soc., 1925, v. 22,
p. 70025; [2]
.., , . ., ., 1974; [3] . .,
, .,
1972.
( ) ; R i e m a n n
information metric , .
P ( d ) Q ( d )
(2)
.
P Q
. .- ( , ).
. , , , .
,
: )
, )
( ., ) . ,
, ) ) .
, )
) J ,
, , ,
. [ .,
; , (2) ].
, A
, P Q
- . (4)
.
det I () = 0 -
() . ., N
i =1
I N ()
P ( d ) Q ( d )
l ( ) = ln
dP
( ) ,
dQ
(3)
I (P : Q ) =
P ( d )
P ( d ) = Q ( d )
ln
P (d )
Q ( d )
Q ( d ) (4)
Q - P -
( 0 ln 0 = 0 );
, ,
. (
383
) I ( P : Q ) ) ) -
. ., -
. P - Q - ,
N 2- ( P , ) N - -
, 1- n - ,
0 a0 N a1 < 1
N b1 1
I ( Q : P )
n -
. , ., , , , I ( P : Q ) I ( Q : P ) . P Q - -
.
ln N = ln N ~ N I PQ ,
I PQ = ln min
1
( R0,5 , R0, 25 ) (P, Q )
8
= { 1 , 2 }
R ( 1 ) = , R ( 2 ) = 1 ,
, R
0 Q 1.
) ,
ln N ~ N I (P : Q)
. 0 < b0
( P, Q )
. . .-,
. (4)
) I ( P : Q ) -
Q - P -
.
.
, ,
:
l ( ) [ R ( d ) + Q ( d ) ] =
[ P ( d ) ] [ Q ( d ) ] ( 1 ) =
[ln P (d ) ln Q ( d ) ][R ( d ) Q ( d ) ] = 0 ,
I ( R : P ) = I ( R : Q ) + I ( Q :P ) .
.
)
J ( P, Q ) J ( P , Q )
(5)
; , ( , A ) -
cap ( , P ) ( , [4] ).
- P Q P
=Q
. , )
J . ( P, Q )
, J ( P, Q )
.: [1] ., , .
., ., 1967; [2] . .,
, ., 1972; [3] ., ., , . ., ., 1985; [4] A m a r i S h u n i c h i, Differential-gometrical methods in statistics, B.,
1985; [5] M o r o z o v a E. A., C e n c o v N. N., . Probability
theory and mathematical statistics, v. 2 (Vilnius, 1985), Utrecht, 1987,
p. 287310.
+ ( z ) = sup [ P ] ( A ) z Q( A ) : A A ,
(z ) = inf [ P ] ( A) z Q( A ) : A A
0 z
(3) l ( )
P ( Q ) . (1) (2)
, ,
+
( , [3] ) ( z ) ( z )
= + ( z ) + z 1 , .:
1
I ( P, Q ) =
( ) ( z ) z 1dz +
(+)
( z ) z 1dz .
J . . ( , A ) cap ( , P )
J .
J (5) , (1)
384
c( I )
. c ( J )
= 0, 5 .
;
information measure
.
. .- .
. .-
, A
I ( A ) , A ,
,
I ( A )
. , . .
I ( A ) - A f
P ( A )
= p - ,
I ( A ) = f ( p ) . f ( p )
[ 0 p
1 f ( p ) 0 :
] [ f ( p ) :
].
x1 , ..., xn p1 , ..., pn
X . . I ( Ai )
; Ai = { X = xi } . . . X . .
H ( x )
pi log 2 pi , ,
.
. .- . .,
If ( P Q) =
- , P
= ( p1 , ... , pn ) ,
Q = ( q1 , ..., qn ) , f ( t )
= t log t
; K u l l b a c k
L e i b l e r S a n o v information , .
f ( . f -
. f ( t )
( )
; information
f ( pi qi )
; information density , .
f ( p ) = log 2 p
, p ( x ), q ( x ) , P Q .
.: [1] A c z e l J., D a r o c z y Z., On measures of information
and their characterizations, N. Y., 1975; [2] C s i s z a r I., Trans. 7th
Praque Conf. Inform. Theory, Statist. Decis Funct., Random Process.
Eur. Meet. Statist., 1974, 1978, v. B, p. 7386.
f ( t ) = ( t 1) 2 2
; a p r i o r information , .
; amount of information
.
X Y ( , A , P ) -
f ( t ) = | t 1 |
, ( X , SX ) (Y , SY )
.
,
. 1
PX ( A ) , A SX , PY ( B ) , B SY , -
H ( p1 , ..., pn ) =
1
log 2
, N ( p1 , ..., p n ) , p1 , ..., p n . H 0
.
, ,
.
1
2
( p
( 1) /( 1)
> 0, > 0, , 1, 1
.
. .-
. . I f ( P Q )
I f (P Q ) =
I(X : Y) =
a XY ( x , y ) log a XY ( x, y ) PX ( dx ) PY ( dy )
X Y
( , , 2 e
), a XY , PXY PX PY -
( ) . I ( X : Y ) ,
PXY PX PY -
. , H 1 = H
. = 0 -
H (X ; , ) =
; PXY ( C ) , C SX SY
q ( x ) f ( p ( x ) q ( x ) ) d ( x )
. PXY
PX PY ,
I ( X : Y )
X Y . .
I ( X :Y )
I(X : Y) =
pij log
i, j
pij
pi q j
, { pi } , {q j } { pij } , X ,
Y - ( X , Y ) . .,
I ( X : X ) = H ( X ) , X .
( X , Y )
p XY ( x, y ) , . .
I (X : Y ) =
XY
( x , y ) log
p XY ( x , y )
dx dy
p X ( x) pY ( y )
(1)
385
, p X ( x) pY ( y ) , X Y
. ,
I ( X : Y ) = sup I ( ( X ) : ( Y )) ,
(2)
( ) ( ) .
X , Y Z
I( X : Y | Z) =
r
k
i, j
pij|k log
pij | k
pi | k q j | k
, { pi | k } , { q j | k } ,
{ pij | k } X , Y ( X , Y ) Z - , { rk } , Z
. I ( X : Y | Z ) (1) (2)-
. . .-
:
1) I ( X : Y ) = I ( Y : X ) 0 ; , X Y
;
2) X Y . .
I ( X : Y ) = H ( X ) + H (Y ) H ( X , Y ) =
= H ( X ) H ( X | Y ) = H (Y ) H (Y | X )
; X Y
I ( X : Y ) = h ( X ) + h (Y ) h ( X , Y ) =
= h ( X ) h ( X | Y ) = h (Y ) h (Y | X )
, . . ;
3)
I (( X , Y ) : Z ) = I ( X : Z ) + I ( Y : Z | X )
I (( X , Z ) : Y ) + I ( X : Z ) = I ( X : ( Z , Y )) + I ( Y : Z )
.
. .-
. .- .
X Y n
( X , Y ) ,
I( X : Y ) =
DX Y
1
log
,
2
D X DY
D X , DY D XY , X , Y ( X , Y )
. ,
I( X : Y ) =
1
log (1 r 2 ) ,
2
r , X Y - . . .
.
386
.: [1] .,
, . ., ., 1974; [2] . .,
. , 1959, . 14, . 6, . 3104; [3] . .,
. ., , ., 1982;
[4] ., .:
, . ., ., 1963,
. 243332.
; n o n p a r a m e t r i c Fisher information
, .
; information theory
, ,
,
.
. ., ,
, , , . . .
. .- . ( C. Shannon ) . ,
1948- ,
.
- : , .
, ,
,
.
. .-
, . , . .-
; , . , ( , , )
,
.
. .-
;
.
. . .- . . ( , [7] )
.
.
. . ,
, p ( ) , (X , SX ) , ( , A , P ) X . ., X
= { X (t ),
a t b } ,
X ( t ) (X 0 , SX 0 ) .
X
n
( X , S
Xn
= ( X 1 , ... , X n ) ( X n
) , ( X 0 , SX 0 )
n ) n , X k k
; k = 1, ... , n .
. (
),
, ( , A , P) -
~
~
, ( X , SX~ ) X k
~
. X
, ,
( X 0 , SX 0 )
.
. , X
X
- , , , -
. . .- , ,
~
~
( X , X ) (X X , SX SX~ ) -
W
. W
, , m
~
~
( x, x ) , x X , ~x X
j = 1, 2 , ..., m = ( 1 , ... , m )
~
. , ( X , X )
j ,
W ,
~
M j (X , X ) j ,
( , m
=1
(1)
).
. ( Q , V ) (Y , SY ) , (Y , SY~ ) ,
A SY~ y Y
~
(Y , SY~ )
Q ( y , A ) , y Y , A SY~ (Y , SY )
V . (Y , SY ) , (Y , SY~ )
; Q ( y , A )
, ,
y -; V
.
~
P { Y A | Y } = Q (Y , A)
(2)
Y - V . V ,
, ( y ) = ( 1 ( y ) , ..., l ( y )) , y Y
= ( 1 , ... , i ) ;
, Y - V ,
M j (Y ) j ,
j = 1, ... , l
(3)
.
( Y
) V , ,
- , . Y
, Y
Y Y - ).
Y - , (2)
Y - . V -
,
( .,
,
).
,
( ), 0
(Y , S
Y0
~
) , (Y 0 , SY~ 0 )
~
~
Y = { Y ( t ) } , Y = {Y ( t )} .
~
~
~
Y = ( Y1 , ..., Yn , ...) Y = ( Y1 , ..., Yn , ... ) -
n - n = 1, 2 , ... Y ,
~n
~
~
(
Y
,
...,
Y
)
Y = 1
Y = ( Y1 , ... , Yn )
n
j = 1, 2, ..., m
, ,
; (1) , - .
( Q, V ) -
( Q, V ) , ; A SY~
( , A , P )
, (Y , SY )
~
(Y , SY~ ) ,
, ; ,
, . ,
~
~
~
Y n = ( Y1 , ..., Yn ) Y n = ( Y1 , ... , Yn ) .
,
.
( ) Y - x - f ( x )
, x X ,
~
~
X - , Y - ( ~
y ) ,
f ( x ) , x X , , ,
- [ ,
f ( x) , -
y )
]. , f ( x ) ( ~
, x X
= f ( x ) ; ~y
x =(~
y)
, ~
y
387
. .- ;
.
. p ( ) , W ( Q, V ) ,
f ( ) ( )
, X ,
~ ~
Y , Y , X ( ) , X ~
p ( ) , ( X , X )
~
W - , ( Y , Y ) ( Q , V )
,
, H W ( p ) , , (5)
, .
( )
, , .
.
t
lim
Y = f (X ) ,
~
~
X = (Y )
~ ~
Y , X
, Y - X
Y - Y - ,
,
,
.
. .- .
, p ( )
, W , ( Q, V ) . ,
,
, f ( )
( ) ,
( Q , V ) W
. p ( ) , W , ( Q , V )
,
. ,
:
.
. [15]- .
I ( ; ) ;
= ( Q , V ) = sup I ( Y : Y ) [
~
( Q, V ) ( Y , Y )
= inf I ( X : X ) W [ [1]
H ( p ) = H W ( p ) ];
]; HW ( p )
( X , X ) ,
~
( X , X ) W - ; X -
p ( ) .
: p ( ) W ( Q , V )
(5)
.
(5) .
388
C ( Q t , V t ) <
{ ( Qt , V t ), t = 1, 2 , ...} .
t
~t
X - p ( ) , ( X , X )
t
W
lim
~
I( X t : X t )
=1
HW t ( p t )
t
~t
( X , X ) t
, p ( ) , H
Wt
( p t ) <
W t
.
; .,
HW t ( p t )
C ( Q t , V t ) ,
.
V , (3) - + , (1)
- + ,
>0
W . (
t
) : p ( )
W t
( Q t , V t ) ; t ( ) p t ( , )
t - , t
H W t ( p t )
lim
HW ( p ) C ( Q , V )
~
I( Y t : Y t )
=1
t
C (Q , V t )
(4)
. (4) X , Y ,
~t
(Q , V ) ( Y , Y ) -
C ( Qt , V t )
>1
HW t ( p t )
, > 0
t0 , t t 0 t
p t ( ) , ( Q t , Vt )
t
W .
p ( ) -
.
t
, W - W
t
V - V .
.
,
( )
.
.
U
X
= { X k , k = ..., 1, 0, 1, ...}
; - ( X k ) M X
. X
= { X k , k = ..., 1,
0, + 1, ...} ( -
~0
0
( X = X ). , -
.
. , L = LN
( , [4] ) ; N = [ L L ] ( [ x ] , x
~L
= ( X 1 , ..., X L )
). X
, Pe
Pe = L1
Xl }
l =1
, . : H (U ) , C
, L -
Pe log ( M 1) + h ( Pe ) H (U ) 1C
h ( x ) = x log 2 x (1 x)
log 2 (1 x ) .
,
H (U )
1C -
( )
, L
,
L .
RN =
~
Pe, x L = Px L { X L X L }
Pe =
P{ X
log 2 M
N
LN
xL
= x L } Pe, x L = P { X L X L }
, P L {} , X
= x L X
.
: N R < C R - , Rn
R x L X
x -
Pe, x L exp { NE ( R ) }
( P e
), , E ( R ) ,
R - ( ,
). , ,
R < C R - N
.
, : R > C R -
N P e 1 .
, Y
P {X
X 0
X L = ( X 1 , ... , X L )
;
. ,
M = 2 , R N = ; -
=Y
, Q ( y, { y })
=1
= log 2 S
,
, S .
,
.
. , , , , , .
,
. ,
,
,
.
,
,
. ., k + 1 X
(1 )
, ... , f j ( X
( j)
) X
- Y
, ( j
(0)
= 1, ... , k )
( j)
= f j ( X ( j ) )
( Y
(1)
, ..., Y
(k )
) X ( 0)
.
LN , R N M
U H (U ) -
389
, , ,
.
, t t < t
t
. ,
,
,
.
,
.
.: [1] ., .,
, . ., ., 1969; [2] ., , .
., ., 1967; [3] .,
, . ., ., 1974; [4] . .,
. , 1959, . 14, . 6, . 3104; [5] . ., . ., , .,
1982; [6] . ., .:
, ., 1987, . 2958; [7] . .,
.: , ., 1987, . 213
23; [8] Key papers in the development of information theory, N. Y.,
1974; [9] . .,
-, 2 ., . 2, ., 1975; [10] . .,
, 1960, . 7, . 3202; [11] ., , . ., ., 1960;
[12] ., .
, . ., ., 1965; [13] . .,
, 2 ., ., 1965; [14] ., .,
.
, . ., ., 1985; [15] .,
, . ., ., 1963,
. 243332.
( )
; informativity o f s e t o f v a r i a b l e s q ( ) x = ( x1 , ... , x p )
p
z = ( z1 , ..., z q ) ;
I p ( z ) .
.- .
.
z y
.
z
. , p < q , z
x
.
; reflection
principle w (t ) - a
, a w ( t + s ) , s 0 . , w ( 0 ) = 0 ,
a > 0 m ( t ) = max w ( s ) , t 0 .
0 s t
P { m ( t ) > a } = P { < t } .
(1)
( , ). . .- w ( )
a - (
):
P { w ( t ) > a < t } = P {w ( t ) < a < t } = 1 2 .
(2)
~
~
Y = { Y ( t ) , < t < } Y = { Y ( t ) , < t < } -
R =
~
lim ( T t ) 1 I ( YtT : Yt T )
(*)
T t
~T
, I (Yt : Yt ) ,
~
Y Y ( t , T ]
. (*) , .,
w ( t ) > a x < t ,
.
, ., . . .-
.
.: [1] ., ,
. ., ., 1974; [2] . ., .
., , ., 1982; [3] . .,
, 1960, . 7, . 1201.
(1) (3) ,
; amount of
information , .
390
(3)
-
P { m* ( t ) > a } = 2P {w ( t ) > a }
. . . m (t )
p ( t , y ) = 2 ( t , y ) =
2 y2
e
t
2t
y0
, ( t , x ) w (t )
p - ) (U 1 ) ( u ) -
. w (t )
[ m ( t ) < a ]
.
. .- :
1) ( ),
k ( s, u ) = exp ( i ( s, u ) ) , ( , )
, :
m (t ) - a
2)
p ( t , x ) = ( t , x ) ( t , 2a x ), x < a ,
. .- w (t ) , m (t )
= min w ( s )
0 s t
c < m (t ) ,
m ( t ) < a ]
, :
k ( s, u ) =
p ( t, x ) =
[ ( t , x 2k ( a + c ) ) ( t , 2 a x 2k ( a + c ) )] ,
c < x < a
c a
p ( t, x ) =
[ ( t , x 2k ( a + c )) + ( t , 2a x 2k (a + c ) )],
k =
c < x < a .
.: [1] .,
, . ., ., 1972; [2] ., .,
, . ., ., 1968;
[3] . ., . .,
, ., 1967.
; integral renewal theorem
, .
R
{p} ) n
( n = 1) ,
k ( s, u ) = J ( s , u )( s u )
1/ 2
, u > 0 , J
;
5) ( ) (n
s 0,
k ( s, u ) = 0 ,
= 1) , k ( s, u ) = 0 , u 0 ,
U ( P1 o P2 )( s ) = 1 ( s ) 2 ( s )
.
. .- - ( , [1], [2] ).
. .
( , , , ) .
.: [1] ., ,
. ., . ., 1948; [2] . ., . ., 1957, . 2, . 4, . 44469; [3] .,
., , . ,
. 12, ., 196970.
;
probability integral , ,
x
erf ( x ) =
e t dt , | x | <
.
. . ,
( x) =
1
2
t 2 2
dt =
1
[ 1 + erf ( x
2
2 )]
;
. 0, 1
= erf ( t
P { | |
t} =
2 ) . :
( x ) = H ( x ) = ( x ) = erf ( x ) ,
s = ( s1 , ... , s n ) C n - { } -
k ( s , u ) P( du )
4)
{P} o ,
, U {P} - { } - -
(s ) = U P ( s ) =
k ( s, u ) = u s , u > 0 ;
m (t ) a > 0 c < 0
3) ( n = 1) , k ( s , u ) = 0 , u 0 ,
p ( t , x ) = ( t , x ) + ( t , 2a x ), x < a .
k =
exp ( ( s , u )) ;
R n -
Erf ( x ) =
(*)
U ,
Erf c ( x ) =
k , R C - ( . .-
). k
(*)
( ., ). P
( F
( x) =
erf ( x ) ,
Erf ( x ) =
e t dt ,
dt 1 =
Erf ( x
2).
391
.: [1] ., ., ., .
, , , . ., 3 ., ., 1974.
. [ P1 ] [ P2 ] ,
; integral geometry
, .
.
. ( J. Sylvester ), .
( H. Poincar ), . ( W. Blaschke )
. . .-
( , ,
. ) .
R
M n , R - k
. k , n -
. ., g M 2
P1 P2 .
P1 , P2 , [ P1 ]
[ P2 ] [ ] G .
G \ ( [ P1 ] U [ P2 ] ) -
;
( ), . A , A G ( :
). [ ] ,
.
a, b, c . -
I[ c ] ( g ) = I [ c ] I [ a ] ( g ) + I [ c ] I [ b ] ( g ) ;
dg = dp d , ( p, ) g -
I[ a ] ( g ) = I [ a ] I [ b ] ( g ) + I [ a ] I [ c ] ( g ) ;
I [b ] ( g ) = I [b ] I [ a ] ( g ) + I [b ] I [ c ] ( g ),
R - Tn - ,
( k
= 0 ).
., T2
m ( dg )
= dp ( d ) , ,
[ 0, 2 ] - ( , ).
,
T2 .
I A ( g ) , A G . ( )
(
).
:
2 I[ a ] I [ b ] ( g ) = I [ a ] ( g ) + I [ b ] ( g ) I [ c ] ( g ) .
R - F
H B , F - H
, H
( , , H = M 2 H = A ,
), H , R - .
. .-
( , ). , , ( , [1] ).
. .-
( , [4] ), ( , [4] ).
G
= { P1 , P2 } ; [ ]
1- , , ( 1- [c] -
. G ,
( ) . , , [ P ] =
= { g G : g P R 2 }
( ) .
, [ P ]
392
1.
D , { i } ,
D - . i
2 I i ( g ) = I [ ai ] ( g ) + I [ ci ] ( g ) 1
ij [ ij ]c ,
, [ ai ], [bi ], [ci ] , i
. i
2I D ( g ) =
, ., i+j
ij+ [ ij ]c
. 3-
I [ di ] ( g ) N
, N , [ d i ] , D
.
, { [ d i ] }
, [ d i]
= { [ d i ]} U { [d i] } , { d i} -
. [ d i]
r -,
c ,
2I D ( g ) =
[ di ] ( g )
I
i
=N
, r
[ di]c
(g) + r N
2.
. , d i -
( ). ,
2 ID ( g ) =
[ di ] ( g )
I
i
[ di]c
, g ij .
(g) .
, ,
( , [3], [4] ).
1 , ... , n
. G [ 1 ] , ..., [ n ] .
A{ i } [ i ] , G -
( ) . A { i }
Br { i }
. G m ( ) P R
m ( [ P ] )
=0
, m ( )
ij
i< j
= ij
m ( ) .
{Pi } - , cij ( B ) Pj g ij G
cij (B) = I B ( i , j ) + I B ( i, j ) I B ( i , j ) I B ( i , j )
.
3
, {Pi } , { j } , cij ( B ) ,
. ij , Pi
. cij ( B )
, R - , -
( B ) m ( [ ij ] )
, { Pi , Pj }
I n ( i , j ) i, j I n ( g ) -
. : G -
m ( ) B Br { i }
1
m (B) =
2
3.
\ ( [ Pi ] U [ Pj ] ) -
- ; g ij
++
( 2 ). , ., i j
, R - , R - .
.: [1] ., . , 1938, . 5, . 97
149; [2] .,
, . ., ., 1983.
393
,
. . . .-
( , [1] )
, . . .
,
.
.: [1] . ., . , 1952, . 7,
. 3, . 112.
( )
; integral
scale o f c o r r e l a t i o n , .
( )
; integral structure o f a p r o b a b i l i s t i c
m e t r i c , , .
, ; path integral ,
.
; B o c h n e r integrability
, .
( ) ; intensity o f f l o w , .
;
instantaneous intensity , .
( )
; intensity
o f s t r a i g h t l i n e s p r o c e s s , ,
.
( t ) = f ( t ) F (t )
; intensity
1) .-
-. t t - .
. ( , ).
.
(t ) .
( a, b )
b
( t ) dt
t
. (*)
t
F ( t ) = exp ( s ) ds
0
. F (t ) ,
F (t ) = 1 e t , > 0 , (t )
( t ) dt ( t , t + dt )
( )
; integrated spectrum o f a n o n s t a t i o n a r y p r o c e s s ,
f ( t ) = dF ( t ) dt , F ( t ) = 1 F ( t ) . -
; P e t t i s integrability ,
,
; integration
of random process , ; -
(*)
;
rose of intensites R n -
H ( ) .
n
R - Tn
.
m L ,
H ( ) =
S
cos m ( d )
n 1
, m , ( n 1) ,
L , R1 - , S n1 R n - ( n 1 )
.
H ( ) , , R n -
Tn -
. H , m .
.
, .
.: [1] S t o y a n D., M e c k e J., Stochastische Geometrie, B.,
1983; [2] S c h n e i d e r R., W e i l W., .: Convexity and its
applications, Basel, 1983, p. 296317.
394
;
intensity measure , .
( t k , t k + dt k )
; k ( t1 , ... , t k ) , k .
2) ( t ) = F ( t ) [1 F ( t ) ]
; F (t )
,
; intensity of a fibre process
, .
, ; intensity of process , ,
.
( ) ( ); interdecile range , .
; interdecile range , , .
; interference channel
.
. .
( K = 2) , ( L = 2 ) , ( M
= 2)
( A1 = {1}, A2 = { 2 }) .
( B1 = {1}, B2 = { 2})
(C1 = {1}, C 2 = { 2} ) .
. . ;
( ., ) .
.: [1] ., ., , .
., ., 1985; [2] . ., . ., .:
. . .
. , 1978, . 15, . 12362.
; interval estimator ,
( )
( , ). . . .-, , ( ), ( ),
;
. . .-.
.: [1] . ., , .,
1984; [2] ., .,
, . ., ., 1973.
; interval data
statistics 1
, R - , ,
. . . .
( ) ( , [1] )
( , [2] ).
. . .- ,
, , ( , [3] [6] ).
,
. ,
,
.
; . . .- -
( ) (
,
) ( , [7] ). , ,
( , [9],
[10] )
, ,
.
, . . .-
( , [8] ).
. . .- . ., :
,
, ,
.
( , [9], [10] ).
.
. . .-
.
. . .-
,
.
. . .- ,
.
.
.: [1] . ., - , ., 1979; [2] . ., .
, 1981; [3] . .,
, ., 1987;
[4] . ., . ., , . , 1989; [5] . .,
, ., 1991; [6] ( 92 ), . 12, .,
1992; [7] . ., .: . . . . . , 1990, . 89
99; [8] . ., .:
. . . . . , 1993, . 14958;
[9] . ., .:
. . . . . , 1995, . 11424;
[10] 11.01183. .
, ., 1984.
;
interval scale , .
; invariant ring , .
;
invariant test
. : g - g 0 = 0
, H 1 : \ 0 H 0 : 0
395
G
. ( x )
, ( x )
. .-
. T ( x )
,
T ( x ) . . . x - T ( x )
.
G - ,
. .
.
, . .- . ( g x ) = ( x )
g - , ( x )
.
.
,
.
. . ,
gS ( x ) = S ( gx) .
. .- .
. .- .
( , [1], [2] )
inf M g ( x ) M 0 ( x ) sup M g ( x )
g
- ,
.
G
.
.: [1] ., , .
., 2 ., ., 1979; [2] K i e f e r J., Ann. Math. Statist., 1957,
v. 28, 3, p. 573601.
; invariant measure 1) ( , A )
T . . A - ,
A A
( A )
= ( T 1 A ). T
f ( x ) d ( x )
f (T x ) d ( x )
.
, .
2) x X , A A , ( X , A ) , P ( x, A )
. .
A - ,
A A
( A) =
396
; invariant distribution T
X (t )
( , A ) P = P 0 ( A ) ;
X (t ) P ( t , x , A ) A A
t T -
P 0( A ) =
P ( t , x , A ) P ( dx )
0
(*)
. P
, -
P ( t , x , A ) Pt ( A )
= P0 ( A)
= P { X ( t ) A} =
X ( t ) -
.
(*) . .
. X (t ) ,
. . .
. .-
, y1 y 2
( , [1] ).
.: [1] . ., , ., 1986, . 18397; [2] . .,
. ., , 3 ., ., 1987.
; family of
invariant distribution , .
; invariant estimator
( , ) .
.
; invariant statistic
;
. x
G g
, x a g x , a g , t ( x )
t ( g x) = t ( x)
.
.: [1] . ., ,
., 1973.
P ( x , A ) d ( x ) .
, ( )
.
;
invariant measure , .
; invariance i n t h e s t a t i s t i c a l
g a m e / d e c i s i o n t h e o r y
. D , X
. , X
G
e -; , g 2 g1
x - g 2 ( g1 x) - , g
g - .
, G , g X X -
X .
g G , g ,
A
P ( g X A ) = P g ( X A )
(1)
, P .
- , g = g g
P
G . (1) ,
M ( g X ) = M g ( X )
.
( D , , W ) , ( X , P )
: P G - , w D , g G D
,
w ( , ) = w ( , g )
(2)
G , G
.
g - g
.
D , G g G . , X -
g G D
G
G .
g , g g ( ). , , .
( g X ) = g ( X ) ,
( X )
. (X )
.
.
.
.
G , , . , D -
, g
*
( g X )
= g
. ,
= g * ( X ) .
g g = e ,
,
( gX ) = ( X ) -
. { 1 } { 2 }
g i = i , i = 1, 2 ( , [2] ).
( ) ( ) ,
.
.: [1] , .
( )
;
invariance o f a s t a t i s t i c a l p r o c e d u r e
. , G ,
, D - . ( g x ) = g ( x ) , ( x )
, ; g , G .
R ( ) = R ( | ) = M L ( ( x ) | )
;
L ( g d | g ) = L ( d | )
. - G
.
.
, . . G = ,
. 1:
c : X s ( x )
= c ( x ) 1 x
. 2: s ( x )
c ( x ) . 3:
x X x
=x
, d - d
=d
. 4: L ( d / ) d
d + - . ,
D d , d n
. 5: G -
n , g -
lim sup n ( B g ) n ( B ) = 0
, .
,
lim inf
R( | )
(d ) = R ( 0 )
, 0 .
- - , *
D Px
397
L ( | )
, - L ( | )
. ( )
L ( | )
w ( ) ,
L ( | ) P
(t ) w (t ) = O ( (t ))
P ,
,
P ( B ) =
L( | ) =
P ( B ) ( d )
, ( ) ( ) -
( ) w ( )
.
1 , 2 , ... ,
L ( | ) (d ) .
.: [1] . ., . ., .
., 1975, . 20, . 2, . 30931; [2] W e s l e r ., Ann.
Math. Statist., 1959, v. 30, 1, p. 120; [3] . .,
. . -. . . . ., 1977; 2,
. 5866.
; invariance principle i n B a n a c h s p a c e s
M1 = 0 , D1 = 1 , k t < k + 1
(t ) =
( B,
+ ( t k ) k +1
. . , (t )
= o ( ( t ln ln t )1/ 2 )
, (*) ( , [1] ).
( )
,
P { lim sup ( t ) ( 2 t ln ln t )1 2 = 1} = 1 .
) - ,
; , i -
i =1
. { i } -
>2
M 1
<
, (t )
, .
{ i }
= o ( t ) (*) .
, { i } -
t >0
{ i } -
lim P max
n
k n
i =1
>0
(i i ) > n = 0
(*)
, { i } , .
. .
. , (*) ,
, ( , [1],
[2] ). , ,
. .- ( ,
( )
, [1], [2] ).
.: [1] D u d l e y R. M., P h i l i p p W., Z. Wahr. und verw.
Geb., 1983, Bd 62, H. 4, S. 50952; [2] . C., .
. - ., 1985, . 5, . 327; [3] . .,
. ., . ., 1980, . 25,
. 4, . 73444.
; insensitivity /
invariance problem in theory ,
;
; s t r o n g /
almost
s u r e invariance principle
398
12
Me
t 1
<
( t ) = ln t
(*) ( , [2] ). . ( ,
[1] ) ( , [3] ) .
.
.: [1] S t r a s s e n V., Proc. 5-th Berkeley Sympos. Math.
Statist. Probab., 1967, v. 2, 1, p. 31543; [2] K o m l o s J., M a j o r P., T u s n a d y G., Z. Wahr. und verw. Geb., 1976, Bd 34,
1, S. 3358; [3] B e r k e s I., P h i l i p p W., Ann. Probab.,
1979, v. 7, 1, p. 2954.
; invariance principle f o r
s t o c h a s t i c / r a n d o m p r o c e s s
. . .
. { X (j n ) , j
= 1, ... , mn }
n = 1, 2 , ... X jn , , n j -
mn
DX
M X (jn ) = 0 ,
( n)
j
= 1.
j =1
tk( n ) =
DX
(n)
j
s n
= s n ( )
jk
sn ( tk( n ) ) =
(n)
j
j k
( n)
, t k
t t k( n+)1
( ), Pn
C [ 0, 1] - s n -
( j
; W - w -
.
C [ 0, 1] n
Pn W
(1)
(n )
)
(n
j
= j
M {( X
(n) 2
j ) ;
|X
( n)
j
| > } n
0 ;
>0
= X j n1/ 2
mn
=n
, X 1 , X 2 , ...
, , . [1]- . . . ,
{ X (jn ) } -
. . .
. (1)
f ( )
P { f ( sn ) < u } P { f ( w ) < u }
. - . .-
{ X
(n)
j
} , , -
. .
(1) (2)- . .- . .- ( , ;
).
.: [1] D o n s k e r M., Mem. Amer. Math. Soc., 1951, v. 6, p.
112; [2] . ., . .,
1956, . 1, . 2, . 177238; [3] .,
, . ., ., 1977.
;
; ; invariance principle; r a t e o f c o n v e r g e n c e s n
< , 1 , 2 , ...
Pn w
W
n = ( Pn , W ) .
L( n )
mn
(j n )
>2
. . ( , [1] ) (4)-
<
(3)
.
. .
n Pn
W . .,
n ( B ) P { s n B } P {w B } ,
n ( f , u ) P { f ( sn ) < u } P { f ( w ) < u }
,
B , C [ 0, 1] , f ( ) ,
C [ 0, 1] - . B ,
P {w ( B ) ( ) } C B , > 0
, n ( B )
n ( B ) (1 + CB ) n
, (B )
.
( )
(4)
, B B
, f ( )
f ( x ) f ( y ) C1 ( f ) x y ,
x , y C [ 0, 1]
, f ( ) C 2 ( f )
,
n ( f , u ) ( 1 + C1 ( f ) C 2 ( f ) ) n
(5)
.
(4) (5) (1), (2) (3) n ( B ) n ( f , u )
. ., B ,
j =1
t 1
. { j } -
W -
.
C [ 0 , 1] Pn
(2)
n = O ( n 1 2 ln n )
(2)
f ( x) = x (1) (2)-
=n,
,
n
. t M e
.
(1) .
. . ( , [2] ).
(n )
n = o ( n ( 2 ) 2 ( + 1) )
j=1
, X
.- ). mn
n > 2 M 1
mn
(1)
399
f ( x ) max x ( t )
;
irregular point ,
0 t 1
,
.
f ( x) =
g ( x ( t ),
t ) dt
.
B = { x C [ 0, 1] : g ( t ) x ( t ) g + ( t ) , t [ 0 , 1]}
g ( t + h ) g ( t ) K h ,
mn = n ,
j = n (j n ) j = 1, ... , n ,
3
n ( B ) Cabs ( K + 1) M 1 / n1/ 2
;
rose of direction , .
; direction statistic ,
; directed set , ( ) .
,
; sign
method of correlation analysis , .
.
.: [1] . ., . .,
1956, . 1, . 2, . 177238; [2] K o m l o s J., M a j o r P., T u s n a d y G., Z. Wahr. und verw. Geb., 1976, Bd 34, 1, S. 3358;
[3] . ., . , 1983, . 38, . 4,
. 22754; [4] . ., . -
,1985, . 5, . 2744.
; inversion
, -
; sign
test ( n ; p = 1 2 )
H 0 . H 0
,
P { k | n, 1 2 } =
; Ionescu Tulea theorem
.
( S n , An ) , pn ( x0 , x1 , ... , dxn+1 )
( S 0 S1 ... S n , A0 A1 ... An )
( Sn +1 ,
, ) . [1]- . . .-
( , A ) = ( S 0 S1 ... , A0 A1 ... )
, x S 0 P ( x , d )
= I 0, 5 ( n k , k + 1) ,
k = 0 , 1, ... , n ;
I z ( a, b ) =
1
B(a, b)
a 1
(1 t ) b 1 dt ,
B ( a , b ) . . .-
0 < 0, 5 H 0
min { , n } m
0 z 1,
, , m
x -
A0 . . . .-
, ,
t = 0 , 1, 2 , ... , , .,
.
P ( x , d ) - S 0 - ( dx ) - -
,
.
.: [1] I o n e s c u T u l c e a C. T., Atti Acad. Naz. Lincei
Rend., 1949, v. 7, p. 20811; [2] ., , . ., ., 1969.
400
= m ( , n )
. .-
1 x ( d x0 ) p0 ( x0 , dx1 ) p1 ( x0 , x1 , dx2 ) ,
P ( x , d )
i
n
, n
( S 0 ... S n )
C (1 2 )
i=0
An +1 ) , n = 0 , 1, 2 , ... ( -
- .
0 t t + h 1
Cni (1 2) n 2 ,
i=0
m +1
i
n
(1 2 ) n > 2
i =0
. . .- 1 , ..., n
,
x
P { i < x } = P { i > x }
H 0
.
. .
( ) ,
i
i =1
1,
0 ,
( x) =
x > 0,
x<0
, , H 0 ,
( n ; p
= 0, 5 ) -
.
. . 1 , ..., n
0 -
H 0
; 1
= 1 0
, ... , n
= n 0
, .
.: [1] ., , .
., .: , ., 1967, . 300522.
; Ito formula ,
, ( t ) t 0 ,
2
.
.: [1] . ., . ., , [3 .], ., 1983; [2] ., , . ., 2 ., ., 1979; [3]
. ., , . .,
., 1960; [4] . ., - .
.,
, 3 ., ., 1969.
( )
; sign invariant family o f
r a n d o m v a r i a b l e s
, .
,
( X 1 , ..., X n ) , k = 1, k = 1, ... , n
( X 1 , ... , X n )
(1 X 1 , ... , n X n ) ,
.
( X )
. - . . , ( X )
. - . . . . - . .-
f C ( R ) ( f ( t ) ) t 0 t
f ( t ) = f ( 0 ) +
f (
) d s +
+
+
1
2
f (
) d c, c
[ f ( )
s
f ( s ) f ( s ) ( s s )].
s t
, 1 , d c
, d ,
c, c
,
c
. ,
c2
, m c ,
= m + A -
m -, A
.
c, c
t ) .
.
,
.
( , [1] ).
.: [1] ., , 1959, . 3, 5, . 13141;
[2] D e l l a c h e r i e C., M e y e r P. A., Probabilites et potentil,
pt. 2, ch. 58. Theorie des martingales, P., 1980.
; sign correlation
function , .
; loss function ( ) D -
; Ito representation R d - , ,
( t ), t 0
:
(t ) = c (t ) +
D - ,
-
( ) d ( d D )
( )
L ( , d ) . . .-:
( R k )
(D=)
L ( , d ) = d
H i : i , i = 1, ... , k 0 1
0, i , d = d i , i = 1,..., k ;
L (, d ) =
1,
; d i , H i .
x ( ) ( dt , dx ) +
0 | x| 1
x ( dt, dx ) ,
(*)
0 | x | >1
c ( t ) -
( R+ Rd , B ( R+ Rd ) )
( , dt , dx )
( t ) :
(, A) =
I ( ( t ) 0 ) I (( t , ( t )) A )
t0
( t ) = ( t ) ( t 0 ) , ( A) = M ( , A) .
401
- . [2]- ; , (*) .
.: [1] I t o K., Japan. J. Math., 1942, v. 18, 2, p. 261301;
[2] . ., . ., , 2 ., ., 1977.
; Ito process
t
t = 0 + a ( s, ) ds +
0
b ( s, ) dw ,
s
t [ 0, T ]
(*)
, w A
= ( At )
, a b , A
a ( , ) L1 ( [ 0 , T ] ) ,
b ( , ) L2 ( [ 0, T ] ) -
. A
, t [ 0, T ] w (t )
At
h>0,
s [ 0, T h ]
w ( s + h ) w ( s ) As . , (*)
.
.: [1] . ., . ., , ., 1974.
;
Ito Nishio theorem , ;
; Ito Wentzel formula
,
.
f ( t , x )
d f ( t , x ) = I ( t , x ) dt + H ( t , x ) dw ( t )
, w ( t ) , { At }
, I ( t , x ) H ( t , x )
( ) . ( t ) , { At }
d ( t ) = b( t ) dt + ( t ) dw ( t )
.
f , T , H
df ( t , ( t )) = I ( t , ( t ) ) dt +
H ( t , ( t ) ) dw ( t ) + b ( t )
l
f ( t , ( t )) +
xi
1
2
il ( t ) jl ( t )
+ f ( t, ( t ) ) +
2 i , l , j ...
xi x j
402
i, l
H l ( t , ( t )) dt +
xi
il ( t )
f ( t , ( t ) ) dw l ( t )
xi
i, l
il
(t )
.
.
.: [1] . ., . .,
1965, . 10, . 2, . 39093; [2] . ., , ., 1938, . 208.
;
hierarchical classification procedures
N , D
.
N N 1
. -
. :
, . .
, , .
. , ,
, . .
.
k i j
i + j ( ),
, ni n j
d k , i + j = ( ni d ki + n j d kj ) ( ni + n j )
, d ki d kj , k i
j . . . .-
.
.: [1] ., ., , .
., ., 1977.
; needle
, .
; Ising model
. d . .- d
t Z
, {x s }
{ 1, + 1} .
U :
U { s , t } ( x s , xt ) = I x s xt ,
U { s} ( x s ) = h x s ,
|s t | = 1 ,
s, t Z d ,
U . h
. { y s }
U . .-
:
U{s , t } ( ys , yt ) = 4 I y s yt , | s t | = 1 ,
U{s } ( ys ) = ( 4 dI + h ) y s ,
s, t Z d
. ,
.
, d = 1 . .- -
y s , yt { 0 , 1} .
I > 0 . ., I < 0 . . .
. . .
. .- [1]- ,
d = 2 f d ( , h = 0)
. ,
,
( , [10] ).
cr ( d ) .
. . .-
d 2 .
f 2
cr ( 2 ) = ln ( 2 + 1) 2-
> 2 f d ( , h = 0 )
cr ( d ) .
d ( , h ) h
( , [2] ), d 2 , >> 1 h = 0
. d = 1 f1 ( , h)
> 0 , < h <
. d
.
. .-
. h 0 h = 0, < cr ( d )
.
h,
.
h,
lim
h 0
> cr ( d ) h = 0 -
. ,
x0
= x0
> 0,
x0
+1 , + .
( , [3]
[6] ) .
. d = 2 ,
h = 0
( , [7], [8] ). d
3 , h = 0
> r ( d ) cr ( d )
. .,
,
xt
> 0, t (1) 0 ,
. d
4 , r ( 3 ) > cr ( 3 )
r ( d ) = cr ( d ) . r ( d ) -
-
( . ) . . .-
. .
.
.: [1] O n s a g e r L., Phys. Rev., 1944, v. 65, 2, p. 117
49; [2] I s a k o v S. N., Comm. Math. Phys., 1984, v. 95, 4,
42743; [3] P e i e r l s R., Proc. Camb. Phil. Soc., 1936, v. 32,
3, p. 47781; [4] . ., .
., 1965, . 10, . 2, . 20930; [5] G r i f f i t h s R., Phys.
Rev., 1964, v. 136A, 2, p. 43739; [6] . .,
, , 1980; [7] A i z e n m a n M., Comm. Math.
Phys., 1980, v. 73, 1, p. 8394; [8] H i g u c h i Y., .: Random
fields, v. 1, Amst. N. Y. Oxf., 1981, p. 51734; [9] . ., . ., 1972, . 17, . 4,
. 61939; [10] D o b r u s h i n R. L., S h l o s m a n S. B., Sov.
Sci. Rev., 1985, v. C5, p. 53195.
; rezolution , .
,
; m e t r i c isomorphism of dynamical systems
.
( , A , P) (1 , A1 , P1 ) .
: 1 ,
1) = 1 ;
2) 1 ;
3) P P1 ,
P ( 1 A1 ) = P1 ( A1 ) A1 A1 ;
4) ( , A , P) - {T t } (
) (1 , A1 , P1 ) -
{T1t } , t
P - (
403
t - ) T t = T1t , {T t }
{T1t }
. ,
mod 0 ; mod 0
t
, , 1 , {T } {T1 }
.
{T } t
{T1 } ,
; isotropic random space ,
.
; isotropic random set
.
; isotropic random field
. ,
.
g M X ( t ) = MX ( gt ) ,
M X ( t ) X ( s ) = M X ( gt ) X ( gs )
t R
. . . .
t ( ) = ( T t ) , . , ,
, t -
A - . ,
, ,
( , [2]
[4] ). {T t }
Yt
t
, {T } -
{T1t } -
t Yt ( )
.
, .
, ,
, , K , ;
( ,
[5], [8] ).
( ., ) -
,
.
. . . . ,
.
( , [6] ),
( , [7], [8] );
( ,
[8] [10] ).
.: [1] . ., , 1962, . 147,
4, 797800; [2] . ., . . -,
1963, 1, . 2632; 1965, 13, . 6872; [3] K r i e g e r W.,
Trans. Amer. Math. Soc., 1970, v. 149, 2, p. 45364; [4] K r e n g e l U., J. Math. Anal. and Appl., 1971, v. 35, 3, p. 61120;
[5] O r n s t e i n D., Adv. Math., 1970, v. 5, 3, p. 34964;
[6] N e u m a n n J., Ann. Math., 1932, v. 33, 3, p. 587642;
[7] O r n s t e i n D., Adv. Math., 1970, v. 4, 3, p. 33752;
[8] ., , , . ., ., 1978; [9] . .,
. . . ., 1962, . 26, 4, . 51330;
[10] . ., . , 1962, . 144, 2,
. 25557.
X (t ) =
X (t ) ,
h ( m, n )
l
m(r )
S ml ( 1 , ... , n2 , )
m=0 m=0
, (r , 1 , ... , n 2 , ) , t
l
, S m ( 1 , ..., n2 , ) , m
l
, h ( m , n ) , S m ( r )
,
(*)
, bm ( r , s )
m 0
h ( m,
n ) bm ( r , s ) < + , bm ( 0, s ) = 0
m=0
- . . . .
X ( r, ) =
{ X
1
k
( r ) cos k + X k2 ( r ) sin k }
k =0
, X k ( r ) , l
= 1, 2 (*)
.
, . . .- .
.: [1] . .,
, ., 1980.
; isotropic random process
, K ( z ) | z |
2
k
k =1
404
, R - X ( t )
; X ( t ) - R -
. K ( z )
X ( t ) = { w1 ( t ) , ..., w d ( t ) }
2
K ( z) = c | z |
, c >0 , 0<
<2
= | z |2 d
,
; Jirina process [ 0 , ) ,
t > 0 ,
(
) .
. , [1]- . , , .
.: [1] J i r i n a M., . . ., 1958, . 8, 2,
. 292313.
; Jordan decomposition , .
;
sufficient estimator
M ( g~, ( )) M ( g , ( )) ,
.
. . .
. . . .
.
.: [1] ., , .
., 2 ., ., 1975; [2] .,
, . ., ., 1975.
.
, . .- , . . , . .-
( , [2] ). P T . .- ,
.
, P
. P
;
sufficient statistics
. ,
. .- -
. .
.
. . .
P = {P }, x ( X, A )
, M , P
. . M
< ,
( x ) -
( ) - ( t )
M ( T ) =
(*)
P - ( ) , , t ( T , L )
T P .
P , P ,
, T
( ,
[2] ): T , , P
. .- , p ( x ; ) = d P d -
p ( x; ) = R (T ( x ); ) r ( x )
.
. .- ( , [2] ) : g = g ( x )
= ( )
( g , ) ,
~
g
; ( x; )
, T ( ) I T ( ) . I T ( ) I ( )
,
, ,
, T . . ( , [1] ). . .-
.
P , P ,
f ( y; ) ,
I ( ) = M ( ln p ( x; ) / ) 2
= g~ ( t ) ,
406
p ( x; ) =
f ( y ; ) ( y , ..., y ) = x
1
i =1
, , f ( y; ) - , P - . .-
( , ).
, .
P . .- , T1 = h ( T2 )
< T2 . , ( X, A ) , P
, T1
, . . .
. . T (x)
m
T =
t ( y ) , ..., t
1
i =1
i =1
( yi )
.
. . . .,
: , T x ,
T P . .-. . .- (*) .
. .
. . . .
, . ( J. Neymann ) 1935- .
. ( P. Halmos ) . ( L. Savage )
1949- . . .
. . ( H. Scheff ) .
. .- . .
.
.: [1] . ., . .,
, ., 1979; [2] . .,
. ., . ., , ., 1972; [3] ., , . ., 2 ., ., 1979; [4] .,
, . ., ., 1991; [5] B a h a d u r R. R., Ann. Math. Statist., 1955, v. 26, 3, p. 49097;
[6] F i s h e r R. A., Philos. Trans. Roy. Soc. London. Ser. A, 1922,
v. 222, p. 30968.
; m i n i m a l sufficient
statistic , .
; n e c e s s a r y sufficient statistic , .
;
sufficient topology
.
,
. T Tk
( T , T ) . .-; . . .-
T - . . .
, .
. .- .
.: [1] . ., . ., , 1969, . 12, . 767; [2] .
., , ,
1989.
; sufficiency i n t h e g a m e t h e o r y
. P X
, , S ,
, w (u ) , R -
.
, :
= (X )
( )
- S
= M ( / S )
M w ( S ) M w ( ) .
S , .
.: [1] ., , .
., 2 ., ., 1979; [2] ., , . ., ., 1975; [3] . .,
. ( ), ., 1984.
; Kahanes contraction principle
: { X k }
B - , { k }
X k B - ,
k =1
X
k
k =1
n
B - .
X k , n 1
k =1
B - ,
k X k , n 1 B -
k =1
. . . .
,
[1]- . . .
.
.: [1] .-., , .
., ., 1973; [2] H o f f m a n n - J r g e n s e n J., Studia
Math., 1974, v. 52, 2, p. 15989.
; gauge model o f s t a t i s t i c a l m e c h a n i c s
,
.
G d
d Z
( ) -
= g1
, G g
S .
( , ),
S - .
, .
.
w ( , ) = w ( ) w ( , ) -
g = { g } , ( ) , Z d - -
.
- ( . ) S ( g )
S(g) =
f (g
(*)
p : p
( R )
.
407
, Z ( ) p , -, g p
, f G -
, f ( g )
= f ( g 1 )
, G - -
. (*)-
-
d d 0 =
1
exp { S ( g ) }
Z
, d
dx
) Ys , 0 s t
t (Y ) .
= {Yt , t 0} w
~ = {w
~ , t 0}
, w
t
Y
dYt = A ( t ) t dt + B( t ) dt
t
[ a(s)
% Z
(1)
(2)
. (1) (2)
cov ( 0 , Y0 )
( Y0 MY0 ),
cov (Y0 , Y0 )
2
cov ( 0 , Y0 )
P0 = cov ( 0 , 0 )
,
cov ( Y0 , Y0 )
0 ( Y ) = M 0 +
, e
( ; , [2] ).
= { x , x Z d }
Pt A ( t )
[ d Yt A ( t ) t ( Y ) d t ]
B2 (t )
dPt
P 2 A2 ( t )
= 2 a (t ) Pt + b 2 ( t ) t 2
dt
B (t )
, , G
t 0
d t ( Y ) = a ( t ) t ( Y ) d t +
f ( g ) = ( ( g ) + ( g ) ) e
inf B 2 ( t ) > 0
, ;
(
) , Z . = lim
+ A 2 ( s ) ] ds < ,
, G -
(*)
( ; , [1] ). (*)- f
>0 ,
(3)
0
= 0,
0
, x , G g U g
Pt = M ( t t ( y ) ) 2 .
M (
;
, [1] ).
(
)
Y
~
w w
0 , Y0 ~ , (1) (2)
, w , w
g ( x1 ) g 1 ( x2 ), = { x1 , x2 }
(
x u ( x ) x ,
= { x , x Z d } G - Z d -
. ,
, .
.: [1] ., , . ., .,
1985; [2] W i l s o n
K., Phys. Rev., D., 1974, v. 10, 8,
p. 244559; [3] O s t e r w a l d e r K., S e i l e r E., Ann. Phys.,
1978, v. 110, 2, p. 44071.
; Kalman
filter w = {w ( t ) , t 0}
d t = a ( t ) t dt + b ( t ) d w t
= { t , t 0}
t ( t
408
(3)
t ( Y )
Pt - .
, .
.: [1] . ., . ., . ,
. ., 1961, 1, . 12341; [2] . ., .
., , ., 1974.
; Kalman Busy method , ;
; channel w i t h a d d i t i v e n o i s e
. .
~
Y = Y + Z , Y , Z
Y -
( ). , Z
( Z
) .- .
. . .
., ( ) . Y
= Y1 + Y2 + Z
, Y1 Y2
, Z
Y1 Y2 -
.
.: [1] ., ,
. ., ., 1974; [2] . ., .
., , ., 1982.
; a s y m m e t r i c channel , .
.:
~
( X , SX ), ( X , SX~ ) ( -
); A SX~ SX
x X ( X , S X~ )
Q ( x , A ), x X , A SX~ ( X , SX ) -
; a s y n c h r o n o u s channel , .
V
. Q ( x, A )
; h o m o channel , .
; m u l t i p l e a c c e s s channel ,
geneous
; m u l t i t e r m i n a l
.
channel ,
;
m u l t i w a y channel , .
; d e t e r m i n i s t i c
.
channel ,
channel
; b r o a d c a s t
.
- ; b i n a r y s y m m e t r i c channel , .
; i n t e r f e r e n c e
.
channel ,
; q u a n t u m c o m m u n i c a t i o n channel
, .
( ) ; G a u s s i a n channel , .
; n o n a n t i s i p a t i v channel ,
.
;
; channel c a p a c i t y
,
.
, , .
; d e gr a d e d channel , .
; ; c o m m u n i c a t i o n channel ,
. .
.
; V
. ( , A , P )
X X
~
( X , S X ) ( X , S X~ )
~
A SX~ P {X A | X = x } = Q ( x, A )
X - V
~
, X X ( Q, V ) , .
( X , S X ) ( X , S X~ ) [ a , b ]
(Y , SY ) , (Y , SY~ )
. .- .
( X , S X ) = Y [ a , b ] , SY [ a , b ] ,
~
~
( X , SX~ ) = Y [a, b ], SY~ [ a , b ]
[ a , b ]
.- ;
~
~
Y = {Y ( t ), t [a, b] } Y = {Y ( t ) , t [ a , b ]} ,
~
(Y , SY ), (Y , SY~ )
, Y ( t ) Y ( t ) t
.
, .-
, (Y , SY ) (Y , SY~ )
= (Yk , Yk + 1 , ..., Yn )
~n
~ ~
~
Yk = (Yk , Yk +1 , ..., Yn ) ; Y j
~
Y j , j
n
Yk
= const . .
( , ) t .- .
. .- Q V - ( , .,
, ,
409
. ). .-
, .
( , ).
.- ( , ., ,
, ).
.: [1] ., , . ., ., 1967; [2] ., , . ., ., 1974; [3] . ., . , 1959, . 14, . 6, . 3104;
[4] . ., . .,
, ., 1982; [5] .,
, . ., ., 1960; [6] .,
. , . ., ., 1965;
[7] ., ., , . .,
1985; [8] ., , .
., 1963, . 243332.
; s e m i d e t e r m i n i s t i c channel , .
; z e r o - e r r o r
.
channel
;
s y m m e t r i c channel , .
ronous
channel
; s y n c h , .
; chanell w i t h s y n c h r o n i z a t i o n
.
, .
(~
y1 , ..., ~
y n )
n = n c c = 1, ~
yj = yj;
j < i
j > i c = 1,
~
yi +1 = yi ,
yi = a , ~
~
y j c = y j
,
( y1 , ..., y n ) i - ,
( a
) .
. t ,
t = 0 , 1 , ... yi p,
p p+ -
: ; ;
p(a ) a , , yi
t + 1 . .-
(
) ,
.
. : , ,
. .
.: [1] . ., , .
., ., 1975; [2] . ., . ,
1965, . 163, 4, . 84548; [3] . ., . ., . ., , .,
410
; f i n i t e - m e m o r y
channel t
> 0 [ t , t + ]
( t m, t + ] , ,
m -
, ( ) . .
,
, Y = ( ... , Y1 , Y0 , Y1 , ...)
~
~ ~ ~
Y = ( ... , Y1 , Y0 , Y1 , ...)
Yi
~
Yi
Y Y
. ,
:
1) m ,
yi = yi Y , i = t m , ..., t + n 1
~
~
yt , ..., ~
yt + n 1 Y
~
~
P { Yt = ~
yt , ..., Yt + n 1 = ~
yt + n 1 | Yk = y k , k = ..., 1, 0, 1,...} =
~
~
= P {Yt = ~yt , ..., Yt + n 1 = ~yt + n 1 | Yk = y k , k = ..., 1, 0, 1, ...}
;
~
~
j+m<k
2)
yi , ..., ~
yj Y
~
~
~
y k , ..., y n Y yl Y , l = ... , 1, 0 , 1, ...
~
~
P {Yi = ~
yi , ..., Y j = ~
yj;
~ ~
~
~
Yk = y k , ..., Yn = ~
y n | Yl = ~
yl , l = ... , 1, 0,1, ...} =
~
~
~ ~
~
~
= P { Y = y , ..., Y = y | Y = y , l = ... , 1, 0,1, ...}
i
~
~
~
P { Yk = ~
y k , ..., Yn = ~
y n | Yl = ~
yl , l = ..., 1, 0, 1, ...}
.
m
( ) , m = 0 , ,
.
.: [1] .,
, . ., ., 1967; [2] ., , . ., ., 1960; [3] .
., . , 1956, . 11, . 1, . 1775.
;
s t a t i o n a r y channel , .
; ; ; n e t w o r k o f
channel , .
; channel w i t h f e e d b a c k ,
; .
.-
- .
.-
. .-
. ,
.
.: [1] ., , . ., ., 1963, . 46487; [2] .,
, . ., ., 1972.
; m e m o r y l e s s channel
.
~
~ ~
Y = ( Y1 , Y2 , ... ) Y = ( Y1 , Y2 , ... )
.-
~
~
P { Y1 = ~
y1 , ..., Yn = ~
y n | Y1 = y1 , ..., Yn = y n } =
; channel w i t h f i n i t e n u m b e r o f s t a t e s
t
. .-
.
,
~
~
= P { Y1 = ~y1 | Y1 = y1} ... P {Yn = ~yn | Yn = yn }
~
n yi Y , ~
yi Y , i
,
, Yi Yi , i, j
= 1, 2 , ...
{ p s0 , s0 S } .
. Y Y
q ( y, s' ; ~
y , s" ) k .-
~
y s" -
, y ( k 1)
.
,
. P { Yi
~
~
y Y , s ' , s" S
Y Y
Y Y
.
S , .- ,
q ( y, s'; ~
y , s" ) , y Y ,
= 1, ..., n
= ~yi | Yi = yi }
i - , . (
)
.
~
q(y, ~
y ) , y Y , ~
y Y
y)
, q ( y , ~
s ' .
~
= P {Yi = ~y | Yi = y } , i = 1, 2 , ... .
{ p s0 , s0 S } 0 .-
n
y n , s n ) . Qn ( y , s0 ; ~
.: [1] ., ,
. . ., ., 1974; [2] ., , . ., ., 1963, . 243332.
;
canonical variable ,
sn 1S
Qn ( y n , s0 ; ~
y n , sn ) =
q ( y n , s n 1 ; ~
y n , s n ) Qn 1 ( y n 1 , s0 ; ~
y n 1 , s n 1 )
; canonical correlation
,
. . . 1 , ..., s s +1 , ..., s + t , s t
Q1 ( y , s0 ; ~
y , s1 ) = q ( y, s0 ; ~
y , s1 ) ,
y n = ( y1 , ..., y n ), y n 1 = ( y1 , ..., y n 1 ), yi Y ,
1 , ..., s s +1 , ..., s + t :
~
y n = (~
y1 , ..., ~
yn ) , ~
y n 1 = ( ~
y1 , ..., ~
y n 1 ) ,
1) i ,
~
~
yi Y , i = 1, ..., n : s k S , k = 0 , 1, ..., n .
Qn ( y n , s0 ; ~
yn) =
1- , 2) i
Qn ( y n , s0 ; ~
y n , sn )
sn S
. .- n
n
Qn ( y , ~
yn )
~
= P {Y n = ~y n | Y n = y n }
n
Qn ( y , ~
yn) =
n
p s0 Qn ( y , s 0 ; ~
yn)
n
s0 S
Y n = (Y1 , ..., Yn )
~
~
~
Y n = ( Y1 , ..., Yn ) .- n
.
.: [1] ., , . . ., .,
1974; [2] .,
, . ., ., 1967.
, 3)
,
4)
.
s = 1 , . . 1 2 , ..., 1+ t
.
. . .
,
.
, .
.: [1] H o t e l l i n g N., Biometrica, 1936, v. 28, p. 32177;
[2] .,
411
, . ., ., 1963; [3] ., .,
, .
., ., 1976.
; canonical
correlation coefficients 1 , ..., s s +1 , ..., s + t ,
s t
U = 11 + ... + s s
V = 1 s +1 + ... + t s + t
; U
V
s +1 , ..., s + t
, 1 , ..., s
= MV = 0 MU 2 = MV 2 = 1
. . . .
11
21
1
, 12
= 21 1- 2-
.
r - r -
(r )
(r )
V
U
, 1- U
(r )
(r )
V
V - r 1 . U
( r ) = ( 1( r ) , ... , s( r ) ) T ,
( r ) = ( 1( r ) , ..., t( r ) ) T
11
21
= r
12
22
=0
; canonical correlation
analysis ,
c = M ( x x T ) x T = ( x1T , x T2 ) T
x1
= ( x1 , ... , xn ) T
x 2
= ( xn + 1 , ..., xn + m ) T
. . . .-
M ( )
2
M ( ) M ( )
412
= x1Ta
= x T2 b
a T c12 b
T
, x
( c ).
= aT c12 b
( a T c11a 1)
( a c11 a ) ( b c22 b )
(1)
,
. (2)- ,
a=
1
c11
c12 b ,
1
1
c11
c12 c22
c21 a = 2 a ,
; 11 22
1 , ..., s s +1 , ..., s + t
, c11
c22 , c12
b =
, c21
12
=0
22
... s > 0
( ,
). MU
1
c22
c21 a
(3)
= c12T . (3)-
1
1
c22
c21 c11
c12 b = 2 b
(4)
. 1
22 ... 2n
= 12 - , a1
b1 1
. , ,
( , ).
min (n , m) - . , (4)
. , (3) . . . .-
.
.: [1] H o t e l l i n g N., Biometrika, 1936, v. 28, p. 32177;
[2] ., ., , . ., ., 1976;
[3] V a n d e n W o l l e n b e r g A. L., Psychometrika, 1977,
v. 42, 2, p. 20719; [4] . ., , ., 1982; [5] . ., , 1984, 10,
. 5056.
;
canonical correlations and variables , ;
.
() ; canonical measurement , ,
.
;
canonical parameter , , ,
.
; canonical distribution . ,
- .
; canonical spectral equation ( x )
.
n = ij( n ) ij( n )
,
ij(n ) ,
i j , i , j = 1, ..., n
K n ( u , , z)
K ( u , , z ) ,
. . .-
0 z 1, t < x ( 0 x 1 )
G ( x, z , t ) L
k
>0
0 z
1,
xk d G (x , z , t )
t ( , )
.
.: [1] . ., ,
., 1980.
; canonical and mean value parameterization ,
. . .- - ,
n
ij( n )
xdP
{ ij( n )
< n},
{ Ps , s Dom R } , d Ps / d
x <
K n ( u, , z ) = n
y2
d P { ij( n ) ij( n ) < y } ;
1 + y2
K ( u , , z ) , 0 u 1, 0 1 u k
, z ,
p ( ; s ) = p0 ( ) exp [ s i qi ( ) ( s) ]
, s q1 ( ) , ..., q n ( ) , -
, ( s ) ,
( s ) = ln
n ( x ) = n 1
F (
x),
k =1
0 , y 0 ,
F ( y) =
1, y < 0
k , n . 1
lim n ( x ) = ( x )
( x ) ,
( x ) -
(1 + itx ) 1 d ( x ) = lim
a0
x d Ga ( x, z , t ) d z
(1)
( ) exp [ s i qi ( ) ] { d }
(2)
n
Dom (2) s R
.
Dom , , (s )
( , [1] ), , dim Dom
Dom = .
dim Dom = n
<n
1( ) = 1 ,
q1 ( ) , ..., qn ( ) mod ,
,
. (1) t = ( t1 , ..., t n ) ( s )
t j ( ) =
( )P { d } = ( s j ) ( s )
s =
(3)
, t
. (s )
, Ga ( x , z , t ) , x -
s t int Dom -
t < ) , -
.
: Pt { }
(0 x
1, 0 z 1 ,
Ga ( x , z , t ) = P { [1 + t 2 a ( Ga ( , , t ) , z )]1 < x }
;
a (Ga ( , , t ), z )
( , [1] ).
= ( t1 , ..., t n )
q ( ) ,
(2)
q ( ) = (q1 ( ) , ..., qn ( ))
413
(3)
q ( ) - ( , [2],
[3] ).
0 Dom ( : s s = s )
P ( X , L ) -
. P, Q P
, t
p ( , s ) = p ( , 0) exp[ s i qi ( , 0 ) I (P0 : Ps )]
,
P0 -
qi ( ; 0 ) = ( s ) ln p ( ; s )
s=0
(4)
qi ( ) -
, 1 2 0 1
.
, R -
.
( 0 , 1) - . .-
2i
i =1
( 0 , 1) - ,
u
= 3 + 2 3 .
.: [1] .,
, . ., . 2, ., 1984.
414
d ( x1 , x2 ) H ( d x1 , d x2 )
(1)
XX
,
P Q - , ( X , L ) ( X , L ) - H
. ,
(1)
.
. . [1]- .
P ,
Q , d ( x1 , x2 ) ,
x1 x2
, .
:
( P, Q ) = sup
f ( x) (P (dx) Q (dx)) ,
(2)
f ( x) f ( y ) d ( x1 , x2 ) , x, y X -
. (2) . . [1]-
. - (2) ,
( , [4], [2] ).
- .,
d,
P ( A) = Q ( A a ) , a R
. .-.
A 0 B A + B -
( P, Q ) = inf
2i 1 2 2 i 1
i =1
: u
()
, i
f
L
, X -
. X
2 i / 2 2i
, X -
i =1
= (3/ 2)
d X - , d - -
; Cantors distribution ( 0 , 1)
=3
. ( X , L ) ,
Ps -
.
.
. . . -
.
.: [1] ., , .
., 2 ., ., 1979; [2] . ., , ., 1972; [3] B a r n d o r f f N i e l s e n O., Information and exponential families in statistical
theory, N. Y., 1979; [4] A m a r i S., Differential-geometrical methods
in statistics, N. Y. L., 1985; [5] . .,
, . ., 1943; [6] ., ., ,
. ., ., 1965.
; Kantorovich metric
R n -
, ( P, Q )
= a .
d ( x, y ) = I ( x y ) ( I ),
. ,
, :
H . .,
( , [3] ).
. . . ,
.
.: [1] . ., . , 1942, . 37,
78, . 22729; [2] . , .,
1984, . 29, . 4, . 62553; [3] D o b r u s c h i n R. L., S h l o s m a n S. B., Progr. in Phys., 1985, v. 10, p. 34770; [4] S z u l g a A., ., 1982, . 27, . 2, c. 40105.
; Kantorovich distance , .
;
Kantorovich theorem , .
; Caratheodory
theorem , , .
;
Carleman criterion ,
.
; Carleman condition , .
; Karhunen theorem
: m ( S ), S B
( A , B , m ) , { ( t ; a )} ,
t T
, L ( m) , a A
, B ( t , s )
T
= {t }
= M X (t ) X ( s)
X (t )
B ( t, s ) =
( t;
( s < 0 s > n ,
bs = 0 ), (1)- ,
T A . . .-
X (t ) =
bk Z ( t k ) , t = 0 , 1, ... ,
k =0
= ts ( Z (t )
). | | > n B ( ) = 0 , X (t )
M Z (t ) Z ( s )
.
2) X (t ) , < t <
, f ( ) , g ( )
,
2
( L
g( )
= f ( ) . b (t ) ,
) ; X (t )
B ( ) -
,
M X (t ) X ( s ) = B ( t s ) =
a ) ( s; a) m ( da )
g ( s )
b ( t u ) b ( s u ) du .
(4)
(1)
(4) (1)- , A = ( , ) ,
m ; ,
, X (t )
X (t ) = ( t ; a ) Z ( da )
X (t ) =
(2)
b(t u ) d Z (u )
, Z (da) ,
A - , M Z ( S1 ) Z ( S 2 ) = m ( S1 I S 2 ) .
, X (t ) (2) ,
B ( t , s ) (1)
. Z (S ) X (t ) , t T
H X ,
, , { ( t ; a ) , t T }
M d Z ( u ) d Z ( ) = ( u ) d u d ,
Z (u ) .
,
. f ( )
( 1 + 2 ) 1 log f ( ) d >
(5)
L2 (m) - .
,
( , [6] ) g ( ) ,
. ( , [1], [2]
[4] ). ( , [2], [3] ).
, f ( ) -
. .- .
. 1) X (t ) , t = 0 , 1, ...
| | n
M X ( t + ) X ( t ) = B( ) = 0 .
n
b b k , = 0, 1, ..., n ,
B ( ) = k =0 k +
>n
0,
(3)
b0 , b1 , ..., bn
( , [5] ). B ( )
= B ( ) , (3)
MX (t ) X ( s ) = B ( t s ) =
t j bs j
j =
, t
= 0 , 1, ...
b (t ) ; (5) .
. .- ( , .,
( ) ).
.: [1] K a r h u n e n K., Ann. Acad. Sci. Fennicae. Ser. A,
1947, Bd1, 37, S. 379; [2] . ., .
., , . 1, ., 1971, . 2924; [3] . ., . .,
, 2 ., ., 1977, . 26971; [4] R a o M. M., .: Handbook of Statistics, v. 5, Amst., 1985, p. 279310; [5] ., , . .,
., 1976, . 25253; [6] ., .,
, . ., ., 1964, . 32.
; Karhunen Loeve expansion , , ,
. . . a t b
415
,
X (t )
X (t ) =
. . .
k k ( t ) Z k
k =1
, , k (t ) , k = 1, 2 , ... ,
b
B ( t, s ) ( s ) d s = ( t ) ,
atb
(2)
B ( t, s ) = M X ( t ) X ( s ) ,
], k , k
X (t ) -
= 1, 2, ... , k (t )
,
b
Z k = ( k ) 1/ 2
X ( t ) k ( t ) d t ,
k = 1, 2 , ...
M Zk Z j
= kj . . . .
,
;
- ( , ., [1] [6] ), ,
. (1) (2)
a t b X ( t ) X ( t ) ,
t T , T
, d s T -
m ( d s ) , T - . ., X ( t ) R
, d s
m ( s ) d s = m ( s1 , ... , s n ) d s1 ... d s n
. X ( t )
, Z k , k
X (t ) =
= 1, 2 , ...
, (1)-
1 ( , ., [7],
[8] ).
. . .- ( , ., [9]
[13] ).
( , ).
. 1) B ( t , s ) = min ( t , s ) , a = 0 , b = 1 .
(2) (0)
= 0 , (1) = 1
( t ) + ( t ) = 0 ,
k =0
, A k Bk ( p)
, M Z k
ak tg T ak = ,
( T ) ( T ) = 0
( t ) + [ ( 2 ) / ]
( t ) = 0 . ,
Z (jq ) = pq kj , ak bk , k = 1, 2 , ...
bk ctg T bk =
X (t ) =
k =1
; d i s r e t e
Karhunen Loeve decomposition
.
,
. x , n
. :
n
sin ( k 1 2 ) t
Zk .
( k 1 2 ) t
x =
(3)
X ( t ) (3) .
( N. Wiener ) 20- 30-
( , ., [14] ).
2) B (t , s ) = exp [ ( t s )] , a = T , b = T , (2) ( T ) + ( T ) = 0 ,
416
(2)
[17]- , [15] [18]- .
.: [1] K o s a m b i D. D., J. Indian Math. Soc., 1943, v. 7,
p. 7688; [2] K a r h u n e n K., Ann. Acad. Sci. Fennicae. Ser. A,
1946, Bd 1, 34, p. 37; [3] L o e v e M., Rev. Sci., 1946, v. 84,
p. 195206; [4] ., , . ., .,
1962, . 499502; [5] . ., . . .
., 1953, . 17, 5, . 40120; [6] . ., .
. .- , 1954, . 24, . 342; [7] .
., . ., ,
2 ., ., 1977, . 25758; [8] . ., .
., , . 1, ., 1971, . 27579; [9] . .,
, 3 ., ., 1962; [10] . ., . ., , . ., ., 1960; [11] ., , . ., . 1, ., 1961;
[12] ., , . ., ., 1963; [13] ., , . ., . 1, ., 1972;
[14] ., ., , . ., ., 1964, . 21529; [15] . ., . . . . , 1973,
. 9, 1, . 3446; [16] . ., .
. , 1977, . 16, . 13541; [17] .
., . ., . , 1957, . 12, . 1, . 3
52; [18] S l e p i a n D., K a d o t a T. T., SIAM J. Appl. Math.,
1969, v. 17, p. 110217.
. . . :
.
[9] [13], [15], [16]- .
f ( ) X ( t )
yi i = y
i =1
= ( 1 , ..., n ) , y = ( y1 , ... , yn )T .
n
, det 0 . , -
, x - n
. - . ,
, y
:
yi = i x ,
i = 1, ... , n .
, y x
. y
, x - .
y m ,
m < n . ( x - ) y - ,
x =
yi i +
i =1
bi i .
i=m + 1
x =
( yi bi ) i
i = m +1
. m
x -
:
n
2 (m) = M { x }2 =
M{( y
bi ) 2 } .
2 ( m ) - . bi
:
bi = M yi = iT M x ,
iT i
i = m +1
, .
i = i i ,
.
n
, opt ( m)
( ., - ) .
. . .- . ,
, .
( ) . . .- .
,
,
.
; transition
probability i n a M a r k o v c h a i n , ,
; transition rate / density ,
( )
; transition function
.
. (E , B ) . p ( s , x ; t , ) ,
i = m +1
2(m) =
. 7, 1, . 513; [3] . .,
, 1976, . 12, 1, . 515.
i = m+1
.: [1] .,
, . ., ., 1979.
;
cascade decimation , .
; cascade cod B
V A U
, A . B - U , V
( U ).
n ( ,
[1], [2] ) ( n ) ( n )
(
) . .-
. . .-
( , [3] ),
.
. .- . [1]- .
.: [1] ., , . ., ., 1970;
[2] . ., , 1971,
, - s
p ( s , x ; t , dy ) p ( t , y ; u , ) = p ( s , x ; u , )
(*)
, p ( s , x ; t , ) -
. p ( s, x; t , E )
1 , . .
. . . ., . . . lim p ( s, x ; t , E ) 1 ,
ts
. . . . .
t , ( , A , P ) - , (E , B ) -
.
P { t | s } = p ( s, s ; t , )
P
, p ( s , x ; t , )
. . t
, .
(E , B ) ,
. .- . . ( , [1] [3] ). ,
. .- .
. .
[4], [5]- ( , )
.
417
E , . .
P . .-
i j n -
P ( s , t ) = pij ( s , t )
; i , j E , pij ( s , t )
= p ( s , i ; t , { j }) .
. . , , I ( , ) ( ., ) s , t
.
s
. . p ( s , x; t , ) Pt , s
<t
Pt s f ( x ) =
P1
...............
p ( s , x ; t , d y ) f ( y)
Pk
Q
Pt ( ) =
s
, P1 , ..., Pk C1 , ..., C k
( d x) p ( s, x; t , )
.
. . s , t ,
p ( s , x ; t , ) p ( t s , x ; ) , ,
. . . . . Pt
; Pt
s
Pt Put
Pus
= Pt s -
(*)
, Pt Ps
= Pt + s
; Pt .
E , B , E - .
U
x U
lim p ( s , x ; t , U ) = 1 , . .
ts
, Q .
. .
.
; transition
density
p ( s , x ; t , ) -
()
f ( s , x ; t , y ) -, , p ( s , x ; t , ) s < t
p( s, x; t , ) =
;
infinitezimal transition rate , ( )
-
[ s < t T - ,
x E , y E , B , ( E , B ) ].
. . . . .- Pt
( , ), . . . . ( , . . ) . . . - .
. .- ( , ; ).
.: [1] ., , . ., ., 1969; [2] . .,
, 2 ., ., 1974; [3] .
., . ., 1980, . 25, . 2, . 38993;
[4] . ., , ., 1963; [5] . ., . ., ,
. 2, ., 1973.
f ( s , x ; t , y ) ( dy ) ,
s < t , x E , B ;
(1)
.,
f (s, x ; t , y ) ( dy ) 1,
s < t , x E .
(2)
, : 1) . . ; 2) . .
( x , y ) - B B ; 3) . .
f ( s , x; u , y ) =
f ( s , x; t , z )
f ( t , z ; u , y ) (dz )
(3)
x E , y E
s < t < u,
1) 3) y - ].
; transition
matrix
1) 3) (2)
f (1)
. . . f ( t , x , y ) = f ( s , x ; s + t , y ) -
P = pij
. . .- i
pij
0,
ij
= 1
- .
418
; Kemeny
median ,
( , , . )
{C} . A1 , A2 , ..., An { C }
d ( Ai , A ) = min
A{C }
i =1
( )
d ( A , A)
i =1
A {C } ,
d ( Ai , A ) , { C } - Ai A
. . . ( , [1] ). . . ( , [2] ).
.: [1] ., ., . , ., ., 1972; [2] . ., .: , ., 1985, . 5892.
P .
C P ( ) ,
K A C P ( K )
d ( A , B) =
f ij ( A ) f ij ( B )
i , j =1
,
( , [1] ). . .-
, . ( , [2] ). . .
.
.: [1] ., ., . , . ., ., 1972; [2] . ., - ,
., 1979.
; Campbell measure
,
.
() =
({ a } ) ( )
a
, S
= { a : ( { a } ) > 0 } R1
, a ( ) , a
() =
a S
A = A I B M
,
A = { ( a , ( ) ) : a R 1 , ( ) M , a S } R 1 M , B ,
1
A , f (c ) , c
MP
f (c) (d a) =
= ( a , ) A
f ( c ) CP ( d c )
, .
. .
.
.: [1] ., ., .,
, . ., ., 1982.
;
Campbell theorem . ( ) , ,
( A , A) - B ( B ) < .
A f (a) , a A B A
f (a) (d a) =
B
f (a) (d a)
.
, .
.: [1] ., ., ., , . ., ., 1982.
; Kendall rank c o r r e l a t i o n c o e f f i c i e n t
X Y ( )
( X 1 , Y1 ) , ..., ( X n , Yn ) ,
. , . .
,
({ a }) ( a ( ) ) ( )
. R -
, a S ( )
C P ( K ) K -
( 0 , 1)
C ; f ij (C ) = 0
K = A I B M , C P ( K ) = M P ( B ) ,
. . .
B . . .-
X C {C}
f ij (C ) = 1 , , , xi x j
( M , M) - -
f ij (C )
( k k )
, M , M -,
{ ( ) : ( B ) = k , B B } M
R - , M , ( R , B ) -
= 2 S ( r1 , ..., rn ) n ( n 1)
, ri , Y - ,
( X , Y ) , X - i - ,
S = 2 N n ( n 1) 2 , N ,
419
j > i r j > ri .
1 1 .
. . .
( M. Kendall, , [1] ).
. . .
, M = 0
D = 2 (2n + 5) 9n ( n 1) .
( 4 n 10 ) ( , [3] ). n > 10 -
> u / 2
R (t ) =
. . , ,
. X , Y
- ,
. . M
= 2 1arc sin
.
, ,
.
.: [1] ., , . ., .,
1975; [2] . ., , . ., ., 1960; [3] . ., .
., , 3 ., ., 1 983.
= 0 , 1, ... ,
(1)
= 0 , 1, ... ,
( t ) -
z < 1.
, z ,
{ k }
. . .
( , [1] [3] ). (1)
.
f ( ) (t )
.
f ( ) =
2