; Abel integral equation

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 ,
.

; open random set

G . G Tg
: S
, G
; G G , K , S -

= { 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.

; Hadamard matrix +1 1 N > 1

H N ,

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 .

.: [1] . ., , 2 ., ., 1986; [2] . .,

. .,
, ., 1970.

;
additive function , ( )

; additive set function

( ) .
K , G +
( G
). A K , B K , A I B

= , 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 excessive function ,

.

; 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 height ,

.
*

; lower ladder index ,

.
*

; 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.
*

; alternating renewal process

. { X 1 , X 2 ,...}

( 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 ) .

; lower ladder time ,

.

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 ( 2) ) D ( X (1) , X (3) ) + D ( X (3) , X ( 2) ) ,

D ( X (1) , X ( 2) ) 0,

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

. . .-.

a = sup { t > 0 : M e t X < } ,

b = sup { t > 0 : M e

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
, ( )

; Andres reflection principle ,

.

)
s t o p p i n g time , .

; instantaneous spectral density

, ( ) .

; 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
:

; Anosov dynamical system

t ( ; )

= 1, t Z d , h R .

< 2 d , x , x 1

t + ... + t d

xt1 = (1) 1

xt2 = xt1 .

h = 0 . . .

xt (1) t1+ ... + td xt

. h 0 d
( ) .

a ( t , x ) t (
, ). , a ( t , x ) x t
( )
.

; drift vector

, .

; leading
function , , .
*

, ; leading measure of flow , .

; posteriori probability , ( , [1] ),

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 =

= ( ; 1 , ... , n ) , 1 , ... , n = ( ) 0 , 1, ... + 0 { n } An

, ( A0 =
= { , } ). A n 0 A I { n } 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

p ( , x) , f ( ), n (2), (3) (1)- M Tc ,

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)

(2), (3) ( N * , z1* , z 2* ) f ()

1 , , (4)-

a - ( 2 1)
,
*

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 -

<

( , [3] [5] , [7] ).

.: [1] S t e i n C., Ann. Math. Statis., 1945, v. 16, p. 24358;
[2] S t e i n C., W a l d A., Ann. Math. Statis., 1947, v. 18, p. 427
33; [3] S t a r r N., Ann. Math. Statist., 1966, v. 37, p. 3650;
[4] C h o w Y., R o b b i n s H., Ann. Math. Statist., 1965, v. 36,
p. 45762; [5] S i m o n s G., Ann. Math. Statist. 1968, v. 39,
p. 194652; [6] L a i T., Ann. Statist., 1976, v. 4, p. 26580;
[7] ., , . .,
., 1975.

,
; 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 ,

n > 1 U = ( x1 ,..., xn ,...)

( X , X ) - x1 q ( ) y1n
An N -
.

= ( 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

3) max N inf * sup R , .

4) , R p

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 simplex method , .

; sequential estimator
, .
. [1]- ,
( ) . . .,
,
, .

. [2]- , . . .

. . . .
, ,
.
.: [1] ., , . ., .,
1960; [2] . ., . .,
. ., 1974, . 19, . 2, . 24556.

; 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.

, ; sequential hypotheses testing , . , { , A , P } { At } - ( At

(

),

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

[8] [10]- ); 0 P { <

< } = 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 P { K n n < x } = lim P { vn n < x } = F ( x ) ,

lim

P { S1 < 0} + ... + P{ S n < 0}

=
n

, ,
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) =

lim P { St* t < x } = F ( x )

P {1 > x } = x L ( x ) , x > 0 ,
L ( x ) x - , 0 < y < -

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
,

P ( Ak1 I ... I Akm ) = P ( Ak1 ) ... P ( 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 .

( . . ) ; ., X 1 , ..., X k X k +1 , ..., X n , 1 k < n

T , n 2
- t1 , ... , t n T

. . .-

. .,
X 1 , ..., X n ,

Bt1 , ... , Btm , Bt

( 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

FX1 , ..., X n (a1 , ... , an ) = P { : X 1 ( ) < a1 , ... , X n ( ) < an }

.

FX 1 ,..., X n ( a1 , ..., an ) = FX1 ( a1 ) ... FX n ( an ) .

2) p X1 ( a1 ) , ..., p X n ( an ) R n -

( a1 , ..., a n )

p X1,..., X n (a1 , ..., an ) p X1 (a1 ) , ..., p X n (an ) .

3) f X 1 , ..., X n ( u1 , ..., un ) = M e i u1X1 + ... + i un X 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 1 , ..., X n ( u1 , ..., un ) = f X1 ( u1 ) ... f X n ( u n ),

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 -

rk ( ) = sign sin ( 2 2 k 1 ), k = 1, 2 ,...

. ,
( , [3],
. III, 4 ).

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

1 i1 < i2 < ... < ik n i1 , i2 , ... , ik

. B1 , B2 , ... , Bn

, 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.

 / ; effective number of independent trials ,

(
) , ( ) (
)
. . . . . .-
( 0 t T
t

= 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 ;

P { : P {1 B1 , ..., n1 B n1 , n+1 B n +1 , ... ,

P { n+1 B n+1 ,..., n+ m B n+ m | Fn }

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

lim sup M e i t X1 < 1

|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.
*

; asymptotically mutually effective sequence

of estimators ( (n)

, 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.

, ; B a h a d u r asymptotic efficiency of estimators

, . [1]- .
- ,


.

.
.
.: [1] B a h a d u r R., Sankhya, 1960, v. 22, 34, p. 22952;
[2] ., ,
. ., ., 1976; [3] . ., . ., , ., 1979.

,
; 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.

; sequence of asymptotic neglectability random variables X k , n ( k = 1, n ; n = 1, 2 , ... )

,
X k , n k - ( k = 1, 2 , ..., n ) ,
k = 1, 2 ,..., n

> 0

P { | X k,n | > } <

.
( ) X k , n ( k

= 1, n )

, ).

; asymptotic neglectability ,
.

; asymptotically most powerful test

( ) . X n ,

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 | ) ,

( ) .

lim lim inf

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

.

lim sup [ sup M n, n inf M n, n ] 0

1

, { 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 -

lim sup sup M n, 1 ( n n ) 0

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

K = {{ n } : lim inf sup M n, n ( X n ) } .

n

. . . .
.: [1] . ., , .,
1984; [2] . ., . ., .: , ., 1982, . 7990.

; asymptotically minimax estimator -

, U
.

R1

lim sup sup M [ n ( n ) ]2

n

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 . . .-

lim inf sup M [ n ( *n )]2

, . . .
. 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 ),

. ., , .,

; asymptotically normal transformation

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 -

; asymptotically normal sequence a -

2
2
( 0 < < ) ,
,

3
, k

3
4 22

= M ( X i ) k .

.: [1] . ., , .,
1984; [2] . ., . ., , ., 1979.

; asymptotically normal random

variables , .
*

; asymptotic normality , .

; asymptotically optimal test

. . . .
.
. . . :

. . . .- : ,
,
.

; 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 ,
.

; slowly changing function

, .

( ),
; lower value of a game , ,
.

; lower confidence bound ,

.
*

; 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
, , .

A1 A2 ... An An+1 ,...

, { An } ,

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

; lower boundary functional

, .

; 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)

<

t1n1 ... t NnN

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 = ( 2 B ( 0 ) ) N 2 ( N / 2 + 1 ) det (1) , > 0 ,

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 ,
.

; automodel / demistable / saling process ,

= Ak X t

(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
,

a1 ,..., a p , 0 < 2 < ,

{ 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 ( )

; decomposable characteristic function , .

/ ; reducible / decomposable Markov chain
.
, , ,
( ,
)

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 ) - .

Aii (t ) = M { i ( t ) | j ( 0 ) = ij , j = 1, ... , n } = e aii t ,

i = 1, 2 , ..., n
,
aii . aii - aii > 0

, N ( ,
[1] ); a n , bn > 0 , S n n

Qi (t ) = P { 1 ( t ) + ... + n ( t ) > 0 | j ( 0 ) = ij , j = 1, ... , 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

Qi (t ) = P{ 1 ( t ) + ... + n ( t ) > 0 | k (0) = ik , k = 1, ..., n }

,
1 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

[6] G i n e E., K l e i n R., Ann. Probab., 1975, v. 3, 4, p. 716

21; [7] . ., .: . .
, . 33, ., 1985, . 5357; [8] S l e p i a n D., IRE Trans.
Inform. Theory, 1958, v. IT4, 2, p. 6568; [9] V a r b e r g D.
E., Pacific J. Math., 1961, v. 11, 2, p. 75162.

; balanced block design

, .

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 .

( PIP Pettis ntegral Property

).
.: [1] E d g a r G. A., Indiana Univ. Math. J., 1979, v. 28, 4,
p. 55979; [2] F r e m l i n D. H., T a l a g r a n d M., Math. Z.,
1979, Bd 168, S. 11749.

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 =

S12 , ..., S k2 , 12 , ..., k2

2

; 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

x2l , k = 1, ..., n1 , l = 1,..., n2 ,

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 ,

; Bartle Dunford Schwartz theorem , .

; 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 .

. x11 , ..., x1n1 , x21 , ..., x2 n2 ,

; Banach Mazur distance ,

l np

; 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

,

= 5 / 66 , B12 = 691 / 2730 . . .-

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 {Yr = k } = Crk1+ k p r q k , k = 0 , 1, 2 , ...

. Yr
. . .- S n - n 1 , ..., n ; i
, P {i = 1} = P {M } = p , P {i = 0} = P {Q } = q ,

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 randon variable 1) 0 1 , p

1 p ( 0 < p < 1 ) .
1 , ..., n . . .-, 1 + ... + n
.
2) 1 +1
. . . .-
.

; 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 ,

2V () > ( > 1,6996 )

.
A B
:

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]

).

C C0 = ( 10 + 3 ) 6 2 = 0,4097... . (1)- C - . (1), (2) . . .- . (2)-

:

( 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

.
. ; ., .-

.

.: [1] . ., . ., , 3 ., ., 1983; [2] ., -, . ., ., 1974.

; 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 rule ,

.

; 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 dynamical system , ( )

.

; equilibrium distribution ,
( ) .

; equilibrium potential ,

,
.

; 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

(t ) = 1 + max ( n : S n < t ) = min ( n : S n t ) ,

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

; elementary renewal theorem

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 } .

.: [1] G r a n d e r C. W. J., A n d e r s e n A. P., An introduction

to bilinear time series models, Gtt., 1978; [2] R a o T. S., J. Roy. Stat.
Soc., ser. B, 1981, v. 43, 2, p. 24455; [3] R a o T. S., G a b r M.
M., An introduction to bispectral analysis and bilinear time series models, B., 1984.

( 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

1) n = 5, p = 0,3 n = 10, p = 0,3 ;

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.

; binomial distribution , k = 0 , 1, 2 ,..., n

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 )

( Pn , P0 ) inf max [ , P { d ( X n* , X 0* ) > }]

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 isotropic correlation function , .

; homogeneous channel , .
; homogeneous / stationary transition function , .
; homogeneous
correlation function , .

; homogeneous Markov process , .

; time homogeneous Markov chain

; 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 )

Bij ( r ) = [ Bll ( r ) Bkk ( 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 ) -

PX1 ,..., X n ( B1 , ... , Bn ) = P { X 1 B1 , ..., X n Bn }

PX1 ,..., X n ( B1 , ..., Bn )

= 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 , ,
.

, ; associated spectrum of a process , .

( )
; u n i o n o f events .
; combination w i t h o u t r e p e t i t i o n s
, .

( ) / ( )
/ ;
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

; single-channel queueing system .

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 Bernoulli shift , .

; one-sided generator , ( )

; 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]- -

20- 50 60- ( , ., [2] [4] ).

,
( T - 100
). T - . . .- ,
.

[ 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

K = diag (k1 , ..., kb ) , R = diag ( r1 , ..., rt ) min k i > 0 .

l T , , - , C ( ) -

( 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 )

exp { i (t , x)} P (dx )

j,

; Bochner Khinchin theorem

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.

c ; Box Jenkins process , ( ).

; Box Wilson method
( ,
).

; Bogolyubov equations
hierarchy / chain
t

( n ) ( (q1 , p1 ) , ..., ( qn , pn ) ; t ) = ( nt ) ( (q1 , p1 ) , ..., (qn , pn ) ),

q j , p j Rd , 0 j h , h 0
, t

( = 0 )

. . . .
:

(n)
( ; t ) = { (n) ( , t ) , H (n) } +
t
+

d qn+1 d pn+1 { ( n+1) ( , | qn +1 pn +1 ; t ) , Vqn+1 | )}, n 0.

(*)

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 ,
.

; Boltzmann distribution r1 + ... + rn = r

, r1 , ..., rn

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 ,

pr C r1+1 pr +1 P[r ] pr pr Cr1 pr +1 Pr pr

.
, r

=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

di Studi in onore di prof. S. Ortu Carboni Genova, 1936; [3] ., , .

., ., 1984.

; 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 field of events , , ,

( )
( ) A .

; 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 )!

0 < < 1, k > 0

( , )
. . . .

; Borel
measure T
. ( T ) = 1 , . .
. . .-

, , .
. . . .,
,
, ,
n

. . . R -
. . .
.: [1] ., , . ., ., 1953.

-; Borel zero-one law
, .

; Borel theorem , ,

; Borel Cantelli lemma :

{ An , n 1} P ( An )
,

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.

; empty cells test

,
.
, x1 , x2 , ..., xn F ( x ) .

z 0 = < z1 < ... < z N 1 < z N =

, F ( zk ) F ( zk 1 )
. 0

= 1 N , k = 1, 2 , ..., n

>C

( ) ( ); method of correction bias, jackknife method

, ,
,
,
,

.
. [1]- .
. . .-
. . . .-
, , . .,

, . . .-
. ,

.
. . .
.
x1 ,..., xn F ; , n ( x1 ,..., xn ) , . n

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 :

A (Bn ) = { { B1}, ..., {Bn }, {B1 U B2 }, ... , { Bn1 U Bn }, ..., , } .

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

1,1 , ..., 1,k1 ,

2,1 , ..., 2, k2 ,

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 ,

n2, 1 + ... + n2, 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 )

< , 0 < 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 s e t s ,

; 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] . .,

, ., 1927; [4] . ., C. r. Acad. sci.,

1928, t. 186, p. 28587; [5] . ., C. r. Acad.
sci., 1930, t. 191, p. 91012; [6] . ., .
. . ., 1950, . 14, . 52336; [7] .,
, . ., ., 1956; [8] .
., , ., 1972; [9] ., , .
., ., 1965.
. . ( , [10] ) 1 , 2 , ...
. . . .-
. , . .
( , [11] ) , i
. . .
.
hk ( ), > 0 k = 1, 2 , ...

(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

= .

. . . .- ]

log M exp ( hZ k ) I (Wk < ) = 2

h

, hk ( )

<

( t
, , )
. . . .- .
1) [ ( t )

(1)

t=S

1 . . . . .-
; ,

, . . . . .
( , [6], [7] ), C > 0 > 0 ,
s -

b ( s ) < C ( log log s ) 2 -

(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 ,
.

; grand canonical ensemble

,

, ,
- ( , ). . . . . .
, .

,

( 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

cn1 { ln det + ln [ ( n 1) mn ( Anmn1 ) 1 n ( n mn ) 1 ] }

m

= 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

, .

. ; large dimensions effect -

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 ,

j = 1 , ..., m , i = 1, ..., n , b = ( b1 , ..., bn ) ,

x T = ( x1 , ..., xm ) T , A A
.

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]

< 0 < g + (0) ,

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

+ P { max ( x g (t ) sn ( t ) ) > 0}] ( 1 + o (1)) .

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}

n P { 1 > x } + ( c2 ( A) + o (1) ) n P {1 < x n };

, 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

lim lim k 1 ( n ) ln P { ( ( n ) , f ) < } = S ( f ) .

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

pt1 , ...,tn ( x1 , ..., xn ) =

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

= t 0 < t1 < t2 <

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 .

1859- . . . . ( A. Cauchy ) (*) 1821- , (*)

. . .
, . ( H. Schvarz ) 1884- .
. ., , ,

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

.: [1] B u r k h o l d e r D., D a v i s B., G u n d y R., Integral

inequalities for convex functions of operator on martingales, .: Proc
th
6 Berkeley Symp. Math. Statist. Probab., 1972, v. 2, p. 22340;
[2] . ., . ., , .,
1986.

 ;
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

= ( x1* , ..., xn* ) , xi*

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

P { 1* < x1 , ..., n* < xn | 1 , ..., n } = F ( x1 ) ... F ( xn )

(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 ,
.

; all possible regressions method

,
, .
.: [1] ., , .
., ., 1980; [2] , . .,
., 1986.

; 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 ) ;

2) P { | Yi | > x } = ( c + o (1) ) x h ( x ) , c > 0 , h ( x ) ,

x ( , [4] [6] ).

, .
.: [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 } ,

hn, ln ( ) = mn, ln ( ) a1 ( M ln , bln ) an ( ) w ( ln ( ) )

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 ) )

; James Stein estimator

, 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

, A , A ; algebra, induced by set A , .

; algebraic decoding m
. ., n = q 1 , 2 t + 1
,
n 1

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

, ,

(2) ( , [5] [7] ). X

. ( ) .
.: [1] S t e i n C., .: Proc. 3d Berk. Sympos. Math. Statist.
Probab., v. 1, Berk., 1956, p. 197206; [2] J a m e s W., S t e i n C.,
.: Proc. 4th Berk. Sympos. Math. Statist. Probab., v. 1, Berk., 1961,
p. 36179; [3] S h i n o z a k i N., Ann. Statist., 1984, v. 12, 1,
p. 32235; [4] B r a n d w e i n A., S t r a w d e r m a n W., Ann.
Statist., 1980, v. 8, 2, p. 27984; [5] B e r g e r J., Ann. Statist.,
1980, v. 8, 3, p. 54571; [6] B r o w n L., Ann.Statist., 1980, v. 8,
3, p. 57285; [7] G h o s h M., P a r s i a n A., J. Multivar.
Anal., 1980, v. 10, 4, p. 55164.

( ) G ( ) -

2) yi =

, , Cij ( x )

p>2,

= ( 1

X - .
4) X -

Fq

, q m -

. (

; Boze R. C., Ray Chaudhuri D. K., Hocquenghen A. ) ,

t
.
( , ( )
) t - , ,
( ) .
, -
. .-
.
.: [1] ., , . ., ., 1971.

, ; 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
,

arg 1 > ... > arg n ; arg z1 > ... >

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

Z n = ( 1 + ... + n ) Bn1 , n = 1, 2 ,...

[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 ) .

.: [1] J o h n s o n N. L., W e l c h B. L., Biometrika, 1940,

v. 31, p. 36989; [2] . ., . .,
t , ., ,
1975 ( ).

; pairwise independence ,
.

; paired correlation
coefficient , .

 ; attainable boundary , ;

; accessible / reachable state ,

; ,
.

; 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 .

- . ( I. Bienaym, 1853 ) . . ( 1866 ) . . .

, ,
. .
( ).
. . ;
,
M ,

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 , ,
.

; Chacon Jamison 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 )

= max { ( ) h , 0}, h > 0, h ]. , , , t

t
. t
t

.
.: [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

= {1, 2 , ...} - i > 0

= ( 1 , 2 , ...) ( ) -

, 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 ,
.

; skew Wiener process , .

; 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

xn1 , ..., xnk

i -
n -
, , 1 , +1 0

xn i

.
xn i i - n -

- 1 0
.

yn = b0 + b1 xn1 + ... + bk xnk + n

, y n , n - ,

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

(*) ; , Ror, as. -

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.

; multiway contingence table , .

; multiple access

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 , SX1 ) ... (X K , SX K ) ;

L ,

~
~
~
(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 )

, -

= ( xm1 , ..., xmN ) X mN .

. . .- ( ,
, . );
.
. . . .
, ( ) .
.: [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) ,

n = 1, 2 , ...} , i = 0, 1,..., r , lim

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~ ,

. . . .
. .- , ,
.

; multivariate normal distribution , .

; multivariate distribution s R s

. . ., , = ( 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 ( x1 , ..., x s ) = P { 1 ( ) < x1 , ..., s ( ) < xs }

x1 , ..., x s
.

. .- . . . R

f (t ) =
q ( ) =

B (mH

B ( mH

1
( mH
2 , mE 2 )

2 ) 1

P { 1 = xi1 , ..., s = xis } = pi1 , ..., is 0 ,

i1 , ..., is

, 0t <

(1 ) ( m E

= 1 ; ( xi1 , ..., xis ) R s

i1 , ..., is

( , ., / ).
2 ) 1

R -

s F ( x1 , ..., xs )
= p ( x1 ,..., xs )
x1 , ..., xs

0 1
, B ( a, b) .

138

( xi1 , ..., xis )

, ,

t ( mH 2 ) 1
2 , m E 2 ) ( 1 + t ) ( mE + mH )

p ( x1 ,..., x s )

A ( A , R
)

P { A} =

p ( x1 ,..., xs ) dx1 ... dxs

, ) p x

p ( x1 , ..., x s ) 0 ,

,
,
. x1 ,..., x p (

p ( x1 , ..., xs ) dx1 ... dxs = 1 .

Rs

. . i

= i ( )

m < s i1 , ..., is . .- . , . . . 1 , ..., s

F ( x1 , ..., xs )

= F1 ( x1 ) ... Fs ( x s )

p ( x1 , ..., xs ) = p1 ( x1 ) ... ps ( xs ) , Fi (x ) pi ( x ) ,

f (1 ,..., s ) - . .-
; . . ,

M f ( 1 , ..., s ) =

f ( x1 , ..., x s ) p ( x1 , ..., x s ) dx1 ... dx 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

{ x i }1n = {( x1i , x2i , ..., x pi )}1n

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)

M ( x (1) | x (2) ) = (1) + B(x ( 2) ( 2) )

(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)

IV. { x (i j ) }in=1 , j = 1, 2 , ..., k

(1) = ( 2) = ... = ( k ) = V1 = ... = Vk = V ;

k

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

Pi1 , ...,i p = P { = U i1 , ..., i p }

, U i1 , ..., i p

= (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.

; visualization of multivariate data

; ,


( , ,
,
, . ) . ,

, .,

 ,
, . . . .
,
, . . . .
.

; 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.

; multiparameter Brownian motion , .

;
multiway channel

.
. . .

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 }

1 j1 < ... < jk n

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
, .

; Darling theorem 1 , ..., n F ( x )

, S n

( S ) = 1 , T

, .

148

, .

sup sup M ij

n ( x , y ) = n 1

P. Lvy, 1934; , [1] ). S n = Gn ( S n ) , Gn (x ) = ( x ) n

; Darmois Skitovich theorem

[ pij ( x ) + qij ( x) ] d x < ,

. ( . ,

= 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 , .

()- . (B) ()-

: A = B ; = 1 , A = B ,

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 . .- .
.
,

log f ( t ) = | t | exp i sign t

2

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 ) . .- ,

a1 > 0 a2 > 0 b a > 0 ,

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 ,

t , s > 0 . { t , t > 0} lim t = 0

t 0

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 ) } =

; stable random set

= 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 distribution type

, .

; 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
( ,
).

( ),

; stability o f d e compositions of probability distributions

. .

. 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) -

M ( sj m ej ) < 0 ; M j ( (jr ) s ) C < ,

> 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 } - .

W (x) = P{w1 < x }

e = (1, 0 , ... , 0 ) m ; x = ( x1 , ..., xm )

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

q k = I { ks > ke } + I { ks1 > ke 1 + ke } +

+ I { ks 2 > ke2 + ke1 + ke } + ...
. I ( B ) , B .

qn( r ) , q ( r ) n , r {( (jr ) e , (jr ) s )} .

e

( 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 )

{ e ( t ) ; s ( t )} ; M [ e ( r ) (1) e ( r ) ( 0 )] M [ e (1) e ( 0)]

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

1951, . 15, 3, . 20518; [3] . ., , ., 1960; [4] . .,

. ., 1986, . 31, . 3, . 43350; [5] .
., . ., . .,
, ., 1972; [6] . .,
. ., 1976, . 101, 3, . 41654.

( )
;
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 , )
; :
)

> 1 0 < g <

M ( 1 ) g

M 1 g ,
,

sup d (Vn , Vn ) inf { max d (Vn , Vn ) + c T 1 }

n 1

n T

, d
, c
g , , N , - ;
)

> 0 0 < g1 <

M exp ( 1 ) g1 , M exp ( 1 ) g1
, 0 < 0

c1 = c1 ( g1 , , N , )

sup d (Vn , Vn ) inf { max d (Vn , Vn ) + c1 exp ( 0T )}

n 1

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

(1) . > 0 > 0

, x0

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 ) )

min max sup d ( j , (jr ) ) ,

T
j T +L

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
. .-.

2) n ( n = 1, 2 , ... ) . .-, lim n

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 =

= const g , g , g ( x), ( x), ( x)

. k , ( x)

= g , ( x) = g

( x) -, .
P { ( x) > u , ( x ) > } x ( , [1] [3] ).

a = M k < , 0 < = D k < , k 0 ,

, n , x
2

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) ,

.: [1] ., , . ., . 2, ., 1984; [2] . ., , 2 ., ., 1986; [3] . ., .

. . . 1955, . 19, . 24766; [4] . .,
. ., 1984, . 29, . 2, . 41011.

( ) ;
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-

70- ( , [2] [4] ). [5]- n, t n, t

. ( )
.- [6]- .
.: [1] H o d g e s J., L e h m a n n E., Ann. Math. Statist.,
1970, v. 41, 3, p. 783801; [2] P f a n z a g l J., .: Developments in statistics, v. 3, N. Y. [a. o.], 1980, p. 197; [3] . ., . . . .-. , 1982, 5,
. 1826; 6, . 2330; [4] . ., .: Proceedings
of the International Congress of Mathematicians. Warszawa, 1624,
Aug., 1983, v. 2, Warsz., 1984, p. 106379; [5] . .,
. ., 1985, . 30, . 2, . 26988;
[6] . ., . .,
1989, . 34, . 3, . 491504.

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

.

; deimation , , p > 1 , X ( t ), t = 0, 1, ..., N 1

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 )

p X (0) , 0, ..., 0 , p X (), 0, ..., 0 , p X ( t ) , ... ;

t = 0, 1, ..., N 1
.

 . . -
.- 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 ) ...

M [ ( xi (l ) ) ( x j (l ) ) ] dx1 ... dxk

( xk ) dx1 ... dxk =

( 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 ( ),

x , z R ) - , a ( , [1], [2], [6], [8], [9], [13]

[15], [17] ).

(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

. ., . ., 1978, . 106, . 10840, 45583;

[8] C a r m o n a R., Acta Applicandae Math., 1985, v. 4, 1,
p. 6591; [9] C a r m o n a R., Random Schrdinger operators, cole
ete de probabilits XIV, Saint Flour, 1984, p. 123; [10] D o n s k e r M. D., V a r a d h a n S. R. S., Communs Pure and Appl.
Math., 1975, v. 28, 4, p. 52565; [11] . .,
. ., . . . , 1986,
. 11, . 98117; [12] . ., . .,
., 1988, . 22, 2, . 73
74; [13] . ., .: . .
. . , . 25, ., 1987, . 367; [14] P a s t u r L. A., Sov. Sci.
Rev. C. Math. Phys., 1987, v. 6, p. 1112; [15] C y c o n H. L.,
F r o e s e R. G., K i r s c h W., S i m o n B., Schrdinger operators:
with applications to guantum mecha-nics and global geometry, B.
[a. o.], 1987, p. 319; [16] K i r s c h W., M a r t i n e l l i F.,
Communs. Math. Phys., 1983, v. 89, p. 2740; [17] M a r t i n e l l i F., S c o p p o l a E., Introduction to the mathematical theory of
Anderson localization, Bologna, 1987; [18] S i m o n B., J. Stat.
Phys., 1987, v. 46, 5/6, p. 91118.

, ; 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 , -

, ; differentiation of a random process ,

 ; 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-

C0k (G ) = lim C0k ( Gm )

mN

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)

= n k ... n l , 0 s < t 1 , t n k s < t n k +1 , t n l t <

< tn l +1 , 1 k < l k n

= t n 0 < t n1 < ... < t nkn = 1 , [ 0 , 1]

(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 ,

lim [ g n+1 ( x , N ) g n+1 ( x , N ) ] 0 , x X

).

(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 )

h0 ( x) = sup [ r ( x , a ) + P a (h0 h1 ) ( x)],

a A0 ( x )

hm ( x) = sup P a ( hm hm1 ) ( x ), m = 1, 2 , ..., n,

a Am ( x )

(2)

x X ,

f (y) p(y | x, a) ,

yX

A1 ( x ) = A( x ) , Am ( x ) , Am 1 ( x ) , hm1 ( x) .

(2) h1 , h0 , ..., hn2

( , [5] ).

.
. X = { x , y } , A ( x) = { a , b } , A ( y ) = c ,

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 -

.: [1] L a n f o r d O., L e b o w i t z J., L i e b E., J. Stat.

Phys., 1977, v. 16, 6, p. 45361; [2] F r i t z J., J. Stat. Phys.,
1983, v. 33, 4, p. 397412; [3] L a n f o r d O., Comm. Math.
Phys., 1968, v. 9, 3, p. 17691; 1969, v. 11, 4, p. 25792;
[4] D o b r u s h i n R. L., F r i t z J., Comm. Math. Phys., 1977,
v. 55, 3, p. 27592; [5] D o b r u s h i n R. L., F r i t z J., Comm.
Math. Phys., v. 57, 1, p. 6781; [6] M a r c h i o r o C., P e l l e g r i n o t t i A., P u l v i r e n t i M., Random fields. Rigorous results in
statistical mechanics and quantum field theory, v. 2, Amst. Oxf. N.
Y., 1981, p. 73346; [7] . ., . . ., .,
1974, . 29, 1, . 15258; [8] P r e s u t t i E., P u l v i r e n t i M.,
T i r o r r i B., Comm. Math. Phys., 1976, v. 47, 1, p. 8195;
[9] . ., . ., . .,
. , 1973, . 28, . 5, . 4582; [10] 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; v. 56, 3, p. 22536; 1982, v. 84, 3,
p. 33376.
.

; ; ; 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)

.: [1] ., , . ., ., 1974; [2] .,

, . ., ., 1967.

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 = {x1 ,..., xm } , Y = { y1 , ..., y n } .

, ( xi , y j )
X Y

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

...

x ( j1 , ..., jk ) WNn11 j1 ... WNnkk jk

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

= ( a (1) , ..., a ( N 1)) T ,

, 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 )

( ) . . .-

.
( ) . . .

< t < , cov ( ( t ) , (t ) ) = 0

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.

; discretizable random field , .

; disriminant analysis ( ) ( , , ) , .

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) :

= 4,6284 ; 1 = 0,5321 ; 2 = 0,0032 ;

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.

; variance ratio distribution , F .

; variance ,

;
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 , ... -

; dissipative Markov chain

( , ; ).
.: [1] . .,
, . ., ., 1969.

.
.

; disjoinct
spectral type of measure , ,
.

; sequence of disjoinct random variables , / .

; DLR condition
. [1] [2]-
.

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] ). . . .

 ( , [6] [9] ); , (2)

( , [10] [11] ).
(1) [ (2) ] :

( 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) ,

D X = FX (1) + FX (1) FX2 (1)

M X ( X 1) ... ( X k + 1) = FX(k ) (1) .
4) X = ( X 1 , ..., X k )
.

FX1, ..., X k ( z1 , ..., z k ) = M z1X 1 ... zkX k

X
.
. ( A. Moivre )
. ( P. Laplace )
, .
.: [1] ., ,
. ., ., 1963; [2] . .,
, ., 1978; [3] .,
, . ., . 12, .,
1984.

( )
; 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
.

/ , ; generator / infinitesimal operator

. ,
. A

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 ,
, , .

; Donsker Prokhorov invariance

principle ,

; 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 / single redundancy , .

; 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 - .

n n p ( 0 < p < 1) = const

n ,

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 .

(*) . [1]- . . ( H. Cramr ) , , (*)

f (x ) -, ,
.
.: [1] E d g e w o r t h F. Y., Proc. Comb. Phil. Soc., 1905,
v. 20, p. 3665; [2] ., , . ., 2 ., ., 1975.

; 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

<

lim sup M exp ( i t X 1 ) < 1 ,

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

( , [6] ). [7] [10]-

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.

; efficiency preservation coefficient , , .

; probability



. .
,
. .
.
.- ( ) :


.
.-

.
,
( p n -
)
.
.-
.- .
.
.
.-
,

. , .- ,
, ; .- . ,
,
.- .
.- .

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

,
:

1) Pt1 , ..., tn ( I y1 , ..., yn ) = Pt

,..., t n
1

( y1 , ... , y n ) R

( I y 1 , ..., y n )

1, ..., n

1 , ..., n ,

I y1 , ..., yn = { x = ( x1 ,..., xn ) : xi yi , i = 1, ... , n };

2) Pt1 , ..., tn ( I y1 , ..., yn1 , ) = Pt
R

,..., 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 .

pik ( s ) pkj ( t ) , i, j = 1, 2 , ..., N .

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

p00 = pnn = 1 , pi ,i 1 = q pi ,i +1 = p , 0 < i < n , 0 < p < 1 ,

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)

< i2 < ... < ik n

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 , ...

(Xn, X0) 0 (X n , X0) 0

.
( . ). 0 < p < 1 -

Gn ( p )

X -

. ,
X - 0 , 1 , ...

; [ z ] , z - .

; comparesion / ordering of probabilistic metrics

. X -
-
, -

n k
M n ( q , k ) = q 2
k

.: [1] . ., ., 2 ., , 1962; [2] . .,

, ., 1961; [3] . ., , .,
1967; [4] . ., , .,
1974; [5] E l l i o t t P. D. T. A., Probabilistic number theory, v. 12,
N. Y., [a. o.], 197980.

= 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 .
,

.: [1] . . . ., 1977, . 102, 3,

. 42534; [2] . .,
, ., 1986.

;
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 ) - ,

sup { | g ( x) g ( y ) | min (1, d ( x, y ) ) : x, y U } 1

.
III. , , -
:

1. ( X , Y ) = M d p ( X , Y ) min (1, 1 / p ) , p > 0 ,

P2 - . .-.

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

1 ( X , Y ) = inf { max ( w ( X , Y ; t ) , t ) : t > 0}

2 ( X , Y ) = sup { min ( w ( X , Y ; t ), t ) : t > 0}

. .- , 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 -
.

( A, B ) = max sup inf d ( x, y ), sup inf d ( x, y )

y

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) )

.
, .

P ( Ak(11) )
P ( Ak(22) | Ak(11) ), P ( Ak(33) | Ak(22) ) , ..., P ( Ak(nn ) | Ak(nn11) )
.
;

212

C = Ak(11) I Ak(22) I ...

, ; C ,

.

. ( -

i j , Ai I A j = ( - ) -

Ak , Ak , ..., Ak

, ( ) , B

{ : ( ) B } , B R1 . { : ( ) B } -

; A1 , ..., Ar

( , , [1]; [2]; [3] ). Ai

. ( , 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

of Chances, 3 ed., L., 1756 ( . N. Y., 1967 ); L a p l a c e

[P. S.], Thorie analytique des probabilits, 3 d., P., 1886; . ., . . ., . 23, . ., 194748; L i a p o u n o f f A., Nouvelle forme du thorme sur la limite de probabilit,
, 1901; . ., , 4 .,
., 1924; . ., , 4 .,
. ., 1946.
. . .,
, 6 ., ., 1988; . .,
, 2 ., ., 1986; . ., , , .,
1985; . ., , ., 1982; . ., ,
2 ., ., 1989; . ., . .,
, 3 ., ., 1987.
. . .,
, 2 ., ., 1974; ., , . ., ., 1962; .,
, . ., . 12, ., 1984.

; 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.

; semiinterquartil range / probable / deviation error , ,

. . . .- B

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 ,
:

P { x : ai < x ( ti ) < bi , i = 1 , ..., n } =

= (2 ) n

( t t
i

i 1 )

1 2

bn

a1

an

...

1
exp
2

i =1

n 0

= t 0 < t1 < ... < t n < 1

( ).
.: [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 -

X - , Rij = { X : max (d1 ( X ) , ..., d k ( X )) =

= 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 ,

lim inf ( m ) = 1 lim sup ( m) ( ln m) 1 ln ln m = 1

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 )

sup Pn { f (m) = k } p ( k ) = o (1)

, , , (4)
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

lim lim sup Pn { max

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 -

Gn (x ) = Pn { | C n g ( m ) |1/ Dn sgn g (m) < x }

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)

Fn (x ) = Pn { f n (m) < x } Gn ( x) = Pn { g n (m) < x }

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

. 20, 3, . 3952; [5] . ., . .

. ., 1964, . 28, . 30764; [6] . ., , ., 1974; [7] . .,
, ., 1971; [8] ., . . ., 1964, . 4, . 565603; [9] B a b u G. J.,
Probabilistic methods in the theory of arithmetic functions, Delhi,
1978; [10] E l l i o t t
P. D. T. A., Probabilistic number thery,
v. 12, N. Y. [a. o.], 197980; [11] E l l i o t t P. D. T. A., Arithmetic functions and integer products, N. Y. [a. o.], 1985; [12] G a l a m b o s J., Ann. Inst. Henri Poincar, Sect. B, 1970, v. 6, 4,
p. 281305; [13] H i l d e b r a n d A., Astrisque, 1987, 14748,
p. 95 106; [14] N a r k i e w i c z W., Teoria liczb, Warsz., 1977;
[15] P h i l i p p W., Mem. Amer. Math. Sos., 1971, 114;
[16] S c h w a r z W., Jahresber. Deutsch. math. Ver., 1977, Bd 78,
3, S. 14767; [17] .,
, . ., ., 1963.

, ; 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

= ( 0,1, 0,4, 0,5 ) -

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 )

0 < s < t < 1 , x > 0, y > 0

.
(an , bn ) { ti } -
. .-
t

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 , ,

( ) > 0 , C1 ( ) , ..., C m ( ) , - , h ( x ) 0 , 1 ( x) , ... , m ( x) , X -

.
m . . .- (*)
. (*) , , X -
1 ( x ) , ... , m ( x) -

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.

; exponential generating function , .

; exponential distribution

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

d.: [1] ., , . ., ., 1997;

[2] D e l l a c h e r i e C., M e y e r P.-A., Probabilits et potentiel,
Ch. IXXI: Thorie discrte du potentiel, P., 1983.

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)

; distribution of extreme values 1 , ..., n

( n n ) (1 n ) ;
.
1 F ( x ) ,

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 )

inf { x : F ( n ) ( x) > 0} = r < ;

, c > 0 , k

>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 )

sup{ x : F ( n ) ( x) < 1} = w > 0

, c > 0 , k

>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 -

; equivalent random variables ( , F , )

, X 1 , X 2 , ..., X n y -

P { : ( ) ( ) } = 0

y ( f n ) = arg min f n ( X 1 , X 2 , ..., X n ; y )

y Y

.
, .
( C. Gauss, 1795 )
. . .- . . . . .
. . .- .
.: [1] . ., .:
, ., 1982, . 412.

;
equivalent additive functionals , ;

; equivalent partitions , .

; equivalent measures
( ) . , E ,
S , E -

( ) ( )
. ( ) ( ) . . .-,

F ( x ) = P { : ( ) < x } = P { : ( ) < x } = F (x)

1

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

< x2 < ...

= 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 {}
.
, , , ,
, .

; space of elementary events , ,

; elementary measure ( ) , ( )
.
( X , G , S , ) ( ) ,
, X

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
,

; empirical Bayesian estimator

, ( ) , .
.

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 covariance matrix , .

;
empirical moment , .
( ) ; empirical mean value o f a
random
s e t , ( )
.

; empirical
orthogonal functions , X ( r ) ,
N x ( rk ),

k = 1, ..., N

= 1, ..., N

b = bik ,

bik = b ( ri , rk ) = x (ri ) x (rk ) ,

, 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 -

P { < x } = P { i < x } = F (x) .

(1) k n x k < x k - , k = 1, 2 , ..., n .

(1) Fn* ( x )

.
,

Fn* ( x)

x1 , ..., x n

, 1
. xi , i

< 2 < ... < n

= 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

P{ Fn* ( x) = k n } = C nk [ F ( x)]k [1 F ( x) ]nk

,

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

).

Dn . . Fn* ( x ) F (x) . . . ( 1933 ) F (x )

:
+

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.

; empirical distribution function / e. d. f. , .

;
empirical process , ( )

( 3)

( 2)

( 3)

( 2)

( x (3) ) y 2 ( x (3) ) dV

( x ( 2) ) y3 ( x ( 2) ) dS ,

(*)

= ( x , y , z ), x( 2) = ( x, y ), G(1) ( x (3) ) , G( 2) ( x (3) )

) , X

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 =

; empirical regression line /

curve , .

; empirical influence function

, ;
(
).
., X - , , -

( ) . 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 ,
,

; transverse correlation function , .

; Engset
formula N , , n k
pk -

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 = 0 , 1, ..., H n ( 0n1 ) , 0n 1 = ( 0 , ..., n1 ) n 1

. 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

Ai1 I ... I T n+1 Ain1 ; Ai1 , ..., Ain 1 ,

.
. . . ( , [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 pij ( n ) = f jj1

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 ,

lim pii ( n d ) = d fii1

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 }

sup ( ( An An1 ) ( 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 )

, 1986; [24] ., . , 1949, . 4,

. 1, . 11382.

. .

[4]- . .- L ( , A , m ) - ( , [17] ), [20]- . . . .

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 -

( , [15] ). . .- [10]- [10], [15], [16] [22]

.
,
. .- m

; 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 ) ] = lim n [ (t0 ), (t0 + t1 ) , ..., ( t0 + tn 1 ) ]

n

)
,
.
,
( ) .
(t ) ,

m ( ) = ( 2T ) 1
T

[ ( t

,
(t ) - T 1 (t ) - -

(t )

. [10], [11]-, . . [12]-

, (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 , (1) : n = 1, (2) n = 3, (3) n = 10

. .-
.
.: [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.

; confidence limit / bound , .

;
confidence region , .
;
confidence bound , , -

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

< t 2 < ... < t r . [ N , B, ( 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 ) =

F ( xij ) F ( xij 0 ) = pij > 0 F ( )

, F ( ) x j -

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 -

= 1, ..., k j , j = 1, ..., m . (*) F ( s )

.
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.

; reliability indices of system .

.
, , ,
.
, ,

, , ,
.

( ) . .
. .
( )
t0 .
, P ( t 0 )

= 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] ).

[3] O s t e r w a l d e r K., S c h r a d e r R., Helv. Phys. Acta,

1973, v. 46, p. 277302.

; 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

, . ., ., 1976; [2] ., ., . , . ., ., 1984;

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

 ; evolutionary spectral representation (t ), < t <

. ( t ) -

. . . :

(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 ;

E0,0 = 1, En,0 = E0,k = 0 k > n En, k = 0

. (*) . ( L. Euler ) 1755-
. . .
:

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!

. .,

; Einstein Smoluchowski model , .

 ( ), ; 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 stringent test , ,

.

/ ;
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.

; most accurate bound / limit

.
, , .

, ; 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
,

inf sup ( t , d ) = sup ( 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.

; most powerful test

H 0 . , H1 ,

1-
. H1
H 0

;
1- ; H1
, H 0 .

( H1
H 0

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

 ; minimal excessive majorant , ( )

( 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 ,

j = 1, ... , p ; 2) det ( cov )

= 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 ( t1 ) ,..., y ( tn ))T , X = ( x ( t1 ) , ..., x ( tn ) ) T , = ( ( t1 ) , ...,

( tn ) ) T , 0
= ( ij ) , ij = k ( ti , t j ) .
. . . .- , S ( )

= ( 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

= 0,0007; b = 0,205 ; c = 16,84

(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.

; least squars method

w i t h e s t i m a t e d c o v a r i a n c e m a t r i x

( ) .

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.

; constrained least squares

method . ( ) , , ., ,

.
, n Y

. . . .

( ) = ( 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;

D., J. Statist. Plann. and Inference, 1978, v. 2, 1,

/ / ; 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

g1 ... g k g k + p m+1 ... g p

(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 .
, .

; ; ; factor analysis models

, ,
( ), ( ), ( ),
( ).
.

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 -

.
:

yijk = + x1i + x2 j + x1i x2 j + ijk .

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

. i ( j ) A = { i1 , ..., ir } A ( j1 , ..., j r ) , x i j - xi1 , ..., xir

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 X [1] (M X [1] ) 2 . . .-, ,

X ( z ) -
: M X

[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

; rotation of factorial axes

u = 1, ..., 9
i = 1, ..., 4.

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

= const > 0 , t = const > 0 .

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

( c > 0, > 0, x > 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

= min { n : S n ( a, b ) }, a > 0 , b > 0 .

. . . , , . ( ) .
( , , ) .
.
( . ) . . ,
.
. . ( , [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 ) f 0 ( x1 , y1 ) x > x1 x = x1 y > y1}

,

{ ( 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

) F ( dx1 ) ... F ( dxn ) .

(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 )

FXY ( ) = arg f XY ( ) = arc tg [ Im f XY ( ) Re f XY ( ) ]

, f XY ( ) , X ( 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 - ,

= 1 k T , k , k = 1,38 10 16 erq / grad ,

.
,
( ,

[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 , ...) ,

h = 1,05 10 27 erq.san . . ( E. Fermi ) 1926- . ( P. Dirac )

: . . .-
. . .
.- ( ) -
.
. . .- { n p } ,
n p , p ( n p

= 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 , .

, ; difference function of meteorologic

losses , .
; difference scale , .

; outliers
detection

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 ,
, .

, ; space of continuous functions X

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
, .

; spatial statistical structure , .

; branching process ,
,

291

 , ,
. ., ( ) i (t )
, . . .- ( t + 1) -
( t + 1)
:

( t + 1) = 1 ( t ) + ... + ( z (t )) ( t ) .
(n) = n

= n + c , c = const > 0 ; ( n) = max ( 0, n C ) , C = const > 0

; ( 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 ) =

; fictitious / fictions state -

, h ( t , )

t0

.: [1] F i s h e r R., Proc. Camb. Philos. Soc., 1930, v. 26,

p. 52835; [2] F l a s e r D., Biometrika, 1961, v. 48, p. 26180;
[3] . ., . , 1970, . 191, 4,
. 76365; [4] . ., , ., 1973.

..., 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 ,
.

; physical realizability condition , .

; physical spectrum density ,
( )
.

; physical statistical weather forecasting , ,

z =

F
. [1]- 1924-
. ,
. z .
. . z .
z ,
F .

-
.

.: [1] F i s h e r R., Proc. Intern. Math. Congr. Toronto, 1928,

v. 2, p. 80513; [2] ., ., , . ., ., 1966.

;
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 ,

= { f 0 , f1 ( x) , ..., f n ( x1 , ..., xn ) , ... }

.

= f0

f n ( x1 , ..., xn ) d ( x1 ) ... d ( xn ) .

n = 1 n

.: [1] . ., , 2
., ., 1986; [2] ., .,
, . ., . 1, ., 1977.

; Fock representation o f c o m mutative and anticommutative relations

. H L
H - f -

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) . . (2) . L (1) . .-, L

( , [2] ).
.: [1] . ., ,
2 ., ., 1986; [2] . ., . .,
.
, ., 1961.

( , [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.

; Forsythe relation / equation ,

.


; Fortet
Kharkevich Rozanov spectrum ,
.

; Fortet Kac theorem ,

.

; 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 - .

( X , Y ; Gqp ) = sup{ | E ( f ( X ) f ( Y )) | : f Gqp }

. . .- : 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 (

).

.: [1] F o r t e r R., M o u r i e r E., Ann. Sci. cole norm.

supr., 1953, v. 70, 3, p. 26685; [2] D u d l e y R. M., Aarhus
Univ. Lect. Notes Ser., 1976, v. 45; [3] R a c h e v S. T., Publ. Inst.
Statist. Univ. Paris, 1982, v. 27, 1, p. 2747; [4] . ., . ., 1983, . 28, . 2,
. 26487.

; 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.

; benefical aging distribution ,

.

; 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

p ( x1 , ..., x N ) = exp { H ( x1 , ... , x N ) } Z 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 ) =

U ({ xi1 , ..., xik })

k =1 1 i1 <i2 < ...ik N

( ) .
, ,
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 , .

; Gibbs random field

.
. . .
. T
, ( X , B , m ) , m .

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

V1 V2 ..., U nVn = Z d (3)

(
) - .
. . .- S (U ) U
. . ,
. . .-
, , .,
, .
, , .,
S (U ) U .
d = 1 . . .-

( diam A ) sup U ( x A ) <

(6)

xA

A: 0 A

.
(5) , (6)
, ,
.
( d .
) ( , [1], [2] ):

sup

t Zd

s, t

< 1.

(7)

st

s, t Z , s t
d

s,t = sup var ( g{t} ( | ~xZd \{t} ), q{s} ( | xZ d \{s} ) ) ,

var ( , )

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 ,

; strong Feller process . E , B

. ( E , B )

, 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 ,
.

; strongly measurable mapping

.
( , A , ) , B . f : B
A - , f
.

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.

; strong random linear operator , .

/
/ ; strongly unimodal distribution , / .
; strong
convergence , .

; gain , .

 ; 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 ) .

.: , .

; harmonizable random process t R1

1

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 )

( , [3], [6], [8] ). . . .

, , ,
0 ( t ) = ( t ) M ( t )

= 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
-

( , [1], [3] ). (1) (

) . ( ,
) ( , [3], [4] ).
. .- ( ,
., [5] [7] ). . .- ( [8]-
. . ) , , . , [5] [8]- - ( [9]-, 6- )

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.

; Harris recurrent Markov chain , .

; Harrison seasonal model

.
:

{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.

; Helly theorem : F ( x ), F1 ( x ), F2 ( x ) , ... -

~ 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

; instantaneous availability index

. ,
, .

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 . :

( Q n ) ( P n ) lim lim inf H ( ; P n , Q n ) = 1 ,

0 n

( Q ) ( P ) lim lim inf H ( ; P n , Q n ) = 0 ,

n

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 , .

 ; Hermitian random matrix n

H n

= ij

,
T

H n

- . . . .

H n - , H n 1 ... n 1
- . . . . H n -

( H n i I ) ai = 0 , ( ai , ai ) = 1 , arg a1i = ci , i = 1, ..., n

, ci
, 0 ci

2 , i = 1, ..., n.
n -

,
, B ,
, An = (a1 , ..., an ) . . . . H n - ,

P { An L, i < i < i , i = 1, ..., n }

, i , i
; L , B - .

U n H n U n

H n

U n - , An
. . . H n -

P { An L B } =

( dU

| arg u1i = ci , i = 1, ..., n )

.
( , [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 { X n = in | n 1 } = pin 1in , P { X n = in n1 } = pin1 in

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

, 1907, . 1, 3, . 6180; [3] . .,

, 4 ., ., 1924; [4] . .,
, ., 1986, . 17378;
[5] . ., , ., 1986, . 18397; [6] . .,
, . ., 1949; [7] .,
, . ., . 1,
., 1984; [8] . ., . .,
, . 1, ., 1971; [9] . .,
. .,
, , ., 1979; [10]
. ., , . ., ., 1969; [11] ., .,
., , . ., ., 1987.

; 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 = lim pi 0 ( n ) i = lim piN ( n )

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.

; geometric probability . . . 18-

( , ). 19-

,
.
.
.

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 ,
.

; geometric distribution m = 0 , 1, 2 , ...

=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

; Hilbert random function

, .

; 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.

; hypergeometric distribution m = 0, 1, 2 , ..., n

pm = P { = m } = C Mm C NnmM C Nn

(*)

( , )
, 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 , (*)

pm = C nm ANm p ANn qm ANn

,

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 )

; piecewise linear aggregate ,

( x, y ) a x o y , o

; piecewise linear process

.
:
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
, .

; hyper Greek Latin

square , .

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 :

= ( X 1 , ..., X n ) = sup L ( 0 , B ) / sup L ( , B )

B

, 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

.: [1] H o l d e r O., Nachr. Ges. Wiss. Gtt., 1889, 2,

S. 3847; [2] ., , . ., .,
1962.

.
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]- . .
( .,
,
) . . .

[11], [12]- (1 B ) xt = at , 0 < < 1 2

, B xt

= 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 -

l a n d K., V a n A t t a C., J. Fluid Mech., 1978, v. 85, pt 3,

p. 57389; [5] F e l l e r W., Ann. Math. Statist., 1951, v. 22, p. 427
32; [6] L l o y d E. H., Adv. in Hydrosci., 1967, v. 4, p. 281339;
[7] M a n d e l b r o t B., C. r. Acad. sci., 1965, t. 260, 12,
p. 327477; [8] M a n d e l b r o t B., V a n N e s s J. W., SIAM
Rev., 1968, v. 10, p. 42237; [9] D a v i e s R., H a r t e S., Biometrika, 1987, v. 7, 1, p. 95101; [10] M a n d e l b r o t B., W a l l i s S., Water Resources Res., 1969, v. 5, 2, p. 22867;
[11] H o s k i n g J., Biometrika, 1981, v. 68, 1, p. 16576;
[12] A n d e l J., Kybernetika, 1986, v. 22, 2, p. 10523;
[13] K l e m e s V., Water Resources Res., 1974, v. 10, 4,
p. 67588.

 ; pure Bayes strategy ,

, .

; 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

m4 = s 4 + 3s 22 + 4s1 s3 + 6s12 s2 + s14 ,

1 , ..., n
,

1 + K + n ( z ) = [ 1 ( z ) ]n .

s1 = m1 = M ,

60. z1 , ..., z n , c1 , ..., cn

n ,
n

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 ,
.

; characteristic functions method

. . . 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.

; characterization theorems f o r p r o b a b i lity distributions on Abelian groups

. . .- ( ,
[1] )
, , .

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

() Z ( 2 m1 ) ... Z ( 2 mn ), 0 m1 < ... < mn ,

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 -

() 2 Z ( 2 m1 ) ... Z ( 2 mn ), 0 m1 < ... < mn ,

, ,

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

a02 = a12 + ... + am2

.

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 <

; linearly independent random variables

P{ :

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 filter of a random process , ( )

.

( )
;
; 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 )

; linear rank statistic ,

, Y

Y = B X

Y - , B ,

( m n ) .

M - . = Y Y = Y B X

B
.

z = ( z1 , ..., z n ) R n

; linear regression experiment , .

;
linear regression T
. X = ( X 1 , ..., X m ) Y =
= ( Y1, ..., Yn ) T . f ( X )

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 regular stationary process ,

.

; 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,

[11]- , min n pi( 0) 5 , -

p1 + ... + p k = 1 , 1 + ... + k = n , k < n , M i = n pi ,

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

> 30 , min n pin(0) 5

. 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],

[14], [17], [23] ).

X 2 ()

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

],

12 + 22 + ... + k2 m 1 + 1 k2 m + ... + m k21

( , [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 -

; [5], [12], [21]-

.

, ., [2] [5], [9], [14],
[22], [23]- .
.: [1] ., .,
, . ., ., 1973; [2] . .,
. ., 1971, . 16, . 1, . 320;
[3] . ., . ., 1973, . 18,
. 3, . 58392; [4] ., . ., .:
, . 10, ., 1987,
. 4971; [5] D r o s t F. C., Centrum voor Wiskunde en Informatica,
1988, v. 48; [6] ., ,
. ., 2 ., ., 1975; [7] . ., . ., . ., 1974, . 19, . 4,
. 88688; [8] L a u t e r H., P i n c u s R., Mathematisch statistische
Datenanalyse, B., 1989; [9] M c C u l l o c h C. E., Communs Statist.
P. A. Theory and Meth., 1985, 14 (3), p. 593603; [10] Y a r n o l d J. K., JASA, 1970, v. 65, 330, p. 86486; [11] C o c h r a n W. G., Ann. Math. Statis., 1952, v. 23, 3, p. 31545;
[12] . ., . ., 1973,
. 18, . 3, . 67576; [13] . ., .
., 1979, . 24, . 2, . 38589; [14] . ..,
. ., 1977, . 22, . 2, . 37578;
[15] . ., ., .
., 1978, . 23, . 3, . 48194; [16] . .,
. ., .
, 1975, . 1, . 10409; [17] W a t s o n G. S., Biomtrics,
1959, v. 15, p. 44067; [18] C h e r n o f f H., L e h m a n n E. L.,
Ann. Math. Statist., 1954, v. 25, p. 57986; [19] F i s h e r R. A.,
J. Roy. Statist. Soc., 1924, v. 87, p. 44250; [20] D u d l e y R. M.,
.: Banach center publication, v. 5, Warsz., 1979, p. 7587;
[21] M o o r e D. C., JASA, 1977, v. 72, 357, p. 13137;
[22] K a l l e n b e r g W. C. M., O o s t e r h o f f J., S c h r i e v e r B.
F., JASA, 1985, v. 80, 392, p. 95968; [23] G r e e n w o o d P.
E., N i k u l i n M. S., A guide to chi square testing, N. Y., 1996.

; chi square distribution , 2 , ( , )

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

- : (1) n = 1; ( 2) n = 3; (3) n = 10.

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

min { wn1 , ..., wnm } , wni , n -

n - i -
. { wn1 , ..., wnm }

.
a ,
. < m a ,
; wn - n
.

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

<

) .

.: [1] K h i n c h i n A., Math. Z., 1923, Bd. 18, S. 10916;

[2] K a r l i n S., Trans. Amer. Math. Soc., 1949, v. 66, p. 4464;
[3] . ., . ., 1966, . 21, . 6,
. 382; [4] . ., ,
. ., ., 1973; [5] .,
, . ., . 1, ., 1965.

; 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 34 ... n X 2 34 ... n X 1 X 2 , X 3 , ..., X n . X 1 X 2 . . . 12 34... n

, Y1

= 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.

; controlled diffusion process d R d

,
.
. . . 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.

; controlled Markov chain

,


. . . . ,
; . . .-

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 <

< t 2 < ... < t n

> 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 , ...

0 = t 0 < t1 < t 2 < ... x ( t n 1 ) an , ,

= t n t n 1 x ( t n ) . . . . . [1]- .
. , , M


. . .
. . = 1 . . . .-
.
.: [1] J e w e l l W. S., Operations Research, 1963, v. 11,
p. 93871; [2] ., .,
, . ., ., 1977; [3] D e n a r d o E. V.,
F o x B. L., SIAM J. Appl. Math., 1968, v. 16, p. 46887;
[4] R o s s S. M., J. Appl. Probab., 1970, v. 7, p. 64956; [5] . ., . . - , 1970, . 111,
. 20823; [6] . ., . ., 1981, . 26, . 80815.

; controlled Markov jump process

, .

; controlled jump process ,

. . . .- . ,
, ( . . .- )

. ( )

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

= exp q ( s, x0 t1 x1 ... t n xn , ( x0 t1 ... xn , s ) ) ds

Px { xn + 1 | x0 t1 x1 ... t n xn t n+1 } =

= Q( | t n +1 , x0 t1 ... xn , ( x0 t1 ... xn , t n +1 ) ) , n = 0, 1, 2, ...

. . . . ( ),
q Q x0 t1 ... xn xn
, . . .,
t - , . . .
. { x ( t ) }t 0 ( t , )

= ( 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 { xt +1 | x0 a1 ... xt at +1} = p ( | x0 a1 ... xt at +1 ) . (2)

( 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)

= sup{ u : FX ( u ) x } , FX 4 ( X , Y ) = ( FX1 , FY1 )

.
. .- .

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

; ruin problem / gamblers ruin problem

. .-. 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] ). .,

P { X 1 x } = C e x , C > 0 , > 0 , x > 0

X 1 -

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

 ; doubly stochastic matrix

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 .

; binary symmetric channel ,

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

 ; Laplase second law / distribution ,

.

; 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 , .

; two-sided Bernoulli shift , .

;
double exponential distribution ,
.

; two-sided confidence interval , .

;
two-sided hypothesis , H : ( 1 , 2 ) ,

1 < 2 . :

? ,
( ).
K : ( 1 , 2 )
H . .-
.
.: [1] ., , .
., 2 ., ., 1979.

; two-sided Markov process , .

; two-sided Student
test , .
; double
exponential distribution , , ,
,

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 ,
.

, ; boundary hitting time / first

passage / time for a boundary g = inf { t > 0 :
t g (t ) } ;
t , 0 = 0 , g ( t )
( ), g (0 ) > 0 . . . . .
0 = 0 , k = 1 + ... + k

0 , 1 , ..., n

= 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 ,

,
.
.: [1] G e t o o r R. K., Lect. Notes in Math., 1975, v. 440.

;
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

. 2, . 13771; [6] . ., . ., 1971, . 16, . 4, . 593613; [7] . .,

. ., 1984, . 29, . 2, . 41011; [8] . ., . . ., 1975, . 15, 1, . 2366;
[9] . ., . . . ., 1969, . 33,
4, . 861900; [10] . ., . .,
. . ., 1977, . 29, 4, . 46471; [11] . ., . , 1980, . 254, 5, . 104244;
[12] E r d o s P., K a c M., Bull. Amer. Math. Soc., 1946, v. 52,
4, p. 292302; [13] . ., . , 1997,
. 353, 6, . 71113.

; first return time ,

; first significant digit law

; , d = 1, 2, 3 , ..., 9
lg

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

0,3010 0,1761 0,1249

0,0969

0,0792

0,0669 0,0580

0,0512

0,0458

. . . .- [2]
[3]- ,
.
- . . . .- . , 0 < 1 [0, 1] -

x .

= M1 > 0 , 0 < = D1 < , y = a t y = f (t )

z b = f ( z ) < a ,
x g
k b 0 = 0 , 1 = 1 b , ... , 1 = 1 b , ... ,
k = 1 + ... + k k b . . . .
( x a z ) - . x a z ( a b ) ,

= 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

2n = 10{ n lg 2} 10[ n lg 2 ] { n } , n = 1, 2 , ..., N

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.

; average operating age

to failure

.
, , ,
.

; 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 )

. ,

, .

; average operating age before failure

X - M X -.

( ) , ,
; 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 ) ,

( ) = sup { h : min ( | f ( t ) | : | t | h ) > 0}

.
. [1]- C r ( )

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

; pointwise ergodic theorem , .

;
persistant forecast , , .

; infinitesimal matrix ,

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 (

I inf At = inf I At , I sup At = sup I At ,

,

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

, , ; generator / infinitesimal operator ,

). . . 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 p ( (1) , ..., ( N ) ; t ) =

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

0 < I (Zn : Z n ) <

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

; informational correlation coefficient

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 ) =

= min max { I ( R : P ) , I (R : Q)}

R

[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 -

H 0 ( p1 , ..., pn ) = log 2 N ( p1 , ..., p n )

( ) . 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)

; rate of information transmission

. ,

~
~
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

2P {w ( t ) > a } = P { < t } P {w ( t ) > a < t } .

(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
, .

; integral transform {P}

( {F } n

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 ,

k ( s, u ) = cos s u ( sin s u ) , 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] -

[ a ] I [b] - ; [a ], [b], [c]

). 1-
,

, ,
.

. 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.

; integral limit theorem

.
,
,
.
( ) ,
. . . .

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 , ,
.

, ; hazard function / hazard

rate function / failure rate function
F (t )

( t ) = f ( t ) F (t )

; intensity

1) .-
-. t t - .
. ( , ).

.
(t ) .
( a, b )
b

( t ) dt

k , k k ( t1 , ..., t k ) dt1 ... dt k ( t1 , t1 + dt1 ) , ... ,

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
( , ) .
.

; invarian statistical structure ,

; 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)

. (1), (2), (3) (n )

.
. .
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

n C ( ) ( L(n ) )1 ( +1) , > 2

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)

n ( B ) C ( B, ) ( L(n ) )1/ ln ( 1 + ( L(n ) )1/ ) , > 2

.

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

, ..., p n 1 ( x0 , x1 , ... , xn 1 , dxn )

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 stochastic integral ,

.

;
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 ,

< 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 }
.

1), 3), 4) , {T1t } {T t } (

) .
, ( , [1] ).
( , A , P) , t
t

{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 )
,

M X ml ( r ) X ml11 ( s ) = bm ( r , s ) mm1 ll1

, i

(*)

, 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

1986; [4] . ., , 1967, . 3, 4 . 1836; [5] . .,

, 1970, . 6, 3, . 4349.

; 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 = ( a1 , ..., an ) bT = (b1 , ..., bn )

, (1)- (1)
( - 1-
). (1)

= aT c12 b

( a T c11a 1)

( a c11 a ) ( b c22 b )

(1)

( bT c22b 1) max (2)

,
. (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) (2)- i = i2 = aiT c12 bi -

2

. 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 <

> 0 , i n u < ( i +1) n , j n < ( j + 1) n

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 ,

( Ak cos ak t Z k(1) + Bk sin bk t Z k( 2) )

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 , ) ,

; categorical weather forecast

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 < t ( , ) , x E , B x - < t < u,

x E , B

, - 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

pij (n) -. E C1 , ..., C k R

, . .

<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 )

; Kemeny distance X = {x1 , x2 , ..., xk } A

( 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.

; KEPSTR Kolmogorov equation Power Series Time Responce

( t ), t = 0, 1, ...
-

exp { 0 + 1 ( z ) + ... } = a0 + a1 z + ...

{ k } , k

= 0 , 1, ... ,

(1)

= 0 , 1, ... ,

( t ) -

z < 1.

, z ,

{ k }
. . .
( , [1] [3] ). (1)
.
f ( ) (t )
.

f ( ) =

2
1
( e i ) ,
2

, {a k } ,

ln ( z ) =

(k ) Y ( t k )

k =

. R (t ) .- (t ) Y (t )
( R)

.- : k

= k( ) + k(Y ) ,

k = 0 , 1, ... . , ., ,
[ ., (t ) - ]

, .-

{0( R ) , ..., N( R ) }
(Y )

( ), , vk

. .-
( , [4], [5] ).

[4]- ln f ( ) = 2 ln ( e i )
.
.: [1] S z e g o G., Math. Ann., 1915, Bd 76, S. 490503;
[2] K o l m o g o r o v A. N., C. r. Acad. sci., 1939, t. 208, p. 2043
45; [3] . ., , ., 1986, . 21563; [4] B o g e r t B., H e a l y M., T u k e y J., Proc. Simp. Time Ser. Analysis, N. Y., 1963,
p. 20943; [5] ., ., , . ., ., 1979.

; Kepteyn distributions
, . ( 1916 ) .
. .
, G ( )
. .,
,
G ( ) = ln .

(2)

.: [1] ., ., , . ., ., 1951.

(t )

; Kesten condition / criterion of amenability ,

( z) =

zk

k =0

. (2)- (1)- .- ln ( z )

k =0

420

, ln ( z ) -
.
20- 60- , . ,
,

. .-
:

2 ( 2n + 5 ) 9 n ( n 1)

, ,
. ,
u / 2 100 2 .

{a k }, k

. (3)
. (3) { k }

zk

(3)

( )
; qualitative stability o f
s t o c h a s t i c m o d e l s .

 . X = { x } Y = { y }
: ,
.
J : X Y A X , L Y
, J
. L

L L X - 1

= A I ( J L )

;
truncated distribution ,
.
, F (x )
. F -

0,

F ( x) F (a )
Fa , b ( x ) =
,
F (b) F ( a)
1,

x L ( x A, J x L )

(1)

.
X Y - ( x, x ) ( y , y ) , (1) :

( x, L ) = 0 ( x, A ) + v ( I x , L ) = 0,

a,

a < x b,

x > b, a < b

(1)

.
a = (b = ) . . ( )
.
(1)- . .-
:

( x , L ) = inf ( ( x , x ) : x L ) .
D = (J A ) I L
, J
, L -
.
( X , Y ; J , A , L ) L -

( x, L) 0 ( x, A) + v ( J x, L) 0

(2)

. (2)- L .
(2) -, ,
. . .
( , ( ) ; ).
.: [1] . ., . c. 1976, . 101, 3,
. 41654.

Fa , b ( x ) =

0,
F ( x) F (a) ,
F ( x) + 1 F (b),
1,

a,
a < x c,
c < x b,
x > b
x

(2)

0,

Fa ,b ( x) = F ( x) ,
1,

x < a,

x < b,
x b .

(3)

[ a , b] [1]-
[ a , b] , (2)- c [ a , b]
( a < 0 < b c c

= 0 ),

(3)- a b .
(1) . .- .
X F (x) .
. . a < X b X

; qualitative robustness ,

- .
. . .

X h - X - (3)
. .- ( a = h , b = h , c = 0 ).

; quantitative robustness ,
.

( )

; quantitative stability
o f s t o c h a s t i c m o d e l s , ( )

; extreme
function ,
*

- ;
remot equivalence sequences ,
.

. .
.
,
.
.: [1] . ., . ., , 3 ., ., 1987; [2] .,
, . ., 2 ., ., 1975; [3] ., , . ., . 12,
., 1984; [4] ., , . ., .,
1962.

; truncated
sample , I , F
X 1 , ..., X n L . L = ( , a ] ( L = [ a , + ) )

421

, a ( ) .
;
P { X 1 L } 0 , F P { X 1 L } .

,
.
.
{ n } { n } -

.: [1] ., ., , . ., ., 1973.

,
, - ( )

; truncated random variable

c > 0
,
=
<c
0 ,

< c ,

c ,

n ( ) , n n ( )
( - )

(*)

, (*)

<c

<c

( ).

. . . . . . .

<c

{ n } { n } ( )
n

< c ,

x c .

. . .-
.
F -,
. . .- ,

<c

k =1

k = n

( ) k ( )

P { : ( ) ( )}
k

k =n

P { :

( ) n ( )} , { n }

{ n } - , ,

S n
Sn

bn
bn

.
.: [1] ., , ., 1962.

x <c

<c

. 1 , 2 , ...
,

bn -

x 2 dF , ...

. - ,
P { } = P { | | c }

<c

x dF , M

lim

U { :

= lim P

c x 0 ,
0 x c ,

S n =

P { : n ( ) n ( ) } =

F ( x) - :

<c

0,

F ( x) F (c 0) ,
F ( x) =
F ( x) + 1 F (c) ,
<c
1,

Sn =

k =1

F ( x)

x <c

P { : n ( ) n ( ) } = 0.

<c

<c

, -

, -

M =

, { n ( ) }

{ n ( ) } - , -

1 , 2 , ...

P ( U { k k })
<ck

; , .,

P { | k | ck } < 2 k ck

; continuous flow ( X , A , )
{T t , t R }

f L ( X , A , ) R L ( X , A , ) ,
t R , g ( x ) = f ( T t x ), x X

; continuous function ,
.

P ( U { k k } )
<ck

P{ |

| ck } <

; continuous distribution -

.
, , .
, ,

( , ).
, , . .- ,
. . . (
. .- ),
.
. ., , .

422

; continuous semi-group , .

( ) / ( ) ( , )

; crossing o f r a n d o m
e v e n t s

. . .-
. ( A. Lorent ) . ( A. Basu )
( , [1], [3] ). ,

A B
, A I B inf ( A , B )
.
Ai ,

iJ ,

i - ,

Ai I Ai ,
i J

, Ai
.
, A
( A ) , :

AI = ,

AI =A,

A I B A,

A I B B.

C A I B , C A , C B
, A I B A B
.

: A I B = B I A ;
:

A I ( B IC ) = ( AI B ) IC ;

A I ( B UC ) = ( AI B ) U ( AIC ) ;

AI A = A

.
.: [1] . ., . ., .
., . ., 1979;
[2] ., , .,
1969.

, ,
; outliers
. ,
, , ,
, . .

.
, ,
, . .
.
( ) ( ) ,
( ) . . .
,
.
. . .- , , . , . . .-
, ,
. .
( E. Pearson ), . . , . ( F. Grubbs ),
. ( F. Anscombe ) ( , [1], [2] ).

x=

1
n

xi

1
n 1

s2 =

i =1

(x

x )2

i =1

, x1 , ..., xn
. . . .- . . .-
. . . .,
, ,
( , [4] ). . . . .

x s 2 ,
. . .- ( , [3] ). max xi x s

max xi med{ xi }
med xi med{ xi }
, med { xi }, x1 , ... , xn .
.: [1] ., , . ., .,
1979; [2] . ., . ., , 3 ., ., 1983; [3] . ., . ., , ., 1980;
[4] ., , . ., ., 1984.

; truncation
method .

. X
c > 0

X , X c ,
X =
0 , X > c



,
.
.

; fractional white noise ,

, ,

2

D ( ) = M ( t + ) ( t ) = C
,

0< m 2

m < 2 , D ( ) - -

f ( ) = C1 1 m , C1 = ( 2 ) 1 (1 + m ) sin

m
2

( t ) .
. . .- ( )

423

 ;
, , ( t ) -

h>0

t ht ,

h m / 2 . ,
n > 3 f ( ) = C1 n

f ( ) = C1 n , n < 1

. . . .
.: [1] . ., . . . .,
1955, . 19, . 31944; [2] M a n d e l b r o t B. B., V a n N e s s J.
W., SIAM Rev., 1968, v. 10, 4, . 42237.

; fractional Brownian motion

. . . . (t ) -

(t ) - [3]-
.
.: [1] . ., . .,
, . ., ., 1960; [2] ., , . .,
. 1, ., 1961; [3] R i c e S. O., Bell System Techn. J., 1944, v. 23,
3, p. 282332; [4] C a m p b e l l N., Proc. Cambridge Phil.
Soc., 1909, v. 15, p. 11736; 31028; [5] . ., , . ., ., 1956.

; Ky Fan
metric
.
( U , d )

K ( , ) = inf { : P ( d ( , ) > ) < }

, .

; fractional factorial experiment
, s1 , s 2 , ..., s m - , si , i - , m .
.: [1] ,
., 1983.

; fractional factorial design , , .

; shot noise process

(t ) =

( t tn )

(1)

n =

, ( t )
,

tn ,

n = 0 , 1, ... ( , ). . . .

,
( , ., [1] [3] ). {t n } , ( t ) -

( t ) dt

(3)

, t n
. .
[4]-
( , [3]; [5] ). (2) (3)


,

424

; small
deviations f o r r a n d o m p r o c e s s e s a n d w a l k s
Y , ( X , B ) , G B 0
P {Y G } 0 {Y G } . . .

( , [1] ).
G

G = G ( g , g + ) = { f = f ( t ) : g ( t ) < f ( t ) < g + ( t ) },
g (0) < 0 < g + (0) , g (t ) < g + (t ) , 0 t 1
, . .
. Y = w = w (t )

(2)

D (t ) = M [ ( t ) M ( t )] 2 = 2 ( t ) dt

; small canonical ensemble ,

[ 0 , 1] g (t ) -

M (t ) =

.
. . . ( , ).

2
P {w G ( g , g + )} ~ c exp 2
8
, c

( g + (t ) g (t )) 2 dt

0
1

= c (g , g + )

( , [2], [4] ).

Y = s n = s n (t ) , (k n , S k n ), k = 0 , 1, ..., n
; S 0
... + X k

X k

= 0, S k = X 1 +

M X1 = 0 ,

2 = D X1,

0 < 2 < . g (t ) a const , P {s n ( G )}

= n 0 ,

( , [1] ):

P { a n < S k < a + n , k = 1, ..., n } ~ c n ( n (a + a ) 2)

(a) , Ta ( x)

= M { ( X 1 a + x ) , X 1 a + x < 1 }

a ln ( a) ~ 2 2 8a 2 . g (t )
, . . ( )
0 , n
, n

ln P { sn G ( g , g )} ~ ln P {w G ( g , g )}
( , [3], [5] ).

( , [4], [6] ) ( , [7] ) . .
.
.: [1] . ., . - .
, 1985, . 5, . 4556; [2] . ., .
. ., 1982, . 23, 3, . 16174; [3] . .,
. ., 1974, . 19, . 4, . 75565;
[4] . ., . , 1981, . 29, 2, . 291
301; [5] . ., . . . ., 1980,
. 44, 4, . 86885; [6] . ., .: , ., 1979, . 9598; [7] . .,
.: . , ., 1974, . 2, . 93104.

; Kiefer Weiss problem , , .

;
Kiefer Wolfowitz procedure o f s t o c h a s t i c
a p p r o x i m a t i o n
. .
. ,
( , [1] ). R (x) , x R , x = x0 ,
. , G ( n , x)

X (n) x0
( , [4] [6] ).

.: [1] K i e f e r J., W o l f o w i t z J., Ann. Math. Statist.,

1952, v. 23, 3, p. 46266; [2] ., , . ., ., 1972; [3] B l u m J., Ann. Math.
Statist., 1954, v. 25, 4, p. 73744; [4] D e r m a n C., Ann. Math.
Statist., 1956, v. 27, 2, p. 53236; [5] D u p a c V., Casopic
pestov. mat., 1957, v. 82, p. 4775; [6] S a c k s J., Ann. Math.
Statist., 1958, v. 29, 2, p. 373405.

;
chemical potential , ( ) .

; kinetic
transfer equation f o r o n e - p a r t i c l e d i s t r i b u t i o n f u n c t i o n
. , ,
, , , .
. . .-.

R , . . .-
, A f = g , A

( f ) f + A f = g ]

f
n

[( x i ) a i ( x ) f ]

i =1

[(

x i x j ) b ij ( x ) f ] +

i , j =1

+ ( x) f

f ( x ) K ( x, x ) dx = ( Af ) ( x )

(*)

. A = D + K D 1- 2- ,
( )
, (x) -
( ,
) , K
K ( x, x ) (

) . A ( ,
) ,

Y ( n , x ) = R ( x ) + G ( n , x ) , x R, n = 1, 2 , ...

R n - X (t ) - (

x0 .

) .
D Y (t )

( . . . ):

X (1) = x , X ( n + 1) X ( n ) =

a(n)
=
[ Y ( n + 1, X (n) + c ( n )) Y ( n + 1, X (n) c (n))] , (*)
c(n)
x , a (n) c(n)
. , R (x )
G ( n , x ) (*) . . . n
x0 - . ., X n - x0 - 1
( , [3] ).

X (t )

Y (t ) ,

t n1 < t < t n t1 , ..., t n , ...

. (
) X (t n 0) X (t n + 0) K
( )
,
n = t n t n 1 Y (t ) ( , ) -

425

 Y (t n 1 )

= X (t n 1 + 0 )

t
P { n > t } = exp ( Y ( t n 1 + s ) ) d s
0

= D + K

A =

( , [4] ). . . .-

. (*) . . . ( ) . , (*) . . .-
, ., .
.: [1] . ., . ., , ., 1977; [2] . .,
, ., 1971; [3]
, ., 1976; [4] . ., . ., .: , ., 1967, . 552; [5] , .
., . 2, ., 1979; [6] , . ., . 4, .,
1984; [7] , . ., . 4, ., 1984.

; Clark formula w = ( w t ) t [0 , 1] f ( w ) . f
C[ 0 , 1]
,
( d t , x ) f ( x ) ( x
) , [ 0 , 1] - ,

E [ ( [ t , 1], w ) | F

] d wt .

= E +

= ( t )

. . - .
.
.: [1] ., ., , .
., ., 1977; [2] , . ., ., 1980.

; method of cluster expansion

. { t , t R

t Z } , d R
d

f A , A R d ( A Z d )

b (f
R

A)

(1)

, R , bR ( f A )
f A - -

t2 dt

<

, .
.: [1] C l a r k J. . C., Ann. Math. Statist., 1970, v. 41, 4,
p. 128295.

; classifier
, . . ,
.

; cluster ,

426

, n 2

f A =

. . ,
= g ( w ) , -

, .

( )
. ,
( n 1) - , ,

d wt

; cluster
model , .
;
cluster proedure -

( A
,
). f A - -

, . ,
.
.: [1] ., ., , .
., ., 1977; [2] , . ., ., 1980.

( ) . , , :
. . . .
n I m < n, m

( d Z

f (w ) = E f (w ) +

; cluster
analysis

. ( .,
; , [1] ). (1)-
( ., ,
,

).

, , . . . ., ., 1999, . 232 .
.: [1] . ., . ., , ., 1985; [2] ., ., , . ., ., 1984;
[3] ., . ,
. ., ., 1971; [4] ., . ., , . ., . 12, ., 1984.

; rough errors model , .

 ; code

A . A
Y
.- .- .
: 1) .-
; 2) ; 3) .- . A = { 0 , 1}
, .

. ; - p1 , ..., p m x1 , ..., xm
. xi li yi

= ( yi(1) , ..., yi(li ) )

( xi ). ( -
)
,

) l

li

1 ( -

p log
i

pl

i i

pi - .

l - H - , , , .-
.
.-
. ., ( -
) , y e = ~
yy0
, ~
y

. C E
, , c + e = c + e
c = c ( c, c C , e, e E ).
.-
, ,
E - .- . .,

Et - ,

t - . C Et
Et -
2t + 1 -
. t

. t n

, n .-

R2
R 1 h2 ( )

hq ( x ) = x log 2 ( q 1) ( x log 2 x + (1 x ) log 2 (1 x ) ).

(
),

( ,
).

( ) ( ,
( ) ).
,

. q 49 q - .-
( A

= { 0 , 1 , ..., q 1 } ) -

, ,

R( q ) 1 hq ( 2 ) .-
.
.: [1] . ., . .,
, ., 1982; [2] .,
, . ., ., 1974; [3] ., ., , . , ., 1985; [4] . ., . . ., , , . ., ., 1979; [5] . ., .
, 1981, . 259, 6, . 128990; [6] . .,
. ., . .,
, 1984, . 20, 1, . 4755.

; t r e e
code , .
( ) ; b l o c k code
, .

, .

; l i n e a r

code

( ) ; c a s c a d e
code , .
; c o n v o l u t i o n a l code , .
; v a r i a b l e l e n g t h code , .

, .

; g r o u p

code

rent

; r e c u r , .

code

code

rate

; t r e l l i s
code , .

l i n e a r code ,
; t r e l l i s
.

, .

, .

; c y c l i c

; ;
, .

code

code length

code

memory

;
code sequence , .

427

 ; code distance . -
y ~
y d ( y, ~y )
. .- ,
( ).
. .,
y = ( y1 , ..., y n ) ~
y = (~
y1 , ..., ~
y n ) -

d H ( y, ~
y )

y | y)
p ( ~

~
~
p(~
y | y ) = p d H ( y , y ) ( 1 p ) nd H ( y , y )

; , ., p < 1 2 , - .
, , , ,
. . . .
. .-

.
-
. .- ( ,

).
.: [1] , . 1, ., 1974; [2] . .,
, 1983, . 40, . 43110; [3] ., .,
, . ., ., 1985.

; code word

, -

; coder , .
; eribbing encoding ,

( )

; u n i v e r s a l encoding ,
.

( ) ; eribbing encoding
.
, .

; coding theorems , .
( )

; source encoding
w i t h s i d e i n f o r m a t i o n .
( , )
. U = ( X 1 , X 2 )

= 2 ) . A1 = {1} A2 = { 2}
= 2 ) B1 = { 1} , C1 = { 1, 2}
( J = 1) .
( M

( K

X 1

. X 2 (
). U p ( x1 , x2 ) ,
,
R = { ( R1 , R2 ) }
. P , ( X 1 , X 2 , V ) p ( x1 , x2 ) ( X 1 , X 2 ) -
, X 1 X 2 V - ( X 1 , V2 X 2
)
V - a + 2 - , a

U X 2 . H

( ) ; encoding X

Y .
X
, Y
. .
.- : , ,
.
.: [1] . ., . .,
, ., 1982.

, I ( , ) ( X 1 , X 2 , V ) P

( ) ( ) ( ); s t o c h a s t i c s o u r c e encoding , ( ) -

, co .
. ., .-
, .
.: [1] . ., . ., .:
. . . . , . 15, ., 1978, . 12362; [2] . ., . ., , .,
1982; [3] A h l s w e d e R., K o r n e r J., IEEE Trans. Inf. Theory,
1975, v. IT 21, 6, p. 62937; [4] W y n e r A., IEEE Trans. Inf.
Theory, 3, p. 294300.

( )

; c o m b i n a t o r i a l encoding
, ( ) .

( );

;
; c o m p l e x i t y o f coding ,
( ) .

( )

; r a n d o m

encoding

428 ( )

, .

R ( X 1 , X 2 , V ) = { ( R1 , R2 ) : R1 H ( x1 / V ), R2

I ( X 2; V ) }
.

R = co (U ( X 1 , X 2 , V ) P R ( X 1 , X 2 , V ) }

( )
; s o u r c e
encoding ( ) -

. :

( )
. .
( ) ; C

, .
. : C
H - ( inf C

K YX ( )

KYX ( ) = K YX ( ) e iFYX ( ) , < <

;

Im f YX ( )

FYX ( ) = arctg

Re f YX ( )

= H ) ;

. . C

H -

FYX ( ) 0 FYX ( )

. . .
.: [1] ., ,
. ., ., 1974.

; coherencity
X (t ) Y ( t ), < t <
, ( ,
) .

Z (t ) = Y (t )

u =

a (u ) <

1 / 2

(1)

; fYX ( ) , fXX ( ) , fYY ( )

KYX ( )

a (u ) d u <

= fYX ( )

fXX ( ) fYY ( )

(2)

.
Y (t ) ( -

( ) Y (t ) X (t )
. Z (t )

) r X (t ) ,

< t <

( . )

f YX ( )
f ZZ ( ) = f YY ( ) 1
f XX ( ) f YY ( )

, < <

, f XX ( ) , f YY ( ) f YX ( )
, X (t ) Y (t )
.

KYX ( ) =

f YX ( )

[ f XX ( ) fYY ( ) ]1/ 2

< <

Z (t ) - , X (t ) Y (t )
. K YX ( )

, Y (t ) Z (t )
-

<1

KYX ( )

1
( ) f XY ( ) f YY1 ( ) ,
= f YX ( ) f XX

(3)

, f YX ( ) , f XY ( ) , X (t )
Y (t ) ,

f XX ( ) , X (t )
, f YY ( )

;
.
K YX ( ) 1 K YX ( ) 1 ,

0 < K YX ( )

< t <

a ( t u ) X ( u ) du

K YX ( ) = fYX ( ) fXX ( ) fYY ( )

X (t ) Y (t ) , t = 0 , 1 , ..., N 1 .

X (t ) Y (t ) , t = 0 , 1, ..., N 1 .

0 K YX ( )

( )

u =

Z (t ) = Y ( t )

FYX ( ) = / 2 .

.

X (t ) Y (t )

a ( t u ) X ( u ) , t = 0, 1, ... ,

. X (t ) Y (t )

> 0 Y (t ) .

. .
(3)
, (2) .
Y (t ) -

r X (t )

s Y (t ) , t = 0 , 1, ...
,

Z (t ) = Y (t )

a ( u ) X ( t u ) , t = 0 , 1, ... ,

u =

429

MY (t ) = 0 ,

; Cox process

a (u ) < .

u =

C XX ( u ) CYY (u )
,

f XX ( ) ,

K YaYb X ( ) = f YaYb X ( ) [ f YaYa X ( ) f YbYb X ( ) ] 1 2

,

f Yi Y j X ( ) = f Zi Z j X ( ) ,

i, j = a, b , Ya (t ) Yb (t ) , s
Y (t )

K Ya Yb X ( ) ,

f Ya Yb X ( ) ,

f Ya Ya X ( ) , f Yb Yb X ( ) , Ya (t )
Yb (t ) X (t ) . . (1)
, Z (t ) Y (t )
.
.: [1] .,
, ., ., ., 1976; [2] ., . , . ., ., 1980;
[3] ., .,
, . ., . 2, ., 1972; [4] ., ., , . ., .,
1982; [5] ., , .
., ., 1974.

; coherence coefficient , .
;
coherence spectrum , .
; Cochran
theorem , .

; Cox point process

. P ( )

( M , M ) -
; ( )
, G ( ) ( A , A )

.

Q ( ) =

P ( ) G ( d )

. . .- ;
,
.
Q

( 0, 1)

, Q . . .- .
.: [1] ., ., ., , . ., ., 1982; [2] G r a n d e l l J., Duobly stochastic Poisson processes, B. [a. o.], 1976.

430

, .

; Kolmogorovs axiomatics o f
t h e p r o b a b i l i t y ,
, .
.
( D. Hilbert ) 8 1900- II 6-
( , [1] )
:
.

.
:
. ( 1908, [2] ), . . ( 1917, [3] ), .
( 1919, [4]; 1928, [5] ), . ( 1923, [6] ) . ( E. Borel )
. 1929- ( , [7] )
1933- ( , [8] ) . . ,
, ,
( , ,
) ;
, , ,
, , .
( , A , P )
. :
1) = { }
( ) ;

2) A

- -

( A ) , , ,
( A - );

3) P
: A A P = P ( A ) [ { Ai } ,
Ai A ,

P
Ai =
P ( Ai ) , 0 P ( A ) 1 , P ( ) = 1 ]; P ( A )

i =1
i =1

A . [
( , A , P ) , : A , P

A A , P = P ( A ) ].

.

, , , ,
. 20- 60-
. .

( , [8] [10] ).

.: [1] , ., 1969; [2] B o h l m a n n G.,

Atti IV Congr. Intern . Math. ( Roma, 6-11 Apr., 1908 ), 1909, v. 3,
p. 24478; [3] . ., ., . . , 1917, . 15, . 20974; [4] M i s e s R., Math . Z., 1919,
Bd 5, S. 5299; [5] M i s e s R., Wahrscheinlichkeit Statistik und Wahrheit, W., 1928; [6] L o m n i c k i A., Fundam. math., 1923, t. 4,
p. 3471; [7] . ., .:
, ., 1986, . 4857; [8] . ., , 2 ., .,
1974; [9] . ., , ., 1974; [10] . ., .
., . ., 1987, . 32, . 3, . 42555.

; Kolmogorov inequality
1 , ..., n , ... , > 0

P max
1 m n

( k M k ) 2

k =1
m

D k .

k =1

. .: 1 , ... , n , ... c
, k

= 1, 2 , ...

k c ,

> 0

P max
1 m n

( + 2c ) 2

( k M k ) 1 n
.

k =1
D k
m

k =1

1928- . .
.
. . . .- , ,
.

.
1) . . - . . .-
. .
r < n 0 < cn cn 1 ... c1

P max cm
r m n
1
2 cr

( k M k )

k=1
m

k =1

D k +
ck D k .

k = r +1

. .- [3]-
( , [2] ).
. .-

P max
1 m n

k =1

P
1

, ,

M k ) + c

(
k =1

M k )

k =r

M k ) > c < 1,

r = 1, ..., n

.
2) . .
. .- ( . .- )
.
(
, , [6] ).
.

X 1 , ..., X n , ... B 2

, M X k

< ,

k = 1, 2 , ... . > 0

P max
1 m n

k =1

( X k MX k ) 2 M

k =1

. . ( , [8] [7] ).
B C - 2 ,

P max
1 m n

(X

k =1

M X k ) 2

M X k

<

(1)

k =1

.
: C
2

Xk

>0

X 1 , ..., X n , ...

(1) , B 2 .
2. , 2 ( )

.
X 1 , ..., X n , ... B
, c > 0

X k c, k = 1, 2 , ... .

>0

. . ( , [9], [7] ):

P max
1 m n

(X

MX k )

k =1

( + c) 2 + 2
1

2
2
n
M
Xk

k =1

, B K -
2 ,

431

P max
1 m n

( X k MX k )

. n , Fn ( )

1
( + c) 2 + 2
1 K n

2
2
M Xk

k =1

, G ( ) . . .

k =1

G F .

Dn = sup Fn ( x ) F ( x )
(2)

, B
K > 0 , B -

X 1 , ..., X n , ...

k = 1, 2 , ...

, c

=1

X k 1,

(2)

, B 2 . , 2
( ) .
.: [1] . ., , ., 1986, . 2034; [2] . ., , ., 1972; [3] H a j e k J.,
R e n y i A., Acta Math. Acad. Sci. Hung., 1955, t. 6, 34,
p. 28183; [4] . ., . .,
, . 1, ., 1971; [5] . ., . ., , ., 1974; [6] . - ., , . ., .,
1973; [7] . ., . ., , ., 1985;
[8] J a i n N. C., .: Probability in Banach spaces. Proceedings
1975, B. [a. o.], 1976, p. 11330; [9] A c o s t a A. d e, S a m u r J.,
Studia Math., 1979, v. 66, p. 14360.

; Kolmogorovs formula
, G
G0 . f F , F G0 , , , f :

f (t ) = exp it +

(e

itx

1 itx )

d K ( x)

x2

R1 , K ( x ) = U ( x ) , 0 U

R1 -
. 1932- ( , [1] )
. . . [2]- G

.
F G0 ,

x dF ( x ) = , x dF ( x )
2

.
.: [1] . ., , ., 1986, . 11723; [2] F i n e t t i B. d e,
Rend. Reali Accad. naz. Lincei, ser. 6, 1929, v. 10, p. 16368.

; Kolmogorov test [ ., F ( ) ]

432

( . . )
.
Dn
( , Dn G

).
n Dn . ,
,

n Dn

.
1933- . . , z > 0

lim P ( n Dn < z ) =

k =

(1) k e 2 k

2 2

( , [1] ).
G F

, n Dn

Dn sup G ( x ) F ( x ) > 0
x

, ,

n Dn .

: Dn , G

.
Dn (

n Dn )

, - ,
( , ., [2] ).
n -

Dn

( , [3] )
.
.: [1] . ., , ., 1986, . 13441; [2] . .,
. ., , 3 .,
., 1983; [3] P e a r s o n E. S., H a r t l e y H. O. ( eds. ) Biometrika
tables for statisticians, v. 2, Camb., 1972.

; Kolmogorov metric , .
;
Kolmogorov model
( , )
. . . 193233-
.

; Kolmogorovs similarity hypothesis , .

; Kolmogorov means
x1 , x2 ,..., xn

 ( x1 ) + ( x2 ) + ... + ( xn )
M ( x1 , x2 , ..., xn ) =

,
, , - . ( x ) = x
, ( x ) = log x , ( x) = x
, ( x ) = x

, ( x )

= x ,

0 . . .
1930- ( , [1] ),
M ( x1 , x2 , ..., xn )
i = 1, 2 , ..., n

xi ,

, ,

,
,
,
, (*) .
.: [1] . ., , .,
1985, . 13638.

; Kolmogorov distribution
n =

n max

< x <

M (t ) ( s )

(*)

Fn ( x ) F ( x )

( p

> 0, q > 1, k > 0

k ts

(*)

; (t ) - -

( t ) , (

P { ( t ) = ( t ) } = 1 ).
, ,
, (*)
. . .-
, ,
.
(*) ,

. ( , [6] [8] )
. , ., (t ) ,
,

n
,

( 0 ) = 0 , ( h1 + h2 ) ( h1 ) + ( h2 ),

p ,k

= ( t ) : sup M1 p kh ( t )

, 0 < h

= O ( ( )), & 0

< , t , t + k [ 0 , 1] -

h ( t ) = ( t + h ) ( t ), kh = h ( kh 1 ( t ) )
[ 0, 1] (t ) ;
( t ) p ,k 1

Fn ( x )

F ( x )
. . . F - .

; Kolmogorov statistic ,
, .

;
Kolmogorov condition , . ,

.

; Kolmogorov theorem o n c o n t i n u i t y
o f s a m p l e f u n c t i o n s . . 1934-
[1]- : (t )

[ 0 , 1] ,

(h)
dh <
h1+1 / p

.
( h ) = h (1 + ) p , > 0 , k

= 1 -

. .- ( , ( ) ).
.: [1] S l u t s k y E., Giorn. Inst. italiano degli Attuari, 1937,
8, p. 19396; [2] ., ., .
, . ., ., 1969; [3] D u d l e y R., Ann. Probab., 1973, v. 1, 1, p. 66103; [4] F e r n i q u e X., Rgularit des
trajectories des functions alatoires gaussiennes, .: Lecture Notes in
Mathematics, v. 480, B. Hdlb. N.Y., 1975; [5] P i s i e r G., Sem.
danal. Fonct., 19791980, Exp. XIIIXIV, [P., 1980]; [6] . ., . ., 1973, . 18, .3, . 468
80; [7] I b r a g i m o v I., C. r. Acad. sci., 1979, t. 289A, p. 54547;
[8] . ., . ., 1983,
. 28, . 2, . 22949.

433

; Kolmogorov theorem o n f i n i t e d i m e n s i o n a l d i s t r i b u t i o n s / Kolmogorov extension theorem

n I [ | n | c ]

I [ n c ] M n I [ n

2
c

. T t T R t

R . - ti , 1 i n

A .
1928- . . ( , [1] ). -

= { t1 , ... , t n } T

= R t1 ... R tn

-
:

= { u1 , ... , u k } T , = {1 , ... , m } T

R B
:

({ ( xu1 , ... , xuk ) : ( xu1 , ..., xuk ) B }) =

= ({ ( x1 , ... , x m ) : ( x1 , ..., x k ) B }).

T

R
,

({ x R T : ( xt1 , ... , xtn ) A}) = ( A )

, T - -

= {t1 , ... , t n } A R
.
.
. . .
.

. .- ,
.
. .- T ,
T

R .
.: [1] . ., , 2 ., ., 1974; [2] ., , . ., ., 1969.

; Kolmogorov theorem o f c o n s i s t e n t d i s t r i b u t i o n s ,
.

; Kolmogorov three-series theorem : 1 , 2 , ...

> 0

P{
n

434

> c},

> 0 , I A ,

. . .
(
). 2
. .- ( , [3] ).
.: [1] . ., , ., 1986, . 2034; [2] . ., , ., 1972; [3] A c o s t a A. de,
S a m u r J., Studia Math., 1979, v. 66, p. 14360; [4] .
., , ., 1980.

; Kolmogorov equations

.
1931- . . ( , [1] ) . ( , 2 ). . .

. . .
.
. .-
. 1- , 2-
, ( , , 13 )
.
( , ).
. .-
. ( E , B )

= ( t , Ast , Ps,x )

Ps,x
.

A1

M s,x -

u ( s , x ) = M s,x , s t , x E

(1)

( t )

k =1

u
= Ls u ( s , x ) , s < t , x E
s

(2)

; Ls , x -

,
s
), , Ls s - . { Ls }
. ,
= 1 ( t ), B ,

u ( s, x ) = Ps , x { t } = p ( s, x; t , )

(3)

(2) p . . .

s = t , (1)- (2) (3)

u ( t , x ) = 1 ( x) , p
s x - ( s ). X
u(s, x) =

(4)

p( s, x; t , ), s < t , x E

E -

). (2) (4) , s t u ( s, x ) y . , (1)
(2) , s < t

, .
.

,

v
= Lt ( t , y ) , t > s, y E
y

(5)

, Lt , Lt ( s
). ,
(2) .
, { t }, t s ( E , B )

t ( ) =

( t , y ) = t ({ y } ) =

(5)

p ( s , x, t ,

y ) s ( d x )

(6)

( E ),

(t , y ) =

t ( d y )
=
(d y)

f ( s, x; t , y ) s (d x)

(7)

t > s ). s x ,

= f ( s , x; t , y )

= p ( s, x ; t , y ) , (7)- ( t , x ) =

(5)

;
(5) ( s, x ) = 1 ( x ),

f ( s , x ; t , ) t s x -

. (5)
s

p xy ( s, t )
p xy ( s, t ) = Ps , x { t = y } ,

s t , x E , y E . -

1
Ps , x { t x }, x E
ts

q ( s, x ) = q xx ( s ) = lim
ts

q xy ( s ) = lim
ts

(8)

1
Ps , x { t = y }, x y E
ts

xy ( s )

(9)

= 0 . . .-

(2) (5) : t y
{ p xy ( s, t ) }, s

t , x E s x

{ p xy ( s, t ) }, s t , y E

;
.

Q ( s ) = q xy ( s )

. . . P ( t , t )

=1

P ( s, t )
= Q ( s ) P ( s, t ), s t
t

(10)

P ( s, t )
= P ( s, t ) Q ( t ) , t s
t

(11)

( I ).
(8) (9) (10) (11)
, Q

( ,
,
).
2 ( ). t = ( 1 ( t ) , ..., n ( t ))
( ) f ( s , x; t , y ),

( E p ( s , x ; t , ) ,

(6)- ( t , y )

P ( s, t ) =

, P ( s , s ) = I ,

Ps , x { t } s ( d x ), t s, B

. . p (2)
-
(

.
1 ( ). E

p ( s, x ; t , dy )
= f ( s, x; t , y ) , y E
( dy )

) { t } -

x = ( x1 , ..., xn ) R ,
n

y = ( y1 , ..., y n ) R

lim
ts

1
Ps , x
ts

s < t,

R - -

> 0

{ t x

} = 0, x R n

s x - , t
( )

435

1
M s , x [ i ( t ) xi
ts

ai ( s, x ) = lim
t s

] ,

x R n , i = 1, ..., n

(12)

bij ( s, x ) = lim
t s

1
M s , x [ i ( t ) xi ] [ j ( t ) x j ] ,
ts
i, j = 1, ..., n
(13)

c , c ,
[c] =
0 , c > .

(12) (13) f
,
s x - t y -
. .-, f ( t , x; t , y )

= ( x y)

=
s
1
2

i =1

i =1

j =1

x Rn

(14)

, ( x ) , R - t y - s x -
, ( ), f ( t , x; t , y ) = ( y x )

1
2

i =1

j =1

y [ a ( t, y ) f ] +

2 f
yi y j

[b ( t, y ) f ] ,
ij

t s, y R n

(14), (15) . (14)-

y -

f ( s , x; t , y ) d y

. , n

= 1, a1 = 0, b11 = 1

f ( s , x; t , y ) =

1
2 ( t s )

e ( y x )

/ 2(t s )

, (14) (15)- . . ,

f
1 2 f
=
,
s
2 x2

436

Ps , x { t x }

f
1 2 f
=
t
2 y2

, x E , B

,
. p
p ( t , x ; t , )

= 1 ( x ) ( t B

p
= q ( s, x ) p ( s, z; t , ) ( s, x, dz ) p ( s, x; t , ) ,
s
E

s t, x E

p
=
t

(15)

.
f -

p ( s , x; t , ) =

Ps , x { t x , t }

p ( s , x ; s , ) = 1 ( x)

i =1

(8) ,
(9)

t s

f
=
t

. . . .
. . . 1931-
( , [1] ), (14) (15)
, . ( ,
[4], [5] ). (15) . .
:
. . ( , [6] [8] ) ;
. ( , [8] ); .
( , [9] ) . (15) , ,
.
3 ( ). 1-

( s , x , ) = lim

f
ai ( s , x )
+
xi

2 f
, s < t,
xi x j

bij ( s, x )

. .-
. ( , [2] ).
(12) (14) , ai bij

q ( t , z ) p ( s , x; t , d z ) +

q ( t , z ) ( t , z , ) p ( s , x; t , d z ) , t s , B

. ,
, (4) .
(2)- Ls 2 3- .
.: [1] . ., , ., 1986, . 60105; [2] ., . , 1938, . 5, . 5796; [3] . ., . ., , . 2., .,1973; [4] B a c h e l i e r L., Ann. sci. Ecole norm. super., 1900, t. 17, p. 2186;
[5] B a c h e l i e r L., Ann. sci Ecole norm. super., 1910, t. 27,
p. 33960; [6] E i n s t e i n A., Ann. Phys., 1905, Bd 17, S. 54960;
[7] S m o l u c h o w s k i M., Bull. Intern. Acad. Sci. Cracovie (A),
1913, p. 41834; [8] F o k k e r A. D., Ann. Phys., 1914, Bd 43,
S. 81020; [9] P l a n c k M., Sitzungsber. Akad., Wiss., 1917,
S. 32441.

; Kolmogorov equations f o r s e c o n d m o m e n t s n = 2 3

[ u L ( x + r , t ) u L ( x, t ) ]n

( r - ) :

DLLL ( r ) DLL ( r ) r = 4E r 5 .
E ,
( . . , 1941, , [1] ).
. . [2]- .
.: [1] . ., , .,
1985, . 290293; [2] . ., . , 1959,
. 125, 3, . 51518.

; Kolmogorov f o r w a r d equation , , .

; Kolmogorov b a c k w a r d
equation , ,

; Kolmogorovs two-thirds
law r -

D(r ) =

[ u ( x + r, t )

u ( x, t )]2 = C ( r ) 2 3

(*)

, C , <
. . . . .-
.
.: [1] . ., . , 1941, . 30,
4, . 299303; . 31, 2, . 99101 ( . , ., 1985, . 28187, , ., 1986, . 26467 ).

; Kolmogorov Arak theorem

C . , , [3], [4].
.: [1] . ., . ., 1956, . 1, . 4, . 42636; [2] ., .
., 1981, . 26, . 2, . 22545; [3] ., .
., , . - , 1986, . 174,
. 3212; [4] . ., . .,
1989, . 34, .1, . 17889.

; Kolmogorov Deev condition , , .

; Kolmogorov
Doob inequality , .

; Kolmogorov Doob inequality f o r q u a s i m a r t i n g a l e s
, .

; Kolmogorov Petrovsky problem ,

( ) , . . . . ,
.
. . .. Fn ( x ) G ( x )
n

. H : G ( x ) F ( x ) .

Dn+ = sup [ Fn ( x ) F ( x ) ] ,
x

Dn

F n - G - n
( F , G) (

n = sup{ ( F n , G) : F }
[1]- . .
. ,

n C n 1 / 5 ,
C .
. .,
. . ,

n C n 2 / 3 ( log n ) 4 .
. [2]- , ,
,

C1 n 2 / 3 n C n 2 / 3

, F (x )

).

; Kolmogorov Smirnov test -

= inf [ Fn ( x ) F ( x ) ] ,

Dn = max

( Dn+ ,

Dn ) = sup Fn ( x ) F ( x )
x

. : Dn , Dn

( , , [4] ), Dn ( , [2] ).
( H
), H +

. H Dn , Dn , Dn
(
+

); Dn , Dn -
+

. Dn , Dn ( )
( , ., [1] ).

437

Dn G F
;
G
,

Dn

Dn+

F ( F G ).

. n -
. ., [5]-
. > 0
2

lim P { n D n+ > } w a e b ,

n - ( n 100 ) Dn+ , Dn , Dn , > 0

lim P { n Dn+ > } = e 2 ,

(1)

a , b . , n

k +1 2 k 2 2

). , ,
, n -

k=1

.

, . M., G

exp

.
, ,
,

( , ). F ( x, ) ,

.
. . .- . Fm ( x ) Gn ( x ) , m n
,
, F ( x ) G ( x )

. ,
.
:

D n+ = sup [ Fn ( x ) F ( x, ) ] ,
x

D n = sup Fn ( x ) F ( x, ) .
x

+ D , D
n
n

H : F ( x ) G ( x ) .

Dm,n = sup Fm ( x ) Gn ( x )

( Dm ,n Dm ,n
). Dm,n , H . F G .
Dm,n , F = G , F -
. , .
- ,

- . F ( x , ) ,

. m , n ,

, .
( , .,
) ( ) .

D n+ , D n , D n
.
F ( x, )
-

438

. x , s
, Fn ( x ) - -

{ G ( x ) : Fn ( x ) G ( x ) < Dn, 1 } ,
Dn, 1 , Dn 1

xx

n sup Fn ( x)
> w
s
x

w 2

( 1
) :

. Dn , Dn

100 0,20

( -

lim P { n Dn > } = 2

mn
m+n

D m, n

n Dn -

( ).

n Dn -

.
. . .
.
.: [1] . ., . ., , 3 ., ., 1983; [2] . .,
, ., 1986,
. 13441; [3] . ., , . , ., 1970, . 11727, 13359;
[4] . ., . . . ., 1984, . 48, 6,
. 131443; [5] . ., . ., -

 . ., 1985, . 30, . 3, . 57273; [6] P e a r s o n E. S., H a r t l e y H. O. (eds.), Biometrika tables for statisticians,
v. 2, Camb., 1972.

; Kolmogorov Smirnov statistic ,
.

;
combinatorial analysis , , , , ,


.

. ,
. .- . , ,
, , ,

.
( ), ( )
( ). n

n ; m ,
m n , m . n m

n!
C ( n, m ) = C nm = n = n( n 1)...( n m + 1) / m! =
m
m!( n m )!

, b , k
( ), r ,

(1 + t ) n =

C nm t m ,

Cn0 = 1

. b = , , r

m=0

. ( J. Bernoulli ) Ars conjectandi ( ) ;

,
,
.
, . .

.
. ( L. Euler )
.
.
. .- 20- 50-
, , .
,
.
,
: ,
.

, .
. .-
( , [2], [3], [11] ); ,

.
( b, , r , k , ) -

Cnm

. m
m . n m

A( n, m ) = Anm = n ( n 1) ... (n m + 1)
. m = n ,
.

P ( n ) = Pn = n! , 0! = 1
.
. .-
, ,
.
n
. . .
. ( B. Pascal ) . ( P. Fermat ) . ,
, . .-
.
. ( G. Leibniz ) Ars combinatoria (
)
, ,
. . .-

= k ( b, , r , k , ) -

, ( , k , )

. ( , k , )
. ( , k , )
, , k ,
z

= ( k ) x 2 + (1) ( 1) / 2 y 2

x, y , z .

= n 2 + n + 1 , k = n + 1 , = 1 ( , k , ) n ,


.
( n 1) ,

( n 1) - n

. n

n 1, 2 ( mod 4 ) , n = a 2 + b 2 a
b . n , n

= p

, p ,

.
n = 10 , .
,

n = 4 k + 2 , k = 1, 2 , ...

439

k > 1 .

. .- .

( Hall theorem ) , X
( X 1 , ..., X n )
( ) , ( x1 , ..., xn )
: i j xi X i
xi

xj

, ,

, 1 i1

< i2 < ... < ik n , 1 k n

i1 , ... , ik

X i1 U ... U X ik

Y , Y .
: ( k n )
n , 1 k

n 1.

A = aij ,

i, j = 1, ..., n
n

ij

i =1

ij

1 , ..., s , n

( n 1) + 1 .
2

S ( n, k ) x

k =0

1
k!

( n, k ) =

( 1 ) C
j

j
k (k

j )n

j =0

n m ,
, n ! ( m, n )
.

.

A = aij , i = 1, ..., n , j = 1, ..., m, n m

a1 j1 a2 j2 ... anjn

( j1 ,..., jn )

j =1

S ( n, k)

;
n k
2 - ( n, k ) -

per A =

A = 11 + ... + s s

,

,

.

, -

- .
( ): X n r
r

Cn , k
, m

n0 = n0 ( m, r , k ) , n n0 ,
X - m Y X r

Cm .

n
, ,
.
.

.
. .-
. ,
, , .
:

440

x ( x 1) ... ( x n + 1) =

= t>0

k n

, S ( n, k ) 1 -

, m n .
.

. , ,
n n
.


,

. , ,
. ( ) ( 0, 1)

.

per A =

(1) k m + n C km n S k ,

k =mn

Sk =

1 j1 < ... < jk m

a a
i =1

il

l =1

r =1

ijr

.
. 1980- . .
. . ( , [7] ) ;
, n n

n! / n - . 1926-

. ( B. Van der Waerden )

.
.

f (t ) =

;
A X N ( A )

1
A

N ( A) =

an t n

(a0 , a1 , ...) , .
.
, ,
.
.
( , ., [1] )
.
.


( , [11] ).

X = m , Y = n .

f : X Y Y - . X X

A Y -
~ , A
, x X f ( ( x ))
; f , f1 Y

= f1 ( x )

, f

~ f1

. y Y [ y ] = ( s1 , ..., s k ) -

, si , i

= 1, ..., k

. f

[f] =

. a ( s1 , ..., s k ) , y - ( y Y ) bm ( s1 , ..., s k )
f , f Y

a ( s1 , ..., s k ) y1 1 ... y k

sk

s1

bm ( s1 , ..., s k ) y1 ... y k

, , A ,

C ( j1 , ..., j m ; A ) t1 1 ... t mjm

j1 + 2 j2 + ... + m jm = n

, C ( j1 , ..., j m ; A ) , A

{1 j1 2 j2 ... m jm }

] , 1 + ... + n = m

1 , 2 , ..., n 0 , 1 .

[[ 0 011... m m ]] , 0 + ... + m = n , 1 + 2 2 + ... + m m = m

. : X Y

G H
.
; G H
E
S n .

G = S m , H = E . ,
.

[ ] = [ a1 1 ... an

],

j =1

m ( y1 ,..., y k ) = ( F ( y1 ,..., y k ), F ( y1 ,..., y k ),..., F ( y1 ,..., y k ))

( t1 ,..., t m ; A ) =

[ ] = [ a1 1 ... a n

( t ; x1 , ..., xn ; ) =

,
2

j ,

,
:

sk

( s1 ,..., sk )

H
( , [4], [11] ).
, .,
.
X = {1,..., m } , Y = { a1 ,..., a n } : X Y , a j

i i N 0 = { 0, 1, ...} , = ( 1 , ..., n )

( s1 , ..., sk )

m ( y1 , ..., y k ) =

j1 ( ) , A

. . , X Y - G

( , [10], [11] ).
1. n :

[ f ( x)]

xX

F ( y1 , ..., y k ) =

j1 ( )

m=0

( t xj )

j j

2. n
: G = E , H = E .
, .

[ ] = [ a11 ... a n n ] ,

i i , = ( 1 , ... , n )

441

 ,
:

~
( t ; x1 , ..., xn ; ) =

j =1 j j

t j
x jj .
j!

3. n :
G = S m , H = S n . ,
.

[[ ]] = [[ 0 011... m m ]] ,

j j , = ( 1 , 2 , ...)

( t ; x1 , ..., ) =

(x t
j

j j

j =1 j j

.
4. n :
G = E , H = S n . ,
.

[[ ]] = [ 0 011... m m ]] ,

j j , = ( 1 , 2 ,... )

~
( t ; x1 ,..., ) =

j =1 j j

x jt j

j!

1
j!

.
. .- .
, , ,
.
. ,
.
, , ,
, , ,
( , [9], [10] ).

. n , S n
, .
,
.
, .

442

( , [7] ).
, .
.: [1] ., ,
. ., ., 1963; [2] .- ., , . ., ., 1966; [3] ., , .
., ., 1970; [4] ., , . ..
., 1973; [5] ., ., ,
. ., ., 1977; [6] ., .,
, . ., ., 1976;
[7] ., , . ., ., 1982; [8] . ., ., ,
. ., ., 1990; [9] . ., . .,
.: . . . . , . 11, ., 1974;
. 545; [10] . ., .: . .
, ., 1973, . 14664;
[11] . ., , ., 1977.

; combinatorial numbers
, .
, (
) , , , ,
( ) .
. .- , ( .
) ( . ) .
, N ;
; n

N!
N
C nN = n = N ( N 1) ... ( N n + 1 ) n! =

n! ( N n )!
. -
; n
( )
n
AnN = n! C N = ( N ) n = N ( N 1) ... ( N n + 1)

. n

=N

) ( ) . N

PN = N !
. , N n

C Nn + n 1 n

, n N -
( , [3] ). ,
. ., 1, 2 , ... , N , M ,
N M ,
n m

C n AmM AnNmM
m

AN

C nN

( ) ,
,
m

C nm M m ( N M ) nm
M
M
= C nm 1

n
N
N
N

n m

.
k

. .- 0

= f ( x + 1) f ( x )

f ( x) =

]:

k 0 n =

(1)

2
7
6

.
( , ., [1] ). n > 4 n .
. .- . ( L. Euler ) . 36 ;
6 6 ( ) 6
6 36
, ( )
, , .
n n , 1, 2, ..., n

, 1- 2-
S ( n, k ) ( n, k )

S ( n, k )
k =0

, : n .
. .-
, .


. . .-
( ., ) .
.: [1] . ., , ., 1977; [2] C . .,
, ., 1978; [3] . ., . ., . ., , ., 1979; [4] .
, ., 1982.

; combinatorial integral geometry , .

; combinatorial coding , ( )( )

9
5
1

,
. -

n
C kj (k j ) ,

j =0

Bn =

4
3
8

n m
C mM C N M

; combinatorial configuration

n
, .
36 6
. .
n = 4 k + 2 , k = 1, 2 , ... . 1900- .
( G. Tarry ) n = 6
, 36
. 1959-60- n = 4 k + 2 , k = 2 , 3 , ...

( , [2] ).
.
.
.
, .

? 1-


. ,
, . . , , , ,
,
. 1- .
-
, .

. , ,
, ,
0 2- . 1-
( , [3] ).

, .

; c l a s s i a l combinatorial problems ,
.
. .- ,
.
2

n n n
, , . .,
n = 3

443

1859- . ( W. Hamilton )
, 2-
( )
,
.
.
,
( , [3] ).
.
( ) ; , ,
. :
,

.
1847- . ( R. Kirkman ) 15 .
3 5 .
,
.
. ( J. Steiner, 1853 ) ,
.

,
. 15
. ,

= 3, 7, 9

, ),
;

= 13 -

= 15

. .-, ,
.
2 n n
,
. M n
,

M n = 2 n! U n , U n = { s : ( s, e ) = n, ( s, c ) = n, s S n } ,

e , c = (1, 2 , ..., n).

U n = n!

,
.
. X n
S n -
;

( s, s ) = { x : s ( x ) s( x ), x X } , s, s S n .

Dnr = { s : ( s, s ) = n r , s S n } ,
,

Dn r =

n!
r!

nr

(1) k

k =0

444

1
,
k!

r = 0, ..., n .

2n
C 2knk ( n k )!
2n k

U n ( s1 , s2 ) = { s : ( s, s1 ) = n , ( s, s2 ) = n, s S n } ,
1

, U n ( s1 , s 2 ) s1 s2 -
( , [4] ).
k n
Lk n Ln -

kn

s1 , s 2 , ..., s k ,

i j , ( si , s j ) = n . ,
L1n = n! , L2 n = Dn n! , Dn = Dn 0 ,

> 15
, , . > 3

. ( P. Montmort, 1708 )
. . , Dn 0 -

( 1) k

k =0

80- .

.
. n . - r
Dn , r - , r = 0 , 1, ..., n . r = 0

L3 n = n!

[ n / 2]

C nk Dk Dnk U n2 k ,

k =0

U 0 = D0 = 1 ;

k < n1/ 3 , > 0 n n 0 ,

Lk n = ( n!) k e C k2 (1 + n ) .

n n = 9
( , ).
n . ( G. Leibniz ) . ( J. Bernoulli ) 1669-
.
. . , . ,
, m + n n m -
n , m -
n -
2

m + C n +1 n

.

m n r
C n m ( r ) . C n m ( r ) :

 X 0 X

Cn m ( r ) = Cnr nr 0 m , r = 0, 1, ..., n,

, n ,
( X n , X 0 ) 0 . .

k 0 m =

X 0 - A -

(1) j C kj ( k j ) m

j =0

( , ).
, .
m n
.
.: [1] . ., , ., 1964;
[2] ., , . ., ., 1970; [3] .,
, . ., ., 1968; [4] ., , . ., ., 1963; [5] ., , . ., ., 1973.

; combinatorial mathematics ,
.

; combinatorics , .
,
; probabilistic combinatorial ,
.

; compact

.
K ( X , G ) , Gi
{ G j } G K - , K

UG

. K , n , K

UG

i =1

. , K -
. K -
, K .
( X , G ) , .- ;
.- , , ,
.

. .
.: [1] . .,
, ., 1977.

; compact
measure , .

;
compact law of an iterated logarithm ,

, ; state space
compactification , ;

; compactness

, X - -

X - A -
{ X n } A { X n }

.
, . P1

= { PX : X A } - .

P1 = { PX : X X } -

, .
.

( ) ; compactness o f a
f a m i l y o f m e a s u r e s

. ( X , G ) M
. P M

P
( P ) P P
, P
. P - ( P ) M P
, P

. P P -
.
S , X
, P S

S -
, P - S -
. P -
.
* ( ,
[1] ). , P - P
. P -
. ( , [2] ). P
X
{Gi } G
N

lim sup P {X \
N

PP

UG}

=0

(*)

i =1

.
(*) P -
.
, ( P )
. ( P ) -

. (*)

lim lim sup P X \

N

U G
i

i =1

= 0

445


.

. ( Pn ) , . . .
.: [1] ., ., ,
. ., . 1, ., 1962; [2] . ., .
, 1961, . 16, . 3, . 17580; [3] B o r o v k o v A. A., P e c e r s k i E. A., Z. Wahr. und verw. Geb., 1973, Bd 28, 1, S. 522;
[4] . , . , 1976, . 31, . 2, . 3
68.

; compensator ,
,

.
D A = { At }t 0 , ( , A , P ) - ,

= { t , t 0} , 0 = 0

A0 A -
. {Tn }, Tn
, M Tn

<

. Dloc,0

D -

. Dloc, 0

= { t , t 0}, 0 = 0

Yt d t = M

[ 0 , )

Yt d t

n =

M (

k 1 | Ak -1 )

k =1

.
{ k } , Ak

(*)

= { 1 , ..., k }

= = 1

P
P ( k | Ak -1 ) = = 1 (
k

).

Dloc,0 1 2
~

~1

~2

.- .-

- .

( R + E , B+ BE ) - = ( ; d t , d x )

= ( ; d t , d x )

, P BE

Y = Y ( , t , x) ( P
)

R + -

Y ( s, x ) ( d s, d x )

[ 0, t ]

Y ( s, x ) ( d s, d x ) .

[ 0, t ]

[ 0 , )

Y -

. .

,
. ,
A -
, . - ,

t = M t .
. ,
. .- :
Dloc, 0 ,

~
M sup ( t t ) <

X .- X - .
, , .
.: [1] ., , .
., ., 1975; [2] . ., . .,
. ., . ., 1978, . 107, 3, . 364415;
[3] J a c o d J., Calcul stochastique et problme de martingales, B.
[a. o.], 1979.

( ) ; compensator o f
a p o i n t p r o c e s s ( Tn ) , ,
Nt =

{Tn t }

n 1

= { t }t 0 (

t >0

(*)

, (*)
.
( ,
, ,

446

0 = 0

~
{ < } = { < }

[ n, n + 1) ) = { n , n 1} ,

-
).
.
. .
. t

= t t

. .-

{ t }t > 0
, .- Tn

Fn ( d t ) = Fn ( d t ; T1 , ... , Tn 1 ) , T1 , ... , Tn1 -

, ;

t =

n 1

Fn ( ds )
.
Fn ( [ s, ] )

[0, t Tn + 1 ]

,
, ,
. .

P P

.-

~
~
, P << P ( P P -
) , ,

, P :

t >0

i0u

( ) 1 ( ) 1 ( ) = ( + 0 )
.

a ( u ) <

= 0 , D ( t ) = 2

a (u ) ,

i =

M ( t )

(t ) , t = 0, 1, 2, ... ,

Y ( t , 0 ) = e i0t

a (t u ) (u )e

i0t

= R ( t , 0 ) e i (t , 0 )

= 0,

~
{ t =1, t <1}

a ( u ) e

( ) a (u )

u =

1) << ,

; complex demodulation -

0 -

.-
, - ,
t = M N t .

2)

N. Y. [a. .], 1981; [5] . ., . .,

, ., 1986.

R (t , 0 ) = [ ( Re Y ( t , 0 ) ) 2 + ( Im Y ( t , 0 ) ) 2 ]1 2 ,

3) h < ,

ht =

1
2

1
2

s<t

~
s dC s +

~ 2
1 s ,

~
~
~
C = ( + ) 2 , = d / dC , = d / dC
~
P P :

~
2 ( 1 M exp{ h } ) var ( P P ) 4 M h ,
~
~
var ( P P ) 2 M var ( ) .

N , n N n .-
t R +

n
s

st

st

. N

.
R ( t , 0 ) ( , ), ( t , 0 )
.
.: [1] ., .
, . ., ., 1980; [2] .,
., , . ., ., 1972; [3] ., .,
. , . ., ., 1969.

; complex Gaussian process

tn t ,

Im Y ( t , 0 )
( t , 0 ) = arctg
Re Y ( t , 0 )

[0,t ]

, .

;
component analysis , .
/ ; composition / convolution
F ( x ) F ( x ) ;

F + ( z ) = P { + < z } =

N
.
.
, , , .
.: [1] J a c o d J., Z. Wahr. und verw. Geb.,1975, Bd 31, . 3,
S. 23553; [2] . ., . ., . ., . ., 1983, . 28, . 2,
. 288319; [3] . ., . ., . ., . , 1984, . 278, 2, . 26568;
[4] B r e m a u d P., Point processes and quens martingale dynamics,

F ( z y ) dF ( y ) =

( z y ) dF ( y ) .

(*)

p ( x ) p ( x ) , .
:

447

p + ( z ) =

p ( x ) p ( z x) dx =

p ( x ) p ( z x)dx .

= F F

. (*) F +

. :

.: [1] B e r g s t r o m H., Limit theorems for convolutions, N. Y.

L., 1963; [2] S a z o n o v V. V., Normal approximation-some recent
advances, B., 1981 ( Lecture Notes in Math., v. 879 ).

; semi-group with composition ,
.

F1 F2 = F2 F1 ;

(1 F1 + 2 F2 ) F3 = 1 ( F1 F3 ) + 2 ( F2 F3 ), 1 , 2 R1 ;
( F1 F2 ) F3 = F1 ( F2 F3 ) .
.
( , [2] ).
.: [1]
, ., 1985; [2] .,
, ., 1999.

( ) ; composition o f d i s t r i b u t i o n s , .
;
method of composition / convolutions
( ) .
.
H , F1 , G 1 , ..., Fn , G n , ( , A , P )

; composition of
stochastic kernels , / .
; configuration
, ,
.

; conflict , .
;
confluence analysis X (1) , ... , X ( p ) ( ) ,

~
X i( s ) = X i( s ) + i( s ) ,

i = 1, ..., n

, X

(1)

(1)
, ... , X

( p)

, (s )

, i

, i - X

(s)

~ (s)

X i

, n .

X (1) , ... , X ( p )

H, G1 , ... , G n P -

. A A

( ) . . .-

,


.
. .- ,
(
)
. . .- p -

Fi

i =1

i =1

Gi ( A)

F G * H ( A )
*

i =1

i =1

n
*

Fi

i =1

i 1

i=2

i 1

Fj

j =1

j =1

j =1

*H +

j =1( j i )

n 1

n 1

Fj

G
*

j =1

(1)

, ... , Y

( p m)

p m

*
*
G j * (Fi G i ) *
G j *H +

j = i +1

(F G ) * G

Gi H =

i =1

i =1

m ( m < p )

* (F G ) * H
n
n

X ( s ) = s ,1Y

(1)

+ ... + s , p mY ( p m ) , s = 1, ... , p

, , = sk

(2)

( p m ) - , s = 1, ..., p , k = 1, ..., p m .
. . (1) (2) sk


. (1) (2) ,
, . .
, ; . .- X

(1)

, ... , X

( p)

.
H , G 1 , ..., G n P

. , . .

: . .-

448

(1)

, ... , Y

( p m )

 [ ., (1)
(1)

X
,
].
.: [1] F r i s c h R., Statistical Confluence Analysis by Means of
Complete Reqression Systems, Oslo, 1934; [2] K o o p m a n s T. C.,
Linear Regression Analysis of Economic Time Series, Haarlem,
1937; [3] . ., .,
, . ., ., 1973, . 29; [4] .,
, . 1, . ., .,
1975, . 10.

; concordance coefficient , .

; concentration function ,
F

Q ( l ; F ) = sup { F ( x + l + 0 ) F ( x ) : x R1}

. . . Q ( x; F ) , G ( x + y ) G ( x ) +

+ G ( y ), x, y 0 , x 0 ,
G ( x ) -.
( , [1] ). . . ( , [2] ).
. . . [3]- .
.: [1] ., ., , . ., ., 1980; [2] E s s e e n C.-G., Z. Wahr. und
verw. Geb., 1968, Bd 9, 4, S. 290308; [3] L e v y P., Thorie de
laddition des variables alatoires, P., 1937.

; Markov / conservative
transition function , .
/ ; conservative / infinitesimal
matrix ,

;
conservative band , .

; constructive quantum field theory
,
.
20- 50-

. , . , . .
( , [1] ).
( ,
) . . ( ,
[2] )
( )


. ( , [3] ).

, .,
, , .
20- 60-

. , ( , [4] ).
.
( ) ,
.

: ( -
)
. ,
20- 70-
; ,

. [5]
[6]- :



. ( , [7] ),
4

R -
,


. ( )
, ( + 1)

) ,
2

{ ( x ), x R }
2

, R - -
,

dx
4

.


( ,
[3] ),

i S ( )

d ( x )

xR d

[ S ( )
]; , 20- 50-
. ,
( )

. , ,

( , [2] ).
, .

449


( , [10] ).
.: [1] . ., . ., , 4 ., ., 1984; [2]
, [. .], ., 1954; [3] ., .-., , . ., . 1
2, ., 1984; [4] , ., 1987;
[5] S c h w i n g e r J., Proc. Nat. Acad. Sci. USA, 1958, v. 44,
p. 95665; [6] N a k a n o T., Progress Theor. Phys., 1959, v. 21,
p. 24159; [7] S i m a n z i k K., J. Math. Phys., 1966, v. 7, p. 510
25; [8] N e l s o n E., J. Funct. Analysis, 1973, v. 12, p. 97112, 211
27; [9] ., ., ., .:
, . ., ., 1977, . 169258;
[10] . ., .: . .
. . , . 24, ., 1986, . 11186; [11] .,
P ( ) 2 , . ., ., 1976;
[12] ., .,
, . ., ., 1984.

;
contact process ,

Yn = Yn ( X ( n ) ) =

H 1 : 0 H 0 : = 0
) ( H 0 , H 1 )
{ H 0 , H 1n } , n
X

(n)

( H1n

), H 1n : n

, P n . H 0 H1
X
{ Pn

(n)

( n)

{ P0

(n)

} , n -

, ( , ). ,

n = O ( n 1/ 2 ) . . , H 1n : = n =

= n 1 / 2

ln p ( x, )

(n)
n 1 / 2

( P

=0

) ( , )

= M { ( y ( X 1 ) ) ( y ( X 1 ) ) T }
.

: ( , ) k
Y -

H0 : = 0

. ( n

i =1

P . Yn

; contiguous alternatives

, P .

i =1

p ( x, ) , { P , R k } ,

X ( n ) = { X 1 , X 2 , ..., X n } k -

1/ 2

y( X

,
.
. .- ,
. ,
,
( , [1], [2] ).

1
1/ 2

H 1 : R k \ { 0}

( y ) ,

{ n ( X ( n ) ) ( Yn ( X ( n ) ) ) }

( , [3], [5] ).
[6] [8]-
.
.: [1] L e C a m L., Univ. Calif. Publ. in Statist., 1960, v. 3,
2, p. 7398; [2] L e C a m L., Asymptotic methods in statistical
decision theory, N. Y., 1986; [3] . .,
. ., 1967, . 12, . 1, . 96111; [4] .,
. ,
. ., ., 1975; [5] . .,
, ., 1984; [6] . , . .
, 1983, 11, . 318; [7] . ,
. ., 1985, . 30, . 1, . 7891;
[8] . , . ., 1986,
. 31, . 1, . 6780.

; path integral , , { ( t ), 0 t T }

;

x1 = ( t1 ) , ..., xn = ( t n ) {t1,..., tn }
( , )
q ( x1 , ..., xn ; t1 , ..., t n ) .

{ 0 t1 < ... < t n < T }, n N

... F [ x ( | x , t ; ...; x , t
1

) ] q ( x1 ,..., xn ; t1 ,..., t n ) d x1 ... d xn

, F [ ] -

R \ { 0} . . .

, x ( | x1 , t1 ;...; xn , t n ) ( t1 , x1 ) ,,

{ n ( X ( n ) ) }

( t n , xn ) ( [ 0, T ] -

, X

(n)

450

{t1,..., tn } - ). q -
, . . x ( )
.

q ( x1 , ..., xn ; t1 , ..., t n ) =

p(x

{Ln }

x j 1 ; t j t j 1 )

, L

j =1

t 0 = 0,

x0 = 0,

p ( y; ) = ( 2 )

1 2

exp ( y 2 )

( ) .
t , i t ,
. . .-

.
.: [1] .,
, . ., ., 1961; [2] ., .,
, . ., .,
1968; [3] . ., . . . ,
1975, . 69, . 81022; [4] . ., , , 1976.

; contiguity ,
,

.
( X, An ) , { Pn } { Pn }
. n
{ An An } Pn { An } 0 , , , Pn { An } 0
, {Pn } {Pn }
.

{Pn } {Pn }
1

L
: n

Pn Pn 0 ( Pn Pn

Pn Pn ),

{Pn } {Pn } ; . {Pn } {Pn } Pn Pn

( n -
), {Q n } {Qn }

n
+ Pn Qn 0 .

Pn Q n

.-
. pn pn Pn Pn

( ., Pn Pn ) n
ln p n / p n - ( ) .
{Pn } {Pn } . Pn Pn

Ln = L{ n | Pn }

Ln = L { n | Pn } ( {Ln } {Ln }
L L ). .- -

exp ( ) L ( d ) = 1 .
. .
., H n H n

( Pn Pn )
H n n ( ,
), ( {Pn } {Pn } .
).

{Tn } , {H n } ( Tn , n )

( 1 , 2 , 12 , 22 , 12

= 22 / 2

( . ). {H n }

( 1 + 12 , 2 , 12 , 22 , 12 )

.
. . .
.: [1] L e C a m L., Univ. Calif. Publ. in Statist., 1960, v. 3,
2, p. 7398; [2] L e C a m L., Asymptotic methods in statistical
decision theory, N. Y., 1986; [3] .,
. , . ., .,
1975; [4] ., ., , .
., ., 1971.

; contrast

i =1

l l
i =1

= 0

( , ).

( )
; convolution o f
p r o b a b i l i t y m e a s u r e s ( G , B )
1 2
( g1 , g 2 ) a g1 + g 2 1 2
1 2 , B B
1 2 ( B) = 1 2 { ( g1 , g 2 ) G G : g1 + g 2 B }.
. .
. . .- :

1 2 ( B ) =

( B x ) d ( x ) =
1

( x + B ) d1 ( x )

BB .
1 , 2 1 2

G -

, 1 + 2 1 2 . . ; G
, .

451

= R n , 1 , 2 R n -

, f1

f2

1 2 .

f1 f 2 .-,

f (x ) =

f1 ( x y ) f 2 ( y ) d y ,

x R

(*)- Gs

, yi xi 1 , ..., xi m
.
xi m ,

xi m1 +1 , ..., xi m , m1 - ,

.
.

; convolutional code , ,

, m1
.
m2 , ..., mk0 . ,
m

, M M k0

-
M n0 -

= k 0 n0 .

: G F (q ) - k 0 n0 G0 , G1 , ... , Gm
. x

= ( x0 , x1 , ... )

; xi , k 0 .
y

= ( y0 , y1 , ... ) ; yi ,

n0 .
yi =

x
i=0

i s Gs ,

i = 0, 1, 2, ... .

(*)

,
. . . m
( G0 0, Gm 0 ) ,

n = ( m + 1) n0 -

q - .
, , .
k0

;
k0

( m

). (*) n0
.
.
. .- , .,
( , [1] )
.
.: [1] ., , , . ., ., 1986.

( )
; convolution semigroup o f p r o b a b i l i t y m e a s u r e s o n a g r o u p G
S : = ( t , t D ) ,
t s = t + s , t , s D ; G

. D , R +

, t , s D t < s s t D

. (*) . (*)- i Gs i ( s = 0 , 1, ..., m )

.
(*)- , . .-
.
. .- . ; n0

R + . G

k0

q ;
, ;
.
. .- ,
. .
.

452

= m1 + m2 + ... + mk0 -

. . , ,

, , ( ) , GF (q)
( ).
: k 0 n0 k 0

. R

D , Q+

, t D ,

t 0 t 0

, S . . -

= D U { 0}
, S : = ( t , t D0 ) . 0 G
. D D0

,
H H
- . . .- H
. 0 S ,

t D0 0 t = t 0 = t .
S G . .-,
G t , t R + . . , t D0

t = t . t , t D0 . . t G
.

 { t , t D } . . G
b

C (G ) - S t

St f ( x ) =

f ( x y ) t ( d y ) , f C b (G )

. S t

I - , . . . t ,
, , { S t }

t , t 0 , G , t 0 t e . : 1) D ( G ) D A ;

2) , D (G ) - ;
3) G ,
D (G ) - 1 , 2
G - , ( 1 , 2 , )
f D(G )

A ( f ) = 1 ( f ) + 2 ( f ) +

. { t } {S t } , t D -
.
, ,
; .
.: [1] ., , . ., ., 1981.

, ;
;
; c a n o n i c a l r e p r e s e n t a t i o n o f convolution semigroup of measure

f (e ) = 0

xG ,

f D (G )

t , t 0 ;
5) , G -

= g ( x 1 )

f d

= 2 [ L ( f ) g ( e ) + f ( e ) L( g )]

, -

; I E , E G ,

G U K = { f D (G ) :
I U f I G } sup { L ( f ) : f K } = 0 ,
L .
, : D (G ) D (G ) G
:
) L f D (G )

L ( f ( f )) = 0 ; )

f D (G ) ( f ) = ( f ) ; )

f ( f )( x )

x G D(G ) - .
. G

(G \ U ) <

f D(G ) ,

f ( x) 0 f (e) = 0

= G \ {e}

.
(*) . , G , 1
, D (G ) - 2 G -

f ( x) (d x) <

D (G ) - - L - .

G , . , L (G )

, {Y1 , ... , Yd } . yi

= yi

(Yi y j )(e) = ij , i, j = 1, ..., d , D(G ) - { y1 , ..., y d } G - {Y1 , ..., Yd }

. D (G ) -

1 2 a1 , ..., ad R1

aij

d

ai Yi f ( e ) , 2 ( f ) =
1( f ) =

i =1

ij

( YiY j f ) (e) .

i , j =1

G L (G )
{Y1 , ..., Yd } { y1 , ... , y d }
,

( f ) =

yi ( Yi f ) ( e ) .

i =1

yi U 0 ,

, G

f d t

,
N t , t 0

, L , D (G ) -

L L ( fg ) + L( fg )

1
t

, f , g D (G )

f ( e ) L( g ) , L

t 0

L D (G ) (*)

L L ( fg ) = L ( f ) g ( e )

= lim

f -

L( f ) 0 , L
; g ( x )

(*)

; 4) 2

, R .
G , D(G ) , G - ,
L , D (G ) . f ( x ) 0 ,

[ f ( x ) f ( e) ( f ) ( x ) ] ( d x )

453

( x) =

2
i

( x ), x U 0

i =1

U 0 . U 0 - ,
G - ,
0 < ( x) 1 G

U ( x)

=1

. G - ,

, ,

d <

.
G , G
, ( t , t > 0)
b
S t G G (G ) -

G - t - t ( ) -, G . ,

t G
( ) 0 . G -
t

1 ( ) = ( x0 ) exp 2 ( )

( , [2] ). G

= Rd

[ ( x ) 1 ig ( x, )] ( dx)

R - -

.
.: [1] ., , . ., ., 1981; [2] . .,
. ., . . ., , 1965, . 9, . 2,
. 11546.

( ) / ( )
; conjunction / intersection
o f e v e n t s , ( ) / ( )
.

; Cornish Fisher expansion

; [1]- . .
. F ( x, t ) t , (x) ( 0 , 1)

F ( x, t ) ( x ) ,

t 0

G , x0 G ,

F ( x, t ) x

ln ( x0 ) . G - -

G -

2 (1 2 ) +

2 ( 1 21 )

x = z +

= 2[ 2 ( 1 ) + 2 ( 2 ) ] , 1 , 2 G

G - 2 - .

G L , , G -
G g ( x, ) ,

sup {| g ( x, ) |, x G , C } < ;

, 1 , 2 G

g ( x, 1 , 2 ) = g ( x, 1 ) + g ( x, 2 )

g ( x 1 , ) = g ( x , ) . , C G
G U C ,

x UC , C

= exp { i g ( x, ) } x , G
g ( x, ) C

( x )

. , ,
G

Re ( x ) ( d x ) <

, G - . (*)
1 -

454

Si ( z ) t i + O ( t m )

(1)

F 1 , F - 1
, S i (z ) , z - . z = [ F ( x , t ) ]
. . . x -
,

, - ):

z = x +

m 1

Q ( x )t
i

+ O(t m ) ,

(2)

i =1

xG ,

i =1

x G , G . g ( x, )
C G

m 1

= F 1 [ ( z ), t ]

Qi (x ) , x - . (2)

(x)
. (1) (2)
.
X F ( x, t ) , Z

= Z ( X ) = 1 [ F ( X , t ) ]

( 0 , 1) (2)-

~
Z =X +

m 1

Q ( X )t
i

i =1

t
F ( x, t ) (x) -

. X - ,
, (1)
:
2

x = z + [ 1h1 ( z ) ] + [ 2 h2 ( z ) + 1 h3 ( z ) ] + ... ,

= 3 / 32 / 2 , 2 = 4 / 22 , r

X - r

1
1
H 3 ( z ),
H 2 ( z ) , h2 ( z ) =
24
6
1
h3 ( z ) =
[ 2 H 3 ( z ) + H 1 ( z ) ],
36
d r ( z )
,
dz r
( z ) = ( z )

.
,
[3]-.
.: [1] C o r n i s h E. A., F i s h e r R. A., Rev. Inst. internat.
Statist., 1937, v. 5, p. 30720; [2] . ., ., , . ., ., 1966; [3] . . , . ., 1963, . 8, . 2,
. 12955.

; Korolyuk theorem , .

; adjustment test , .
, ; error correcting code ,
.

; correlogram
{ (t )}, t = 1, 2 , ... ( )
( )
.
, k -
:

, k

= 1, 2 , ...

, { t } n
1 , ..., n ( )

~ - ,

k

Ck
,
C0

~k =
Ck =

1
nk

n k

t t +k

t =1

1
nk

t =1 + k

nk

t =1

F ( ) = + 2

k =1

f ( ) =

k = -

k e

it

1
k sin k ,
k

; correlator / correlograph , ( t )
[ X 1 ( t ) X 2 ( t )
] ( ) ( ) . ,
; .

; orrelation analysis , .

; orrelation dependence ,

, Y
f ( X 1 , ... , X n ) ( , ), f
. , , ,
.

; correlation inequalities

. . .
, . . .
. . . . . .
,
,

H ( x) =

= k ,

J Ax A +

A , A 2

hx

t t

R - m . ,

Zd

J A 0.

xA =

t A

.
Z

, k

d .

( , [2] ).
. .-
.
.: [1] ., , . ., ., 1976; [2] ., , . ., ., 1974; [3] .,
., , . ., ., 1976; [4] ., ., , . ., ., 1972; [5] . .,
.: , . 3, ., 1982.

t .

. { t } F ( )
f ( ) . ,

ik

, .
{~k } . -

( z ) H r ( z ) = (1) r

D t

f ( ) e

.
{ t } , { (t )} -

H r (z ) ,

M ( t M t ) ( t + k M t + k )

{ t } .-

h1 ( z ) =

k =

k =

455

Z -
.
1. ( Fortuin Kasteleyn Ginibre; , [1] ) . = {x : R } .
x , x t ( x ) t ( x ) t
-

- . f , g -
.

(1)

ht ( ) , . J A

. xs , xt -

= 2k + 1
. n = 2 k

.
2. ( Griffiths Kelley Sherman; , [2], [3] ) . ht 0 , t

m x x
. B, C :

x B xC x B

( I ),

x C ( II )

B 2

xB

- .
. . L
m ( , [4] ).

X =

t t

X k -

, t

0,

= 0

. L
.
[ a, a ] , a 0 ,
.

3. ( Griffiths Hurst Sherman; , [5] ) . A > 2 , ht 0 , m L J A

= 0 . r , s , t
u3 ( r , s, t ) = xr xs xt xr

xs

x r xt xt

xr xs + 2 xr

. k

(2)

= 2 (2) . . -

( , [6] ). , [7]- .
5. ( Newman; , [8] ) . A P
M A
M - , M
. 4- A
M

x i

xt

.
. . -
( , [9] ),
( , [10] ),
( ,
[3] ), - ( , [1] ).
.: [1] F o r t u i n C., K a s t e l e y n P., G i n i b r e J., Comm.
Math. Phys., 1971, v. 22, 2, p. 89103; [2] G r i f f i t h s R.,
J. Math. Phys., 1967, v. 8, 3, p. 47889; [3] K e l l y D., S h e r m a n S., J. Math. Phys., 1968, v. 9, 3, p. 46684; [4] S i m o n B., G r i f f i t h s R., Comm. Math. Phys., 1973, v. 33, 2, p.
14564; [5] G r i f f i t h s R., H u r s t C., S h e r m a n S., J. Math.
Phys., 1970, v. 11, 5, p. 79095; [6] L e b o w i t z J., Comm.
Math. Phys., 1974, v. 35, 2, p. 8792; [7] . .,
. , 1987, . 292, 5, . 107477; [8] N e w m a n C.,
Z. Wahr. und verw. Geb., 1975, Bd 33, 2, S. 7593; [9] L e b o w i t z J., M a r t i n - L o f A. , Comm. Math. Phys., 1972, v. 25,
2, p. 27682; [10] N e w m a n C., Comm. Math. Phys., 1983,
v. 91, 1, p. 7580; [11] A i z e n m a n M., Comm. Math. Phys.,
1982, v. 86, 1, p. 148.

; orrelation table , .
; correlation functional ,
.

; orrelation function , , , , , , { ( t ) , t T }

x s xt
xs

u n (t1 , ..., t n ) -

M i P

{ ht , t }

xB 0

A >2,

(1) k 1 u 2 k 0

xA

d
xt = xs xt xs xt 0 ,
dhs
xs

ht 0 , m L J A = 0 . n

, (1) ,

f ( x )

f ( x ) f ( x ) , f ( x )

fg

4.

B ( t , s ) = M [ ( t ) M ( t )] [ ( t ) M ( t )]
B ( t , s ) . . .-

( t ) t T

456

M ( t )

. t

=s

, B ( t , t ) , ( t ) . . .,
,

B ( t , s ) = M [ (t ) M (t )] [ ( s ) M ( s )]
. . (
) .
. . ( t )

T
- .
. . :

1) B ( t , t ) 0 ;
2) B (t , s ) = B( s, t ) ;
3) B (t , s)

B(t , t ) B( s, s ) ;

4) B ( t1 , t3 ) B (t 2 , t3 )

. .
, B ( t , s ) =

= B ( t s ) , t, s R

. .- ,

(t s ) R n
t, s R

B ( t , s ) = B (t s ) ,

. .-

. .- B ( t , s )

= B( t s ) , (t s ) R

t s -
. .

.
(t ) = [ 1 (t ) , ..., r (t ) ] , t T

t T

M i (t )

< ,

i = 1, ..., r ,
. .-

B ( t , s ) = Bij (t , s )

r
i , j =1

B ( t, s ) =

M [ ( t ) M ( t ) ] [ ( s ) M ( s )]
{ M [ ( t ) M ( t ) ]2 M [ ( s ) M ( s )]2 }1/ 2

[ , (t ) ].
. . 2-
( , ).
. .- ( , ( )
).
.: [1] . ., . ., , . 1, ., 1971.

; h a r m o n i z a b l e correlation function , -

B ( t3 , t3 ) [ B ( t1 , t1 ) + B( t 2 , t 2 ) 2 Re B(t1 , t 2 )].

,
. .

; p a r t i a l correlation
function , .
; s i g n correlation
function , .
; crosscorrelation
function , .
;
; ; e s t i m a t i o n o f correlation function t (t ) x (t )

[ - xi (t ),

i = 1, ..., n ] t = 1, 2 , ..., T 0 t T

B ( ) = M [ (t + ) (t )]

Bij ( t , s ) = M [ i ( t ) M i ( t ) ] [ j ( s ) M j ( s )]
i (t ) j (s )

. B (t , s ) , i (t ) .
{ ( t ), t T } . .- (t )

b( ) = M [ (t + ) M (t + )] [ (t ) M (t )]
.
(t ) . .-
: t

(s ) . .- B ( t , s )

BT ( ) =

B (t , s ) = M (t ) ( s ) M ( t ) M ( s )
M ( t ) ( s )
. . .
(t ) ,

t T

M [ (t ) M (t )] > 0
2

, { ( t ), t T }

. . , (t ) ( s )

1
T

T | |

x (t + ) x (t )

t =1

bT ( ) =

1
T

T | |

[ x(t +

) x ] [ x (t ) x ] ,

t =1

457

( , ., [3] [7], [12] [19] ). . .-

1
T

x =

x (t )

t =1

, = 0 , 1, ..., T 1 [ T ,

BT ( ) = bT ( ) = 0 ]; t

.
x1 ( t ), ... , xn ( t )
, B ( ) b( )
- .
. ., , . .- (
, T
1 );
( , ., [1] [10] ),
, . B ( ) -

= x b ( )
] B ( ) b ( )

[ M ( t )

, . .-
1 T 1 ( T | | ) ;
,
,

( , ., [8], [11] ). BT ( ) bT ( )

| | - ( T - 10 20%
) ; , . .- , , . .- ,
T - , ,
aT ( )

( , [8] ). bT ( ) - aT ( ) - ,
.,
. .- ( ,
).
x (t ) (t ) ,
. .- , , ( , [11] [19] ). ,
. .-
, . [20], [21]-
; - , [22] [25]- .
,
. .-
. ,

.
. .- , , 1 (t ) 2 (t )
. .-

458

R ( ) =

M [ ( t + ) M ( t + )] M [ ( t ) M ( t )]
M [ (t ) M (t )]2

. .- , . .
(t ) . ( 1 (T )

1 T ).

R( )

. bT (t )

( , ., [3], [26] ).
.: [1] . ., , . ., .,
1956; [2] . ., , . ., ., 1958; [3] ., , . ., ., 1976; [4] ., ., ,
. ., ., 1989; [5] ., ,
. ., ., 1964; [6] .,
, . ., ., 1974; [7] ., .,
, .
., ., 1976; [8] . ., , ., 1981; [9] H a n n a n E. J., Ann.
Statist., 1974, v. 2, 4, p. 80306; [10] H a n n a n E. J., Ann.
Statist., 1976, v. 4, 2, p. 39699; [11] S c h a e r f M. C., Estimation of the covariance and autoregressive structure of a stationary time
series, Tech. Rep.12, Stanford, 1964; [12] .,
- , . ., ., 1968; [13] . ., , ., 1968; [14] . ., . ., . ., , ., 1971; [15] . .,
, ., 1972;
[16] . .,
, 2 ., ., 1972; [17] . .,
. ., , ., 1974;
[18] ., , . ., . 12, ., 1983; [19] J o r d a n J.
R., Proc. IEEE, Pt G, 1986, v. 133, 1, p. 5874; [20] K e n d a l l W. B., IEEE Trans. Compts, 1974, v. 23, 1, p. 8890;
[21] B l a n k i n s h i p W. A., IEEE Trans. Acouts., Speech, Sign.
Proc., 1974, v. 22, 1, p. 7677; [22] A h m e d N., N a t a r a j a n T., IEEE Trans. Electromag. Compat., 1974, v. 16, 3, p. 177
83; [23] L o p r e s t i P. V., S u r i H. L., IEEE Trans. Acouts.,
Speech, Sign. Proc., 1974, v. 22, 6, p. 44953; [24] L a r s e n H.,
IEEE Trans. Acouts., Speech, Sign. Proc., 1976, v. 24, 5, p. 432
34; [25] . ., . ., , 1978,
3, . 3740; [26] H a n n a n E. J., H e y d e C. C., Ann. Math.
Statist., 1972, v. 43, 6, p. 205866.

; a v e r a g e d correlation function , .

correlation function ,

; p o l a r

; r e l a y
correlation function ,
.

 ; s a m p l e correlation function , .
; correlation function i n
s t a t i s t i c a l m e c h a n i c s
d

, . P , R -

d

( R - Q - d

R -
).

(R d ) n = {q ( n ) = (q1 , ..., qn ) R d : q1 ... qn }

( R - ) ,
d

K P( n ) ( A) =

(d )

q ( n ) A: qj ,
1 j n

Q
(n )

K P

P n -

n - ( n )
, n

1 [ n = 0

() = 1 ], (R d ) n -
( ) n -

, K

( 0)

n = 0 , P( 0) = 1. P(n) d n

( R ) -
(n)

( n)

) q1 , ..., qn R d -

.
(n )

( , [2] ) P

.
. . ( , (n)

). { P , n

, I R
(n)

(n)

; orrelation matrix
, ,
X = ( X 1 , ..., X k ) - ,

B = bij

[X j M X j] ,

Xi

k
i j=1

bij = M [ X i M X i ]

i, j = 1, ..., k . . .-

I R n ) .
d

R - (

M - R d - R d -

).
n - . .

P( n ) ( x ( n ) ), x (n ) = ((q1 , p1 ) , ..., (qn , pn ) ) ( R d R d ) n

.
.

( M X i < ) . . .-

X i DX i - .

k k B X = ( X 1 , ..., X k )
. . : , bij = b ji , i, j = 1, ..., k
k

ij

z i z j 0 z1 , ... , z k R -

i, j =1

, k r , 1 r

= AA

k , A

.
. . - ,
X , .

.
,
DX 1 , ..., DX k ( X 1 , ..., X k )
,
, R

0} { K P( n) , n 0}

P
. [1], [3]-

K P ( I

;
g e n e r a l i z e d correlation function , -

, , B

P(n ) = dK P( n ) dq ( n ) .

; P ( q

.: [1] L e n a r d A., Comm. Math. Phys., 1973, v. 30, 1,

p. 3544; [2] ., ., ., , . ., ., 1982;
[3] Z e s s i n H., Z. Wahr. und verw. Geb., 1983; Bd 62, 3,
S. 395409.

ij =

= ij

k
i , j =1

M[ X i M X i ] [ X j M X j ]
DX i

DX j

R 1- . R
B B = D R D
, D

DX 1 , ..., DX k

.
X(t ) = [ X 1 ( t ) , ..., X k ( t )] , t T

M X i (t )

t T

i = 1, ..., k

< , B ( t , s ) = Bij ( t , s)

k
i , j =1

X ( t ) . .- ,

459

Bij ( t , s ) = M[ X i (t ) MX i (t )] [ X j ( s ) MX j ( s )].

X Y - , X -
M ( Y | X ) Y - -

. . :
1) B ( t , t ) ;

2) Bij ( t , s ) Bii ( t , t ) B jj ( s , s ) , i , j = 1, ..., k

3) n , t1 , ..., t n T a1 , ... , an

. 0 Y | X
2

. Y | X

= 1 , ,

( B (t j , t k ) ak , a j ) 0 .

j , k =1

, .
.: [1] ., , . ., .,
1980; [2] . ., . ., , 2 ., ., 1977.

; orrelation diagram , .
; orrelation theory ,

X ( t ),

t T ( , )
,
, (
) X ( t ) M X ( t ) = m ( t )
M X ( t ) X ( s )

= B ( t , s ) .

= 0

; Y | X

, D Y , Y - , D ( Y | X ) ,

, X Y ; Y - X - . . - . . . X Y - 2

, , Y | X X | Y
2

; X | Y X - Y - . . ,
2

. Y | X

X | Y

.
, .

;
orrelation measure , .

; law window , , ( t )
| | T
B ( ) = M ( t + ) ( t )

f ( )

( Y , Z ) = M Y Z ( ( Y , Z ) = M [ Y M Y ] [ Z M Z ] )

( t ) t = 1, 2 , ..., T , 0 t T ( t ) - x ( t ) -

. .- H X

X ( t j )

j =1

= [M Y ] 1 / 2

1 , ... , n ,

T - aT ( ) . B( ) - -

BT ( ) =

t1 , ..., t n , T - ). X ( t )
H X ( t
k

, t R , k

> 1

X ( t ) , t T
( ., ) H X -
.
. .- X ( t ) -

T | |

x ( t + | |) x ( t )
t =1

BT ( ) =

) . .
[ m ( t ) -
]. , . .-
X ( t )

1
T

1
T

T | |

x ( t + | |) x ( t ) d t

| | - T
,

T -

, , B ( ) -

, , BT ( ) - B ( )

. , - -

; ,
B ( t , s ) - ( ,

B ( )

., , ).

BT ( ) -

; correlation ratio -

aT ( ) -

, Y X

Y2 X = 1 M [D ( Y X ) D Y ]

460

, :
aT ( ) 1 - , aT (0) = 1
,

T << 1 aT ( ) ,

T - aT ( )

( .,

T 0,1 ).

aT ( ) (

, . -

(a)

), BT ( )

= aT ( ) BT ( )

B ( ) -

aT ( ) . .-
.
. .- , aT ( ) [

> T -

aT ( ) = 0 ]
;

BT( a ) ( ) [
B ( ) ]. 20- 50 60- , ,
,
., kT

> kT

( kT , T - ,

= 0,1T ) aT ( ) . .-
(a)

. BT ( )
, , f ( )

BT( a ) ( ) ( , (a)

). BT ( )

= kT

.
, ,
( )

.
. . . ( , ., [1] ). , , . . aT ( ) = a ( / kT ) , -

= 1 , | a ( s ) | 1 s , kT -
; aT ( ) . .- -

a (0)

, a ( s )

aT ( ) . , . .-
a ( s ) = max { 1 | s | , 0}

0 | s | 1 2 , a ( s ) = 1 6 s 2 + 6 | s |3 , 1 2 | s | 1
a ( s )

= 2 ( 1 | s | ) , s > 1 a ( s ) = 0

(1 2a ) + 2 a cos s , | s | 1 ,
a(s) =
| s | > 1 ,
0,
, a = 0, 25 ( )

.: [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] .,
. , . ., .,
1980; [6] . ., . .,
, ., 1974; [7] ., ., . , . ., ., 1982; [8] . .,
, ., 1982; [9] . ., , ., 1981; [10] . ., . - . . ., 1978,
. 66, 1, . 6096; [11] . .,
, 2 ., ., 1972;
[12] ., , . 1, ., 1983; [13] ., ., ., . . ., 1985, . 25, 3,
. 98104; [14] . ., . ., 1986,
. 31, 3, . 51525; [15] P a l m e r D. F., IEEE Trans on inform.
Theory, 1969, v. IT15, 5, p. 61315.

; correlation equations - . . .
. . . . 1949- . , . .- , :
.
. . [3]- 1- . . .-
. .
.
.: [1] . ., . ., .
, 1949, . 66, 3, . 32124; [2] .,
. , . ., ., 1971; [3] . ., . ., . . -, 1968,
. 19, . 11378; [4] . ., . ,
1980, . 35, . 2, . 353; [5] . ., ,
, 1983.

; correlation reception
S i ( t ) , i = 1, ..., N , t [ 0, T ]
( ) . x ( t ), t [ 0, T ]
, S m ( t )
,
T

S m ( t ) x( t ) d t = max

i =1, ..., N

S ( t ) x( t ) d t
i

. , S i ( T ), i = 1, ..., N

, ( t ) -

.
. .
.
.: [1] . .,
, . ., .,
1955; [2] ., .,
, . ., ., 1969.

( ,
[1] [9] ).

461

= 0, 23 ( ) ( , ., [1]

[9] ). . .- [1] [15]- .

. . aT ( ) - AT ( )
(a)

; BT ( )

 ; orrelation

, ,
. , .-, ,
,
.

.
,
.
, a
2

a , ,

= x
y ( x ) = M [ | = x ]
, y ( x)
, -
. = x

, - - -
- . -
-

= x -

( - ),

2| = M [ M ( | = x ) ]2
. , -
x - -

= a 2| = 2 . -
, = x
: y ( x)

| x
x ( y )

= 0 .

= M [ | = y ] -

.
y ( x)

2| = 1 2| 2
2

. | , ,
, y ( x) y ( x)

= a ;

.
. - ,

y ( x ) = a +

( x a )

2| = 2 (1 2 ) 2| = 2

462

; ,

= 1 ,
2

, |

= 2 < 1 ,

. - -
, ,
,

< 2| = 1 .

, .
( ), -
( ),
, = 0 -
.
-
, , ,
,

.
,
:

= 1 -

, -
,

= 0 -

.
1 , ..., n
.
.
. . i j .
, . . 1 2 , ..., n
( . ) .
1 2

3 , 4 , ..., n ,
1 2 2 , ..., n
1 2
2 , ..., n ( .
) .
. :
,
.

.- . . : 1)
; 2)
. ; 3) . ( , ).

.
. ( ., ,
, ). -

 .
( x , y ) nij -

z - . n -
z ,

. ( )
- , xi - ( yi - )

1+
1

,
ln
+
2
1
2 ( n 1)

nij .

.

(x
i

x ) ( y j y ) nij

n (x
i.

x )2

.j(

y j y )2

; orrelation coefficient -

ni. =

ij

, . 1 2

n j. =

ij

, a1

x =

ni. xi / n , y =

= D 1 22 = D 2 ; 1
2 . . = ( 1 , 2 )

n. j y j / n .

|
, .

2| x
:

n
n

i. (

yi y ) n

.j

( yj y)

yi y 2

( |

2| 2 -

.
. - ,

(~
) 2 > [1 + ( n 2 ) / t2 ] 1
, ,
t - ,
( n 2) - t .

0 , , z ,

z =

1
1+ ~
ln
1
2

M ( 1 a1 ) ( 2 a2 )

1 2

. 1 2 . .

( 1 a1 ) / 1 ( 2 a2 ) / 2 - .
. . 1 2

. .- : 1)
1 2 ,

).

( 1 , 2 ) =

.
1 1 .

= M 1 a2 = M 2 ,

12

. - . -

2| =

1 / ( n 3 ) .
, .
.
-
, [3].
.: [1] ., , .
., 2 ., ., 1975; [2] . ., , . ., ., 1960; [3] .,
., , . .,
., 1973.

( 1 , 2 ) = 0 ( ),
= 0 , ;
2) = 1 , ,
:

2 =

2
( a1 ) + a2
1 1

. ,

=0

, ; ,


. , . .
, .
:

2 =

2
( a1 ) + a2
1 1

463

 2 1 ,

(t ) = { 1 ( t ) , ..., r (t )}T j (k ) k (t )

M ( 2 2 ) 2 = min M ( 2 C11 C 2 ) 2
C1 , C2

( , ).

.

; orrelation function

q jk ( )

B jk ( t ) d t < ( )

B jk ( t ) < ( )

t =

; orrelation distance X (r )

, . . ., ,
:

, r = r -

c jk ( ) =

= B(0) k
q jk ( ) =

r0 ( k

= e k = 10 ), ,

1
2
1
2

B(r ) d r
c jk ( ) =

( r1
). - B ( r ) = C exp{ r / r0 } ( k = e
) - . . .
B ( r ) B ( r ) .
B ( r ) r
, , . .

.
.: [1] . ., . .,
, ., 1976.

; correlator

; Korvin
group ,

; cosinor
analysis ( osinus normal ) y = A cos ( t )
, .

; cospectrum and quadrum
spectrum ,

, r

464

[B

jk ( t )

+ B jk ( t ) ] cos t d t ,

[ B jk ( t ) B jk ( t )] sin t d t

( )

r1 = (1 B ( 0 ) )

(*)

, ., k

= Im f jk ( ) , j k .

B jk ( t )

B ( r ) = B (r ) =
= M [ X ( + r ) M X ( + r )] [ X () M X ()]

j, 1 j , k r . -

c jk ( ) = Re f jk ( ) , j k , -

. . . B ( r0 )

f jk ( ) -, < < ,

, k

q jk ( ) =

1
2
1
2

[B

jk ( t )

+ B jk ( t )] cos t ,

t =

[ B jk ( t ) B jk ( t ) ] sin t

t =

( ). (*) . . .
C jk ( ) Q jk ( ) ; c jk ( )

= Qjk ( ) . C jk ( )

= C jk ( ) , q jk ( ) =

Q jk ( )

, F jk ( )
: C jk ( )

= Re F jk ( ) , Q jk ( ) = Im F jk ( ) .

.: [1] .,
, . ., ., 1980; [2] .,
. , . ., ., 1980;
[3] ., ., , . ., . 2, ., 1972.

; cospectral function

; cospectral density ,
.

;
Cauchy distribution ( , )
p ( x; , ) =

+ ( x )2
2

, ( , ) - , .

F ( x; , ) =

1
1
x
+
arctg
2

,
. . .

> 0 , < <

i t t

. .- . . .-
-

= 0 . . .

x = .

f (t ) = e

+ tg

. -

, , . . .
:

2 ( 2 + 2 / 4) = 1 , 1 ( , ) l . . . .
. . .
= 0 . .- . [2]-
. . .
p ( x ; , 0 )

. . , = a + b ,
a 0 = a = a + b . . . .
:

itx

p ( x ; , 0 ) d x = exp ( t )

. . g ( x ; , )
, exp ( t

), >0,

> 0 . -

p ( x ; 1 , 1 ) ... p ( x ; n , n ) =

(*)

.
( = 1 = 2 , ,

. .-
. .-.

) 20-
. ( G. Polya, 0 < < 1 ) . ( P. Lvy,

= p ( x ; 1 + ... + n , 1 + ... + n ) ,

1 < < 2 ) . .
. . .
= 1 .
.: [1] ., , . ., . 2, ., 1984; [2] P o i s s o n S. D., Surla
probabilit des rsultat meyons des observation, P., 1832; [3] C a u c h y A. L., C. r. Acad. sci., 1853, t. 37, p. 198.

; Cauchy Bunyakovsky inequality , .
;
Kotelnikov / sampling theorem : [ F , F ] = 0 (1) = 0,5; ( 2) = 1; (3) = 2

: . . 1-
. (*) . .-
: 1 , ... , n . .-
,

(1 + ... + n ) n

X k . .- . . . ,
(*)
; , . .-
,

= 1
= 0 . . 1-

. .- .
2

. ( , ) . . ( 0 , )

, f (t ) , t ( , )

( 0 , 1)

+ - .
[ / 2 , / 2]

f (t ) =

(k )

k =

sin 2 F ( t k )
, = 1 2F
2 F ( t k )

.
. . ( , [2] ). . . , ,
( 1 ( 2 F ) )
f (t )

f (k / 2 F ) ,

k = 0 , 1, ...

.
.: [1] . .,
, ., 1933 ( . I

); [2] . ., . ., ,
, ., 1962.

465

 ; Kotelnikov Shannon
formula , .
; analysis of covariance Y F
x
, . x Y - ; F ( )
, Y x

; Y ,
. .- .
. .- .
, n Y1 , ... , Yn
, p , k , . .-

Yi =

f
j =1

ij

j +

(F )x
s

(s)
i

+ i ( Fi ) , i = 1, ..., n (*)

s =1

j - Yi

, f ij - 1 -
, 0 - ; j

j - ; xi( s ) x (s )
,
, i

= 1, ... , n , s = 1,

Yi

..., p ; s ( Fi ) , Y - x

(s )

, , ,
Fi = ( f i1 , ... , f ik ) ; i ( Fi ) . . .-
1 , ... , k
; 1 , ... , p .
(*) 1

= ... = p = 0

, ; (*)-
(
1 = ... = k = 0 ),
. . . , Y
x
Y -
.
.: [1] ., , . ., .,
1963; [2] . ., ., , . ., ., 1976;
[3] Biometrics, 1957, v. 13, 3.

; covariance function , -

; crosscovariance
function , .
; s a m p l e covariance function , .
; covariance matrix ,
- . X = ( X 1 , ... , X n ) n
. X 1 , ... , X n . ij

= cov ( X i , X j ) ,

X i

X j
= ij , i , j = 1, ..., n
. -
X i .
. . , , ,
, , X -
. . ., ,
, - . n n

. .-.
. . . .
. . .
.: [1] ., , .
., 2 ., ., 1975.

;
; s p e c t r a l d e c o m p o s i t i o n o f covariance
matrix
= 1 1 1T + ... + p p Tp
, 1 , ..., p , - , 1 , ..., p .
.: [1] J o l l i f f e I., Principal Component Analysis, N. Y., 1986.

( ) ; covariance operator o f a p r o b a b i l i t y m e a s u r e
. B ,

, b B

[b ( x )]

d ( x) < +

. b1 , b2 B

, , ( )
.

b1 ( R b2 ) =

466

b1 ( x ) b2 ( x ) d ( x )

b ( x) d ( x) b ( x) d ( x)

(*)

, R : B B

.
X
. . R X . . .

, R X : B B

b ( x ) d ( x ) = 0 b

b1 , b2 B

.: [1] M o u r i e r E., Ann. Inst. H. Poincar, 1953, t. 19,

p. 161244; [2] . ., . ., 1956, . 1, . 2, . 177238; [3] . ., , ., 1971;
[4] . ., . ., .
., 1978, . 23, . 1, . 326.

cov ( X 1 , X 2 ) = M [ ( X 1 MX 1 ) ( X 2 MX 2 ) ]

b1 ( R b2 ) = b2 ( R b1 ) , b1 ( R b1 ) 0.
2) X Y ( )

. . :

cov ( X 1 , X 2 ) = cov ( X 2 , X 1 ) , cov ( X , X ) = DX .

, ,

RX + Y = R X + RY + ( R XY + R XY ) ,

D ( X 1 + X 2 ) = DX 1 + DX 2 + 2 cov ( X 1 , X 2 )

R XY , X Y

, R XY , R XY - . ., -

. . (
) . .- .
3) X B - A

B - B1 - , R AX = AR X A

, A , A - .
. . (
): R . .- H

A : H B , R = A A
A H B - .
. .-
( , [5] ).
. . R

. X 1 X 2

d ( x ) < )

B - B -
- ( , [3], [4] ).
. .- K
K X . . -

(*)- K

b1 ( K b2 ) =

b ( x)b

, b1 , b2 B ;
,

K = R

X 1 X 2 - -

X 1 + ... + X n
M X 1 + ... + M X n
P

n
n

> 0

. .
.
.-

1
n 1

(X

(i )
1

X 1 ) ( X 2(i ) X 2 )

i =1

(i )

(i )

, ( X 1 , X 2 ), i

= 1, 2 ,

..., n

, X 1 X 2 .

( )
; covariance o f r a n d o m c l o s e d s e t ,
A

( x) d ( x)

cov ( X 1 , X 2 ) = 0 .

-
:
n DX i

; R
( , [1], [2] ). , . .-
. B

.

. X 1 , X 2 , ..., X n , ... -

cov ( X 1 , X 2 ) = 0 , X 1 , X 2

, R B B .

, ,

. ,
. .

X 1 X 2

1) . . , b1 , b2 B

; covariance

.
. .- .

B ).

; lag window , ;

b1 ( R X b2 ) = M b1 ( X ) b2 ( X ) M b1 ( X ) M b2 ( X ) ,

. . .- . cov A , S

x1 , x2 ( , )
-

467

cov A ( x1 , x2 ) = P ({ x1 , x2 } A ) =

( )
;
.

= TA ({ x1 }) + TA ({ x2 } ) TA ({ x1 , x2 })
, TA A . , , A
. S A
( , ), cov A ( x1 x2 )

A
.

C A (h) = cov A ( x , x + h )

, ; partial
covariance function , ,

root o f a r a n d o m t r e e ,

; root compact group G : n

C G

C n G

= e i + j n

, xn

C xi C x j I C xi + j G -
{x1 , ..., xn } Cn - .

C G C0 G , n
G - {x1 , ..., xn } xn
C xi C x j I C xi + j

=e

i + j n -

, C0 - , G

; transfer dual problem ,

.
,
.

; ; ; transfer problem; s t a t i s t i c a l s i m u l a t i o n o f t h e , ( )

; transfer theorem : n n , X nk ,
k = 1, 2 , ... , n
, X n k , k = 1, 2 , ... , n

n
w
P
X nk < x
( x)

k =1

(*)

o ;
B r o w n i a n bridge , .

- ; Kraft
Mac Millan inequality , .
; Cramer inequality

,
. f (t ) , t B f ( t ) A < 1
, t

w
w
F( x)
P
X nk < x
( x ) , P n < x

k =1
kn

.
- F ( x )

(t ) =

(t ) d F( x)

.
. . [1]- .
. [2]-


.
.: [1] . ., ., . ,
1969, . 187, 1, . 1517; [2] . ., .
., , ., 1990.

468

f (t ) 1

( ) , {k n }
, n

t B ,

t 2 (1 A 2 )
8
B2

( , [1], [3] ).

. . . [2]-
:

f ( t ) A < 1

BtB+b,

0 < b B t - ,

B + tA
f ( t ) <
B+t
0 < t

t (B +t)

< 1

(1 A)t 2
(1 A) t 2
1

<
(B + t)2
( B + b) 2

< b t - ( ,

[3], . 37 ).
.: [1] .,
, . ., ., 1947; [2] H e a t c o t e C. R., P i t m a n J. W., Bull. Austral. Math. Soc., 1972, v. 6, p. 19; [3] . ., , ., 1987.

;
Cramer transform , F

H F (a ) = sup [ a ( ) ] , a R1
R

2) . .:
, 1 , 2 , ... -

( ) =

x
x
e d F ( x ) < ,
ln e d F ( x ),

,
.

M12

= > 0 Me t1
t < a (

Fn (x) = P

F - . . : H ( a ) H F ( a ) . . .
.
,

aR

aR

. . .
, 1 , 2 , ... , S n =

= 1 + ... + n ,
, > 0
P { sup
kn

1
S k M 1 }
k

1
2

.
.: [1] .,
, . ., ., 1947; [2] . .,
, ., 1972; [3] . .,
, 2 ., ., 1989, . 42831.

; Cramr series
, .

; Cramr
conditions
. .
F (x ) , f (t ) . . .- , F (x ) -
,
t

<a

a > 0
M e t <
. b c
, x > 0

P { x } be cx
.
.: [1] .,
, . ., ., 1947; [2] .,
. , 1944, . 10, . 16678.

; Cramr
theorem 1) , .

e t

dt

> 1, x = o ( n ) ,

x 3 x
x
1 Fn ( x)
1 + O

= exp

n ,
1 ( x)
n n

x 3
x
Fn ( x)
x

1 + O
= exp

n .

( x)

n
n

= ck t k 1 k =0

, t -
( ).
. [1]- 1938-
; . .-
. . [2]- .
.: [1] C r a m r H., Actual. sci. et industr., 1938, 736;
[2] . ., . , 1954, . 9, . 4, . 195
202; [3] . ., . .,
, ., 1965; [4] . .,
, ., 1972.
3) . . ,
.
4) . .: T = { t } ,

X (t )

M X (t ) X ( S )

lim sup f ( t ) < 1

. . .- t

; n x

( t )

2 exp { n min ( H 1 (M1 ) , H 1 (M1 + ))}

< x n ,

j =1

( x) =

= 0 , , arg min1 H ( a ) = M .

M exp{ } <
1

).

. .

, min H ( a )

M1 = 0 ,

B (t , s ) =

= B (t , s )

( t , a ) ( s , a ) m ( d a , d a )
A

(1)

, X ( t ) :

X (t ) =

(t ,

a) Z ( d a ) ;

(2)

A , B , S A

m( S1 , S 2 ),

S1 B , S 2 B ( S -
S S )

469

 [ n ,

, Fn ( x) , 1 , ..., n

c1 , ... , cn B -

, (t )

, [ 0 , 1] - , ( t ),

m ( S j , S k ) c j ck 0

(3)

t ( t ) t 2 ( t ) [ 0 , 1] - . -

] A A - ; Z ( S ) , B - -

.
[1]- . [2]- . . .
[3]- ( t ) 1 , H 0

j , k =1

, M Z ( S1 ) Z ( S 2 )

= m( S1 , S 2 ),

(2)-
.
, X ( t ), t T (2)

B (t , s ) (1)

,
. Z (S ), S B -

, ,

HX

, a

X ( t ), t T

{ ( t , a ) , t T }

(1 , 2 ) =

2
, n ,

F (x ) -
. H 0 -

=
A

n 2 =

(1)

( a ) (a ) m ( d a , d a )

1
+
12n

<

, ( a ) , a A L (m) -
.

= R1 = ( , )

.
;
t - (
) , X ( t ) -
, A = ( , ) (

A = [ , ] ) (t , a) = e i t a ( ,

). m ( S1 , S 2 )

, , (3)
(1) .
m ( d a, d a )
. .- (2)-
( , [2] ).
.: [1] C r a m e r H., .: Proc. 2-nd Berk. Symp. Math. Stat.
Probab., Berk. Los. Ang., 1951, p. 32939; [2] R a o M. M., .:
Handbook of Statistics; v. 5, Amst., 1985, p. 279310.

; Cramrvon Mises test

1 , ..., n

F (x )
H 0
. . . .

470

( j) )

j =1

... ( n) , 1 , ..., n

H 0 , -

P { < } = 1 .

n2

2 j 1
,
2n

[1 F ( x) (1 F ( x )) ]

,
.

( , [5] ).
.: [1] C r a m e r H., Sannolikhetskalkylen och nagra av dess anvndningar, Stockh., [1926]; [2] M i s e s R. v., Wahrscheinlichkeitsrechnung und ihre Anwendung in der Statistik und theoretischen Physik,
Lpz. W., 1931; [3] . ., . ., 1937, . 2,
5, . 97393; [4] . ., . .,
a , 3 ., ., 1983; [5] A n d e r s o n T.
W., D a r l i n g D. A., Ann. Math. Stat., 1952, v. 23, p. 193212.

; Cramer
Mises Smirnov test , .

; Cramer Rao inequality . , . ( [1] ), . ( [2] ) . ( [3] ) . f ( x , )

1 , ..., n . T (1 , ..., n )
, M T

= + b ( ), b

, T
. f ( x , )

n2 [ ( F ( x ) ) ] =

, n

. .- . [1]- A

F (

12

A A

( ) ,

( a ) ( a ) m ( d a , d a )
1

= n 2 ( , [1] )

n ( Fn ( x ) F ( x )]2 ( F ( x )) d F ( x )

M ( T ) 2 (1 + b() ) 2 nI () + b 2 ()
. I ()

= M ( ln f ( 1 , ) ) 2

, ,

. . . .-
, [4], [5]. , ( )
;
.
.: [1] C r a m r H., Skand. Aktuarietidskr., 1946, v. 29, p. 85
94; [2] R a o C. R., Bull. Calcutta Math. Soc, 1945, v. 37, p. 8191;
[3] F r e c h e t M., Rev. Inst. Intern. Statist., 1943, v. 11, p. 182
205; [4] . ., , .,1984;
[5] . ., . ., , ., 1979.

; Cramr Wold theorem

. [1]- ; , [2], . 9; [3]- ,
. . .

t = ( t1 , t 2 , ..., t k ) , R k . S t , R

t1 x1 + t 2 x2 + ... + t k xk

x = ( x1 , x2 , ..., xk ) . P1 P2 R k -
;

t0

f (0)

= 1 f -

.
. . [1]- . a =
- .
.: [1] . ., . , 1940, . 26, 1,
. 1721; [2] . ., ,
., 1961.

, ; Krylov distribution estimates , ;

; Krickeberg decomposition X = ( X t ) t 0 X = Y Z , Y = ( Yt ) ,
Z = ( Z t ) , t ,
t { 0 , 1, ...} , t [ 0 , ] . X
X t = M [ X | At ]

t - , X

Yt = M [ X + | At ] ,

P1 ( S t , ) = P2 ( S t , ) . . .- , P1 P2

Z t = M [ X | At ] ).

.
,
, . , X j = ( X j1 ,

L1 - ,

X j 2 , ..., X jk ) P j , j = 1, 2
, . . .- t -
V1 = t1 X 11 + t 2 X 12 + ... + t k X 1k V2 = t1 X 21 + t 2 X 22 + ...

+ t k X 2 k -
. , -
, Me

iV1

= Me iV2 , .

= 1 X 1 X 2
, P1 P2
( ) .
[3]- ,
.
.
[4]- .
.: [1] C r a m e r H., W o l d H., J. London Math. Soc., 1936,
v. 11, part 4, p. 29094; [2] ., , . ., ., 1947;
[3] . ., . , 1938, . 5,
. 233; [4] . ., . , 1954, . 9,
. 3, . 20112.

; Crump Mode Jagers
process , .
; Krein theorem : ( a , a ) f ( t ) P -
- ,

f (t ) =

itx

P ( d x ) , a < t < a

X . ., , , X
. . .

= Y

= sup M X t <

+ Z

. Y Z

X X .
. [1]- .
.: [1] K r i c k e b e r g K., Wahrscheinlichkeitstheorie, Stuttg,
1963; [2] D e l l a c h e r i e C., M e y e r P.-A., Probabilits et potential. Thorie des martingales, t. 12, P., 197580.

; cryptography

. : ,
, , ,
.- . , .- ,

( , ).
.-
.
., , .

,

, : ., ., , , . .-
( ., , , .);
Springer Verlag Lecture Notes in Computer Science .
. -

471

 ,
,
. .,
:
,

. ,
. ,

. .
.
. M
( ); T = {Tk , k K } ,

Tk : M E ( , ) ,
E . k

, k ;
. m M

m - Tk
( k )

e = Tk m

( ., ). e - Tk
, m

= Tk e .

m(r ) = Tr e , r K - , K ,
.

,
-
, . . .
26
26! 4, 03 10

26

,

,

.
,

. . [14]
. M k
K - PM PK
. m Tk m

=e

PE .
m M e E

P { m | e} = P { m }
.

472

(1)

, e
m
( PM - ).
. , (1)

K M , S
S ; ,
(1) .
,
, ,
. , .
, A = { 0, 1, ..., a 1}
m

= ( m1 , ..., mt )

, A , , = (1 , ..., t ) e = ( m1 +

+ 1 (mod a) , ..., mt + t (mod a))

.
, , e m -
,
, A t
( , m - ),
m -
.
, .
: ( , )
( (1) ,
).

;
. , . ,

= (1 , ..., t ) At

A - ,
- ,
, , , ,
.
( ,
, ., ) : ( . [11], .
[5] ) , , ( . . [1] ),
( . ); [4]-
.
, :
( ., )
.
20- 70- ,
,

 .
( ) ; ( , ); [8]- . { Fn } : () Fn n

1 , ... , n t (n) = n

X ( 1 , ..., n ) = { X 1 , ..., X L } ,
O (1)

L = L(n) = n O (1) , () 1 , ..., n Y (n) = {Y1 , ..., YL }

( 0 1 1 2 )
L

Qn : { 0 , 1} { 0 , 1}

P { Qn ( X ( 1 , ... , n )) = 1} P {Qn ( Y ( n ) ) = 1} = ( n )

> S ( n )

, C (Qn ) ( n )

, C ( Qn ) Qn
. S ( n ) ( . )
.

S (n) f ,

f n : {0 , 1}n {0 , 1}L ( n ) ,

L ( n) = n O (1)
;
:

X n { 0 , 1}n - ,

Rn : {0 , 1}

L(n)

{0 , 1}

, C ( Rn ) ,

P { f n ( Rn ( f n ( X n ) ) ) = f n ( X n )} = ( n )
, C ( Rn ) ( n)

> S (n)

. , , ,
. .
, , .
,
. , ,
., [10], [13]-. :
.
(
),



. ;
,
= (1 , 2 , ...)
.
( ., 64 128
) M -
M M ( ) ; M -

( )
.
( Date Encryption Standard )
; 1977- ,

. 64

B 64 = {0 , 1}64
(
- ,
6

S1 ,..., S8 : {0 , 1} {0 , 1}

) 16 . , 56- , ,
2

56

7, 2 1016 -

. 20-

-

, .

( , [10], [13] ).
,
,
. ,

, , .

,
(
) ;

. -

[9]- ;

, 2

43

9 10

12

1013

.
50
, . ,
.

, ,
.

, . 1976- . . [6]- : { Ee , e K } M -
{ Dd , d K } , : ()

e K d K

, Ee Dd , () Ee
c

= Ee ( m)

m M -

, , , () ( Ee , Dd )
.
, A
( Ee , Dd ) - ,

473

Ee ( ) , d - (
) . B A m

Ee
c

= Ee (m) .

Dd A m c
, Dd Ee Dd -
.
() , E .
. .
,
.
- ,

, ( a

b ( mod n )

, n ) .
.
. , . . [12]-
.
, A ( 10150 - ), p q , n = p q
( n)

= ( p 1) (q 1) ; ,

, e { 2 , 3 , ..., ( n ) 1} e , ( e , ( n))

= 1 e d 1( mod ( n ) )

1 < d

d -

< n

. ( n , e ) ,

( n)

m { 2, ..., n 1}

.
e

m (mod n)

1( mod n )

( a , n ) = 1

m c ( mod n )

( m { 0 , 1, ..., n 1} ,

( m , n ) > 1 O ( p

+ q )

); , A c ,
d d - n
e , n - ( c -
, m )
d

c m ( mod n ) .
20-

.
, .
( , ,
,
), ,
( ,

) ( ., n ), ,
k .
, , ,
.
, .
.: [1] . .,
, ., 1987; [2] ., , . ., ., 1996; [3] . ., , ., 1994; [4] . ., . ., . ., . , 1990, . 45,
. 1, . 10562; [5] C h u r c h A., Bull. Amer. Math. Soc., 1940,
v. 46, 2, p. 13035; [6] D i f f i e W., H e l l m a n M. E., IEEE
Trans Inform. Theory, 1976, v. 22, p. 64454; [7] K o b l i t z N.,
A Course in Number Theory and Cryptography, 2 ed., N. Y., 1994;
[8] L u b y M., Pseudorandomness and Cryptographic Applications,
Princeton, 1996; [9] M a t s u i M., Advances in Cryptology
CRYPTO94, Lect. Notes in Computer Science, 1994, v. 839, p. 1
11; [10] M e n e z e s A. J., O o r s c h o t P. C. van, V a n s t o n e
S c o t t A., Handbook of Applied Cryptography, New York London
Tokyo, 1997; [11] M i s e s R., von, Math. Z, 1919, Bd 5, S. 52
89; [12] R i v e s t R. L., S h a m i r A., A d l e m a n L. M., Commun.
ACM, 1978, v. 21, p.12026; [13] S c h n e i e r B., Applied Cryptography: Prolocols, Algorithms and Source Code in C, 2 ed., N. Y.,
1996; [14] S h a n n o n C., Bell System Techn. J., 1949, v. 28, 4,
p. 656715 ( . .: ., , ., 1963, . 333402 ).

; s t a t i s t i c a l test

, .
A A ; A test ,

D D ; D test ,
.

E E ; E test

FPE FPE ; FPE test

,
2 2

.
; 2 test

. ,
. ,
, ,
,
( .,
)

. ,
,

474

square test , .
Lc Lc ; Lc test

/ chi ,

t t ; t test ,
.
T 2

T 2 ; T 2 test ,

2 2 ; 2 test ,

; test

, .

; critical probability , .
; critical
function (X , A ) ,
0 1 . . .
, H 0
( x ) , 1 ( x )
; x - ,
xX .

, p ,
o, p , ; critical level / actually attained
level / p value x -

. T
H 0 : 0 ,
. .

( x ) = sup P {T T ( x) }
0

. ( x) , H 0 ; ( x )

>

, H 0 . . .

H 0 ( - )
-
.

; critical exponent ,

. . .- :
,
.
, ,
. .-
.
,
, . . .-
:
, , . . . .-
.

; critical
value , H 0 T

T C T C : T C . .

, T

, , . . ).
, .

; critical point , ,

, . . .- .
.
. .
, . . ., ,
1- .

; critical
region (X , A ) S , S
( X \ S - ),
( ) ;
S - ( , ).

; critical branching process
,
, ,


.
Z (t ) , t = 0 t , N
. M N = 1,

D N > 0 , .
D N <
:

lim t P { Z (t ) > 0} = 2 ( D N ) 1 ,

Z (t )
lim P
< x | Z (t ) < 0 = 1 e x , x > 0 , (2)
t
M Z ( t ) Z (t ) > 0

(1), (2) , ,
. t
.
., G ( t ) = P { t }

P H 0 P {T C }

. . .
T - P H 0 ,
. . (

lim t 2 (1 G ( t ) ) = C ( 0, )

, ( , [1] ).

lim M { s Z (t ) | Z (t ) > 0 } =

.
. . ( )

C .

(1)

= 1

M + ( M ) 2 + 4 C (1 s )
M +

( M ) 2 + 4 C

( s ), 0 s < 1

475

 x ( 0 , )

M Z (t ) = m t

Z (t )
< x | Z (t ) > 0 =
lim P
M
[
(
)
|
(
)
0
]
>
Z
t
Z
t

(2) ,

P ( Z ( t ) > 0) ~ c m t , c > 0 , t .

= (1) + (1 (1) ) (1 e ) .
N ij , k i
j , i , j

M N ij

k
i , j =1

= 1, 2 ,

... , k ;

. 1-

,
.
(1), (2)
. ., k

i, j

ij

(4)

(1), (3), (4)

, t
. .,
G ( t ) = P { t }
A [ 0 , )

lim

1 G( t )
=1
1 G( t A )

, ( , [3] )

M Z (t ) ~

< ,

1
(1 G ( t )) ,
1 m

(5)

Z1 ( t )

M [ Z ( t ) | Z ( t ) + ... + Z ( t ) > 0 ] , ,
1
1
k

lim P { Z ( t ) = 1 | Z ( t ) > 0} = 1

Z1 ( t ) + ... + Z k (t )

>0

(6)

Zk (t )
M [ Z k ( t ) | Z1 ( t ) + ... + Z k ( t ) > 0 ]

n > 1 < 1

, ,

(W , W , ..., W ) ,

(3)

P {W x } = 1 e B x , x > 0 , B M N ij

M N ij N ik . ,
, .
.: [1] . ., . ., 1979, . 109, 3,
. 44052; [2] . ., , .,
1971; [3] . ., . ., . ., . , ., 1983.

; subcritical branching process

= MN ij

), N ij , i

j .
. . .- (1), (3) (6) ( , [1], [2], [4] ).
.: [1] . ., , .,
1971; [2] A t h r e y a K. B., N e y P. E., Branching processes, B.
Hdlb. N. Y., 1972; [3] . ., .
., 1964, . 9, . 4, . 71018; [4] . .,
. ., 1979, . 24, . 3, . 50314.

; supercritical branching process m

. Z ( t )

. . . .-
,
( m < ) t

Z ( t ) -

( Z (0) = 1) , N
. m

= MN <1

. . . . s [ 0 , 1]

lim ct ct +1 = m , M W = 1
t

F ( s ) = lim

, F (1 )

P { Z (t ) = k | Z (t ) > 0} s k

= 1, F ( s )

1 F (M s ) = m (1 F ( s ))

476

(*)

>1

. . .-, ,

(1)

F (1 ) <

M N ln + N <

P { lim Z ( t ) ct = W } = 1 .
t

k =1

( , [1], [2] ): 1 < m < , ct

W

(2)

= mij

), mij , i

j .

1 < <

P { lim ( Z1 ( t ) , ... , Z n ( t )) ct = (1 , ..., n )W } = 1

t

, lim ct ct +1

= , Z i (t ) , i ,

(1 , ..., n ) , -

 , W
M W

lim

= 1.

. . .-
. ., m = ( , [3], [4] )

(*)
P { lim L ( Z ( t )) ct = W } = 1
t

, L( x ) x , lim ct ct +1 ( 0 , ) . ( , [1] ) Z (t ) -
- .
. . ., ,

.
.: [1] . ., , ., 1971;
[2] A t h r e y a K. B., N e y P. E., Branching processes, B. Hdlb
N. Y., 1972; [3] C o h n H., Z. Wahr. und verw. Geb., 1977, Bd 38,
H. 1, S. 7381; [4] G r e y D. R., J. Appl. Probab., 1977, v. 14, 4,
p. 70216.

; cross periodogram , .
; cross spectral density , ( )

I ( P , P + )

; Kubo Anderson process ,

.

;
Kullback information , ,
.

; Kullbak Leibler divergency , .

; Kullback Leibler information ,
, ,
- Q
P Q

dP

dP

. . . .- [4], [5]- .
. . . .
, ,
,
.
.: [1] K u l l b a c k S., L e i b l e r R. A., Ann. Math. Statist.,
1951, v. 22, 1, p. 7986; [2] .,
, . ., ., 1967; [3] . ., , ., 1972;
[4] . ., . . . ., 1979, . 43,
6, . 120326; [5] . ., , ., 1984.

; Kullback Leibler information ,

.

; cumulant

;
cumulative spectrum , .
; cumulative spectral function , .
; cumulative spectral
density , .

; Kunita Watanabe inequality X , Y H , K , ,
T

d X, Y

[1]- . . . . .
( ) , I ( P, Q )

1/ 2

H 2d X , X

1/ 2

K 2d Y , Y

(1)

I ( Q, P ) . I (P, Q) = 0 , , P = Q
; I ( P, Q ) ( P, Q ) , ( P, Q ) , P Q

Q = P+ {P } ,

),
I ( P, Q ) = I ( P1 , Q1 ) + I ( P2 , Q 2 ) . R , P = P ,

; Kullback Leibler
Sanov information deviation , .
; cumulant ,

d Q ( ) ln d Q ( ) Q (d ) .

.
P = P1 P2 , Q = Q1 Q 2 (

I ()
2

, I ( ) .

I ( P, Q) =

d [X, Y ]

1/ 2

H 2 d [ X , X ]

1/ 2

K 2 d [ Y , Y ]

(2)

477

 , T ,
2

X , X , Y, Y
2

, X X , X , Y Y , Y

X, Y

1
2

X +Y, X + Y X , X Y, Y ,

[X , X ]t =

X c, X c

[X , Y ]t = X c , Y c

( X s ) 2 ,

(X s ) (Ys ) .

s t

(2) . (1) . . . [1]- . (1), (2)

[2]- . . . .
.
.: [1] K u n i t a H., W a t a n a b e S., Nagoya Math. J. 1967,
v. 30, . 20945; [2] M e y e r P. A., Lect. Notes in Math., 1976,
511, . 246400.

;
perturbation method ,
.
. . ( , [1], [2] ) .
L

=q

, L -

, q . L = L + L

, L = q . L L
,

J p = ( , p ) = ( q , p ) ,

= p . J p
J p = J p ( , p )

p , L p

; theory of queues ,

; quadraticallybalanced model R ( y , F (), I )

s t

.: [1] . ., ,
2 ., ., 1980; [2] . ., . ., .: , ., 1981,
. 318; [1] ,
., 1987.

, F
T

= f ( x1 ) , ..., f ( x N ) , f : X R p ,
1

F ( F F ) F
- ,

f T ( xi ) ,

i = 1, ..., N

, -
. = { x1 , ..., x N } D
, . . .-.
= 0
F ,
. . . F
.

( )
;
quadratic characteristic o f a m a r t i n g a l e ,
;
.

, -

; mean
squared error / quadratic error , /
.

J p = ( L , p ) = ( L , p ) ( L , p ) .
1

L L

J p ( L , p ) .
N ( , p j ) ,

; square
integrable martingale t 0 M t2 <
= ( t ) t 0 .

j = 1, ..., N -

sup M t2 <
t 0

i Ai

i =1

M sup t2 <

, i , Ai
.

( L , p j ) J p j

j = 1, ..., N .

N m . i . i
.
( , ,
). . .

.

478

t 0

.
n 1

lim Tn =
n

( P )

(Tn ) n1

Tn

= ( t Tn ) t 0 -

. . . , . . . .

= c + d

. . .- ,

0c = 0 , d . . .-.

 . . .

( )

t t 0

=0

x,

.
.: [1] K u n i t a H., W a t a n a b e S., Nagoya Math. J., 1967,
30, p. 20945; [2] . ., ,
. ., ., 1973; [3] . ., . ., , ., 1986.

; quadratic loss function ,
.
*

/
/ ;
mean square error

=M

~
. M =
~ ~
. = ( X ) ,
X - ~
, R ; M = . ,
~
~
~
~
~
- D = M ( M ) 2 , D < .
~
D . . .-,
.

; mean square regression

x1 , ... , xn

; root mean square deviation,

RMSD , / .
( )
;
sample standart deviation, standart error ,
.

; quadratic risk , , , .

( )
; quadratic variation o f a m a r t i n g a l e , ;

/ , ,
; quadratic / standart deviation / mean squared error x1 , ... , xn a
,

( x1 a ) 2 + ... + ( xn a ) 2
.
n

. ,

p1 ( x1 a ) 2 + ... + pn ( xn a ) 2
p1 + ... + pn

; p1 , ..., p n

x1 , ... , xn . . .
a -

( p1 x1 + ... + p n xn ) ( p1 + ... + pn )
.

. .
]

( - . . )
,

D . . .

,
.

; quadrature formulae w i t h r a n d o m
n o d e s
x[ f ] =

A ( x , ..., x
i

) f ( xi )

i =1

M ( Y m ( x) ) 2 .

( )

x = ( x1 + ... + xn ) n . . . x1 , ... , xn

x Y - : x -
m ( x ),
Y - m ( x ) -

( )

a=x

I[ f ] =

f ( x) (dx)

.
, X , Ai ,

i = 1, ..., N , X N - ( ),
x1 , ..., x N ( ), X N -

Y . Ai Y

, , , R [ f ] =

= I [ f ] x[ f ]

. f -

F -
, X , x
( ) K , K Y - , M R [ f ] F R [ f ] -

N . n = N L2 ( ) -
n

{ i }i =1
R [ i ] = 0 = det i ( x j )

n
i , j =1

479

 . Y ( d ( x1 , ..., x N )) = (dx1 ) ... (dx N ) n!

2

, x - :

M x[ f ] =

( x) f ( x) (d x) .

2 g
.
W ( x , g ) , x

Q ( x, g ) , -

B E - , E -
.
B = B ( H )
H - ,
. . . .
{ t } . . . , L :

L(X ) = i [ H, X ] +

W - F

. F L ( )

(V j X V j (V j V j X + X V j V j ) / 2 ),

j =1

D x [ f ] -

= HX XH

H ,

V V

B (H )

, .
( x , g ) , ,

[ H , X ]

. ., ( x , g )

( , [2] ).
,
.


.
B - [ t ]

, (
. .; , [2] ), .
. .
.
,
.
.: [1] . ., , 2 ., ., 1975;
[2] . ., ,
2 ., ., 1975; [3] . .,
, ., 1973.

;
quadrature spectrum ,
.

; quadrature spectral
function , .
; quadrature spectral
density , .
; quantum Brwnian motion ,
.

( ) ; quantum decoding ,
.

; quantum dynamical semigroup ,

. B W
( , , ).

B - { t , t R t }
,

1) t o s = t+ s , t , s R +
2) t ( X ) X t 0 X B
B - .

480

j =1

, B

j0 A

C , A
( ) { t } A - A0 = j0 (B ) -
M0 , t

= j01 M 0 t j0

( , ).
( ), , .
.: [1] D a v i e s E., Quantum theory of open sistems, L., 1976;
[2] L i n d b l a d G., Comm. Math. Phys., 1976, v. 48, p. 11930;
[3] . ., .: .
. , . 83, .,
1991, . 3132.

; quantum probability theory
, .

; quantum Euclidien field ,

.

( ) ; quantum coding , .

; a x i o m a t i c quantum field theory ,
.

; E u c l i d e a n
quantum field theory ,
.

;
o n s t r u c t i v e quantum field theory ,
.

 , ;
quantum hypotheses testing and estimation theory

. = { } , - ,

. . .
. . . . , . .
. . .

,
( , ,
). . . . . .
1970-
, ,

.
,
, u ( -

) ( ) U u W0 ( u ) - .
:
, - H S .
U
. , .,
.
.


.
U
. U

H - ,

1)

Mu 0 ,

2)

= I

(1)

u U

= {M u , u U }

, I . S u

M (u )

= tr S M u . M

R {M } =

W (u )

W (u ) =

S W ( u ) -

R { M } =

R { M } = tr

W (u) M

u U

M (U )
. R { M } -
M (U ) -
. : M
, ,

0 W (u ), u U ; ( 0 W ( u ) ) M u = 0,
0

u U

(2)

min R {M } = max{ tr : W ( u ), u U }
M

( )
.
:
, W ( u ) W ( u )
,
( ,
[3] [5] ).
M (U ) -
.
.
E = {Eu , u U }

Eu H -

M (U )

. ,
,
( , [1] ).
M = {M u } H 0
, H 0 - S 0 E

= {E u }

H H 0
, H - S

tr S M u = tr ( S S 0 ) Eu , u U

(u )

u U

. , M
(1) M(U ) -
{R { M }, } . ,
, ,
. . . .
. . .- ,
M(U )
.

.
. . . . .

S 0 .
, ,
, .
, U

481

, M (U )
( , [5] ). ,
. . . . .
( ,

; , [6] ).

U . U ,
B (U ) , U - ; U -
U - ; H -

M = { M ( B ),

B B (U ) } ,

B B (U ) ; 2) U

M (B ) = I

1)

M ( B) 0 ,

{ Bi }

, -

.

, , , U -

( , [4] ). ( ) ( ,
[3] [5], [7] ).
.

~
D { M } J 1
~ 1

, J

~j

X 1 , ... , X n -

, H - -
( , ). E = { E ( B ),

. (3) (4)
D { M } - ,
( , [3] ).
(3), (4) ( , [5] ).
. . . . .-
, ,
. , Q j , Pj ,

.
{ S } ; = [1 , ..., n ]

M ( d x1 ... d xn ) j ,

j = 1, ... , n

...

(x

j ) ( xk k ) M (dx1 ... dxn )

[ Q j , Qk ] = [ Pj , Pk ] = 0 ,

D { M }

J =

R( z) =

( x j Pj + y j Q j ),

j =1

= [ x1 , y1 , ... , xs , y s ] . (5)
[ R ( z ), R ( z ) ] = i ( z , z ) I

( z , z) =

( x y
j

xj y j ),

j =1

. S

tr S exp [ i R ( z ) ] = exp [ i m ( z ) ( z , z ) / 2 ]

(6)

[ ( z j , z k )] i [ ( z j , z k )] 2

( z , z ) S -

j , k =1

o Lk ) nj , k =1 ] ,

Lj , S o Lj = S j , j = 1, ... , n ,

482

(5)

. m ( z ) ,

(3)
[ tr S ( Lj

j , k = 1, ... , s

J 1

z j

, M

D {M } =

, ,
m ( z ) , [ z , z ] , z - . (6)

R n . R n - M
j

[ Q j , Pk ] = i jk I ,

X 1 , ... , X n
. M R -
H H 0 n -

~ ~

= [ tr S Lj ( Lk ) ]nj , k =1 , Lj

= S j , j = 1, ..., n -

S o L

B B ( R n ) } ,

... x

(4)

s
:

M ( B ) , tr S M ( B ) , B B (U )

= Rn

j = 1, ... , s

.
S 0 M

= U

. X o Y =
= ( X Y + Y X ) 2 .

R - M

...

exp i

= exp i

(t
j =1

x j ) M ( d x1 ... d xn ) =

t R( z
j

j =1

jk t j t k 2

j , k =1
n

 , M ,
[ ik ] .

[ ik ] i [ ( x j , z k ) ] 2
.

H H 0 : X j = R ( z j ) I 0 + I R 0j ,

j = 1, ... , n
0

, R j , H 0 , S 0

[ R 0j , Rk0 ] = i ( z j , z k ) I 0 ;

tr S 0 ( R 0j o Rk0 ) =

jk

tr S0 R 0j = 0 ,

= 1m1 ( z ) + ... + n mn ( z )

= [1 , ..., n ]

tr G D {M } M , G
. . . . . .-
, R

, ( , [5] ).
z j , jk G -
.
. . . . .


.
,
. . . . . ,
,
( )
. , . .
. . .-
- . . . . . .
( , [3], [5], [7] ).
.: [1] ., , . ., ., 1964; [2] . ., .
. . ., 1940, . 4, 3, . 277318; [3] ., , .
., ., 1979; [4] . ., , . . - , 1976,
. 124; [5] . ., , ., 1980; [6] D a v i e s E., Quantum theory of
open systems, L. [a. o.], 1976; [7] S t r a t o n o v i c h R. L., Stochastics, 1973, v. 1, p. 87126.

; quantum measurement , ,
,
.

P ( ) - H -

S ( H ) C -.

{ S } m ( z ) =

. . . .
.
-,
,
H - ( ) .
( ) .


( , ). ., -

; quantum communication channel

( ) . .,
, , . . .-
.
1940- . ( D. Gabor )
,

S -
. . . ., H H
, S ( H ) -
S ( H ) .
S ( H ) - P (U ) - D , U . H -
,

( DS ) (d u ) = tr S M (d u )
, U - M ( d u ) .
,

C
L
D
P ()
S( H )

S( H )
R(U )

(*)

PC , D (du | ) = tr L( S ) M ( du )
.
L
. Q { PC , ( d u | ) } C

D . C
D - ( , , ).

J ( P, C , D ) =

P(d ) P

C ,D ( d u | )

ln

PC , D ( d u | )

C , D ( d u | )P ( d )

, C1

= sup J ( P, C , D), Ln

n -

P ,C , D

Ln : S ( H ) ... S ( H ) S ( H ) ... S( H ) .
Ln (*)-
Cn . L

483

= sup (C n n)

, . . .- ,
, , Cn > n C1 C > C1 .

: H ( S ) = tr S ln S

S - ,
C = sup [ H
P

( S P ( d ) ) H ( S ) P ( d ) ] .

.,

C = ln 1 +
+
N +1

1
1

+ ( E + N ) ln 1 +
N ln 1 +
,
E+N
N

E , N . . .-
.
.: [1] .,
, . ., ., 1979; [2] . .,
, . , 1998, . 53.

; quantum stochastic differential equation , .
; quantum stochastic calculus
,
. . . { At , t 0}
, { At } ,
:

[ A, B ]

d A+ , d A ,

(1)

= AB BA , A B -

d t
+

, d At d At

= d t

( ). . . .
, ,
.
(1) ; [ A , B] { A , B } =

= AB + B A

[ At , As ] = 0, [ At+ , As+ ] = 0, [ At , As+ ] = min ( t , s ),

.
. . . ( ,
),
.
.: [1] P a r t h a s a r a t h y K., An introduction to quantum stochastic calcules, Basel, 1992; [2] M e y e r P-., Quantum probability
for probabilists, B., 1993; [3] , . ., ., 1988.

; quantum stochastic process

( )
. . . .-
,
. , ,
,
. , . . .-

. , [1]-
; . . . ( A , ( jt ) t R, )

A ( , C W
), jt ( t R ) , B

A ( ), A -
( , , ).
A B E - , jt E - - -

, A , A . , , ,

, , -
.
. . .

{ At } ( ., { At + At+ }

Wt1, ... , tn ( X 1 , ... , X n ; Y1 , ... , Yn ) =

{ i ( At

As+

)}

- -

,
).

d X = d A+ F + G d A + H d t

(2)

{ X t , Ft , Gt , H t } , { At } W .
: {M t } ,

= ( jt1 ( X 1 ) ... jtn ( X n ) jtn ( Yn ) ... jt1 ( Y1 ) )

, n = 1, 2 , ... , ; t1 , ... , t n R , X 1 , ... , X n ,

Y1 , ... , Yn B ( ).
. . . , ,
:

At ] =

{N t } , (2) ,

484

V
j s (B ),
s t

A[t =

d MN = dM N + M dN + dM dN ,

(*)

V
j1 (B ) ;
s t

At = jt (B ),
tR .

, A - ( M t ] ) t R

At ] - , t R

Mt]

( At ] ) At , . . . . . .
. . . .

t ,s ( X ) = jt1M t ] j s ( X ), X B , t < s

, , B . . . .-
, .
( ,
).
(*) , B

,
( t1 < ... < t n )
,
. [3]- . . .
.
, .,
,
,

.
.: [1] ,
., 1988; [2] Quantum probability and applications II, Lect. Notes
Math., 1985, v. 1136; [3] L i n d b l a d C., Comm. Math. Phys.,
1979, v. 65, p. 28194; [4] . ., .:
. ,
, . 83, ., 1991, . 3132.

; quantum state , .
; quantile

. F (x) , = ( ) .

K 0,5 = 0, K 0, 6 = 0,25, K 0, 7 = 0,52, K 0,8 = 0,84, K 0,9 = 1,28 .

( x )

.: [1] ., , . ., ., 1956; [2] ., , . ., 2 ., ., 1975.

;
; quantile; a s y m p t o t i c f o r m u l a e f o r
. 1 , 2 ,..., n
.

M1 = m ,

, . F (x )
,
. .
= 1 2 . -

= 1,

... , n 1

= mn

( K m / n ) , n - ,

= 10

, n

Fn (x) = ( x ) + ( x )

K 9 10 K1 10

.
.,

(x) =

1
2

z2 2

dz

m) ( n ) .

(1 2 ) k +1

Qk ( x ) + o ( n (1 2) r +1 )

k =3

, n

yp = xp +

(1 2 ) k +1

Rk ( x p ) + o ( n (1 2) r +1 )

k =3

, ( x ) = (x ) , ( x )
, Qk (x ) , x p

y p , ( x p ) = 1 p Fn ( y p ) = 1 p

, Rk ( x ) 1 , ... , k -
, i

= M ( 1 m ) i . .,
R3 ( x ) =

= 100

K m 100 . ( K 3 4 K1 4 ) 2

S n Fn (x)
n

F ( x ) . n = 4
K m n , n

D1 = 2 , S n =

i =1

. .

K1 / 4 = 0,67,

K 3 / 4 = 0,67 .

0 < < 1 , F ( K ) , F ( K + 0)

. m

K 0,1 = 1,28, K 0, 2 = 0,84, K 0,3 = 0,52, K 0, 4 = 0,25,

R4 ( x) =

3
6 3

( x 2 1) ,

32
( 4 3 4 ) 3
( x 3 x)
(2 x 3 5 x) .
4
24
36 6

.: [1] . ., . ., 1959,
. 4, . 2, . 13649; [2] . ., .
., 1963, . 8, . 2, . 12955; [3] , . ., ., 1979.

; tim quantization , / .

( x ) - ( , ):

485

, ; message quantization

, R - .
, ; .

( ) - Ai

; quasismooth Markov
process ( X , B (X ) ) -

, Ai

ai Ai Ai -
.
. . .
. .-
.
.: [1] ., ,
. ., 1974; [2] . ., , .,
1965; [3] B e r g e r T., Rate distortion theory, Englewood Cliffs
( N. J. ), 1971.

; Kwapien
theorem , p .

; Kwapien Schwartz theorem
, .

; quartile
; = m 4 K , m = 1, 2 , 3.
m = 2 K1 2 .- - .

. ( K 3 4 K1 4 ) 2 ; K1 4 K 3 4
,
.
.: [1] ., ,
. ., 2 ., ., 1975; [2] ., , . ., ., 1967; [3] ., , . ., .,
1956.

;
quartile distance ,
( ) ; . .
0,67449 .

2 3 ;
.

,
( x ) /

, ,
.
.: [1] . ., , . ., ., 1958.

( ) ; simple quasirange , ( ) .
; quasi diffusion process

L =

i, j 1

aij ( x)

2
+
xi x j

=
i 1

bi ( x )

c( x)
xi

( , A , A, P ) A

{ t , t 0}

0 s < t , B B ( X )
P { t B | Fs } = P { t B | s }
P X - , X - , m 1 , ... , m D

R m - F
F ( 1 , ... , m ) D , D
a ( , x, t ) ,
t

( t )

a ( , s , s ) d s , t 0

( P, A ) . . . .- .
.: [1] . ., . .,
, ., 1982.

; quasi-infinitesimal operator t , t 0 L -,
2

C 0

, f C0

t 0
t

M f ( t ) f ( 0 ) = M

L f ( s ) d s

.
.: [1] . ., , ., 1963;
[2] . ., . . . ., 1973, . 37,
. 691708.

; quasi invariant measure
,
. : ( , A ) (
) G
( g : , A g

g G

g ( A) = ( g A ), A A ( ),
( , A ) - G -

. , G

[ G

486

- ,

G Q : ( g , x ) g x G
], A , -
,
. . ( , [1] ). ., R

x x + a,

x, a R

, . .- , , .
, . .
, .,
.
, , .
.: [1] ., . . . , . ., .,
1970; [2] . ., . .,
.
, ., 1961.

; quasi invariant measure / of a

filtiration , , .
, ; quasi left continuous
process , .
,
; quasi left continuity o f a f a m i l y o f a l g e b r a s / o f a f i l t r a t i o n ,
.

; quasi compactness condition ,

; quasimartingale ( Ft ) t T
= ( t ) t T

t T

var [ 0,T ] ( ) = sup M

n 1

1) ( x, y ) = 0 , x = y ;
2) ( x, y ) = ( y , x) ;
3) ( x, y ) ( x, z ) + ( z , y )
, ( x, y ) U

. . U -
, 1) :

( x, y ) = 0 x = y
.

; quasi-sufficient statistic ,
.

; quasimeasure

; quasi-regular system , K .
; quasi-symmetric distribution u P{ > x} = P{ < x},
x > 0 ,
u , u + > 0 . . .
[1]- . . . - , ,
- . .-. ,
, . .- ,
w0 ( t ) w1 ( t ) ,
. P{

M ( tk +1 tk | Ftk )

t n = t < , n 0, t 0 , ... , t n T
T T = { 0 , 1, ...}

= 0} = 0 ( ) -

, sup 0 = t0

...

,
. U
, ( x, y ) :

t R1 ( u + ) w1 ( t ) = ( u ) w0 ( t ) -

k =0

t1

; quasimetric

= [ 0, ]

. .,
.-. .
; ( t > 0 )
. ( Ft ) ,
- .- ,
. (
) . :

P { sup s } | a | + var[ 0, a ] ( ), > 0

0 s a

. . .
.: [1] D e l l a c h e r i e C., M e y e r P.-A., Probabilities et
potentiel. Thorie des martingales, t. 12, P., 197580.

sign .
.: [1] . ., . .,
1957, . 2, . 4, . 44469; [2] ., . . .,
1972, . 12, 1, . 2339; [3] . ., .
., 1986, . 31, . 4, . 71729.

; quasi variational inequality ,

.

; -

; quasi variational inequality;

impuls control / correction of diffusion
processes

(U , V U ) L (V U ), U K

(1)

487

, L

, K , U K
K U - ( K U -
, (1)
).
( ) , (1) ( ) . (1)
, , .
.

d x ( t ) = a ( t )U d t + b ( t ) d w ( t ) ,

0 t T , x Rn , U Rn ,

(2)

U dt q0

( ) M F ( r ( T ) ) - -

r= x , F 0

. V ( , r , q )

D = { , r , q : 0, r 0 , q 0} ;

D1 , D - , Q = ( )Vr +

+ Vq < 0 ; Vr = V r , D2 = D \ D1 , ( ) = a (t )
D1 D2 . Q D -

=0

(2) , D1 -, . D2 -
( , r , q ) Q = 0

r ( ) q = const r q -
- (
, - )
q = 0 . V

D1 -

1
n 1
Vr ; D2 Q = 0
Vrr +

2
r

(3)
V (0, r , q ) = F (r ), V ( , 0, q ) = 0; Q = 0, Qr = 0
.

, (3)

V = 1/ 2 ( y, z ) , y = A q k 1 / 2 , z = r 1/ 2

(6)

. 2-
.
.
N - ; si .

; qi R ,

i =1

si

qi

qi q0 . i

D = D1i U D2i D1i - , D2i - i

i

. D1 D2
i

V ( , r , q )

b2 ( s ) d s .

Q 0 . D1 - U

(5)

D1 V =

r C r , C 2 , q C 1 2 k q , V C l V .

(4)

. (3) ( C
) :

x ( si + 0) = x ( si 0) + a( si )qi .

Fr = r l , ( ) = A k

1
n 1
Vr ,
Vrr +

2
r

D2i - V i ( , r , q) = min V i 1 ( , r ( ) y , q y ), (7)

y Y

Y { y : 0 y q, ( ) y r}; Vri ( , 0, q ) = 0

i
0
i

V ( , r , 0) = V ( , r , 0 ), V (0, r , q ) = F ( r )
D1i -

Vi =

Vr - - -

. (4) , (7) (5)

(7) (6)-
.
.


. ,
.
.: [1] ., . ., .,
, . .,
., 1979; [2] B e n s o u s s a n A., L i o n s J. L., Contrle impusionnel, P.,1982; [3] . ., . ., , ., 1978; [4] ., . .,
, . ., ., 1980.

 ; Galerkins approximation ,
.

, ;
distribution tail
{ < xmin } { > xmax }
, xmin

xmax ,
.
.

,
; residual sum of squares

. , . . .-
2

-
, ,

2 - 2 -

. , . . .-
F ,
.
.: [1] ., , . ., .,
1980; [2] ., , .
., ., 1980.
*

, ; remot equivalence sequences ,

; remote
event

( X n ) n N

; Gallager function , ()
.

; sojourn / occupation time , .

; Galton Watson process ,
( E , h ) , ; . ( F. Galton ) .
( G. Watson ) ; 1873-
.

. . . ( , ).

; gamma approximation
Ba , b ( x ) - a = const b
.
Ba , b ( x )

P { < x } = I x ( a , b ) Ba , b ( x ) =

( ) . , Rn
, X n , X n +1 , ...
, . . Rn - .

. . ( ,
).
.: [1] ., , . ., ., 1962;
[2] . ., . .,
, . 1, ., 1971.

. .-
. .-

1
B(a, b)

a 1

(1 t ) b1 d t , 0 x 1

a b ( a

> 0, b > 0 )

,
1

B(a, b) =

n ( X n , X n+1 , ... )

; residuals

.
.: [1] ., .,
, . ., 2 ., .: 12, ., 1986; [2] .,
, . ., ., 1980.

t a 1 (1 t ) b 1 dt

Ba , b ( x ) 1 Ba , b (1 x ) , x [ 0 , 1]

0 < a b . .
b 50 Ba , b ( x ) - ( , [1] ). b

> 50 -

Ba , b ( x ) - . .-
( , [1] [3] ), a

= const

b ,

489

Ba ,b ( x ) =

1
(a)

0 < x

( 2b + a 1) x ( 2 x )

z a 1e z dz + O ( 1 b 2 )

(*)

< 1 x -

. , a b
, =

= ( 2 b + a 1) ( 2 )

.
. .
. Z , n p

, 0 < p < 1 . Ba , b ( x )
:

P {Z m } =

> 1 - :

Cnk

p (1 p )

nk

= Bn m , m +1 (1 p ) ;

(1) = 2; ( 2) = 4; (3) = 6; ( 4) = 8.

k =0

. .- G ( x )

(*) . .- , m

= const

n
1
P{ Z m} =
( m + 1)
0 < p

<1

t e dt + R
m

k =0

yk y
e + R
k!

p - -

.
.: [1] ., , .
., ., 1974; [2] ., ., F , . ., .,
1984; [3] . ., . .,
, 3 ., ., 1983; [4] .
., .
, ., 1987.

( )
;
gamma percentile operating time to failure ,
, .

; gamma distribution

1
x 1 e x
( )

y 1 e y dy

x = 1 ( 1)

1 ( 1)

>1

( ) .

. 0 <

<1

( ) -

= 1

g ( x ) x -

x + 0 , g ( x )
. . .-

f (t ) = (1 i t )
,

m k = ( + k ) ( ) , k >
. . .- - , As

=2

Es = 6 -. . .-
:

g 1 g 2 = g 1 + 2 .
. . , . , = 1 . . .
. . .- ,
- ,
, ( 0 , 1)
X 1 , ... , X n -

( , ) , (0 , ) - -

490

g ( x )

1
( )

, m

O ( 1 n ) , y = y0 = ( n m ) p,

2
O (1 n ) , y = y1 = p ( 2n m ) (2 p ) ,

y = y2 =
O (1 n 4 ) ,
R=
6 y1 ( 2n m ) 2

=
2

6(2n m) + [m ( m + 2 ) + my1 2 y12 ]

g ( x ) =

G (x) =

>0

= X 12 + ... + X n2 -

0, 5 g n 2 ( x 2 ) - n -
. , . . , ,

 ( ., , F z ). 1 2 g 1 g 2 ,
, 1 ( 1 + 2 )

(1 + 2 ) 1 1
x
(1 x) 2 1 , 0 < x < 1
(1 ) (2 )
.
. .- a + b ,
III . . .-

. . .

( , [1] ).
.: [1] . ., , ., 1963.

; closed
set A
( ., U , I , \ ) A -

, A
.

; closed queuing system ,
.

; closed plan
, .

; closed class .
, G , -
. G -

G , G
.
, A F , ,
-
,
A , , , ,
;
F , , ,
. ., A A A A ;

Ai A , i = 1, n

U A A , I A A
i

i =1

i = 1, 2 , ... ,

= b0 Z ( t ) + b1 Z ( t 1) + ... + bq Z ( t q )
,
{ ( t ) , t T , T = { 0 , 1, 2 , ... }}

i =1

F - . F -
T f : S
, F . T f

= { F : F F , F I K = },

FG = { F : F F , F I G },

a1 , ... , a p ,

b0 , ... , bq ,

{ Z ( t ) , t T } ,
, Z ( t )

s, t T

= 0 , Z ( s) Z (t ) = s t ,

; ( p , q ) . . .-

( , ) .
. . . . . ,
p 2 , q 2 .
.: [1]
, 2 ., ., 1985; [2] ., .,
. , . ., . 1,
., 1974; [3] ., .,
, . ., ., 1976.

, i ,
; autoregres sivemoving average process,
ARMA process , (t ) , t = 0 , 1, ...

. Ai F ,

; closed random set

( t ) + a1 ( t 1) + ... + a p ( t p) =

( t ) + a1 ( t 1) + ... + a p ( t p ) =

= Y ( t ) + b1 Y ( t 1) + ... + bqY ( t q )

;
confound method , .
( ) ;
mixture o f s t a t e s , .

; autoregressive moving average model

i =1

U A F , I A F
i =1

; K
, G S - .
, .

, Y ( t )

(*)

= 0 , Y ( t )Y ( s ) =

= t, s , t , s [ Y (t )
2

2 - ], p q

, a1 , ... , a p , b1 , ... , bq
. ( z )

1 + a1 z +

... + a p z

=0

,
. (t )

491

f ( ) = ( 2 2 ) ( e i )
, (z )

( e i )

= 1 + b1 z + ... + bq z q .

(*) ( t 0 1) , ..., ( t 0 p ) , t t 0 (t )
( z )

=0

| z | 1
( , ., [1], [2] ).
. .

- ( , [3] ). . . ( q = 0 )
( p

= 0 ). -

. . ( ),
,
. . .
( , [1] ).
.: [1] ., ., . , . ., . 12, ., 1974; [2] ., , .
., ., 1976; [3] D o o b J. L., Ann. Math. Statist., 1944, v. 15,
p. 22982.

;
;
; i n v e r t i b i l i t y c o n d i t i o n f o r ARMA process , (t )

Y (t ) t , ( t ) t t s , s

; mixed
moment , , .
; mixed game
, .

;
mixed strategy , .
;
space of mixtures , .
; mixing
t , R
lim P ( t ) = P ( ) P ( )

, t , t T
( E , B ) - , ( , A , P)

= { 0 , 1, 2 , ...} )
= [ 0 , ) ) , R
, t T t
, t , t T , R
( T
( T

t , t T : t ( ) =

= ( t+ ) t , ,
+

, t ( , ). . .
.- . .,

t
, R

> 0 -

(
) .

( t ) + a1 ( t 1) + ... + a p ( t p ) =

= Y ( t ) + b1Y ( t 1) + ... + bqY ( t q )

lim

( , [1] ).
Y (t ) - (t ) ,
,
, .


( , [1], . 4 ).
.: [1] ., ., .
, . ., . 12, ., 1974.

P ( I

) du = P ( ) P ( )

.
. , :

lim

( z ) 1 +

+ b1 z + ... + bq z q = 0 | z | 1 -

1
t

sup

R + , R s +t

P ( ) P ( ) P ( ) = 0 ,

( R s ), s ( s ) t

.
.,

lim

sup

t R s , R
s+t

P ( | ) P() = 0

.
.: [1] . ., . ., , . 1, ., 1971; [2] . ., . ., , .,
1965.

;
analysis of variance
, ; .

;
multiple mixing , .
K K ; K mixing ( , A , P )

492

T :
k A0 , A1 , ..., Ak A

( )

mixed model i n t h e

lim

sup

A An ( A1 , ..., Ak )

P ( A0 I A ) P ( Ai ) P ( A ) = 0 ,

An ( A1 , ..., An ) , T Ai , m n , i
m

= 1, ... , k -

. K .

T - K (
).
.: [1] . ., . ., . .,
, ., 1980.

; mixing conditions f o r r a n d o m f i e l d s
- ( ) . X (t ) , t T R

( , A , P)

. U R

U - X

= { X ( t ) , t U I T } ( A X (U ) = { , } ,

A X (U )

U I T = ). ( )
A X (U 1 ), ..., A X (U k ) , k N , U i R n , i = 1, ..., k .

, U 1 , ..., U k . ( ,

)
.

T ( , [1] [6] ). ( A , B) ,
A , B A
, A ,

B ,

(A, B ) = 0 .
,

X (V1 ; V2 ) = ( A X (V1 ), A X (V2 ) ) , V1 , V2 R n . (1)

. . V1 , V2 X ( V1 ; V2 ) 0 . m , d , d (V1 , V2 ) m A X (V1 ) A X (V2 ) -
. d (V1 , V2 )

=r

, V1 V2 , X (V1 ; V2 ) . ., , V1

V2 ( )
, r - ( ) , V1 V2 -
, V1 V2 - ( )
.
, ( ., )

. ., I , J T

f ,

cov f ( X ( t ) , t I ) , g ( X ( t ) , t J )

d (I , J ) , I

J -

,
.
[7]-
. . . ,
, , [8] [10]- . ., X k

FA1 , ... , FAk

min d ( ti , t j )

1 i < j k

M ( FA1 +t1 ( X ) ... FAk +tk ( X ) ) M FA1 ( X ) ... M FAk ( X )

;
FA+t ( X ) = FA ( t X ), ( t X )( s ) = X ( s + t ) . ( , [11] ).
X ( t1 ) , ... , X ( t k )
, cum ( X ( t1 ) , ... , X ( t k ) ) = 0 . ,

X ( ti ) , i = 1, ... , k -

.
cum ( g1 ( X ( t1 ) ), ..., g k ( X (t k ) )) - g i , i = 1, ..., k -

( ,
[10] ), t1 , ..., t k . ,
X ( ) , - . [12]-, [13]-,
[14]-,
[15]-, [10], [16]- .
.: [1] . ., . .,
1968, . 13, 2, . 20129; [2] . .,
, ., 1986; [3] . ., , ., 1989;
[4] E b e r l e i n E., T a q q u M. S., (eds.), Dependence in probability
and statistics, Boston, 1986; [5] B r a d l e y R. C., Statist. Probab.
Letters, 1989, v. 8, p. 48991; [6] D o u k h a n P., Mixing properties
and examples, Lect. Notes in Statist., v. 85, B. etc, 1995; [7] B r a d l e y R. C., U t e v S. A., in: Proc. sixth. Vilnius conf., Utrechet,
1994, p. 99120; [8] . ., . ., . ., , ., 1980; [9] B r a d l e y R. C.,
B r y c W., J. Multivar. Analys, 1985, v. 16, 3, p. 33567;
[10] . ., . ., , ., 1985; [11] ., .,
, , 1989;
[12] C h e n L. N. Y., Z. Wahr und verw. Geb., 1978, Bd 43, S. 223
43; [13] . ., . , 1982, . 37, . 6,
. 328; [14] . ., , .,
1981; [15] N e w m a n C. M., in Inequalities in Statist. And Probab., Hayward, p. 127140; [16] .-.,
, . ., ., 1992.

; mixing conditions f o r r a n d o m p r o c e s s ( T R ) . R -
V1 , V2 R

493

 X ( V1 ; V2 ) ( ,

,
(1) ), V 1 V2

, , V1 , V2 , V1 V2 - . , V1 V2 . X (t )
X ( r )

= sup { A X (( , t ] ) ,
t

A X ( [ t + r , ))} . . , r
X ( r ) 0 .
. A , B A

, (A, B) =
P ( A B) P ( A) P ( B)

: A A, B B, P ( A)P ( B) 0
(P ( A)) (P ( B))

= sup

= = 0
= 1 , = 0
( ), = = 1
.
,

( ),

.
:

( A , B) =

= sup { corr ( f , g ) : f L2 ( , A , P ), g L2 ( , B, P )}

i =1

j =1

; mutually independence ,
.

; phase cross spectrum , .

; cross correlation function ,

, 1 ( t ) 2 ( t ) (
) :
1) 1 ( t ) 2 ( t ) - s t -

( corr ( , ) )

1
( A , B) =
sup
2

[1] [3]. , [13].

.: [1] . ., . .,
, ., 1965; [2] . ., . ., ,
., 1970; [3] . ., , ., 1963; [4] P h i l l i p W., S t o u t W., Mem. Amer. Math.
Soc., 1975, v. 161; [5] R o s e n b l a t t M., Stationary sequences and
random Fields, Brekhauses, 1985; [6] Y o c h i h a v a K., Weakly
dependent stochastic sequences and their application, v. 14, Tokyo,
199296; [7] . ., . .,
1973, . 18, . 2, . 32138; [8] B r a d l e y R., Probab. Theory Related Fields, 1987, v. 74, p. 497503; [9] . ., . ., , ., 1986; [10] . .,
, ., 1964; [11] S t a t u l e v i c i u s V. A., Proc.
Int. Congr. Math. Vancouver, 1975, v. 2, p. 17381; [12] ., . , .
., ., 1980; [13] D e n s c h e l J. D., S t r o o c k D. W., Large
deviations, Boston, 1989.

M 1 (t ) 2 ( s ) = B12 ( t , s ), t , s T ;

P ( Ai B j ) P ( Ai ) P( B j ) ,

( -
Ai A , i = 1, ... , I , B j B , j = 1, ..., J )
. , [1] [6]. m
[ . .
t - A X ( ( , t ] )

2) ( )
M [ 1 ( t ) M 1 ( t ) ] [ 2 ( t ) M 2 ( t ) ] = b12 (t , s );

3) t s - , 1 ( t ) 2 ( s )

b12 (t , s ) [ D 1 ( t ) D 2 ( t ) ]1 2 = 12 ( t , s ) .

A X ( ( t + m , )) -

. . . , , 12 ( t , s ) ,

b12 ( t , s )

], r
X ( r )

= 0 . A -

4 2

1/ 2

.
. . [7]- , [6], [8]-

.
. .- , [9].
. . , [10] [12].
[ ., A

IA

( ( , t ] )

] . .- ,

494

; , B12 ( t , s )

, b12 ( t , s )

, 12 ( t , s )

. B12 ( t , s ) ,

b12 ( t , s ) 12 ( t , s ) , ,
k

( R Z - )
, t s , .

; cross correlation function , .

 ; cross covariance
function , .
*
; cross covariance
function { 1 ( t ) ; t T } { 2 ( t ) ; t T }
( )

b12 ( t , s ) = M [ 1 ( t ) M 1 ( t ) ] [ 2 ( t ) M 2 ( t ) ]

( s , t T ) . b12 ( t , s )

; cross covariance operator

. X Y , B1

B 2 ,

( B1 , B 2
).

R XY : B 2 B1
X Y
.

= R XY b1 B1 , b2 B2

[ b1 ( R XY b2 ) ]2 b1 ( R X b1 ) b2 ( RY b2 )

, R XY RYX -
, R X RY , X Y -
X
, R XY = 0 .

; mutual quadratic characteristic / mutual variation

, ;
.

; reley cross correlation function ,
.

; cross
spectrum , ( )

; cross spectral function
, ( )
.

( )
; interaction

; Gauss inequality , .

; Gaussian white noise , .
;
Gauss transform , ( )

; Gaussian dynamical system

( H , , G ) , H , G = Z - R -
( , ) ( Z ) ( ) ,
,

b1 B1 , b2 B 2

RYX

; interaction / coupling ,

( R ) , X (t ) , t G -

b1 ( R XY b2 ) = M b1 ( X ) b2 ( Y ) M b1 ( X ) M b2 ( Y ) ,

( )

; 1 ( t ) 2 ( s ) , t s -

; cross spectral density ,

, H - .
G H -
:

( Tg f ) ( ) = f ( + g ) , g G .
. . .
; (
) . . ., ,

. 20- 30- . . , . . [1]- ;
, . . .-

. ,

( , [2] ) [4], [5]- . . . .
M X ( t ) 0 , X (t )
. . .

B ( s, t ) = b ( s t ) = M X ( t ) X ( s )
F :

b(u ) =

i hu

dF (u )

, G

= S 1 = R . . . .-

F
.

495

1) . . ., , , F
, . . .- .
2) . . ., , ,
lim b(u ) = 0 ( , [4] ).

= ( ..., Y1 , Y0 , Y1 , ... )
~
~ ~ ~
, Y = ( ... , Y1 , Y0 , Y1 , ...) . . ;
., Y

n=0

= 0 , F n ,

F G - n ( , [1] ).
F
. (
), , ( [2], [5] ).
4) . . .- F -
, ,
. F ,
. . . K ( , [4] ).
5) . . .- .
6) . . .- , , ( )
.
. . .- , -

H,

n=0
n

S , n - , H , H -
, H

= L2F ( G ) .

[5]- . 20-
30- [
; , [7] ] , . [6]-
. [3]- . , , . .
. . .- . . .-,
;
: . . .
.
.: [1] . ., . .. 1950, . 2, 2,
. 2547; [2] . ., . , 1958, . 119,
5, . 85153; [3] I t K., Japan J. Math., 1952, v. 22, p. 6386;
[4] . ., . ., . ., , ., 1980; [5] . ., .
, 1962, . 144, 1, . 912, 2, . 25560; [6] .,
, . .,
., 1961; [7] ., P[ ]

12

496

f Y ( ) d ( ) S

1 2

C=

a ( )

1
2

12

1 2

a ( )
log max
( )

, 1 d ;
f Z ( )

e 2 i k ,

k =

max

1 2

12

( )
a ( )

f Z ( ), 0 d = S

.
.: [1] ., ,
. ., ., 1974; [2] . ., .
., , ., 1982; [3] .,
, . ., ., 1963,
. 243332.

;
Gaussian covariation B - :
( f , g ) =

f ( x) g ( x) (dx) f ( x) (dx) g ( x) (dx) ,

B

f, gB
B

R : B B ( f ( R g ))

= ( f , g )

.
. -
.
T = [ 0 , 1] , [ 0, ] , ... , C (T ) . .

R ( s , t ) = M (t ) ( s ) M (t ) M ( s )

. . . .

( )

, C :

, . ., ., 1976.

; Gaussian
channel

f Z ( ) - , 1 2 1 2 ;

, :

M Zi = 0,

L ( H ) -

L2 ( H )

i = 0, 1, 2 , ... ,

ak Yi k + Z i ,

Z = ( ... , Z 1 , Z 0 , Z1 , ...) Y -

, F

k =

1 n
F
n!

~
Yi =

3) . . .-

{ = ( t ) , t T }
.

; Gaussian law
. . .
.
.

e h

2 2

h>0

(*)

( ,
) . ( 1809, , [1] ) . [ 2, 3,
. 177 ]- : , , .
: ,
z - x
( x z ) -. n

x1 , ..., xn

( x1 z ) ... ( xn z )

. . . (t ) , B ( t , s )

(2) B (t )

t - ( t
:

C e (t ) , C > 0, > 0, t R1 ,
B (t ) =
t
C > 0, | a | < 1, t Z1 .
C a ,

( t ) ( s ), t s ,
B (t , s ) =
( t ) ( s ), t > s

= c (t )

; (t ) .

t R1 t Z1

.
(
) ( ) .
. . .-
;
, . . . . , . . .-
( )
.
( t ) t > s > u
,

{ ( t ) ( s ) , ( u )} = M
{ ( t ) ( s ) }
M

{ (t ) ( s ) , ( u ) } ,
M

(1)

(s) ,

{ ( t ) ( s )} ( s ) -
(u ) -, M
(t ) - (
).

M ( t ) ( s ) = B ( t , s ) (t ) (1) : t

>s>u

B ( t , u ) = B (t , s ) B ( s , u ) B ( s , s ) .

(2)

B ( t , s )
, (2)
( , ., [1], 2, 4 ). , . . .-
B ( t , s ) (2)
- .

; Gaussian Markov process ,
,

(4)

, (t ) ,
, (t ) , ( t ) (t )
(4) (t ) (t )

(3)

, . . .
( . , , [2] ).
. . . (2) B ( t , s )

z = ( x1 + ... + xn ) n ( z - ) .
, ( x ) x ( x) x -

( x) (*) . ,
.
.: [1] . ., . ., . .
., . 1, ., 1957, . 89109; [2] P o i n c a r e H., Calcul des probabilites, 2 d., P., 1912.

= B( t s )

= (t ) W ( c( t ))

, W (t ) . . . (t ) =
={ 1 ( t ) , ..., n ( t )} B ( t , s ) =

M i ( t ) j ( s )

>s

; B ( t , s ) ,

{ (t ) ( s )}
M

= R ( t , s) (s) , R ( t , s ) =

= B ( t , s ) [ B ( s , s )] ( B ( s , s )
R ( t , s ) [3]- ). (t ) -

. . . t s u
R ( t , u ) = R ( t , s ) R( s , u )
( R ( u , t ) = R ( u , s ) R ( s , t )
; , [3] ). . . .- n
. . .- ( . ) n -
( , [4] ).
. . . (t ) B ( t , s ) = B ( s t )
. [3] [6]- ,
, , B(0)
, ,
. . .- , B (t ) , t > 0 ,

B (t ) = B ( 0 ) e Q t , Q
. , , [7]- , . . .-
. .
( , [5] ) ,
, ,
. . .- ,
F ( ) - ,

497

 F ( ) - F ( )
.
[5]-
i

, , e .
. . .
( , ., [3], [4] ). , ; .
.: [1] ., . , . ., ., 1983; [2] . ., , . ., ., 1956; [3] B e u t l e r F. J.,
Ann. Math. Statist., 1963, v. 34, 2, p. 42438; [4] M a n d r e k a r V., Nagova Math. J., 1968, v. 33, p. 719; [5] D o o b J. L.,
Ann. Math. Statist., 1944, v. 15, p. 22982; [6] W a n g M. C., U h l e n b e c k G. E., Rev. Mod. Phys., 1945, v. 17, 23, p. 32342;
[7] . ., . , 1964, . 156, 3,
. 49598.

; Gauss model

, .

,

. . ., ,
. . .-
( )
.-,
.- .
. . ( ,
).
, .

; Gaussian measure i n B a n a c h s p a c e

B - , b B
(
1

R - R -
B

= 0 o b 1

. , B

b - a R
1

d > 0 , E R
1
b* ( E ) = ( b ( E )) =

1
2 d

( R
B
). , , ,
. B -
.
B = l p , 1 p < ,

[f

( R fk )]p/ 2 <

(2)

k =1

, f k , k

= 1, 2 , ...

. , ( )
R
( ).
(2)
.
, . .- ]

; Gaussian
measure , , -

, )

B -

( t a) 2
exp
2d

. . .
1935- ( , [1] ).
. . -

= A S A

, A , H - B -

0 1 : B
0-, , 1- . B - . . , ( . .- ). ,
.
, R
, B - . . , R B

B - . ,

= 0 , b = 0 ),

- B . ,
( , ( )
), , B -
. . .
C [ 0 , 1] -
,

(1)

, m B R , B -

, A , A - , S , H - .
. .- . ( , [4] ). B . .

( R b

dt

( b ) = exp {i b ( m ) b ( R b ) / 2}, b B

. : B - B - B - . .- , , ,
2 . 2 B -
. .
. .- ,

( R f )(t ) =

min (t , s ) df (s)
0

B - . m
, R , .
, B , (1)

, C [ 0 , 1] - . .-.

498

B - . .- -

<

1
R
2

exp {

G , (G ) . G -

} d ( ) < .

, ( mG -

B
. .- . ,

, ,
B - ( - -

). B , ,
,

B . ,

.
.: [1] K o l m o g o r o v A. N., C. r. Acad. sci. Paris, 1935,
t. 200, p. 171718; [2] V a k h a n i y a N. N., C. r. Acad. sci. Paris,
1965, t. 260, p. 156062; [3] T a l a g r a n d M., Acta math., 1987,
v. 159, 12, p. 99149; [4] . ., , . ., ., 1979.

; Gaussian distribution ,
, .

; Gaussian distribution o n a l o c a l l y c o m p a c t A b e l i a n g r o u p G

) ( , [2] ). G
. , , ,
. . , . .,
. . .
. . .
: . . ,
.
.: [1] . ., ., . . ., , 1965, . 9, 2, . 11546; [2] . ., . ., 1978, . 23, . 3,
. 54969; [3] . .,
, ., 1990; [4] F o r s t G., Math. Scand., 1974, v. 34, p. 21118.

; Gaussian process

, ( t1 ) , ..., ( t n )

t1 ,..., tn ( u1 , ..., u n ) =

= exp i

:
1) ;

2) = e (F ) , e( F ) , F

,
, F .

A ( tk ) uk

k =1

( g ) = ( g , g ) exp{ ( g ) }

(*)

, ( g , g ) , g g -
, (g ) , G - , ( g1 + g 2 ) +

+ ( g1 g 2 ) = 2[ ( g1 ) + ( g 2 )] ,
G , G ( , [1] ).
- (*)
g

=0

, , -

. (G ) , G . .- ,

s (G ) , G - . .- . s (G )
( R

R - ) . .- ( , [2] ).
G - t , t > 0
,
(G ) , , G
U

lim

t0

t (G \ U )
t

=0

( , [4] ).

1
2

B ( tk , t j ) uk u j

k, j =1
n

= (t ), t T

A ( t ) = M ( t )

G = R n - .
- G
.
G , ,
,

t1 , ..., t n T

B ( t , s ) = M [ ( t ) A ( t )] [ ( s ) A( s )]
.

= (t )

. .- -

A (t )

B ( t , s ) , s , t T .
A (t ) B ( t , s )
(t ) . . ,

A(t ) B ( t , s ) -.

i1 ( t1 ) , ..., in ( t n ) , (t )

= { 1 ( t ) , ... , m ( t )}

.
1 ( t ) , 2 ( t ) . .

= 1 ( t ) + i 2 ( t ) = (t ), t T . ( t ) = 1 ( t ) + i 2 ( t ) . .
, : M ( s ) (t ) = A( s ) A(t )
, A ( t ) = M ( t ) .
, ( t )

499

 .
:

M [ 1 ( t ) A1 ( t ) ] [ 1 ( s ) A1 ( s )] =

U . . .
,

= u,

= M [ 2 ( t ) A2 ( t )] [ 2 ( s ) A2 ( s )] = Re B ( t , s ) 2 ,

A (u ) =

M [ 1 ( t ) A1 ( t ) ] [ 2 ( s ) A2 ( s ) ] = Im B( t , s ) 2 ,

u ( t ) A ( t ) dt ,
a

b b

B (t , s )

= M [ ( t ) A( t )] [ ( s ) A( s ) ] , (t ) = M 1 ( t ) , A2 ( t ) =

B (u , ) =

A1 ( t )

= M 2 ( t ) .

= u,

, u U

= M u,

B (u , ) = M [ u ,

A(u )] [ ,

A( )]

.
U , (u , ) ,

u , U . = u , , u U
. .-, U

A (u )

, B (u , ) U

B (u , ) = ( Bu , ) ,

u , U B ( U ) .
A (u ) B( u , ) U ,

= u , , u U A (u )
B (u , ) -
.
.

= (t ) , T = [ a , b ] . . ,

(t )
b

M [ ( t )]

dt <

. (t ) , t T

T
u = u (t )

. .- ( , , [1] ). (
,
)
.
.
.: [1] . ., , . ., .,
1956; [2] . ., . ., , ., 1970; [3] ., ., . , . ., ., 1969; [4] I t o K.,
J. Math. Soc. Japan, 1951, v. 3, 1, p. 15769; [5] I t o K., Japan
J. Math., 1952, v. 22, p. 6386.

;
; ; Gaussian process; s t a t i s t i c a l p r o b l e m s
, ( )
.

u( t ) ( t ) dt ,

;
;
; Gaussian
process; r e p r e s e n t a t i o n b y W i e n e r i n t e g r a l s
, m (t ) , t 0

A ( t ), x ) = ( B ( t ) x , x) ;

k =1

u U

k ( t ) ek ( t ) dYk ( t )

M ( t ) = A ( t ),

M ( ( t )

{ ek ( t ) , k ( t ) , k = 1, 2 , ..., m }

; B (t )
t

500

B (t )

u,

M Y12 < ,

( ( t ) , 1) = A( t ) , ( ( t ) A( t ), ( s ) A( s )) = B ( t , s ) .

= (t )

(Y1 , Y2 ) = M Y1 Y2 , H -

(t ) = A(t ) + ( 0) +

u( t ) ( t ) dt

. .- , Y
H - ,

(u , ) =

= (t )

.
t T

, U . . ,

. ,

= [a, b]

, T

(u ) = e i A( u ) B (u , u ) 2 , u U

a a

, A (t ) B ( t , s )

A (u )

B ( t , s ) u( t ) ( s ) dt ds

B (t ) =

B ( s ) d ( s )
0

 , (t )
, Yk (t ),

= tr B ( t ) ,

B (t ) -

k = 1, ..., m

M Yk ( t )

=0,

M Yk2 ( t ) = (t ) .
.: [1] . ., , 2 ., ., 1986.

( t ) , t 0 a (t ) ( s , t )
.
. :

1) ( t ) , t 0 ;
2) a (t ) ( s , t )
,
F = F (t ) , s < t

; Gaussian semimartingale
(t ) , t 0 ; -

. (t )

. (t )

t 0
= (t ) lim ( s ), t > 0 . (t )

(t ) ,

s t

(0) = 0 ,

(t ) =

f s ( u ) = 0
> s

f ( ) d ( , u )
s

s 0

( t ) = ( 0 ) + ( t ) + ( t ) ,
t

t(t ) =

I H ( s ) d ( s )

( 0 0

H = {t > 0 : P { ( t ) = 0} = 1} .

( ( 0 ) , ( ( t )) , ( ( t ))) ,
( ( t )) , t 0 , ( ( t )) ( ( t ))
,

- , H -
. (t )

( t ) = ( 0 ) + A( t ) + M ( t )

t 0

t+

M var ( A( t ))

A+ =

< , M M (t ) < , t > 0

2

I { ( s ) , s t + }
>0

( ( 0 ) , ( A( t )), ( M ( t ))) .

a ( t ) = M ( t ) ( s , t ) =

= cov ( ( t ), ( s )) . . . a (t ) ( s , t )
, ; ( s , t )
, ( s , 0 ) , ( 0 , t )

(s

i +1 ,

t j + 1 ) + ( s i , t j ) ( si , t j + 1 ) ( si + 1 , t j ) < ,

i, j

sup s
0

= s0 < s1 < ... < sk = s , 0 = t 0 < t1 < ... < tl = t

),

( ( t , t ) + ( s , s ) 2 ( s , t ))1 2 F ( t ) F ( s )
.
(t ) , (t )
, a ( t )

M ( 0 ) , (t )

(t , s ) = M ( ( s ) ( 0 )) 2 M ( ( t ) ( 0 )) 2 ,

(t ) = ( 0 ) + c ( t ) + d ( t )

( 0 ) .
t

d (t ) =

H ( s ) d

(s) ,

H = { t > 0 : M 2 ( t )

lim M 2 ( s ) > 0} .
s t

(t )

T = ( B, C , )

,
:

Bt 0 , Ct = ( M ( ( t ) ( 0 )) 2 ) c , c (R + R \ {0}) = 0 ,

sup

=0

(t )

( At ) , t 0 , ( M ( t )), t 0

, A

( )

0 0

1 2 ( s , s ) F ( t ) F ( s )

( s , t ) ( s , s )

I R + \ H ( s ) d ( s ) ,

= At +

12

f s ( ) f s ( u ) d ( , u )

s s

F(t ) F( s )

(t ) =

t s

f s = f s (u ) , u 0

e i x ({t}, dx) =

R \{0}

2
= exp
M 2 ( s ) , R , t H .
M ( t ) lim
st
2

501

= ( B , C , ) -

(t ) , T ,
B = 0 , c ( R + R | { 0} ) = 0 R

x 2 ({u}, dx)
2

R \{ 0}

M ( ( t ) ( s )) = 0 ,
x 2 ({u }, dx ), s < t .

; Gaussian cylindrical measure

U - ,
( , )
n

R ( R )
.
u* U *

(*)

, m
*

U -
. . .-, . . .-
, . . . ( )
. H ( ),

( h ) = exp{ || h ||2 2}, h H

, H - . . .
( )
. . . . .
U - . . , ,
. . .- , (*)
m = 0 r *

R : U U *

, r ( u )

. . . , U -

.: [1] S t r i c k e r C., Z. Wahr. und verw. Geb., 1983, Bd 64,

S. 30312; [2] . ., . ., , ., 1986.

, r U

u ( X )

R - , X
.

U ,

s < u t R \{0}

( u * ) = exp { i m ( u * ) r ( u * ) / 2},

. , u U
1

M ( ( t ) ( s )) = Ct C s +

, U -

x = 1.

; Gaussian random element

, . (t )

yA

.: [1] . ., . . . . .
. .- , 1980, . 98, . 11539.

R \{0}

2) S - S
f ( x ) = sup x ( y ) , x , S - ,

e ix ({t }, dx) =

= I ( ({t }), R \ { 0}) > 0) exp

: 1) 1 ;

= u * ( R u * ) . . . . ,

, , R ( , ).

; Gaussian random set
S A ,

u ( X )
. . . . ,
, X t , t [ 0 , 1] [ 0 , 1] -

C [ 0 , 1] - .
. . .- , U -
, ( , [1] ). U
, B , U -
.

X (U , B ) ,
X , B A
- U - .
(U , B ) -, X - , X 1 X 2 ( X 1 , X 2 )

(X1 X 2 )

( X 1 + X 2 )

2,

2 , -

X -
, X . U , ,
,
- .
X (U , B ) . . ., p U -

B , M exp{ p 2 ( X ) } < -

.
.: [1] ., .: .
, . 10, ., 1978, . 63132.

; Gaussian random variable

(u ) = exp ( i m u 2 u 2 2 ) , < u <

,

< m < +,

0 . ( m , 2 )
2

502

~ N ( m , 2 ) ,
. m

2 : m
2
, .
2 > 0 ,

; Gaussian random matrix

.

= U n S n U n , n n =

ij

. . .-

( , ). n -

p ( x) =

. ., . 4, ., 1964; [8] D a r m o i s G., C. r. Acad. Sci. Paris,

1951, t. 232, . 19992000; [9] . ., .
, 1953, . 89, 2 , . 21719.

( x m) 2
exp
2 2
2

N ( 0 , 1)

x ( , )

, n k -

.

. ( C. Gauss, 1809 ) . ( P. Laplace, 1812 )

.
.
( m = 0) ,
.
, ,
, ,
.
. . ., , ( )
( , [4] ).
, , ,
. . .- .

. . .- .
, , . . .- ,
. . . . . ( P. Lvy )
, . ( H. Cramr, 1936 ) .

, .
. . .-
.
, . . . .


1926- . . ( ,
[7] ). [8] [9]- : 1 , ..., n

a11 + ... + an n , b11 + ... + bn n , a j , b j , j = 1, ..., n

, a j

b j 0 j - j . . ..
.: [1] . ., , 6 .,
., 1988; [2] . ., . ., . .
., . 1, ., 1957, . 89109; [3] L a p l a c e P. S., Thorie analytique des probabilits, P., 1812; [4] . ., , . ., ., 1968;
[5] C r a m e r H., Math. Z., 1936, Bd 41, S. 40514; [6] . ., . ., , ., 1972; [7] . .,

2 n ( n +1) / 2

j =1

j ! exp

yk

k =1

i j

yii yij

i , j = 1, ..., n , arg y11 > ... > arg y nn

, S n sij , i

> j

( U n

sij - ) N ( 0 , 1)
.
n
,

P { Re k < xk , Im k < yk , k = 1, ..., n }

( , [1] ).
n ij , i j , i , j = 1, ..., n
N (0 , (1 + ij ) / 2 ) , n
H n

= hij , h1i 0 , i = 1, ..., n n

P { H n L }

= 2 ( L) ,
n

, n G

, L , G
, n

n ( n +1) / 4

i =1

1
{ [(n i + 1) / 2] }1 exp
2
y1 > , ..., > y j

y
i>j
i =1

yi y j

.
.: [1] . ., ,
. , 1985, . 40, . 1, . 67106.

;
Gaussian state , ,
.

503


; Gauss Laplace distribution ( ,
, ,
. )
,
. . .
. ( 1809 ) . ( 1812 )

. . ,

() =

e h

2 2

, h

>0

( , ). . , ,

e t dt

2n p (1 p ) , n p +

Q ( y, ) =

e ()
2
i

( xi ) , ei = yi ( xi , )

i =1

,
, N

( x ) e ()

i =1

. ( C. Gauss ) , Q( y , )

s +1 s = M s1

f s ( xi ) ei ( s ) 2 ( xi ) , s = 0 , 1, ..., n . (*)

i =1

Ms =

f s ( xi ) f sT ( xi ) 2 ( xi ) , f s (x) = ( x , s ) s .

i =1

( ) n
p ( n p

D i = 2 ( xi ) , R p .

2 n p (1 p ) ) -

= ( x , ) Q ( () , ) = 0 ] =
~

= arg min Q ( y , ) , ,

( xi , s )

.
1733-
. ( A. Moivre ) p = q = 1 2

(*) (
)

.
.: [1] . ., . ., . .
., . 1, ., 1957, . 89109; [2] L a p l a c e P. S., Thorie analitique des probabilits, P., 1812; [3] T o d h u n t e r I., A history of the
mathematical theory of probability, [N. Y.], 1949.

, -
1- .
.: [1] , .,
1983; [2] . ., . . , 1983,
11, . 1941.

; Gauss Markov theorem

,
.
. ( C. Gauss ) ; . .
. . . .- :
,
; ; ;
.
.: [1] ., , . ., .,
1980; [2] . ., . . , 1983,
11, . 1941; [3] S e a l H. L., Biometrika, 1967, v. 54, 12,
p. 124.

; Gauss Newton method
y = ( xi , ) + i , i = 1, ..., N

,
i , M i = 0 ,

504

;
order statistic { X i }in=1
X (1) ... X ( r ) r - X ( r ) , 1 r n . X 1 , ... , X n F
,

Fr ( x) = P { X ( r ) < x } =

C F ( x)[1 F ( x )]
i
n

n i

i =1

= I F ( x ) ( r , n r + 1)
,
y

I y (a , b ) =

a 1

(1 t ) b 1 dt B (a , b)

. X ( r ) X ( s )
Fr , s , r

Fr , s ( x , y ) =

<s

ni

i = 1 j = max ( 0 , s i )

n!

i! j!(n i j )!

F i ( x) ( F ( y ) F ( x)) j (1 F ( y )) ni j , < x < y <

 ; x

Fr , s ( x , y )

= Fs ( y ) .

r = r ( n ) . .- ,

lim r ( n ) n = , 0 1 . 0 < < 1

. .-,

=0

=1

. .- . . .- ,
. . .- . .,
F X 1 , X 2 , ...

n = 1, 2 , ...

an

bn ,

( X ( n ) an ) bn
:

exp{ x }, x > 0,
1 ( x ) =
x 0 ;
0 ,
exp {( x) }, x 0,
2 ( x) =
x > 0;
1,

> 0

; persistent / recurrent Markov
process . . . .
. E
[ , (E , B ) ; B , E - ] X

.
, F 1 , ,
, 1 F ( x ) x
; F 2
, , ,
1 F ( x0 x) x + 0
( , [5] ) ; x0 , F
.
. .
,

, .- . . .-
. .- .
.: [1] . ., . ., , 3 ., ., 1983; [2] ., , . ., ., 1979; [3] .,
,
. ., ., 1984; [4] . ., Ann. Math., 1943,
v. 44, 3, p. 42353; [5] . ., . . .-
, 1949, . 25, . 559; [6] . ., . .
- , 1949, . 25, . 559; [7] . .,
. ., 1964, . 9, . 1, . 15965; [8] ., , .
., . 2, ., 1967.

; order
scale , .
; mean / expected reccurrence time ,
, ,
, ,
.

= ( X t , At , Px )

. V E
x E

SV

= {t 0 : X t V }

Px , X

. X
x E x
V ( ,
),
. V B

(V ) > 0 x E SV
Px , X

3 ( x) = exp{ exp ( x)}, < x < .

. . F - i , 1 i

; recurrent event , ; -

, , B
.
- . . .-
. . . . ( ,
).

.
.: [1] A z e m a J., K a p l a n - D u f l o M., R e v u z D., Lect.
Notes Math., 1968, v. 51, p. 121; [2] ., ,
. ., ., 1997; [3] T u o m i n e n P., T w e e d i e R., Proc.
London Math. Soc., 1979, v. 39, p. 55476; [5] G e t o o r R. K.,
Lect. Notes Math., 1980, v. 784, p. 397409.

; recurrent Markov

chain

,
X - ( ,
; ). ,
n pij (n) X

E = {1, 2 , ...} ( ) , ,
i E i
( , ). X

p (n) ,
ii

i E

n 1

.
. . .
i - lim pij ( n ) .
n

. . .- Z

= { 0 , 1 , 2 , ...} -

; i Z 1 2 i 1

505

i + 1 . . . .-
( , ).
.: [1] .,
, . ., . 1, ., 1984; [2] - ,
, . ., ., 1964.

; recurrent Markov
chain , .
;
recurrent state , ;
,
.

( )
; persistence o f a r a n d o m w a l k , ;

; non atomic distribution ,
.

; inhomogeneous Markov
chain .
. . . .-
( ,
[1], . 136 ).
.: [1] . ., . ., , . 2, ., 1973.

,
; time inhomogeneous branching
process t

t - . . . . . . Z (t )

; nonrecurrent / transient Markov
chain , -

Pij ( s , t ) ,

( , ; ). . . . . ,
( E , B ) n

(0, 1, 2 , ...)

F ( s , t , x ) = M ( x Z ( t ) Z ( s ) = 1)

F ( s , t1 + t2 ; x ) = F ( s , t1 ; F ( t1 , t 2 ; x ) )

p ( n , x , ) , E -
Ei B , i

p( n , , Ei ) E - .

n 1

( )

recurrent / transient state o f

; nona Markov chain
, ; .

/ / ; fixed / sliding redundancy ,

.

/ ; nonanticipating / A adapted function , A

, A , A = ( At ),
t R + , ( , A , P ) ,
t At f ( t , ), , t R + .

/ ; nonanticipating strategy , ,

/ ; nonanticipating random process
, .

;
non atomic measure , .

506

.
.
, , ,
h 0

P1n ( t , t + h ) = pn ( t ) h + o ( h ) ,
P1n ( t h , t ) = pn ( t ) h + o( h ) , n 1
P11 ( t , t + h ) = 1 + p1 ( t ) h + o( h ) ,
P11 ( t h , t ) = 1 + p1 ( t ) h + o( h ) ,

p n ( t ) = 0 . F ( t1 , t 2 ; x )

n=0

F ( t1 , t 2 ; x)
= f ( t1 ; F ( t1 , t 2 ; x )) , F ( t1 , t 2 ; x ) = x
t1

F ( t1 , t 2 ; x )
F ( t1 , t 2 ; x)
= f ( t 2 ; x)
, F ( t1 , t 2 ; x ) = x
t2
x
,

f (t ; x) =

pn ( t ) x n .

n=0

t - a (t )

f ( t ; x )
x

,
x =1

M Z (t )

M Z (t ) = exp a ( u ) du .
s

. . - . . .
, , .
.: [1] . ., , .,
1971.

; nondissipative Markov
chain ,
, ,

( , ; ). , pij ( m ) i j
m ,

ij = lim n 1
n

ij

m =1

= 1 , i E

ij

(m)

j E

= {1, 2 , ...}

. . . .-. . . . .-
.
.: [1] F o s t e r F. G., Camb. Phil. Soc., 1952, v. 48, 3,
p. 58791; [2] - . ., , . ., ., 1969.

. . . .-
(

) ( , [3], [6] ).
. X t = At1 X t 1 + Atk X t k + ct
, Atj = a j +

+ b j exp ( c 2 X t21 ), j = 1, ..., k , a j , b j ct

( , [3] [6] ).
.: [1] J o n e s D. A., Proc. Roy. Sos. London, Ser. A, 1978,
v. 360, p. 7195; [2] H o g n a s G., J. Time Series Analysis, 1986,
v. 7, 3, p. 20511; [3] O s a k i T., O d a H., : Information and
systems, Oxf., 1978, p. 8391; [4] P r i e s t l e y M. B., Nonlinear and
nonstationary time series analysis, L., 1988; [5] T o n g H., .:
Proceedings 1-st World Congress of Bernoulli Society, Utrecht, 1987;
[6] C h a n W. S., T o n g H., J. Forecasting, 1986, v. 5, 4,
p. 21728.

( )
; nonlinear filtering o f r a n d o m p r o c e s s e s t t
(Ys , 0 s

t)

( .,

) [ ( , Y )
]. M Yt

<

= ( t , Yt ) t 0
,

; statistics of non numerical type objects

, ( )
.

( 0 s t ) .

; insensitivity / invariance problem ,

;
.

; nonlinear
autoregressive process
t = f ( t 1 , ..., t k ) + et
{ t , t

(*)

= 0 , 1, 2 , ...} -

, f ( x1 , ..., xk ) k

, { et } ( ) , et s < t

= M ( t At )
Y

. k = 1 [1]- .

Ys

. , , ,
Y At A = ( At ) t 0
,
t

t = 0 +

H s ds + M t ,

Yt = Y0 +

ds + Wt

H = ( H t ) t 0 , A

( At ) t 0 = A , M = ( M t ) t 0
W = (Wt ) t 0 , A - , .
t

M ( H s2 + As2 ) ds < ,

t>0

, ( t ( ) ) t 0
:
t

t ( ) = 0 ( ) +

t k .
. . . .-
( , ); ,
. . . .- .

At ,

t ( ) , ,

( , [2] ), f ( x1 , ..., xk )

f ( x1 , ..., x k )

. 1 ( )

s - s - . (*) t

t ( ) =
Y

(H ) ds +
s

[ (D) + (A) ( ) ( A)] ( dY

s

s ( A) ds )

(1)

507

M , W , M W -

= d M,W

, Dt

dt , t ( D ) , t ( H ) ,

t ( A ) , t ( A) , Dt , H t , t At , At (Ys , 0 s

t )

,
.

~
( , Y ) W W -
~
d t = a ( t ) dt + dWt
~
d t = A ( t ) dt + dWt

,
, (1) t ( y )
:

t ( y) = 0 ( y ) +

d Y A( x) ( x) dx ds
s
s

1 s ( y )
(a ( y ) , s ( y )) +

ds +
2 y 2
y

s ( y) A ( y )

A( x) ( x) dx
s

(1)- .

(2)

(t ) ,

A ( s ) ds + Wt

, t ( )

= P { t = At Y }

(1)-, :
t

t ( ) = P { 0 = } +

s ( ) A( )

dYs

( s ) s ( ) ds +

A ( ) s ( )

A ( ) s ( ) ds

t ( y ) t ( ) , , t ( ) - .

(1) . .,
~
( , Y ) W W

508

y | Y0 }

P , a = a ( x ) ,

A = A( x ) P { t y | At Y } P

t ( )

Pt ( ) = M ( ( t t ( ) ) 2 | At Y )
:

d t ( ) = a (Yt ) t ( ) dt + Pt ( ) A(Yt ) ( dYt A (Yt ) t ( ) dt ) ,

.: [1] F u j i s a k i M., K a l l i a n p u r G., K u n i t a H., Osaka

J. Math., 1972, v. 9, 1, p. 1940 ( . .: ,
1973, . 17, 2, . 10828); [2] . ., . .,
, ., 1974.

; non linear correlation / curvilinear correlation Y X f (Y ) = A0 + A1 1 ( X ) + ... + An n ( X )

,
f , 1 , ..., n , Ai

= ln x ,

n = 2 , 1 ( x ) = x , 2 ( x) = x , Y X
2

Y = exp ( A0 + A1 X + A2 X 2 ) , ; A j - -

Yt =

P { 0

. ., f ( x)

(1 , , , ...)

dYt = a ( Yt ) t dt + dWt

dPt ( )
= 2 a ( Yt ) Pt ( ) + 1 ( A(Yt ) Pt ( )) 2 .
dt

d P { t y | At x }
;
dy

t ( y) =

~
d t = a ( Yt ) t dt + dWt

.
.: [1] ., , .
., ., 1979; [2] . ., . ., . . . , 3 ., ., 1987.

( )
; nonlinear models o f r a n d o m p r o c e s s e s t Yt , ,
t = 0, 1, 2 , ... t
( , ) . Yt ,
, ,
.
,
( , .,
[1] [4] ) . . .-
.
. . . , ( , [1]
[5] ) ( ,
[6], [7] ).

.: [1] P r i e s t l e y M. B., Nonlinear and nonstationary time

series analysis, L., 1988; [2] R a o T. S., G a b r M. M., An introduction to bispectral analysis and bilinear time series models, B., 1984;
[3] T o n g H., Threshold models in nonlinear time series analysis, N.
Y., 1983; [4] T o n g H., .: Proceedings 1-st World Congress of
Bernoulli Society, Utrecht, 1987; [5] T j o s t h e m D., Stoch Processes and their Appl., 1986, v. 21, 2, p. 25173; [6] C h a n W. S.,
T o n g H., .: Advances in statistical analysis and statistical computing, v. 2, Greenwich ( USA ), 1987; [7] C h a n W. S., T o n g H.,
J. Forecasting, 1986, v. 5, 4, p. 21728.

( )

; nonlinear prediction /
extrapolation o f r a n d o m p r o c e s s e s
= ( t ) t 0 , M t2 < u , 0 u s ,
t s t
t ,s ( ) .
t ,s ( ) t s t
, Yu , 0 u s , ( , Y ) = ( t , Yt ) t 0
t ,s ( ) =

t ,s ( ) = M ( t | As )

;
nonlinear regression experiment
yi = ( xi , ) + i , M i = 0 ,
D i = 2 m > 2 M i

<.

: N

N arg min Q ( )

Q() =

yi ( xi , )

i =1

N ,

R p -
[ ., arg min Q() ].

( - .-

) ,

). N

M ( t | AsY

.: [1] . ., . ., , ., 1974.

As AsY u , 0 u s Yu , 0 u s

N = N ( N )

t ,s ( ) t s

N ( 0 , m ()) ;
m() = lim m N () ,

: t
s . t

( t ,s ( )) 0 s t ( As ) 0 s t ( AsY ) 0 s t
. , t ,s ( )
.

m N () = N 1

( x , ) ( ( x , ))
0

i =1

.
N - m 2 . i - -

, t ,s ( ) -

P { p N C }

.
( t ,s ( )) t s :

C N ( m 2 )

t ,s ( ) =

y d P{

y | As Z } ,

AsZ -

As

AsY -

P { t y | As } , s ,
Z

:
t ( y ) = d P { t y} dy ;

P { t = } ; ( , , , ... ) ,

t - . Z = s ( y )
P { s = } , , ( y s )
( , s ) = I ( s = ) , Z = Y

d P { s y | AsY } dy P { s = | AsY }
.

k 1

P p N
hN () N

=0

( ) N k 2 ln ( k +1) 2 N = O ( N ( m 2) 2 )
, k ( , ) -
.
, ., g
1

N

g () .
m N () .

509

 . g ()

g -
.
.: [1] , .,
1983; [2] . ., . .,
, 1987, . 53, 5, . 5761.

; nonlinear / curvilinear regression
.

; nonlinear regression g
yi = g ( xi ; ) + i , i = 1, ..., n ,
M i

= 0 , xi R k (

, i - ) , R

. g ,

xi . . .
.

g ( xi ; ) = g1 ( xi ) 1 + ... + g m ( xi ) m

, g j ( xi )

= zij

.
i , -

. , , .
,

(y

g ( xi ; )) 2

.
:


.

, . . . g -
. . . .-
; . . . .
.
.: [1] . .,
, ., 1981; [2] . .,
, ., 1989.

;
; ; nonlinear equation; M o n t e
K a r l o s o l u t i o n t e c h n i q u e

,
( ,
) .
, l
. ( )

510

( , ( ) ).
, ,
.
.
(
), .
.: [1] E p . ., . ., .
.,
, ., 1984; [2] . .,
- , .:
., . I., .
., ., 1981, . 279302.

; noncommutative probability theory
. . . . .
: ( ) ,
.
, ,

. ( , ).
. . . .- .
. ( J. Neuman ), . ( I. Segal ), .
( J. Mucci ) ( 1830
50- ). - . . . .- ,

.
70- ( ,
, ,
) ( ,
, ) . ,
.
H
. H - S
, , H - - A . S
A - ,

A = tr SA

(1)

.
A -
A { G ( ) :

< < } - . A -
[ , )

P [ , ) = trS ( G ( ) G ( ))

(2)

. . . . .-
A S
.

., .

Z . , J

. Z

( x ),

x { j z }z ( , ) =

( x) ( x)
x

, H ( ) ;

jz J .
, H ( ) - B ,
H ( ) - .
- U ( z1 , z 2 ),

z1 , z 2 Z

( - ) ; U ( z1 , z 2 )

H ( z1 , z 2 ) ; (
, - ) .

H =

U (z , z )
1

- ;

z1 , z2

.
1

S = [ tr ( exp ( H ) )] exp ( H )

(3)

, ( ).
, A

A = [ tr exp ( H ) ]1 tr ( exp ( H ) A)

(4)

. A = H ,

exp ( E k )

exp ( E k )

(5)

A0 =

A( ) * . A 0

*
C ; C . A A
lim

C
. , A - ,
( A , B ) = A , B

A -

. , ,

A A , H - A
, ,

A = ( , A , ) , , H - -

. A H - C
.
. . . .-

( W ) ;

H [
, H lim ( A , , ) = ( A , ) , A

A , ].
A
H -
A
.
. . . .- ,
A A - ,

, A

.
, U ( z1 , z 2 )

= U ( z1 ) + U ( z 2 )

, :

1 , 2 Z

H ( 1 ) H ( 2 ) - -

A1 A2

A1 , A2

= A1

A2

.
,
(4) .

, Z

.
,
.
A ( ) , H ()

* ; A ( ) A ( ) ,

A A, A

E m

exp ( E k )

.
. . . .- ( ) - ; A

P { H = E m } = exp ( E m )

(6)

. . . ,
, A . . A
1

L L .

,
1

L L
.

A
P - A P -
( ) .

- 511

P P = P = P 2
. P . - . . .-
. P P
P = I P ,
{ P } P ( )

. , , ,
: ( P )

= P , ( P ) = P ,

= ( P1 Q ) ( P2 Q ) , ,

: ( P1 P2 ) Q

.
. P
:

1) ( Pi ) =
i

i (P )

- Pi P

{Pi } ,

2) ( I ) = 1 , ( ) .
P , A
,

( , ).
. . . .-
. S n

; Ak -
A .
, ,
,
.

.
. H
A1 , A2 ,... , - .

1
n

(A

Ak I )

. ( )
. H - , - M
r

A
i

i =1

i1

Aij = M U {I } , .

( n ) = sup A
A, B

( )
(
). Fn (x) -

n = sup

Ai A j A j Ai

i j n

n n ( Ak
) , lim Fn ( x )
n

= ( x) ,

( x ) . ,

. - A

(t ) = exp ( i t A ) , t ( , )
.

exp ( A + B ) = lim [ exp ( m 1 A) exp ( m 1 B )]m

m

.
; ,

.
. A . A A , A 0

. 1) T(I )

= 1;

2) A 0 , T( A) 0
T : A A .

Tn

1
n

n 1

, n

m =1

. L L
:
> 0 E A ,

I E <

lim ( An A ) E = 0

( , - ), An A A A

Ai 2 , ..., Aimi

A ( M ) ,

lim (n ) = 0 .

n =

k =1

A A ( A1 , ..., Ak ) ,

Fn (x) - .

T =

n -

B A ( Ak + n +1 , ...) ,

A
k =1

Zn =

, . A A

T( A ) = A

, , n ( A) -

A
A
A, B A

512

( ). T ( ) ( ):

L1 > 0 ,

 L1 (T( A) ) ( A)
A A , A 0 .

. A B , B A , , A
. B - A -

1) A 0 ( A) 0 ;
2) A A , B B

AB = ( A) B

: A B .
,

, B A

, , , . .,

, , : A A ( )
. .
(
, ) .
.: [1] N e u m a n n J. von, B i r k h o f f G., Ann. Math., 1936,
v. 37, p. 82343; [2] S e g a l I., Ann. Math., 1953, v. 57, p. 40157;
[3] . ., . ., , ., 1973 ( .
); [4] . ., . ., .
, 1976, . 31, . 4, . 15167; [5] . ., .
. M, 1982, 8, . 2035; [6] ., .,
, . ., ., 1982; [7] . .,
, ., 1985; [8] J a j t e R., Strong limit theorems in noncommutative probability, B.
[a. o.], 1985; [9] G o l d s t e i n M. S., J. Statist. Phys., 1985, v. 40,
p. 32960.

; noncommutative integration theory

; nonmetric multidimensional scaling , .

; unbounded
random walk , .

; improper distribution , , .

; inadmissible estimator ,
.

/
; positive semi definite / nonnegative definite
function , .

; noncentral chi squared distribution ,
2 ,
p(x) =

e ( x + ) 2 x ( n 2)
2 n 2 (1 2 )

r =0

2 x 2

(1 2 + r )
( 2 r )! (n 2 + r )

, (0 , ) - , , r ,

= 0 , ( )

- .
n + , 2( n + 2 ) -,
f (t )

= (1 2 i t ) n 2 exp { i t (1 2 i t )} - -

. . . . . .
. . . ., , ,
mi - , -

, .

X 1 , ..., X n

; uncorrelated random variables

. , X 1 + ... + X n

1 2
, M1 2

= M1 M 2 . 1 2

,
. 1 2 ,
. ,
. , 1 2
,
. ,

(1 , ..., n )

R n -

1 , ..., n - ,
1 , ..., n . -
. . . .
.

n - ,

= m12 + ...

+ mn2 . . . . .
. . . .- , .
n , . . . .- :

Fn ( x ; ) =

m=0 k =m

n ( 2) m ( x 2) k ( + x ) 2
.
e
m! k !
2

. . . .
. , X Y ,
x 2 2 -

513

, P { X Y

s } = F2 s ( x ; )

s > 0 .
. . . . ,

. . . . .
2

,
.
.: [1] . ., . .,
, 3 ., ., 1983; [2] .,
., , . ., .,
1973; [3] P a t n a i k P., Biometrika, 1949, v. 36, p. 202.

T 2 T 2 ; noncentral T 2 distribution , T 2 .
2 2 ; noncentral 2
distribution , .
; noncentrality parameter
, .

; noncentrality parameter o f
c h i s q u a r e d t e s t
. X k ~ N ( a k , 1)

ak2 ,

k =1

X k2

k =1

2
n - . . .
.

yi = g T ( xi ) + f T ( xi ) + i , R q , R p
i
,

=0

~ N (0 , 2 ) -

. . . :

2 = minp
R

(g

( xi ) + f T ( xi ) ) 2 , X = {x1 , ..., x N },

i =1

( X , ) = T D 1 ( X ) ,

= M g M Tfg M f 1 M fg

1
f -

Mf =

f (x ) f
i

( xi ) , M g =

i =1

M fg =

g (x ) g
i

( xi ) ,

i =1

f (x ) g
i

( xi ).

i =1

F 2 . . . - .
( X , ) - X

514

; uncertainties relation
S X Y ( )
.

D S { X } D S {Y }

1
M S {i } [ X , Y ]
4

, D S { X }, D S {Y } , [ X , Y ]

= X Y Y X X Y

. . . . , .,
,
. ,
.
. . . . , -
.

, , - ,
- .
X Y
.
S , . . . .
.

( ) ; nonessential state o f a M a r k o v c h a i n
, ; .


; nonessential set of states o f a
M a r k o v c h a i n , ; .
; impossible event . ( , A , P )

D ( X )

, . . . A ,

(
). . . . ( ) , . . .-
: P () = 0 .
, .

; variable length code
( , ) .
(
)
.
. ( )
,
,
. ,
. . . .-


. ,
.
.: [1] . ., , 1972,
. 8, 2, . 2132.

;
nonparametric discriminant analysis , ,
, Y
{1, ..., N } . 1, ..., N
.

X R d , Z n = (( X 1 , Y1 ) , ..., ( X n , Yn )) ,
( X , Y ) n . . . . .- Z n xR

{1, ..., N } Tn
. . . . .
, Tn ( X , Y ) . ( . ) . . . .
, X i
, Yi

, Z n

, x (
) .
Pn =

= P {Tn ( x ) = Y | Z n }

Pn P = min P { T ( X ) = Y }
T

T : R { 1, ..., N }

T (x) = arg max P {Y = i | X = x}

i =1, ..., N

, 0 1 .
,

1 - 0 . . . .
.
F ( x )
( ) -
. F ( x )

, . . .

n Dn =

n sup { Fn ( x ) F ( x ) }
< x<+

,
F (x) - ;

n Dn d

. Pn P

i =1, ..., N

= i | X = x}

= .

.
x1 , x2 , ..., xn y1 , y 2 , ..., y n ,

. F ( x )
,
F ( x )

Tn ( x ) = arg max P n { Y = i | X = x }

, P {Y
, P
n

, d
, 1 K ( d )

F ( x )

P
(n )

0 : 0 ; 1 - 0

, ,

; nonparametric test
1 : 1 = \ 0

nm
Dn m =
n+m

nm
n+m

max

< x <

Fn ( x ) Fm ( x )

Z n .

, Fn ( x ) Fm ( x )

P n

Y = i -

i = 1, ..., N

X -
( , [1], 10 ).

.: [1] ., ., . L1 , . ., ., 1988.

; nonparametric Fisher information ,
.

nm
Dn m d
n+m
, d , n m -
, n

m - 1 K ( d ) =
. ,

515

 ( m

=n

),

.

.

z1 z 2 ... z n + m u mn ,
z k - xik yik
.
u mn

hk1 (

y h ) .

p ( x ) :

p ( x ) =

1
n

i =1

k ( y h) dy

nm
( n + m + 1) -
2
. m
n u mn n u m =

wi -

i =1

, wi , ( 0 , 1)
.
, ; ; ; .
.: [1] . ., , . ., ., 1968; [2] . ., . ., , 3 ., ., 1983;
[3] . ., . ., , ., 1979; [4] ., ., , . ., ., 1973;
[5] G r e e n w o o d P. E., N i k u l i n M. S., A guide to chi-sfuared
testing, N. Y., 1996.

( )
; nonparametric estimation o f p r o b a b i l i t y d e n s i t y
. . . .

. .,
. . . .
x1 , ..., xn m X
, .

1
n

k (( x X ) h ) d P ( X )

i =1

1
k ( ( x xi ) h ) =
hm

516

k ( z) dz = 1 ,

k ( z ) dz < ,

lim ( y h ) k ( y h ) = lim k ( z ) = 0
y h

zi

; lim h

=0

lim n h m = lim n h 2 m =

k ( y h ) dy h m =
y

1 / 2 . m
n - u mn
mn 2

hm =

sup k ( y h ) = sup k ( z ) < ,

, vk 0 1 -

j =1

h j k (( x1 x1i ) h1 , ..., ( xn xni ) h m ) .

k ( y h) h

k =1

p ( x) =

, h k ( y h) .

n+m

F ( x ) - ,
u nm =

h ,

, p ( x )
.
.: [1] .,
, . ., ., 1979.

; nonparametric
estimation


. . . .
. ( A. Legendre ), .
( C. Gauss ) . ( P. Laplace ) .
. . , . ( R. Mises ), . .
. . 20- 30-
. ,
( , ) , 20- 50- . . , . ( M. Rosenblatt )
. . .
. . .- .
1

1. F ( x ), x R
X 1 , ..., X n
.
2. F ( ),

Y1 , ..., Yn
.

3. 2 ( 0 )

f (t ), 0 t

1 ,
t

X ( t ) = F ( t ) + w ( t ) , F (t ) =

f ( s ) ds
0

 , w (t ) .
.
I.
. 1- F ( x ) -, 2-

F ( ) -, 3- F (t ) -
( n

. ,
,
. F ( x )
Fn (x)

= n 1 I ( , x ) ( X i ) -, F ( )

I n ( ) ,

Fn ( ) =

1
2 n

Yk e i s k

k =1

K ( x) dx

n ( s ) ds

. F (t ) X (t ) -

n ( Fn ( x ) F ( x )),

n n hn , 0 2 h .
1, 2, 3- f -
,

( F ( s ) ) 2 ds

a b = min { a , b }, 1 ( X s ( t ) F ( t ) ) = w (t ) .
.

n ( x) =

n ( Fn ( x ) F ( x ))
[ ( [1] ) ]
sup n ( x ) ( x

2
n ( x)

dF ( x ) ( ) -

. n ( x ) - [1]- .
II. . 1- f ( x ) =

= F ( x ) , 2-
f ( ) = F ( ) , 3-
f (t ) .
, , [
F ( x ), F ( ), F (t ) ]
f
. ,

f F
( ., F
; , [2], [3] ).
, F - F ,
F - -

xy
dFn ( y ) ,
hn

I n ( ) d ,
K

hn

ts

dX ( t )
K

fn ( x ) =

1
hn

fn ( ) =

1
hn

f ( x ) =

1
h

n ( Fn ( ) F ( )) -

F ( x y ) F ( x ) F ( y ) , 2

, 2- [ , ] , 3- [ 0 , 1] ),

( 1- R

hn , h ( n 0 ), ,

ds =

. f F n ( ) n ( ) . . [3]- ( , ).

.
-

.
. K ( x )

(1)

( , [4] ).
K ( x ) hn ( h )
(1) F
, n
( 0 ) .
. F

( , L)

= k + , 0 1, k 0

) k f

R1 - L
. K ( x ) - , - ,
, f

(k )

K dx = 1 x

K ( x ) dx = 0, j = 1, ..., k -

. hn
f ( x ) -

~ n

= cn 1 ( 2 +1)

( 2 + 1)

(1) -

. , x

>0

, x
l ( x )

sup sup
n

f F

( ,L)

sup M l ( n
1

x R

( 2 +1)

fn ( x ) f ( x ) ) <

.
( , L)

, F
-

( , [6] ). p

, ., L ( 2 p < ) ,

517

, p

( n ln n )

( 2 + 1)

( , [4], [6], [7] ). ,

,
. F , Tn 2

L ,

fn

,
,

inf sup M f Tn f
Tn

f F

1, n

sup f n f

(2)

f F

.
, [8]-,
( , [9] ).
.
2

, f ( x ), x R , i ( x ) L ( ) ,
f

c
i

. N -

(n)
i

i dFn ci

( , [4] )

fn, N =

( n)
i

(3)

F , [8]- ,
in ci

( ) - .
IV. , , , . ,

( ., , ).
- 1, 2, 3- f
F
. . . .
1-
F -
.
[10]- . . .- .
( f ) = , { f , } ,

f 0 = f , R1
. I ( f )
f
. ,

f F

in

0 1 , (2) . [9]-

( f
). [8]- f -
( , ) .
III. ( X , Y ) ( X i , Yi ) g ( x )

1- ( f ) L ( R ) -
, ( f , ) L ( f )
,

= M ( Y | X = x ) - -

( . )

. . .- . ( X , Y ) - f ( x , y ) - , ( , [9] ). F ( x

(1)

518

) F ( x ( 2) )

I ( f ) = ( f , x ) M f ( f , X )
1
R

f - ( , [2] ).

(3)- ci

( 2)

.
N - , . F -
N - , -

(n )

( 2)

X 1 , ..., X n

1,

i =1

(n )

(1)

2, 3 .

(1)

X 1 , ..., X n

2-

f ( x ) dx .

( f ) L2 [ 0, ] -

sup ( f , )
F

I ( f )

= f ( ) ( f , )

2
L2 [ 0, ]

L2 ( 0 , )

<

.
2

3- ( f ) L [ 0 , 1] -
, I ( f )

= ( f , )

2
L2 [ 0 , 1]

, ( 0 , 1) ,

( f ))) M w ( I 1 2 ( f ))} = 0 (4)

lim sup { M f w ( n (
n

n f U

w -
,
n
( f ) U F

12

( 3- n
x

>0

= 1 ).

w -

(4)- n
U 3 f


.

.
., 1, 2, 3

L1 =

L2 =

( x ) f ( x ) dx ,

R1

( ) f ( ) d ,
0

L3 =

( t ) f ( t ) dt
0

, :

L1 =

( x) dFn ( x) , L 2 =

( ) I

n ( ) d ,

L3 =

( t ) dX ( t ) ,

Fn ( x ), Fn ( ), X (t ) I. . [7]-
.
( f )

.

:

n(1) = ( f n ) +

( f

, x )(dFn ( x ) f n ( x )) dx ,

, ) ( I n ( ) f n ( )) d ,

n( 2) = ( f n ) +

( f
0

n(3) = ( f ) + ( f , t ) ( dX ( t ) f ( t ) dt ),

.: [1] C s o r g o M., R e v e s z P., Strong approximations in

probability and statistics, Bdpst, 1981; [2] . .,
. ., 1981, . 26, . 1, . 1531; [3] .
., , .,
1972; [4] P a r z e n E., Ann. Math. Statist., 1962, v. 33, 3,
p. 106576; [5] . ., . .,
, ., 1979; [6]
. ., , 1980, . 16, . 2, . 52
68; [7] N u s s b a u m M., Ann. Statist., 1985, v. 13, 3, p. 984
97; [8] G r e n a n d e r U., Abstract Inference, N. Y. [a. o.], 1981;
[9] . .,
, ., 1983; [10] L e v i t B. J.,
.: Proseeding of the Prague symposium on asymptotic statistics,
v. 2, Praha, 1973, p. 21538; [11] . ., .
., . ., 1976, . 21, . 4, . 75374;
[12] . ., . ., 1978, . 23,
. 2, . 38894; [13] M i l l a r P., The minimax principle in asymptotic statistical theory, B., 1983; [14] P f a n z a g l J., Contributions to a
general asymptotic statistical theory, N. Y. [a. o.], 1982.

;
nonparametric regression analysis

.

X R d , Y R1 .
. . . .- f F
, ( X , Y ) ( X 1 , Y1 ) , ..., ( X n , Yn ) X R
f ( x )

= M {Y | X = x }

(i )

, II . n

. F :
) ; ) ; ) , .,
F = F ( , p , L )
0 < L < ,

d < p < , [ F ( , p , L ) , X = [ 0 , 1]d , ( )

f n , f , f - ,

D f

( ,

L (X ) - ]. -

)
( , [11], [12] ); .,

.
,
X i , Yi = f ( X i ) + i , i

: F R k
( , [11] ).
.
, [12]- : F B ( B )
.
I
. [13]- .
. . . ,
, , , . .
. . . .

.

Yi -
:

fn ( x ) =

ni

(1)

( x , X 1 , ..., X n ) Yi ,

i =1

Wni .

. R
.

519

, X i Yi .

Wni ( x , X 1 , ..., X n ) =

I ( X i An j , x An j )

j =1

( 0 0 = 0) ,

I ( X i An j )

dn

, An j
d

UA

I -

nj ,

j =1

> 0.

, n 0 , n

(
)

K (( x X ) )

Wni ( x , X 1 , ..., X n ) = K ( ( x X i ) n

i =1

, K , R -
( ).

a 0 = 0 , a Rd .

.

, ,
x , X 1 , ..., X n - , x

X 1 , ..., X n x - k n - k n

.
{ j } , j = 1, 2 , ... , X -
, f .
, f
.
n

K (x , X ),

Wni ( x , X 1 , ..., X n ) = K ( x , X i )

kn

( x ) ( y ).
j

(Y

f ( X i )) + n

i =1

(f

( )

( x )) dx

. ,

=2

min

f W2 [ a , b ]

W2 [ a , b ]
, X i

. (1) .
X i - , { j }

520

. ) , . ) .
: .
( X 1 , Y1 ) , ..., ( X n , Yn ) - ,
,
.
(
,
., f ,
), , ( ,
. ) .
f n , n

sup Rq ( f , f n ) ~ inf sup Rq ( f , Tn ) Rq (F )

f F

Tn

(2)

f F

= M { f Tn

2
q

},

(
). f n -

X = [ a , b ]

, M , X , X 1 , ..., X n

Tn

j =1

M { | Y |q } < M { | f n ( X ) f ( X ) | q } 0, q > 1

Tn , 1 q , inf

,
j

1) n 0 ( k n n 0 ) 2) ndn ( k n ) , n
0- . p
) , L , p <
(1) .
( , [9] ) : (1) , n

, Rq ( f , Tn )

i =1

K (x , y ) =

k n - ) .
:

i =1

, R

.

n - (

F .
(2) f n q = 2, F = F ( , 2 , L) ( , [7] ).
1 q F ( , p , L ) ( , [2], [3], [10] ). ,

p q > d (2 + d ),

1 q

Rq (F ( , p , L))

n 2

( 2 + d )

n 1 ( 2 + d )

( , [3] ). n

2 ( 2 + d )

, n

=1

).

Yi , :

( , [4], [5] ),

 ( ., , ,
( , [4] ) ) q - ( , [3] ).
.
, f ( x ) F (Y y | X = x ) ( ., );
M {Y | X = x } . f n ( x ) -

( , [5], [9] ):
n

Fn ( Y y | X = x ) =

ni ( x ,

( , [4] ) :
n

f ( X i ) ) min ,

(3)

f F

i =1

; nonparametric spectral estimator ,

( )

; nonparametric estimator o f s p e c t r a l d e n s i t y , ;

( X m +1 , ..., X N )

t - 0 H 1 : G ( t ) = F ( t )
H 0 : F

=G

. H 1
H 0

F . (3)

F -.
. . . .- ( , [3], [10] ),
( , [6], [8] ).
. . . .-
.
.: [1] . .,
, ., 1983; [2] . ., . ., . , 1980,
. 252, 4, . 78084; [3] . ., .
. , 1985, 3, . 5060; [4] . ., . ., . ., , 1985, . 21, 4, . 1733; [5] . ., , 1982, . 18, 3,
. 3952; [6] C o l l o m b G., Int. Statist. Rev., 1981, v. 49, 1,
p. 7593; [7] N u s s b a u m M., Ann. Statist., 1985, v. 13, 3,
p. 98497; [8] H a r d l e W., Applied nonparametric regression,
Camb., 1990; [9] S t o n e C. J., Ann. Statist., 1977, v. 5, 4,
p. 595645; [10] S t o n e C. J., Ann. Statist., 1982, v. 10, 4,
p. 104053.

;
.

X 1 , ..., X m

, ,

F (G ) .

. , F G

. F
G -

X 1 , ..., X n ) I (Yi y )

i =1

F( Y

, , , ,
.
.

.
N = m + n X 1 , ..., X N

T ; nonparametric classification , .
, ; nonparametric hypotheses testing
.
; ,

Wm,n =

i =1

, R1 , ..., R N , X 1 , ..., X N
.

Wm,n

,
.
, H 0

Wm,n - ; ,

R = ( R1 , ..., R N ) (
1, ..., N ) F - .
; m n -
. H 1
H 0

Dm, n = sup Fm ( x ) Gn ( x )
x

,
Fm Gn
. Dm, n R1 , ..., Rm
.
. . . . , , .
,
G G = F , F .

, , .,
( F < G F > G )

(F G) .
G - x0 ,

521

G ( x 0 + x ) + G ( x 0 x ) = 1 , x R1
.

G ( x0 + x ) + G ( x 0 x ) 1 , G ( x0 + x ) + G ( x 0 x ) 1
,
x .
- .
,

.
. . . .
.

, ,
.
.
H 0
( , ), H 0 -

.
H 0

=
= ( X (1) , ..., X ( N ) ) H 0 ,
()

, X N
X (1)

< X ( 2) < ... < X ( N )

.
()

, X N - ( )

()

. H 0 X N R
, ,

1
N!

( X

( )
N

, r)

1- ,
1- . , .
.
f X 1 , ..., X n . f . X i -
.

+
i

, Ri

Xi > 0

X 1 , ..., X N

X i .

, . , ,
. ,
, 3 = 0, 955 2 = 0, 637
( ). ,
1,5 .
. , ,

. n
, .,
. Ri

S i i - .
rs - ; rs
:

rs = 1 6

( )

( X N , R ) ,
1, ..., N

r = ( r1 , ..., rN ) .
.
X -
. ,
.
, 20-
50 60- ,
.
., 3 = 0, 955 - .
,
,
0,864-
. , ,
( . ),

522

(R

Si ) 2 ( n 3 n ) .

rs - 1- ,
. n - , n -
.
rs -
,
9

= 0, 912 .

20- 70-
.
,
, N + o (1)
, N
[
N + o ( N )
].

F0 . N
FN - N F0 - ( ) FN - F0 - , .,

(1)

.
( t ) - , u ( t ) -

(2)

, u n ( t )

. N

. : , u n ( t ) u ( t ) , F

D N = sup FN ( x ) F0 ( x ) ,
x

[F

N2 =

( x ) F0 ( x ) ]2 dF0 ( x )

12

D N N N2 20-

30- . . . .
( , , ,
, ). (1)
(2) ,
H 0 F0 - . ,
1

N D N = sup

0 t 1

, N ( u )

N (t ) ,

N N2 =

2
N

( t ) dt

(3)

= N 1 2 [ G N ( t ) t ] , t [ 0 , 1]

, H 0 [0 , 1] - ( F0 - ) U i

= F0 ( X i ),

i = 1, ..., N G N -
. F0 - F0 -

F
. , .
20- 50- N ( t ) ( t )
(3)
N

sup ( t ) ,

0 t 1

2 ( t ) dt

(4)

.

. , H 0 -

N N
( t ) + a ( t ) , a ( t )

.
.
( .,
),
.

F = { F ( x , ) , R s }
, H 0 : F F ( .,
). (1), (2) F0 F ( x , N ) ,
N

, ., .

, - , , u
1

. ., F

( t ) dt - -

.
F ( , . ). sup u ( t ) 0 t 1

.
.
H 0 F0
.
20- 80-
, u N w - w N
. F
.
w - (3) .
.


, .,

.
N ,

. ,
(1) (2) .
N -
. (1) (2)
. ( N

H 0 - ), ,
,
.
( .,
) ,
,
( ., ).

, ( , )
( , ) .
.: [1] . ., . ., , 3 ., , 1983; [2] . .,

523

 . . , ., 1984; [3] ., ., , . ., ., 1971; [4] ., .,

, . ., ., 1973; [5] ., , . ., ., 1975; [6] . ., -, ., 1978; [7] ., , ,
. ., ., 1987; [8] . ., .
, 1982, . 37, . 6, . 193212; [9] .,
., , . .,
., 1983; [10] F r a s e r D. A. S., Nonparametric methods in statistics,
N. Y. L., 1963; [11] K r i s h n a i a h P. R., S e n P. K., [eds],
Non-parametric methods, Handbook of statistics, v. 4, N. Y. [a. o.],
1984; [12] L e h m a n n E., Nonparametrics: Statistical methods based
on ranks, S. F. N. Y., 1975; [13] S h o r a c k G. R., W e l l n e r J.
A., Empirical processes with applications to statistics, N. Y., 1986.

; noncyclic / aperiodic
Markov chain ( ,
).

( )
; noncyclic / an aperiodic state o f
a
M a r k o v c h a i n , ;

; nonregular
branching process , ; .

; fuzzy set ,
.
1965- . [1]- . X A
( . ) A : X [ 0 , 1]

A . A 0 1 , A
X - .
X A B
A I B , AB , A U B , A + B ,

A ,
:

AI B ( x) = min ( A ( x) , B ( x) ) , AB ( x ) = A ( x ) B ( x )
A B ( x ) = max ( A ( x ) , B ( x )) ,

.
. . . . .
;
. , ,
. . .-

, ( , [3] ). , . . .- ,
( , [4] [11] ).
Fuzzy sets and System, BUSEFAL .
( 1988 ).
( , [12] ),
, . . .
( , [2], [9] ).
.: [1] Z a d e h L., Information and control , 1965, v. 8, p. 338
53; [2] . ., -
, ., 1979; [3] Z a d e h L., IEEE Trans Syst., Man.
Cybern., 1973, v. SMC3, 1, p. 28 44; [4] .,
, . ., ., 1976; [5] . .,
, ., 1980; [6] . .,
, ., 1981; [7] .,
, . ., ., 1982; [8] . ., , ., 1982; [9] , . ., ., 1986; [10] ,
., 1986; [11] . . [ .],
, ., 1989; [12] ., ., .:
, . ., ., 1976, . 172 215.

; statistics of
fuzzy sets
, Ai , i = 1, 2 , ...

,


,
Ai : U [ 0 , 1] Ai - ,

U . . . . .-

( , [1] ). U

= [ a , b ] R1

,
b

A + B ( x ) = A ( x ) + B ( x ) A ( x ) B ( x )

( A1 , A2 ) =

( x) = 1 A , x X .

A1 (u ) A2 (u ) du

.
. . .-
: ., ( , [2] ).
A , A + A A ;

A ( B + C ) = AB + AC , , -

A1 A2
.
.: [1] . .,
, ., 1980; [2] . ., , 1990, . 56, 3, . 7683.

x X - .

; nonsymmetric random matrix

524

n = ij

, ( A ( x ) A ( x ) ) B ( x ) C ( x )

=0

. k + i k , k i k l , n
. . . .- , k

= 1, ..., s,

l = s + 1, ..., n 2 s; xk ,

yk

xl

A n ,

z k = xk + iy k , z k = xk iy k , k = 1, ..., s z l = xl

n U

. n

T
A . A , U

.
- ,
.

.
.
n , xk , y k ,

k = 1, ..., s, xl , l = s + 1, ..., n 2 s ,
, 1
. n 1

, T

= U T AU

. A , ,
, T . A

, U
,

U T U

n =

n , n . . . . -

= USU T

s jj ,

1
1
s s
1
, ...,
, s +1 , ..., n 2 s Tn ,
s s
1 1

= Tn diag

Tn 1 xk , y k , k

.
; n

= 1, ..., s, xl , l = s + 1, ..., n 2 s .

j = 1, ..., n , , arg u1 j = c j , j = 1, ..., n, c j ( 0 c j

2 ) , , n
, B ,
, , .

K , n , B , K
, k = k i k ,

L B n

C P {U L , S C }

k = 1, ..., s, m , m = s + 1, ..., n 2 s , n -

( , [1] ).
.: [1] . ., , .,
1980.

.
n p ,

L B j , j , j = 1, ..., n

P { Tn L , Re j < j , Im j < j , j = 1, ..., n }

n = sk + i sk , n ;
sk , s , k

= 1, ..., n

, n

j , j = 1, ..., n , h1 , ..., hn 1 , ..., n

, H n hl , l

= 1, ..., n

. n 1 n

H n n H n1

n = l lm .

(hk , hk ) = 1 arg h1k = ck , k = 1, ..., n, c k

, H n

( 0 ck 2 )

.
K n .

B K .
n , L B
( j , j ), j

= 1, ..., n

P { H n L, Re k < Re k < Re k ,
Im k < Im k < Im k , k = 1, ..., n }
.

( , , ).
. . .- [ t , s )
( s ) ( t ) -

( , [1] ).
, sk

; nonstationary input

. ( t ) , .
, . . . ( t )

( t ) ,

,
( t ) dt ( t ) dt ,

(t , t + dt )
.

; ; ;
nonstationary random process; l a w o f l a r g e n u m b e r s ,

; ;
nonstationary random process; s p e c t r a l t h e o r i e s , ( )

525

 ; rank of nonstationarity ,
( )
.

; nonequilibrium statistical mechanics ,
.

;
acceptance number
( ,
).

;
strng attractor ,
. . .
,
. . . x
t

, { f ( x )} , t [ 0 , T ]
. -
.
. .-
. .
.: [1] , . ., ., 1981; [2]
. . , . 2, ., 1985.

; killed Markov process
,
. ( E , B )
, (E , B ) , E E
.
, X

= ( X t , At , Px ) , E

:
,

t>s

X t ( ) =

X s ( ) =

( ) = inf { t : X t ( ) = } { X t ( ) }
X t ( ) = X t ( )

X = { X t , , At , Px ) E

( )

. X . . .-
; , ,

> 0 X . X
, . . . X ( .,
) , ;
. p ( t , x ; )

= Px ( X t )

;
. . . .-
, ., . ( , ; ).

.
.: [1] . ., . ., , . 2, ., 1973; [2] . .,

526

, ., 1963; [3] 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.

; killing time

. = { t , , At , Px } -

= ( ) , [0 , + ] t } At ( )

, {

( t , ) t [0 , ( )] + , ,
( ) > 0 , ( , [1] ).

( ,
[2] )

, - ,
, ( a, )
.
.: [1] . ., , ., 1963;
[2] . ., .: .
, . 20, ., 1982, . 37178.

; nonkilled Markov process , .

; red noise
f ( ) , ,
( ).
. . . , . .
f ( ) , 0
; f (0)

=C<

. .,

( ) .
,
f ( ) , -
; f ( )

= C1 ( 2 + 2 ) ( ,

exp{ t } - ).

; partially balanced block design , .

; partial Bayes approach
, .

G
G ; domain of
partial attraction o f a n i n f i n i t e l y d i v i s i b l e
l a w G F ,
n1 < n2 < ... nk , An
Bn , F nk ( Bnk x + Ank ) n

G ( x ) - ( k , n
).

. . .- . F . . .-, . . .- , . . .-
. ( ; , ., [3] ) . . .-

 . F . . .- , .
. . . . , ,
. . .-. F U . . .-
, U V . . .- ,
F V . . .- . F . . .-

lim lim inf

l u

d F( x)

| x| l u

d F( x) 0

| x| u

. F
. . .- ,

lim inf u 2

dF ( x )

| x| u

x 2 dF ( x ) = 0

| x| u

.
.: [1] . ., . ., ,
. ., 1949; [2] . ., . ., , ., 1965; [3] ., , .
., . 2, ., 1984; [4] D o e b l i n W., Studia Math., 1940, t. 9,
p. 7196.

,
; minimum
distance estimate , .
; Gleason
theorem , .
(
) ( , [1] ).
L (H ) , H
m : L ( H ) [ 0 , 1]

:
1) m ( I ) = 1, I ,

2) P =

, Pi Pj

= 0, i j

P, Pj L ( H )

j =1

m ( P )

= m ( Pj ) . H 3

( tr T

=1

, H -

j =1

) T

, m P

= tr (T P ), P L ( H ) -

.
. .- [2]- : ,
. 3
, 1
.
XX 80- ;
. .- .
, I 2 . , ( )
. . .- . .

.: [1] G l e a s o n A., J. Math. Mech., 1957, 6, p. 88593;

[2] M a c k e y G., Amer. Math. Monthly, 1957, 8, p. 4557;
[3] .,
, . ., ., 1965; [4] . ., . . , 1982, 8, . 2035.

; Glivenko theorem Fn
n F - 1
( , [1] ).
( , [2]; . .
) . .
( , [3] ) . . .
.
.: [1] G l i v e n k o V. I., Giorn. ist. ital. attuari, 1933, v. 4,
p. 110; [2] K o l m o g o r o f f A. N., Giorn. ist. ital. Attuari,
p. 8391 ( . . . .,
, ., 1986, . 13441 ); [3]
. ., . , 1944, . 10, . 179206.

; Glivenko Cantelli theorem
, ,
.

; global test , .

; global limit theorems
Fn ( x ) n F ( x )
, ( x ) q ( x )
,

( F ( x ) F ( x ) ) q( x ) dx 0
n

. F ( x ) , Fn ( x ) , ( x )

= x

, p

>0,

q ( x ) 1

( , [1] [4] ).
.: [1] A g n e w R. P., Proc. Nat. Acad. Sci. U.S.A., 1954,
v. 40, 9, p. 80004; [2] E s s e n C.-G., Trans. Roy. Inst. Technol.
Stockh., 1958, 121, p. 131; [3] . ., , ., 1972; [4] . ., .
. . , 1976, . 61, . 84101.

;
Gnedenko theorem , . . .

( ).
. .- , ., [1]-,
. ,
.

527

.: [1] . ., . ., ,
. ., 1949.

; aging distribution 0
, s > 0
P { ( t , t + s ) | > t}
t

(*)

0 .

, . .-
, t -
( )
. - . .-,
k M

0 -

F ( t ) e t m 1 1 2
,

F ( t ) = P { > t },

=1

2( M ) ( , [1] ).
, ,

. .- , ln F ( t ) [0 , t F )
; t F

. f I ( f )

f ( x ) ( x ) dx

( x ) - , ., ( x )
. . . .

. A -
n

i =1

a i ( x )
i
x

+ ( x ) ( x )

1t

. . , F ( t )

t .

,
( , )
. .- .
. .- ( , [2] ).
. .- t , s

F ( t )F ( s )

F ( t + s )

i, j = 1

ij

2
( x )
i
j
x x

K ( x ; x ) ( x)dx

= ( A )( x )

; conjugate distributions
F G :

f (s) =

. .- [0 , t F ) t -
(t ) -

. ,
. . .-
,
.
.: [1] . . [ .], , ., 1976; [2] . ., . ., , 2
., ., 1981.

= inf {t : F ( t ) = 0} .

.
.
(*) t . . .-

sx

F (dx)

| s |

< s0

s -

s -

G ( dx ) = esx F ( dx ) f ( s ) .
. .- : . .-
( F1 , G1 ) , ..., ( Fn , Gn )

G ( n ) (dx) = esx F ( n ) (dx) f ( n ) ( s )

,

, .
: ( . ) , (
. )
. : IFR ( increasing failure rate )
, .- , DFR ( decreasing failure rate ) ,
.-, NBU ( new better then used ) ,
.
.: [1] , ., 1983;
[2] ., ., , . ., ., 1984.

f (n) ( s ) =

i =1

f i ( s ), f i ( s ) =

sx

Fi ( dx ) .

. . ,
.
.: [1] .,
, . ., . 2, ., 1984; [2] . .,
,
., 1987; [3] . ., . .,
. ., 1965, . 10, . 1, . 6169.

; dual transport problem

A = A f = g

, ; contingency tale
f ij ... q , i = 1, ..., I ,
j = 1, ..., J , ...,
q = 1, ..., Q , f ij ...q ; f ij...q ( )

528

1- ( ) i - , 2- ( )

j - , , s - q -
. ,
.
s = 2, I = J = 2

s = 2, I > 2, J > 2 ,

(1) A .
S A ( x ) X

, , 2 2
.
, , .
: 1)
{ f 1 , f 2 , ..., f J } { f 1 , f 2 , ..., f I }
; 2) (
I ); 3)
.
( ) ,
. I = J = 2 ,

( x ) =

1 j J

pij , p j =

pij , i = 1, ..., I , j = 1, ..., J .

1 i I

: i , j , i
1

H : pij

pi p j

= 1, ..., I , j = 1, ..., J

. H

H 0

.
.: [1] G o o d m a n L. A., Analyzing qualitative-categorical data.
Log-linears models and latent-structure analysis, L. [a. o.], 1978;
[2] ., .,
, . ., ., 1973; [3] ., , . ., ., 1982; [4] H a b e r m a n S. J., Analysis of
qualitative data, v. 12, N. Y. [a. o.], 197879; [5] G o o d m a n L.
A., Ann. Statist., 1985, v. 13, p. 1069; [6] K u l l b a c k S., K e e g e l J. C., .: Handbook of Statistics, v. 4, Amst. [a. o.], 1984;
[7] . ., ,
., 1980; [8] F i e n b e r g S. E., .: Encyclopedia of statistical
sciences, v. 2, N. Y., 1982, p. 16171; [9] H a b e r m a n S. Y., Analysis of qualitative data, v. 1, N. Y., 1980, p. 13037; [10] E C T A
( Everymans Contingency Table Analysis ) by L. A. G o o d m a n,
L., [e. a.], 1973; [11] A g r e s t i A., Analysis of ordinal categorical
data, N. Y. [a. o.], 1984; [12] P l a c k e t t R. L., The analysis of
categorical data, L., 1974; [13] . ., , ., 1982.

; Gram Charliyer series
:

S A ( x ) = ( x ) +

k =1

ak (k )
( x ), x R1 ,
k!

(1)

S B ( x ) = ( , x ) +

k =1

bk d k ( , x )
, x = 0 , 1, 2 , ... (2)
k!
dk

( , x ) =

x
x!

e .

p ( x ) - .

ak = (1) k

k ( x)

p ( x ) dx

. ., j

= (1) k e x 2 (e x 4 ) ( k ) -

, H k ( x )

= MX

= 0, 2 = 1 ,

a1 = a2 = 0, a3 = 3 , a4 = 4 3, a5 = 5 + 10 3
. p ( x )

H 0 : pij = pi p j ; pij

pi =

(i , j ) ,
1- i - , 2-
j - .

ex

ex

p ( x ) dx <

, S A ( x )

= p( x )

p ( x ) - -

( , [3] ).
(2) B .
X p x = P { X = x }, x = 0, 1, 2, ...

p x = 1 S B ( x )

x=0

. bk -

bk = k

p x Gk ( , x ) ,

x=0

G ( , x) =

d k ( , x)
dk

( , x) .

= , j = M ( x ) j , b1 = 0, b2 =
= 2 , b3 = 3 3 2 + 2 . . . . . 1

[1]-, . [2]- . . . .-
, ., (1)
k , ( k 1)
, , . . .
.
. . .- .
.: [1] G r a m J. P., J. reine und angew. Math., 1983, Bd 94, S.
4173; [2] C h a r l i e r C. V. L., Arkiv. Mat. Astr. Fys., 1913 /1914,
Bd 9, 25, S. 117; [3] . , .,
, . ., ., 1966; [4] .,
, . ., 2 ., ., 1975.

529

 ; granulometry A
,

> 0 :
) ( A) A, A A ; ) A B ,
( A) ( B), A , B A ; ) ,
( A) ( A), A A ; ) o = o = max ( -

(
) .
1)
.

{ ( x ) , x = ( x ( 0) , x (1) , x ( 2) , x (3) ), x ( 0) , x (1) ,

x (3) , },
4

M (
H
, , [1] ) .

o ).

G1 , ..., k ; 1 , ..., k ( x1 , ..., xk ; y1 , ..., y k ) =

= R n , A = F , R n -

= ( 1) ( , T [1 ( x1 ) ... k ( xk ) 1 ( y1 ) ... k ( y k )] ) (*)

. An +1 An , An A

lim n ( An ) =

I
n

( k -

An

, {i ( xi ) , j ( y j ) , i, j

.
.: [1] .,
, . ., ., 1978.

( )

; statistic of Grenander Rozenblatt
type f o r s p e c t r a l d e n s i t y / s p e c t r o g r a p h e s t i m a t e r , ;
.

; Griffiths inequalities .,
-
d

. { xt , t Z }
,

. A , B Z

(I) M ( X A ) 0 ,

(II) M ( X A X B ) M ( X A )M ( X B )

. . .

; Green alpha function ,

; Green
function
( )

530

, T

. , .-
[ x A - ( . ) ] ( )
( x) = { : x ( A)} -

A Z d , X =

) ,

, . F -
.
. : A
, .- ( A)

x ( 2) ,

= 1, ..., k }

, x1 , ..., xk , y1 , ..., yk ; = 0 , x1 , ..., xk ,

y1 , ..., yk ( ) .
2) . F -
F - H
#

a X (t )

= e i H t a #X e i H t , t R d *

a X a X
( X R

). . .
, Z
G ( x1 , t1 , ..., xk , t k ; y1 , s1 , ..., y k , s k )

(*) ,

, a xi ( t i ) a y j ( s j )
,
( H ).
,
.
.: [1] . ., ,
., 1975; [2] . ., . ., . ., , ., 1962.

;
Green function , -

;
Gross topology H , H -
.
. . ( , [2] ). . .-
H
.
.: [1] G r o s s L., Mem. Amer. Math. Soc., 1963, 46;
[2] .-., , .
., ., 1979.

;
group delay \ lag , / .
; group code
, .

; gambling
,
.
:
; ; , .-; . . .
,
. . G :
k 0 ;

K ;
M ( K ) , K -
;

u ( k )
,

( , ) -

G = K , k 0 K , { M ( k )}k K , u ( k ) .
: 0 M ( k 0 ) k1 , 0 . 1 ( k1 ) M ( k1 )
,

k2

= { 0 , 1 , ..., } . t , u ( k t ) -

.

. .- .
k -, , c - m
; m = 1, 2 , ..., [ k m] . m .
k1 - . k1 < c ,

,
; envelope of a power function
.
, = 1 U 2

( ) = sup ( ) , 1 ,

() , sup
( ,
). sup .
1
,

,
, , 2-
. , s > 0, t > 0

2 ( s , t )
2w ( s , t )
= a (s , t , ) + b ( s , t , )
,
s t
st

(*)

( s , 0 ) = ( s ) , ( 0 , t ) = ( t ), ( 0 ) = ( 0 )
,

w ( s , t ) .

, (*)
.

. sup [ ( ) ( ) ] 1

.
,
, . .-
( , ).
. .

.
.: [1] ., , .
., 2 ., ., 1979.

, ;
signal envelope
, .
x ( t ) . . r ( t ) -
:

r(t ) =

x 2 ( t ) + x 2 ( t ) ,

x ( t ) , x( t )

x ( t ) =

, , , 1- [ k1 c] -

; Goursat stochastic problem

H 1 : 1

H 0 : 0 , . . .

; k1 c ,
. ,
.,
.
. .
.: [1] D u b i n s L. E., S a v a g e L. J., How to gamble if you
must: Inequalities for stochastic process, N. Y. [a. o.], 1965.

x ( )

d ,

. . . , [ f 0 F , f 0 + F ] -
( f 0

>> F )

r ( t ) cos [ 2 f 0 t + ( t )] ,

. . r ( t ) ( t ) f 0
.
.: [1] . ., . -
, 1982, . 70, 7, . 513; [2] . .,
, . 1, ., 1976.

, ; envelope of a random
process , ; .

;
K o l m o g o r o v e q u a t i o n power series ,
.

531

; power moment
problem k
M
P -
. a0 = 1, a1 , a 2 , ...
;

ak =

P (dx)

, P .
. . . . , , , ,
. :

a i + k xi x k

i, k = 0

( H. Hankel, 1869 ) ,

xi , x k R 1 .

a21k 2 k =

. . .-
( ., ). . . .
. . ( , [1] ).
.: [1] . ., . . ., . 3, ., 1948;
[2] S t i e l t j e s T., Ann. Fac. sci. Univ. Toulouse sci. math. et
phys., 1894, t. 8, p. 122; 1895, t. 9, p. 147; [3] . .,
, ., 1961; [4] .,
, . ., . 2,
., 1984.

 ; lag , / .
/

; distributed lags
model , .
;
Langevin equation ,
.
m . [1]- ,
:
1) : , 6 a

dx
-
dt

, x (t ) , t ,

, a ;

2) ( ) X (t ) ;
,
.
,

d 2x
dx
= 6 a
+ X (t ) .
dt
dt 2

(*)

(*) ( )
. (*)- x (t ) - ,

. Y (t )

M Y ( t ) Y ( s ) = ( 2 + 1 2 ) e ( t + s ) + e (t s ) 2 ,
2

.
.: [1] L a n g e v i n P., C. r. Acad. sci., 1908, t. 146, p. 53033
( . . ., , ., 1960, . 338
41 ); [2] . ., , . ., ., 1986; [3] .,
., , . ., ., 1986.

; Laplace
b

method

( a, a)

d
kT
t

+ C exp 6 a ,
M x2 ( t ) =
3 a
m
dt

C = const .

40 . ( K. It )
. . .

d Y ( t ) = Y ( t ) d t + d w ( t )
dx
) ,
dt

w ( t ) .
t

( x) e tx dx

n=0

( 2 n ) ( 0)
n! 2 2 n

t n , t ;

2) (x) , ( 0 , a ] ,

, . M x ( t ) -

Y ( t ) = e t Y ( 0 ) +

( T , k )
X ( t ) M X ( t ) x ( t ) =

F ( x ) dx

. . .-

.
( , [1] ): 1) ( x ) ,

=0

1
1
d x
m 2 = kT
2
2
dt

t s

, Y ( 0 ) , ( 0 , ) -

, ,

e s d w ( s )

( x )

=0

= x ( a0 + a1 x + ... ) ,

> 1

( x) e i x dx

n =1

( + n)
an1 , t .
t n +

. .- . . . ; .,

.
.: [1] . .,
, 3 ., ., 1979.

; Laplace distribution . . [1]-

533

 , .
.: [1] L a p l a c e P., Theorie analytique des probabilits, P.,
1812.

1
1

U n ~ n! e 2 1
+
...
n 1
2! (n 1) 2

;
. . 1812- . ( A. Moivre,
1730 ) . ,
.

; Laplace Gausse distribution , .
; Latin subsquare , .
; latin rectangle ( m n ), ( m n )
, n

S ( )
. m = n . . n .
, S

= ( 1, 2 , ..., n )

m , n ( m

n ) . . -

. . .- ( 1, 2 , ..., n ) ,

. ( m < n ) ( m n ) . .- n , m
. .- .
( m n ) . .- L ( m , n )
:

L ( m , n) n! ( n 1)! ... ( n m + 1)! .

. .- ( 1, 2 , ..., n ) , , . . . . .- K ( m , n ) ,

L ( m , n )
L ( m , n ) = n!K ( m , n )
.
L ( m , n ) -
: ., . .,
Dn = K ( 2, n) U n , ( 3 n ) . .-

1 2 3 ... n

n 1 2 ... n 1
. U n :

Un =

k =0

534

(m) k = m (m 1) ... ( m k + 1) .
K ( 3, n ) Dk U l :
K ( 3, n ) =

2 k 2 k 1
( 1)

( n k )! ,
k
2 k 1
k

k
n

Da k Dk U n 2 k ,

k =0

= [ n / 2 ] , U 0 = 1.

1
1
bs
K ( 3 , n ) ~ ( n!) 2 e 3 1
+
... +
+ ... ,
n
2
!
(
n
)
s
!
(
n
)
2
s

bs

= H s ( 1 / 2 ) , H s (t ) . -

K ( 3, r + s ) = 2 r K ( 3 , s ) ( mod r ) .

. . ,

, S .

( 1) k
+ ... ,
k ! ( n 1) k

; Laplace
theorem

. .- . m

< n 4 / 3 , = (n)

+ 0 n ( n ) 0

m (m 1)
L ( m , n) ~ ( n! ) m exp

.
. .
. ., ( m n)

aij

bij

. .-,

( aij , bij ) ,
. .- . . .- . .-
. .- m 1 - .
. . . .- : n , S ,

( r s ) ( r s )
. n r s
. . n ,
, . .- r + s n
.
.: [1] ., ,
. ., ., 1963. .- .

; Latin cube
s s
> 1 , 3 s
s

. s . . s
s ,

3 s 3

. s ( ) . . s
;
s , . .-
s s

( i , j , k ) - i -

j -, k -,

. .- ( i , j , k ) -

n . .- k < n k
.
k . ., n 2k , n . .-

= aij

= bij

. . . ( , ).
.: [1] . ., . .,
, ., 1979.

. n L1

; Latin
square n

. . .- . .- -

S , n
; . . S ,

= {1, 2 , ..., n } . n . . ;
., aij i + j 1( mod n ) , i , j = 1, 2 , ..., n
. , S

L = aij

. .-
, . .-.
m L2

akl

m n L = ij

= brs . .-

. .- :

ij = brs + ( akl 1) m , i = r + m ( k 1) , j = s + m ( l 1) .
n . .- Ln -
Ln n! ( n 1)! ... 2! 1!
.
. .-
, . .-
. . .
n . .- Ln -
:

l n mn = ( n 2 )! ( n 3 )! ... 2! 1! .
S . .-
,
. .- . n . .- k n
. l n , k n mn - :

n
kn

22

563

1 676 257

ln

56

9 408

16 942 080

mn

12

288

34 560

535 281 401 856

24 883 200

= 377 597 570 964 258 816 . ln - -

.

. .-
. , 1 , n
, i , j , k , l
, ( aij , ai , j +1 )

= ( , )

( akl , ak +1,l )

= ( , )

( i , j ) ( k , l ),

i, j , k , l s

(aij , bij ) (akl , bkl ) ,

. L

= aij . .- t -

. .- t

T ,

T = { ( i1 , j1 ), ( i2 , j2 ) , ..., ( it , jt )} ,

l , 1 k, l t

, ik

il , jk jl ,

aik jk ail jl . t n ; t = n
. n n . .- . 6 . .-
:

012
120
201
345
453
534

345
453
534
012
120
201 .

n 7 . .- t ( 2n + 1) 3
.
. .- .
n . . n , -

Ln = n!( n 1)! ln ,

, l9

.-

, k

. .-.

n L1 =

L2

. .- . . . . .-
n - n -
.

n - S , S -
.
. .- , . .- , .,

1
.
.
.

.
2
.
.

.
3
.
.

.
4
.
.

n 1 . .- . .-
.
, n 2 n .

. .
.
.: [1] D e n e s J., K e e d w e l l A. D., Latin squares and their
applications, Bdpst., 1974; [2] M., , .
., ., 1970; [3] . - ., ,
. ., ., 1966; [4] . .,
, ., 1977.

535

 ; stratum , .
;
stratified sample
. ,
N 2 k 2
, . ,
, n1 , ..., nk k
( n1 + ... + nk

= N ):
X 11 , ..., X 1n1
X 21 , ..., X 2 n2
.....................

X k1 , ..., X knk
: i - X i1 , ..., X ini
i .

X i1 , ..., X ini , i = 1 , ..., k

i - i - -

p1 F1 + p 2 F2 . (*)

( , [1], . 169 ). (*)
( , [2], . 134 ).
(*)-
( , , . ).
.: [1] .,
, . ., . 2, ., 1984; [2] .,
, . ., ., 1953.

; Lebesgue measure , .
; Lebesgue
theorem , .
; Lebowitz inequality ,
.

; lexicographirem ,
.

. ., Y
( X , Y ) X -

; Lehmann Scheff theorem ,

. . .
.: [1] ., , . .,
., 1967.

; stratified sampling method
, { Di }
, i - ni
; i

= 1 , ..., m .

{ ni }
( , [1] ). [2]-
.
.: [1] . ., ,
., 1973; [2] . .,
, ., 1974.

; Lebesgue decomposition , F F

F = p1 F1 + p2 F2 + p3 F3

(*)

, , pi 0 , p1 + p 2 + p3 = 1
pi - , Fi . ,
F1 ( F1

supp F1 ), F2 ( supp F2 ), F3 ( ) . F (*) .

536

; Lenard Jones potential
, ( )

; Levenberg Marquardt method / algorithm

.
, n Y

= ( y1 , ..., y n ) T

, p

= (1 , ..., p ) T
Y = F () +
p
n
, F R R -

, , F
f i ( ) -
. ,

( k )

(k )

F -
, ,

Y = F ( ( k ) ) + Pk ( ( k ) ) , Pk = i ( ( k ) )
.

i
( n p )

(1)

(1)
,
:

( k +1) = ( k ) + ( PkT Pk ) 1 PkT ( Y F ( ( k ) )) .

(2)

. ( , [1] ,
[2] ) ;

PkT Pk

.
(2)-

( PkT Pk + I ) ( , [3] )
( PkT + Pk + k Dk )
,

Dk = diag ( PkT Pk )
k - ( , [4] ). , k

0, 01

, k 0- . k
[3], [4]- . ( )
.
.: [1] . ., , ., 1981; [2] ., ,
. ., ., 1979; [3] . ., , .:
, . 7, ., 1977; [4] M a r q u a r d t D. W., J. Soc. Industry.
Appl. Math., 1963, v. 11, p. 43144; [5] L e v e n b e r g K., Quarterly Appl. Math., 1944, v. 2, p. 16468; [6] . .,
, ., 1989.

; Lvy decomposition o f r a n d o m
p r o c e s s w i t h i n d e p e n d e n t i n c r e m e n t s
,

.
.: [1] L v y P., Ann. scuola norm. sup. Pisa. Sci. pis. e mat.,
1934, v. 3, p. 33766; 1935, v. 4, p. 217; [2] . .,
, 2 ., .,
1986.

;
Lvy inequality 1) . .
.
X 1 , ..., X n

S k = X 1 + ... + X k m X , X , t

P { max ( S k m ( S k S n )) t } 2P { | S n t | }
1 k n

. .- .
( , [1] ). . .- , ( ,
[2] ), , . .
X 1 , ..., X n .

2) . . .
. ( [3]- ) . .
( [4]- )
. . . :
P { max X k m X k > t} 8 P { | S n m S n | t 4} ,
1 k n

X 1 , ..., X n

1 k n

. .- . X 1 , ..., X n

P { max S k t} 2P { S n t }
1 k n

P { max | S k | t} 2P { S n t }
1 k n

. .-.

S n = X 1 + ... + X n , m X k , X k . X 1 , ..., X n
,

P { max X k > t } 2 P{ | S n | > t }

1 k n

.
3) . .
. .- .
[5]- . . .
, ( , [6] ).
X 1 , ..., X n ( E , B )
, S k

= X 1 + ... + X k

. C + C B

C B

P
( S k (C + C ) 2 ) 2P { S n C } ,
k =1

U (X
k =1

(C + C ) 2 ) 2P { S n C }

. ,
B . . ,

P{ max

Sk

> t} 2 P { S n > t } ,

P{ max

Xk

> t} 2 P { S n > t } .

1 k n

1 k n

P { max | S k m ( S k S n ) | t } 2P { | S n t | }

X 1 , ..., X n .
X 1 , ..., X n - . .- .
.: [1] L v y P., Thorie de laddition des variables alatories, 2
ed., P., 1954; [2] . ., . .,
1975, . 20, . 1, . 140 44; [3] L e v y P., Bull. sci. math., 1953,
t. 77, p. 9 40; [4] . ., . ., 1968, . 13, . 4, . 701 07; [5] .-.,
, . ., ., 1973.

537

 min ( 1,

; Lvy mapping , ( ) .

; Lvy canonical representation
f (t )

. ( , [1] ) :

it x
it x

e 1
dH ( x ) . (*)
2
1
x
+

x0

R1 , 2 0

H ( x ) ,

1) x < 0 , x > 0 ;

2) | x | ;

3)

dH ( x) < , 0 < x 2 1 .

H M ( x )

= H (x ) , x < 0 N ( x ) =

= H ( x ) , x > 0
,
. H = M + N .
. . .- ( ., ,
. ). , .
.: [1] L v y P., Ann. scuola norm. sup. Pisa, ser. 2, 1934,
v. 3, p. 33766; [2] . ., . .,
,
. ., 1949; [3] P a r t h a s a r a t h y K. R., Probability measures
on metric spaces, N. Y. L., 1967.

; Lvy canonical representation
i n B a n a c h s p a c e B

( f ) = exp i f ( x0 )

1
( f , f ) +
2

h ( f , x) (dx) .

f B , x0 B . ,

h ( f , x ) = exp{ i f ( x)} 1 i f ( x) I{

exp

x < } ( x )

(*)

, > 0

{ h ( f , x ) ( dx ) }

B -

.
,

538

) (dx) <

.
.
.
.: [1] A r a u j o A., G i n e E., The central limit theorem for real
and Banach valued random variables, N. Y., 1980; [2] L i n d e W.,
Infinitely divisible and stable measures on Banach spaces, Lpz., 1983.

X X
FX F

L( X , Y ) = L( FX , FY ) =

= inf { : FX ( x ) FY (x) FX ( x + ) + , x R1}

. [1]-
. , F -
1

. . .- R M - ( ).
F - . .- :
1) (F , L) .

2) F M F 1 ( x) = inf { t : F ( t ) < x} ,

F, G M

L ( F , G ) = L( F 1 , G 1 )

.
3) . . , L -
: X i , Yi

L ( X 1 + Y1 , X 2 + Y2 ) L ( X 1 , X 2 ) + L( Y1 , Y2 ) ,
L ( max ( X 1 , Y1 ), max ( X 2 , Y2 )) L ( X 1 , X 2 ) + L ( Y1 , Y2 )
.
4) k 0 Fk , Gk F , k

Fk ,

k Gk

max 1,

= 1, 2 , ... ,

max L (F , G )
k
k

.
5) r > 0 X

L ( X , 0 ) ( M | X |r )1 1+ r
.
6) L ( F , G ) . .-

( F , G )

I ( x ) , A , , B -

; Lvy metric

f (t ) =

= exp i t 2 t 2 2 +

L L + min { QF ( L ) , QG ( L )}
, QF ( x ) , F F . G
:

1 + sup G ( x ) L ,
x

,
.

7) 1

,

. . .
: (t ) = c ( Y ( t ) Y ( t )) , t , t -
. , , -

8) X , Y a R1 , b > 0
:

. .- S - .
. .-
( A1 A2 ) - ( , )

L(X + a; Y + a) = L (X , Y ) ,

L ( bFX , bFY ) b L ( X b , Y b) ,

) b ( A), | b ( A) |

= ( A) . . .-

lim L ( X b , Y b ) = ( X , Y )

t = b( At ), At , R d . . -

b 0

9) f X , X -

. T
, T - 1 , T -

, X , Y

, At t T

lim b L ( X b , Y b ) = ( FX1 , FY1 ) .

b0

T > 0

O T -

L( X , Y)

. -

f X ( t ) fY ( t )

dt
ln ( 1 + T )
+ 5,66
t
T

, ,
( , [6] ).
. .- ,
.
.: [1] L v y P., Theorie de laddition des variables alatories, P.,
1937; 2 d., P., 1954; [2] . ., . . -
, 1971, . 112, . 22431; [3] . ., .
. , 1979, . 87, . 1835; [4] . ., , ., 1986; [5] . .,
. ., , ., 1972; [6] P o p o v V. A., Lecture Notes in Math., 1987,
v. 1233, p. 11424.

; Lvy field

{ ( t ), t T } , M | ( t ) ( s ) |2
T - . . [1]-
d

R d . S
( , [1] ).
. . . . .- : )
( , [2] ); ) , , L1 ( , ) d

, L p ( , ) , 1 p 2
d

( , [3] ); ) 1 M , .

M d . . D0 -

. . , d

D0 , M -
( , [4], [5] ).
- M
. .-

Y (t )

( , [4], [5] ). Y (t ) -

S - b ( d )
:

Yt =

ln [

1 ( x , )] b (d ) , t S d ,

Sd

( t , ) ( , [5] ).
. .

d

( , [7], [8] ). M R
. .
, , d - .
, .
( , [9] ). M

L p ( , ),

1 < p 2

. . .
, , . .- ( ,
[3], [10] ).

R d . .- ( , [1],
[11] ). R d -
P lim (t ) ( s )
0

2 d ln = 1 = 1,

= |t s|

.
.: [1] .,
, . ., ., 1972; [2] . ., . ., . ., 1968, . 13, . 1,
. 152 55; [3] B r e t a g n o l l e J., D a c u n h a - C a s t e l l e D.,
K r i v i n e J.-L., Ann. Inst. H. Poincar, 1966, t. 2, 3, p. 231
59; [4] . ., . . ,
1979, . 21, . 123 47; [5] . ., .
. , 1987, . 36, . 88 101; [6] . .,
. ., 1979, . 24, . 3, . 624 28; [7]
. ., . . , 1963, . 8, .
4, . 358 78; [8] . ., . , 1971, . 197,
4, . 784 87; [9] . ., . , 1975,
. 221, 6, . 1276 79; [10] B e r m a n S. M., Ann. Probab.,
1980, v. 8, 6, p. 1093 106; [11] S i r a o T., Nagoya Math. J.,
1960, v. 16, p. 135 56.

539

 ; Lvy measure ,

( t , A)

. ( t , A ) - t A [ ( s + 0 ) ( s 0) A ]

; Lvy class

, , , .

; Lvy system
o f a M a r k o v p r o c e s s


. = ( t , At , Px )

(E , B ) .

= Bt ,

t 0 (E , B )

N ( x, dy ) [ , E B
N ( , )
, ]
, E E - f (x) 0

Mx
f ( s , s ) = M x dBt N ( s , dy ) f ( s , y ) (*)
o

0 < s t

, t

. ( N , B ) .

it x
it x
e 1

1+ x2
E (t , x ) =
t2
2

1 + x2
, x 0

2
x
,

x = 0 ,

R1 , G ( x ) ,
G ( )

= 0 , G () <

, R - -

. . . . .
( , ).
. . . .-
. (*)

.

. . . .- .
.: [1] . ., . ., , .
., 1949; [2] P a r t h a s a r a t y K. R., Probability measures on
metric spaces, N. Y. L., 1967.

; Lvy Kramer theorem , :
,
; . ( [1]- ) , .
( [2]- ). :
1) , ;
2) 1 ( t ) 2 ( t )

1 ( t ) 2 ( t ) = exp ( t 2 + i t ) , 0 , < <

(*)

(*)- ( , [1], [2] ). [2]-

.
.: [1] W a t a n a b e S., Japan J. Math., 1964, v. 34, 1,
p. 5370; [2] B e n v e n i s t e A., J a c o d J., Invent. math., 1973,
t. 21, 3, p. 18398.

; Lvy spectral function ,

.
. . .- 1)
;
2) (*)

, .

; Lvy theorem

j (t ) = exp{ j t 2 + i j t} ,
j 0 , < j < , j = 1, 2

, , ;
, , .

; Lvy Khinchin formula f o r s e m i m a r t i n g a l e s , .

; Lvy
Khinchin canonical representation

{ (t ) }
j

f (t ) = exp{ i t + E ( t , x ) dG ( x)}

540

(*)

= exp( t 2 + i t ) ,

j =1

0 , < < , t E

. . 1937- . . . . .

1 ( t ) , ... , m ( t ) , 1 , ..., m
, E
. . . .-
.
. . . ,

; ( ,
[5] ).
. . .-
( , ),

,
( , [6] ).
.: [1] L v y P., J. math. pures et appl., 1935, t. 14, p. 347402;
[2] C r a m e r H., Math. Z., 1936, Bd 41, S. 40514; [3] ., , .
., ., 1947; [4] . ., .
., 1957, . 2, . 1, . 3459; [5] . ., .
. -. . ., . ., 1959, 19, . 78105;
[6] . ., . ., , ., 1972.

; Lvy Pareto distribution
, ,
: p (u )
,
s > 0

G(s) =

e s u p ( u ) du

s )

( M , ) , ,
, (U , d ) .

2) ( M , ) (U , d ) .
M - ,
.
3) . . .
( U )
,
X i , Yi

( X 1 + Y1 , X 2 + Y2 ) ( X 1 , X 2 ) + ( Y1 , Y2 )
.
. . .
. .,
a U , b > 0 X , Y

G ( s ) = eM s + (u

B ,
(*)- ( , [2] ). . . .- :
1) M , (U , d ) - .

( b PX , b PY ) b ( X b + a , Y b + a ) ,

lim ( X b, Y b ) = ( X , Y )

b 0

M =

u p ( u ) du ,

u > 0 , 1 < < 2 .

( X , Y )

. . . . (U , d ) -

. . .-

.
. . .- B

f (t ) = exp i M t u t

1 i t tg cos

t
2
2

. M = 0 u = 1 ,
. . . .
1 < < 2 . . .-
p (u ), u p (u )

~ C ( ) u ( +1)

. . . .- .
. . . [1]-
, ., ,
,
.
.: [1] M a n d e l b r o t B., Int. Econ. Rev., 1960, v. 1,
p. 79106; [2] .,
, . ., . 2, ., 1984.

; Lvy Prokhorov metric -

. U

= R1 , d = x y

- B -

{( t < x) : x R1} .

B U -
. . .- .
.: [1] . ., . .,
1956, . 1, . 2, . 177 238; [2] D u d l e y R. M., Ann. Math.
Statist., 1968, v. 39, 5, p. 1563 72; [3] .,
, . ., ., 1977; [4] . .,
, ., 1986.

;
Levinson algorithm , ( Aij = A ji

(U , d ) -

Aij - ( i j ) - )

( X , Y ) = inf { : PX ( A) PY ( A ) + ,
PY ( A) PX ( A ) + , A B}

ij

(*)

-, B , U -

A = { x : d ( x , y ) < , y A} .
. . . [1]-
. ,

x j = Bi ,

i = 1, ..., m

(1)

j =1

. , ., X t X t 1 , X t 2 , ..., X t m

541

 ,

m

i = 1, ..., m ;

r j j 2 = r0*

r
j =1
m

j =1

|i j |

i = ri ,

1 , ..., m ,

(2)

.
. .- m (1) , , k , k
i

= 1, 2 , ..., m

> k xk +1 , ..., xm

; k -

x1( k ) , ..., xk( k )

x1( k +1)

( k +1)
..., xk
,

xk( k++11)

(k + 1) -

. ,

m - (1) x1( m ) = x1 , ..., xm( m ) = xm

.
(2)

1(1) = r1 r0 ,

c(21) = [1 ( 1(1) ) 2 ] r0

, k - , k

(3)

= 2 , ..., m

k(k ) = rk +

k 1

( k 1)
rk j
j

j =1

)
(k
= (j k 1) + k( k ) k( k j1) ,
j

c(2k +1) ,

j = 1, ..., k 1;

2
(k ) 2
2
c(k
) = [1 ( k ) ] c( k 1) .

(1) . . .
, . . m m 2
,

m 3 ( , ., [1] [5] ).
. . , [6]- . , . [7]- .
( , .,
) ( ,
., [8] [10] ). . ,
( ,
[10] ).

542

.: [1] . ., . ., . - . . ., 1981, . 69, 11, . 5 51; [2] .

., . - . . ., 1982, . 70, 9,
. 256 93; [3] Nonlinear methods of spectral analysis, 2 ed., B., 1983;
[4] P a p o u l i s A., Probability, random variables and stochastic processes, 2 ed., N. Y., 1984; [5] P a p o u l i s A., SIAM Rev., 1985, v.
27, 3, p. 405 41; [6] L e v i n s o n N., J. Math. and Phys., 1947,
v. 25, 4, p. 261 78; [7] D u r b i n J., Rev. Inst. intern. statist.,
1960, v. 28, 3, p. 233 44; [8] D e l s a r t e P., G e n i n Y. V.,
K a m p Y. G., IEEE Trans. Acoustis, Speech. Sign. Process, 1985,
v. ASSP-33, 4, p. 964 71; [9] D e m e u r e C. J., S c h a r f L. L.,
IEEE Trans. Acoustis, Speech. Sign. Process, 1987, v. ASSP-35,
1, p. 29 42; [10] Z o h a r S., IEEE Trans. Acoustis, Speech.
Sign. Process, 1979, v. ASSP-27, p. 656 58; [11] I n o u y e Y.,
IEEE Trans. Automat. Contr., 1983; v. AC-28, 1, p. 94 95.

; Levinson Durbin algorithm
, .

;
holding sticky boundary / elastic barrier ,

; stable state , ,
;

/ / ;
delay / lag , 1) . B X ( ) . .-
X ( t ) X ( t )

, X ( t ) .
2) .
. , ( ) =
, .- : X ( t ) X ( t )
. 0
, , , ( 0 )
; ( 0 ) , 0 .

; delay coefficient , ; .
;
lag window , , ;

; fibre process , .
; limit
theorems ,

.
, 1713-
. . .
. ( A. Moivre ) 1730 33- ; . .
( P. Laplace ) . ( C. Gauss ) 19-

,
, . ,

-
. 20-
;
[ . ( S. Poisson ),
1837; . . , 1867 ], ( . . ,
1900 01 )
, . - . .-
. . .-
( ) .

, A = { A}
{ Pt , t T }
,
.
t

. Pt ( , ) . Pt

,
, P
( ), t

( Pt , P ) 0 .
P Pt

(1)

( t )

. , t ;
P

, .,

. ,
h .
. { It , t T } ,

A - , Q ,

A - , Pt ( A) = Pt ( It 1 A )
t Q
, t

( Pt , Q) 0 .

(2)

, Pt Qt ( A)

= Q (It A ) .

. . , Pt , ,
, .
I. (2)- Q = {Q } ?

II . Pt Q - Q
( Pt

) ? ,
Pt ?
, (3)-
( )
.
,
.

.
. .
19- 2- ( . . ,
. . , . . .). 20- 20-

S n = X 1 + ... + X n -, n = 1, 2, ...
( . ) . S n U n ( x) -
I n -

S n = In1 S n = Bn1 ( S n An )

, An , Bn
, U n (x )

= U n (In x ) = U n ( Bn x + An ) .

I n U n . X j , , , An

= M S n , Bn2 = D S n

. . .-

( .,
)
, ,
. . .-

.
( ). , (3)

I n - , U n

U n

, . Pt

.
1932 33-
G - . .
, . An

Q t - Q It ( , Pt -

( Pt , Q ) = ( Pt , Q t ),

t T

(3)

Q t It ) It - . ( , ., It t Pt - ). , ( )
.

Z n = X n1 + ... + X nn An , n = 1, 2, ... ,

(4)

X n1 , X n 2 , ...

543

X nj

, :

>0

sup P { | X nj | > } 0 .

(5)

(5)
, , (4)
1922- . . .

Fn Fnj , Z n X nj
. . .-
(
L ).
. . ,
Q = G ( I ). X nj ,

. .
G -

;

G0 -

[3]-
,

.

. . ( 1938 ).
G0 - . . , G
. ( P. Lvy, 1934 ) G - G
f
,

20-
; .,
,
(

),
( ,
, , , ).
. .-
( , , , , , ,
). . .- .
. ., . .- .
1) S n M S n = 0 , 2 = D S n ,

n =

( e i t x 1 it sin x )

, n n n .
( (5)- ):

P { max S k < x n } Q( x) =
k

1 + x2
dW ( x)
2

(6)

W W ( ) = 0, W () < R1 - , G ( , W )
. Fn G

= G ( x; , W )

( II ) . . ( 1939 )
. ( , [4] ) . f n j , X n j
, C1 ( X nj )

= Im ln f nj (1) -

, n - (5)
. An

= +

C (X
1

nj )

Wn ( x) =

u2
dFnj ( u + C1 ( X nj )) , n 1
1+ u2

.
n

L ( Fn , G ) 0 L (Wn , W ) 0
.
1949- . . . . [1]
. . .
.

544

M | X j |3 <

j =1

f ( t; G) =

= exp i t +

( 1 )

k =0

1
exp ( ( 2k + 1) 2 x 2 8 )
2k + 1

.
2) S n ; : x ,

0 < p < 1 q < 1

1 F ( x) ~ h1 ( x ) ,

F ( x) ~

~ h2 ( x) , h1 ( x) ( h1 ( x) + h2 ( x)) p
.

1 (1 F ( x) ),

( x ) = (1) (1 + x ) 2 + (1) (1 x) 2 ,
1 F ( x) ,

Z n = (S n ) n

x 1
| x| < 1
x 1

P { Z n < x} n
q + p exp ( 1 p x ) ,
V (x) =
q q exp (1 q x ) ,

x >0
x <0

( , [6] [4] ).
3) Z n = Qn ( X 1 , ..., X n ) , k 2
; F ( x )

c > 0 , 0 < < 2

x 1 F ( x) ~ c x .
Qn = n ( S n1 , ..., S nk ) ,
S nm = X 1m + ... + X nm , 1 m k
, n n -
k ( Qn ).

, 1- . n

n k Qn Z ( ),
Z ,
, (Y ) - ,

k - , Y R k

f (t ) = exp c
(e ig 1 i [ ] t1 w ) | w |1 dw
R1 \{0}

g =

t = ( t1 , ..., t k ) R k

t jw j ,

. n L ( Fn , G ) 0
, G Fn .

= G (x n 5 )

Fn (x) -

, ,

L ( Fn , Gn ) G ( + 0) 1 2 > 0,

n 1 . (2)
Q Q

. . Pt
,
,

j =1

, [ ]
( , [7] ).
,
, (5)
( [2]- 38 . ).
20- 60- [ . ( L. Le Cam ),
. . , . . , . . , H.
( H. Bergstrm ) . ], 1969- (5) . . ( , [4] ).
, Q -

Gn (x) =

Pt -

.
. . ,

n = sup

F F

inf

( F n , G )

G G

,
. , 1956- ,

n c n 1 5 , c . ( . . , . , . . ).

1981- . , n c n 2 3

, D Z n 1 . Fn Fn , Z n Z n -

, (
, , [12] ).
. .- 1 ,
.

. , ( , ., [13]
).
20- 70 80-
. .-: (
),
(
, ( , [14] ) ) . .- ; . . .
.: [1] . .,
, . ., 1949; [2] L v y P., Theorie de
laddition des variables alatories, P., 1937; [3] B a w l y G. M., . ., 1936, . 1 (43), . 917 30; [4] . ., ,
., 1986; [5] . ., , ., 1986, . 114 16; [6] D a r l i n g D. A.,
Trans. Amer. Math. Soc., 1952, v. 73, 1, p. 95 107;
[7] ., . ., 1988, . 33, . 2,
. 266 78; [8] . ., . .,
1972, . 17, . 2, . 209 27; [9] J a c o d J., S c h i r y a e v A. N.,
Limit theorems for stochastic processes, B. [a. o.], 1987; [10] . ., . ., 1989, . 34, . 1,
. 178 89; [11] 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, H. 1, S. 33 58; [12] A .,
. ., T. . - , 1986, . 174, . 3
214; [13] D y n k i n E. B., M a n d e l b a u m A., Ann. Statist.,
1983, v. 11, 3, p. 739 45; [14] . .,
, 6 ., ., 1988.

, G
exp ( cos t 1) -

545

R -
F - ( (5) ).
. .-
( , [8] ),
( , [9] ). . .- . .-

( ,
). ,
. .- . . .
( , [10] ).
. .-
,
(3) . ,

Pt Pt
. .
X nj (4)-
,

P { | X nj | = 1} = (1 1 n ) ;
P { | X nj | = n 5 } = 1 n , j = 1, 2, ..., n .
(5) ,
Z n

= Z n n 5 . M Z n = 0 , n -

; limit theorems o f t h e
metric theory of diophantine approximat i o n ( )

. ( 0 , 1)
. ( 0 , 1)
: T1 : { q } T2 : {1 } -

, - q -
.

n

; , { q } ,

n = 1, 2 , ... ( q > 0 )
( 0 , 1) .
, , .
( 0 , 1) q -
0 ,1,...
; ( 0 , 1) ( 0 , 1)


.

: f ( t ) ,

bn M n

M - ,

1
lim
n n

n 1

( T1k ( )

k =1

(1)

1
2

n 1

k =0

dz

(2)

.
(2) [5]- . ( 0 , 1)
k

{ 2 } ,

k = 0, 1,..., n 1 ( 0, 1)
( ). -

( , [2] ).
( , [4] ). . .
,
( , [1] ).

546

= [ a n , an+1 , ...] . . .

sup mes { : rn ( ) a n < x } ln (1 + x) ln 2 =

x

= O ( e
O ( e

), > 0

) . ( P. Lvy )

. (1) (2)
T1 - T2
. ( W. Doeblin )
.
. . , .
,
.
.: [1] . ., . .,
, ., 1965; [2] . .,
, ., 1964; [3] . ., Ann. Univ. sci. Budapest. Sec. math., 1971, v. 14, p. 77
92; [4] . ., . . . ., 1981,
. 45, 1, . 69 100; [5] . ., . . -
, 1966, . 82, . 3 111.

; limit theorems o n c o m p a c t g r o u p s

. G
, { n }

1 n(i ) = i i +1 ... n n , { n } ( , [1] ). H ,

. i

(i )

, rn ( )

. :

n - H - ,

f ( T1k ( ) b0 ) < x n =

z 2 2 2

, q n ( ) n - [0 ; a1 , ..., a n ]

G H - . n

, x

lim mes : 0 1,
n

b0 ) d = 2

.
( C. Gauss ) . ( 0 , 1) = [0 ; a1 , ...]

H , n(i ) -
(i )

, n H

= n(i ) . H H

.
, G - { n } G - { n } , { n }

= n1 n n+1 .
, { n }
1 2 ... n . , { ~n }
~ ~ ... ~ ,
,
1 2
n
~2 ... ~n 1 ~ ~ ... ~
. ., 1 G - ,
1 2
n
~ , i > 1 .

i
{ n } , ,

, n

, .

 n G , { n = n1 n n+1}
H , ,
{ n } G - ( H ) ( , [1] ). ,
( H ) .

( e1 ) , e1 , G . ., -

. .,

M 1 (G ) , : )
lim n = K ; ) lim supp ( n ) = H . G
n 1

M 1 (G ) -

lim n = G . ,

G { n } e1

,
H - - .
M 1 ( G ) - { j }, j 1 n 1

X n . G

G -

G -
, n ,

( H ) H

n , { j }, j

G / H ( e1 )

.

.
1. { n }

, { j }, j

, { n

lim n

, { n } - ? n
?
3. G - { n }
. ( e1 ) .
. H , H

U ( H )

{ 1 ( U ( H ))}
n

n =1

.

( , [2] ). G - A ( )
n

j 1

supp ( j )

.
{ n }
- .
, { n }
. .,

p n ( g ) pn cn <

1
n

n =1

p1 ... p n ( g ) = 1 0 ,

n 1 , A ( ) ; supp ,

p1 ... pn ( g ) ,
( , [4] ).

1 ... n

A ( )

, . . ( , [5] ). { n }

= supp , K = [ supp ( )] ,

G , n (e1 ) > > 0 , -

G , G -

M 1 ( G ) , ,
, H

=
supp ( 1 ) ... supp ( n ) supp ( n ) 1 ... supp ( 1 ) 1
n 1

{ } - ,
, [ M ] , M . ,

1 , M 1 ( G ) -

= 1 ... n } , n 1

( , )?
2. { n } -

( ) .

e1 . , H G -

1) lim n ;

, , ei G ,

2) lim supp ( n ) ;

n 1

3) supp ( n ), n 1 ;

supp ( ) n supp ( ) n = K ;
4)
n 1

5) K
, supp ( ) .

6) H supp ( ) K

( ei ) ; { n }

n =1

H .
.: [1] ., , . ., ., 1981; [2] . .,
. ., 1971, . 16, . 1, . 52 66;
[3] . ., . .,
. 13, . 2, . 295 307; [4] . ., .
., 1980, . 25, . 3, . 614 19; [5] K a w a d a Y., I t o K., Proc. Phys.-Math. Soc. Japan, 1940, v. 22,
p. 977 98.

7) = K .

547

,
; r a t i o limit theorems f o r a M a r k o v
process
T

P f (a) dt P f (b) dt
t

( a b X

= ( X t , At , Pt ); t 0

E - ;
f1 , f 2 0 E - ; Pt X
).
E , [1]. E
a

b a ( , [2] [5] ); ( , [3], [5] ). ( , [2], [6] ).

, .
.: [1] , , .
., ., 1964; [2] A z e m a J., K a p l a n D u f l o M., R e v u z D., Z. Warh. und verw. Geb., 1967, Bd 8, 3, S. 157 81;
[3] F u k u s h i m a M., J. Math. Soc. Japan, 1974, v. 26, 1, p. 17
32; [4] . ., . ., 1967, . 12,
. 3, . 493 505; [5] . ., . .,
1977, . 22, . 4, . 712 28; [6] . ., . ,
1980, . 28, . 1, . 153 58.

; limit theorems f o r M a r k o v p r o c e s s e s .
, ( , ., [1], [2] ). . .,
,
.

, ,
( , [1] ).
.: [1] . ., . .,
, . 1, ., 1971; [2] R o s e n b l a t t M., Markov processes,
B. [a. o.], 1971.

, ; r a t i o limit theorems f o r a M a r k o v c h a i n

.
{1, 2 ,...} n

pij ( n ) , i, j , n 1

.
N

p
n =1

548

ij ( n )

p
n =1

kl ( n )

(*)

i [1, N ], N

1 j -

;
. i, j , k , l ( ,
),
;
(*) N .

( , [4] ). - 1950-
( , [4] ).
,
i l ,

{ i ; i 1} ( ,
;
).
( , [2], [8], [9] ),
, ( , ).
( ,
[8], [9] ).
. .-
( , [3], [8] ).

i

, N

>0

pii ( n) >

n =1

lim [ pij ( n) pkl ( n + t )] = j l

i, j , k , l

t = 0 , 1, ...

; i .
( , [5],
[6] ) ( , [10], [11] )
.
1951- ( , [4] )
. ( P. Erds ) . -

( , [7], [10] ).
.: [1] D o e b l i n W., Bull. Soc. math. France, 1938, t. 66,
2, p. 210 20; [2] . ., .
., 1957, . 2, . 4, . 389 416; [3] K i n g m a n J. F. C.,
O r e y S., Proc. Amer. Math. Soc., 1964, v. 15, 6, p. 907 10;
[4] - , , . .,
., 1964; [5] P r u i t t W. E., Proc. Amer. Math. Soc., 1965, v. 16,
2, p. 196 200; [6] . ., . ,
1967, . 22, . 2, . 124 25; [7] .,
, . ., ., 1969; [8] O r e y S.,
Lecture notes on limit theorems for Markov chain transition
probability, N. Y. [a. o.], 1971; [9] ., ,
. ., ., 1997; [10] G u i v a r c h Y., Asterisque, 1980,
v. 74, p. 15 28; [11] . ., . .,
1984, . 29, . 4, . 692 702; 1985, . 30, . 2, . 241 51.

; limit theorems f o r M a r k o v c h a i n s

( .
)

; .,
, . ., .,
.

 ( .,
)
( ., ,
) .
( ., ) .

1907 08- . . ( ,
[1] ). X 1 , ..., X n
. ,
.

a = lim M n 1 ( X 1 + ... + X n )
n

, ,
n

>0

P { | n 1 ( X 1 + ... + X n ) a | > } 0
.

0 < 2 = lim M n 1 ( X 1 + ... + X n a n ) 2 <

n

, ,

1
P y
( X 1 + ... + X n an) x ( 2 ) 1 2
1/ 2

t 2 2

dt .

. . ( ,
[1] ).
. .-
. .- .
[2]- X i X j

i j ,
n

Sn =

i =1

( ). [3] [4]-
:

T0 = min ( n > 0 : X n ) ,
Tk = min ( n > Tk 1 : X n ) ,

k = 1, 2, ...

,
. S n ( ( n) =

= max ( k 0 : Tk < n) )

( ).

[5]- .
. .- ,
,
. , - . .-
.
. .-

[6]- .

. . ., -
. ,

.
. ., ., [7]-
.
.
.
,
. .-
( , ., [8] ) ( , ., [9],
[10] ).
. . , , .,
[11].
.: [1] . ., . . .
, ., 1951, . 33962; 36398; 465508; [2] . ., . ., . 4, ., 1964, . 12176, 17796, 32230;
[3] D o e b l i n W., Bull. Soc. Math. France, 1938, v. 66, 2,
p. 21020; [4] . ., . . .
., 1949, . 13, . 4, . 281300; [5] . .,
, . ., 1949; [6] . ., . .,
, , ., 1979;
[7] . ., . . ., 1961, . 1, . 1
2, . 231314; [8] - , , . ., ., 1964; [9] B o l t h a u s e n E., Z. Wahr. und
verw. Geb., 1982, Bd 60, H. 3, S. 28389; [10] . ., . ., 1986, . 31, . 2,
. 31532; 1989, . 34, . 2, . 289303; [11] B h a t t a c h a r y a R.
N., Z. Wahr. und verw. Geb., 1982, Bd 60, H. 2, S. 185201.

; limit
theorems f o r m a r t i n g a l e s a n d s e m i m a r t i n g a l e s .
X = ( X t ) t 0 B = (, A , ( At ) t 0 , P ) , t

X t At , D -.
D
, X n , n 1
X
n

( X X

) X n -

P n -

P - ( Pn P )
. ( -
).
X
T ( B, C , v ) , , X -
P - . ,

549

D
X n
X -

) { P n }

( T T ) :

D
T n T X n
X.

) X X ( )

Xn

Df

X - ( X X )
D (S )

S R + ( X n f X
) .
D
T n T X n
X D

( P n P )
:
I ) ;
II ) ;
III ) , P

= = P n

.

( ., )
.
,

X , Xn

T = { f ( t ), t R } , T n = { f n (t ), t R }
n

, T T
n

f ( t ) f ( t ) , t R n

X
I, II, III
n

. { P }

( I

) P
( II ): P
P
- .
D
- . P
. ,
III , P - P , ,
.

[ 1 Re f

, ,
., .
, .,
n

f
X
X

.
.

, X n X


.
( I , II , III
n

=
= ( B , C , v ) T = ( B, C , v) .

) . X n X
n

{ P } ( -

P n { R \ [ 1/ a , 1/ a ] } 7 / a

f
X
, X
. (

D
T n T X n
X

T n T P = P

, , X

(t )] d t

t R , f ( t ) f ( t )
n

. { P }

). , T T
:

P , w lim P n X , T T . , III T X

( { P } -

P - -

, X n

{ P } ). ,
n

P P f ( t ) f ( t ) , t R : P f ( t ) ,
w

, n

P - .

550

X - :

Gtn ( ) = i Btn

t R . . , P
P - ( III ). ,
w lim P n P - , ,
{ P n } P - , w lim P n

1 , T n = (B n , C n , v n )
2
2

Ctn +

(e

i x

1 i h ( x ) ) n (ds, dx) ,

= h ( x ) ( h ( x ) =
= h ( x ) , [ a, a ] , h ( x ) = 0 );

G n ( )

E ( G n ( ) )t = e Gt ( )

~
~
P
sup C sn C s

0,

(1 + Gsn ( ) ) e Gs ( )

s t

0< s t

P
sup g sn g s

0 , g C1 ;

s t

dE ( G n ( ) )t = E ( G n ( )) t d Gtn ( )
.
1. X n , n

T n -

, X T , ,
.

E ( G n ( ) ) t E ( G ( ) ) t ,

Ptn1 , ..., t k

( X tn1 , ..., X tnk ) ( X t1 , ..., X tk ) ].

,
.

D
P
X .
g n
g , g C1 ; X n

x = ( x s ) s0

h ( x) (ds, dx)
2

(Bsn ) 2

0<st

0,
sup n ( { s } ( | x | ) )
s t

P
Btn

Bt ,

g ( x ) (ds, dx) ,

( M n t
n

f
X.
. X
, ( ).
,
(
) .
X , -

: , t > 0
P
sup Bsn Bs

0,

s t

C1 ,

D
X n
X

= M ( M 12 | J ) , J

) , M i2 < M 1 = 0

g ( x ) (ds, dx) .

( 0, t ) R \ { 0 }

, w - .
:

( 0, t ) R \ { 0 }

g t =

M ( )
1
D
n
X t =
w ,
M nt . X n
n

~
~
P
C tn
Ct ,

P
g tn
g t , t S , g C1 ,

= ( B, C , v) X

; X X .

, .,
.
1) M = ( M t ) t 0 ;

( T T ) :

~ ~
P
P
Sk ( B n , B o X n )
0 , Sk (C n , C o X n )
0,

= ( B, C , v ) D

P
Sk ( g n , ( g ) o X n )
0

( 0, t ] R \{0}

tn

I II III : Sk
,

~
Ctn = Ctn +

X = ( X t ) t 0

2. X , n 1 T = ( B , C , v )
n

~
~
P
C n
C,

P
Bn

B,

Pt1 ,..., tk ,

C = ( Ct ) t 0 , ( g ) = ( g t ) t 0 , g C1 , ,

w
Ptn1 , ..., tk
Pt1 , ..., tk , ti S , i = 1, ..., k

X -
[
B = ( Bt ) t 0 ,
], E ( G ( ) )

t S Rt

X X .

, X w )

k [ nt ]

1) 1 , 2 ,...
.

2) X n = ( X tn ) t 0 An = ( Atn ) t 0 , X
A

= ( At ) t 0

= ( X t )t 0

, -

( ,
P
Atn

At ,

).

( A )

n 2
s

s t

( A )
s

0
[ Sk ( A , A )

s t

], X n X .

551

3) n = ( kn ) k 1 n 1
n

, k - Ak A0

= { , }

P{ |

nk

x R

n ( t , y )

P
| > Akn1}

0 , (0, 1] ,

d X n ( t ) = an ( t , X n (t ) ) dt + n ( t , X n ( t ) ) dw ( t ) ,

nk

I ( | n k | 1)

Akn1}

Xn(0) = x

0 ,

k =1

[
n

M { n2k

I ( nk )

k =1

M{ n k I ( | n k | )
n S n

Akn1

nk

Akn1}

, M S

(1)

.
, ( , n - ) ;

n n

}
.

. t , x

lim an ( t , x) = a ( t , x ) ,

S , S

lim n ( t , x ) = ( t , x )

k =1

= 0 , MS = .
2

.: [1] . ., . ., ,
., 1986; [2] ., . .,
, . ., ., 1994; [3] , .: . . , . 49, ., 1989.

; limit theorems f o r s t o c h a s t i c d i f f e r e n t i a l
e q u a t i o n s
; ,
( ,
, ,
. ) ( )

( .,
). ,

( .,
) . . .
. .
1.
.
)
, , . , .
( )
.
, . ,

.
( , [1], [2] ).

552

[0, T ] R - d . an ( t , y )

k =1

M {

A1n A2n ... . ,

n

d w ( t ) -

dX ( t ) = a ( t , X ( t ) ) dt + ( t , X ( t ) ) dw ( t ) ,

X (0) = x

(2)

, lim X n ( t )
n

= X ( t ) -

t [ 0, T ]
.
)
) .
( , [3] ).
d ( Z n ( t )) t [ 0,T ] ,

n = 0, 1, 2,... ,
n = 0, 1, 2,... M sup Z n ( t )

t T

< .

R , (x) ,
x R d
t

X n (t ) = x +

( X n ( s )) o d Z n ( s)

(3)

, ( ).
n = 0, 1, 2,... . j , l =

= 1, 2 , ..., d
Z njl (t ) =

1 l
Z n , Z 0j
2

Z nj , Z 0l

[Z

j
0 (s)

Z nj ( s ) ] d [ Z 0l ( s) Z nl ( s ) ]

Z j , Z l , Z j Z l j

( Z , Z
j - ). ,

lim M sup Z n ( t ) Z 0 ( t )

t T

=0

 i, j

Ai j (t )

,
2

lim M sup Z nij ( t ) Aij ( t )

t T

= 0.

, ( ,
[3] ),
2

lim M sup X n (t ) X 0 (t )

t T

=0

, X 0 ( t ) ,

X 0i ( t ) = x i +

ij ( X 0 ( s ))

o dZ 0j ( s ) +

j =1 0

i j

j, k , l = 1

xk

( X 0 ( s)) kl ( X 0 ( s)) d A jl ( s) ,
i = 1, 2 , ..., d

(4)

( X 0 ( t ) , X 0 ( t ) i - ).
, (3)
.

Aij = A j i , , Ai i = 0 .

= 1, 2 , ..., d Aij = 0 ,

i, j

Z 0 ( t ) Z n (t )

,
.
2. .
) , ( , . )
.
.
,
( ),

( . .
[4]-
). ,
, , .
( , [5] ).

(1) , n n
; n
x - , . (1)
(2)
.
G .
. ( , [6] ).

.
: (3)
Z 0 ( t )

. (1) d = 1 , n ( t , x ) 1 , a n ( t , x ) =
= n cos n x . ,
a ( t , x ) 0 , ( t , x ) k (2)

.
. d = 1 , (3) (2)
.
w n (t ) ,

( j !) 2 .
, k =

j =0

) > 0 -

M sup w n ( t ) w (t )

t T

= 0 ,

X n (t ) = x +

a ( s , X n ( s) ) ds +

(s , X

n ( s )) w n ( s ) ds

X n (t )

lim M sup X n ( t ) X ( t )

t T

=0

X (t ) =
t

=x +

a (s, X (s)) +
0

( s , X ( s ) )
1
( s , X ( s))
ds +
x
2

( s , X (s) ) d w (s)
0

X (t ) = x +

a ( s , X ( s )) ds +

. ,

.

.
(2)
,
1-
.

2

( , , ) , 0
, .,
(
)
( , [8] ).


2

, X (t ) ,

(s, X (s) ) o d (s)

0

( t / , t / . ) .
.
( , [7] ), 0

( ).
.

553

3. . [9]-
. . , ,
. [11]-
;
[10]- .
[10]- .
.: [1] . ., . ., .: - ( , 25
30 1974 . ), . 2, , 1975, . 988; [2] . ., . ., 1980, . 25, . 4, .
67582; [3] ., . . ., 1985, . 25,
4, . 7284; [4] . ., . . ., 1961, . 2,
1, . 12937; [5] . ., . .,
. ., 1988, . 33, . 1, . 313; [6] .
., . . , 1976, . 15, . 99114;
[7] . ., , ., 1987; [8] . ., . .,
, ., 1979;
[9] . ., . .-. - . . . ,
1934, . 5, . 95124; [10] . ., . .,
,
., 1982; [11] S t r o o k D. W., V a r a d h a n S. R. S., Multidimensional diffusion processes, B. Hdlb. N. Y., 1979.

; limit theorems f o r

random sets
. . .- .
( , ). Ai
, M i -

, ;

1
lim
in=1 Ai ,
in=1 M i = 0 , bn > 0
n
bn
bn

.

. ,
An - , ( )


.
, Ak , ( , ( )
) bn = n ,
, M k

A1 - ( , [1], [3], [5] ).

n

i =1 Ai

= A -

. .- ,
, , ., A

554

br ( A) = inf ( A ( ) A ( ) )
=1

, A -

diam ( A ) = sup ( A ( ) A ( ))
=1

, x

asym x ( A) = sup ( A ( ) A ( ) 2( , x) )
=1

A,

, ( , x) ).
. .
. ., ( Ak )
, M n ( p ) A1 , ..., An
, M ( A1 , p ) , A1 - p -
( , ( ) ),
M n ( p ) = M ( A1 , p) 1 ( ,

[4] ).
. .-


. ,
Pn [ x, z ] [ t , y ]
, ( x, y ) , ( z , t )
. ,
X n (t ) = bn X ( n t ) , X (t ) =

= [t ] + t 1W ( [ t ] ) ( [t ] +1 [t ] ) , i , [t ] t - ,

= t [t ] , 1W , W , W Z 0+ .

T ( K ) = 1 exp ( 0 ( K ) )
, ,

0 = ( J ) + (1 ( J ) ) , J =

= Y I ( Y + 1) , Y = Z 0+ \ W , ,
= mes1 , mes1 ,
, ,

(K ) = ( K ) ,
K =

( {x} [ min (0, y ), max ( 0, y )] ) .

( x, y ) K

, (
x ) ,
.
.: [1] A r t s t e i n Z., V i t a l e R. A., Ann. Probab.,
1975, v. 3, 5, p. 87982; [2] C r e s s i e N., Z. Wahr. und
verw. Geb., 1979, Bd 49, 1, S. 3747; [3] Lect. Notes in Math.,
1983, v. 990; [4] . ., , ., 1979; [5] . .,
. . . , 1979, . 85, . 11328; [6] . ., . ., 1986, . 31, . 1,
. 8190.



; limit theorems f o r r a n d o m m a t r i c e s


.
.
, .

.

. . ,

( ) .

;

( ) = n 1

. .-, k n - n

= ij

( k < x )

( : k < x) . ,

n ( x )
.
.

.

.
. .- n

= ij

y2 2

dy .

n xn = bn
. .-.
( , [1] ): n

= ij

n
i , j =1

ij bn ,
, 1- , 4 + , > 0 ,

lim P { xk < r} =

1
1
+
arctgz
2

. .
, .

. ,
, ( , [2] ).

n

Ai

( Re k < x ) ( Im k < y )

k =1

. ,
( , ).
. . .

lim lim P { tr n n h } = 0

h n

. ,
n
, n
.

( , [1] ). . .
. . .
( , ) ,
.
an bn n :

A -
i

i =1

( , [3] ).
X n

n ( x, y ) =

, xk k - .

< x)

k =1

lim P { bn1 [ ln | det n | an ] < x } = (2 ) 1 2

i =1

X n

= U 1U 2 ,

U 1 U 2 ( ) = i ij

. X n

{ [ ln i ( X n ) an ] bn1 , i = 1, ..., m, U 1 ( X n ), U 2 ( X n )}
, a n bn . X n

= Fn ( X n1 ) + Bn1 -

,
Fn ( x ) Bn 1 ,
. ,

.
. .
,
,

( , [6] ).
.: [1] . ., , .,
1980; [2] ., , . ., ., 1965; [3] . .,
. ., 1965, . 10, . 1, . 1932; [4] -

555

 ., , .
., ., 1963; [5] ., , . ., ., 1963;
[6] . ., -, ., 1977;
[7] M e h t a M. L., Random matrices and the statistical theory of energy levels, N. Y. L.,1967; [8] F u r s t e n b e r g H., K e s t e n H.,
Ann. Math. Statist., 1960, v. 31, p. 45769.

; limit theorems 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 e s
.
( , A , P ) X = X ( T ) , T
x (t ) , BX

X n - .
X n (t ) , n = 1, 2 , ... X -,
,
. t1 , ..., t k - ( t i S )

n ( X n (t1 ) , ..., X n ( t k )) ( X ( t1 ) , ..., X (t k ))

X n S T -

X X - ( )
, . , . , , ,
X n - b

(X

n ( t ) ) dt

sup X n ( t ) ] .

t T u R { x ( t ) < u }

[ .,

, T
. ( , A ) (X , BX )

.

: ( X
, X -, .,
) [ .,
C [ 0 , T ) , D ( 0 , T ) ] -

( , A , P) - [ ( X ( T ), BX ( T) , P ) - ] t T
X ( t , )
. T ,
, ( )
( ) . ( X ( T ), BX ( T) , P )
, P ,
X ( T ) .
, [ 0, T ] , T

>0

, , .

1. X ( T ) = (R )[ 0, T ] =

(R)

X ( t , ) -

tT

; ( R ) , ( , )
. (R )

[ 0, T ]

, T -

, BX

f ( X n ) - , n

P { f ( X n ) < u} P { f ( X ) < u }

= x ( + 0) , x ( T ) = x (T 0) 2- -

; BD ( 0, T ) , -
, D -

.
X n (t ) , n = 1, 2 , ... . .-

. ( ) X n -
X n
. X n

556

(1)

. ( X , BX )
.

Pn P ,

( X , BX ) X n X ( Pn ( A) = P ( X n ( ) A) ) , Pn P

f dP

3. X (T ) = D ( 0, T )
, x ( 0 )

.
f C (X )

] BC [ 0, T ] .

, [ 0, T ] - x ( t ) -

t[ a , b ]

, .
. . .-
.
1. ( ) . .
[1]- . , X X ( x, y )

. BR [ 0,T ]

.
2. X (T ) = C ( 0, T ) [ 0, T ] -
; -
[ C ( x, y ) = sup | x (t ) y (t ) | -

f dP

f C (X ) ; (1) .

Pn P Pn ( A ) - A BX

. , Pn P , ,
, :

1) Pn ( A ) P ( A ) P

DP = { A BX ; P(A) = 0} ; A , A

2) lim sup Pn ( F ) P(F ) F X

n

3) lim inf Pn (G ) P(G ) G X

n

( ).
1) f C P ( X ) C (X )

f ( X n ) - , CP ( X ) ,
P , A X
, P (A) = 1 .
1) 3)-
, .
, { Pn }
, .
, , { Pn } Pn P
. { Pn }

Pn P

Pn ( A) P( A ) .
Q P (A)
A A DP Q
, A

= Q ( A)

=P

P , .

A ( A DP )

= BX [ ( A ) = BX

] , A P
.
, f ,

[ ., C ( 0, T ) , D ( 0 , T )
] Pn P
( , ). ,

{ Pn } n ( x )

x = 0
( , [3] ).
.

, . ( , II IV ).
II.
. . ;
. 0 T
, S [ 0 , T ]
X = X (0, T )
.
. { X n (t ), t [0, T ] } , X - . S X n ( t ) X ( t ) -
, X n (t )

X P - :
Q f ( X ) f I C P (X ) -
P

= Q .

2) P A B ,
A A DP Pn ( A) P ( A) ( , [1],

[2] ).
2) P
- , f I C P (X )
P { f ( X n ) < u} P { f ( X ) < u } .
X
, X -

e ix

( x)

[ ( x , P ) - ] , x (x) X

. X

, P
( , [3] ).

{ Pn }
{ Pn } . > 0
K

= K X

.
X n X - g ( ,
2) ), 2) n g X n X .
, g f f ( X n ) f ( X )
,

f ( X n ) -

f ( X ) .
1

(U , J 1 , J 2 , M 1 , M 2 ; , [4] ) D .
U J 1 , C D

d P( x)

1) X n ( t ) X n (t ) -; X ( t ) X (t ) -
2) P { X n (t ) X (t ) t S } = 1 -

1) Pn ;

( x , P) =

X (t ) :
- ,

Pn P :

X
.

= n ( x ; Pn )

, Pn ( K )

> 1

n - , { Pn }

X - . : { Pn } , , . X ,
( , [2] ).

C D . D J 2 M 2 ,

E F ( , [5] ).

w g ( x ) ,
1) xn ( t ) x ( t ) , n t S ,
2) lim lim w g ( xn ) = 0
0 n

n g .

557

X n (t ) X (t ) D
. g f f ( X n ) f ( X ) , ,
:
1) X n X - S ,

2)

P { w g ( X n )

lim lim

0 n

> } = 0

>0

( , [3] ).
III.
.
( , [5] ). f
f ( X n ) X ( T ) f - f N ,

{ f N } N =1 . , K

= {K M }M =1 , K M BX .
N ,

(M , N ) =

= sup f ( x) f N ( x) 0 , f ( K , )
x K M

.
M N , 0-
.
I K M = K , f K - f N ,

sup f ( x) f N ( x) ( N , N ) .

k K

= C (0, T ) , f C (X ) , f ( x) f ( y ) <

< ( C ( x, y )) , 0 ( ) 0 ,
f N (x) = f ( x N ) , f ( K , ) , x N ,

, K M

= { f N }N =1 K

( ) 0 ,

( M , N ) sup ( C ( x , x N )) ( ( T N )) .
KM

K M - , M ,

N ( M , N ) 0 K - C ( X ) - ( K , )
.

558

K =

IK

{K M }M =1

(2)

>0

1) f ( K , ) ;
2) f N ( X n ) N
f N ( X ) ;

3) M

lim sup P{ X n K M
} > 1 , P{ X K M
} > 1

( , [5] ).
IV. . .-
. f
F (2) . (2) f F , Pn P F
P . X ( T )
Pn
F
F

= C ( X (T))

F Pn P .
( , [6], [7] ) I . ,
F .
( , ; ., F
,
), f F

F
.

;
, [
.

: - 1 2

{P , }

C ( 0 , T ) -

1 , 2 .

{ X , }

w C ( x ) , C - . N M

K M = { x : w C ( x) < ( ), 1 M }
,

P { f ( X n ) < u} P { f ( X ) < u}

] { P } ,

( kT N , x ( kT N )) , k = 0 , 1, ..., N

,
., .

P { f ( x ) < u} P { f ( x) < u} ,

f F

, > 0
P { f ( x) < u} - u

P { f ( x) < u} P { f ( x) < u} < .

P = ( , ) ,
2 1 , 2 1 , 2 1
( > 0 , > 0 )
( i = ( i , i ) ).

 = C , , .
u , X , ( X , u )

2) X ( U Gi = X ) {Gi }

> 0 G1 , ..., Gn

,
N

( u - ), f ( X , u ) -
.
G X - ,
{ g ( x) > 0} , g G g (X , g)
. (X , g)
G - ( , ).
F

( , ), F -
, , Fc .

lim sup P {X \

(X , f ) . , X -

> 0 K ,
G ( K )

lim sup P {X \ G ( K ) } <

; K - { Gi }
B K , B B

lim P B I X \
N

BX - Bf BX
.

f dP

f dP

, P P ( X ; f )
(

> 0 P { f ( x) < u} -

P { f ( x) < u} P { f ( x) < u} < ).

F :
f F f F , f + c F , c = const
,
2) f1 F , f 2 F max ( f1 , f 2 ) F -

1)

, F
( . ) .
f1 F ,
f 2 F

f1 + f 2 F , F

. .-
P P ,

( X ; f )

P P Fc Fc

.
L , P . ( X ; f )
P P
.
1) A , Q L

A DQ P A A DP

lim P ( A) = P ( A )

(3)

U G = 0
i

i =1

(4)

, K .
(4) (3)- P .
F

,
.
1) ( X , g ) , ,
( X , g )
( ., P
. ). (X , f )
.
2) ( X , g )

( X ; B( g) ) ( B( g) = (g)
),

P { f ( x) < u} P { f ( x ) < u} , f C ( X )

.
F , F Fc ( , [7] ).

i =1

.

, , (3) P
.
{ P } , 2) ,

{ f ( x) > 0} , f Fc f ,
, F
.
Bf = (f ) , f . f = Fc

UG } <

{ f ( x)

> 0} , f C ( X )

( B B( g) )

, ( B
, (X , f ) ). B( g) B

- -

B - B( g) -
.
3)

.
4)
F ,

( [10]
. ).

559

( L
) .
. .- .
. (
) .
1. C ( 0, 1) - . X n X -

[ 0, 1]

(R

[ 0,1]

,B

R[ 0 ,1]

) ( R
)

,B

R[ 0 ,1]

3)

L2 ( x, y ) =

t t <

FC

= 1 -

ak =

x ( t ) sin kt dt ;
0

x ( t ) x ( t u) .

x(t + ) = 0 ,

> 2 .
4. . X n (t ) , X (t )

f (x) =

( x (t )) d t ,

C (, )

FD :

) ( R[ 0,1] , BR[ 0,1] ) ,

) D -

D ( x , y ) = inf [ sup | x ( t ) y ( ( t )) | + sup | ( t ) t | ]

t

(t ) , [ 0, 1] ,

( x ( t + ) x ( t ) ) 2 dt ,

B
.

(0)

[ 0, 1] - M ( 0, 1) ,

w D (x) = sup min ( w + ( t , ), w ( t , ) ) ,

sup

w L ( x) =
t +

X n X :

0<u <
t u [ 0, 1]

2. D [0, 1] - . R [ 0,1] -

= 0 , (1 ) = 1 .

P( D) = 1

:
1) > 0

lim lim sup P {w D ( X n ) > } = 0 ;

560

bk =

x( t ) cos kt dt ,

{ a k ( X ), bk ( X )}k = 0

lim lim sup P {w L ( X n ) > } = 0

2) S [ 0, 1] .

t S } .

FD

2) > 0

[ 0, 1] -

L ( 0, 2 ) .

X n X - , -

{ X n ( t ), t S } { X ( t ),

Pn P

lim lim sup P {w C ( X n ) > } = 0 ,

1) { ak ( X n ), bk ( X n ) }k = 0

:
1) > 0

w ( t, ) =

( x ( t ) y ( t ) ) dt

L2 - Pn P ;

C ( 0, 1) -

.
, Pn P , P { C ( 0, 1)}

2)

) ,

; B , L -
.

sup x ( t ) x( t )

.
f FC , f -:
[ 0,1]

{ X ( t ), t S }

( L , B ) Pn P

) , ,

w C (x) =

2) S , { X n ( t ), t S }

F - .
Pn P
,
1) C (, )

> 0

lim lim sup P

( X n ( t ) ) dt > = 0 ;
N 0
n
t : | X n (t ) | > N

2) j , u j r

lim

P { I [ j X n (t j ) < u j ] } dt1 ... dtr =

...

0424
0
1
3
r

...

0 24
0
14
3
r

P { I [ j X (t j ) < u j ] } dt1 ... dtr

 , j , u j S R \ H , S

R \ H - , , H
.
X n ( t ) ,
2) .
F = F ( x ) , x ( x )

= o( ( x ) ) , -

III
.
Y (1), Y ( 2) , ... ; Yn (1), Yn ( 2) , ...
, X (k )

Y ( j) ,

X n (k ) =

j =1

( Yn (1) , ..., Yn (k ))

Y ( j)
n

j =1

k ( Y (1) , ..., Y (k ) ) -

= 1 , X n -

1) ( x ) - -

, P { X V0 }

.
5.
. ( 0, T ) -

F0 , n

. T = ,
( C D
).
T T = { 0, 1, 2 , ...} -

= R .

, X

f (x) = sup x (k ) ,

f (x) =

k >0

x(k )

(5)

k =0

VN , a = { x : x ( k ) / k < a , k N } ,

UUV

N ,

g,a
. T - g ,

N , g , a = { x R : | x ( k ) g (k ) | < a, k N } ,
g, a =

Fa .

Va =

M ( Yn (1); Yn (1) 0 ) M ( Y (1); Y (1) 0) ( , [11] ).

IU

y N

y V N , a , max
j< N

g , a +

max x ( j ) y ( j ) <

j< N

x N g , a + ,

. x Va x Va ,

N = N ( x, , ) 1
= ( x , , ) > 0 ,

> 0 = ( x, ) 0 ,

N = N ( x , ) 1 , = ( x , ) ,

= { x : lim sup | x(k ) g (k ) | < a } .

x g , a

= { x : lim sup x (k ) / k < }

<a N

N , g,a

>a N

> 0
=

, R - f

f ( x) f ( y ) <

g,a

( , [11] ).

g (k ) = k , a > 0 , a < 1
f (k) =

x ( j) y ( j) <

e | x( k )| k

k =1

g,a .

x VN , a ,

g,a

f ( x) f ( y ) <

, f V0

( f Fa ) .

2) lim lim P { X n a + , N } = 0 , > 0

N n

(5) Va .
X n , X R . Pn - P - Fa [ Va
f f ( X n )
] :
1) k - ( X n (1) , ..., X n (k ) )

:
1) X n ;

.
g, a

( x, y ) = sup | x( t ) y ( t ) | g ( t )
t

, C ( 0, ) -

( X n (1) , ..., X n ( k ))

C ( 0, ) - -

, P { X Va }

= 1;

2) lim lim lim P { X n V N , a } = 0

0 N n

,

. , C ( 0, ) - -

( , [11] ).
, Va -

I .

561

.: [1] . ., . .,
1956, . 1, . 2, . 177238; [2] .,
, . ., ., 1977; [3] . .,
. ., 1958, . 3, . 2, . 20105; [4] . ., . ., 1956, . 1, . 3,
. 289319; [5] . ., . , 1972,
. 27, . 1, . 341; [6] . ., . .,
Z. Wahr. und verw. Geb., 1973, Bd 28, 1, S. 522; [7] . ., . , 1976, . 31, . 2, . 368;
[8] . ., . ., 1940, . 8, . 30748;
1941, . 9, . 563628; 1943, . 13, . 169238; [9] .,
, . ., .-., 1937; [10] T o p s e F.,
Math. scand., 1969, Bd 25, 1, p. 97104; [11] .
., . . - , 1972, . 128, . 4165; [12] . ., . . ., 1974, . 15, 1, . 10219;
[13] . ., . ., .
., 1973, . 18, . 4, . 81215; [14] B a u e r H., Z.
Wahr. und verw. Geb., 1981, Bd 58, 2, S. 25765.

, ; limit theorems f o r s t o c h a s t i c p r o c e s s e s, m a r t i n g a l e m e t h o d s

.
:
,

.
.
, ,
.


.
;

X , B ( X ) ,
B = { Bt , t 0} , Bt B (X ), t 0
, B +

= {Bt + , t 0} , Bt + =

IB

t +

, 0 ,

>0

B0 - , M = { M ti ( x), t 0, x X , i I } ,
t -
, I . P ( 0 , M )
B ( X ) - ,
( 0 , M )

( , [1] ) i I

B0

= 0 i , ( , B + )

. P ( 0 , M )

X = [0, ) (R )
m

, [ 0, ) -

562

= { : ( s ) } , s t , B ( R m )
. a ( t , y ) = ( a1 (t , y ), ...,
a m (t , y ) )

A ( t, y) =

aij (t , y )

m
1

t 0,

y R m
t

M t1, z ( ) = ( (t ) (0), z )

( a ( s , (s)), z) ds
0

M t2, z ( ) = [ M t1, z ( )]2

( z , A ( s , (s)) z) ds ,

t 0,

z Rm
0 , a ( t , y ) ,
A ( t , y )
( , [2] ). , 0

= 0 ( ),

a ( t , y ) 0 A ( t , y ) ,
.

X n , ( n , A n , P n ) X ,

A n = { At n , t 0} , At n A n , t 0 ,

( n , A n , P n ) , P n ( B ) =

= P n { X n B } , B B ( X ) , 0n = P n

B0

, n

1 .

{ P n , n 1} P P ( 0 , M) -

,
n

M n = {M tn,i , t 0, i I }

( , A )
n

, n
, { P
n

1}

, B
n

, M - x - n

, M -

{ M ti ( X n ), t 0, i I } { M tn i , t 0, i I }

.

T (A n ) , A n
T > 0 ( T ) { S n , n 1}
, S

= S n (T ) T (A n ) , S n T

lim P n { S n <

< T } = 0 . P , {P n , n 1}

B ( X ) -
, 0 M
. ,

m ( ) , Bt Cs () =

G : R+ R+

, t G ( t ) t ;

R + = [0, ) . , P i I
Q

= Q v ,i R + G v ,i K ,

:
) t Q Bt

= { f : f B t } , B t ,
;

) t Q i I M t i ( )
;

. N

, R + - ( ) , ( 0 )

= 0,

) {Tk , k 1} , 0 Tk

X = D[ 0, ) (R1 ) I N . P

n 1} {Tk } , t Q , i I

P ( 0 , M ) - . M

{S kn ,

k 1

M t ( ) = ( t ) t , t 0 ( -

sup M n G M tni S n < ,

k

n 1

M n .
( ,
[3] ).

). At , t

, n

=
, t 0 , ( P , A ) 1 t > 0 > 0

M tn

X tn

Atn

lim P n { | Atn t | > } = 0

1. { P n , n 1} ;

, { X t , t

2. 0 B B0

.
.
( , [6] ) . ( , [7] ) .
. .
. . . [8]- ; [9],
[10]- .
.: [1] J a c o d
J., Lect. Notes in Math.,1979, 714;
[2] S t r o o c k D. W., V a r a d h a n S. R. S., Multidimensional
diffusion processes, B. [a. o.], 1979; [3] .,
., . ., 1983,
. 28, . 2, . 32032; [4] ., , .
., ., 1977; [5] A l d o u s D., Ann. Probab., 1978, v. 6,
2, p. 33540; [6] ., , . ., ., 1972; [7] ., , . ., ., 1956; [8] S t r o o c k D. W.,
V a r a d - h a n S. R. S., Comm. Pure Appl. Math., 1969, v. 22,
p. 345400, 479530; [9] . ., . .,
, ., 1986; [10] ., .
., , . .,
., 1994.

lim 0n ( B ) = 0 ( B) ;

3. ) ) .
4. > 0 , t

,i

UQ

i I

lim P n { | M tni M ti ( X n ) | > } = 0

. P P ( 0 , M).
X .
: > 0
K X ,

inf P n ( K ) > 1
n 1

n , n 1} ( ,
, { P

[4] ). X - , . ., X = D[ 0, ) ( S )
( S , ) , R + -
,

X n = { X n (t ), t 0} D[ 0, ) ( S ) - n , n 1}
, { P
n

X , n

1
> 0, T > 0

lim lim

sup

0 n T n T ( A n )

P n { ( X n (( T+n ) T ),

X n (T n T )) > } = 0
(
) ( , [5] ).

M n , ,
M
.

X t , t

0,

n 1

0, n 1} -

; continuation
of limit theorems Fn ( x ) F ( x )
1
x A R R

. , Fn ,
. . .
.

Fn ( x ) - x > 0
. . .-
. . .
. - . , [1]- . ( , [2] ). . . .-

,
( , [3] ).
.: [1] R o s s b e r g H.-J., . .,
1974, . 19, . 4, . 82428; [2] R o s s b e r g H.-J., J e s i a k B.,
S i e g e l G., Analytic methods of probability theory, B., 1985;
[3] K r u g l o v V. M., T i t o v A. N., Lect. Notes in Math., 1987,
1233, p. 4156.

563

,
;
limit of sequence of random events { An }n=1, 2 ,... -

. ,

, M X nj

n21

lim An lim An lim An = lim An

n

lim An = lim An = lim An

.

,

IA

lim An =

lim An =

UA

; Lindeberg Feller theorem

. . . .
j

a j ) = X n1 + ... + X nn , n 1

(1)

j =1

, , a j = M X j ,

2j = D X j k n
k - , n
2
nk
= k2 Bn2 0 .

. . . . , Fn - -

n ( ) =

. (3) ( , [3] ):
> 0 n

> 0 n

P { | X nj | > } 0 .

(6)

, , (6) . .
[5]- . (6) (3)
. . . 1926- [6]-
(3) ,
1946- , . . .
( , [7] ), [5]- .
. . .-
( , ., [8] ).
(5) .
Fn - - , ,

n ,
.

V = { = ( G1 , G2 , ... ) : Gk ( x) =

(2)

Fn , Fnj , n , X nj = ( X j a j ) Bn

(5)

, .

,
.
2) (2) ,
> 0 n

sup P { | X nj | > } 0

; Lindeberg condition , .

;
Lindeberg condition f o r r a n d o m m a t r i c e s

(X

(4)

> 0 . , (4)
.
1) n - .

.
.: [1] . ., . ., .
., , ., 1979.

n = Bn1

+ ... = 1 (2)

( Fn ) 0 n ( ) 0

+ n22

= 0 , nj2 = D X nj

= ( x k ), 12 + 22 + ... = 1}
= V
. n ( Fn , ) 0 , G1 G2 ...

( un , n ) = sup L ( Fnj , Gnj ) + L ( Fn , Gn ) 0

(7)

x 2 dFnj ( x ) 0

(3)

| x| >

n
, u

= (Gn1 , Gn 2 ,...)

= ( Fn1 , Fn 2 ,...) , L , Fn

.
. . ( , ) ,
[1]- . , .
[2]- , . . .-
. ( ) n X nj -

564

( n1 , n 2 ,... ) .

Fn ( x ) =

dFnj ( )

.
, u n nj ( x)

= ( x nj )

 x dF (x) = 0 , x
k

1 Fn ( x)
1,
1 ( x)

dF j ( x) = 1

= ( F1 , F2 ,...) U

,
(7)
( , [9] [11] ). . . .- (7)
.

W,

x dF (x) = 0 , x dF ( x) = 1
2

. W - .
F1 F2 ... J : U W ; B - U -

Ju =

V . (7)
:

( Ju, B ) 0 ( u , J 1 B ) 0 .

.
( (5) )
( , [10] ).
.: [1] L i n d e b e r g J. W., Math. Z, 1922, Bd 15, S. 21125;
[2] F e l l e r W., Math. Z, 1935, Bd 40, S. 52159; [3] .,
, . .. ., 1962; [4] . .,
, .
., 1938; [5] . ., . ., , . ., 1949; [6] . ., . ., . 4, .,
1964, . 12176; [7] . ., . . , . 4, .,
1964, . 43447; [8] . ., . .,
, ., 1986; [9] . .,
, ., 1986;
[10] . ., . ., 1989,
. 34, . 1, . 17889; [11] . ., . , 1975,
.18, 1, . 12935.

;
Lindelf property , .
; Linnik dispersion method
,

Fn ( x )
1
( x)

, Fn ( x ) , n
, , , ( x )
n ( n ) .
.: [1] . ., . .,
1961, . 6, . 2, . 24563; [2] . .,
. ., ,
., 1965.

; Little formula , .


; Liouville stochastic differential equation
. . . . .- .

, . . . . .-
.
.: [1] . ., o
, ., 1983.

; logistic distribution

p (x ) = 1 4 ch 2 ( x ) 2
( ), ( , ) - ,

< < , > 0 . . .-

F( x) =

1
1 + exp{ ( x ) }
x = - ;

2 2 3 - ,

f (t ) = e i t t sh ( t ) .

; Linnik class

G ( x ) ,

{ m1 }m =

U {

m2 }m =

U {0}

, m1 > 0 , m2 < 0 m+1, r m, r ( r = 1, 2,

m = 0, 1, ... ) , 1- . . .
( , ; ).
.: [1] . ., . ., 1958,
. 3, . 1, . 340.

; Linnik zones of convergence
. . [1]- 0 x (n)

, n

= 0 (1) = 0,5; ( 2) = 1; (3) = 2

.

565

, , . . .-
.
. . ,

.
. .-
: [ 0, 1]
,
= + ln (1 ) -

, d ( ) H
, ( , )
.

< d () < -
( , ) ( , ) ,
0 -

, 0

. . .
.: [1] .,
, . ., . 2, ., 1984.

. . . . .
,

d () = inf 0

; local renewal theorem ,

.
1. 0

; locally homogeneous random field ,

; locally homogeneous random process
with i n d e p e n d e n t i n c r e m e n t s ,

; local ergodic theorem

0H

H :

. . . .

lim

+0

f ( T t ) dt = f ( )

. . . .
: t ,
, ,

lim

+0

dt = 0

. . [1]-
. ,
.
.: [1] W i e n e r N., Duke Math. J., 1939, v. 5, 1, p. 118;
[2] P e t e r s e n K., Ergodic theory, Camb., 1983.

; locally most powerful

test 0 ,

d
( , )
d

, ,

( , ) =

( x) p ( x) d ( x)

d
( , )
d

=
0

( x)

log p ( x)

p0 ( x) d ( x)

( , 0 ) = ,

, (x ) x :

log p ( x)

k
0

.
2. 0

= 0

H :

K :

,
H

d2
( , )
d 2

.
0

( , ) =

( x) p ( x) d ( x)

,
0 -

566

p ( x )
x:
2

. ,

> 0 = 0

, K :

( , A , P ) {T t , t R }
: f L p ( ) -

. .

k1
0

p ( x )

+ k 2 p 0 ( x )

3. f ( y ) R -

f ( y ) dy < .

m+n

f ( x ) f ( x ) ,
i

i =1

i = m +1

X 1 , ..., X m , X m+1 , ..., X m+ n . K : > 0

= 0 . a m+ n ( i , f ) , 1 i m + n , f
( ), Ri , X i - , 1 i
m + n .
H :

m+ n

{ i }, i = 1, 2 , ... F (x ) ,

M i = a

Sn = ( 1 n )

; loal limit theorems ,

( )

.
{ i }, i = 1, 2 , ... , b + k h ( h

> 0, b

, k Z )

( i h

. . . S n p n ( x ) - . n

i =1

i = n b + k h

1
exp
2
2
1

nb + k h na

( . . , , [2] ).
- , . . .- ( , [4] ). ( , [3] ). . . .
( ,
[2], [4] ).
, ; .
.: [1] . ., . , 1948, . 3,
. 3, . 18794; [2] . ., , ., 1972; [3] . ., .
., , ., 1965;
[4] . ., . .,
1965, . 10, . 4, . 64559.

;
local martingale
,
,
.
= { t }t 0 , At A

= ( At ) t 0

( ) .
M t < M t | As = M s , s t P
,

. { t }t 0

lim sup M t I ( | M t | > c ) = 0

t 0

. ( Tn ) n1

lim Tn
n

M i = a , D i = 2 > 0 .

Pn (k )

ex

x - k
, p k (x) -

). . . .

Pn ( k ) = P

a ) .

i =1

i =1

pn ( x )

; locally integrable process , .
; locally isotropic random field ,

( Ri , f ) k

K H .
.: [1] ., , .
., 2 ., ., 1979; [2] ., ., , . ., ., 1978, [3] .,
., , . ., ., 1971;
[4] N e y m a n J., Bull. Soc. math. France, 1935, v. 63, p. 24666;
[5] L e h m a n n E., Ann. Math. Statist., 1955, v. 26, 3,
p. 399419.

D i = 2 > 0

1
M Tn = ( M t Tn ) t 0

( P ) , n

n k -
h ( ; , [1] ).
. . .

. ,
. ( A. Moivre, 1730 )
. ( P. Laplace, 1812 ) .

, M .
N , A , , N

M N

. .

, M . .
.
. .
. M
: M

= M1 + M 2

M = M c + M d .

567

M 1 . .,
M 2 .
M c ( c
) . . M 0 = 0
d

, M . .-.
. . M , , ,
:

M = sup M s ,
st
t 0

M s

( M ) = sup M s ,
st
t 0

( M ) =

= M s lim M u . M ( M ) us

( M )

(M )

<

s t

( P ), t > 0
.
. . M [ M , M ] = ( [ M , M ]t ) t 0 , [ M , M ]t

Mc

= Mc

(M )
s

s t

Mc

( M = M + M ) .
.: [1] I t o K., W a t a n a b e S., Ann. Inst. Fourier, 1965,
v. 15, p. 1330; [2] J a c o d J., Lect. Notes Math., 1979, v. 714;
[3] . ., . ., ,
., 1986.
c

; ; ; local martingale; i n t e g r a l r e p r e s e n t a t i o n
o f . ( , A , A = ( At )t 0 , P ) , = { t }t 0

= { tc }t 0

~
L P - P P - -

, A0 - P - A0 - - ( A, P ) T T

P ( { P

<< P

).

M [ ( A, P) - ] (*)
L P

(M s ) ,

s t
t 0

= {P} , LP -

. P
,
.
.: [1] J a c o b J., Proc. f Symp. in Pure Math., 1977, v. 31,
p. 3753; [2] . ., . ., , ., 1986.

; locally finite measure , .
; logarithmic likelihood function / loglikelihood
, .

; lognormal
distribution , ( 0, ) -
,

p ( x) =

x 2

e ( ln x a )

2 2

, ( ),

1)

= (dt , dx) T = ( B, C , ) ,

( A, P ) - . s

P ( ) h = h ( , t )
P B ( R ) [ B ( R ) , R -

] H = H ( , t , x) , ( A, P) -
M = ( M t ) t 0 M 0

2)

M t = M 0 + h tc + H ( ) t

(*)

,

M = ( M t ) t 0
(*) . M

~ P
~ ~
~
L P = { P : P P0 = P, T = T }

568

1) a = 0 (1) = 0,5; (2) = 1; (3) = 2

2) = 1 (1) a = -0,5; (2) a = 0; (3) a = 0,5

(*)

< a < , . ln a
,

(*) . . . . ,

a = M ln , 2 = D ln . . . .
. a 2 . . .

M k = e ka + k

2 2

a +2 2

2a + 2

(e

1) -

. . . .-. . . .-
. . . .-
: . . .- . . . . : n n . . .- . , .,
, . . .
.
.: [1] . ., . , 1941, . 31,
2, . 99101, ( .:
, ., 1986, . 26467); [2] ., , . ., 2 ., ., 1975; [3] A i t c h i s o n J., B r o w n J., The lognormal distribution, Camb., 1957.

; logarithmic series distribution ,
,

k = 1, 2 , ...

pk = P { = k } =

1
qk
, 0 < q <1
ln (1 q ) k

( ). . .-
,

ln (1 q z )
(z) =
,
ln (1 q )

ln (1 qe it )
f (t ) =
ln (1 q )

.
,

P { = k } = (1 q) r q k , k = 0 , 1, ...

, 0 < q < 1 , r > 0

. , ,

P { = k | 1} = q k (1 q) r [1 (1 q ) r ] , k = 1, 2 , ...
. r
. .- .
1 , ...,
. .- q ,
.
1 , ..., p = 1 q ,

r = ln p
.
.: [1] F i s h e r R., C o r b e t A., W i l l i a m s C., J. Animal
Ecology, 1943, v. 12, p. 4257; [2] Q u e n o u i l l e M., Biometrics,
1949, v. 5, p. 16264; [3] ., .,
, . ., ., 1966; [4] M o r a n P., An introducetion to probability theory, Oxf., 1968.

; lognormal distribution
.

; Lyapunovs inequality : 0 < s < t

(M | |s )1 s (M ( ) t )1 t .
, s

= 1 , t = 2 ( M | | )2 M 2 . .

.
.: [1] . ., , . 1, ., 1954.

; Lyapunov
fraction / ratio , .
; Lyapunov stochastic function V ( t , x) , ( V ( t , x ), At ) , (t )
, At , s t { ( s ) A} . ( t )
, . . . ,

L V ( t , x) = M { V ( t + 1, (t + 1)) | (t ) = x } V ( t , x)
q = 0, 4

q = 0,9

. .- ,

q (1 q ) q (1 + q) (1 q ) 2 ,
= 1 ln(1 q ) .
. . [1]- .

,

.
L
, L V ( t , x) 0 . . . .
( . . .
) . . . .
.

569

 . . .
.
1. V ( t , x) 0 . . . c 0 , R

inf V (t , x) , L V ( t , x) cV ( t , x)

t 0, x > R

, R -
- .
2. . . .
, x = 0
L V ( t , x) 0 ,

(t ) 0
( , [1] [3] ).
.: [1] . .,
, . ., ., 1969; [2] . .,
, ., 1969; [3] . ., , ., 1978.

; Lyapunov condition , .
;
Lyapunov theorem
. . .-
: n = 1 + ... + n , n 1
ak

= M k , r r

k (r ) = M k ak , 2 < r 3 ,
. n

n (r ) = Bn r ( 1 (r ) + ... + n ( r )) 0

, n

= D1 + ... + D n , Fn ,

n
Bn1
k

k =1

( x) =

M . . [6], . [7]-
( r = 3 ) . [8]- :

n C n ( r ) , 2 < r 3 ,

0,4097... ( . , [7] ) C 0,7915 ( . . ,

[8] ). n (3) < , r = 3
, k
C . - , C

( . .
[2]- , , n ( 5 2) = o ( n (3))
, , [5] ). . . ,

(*) ,
.
. .- .
.: [1] . ., . . . , 1887, . 55,
6, ; [2] L i a p o u n o f f A., . . . ,
5 , 1900, . 13, 4, . 35986; [3] L i a p o u n o f f A., .
. . , 8 , 1901, . 12, 5, . 124; [4] . ., , 4 ., ., 1924; [5] . ., . - , 1988, . 182, .
2447; [6] B e r r y A. C., Trans. Amer. Math. Soc., 1941, v. 49, p.
12236; [7] E s s e e n C. G., Acta. Math., 1945, v. 77, p. 1125;
[8] K a t z M., Acta. Math. Statist., 1963, v. 34, 3, p. 110708;
[9] E s s e e n C. G., Skand. Aktuarientidskr, 1956, v. 39, 34,
p. 16070; [10] . ., .:
, . , ., 1982, . 10915.

, , P { X i

ak

k =1

exp ( t

(*)

, ,
( , ), 0 1
X 1 , X 2 , ..., X k -

4
exp
n ( r ), 2 < r < 3 ,

n 3 r
r 2

M (r ) log (r ) , r = 3 ,
n
n

; lusian ,

= ( Fn , ) = sup Fn ( x) ( x) 0
, Bn

( , [5] ): .,

2 ) dt .

( , [2], [3] ). . .

, [1]- .
. . [4]- . [2] [3] Fn - - ,
.

= 1} . .

( , [1] )
. (
),
, .- .
.-
, , , , .
.: [1] . ., .:
, ., 1980,
. 287308; [2] . ., .:
, ., 1982, . 5866; [3] . ., .: , ., 1987, . 6881; [4] . ., .
. . . ., 1987, 2, . 5458.


; Mahalanobis metric ,
.

; Mahalanobis distance . 1 , 2
,
,
. .

D 2 = ( 1 2 ) T 1` ( 1 2 )
. . [1]-
.
,
, . .
. . .-

D 2
.
- .
, . .-

n + n2 p 2 2
p
p
D

D 2 = 1
n1 + n2 2
n1
n2

, ni , i - , i

= 1, 2 , p . . -

, , . .- :

D 2 = ( 2 1 ) T ( 1 + 2 ) 1`( 1 2 ) ,

; maximum
likelihood method ,
.
( x ; ) - T R

= ( 1 , ... , s )

d 2 ( X , Y ) = ( X Y ) T 1`( X Y ) ,

, .,
.
.: [1] M a h a l a n o b i s P. C., Proc. Nat. Inst. Sci. India,
1936, v. 12, p. 4955; [2] ., , . ., M., 1963.

(

tial complete class o f t e s t s

)
; essen , ;

( ) ; span o f a d i s t r i b u t i o n , .

F ( x; ) = P { < x; } = P { k < x; }
; k , k - ( k

= 1, n )

, . , 1 , ... , n .

(1 , ... , n ) n n

L (1 , ..., n ; ) = p (1 ; ) p ( 2 ; ) ... p ( n ; )

(1)

.
, 1 , ..., n n
( x1 , ..., xn ) , dx1 , ..., dx n

n
( - )
,
.
L ( )

L ( 1 ,..., n ; ) = pi1 () ... pin ()

, .
, .,

X Y . .
, :

.
L () = L ( 1 ,..., n ; )

(2)
-

, (1), (2)
-
- . . . .
, L ( 1 , ..., n ; )

L ( 1 , ..., n ; )
=0

(3)

, L () - L ()

= 0 . (3) -

571

 . L ()

L ( X 1 , ... , X n ; p ) = p m (1 p ) nm

(3)-

ln L ()
=0

(4)

(4) :

m
nm
ln L ( p )
=
= 0.

p
1 p
p

. , L ()

ln L () - -

, (3) (4) . ,

ln L ()
1
L()

=
.

L ()

j = 1, k .

. :

P { = xk } = pk () , k = 1, n ;

x1 < x2 < ... < xn .

pk ()

(6)

k =1

. a

= M X k , 2 = D X k -

L = L ( X 1 , ... , X n ; a , 2 ) =

= const
, 1 , ..., n -

n ( x a ) 2
1

k
exp
=

2
2
2

=
1
k

n
1
ln L = ( ln 2 + ln 2 )
2
2 2

(x

a) 2

k =1

~
~ D
. a
n
n
ln L
1

= ~
( X k a~n ) = 0,
D n k =1
a

n
ln L
n
n

+
=
( X k a~n ) 2 = 0
~
~

2
2D n
2(D n ) 2 k =1

.

n

1
a~n =
Xk
n k =1

~ -
. a
n

~
1
Dn =
n

n m 1, n m 0- .

572

( x a) 2
2 1 exp

2 2

.
(3)

.
.
. . .

,
.
. . .
:
1) ;
2) ;
3) , n
;
4) ,
-
.
. . . .
.
1) X 0 1
1 p p , 0 < p < 1.

.
.
2. X k , k = 1, ... , n

(5)

m
M = p . , ,
n
m P
n
p
n

L ( 1 ,..., n ; ) =

m
n

.
, m n

, . . .
:

L ( 1 , ..., n ; 1 , ... , k )
= 0,
j

p ( x1 , ... , xn ) =

k =1

X 1
k n

i =1

Xi

~
n 1
M Dn =
DXk
n
. ,

n ~
Dn
n 1

R ( ) =

.
(4)
, , n -

m, j (x) =

f ( , k ) e

i k T ( xm x j )

d k , 1 j, m M

. R ( )

M Y (t ) = ( ( t , x1 ) , ..., ( t , x M ))
. R ( )
1

Y (t ) - 1 t N

. .
. . .-
. [1]- .
: X L () , . . .

.
. . . . .- ,

a exp [ i 0 t + i k 0 x ] a

f ( , k ) =

m, j (0 ) exp [ i k 0T ( xm x j ) ]1 (2)

m , j =1
T

L () . ., X -

= S ( t ) d t + d w

( t , x ) + a exp [ i 0 t + i k 0 x ] -

dX (t )

, , w , S
,

L () = exp S ( u ) d X (u )
2
0
1

2 1

( u) d u ,

f ( , k ) - ,

[ 0, 2 ] , k R
, t Z , x R

x1 , ... , xM

. , (2) (1) f ( , k ) . . . . . . .
[1], [2]-
[3]- .
.: [1] ., . - . . ., 1969, . 57, 8, . 6979; [2] ., ., ., . - . . ., 1967, . 55, 2, . 6683; [3] P i s a r e n k o V. F., Geophys. J. Roy. Astron. Soc., 1972, v. 28, p. 51131.

; maximum likelihood estimator .

;
; ; maximum entropy; s p e t r a l e s t i m a t o r ,
,

(1)

1
1
, [ m, j ( ) ] = R ( ) , R ( )

k k 0 , 0
(2)
k = k0 = 0

f ( ) f q ( ) ,

m, j ( ) exp [ i k ( xm x j )] ,

m , j =1
M

d z ( , k ) ,

, ( t , x ) exp [ i t + i k x ] d z ( , k )

; maximum likelihood
spectral estimator ( t , x )

f ( , k ) =

i t + ikT x

; maximum likelihood principle , -

1 t N
. . . . .

f ( , k ) . -

S 2 ( u) d u

.
, .
.: [1] F i s c h e r R., Mess. of Math., 1912, v. 41, p. 15560;
[2] . ., , ., 1984;
[3] . ., . ., , ., 1979; [4] ., , . ., 2 ., ., 1975.

.
, N

z ( , k ) ,

S (u ) dX (u )

x1 , ..., x M 1 t N

( t, x ) =

q
-
f q ( )

573

 ( . , )
.
xt - N ,

t = 1, ... , N f ( )
X (t )

, f q ( )

cos k f q ( ) d = rk N 1

N k

x j x j +k ,

j =1

k = 0 , 1 , ... , q

log

(1)

f q ( ) d = max

(2)

, . . .- 1967-
.
( , [1] ) ; . .-

f q ( ) =

2
2 1 + 1 exp ( i ) + ... + q exp ( i q )

, 1 , ..., q ,

(3)

q + 1

(1) . (3) ,

f q ( ) . [2]-, . [3]- - (
) - . . .- q


; q -
;

1 , ... , q ,

rk

j r[ k j ]

r0 +

= 0,

j j

, 1 ( )

2 ( )

, ,

M1 ( ) = M 2 ( ) = 0 D1 ( ) = D 2 ( ) = 1
; . . .

* ( , ) = sup M [ 1 ( ) 2 ( ) ] .
1

= 1 ( )

. . .

1 ( )

= 2 ( )

2 ( )

. . . . ,
*

( , )

=0

.
. . .
- .
.: [1] . ., . , 1958, . 120, 4,
. 71518; [2] . ., . , 1946, . 53,
9, . 78184; [3] . ., . ., , 3 ., ., 1987.

; maximum mass method , .

K
K : k

= 2

j =1

( , ).
( ,
, [4] [6] ).
. .
N
f ( )
: , ,
-

574

; maximal correlation coefficient

;
maximin test - H

j =1

k = 1 , ... , q ,

( , ., [1], [4] [7] ). , . .-

,
.
.: [1] Modern spectrum analysis, N. Y., 1978; [2] P a r z e n E.,
Radio Sci, 1964, v. 68D, 9, p. 93751; [3] A k a i k e H., Ann.
Inst. Statist. Math., 1969, v. 21, p. 40719; [4] Nonlinear methods of
spectral analysis, 2 ed., B. [a. o.], 1983; [5] . ., .
., . - . . ., 1981, . 69, 11,
. 551; [6] , . - .
. ., 1982, . 70, 9; [7] .
., .; , . 10, ., 1977, . 11849.

H : H . ,

inf M inf M

k
( X , A )
A , (0, 1) . .

. P , H

.
H - K - G
, .

 . B , G ,

{ n }, ( G , B ) - : 1)
A A g x A

( x, g )

A B -; 2) Bg B B B g G

3)

g G ,

BB

lim n ( Bg ) n ( B) = 0 . (0, 1)

.: [1] ., , . ., ., 1984; [2] ., . ., 1986, . 31, . 4, . 73044;

[3] ., . ., 1988, . 33,
. 1, . 16770.

; Maxwell distribution , ( 0 , ) -
, ( )

. .-.
n

: 1) R -

g : ( x1 , ..., xn ) ( x1 + g ,...,

xn + g ) ; 2) R - g : ( x1 , ..., xn )

p (x ) =

x2

( g x1 , ..., g xn ) , 0 < g < ; 3) R n -

ex

p ( x) = d P d

( A BH )
( A BK ) . ,

2 2

> 0.

F ( x ) = 2 ( x )

; 4) R - ; 5) ;
6) 1) 5) .
. .- ,
. . .
. BH Bk , H k - -

(*)

2 x

ex

2 2

, ( x ) . . .- , ,
, x = 2 . . .-
;
, 2

3 8

2 - .

BH Bk - ,

h (x) =

p ( x) d ()

p ( x) d ()

h(x) =

. , , h
. ,

sup M , ( X ) , inf M , ( X ) = ,
H

(1) = 0,5; (2) = 1; (3) = 2;

, , , K
H

. .-; , , h

h -
.
.: [1] ., , .
., 2 ., ., 1979; [2] ., ., , . ., ., 1971.

,
; maximum
scheme for random variables
,

S n = max ( X 1 , ..., X n )
. . . . .
, , S n .
. . . .- , , ( ,
., [1] [3] ).

X 1 , X 2 , X 3 0

X1 + X 2 + X 3

(*)

. . . . .
2

0

. = 1 . .

-
( , ). . . , , .
., . . ,
.
.
.

575

.: [1] .,
, . ., . 2, ., 1984 .

. (1)
.

; Maxwell
Boltzmann statistic , .
; mathematics of financ ,

, rk

, , .
.
. .- : ( ), ( ., , ), ( . ) ( .,
, )
. . .-

. .- , , ,
. .

,
( ) . : ( )
( ) . ( , , ) . ( ), , , ,
, , ( ) .

.
. .- , ( , A , P ) . . .- , ( , A , P )
,
( An ) n 0 , ( At ) t 0

rk

= e rk 1.

= ( S n ) n 0 ( ) ,

(1) (2)- , S n
:

S n = S 0 e 1 + 2 + ... + k

(3)

Sn = S0

(1 +

(4)

k ),

k=1

k , Ak ( rk rk -

Ak 1 ). S n ,

n 1 ,
k - S 0 > 0 k > 1 .
B S ( B , S )

( B , S ) , ( , ) (
) ,
= ( n ) n 0 = ( n ) n 0 ; X

= ( X n ) n 0 -

X n = n Bn + n S n = ( n Bn +

i
n

i =1

S ni i ) .

(5)

= ( S 1 , ... , S d ) d ,
, d =

= ( 1 , ..., d ) (5)- n S n ( n , S n ) =
=

i
n

S ni .

i =1

( , A , ( An ) n 0 , P ) ( , A , ( At ) t 0 , P )
, ( ), An - ( , At - )

> 1. , rk = ln (1 + rk )

X n = n Bn + n S n ,

n 1

(6)

n ( , t )
.
. B = ( Bn ) n0

- ; (6)- , , ,
, , Bn1 n + S n1 n = 0 , n 1 -

, ,
:

.
, ( B , S ) n

Bn = B0 e

r1 + ... + rn

(1)

Bn = B0

(1 + rk ) ,

(2)

k= 1

( . ) rk

rk , Ak 1 ( , ) .
,

576

= 0 , 1, ... , N .
1. X 0 = 0

1- P ( P ) X N 0

, P X N

>0

, - -

( N )
, .
2. -
[ -

X 0

= 0 ( P )

P ( X N 0 ) = 1 P ( X N = 0 ) = 1 ( P )

, X N

0 ( P ) ], ( B , S ) -

,
, .
( B , S )

( . h e d g e, . , )
( , )
.
f N = f N ( ), An
, f N ( ) , ( ) .

3. X 0

x , X N f N

( P ) -

, ( B , S ) -

= ( , ) ( x , f N ) .

X 0

= x , X Nn = f N ( P ) ,

( x , f N ) .

Si
M P~ n | An1
Bn

. (
). ( B , S ) , , ( B , S ) ,
P ( P )

( P ) ( X N )
.
4. ( , )
f N ( ) ( .

P ( P )

= x X Nn = f N ( P )
( x , f N ) ,
X 0

(B, S )

[ ( B , S ) ], .

.
(
). ( , A , ( An ) n N , P) , N < -

S =

, ... ,

S nd ) n N

P ( ,

S1 S 2
Sd
S
= n , n , ..., n
Bn
B
Bn Bn

P : i

C ( f N ; P ) = B0 M P~

M P~

S ni
Bn

n N

<

fN
BN

(7)

, P ( ) .
. ,

( x , f N ) , X 0

= x , X Nn = f N ( P . . . )

X
fN
x
+
= N =
B0
BN
BN

Sk
Bk

k =1

S
X
n = n n
Bn
Bn

, ,

M P~

= 1, ..., d n = 1, ... , N

An f N -

A0 = { , } AN = A . ( B , S )
) P ( )
, d

= 1 -

( ) .
C ( f N ; P )

C ( f N ; P ) = inf { x : X 0 = x X N = f N ( P )

( B , S )

( S n1

.

, .
A B ,
,
( )
.
5. f N .

) ,

B = ( Bn ) n N , Bn > 0

, , P ( P )

(
) . .- , f N

( B , S ) N

= S n 1 .

Bn 1

fN
x
=
BN
B0

x = B0 M P~

fN
BN

(8)

, ( x , f N )
. ,
, (8)-

, x x - .

-
. C = (C n ) n N , C 0 = 0 An ,

577

( X n ,C ) n N -

X n ,C = n Bn + n S n C n

C ( f N ; P) = inf { x : X 0 ,C = x X N ,C f N ( P
) }

( ) .
, ,

f
C ( f N ; P) = sup B0 M P~ N
~
B
PP ( P )
N

, X N

( 9)

( P ( P )
) (9) (7) .
, ., ( ) (7)
(9) .

( ) ( ., , , ) ( ).

: .
, .
N
, N ,
, .
( , ) ,
, .

.
( ) K , N , .,
S N N K - -

> K , -

) 2) X N

, .

C ( f N ; P ) - .

Bn = r Bn1 ,

, x 0 x = x , x < 0 , x = 0
). f N -

578

(10)

~
ra
P { n = b} =
,
ba
( n ) n N

~
br
P { n = a} =
ba
~
( P )

C ( f N ; P ) = M P~

= (x K )

fN
.
(1 + r ) N

f N = f ( S N )

(11)
(

f ( x) =

) (11)

C ( f N ; P )

C ( f N ; P ) = S 0 B ( K 0 , N ; p ) K (1 + r ) N B ( K 0 , N ; P )
,

p =

1+ b ~
P,
1+ r

~
r a
P =
,
ba

K
K 0 = 1 + ln
S 0 (1 + a ) N

S N < K , K

f N = ( S N K ) + ( x -

S n = n S n1 ,

P
:

B ( j, N , p ) =

, , , S N
. , N

( n )n N

1 < a < b a b
, .
1 < a < r < b ,

S N K - .

, , N

fN

.
5- ,
x C ( f N ; P )

. ,
K , ,
. , S N ,

f N ( x

( B , S )

, P ( P )

. S N

f N -

.
: 1) x

, C -
, ,
.
6.

A N f N

k
N

ln

1 + b
,
1 + a

p k (1 p ) N k .

k=j

. ,

.
X = ( X t ) t T ,

X t = X 0 e Ht ,

= ( H t ) t T [ . , (1)

(2) ]. (2) (4)-

X t = X 0 E ( H t )

d Bt = rBt d t , dSt = S t ( d t + d w t ) ,

1
H t = H t +
Hc
2

= (E ( H ) t ) t T

E ( H )

(e

H s

1 H s ) ,

0<st

1
H t H c
2
t

f T ,

C ( f T ; P ) = B0 M P~

0< s t

H c , H c

(13) [ f T = ( ST K ) +
]
:
2

ln S 0 + T r +

2
K

C( f T ; P ) = S 0
T

S
ln 0 + T (r )
K
2 ,
Ke rT

].

( B , S ) B = ( Bt ) t T -

= ( S t ) t 1

.
X

= ( , )

= ( X t ) t T ,

X t = t Bt + t S t ,

(6)- ( ),

( x) =

d X t = t dBt + t dS t
, -
.
,
t

u dBu +

u dS u ,

.
( , ) .
, . ,

X t

X t ,

0t T ,

> 0.

= ( t ) t T = ( t ) t T .

X t = X 0 +

fT
BT

, P .

H -
( ) H s =

= H s H s

> 0 , B0 > 0 , S 0 > 0 w = (w t ) t T

(1 + H s ) e H s .

(13)

( ) [ . , (10) ].
(13) . At

E ( H t ) = e

( B , S )
:

, (12)
.

y2 2

d y.

. .
(1) (2)-
.
.: [1] . .,
, . 12, ., 1998; [2] . ., ;
, ., 1997.

;
Malliavin calculus ,
,
2-
.
( , [1], [2] ). . .-
( , [3] [5] ).
, ( , A , P ) d

w = ( w ( t ) ) , 0 t T .

(12)

,
, .
.
.
., ( B , S )

(t ) = x + ( ( s ) ) d w ( s ) +
0

b ( (s) ) d (s) ,

xRN

N ( (t ) )
,

= i ,k , ( N d ) , b = (bi ) ,

579

N , , b

,

xi xi

.

, t > 0 (t ) Pt ( x , ) -, V

(1)

, ..., V

(d )

, [V

(1)

, U ] , ..., [V

(d )

. N - , ,

(k )

ik ( x)
, 1 k d,
xi

i=1

U =

i =1

.
b
.
2

< -

A A[ w ]

= {w s , 0 s T } , w = 1 ).

( d
. .-

( , [5] ). A[ w ] -

A[ w ] =

In

n=0

In =

< ... < sn ) d w s1 ... d w sn ,

n ( s1

s1 < ... < sn T

f n L2 (R n+ ) .
.
:

L A[w ] =

n In ;

n=0

u L2 ( , A w , P) :
Du A[w ] = l.i.m.

A[ w + u ] A[w ]

( DA, DA ) =

(D
i =1

A)2 ,

i , L ( [ 0 , T ] ) - ;
:

580

( - ),

L ( A ) = ( A) L A ( A ) ( DA, DA) .

M ( A) K

U i i k , bi -

, A

(1)

(2)

A[ w ] ( -

, [ X , Y ] , X Y -

, , M A [ w ]

LA1 A2 = A1 L A2 + A2 L A1 2 ( D A1 , D A2 )

xi

U ( x)

. .- :

, U ]

N
x R

1
[ ( D ( A1 + A2 ), D ( A1 + A2 ) )
4
( D ( A1 A2 ), D ( A1 A2 ) ) ]

( D A1 , D A2 ) =

, Cb ( R ) ,

, (1), (2)
( , [5] ).
. .- . . ( [6] ), .
( [7], ),
. ( [8], [9] ) . ( , )
. . ( [10], [11] ) ( . .-
), . . ( [12] ) . .- ( , [13], [14] ).
. .- . , . [15], .
[16], . . [17] .
.: [1] M a l l i a v i n P., .: Proceedings of the international
conference on stochastic differential equations ( Kyoto, 1976 ), Tokyo,
1978, p. 195263; [2] M a l l i a v i n P., .: Stochastic analysis,
N. Y. [a. o.], 1978, p. 199214; [3] S t r o o c k D. W., Math. Systems Theory, 1981, v. 14, 1, p. 2565; 2, p. 14171; [4] B i s m u t J.-M., Z. Wahr. und verw. Geb., 1981, Bd 56, S. 469505;
[5] Z a k a i M., Acta Appl. Math., 1985, 3, p. 175207; [6] K u s u o k a S., S t r o o c k D., .: Stochastic analysis. Proceedings of
the Taniguchi international symposium on stochastic analysis ( Katata
and Kyoto, 1982 ), Amst. [a. o.], 1984, p. 271306; [7] N o r r i s J.
L., Lect. Notes in Math., 1986, v. 1204, p. 10130; [8] B i s m u t J.M., Large deviations and the Malliavin calculus, Boston [a. o.], 1984;
[9] B i s m u t J.-M., Ann. sci. Ecole norm. supr., 1984, sr. 4, t. 17,
p. 507622; [10] W a t a n a b e S., Lectures on stochastic differential
equations and Malliavin calculus, B. [a. o.], 1984; [11] W a t a n a b e S., Ann. Probab., 1987, v. 15, 1, p. 139; [12] N u a l a r t D.,
Z a k a i M., Probab. Theory and Related Filds, 1986, v. 73, 2,
p. 25580; [13] . ., . ,
1975, . 20, . 2, . 22338; [14] . ., . ., .:
, , 2530 . 1974, , 1975,
. 12367; [15] ., ., , . .,
., 1986; [16] B e l l D. R., The Malliavin calculus, L., 1987; [17] . ., . , 1983, . 38, . 3,
. 11325.

; Malliavin stochastic derivative , .

; Malthusian parameter

e
0

d N (t ) = 1

 , , N (t ), t

=0

[ 0 , t ] . M N ()

< 1 , . .

. (t ) t
. N (t )

. .
, .
.: [1] . ., . ., .:
. . . .
, . 23, ., 1985, . 367; [2] J a g e r s P., Branching processes with biological application, L. [a. .],
1975.

MANN UTN
; Mann Whitney test n + m
X 1 , ... , X n Y1 , ... , Ym
H 0 .
. . [1]-

1
m ( m + 1) =
2

i =1

j =1

ij

, H 0 -

, ij :

1,
0,

X i < Y j ,
.

DU = n m ( n + m + 1) 12

< im n , m < n ( i1 , ... , im )

F
,
.
. . F ,
., m = 1 1 -

F1 ( x1 ) = F x1 , , ...,
1
2
3

n 1

.
.: [1] ., , .
., 2 ., ., 1975; [2] ., , . ., . 2, ., 1984.

; marginal distribution function , .

; marginal approach , .

; Markov
stopping time , .
; Markov automorphism , ; Markovs inequality , .

; Markov renewal process

, .

, U . U
, H 0 -

MU = n m 2 ,

...

, W -

ij =

i1 <

M (t ) ~ c e t , c > 0 , t

U = W

, 1

(*)

, W - , , (*) , ,
min{ n , m} > 25 . . . .
.: [1] M a n n H. B., W h i t n e y D. R., Ann. Math. Statist.,
1947, v. 18, p. 5060.
*

; marginal likelihood function , .

; marginal distribution ,
. F ( x1 , ... , xn ) n = (1 , ... , n )

; Markov renewal equation , .

; Markov dynamical
semigroup , .
; Markov property
t ( )
t ( )
( )
. . .- [1]- . .
1907- . ( , A , P ) -

= t ( ) , t T (, )

(E , B ) .
t T

Nt = { s , s t}

N = { u , u t} .

A Nt

, B N

581

. t T

A Nt ,

B N

,
, . (1) h

>0

P{ t + h | Nt } = P{ t + h | t } ( P ) (2)
. . A = { At }t T

t , A
( Nt At ; , ) .

> 0, B

, ,

. A B , W
, - { } A
sup ( )

= ( sup )

,
.
. 1) A = B
, P{d | }, -
.

( ) ( ) =

P{ d | } ( ), A

P{ t + h | At } = P{ t + h | t } ( P )

(3)

(2)
. (1)- , (3)

. , . .,
, (2) (3)
t ( ) -
.
. . .
( .,
)
( )
, . . , .
. , ,

.
, .
.: [1] . ., . .-. - . -,
1906, . 15, 4, . 13557; [2] . ., , . ., ., 1956; [3] . ., . ., , . 2, ., 1973; [4] . ., , ., 1981.

; wide sense Markov property , ;

.

; ; ; Markov, d y n a m i c a l m a p , , ,

. A B C
( , , ). A
B
A - B - . A = B
, .

582

SB SA -

{ AB | t } = { A | t } { B | t } ( ) (1)

. . . -
.
2) A = B = B( H ) , H
. . .

( ) =

V V
i

, Vi A( H ),

V V
i

=I

.


, ( I ) I A

C .
.: [1] K a d i s o n R., Topology, 1965, v. 3, suppl. 2, p. 17798;
[2] S t r m e r E., Lect. Notes in Phys., 1974, v. 29, p. 85106;
[3] . ., . .,
, ., 1973 ( , 84 ).

; Markov transition function
,

; Markov Gaussian process ,

.

; Markov source ,
X k
. . .
. U (
X k - X ) -

H (U ) = H ( X 0 | X k1 )
, k ,

X k1 = { X l , k l 1},
H .
.: [1] ., ,
. ., 1974; [2] . ., . .,
, ., 1982.

 ; Markov
model ,
.

; Markov
measure , .
;
Markov process t ( ) t ( ) t ( ) n
. . .- , ; [1]- . . .
. [2] . .
: . [3]- . . . 1931- . .
( , [4] ) , . .- . . .-
2-
; . [5], [6]-
. . . , , . .-
, . , . .-


( ).

; . ( J. Doob )
, , ,
. . ( E. B. Dinkin ) . .
[7]- .
20- 50- . . . .
,
,
.
, . .- ,
.
. . ( , [8],
[9] ). , . .
: . .-
,
. . ,

. . .
(
, , [10] )
. . .
,
.
20- 6070- . .
.
. .- ( ,
).
. .-
. . .
, .,
,
. . .-
,

; . . ,
, . .

( , ., ). ,
. .

. . .- [13], [14]- .
, , ;
. .
, : , , , , ,
, ,
, , ,
, , , ,
.
.
,
. .- .
. ( , A , ) , (E , B )

t = ( t ) , t T ( , )
t T At- = { s , s t}

At+ = { u , u t }
. t T A At , B At+

( AB |t ) = ( A|t ) (B |t )

(1)

, t
. :

t = t .
- T -
[ :
T = [ 0 , ) T = ( , ) ]
[
: T = { 0, 1, 2 , ...}

T = {... , 1, 0 , 1, ... } ] .
. . .
E - . ( . .

).
,

,
,
. .-.
. (1)
. .-
, .
, . .- , ,
-
.
. ( [8],
[9]- ). ( , A ) s < t
[ s, t ]

583

A[s,t ] A

, s, t [ , ] . ,

[ s, t ] [u , v] , A[ s , t ] A[u , v ] . t ( ) ,

t ( , )

(E , B )
, t [ s, u ] t - A[ s , u ] -

; . .-
. .-
( , , [15], [16] ). ,

: t t Et .

. , x E ,

(1), (2), (3) - . , t , (1)

t ( , ) A[t , ] t, x -

. . . ,

, A A[ t , ] t, x x - . s

t , s, t ( , ), x E , A A[t , ]

s , x { A | A[ s , t ] } = t ,t ( A) ( s, x )
,

= ( t , A[ s ,t ] , t ,s )

(2)

(E , B )

( ) . s, x s

x
; , ,
, s , x { s } = ( x),
.
;
,

( , , ).
= ( t , A[ s ,t ] , t ,s ) , (2) . . .
s0 , x0 t , t

s0

t ( )

. A[ s , t ] (2)
. , t ( , )

x E A[t , ] t, x , A[ , t ]

t, x

< u , x E , A A[u , ] , B A( ,s ]

. . (2) . . .

= ( t , A[ x,t ] , s , x ) . . E -
s ,

s , ( A) =

= ( t , A[ s ,t ] , , s , x ,

t ,x )

s,x ( A )

. s , s -

p ( s, x, t , ) = s , x ( t ) . .-
. s

< t < u, x E , B

p ( s, x; t , dy ) p ( t , y; u, ) = p ( s, x; t , )

(4)

.
p ( s, x; t , ) , x - , - (4) , E , p . .- . ,
E > 0

lim (h) = 0, V (x)

h0

, . . ,
,
;

. .- h 0 ( h)

(3)

= o (h)

( , [8], [18] ).
. . .-
. .- . . .
, t s
:

.
(2) ,

;
( , [15] ). (3)
P () = 1 P { t }

584

(dx)

(h) = sup { p ( s, x ; t , V ( x) ) : x E , s t s + h } .

{ A | A( , u ] } = u , u ( A) ( ),

s , x { A | A[ s , u ] } = u , u ( A) ( s , x ),

{B | A[ s , ) } = s , s ( B)
( ),

u , x {B | A[ s , u ] } = s , s ( B ) ( u , x ),

= t . ( E , B )

{t , x } , (3) .

(1) s0 ,x0 . .-. (1)

, t E -

{t }t T

,
. ,
, A[ s ,u ] = { t , s t u } { t ,x }

,
.
, . .-
. ,
. ( , A , )

p ( s, x; t , ) = p ( t s, x; ) ,
s, x , s
- , x

= 0, x

At = A[ 0, t ] . :
( , A ) , { At }t 0 ,

At A

, t (E , B ) - At -

 . , x E ( , A ) x ,

x ( A) A A

. ,

;
> 0 , t + h ( ) t ( ) [

h > 0

h :

t + h ( ) = t ( h ) ]. t , h > 0, B , x E
x { t + h | At } = t { h }
,

( x )

= ( t , At , x )

(5)

, . N , t , t 0 N

h 1 A N
h 1 { t

. A N

} = { t + h } ( 1

h , h
1

). h

h -

(5) -

x { t1 A | At } = t (A)

( x )

(6)

.
. .- , , . .-
. , ., ,
(
).
. .-
, (2) [
(6) ] t ( ) .
( ,
., , ).
.: [1] . ., . .-. -. . -,
1906, . 15, 4, . 13556; [2] B a c h e l i e r L., Ann. Sci. Ecole
norm. super., 1900, t. 17, p. 2186; [3] W i e n e r N., J. Math.
Phys., 1923, v. 2, p. 13174; [4] . .,
, ., 1986, . 60105;
[5] F e l l e r W., Ann. Math.,1952, v. 55, p. 468519; [6] F e l l e r W., Ann. Math., 1954, v. 60, p. 41736; [7] . .,
. ., . ., 1956, . 1, .
1, . 14955; [8] . .,
, ., 1959; [9] . ., ,
., 1963; [10] I t o K., Proc. Imp. Acad. Tokyo, 1944, v. 20, p. 519
24; [11] D o o b J. L., Bull. Goc. math. France, 1957, v. 85, p. 431
58; [12] . ., , .
., ., 1962; [13] - . .,
, . ., ., 1969;
[14] . ., . ., ,
., 1977; [15] . ., .; .
, . 20, ., 1982, . 37178;
[16] M i t r o J. B., Z. Wahr. und verw. Geb., 1979, Bd 47, H. 2,
s. 13956; [17] . ., . .,1980, . 25, . 2, . 38993; [18] K i n n e y J. R., Trans. Amer.
Math. Soc., 1953, v. 74, p. 280302; [19] 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; [20] G e t o o r R. K., Markov processes: Ray processes and right
processes, B., 1975; [21] . ., . .,
, . 2, ., 1973; [22] . .,
. ., , ., 1982; [23] - - ,
, . ., ., 1964; [24] . ., . .,
, ., 1979;
[25] ., ., , . ., ., 1968; [26] .,
, . ., ., 1972; [27] . .,
, ., 1971; [28] . .,
, ., 1963;
[29] . ., . .,
, ., 1966; [30] . ., , ., 1986.

;
; ; Markov process; a d d i t i v f u n c t i o n a l o f
, s t n s

t + n

= ns ,

= ts , s t ( , ; ), s , t , n
. = ( t , At , Px ), t 0 , t
, (E , B )
. .-, ,
, ,
,

[ ts ( h )

= ts++hh ( ), s, t , h 0 ].
t

: t

g (

u ) du

, g

, .
[ -

t ts < ], A =
0 s

= At t0 , t 0
: ) A0 = 0 At t ; ) 0 s t
At + s ( ) = At ( ) + As ( t ) ; ) { At }, t 0
. , ) )
, [ 0 , ) , At ,

t 0
; , ) ) ( ). t > 0 At ( ) - Au ( ) ,

0 u t - ,

A
. ( -

)

585

 Bt , t > 0

, A B .
. .
( , ; , [1] [6] ).
,
[4]- . A(t ), t 0

,
( , )
( . ),
.
. .- . .-
. ,
, . .- ,

, (E , B ) -

( F B )

. m
( ,
) B - A ( -

. .- .
, - -

. A B At

) B f

x ()

[3], [6] ).

f d A = lim t M m
t 0

f ( t ) dt

M m () =

m(dx) . A = A(t ) <

, r ( , ) ,
,

f -

Mx

f ( t ) dAt =

r ( x, y) f ( y)

A ( dy )

.
.: [1] . ., , ., 1963;
[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; [3] . .,
. . . -., 1960, . 9, . 14389; [4] R e v u z D.,
Trans. Amer. Math. Soc., 1970, v. 148, 2, p. 50130; [5] D y n k i n E. B., Ann. Probab. 1977, v. 5, 5, p. 65377; [6] G e t o o r R. K., S h a r p e M. J., Z. Wahr. und verw. Geb., 1984,
Bd 67, 1, S. 162; [7] D y n k i n E. B., G e t o o r R. K.,
J. Funct. Anal., 1985, v. 62, 2, p. 22165.

; ; h o m o g e n e o u s Markov
process , .
;
; ;
Markov process; l a w o f l a r g e n u m b e r s ,

;
; ; Markov process;
t r a n s f o r m a t i o n s
.

586

). ( , [4] ).
.
. (E , B ) -

p ( t , x , ) ( )

~ ~
= ( t , , At , Px ) . . : (E , B ) (E , B )
~
~
, B , ( x) = y ( x, y E )
~
~
~
~
(E ) = E , (B ) B p ( t , x; 1 ) = p ( t , y; 1 )

. , .
;
A - .
A = At , t 0 , = t =

= exp At , t 0

. .- -
( ,

, . .
. . ( ,

~ ~
~
~
~
~
p ( t, ~
x ; ) = p ( t , 1 ~
x ; 1 ) , ~
x E , B
~ ~
(E , B ) - ;
~

. . , - .

( , [1] ). - t ,

0 t . . .-
.


.
( , ( )
) (E , B )

( E1 , B1 ) 1 . .-
~
( E U E1 , B2 ) . .-
~
, E
, E1 - 1
( , [7] ), B2 , E U E1 -

( , , 1 - E I E1 -

).
. .- .
.: [1] . ., , ., 1963;
[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; [3] . ., .
., 1966, . 11, . 2, . 26082; [4] . ., .
. ., 1967, . 31, 4, . 73162; [5] I k e d a N., N a g a s a w a M., V a t a n a b e S., Proc. Japan Amad., 1966, v. 42,
4, p. 37075; [6] S h i h C. T., Trans. Amer. Marh. Soc., 1967,

v. 129, 1, p. 15779; [7] M e y e r P.-A., Ann. Inst. Fourier, 1975,

t. 25, 3-4, p. 46597.

; r e v e r s e d Markov process , .
;
; ; Markov process; e x t e n s i o n o f
( , ; ),
. .-.
n

D R , n

( , ; ).
. . .
( , [1] [3] ).

= ( t , , At , Px ), ( E , B )
~ ~ ~ ~
~
, = ( t , , At , Px ) . .
D E
. V \ Vr

V = E \ D , Vr , V .

( , [2] ) .

u D E [u , u ] 0
[ , ( D, E )
]. E , B
, m E -
. E - ,

D(E )

. E - ,

v min(u + , 1) D u D E [ v, v] E [ u , u ]
+
, u

l ( x), x Vr , ;

) Yr - (t ), t 0 t Vr
, . ,

- ,

- , Vr

. ( b , l , )

( , [3] ).
, ( ,
[1], [2] ).
.: [1] M o t o o M., Proc. 5th Berk. Symp. Math. Statist. and
Probab., 1967, v. 2, pt 2, p. 75110; [2] . .,
. ., 1968, . 13, . 4, . 70813; [3] . ., . ., 1971, . 16, . 3,
. 40936; [4] M e y e r P.-A., Ann. Inst. Fourier, Grenoble, 1975,
t. 25, 34, p. 46597; [5] S i l v e r s t e i n M. L., Lect. Notes
Math., 1976, 516.

;
; ; Markov process; s t a b i l i t y , ( ) .
; ; Markov process;
D i r i c h l e t
f o r m
E = E [ u , v ] , L2 = L2 ( E , m)
D = D(E ) u , v

= max (u , 0).

, , ( E , B ) - , m ( m -
- )

= ( t , , At , Px ), t 0

( , [2] ). , -
2

L - D A
, ,
u , v D

= [E [ , ] + ( , ) ]1 2

, ( , ), L -

E ( u , v ) = ( Au ,

- ( ,
, D - 0 ). : ) D ,
b ( x, dy ) -; ) -

Av ).

, 1958 59-
. . [1]-
.
. ( , [2] ) , ,

.
. .- ( , [2], [5] ). , E

, C0 I D , D -

C 0 - ; C 0 E - . ( E , B )
E .
n

. E , R - , m , E - .

C , E - E -
u v
E0 [ u , v ] =

a
i, j

ij ( x )

u xi u x j dx

, x

= ( x1 , ..., xn ), a( x) aij ( x) ,

E - , 1 i , j n .

> 0 ( y1 , ... , y n ) R n

a
i, j

ij ( x ) yi y j

2
i

, E0 E - m
. . .

587


( , [3], [6] ).
.: [1] B e u r l i n g A., D e n y J., Proc. Nat. Acad. Sci. USA,
1959, v. 45, p. 20815; [2] F u k u s h i m a M., Dirichlet forms and
Markov processes, Amst. N.Y. Oxf., 1980; [3] C a r r i l l o M e n e n d e z S., Z. Wahr. und verw. Geb., 1975, Bd 33, 2, S. 139
54; [4] L e S a n Y., Z. Wahr. und verw. Geb., 1977, Bd. 37, 4,
S. 297319; [5] F u k u s h i m a M., O s h i m a Y., T a k e d a M.,
Dirichlet forms and symmetric Markov processes, B. N. Y., 1994;
[6] M a Z. M., R o c k n e r M., Introduction to the theory of ( nonsymmetric ) Dirichlet forms, B., 1992.

;
; ; Markov process; e x c u r s i o n
o f , ( ) .
;
; ; Markov process; e n e r g y o f

( , [1] ).
. . . . [3]-
;
( , [2] ). E - = ( t , At , x )
.
A = At , t 0 ( , ; )

[ A ] ,
2

(*)

( , [2] ), x E ,

A = lim At , R A (x) = x A , A t

, t

> 0 ,

At = At At 0 . A , (*)-
. V A (x)

= x ( A2 ) A

. E -
( ,
),

e ( A) =

1
2

. , ., ,
( , [4], [5] ).

n

( , [1] ), , R ,

n 3 ,
en ( A ), n

, , n - ,

A
, ( ,
; ) -
.

588

V A (x) ,

= t , t 0 R ( x ) -

V A ( x )
.
.
. .-
, , ( , [2] [6] ).
.: [1] . ., , ., 1966; [2] D e l l a c h e r i e C., M e y e r P.-A., Probabilits et potentiel. Chap. 58. Thorie des martingales, P., 1980; [3] M e y e r P.-A., in: Seminaire Brelot Choquet Deny, Inst. H. Poincar.
Thorie du potentiel ( 1962 / 1963, 2 ), P., 1964; [4] C h u n g K. L.,
R a o M., Probab. and Math. statist., 1980, v. 1, 2, p. 99108;
[5] G r a v e r s e n S. E., R a o M., Nagoya Math. J., 1985, v. 100,
p. 16380; [6] P o p S t o j a n o v i c Z. R., R a o M., Z. Wahr. und
verw. Geb., 1985, Bd 69, S. 593608.

;
; ; Markov process; s t a t e s p a c e o f ,
.

; ; ; Markov process; p h a c e / s t a t e s p a c e c o m p a t i f i c a t i o n

.
, = ( t , At , Px ) . .-

.

, f

R f (x) =

r ( x, dy) f ( y)

[ r , ; , R f (x ) -

V A d

A -

x ( A2 ) = 2 x R A ( t ) dAt +
0

, , ,
.

E - ].
, E , 2-
. . ,
, ( , ).

.

; . .- . , .
.: [1] R a y D., Ann. Math., 1959, v. 70, p. 4372; [2] M a r t i n R. S., Trans. Amer. Math. Soc., 1941, v. 49, p. 13772;
[3] K n i g h t F., III. J. Math., 1965, v. 9, p. 54852; [4] G e t o o r R. K., Markov processes: Ray processes and right processes, B.,
1975; [5] E n g e l b e r t H. J., Math. Nachr., 1978, Bd 85, S. 235
66; [6] . ., . , 1969, . 24, . 4,
. 89152; [7] J e u l i n T., Z. Wahr. und verw. Geb., 1978, Bd 42,
H. 3, S. 22960.

 ;
; ; Markov process; f u n c t i o n a l o f s t , t s

t t -

= { ts }, s t = { t } .
, (E , B ) = ( t , At , Px ) , t 0 . .
( , A ) . 0 s t ( t 0

) t ( t ) G I At ( G t

, G Px , x E G -
), [ , ] -

= { ts }, 0 s t < ( , = { t }, t 0 )
- .

. .
.
, ; .

; w i d e - s e n s e
2

Markov process t - M ( t ) <

t1 < ... < t n 1 < t n t1 , ... , t n
~
~
M { (t n ) | (t1 ) , ... , (t n1 ) } = M { (t n ) | (t n1 ) }

ai (ti )

i =1

, M ( t )

a (t )
i

i =1

~
M{ (t ) | ( t1 ) , ... , ( t k )}

~
~
~
D - = ( t , , At , Px )

D - , , 0 t < ( )
~
t ( ) = t ( ), At , t 0 At -

{ : > t} ( ,
D
~

). ,
D ( ,
; ).
.: [1] . ., , ., 1963.

; Markov l i n e w i s e process
, , .

; c o n t r o l l e d Markov
process , .
/
; d u a l Markov process / Markov process i n d u a l i t y o f ,
.

; t w o s i d e d Markov
process , .
; ; ; Markov process;
i n f i n i t e z i m a l c h a r a c t e r i s t i c s o f

= {1, 2 , ...} - . . .
pij (t )

,
( ) , pij (t )

i , j E

(t ) - ( t1 ) , ..., ( t k ) -

].
. . . ( , [1] ).

(t )

( , ;
; ).
.: [1] . ., , . ., .,
1956; [2] B e u t l e r F., Ann. Math. Statist., 1963, v. 34, 2,
p. 42438; [3] M a n d r e k a r V., Nagoya Math. J., 1968, v. 33,
p. 719.

;
; ; Markov process; p a r t o f

( ,
; , ). .,
= ( t , , At , Px ), (E , B ) . .,

= Pi { t = j}. aij = pij (t ) |t = 0

. A

( ) E

(t1 ) , ..., (t k ) k

.
. = ( t , At , Px ) ,

~
M { (t ) | (t1 ) , ... , (t k ) } =

D E .

= aij

.
( aii )

, ij

= aij aii ( aii ) -

.
. .- .
.

= ( t , At , Px ) , R1 - , . a , b

U f (x) =

1
a f ( x) + b f ( x) +
2

( f ( x + y ) f ( x) y f ( x) I y

< 1 ) ( dy )

R1

589

 (dy )
, a

0 ,

( dy ) y 2
1+ y

T = Z d , Z d , d ; ,
xs , s Z d

<

x = ( xt , t T ) X T .

. a b
,

( ) dt = M 0
I \{0} ( s )
s( t , t + dt )

0 0

.
( ) .

, r

c( x) 0 ( 0 , )
. :

U f (x) =

1
2

aij

f
( x) +
k i xi

bi

f
( x) + c( x ) f ( x ).
xi

, a ( t ) dt
, b( t ) dt , c( t ) dt
(

> t ).

.: [1] - , , .
., ., 1964; [2] . ., . .,
, . 2, ., 1973; [3] . ., , 2 ., ., 1986;
[4] ., ., , . ., ., 1968; [5] .,
, . ., ., 1972.

;

; ;
Markov process; t r a n s i t i o n f u n c t i o n ,
.

; q u a s i s m o o t h Markov
process , .
; i n t e r a c t i o n Markov process

.
X T ,
T

X
( ), , .
( , [1], [3] [1], [2], [3] ).
,
,

590

P { | x }, X - ,

>0 -

Z d -

.
, T = Z , X = { 0 , 1}
0 < p0

< 1 p 0
1, xs = xs +1 = 1
p s (1 | x s ) =
p0 ,

bi (x) ( . )

us r

xu - ,

. R -
: aij ( x ) 0, -

P { | x }

Ps { x s | x s }

( ., s p 0 1 p0
,
, , ,
).
{ xs | x } , xs x s
( )
,
s - x s -

xs - dt .
, T

s { xs | xu }

us r

= Zd

xu

. X - . .-
.
X

Qn

, . .

s ( xs | x , xn ), x, x Qn , xu = xu ,

( x | x) =
n s, x s x s , s Qn ,
0,

, Qn

n} .

= {u Z d : u

X
, xn X

- . . ,

\ Qn xn - .

: , X
s { xs | x s } u

= { 0 , 1}

u s r xu x s (
,
); , X = { 0 , 1}

xs = 0 , s { xs | x } = , { xs | x }

us,

us r

, xs

=1

, xu

=1

( dt

,
).
.
, X = { 0 , 1} xu = 1

u .
, dt p ( s u ) dt
s u , ,
.
. .
( )
.
, ,
. ,
. ., x

= ( xn = 1, n Z d ) -

0 < pcr

.
< 1 pcr p < pcr

. pcr - .
xn

xn

= 1, 2 ,
, d 3 0 < < 1
, , xn = 1
; 0 < < 1 .
d > 0 > d xn 0
. d

,
, < d .

p ( u ) = p ( u )

.
( ) . .- , ,

- .
1963-
. . .- , , ,
.
.: [1] . ., . ., - . ., -
, 1969, ., 1969, . 430; [2] . ., , 1971, . 7,
. 5766; [3] . ., - . .,
, 1968, . 20, . 91106; [4] C l a u b e r R.,
J. Math. Phys., 1963, v. 4, p. 294307; [5] G r i f f e a t h D., Lect.
Notes in Math., 1979, 724; [6] L i g g e t t T., Interacting particle
systems, N. Y. [a. o.], 1985; [7] T o o m A. L., V a s i l y e v N. B.,
K u r d u m o v D. L., .: Stochastic cellolar system. Ergodicity, memory, morphogenesis, Manchester, 1988; [8] S p i t s e r F., Lect. Notes. in Math., 1969, v. 89, p. 20123.

; r e c u r r e n t Markov process , .
;
; ;
Markov decision process ,
, ,
.

; k i l l e d Markov process
, .

; n o n k i l l e d Markov
process , .
; ; ; Markov process;
L e v i s y s t e m , .

; ; ;
Markov process; l i m i t t h e o r e m s ,

; ; ; Markov process; r a t i o l i m i t t h e o r e m s ,

;
;
cess; l o c a l t i m e o f

; Markov pro

, . .
[1]- ;
. ( E. Boylan; 1964 ) ,
[4]
.
= ( t , At , Px ) , ( E , B )
, E r
.
x E r ,

Lt

= Ltx ( )

, ( ) { t 0 : t x }
, t

> 0 Px

( , [4] ).
]

x E ,
.
,
x

Lt ;
, B B

t 0
t

1
0

B -

B ( s ) ds

L (dx)
x
t

(*)

1 B , B .
,

>0

( ,

) B -

( x, y )

= M x e T ( y ) E E

591

[ T ( y ), y ] , (*) . (*)

Ltx

[ ( , [4] ) x E r

M x e t dLtx = 1
0

].
Lx ( t , x ) t

( , [3] ).
,
E = E r
1

sup
x y u

[1 ( x , y ) ( y , x )]1 2

( , [5] ).
.
, .,
, { t 0 ; t = x } , x
, ( , [2], [8] ). ( , [1], [2], [9] ).

( , [1] ).
. (*) .
, ., (E , B ) x E B - B B (

, ) Lt , Lt

x .
[5]- .
( , [6], [8] ). [7]
.
. D D

n , n 2 , E - -

( , ; ). , - Lt
, x D Px
1

lim n1

1 Dn ( s ) ds ,

t>0

- , , n 0
, D , , x E

592

.
.: [1] L e v y P., Processus stochastiques et mouvement brownien,
2 ed., P., 1965 ( . . .,
, .,1972 ); [2] ., ., , . ., ., 1968;
[3] T r o t t e r H. F., III. J. Math., 1958, v. 2, p. 42533; [4] B l u m e n t h a l R. M., G e t o o r R. K., Z. Wahr. und verw. Geb., 1964,
Bd 3, S. 5074; [5] G e t o o r R. K., K e s t e n H.,Composito math.,
1972, t.24, p.277303; [6] B e r m a n S. M., Trans. Amer. Math.
Soc., 1969, v. 137, p. 27799; [7] M e y e r P.-A., Lect. Notes
Math., 1975, v. 511, p. 245400; [8] G e m a n D., H o r o w i t z J.,
Ann. Probab., 1980, v. 8, p.167; [9] K n i g h t F. B., Essentials
of Brownian motion and diffusion, Providence, 1981; [10] . ., . ., 1995, . 40, . 4,
. 798812.

;
; ; Markov process; c e n t r a l l i m i t
t h e o r e m , -

p ( u ) u 1du <

p (u ) =

, D - n -

; ; ;
a b s o l u t e p r o b a b i l i t i e s o f a Markov process
, ( )
.

n o r m a l Markov process
,
, .

;
; ; Markov process; r e z o l v e n t
. = ( t , At , Px ) . ., p ( t , x; ) =
= Px { t } . ,
t ( ) t ( ., t

). p (t , x; ) t , x

r ( x, ) =

e t p ( t , x; ) dt , > 0

. r ( x, ) ,

x , x
( ) . r R

R f ( x) =

r ( x, dy ) f ( y ) = M x

f ( t ) dt

= ( ) ,
= ).

r :

) R f

f , > 0 ,

= sup f ( x) ; -

R 1 1;

) R = R + ( ) R R , , > 0 (
).

) ) r ( x , dy )

, u (x) -

p ( . . ) .

, a (x) , b (x) , c ( x)

, r

( , ,
R ), r
. .- .
r

R = ( A I )

( I

AR f R f

= f, >0

. . .

M x e R f ( ) R f ( x) = M x

e s f ( s )ds

( ).

( , ). , , . .- . z t = R f ( t ) ,

t 0
:

z t + s ( ) = z t ( s , ),

1) z t ,
s ;

2) e z t , At .
.: [1] . ., , ., 1963;
[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; [3] . ., . ., , . 2, ., 1973.

;
; r i g h t Markov process ,
.

; ; ; Markov
process; b o u n d a r y c o n d i t i o n n (n 1)

,
.
, ,
,


. [1]
. . . .
.
n 2 .
D

D -

Au ( x ) = a 1 ( x)

[a

i, j = 1
N

ij

( x ) a( x) u x j ( x)] xi +

b ( x) u ( x) + c ( x) u ( x)
i =1

xi

ij

, c ( x)

0 , A = a ij (x)

, a (x)

= det 1 2 A . D

;
D
( , ; ),
D - A - . D -
, D -
u (x) ( ,

[3] ) L u ( x ) = 0 , x D ; .

L u ( x) = B u ( x) + ( x) u ( x) + ( x) A u ( x)

( x)

u
( x) + K u ( x ),
n

x D,

(*)

B , , , , K
, , , , D - ,
,

u
, D -
n

.
B 0 K 0 (*)
. K

D - (*) : D - , D
, , ,
,
, , , D ,
. (*)

u
(x) = 0 ,
n

x D ,

D - D -
.

A (*) D - . . ( ,
[4], [5] [7] ).
. .-
( , ; ).
, .
.: [1] F e l l e r W., Ann. Math., 1952, v. 55, p. 468519;
[2] . ., . , 1956, . 111, . 26972;
[3] . ., . ., 1959, . 4,
. 2, . 17285; [4] . ., . , 1960,
. 15, . 20204; [5] U e n o T., Proc. 5th Berk. Symp. Math. Statist.
and Probab., 1967, v. 2, pt 2, p. 11130; [6] K u n i t a H., J. Math.
Kyoto Univ., 1970, v. 10, p. 273335; [7] S i l v e r s t e i n M. L.,
Lect. Notes Math., 1976, 516.

; ; Markov jump
process , .

593

 ; -
; - ;
Markov process; z e r o - o n e l a w ,

; s t a n d a r d Markov process , .

; s t a t i o n a r y Markov
process , .
;
; ;
Markov process; s t a t i s t i c a l p r o b l e m s ,
( )
.

; c o n d i t i o n a l Markov process
, .

; t o p o l o g i c a l l y r e c u r r e n t Markov
process , .

; ; ; Markov process;
i n t r i n s i c p r o p e r t i e s o f p a t h s


. , ,
= ( t , At , Px ) ( E , B )
t (1 ) 2 (t ) t ( 2 ) t 0 , 1 2 , 1 , 2

t (1 )

a1 t < b
,

.
. .- . - ,
. .-

( , ; ).
.: [1] 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., 1968; [2] C h a c o n R. V., J a m i s o n B., Israel J. Math., 1979, v. 33, p. 24169; [3] C h a c o n R.
V., J a m i s o n B., Z. Wahr und verw. Geb., 1981, Bd 58, S. 169
82; [4] L e J a n Y., Adv. Math., 1981, v. 42, p. 13642;
[5] W a l s h J. B., Z. Wahr. und verw. Geb., 1984, Bd 68, S. 928.

; Markov process w i t h
a countable/denumerable state space
E ( ) , -.
1931- . .
E . .-
( , [1] ). . .
, , , .
, .
. .-
, i, j , ... ,
. pij ( s, t ) [

. 1 (t )

pij (t ) ], P ( s , t ) [ P (t ) ],

, ,
Ps, x ( Px ) , t

, ;
: [ a 2 , b2 ) [ a1 , b1 ) , 2 ( )

1 ( ( ))

[ a 2 , b2 ) - , [ 0 , ) -

[a1 , b1 ) [ a2 , b2 ) 1 ( t ) 2 ( t )
- . t ( ),

, ( :

).
[4]- ( , , [5] )
: ,
E - , t t

>0

, qi qij
,
.

,
, .
. .-
.
, :

1)

Px

qi (t ) = qii (t ) = lim

t ( ) = x x .
,
1 , 1 , 2 1

t (1 ), t ( 2 ) [a1 , b1 ) [ a2 , b2 )
, b1 a1
. : 1 2

594

= b2 a2

h0

1 pii ( t , t + h )
, i E
h

(1)

(1)- i
t ;

2)
qij (t ) = lim
h0

pij ( t , t + h)
h

i j E

(2)

(2)-
i, j t ;

3)

j i

qij = qi < ,

qij - 0 . , 1 -

i E

(3)

.

, (2)- j i
( , [1], [4] ).
. .-
; [2] [5]-
.

pij (0) = ij

(4)

pij ( t ) 0 ,

ij (t )

=1

(5)

pij ( s + t ) =

ik ( s )

pkj ( t ), s 0, t 0, i, j E

(6)

k E

.
pij (t )

( j 2
). (11)
pij ( t ) .

E = { 0 , 1, 2 , ...},

2.

i2

qi = qi , i 1 > 0, q1 = 0 , q0 = 1 qij - qij = 0

(11) . q0 > q01 + q02 + ... = 0 . (11)

... , i , ... , 2 , 1
. 1
, 0 1
.
3. (5)- ( ). E ri , i 1
- , -
+ - . (11)
. i j qij - qij = 0 ,
qi - qi

> 0 .

qi < i , qi =
i

(3) Q = qij -

, , , (4)- pij (+0)

.
.

( s , ), s > 0

.
:

pij ( t ) 0, t > 0

pij ( t ) > 0, t > 0

(8)

t 0

= qij 0, i j E

t 0

1 pii ( t )
= qii = qi 0 , i E
t

(12)

pij ( t ) =

ik ( t ) q kj ,

t 0, i , j E

(13)

k E

pij (t )

Q = P (0) , (12)

,
. ,
pij (0) = qi

+ -

lim

t 0, i , j E

(13) =
. qi

pij (t )

pkj ( t ),

pij ( t )
lim

ik

. Q

, (4)-,
; (8)

P (t ) =

q
k E

(7)

pij ( + 0 ) = ij , i, j E

pij ( t ) =

(9)

1)

t0

pii ( t ) 1 i - , 2) (9)-
i - . pij (t )

qij qi

(10)

, qi

ji

.
, qi -

(10)- .
1. E = { 1, 2 , ...}, q1 = , q1 j = 1 ( j 2),
qi = qi1 > 0 , ( i 2 )

q
i =2

1
i

< ,

t > 0 ( , [6] [9] ). pij (t )

(11)

= , , t = 0 pii
>0

, ( , [10] ). t

pij (t ) ( , [8] ),

t > 0 i ( t ) = P { t = i } ( , [11] ). ,
( , [5] ).

595

( , [12] [13] ). ( [17]- )

; qi Q .

pii (t ) pij (t ) f ( t ), t 0 ( , [21] ).

, S i ( )

= {t : t 0, ( t , ) = i },
i E ( .

) . i S i ,
, - 1

S i , S i , ... ;

i1 < i2 < ... i , .

. S i - - m

P { | S i |

> t} = exp (qi t )

>

i
. i
S i ;

t > 0 t = i

lim (2 ) 1 mes {S i I ( t , t + )} = 1
0

[ t

= 0 , ( , )

( 0 , 2 ) ]. i

= inf { t : t S i }

; i .
. ,
, .
., 3- t
,

ri

; t -

;
S i -
. ( ,
) , {ik } . S
.
t > 0 pi ( t ) = 0 , p i (t )
, , [ 3-
,

= , p i (t ) ].

t
( , t

>0

s t

st

: 1) s

i , i -

; 2) s ( ,
); 3) s - : i ,

i .
. .
;

596

, i
i ( ) = inf { t : t 0 , t i } -

( , [8], [15] ). E -
, . . ,
E - , ( ,
[18] ). qi
. .- .


( , [15] ). i j - (12) ,
, , i i

k ( t i ,

t k , k t - :
k ). j
i - (13) , , , j
t > 0 t = j
t - j
1-
( k
k j - ).
, (12) (13) i j -
, , ,

: t s
t , t s t
.
P(0)

=Q

, Q

0 qij

< ,

i j,

ij

qii =

ji

= qi . qi - , P (0) = I,
P(0) = Q P (t ) = pij (t )
.

pij i

j t
= Q

[ P (0)

]. pij (t ) (12)
(13) .

p ( t ) = 1,
ij

t > 0, i E

, P (t ) P (0)

= I, P(0) = Q

( )
, pij (t ) (4) (12) (13)
; Q -
. , Q
, pij (t ) , -
P ( t ) ,
P ( t )

=Q.

, .
, , ,

 ( 2- ). E -
( , ; ).
( , [19], [20] ).
. . -

Y (n) = ( n h ) , h > 0 ,

n = 0 , 1, 2 , ... . Y -
( , ;
) h - ,
, . (7)
.
i - j -

ij = inf { t : t > i , t = j t = } ( ii ,
i i
), ;

Fij ( t ) = Pi { ij < t }
,

t dFij (t ),
m ij = M i ij = 0

+ ,

Fij ( + )

= 1 ,

Fij ( + ) < 1 ,

. t

>0

Fij ( t )

>0

i j j
i j -
( . j i ):
t > 0 . ,
, E
R -
C . i
Fii ( +)

=1

j i
Fij (+) = Fij ( + ) F ji ( + )

1, t > 0

] , i

. i

[ i Fii ( t )

< i
j Fij ( t ) > 0 ( i
mii

mii

=0

) mij + m ji

<

, i

.
.
, , ,
. i ,
, ,

pii (t ) d t =

; , ,

lim pii ( t ) > 0

. i

pii ( t ) dt =

1
,
qi [1 Fii (+)]

lim pii ( x ) =

1
qi mii

.
. .-


. ( .,
qi )

Q = 0 , E
.
.: [1] . ., , ., 1986, . 60105; [2] D o o b J. L., Trans.
Amer. Math. Soc., 1942, v. 52, p. 3764; [3] D o o b J. L., Trans.
Amer. Soc., 1945, v. 58, p. 45573; [4] . ., , ., 1986, . 36370;
[5] L e v y P., Ann. sci Ecole norm. super, 1951, t. 68, p. 32781;
[6] A u s t i n D. G., Proc. Amer. Math. Soc., 1956, v. 7, p. 75161;
[7] A u s t i n D. G., Duke Math. J., 1958, v. 25, p. 62529;
[8] . ., . . , 1959, . 186, . 14159;
[9] O r n s t e i n D., Bull. Amer. Math. Soc., 1960, v. 66, p. 3639;
[10] S m i t h G., Trans. Amer. Math. Soc., v. 110, p. 18595;
[11] O r e y S., Quart. J. Math., 1962, v. 13, p. 25254; [12] . ., . ., 1956, . 1, . 4,
. 48185; [13] F e l l e r W., M c K e a n H. P., Proc. Nat. Acad. Sci.
USA, 1956, v. 42, p. 35154; [14] .,
, . ., . 1, ., 1984;
[15] - , , . .,
., 1964; [16] F r e e d m a n D., Markov chains, San Francisco, 1971;
[17] F r e e d m a n D., Approximating countable Markov chains, N. Y.,
1983; [18] D o o b J. L., Z. Wahr. und verw. Geb., 1968, Bd 10, S.
23651; [19] W i l l i a m s D., Z. Wahr. und verw. Geb., 1964, Bd 3,
S. 22746; [20] . ., . .,
1967, . 12, . 2, . 22257; [21] K i n g m a n J. F., C., Z. Wahr. und
verw. Geb., 1967, Bd 7, S. 24870; Bd 9, S. 19; [22] W i l l i a m s D., Lect. Notes in Math., 1976, v. 511, p. 21634, 50520;
[23] W i l l i a m s D., Lect. Notes in Math., 1978, v. 649, p. 31031;
[24] . ., . .,
, . 2, ., 1973.

;
; Markov process w i t h
f i n i t e s t a t e s p a c e E (
) , . E
. E 1, 2 , ..., n

. ,
, ( , ( n + 1) ).
, . .-,
( [1]
) , , . . 1931- .
T
. . .- ,
, t = (t ) s T

i E ; ,
Ps , i .

597

, . , 1)

1 + ... + n = 1 .

(1)

, , ,
(3) (5) ; 2)
E - { t }t T . . .

(2)

,
E -
; ., n 2

1 0,

= ( 1 , ..., n ) ,

pij ( s, t ), s

Ps , =

i Ps ,i

i E

.
. .- p ( s , i; t , )

= Ps , i { t }

, E (

) :

p ( s , i , t , ) =

p ( s, i ; t , j ).
j

(3)

pij ( s, t ) = 1,

i E

(4)

ik ( s ,

t ) pkj ( t , u ), s < t < u T

(5)

k E

P(s, t ) =

pij ( s, t )

. P ( s , t ) (3), (5)
P ( t , t )

= I , P ( s, u ) = P ( s, t ) P ( t , u )

.
( )

;
:

Ps , { (t m + 1 ) = im +1 | ( t1 ) = i1 , ..., (t m ) = im } =

= pimim+1 ( t m , t m +1 ), s t1 < t 2 < ... < t m T ,

(6)

(2) (6) , ,

(7)

.
(7)

Ps , , . .-

( , [3], [6] ).

j (t ) =

= { 1 ( t ) , ... , n ( t )}

( s ) p (s, t ),
i

s t T,

ij

j E

i E

( t )

= ( s ) Ps , ( s, t )

= P { t = i } .

. E
( ) . .

lim pij ( t , t + h ) = ij , t T , i E , j E
h0

P ( t , t + 0 )

=I

(8)

pij ( s , t )

, (8) s t .

lim
h0

h0

1 pii (t , t + h)
= qi ( t ) = qii ( t ) 0,
h

pij ( t , t + h)
h

= qij ( t ) 0, i j

(9)
(10)

[1]- .
, qij ( t ) dt , t - t + dt - i -

j , q1dt i
. qij , i

i - j -

( ),
qi i - ( ) .
.
(4)-

pij ( s, t ) ,

ji

598

1, t [ s, s + h ]}
. -

lim

i1 , ..., im +1 E , m = 2 , 3 , ... .

Ps , { ( t1 ) 1 , ..., ( t m ) m }, t k s, k E ,

>0

{ t

, i ( t )

j E

pij ( s, u ) =

Ps ,1 h

.
,

=1

(t )

pij ( s, t ) = p ( s, i ; t , j ), s t T , i E , j E

pij ( t , t ) = ij

p11 ( s, t )

t, s T , t T , i E , j E

ij

= qi

q
j E

ij

= 0, i E

(11)

(9) (10)
Q (t ) =

P (t ), t

= qij (t ) .

( )

pij ( s, t )

pik ( s, t ) qkj ( t ), s t , i, j E ;

(12)

k E

( )

pij ( s, t )
s

ik ( s )

P ( s, t )
= Q( s ) P( s, t )
t

. (12) i -
pi1 , ... , pin ; j - .
qij (t ) , (3)
(12) .
, qij ( t ) 0, t T , i j (11)- qii (t ) (3)
(12)
.
, ,
1 (
). qij (t )
, , , .

( , [7], [8] ).

. .-
. T = [ 0 , ) , Ps ,i (

= 0 Pi ( P )

. ( ) E
. .- i j
t

pij (t ) =

= Pi { t = j }, t 0 , i, j E .
pi j ( t ) 0,

(13)

pik ( s ) pkj ( t ) , t 0 , s 0 , i, j E

(14)

ij

j E

pij ( s + t ) =

(15)

(t ) ( t ) = P ( t ) = (0)
. (13), (14) , pij ( t ) t > 0 t - t 0 pij (+0)
( , [2] ).
ij - , .,

1 0
0 1

P (t ) =

k E

pij (t )
. -

0, 5 0, 5
0, 5 0, 5

t>0.

> 0 ( t ) = ( 0,5 ; 0,5 ) . t

. ,
,

pij ( + )

P ( + 0) = I
.
(16) P ( t ) , t

(16)

= P(0) ( qii = qi

( , [2] ). Q

)
(11) ,
t - .

pij (t ) =

ik ( t ) q kj

k E

il

plj , t 0 , i, j E

l E

P ( t ) = P ( t ) Q,

P ( t ) = Q P ( t )

. (16)
. n 2

. . n n qij
, i

p (t ) = 1 , i E

pij (0) = ij , i, j E ;

P ( s + t ) = P ( s ) P (t )

[ P ( t ) t 0 ]. t

P (0) =

Ps , ) s

P (0) = I ,

pkj ( s, t ), s t , i, j E ;

k E

P( s, t )
= P( s, t ) Q ( t )
t

. (13), (14) ,
P (t )

p (t , u )
u u = t

, Q(t )

[ qii (11) -

]; .
. .- ,
;
.
, , , ,

599

.
= inf { t : t [ 0, + }, t i } qi -

Pi { > t } =

= exp{ qi t }, t 0. qi = 0 =

q i i =

j E

Pi { = j } = qij qi , j i ,

- ,

( , )

qij qi , j i , qi > 0
pij =
.
0,
; .
. .- ,

= P( t ) .
Q = 0 . (1) , -

, :

.
t

pij (t ) - .
. . i j
t

>0

pij ( t ) 0 t > 0

pij ( t ) > 0 . ,
, ( ; ,
; ).
t pij (t ) -

. C C -

j C j

> 0 . ,

. - i

0,
1,

i =

600

i E \ (C I R)
i C

mi = M i , = inf { t : t 0, t E \ R }, i E
mi

= 0, i E \ R

qi mi = 1 +

ij

mj, i R

j i

- . , , ,
1 . (
) : E -
f

lim

1
t

f ( s ) ds =

f ( j)

j E

. . .-
.

.
. .-
;
, .
.: [1] . ., , ., 1986, . 60105; [2] D o e b l i n W., Bull.
sci. math., 1938, t. 62, p. 2132, 1940; t. 64, p. 3537; [3] .,
, . ., ., 1956; [4] .,
, . .,
. 12, ., 1984; [5] ., , . ., ., 1971; [6] . ., , ., 1959; [7] . .,
. ., 1953, . 33, . 56796; [8] . .,
. ., 1954, . 34, . 54156.

;

; ; Markov process; r a n d o m
t i m e c h a n g e -

. ., At

i R i

,
. .,
= ( t , , At1 , Px ) , t 0 (E , B ) -

j ,
i C , j E ,

lim pij ( t ) =
i j , i R, j E ,
t

j , i R

, , , t .,

ij

j i

.
qi > 0 , ,

= At ( ) , t [ 0 , ( ) )

. , 0 t

( )

= A ( ),

< ( )

t ( ) = inf { s : As ( ) > t }

{ A, t < } At

inf { s : As ( ) > t }
~

At .

A { t < }
~
~ ~
= ( t , , At , Px ), t 0 ( , [1], [2] ) (E , B )

. .-, B , B
B -

( B - B

 ).
.
( 1962 )
, , ,
. ., ,
( , [2] ).

( , [5] ).
[4]- .
.: [1] . ., , ., 1963;
[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; [3] ., ., , . ., ., 1968;
[4] . ., . ., 1958,
. 3, . 33250; [5] G l o v e r J., Ann. Probab., 1981, v. 9, 6,
p. 101929.

, ; controlled Markov jump process

, .

; Markov semigroup = ( t , At , Px )
,

Pt f ( x) = M x f ( t ) , t > 0
,
. p ( t , x , )
Pt

Pt f ( x) =

p ( t , x, dy ) f ( y )

.
Pt

Pt + s = Pt Ps , s, t > 0
. Pt ( .
) ,

Pt f

. . R ,

R =

= sup f ( x) f 0 , Pt f 0

Pt d t

. R

> 0 -

R R = ( ) R R , , > 0 > 0
.
R = R0 ; ,
, . , ., .
. .- .
.: [1] . ., , ., 1963;
[2] . ., . ., , . 2, ., 1973.

; Markov strategy / polisy , , , , .

; Markov random walk ,
.

; Markov random field
T
( S1 , , S 2 )
( t ) .

, ( t )
B t 0 S 2

P{ (t 0 ) B | (t ), t S1 U } = P{ (t 0 ) B | (t ), t }
( , S 2
S1 - ).
1. T

f ,

0 ,

= R n , { }, R n - ,

S1 , - , S 2 , - .
( t ) { S1 , , S 2 }

. , , Pt 1

, , ,
( t ) = , ( , [1] ).

.
E . Pt

. . .- .
2.
. . .

1, t > 0
. , Pt 1 1 ;

, . .
. . . . . . .-,

( , ,
). , Pt

.
( , ).
Pt
( , ).

f ( )

= n1 (20 + 2 )

( ) ( , [2] ).
3. {S , S , S }
n

S , R - , S ,

S .
f ( ) ( ) ,

601

 C 0 ( R n ) {S , S , S } , ,
. . .- , 1 f ( ) ( , [3] ).
4. S S
n

. R - , ,
. . .- , n .
. . . ,
( . ) L
( , [3] ).

. . . Z - , C 0 (R ) ,
. . . . .
, .
.: [1] . ., , ., 1980; [2] ., .,
, . ., ., 1984; [3] . ., , ., 1981; [4] . ., , ., 1995.

L L ; L Markov random
field , .
;
Markov shift = {... , y 1 , y0 , y1 , ...} ( , A ) T

.: [1] . ., . ., 1979, . 109, 4, . 491

532; [2] . ., . ., . .,
. . . , 1984, . 22, . 360.

; Markov
chain . . . (
. .- ) [1]- . . .

193137- . . ( , [2] [4] )
. ( , [5] [6] ) . . .-
. .-
( [7] [14] ) - . .
, . .
. . . -
, , .,

;
( , [7], [15], [16] ).
. . .-

: (, F , P )

(E , B ) { n n ( ); n 0}
n, m

). n 1 An 1 =

= ( 0 , ..., n 1 )

n +1

yi Y , ( Y , A) , ( , A )

= ( n +1 , n + 2 , ... ) , n ,

P ( y , C ) , y Y , C A

,

,
, { n }

A = { : yi C0 , yi +1 C1 , ..., yi + r C r } -

Ci A , r

( A) =

0 , < i <

d ( y ) P ( y , dy
i

C0

C1

i +1 )

( , ., ( 0 , ..., n 1 ) , -

0 , ..., n 1 ).
...

P( y

i + r 1 , dy i + r )

Cr

.
A

. T . . .
. . .
, , K .
.: [1] . ., . , 1967, . 22,
. 5, . 356; [2] . ., . ., . ., , ., 1980.

, ; Markov allocation
of particles , 1-, 2-,...
.
.
.

602

1 , B B P { n B | An 1} =

= P { n B | n 1}
. (E , B ) ( B
, E )
;
E - . . .-
( B) = P { 0 B }
, B B . . .-
{ n ( ); n

0} ( -

) .
. .- - , . (
) E1 , E 2 , ... , ( E

Ej

E jk

= {E1 , E2 , ...} ), k -

E jk -

p j = P {E j } ( p j = P { E j } =

= P { E jk } , j = 1, 2 , ... , k = 1, 2 , ...
); , P {E jk }

(k 1) - Eik 1
( Eik 1 , E jk ) ;
pik 1 j

ei

pik 1 j
pi j .
k

,
pi j :

(1)

, ,
.
:

= (0 , 1 , ... , T )
{ t = i } t i
.

= { } , A ,

P P ( ) - -

Ai ( t ) = { : t = i } ,

i = 1, 2 , ..., r t .
At

= A ( t ) .
(5)

.
, 1907- . .
.

. . . . (5) t .

P {( E j1 , Ei2 , E r3 )} = P{( E j1 )} P{( Ei2 | E j1 )}

P {( Er3 | Ei2 )} = p j1 p j1i2 pi2 r3 = p j p ji pi r ,

P {( E j1 , Ei2 , E r3 , E s4 )} = p j1 p j1i2 pi2 r3 pr3s4 = p j p ji pi r prs
,

(2)

A0 , A1 , ... , At 1 A0t -1

; At +1 , At + 2 , ... , AT
T

j1 - 1

At +1 ,

= p j , j = 1, 2 , ...

A0t-1 ,

, , p j

; pij Ei

A0 , A1 , ... , AT

= p j1 p j1i2 = p j p ji ,

t T

P {( E j1 , Ei2 )} = P {( E j1 )} P {( Ei2 | E j1 )} =

E j -

1, 2 , ... , r . ,

; ( , A , P )

i , j = 1, 2 , ... , k = 1, 2 , ... , ik , jk = 1, 2 , ... .

P {( E j1 , ..., E jn )} = p j1 p j1 j2 ... p jn2 jn1 p jn1 jn ,

= {e1 , ... , er }

T
t = 0 , 1, 2 , ... , T .

P {( E jk | Eik 1 )} = pik 1 jk ; jk , ik = 1, 2 , ... , k = 1, 2 , ... .

P {( E jk | Eik 1 )} = pik 1 jk = pij = P {( E j | Ei )} ,

, E

E j -

.
,
:

pi 0,

=1

(3)

At+T1

, At

. .,
{ : t < k < T k , k = k +1}
;

{ : 0 k < t k - k r}

.
. 1 k < r , t

= 1, 2 ,

... , T 1 k

t - {t = k} At
t 1

. pi j -

A0

:
k - Ei , (k + 1) - E j -

, (5) . . .
, 1 k < r t = 1, 2 , ... , T 1

, k -
i , j

pi j 0 ,

pi1 + pi 2 + ... =

pi j = 1

t-1

P { A I B | { t = k }} =

= P { A | {t = k}} P { B | {t = k }}.

pi j (2) ( i, j

= 1, 2 , ... ) n

.
. .- .

k , t - A A0 , B At+1

(4)

. (3) (4) , pi

At+1

(6)

P {{ t = k } I A} > 0

(6)

P {B |{ t = k } I A} = P{B |{ t = k }}

(7)

603

 , { t

= k}

.
. .-, , .
. { t : t = 0 , 1 , ...} ,
N

= {1, 2 ,

P {

... , N }

= k } = 1 , t = 0, 1, 2 , ...

0 t1

< t 2 < ...

< t n < s < t ( n = 1, 2 , ... ) t1, ... , t n , s -,

. .-
.
1. (E , B ) { p m ( x , S ); m 0 }
[ p ( x , S ) , x E ,

S B S B , x
B - , (E , B )
]. B - -

, S 0 , ..., S n B ,

n 1

i , j ( i, j N ) B i N , i = 1, n

P { 0 S 0 , ..., n S n } =

P { t = j | { t1 B1 , ... , tn Bn , s = i }} =

= P {t = j | s = i }
= 0, 1, 2 , ...}

, { t ; t

. . .
t t ( t

(8)

(9)

. . . . . (9)
P = || pi j || . . .
:

= 1.

(10)

p = ( p1 , ... , p N ) , pi = P { 0 = i} , i = 1, N ,

pi 0,

pi = 1 .

pi j

;
.
{ t ; t = 0 , 1, 2 , ...}

. . (10), (11)

P { 0 = i0 , 1 = i1 , ... , t 1 = it 1 , t = it } =
pi0 pi0i1 pi1i2 ... pit 1it , ik = 1, 2 , ... , k = 1, 2 , ...

(12)

.
. .- .

604

{ n ; n

(13)

0} . .- ( , [9],

p ( m, x; n, S ) -
:
p (m, x; n, ) ,

p ( m, x; m + 1, S ) = pm ( x, S )

p ( m, x; n + 1, S ) =

p ( m, x; n, dy ) p n ( y , S )

m
n -
p ( m, x; n, S ) x , S

m < k < n
p ( m , x ; n, S ) =

p ( m, x; k , dy ) p ( k , y; n, S )

.
. .- ,
m < n S

p { n S | m } = p ( m , m ; n , S )

(11)

i =1

(10) P

pn1 ( xn1 , d xn )

= 0 , 1, 2 , ... ) < t , s

, pij t - ,

ij

Sn

[13] ). (13)- ( , , [4] ) p m ( x, S )

P { t +1 = j | { t = i } } = pi j , t = 0, 1 , ...

i =1

p0 ( x0 , d x1 ) ...

S1

. .-,
. .-


. 0 m < n , x E , S B

,
;
: ( ).
(8) (2)
.
i , j N

pi j 0,

. (8) , s

(d x )

S0

p { n S | m

= x}

(13)
p ( m , x; n , S )

.
1 , . .-
( ., E
, B
). 1
p m ( x, S ) , - ,
. .- ( ,
[13] ). ,

X = { , A , n , Pk x ; k , n 0, x E }

(14)

, ( , A ) ,

n , ( , A ) - ( E , B ) - , Pk x ,

{ , A , n , Px ; n 0, x E }

A k = ( k , k +1 , ... )
, Pk x : ) n

>mk

. (16) : 1) n , ( , A ) ( E , B ) -

Pk x { n S | k , ... , m } = Pk x { n | m } =

= p ( m, m ; n, S )

; 2) Px , A - ;

(15)

; ) k S ,

xS

( S B ) . B E -

= x
Pk x , , k 1

, ) , k

. .- . .-
{ n ; n k } Pk x
. . , k x
, p m ( , ) , m k . .
.
(14) , (14)

( . ) . , ( E , B ) p m ( x, S )

p m ( x, S )
(15) ,
Pm x { m +1 S } . S B x B

p ( x, S ) = Px {1 S } , S B

3)

4) Px { n +1 S | An } = p ( n , S ) Px
( , [1]; An ).
, 1) 4) (16)

,
p ( x, S ) -. n
p ( n, x, S ) -

p ( n, x, S ) = Px { n S } , x E , S B
1-
; p (1, x, S ) p ( x, S ) .

m, n 0
p ( m + n, x , S ) =

. .- , .
X = ( n , Pmx ) . . :

B A P {B} =

ox {B} ( dx)

( , A , P )

{ n ; n

0}

. . n
. .
.
:
.
( E , B ) , . . ;
p m ( x, S ) - m - : p m ( x, S ) p ( x, S ).

p (m, x, dy ) p (n, y, S )

. (15) Px

= Pm x { m +1 S}

. . .- . (14)-
X = ( n , Pmx ) .

(17)

( E , B ) - ;

p ( m, x; n, S ) -

p m ( x, S )

(16)

Px { n S | Am } = Px { n S | m } =

= p ( n m, m , S ), n > m 0
.
X
(13) (

).
X . .- , : [ 0, ] ,

, { n } An , n 0 . ( :
m , m 0 S = inf { n > 0; n S }

S - ( S B ) ;

= ). = { < } B -
( B )

inf

A .
( , [12] )

Px { n + S | A } = p ( n, , S )

p ( m, x; n, S ) - -

Px

:
p ( m, x; n, S ) p ( 0, x; n m, S ) [ m, n ] -

. .
2. . .-
.
E
{1, ..., N } ( N 1 ) {1, 2 , ... } -

( m

< n)

( n m ) - , n -
. , . .-
.
(14) . . Pmx Pox , ( ), Px

Pox

; B E -
. ,

605

 (17) ,
{ pi j ; i, j E } pi j = p (1, i, { j }),
i j .

( ., ).
3. E , B
. B -
. .- p ( x, S )
, x E , S B , x

= ( x 1 , S )

, x - ,

x 1S = { x 1 y; y S } . . .- E -

y E p ( y x, y S )

p (x , S)

E -

,

.
( , [12], [17] ).
4. (E , B )
p m ( x, S ) . .- -

~ ~

, . . (E , B )

= (E T , B B0 )

. .-

, T

= {0, 1, ...} , B0 , T - -

~
~
~
p(~
x, S ) , x E , S B , ~
x
~
m T ,

= ( x, m) , x E

~
S = { y E ; ( y , m + 1) S }

~
~
p(~
x, S ) =

= pm ( x , S ) . ,
T - , E T - , .
.
. .-

( , [5], [6], [9], [11], [12],
[15] ). (E , B ) X = ( n , Px )
. .- n p ( n, x, S ) , , B -

. inf { p (n , x , S )} > 0
n 1

x E Px { S <
< } > 0 ( S - ), X

( S )

>0

E E -
:

S - ,
.
C ; A B ( A) > 0
b n , B B , x A

p ( n, x, B I A) b ( B I A) , C

. B
, S B

606

[ ( S ) > 0 ] C ( ,
[11], [12], [25] ).
X - , d
,
- Ci B , 1 i d
:
1) x Ci , i < d , p ( x, Ci +1 )
x C d , , p ( x, C1 )

2)

UC

= 1,

=1;

D - , 0-

D D i , i

( D i - : x E n D i , Px n ).
d
( d = 1 ).
C1 , ... , C d

. .-

( , ;
). E - E

Ci
1 i d

= DU

( , [11] ). C S ( ) n -
x S - p ( n d , x, S )

>0

. . .
( ., E -
).
[18]- .
. ( E , B ) -

= ( X n , Pn ) . .- ,
, B - . ( S ) > 0
x E S < , Px , X

. ,
0
p ( x, S )

[ S B

p ( x , S ) (dx) = ( S ) ,

B - X ] . - :
S B ( S )

> 0,

, ,

X n n - Px
S ,
( , [12] ).
X X - ( , [12] ). ,
f , g , E - ,

x E ,

(g )

gd 0 , Px

 n
lim
f (X m )
n
m =1

m =1

g ( X m ) = ( f ) ( g )

(18)

g = ( f ) (g)

(19)

E -

n
lim
Pm f
n
m =1

P
m =1

; , .,

P m g (x) =

g ( y ) p (m, x, dy ) , m 1 .

, (19) E - ,
, f g ( , [12] ). (E ) <
(18) ;
n

lim n 1
f ( X n ) = ( f ) (1)
n

m =1

Px , x E .

B - i , i

= 1, 2

X -

1 P n 2 P n n ,

i P n () =

p ( n , y , ) i ( dy )

~
( , (E ) <

= a , a = 1 (E )

1 P ~ ).
n

. .
; ., ,
.
. . .
., n - {... , 1, 0 }

( , ).
( )
. .-
. . ( , ,
).
. .- ; . .-
. ( , [21], [24] ), ,
( , [22],
[23],
, . .- ).
.

. . .
.: [1] . ., . .-. - . -,
1906, . 15, . 13556; [2] . ., . ., 1986, . 60105;
[3] . ., . ., 1936, . 1 . 60710;
[4] . ., -

, ., 1936, . 18397; [5] Bull. Math. Soc. Roum.

Sci., 1937, t. 39, 1, p. 57115; 2, p. 361; [6] D o e d l i n W.,
Ann. Sci. Ecole norm. sup., 1940, t. 57, p. 61111; [7] ., , .
., . 12, ., 1984; [8] - ,
, . ., ., 1964; [9] .,
, . ., ., 1956; [10] . .,
, ., 1954; [11] O r e y S.,
Lecture notes on limit theorems for Markov chain transition probilities,
N. Y., [a. o.], 1971; [12] R e v u z D., Markov chains, Amst. Oxf.
N. Y., 1975 ( . . ., , ., 1997 );
[13] ., , .
., ., 1969; [14] . ., . .,
, . 1, ., 1971; [15]
. ., , . ., ., 1969; [16] . ., . ., , ., 1978; [17] .,
, . ., ., 1965; [18] H a r r i s T.
E., .: Proceeding of the Third Berkeley Symposium on Mathematical Statistics and Probability, v. 2, Berk. Los Ang., 1956, p. 113
24; [19] T w e e d i e R. L., Ann. Probab., 1974, v. 2, 5, p. 840
78; [20] M u k h e r j e a A., Math. Z., 1983, Bd 183, 3, S. 293
309; [21] . ., . .,
. ., 1983, . 28, . 2, . 21928; [22] .
., . ., 1984, . 29, 4, . 692702,
1985, . 30, 2, . 24151; [23] . .,
. ., 1985, . 30, 2, . 23041; [24] ., . ., 1985, . 31, 2,
. 31532; [25] .,
, . ., ., 1989;
[26] . ., , ., , 1980.

; Markov chain
i n t h e e x p a n d e d f o r m , .
/
/ ;

aperiodic/nonperiodic/non-cyclic
, ; .

Markov chain

/ ; r e d u c i b l e / d e c o m p o s a b l e Markov chain , .

, ; i r r e d i c i a b l e / i n d e c o m p o s a b l e Markov chain ,
.

; h o m o g e n e o u s Markov chain
, , .

; r e v e r s e d Markov
.

chain ,

; e m b e d d e d Markov chain
, .

; d i s s i p a t i v e Markov
chain , .

607

 ;
; ;
Markov chain; e x c e s s i v e f u n c t i o n ,

; ; ; Markov chain;
e x c e s s i v e m e a s u r e ,

; e r g o d i c Markov chain ,
.

;
; ; e r g o d i c c l a s s / s e t
o f a Markov chain E

( , ; ).
,
. .- { p j } j E
(
) , ( )
E - f

lim

1
n

n 1

f (Xt ) =

t =1

f ( j) p

( )

jE

.
, .
.: [1] ., ., , . ., ., 1970; [2] - ,
, . ., ., 1964.

;
; ;
Markov chain; c o m m u n i c a t i n g s t a t e s ,
;

;
; ; s t a t e s p a c e o f
a Markov chain ,

;
; ;
Markov chain; f u n d a m e n t a l m a t r i x
( ) P

Z=I+

(P

P ) ( = [ I ( P P )]1 )

n =1

, , , (

) ; P .
. ( ) ( )

;
n

.: [1] ., ., , . ., ., 1970.

;
; ;
Markov chain; h a r m o n i c f u n c t i o n ,

H a r r i s r e c u r r e n t Markov chain ,

, .

; c o u n t a b l e
.

;
Markov chain ,

c o n t r o l l e d Markov chain
, .

; ; ; Markov
chain; t r a n s i t i o n p r o b a b i l i t y , ;
.

; Markov
chain i n t h e c l a s s i c a l s e n s e , .

; r e c u r r e n t Markov chain ,
.

; t r a n s i e n t / n o n r e c u r r e n t
Markov chain , .

; n o n h o m o g e n e o u s Markov
chain , .

; n o n d i s s i p a t i v e Markov chain ,
.

; a p e r i o d i c Markov
chain ( , ).
; ; ; Markov
chain; l i m i t t h e o r e m s ,

; ;
; Markov chain; r a t i o
l i m i t t h e o r e m s ,

; h i g h - o r d e r Markov
.

chain ,

.
.
. .- .

;

; ;
Markov chain; a b s o l u t e p r o b a b i l i t i e s ,

608

( )

 ;
; ; Markov chain; m e a n r e c u r r e n c e t i m e
, ;

; c y c l i c / p e r i o d i c Markov
in , .

cha-

; r e g u l a r Markov chain ,
.

; ; ; Markov chain; s t a t i s t i c a l m o d e l i n g
, ( )
.

;
; ; Markov chain; l a w o f i t e r a t e d l o g a r i t h m
,
.

; t r a n s i t i v e Markov chain ,
.

; c y c l i c Markov chain ,
.

; ; ; c y c l i c / p e r i o d i c s t a t e o f a Markov chain ,
;

; ; ; Markov
chain; a b s o r b i n g s t a t e , ;

;
; ; Markov
chain; c y c l i c s u b c l a s s o f s t a t e s ,
;

; ; ; Markov chain; m e r g e n c e o f s t a t e s
,
X u

X =

Xu

u U

x X u

u ( x ) = u U
y n = u ( xn ), n 0
( )

. . . , , xn , n
. .-

( , ) 0
U

;
; ; Markov
chain; t h e p o t e n t i a l t h e o r y ,

y n( ) = u ( x (n ) ) , n 0

y n0 ,

n0

. .- ( ).
.: [1] ., ., , . ., ., 1970; [2] . ., .
., ,
., 1978.

; ; ; Markov chain; n o n - e s s e n t i a l s e t / c l a s s o f s t a t e s ,
;

;
;
; Markov chain; e s s e n t i a l c l a s s / s e t
o f s t a t e s , ;
.

;
;
; Markov chain; p o s i t i v c l a s s / s e t o f
c l a s s , ; .

;
; ;
Markov chain; n u l l s e t / c l a s s o f s t a t e s ,
;

;
; ;
Markov chain; c l a s s i f i c a t i o n o f s t a t e s
E n
. 1937- . . ( , [1] ). ( E . [2]- ).

pij , (i, j ) E

P=

pij

pij (n) =

= P ; pij (n) n
n

pij (0) = I .

E ( )
P
(
). n - n 0 pij ( n) > 0 ,

j i j
( .
j i ), n 0

pij (n) = 0 ,

j -

( . i ). i E j E

609

, j - i - , m j

pi j (m) > 0

n0

pi j (n) = 0 , i

( ) . R .
E \ R ,
.

+ , t 1 X t i ,
min { t : t 1, X t = i },

i =

.
i f i i

f i i (n) = Pi { X t i , 0 < t < n , X n = i },

,

( . ) . i
j - i - j

i -

j - ,

i j

. -
, . ,
E \ R C ,
,
.
C

pi j = 1,

i C

j C

, , C . . . i d
i

= ....{ n : n 1, pii (n) > 0}

. C -

; d C
. d

( )

> 1 , i
=1

, d

, ( ) . d C -

C0 , C1 , ..., Cd 1 , i Ck
,

j Cl

. f i i
, f i i

k +1

, C C
d 1

1 ( C

- C ). C

pi j ( m d )

>0

i, j Ck

. C ,

i , i ; n -

<1

610

, i E

pi i (n) . C

, ,
; C ,
. i

:

n f i i (n) , i ,

mii = M i i = n = 1

i .
+ ,

, i , mi i

<

. C

; C ,
,
.
C ( ,
E )
.

n -
. i ,
, i E

lim pi j (n) = 0

pi i ( n ) = 1 .
E
, E
.
.

=1

.
- , , , , ( , , 2 ). i
,
1- , i ,
i - . i ,
i

fii ( n )

n =1

mi i

1, l k 1 ( mod d )
pi j =
0 , l k 1 ( mod d )

f ii = Pi { i < } =

E \ R

. C i j :

p j = lim

1
n

t =1

pi j (t ) =

1
,
mj j

j C

= 1;

 , C 1- ,

0 = a, i = a

. C d
k

1- , i C , j C

; a

lim pi j ( l k + n d ) = d m j j

t l k ( mod d )

i (2) a = (q p)(q p + 1) 1

.
p00 = 1, p01 = 0 (

pij

), .
R = {1, 2 , ... }
0 = a, i

, i , i

> 0, p < 1 2

C = {0} ; 0 . i 1, a > 0

lim pi j ( n) = i m j j

(2)

pii ( t ) = 0 . j C ,
i ,

p i 1
, i 1,
qi

=0

2. ( ).
E = { 0 , 1, 2 , ... }, pi ,i +1 = p , pi ,i 1

= q = 1 p,
C = E

d > 1

0 < p < 1 , i = 0 , 1, 2 , ... ,

.
, i

( ),
p 1 2 p = 1 2 -

0,

= 1 = { i }iE ,

j =

i pi j , j E ,

(1)

C -

, i

= i = mii1 ,

i C .

,
.
( ., E ),
, ,
.
C C - ,

: (1) , E -

; C ,

, C

i = . C -

R ( R
) ,
.
1. ( ). E = {0 , 1, 2 , ...},

pi ,i +1 = p, pi ,i 1 = q = 1 p, i = 1, 2 , ... , 0 < p < 1 .

p01 = 1 0 . :

C 0 = { 0 , 2 , 4 , ... }, C 1 = {1, 3 , 5 , ... } .

C p > 1 2 ( t
lim X t = + ),
, p

<12

0, a2 0, a1 + a2 > 0, i(1) = 1,

i( 2) = ( p q ) i ,

= a1

p = 1 2

(1)

+ a2

i E
( 2)

=
,

= .
.: [1] . ., , ., 1986; .18397; [2] D o e b l i n W., C. r.
Acad. sci., 1936, t. 203, p. 2426; [3] .,
, . ., . 1, ., 1984;
[4] - , , . .,
., 1964; [5] . ., , ., 1980.

iE

. a1

(1)

( 2)

; Martin
compactum / boundary , .

;
Martin boundary f o r a M a r k o v p r o c e s s
.

( , [1], [9] ). . .

( , .- ).
.
[2]- . [3]- . . .
( , [8] ).
E , B
. = ( t , , At , Px ), x E , t 0 -

( E , B ) p ( t , x ; ) . ,

B -

( , ), 0 B

q( ) =

( x, ) (dx)
0

611

 . ( , [6] ) K
(

, B - K y (dx),

0,

y K i : E K ,
:
) E - K - ,
)