1

1.1 ( ) (.. ) . .
, ,
:
1) ;
2) ;
3) .
,
, , , . ,
, , ,
1 , 2 , . . ., n , . . ., , = {1 ; 2 ; . . . ; n ; . . .}
= {i , i = 1, 2, . . . , n, . . .}. ,
.
, .
1.1 . (, ) : ( , 1 ) (, 2 ). ,
= {, }, = { , } = {1 , 2 }.
( ) , , 4 , .. =
{ , , , }, , ,
..
1.2
1 , . . . , 6 , i , i = 1, 6, i , .. =
{i , i = 1, 6}.

, .. = {ij , i, j =
1, 6}, ij , i, j .
, 36
.
1.3 ,
. , (, , ), ,
,
, .. = {0, 1, . . . , n, . . .}.
1.4 , .

(x; y) , x , y
. , = {(x; y) : < x < +, < y < +}.

,
. , , , , , .
1.2 , , , , .
, (), , ,
.
,
, : A, B1 , C3 ..
, 1.2
, . 1.2
.
-, , ,
.
-, 1.2 , , ,
.
: , A ( ), - A.
1.5 1.2 , =
{i , i = 1, 6}, i , i . : A ; B ; C
, . , A = {2 ; 4 ; 6 }, B = {1 ; 3 ; 5 } C =
{3 ; 6 }.
1.3 , , .. , , .
, , .
1.4 , , .. ,
, .
.
1.6 , ,
, 7 . #

. .
, A . .
. 1.1.
,
A , A.
() , , ,
.
. . 1.21.7 , ,
.
1.5 () A B
C, ,
A B, .. ,
, A, B.
A B :
C = A B,

C = A B.

. 1.2.

 1.6 A B , , , . .
A B = . , .
. 1.3.

1.7 () A B
C, ,
A B, . . C, ,
A B.
A B
C = A B,

. 1.4.

C = A + B.

. ,

A1 A2 . . . An . . . = An
n=1

, An ,

n N,

A1 A2 . . . An . . . = An
n=1

, An , n N. , A1 , A2 , . . . , An (),
Ai Aj = i, j = 1, n, i 6= j, () , A1 A2 . . . An = .
1.8 A B C,
, A, B, .. C, ,
A, B. A B
:
C = A \ B.
1.9 A ( A) , , A. ( , A = \ A). A ,
A.
, , ,
, ( ) . ,

. 1.5.

. 1.6.

C = A1 A2 B1 A3 B 2 \ B3

C=

A1 (A2 )B1 A3 (B 2 ) \ B3 .

, ( ). , A \ B = AB.

.
1.10 A B, A B,
A B
(, , A, B.
, A B AB = A.
: B A (B A), A B.
. 1.7.

 1.7 (), m . , , , , m .
. 1.8 1.9 .
A , , Ai ,
i- (i = 1, m ). A Ai
A = A1 . . . Am A = A1 . . . Am

. 1.8.

. ,
A
Ai , i = 1, m, , ,
. 1.9.
Ai , i = 1, m, A. #
, , ( ).
1. : A B = B A,
AB = BA.
2. : A B C = A (B C),
(AB)C = A(BC).
3. : (A B)C = AC BC.
4. ( , ):
AB C = (A C)(B C).
5. A B, .. A B, B A, .. A B.
6. : A = A.
7. A A = AA = A.
8. : A B = A B,
AB = A B.
1.1 :
A1 A2 . . . An = A1 A2 . . . An
A1 A2 . . . An = A1 A2 . . . An .

-

. , . , ,
,
. ,
, B.
- ( -).
, .
, , A B,
, A B, ,
A B. , - , , ..
() () .
- .
1.11 - (-) B , .
1. A B, A B.
2. A1 , A2 , . . . , An , . . . B, A1 A2 . . . An . . .
A1 A2 . . . An . . . B.
= A A = ,
B.
-
.
1.2 2 ,
. - . , , .

 1.8 ,
1, 2, 3 4.
, = {1 ; 2 ; 3 ; 4 },
i i, i = 1, 4.
:
,
{1 }, {2 }, {3 }, {4 },
{1 , 2 }, {1 , 3 }, {1 , 4 }, {2 , 3 }, {2 , 4 }, {3 , 4 },
{1 , 2 , 3 }, {1 , 2 , 4 }, {1 , 3 , 4 }, {2 , 3 , 4 },
= {1 , 2 , 3 , 4 },
, ( )
( ).

, . , ,
, 6 . , , .
? A P(A), . P() = 1,
P() = 0 ( ), A
, 0 6 P(A) 6 1.

. , , , . ,
, ,
. ,
.

, , .
.
, , ,
. , , .
N , NA , A (, , A.
2.1 A NA A N ,
..
NA
P(A) =
.
N

.
,
, ..
2.1 , k = 10 l = 20 (
), . P(A) A, , .
,
N = k + l = 30, ,
A NA = k = 10.
k
1
= . #
P(A) =
k+l 3
, .
2.1 A P(A) > 0.
. , NA /N .
6

 2.2 ( N )
P() = 1.
2.3 A B (AB = ), P(A + B) = P(A) + P(B).
. , A N1 , B
N2 , A B A + B N1 + N2 .
,
N1 + N2
N1 N2
P(A + B) =
=
+
= P(A) + P(B).
N
N
N
, .
( ), :
P(A) = 1 P(A);
P(A) < P(B),

P() = 0;

A B.

, , .
, , .

, R
( ), R2 (), Rn (n- ).
R
, .. , . R2 ,
, ..
(A) A , (
) , : R, R2 R3 (Rn ).
, ,
. ,
.
2.2 A P(A),
A :
(A)
P(A) =
,
()
(A) A.

.
, A, , , .
, , P(A)
.
2.2 . ,
, ,
20 , 5 .
.
x, y.
(x; y) xOy. 12 ,
1 xOy
. , 60 (. . 2.1). A ( ) , y x
. 2.1.
t1 = 20, x y t2 = 5, ..

y x 6 20;
x y 6 5.

A , , . 2.1 .
SA , ..
SA = 602

(60 t1 )2 (60 t2 )2

= 1287,5.
2
2

, 2.2, P(A) =

SA
1287,5
=
0,36.
S
3600

, , ,
, ,
(. ).
n , nA A.
rA = nA /n A. , ,
, A
n , .. ( ).
2.3 A () P(A), rA A n .
.
, , , ..
1) P(A) > 0;
2) P() = 1;
3) P(A + B) = P(A) + P(B), AB = .
.
: ,
, ,
.
,
. ,

.
, ,
, . ,
(
).
,
,
(. 2.3).
.

,
.
i , i = 1, N , P(i ) = 1/N .
A P(A) = NA /N , NA , A.
P(A)
X
P(A) =
P(i ),
i A

 i, i A.

, .

, , ,
(, , ).
, : 1) P(A) > 0; 2) P() = 1; 3) P(A1 + . . . +
Am ) = P(A1 ) + + P(Am ), A1 , . . . , Am .
.
3 .
2.4 A (.. A
, - B) P(A). P ( - B) ( ),
:
1 ( ): P(A) > 0;
2 ( ): P() = 1;
3 ( ):
A1 , . . . , An , . . .
P(A1 + . . . + An + . . .) = P(A1 ) + . . . + P(An ) + . . .
P(A) A.
3 .
30 ( ): A1 , . . . ,
An
P(A1 + . . . + An ) = P(A1 ) + . . . + P(An ).
4 ( ): A1 , . . . , An , . . .
, An An+1 , n N, A1 . . . An . . . = A, lim P(An ) = P(A).
n

, 3 4 3.
2.1 , i , i = 1, 2, . . . ,
P(i ) = pi > 0 ,

X
X
P(i ) =
pi = 1.
i=1

A 3 P(A)
P(i ) , A, ..
X
P(A) =
P(i ).
i A

, , . , , .
. #
, .
2.1 .
1. P(A) = 1 P(A).
2. P() = 0.
3. A B, P(A) 6 P(B) ( ).
4. 0 1: 0 6 P(A) 6 1.
5. P(A B) = P(A) + P(B) P(AB).
6.
P(a1 . . . An ) = P(A1 ) + . . . + P(An ) P(A1 A2 ) P(A1 A3 ) . . . P(An1 An )+
+ P(A1 A2 A3 ) + . . . + (1)n+1 P(A1 A2 . . . An ).
9

. = A + A, , , P() =
P(A) + P(A), 1.
2 A = A + .
A B. B = A + (B \ A). P(B) =
P(A) + P(B \ A). 3.
, A , 4.
A B = A + (B \ A),
B = (B \ A) + AB, , , P(A B) = P(A) + P(B \ A) P(B) = P(B \ A) + P(AB).
P(B \ A), ,
5.
6 n. ,
A, B C
P(A B C) = P(A) + P(B C) P(A(B C)) = P(A) + P(B) + P(C) P(BC) P(AB AC) =
= P(A) + P(B) + P(C) P(BC) P(AB) P(AC) + P(ABC).
.
2.2 5 6
n .
, , , ,
.
2.3 . A, . Ai
i- , i = 1, 2. , A = A1 A2 , 1
P(A1 ) = P(A2 ) = . , A1 A2 ,
2

1 1
P(A) = P(A1 ) + P(A2 ) = + = 1,
2 2
, , A . 1
P(A1 A2 ) = ,
4
P(A) = P(A1 ) + P(A2 ) P(A1 A2 ) =

1 1 1 3
+ = . #
2 2 4 4

2.5 (, B, P), , B B P, .
,
: , , .

10

A B, . -
, B , ,
, B, .
A?
A, , B ,
P(A|B).
.
.
. .

, . A B
NA NB . ,
B. B , ,
NB , B.
, A NB , A NAB ,
A, B, , , AB.
- NB B .
P(A|B) A B NAB ,
A B, NB ,
NAB
B, . . P(A|B) =
.
NB
N NAB /N
P(AB)
, P(A|B) =
=
.
NB /N
P(B)
.
3.1 A () B
A B B:
P(A|B) =

P(AB)
.
P(B)

(3.1)

, P(B) 6= 0.

.
P(A|B) A.
3.1 P(A|B) P(A).
. , P(A|B)
1, 2 3 (. 2.3).
3.1 , , , ,
.
11

P(B)
P(B)
B = B, P(|B) =
=
= 1, . .
P(B)
P(B)
.
, A1 , . . . , An , . . . .
(A1 + . . . + An + . . .)B = A1 B + . . . + An B + . . .

P(A1 + . . . + An + . . . |B) =

P((A1 + . . . + An + . . .)B)
=
P(B)
P(A1 B) + . . . + P(An B) + . . .
=
= P(A1 |B) + . . . + P(An |B) + . . . ,
P(B)

.
, 3.
3.1 , , 1 ,
B.
3.1 , ,
: 1, 3 6 , 2, 4
5 . : A1 ; A2
; B . ,
B, A1 , A2 ,
, . ,
A1 A2 , , 1/2.
A1 A2 B. ,
P(A1 B) =

NA1 B
2 1
= = ,
N
6 3

P(A2 B) =

NA2 B
1
= ,
N
6

P(B) =

3 1
= .
6 2

, 3.1
P(A1 |B) =

1/3 2
= ,
1/2 3

P(A2 |B) =

1/6 1
= ,
1/2 3

A , B ,
, , 1 = B . ,
, A ( . 3.1
AB):
P(A) =

SA
SA
=
,
S
S

P(A|B) =

. 3.1.

SAB /S
SAB
SA1
=
=
.
SB /S
SB
S 1

SA , S .. A, .. ,
P(A|B) P(A), ,
1 = B.
3.2 , a = 7 b = 3 , . A1 ,
, A2 . P(A2 |A1 ).
.
. ( ):
2
P(A1 A2 ) C72 /C10
2
= 1 1 = .
P(A2 |A1 ) =
P(A1 )
C7 /C10
3
12

 . 1 . A1
, ,
N1 = a + b 1 = 9, A2 NA2 = a 1 = 6 .
6 2
, P(A2 |A1 ) = = .
9 3

A A1 , A2 , . . . , An . A = A1 A2 . . . An , P(A) A
.
3.2 ( ) A = A1 A2 . . . An (. . A
A1 , A2 , . . . , An ) P(A) > 0.
P(A) = P(A1 )P(A2 |A1 )P(A3 |A1 A2 ) . . . P(An |A1 A2 . . . An1 ),
.
. P(A) = P(A1 A2 . . . An ) > 0, A1 A2 . . . Ak A1 A2 . . . An (k = 1, n 1),
P(A) = P(A1 A2 . . . Ak ) > 0. , 3.1 ,
P(A1 A2 . . . An )
P(An |A1 A2 . . . An1 ) =
.
P(A1 A2 . . . An1 )
P(A1 A2 . . . An1 ),
P(A1 A2 . . . An ) = P(A1 A2 . . . An1 )P(An |A1 A2 . . . An1 ).
P(A1 A2 . . . An1 ) = P(A1 A2 . . . An2 )P(An1 |A1 A2 . . . An2 ).
P(A1 A2 . . . An ) = P(A1 A2 . . . An2 )P(An1 |A1 A2 . . . An2 ) P(An |A1 A2 . . . An1 ).
, .
3.3 , . .
, ( A).
: A1 ; A2
; A3 . A A1 , A2 A3 . ,
P(A) = P(A1 A2 A3 ) = P(A1 )P(A2 |A1 )P(A3 |A1 A2 ). 2.1 1
, P(A1 ) = .
7
A1 ,
2
1
1
, P(A2 |A1 ) = = . P(A3 |A1 A2 ) = .
6
3
5
1 1 1
1
P(A) = P(A1 A2 A3 ) = =
0,0095.
7 3 5 105

, P(A|B) A , B , P(A),
, .. B A.
( ) A B
P(A|B), P(B|A) .
3.2 A B, , , A B A
B A B, ..
P(A|B) = P(A)

(3.2)

P(B|A) = P(B),

(3.3)

A B .
13

 3.3 A B, ,
,
P(AB) = P(A)P(B).
(3.4)
. (3.3). ,
P(AB) = P(A)P(B|A) = P(A)P(B).
(3.2), .. (3.4).
, (3.4). , 3.1 ,
P(AB)
P(AB)
P(A|B) =
= P(A)

P(B|A) =
= P(B),
P(B)
P(A)
.. 3.2 A B .
, ,
, .
3.3 A B , (3.4).
, , A B .
3.1 3.3 , 3.2
(3.2) (3.3), , .. 3.2
.
3.4 , n = 36 , .
A , , , B ,
. , A B.

P(A) =

9
1
= ,
36 4

P(B) =

4
1
= ,
36 9

P(AB) =

1
,
36

P(B|A) =

P(AB) 1/36 1
=
= = P(B),
P(A)
9/36 9

.. (3.2), A B . ,
1/36 1
3.1, (3.3) P(A|B) =
= = P(A). ,
4/36 4
A B . #
, , , N = 100
4
1
( ). ? P(B) =
=
, ..
136
34
P(AB) 1/136 1
=
= ,
B . P(B|A) =
P(A)
9/136 9
. A B .
3.4 A B , A B, A B, A B, .

. 3.1 A B : P A|B = 1

P A|B = 1 P A = P A , A B.
.
3.4 A1 , A2 , . . . , An ,

; ;. . .;
.
A1 , A2 , . . . , An , , , 3.4.
3.5 A1 , A2 , . . . , An ,
A1 , A2 , . . . , An . #

14

 ,
.
, , .
3.2 P(A1 A2 . . . An ) =
P(A1 )P(A2 ) . . . P(An ). #
, 3.3,
. , , , .
3.5 , : 1, 2 3 (
), 1, 2 3.
Ai , i, i = 1, 3.
, A1 , A2 A3 , .
,
P(Ai ) =

2 1
= ,
4 2

i = 1, 3,

P(A2 |A1 ) =

P(A1 A2 ) 1/4 1
=
= .
P(A1 )
2/4 2

1
i, j = 1, 3, i 6= j, .. A1 , A2 A3
2
P(A1 A2 A3 )
1/4
. , , P(A1 |A2 A3 ) =
=
= 1 6= P(A1 ), . . A1 ,
P(A2 A3 )
1/4
A2 A3 . #

P(Ai |Aj ) =

, , A1 , . . . , An , , A1 , . . . , An .
. A = A1 . . . An .
A = A1 . . . An . A1, . .. , An ,

, 3.5, A1 , . . . , An , , P A = P A1 . . . P An .
:
P(A1 . . . An ) = 1 P(A1 . . . An ) = 1 P(A1 . . . An ) =
= 1 P(A1 ) . . . P(An ) = 1 [1 P(A1 )] . . . [1 P(An )] .
3.3 ( ). :
1) A B ( P(A) 6= 0, P(B) 6= 0), ;
2) A B , ;
3) A B , . #

15

.
.

, n H1 , H2 , . . . , Hn ,
:
1) , .. Hi Hj = i 6= j;
2) , ,
, .. H1 . . . Hn = .
4.1 H1 , H2 , . . . , Hn 1 2, .
,
, .
, , .
A
P(H1 ), . . . , P(Hn ), , P(A|H1 ), . . . , P(A|Hn ) A
.
A. .

. 4.1.

4.1 A H1 , . . . , Hn P(H1 ), . . . , P(Hn ),

, P(A|H1 ), . . . , P(A|Hn ). P(A)
P(A) = P(H1 )P(A|H1 ) + . . . + P(Hn )P(A|Hn ),
(4.1)
.
. A
A = A = A(H1 + . . . + Hn ) = AH1 + . . . + AHn
( . 4.1 , A, ). ,
AHi , i = 1, n, ,
P(A) = P(AH1 ) + . . . + P(AHn ).

P(AH1 ) = P(H1 )P(A|H1 ), . . . , P(AHn ) = P(Hn )P(A|Hn ).

P(A) = P(H1 )P(A|H1 ) + . . . + P(Hn )P(A|Hn ).

.
4.1 B A . 4.2. .
A .
16

 A,
H1 , H2 H3 . Hi ,
Hi , B ,
Hi , i = 1, 2, 3. , Hi ,
1
B Hi P(Hi ) = . P(A|Hi ),
3
, . 4.2.
, Hi .
, H1 , ( H1
1
), A, .. P(A|H1 ) = .
2
1
, P(A|H2 ) = P(A|H3 ) = 0.
4
4.1 ,

1
1 1
+ + 0 = 0,25. #
P(A) =
3
2 4
, :
, P(A) .

- A H1 , . . . , Hn , , , , . , P(H1 ), . . . , P(Hn ) (P(Hi ) > 0, i = 1, n)
A , .. . , , ..
P(H1 |A), . . . , P(Hn |A), P(A|H1 ), . . . , P(A|Hn )
A? .
4.2 A, P(A) > 0, H1 , . . . , Hn P(H1 ), . . . , P(Hn ) (P(Hi ) > 0, i = 1, n) P(A|H1 ), . . . , P(A|Hn ).
P(Hi |A), i = 1, n, Hi A
P(Hi |A) =

P(Hi )P(A|Hi )
.
P(H1 )P(A|H1 ) + . . . + P(Hn )P(A|Hn )

(4.2)

P(AHi )
.
P(A)
P(AHi ) P(A|Hi ) P(Hi ), P(AHi ) =
P(Hi )P(A|Hi )
P(Hi )P(A|Hi ). P(Hi |A) =
.
P(A)
P(A) , (4.1)
, .
,
. , P(H1 ), . . . , P(Hn ) (.. ), P(H1 |A), . . . , P(Hn |A) (.. ).
. 3.1 , P(Hi |A) =

4.2 , , 1 2,
40 % 60 % . , 1 90 %
2 20 % . .
?
A , , .
: H1 1; H2 2.
, : P(H1 ) = 0,4 P(H2 ) = 0,6, A H1 H2 0,9 0,2 .
0,4 0,9
= 0,75. ,
, P(Hi |A) =
0,4 0,9 + 0,6 0,2
1.

17


n n . ,
n , , n ,
.
4.2 ( , ) , :
1) : A, , A, ;
2) , .. k-
k-;
3) P(A) = p.
q, .. P(A) = 1 p = q.
,
.
1. n ( p = 1/2) n (
, , p = 1/6).
.
2. n , - , .
3. n , , ,
.
Ak , , n k , k = 0, n.
, P(Ak ) Pn (k).
4.3 Pn (k) , n
k ,
Pn (k) = Cnk pk q nk ,

k = 0, n.

(4.3)

. ...,
n , i- , i-
, . 2n ,

.... =...
P() = P(...). ,,,...,
,
P() = pi q ni , i = 0, n, n i , , , n i .
Ak , , i = k.
pk q nk .
, k
n , , . Cnk .
Ak () ,
P(Ak ) = Pn (k) (4.3).
(4.3) ,
(k + 1)- .
1 = (p + q)n = Cn0 q n + Cn1 p1 q n1 + . . . + Cnk pk q nk + . . . + Cnn pn .
Pn (k), k = 0, n, .
.
1. ( A) n k1 k2
:
k2
X
P{k1 6 k 6 k2 } =
Cnk pk q nk .
(4.4)
k=k1

18

 , Ak k .
2. k1 = 1 k2 = n (4.4)
n :
P{k > 1} = 1 q n .

(4.5)

4.3 () n = 10 . : ) ; ) ; ) .
10
1
252
5
(4.3) : ) P10 (5) = C10
=
= 0,246;
2
1024
) P{k 6 5} =

0
1
2
3
4
5
C10
+ C10
+ C10
+ C10
+ C10
+ C10
638
=
0,623;
1024
1024

) P{k > 1} = 1

10
1
0,999.
2

4.4 0,01. ,
,
P = 0,9.
n . , ,
( ). ,
p = 0,01. k , . , (4.5),
q = 1 p:
P{k > 1} = 1 q n = 1 (1 p)n > P ,

n>

ln(1 P )
ln 0,1
=
230.
ln(1 p)
ln 0,99

, 230 .

19

, , . , , .
,
, ,
.
.
5.1
X . X
{x1 = 1; x2 = 2; . . . ; x6 = 6}.
, ,
X:
= 1 2 . . . 6

...
X = 1
2 ... 6 .
, i , i = 1, 6, i.
5.2 . ,
, : X {1; 2; 3; . . .} Y , ,
{0; 1; 2; . . .} (, X = Y + 1).

{; ; ; . . . ; . . . ; . . .},
. . . m + 1 m, m
.
5.3 . , (, .. ) .
, , X ,
Y = X 2 , Z .. #
5.1 X(), ,
, x R , X() <
x, .. { : X() < x} .

, ,
. , () . ,
, .
20

 5.2 () X F (x), x {X < x}, .. ,

, X() < x:
F (x) = P{X < x}.
5.1 .
1. 0 6 F (x) 6 1.
2. F (x1 ) 6 F (x2 ) x1 < x2 , .. F (x) .
3. F () = lim F (x) = 0; F (+) = lim F (x) = 1.
x

x+

4. P{x1 6 X < x2 } = F (x2 ) F (x1 ).

5. F (x) = F (x 0), F (x 0) = lim F (y), .. F (x) .
yx0

. , 2.1.
x ,
4 1.
x1 < x2 , {X < x1 } {X < x2 } , 3,
P{X < x1 } 6 P{X < x2 },
.. 5.2 2.
x1 , . . . , xn , . . . , +. {X < +}, , , ,
{X < xn }.
3. .
{X < x2 } x1 < x2 : {X < x1 } X , x1 , {x1 6 X < x2 }
X , [x1 , x2 ).
4.
, x1 , . . . , xn , . . . ,
x. {X < x} {X < xn }.
, 5.
5.1 , F (x), F () = 0 F (+) = 1,
X. #

5.3 X ,
.
.
5.4 () X (. 5.1), :
, pi = P{X = xi } ,
.
. 5.1 pi . n
P
:
pi = 1.
i=1

X x1 x2 . . .
P p1 p2 . . .

xi . . .
pi . . .

xn
pn

5.1.

, F (x). X , , x1 , x2 , . . . , xn . x 6 x1
{X < x} 5.2 F (x) = 0.
( x1 < x 6 x2 , {X < x} ,
X() = x1 , , , F (x) = p1 .
x2 < x 6 x3 {X < x} ,
X() = x1 , X() = x2 , ..
{X < x} = {X = x1 } + {X = x2 },
21

 , F (x) = p1 + p2 .. , x > xn {X < x} F (x) = 1.

, , (, x1 ] 0, (xi , xi+1 ],
1 6 i < n, p1 + . . . + pi (xn , +) 1.
, . ,
. , (. 5.1)
1
P{X = i} = , i = 1, 6.
6

5.5 X,
F (x)
Zx
p(y) dy.

F (x) =

(5.1)

p(x) ()
X.
, (5.1) .

( , , ) . ,
p(x)

. 5.1.

p(x) = F (x),

(5.2)

. . . 5.1
.
5.2 . 1) p(x) > 0.
Rx2
2) P{x1 6 X < x2 } = p(x) dx.
3)

+
R

x1

p(x) dx = 1.

4) P{x 6 X < x + x} p(x)x .

5) P{X = x} = 0.
. 1 , , 1 , .
2 , P{x1 6 X < x2 } = F (x2 ) F (x1 ).

Zx2
F (x2 ) F (x1 ) =

Zx1
p(x) dx

Zx2
p(x) dx =

p(x) dx,
x1

2.
, x1 = , x2 = +, { < X < } ,
3.
4 (. 5.1),
P{x 6 X < x + x) = F (x + x) F (x) = F (x).
x (. . 5.1),
F (x) dF (x) = F 0 (x)x = p(x)x,
22

 4.
, 5.5
, , 5.
5.2 2
[x1 , x2 ) , . 5.1.
3 , , , .
4 X (x, x + x) x , x. p(x)x p(x)dx
. ,
p(x),
x.
, 5, ( )
. #

(, B, P) X = X().
y = (x) x (
X).
5.6 Y ,
Y () = (X()), (X) () X.
Y = (X) X x1 x2 . . . xn
,
P p1 p2 . . . pn
, X. , 5.2.
X , . 5.2,
Y = (X) . 5.3.
, . 5.3 Y (x1 ) (x2 ) . . . (xn )
(xi ), P
p1
p2
...
pn
, .
5.3.
Y = (X) X
, (, , (X)
).
5.3 X pX (x). y = (x)
, . x = (y) ,
y = (x). Y = (X)
pY (y) = pX ((y))| 0 (y)|.

(5.3)

. (x) , {(X()) < y} {X() < (y)} ( (x)) {X() > (y)}
( (x)). , (x)
P{(X) < y} = P{X < (y)},

(5.4)

P{(X) < y} = P{X > (y)}.

(5.5)

(x)

FY (y) = P{Y < y},

P{X < (y)} = FX ((y)) P{X > (y)} = 1 FX ((y)),

:
(x)
FY (y) = FX ((y));
23

(5.6)

 (x)
FY (y) = 1 FX ((y)).

(5.7)

, , :
Y (x)

0 (y) = pX ((y)) 0 (y);

pY (y) = FY0 (y) = FX (x)
x=(y)

Y (x)

pY (y) = FY0 (y) = FX (x)

x=(y)

0 (y) = pX ((y)) 0 (y).

(5.3).
5.4 X pX (x). y = (x)
. xi = i (y), i = 1, k, y
y = (x). i (y), i = 1, k, ,
Y = (X)
k
X
pY (y) =
pX (i (y))|i0 (y)|.
(5.8)
i=1

5.4 X F (x), . Y = F (X). [0, 1]. y = F (x)

(y) = F 1 (y).
(y) y [0, 1], ,
F ((y)) = y,
, , (5.6) y [0, 1]:
FY (y) = F (F 1 (y)) = y.
y < 0 {Y < y} . y < 0
FY (y) = P{Y < y} = 0.
y > 1 {Y < y} y > 1
FY (y) = P{Y < y} = 1.
,

0,
y,
FY (y) =

1,

y < 0;
0 6 y 6 1;
y > 1.

, Y [0, 1] (. . 32).
, ,
X = F 1 (Y )

(5.9)

F (x), Y
[0, 1] .

F (x). , , Y ,
[0, 1], (5.9).
, X
(. . 32)
F (x) = 1 ex ,

24

x > 0,

 . , ,
1
F 1 (y) = ln(1 y),

X
1
X = ln(1 Y ),

Y (0, 1) . #
5.5 X (.
. 33), ..
x2

1
pX (x) = e 2 ,
2

< x < +.

Y = X 2 . (5.8).
(x) = x2 . , (x) = x2
, , y < 0 (x) = y .
Y = Y (X) = X 2 , FY (y) = 0 y < 0. pY (y) = FY0 (y) = 0,
y < 0.

, y > 0 y = x2 : x = 1 (y) = y x = 2 (y) = y, (, 0) (x) = x2 , (0, +) . 1 (y), 2 (y)

(5.8),
2 1
1
1 2
1
1
1
1
ey/2 ,
pY (y) = e 2 ( y) + e 2 ( y) =
2 y
2 y
2y
2
2

25

y > 0.

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

6.1 ( ) MX
X xi c pi = P{X = xi }, :
X
MX =
xi pi .
i

, c X , ,

X
|xi |pi < +,
i=1

. . , , ; , X .

P
. pi (
pi = 1)
xi i- .
P
P
xi pi
xi pi X
X = iP
= i
=
xi pi ,
pi
1
i

MX X.
6.1 X .
1
pi = P{X = i} = , i = 1, 6,
6
6
X
1
MX =
i = 7/2 = 3,5.
6
i=1
26

 6.2 ( ) MX

+
Z
MX =
xp(x) dx.

+
Z
|x|p(x) dx < +,

. . , , .
,
, x p(x).
6.2 X , . . +
Z
1
|x| dx
p(x) =
.
= +, 2
(1 + x )
(1 + x2 )

1/(x) x +. X .

.
( ). Y =
(X) X.
X, x1 , . . . , xn , . . .
pn = P{X = xn }, n = 1, 2, . . .. Y = (X)
(xn ) pn = P{X = xn }, n = 1, 2, . . .,

X
MY = M(X) =
(xi )pi ,
(6.1)
i=1

|(xi )|pi < +.

(6.2)

i=1

X, p(x), Y = (X) , (6.1)

+
Z
MY = M(X) =
(x)p(x) dx ,

(6.3)

+
R

|(x)|p(x) dx < +.

.
,
- . ,
4, 4, , , .
, , ,
. .
6.3 DX X
X , . . DX = M(X MX)2 .

27

 (6.1)(6.3), Y (x) = (x MX)2 , :

X
DX =
(xi MX)2 pi
(6.4)
i

+
Z
DX =
(x MX)2 p(x) dx.

(6.5)

6.3 X .
MX = 3,5,
6
X
1 35
DX =
(i 3,5)2 = .
6
12
i=1
6.1 , .
DX ( o

) X= X MX.
.
( )
, p(x).
.
6.4 k- mk (k- ) X k- X:
X
mk = MX k =
xki pi ,
i

X ,
+
Z
mk = MX =
xk p(x) dx,
k

X .
k- k- .
o

6.5 k- mk (k- ) X k-
o

X= X MX:
+
Z
X
o
k
k
mk = M(X MX) =
(xi MX) pi mk = M(X MX) =
(x MX)k p(x) dx
o

X .
,
, .

6.6 , -, (0 < < 1) X

( X) Q ,
P{X < Q } 6

P{X > Q } 6 1 .

1/2- M X.

28

 X - Q
F (Q ) = ,
F (x) X. , X Q , X
.
p(x) X, , , -

ZQ
p(x) dx = .

6.4 - . Q

1 eQ = .

Q =

ln(1 )
.

M=

ln 2
.

6.5 X
p. , . 6.1,
0 < < q
q < < 1

Q = 0,
Q = 1,

q- 0 1. , , -, , , , .

. 6.1.

29

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

X
P

0
q

1
Cn1 pq n1

...

...

...

Cni pi q ni

...

pn

7.1.

P{X = i} = Pn (i) = Cni pi q ni , i = 0, n,

, , , 7.1, 0 < p, q < 1 p + q = 1.
. , Pn (i) > 0
n
X

Pn (i) =

i=0

n
X

Cni pi q ni = (p + q)n = 1.

i=0

7.1 X, ( n p):
MX =

n
X
i=0

iPn (i) =

n
X

iCni pi q ni =

i=0

n
X
i=0

n
X
i=1

np

n!
pi q ni =
i!(n i)!

n1
n1
X j
X
(n 1)!
pi1 q ni = np
Cn1 pj q n1j = np
Pn1 (j) = np.
(i 1)!(n i)!
j=0
j=0

, X n
p q = 1 p (c. 4).
7.2 X n . X
, 7.1 , 6.3 . .
X X = X1 + . . . + Xn , Xi i- .
:
DXi = (0 MXi )2 q + (1 MXi )2 p = (p)2 q + (1 p)2 p = p2 q + q 2 p = pq(p + q) = pq.
(. . 9.2) ,
. , Xi ,
DX = DX1 + . . . + DXn = npq.

X ,

P{X = i} = P (i; ) =

i
e ,
i!

30

i = 0, 1, . . . ,

, -, ,
7.2, > 0 .

:

P (i; ) =

X
i
i=0

i=0

i!

e = e

2
2
2! e

...

...

...

n
n! e

...

7.2.

X
i
i=0

i!

= e e = 1.

,
, , . , ,
, ; ,
; .
7.3 X .
MX =

X
X
X
i1
j
i
e =
e = e e = .
i e =
i!
(i

1)!
j!
i=1
j=0
i=0

7.4 X, .
3 . MX =
7.3. :
MX 2 =

X
i=0

i2

X
i
i1
e =
e =
i
i!
(i 1)!
i=1

j
j
j
X
X
X

= (MX + 1) = 2 + .
=
(j + 1) e =
j e +
e
j!
j!
j!
j=0
j=0
j=0

(. . 9.2),
DX = 2 + 2 = ,
, , X, , .

. X , , . X , X 0 1
2 ... n ...
0, 1, 2, . . . , n, . . .
{X = n}. , X = 0, P p qp q 2 p . . . q n p . . .
. P{X = 0} = p. , X = 1 ,
7.3.
,
. (. 4.3), qp, .. P{X = 1} = qp. X = 2, , , , ,
P{X = 2} = qqp. , P{X = i} = p q i ,
i = 0, 1, . . . , X , .
.

X
i=0

P{X = i} =

pq = p

i=0

X
i=0

qi =

p
= 1.
1q

7.5 X,
:

X
0
X
X
1
pq
q
pq
i
i1
i
MX =
ipq = pq
iq
= pq
q = pq
= 2 = .
=
2
1

q
(1

q)
p
p
q
i=0
i=0
i=0
,
DX =

31

q
.
p2


[a, b],
p(x) F (x)

( 1
x < a;

0,
,
a 6 x 6 b;
xa
b

a
p(x) =
,
F (x) =
,
a 6 x 6 b;

ba
0,
x < a x > b.
1,
x > b.
p(x)
F (x)
. 7.1.
(x1 , x2 ), [a, b], F (x2 ) F (x1 ) = (x2 x1 )/(b a), .. . , . 7.1.
[a, b].
7.6 [a, b] X. p(x) = 0 x < a x > b,
+
Z
Zb
MX =
x p(x) dx =

x=b
1
x2
b+a
x
=
dx =

.
ba
b a 2 x=a
2

, MX [a, b].
7.7 [a, b] X
x=b
Zb

b + a 2 1
b + a 3
1
(b a)2
(b a)3

DX =
x
dx = x
=
.
=

2
ba
2
3(b a) x=a 12(b a)
12
a

( ) ,
p(x) F (x)
(
(
0,
x < 0;
0,
x < 0;
p(x) =
,
F (x) =
,
x
x
e
,
x > 0,
1e
,
x > 0.
> 0 .


7.2.

. 7.2.

7.8 X. ,
+
+
Z
Z
1
MX =
x p(x) dx =
xex dx = ,

+
+
2
Z
Z
1
1
2
DX =
(x M X) p(x) dx =
x
ex dx = 2 .

32


( ) , () ,

1
m, (x) = e
2

(x m)2
2 2

( < m < +, > 0).

: m . X N (, 2 )
, X .
m, (x)
1
m, (x) =
2

Zx
e

(x m)2
2 2 dx

m . 7.3.
, m , .. x = m,
. 7.3.
. m = 0 = 1, (x),
(x).
Z

ex

/2

dx -

.
. , , , ,
m , (a, b).
2 (. 5.2)
X, m ,
(a, b)
Zb
P{a < X < b} =

Zb
m, (y) dy =

2
2
1
e(ym) /(2 ) dy.
2

x = (y m)/,
(bm)/
Z

P{a < X < b} =

(am)/

2
1
ex /2 dx =
2

(bm)/
Z

(x) dx.

(am)/

bm
P{a < X < b} =

am

(7.1)

7.9 X, c m :
+
+
Z
Z
2
2
x
e(xm) /(2 ) dx.
MX =
xm, (x) dx =
2

y = (x m)/,
+
Z

MX =

y + m y2 /2

e
dy =
2

+
Z

2
y
ey /2 dy + m
2

+
Z

2
1

ey /2 dy =
2
2

+
+
Z
Z
y 2 /2
ye
dy + m
(y) dy.

,
. , MX = m, . . m
X.
33

 7.10 X, m ,
+
+
Z
Z
(x m)2
(x m)2
2
2 2

e
DX =
(x m) m, (x) dx =
dx.
2

y = (x m)/,
+
Z

DX =

2
y2
ey /2 dy.
2

2
u = y/ 2, dv = yey /2 dy ,
+
Z

DX =

2
1
ey /2 dy = 2
2

+
Z
(y) dy = 2 .

,
.

34

8.1 X1 = X1 (), . . . , Xn = Xn (),
(, B, P), (n-)
, n- . X1 , X2 , . . . , Xn .
8.1
(X; Y ), X ,
Y .

(X; Y ; Z), X, Y , Z .
8.2 (X; Y ; Z; . . .). , , X , Y , Z ,
..
. #
C , , , .
, . ,
. n- . ,
{X1 < x1 }, . . . , {Xn < xn }
{X1 < x1 } . . . {Xn < xn }

{X1 < x1 , . . . , Xn < xn }.
8.2 ()
F (x1 , . . . , xn ) = FX1 ,...,Xn (x1 , . . . , xn )
(n-) (X1 ; . . . ; Xn ) , (x1 ; . . . ; xn ) Rn () {X1 <
x1 }, . . . , {Xn < xn }, ..
F (x1 , . . . , xn ) = FX1 ,...,Xn (x1 , . . . , xn ) = P{X1 < x1 , . . . , Xn < xn }.
F (x1 , . . . , xn ) n-
X1 , . . . , Xn .
(a1 ; a2 ), 8.2, , (X1 ; X2 ) (a1 ; a2 ).

35

 8.1 .
1. 0 6 F (x1 , x2 ) 6 1.
2. F (x1 , x2 ) x1 x2 .
3. F (, x2 ) = F (x1 , ) = 0.
4. F (+, +) = 1.
5. P{a1 6X1 < b1 , a2 6X2 < b2 } = F (b1 , b2 ) F (b1 , a2 ) F (a1 , b2 ) + F (a1 , a2 ).
6. F (x1 , x2 ) (x1 , x2 ) R2 x1
x2 .
7. FX1 ,X2 (x, +) = FX1 (x), FX1 ,X2 (+, x) = FX2 (x).
. 1 2 , (.
5.1).
{X1 < } {X2 < } , , , ,
. 8.2 3.
, {X1 < +} {X2 < +}
, , , , 4.
(X1 , X2 ) {a1 6 x1 < b1 , a2 6 x2 < b2 }
( . 8.1 ), {x1 < a1 , a2 6 x2 < b2 } (
. 8.1.
).
{x1 < a1 , x2 < b2 } {x1 <
a1 , x2 < a2 }, .. P{X1 < a1 , a2 6 X2 < b2 } = F (a1 , b2 ) F (a1 , a2 ). , P{X1 < b1 , a2 6 X2 <
b2 } = F (b1 , b2 ) F (b1 , a2 ). ,
{a1 6 x1 < b1 , a2 6 x2 < b2 } {x1 < b1 , a2 6 x2 < b2 }
{x1 < a1 , a2 6 x2 < b2 },
5.
6.
, {X2 < +} , {X1 < x1 } {X2 < +} = {X1 <
x1 }. {X1 < +} {X2 < x2 } = {X2 < x2 }. 7,
FX1 ,X2 (X1 ; X2 ) FX1 FX2 , (
, ) X1 X2 .

8.3 (X; Y ) ,
X Y .
,
(xi ; yj ) Y
(X; Y ) , X
X
y1
y2 . . . ym PX
Y ( x1 p11 p12 . . . p1m pX1
, X
x2 p21 p22 . . . p2m pX2
x1 , . . . , xn , Y y1 , . . . , ym , ... ... ... ... ...
...
(X; Y )
xn pn1 pn2 . . . pnm pXn
(xi , yj ), i = 1, n, j = 1, m.
PY pY 1 pY 2 . . . pY m
(. 8.1). 8.1.
y1 , . . . , yj , . . . , ym
Y , x1 , . . . , xi , . . . , xn X. yj xi pij = P{X = xi , Y = yj }
{X = xi } {Y = yj }.
PY PX .
PX xi pXi = pi1 + . . . + pim . pXi
, , X xi , .. pXi = P{X = xi }. ,
X.
, PY pY j = p1j + . . . + pnj , Y . 8.1,

36

 FX,Y (x, y). , pij i j, xi < x, yj < y, ..

X
F (x, y) =
pij .
i: xi <x
j: yj <y

8.3 (. 4.2)
p q = 1 p . (X1 ; X2 ),
Xi , i = 1, 2, i- . X1 X2 : 0 1.
, ,
q q.

X1
0
1
PX2

X2
0 1 PX1
q 2 qp q
pq p2
p
q p

8.2.

P{X1 = 0, X2 = 0} = q 2 ,
0 0 q 2 (. 8.2). , X1 = 1 X2 = 0,
, , , ,
P{X1 = 1, X2 = 0} = pq.
:
P{X1 = 1, X2 = 1} = p2 .

P{X1 = 0, X2 = 1} = qp,

, PX1 0
P{X1 = 0} = q 2 + pq = q(q + p) = q,
PX1 1
P{X1 = 1} = pq + p2 = p(p + q) = p.
X1 X2 :
F (x1 , x2 ) = P{X1 < x1 , X2 < x2 }.
x1 6 0 x2 6 0 , X2 () <
x2 , x1 x2 {X1 < x1 , X2 < x2 } , , F (x1 , x2 ) = 0 x1 6 0
x2 6 0.
, 0 < x1 6 1 0 < x2 6 1, {X1 < x1 , X2 < x2 } {X1 =
0, X2 = 0}, , . 8.2, q 2 , F (x1 , x2 ) = q 2 .
0 < x1 6 1, x2 > 1, {X1 < x1 , X2 < x2 } {X1 = 0, X2 = 0} {X1 = 0, X2 = 1}. F (x1 , x2 ) = q 2 + qp = q.
F (x1 , x2 ) = q 2 + qp = q x1 > 1 0 < x2 6 1.
, x1 > 1 x2 > 1, {X1 < x1 , X2 < x2 } , , ,
F (x1 , x2 ) = 1.

8.4 (X; Y )
(X; Y ), F (x1 , x2 ) =
P{X < x1 , Y < x2 } :
Zx1 Zx2
F (x1 , x2 ) =

Zx1
p(y1 , y2 ) dy1 dy2 =

Zx2
dy1

Zx2
p(y1 , y2 ) dy2 =

Zx1
dy2

p(y1 , y2 ) dy1 .

p(x1 , x2 ) = pX,Y (x1 , x2 ) () X Y , (X; Y ).

, , p(x1 , x2 ) ( ) .

37

 ( ) :
p(x1 , x2 ) =

2 F (x1 , x2 ) 2 F (x1 , x2 )
=
.
x1 x2
x2 x1

(8.1)

, (n-) X1 , . . . , Xn ,
(X1 ; . . . ; Xn ):
n F (x1 , . . . , xn )
.
p(x1 , . . . , xn ) =
x1 . . . xn
8.2 .
1. p(x1 , x2 ) > 0.
Zb1
Zb2
2. P{a1 < X < b1 , a2 < Y < b2 } = dx1 p(x1 , x2 ) dx2 .
+ Z
+
Z
3.
p(x1 , x2 ) dx1 dx2 = 1.

a1

a2

4. P{x1 < X < x1 + x1 , x2 < Y < x2 + x2 } p(x1 , x2 )x1 x2 .

5. P{X = x1 , Y = x2 ZZ
} = 0.
6. P{(X; Y ) D} =
+
Z

7. pX (x) =

p(x1 , x2 ) dx1 dx2 .

D

pX,Y (x, y) dy.

+
Z

8. pY (y) =

pX,Y (x, y) dx.

. 1 5 .
6 2.
7 8.
7 8.4 :
+
Zx Z

FX (x) = FX,Y (x, +) =

pX,Y (y1 , y2 ) dy1 dy2 ,

+ Zy
Z

FY (y) = FX,Y (+, y) =

pX,Y (y1 , y2 ) dy1 dy2 ,

, (5.2),
7 8 pX (x) pY (y)
X Y .
8.4 ,

A,
x21 + x22 6 R2 ;
p(x1 , x2 ) =
0,
x21 + x22 > R2 .
A 3 .
p(x1 , x2 ) = 0 x21 + x22 > R2 ,
+ Z
+
Z
p(x1 , x2 ) dx1 dx2 =

ZZ
A dx1 dx2 = AR2 = 1,

x21 +x22 6R2

38

, , A =

1
. ,
R2
p(x1 , x2 ) =

0,

x21 + x22 > R2 ;

1
,
R2

x21 + x22 6 R2 .

X1 :

R
+
0,
|x| > R;

Z
Z2 x2

pX1 (x) =
p(x, y) dy =
dy
=
2
2

R2
2 R x ,

|x| 6 R.

2
2
2
R x
R
pX2 (y).

8.5 X Y , FX,Y (x, y)
FX (x) FY (y):
FX,Y (x, y) = FX (x)FY (y).
.
8.5 , X Y {X < x}
{Y < y} . ,
{x1 6 X < x2 } {y1 6 Y < y2 }.
8.3 X Y , , x y pX,Y (x, y) = pX (x)pY (y).
. X Y . , 5.5, FX,Y (x, y) = FX (x)FY (y). (8.1) (5.2)

2 FX,Y (x, y)
dFX (x)
dFY (y)
pX,Y (x, y) =
=
= pX (x)pY (y).
xy
dx
dy
.
8.4 5.1.
x
y

ZZ
Z
Z
FX,Y (x, y) =
pX,Y (v, w) dvdw =
pX (v) dv
pY (w) dw = FX (x)FY (y).
<v<x
<w<y

.
8.4 X Y , (t) (t) , (X) (Y ) .
8.5 . (X1 ; X2 ),
(
1, x1 [0, 1] x2 [0, 1];
p(x1 , x2 ) =
0, x1 6 [0, 1] x2 6 [0, 1].
, pX1 (x) pX2 (x) X1
X2
(
1, x [0, 1];
pX1 (x) = pX2 (x) =
0, x 6 [0, 1].
, p(x1 , x2 ) x1 , x2 pX1 (x1 ) pX2 (x1 ). , X1
X2 .
. , X1 X2 8.4 .
39

 8.5 X Y
, xi yj
pi,j = P{X = xi , Y = yj } = P{X = xi }P{Y = yj } = pXi pYj .

8.6 (. 8.3)
P{X1 = 0, X2 = 0} = q 2 = P{X1 = 0}P{X2 = 0}, P{X1 = 0, X2 = 1} = qp = P{X1 = 0}P{X2 = 1},
P{X1 = 1, X2 = 0} = pq = P{X1 = 1}P{X2 = 0}, P{X1 = 1, X2 = 1} = p2 = P{X1 = 1}P{X2 = 1}.
, X1 X2 . ,
. ,
X1 , . . . , Xn , , . . . , n- . #
8.6 X1 , . . . , Xn , , ,
FX1 ,...,Xn (x1 , . . . , xn ) = FX1 (x1 ) . . . FXn (xn ).
8.1 8.3 8.5 .
, ,
.
8.7 3.5 : X1 , X2 X3 ,
0 1, X1 = 1, ,
1, X1 = 0 . X2
2, X3 3. , X1 , X2 X3
, .
,
1
P{Xi = 1} = P{Xi = 0} = , i = 1, 2, 3,
2

P{Xi = 1, Xj = 1} =

1
4

= P{Xi = 1}P{Xj = 1},

i 6= j,

.. Xi . , ,
P{X1 = 1, X2 = 1, X3 = 1} =

1
4

1
8

6= P{X1 = 1}P{X2 = 1}P{X3 = 1} = ,

.. Xi , i = 1, 2, 3, .

40

,
.
,
.
~ =
(, B, P) X
(X1 ; X2 ) y = (x1 , x2 ) x1 x2 .
9.1
Y = (X1 , X2 ) = (X1 (), X2 ())
() ( ) (X1 ; X2 ).
, Y = (X1 , X2 ) (X1 ; X2 ) , (x1i , x2j )
pi j = P{X1 = x1i , X2 = x2j },
x1i x2j X1 X2 .
Y = (X1 , X2 ), , -, (x1i , x2j ),
Y , -, (x1i , x2j )
Y , .
9.1 Y ,
, Xi i- , i = 1,2.
Y = X1 + X2 (x1 , x2 ) = x1 + x2 .
Xi 0 1, Y
:
(0, 0) = 0 + 0 = 0,

(1, 0) = 1 + 0 = 1,

(0, 1) = 0 + 1 = 1,

(1, 1) = 1 + 1 = 2.

q 2 , pq, qp p2 Y (0, 0) = 0 (1, 0) = 1 (0, 1) = 1 (1, 1) = 2

, p
PY
q2
pq
qp
p2
, q = 1 p (. 9.1, .
9.1.
8.3 . 8.2).
,
Y
0
1
2
1 Y , . PY q 2 2pq p2
Y , . 9.2.
9.2.
,
Y .
#
, (X1 ; X2 ) pX1 ,X2 (x1 , x2 ), Y = (X1 , X2 )

ZZ
FY (y) =

pX1 ,X2 (x1 , x2 ) dx1 dx2 ,

(x1 ,x2 )<y

41

(9.1)

 x1 x2 ,
(x1 , x2 ) < y.
(9.1). , y = (x1 , x2 ),
(. . 9.1) y
Y = (X1 , X2 ). ,
(0; 0; y) Oy. L y = (x1 , x2 ); L0
x1 Ox2 ; D(y) x1 Ox2 ,
(X1 ; X2 )
{Y < y}. Y = (X1 , X2 ),

. 9.1.

D(y) = {(x1 ; x2 ) : (x1 , x2 ) < y} = {(x1 , x2 ) < y}.

{Y < y} {(X1 ; X2 ) D(y)} , 6
ZZ
P{Y < y} = P{(X1 ; X2 ) D(y)} =
pX1 ,X2 (x1 , x2 ) dx1 dx2 .
(x1 ,x2 )<y

P{Y < y} = FY (y), (9.1).

9.2 (X1 ; X2 ) ,
(.
p
. 55).
p
Y = X12 + X22 . (x1 , x2 ) = x21 + x22 .
,

y 6 0;

ZZ0,

1 1 (x21 +x22 )
e 2
dx1 dx2 , y > 0.
FY (y) =
2

2 2
x1 +x2 <y

,
Zy
FY (y) =

Z2
d

1 2 /2
e
d =
2

Zy
2

/2

d = 1 ey

/2

y > 0.

MY Y = (X1 , X2 ) (X1 ; X2 ) ,
X
(xi , yj )pij ,
MY = M(X1 , X2 ) =
i, j

pij = P{X1 = xi , X2 = yj }, Y = (X1 , X2 ) (X1 , X2 )

+ Z
+
Z
MY = M(X1 , X2 ) =
(x, y)pX1 ,X2 (x, y) dxdy,

(9.2)

pX1 ,X2 (x, y) X1 X2 .

.
9.1 .
1. X C (..,
, ), MC = C.
2. M(aX + b) = aMX + b, a, b .
3. M(X1 + X2 ) = MX1 + MX2 .
4. M(X1 X2 ) = MX1 MX2 X1 X2 .
42

. X C
, MC = C 1 = C, 1.
2 4 (
), 3
( ).
Y = aX + b (Y = (x) = ax + b):
+
+
+
Z
Z
Z
MY = M(aX + b) =
(ax + b)pX (x) dx = a
xpX (x) dx + b
pX (x) dx = aMX + b 1,

.. 2.
Y = X1 + X2 (Y = (x1 , x2 ) = x1 + x2 ).
MY = M(X1 + X2 ) =

X
X
X
X X
X X
(xi + yj )pij =
xi pij +
yj pij =
xi
pij +
yj
pij =
i,j

i,j

i,j

xi pX1 i +

yj pX2 j = MX1 + MX2 ,

, , 3 .
, X1 X2 ,
Y = X1 X2 ( 9.2 8.3) :
+ Z
+
+ Z
+
Z
Z
MY = M(X1 X2 ) =
x1 x2 pX1 ,X2 (x1 , x2 ) dx1 dx2 =
x1 x2 pX1 (x1 )pX2 (x2 ) dx1 dx2 =

+
Z
x1 pX1 (x1 ) dx1
x2 pX2 (x2 ) dx2 = MX1 MX2 .

+
Z

9.1 4 ( ) :
M(X1 X2 . . . Xn ) = MX1 MX2 . . . MXn .
9.3 X n X = X1 + . . . +
Xn , Xi i- . , MXi = 0 q + 1 p = p. ,
3 MX = MX1 + . . . + MXn = np, 7.1,
. #
9.2 m
~ = (MX1 ; . . . ; MXn ) ~
( ) X.

9.2 .
1. X C ,
DC = 0.
2. D(aX + b) = a2 DX.
3. DX = MX 2 (MX)2 .
4. D(X + Y ) = DX + DY X Y .
. X
C, 1 (MX = C) DX = M(X C)2 =
(C C)2 1, 1.
Y = aX + b. 2
,

2
DY = M(Y MY )2 = M aX + b M(aX + b) = M(aX + b aMX b)2 = M a(X MX) =

= M a2 (X MX)2 = a2 M(X MX)2 .

2.

43

, 2 3 ,

DX = M(X MX)2 = M X 2 2XMX + (MX)2 = MX 2 2(MX)2 + (MX)2 = MX 2 (MX)2 ,

.. 3.
, X Y . ,
X = X MX Y = Y MY , 24 ,

2
D(X + Y ) = M X + Y M(X + Y ) = M (X MX) + (Y MY ) = M(X MX)2 +
o
o

+ 2M (X MX)(Y MY ) + M(Y MY )2 = DX + 2(MX MY ) + DY = DX + DY,

o

MX= 0 MY = 0. , 4.
9.2 , , 1, , : X ,
X 1 .
9.3 , 4 ,
n
D(X1 + . . . + Xn ) = DX1 + . . . + DXn .
, DX X. ,
,
X. = DX,
X.

, X1 X2
, ..
pX1 ,X2 (x1 , x2 ) = pX1 (x1 )pX2 (x2 )
( ),
Y :
Y = X1 + X2 .
Y = (X1 , X2 ),
(x1 , x2 ) = x1 + x2 ,
, (9.1), :
ZZ
FY (y) =
x1 +x2 <y

ZZ
pX1 ,X2 (x1 , x2 )dx1 dx2 =

pX1 (x1 )pX2 (x2 )dx1 dx2 =

x1 +x2 <y
yx
+
+
Z
Z 1
Z
=
pX1 (x1 )dx1
pX2 (x2 )dx2 =
FX2 (y x1 )pX1 (x1 ) dx1 .

y , ( x1 = x) pY (y) X1 X2 :
+
Z
pY (y) =
pX2 (y x)pX1 (x) dx.

(9.3)

, pY (y) Y () pX1 (x) pX2 (x) X1 X2

() . (9.3)
pY = pX2 pX1 . (9.3) X1 X2 .
44

 9.4 X1 X2 ,
m1 m2 1 2 .
Y = X1 + X2 . ,
+
+
Z
Z
pY (y) =
m1 ,1 (y x)m2 ,2 (x) dx =

(y x m1 )2
1
(x m2 )2
exp
exp
dx =
212
222
2
2 2

(y m1 m2 )2
1
12 + 22
12 m2 22 m1 + 22 y 2
exp

=
exp

dx.
21 2
2(12 + 22 )
212 22
12 + 22

12 +22
12 m2 22 m1 +22 y
x
,
1 2
2 + 2

z =

(y m1 m2 )2
(y m1 m2 )2
1
1 z2 /2
p
e
exp
exp
dz = p
.
2(12 + 22 )
2(12 + 22 )
2
2(12 + 22 )
2(12 + 22 )

,
p Y m1 + m2 12 + 22 , ..
.

45

 10

(X1 ; X2 ) .
10.1 ( ) cov(X1 ; X2 ) o

X1 X2 X 1 =
o
X1 MX1 X 2 = X2 MX2 :
o
o

cov(X1 ; X2 ) = M(X 1 X 2 ) = M (X1 MX1 )(X2 MX2 ) .

, .
X1 X2
X
cov(X1 ; X2 ) =
(xi MX1 )(yj MX2 )pij ,
i, j

X1 X2
+ Z
+
Z
cov(X1 ; X2 ) =
(x1 MX1 )(x2 MX2 )pX1 ,X2 (x1 , x2 ) dx1 dx2 .

,
:
D(X + Y ) = DX + DY + 2cov(X, Y )
( 5 ), , X Y . ,

2
D(X + Y ) = M (X + Y ) M(X + Y ) =

= M(X MX)2 + 2M (X MX)(Y MY ) + M(Y MY )2 =

= DX + DY + 2cov(X, Y ).
5 :
X
cov(Xi , Xj ).
D(X1 + . . . + Xn ) = DX1 + . . . + DXn + 2
16i<j6n

.
10.1
1. cov(X, X) = DX.
2. cov(X1 , X2 ) = 0 X1 X2
3.
Yi = ai Xi + bi , i = 1, 2,
cov(Y1 , Y2 ) = a1 a2 cov(X1 , X2 ).
4. DX1 DX2 6 cov(X1 , X2 ) 6 DX1 DX2 ,
p
|cov(X1 , X2 )| = DX1 DX2

46

(10.1)

 , X1 X2 , ..
a b,
X2 = aX1 b.

(10.2)

5. cov(X1 , X2 ) = M(X1 X2 ) MX1 MX2 .

. 1 cov(X, X) = M(X MX)2 .
X1 X2 ( ),

cov(X1 , X2 ) = M (X1 MX1 )(X2 MX2 ) = M(X1 MX1 )M(X2 MX2 ),

2.
Y1 = a1 X1 + b1 , Y2 = a2 X2 + b2 .

cov(Y1 , Y2 ) = M (Y1 MY1 )(Y2 MY2 ) =

= M (a1 X1 + b1 a1 MX1 b1 )(a2 X2 + b2 a2 MX2 b2 ) =

= M a1 a2 (X1 MX1 )(X2 MX2 ) .

3.
Yx = xX1 X2 , x .
3
DYx = D(xX1 ) + 2cov(xX1 , X2 ) + D(X2 ) = x2 DX1 2xcov(X1 , X2 ) + DX2 .
DYx , x, .
, ,

2
D = 2cov(X1 , X2 ) 4DX1 DX2

(10.3)

DYx , .. |cov(X1 , X2 )| DX1 DX2 .

, (10.1). , (10.3) ,
DYx = 0 , a. 9.2
Ya = aX1 X2 (, b), , ,
X2 = aX1 b, .. (10.1) (10.2).
, (10.2). Ya = aX1 X2 = b 1
DYa = 0, , DYx . ..
, ,
(10.3) , (10.1). , (10.2) (10.1).
4 .
, , , , 5,
.
10.1 X2 = aX1 b,
3 1 cov(X1 , X2 ) = acov(X1 , X1 ) = aDX1 . a (10.1) :
p
cov(X1 , X2 ) = DX1 DX2
a > 0;
p
a < 0.
cov(X1 , X2 ) = DX1 DX2
10.2
D(a1 X1 + a2 X2 + b) = a21 DX1 + a22 DX2 + 2a1 a2 cov(X1 , X2 ).
.
10.3 2,
. , , .
, ,
.

47

 10.1 X (1, 1) ,
Y X Y = X 2 .
, cov(X, Y ) = 0, X Y .
, MX = 0 5 ,
+
Z
Z1
1
3
x p(x) dx =
cov(X, Y ) = M(X Y ) MX MY = MX =
x3 dx = 0.
2
3

10.2 X Y ,
, .. cov(X, Y ) = 0.
, c. , ,
.
~ = (X1 ; . . . ; Xn ).
n- X
10.3 ( ) ~ = (ij ) = (cov(Xi , Xj )),
X
Xi Xj .
10.2 (X; Y ), (. ??).
+ Z
+
Z

cov(X, Y ) =

(xm1 )(ym2 )
(xm1 )2
2(xm1 )(ym2 )
(xm2 )2
p
exp

+
dxdy.
212 (12 )
21 2 (12 )
222 (12 )
21 2 12

u = (x m1 )/1 ,
+ Z
+
Z

cov(X, Y ) = 1 2

v = (y m2 )/2 ,

uv
p
2 1 2

n
exp

1
(u2 2uv + v 2 )
2(1 2 )
+
Z

= 1 2

u u2 /2
e
2

+
Z

du dv =

v
exp
2(1 2 )

(v u)2

2(1 2 )

dv du.

u.
+
Z

cov(X, Y ) = 1 2

12 ,

2
u2
eu /2 du = 1 2 .
2

22 ,

(
DY =
DX =
, ). #
, . , .
.
10.4 X Y
= (X, Y ), (, DX > 0 DY > 0)
cov(X, Y )
=
.
DX DY
10.2 .
1. (X, X) = 1.
2. X Y ( DX > 0 DY > 0),
(X, Y ) = 0.
3. (a1 X1 + b1 , a2 X2 + b2 ) = (X1 , X2 ). ,
a1 a2 , .
4. 1 6 (X, Y ) 6 1.
5. |(X, Y )| = 1 , X Y
c.
48

. , .
. > 0
X Y , < 0 . , ,
. , ()
.
~ = (X1 ; . . . ; Xn )
X
.
10.5 ( ) ~ P = (ij ) = ((Xi , Xj )), X
Xi Xj .

49

 11

, 3. , P(A|B)
, ,
A, , B .
X Y , , X ,
Y .
. .

, , .
(X; Y )
, X Y ,
.. X Y xi , i = 1, n, yj , j = 1, m, . ,
, (X; Y )

pij = P{X = xi , Y = yj }
i j. , , pij , (. 8.1)

pXi = P{X = xi } =

m
X

pij ,

pY j = P{Y = yj } =

j=1

n
X

pij .

i=1

11.1 (X; Y ) ij , i = 1, n, j = 1, m, , X xi
Y = yj , {X = xi } {Y = yj }, ..
ij = P{X = xi |Y = yj } =

P{X = xi , Y = yj }
pij
=
.
P{Y = yj }
pY j

(11.1)

j, j = 1, m, ij , i = 1, n, ,
X xi , ,
Y yj . , ij , i = 1, n,
X Y = yj .

ij
, Y yj X = xi :

ij
= P{Y = yj |X = xi } =

pij
P{X = xi , Y = yj }
=
.
P{X = xi }
pXi

50

 11.1 X1
(. 8.3) ,
X2 = j, j = 0, 1, . 11.1. , ,
, 0 1
p q. ,
.

X2

X1

0 1 PX1
0 q q
q
1 p p p
PX2 q p
11.1.

(.. X Y )
X Y = y
FX (x|Y = y) =

P{X < x, Y = y}
.
P{Y = y}

(11.2)

(, Y {Y =
y} , .. P{Y = y} = 0). ,
{Y = y} {y 6 Y < y + } .
, (X; Y ) p(x, y), (c. 8.3),
+
Z
pX (x) =
p(x, y) dy

+
Z
pY (y) =
p(x, y) dx,

X Y , .
{X < x} {y 6 Y < y + y}:
y+y
R

P{X < x, y 6 Y < y + y} F (x, y + y) F (x, y)

P{X < x|y 6 Y < y + y} =
=
=
P{y 6 Y < y + y}
FY (y + y) FY (y)

Rx

dv

p(u, v) du

y+y
R

pY (v) dv

Zx

dv
y

Zx
p(u, v) du = y

p(u, v) du -

. , ,
y+y
Z

Rx

y+y
Z

p(u, )du,

pY (v)dv = pY ()y

, ,

Rx
P{X < x|y 6 Y < y + y} =

p(u, ) du

pY ()

, y y + y.
y , FX (x|Y = y):
Rx
FX (x|Y = y) = lim P{X < x|y 6 Y < y + y} =

p(u, y) du

pY (y)

y0

1
=
pY (y)

Zx
p(u, y) du.

(11.3)

(X; Y )
FX (x|Y = y) x, .. X Y = y:
pX (x|y) =

p(x, y)
.
pY (y)

(11.4)

FY (y|X = x)
pY (y|X = x) Y X = x:
1
FY (y|X = x) =
pX (x)
51

Zy
p(x, v) dv,

(11.5)

pY (y|x) =

p(x, y)
.
pX (x)

(11.6)

pX (x|Y = y) pY (y|X = x) pX (x|y) pY (y|x).

, (X; Y )
.
11.2 X, (X; Y ), ,
y, .. Y = y, pX (x|y), (11.4). (. (11.6)
pY (y|x) Y X = x.
( ),
( ) .
11.2 X1 X2
, R (.
8.4). (X1 ; X2 )
(
0,
x21 + x22 > R2 ;
p(x1 , x2 ) =
1
, x21 + x22 6 R2 .
2
R

X1 ,
X2 x2 . pX2 (x2 ) X2

|x2 | > R;
q 0,
2
pX2 (x2 ) =
2
2 R x2 , |x | 6 R,
2
2
R

|x2 | 6 R

p(x1 , x2 )
pX1 (x1 |x2 ) =
=
pX2 (x2 )

0,

|x1 | >

|x1 | 6

q
,
R2 x22

p
p

R2 x22 ;
R2 x22 .

X1 X2 = x2
p
p
,

R2 x22 , R2 x22 . |x2 | > R, pX1 (x1 |x2 ) ; , X2

, R. #
.
X Y . X Y , ( ,
) X Y = y ( , ) X.
, X Y ,

ij = P{X = xi |Y = yj }

pXi = P{X = xi }.
11.3 (. 11.1) X1 X2 , . 11.1
. 8.5.
11.4 X1 ( , . 11.2) X2 = x2 (
) , X1 .
X1 X2 .

52


(X; Y ).
X , Y y.
() , , ,
.
(X; Y ). X x1 , . . . , xn , Y y1 , . . . , ym
ij = P{X = xi |Y = yj } =

P{X = xi , Y = yj }
pij
=
,
P{Y = yj }
pY j

i = 1, n,

j = 1, m,

X xi Y = yj .
11.3 (X; Y ) M(X | Y =
yj ) X
Y = yj ,
n
X
M(X|Y = yj ) =
xi ij .
i=1

M(X|yj ) M(X|Y = yj ).
() MX X M(X|yj ) Y = yj
X, , Y yj .
M(Y |xi ) = M(Y |X = xi )
Y X = xi .
11.3, M(X|yj )
yj Y , .
, .
11.4 M(X|Y ) X Y M(X|Y ) =
g(Y ) Y , g(y)
y1 , . . . , ym Y , yj y g(yj ) = M(X|yj ).
, M(X|Y )
, .. .
.
11.5 X1 X2
p. M(X1 |X2 ). . 11.1, :
M(X1 |0) = 0 q + 1 p = p,

M(X1 |1) = 0 q + 1 p = p.

, M(X1 |0) M(X1 |1)

0 1 X2 p. M(X1 |X2 ) p.
11.5 (X; Y )
M(X|y) = M(X|Y = y) X Y = y
+
Z
M(X|y) =
xpX (x|y) dx,

p(x, y)
pY (y)
X Y = y.
pX (x|y) =

11.6 (X; Y ) M(X|Y ) X

Y g(Y ) = M(X|Y ) Y ,
g(y) = M(X|y) Y = y.
53

 , ,
, ( 1, ).
, ,
X Y g(y) = M(X|y).
, () , .
.
X ,
X Y
, ,
X Y = y.
11.7 D(X|Y ) X ( ) Y ,

2
D(X|Y ) = M X M(X|Y ) |Y .
,
.
(X; Y ) D(X|yj ) X Y = yj
n
X

2
D(X|yj ) = M [XM(X|yj )]2 Y =
xi M(X|yj ) ij ,
i=1

(X; Y ) D(X|y)
X Y = y

D(X|y) = M [XM(X|y)]2 y =

+
Z

2
xM(X|y) pX (x|y) dx.

X ,
, , Y . D(X|Y ) Y ,
Y .

54

 12

7.
.
~ = (X1 ; X2 ),
X
~
X n > 2.
~ = (X1 ; X2 ) ,
X1 X2 X
, ..

1
(x m1 )2
(x m2 )2
1

pX1 (x) = m1 ,1 (x) =

exp

p
(x)
=

(x)
=
exp

X2
m2 ,2
212
222
21
22
, mi i > 0, i = 1, 2,
X1 X2 .
X1 X2 , , 8.3,
pX1 ,X2 (x1 , x2 ) = pX1 (x1 )pX2 (x2 )

1
(x1 m1 )2 (x2 m2 )2
pX1 ,X2 (x1 , x2 ) =

.
exp
212
222
( 2)2 1 2
~ = (X1 ; X2 ) () X
,
1
1
p
pX1 ,X2 (x1 , x2 ) =
e 2 Q(x1 m1 , x2 m2 ) ,
2
2
( 2) 1 2 1

(12.1)

Q(y1 , y2 ) =

1
1 2

y12 2y1 y2 y22

+ 2
12
1 2
2

(12.2)

yi = xi mi , i = 1, 2, (.. Q(y1 , y2 ) > 0

(y1 ; y2 ) R, (y1 ; y2 ) 6= (0; 0)).
: m1 , m2 , 1 , 2 , .
, m1 = MX1 , m2 = MX2 , 12 = DX1 , 22 = DX2 ,
X1 X2 .
n > 2 ~ = (X1 ; X2 ):
( ) X

11 12
=
,
21 22
ii = i2 , i = 1, 2, 12 = 21 = 1 2 .
e , ..
,
e = 1

~y = (y1 , y2 ),
55

 (12.2)
e ~y T ,
Q(~y ) = ~y

(12.3)

T . , ,
1

2
1
1
e= 1

2
1

2
1 2

e (12.3), (12.2).
,
, ,
p
p
1 2 1 2 = det ,
det , (12.1)
1
e xm)
12 (~
xm)
~ (~
~ T
pX~ (~x) =
.
1 e
( 2)2 (det ) 2

(12.4)

() ~ = (X1 ; . . . ; Xn ) n > 2.
X
~ = (X1 ; . . . ; Xn ) ,
12.1 X
m
~ = (m1 ; . . . ; mn ) = (i j ), i, j = 1, n,
1
e xm)
12 (~
xm)
~ (~
~ T
pX~ (~x) =
,
1 e
n
2
( 2) (det )
e , .

e = 1 ) I,
( ,
m
~ = (0; . . . ; 0),
2
2
1
1
pX1 ,...,Xn (x1 , . . . , xn ) =
e 2 (x1 +...+xn ) .
n
( 2)

(n-) .
.
. (X1 , X2 )
.
pX1 ,X2 (x1 , x2 ) .
pX1 ,X2 (x1 , x2 ) = a , (12.1)
Q(x1 m1 , x2 m2 ) = b,

(12.5)

1
2

b = 2 ln{2a(det ) }, Q(x1 m1 , x2 m2 ) (12.2).

(. . 12.1)
( ,
b). O0 x1 O0 x2 O0 (m1 ; m2 ),

e , ~ei , i = 1, 2,
.
e e~i
e = i e~i i
e
, ..

. 12.1.

e I) = 0 ,
det(

2 12 22 (1 2 ) (12 + 22 ) + 1 = 0.

i , i = 1, 2, Ox1
tg 2 =

21 2
.
12 22

56

(12.6)


.
2
(12.5) , ( ), O0 (m1 ; m2 )
.
(12.6), , , = 0, 1 6= 2
, 1 = 2 =
,
O0 .
() , ,
.. , , (X10 ; X20 )

: 1 2

m0 = (0; 0) 0 =

1
1
102 0
, 10 = , 20 = .
0 202
1
2

,
10 20 ,
, ..
.
n > 2 pX~ (~x) = a

1
e x m)
(~x m)
~ (~
~ T = b, b = 2 ln{( 2)n a(det ) 2 }
n- , , -
.
~ n-
n- X
0
0
. x1 , . . . , xn ,
(X10 , . . . , Xn0 ) n-
, m
~ 0 0 ,
02
e
i = 1/i , i , i = 1, n,
0 0
. yi = i xi (.
), , y1 , . . . , yn
.
, , () ~ m
X
~ ( , , )
, .
.
~ n- 1. X,
m
~ = (m1 ; . . . ; mn ) = ij , mi i .
. n = 2 ( ).
pX1 (x1 ), pX1 ,X2 (x1 , x2 ) (12.1)
(12.2). 7 ,
+
Z

pX1 (x1 ) =

21 2

e 1 , x2 ) =
Q(x

1
2(1 2 )

1
p

1 2

eQ(x1 , x2 ) dx2 ,

x1 m1 2
x m1
x2 m2
x m2 2
2 1
+ 2
1
1
2
2

1)
(x1m
1
p
,
1 2

x2 m2
2

y=

+
Z

pX1 (x1 ) =

1 y2
e
21

(x1 m1 )2
2
21

+
Z

2
ey /2 dy = 2,

57

dy.


pX1 (x1 ) =

2
2
1
e(x1 m1 ) /21 ,
21

.
,

1
pX2 (x2 ) =
e
22

(x2 m2 )2
222
.

~
2. X,
(), , X1 , . . . , Xn
.
e = 1
. ,

2
1
0
...
0

22 . . .
0
e = 0

|| = 12 . . . n2 ,

. . . . . . . . . . . . . . . . . . . . ,
0
0
. . . n2
, , (12.1) (n-)
"

1
e
pX1 ,...,Xn (x1 , . . . , xn ) =
n
( 2) 1 . . . n

(x1 m1 )2
(xn mn )2
+...+
2
2
21
2n

= pX1 (x1 ) . . . pXn (xn ),

.. X1 , . . . , Xn (. 8.1).
, i j = 0 i j , ,
i j = 0, , Xi Xj .
, ,
, ( 8.3) . ,
.
~ = (X1 ; . . . ; Xn )
3. X
~ 0 = (X1 ; . . . ; Xn1 )
m
~ = (m1 ; . . . ; mn ) , X
0
m
~ = (m1 ; . . . ; mn1 ) 0 ,
.
. , 1,
.
3 ,
~ = (X1 ; . . . ; Xn ), ,
n- X
. , (X1 , X
2 )

11 12
0
(m1 , m2 ) =
.
21 22
12.1 (X; Y ) (m1 ; m2 )

12
1 2
=
(1 , 2 > 0, 1 < < 1).
1 2
22
X Y = y.
(. (12.1)(12.2)),
X Y

1
1
(x m1 )2
2(x m1 )(y m2 )
(y m2 )2
p
pX,Y (x, y) =
exp

+
,
2(1 2 )
12
1 2
22
21 2 1 2
Y
pY (y) =

2
2
1
e(ym2 ) /(22 ) .
2 2

,
pX (x|y) =

h
i

pX,Y (x, y)
1
1
1 (y m2 ) 2
= p
exp 2
x

m
+
.
1
21 (1 2 )
2
pY (y)
1 2(1 2 )
58

 , X Y = y ( g(y))
g(y) = m1 +

1
(y m2 )
2

(12.7)

( X|y )
X|y = 1

p
1 2 .

(12.8)

Y X = x
( h(x))
h(x) = m2 +

2
(x m1 )
1

(12.9)

( Y |x )
Y |x = 2

1 2 .

(12.10)

12.2 , X1 X2 ( ),
, .
, ( ) ( )

m
~ = (172, 74)

45 28
=
.
28 40
, x2 .
( )

0,66 45(x2 74)

g(x2 ) = 172 +
120 + 0,70x2
40

X1 |x2 =

45

,
pX1 (x1 |x2 ) =

1 0,662 5,0.

2
1
e(x1 1200,7x2 ) /50 .
50

, 70 169 , 75 173
..
, g(x2 ), x2 ,
X1 |x2 , .. x2 .
. 12.2. ,
. x1 = g(x2 ) . pX1 (x1 |x2 ) ,
x2 , .
. 12.2.
, pX2 (x2 |x1 ) X2 x1
h(x1 ) 0,62x1 33
X2 |x1 4,8, ..
pX2 (x2 |x1 ) =

2
1
e(x2 +330,62x1 ) /46 .
46

. 12.3.

59

. 12.3.

 13

,
, . ,
,
,
(. 2) .
,
, ,
. ,
.
. , , , , ,
.
,
. , , , .
13.1 X1 , X2 , . . . , Xn , . . .
> 0
lim P{|Xn X| < } = 1,
n

X .
X
P

Xn X.
n

13.2 X, X1 , X2 , . . . , Xn , . . .
P{ lim Xn = X} = 1,
n

X 1
..
Xn X.
n

.
, . , ,
.
13.1 X,
MX, > 0
P{X > } 6
.

60

MX
,

. X p(x) X ,
+
Z
MX =
xp(x) dx.
0

, .
Z
MX =

+
+
Z
Z
xp(x) dx +
xp(x) dx >
xp(x) dx.

x ,
+
+
Z
Z
xp(x) dx >
p(x) dx.

, (
, 13.1)
X > , , , MX > P{X > }, . ,
.
,
, > MX;
.

. 13.1.

13.1 X , , MX = 1 .
, P{X > 5} ,
, 5 .

P{X > 5} 6

MX
= 0,2.
5

, 0,2, .. , , 5 . #
X, DX = 2 . ,
X MX.
P{|X MX| > }
X MX , . 2 .
13.2 X, DX = 2 , > 0

P{|X MX| > } 6

2
.
2

. . Y = (X MX)2 ,
2 ,
P{|X MX| > } = P{(X MX)2 > 2 } = P{Y > 2 } 6

DX
2
MY
= 2 = 2,
2

.
. 13.2.
> .

. 13.2.

61


13.2 , = DX = 1.
x0 ,
x0 P = 0,1.
.
P 6 P{X > x0 } = P{X MX > x0 MX} 6 P{|X MX| > x0 MX} 6

2
.
(x0 MX)2

q
q
2
2
1
, (x0 MX)2 6 P x0 6 MX + P . , x0 6 1 + 0,1

4,16. , 4,16 0,1.

13.1, , .
.
X1 , X2 , . . . , Xn , . . . ,
mi = MXi .
13.3 X1 , X2 , . . . , Xn , . . .
( ), > 0
(
)
n
n
1 X
1 X

P
Xi
mi > 0,
n
n i=1
n i=1
..

1X
1X
P
Xi
mi 0.
n
n i=1
n i=1

,
:
.
, X1 , X2 , . . . , Xn , . . .
, X1 m1 , X2 m2 , . . . , Xn
mn n .
13.3 X1 , X2 , . . . , Xn , . . . , MXi = mi DXi = i2 , i2 (..
i2 6 C < +), X1 , X2 , . . . , Xn , . . . .
, X1 , X2 , . . . , Xn , . . .
.
. .
,
n
!
n
!
n
n
1X
1X
1X
1 X 2 Cn C
M
Xi =
mi ,
D
Xi = 2
6 2 = .
n i=1
n i=1
n i=1
n i=1 i
n
n
Yn =
> 0

1
n

n
P
i=1

Xi ,

( n
)
n
1 X
1 X
C

P
Xi
mi > 6 2 0.
n
n i=1
n n
i=1

, , X1 , X2 , . . . , Xn , . . .
.
13.1 Xi , i = 1, 2, . . . , 13.3
( mi = m i2 = 2 ),
X1 , X2 , . . . , Xn , . . . :
n

1X
P
Xi m.
n i=1 n
. .
62

 13.4 X1 , X2 , . . . , Xn , . . . MXi = m M|Xi | < .

n

1X
..
Xi m.
n i=1 n
.
13.5 n Yn
n .
Yn
n

rn =

c p
P

rn p.
n

. Xi i- . n
P
Xi , MXi = p DXi = pq. ,
n rn = n1
i=1

13.1, .
13.5 ,
. 13.5 ,
.
Xn 5n
0
5n
13.3 X1 , X2 , . . . , Xn , . . .
1
1
1
, P
1 2
2n2
n
2n2
Xn . 13.1. ,

13.1.
. DXn .

1
1
1
+
0

+ 5n 2 = 0,
2n2
n2
2n

1
1
1
DXn = MXn2 (MXn )2 = MXn2 = (5n)2 2 + 02 1 2 + (5n)2 2 = 25.
2n
n
2n
, DXn , X1 , X2 , . . . , Xn , . . . .
MXn = (5n)

X1 , X2 , . . . , Xn , . . . , MXn = m. , DXn = 2 . ()
:
n

1X
1
P
(Xi MXi ) = (Sn nm) 0,
n
n n=1
n

Sn =

n
X

Xi

i=1

n , ( ),
1 ( ).
: Xn , , ,
Sn nm? , .
13.6 ( ) X1 , X2 , . . . , Xn , . . . , MXn = m, DXn = 2 .

Sn nm

P
< x (x),
n
n 2
(x) .
63

 , . ,
,
. ,
.
.
13.7 ( ) Sn
n p
q = 1 p. n (Sn

np)/ npq , ..

Sn np
P
< x (x).
n
npq
. Xi i- . MXi = p, DXi = pq. Sn Sn = X1 + . . . + Xn ,
.
13.4 v n v1 , . . . , vn , i- Xi (.. vi = v + Xi ),

MXi = 0 ( ) DXi = 2 .
,
v =

v1 + . . . + vn
n

v .
r
r
v1 + . . . + vn nv
n
n
v1 + . . . + vn nv

P{|v v| < } = P{ <

< } = P
<
<

.
n
2
2
n 2
, n , ,

v1 + . . . + vn nv

n 2
. ,
rn
rn
rn
P{|v v| < }

=
2
.
0
2
2
2

64

 14

14.1 X X X.
() X X.
(.. ) () , , ( ).
,
. , Xi , i = 1, 2, . . . , i- ,
X.
( )
.
14.2 X1 , . . . , Xn , , X, ~ n = (X1 ; . . . ; Xn ) ( X1 , . . . ,
X X
Xn ). n , Xi
.
. , F (x) ( p(x))
( ) X, , X~n F (x) ( p(x)),
X X. X
MX = , DX = 2 , , X~n N (, 2 ).
14.3 x~n = (x1 ; . . . ; xn ) X~n X ( X~n )
n , xi , i = 1, n, x~n .
x~n n x1 , . . . , xn , n X.
,
.
Xn Rn X~n . (X~n ) X~n .

. (x1 ; . . . ; xn ) n X.
, :
x(1) 6 x(2) 6 . . . 6 x(i) 6 . . . 6 x(n) ,
x(1) , x(n) .

65

(14.1)

 14.4
x(1) ,

x(2) ,

. . . , x(i) ,

...,

x(n) ,

(14.1), , , ,
; x(i) , i = 1, n, i- .
X(i) , i = 1, n, , ~ n , i- .
X
14.5
X(1) ,

X(2) ,

...,

X(i) ,

...,

X(n)

. X(i) , i = 1, n, i-
.
x1 , . . . , xn ( x(1) x(2)
x(n) ) . X
, X , .
x1 , . . . , xn r < n , . z(1) , . . . , z(r) . , , r
P
n1 , . . . , nr , ,
nk = n.
k=1

z(1) z(2) . . . z(r)

14.6
n1 n2 . . . nr
14.1, z(1) , . . . , z(r) (, z(1) < < z(r) ), .
14.1.
nk , k = 1, r, , z(k)
,
, nk /n .
z(k) 216 217 218 219 220 221 222 223
14.1 nk 1
3
4
6
9
4
2
1
X ( ). n = 30:
14.2.
217,
218,
220,
219,
220,
221,
219,
220,
221,
217,
218,
219, 220, 218, 217, 220, 219, 221, 221, 220, 219, 222, 223, 220, 216, 220, 219, 220, 218, 222.
. x(1) = 106,
x(8) = 223. nk , k = 1, 8,
14.2. #
~ n ), x R ~xn
n(x, X
~
Xn n(x,~xn ), ~xn ,
x.
14.7

~
~ n ) = n(x, Xn ) , x R,
Fb(x, X
(14.2)
n
n , .

~ n
14.7, x Fb x; X
n
, 0, n1 , n2 ,. . . , n1
n , n = 1 p,
X x, .. p = F (x).

~n }
14.1 x {Fb x; X
n F (x) X x.

~n
. x Fb x; X
{X < x}.
, n {X <
x}. ,

P
~ n
Fb x; X
P X < x = F (x).
n

66

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

0, x 6 x(1) ;
i
, x(i) < x 6 x(i+1) , i = 1, n 1;
Fn (x) =
n

1, x > x ,
(n)
.. x(i) Fn (x) 1/n. Fn (x) . 14.1.
n (n > 50)
. J = [x(1) , x(n) ], , m J1 , . . . , Jm , , , , , , , ni , i- Ji , i = 1, m,
n = n1 + + nm ,
. 14.1.
14.2, .
14.3 ,
J1 J2 . . . Jm
m
x
ei , ni P
n
n
.
.
.
n
ni
1
2
m
ni /n.
i=1
m, J =
14.3.
[x(1) , x(n) ], , n. m
.
m log2 n + 1,
14.8
n
i , x Ji ;
pn (x) = n
0,
x
/ J,

(14.3)

(. . 14.2).
,
ni /(n), i = 1, m. , , m
m
P
P
ni
1
, 1,

=
ni = 1.
n
n
i=1

i=1

ni /n
Ji .
~ n )/n,
. 14.2.
ni (X
~n

~xn

~ n )/n n ni /n. ni (X
X Ji ,
i = 1, m, ..
~ n) P

ni (X
P X Ji =
n
n

Z
p(x) dx,
Ji

p(x) X.
n , , 1, ,
ni
p(e
xi ),
n

ni
p(e
xi ),
n
67

 xei Ji , i = 1, m. , n , 1, , pn (x) p(x). ,

pn (x) p(x),
X, X.
~ n X F (x)
X
( p(x) ).

n
X
~ n) = 1
Xk
(14.4)

bk (X
n i=1 i
k- . , ~ n ) .
X =
b1 (X

n
X

k
~ n) = 1
bk (X
Xi X
(14.5)
n i=1
k- . ,
~ n ) = b2 (X
~ n ) .
2-
b2 (X
q
~ n) =
~ n )
b(X
b2 (X
.

n
X

b X
~ n, Y
~n ) = 1
K(
(14.6)
Xi X Yi Y
n i=1
.

~ n, Y
~n ) =
b(X

b X
~ n, Y
~n )
K(
,
~
~n )

bx (Xn )
by (Y

~ n) =

bx2 (X

(14.7)

2
1 X
Xi X ,
n i=1

~n ) =

by2 (Y

2
1 X
Yi Y ,
n i=1

.
( )
, ( ).
, n
. , n
P
P
~ n )
X MX,
b2 (X
DX.
n

68

 15

.
,
~ : ~ }, , ~ = (1 ; . . . ; r ) {F (x; )
. ~ (,
, ) (X1 ; . . . ; Xn ) X.
, , X ,
1 = MX 2 = DX .
x1 , . . . , xn , ( ).
~ n = (X1 ; . . . ; Xn ) X, X

F x; , , .. ~ : ~ } ( , ).
{F (x; )
bX
~ n ),
(
.
15.1
X
~ n ).
(.. ) (
bX
~ n ) ,
15.2 (
n , ..
P
bX
~ n )
(
.
n

bX
~ n ) ,
15.3 (
bX
~ n ) = n.
, .. M(
15.1 ,
n

S2 =

2
1 X
Xi X
n 1 i=1

DX . .
15.2 ,
, .
, X, .
15.1 X1 , . . . , Xn X,
2 .
b 1 , . . . , Xn ) = X1 , MX1 = MX = ,
b = (X
, , -, X1 , , n, -,

2
P |X1 | < =
2

69

Z
e
0

t2
2 2

dt 6= 1.


.
. .
~ n = (X1 ; . . . ; Xn ) X, X

~
p x; ~ = (1 ; . . . ; r ).
~ n.
~ X

~ = M(X)k , k ()
~ = M(X MX)k
k ()
k, k = 1, 2, . . . .
b
~X
~ n ) = (b1 (X
~ n ); . . . ; br (X
~ n )) ~ r
(
(

~
~ n ) =i (),

bi (X

~
~ n ) =j (),
bj (X

= 1, k,
= 1, l,

k + l = r,

(15.1)

1 , . . . , r . i j , . ,

bi bj , , , , .. n
. (15.1)
.
,
, (, ,
).
15.2 (X1 ; . . . ; Xn ) n
X,
( 1
, x (a, b);
p(x) = b a
0,
x
/ (a, b),
a b. .
, X
MX =

a+b
,
2

DX =

(b a)2
.
12

~ n )
X
b2 (X
n

X=

1X
Xi ,
n i=1

X
~ n) = 1

b2 (X
(Xi X)2 .
n i=1

a+b

= x,
2
2
(b

a)

=
b2 (~xn ).
12
,

bb = x +

3
b(~xn ),

b
a = x

3
b(~xn ).

~ n ),
3
b(X

~ n) = X
b
a(X

bb(X
~ n) = X +

~ n ).
3
b (X

( . ), .
~ n X,

X

p x; ~ ~ :
~ =
L(X1 , . . . , Xn , )

n
Y

p Xi ; .
i=1

70

 ,
b ~
b
~
(Xn ), ~ ~xn
~b = max L(~xn ; ),
~
L(~xn ; )
~

(15.2)

~ .
.. , ,
b
~ ~ ~xn
L(~xn ; )

~ n L ~xn ; ~ Xn X
,
( )

ln L ~xn ;
L ~xn ;
= 0,
= 0,
(15.3)

, , ,
.
X ~ = (1 ; . . . ; r ),
(15.3)

ln L ~xn ;
(15.4)
= 0, k = 1, r.
k
(15.3) (15.4) .
b
p x; ~ ~ = b1 ; . . . ; br .
(15.4), , , ,
.
~ n N (1 , 2 ). 15.3 X
2
~ = (1 ; 2 ).

n

2
~ n ; 1 , 2 = 1 n exp 1
L X
(X

)
i
1
222 i=1
2 2

, ,

1 X
(xi 1 )2 .
ln L ~xn ; 1 , 2 = n ln 2 n ln 2 2
22 i=1

r = 2, (15.4)
:

1 X
ln L = 2
(xi 1 ) = 0,
1
2 i=1
n

n
1 X
ln L = + 3
(xi 1 )2 = 0.
2
2 2 i=1
n

1X
b1 =
xi ,
n i=1

1X
b22 =
(xi x)2 .
n i=1

, MX = 1
DX = 22 , ,
n
1X
X=
Xi
n i=1

X
~ n) = 1

b 2 (X
(Xi X)2 . #
n i=1

71

 16

(p) -,
Z
(p) = tp1 et dt,
0

B(x, y) -,
(p)(q)
B(p, q) =
=
(p + q)

Z1
up1 (1 u)q1 du.
0

16.1

xm/21 ex/2 , x > 0,

m/2 (m/2)
2
p(x) =

0,
x 6 0,
,
m .

(-)

2 -

16.2
p(x) =

1 ((m + 1)/2)
1
,
m (m/2) (1 + x2 /m)m/2

< x < ,

, n .
n N (0, 1). tp (m) p m

tp (m) = t1p (m),
.
16.3
n/2

n
n

m
x 2 1

n+m , x > 0;

nx 2
p(x) = B n2 , m
2
1+

0,
x < 0,
, (F -, ) n m.

72

 Fp (n, m) p n m

1
Fp (n, m) =
.
F1p (m, n)
.
16.1 (X1 , . . . , Xn ) N (, 2 ).
n
n
1 P
~ n ) = 1 P (Xi X)2 ;
X=
Xi S 2 (X
n i=1
n 1 i=1

n(X )

,

n(X )
n 1 ,

~ n)
S(X
~ n)
(n 1)S 2 (X
2 - n 1 .
2
16.2 X = (X1 , . . . , Xn ) Y = (Y1 , . . . , Ym ) N (1 , 12 ) N (2 , 22 ) ,
n

X=

1X
Xi ,
n i=1

Y =

1 X
Yi ,
m i=1

~ n) =
S 2 (X

1 X
(Xi X)2 ,
n 1 i=1

~n ) =
S 2 (Y

1 X
(Yi Y )2 .
m 1 i=1

m 1.

~ n)
S 2 (X
n 1
2
~
S (Yn )

.
.
~
X
n n X F x; , , . ,

~ n ), (X
~ n ) , (X
~ n ) (X
~ n )
(X
~
Xn , ,
n
o
~ n ) < < (X
~ n ) = .
P (X
(16.1)

~ n ), (X
~ n )
(X
(, , - ),
~ n ) (X
~ n ) .
(X

~ n ), (X
~ n ) ,
(X
.
~ n , .. , X
~ n ) (X
~ n ) .
Xn , (X

, (16.1), K Xn , , ~xn K,
/ (~xn ), (~xn ) .

~ n ) (X
~ n ),
~ n ) = (X
l(X

~ n (~xn ), (~xn ) .
~xn X

(~xn ), (~xn ) - .
.
0,9, 0,95 0,99, .. 1.
(, )
(16.1)

~ n ) < < (X
~ n ) > ,
P (X
.. , .
73




~ n = (X1 , . . . , Xn ) n X, X
2 , 2 .

X
n

N (0, 1).

X
P u1 <
n < u1 = 1 2,

u1 1 .

, X,
n

P X u1 < < X + u1 = 1 2,
n
n

.. X n u1 , X + n u1 1 2.

2
X
n
~ n)
S(X
n 1 .
(
)
X
P t (n 1) <
n < t1 (n 1) = 1 2,
~ n)
S(X
tq (n 1) q n 1 .
, tq (n 1) = t1q (n 1).
~ n)
S(X
, X, ,
n
= 1 2

~
~ n ) = X S(Xn ) t1 (n 1),
(X
n

~
~ n ) = X + S(Xn ) t1 (n 1).
(X
n

~ n = (X1 , . . . , Xn ) Y
~n = (Y1 , . . . , Ym ) N (1 , 2 )
X
1
2
N (2 , 2 ) ,
n
n
1X
1X
X=
Xi , Y =
Yi .
n i=1
n i=1
,
(X Y ) (1 2 )
r
12 22
+
n
m

74

 N (0, 1).

(X Y ) (1 2 )
r
P u1/2 <
< u1/2 = 1 ,

12 22

+
n
m
u1
r 1 .
12 22

+ , X Y ,
n
m
(
)
r
r
12 22
12 22
P X Y
+ u1 < 1 2 < X Y +
+ u1 = 1 2,
n
m
n
m

!
r
12 22
12 22
.. X Y
+ u1 , X Y +
+ u1 n
m
n
m
1 2 1 2.
r

,
~ n = (X1 , . . . , Xn ) Y
~n = (Y1 , . . . , Ym ) N (1 , 2 )
X
2
N (2 , ) , 2 2 .
n

X=

1X
Xi ,
n i=1

Y =

1 X
Yi ,
m i=1

~ n) =
S 2 (X

1 X
(Xi X)2 ,
n 1 i=1

~n ) =
S 2 (Y

1 X
(Yi Y )2 .
m 1 i=1

,
r
mn(m + n 2)
q
m+n

(X Y ) (1 2 )
~ n ) + (m 1)S 2 (Y
~n )
(n 1)S 2 (X

m + n 2 .

mn(m + n 2)
(X Y ) (1 2 )
q
P t1 (m + n 2) <
< t1 (m + n 2) = 1 2,

m+n
~ n ) + (m 1)S 2 (Y
~n )
(n 1)S 2 (X
t1 (m + n 2) 1 m + n 2 .
s
~ n ) + (m 1)S 2 (Y
~n ))
(m + n)((n 1)S 2 (X

mn(m + n 2)
~ n, Y
~n ) (X
~ n, Y
~n ) X Y , , (X
= 1 2 1 2 ,

s
2 ~
2 ~
~ n, Y
~n ) = X Y t1 (m + n 2) (m + n)((n 1)S (Xn ) + (m 1)S (Yn )) ,
(X
mn(m + n 2)
s
~ n, Y
~n ) = X Y + t1 (m + n 2)
(X

~ n ) + (m 1)S 2 (Y
~n ))
(m + n)((n 1)S 2 (X
.
mn(m + n 2)

16.1 , .

75

~ n)
(n 1)S 2 (X
2

2 - n 1 .
(
)
~ n)
(n 1)S 2 (X
2
2
< 1 (n 1) = 1 2,
P (n 1) <
2
2q (n 1) q 2 - n 1 .
~ n ), ,
(n 1)S 2 (X

(
)
~ n)
~ n)
(n 1)S 2 (X
(n 1)S 2 (X
2
P
< <
= 1 2,
21 (n 1)
2 (n 1)
..

~ n ) (n 1)S 2 (X
~ n)
(n 1)S 2 (X
,
2
2
1 (n 1)
(n 1)

2 1 2.

~ n = (X1 , . . . , Xn ) n X
X
= MX 2 = DX.

X
n

(x) N (0, 1).

X
P u1 <
n < u1 1 2,

u1 1 .

, X,
n

P X u1 < < X + u1 1 2.
n
n
, ,
v
u
n
u 1 X
~
S(Xn ) = t
(Xi X)2 ,
n 1 i=1

!
~ n)
~ n)
S(X
S(X
X u1 , X + u1
n
n
1 2.

Xi i-, i = 1, n, p
q = 1 p. MXi = p, DXi = pq. DXi
pq, p = X q = 1 p .

pq
pq

p
u1 , p +
u1

n
n
p 1 2.
76


~ n = (X1 , . . . , Xn ) X
X
. MX = , DX = , DX MX
X. 1 2

s
s
X
X
X u1
, X + u1
.
n
n

(Xi , Yi ), i = 1, n (X, Y ).
n
P
(Xi X)(Yi Y )
~ n, Y
~n ) = s i=1
s
b(X
n
n
P
P
2
(Xi X)
(Yi Y )2
i=1

i=1

, X Y .
. ,
Z=

~ n, Y
~n )
1 1 + b(X
ln
~ n, Y
~n )
2 1 b(X

n
1 1+

1
MZ ln
+
,
DZ =
.
2 1 2(n 1)
n3
, (, ) 1
(, ) = (th z, th z),

(16.2)

u1/2
1 1 + b
b
ln
+

;
2 1 b 2(n 1)
n3

(16.3)

u1/2
1 1 + b
b
ln
+
+
,
2 1 b 2(n 1)
n3

(16.4)

u1/2 1 /2 . (16.3),
(16.4) , (X, Y ) .
(th z, th z), , .
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

,
165 171 182 165 183 180 183 166 173 172 174 170 164 168 184
, 72,9 48,4 66,3 64,1 62,7 76,0 73,8 50,6 52,3 56,5 66,8 61,6 72,8 52,6 68,6
16.1.

16.1 b (X, Y ), X ( ),
Y ( ) -. n = 15 . 16.1.
15

x=
15
X

1 X
2620
= 173,3;
xi =
15 i=1
15

(xi x)2 = 747,33;

i=1

15

y=

1 X
945
= 63,1.
yi =
15 i=1
15

15
X
(yi y)2 = 1171,4;

15
X

i=1

i=1

,
b =

293,3
= 0,313.
747,33 1171,4
77

(xi x)(yi y) = 293,3.

 1 = 0,9.
(. 16.1) u1/2 = u0,95 = 1,65 (16.2),
= th z 0,162,

= th z 0,658.

78

 17

~
~xn ,
Xn X, F t; .
17.1
X,
.


F t; X. , , , .
H , H : ~ = ~0 , ~0
. , H : ~ D, D ,
.
~ n n X, 17.1 X
2 . H: = 0 , 0 ,
.
H1 : > 0 ; H2 : 6 0 ; H: 0 6 6 1 .
17.2 17.1 .
H: = 0 ,
~ = (; ), = 0 , 0 < < .

,
H0 : = 0 ,

H 1 : = 1 ,

0 , 1 () . H0 , , H1 , , . ~xn ,
(, 6= 0 ).
, , ,
~xn ,
.
W Rn , ~ n . Xn X
:
~xn W ,
H0 H1 ;

79

 ~xn W (..
W W Xn ),
H1 H0 . W .
:
H1 , H0 ;
H0 , H1 .
:

~ n W | H0 ,
~ n W | H1 .
=P X
=P X

P A | Hj A ,
Hj , j = 0, 1.

p t;
~ n:
X
Z Z Y
n

= ...
p tk ; 0 dt1 . . . dtn ,
W

Z Z Y
n

p tk ; 1 dt1 . . . dtn .
= ...

k=1

k=1

.
1 , H0 , , .

, , 1 (
) ( ~ n
). , X
n
X,
p t; ,
H0 : = 0 H1 : = 1 .
~ n:
X

n
~ n ; 1

L X
~
~ n; =
(Xn ) =
L X
p Xi ; .
,
~ n ; 0
L X
i=1
~ n ) (X
. .
( ) W ~xn
~ n ,
Xn X
(~xn ) > C ,
C

~ n ) > C | H0 = ,
P (X

Z Z

...
L t1 , . . . , tn ; 0 dt1 . . . dtn = .
(t1 ,...,tn )>C

.

, .

80

 17.3 2
H0 : = 0 ,

H1 : = 1 ,

0 1 , 0 < 1 .

LX1 , . . . , Xn =

n
1 X
2
exp 2
(Xi ) ,
2 i=1

n
L X1 , . . . , Xn ; 1
1 0 X
n(21 20 )
~
= exp
(Xn ) =
Xi exp
.
2 i=1
2 2
L X1 , . . . , Xn ; 0

1 0 X
xi
(~xn ) = exp
2 i=1

n
X

n(21 20 )
exp
> C
2 2

xi > C,

(17.1)

i=1

C :
P

n
nX

Xi > C = 0 = .

(17.2)

i=1

1 0 X
ln exp
xi
2 i=1

n
1 0 X
n(1 0 )2
n(21 20 )
=
x

> ln C ,
exp
i
2 2
2 i=1
2 2

n
X

2
xi >
1 0
i=1

n(21 20 )
ln C
= C.
2 2

X1 + + Xn n n 2 . (17.2)

C n0

1
= ,
(17.3)
n

C n0

= u1 .
n

, C, (17.1),

C = n0 + u1 n.
(17.4)

=P

C n1

Xi < C = 1 =
n
i=1

n
nX

(17.5)

.
17.4 17.3 0 < 1 1 < 0 ,
W
n
X

xi 6 C,

i=1

81

 C
P

n
nX

Xi 6 C = 0 = .

i=1

C n0

, ,

C n0

= u = u1 .
n

C = n0 u1 n.

,
H0 : 0 ,

H1 : 1 ,

(17.6)

0 , 1 . , 0 ,
1 6 0 > 1 , 0 1
, 0 < 1 .
(17.6) -
~ n , W X
:
~ n W ,
~xn X
H0 H1 ;
~ n W ,
~xn X
H1 H0 .

() = P (X1 ; . . . ; Xn ) W | , 0 ; () = P (X1 ; . . . ; Xn ) W | , 1 .
, (), ()
.

= max ()
0

M () = P (X1 ; . . . ; Xn ) W | ,
H0
, . ,
M ()
1 ,
.
(. 17.517.7).
:
() = M (), 0 ;
() = 1 M (), 1 .

(17.7)
(17.8)

, , () ( )
1 .

.
82

 17.5 H0 : = 0 H1 : >
0 2 .
1 > 0
= 0 = 1 (17.1), C
(17.2) (17.3). 1 . , ,
(17.1)
n
X

(17.9)
xi > C = n0 + u1 n,
i=1

H1 : > 0 .
17.6 H0 : = 0
H1 : < 0 .
, , 17.4,
, ,
n
X

xi 6 C = n0 u1 n.

i=1

17.7 17.5
H0 : 6 0 ,

H1 : > 1 ,

(17.10)

0 < 1 .
, (17.9)


n
nX

o
n
() = P
Xi > C = 1 u1 + (0 )

i=1
. ,
= max (),
60

= 0 , , , (17.10), = (0 ).
, 17.5, ,
(17.9)
.
17.8
:
H0 : = 0 ,
H1 : 6= 0
(- , 2 ).
H0 , H1
. = 0
X 0
n,

. H0 , H1 :
|x 0 |
n > u1/2 .

.
17.9
H0 : = 0 ,

H1 : > 0

83

(17.11)

 , 2 .
17.5 H0 . = 0
X 0
n
~ n)
S(X

(17.12)

n 1 . , (17.11)
x 0
n > t1 (n 1),
S(~xn )
t1 (n 1) 1 n 1 .
(17.12)
H0 : = 0 ,

H1 : < 0

(17.13)

H0 : = 0 ,

H1 : 6= 0 .

(17.14)

(17.13) ,
x 0
n 6 t1 (n 1).
S(~xn )
(17.14) ,

|x 0 |
n > t1/2 (n 1).
S(~xn )
17.10 .
(X1 ; . . . ; Xn ) (Y1 ; . . . ; Ym ) n m X N (1 , 12 ) Y N (2 , 22 ) .
1 , 2 , 12 , 22 :
H0 : 1 = 2 ,

H1 : 1 > 2 ;

(17.15)

H0 : 1 = 2 ,

H1 : 1 < 2 ;

(17.16)

H0 : 1 = 2 ,

H1 : 1 6= 2 .

(17.17)

X Y 1 2 12 /n + 22 /m. , ,
.. 1 = 2 ,
X Y
r
(17.18)
12 22
+
n
m
. , ,

r

xy
12
n

22

> u1 ;

xy
12
n

22

6 u1 ;

|x y|
r
> u1/2 . #
12 22
+
n
m

(17.15) (17.16) , , :
1 = 2 = .
n

~ n) =
S 2 (X

1 X
(Xi X)2 ,
n 1 i=1

~m ) =
S 2 (Y

1 X
(Yi Y )2
m 1 i=1

~ n )/ 2 (m
. (n 1)S 2 (X
2 ~
2
2
1)S (Ym )/ - n 1 m 1 .
~ n ) (m 1)S 2 (Y
~m )
(n 1)S 2 (X
+
2
2

84

 2 - n + m 2 . ,
(17.18) 1 = 2 , ,

(X Y ) n + m 2
~ n, Y
~m ) = q
q
Te(X
1
1
~ n ) + (m 1)S 2 (Y
~m )
+
(n 1)S 2 (X
n

n + m 2 .
(17.15) (17.16) ,
:
Te(~xn , ~ym ) > t1 (n + m 2),

(17.19)

Te(~xn , ~ym ) 6 t1 (n + m 2),

Te(~xn , ~ym ) > t1/2 (n + m 2).

(17.20)

85

(17.21)

 18

2 .
X, r u1 , . . . ,
ur p1 , . . . , pr :
P {X = uk } = pk ,

k = 1, r,

r
X

pk = 1.

k=1

, ~xn = (x1 ; . . . ; xn ) uk nk (~xn ) , k = 1, r. ,

r
P
~ n ), . . . , nr (X
~ n ) .
nk (~xn ) = n, .. n1 (X

k=1

18.1 ( )
r
X
~ n ) npk )2
(nk (X
k=1

npk

n 2 - r 1 .

H0 : p1 = p10 , . . . , pr = pr0 ,

(18.1)

p10 , . . . , pr0 ,
H1 : k, pk 6= pk0 , k = 1, r.

(18.2)

H0 ,
~ n)
nk ( X
pk0 0,
n

k = 1, r,

H1 ,
~ n)
nk (X
pk0 pk pk0 6= 0,
n

k = 1, r.

H1

~ n) =
2 (X

r
X
~ n ) npk0 )2
(nk (X
k=1

npk0

=n

r
X
k=1

~ n)
nk (X
n

pk0

pk0

2
(18.3)

, , , , , H0 , 2 r 1 .
, 2 (). n H0
H1 ,
2 (~xn ) > 21 (r 1),
21 (r 1) 1 2 - r 1 , 2 (~xn )
(18.3).
86

2 (~xn ) 6 21 (r 1),

, H0
.
2 n . r , npk > 10, k = 1, r, r (r > 20), ,
npk > 5, k = 1, r.
2 , X , .
M X r Mk , k = 1, r,
, pk , k = 1, r, X k Mk npk > 5 npk > 10, k = 1, r. X
, Mk , k = 1, r,
(, s1 ),

[s1 , s2 ),

...,

[sr2 , sr1 ),

[sr1 , ),

s1 < s2 < < sr1 , sk R, k = 1, r1.

X 0 , k ,
X Mk , k = 1, r.
(18.1) (18.2),
X
Z
pk0 =
p0 (t) dt
Mk

X Mk , p0 (t) X H0 .
X ,
z1 , z2 , . . . , P {X = zj } = qj > 0, j = 1, 2, . . . ,
H0 : qj = qj0 ,

j = 1, 2, . . . ,

qj0 , j = 1, 2, . . . , ,
H1 : j, qj 6= qj0 ,

j = 1, 2, . . . ,

(18.1) (18.2), pk0 , k = 1, r,

X
pk0 =
qj0 , k = 1, r.
zj Mk

~xn nk (~xn ) , Mk , k =
~ n (18.3), 2 (~xn )
1, r. , ~xn X
2 ~
(Xn ). H0 H1 , 2 (~xn ) > 21 (r 1)
.
2 ,
, X X 0 .
18.1 4040 ...
(1707 1788) 2048 1992 . , 1/2?
n = 4040, r = 2, n1 (~xn ) = 2048, n2 (~xn ) = 1992, p10 = p20 = 0,5, r 1 =
1, = 0,05 20,95 (1) = 3,841.
H0 , p1 p2 1/2.
(18.3)
2 (~xn ) =

(2048 4040 0,5)2 (1992 4040 0,5)2

+
= 0,776.
4040 0,5
4040 0,5

0,776 < 3,841, H0 .

87

 2
X, u1 , . . . , ur , d- . pk , X uk , , .. pk = pk (), k = 1, r.
p1 (), . . . , pr ()
X, :
H0 : P {X = uk } = pk (),

Rd .

k = 1, r,

2 .
b xn ) (
bX
~ n ) , nk (~xn ) (~
bX
~ n )
~xn , uk , k = 1, r. (

~ n; =
L X

r
Y
~ )
n!
n (X
pi k n (),
n1 ! . . . n r !
k=1

r
X

~ n ) = n,
ni ( X

i=1

r
X
~ n ) pk ()
nk (X
k=1

pk ()

= 0,

j = 1, d.

, pk (), k = 1, r, n

r
bX
~ n ) npi ((
~ n )) 2
X
ni (X
2 ~
(Xn ) =
bX
~ n ))
npi ((
i=1
2 - r d 1 .
X F (t), , X
X 0 ,

H0 : F (t) F t; , Rd .
bX
~ n )
, (
X1 , . . . , Xn X, n1 (~x0n ), . . . , nr (~x0n )
X 0 , , , . (, ,
..) (. . ).

,
(Xi , Yi ), i = 1, n (X, Y ).
n
P
(Xi X)(Yi Y )
~ n, Y
~n ) = s i=1
s
b(X
n
n
P
P
(Xi X)2
(Yi Y )2
i=1

i=1

.
H0 : = 0 (.. , )

~ n, Y
~n ) n 2
b(X
t= q
,
(18.4)
~ n, Y
~n )
1 b2 (X
n 2 . ,

|b
| n 2
p
t1/2 (n 2),
1 b2
H0 , t1/2 (n 2) 1 /2
n 2 .
88

 18.2 16.1 15 b = 0,313.

H0 : = 0 = 0,1.
t0,95 (13) = 1,77

n2
13
bp
= 0,313
= 1,19.
2
0,902
1 b
1,19 < 1,77, = 0 .

2

~ n; Y
~n ) = ((X1 , Y1 ); . . . ; (Xn , Yn ))
(X
(X; Y ), X u1 , . . . , ur ,
Y v1 , . . . , vs .
~ n, Y
~n ), nij nij (X
(~xn , ~yn ) = ((x1 , y1 ); . . . ; (xn , yn )), (ui ; vj ), i = 1, r, j = 1, s.
~ n, Y
~ n ) nj ( X
~ n, Y
~n ), ni (X
ni nj
ni =

n
X

nij ,

nj =

j=1

n
X

X
u1
u2
...
ur

v1
n11
n21
...
nr1
n1

v2
n12
n22
...
nr2
n2

Y
...
...
...
...
...
...

vs
n1s
n2s
...
nrs
ns

n1
n2
...
nr
n

18.1.

nij .

i=1

ni (~xn ; ~yn ), ui , nj
(~xn ; ~yn ), vj . ,

r
s
r X
s
X
X
X
ni =
nj =
nij = n.
i=1

j=1

i=1 j=1

,
(18.1).
pij = P {X = ui , Y = vj } , pi = P {X = ui } , pj = P {Y = vj } ,

i = 1, r, j = 1, s.

X Y ,
P {X = ui , Y = vj } = P {X = ui } P {Y = vj } ,

i = 1, r, j = 1, s.

X Y :
H0 : pij = pi pj , i = 1, r, j = 1, s.
(18.5)
, ,
H1 : pij 6= pi pj i = 1, r, j = 1, s.

(18.6)

(18.5) (18.6) . ~ n, Y
~n ), ,

b2 (X

b2 (~xn , ~yn )

ni nj 2
r X
s
nij
X
n
.

b2 (~xn , ~yn ) = n
n
n
i
j
i=1 i=1

(18.7)

, n
~ n, Y
~n )
nij (X
pij ,
n

~ n, Y
~n )
ni ( X
pi ,
n

~ n, Y
~n )
nj (X
pj ,
n

i = 1, r,

j = 1, s.

H0 (~xn , ~yn )

nij ni nj , i = 1, r, j = 1, s,
89

~ n, Y
~n ) . , , (18.7)
b2 (X
, H0 .
, , ,
.
~ n, Y
~n ) n
18.2 H0 ,
b2 (X
2
, - k = (r
1)(s 1):
k
Zz
2

t 2 1 t
~
~
lim P
b (Xn , Yn ) < z =
e 2 dt, z > 0. #
k k
n
2
2
0
2

18.2 2 H0
1 ,

b2 (~xn , ~yn ) > 21 ((r 1)(s 1)),

21 ((r 1)(s 1)) 1 2 -
(r 1)(s 1). , 2 , ni nj /n > 5.
(18.7) ,
:
r X
s
X

n2ij

b2 (~xn , ~yn ) = n
1 .
(18.8)
nn
i=1 j=1 i j
, r = s = 2 (18.7)

b2 (~xn , ~yn ) :

b2 (~xn , ~yn ) =

n(n11 n22 n12 n21 )2

.
n1 n2 n1 n2

(18.9)

~ n, Y
~n ) r = s = 2, ,
e2 (X

2
n|n11 n22 n12 n21 | n/2
2

e (~xn , ~yn ) =
,
(18.10)
n1 n2 n1 n2
,
2 -.

18.3 . 18.2

30472
3238
33710
46542 .
= 0,05
3364
9468
12832
. n = 46592, r = s = 2, n11 = 30472, n12 =

33836
12706
46542
3238, n21 = 3364, n22 = 9468, n1 = 33710, n2 = 12832,
18.2.
n1
=
33836,
n2
=
12706,

(r 1)(s 1) = 1. (18.9)
b2 (~xn , ~yn ) = 19,288. 2 -
20,95 (1) = 3,84. 19,288 > 3,84, .

90

 19

-
(). , y x1 , . . . , xp
y = 1 x1 + 2 x2 + + p xp ,
= (1 , . . . , p ) . xi1 , xi2 , . . . , xip , i = 1, n,
x1 , . . . , xp ( )
y ( ) i ,
yi = 1 xi1 + 2 xi2 + + p xip ,

i = 1, n,

Yi = 1 xi1 + 2 xi2 + + p xip + i ,

i = 1, n.

(19.1)

= (1 , . . . , p ) Y =
(y1 , y2 , . . . , yn )T xij X n m.
, 1 , 2 , . . . , n Ei = 0, .. .
, i
N (0, 2 ). .
() , .. .
(19.1)
Y = X + .

(19.2)

= (1 , . . . , p ),
.
19.1 = (1 , . . . , p ) = (1 , . . . , p )
S() = ||Y X||2 = (Y X)T (Y X) =

n
X

(Yi 1 xi1 2 xi2 + + p xip )2 .

i=1

19.1 , X p.

= (X T X)1 X T Y.
(19.3)
19.2 1 , 2 , . . . , n
Mi = 0 Di = 2 .
= (X T X)1 X T Y
= (1 , . . . , p ).

S() = (Y X)T (Y X),

(d1 , d2 , . . . , dp ) (X T X)1 .

91

 19.3 1 , 2 , . . . , n Mi = 0 Di = 2 .
= (X T X)1 X T Y
, = (1 , . . . , p ) = (1 , . . . , p )
2 (X T X)1 . j 1 (j , j + ),
s
dj

S(),
= t1 (n p)
np
t1 (n p) 1 n p .

y = 1 1 (t) + 2 2 (t) + . . . p p (t),
1 , 2 , . . . , p , Y = (Y1 , Y2 , . . . , Yn ) y t1 , t2 , . . . , tn = (1 , 2 , . . . , n ):
Yi = 1 1 (ti ) + 2 2 (ti ) + . . . p p (ti ) + i ,

i = 1, n.

(19.4)

xij = j (ti ),

i = 1, n, j = 1, p,

(19.4) (19.2).
ti
0
4
10
15
21
29
36
51
19.1
yi 66,7 71,0 76,3 80,6 85,7 92,9 99,4 113,6
. . y 19.1.

N aN O3 ,
100 t (. . 19.1).

68
125,1

y = 1 + 2 t + 3 t2 ,
.
(1 , 2 , 3 ) n = 9 (y1 , y2 , . . . , yn )
(Y1 , Y2 , . . . , Yn ).

1 1
1
1
1
1
1
1
1
36
51
68 ,
X T = 0 4 10 15 21 29
0 16 100 225 441 841 1296 2601 4624

9
234
10144
10144
531828 ,
X T X = 234
10144 531828 30788836

0.4878864808 0.0299495315
0.0003565864
0.0028828545 0.0000399292 ,
(X T X)1 = 0.0299495315
0.0003565864 0.0000399292
0.0000006047
= (66.71, 0.9604, 0.001359),
y 66.71 + 0.9604t 0.001359t2 .

92

11

4 . .

16

20

26

30

35

41

10

46

11

50

12

55

13

60

14

65

15

69

16

72

17 .

79

18

86

19

91

93