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2003

519.2 (075.8)
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.. . .: , 2003. 84 .: .

17 , .

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,
, ,
.
519.2 (075.8)
22.171+22.172 73

.., .., 2003


, 2003


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wi , i = 1, 2,..., n , n
.

= { w1 , w 2 , ..., w n }
.

, ,
A :
A = { w1 , w 2 , ..., w m }, 0 m n ,
m , A.
, A = , ..
.
,

A = , ..
A
.

A

, .. ,
A.

, C = A B = A + B ,
C = AB = A+ B

, , ,
( ).

B
A
, C = A B = A B ,
,
.
,
, .. = .
Ai (i = 1, 2, ..., n)
C = A B = A B

n
B
A
Ai = .
i =1


:
A + A = ;
A A = ;
A + = ;

A = ;

A = ;

A + = A;
A + B = A B;
A B = A + B;
A + A B = A + B .
1. p()
, ,
:
0 p(A) 1,
(1.1)
p ( ) = 0, p ( ) = 1 .
2.
:
n

p ( Ai ) =
i =1

i =1

p ( Ai ), Ai A j = , i j .

(1.2)

1 2:

1 = p ( ) = p ( A + A ) = p ( A) + p ( A ) p ( A ) = 1 p ( A) .

1 n ,
:
- 1 n , Ai A j = , i j ;
- 1 n ,

i =1

Ai = ;

- 1 n , p ( Ai ) = p, i .
,

:
m
p (A ) =
,
(1.3)
n
m i, , ..
= {1 m };
n .
. , A = A1 + A2 + + Am. i
, A :
m

p ( A ) = p ( Ai ) =
i =1

p ( ) = p ( Ai ) =
i =1

i =1

i =1

p ( Ai ) = m p ,

p ( Ai ) = n p = 1 p =

1
m
.
p ( A) =
n
n

(1.3)
XVII XIX .
m, n (1.3)
.

X = {x1, x2, ..., xn}, n


. (n, r)- , r ,
X.
,
. X
, .

(n,r)
(n, r)- () A
A(n, r)

A nr = n r ,

(1.4)

n!
.
(1.5)
( n r )!
r = n, ,
..
. n
Pn = n! = 12n.
(1.6)
: P0 = 0! = 1.
r
(n, r)- () C n
A nr =

r
Cn

r
n

(n + r 1)!
C nr =
,
r!(n 1)!

A nr
n!
=
=
.
Pr
r ! ( n r )!

(1.7)
(1.8)

n k
, 1- r1 ,
2- r2 .., n = r1 + r2 +... + rk,
n!
Pn (r1 , r2 ,..., rk ) =
.
(1.9)
r1! r2 !...rk !

,
. ,
.
, ,
,
.

T,
T
T.
T A
A

S ( A)
p (A ) =
,
(2.1)
S ( )
S(A) S() (, , ..)
A .


.

:
p(A + ) = p() + p() p().
(2.2)
. +

B

A
+ = + + .

AB
AB
AB
p( + ) = p() + p() + p().

:
A = A B + AB, p(A) = p(AB) + p(AB) p(AB) = p(A) p(AB),
B = BA + AB, p(B) = p(BA) + p(AB) p(BA) = p(B) p(AB),
p(AB) p(BA) p( + )
: p( + ) = p() + p() p().
n . n
A1, ..., An
n

i =1

i1 =1

p ( Ai ) = p ( Ai1 ) p ( Ai1 Ai1 ) + ...


:

... + ( 1)

k +1

i1 , i2 ,..., ik

i1 , i2

p ( Ai1 Ai2 ... Aik ) + ... + ( 1)

n +1

p ( A1 A2 ... An ),

(2.3)

k
k- C n , ..
k .
. .
m m+1
m = 2. ,
p( A1 + A2 + A3 ) = p( A1 ) + p( A2 ) + p( A3 ) + p( A1 A2 ) + p( A1 A2 ) + p( A1 A2 ) p( A1 A2 A3 ) ,

p ( A1 + A2 ) = p ( A1 ) + p ( A2 ) p ( A1 A2 ) .
B = A2 + A3 ,
p( A1 + A2 + A3 ) = p( A1 + B) = p( A1 ) + p( B) p( A1 B) = p( A1 ) + p( A2 + A3 ) p( A1 A2 + A1 A3 ) =
= p( A1 ) + p( A2 ) + p( A3 ) p( A2 A3 ) p( A1 A2 ) p( A1 A3 ) + p( A1 A2 A3 ),

.
, p ( A) = 1 p ( A ) , n
( n > 2)
p( A1 + A2 + + An ) = 1 p( A1 + A2 + + An ) = 1 p( A1 A2 An ) . (2.4)

,
()
.
, , ,
. ,
.
,
. p(/)
, ( ),
.

,
, , ..
p ( A) = p ( A / B ) = p ( A / B ) .
(2.5)
, .. ,
.
, ..
(. (2.5)), :
p ( B ) = p ( B / A) = p ( B / A ) .
(2.6)


.
,
:
p ( AB ) = p ( A) p ( B / A) = p ( B ) p ( A / B ) .
(2.7)
. (2.7) .
n .
m , B k . l
.
kB
m

...
lB
n

m
k
l
, p ( B ) = , p ( AB ) =
(. (1.1)).
n
n
n
p(|), .. ,
. , ,
n m,
l
. l p(B / A) = .
m
p(A/B), .. A
l
, B : p( A / B) = .
k
, p ( A ) =

(2.7):

l
m
l
k l
=

,
n
n m
n k

. , ,
, .
n .
n 1 n
p( A1 A2 An ) = p( A1 ) p( A2 / A1 ) p( A3 / A1 A2 ) p( An / A1 A2 An1 ), (2.8)
p( Ak / A1 Ak 1 ) ) Ak,
A1 , A2 , , Ak 1 .
. .
m m+1
m = 2. , p ( A1 A 2 A3 ) = p ( A1 ) p ( A2 / A1 ) p ( A3 / A1 A2 ) ,

p ( A1 A2 ) = p ( A1 ) p ( A2 / A1 ) . B = A1 A 2 ,
p( A1 A2 A3 ) = p( BA3 ) = p( B) p( A3 / B) = p( A1 A2 ) p( A3 / A1 A2 ) = p( A1 ) p( A2 / A1 ) p( A3 / A1 A2 ) ,

.
1 n ,
:
p ( A1 A 2 A n ) = p ( A1 ) p ( A 2 ) p ( A n ) ,
(2.9)
p( A1 + A2 + + An ) 1, 2, ...,
n (. (2. 4))
p ( A1 + A2 + + An ) = 1 p ( A1 A2 An ) = 1 p ( A1 ) p( A2 ),..., p( A3 ) . (2.10)

B , n
Ai. p( Ai ) = pi (
) .
.
:
A1

A2

An

, B = A1 A2 An , (2.9)

p(B) = p( A1) p( A2 ) p( An ) = p1 p2 pn .

B = A1 + A2 + + An , (2.10)

p(B) =1 p( A1 A2 An ) =1 q1 q2 qn , (2.12)
q i = 1 p i .

,
(2.11)
(2.12).

(2.11)
A1
A2

An

:
.
, n
(),
:
n

H1 , H 2 , ..., H n , H i H j = , i j , H i = .
i =1


. :
n

p( H1 ), p( H 2 ), ..., p( H n ), p( H i ) = 1 .
i =1

,
.
:
P(A/H1), p(A/H2), , p(A/Hn).
() p() .
n :
A = A = A(H1 + H2 + + Hn) = AH1 + A/H2 + + A/Hn.

p( A) =

i =1

p(H i A) .

p(HiA) = p(Hi)p(A/Hi),
n

p( A) = p( H i ) p( A / H i ) .

(3.1)

i =1


.
n n
(),
:
n

H1 , H 2 , ..., H n , H i H j = , i j , H i = .
i =1

( ) :
p(H1), p(H2), , p(Hn).

, .
, , ..
: p(H1/A), p(H2/A), , p(Hn/A).
, i,
p(HiA) = p(Hi)p(A/Hi) = p(A)p(Hi/A).
p(i/):

p ( H i / A) =

p( H i ) p( A / H i )
.
p ( A)

p(A) (3.1)

p ( H i / A) =

p( H i ) p( A / H i )
n

p( H j ) p( A / H j )

(3.2)

j =1


, .

n ,
. P(n, k) ,
k , ( ):
n!
P(n, k ) = Cnk pk qnk =
pk qnk ,0 k n ,
(3.3)
k ! (n k )!
q = 1 , .
. k k
n k . k
:
Bk = A1 A2 ...... Ak Ak +1 Ak + 2 ...... An + .........+ A1 A2 ...... An k An k +1 Ak + 2 ...... An
1 4 4 2 4 43 1 4 4 2 4 4 3
1 4 4 2 4 4 3 1 4 44 2 4 4 43
k

nk

nk

i Ai i- .
.
,
P( A1 A2 ...... Ak Ak +1 Ak + 2 ...... An ) = p p..... pq q ......q = p k q n k .
1 4 2 43 1 4 2 43
k

n k


n , , ..
r
C n .
nk

, : p( Bk ) = P(n, k ) = Cn p q .
:
1. (3.3)
:
k

k =0

k =0

( q + p ) = P ( n, k ) = C nk p k q n k = 1 .
n

2. P(n, k)
nk p
P ( n, k + 1) =
Pn ( n, k ) .
k +1 q

(3.4)

(3.5)

3. 0, P ( n , k 0 ) ,

np q k 0 np + p .
(3.6)
:
Pn ( k + 1) n k p
nk p
=
Pn ( k + 1) Pn ( k )
1 k np q ,
Pn ( k )
k +1 q
k +1 q
nk p
1 k np q .
Pn ( k + 1) Pn ( k )
k +1 q
, k < np q P(n, k) , k > np q
. k0, P(n, k) , ..
P ( n , k 0 ) P ( n , k 0 1)
.

P ( n , k 0 ) P ( n , k 0 + 1)

k0, (3.6).
4. Pn ( k 1 k k 2 ) , n
k 1 k 2 ( 0 k 1 k 2 n ), :
k2

P ( n, k1 k k 2 ) = P ( n, k ) =
k = k1

k2

k = k1

k
n

p k q nk .

(3.7)

5 P(n,1 k n) , n
,
P(n,1 k n) = 1 P(n,0) = 1 qn .
(3.8)
n , r
(r > 2) A1, A2, , Ar
p1 = p(A1), p2 = p(A2), , pr = p(Ar).
, n
A1 k1 , A2 k2 ,..., Ar kr ( k1 + k2 + ..... + kr = n ) ,
P( n , k 1 , k 2 ,..... k r ) =

( k 1 + k 2 +..... k r ) ! p k
k 1 ! k 2 !..... k r !

p2k2 ... prkr .

(3.9)

P( n , k ) n
.
.
n ,
1
p 0 , np a , 0 < a < p <<
,
n
:
ak a
P(n, k ) e , k = 0, n .
(3.10)
k!
n , p q ,
:
0 < np 3 npq , np + 3 npq < n ,
:
( x)
,
P(n, k )

(3.11)
npq

x2
1
exp ,
( x) =
2
2

x1 =

x=

k np
;
npq

P(n, k1 k k2 ) (x2 ) (x1) ,

(3.12)

( k1 np )
( k np )
, x2 = 2
,
npq
npq

x
x2
1
( x) =
exp
dx .
2 0
2

( x ) ( x) .

( x ) ( (x) = ( x) ),
( ( x )= ( x ) ). (3.11) (3.12)

12 ( ).

4
.

() ,
,
, , , .
: X, Y, Z;
: x, y, z, X X.
:
1. ;
; X = {0, 1, 2, 3, 4, 5, 6}.
2. ; X
; X = (0, ].
X
.
() , X
, ..
.
(),
X .

(, ..),

p{a X < b}, a, b ,
.

F(x) X
, , x:
F(x) = p{X < x}.
(4.1)
:
1. F() = 0.
C
2. F(+) = 1.
A
B
3. F(x1) F(x2), x1 < x2.
x
.
x1
x2
A = {X < x1}, B = {x1 X < x2}, C = {X < x2},

C = A + B, p(C) = p(A) + p(B), p(C) = F(x2), p(A) = F(x1),


F(x2) = F(x1) + p(B), p(B) 0 F(x1) F(x2).

4. p(x1 X < x2) = F(x1) F(x2).

.
p(x1 X < x2) = p(B) = p(C) p(A) = F(x1) F(x2).

(4.2)



X<x
.

x
,
x

.
F(x) ,
. ,
, X < x
( 3). X < x
, .. F() = 0 ( 1), +
, .. F(+) = 1( 2).
,
.


F(x) .
X ,
x1, x2, ..., xn (xi-1 <
< xi), p1, p2, ..., pn, pi = p{X = xi}.

xi
pi

x1
p1

x2
p2

...
...

xn
pn

{X = x1}, ..., {X = xn}


,
p1 + p2 + ... + pn = 1.
(4.3)

.
, .
.
, ,

.

, ,
,
:
F ( x) =
p( X = x i ) ,
(4.5)

xi < x

x i , .

,
F(x)
.
F(x)
, ..
. ,
,
. ,
, .
,
.

,
.
X
x x + x :
p{x X <x + x} = F(x + x) F(x).
p{ x X < x + x}
. x 0 ,

x
x
p{x X < x + x}
F ( x + x) F ( x) dF ( x)
lim
= lim
=
= F ( x) = f ( x).
x 0
x 0
x
x
dx

.
( ) f(x)
X
dF ( x)
f ( x) =
= F ( x) ,
(4.6)
dx
.
x dx.
X f(x)dx.
.
X [a, b[
:
b

p{ a X < b} =

f ( x ) dx .

(4.7)

p{a X < b} ,

f(x) [a, b[.
(4.7) F(x)
X :

F ( x ) = p{ X < x} = p{ < X < x} =

f ( x) dx.

(4.8)

:
1. f(x) 0,
F(x) (. 3 F(x)).

2. :

f ( x ) dx = p ( X < + ) = 1.

(4.9)

, ,
1.


,
.

, .
.

:
N

xi pi ,
i =1
mX =M[ X ] =
(5.1)
x f ( x)dx
.


mX , (5.1);
M[X] .
(5.1),
,
,
.

, .. ,
.
:
1. M[c] = c.
. c
, c = 1.

2. M[X + c] = M[X] + c = mX + c .

: M[ X + c] = (x + c) f (x)dx = x f (x)dx +

c f (x)dx = mX + c .

3. M[cX] = cM[X] = c mX .

: M[cX ] =

cx f ( x)dx = c x f ( x)dx = c mX .

k-
k- :

k
xi pi ,
i =1

k ( x) = M[ X k ] =
x k f ( x)dx
.


0
k = 0 0 ( x ) = M [X ] = M [1] = 1 ;
k = 1 1 ( x ) = M [ X 1 ] = M [ X ] = m X ;
k = 2 2 ( x ) = M [X 2 ] .

(5.2)

X

,
o

( ), .. M [ X ] = 0 .
(
o

X )
o

X = X mX .
k X
k-
o

X :
N

k
( xi mX ) pi ,
o
i =1
k ( x) = M[ X k ] =
( x m ) k f ( x)dx
.
X

(5.3)

k = 0 0 ( x ) = M [ X 0 ] = M [1] = 1 ;
o

1
k = 1 1 ( x ) = M [ X ] = M [ X ] = 0 ;
o

k = 2 2 ( x ) = M [ X 2 ] = M [( X m X ) 2 ] = M [ X 2 ] 2 m X M [ X ] + m X2 = 2 m x2 = D X
.

()
:
N
N

2
2
2
( xi mX ) pi = xi pi mX ,
i =1
i =1

(5.4)
Dx = D[ X ] = 2 ( x) = 2 (x) mX2 =

2
2
2
( x m ) f ( x)dx = x f ( x)dx m .
X
X

1. D[c] = 0.
: D[c ] = M (c M [c ]) 2 = M (c c ) 2 = M [0] = 0 .
2. D[X + c] = DX.
:
D[ X + c ] = M ( X + c M [ X + c ]) 2 = M ( X + c m X c ) 2 = M [( X m X ) 2 ] = D X
3 . ,
, +
. ,
:
o

D[ X ] = D[ X mX ] = D[ X ] .

3. D[cX] = c2DX.
2
: D[cX ] = M [c2 X 2 ] ( M [cX ]) = c2 (M [ X 2 ] mX2 ) = c2 DX .

,
.
(), .

X :
X = [ X ] = + D[ X ] .

(5.5)

, .
3.

(5.6)
[ mX 3X; mX + 3X; ].
( )
.
:
.
.

.
, ..
, pi ( )
f(x) ( ) :
f ( Mo ) = max, p( X = Mo ) = max .

.
,

. ,
, .
X ,
p{X < Me} = p{X Me}. , ,
. Me
:
Me

Me

f ( x )dx = 0 ,5 ; f ( x )dx = 0 ,5 ; F ( Me ) = 0 ,5 .

(5.7)

Me , ,
.
p X ,

p{X < p} = F(p) = p.
(5.7)
, 0,5.

6


X, 1 0 :
1 , A
X =
.
0 , A
:

xi
pi

0
q

1
p

p ;
q = 1 p .
:
m X = p, D X = qp .

(6.1)

,
0, 1, , :

p ( X = i ) = pi = q i p ,

(6.2)

p (0 p 1), q=1 p.
:

m X = q / p, D X = q / p2 .

(6.3)
.
.
.
X,
0, 1, , n :

p( X = i) = pi =

n!
p i q n i ,
i !(n i)!

(6.4)

n, p (0 p 1), q = 1 p.
:
m X = np, D X = nqp .
(6.5)
. n ,
.
, (.
).
,
0, 1, , :

ai a
p( X = i) = pi = e ,
i!

(6.6)

a (a > 0).
:
m X = a, D X = a .
(6.7)
:
1. ,
n , p A
0, lim np = a
n
p

(. (3.10)).
2.
, = ,
.
,
(,
, ..).
.
,
, ,

, ..
( ) .
,
t
, 1- .
,
,
, .
,
, .
,
[; b] , ..
X :

0, x < a ,
0, x < a,
1
x a

f (x) =
, a x b, F ( x ) =
, a x b , (6.8)
b

a
b
a

0, x > b .
1, x > b .


b = 3 a = 1.
f(x)

F(x)

a + b
(b a ) 2
mX =
,DX =
.
(6.9)
2
12
a b mX, DX
:
a = m X + X 3, b = m X X 3 .
(6.10)
:
1.
:
, X [1; 0], mX = 0,5;
, X [0; 1], mX = 0,5;
, X [ 0,5; 0,5], mX = 0,
1 .
2.
, X [ 0,5; 0,5], mX = 0, 1
.
3.

RANDOM,
.


T, ,
:

1 e t , t 0,
e t , t 0,
F (t ) =
f (t ) =
<
0
,
t
0
.
0, t < 0.

( > 0).

(6.11)


= 1.

f(x)

F(x)

0.5

0.5

:
mT = 1 / , DT = 1 / 2 .
(6.12)
. T

, .
( )
,
:
( x m )2
1
xm
f (x ) =
exp
, F ( x ) = 0 .5 +
, (6.13)
2
2
2

m, ( > 0);
x
t2

1
( x) =
e 2 dt .

2 0

m = 1, = 1.
0.4

f(x)

F(x)
1

0.2

0.5

ex ,
,
,
.
, (x) = (x), (0) = 0, () = 0,5.
:

= m,D

(6.14)

k ( x) = k !

I [k / 2]

i=0

m k 2 i ( / 2) i
;
( k 2 i )! i !

0, k ,

k (x) = k ! 2 k /2
, k .

(k / 2)! 2

(6.15)

(6.16)

.
. 12 ( ).
, :
;
, .. m = 0,
;
(,
..), m , ,
.


, Y, .. Y = (x) .
, Y , , ,
/
Y
.

,
, Y
.

xi
pi

x1
p1

x2
p2

xn
pi

yi
pi

(x1)

(x2)

(xn)

p1

p2

yi
pj

y1
p1

y2
p2

ym
pm

pn

(*)

(**)
(*)
Y (**).

f ( x) , Y = ( x)
. [, b],
, .. p(a X b) =1,
a = , b = + .
[, b]: .
:
.
Y = () .
G ( y ) .

G ( y ) = p (Y < y ) = p ( ( x ) < y ) = p ( X < ( y )) =

( y)

f X ( x ) dx ,

(y) (x).
Y < y
,

(y).
, Y
X,
[a, b],

0, y < ( a ),
( y )

G ( y ) = f X ( x ) dx, ( a ) y (b ),
a
1, y > (b ).

Y = ()
.

G( y)

Y.

Y = ( x)

(b)
y
Y<y

(a)

f ( x)

(y)

x
b

X<(y)

G ( y ) = p (Y < y ) = p ( ( x ) < y ) = p ( X > ( y )) =

f X ( x ) dx ,

( y)

(y) (x).
Y < y ,
= (y) b.
, Y X,
[a, b], :
0, y < (b),
b

G( y) = f X ( x)dx, (b) y (a),


( y )
1, y > (a).

Y = (x)
:

0, y < ymin ,

g ( y) = G( y) = f X ( ( y)) ( y) , ymin y ymax ,


0, y > y .
max

(7.1)

.

2
2
1
f(x) =
e x / 2 , Y = X 3.
2
g( y ).
Y = (x)

,
X = (y) = Y .
(7.1).
3

2/3
2
1
f X ( ( y )) = f X ( y ) =
e y / 2 ,
2
1
( y ) = ( y1/ 3 ) = 2 / 3 ,
3y

Y = ( x)

(b)
y
Y<y

(a)

1/ 3


Y = X 3 :
1
y 2 / 3 / 2 2
g ( y) =
e
.
3 y 2 / 3 2

f ( x)

x
a

(y)

Y = ()
X>(y)
.
Y = (x) .
1. Y = () Y [ymin, ymax].
2. Y M ,
ki, i = 1, 2, ..., M:
[ymin, y1), [y1, y2) [yM-1, ymax].
ki ,
Y, j(), j = 1, , ki.
3. j() = 1() j'().
j() i- ki.
4. g(y) :
0, y < y m in ,

M
k i
g ( y ) = f X ( j ( y )) j ( y ) , y i 1 y < y i ,
j =1
M

0, y > y m ax .

(7.2)

,
j ( y ) = ( y ), j ( y ) = ( y ) , (7.2)

0, y < y m in ,
M

g ( y ) = k i f X ( ( y )) ( y ) , y i 1 y < y i , ,
M

0, y > y m ax .

(7.3)

[a, b], ..
1/(b a), a x b
f X (x) =
, g()
0, x < a, x > b
0 , y < y m in ,
M

1
g ( y ) = ki
( y ) , y i 1 y < y i ,
(7.4)
b
a

0 , y > y m ax .

Y = (), X
, Y.
, Y (. (7.1 7.4)),
Y (5.1 5.7). ,
Y ,
, .

,
m

= M [Y ] =

] mY

( y ) = M [Y

D Y = M [Y

(xi )pi ;

i=1
n

i=1

] =

2 ( x i ) p i m Y2 ;

i=1

o k

k ( y ) = M [Y

] =

i=1

( xi) pi ;

( ( x i ) m Y ) k p i .

(7.5)
(7.6)
(7.7)
(7.8)


f(x),
+

m Y = M [Y ] =
D Y = M [Y

] mY

(x)

f ( x ) dx ;

(7.9)

( x ) f ( x ) dx m Y2 ;

(7.10)

+
k

( y ) = M [Y

] =

( x ) f ( x ) dx ;

(7.11)

o k

( y ) = M [Y

] =

( ( x ) m

)k f ( x)dx .

(7.12)


itX
Y = e , X

, t , i = 1 .

Y = e

itX

itx k
e p k , ,
k =1
] = +
.
e itX f ( x ) dx , .

n

X ( t ) = M [ e itX

(7.12)

, X (t)
. ,
f(x) X

:
f (x) =

1
2

(t )e

itX

dt .

(7.13)

:
1. Z = aX +b , X
X (t ) ,

Z (t ) = M [e it ( aX + b ) ] = e itb X ( at ) .

(7.14)

2. k- X
k ( x ) = X( k ) (0)i k ,
(7.15)
X( k ) (0) k- t = 0.
3.

Y = X k
k =1

Y (t ) =

i =1

Xi

(t ) .

(7.16)

4.
m :

X (t ) = e

itm

t 2
2

(7.17)

8
.

(, Y)
,
.

X , Y ()
. X, Y ,
.
(, Y)
(, ) 0
, (, ).

y
, ,
,
(X,Y)

Y
,

(, Y):

p ( X ; ) , , , .

x
X


(, Y) { < }
{Y < }:
F ( x, y) = p ({X < x}{Y < y}) .
(8.1)
F(x, y)
(, Y)
y

(, ), .
y
(x, y)
,
,
FX ( x ) ,

Y
x
,
x
0
FY ( y ) .

:
1. 0 F(x, y) 1.

.
: ,
1.
2. F(, y) = F(x, ) = F(, ) = 0, F(+, +) = 1.
3. F(x1, y) F(x2, y), x2 > x1; F(x, y1) F(x, y2), y2 > y1.
. , F(x, y)
.
p ( X < x2 , Y < y ) = p ( X < x1 , Y < y ) + p ( x1 X < x2 , Y < y ) .
p( X < x1,Y < y) = F(x1, y) ,
p( X < x2 ,Y < y) = F(x2, y) ,

F ( x2 , y) F ( x1 , y) = p( x1 X < x2 , Y < y) F ( x2 , y) F ( x1 , y) 0 F ( x2 , y) F ( x1, y) .
.
4. :
F ( x , ) = p ( X < x , Y < ) = p ( X < x ) = FX ( x ) ;
(8.2)

F (, y ) = p ( X < , Y < y ) = p (Y < y ) = FY ( y ) .


5.
p ( X ; ) =
y
= F(, ) F(, ) F(, ) + F(, ).
(,)

,
(,)
.

(8.3)

(,)

(,)

(, Y) ,
X Y
.
.
,
X X = {x1, x2, ..., xn},
Y Y = {y1, y2, , ym}
pij = p(X = xi, Y = yj ), i = 1, , n, j = 1, , m.

xi \ yj

y1

y2

...

ym

x1

p11

p12

...

p1m

x2

p21

p22

...

p2m

...

...

...

...

...

xn

pn1

pn2

...

pnm

1.

i =1

j =1

p ij = 1 .

2. X:
m

pi = p(X = xi ) = pij , i = 1, ..., n .

(8.3)

j =1

3. Y:
n

p j = p (Y = y j ) = pij , j = 1, ..., m .

(8.4)

i =1

(X, Y) ,

F(, )

,

2 F (x, y)

.
xy

f(, )
(, )
:

p({x X < x + x} I { y Y < y + y} 2 F ( x, y)


f ( x, y) = lim
=
.
x0
x
y
x
y

y 0
f(, )
,

.

: f ( x , y )dxdy .


(X, Y) D

(8.5)

y + y
y

(x,y)

p{( X , Y ) D }= f ( x , y ) dxdy .

x + x

x +x

(8.6)

(D )

:
1. f(x, y) 0.
2. :

f ( x , y )d x d y = 1 .

(8.7)

,
x0y, .
3. :
x y

F ( x , y) =

f ( x , y)dxdy .

(8.8)

4. :

fX (x) =

f ( x, y )dy ;

(8.9)

f ( x, y )dx .

(8.10)

fY ( y ) =

,
, .
, . . :
1) F(x, y) = p(X < x, Y < y) = p(X < x)p(Y < y) = FX(x)FY(y) x, y;
(8.11)
2) f(x, y) = fX(x)fY(y) x, y;
(8.12)
3) pij = pi pj , i, j.
(8.13)
, ,
X Y .

, , .
, X Y
.
.


, ,
.
Y
:
pi/j = p(X = xi/Y = yj) = pij/p(Y = yj), i = 1, ..., n;
(8.14)
pj/i = p(Y = yj/X = xi) = pij/p(X = xi), j = 1, ..., m.
(8.15)

(,Y), ,
(. (8.3, 8.4))
(8.14, 8.15).

X
Y :
f(x/y) = f(x, y)/fY (y), fY (y) 0;
(8.16)
f(y/x) = f(x, y)/fX (x), fX (x) 0.
(8.17)

.
Y ,
:
pi/j = pi, i = 1, ..., n;
(8.18)
pj/i = pj, j = 1, ..., m.
(8.19)
f(x/y) = fX (x);
(8.20)
f(y/x) = fY (y).
(8.21)
()
. Y
, =
= (), , ,
Y, .

( Y . (8.11 8.13)),

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


(X, Y).
k + s
Xk Ys:

n m k s
xi y j pi, j ,
i =1 j =1
k ,s ( x, y) = M[ X kY S ] =
(9.1)
k s

x
y
f
(
x
,
y
)
dxdy

.


k + s

X Y

k
s
(xi mx ) ( y j my ) pi, j ,
i=1 j=1
k,s (x, y) = M[(X mX )k (Y mY )s ] =
(9.2)
(x m )k ( y m )s f (x, y)dxdy ,
x
y


n

pij
() (X, Y);
f(x, y)
() (X, Y).
:

mX = 1,0 ( x, y ), mY = 0,1 ( x, y ) ;

(9.3)

DX = 2,0 ( x, y) = 2,0 ( x, y) mX2 , DY = 0,2 ( x, y) = 0,2 ( x, y) mY2 . (9.4)


, ,
1+1 1,1 ( x, y) ,
X,
Y.
KXY
X Y (mX,
mY):
K XY = 1,1 ( x , y ) = 1,1 ( x , y ) m X m Y .
(9.5)
KXY :
1. KXY = KYX.
2. X Y
.
. K XY = 1,1 ( x , y ) m X mY =

y f ( x , y ) dxdy m X mY .

(. (8.12)) f ( x, y) = f X ( x) fY ( y) ,

xy

f ( x, y)dxdy =

f X ( x)dx y fY ( y)dy = mX mY KXY = mX mY mX mY = 0.

3.

K xy Dx Dy K xy x y .
(9.6)
. 11.
K XY < 0 , X Y
, .. ,
(.
8). . , Y
.
K XY > 0 , X Y
, .. ,
. . X Y
.
K XY = 0 , X Y
, ..
.
K XY 0 , X Y .
,
, ,
.
(. (8.11 8.13))
,
.
K XY X, Y,
.. (mX, mY), ,

, .
.
R XY
:

RXY =

K XY
K
= XY .
DX DY X Y

(9.7)

:
1.
: R XY 1 .

. (9.6)
XY KXY XY X Y 0
1 R XY 1 R XY 1 .
2. R XY = 1 , X, Y
Y = a + b.
:
K X Y = 1,1 ( x , y ) = M [( X M [ X ])( aX + b M [ aX + b ])] =
= M [( X m X )( aX + b am X b )] = aM [( X m X ) 2 ] = aD X .
2
Y: D [Y ] = D [ aX + b ] = a D X , ..

: RXY =

K XY
=
DX DY

aDX
DX a 2 DX

a
RXY = 1.
a

,
X, Y
.
3. X Y , RXY = 0 .


(. (8.14 8.17)).
,
(5.1 5.4) ( )
, .

.

, ,
Y Y = y:

M [ X / y] = mX

/y

xi pi / j , ,
i =1

=
x f ( x / y )dx , .

(9.8)


M [Y / x ] = m Y

/x

y j p j/i , ,

i =1

y f ( y / x)dx , .

(9.9)

m X / y X y,
m Y / x Y . ,
,
, , .. m X / y = ( y ) ,

mY / x = ( x ) .
( .
).
1 , X, Y
,
Y
mY / x
( Y ), ..
1
K XY > 0 . 2 ,
X, Y ,
2
3 X, Y m Y

, .. K XY < 0 .
3
x

X, Y. X, Y ,
. :

mY / x = mY + R XY Y ( x m X ) , mX / y = mX + RXY X ( y mY ) . (9.10)
X
Y
(mX, mY),
Y.

10

(X, Y)
, :

f ( x, y) =

1
2 X Y 1 R

2
XY

( x mX )2 2 RXY ( x mX )( x mY ) ( y mY )2

2
X Y
2(1 RXY
) 2 X2
2 Y2
1

, (10.1)

mX , mY , X ,Y , RXY .
X, Y
, , .. R XY = 0
( xmX )2
( y mY )2
1 ( xmX )2 ( y mY )2
1
1
1

+

2
2
2
2
2 X
2Y2 = f ( x) f ( y) .
Y =
f ( x, y) =
X
X
Y
e
e
2 X Y e
X 2
y 2
,
.

Y = ( X1 , X 2 ) .
Y
(1, 2)
. G(y) Y

G( y) = p(Y < y) = p( f ( x1, x2 ) < y) = f ( x1, x2 )dx1dx2 ,
(10.2)
( D)

f ( x1 , x2 ) X1 X2.
(10.2)
x2
D,
y

( X 1 , X 2 ) < y . D
( X 1 , X 2 ) .
y=x1+x2
, Y = X 1 + X 2 ,
,
D
,

x1

yx
yx

G( y ) = f ( x1 , x2 )dx2 dx1 = f ( x1 , x2 )dx1 dx2 .


(10.3)



y,
Y:

g( y) =

f ( x1, y x1)dx1 = f ( y x 2, x 2)dx 2 .

X1 X2 ,
g( y) =

(10.4)

f1( x1) f2 ( y x1)dx1 = f1( y x 2 ) f2 ( x 2 )dx 2 .

(10.5)

, ,
.

, (. (10.5)).

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

n i < xi:

F ( x1 , x2 ...xn ) = p{( X 1 < x1 )( X 2 < x 2)... ( X n < xn )} .

(10.6)
,
, , n-
.
n- (1, 2, ,

n) n- F ( x1 , x2 ...xn ) ,
:

n F ( x 1 , x 2 ... x n )
f ( x 1 , x 2 ... x n ) =
.
x 1 x 2 ... x n
:

(10.7)

1. f(x1, , xn) 0.
2. :

... f ( x ,..., x
1

) dx 1 ...dx n = 1

(10.8)

3.
n-
. ,

f k ( xk ) =

..

.. f1 ( x1 ,..., xn )dx1...dxk 1dxk +1......dxn .

( n 1)

(10.9)

4. (1, 2, , n) n D n- :

p{( X 1 X 2 ... X n ) D} = ... f ( x1 , x2 ,...xn )dx1dx2 .....dxn .

(10.10)

( D)

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

,
: f ( x1, x2 ,..., xn ) = f1 ( x1 ) f2 ( x2 )... fn ( xn ) .
n- (1,
2, , n) .
1. M = (m1, m2, , mn):

mi =

... x f ( x ,..., x
i

) dx1... dx n .

(10.11)

2. D = (D1, D2, , Dn):

Di =

... ( x

mi ) 2 f ( x1 ,..., x n ) dx1 ...dx n .

(10.12)

3. ,
, :

K12

K1n

K 21 K 22

K 2n

K11
Kij =

K n1 K n2

K nn

K ij =

... ( x

m i )( x j m j ) f ( x1 ,..., x n ) dx1 ... dx n . (10.13)

( K ij = K ji )
, ii = Di
4. :
1
R12 K

Rij =

R21
M
Rn1

R1 n
R2 n
M ,
1

1 K
M O
Rn 2 K

Rij =

K ij
Di D j

(10.14)

11

Y = (x1, x2, , xn), 1, 2, , n


n- f(x1, x2, , xn).
Y

k ( y ) = M [Y ] =
k

...

( x 1 , ..., x n ) f ( x 1 , ..., x n ) d x 1 ... d x n ,

(11.1)

k ( y ) = M [ ( Y mY ) ] =
k

... ( ( x ,..., x
1

) mY ) k f ( x1 ,..., x n ) dx1 ...dx n ,

(11.2)

mY = M [Y ] = M [ ( x1 ,..., xn )] = 1 ( y) ,
DY = 2 ( y ) = 2 ( y ) mY2 .

(11.3)

(11.4)
,
f(x1, x2, , xn), ,
Y
.

n

Y = X i , 1, 2, , n
i =1

:
M = (m1, m2, , mn);
D = (D1, D2, , Dn);
K ij .
.

:
n
n
M [Y ] = M X i = mi .
(11.5)
i =1 i =1
. n = 2, .. Y = 1 + 2, ,

f ( x1 , x2 ) .

= M [X1 + X 2] =

mY

( x1 + x 2 ) f ( x1 , x 2 ) d x1 d x 2 =

x1 f ( x1 , x 2 ) d x1 d x 2 +

x 2 f ( x1 , x 2 ) d x1 d x 2 = m 1 + m 2 .

.
, , n.
.

:
n
n
n
n
n n
D[Y ] = D X i = K ij = Di + 2 K ij .
(11.6)
i =1
i =1 j = i +1
i =1 i =1 j =1
:
2
n
n
n o 2

2
D [Y ] = M [(Y m Y ) ] = M X i m i = M X i =
i =1


i =1
i =1
n n o o
n
n
n
n
n
n
n
o o
= M X i X j = M X i X j = K ij = D i + 2 K ij .
i =1 j =1
i =1 j =1

i =1 j =1
i =1
i =1 j = i + 1

.
, K ij = 0, i , j :
n
n

D X i = Di .
i =1 i =1

(11.7)

Y = a0 + ai X i , a i ,
i =1

Y :
n
n

mY = M a 0 + ai X i = a 0 + ai mi ;
(11.8)
i =1
i =1

n
n
n

n
DY = D a0 + ai X i = ai2 Di + 2 ai a j K ij .
(11.9)
i =1
i =1 j =i +1

i =1
, (11.6), (11.7)
(M[c] = c, M[X + c] = mX + c , M[cX] = c mX ) (D[c] = 0,
D[X + c] = DX, D[cX] = c2DX).
. ,

:
K xy Dx Dy K xy x y .
Z1 = Y X XY, Z2 = YX + YY
(11.9):
2
2
D [ Z 1 ] = 2 X2 Y2 2 X Y K X Y ; D [ Z 2 ] = 2 X Y + 2 X Y K XY .
, 2 X2 Y2 2 XY KXY 0
X Y K XY 2 X2 Y2 + 2 X Y K XY 0 X Y K X Y . ,
X Y K XY X Y K X Y X Y .

Y =

i =1

X i , (X1, X2, , Xn)

:
M = (m1, m2, , mn);
D = (D1, D2, , Dn);
K ij .

.
:
mY = M [ X 1 X 2 ]= m1m2 + K12 .
(11.10)
.
o

K12 = M [ X 1 X 2 ] = M [( X 1 m1 )( X 2 m2 )] = M [ X 1 X 2 m1 X 2 m2 X 1 + m1m2 ] =
M [ X 1 X 2 ] m1M [ X 2 ] m2 M [ X 1 ] + m1m2 = M [ X 1 X 2 ] m1m2 .
(11.10).
.
:
n
n

mY = M X i = m i .
(11.11)
i =1
i =1
. n = 2.
K ij = 0, i , j , (11.10) mY = M [ X 1 X 2 ]= m1m2 .
, , (11.11)
n.
.

n
n
n

2
D Y = D X i = ( D i + m i ) m i2 .
(11.12)
i =1
i =1
i =1

.
2
2
n
n
n
n

n
n
D X i = M X i M X i = M X i2 mi2 = ( Di + mi2 ) mi2 .
i =1
i =1
i =1
i =1
i =1
i =1 i =1
.
:
n
n

DY = D X i = D i .
(11.12)
i =1
i =1

12

,
.
, . n- (n > 100...1000)
( )
.
,

.
. X
mX DX
:
p( X m

X
2

(12.1)

> 0.
. p( X ) :
p( X ) =

x2 2
x2
1
f ( x) dx = 2 2 f ( x ) dx 2 f ( x ) dx = 2
x

x
x

f ( x ) dx =

M[X 2]

p( X mX

f ( x) dx

p( X )

M [X 2]

.
o

X = X mX ,

M [( X m X ) 2 ] D X
)
= 2 .
2

. ,
3X. = 3 X , :
D
1
p ( X m X 3 X ) X2 = .
9 X
9

. (1/9)
. , 3X
, 8/9.
. Xn

a, X

a , n

, Xn a ,
:
p( X n a < ) > 1 ,
, .

,
.
. n
, X X1,
X2, , Xn.
X
:
p
1 n
mX .
(12.2)
X i n

n i =1
1 n
. Y =
X i .
n i=1
Y (. (11.5), (11.7)):
1 n
1 n
1
mY = M [ X i] =
M [X i] =
nm X = m X ;

n i =1
n i =1
n
1 n
1 n
1
DX
.
DY = D[ X i ] = 2 D[ X i ] = 2 nD X =
n i =1
n i =1
n
n
Y:
1 n
D
D
p ( Y m Y ) = p ( X i m X ) 2Y = 2Y .

n
n i =1
, n ,

p(

1
n

1
p(
n

X
i =1

mX ) < .

m X < ) > 1 , .. Y mX.

X
i =1

DX
< , .
2n

. n
, .
n
:
p

p*(A)

p(A) ,

(12.3)

m
n ;
n
m ;
n .
X :
1 , A
X =
,
0 , A
Xi i- .
X (. (6.1)):
m X = p, D X = qp ,

p* ( A ) =

q = 1 p .
:
p
1 n
m
*
m X = p = p ( A) .
X i = n = p ( A ) n

n i =1

,
.
,

X1, X2, , Xn. , ;
, .
, ,
.
. X1, X2, , Xn ,
m
2 , n (n )
n

Y = X i
i =1

:
mY = n m, Y = n .
(12.4)
.
( ).
. X1, X2, , Xn
f(), ,
X (t ) . ,
X1, X2, , Xn m;
, , , m = 0.
(7.16)

:
n
Y (t ) = [ X (t ) ] .
(12.5)

X (t ) t = 0
:
X (t ) = X (0) +X (0)t + [X (0) / 2 + (t )]t 2 ,
(12.6)
t; (t ) 0 t 0.
(7.15)

X (0) = X(0) (0) = 0 ( x)i0 = 1 ,


X (0) = X(1) (0) = 1 ( x)i1 = m i = 0 ,
X (0) = X(2) (0) = 2 ( x)i2 = 2 i2 = 2 .
(12.5),
X (t ) = 1 [ 2 / 2 (t )]t 2 .
(12.7)
Y
Y
. ,
Z =
n
n . , Z
, ,
Y, Z, .
,
Z n , ,

t2
2

e
, Z, mZ = 0; Z = 1 (. (7.17)).
Z.
(7.14) :
t
Z (t ) = Y (
).
(12.8)
n
(12.5) (12.7) (12.8), :
n

Z (t ) = 1 (t / n ) t 2 /(n 2 ) .
2

(12.9)

lnZ (t ) = n ln 1 (t / n ) t 2 /(n 2 ) .
2

2
2
2
(t / n ) t /( n ) = , ln Z (t ) = n ln(1 ) .
2

n;
. ln (1 )

ln (1 )

):

t2
lim ln Z ( t ) = lim n ( ) = lim
+ (t /
n
n
n
2
t2
t2
2
2
=
+ lim ( t / n ) t / = .
2 n
2
ln im

(t ) = e

t2
2

n )t 2 / 2 =

, ,

,
m = 0, = 1.

.
. X1, X2, , Xn ,
Di D i ,
n (n )
n

Y = X i :
i =1

mY = mi , Y =
i =1

D
i =1

(12.10)

Di D, i ,
( i Y
).
, ,
( ) ,
.
. Y
- , .
( )
n , :
n

Y = Xi
i =1

, :
X1 , ;
2 , ;
3 , ;

n , .
n , n
, Y. X1, X2, ,
Xn . ,

- X1, X2, , Xn
, ,
,
; ,
,
( ) .
;
, ,

( ) ;
Xi,
,
.
.

,
n>10...20.
1. ,
[0, 1], , ,
.

= (

12

i = 1

6 ) + m

(12.11)

m, .
2. (. (3.11), (3.12)), ..
n
, n , p q
, :
0 < np 3 npq , np + 3 npq < n .
(12.12)
Xi i- ,
n

n Y = X i , 0 Y n .
i =1

mY = mi = np , Y =
i =1

D
i =1

= npq . (12.12)

3 Y Y,
Y [0; n].

13
.
,
,
.
, n
.
,
.
X. (N)
.
.
{x1 , x2 ,..., xn } ()
. n
. ,
, ..
(). ,
, , ..

. , k
n X:
{x1(1) ,..., xn(1)},{x1(2) ,..., xn(2)},...,{x1(k ) ,..., xn(k )} .
X F(x),
{x1(1) ,..., xn(1)},{x1(2) ,..., xn(2)},...,{x1(k ) ,..., xn(k )} ,
n- (1,...,n), i, i =
= 1, ..., n, i- . ,
i F(x).
i , n-
(X1, X2, , Xn)
F(x1, x2, , xn) = F(x1) F(x2)...F(xn).
{ x1 , x2 ,..., xn },
.
x i .

.

X
, X , x,

0, x x1 ,
:

i
F * ( x ) = p* ( X < x ) = , xi < x xi +1 ,
n
:

1, x > xn .

(13.1)

n F*(x)
F(x).
F*(x).
1. 0 F*(x) 1.
2. F*(x) .
3. F*(x) = 0, x x1 .
4. F*(x) = 1, x > x n .

(, , ).
F*(x) :
X.

n,
{ x1 , x 2 , ..., x m } :
xj

p *j

....

k1

k2

....

km

kj

*
p j =

j- ;
n
kj xj .
:
m

1.

j =1
m

2.

j =1

= n .

p *j = 1 .


,
:

j
1

Aj
A1

Bj
B1

hj
h1

j
1

p *j
p1*

f j*
f1*

0
M

AM

BM

hM

pM*

fM*

j ;

M ,
[ x1 , x n ] :

( )

int n , n 100,

M
int ( ( 2 4 ) lg ( n ) ) , n > 100,

(13.2)

int(x) x . , n M;
Aj, Bj j- (Aj+1 = Bj),
A1 = x1 , B M = x n ;
hj = Bj Aj j- ;
j , j- ;
j
p *j =
j- ;
n
p *j
j
*
=
fj =
j- .
hj
nh j

:
1) , .. :
x x1
hj = h = n
, j ;
(13.3)
M
A j = x1 + ( j 1) h , j = 2, M .
(13.4)
2) , .. ,
(,
n M):
n
1
, p *j =
j = =
j ;
(13.5)
M
M

Aj =

x ( j 1) + x ( j 1) +1

, j = 2, M .
(13.6)
2

*
f (x) ,
. ,
, , hj
*
f j
.

,
. 1.
: , .

f*(x)

f*
j

f*1
A1

x
B1

A3

B3

A2

B2

A4

Aj

Bj

AM

BM

14

Q Q
,
( ). .
, .
Q Q X

Q = ( x1 , x2 ,..., xn ) ,

(14.1)

xi .
, Q ,
n- (X1, X2, , Xn), i
i- , Q
. .
1. Q ,
n Q:
p
Q
Q lim( P( Q Q < )) = 1, > 0 .
(14.2)
n
n

.
2. Q ,
Q :
(14.3)
M [ Q ] = Q , n .
D Q = 0.
, lim
n
3. Q ,
:
D Q = m in .
(14.4)
.

x ,
:

m *X = x =

1
n

xi .

i =1

x.
1 n
1 n
1 n
M [ x ] = M [ X i ] = M [ X i ] = mX = mX ,
n i =1
n i =1
n i =1
.. .
1 n
1 n
1 n
1
D[ x ] = D[ X i ] = 2 D[ X i ] = 2 DX = D X .
n i =1
n i =1
n i =1
n

(14.5)

(14.6)

(14.5) , .. ,
X .
k-

1 n
k
(14.7)
k ( x ) = ( xi ) .
n i =1
.

:
1 n
1 n 2
2
2
S = ( xi x ) = xi ( x ) 2 .
(14.8)
n i =1
n i =1
S2.
, , mX, ..
:
2

1 n o2 1 n o
n 1 n o2 2 n o o
M [S ] = M [ X i X i ] = M [ 2 X i 2 X i X j ] =
n i =1
n i =1
n i< j
n i =1

o
o
o
n 1 n
2 n
n 1 n
2 n
n 1
= 2 M [ X i2 ] 2 M [ X i X j ] = 2 D X 2 K ij =
DX .
n i =1
n i< j
n i =1
n i< j
n
2

Kij = 0 , , , i
i- . , S 2
,
:
n 2
1 n
1 n 2
n 2
2
S02 =
S =
xi
x .
( xi x ) =
(14.9)

n 1
n 1 i=1
n 1 i=1
n 1
2
S 0 :

n3
D2.
(14.10)
n
n ( n 1)
X (14.10)

D [ S 02 ] =

2
D2,
(14.11)
( n 1)

0 .8 n + 1 .2 2
D .
D [ S 02 ]
(14.12)
n ( n 1)


D [ S 02 ] =

(14.13)
S 0 = S 02 .
k- :

1 n
k
k ( x) = ( xi x ) .
(14.14)
n i =1
.
A
:
m
p * ( A) = ,
(14.15)
n
m , A;
n .
p * ( A ) = p * :

M[p * ] = p ( A ) = p , D[p * ] =

p (1 p )
.
n

(14.16)


.
. {x1, ..., xn}
f(x, Q1, ...,
Qm) m Q1, ..., Qm.
Q , ..., Q Q1, ..., Qm. :
1

1. m /

k
(14.17)
k ( x) = M X k ,
k ( x ) = M ( X mx ) .

2. m k ( x) /
k ( x) (14.7, 14.14).
3. Q1, ..., Qm
m ,
. k ( x) = k ( x)
( x ) = ( x ) . Q , ..., Q
k

.
. ,
.
.
Q1 , ..., Q m Q1, ..., Qm
L( x1,..., xn , Q1,..., Qm ) .
X , xi ,

L( x1,..., xn , Q1,..., Qm ) = f ( xi , Q1,..., Qm ).


i =1

X xi
p( X = xi ) = pi ( xi , Q1,..., Qm ),
n

L( x1,..., xn , Q1,..., Qm ) = pi ( xi , Q1,..., Qm ).


i =1


:
L( x1, ..., xn , Q1, ..., Qm )
i = 1, 2, ..., m ,
= 0,
(14.18)
Qi

ln ( L ( x1, ..., xn , Q1, ..., Qm ) )


= 0,
(14.19)
i = 1, 2, ..., m.
Qi

Q1 , ..., Q m Q1, ..., Qm.

Q Q .
, Q
Q . , ,
,
,
p ( Q Q < ) = .
(14.20)
,
Q Q , ;
= 1 . (14.19)
, Q

I = ( Q ; Q ) .
(14.21)
I ,
() Q.
1: 0,9; 0,95; 0,975; 0,99.
,
Q . ,
Q X ,
, (
Q ). , Q

, , n
,
, n (n > 2050)
.
.
I X

S0 z
n

< mX < x +

S0 z
n

(14.22)

z = arg ( ) , .. (z) = .
2
2
X

ft (x)
mx x ,
(x mX ) n
T =

S0

(n 1)
.
k

-t ,k
t ,k
:
k +1
k +1


2
2

t
2 1+
f k (t ) =
,

(14.23)
k
k
k
2

1 t
( ) = t e dt -.
0

S0 t ,n1
n

< mX < x +

S0 t ,n1
n

(14.24)

t ,n1

, .
. I
X

S 02 z

z = arg ( )
2

2 2
S 0 < DX < S 02 + z
n 1

2 2
S0 ,
n 1

, .. (z) =

(14.25)

X
( n 1) S 02
2
mx x , v =

2
X
(n 1)

( n 1) S 02

12
2

, n 1

< DX <

( n 1) S 02

12+
2

, n 1

2
2
1 ,n1 , 1+ ,n1 ,
2

(14.26)

2.

(14.24, 14.26)
n, I
, Q Q . ,
X X2 ,
I
n (14.22), S 0
X .
. I
A

p z
*

p * (1 p * )
< p ( A) < p * + z
n

p * (1 p * )
,
n

(14.25)

m
A n ;
n
m , A;
n ;

z = arg ( ) , .. (z) = .
2
2

*
*
p = p ( A ) =

15


{0, 1, , Hk-1}
. Hi
. :
{H0, H1}. H0 , H1 .
U = ( x1 ,K , xn ) , xi
,
H0 , H0 ,
, ,
, (
).
.
, H0,
(" ").
.
, = 0,05 = 0,01.
, H0 ,
(" ").
. (1-)
.
.

.
.
, n1 n2 .
.
k1 , k2 ,
, :
k
k
p 1* = 1 > p 2* = 2 .
n1
n2

U = p 1* p 2* .

(15.1)
, ?
, A ,
, ?
{H0, H1}, :
H0 , ..
, U
,

H1 , ..
.
- H0 ,
,
, ,
k1 + k 2
*
.
: p p =
n1 + n 2
n1 n2 p1* p 2*
,
*
m = p p . D1 D2
, (. (14.16))

p1* (1 p1* )
p 2* (1 p 2* )
D1
, D2
.
n1
n2

U = p p ,
*
1

*
2

mU = 0

p1* (1 p1* ) p2* (1 p2* )


p1* (1 p1* ) p2* (1 p2* )
+
DU = D1 + D2
+
, U = DU
.
n1
n2
n1
n2
U
:
U
= p (U U ) = 0.5 ( ) .. U = U arg (0.5 ) .

, (15.1), ,
, .. U > U , H0 ,
.

,
.
( ).
. .
1. .
2. :
H0 X - : f(x) = f0(x),
H1 X - : f(x) f0(x),
f0(x), F0(x) .
2

3. ,
Q1 , ..., Q m
.
4.
M

2 = n

p j p*j

pj

j =1

( j np j )

j =1

np j

(15.2)

pj j-
, H0 :
Bj

p j = p( Aj X < Bj ) = f0 (x)dx = F0 ( Bj ) F0 ( Aj ) .

(15.3)

Aj

. p1 pM
A1, BM
. , A1
= -, BM = +. pi ,

M

1 pi 0,01 .
j =1

2 ,

2 .

X, k,
:
k
u
1

1
2
u e 2 , u 0,
k

k
f k (u ) = 2 2
(15.4)
2

0, u < 0,

1 t
( ) = t e dt -.
0

f 2(x)

,
2 ,k ,
2

p (
k.

> 2 , k ) = ,

2
, k

5. 2 ,k ,
( = 0,05 = 0,01), k
,
k = M - 1 - s.
s
, . 3.
6. , (15.2), ,
2

, .. > ,k , H0 ,
.
. :
1.
F*(x).
2. F*(x) :
H0 : F(x) = F0(x),
H1 : F(x) F0(x),
F0(x) .
3.
Q1 , ..., Q m
.
4. 10...20 F0(x)
F*(x).
5.
F*(x) F0(x).
2

Z = max F * ( xi ) F0 ( xi ) .

(15.5)

i =1

6.

= n Z .

(15.6)
,
X,:

F ( ) =

( 1) e
k

2 k 2 2

k =


F ( ) ,
,
p (0 < ) = .
7.
, = 1 .
( = 0,05 = 0,01).

(15.7)
f (x)

8. > , H0 ,
.
2
:

(n < 20), "", ,
. ,
F*(x)
, .
, ,
,
- , ..
F0(x),
Q1, ..., Qk. .
F0(x),

2
.

k. .
. ,

, ;
,
.

16

n ,
(,)
{(1, 1), (2,
2),,(n, n)}.
, (.
1315), ,
() . ,

(,):
:

1 n
m = x = xi ;
n i =1
1 n
*
mY = y = yi ;
n i =1
*
X

(16.1)
(16.2)

1 n
1 n 2
n 2
2
( xi x ) =
xi
x ;
(16.3)

n 1 i =1
n 1 i =1
n 1
1 n
1 n 2
n 2
2
S02 ( y) =
yi
y .
( yi y ) =
(16.4)

n 1 i=1
n 1 i=1
n 1
.

1 n
*
K XY
=
( xi x )( yi y ),
(16.5)
n 1 i =1
xi, yi , X, Y i- ;
x , y X Y .


K *XY
*
RXY =
,
(16.6)
S 0 ( x ) S0 ( y )
S02 ( x) =

S0 ( x), S0 ( y )
X Y .

e2a 1
e 2b 1
< RXY < 2b
,
e2a + 1
e +1

(16.7)

*
1 + R XY
0,
5
ln
=

*
1 R XY

*
z
1 + R XY

b
=

+
0,
5
ln

*
R

1
3

XY

z
n3

z = arg ( ) , .. (z) = .
2
2

.
, (X, Y)
. .
1. :

H0: R X Y = 0 ;
H1: R X Y 0 .
R X Y .
*

2. R X Y (16.6)
3. ( n < 50 ),
R X* Y n 2
t =
,
(16.8)
2
*
1 (R XY )
(n-2) ,
H0 .
4.
=1
t , n 2 .
5.

t > t , n 2 , H0 , ,

X, Y . H0 .
3*. (n > 50 ),

R X* Y n
Z =
,
(16.9)
2
*
1 (R XY )
, H0
.
4*.
1
1
.
Z = arg
, .. ( Z ) =
2
2
5*. Z > Z , H0 , ,
X, Y . H0 .

t-. t-
,
X Y , . ,
0 , mX = mY. {x1 , x2 ,..., xn1 } , {y1, y2 ,..., yn2 }
;
.

xy
n1n2 ( n1 + n2 2)
T=
.
(16.10)
n1 + n2
(n1 1) S02 ( x ) + ( n2 1) S 02 ( y )

( X Y
) , 0 ,
k = n1 + n2 2 .

.

t1,n1 . ( (16.10))

T T > t1 ,n 1 , 0 .
t-
. ,
(..
) . X = Y
; X = Y
F- (. ).
F-. ,
X2 , ,
, . .
F-
, X Y . 0
, X = Y .
n1 n2.
S 2 ( x)
S 2 ( y)
F = 02
, F = 02
,.
(16.11)
S0 ( y )
S0 ( x)
, .
F F- (n1 -1, n2 -1)
. .
F-
F / 2;n1 1, n2 1 . F, , ,
F / 2;n1 1, n2 1 , 0 .
. ,
;
, 0 , FX (x) FY ( y) .

X Y .
,
, , ,
,
X Y.
{x1 , x2 ,..., xn1 } { y1 , y2 ,..., yn2 }
. (i yj;) , yj < i .
, , n1 = 4 n2 = 5 : y5 x3
x4 y1 y2 x2 y4 y3 x1 . x3 x4 ( y5), x2
( y5 y1 y2), x1 ( ).
U .
, U
nn
M U = 1 2 .
2
0 , U
U,
. (n1 n2 25)
U
U = Z

n1 n 2 ( n1 + n 2 + 1)
,
12

(16.12)

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

17

n ,
(,)
{(1, 1), (2,
2),,(n, n)}.
X, Y, ..
*
m Y / x Y .
:
mY* / x = y ( x ) = ( x , a 0 , a1 ,..., a m ) ,
a0 , a1,..., am .

,
-,

y
(x, a0 , a1,..., am ) ..

,
, ..,

-,

a0 , a1,..., am .

,

0
x
(. ).

y ( x ) = ( x , a 0 , a1 ,..., a m ) ,
(1,y1)....(xn,yn) ,
, ..
Y =.

.
,
y = ( x , a 0 , a1 ,..., a m )
{(1, 1), (2, 2 ,, (n, n)}, .

,
a0 , a1,..., am ,
:

[y
i =1

( x i , a 0 , ..., a m ) ] = m in
2

(17.1)

a j , j = 1,..., m , (17.1)
. a j , j = 1,..., m ,
( ):
n
( xi )
= 0, j = 0,1,...m ,
[ yi ( xi , a 0 ,..., a m ) ]
(17.2)

a j
i =1

( xi )

a j

aj

i.
(17.2) ,
, .. m+1.
(17.2) ;
.
y :
y = ( x , a 0 , ..., a m ) =

a
j=0

xj .

(17.3)

(17.2) ():
m

a (x )
j =0

i =1

j+k

= yi ( xi ) , k = 0,1,...., m
k

i =1

(17.4)

n,
m

a
j =0

j +k

( xi ) = k ,1 ( xi , yi ), k = 0,1,...., m

(17.5)

1 n
k
k ( x ) = ( xi ) - k- X;
n i =1
1 n
k ,1 ( x , y ) = xik y i
n i =1
k+1 X Y.
(17.4) a j , j = 1,..., m ,

. , a0 , a1,..., am ,

y = ( x , a 0 , a1 ,..., a m )
{(1, 1), (2, 2),,(n, n)}.
. mY / x = a0 + a1 x.
(17.5) m=1

0 ( x)a0 + 1 ( x)a1 = 0,1 ( x , y )

.
1 ( x)a0 + 2 ( x)a1 = 1,1 ( x , y )

, 0 ( x ) = 1, 1 ( x ) = x , 0 ,1 ( x , y ) = y , :

a0 + xa1 = y

.
xa0 + 2 ( x)a1 = 1,1 ( x , y )

a 1 =

1 ,1 ( x , y ) x y
2 ( x ) x 2

a0 = y a1 x ,

K *X Y
,
2
S0 (x)

(9.10) (. 9).

(17.6)
(17.7)

1. .., ..
. .: , 1988. 416 .
2. .. :
. 5- ., . .: . ., 1999. 576 .
3. .. . .: . ., 1983.
279 .
4. .. . .:
. ., 1977. 479 .
5. .., .., ..
: . . .-. .
.: , 2000.-384 .

. 2003, . 29

..
..
.. .
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6084 1/16.
.
.
.
. . . .
.-. . 4,0.
300 .
210.
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:

.
156 30.12.2002.
509 03.08.2001.
220013, , . , 6.