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-

. .

2007

519.21
1773-2
493

. . : . / .
. -. , 2007. 148 .
ISBN 978-5-94356-523-6

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061800 .
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. .-. . .

c

, 2007
ISBN 978-5-94356-523-6

c . ., 2007


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I.
1. . . . . . . . . . .
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3. . . . . . . .
4. . . . . . . . . . . . . . . . . . . . .

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. 7
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II. . . . . .
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3. . .
4.
5. . . . . . . . . .

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21
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23
25
26
31

III. . . . . . . . . . . . . . .
1.
2. . . .
3. . . . . . . . . . . . . . . . .

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33
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IV. . . . . .
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45
45
48
51
56

V. . . . . . . . . .
1. . . . . . . . . . . . . . .
2.
3. . . . . . . . . . . . . . . . .

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VI. , . . . . 65
1. . . . . . . . . . . . . 65
2. . . . . . . . . . . . . . 72

3. . . . . . . . . . . . . . . . . . . . . . . . . 77
4. . . . . . . . . . . . . . . . . . . . . . . 78
VII. . . . . . .
1. . . . . . . . . .
2. . .
3.
4. . . . . . . . .

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79
79
82
85
90

VIII. . . . . . . . . . . . .
1. . . . . . . . . . . .
2.
3. . . . . . . .
4. 2 . . . . .
5. . . . . . .
6. . . . . . . . . . . . . . . . .

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91
91
94
99
107
108
110

IX. . . . . 111
1. . . . . . . . . . . . . . . . 111
2. . . . . . . . . . . . . . . . 116
X.
1. . . . . . . . . . . . .
2. . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . .

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121
121
125
127

XI. . .
1. . . . . . .
2.
3. . . . . . . .
4. . . . . . . . . . . . . . .

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129
129
134
135
138

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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
. . . . . . . . . . . . . . . . . . . . . . . 144
. . . . . . . . . . . . . . . . . . . . . . . . . 147


, 1996 .
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, , , .
11 . . . IIVI VII . ,
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,
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.

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. . ?
? , . ,
5 035 10 000 ,
: ,
5035 .
, , .
- , .

1.
,
(
- ). .
1.

?
2. , . . ,

?
. (). ,

I.

,
, .
- :
, , ,
. .
, , .
, ,
,
( ) .
: R , . ,
.
n , X1 , X2 , . . . , Xn , . . . F, .
~ = (X1 , . . . , Xn ), .
X
.
,
( , ). , ,
: - . , Xi
, , ,
i - , . . Xi .
~ = (X1 , . . . , Xn ) n 1. X
F n , F.
? , ,
E , D , E k . .
.

2.

2.
. X1 = X1 (0 ), . . . , Xn = Xn (0 ).
,
X1 , . . . , Xn (, n- ). , ( , ),
(, P
. .).
E
:
X 1

X1
...
Xn
Xi (, y)
, Fn (y) =
=
.
1
1

n
n
P
...
n

Xi < y

,
. .
n
n
X
1
1 X

E =
Xi =
Xi = X.
i=1

i=1


n
n
X
1 X
1
2

D =
(Xi E ) =
(Xi X)2 = S 2 .
i=1

i=1

k
n
n
X
1
1 X k
k
k

E ( ) =
Xi =
Xi = X k .
i=1

i=1

g(X)
n
1 X

Eg( ) =
g(Xi ) = g(X).

i=1

0 ,
Fn (y), X, S 2 , X k , g(X)
, n
X1 , . . . , Xn .

10

I.

() .
( X1 ) .
: ,
, , . .

, .
. F F (y) = P(X1 < y). .
2. , ~ = (X1 , . . . , Xn ) n,
X
Fn : R [0, 1], y R
Fn (y)

n
Xi (, y)
1 X
=
=
I(Xi < y).
n
n
i=1

, y
(
1, Xi < y,
I(Xi < y) =
0

{Xi < y}. y p = P(Xi < y) = F (y) (?).


X1 , . . . , Xn
, ,
:
X(1) 6 X(2) 6 . . . 6 X(n1) 6 X(n) .

X(1) = min{X1 , . . . , Xn },

X(n) = max{X1 , . . . , Xn }.

X(k) k - k - .

11

2.

1.
~ = (0; 2; 1; 2,6; 3,1; 4,6; 1; 4,6; 6; 2,6; 6; 7; 9; 9; 2,6).
X

(0; 1; 1; 2; 2,6; 2,6; 2,6; 3,1; 4,6; 4,6; 6; 6; 7; 9; 9)
(. 1).
Fn (y)
6
1











-

10

. 1.

,
1
0
, 1 -

15
2
1

, 2
. .
15
15


m
( ), Xi
, m n
, Xi .
:

0, y 6 X(1) ,
k
Fn (y) =
, X(k) < y 6 X(k+1) ,
n

1
y > X .
(n)

. .
.
.
( ) -

12

I.

. A1 , . . . , Ak , . j = 1, . . . , k j
, Aj :
j = { Xi Aj } =

n
X

I(Xi Aj ),

n=

i=1

k
X

j .

(1)

j=1

Aj , j .
. lj Aj , fj
fj =

n lj

, , .
2. 1:
(0; 1; 1; 2; 2,6; 2,6; 2,6; 3,1; 4,6; 4,6; 6; 6; 7; 9; 9).
[0, 10] . [0, 2,5)
, [2,5, 5) , [5, 7,5) , [7,5, 10] . (. 2). . 3 ,
.
6

8
75

0,1

9 10

. 2. k = 4

9 10 y

. 3. k = 5

, : ,
,
. ,
k(n) n:
n.

2.

13

1. . . k(n)
0, ,
n
y .


3 n (
c/ 3 n).
, , . [1, 1, 10]).
.
.
.
E = EX1 = a, D = DX1 = 2 , E k = EX1k = mk , , k - .
, .

E = EX1 = a

X=

n
1 P
X
n i=1 i

D = DX1 = 2

S2 =

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

S02 =

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


n
1 P
X k k-
n i=1 i

E k = EX1k = mk

Xk =

Eg()

g(X) =

n
1 P
g(Xi )
n i=1

,
, X1 , . . . , Xn ,
.

14

I.

3.
,
: , , .
, (, )
. . ,
.
.
Fn (y).
1. X1 , . . . , Xn F
F Fn p
, . Fn (y) F (y)
n y R.
. 2
n
1 X

I(Xi < y).


Fn (y) =
n

i=1

I(X1 < y), I(X2 < y), . . .


, :
EI(X1 < y) = 1 P(X1 < y) + 0 P(X1 > y) = P(X1 < y) = F (y) < ,
( ?):
n
P

Fn (y)

I(Xi < y)

i=1

EI(X1 < y) = F (y).

, y R. ,
, .
.
2 ( ). 1

p
sup Fn (y) F (y) 0 n .
yR

3.

15

, 1 , .
F , , ,
1/ n.
3 ( ). X1 , . . . , Xn n F F,
Fn .


n sup Fn (y) F (y) n ,
yR

X
2 2
K(x) =
(1)j e2j x x > 0, K(x) = 0 x < 0.
j=

.
[1].
n
, .
4. y R
1) EFn (y) = F (y), . . Fn (y) F (y);
F (y)(1 F (y))

;
2) DFn (y) =
n

3) n(Fn (y) F (y)) N0, F (y)(1F (y)) F (y) 6= 0, 1, . . Fn (y)


F (y);
4) nFn (y) Bn,F (y) .
. , I(X1 < y) BF (y) (?),
EI(X1 < y) = F (y)

DI(X1 < y) = F (y)(1 F (y)).

(1). I(Xi < y) ,


n
P

EFn (y)

=E

n
P

I(Xi < y)

i=1

EI(Xi < y)

i=1

nEI(X1 < y)
= F (y)
n

( ?).

16

I.

(2). I(Xi < y)


,
n
P

DFn (y)

=D

n
P

I(Xi < y)

i=1

DI(Xi < y)

i=1

n2

nDI(X1 < y)
F (y)(1 F (y))
=
2
n
n

( ?).
(3) ( ?):

n(Fn (y) F (y))


n
P

i=1

n
P

P

I(Xi < y)
F (y)
n

i=1

I(Xi < y) nF (y)

=
n

I(Xi < y) nEI(X1 < y)

N0, DI(X1 <y) = N0, F (y)(1F (y)) .


n

, (4) -
(!). I(Xi < y)
BF (y) ,
nFn (y) = I(X1 < y) + . . . + I(Xn < y)
Bn,F (y) .
2. , , ,
II. .
. F , f . , , k
n . , k = k(n), 1. , , ,

.
5. n j = 1, . . . , k
Z
j
p
lj fj =
P(X1 Aj ) = f (x) dx.
n

Aj

. 5, (1)
I(X1 Aj ), . . . , I(Xn Aj ).

17

3.

. X
,
( ).
6. 1. E|X1 | < , EX = EX1 = a.
p

2. E|X1 | < , X EX1 = a n .




3. DX1 < , DX1 6= 0, n X EX1 N0, DX1 .


. :
EX =

1
1
(EX1 + . . . + EXn ) = n EX1 = EX1 = a.
n
n

:
X=

X1 + . . . + Xn p
EX1 = a.
n

n
P

n X EX1 =

i=1

Xi nEX1

N0,DX1 .
n

3. , E|X1 | <
. . X EX1 . .
k - X k ,
k - .
7. 1. E|X1 |k < , EX k = EX1k = mk .
p

2. E|X1 |k < , X k EX1k = mk n .



 k
k
k
k
3. DX1 < , DX1 6= 0, n X EX1 N0,DX k .
1

.
8. DX1 < . 1. S 2 S02
:
p

S 2 DX1 = 2 ,

S02 DX1 = 2 .

2. S 2 , S02 :
ES 2 =

n1
n1 2
DX1 =
6= 2 ,
n
n

ES02 = DX1 = 2 .

18

I.

3. 0 6= D(X1 EX1 )2 < , S 2 S02 :




n S 2 DX1 N0,D(X1 EX1 )2 .


. . , ,
n
1 X
S =
(Xi X)2 = X 2 (X)2 .
n
2

(2)

i=1


,
p

S 2 = X 2 (X)2 EX12 (EX1 )2 = 2 .


,

p
n
n
1, S02 =
S 2 2 .
n1
n1

(2) :


2
2
2
ES = E X (X) = EX 2 E(X)2 = EX12 E(X)2 =

 X
n


2
1
2
2
2
Xi =
= EX1 EX + DX = EX1 (EX1 ) D
n

1
2
n1 2
= 2 2 nDX1 = 2
=
,
n
n
n

ES02 =

i=1

n
ES 2 = 2 .
n1

.
Yi = Xi a
DY1 = DX1 = 2 . :
n
n
2
2
1 X
1 X
2
S =
(Xi X) =
Xi a (X a) = Y 2 Y .
n
n
2

i=1

i=1

 




2
2
2
2
2
2
2
n S
=
n Y (Y ) = n Y EY1 n(Y )2 =
n
P

Yi2 nEY12

= i=1
Y n Y N0, D(X1 a)2 ,
n

4.

19

N0, DY 2 ,
1

Y n Y : Y ,

n (?), n Y ,
N0, DX1 (?).
.
. ? ?
?
4.
1. ,
. 1, X1 , . . . , Xn , n ? ? n ?
2. , . 2, X1 , . . . , Xn , n ? ?
3. , n Bp .
X. , :

p
sup Fn (y) F (y) 0 n .
yR

4. ,
n Bp . .
5. , X1

X(1) = min{X1 , . . . , Xn }, X(n) = max{X1 , . . . , Xn }.

X1 .
6. ( ), k - X(k)
P(X(k) < y) = P( k < y) =
n
X
=
Cni F (y)i (1 F (y))ni ,
i=k

F (y) X1 .

20

I.

7. : ,
v
u n
 1
u1 X
k
k
k
= t
Xik
X
n

i=1

) X(1) k ; ) X(n) k +.
X1 , . . . , Xn , ,
, . . . .
. X(1) X(n) - ,

k k 1, k 1 1 k .
8. x1 > 0, . . . , xn > 0 .
,
r
q
k

xk

xk1 + . . . + xkn
,
n

k = 1, 2, 3, . . .

k. .
9. X1 , . . . , Xn , X1 > 0 . . ,

q
k
X k , k = 1, 2, 3, . . .
k. .
10. 7.
11. : , , , .

II

, ,
. ,
- . ,
, . ,
,
. . , ,
.

1.
.
X1 , . . . , Xn n, F , .
F , .
, .

: , > 0;
Bp , p (0, 1);
Ua, b , a < b; U0, , > 0;
Na, 2 , a R, > 0 . .
. , X1 , . . . , Xn n
F , .
3. = (X1 , . . . , Xn ) .

22

II.

4. ,
. , ,
( ) .
, (, R
Rn ), .
, .
. .
4. = (X1 , . . . , Xn )
, E = .
5. = (X1 , . . . , Xn )
,
E n .
6. = (X1 , . . . , Xn ) ,
p
n .
n.
, . . . ,
. ,
( ) .
. , .
.
3. X1 , . . . , Xn n
Na,2 , a R, > 0.
a 2 , (
) ?
. a = EX1
a = X. 6 (. 17) ,
.

23

2.

2 = DX1 :
n
n
1 X
1 X
2
2
2
S =
(Xi X) S0 =
(Xi X)2 .
n

n1

i=1

i=1

8 (. 17), ,
(?), .
2.
.
. : X1
(, k -) .
k - .
k - , .
X1 , . . . , Xn n
F , R. g(y) :
R R ,
Eg(X1 ) = h()

(3)

h .
(3) , :
!
n


X
1
g(Xi ) .
= h1 (Eg(X1 )) ,
= h1 g(X) = h1
n

i=1

() .
g(y) g(y) = y k .
!
n




X
1
EX1k = h(), = h1 EX1k , = h1 X k = h1
Xik ,
n

i=1

, , h .
,
() ,
.

24

II.

5. = (1 , . . . , k ) ,
Rk , g
- g(y) = (g1 (y), . . . , gk (y)). Eg(X1 ) =
= h() k ,
1 , . . . , k .
Egi (X1 )
gi (X), 1 , . . . , k .
4. X1 , . . . , Xn n [0, ] U0, , > 0.
1 , . . g(y) = y :
EX1 =

1 = 2X.

= 2EX1 ,

k k - :
Z
EX1k

1
yk

dy =

k+1

q
k

(k + 1)EX1k ,

q
k
= (k + 1)X k .

(4)

5. X1 , . . . , Xn n > 0.
= () = P(X1 = 1) = e

g(y) = I(y = 1) :
Eg(X1 ) = EI(X1 = 1) = P(X1 = 1) = e = ,
n
X
1
I(Xi = 1).
= I(X = 1) =
n
i=1

,
g(y) = I(y = 1) : Eg(X1 ) = e
> 0.
: EX1 = , = X.

6. , = h1 g(X) 6 .
.
, 
1
h g(X) .

3.

25

6. X1 , . . . , Xn n
Na,1 a > 0.
a : EX1 = a, a = X.
a > 0, X .
X < 0, a 0. X > 0, X. : a = max{0, X}
.
3.

9. = h1 g(X) , , h1 .
.
.
n
p
1 X
g(X) =
g(Xi ) Eg(X1 ) = h().
n
i=1

h1 ,
 p
= h1 g(X) h1 (Eg(X1 )) = h1 (h()) = .
, h : R R h
h1 .
, , .

, = h1 g(X)
,


Eh1 g(X) = = h1 (h()) = h1 Eg(X) .
(5)
h1 .
( !): (5) ,
g(X) h1
.
7. [0, ] , 4, .

26

II.

.
p

X k EX1k =

k+1

n .

p
k
(k + 1)y y > 0, n
r
q
p
k
k
k
k =
(k + 1)X k (k + 1)
= .
k+1

p
. k (k + 1)y ?
.
E 1 = E2X = 2EX = 2/2 = ,
. . 1 = 2X . 2 .
p

E 2 = E 3X 2 .
,
. g(y) = y
y > 0, 3X 2 .
( !)
q
p
p

2
2
E 2 = E 3X < 3EX = 3EX12 = .
p

, 2 = 3X 2 .
k k > 2 (!).
4.
. , ,
n
~ = (X1 , . . . , Xn ). X
.
, ,
. . . ,
F f (y) ( dy ) y:
P(X1 (y, y + dy)) = f (y) dy.

4.

27

F y
P (X1 = y). F
f (y) :
(
f (y), F ,
f (y) =
(6)
P (X1 = y),
F .
f (y), (6), F ,
.
7.
n
Y
~ ) = f (X1 ) f (X2 ) . . . f (Xn ) =
f (X;
f (Xi )
i=1

.
. ( )
~ ) = ln f (X;
~ ) =
L(X;

n
X

ln f (Xi )

i=1

.
x1 , . . . , xn f (x1 , . . . , xn , ) , X1 , . . . , Xn
x1 , . . . , xn . :
n
Y
f (~x; ) =
f (xi ) = P (X1 = x1 ) . . . P (Xn = xn ) =
i=1

= P (X1 = x1 , . . . , Xn = xn ).
x1 , . . . , xn ,
dx1 , . . . , dxn x1 , . . . , xn .
8. ()
,
~ ).
f (X;
7. ln y , ~ ) L(X;
~ ) (!). f (X;
(
~ ).
) L(X;

28

II.

, , ,
, .
. n X1 , . . . , Xn , , . .
? , ,
. ,
.
8. X1 , . . . , Xn n , > 0. .
f (y) = P(X1 = y) =

y!

e ,

y = 0, 1, 2, . . . ,


n
Y
Xi
Xi n
nX
~ ) =
f (X;
e = Q
e
= Q
en .
i=1

Xi !

Xi !

Xi !

> 0
, , .
:

 nX
n
Y

~
~
Xi ! n.
L(X; ) = ln f (X; ) = ln Q
e
= nX ln ln
Xi !

i=1

~ ) = nX n.
L(X,

nX
= X
n = 0.

. , = X , . , = X ( ?), . .
.
9. X1 , . . . , Xn n
Na,2 , a R, > 0 .

29

4.


2 /22

f(a,2 ) (y) = p

e(ya)

22

X1 , . . . , Xn ,
n
P
Y
1
1
(Xi a)2 /22
(Xi a)2 /22
2
~
p
f (X; a, ) =
e
=
,
n/2 e
i=1

22

22


n
P

(Xi a)2
n
~ a, 2 ) = ln f (X;
~ a, 2 ) = ln(2)n/2 ln 2 i=1
L(X;
.
2
22

( a 2 ) L

2 (Xi a)
nX na

2
~

=
,
L(X; a, ) =
2
2
a

~ a, 2 ) =

2 L(X;

2
n

22

P
(Xi a)2
24

(a, 2 )
nX na
2

= 0,

n
22

P
(Xi a)2
2

2(2 )

= 0.

,
a
= X,

n
1 X

2
=
(Xi X)2 = S 2 .

i=1

. , (X, S 2 ) , . ,
.
10. X1 , . . . , Xn n U0, , > 0. = X(n) = max{X1 , . . . , Xn }
(. [5, 4.4] [1, 5, . 91]).
11. X1 , . . . , Xn n U, +5 , R (. [1, 4, . 91]).

30

II.


(1
, y [, + 5],
f (y) = 5
0
.

(1
, 6 Xi 6 + 5 i,
~ ) =
5n
f (X;
=
0
(1
, 6 X(1) 6 X(n) 6 + 5,
5n
=
0 .
~ ) :
f (X;
(1
~ ) = 5n , X(n) 5 6 6 X(1) ,
f (X;
0
.
(. 4) . 1/5n ,
[X(n) 5, X(1) ].
~ )
f (X;
6

1
5n

X(n) 5

X(1)

. 4. 11

[X(n) 5, X(1) ] . ,
:
= (1 )(X(n) 5) + X(1) , [0, 1],
0 = X(n) 5 1 = X(1) .
. , [X(n) 5, X(1) ] .
( ). U, 2 .

5.

31

12. X1 , . . . , Xn Bp p (0, 1). p.


p Bm, p m.
.
fp (y) = P(X1 = y) : p 1 p , y . , fp (Xi ) p ( Xi = 1),
1 p ( Xi = 0). , p,
, , X1 + . . . + Xn = nX.

~ p) = pnX (1 p)nnX .
f (X;
p. p = X.
. .
5.
1. X1 , . . . , Xn Bp p (0, 1). , X1 , X1 X2 , X1 (1X2 ) p, p2 , p(1 p).
?
2. X1 , . . . , Xn > 0. , X1 I(X1 = k)
k


e . k!
?
3. X1 , . . . , Xn > 0. ,


1 nX
n

X 1
=
n1

= e = P(X1 = 1).
4. X1 , . . . , Xn U0, > 0. =
= X(n) , = X(n) + X(1) .
5.
: Bp

32

II.

, , Ua, b
, E , E1/
, U, , , ,
Na, 2 ( 2 a a ).
6. : Bm, p
m N, +1 , U0, 2 , E2+3 , U, , Na, 2 a.
7. 5 6 ? ?
8. Fn (y)
[0, a], a > 1.
= (a) Fn (1) ?
?
9. X1 , . . . , Xn
(
3
3y 2 ey , y > 0,
f (y) =
0,
y 6 0,
> 0 . , .
10. [0, ].
( . .) k
, k - .

III

,
.
? ? , , . | | :
-, , -, ,
, , .
. E( )2 ,
. .

1.

E( )2 . ,
.
X1 , . . . , Xn n
F , .
9. , 1 2 ( ),

E(1 )2 6 E(2 )2 ,
.
? ,
, . ,

34

III.

: , . . .
10.
.
. , , , . . 1 ,
E( )2 6 E(1 )2 .
1 .
1 1 . E( )2 6 E(1 )2 . ,
= 1 E( 1 )2 6 E(1 1 )2 = 0. E( 1 )2 = 0.
1 , E( )2 = 0
.
( )2 , , = . .
( ), . . .
,
. , I : = X1 . .;

U, +1 = Z
 
= X1 . .
, , ,

. ,
b() = E .
Kb = Kb() ,
b():
Kb = { | E = + b()} ,

K0 = { | E = } .

K0 .
10. Kb Kb , ( ) Kb
, . . 1 Kb ,

E( )2 6 E(1 )2 .
11. K0
.

1.

35

8. K0
E( )2 = E( E )2 = D ,
. . .
(. . . . .). .
Kb
E( )2 = D( ) + (E )2 = D + b2 (),
. . .
. Kb .
, 10 Kb .
,
:
, .
11. 1 Kb 2 Kb
Kb , 1 : 1 = 2 . .
. , E(1 )2 = E(2 )2 .
, 1 Kb , 2 , . . E(1 )2 6 E(2 )2 .
+

= 1 2 .
2
Kb (). .




a+b 2
ab 2
a2 + b 2
+
=
(7)
2

a = 1 , b = 2 .
a+b
= ,
2

a b = 1 2 .

(7)
:
 2

( )2 + (2 )2

2
E( ) + E 1 2
=E 1
= E(1 )2 .
(8)
2

Kb , . . , , 1 .
E( )2 > E(1 )2 .

36

III.

(8), ,
 2

1
= E(1 2 )2 6 0 , , E(1 2 )2 = 0.
E 1 2
2

(?) 1 = 2 . ., .
. , ,
, . .
13. X1 , . . . , Xn n U0, , > 0. 4 10
= X(n) = max{X1 , . . . , Xn } = 2X.
.
= 2X ,
E( )2 = D = D2X = 4 DX = 4

DX1
2
2
=4
=
.
n
12n
3n

= X(n) = max{X1 , . . . , Xn } E( )2 = E 2 2 E + 2 .
:

0,n y < 0,
y
P(X(n) < y) = P(X1 < y, . . . , Xn < y) = P n (X1 < y) =
n , y [0, ],

1,
y > ,
fX(n) (y) =

0,
n

y 6 [0, ],

y n1
n

, y [0, ].

= X(n) :
Z
EX(n) = yn

y n1
n

n
dy =
,
n+1

Z
2
EX(n)
= y2n

y n1
n

dy =

n
2 .
n+2

E(X(n) )2 =

n
n
2
2 2
2 + 2 =
2 .
n+2
n+1
(n + 1)(n + 2)

n = 1, 2 :
,

37

2.

n > 2 X(n) , 2X :
E(X(n) )2 =

22
2
<
= E(2X )2 .
(n + 1)(n + 2)
3n

E(X(n) )2 n2 ,
E(2X )2 n1 .
2.
.
: . ,
q
k

k = (k + 1)X k 4 (. 24). ( )
.
.
X1 , . . . , Xn n
F , .
12. () 2 (),
n


N0, 1 .
n( ) N0, 2 () , ,
n
()

. , ,
.
14. X1 , . . . , Xn n U0, > 0. ,
= 2X = X(n) . ,
n
P
 P

(2Xi ) n

Xi
i=1

=
=
n( ) =
n(2X ) = n 2

n
P

(2Xi ) nE(2X1 )

N0, D(2X1 ) = N0, 4DX1 .


n

i=1

38

III.

, = 2X
2 () = 4DX1 = 4

12

= X(n) . , n F,
x,
F,
P(n < x) F (x) n .

n (X(n) ) N0, 2 ,
x R ( ?)

P( n(X(n) ) < x) 0, 2 (x) n .

x = 0 n (X(n) )
. ,

n( ) = n (X(n) ) < 0 . .,
(9)

P ( n (X(n) ) < 0) = 1.
N0, 2 () 0, 2 () (0) = 0,5. 1

0,5 n , n (X(n) )
N0, 2 () = X(n)
.
.

1. n(X(n) ) ?

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

2. n(X(n) ) 0, n
X(n) , ,
?
. , n(X(n) ) , E1/ .
: .

2.

39

n+1

3.
X(n) (9) .
n
?
. ,
.
. , = X(n) ? , n(X(n) )
( - n (X(n) )?
.
, n
.
12.
, .
. : ,
, ,
.

1
= n( ) 0 = 0,
n

N0, 2 () .
.
. 12,
, ?
p

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

,
n :

p
0,
n( ) N0,2 () .

= X(n) 14.
( , )
n(X(n) ) ,

(10)

.
1
. .
n

. ?

40

III.

. ,
.
1
. ,
n

, .
[0, ], . , . ,
. .
.
. 14 ,
2X
.
, .
1. g(y) , 0 6= Dg(X1 ) < . g(X)
Eg(X1 ) 2 () = Dg(X1 ) :
g(X) Eg(X1 )
n p
N0,1 .
Dg(X1 )

. 1.





g(X1 ) + . . . + g(Xn )

= H g(X) = H
.
n

( )
, = H (Eg(X1 )) .
13. g(y) , 0 6= Dg(X1 ) < ,
H(y)
a = Eg(X1 )

0
0

H (a) = H (y) y=a .

= H g(X)
= H (Eg(X1 )) = H(a)
2
2 () = H 0 (a) Dg(X1 ).

41

2.

. g(X) a = Eg(X1 ) n.

H(y) H(a) , y 6= a,
ya
G(y) =
H 0 (a),
y=a
a. , ,
p
G(g(X)) G(a) = H 0 (a).


, 1 n g(X) a
N0, Dg(X1 ) .
.

 



 
n H g(X) H(a) = n g(X) a G g(X) H 0 (a).
( ?) p
: n n c = const, n n c.
H 0 (a) N0, (H 0 (a))2 Dg(X1 ) .
2
2 () = H 0 (a) Dg(X1 ).
15. X1 , . . . , Xn n U0, > 0. ,

q
k

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

4 (. 24).
p
g(y) = (k + 1)y k , H(y) = k y.
rP
q
P

k
k
(k
+
1)X
k
g(Xi )

i
k
=H
.
k =
(k + 1)X =
n


= H (Eg(X1 )) =

q
k

E(k + 1)X1k =

(k + 1)

k+1

, (?).
13:
a = Eg(X1 ) = (k + 1)

k+1

= k ,

42

III.

Dg(X1 ) = E(k + 1)2 X12k a2 = (k + 1)2

2k

2k + 1

2k =

k2
2k
2k + 1

. H(y) a :
H 0 (y) =

1 1k
y k ,
k

H 0 (a) = H 0 (k ) =

1 1k

6= 0.
k

13, k
2
2
1
k2
2k =
.
2k () = H 0 (a) Dg(X1 ) = 2 22k
k

2k + 1

2k + 1

, 1 = 2X 21 () = .
3
, 14 (. 37).
,
.
.
= N0,1 10
= N0,100 . 10
:
:
0, 9973 = P(|| < 3) = P(|10 | < 30),
( ) .
. 1 100:


n(1 ) N0,1 n(2 ) N0,100 .

n

n(
2 )
, n(1 ),
( ).
, .
.
13. 1 21 (), 2
22 (). , 1 , 2
,
21 () 6 22 (),

.
16. 1 , 2 , . . . 15. k

43

3.
2

2k () =
.
2k + 1
, k, . . .
, ,
, .
7 I 10 II, , X(n) ,
.
, = X(n)
: , (10), n1 n1/2 ,
.

3.
1. X1 , . . . , Xn n U, +5 , R. 0 = X(n) 5 1 = X(1)
11 (. 29) .
= X 2,5.
2. r
, k - , : k =

k!

Xk

k , k = 1, 2, . . . . ,
1 .
3. III.
4. 12.
5. X + 1
?
6. , .
7. > 0. , .

44

III.

8. n
> 0. = () = XeX ? ,
.
9. X1 , . . . , Xn > 0.
= P(X1 = 0). ?
10. X1 , . . . , Xn Na, 2 .
Fn (y) , a
:
(
X(m) ,
n = 2m 1 (),
a =
X(m) + X(m+1)
, n = 2m ().
2

,
a .
. m
FX(m) (y) = P(X(m) < y) = P(Sn > m),
Sn = I(X1 < y) + . . . + I(Xn < y)
.

n1
n(X(m) a) m =
,
m=

n
n
m = + 1 .
2
2

11. X1 , . . . , Xn n
U0, , > 0. , X(n) Kb , b = b() =
.
n+1
n+1
,
X(n) K0 . n
.

IV


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

1.
X1 , . . . , Xn n F , , R
. , II,
(
f (y), ,
f (y) =
P (X1 = y),
.
{F , }.
14. F C R ,
= F .
P(X1 C) = 1 X1
9. R, ( !). , , .

46

IV.

.
(R)
C F ,
p
y C f (y)
.
2


ln f (X1 ) , (RR) I() = E

.
17 ( ). E > 0.
(
(
p
ey , y > 0,
ey/2 , y > 0,
f (y) =
f (y) =
0,
y 6 0,
0,
y 6 0.
C (0, +), P(X1 > 0) = 1. p
y C, . . y > 0, f (y) ,
> 0 :
y
p
1
f (y) = ey/2 ey/2 .

(RR) I() :
1

f (X1 ) = eX1 , ln f (X1 ) = ln X1 ,


ln f (X1 ) = X1 ,

2

2

1
1

ln f (X1 ) = E X1
= DX1 = 2 .
I() = E

, I() =

1
2

, -

> 0, . . (RR) .
18 ( ). U0, > 0.
(1
(1
, 0 6 y 6 ,
, > y y > 0,

=
f (y) =
0, y 6 [0, ]
0 .
, (0, x)
= U0, : P(X1 (0, x)) < 1 X1
> x. C = (0, +)
> 0 P(X1 C) = 1. -

47

1.


.
, (R) p
: y C,
f (y) ,
. y > 0 f (y)
(. 5).
, y C f (y),
, , .
, (R) .
19 ( ). R

(
(
y
e , y > ,
ey , < y,
=
f (y) =
0,
y 6
0,
> y.
(, +), , C =
= R (- ) , > 0
P(X1 C) = 1. , (R) p
: y C, f (y)
, , 18.
y R . 6 f (y)
( ) . y
f (y) .
.
6f (y)

6f (y)

y
. 5. 18

y
. 6. 19

10.
ln f (y).

f (y)

48

IV.

2.
X1 , . . . , Xn n
F , {F , } (R) (RR).
.
14 ( ). F (R) (RR).
K0 , D
,
D = E ( )2 >

1
.
nI()

. , E > 0 DX1 > 0, K (0, +).


. b()
.
15 ( ). F (R) (RR).
Kb() , D
,
E ( )2 >

(1 + b0 ())2
+ b2 (),
nI()

. .

D >

(1 + b0 ())2
.
nI()

.
2. (R) (RR) ~ ,
T = T (X),




~
ET = E T
L(X; ) ,

~ ) .
L(X;
. ,
~
~ ) (f (X; ), L(X;
7, . 27), , X1
.

49

2.

. , ()
,
.
Z
ET (X1 , . . . , Xn ) = T (y1 , . . . , yn ) f (y1 , . . . , yn , ) dy1 . . . dyn .
Rn

, , , . , (. ).
Z
Z

~ =
ET (X)
(T (~y ) f (~y ; )) d~y =
T (~y ) f (~y ; ) d~y =

Rn

T (~y )

f (~y ; ) d~y =

Rn

f (~y ; )
f (~y ; ) d~y =
T (~y )
f (~y ; )

Rn

T (~y )

Rn

~ L(X;
~ ) .
L(~y ; ) f (~y ; ) d~y = E T (X)

Rn

~y (y1 , . . . , yn ).
. K0 14. Kb .
~ 2. T (X)
, ( ?).
~ 1. T (X)
:
0=

~ ).
1 = E L(X;

X
Q
~
~
, f (X; ) = f (Xi ), L(X; ) =
ln f (Xi )
X

~
0 = E L(X; ) = E
ln f (Xi ) = n E
ln f (X1 ).
(11)

ln f (X1 ) = 0.

50

IV.

~ = K0 , . . E = .
T (X)

~ ).
E =
= 1 = E
L(X;

(12)


p
|cov(, )| = |E E E | 6 D D .
(11) (12),






~
~
~ ) =
L(X; ) E E L(X;
cov , L(X; ) = E

r



~ ) = 1 6 D D L(X;
~ ).
= E
L(X;
(13)

~ ) (11):
L(X;

~
D L(X; ) = D
ln f (Xi ) = nD ln f (X1 ) =

i=1

= nE

2

ln f (X1 ) = nI().

(13),
1 6 D nI() D >

1
.
nI()

, , ( ) 2.
20. U0, > 0. n = 1 -
: ,
T (X1 ) = 1,

ET (X1 ) =

dy =

1 = 0;

1
1
dy = 6= 0.

, : ,
1/n2 , 1/n .
. ,
, ,
n+1
X(n)
X(n) .
n

51

3.

3.
.
F
(R) (RR).
1. Kb()

E ( )2 =

(1 + b0 ())2
+ b2 ()
nI()

D =

(1 + b0 ())2
,
nI()

Kb() .
, ,
R - . 1 :
R -, .
21. X1 , . . . , Xn
Bp p = X ,
(. [5, 13.20]).
22. X1 , . . . , Xn n
Na, 2 , a R, > 0. ,
a = X K0 (. [5, 13.6]).
a (,
a ).
1

f(a, 2 ) (y) = p

22

(ya)2 /(22 )

1
(y a)2
2
ln f(a,2 ) (y) = ln(2 )
.
2
22
ya

ln f(a,2 ) (y) =
. ,
2
a
y = X1 ,

2

E(X1 a)2
DX
1
I(a) = E
ln f(a,2 ) (X1 ) =
= 41 = 2 .
4

X: DX = DX1 =
.
n
n
,
DX =

1
.
nI(a)

, a = X (. .
).

52

IV.

23. X1 , . . . , Xn n N0, 2 , > 0. ,

n
1 X 2
2
Xi = X 2 K0 .
=
n

i=1

.
.
2 .

f2 (y) = p

22

ey

2 /(22 )

1
2

ln f2 (y) = ln(2)

1
y2
ln 2 2 .
2
2

2 :

ln f2 (y) =

1
22

y2
24


2

2
2
X
1
1
1
2
1
=
E(X
DX12 .
I(2 ) = E

2 ) =
1
4
2
8
8
2

DX12 = EX14 (EX12 ) = EX14 4 .


: = X1 /
,
E 2k = (2k 1)!! = (2k 1)(2k 3) . . . 3 1,
E 4 = 3, X1 = ,
EX14 = E 4 4 = 34 .
, . 2
(t) = et /2 .
:



X
2 k
2
t
t2
t4
t2
3t4
1

=1
+
... = 1
+
...
et /2 =
k=0

k!

4!


(4)

: E 4 = i4 E 4 = (0) = 3.

t4

4!

53

3.

2
1
2
y 4 ey /2 dy =
2
2

E 4 =


2 3 y 2/2
=
y e

2

2
3
2

y2 e

y 2/2

y 3 de

ey /2 dy 3 =

0
y 2/2

y 2/2
1
y2 e
dy = 3D = 3.
2

dy = 3

, DX12 = EX14 4 = 24 ,
I(2 ) =

DX12 =
8

24 =
8

1
24

2 = X 2
:
n

X
1
1
1
24
2
Xi2 = DX12 =
=
DX = 2 D
,
n
n
n
nI(2 )
1

, 2 = X 2 R - , , .
. X1 , . . . , Xn n Na, 2 , a 2 . , R - 2

2
2
2
S0 , : D (n 1)S0 / = 2(n 1).
,
2-.
.
24. X1 , . . . , Xn n E1/ 1/, > 0. , (?) = X
.


2

I() = E
ln f (X1 ) .

54

IV.


(
1 y
e , y > 0,
f (y) =
0,
y 6 0.
f (X1 ) =

eX1 / . ., ln f (X1 ) = ln

X1

1
X
1
ln f (X1 ) = + 21 = 2 (X1 )


I() =

E(X1 )2
4

DX1
4

2
4

1
2

X
:
DX =

1
2
1
DX1 =
=
.
n
n
nI()

, = X R - .
.
. ?
?
. , = X1
. , , ,
K0 . , = X
= X1 ,
. .
,
. ,
,
. , ( ), R -, . .
.
25. X1 , . . . , Xn n E , > 0. -

55

3.

n1
n1
1
=

.
n
X1 + . . . + Xn
X

, . -, X1 + . . . + Xn
E = ,1 ,n
n

y n1 ey , y > 0,
(n

1)!
,n (y) =
0,
y 6 0.

E = E

n1
X1 + . . . + Xn

(n 1)
(n 1)!

= (n 1)

n
1
y n1 ey dy =
y (n 1)!

(y)n2 ey d(y) =

(n 2)!

(n 2)! = .

, K0 . 1
17 (. 46): I() = 2 .

Z
2
1
n
(n 1)
2
2
E( ) = E P 2 = (n 1)
y n1 ey dy =
2
(

= 2

y (n 1)!

Xi )

(n 1)2

(y)n3 ey d(y) = 2

(n 1)!

(n 1)
n1 2
(n 3)! =
,
(n 2)!
n2

D = E( )2 (E )2 =

n1 2
2
2 =
.
n2
n2

, , n
D =

n2

>

1
.
nI()

XI .

56

IV.

4.
1.
: Bp ,
, Na, 2 a, Bm,p m.
2. , IV.
3. X1 , . . . , Xn F , . ,
R - b() = /n ,
.
4. X1 , . . . , Xn . = e
= I{X = 0} . ,
R -.
5.
F 4( y)3 /4 [0, ] ?
6. {F ; } ~ )
, f (X;
~

~ ) = eA()T (X)+B() h(X).


~
f (X;
, :
Na, 2 2 , Na, 2 a, , ,
, , .
7. X1 , . . . , Xn , A() B() . ,
~ = T (X)
.

V

~ = (X1 , . . . , Xn )
, , X
F R. (
), . ,
, . .
: , , . ,
, .

1.
~ = (X1 , . . . , Xn ) n F
X
R.
15. 0 <  < 1. ~ ), + (X,
~ ) ( , + ) = (X,
1 ,

P < < + > 1 .
16. 0 <  < 1. ~ ), + (X,
~ ) ( , + ) = (X,
() 1 ,

lim inf P < < + > 1 .
n

16 , , , , n.

58

V.

11.
( , + ), 
P < < + ( , + )
, . . . .
12. > 1 , : = B1/2 x P( < x) = 0,25 ,
, :
P( < x) > 0,25

x > 0.


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

.
26. X1 , . . . , Xn n Na, 2 , a R ,
> 0 . n a 1 .
, .
3. i , i = 1, 2, Nai , 2 .
i
= b1 + c2 + d
E = b a1 + c a2 + d,

D = b2 21 + c2 22 .

. 3.
= Nna, n2 ,
n : nX = X1 + . . . + Xn

=

X a
nX na

= n

.
(0, 1) c > 0 ,
P(c < < c) = 1 .

59

1.


c 1
2
(. 7):

P(c < < c) = 0, 1 (c)0,1 (c) = 20, 1 (c)1 = 1 , 0, 1 (c) = 1 .


2

.
17. F F .
F, F ( ) = . F ,
.

1
/2

/2

. 7.

0, 1 (x)
c = 1/2 c = /2 . c < < c
a, :


X a
1 = P(c < < c) = P c < n
<c =



c
c
= P X <a<X+ .
n

c = 1/2 :

1/2
P X
<a<X+
n

1/2

= 1 .

, 1



1/2
1/2
X
, X+
.
(14)
n

. .
1. ?
P(/3 < < 12/3 ) = 1 ?

60

V.

. ?
?
2.
?
3. 26 ? ? n ? ?
27. X1 , . . . , Xn n E , > 0.
( ) 1 .
:
P

X 1/

Xi n EX1
= N0, 1 .
p
= n
= n X 1
1/

n DX1

c = 1/2 .
, n



P c < n X 1 < c P(c < < c) = 1 .




1/2 < n X 1 < 1/2 ,


:


1/2
1/2
1
1
P

<<
+
1 n .
X

nX

nX

2.
. ,
.
~ ), G
1. G(X,
~ )
. , G(X,
~
X.
2. g1 g2 G,
~ ) < g2 ).
1 = P(g1 < G(X,
~ ) < g2 ,
3. g1 < G(X,
.

61

2.

13. g1 g2 G /2 1 /2. , ,
, .
28. , , > 0 [, 2] .
X
, Xi U, 2 , Yi = i 1

U0, 1 .
Y(n) = max{Y1 , . . . , Yn } =

max {X1 , . . . , Xn }

1=

X(n)

~ )
1 = G(X,

, n [0, 1] , . .

0, y < 0
F Y(n) (y) = P( < y) = y n , y [0, 1]

1, y > 1.
g1 g2




X(n)
X(n)
~ ) < g2 = P
P g1 < G(X,
<<
.
g2 + 1

g1 + 1

(15)

15
X(n)

g2 g1
(g1 + 1)(g2 + 1)

g1 g2 .
g1 g2 , .
Y(n) [0, 1] ny n1 . g1 g2
1
g2 = 1, g1 ,
1 = P(g1 < Y(n) < 1) = F Y(n) (1) F Y(n) (g1 ) = 1 g1n ,

. . g1 = n . (15):




X
X
(n)
(n)

1 = P n < Y(n) < 1 = P


<<
.
n
2

1+

. , 26,
-

62

V.

a,
X a
c < n
<c

? ?
?

a ( !)

~ 2 , a) = n |X a| .
G(X,

a :
a.
.
. .
~ ), G,
1. G(X,
~ ) . , G(X,
~
X.
2. g1 g2 G,
~ ) < g2 ) P(g1 < < g2 ) = 1 ,
= G.
P(g1 < G(X,
~ ) < g2 ,
3. g1 < G(X,
.
( 27) , G .
29. X1 , . . . , Xn n , > 0.
1 .

X
. + Xn nEX1
~ ) = X1 + . .p
G(X,
= n ,
nDX1

.
c = 1/2 1 /2

2.

63

. , n


X
P c < n < c P(c < < c) = 1 .

: .
.
,
X, . .

, ,
~
G(X, ) X ?
( ?) p
: n 1 n , n n . = X ,

1 n .

X
X
= N0, 1 .

n = n

c = 1/2


X
< c P(c < < c) = 1 .
P c < n
X

,



c X
X
P X <<X+
1 n .
n

,
1



1/2 X
1/2 X

X
, X+
.
n

( ).
16.
2 (), () .


)
)

1/2


, + 1/2
n


1 .

64

V.

.

= N0, 1 .
n

()

, , .
(),
()

( ) (),

( )

~ )
G(X,


~ ) = n = () n
G(X,

( )

( )

1.


()

= N0, 1 .

c = 1/2 .


c < n
<c
( )

,


)
)
c

, +
.
n

, 1/ n,
.
3.
1. :
0,05 0,1? ? .
2. X1 , . . . , Xn [0, ].
, X1 X(n) .
3. X1 , . . . , Xn .
, X1 X(1) .

VI
,
a
2 . : a, a
? ,
, .
.
, ,
: ( ). , , .

1.
-. -
.
.
4. X1 , . . . , Xn , i - , i , i = 1, . . . , n. Sn = 1 + . . . + n
- 1 + . . . + n .
, -.
5. ,
2 - 1/2, 1/2 .
.
2 , .
y 6 0
F2 (y) = P(2 < y) = 0, f2 (y) = 0.

66

VI. ,

y > 0

F2 (y) = P(2 < y) = P( y < < y) = F ( y) F ( y).

0

f2 (y) = F2 (y) = F0 ( y) ( y)0 F0 ( y) ( y)0 =

 1
f ( y)
1
= f ( y) + f ( y) =
=
2 y

2y

ey/2 .

f2 (y), 0 y 6 0
f2 (y) =

1
(1/2)1/2 1/21 y/2
y
e
ey/2 =
(1/2)
2y

y > 0, - 1/2, 1/2 .


2 . 4 5 .
6. 1 , . . . , k ,
2 = 21 + . . . + 2k

- 1/2, k/2 .

.
18. k
2 (-) k Hk .
6, Hk 1/2, k/2 .
Hk

1 y/2
1

2
y
e
, y > 0;
f (y) = 2 k/2 (k/2)

0,
y 6 0.
, H2 = 1/2, 1 = E1/2 = 1/2.
Hk k = 1, 2, 4, 8 . 8.
. , k > 2 Hk y = k 2.
2-. -.

1.

67

H1

H2

0,5

H4

H8

. 8. 2-
= Hk 2
= Hm 1. 2
2
2
, + Hk+m .
. . 1 , 2 , . . .
. 2 , 21 + . . . + 2k , 2 ,
2k+1 + . . . + 2k+m , 21 + . . . + 2k+m , . . Hk+m .
2. 2 Hk ,

E 2 = k

D 2 = 2k.

. 1 , 2 , . . . .
E 21 = 1,

D 21 = E 41 (E 21 )2 = 3 1 = 2.

23 (. 52).
E 2 = E(21 + . . . + 2k ) = k,

D 2 = D(21 + . . . + 2k ) = 2k.

= Hn . n
3. 2n
2n

1,

2n n

2n

N0, 1 .

. n 2n , 21 + . . . + 2n , i
. ,

68

VI. ,


21 + . . . + 2n

E 21 = 1,

21 + . . . + 2n n

2n

21 + . . . + 2n nE 21

nD 21

N0, 1 ,

3.
Hn n . , , . ,
.
= Hn . 4 ( ). 2n
n
p
p
2
2n 2n 1 N0, 1 ,

n

2
Hn (x) = P n < x :



Hn (x) 0,1
2x 2n 1 .
(16)

. ,
2n 2n 1 0
n (!),
p
p
2
2n 2n N0, 1 .
, :
p
p
2n n
2
2
q
2n 2n =

.
1+

2n /n

2n

3 ,
N0, 1 . , N0, 1 .
(16) ,
p

p
p
p

2
2
P n < x = P 2n 2n 1 < 2x 2n 1 .

1.

69

5. 1 , . . . , k
Na,2 ,
2k

k 

X
i a 2

i=1

= Hk .

. 5.
.

, , .
19. 0 , 1 , . . . , k .
tk = s

0
21 + . . . + 2k

k Tk .

= Hk .
= N0, 1 2
,
tk = q
k
2k / k

, , [1, 2, . 2].
k
(k+1)/2
 
(k + 1)/2
y2
fk (y) =
1+
.
(17)
k (k/2)

6. : tk Tk k , tk .
. .
7. Tn n .
p
. 3, 2n / n 1 n .

tk = q

2k / k

= N0, 1 .
,

70

VI. ,

. 9.
N0,1

Tk

. 9. Tk N0, 1

, : -
,
, , n,
.

. ,
k = 1

(17) (1/2) = (1) = 1, :


1
1
f1 (y) =
1 + y2
.

. ,
?
8. m < k m > k.
.
. (17) m

Z
1
C(k)
|y|m
dy.
2 (k+1)/2
(k + y )

= T2 ?
. Dt2 , t2

71

1.

.
,
, .
,
.
20. 2k Hk , n2 Hn , .
2k / k

n 2k
fk, n = 2
= 2
n / n
k n

k n Fk, n .
( ):
9. fk, n
Fk, n , 1/fk, n Fn, k .
, Fk, n Fn, k , : x > 0


 
1
1
1
.
>
= 1 Fn, k
Fk, n (x) = P(fk, n < x) = P
fk, n

k, n,
9 : , k > n.
10. Fk, n c = 1 k n .
. 1 , 2 , . . . 1 , 2 , . . . , . ,
fk, n ,

21 + . . . + 2k

21 + . . . + 2n

k , n .
= Tk , 11. tk
= F1, k .
. t2k

72

VI. ,

2.
~ = (X1 , . . . , Xn ) N0, 1 , . .
X
. ,
~
, X
-. C (n n), . .


1
0
...
CC T = E =
,
0

~ Yi = Ci1 X1 + . . . + Cin Xn .
Y~ = C X
Y~ . ?
, ,
.
,
= a + b :

f (y) = |a|1 f a1 (y b) .
.
~ 17. X
fX~ (y1 , . . . , yn ) = fX~ (~y ) A . ~ + ~b
Y~ = AX

fY~ (~y ) = fAX+
y ) = |det A|1 fX~ A1 (~y ~b ) .
(18)
~ ~b (~
. h(~y ) > 0 ,
B Rn
ZZ
Z

P Y~ B =
. . . h(~y ) d~y ,
B

h(~y ) Y~ .

ZZ
Z



1
~ + ~b B = P X
~ A (B ~b ) =
P Y~ B = P AX
. . . fX~ (~x ) d~x,
A1 (B~b )

A1 (B ~b ) = {~x = A1 (~y ~b ) | ~y B}. ~y = A~x + ~b.

73

2.

~x A1 (B ~b ) ~y B, d~x = |J| d~y , J


~x = A1 (~y ~b ), . . A1 . ,
ZZ
Z

P(Y~ B) =
. . . |det A|1 fX~ A1 (~y ~b ) d~y .
B

.
~
18. X
, C ~ Y~
, Y~ = C X.
.
.
~ X.
( , )
fX~ (~y ) =

n
Y

fXi (yi ) =

i=1

1
2 (y12 + ... + yn2 )

1
(2)n/2

(2)n/2

1
2 k~y k2

~y k~y k2
2

k~y k =

n
X

yi2 = ~y T ~y .

i=1

(18),
~ C , C 1 = C T det C = 1.
Y~ = C X.

2
1


2 kC T ~y k
1
T
fY~ (~y ) = fX~ C ~y =
e
.
n/2
(2)

:
2

kC T ~y k = (C T ~y )T (C T ~y ) = ~y T C C T ~y = ~y T E ~y = k~y k2 .

(19)


fY~ (~y ) =

1
(2)n/2

1
2 k~y k2

= fX~ (~y ) =

1
(2)n/2

1
2 (y12 + ... + yn2 )

~ . .
, Y~ , X,
.

74

VI. ,

. . 12 ( )
12 ( + )? ? + ?

!
1
1

2
1
2

C=

2
1
2

. , ,
, .
~ 7 ( ). X
~
, C , Y~ = C X.
k = 1, . . . , n 1
~ =
T (X)

n
X

Xi2 Y12 . . . Yk2

i=1

Y1 , . . . , Yk Hnk .
~ Y~ =
. (19), X
2
2
~ k = kC X
~ k = Y 2 + . . . + Yn2 .
~ : X 2 + . . . + Xn2 = kX
= CX
1
1

~ =
T (X)

n
X

2
Yi2 Y12 . . . Yk2 = Yk+1
+ . . . + Yn2 .

i=1

Y1 , . . . , Yn 18
~ = Y 2 + . . . + Yn2
, T (X)
k+1
Hnk Y1 , . . . , Yk .
, :
n
1 X
X=
Xi ,
n
i=1

S02

n
2
1 X
=
Xi X .
n1
i=1

,
. , S02 X.

75

2.

19 ( ).
X1 , . . . , Xn a 2 . :
X a
= N0, 1 ,

1) n

2)

(n 1) S02
2

2
n
X
Xi X
2

i=1

= Hn1 ,

3) X S02 .
. (, !). . ,
Na, 2 :
(n 1)S02
2

n 

X
Xi X 2

i=1

n 
X
Xi a

i=1


X a 2

n
X

(zi z)2 ,

i=1

X a

X a

= N0, 1 .

zi = i
z =

, , Xi , a = 0, 2 = 1.
. (n 1)S02

~)=
T (X

(n 1)S02

n
X

Xi X

2

i=1

n
X

Xi2

n(X) =

i=1

n
X

Xi2 Y12 .

i=1

Y1

X
X
Y1 = n X = 1 + . . . + n .
n

,
~
C , Y1 Y~ = C X.

C (1/ n, . . . , 1/ n) . () , Rn . ,

. Y1 = n X
~ Y~ = C X.
.
Pn
2 =
2
2

(n

1)S
0
i=1 Xi Y1
Y1 = n X, . . X S02 .

76

VI. ,

2- c n 1 , (n 1)S02 /2 n 1, n ,
- X.
(?), ( ?).
, X S02
, . ,

.

,
. ,
.
20 ( ).
X1 , . . . , Xn a 2 .
X a
= N0, 1 ( a ),

1) n


n 
P
Xi a 2
= Hn ( 2 a ),

2)

i=1

3)

(n 1) S02

4)

X a
= Tn1 ( a ).

= Hn1 ( 2 a ),

S0

. (1) (3) , (2) 5. , (4).


X a
X a
1

n
= n
s
= s 0 ,
(20)

S0

(n 1)S02
2

1
n1

2n1

n1


X a
= N0, 1 2n1 = (n 1)S02 /2
= Hn1

0 = n

5. 19, (20) Tn1 .

77

3.

3.

X1 , . . . , Xn n Na, 2 . () 1
,
20.
30 ( a 2 ).
26 (. 58):



= 1 , 0,1 () = 1 /2.
P X <a<X+
n

31 ( 2 a ). 20
n
nS12
1 X
2
= Hn , S1 =

(Xi a)2 .
2

i=1

g1 g2 Hn /2 1 /2
.




2
nS12
nS12
nS
1 = P g1 < 2 < g2 = P
< 2 < 1 .

g2

g1

32 ( 2 a ). 20
n
(n 1)S02
1 X
2
= Hn1 , S0 =

(Xi X)2 .
2

n1

i=1

g1 g2 Hn1 /2 1 /2
.




2
(n 1)S02
(n

1)S
(n 1)S02
0
< g2 = P
< 2 <
.
1 = P g1 <
2

g2

g1

. 17 31 32.
33 ( a ). 20
X a
= Tn1 .

n
S0

c Tn1 1 /2. .




X a
cS
cS
1 = P c < n
< c = P X 0 < a < X + 0 .
S0

78

VI. ,

. 30 33.
14. ,
31 32, 30 33: n , . n ,
n
Tn N0,1 , Hn n .
, gn , P(2n < gn ) = n,
. 3 (. 67)


2 n

n
n
n

0, 1 ( ) = .
P(2n < gn ) = P
<
2n

2n

gn n

n , ,
2n

gn = n + 2n + o( n).

.
. 23 ,
n.
4.
1. 1 2
a = 0, 2 = 16. k, 1 32
k 1 + 2 . 18 (. 73).
2. , ,
2-
?
3. /2 1 /2
Hn Tn1 .
4. , (n 1)S02 /2 2 ,
.
5. .

VII

, ,
. . ,
, . , ,
. , : 0,450,55,
. 51 ,
. , p = 0,3
51 : , . , 33 , .
,
, .

1.
X1 , . . . , Xn F.
, .
.
21. ( H ) :
H = {F = F1 }

H = { F F },

F . H , : F = F1 . H : F F.
, ,
, .

80

VII.

34. .
1. : H1 = {F = F1 }, . . . ,
Hk = {F = Fk }, .
2. :
H1 = {F = F1 },

H2 = {F 6= F1 }.

, Bp , p 6 1/2.
H1 = {p = 1/2} H2 = {p < 1/2}. p > 1/2 .
3. :
H1 = {F F},

H2 = {F 6 F}.

, : H1 = { F
} H2 = {H1 }.
4. : ;
, .
5. : (X1 , Y1 ), . . . , (Xn , Yn ) n
H1 = {Xi Yi } H2 = {H1 }.
.
6. . n
X1 , . . . , Xn H1 = {X1 , . . . , Xn
}.
, , .
X1 , . . . , Xn ,
H1 , . . . , Hk .
22. = (X1 , . . . , Xn )
: Rn {H1 , . . . , Hk }
.
: { | (X1 , . . . , Xn ) = Hi }
i = 1, . . . , k.
23. , i - , Hi .
i -
~ 6= Hi ).
i () = PH ((X)
i

1.

81

15. Hi PHi (),


, , Hi , .
Hi , . . , i () . Hi ,
i () , F,
Hi , :


~ 6= Hi = P (X)
~ 6= Hi | Xi
= F .
i () = i (, F) = PF (X)
35. p. :
, ( ) .
H1 = {
} H2 = { },
, , :
= P H1 ( = H2 ) = P( );
= P H2 ( = H1 ) = P( );

.
, :




H1 = , H2 = .
, .
1. , . ,
,
.
2. , .
3. , , .
:
, Hi , i Hi .

82

VII.

2.
,

H1 = {F = F1 } H2 = {F = F2 }.
~ . (X)
, Rn Rn = S (Rn \S) ,
(
~ Rn \S,
H1 , X
~
(X) =
~ S.
H2 , X
S, () , .
24. 1 = 1 ()
:
~ 6= H1 ) = PH ((X)
~ = H2 ) = PH (X
~ S).
1 = 1 () = PH ((X)
1

1 2 , 2 = 2 ()
.
~ 6= H2 ) = PH ((X)
~ = H2 ) = PH (X
~ S).
1 2 () = 1 PH ((X)
2

,
( H1 H2 ),
1 1 2
.
? , , . ,
i (1 ) 6 i (2 )

i = 1, 2,

. , , , ,
.
~ H1
36. (X)
. 1 = PH1 ( = H2 ) = 0, 2 = PH2 ( = H1 ) = 1.
~ H2 : (X)
. 1 = PH1 ( = H2 ) = 1, 2 = PH2 ( = H1 ) = 0.

2.

83

37. n = 1 Na, 1 H1 = {a = 0} H2 = {a = 1}.


b R :
(
H1 , X1 6 b,
(X1 ) =
H2 , X1 > b.
(. 10)

1 = PH1 (X1 > b),

2 = PH2 (X1 6 b).

N0,1

N1,1
2

. 10.

, b 1
, 2 .
, 36 37 :
, , ~ S)
. , 1 = PH1 (X
S,
~ S).
1 2 = PH2 (X
. .
1 (), 2 () 1 (), 2 ().
. ,
,
max{1 (), 2 ()} 6 max{1 (), 2 ()}.
25. ,
.
, max{1 (), 2 ()} .

84

VII.

. , 37 b = 1/2
.
. :
) , r H1 , s = 1 r H2 ; )
: r, , s, . r + s
1, r0 = r/(r + s)
s0 = s/(r + s).
r s . ,
,
r1 () + s2 () 6 r1 () + s2 ().
26. ,
.
, r1 ()+s2 () .
() ().
. , 37 b = 1/2
r = s.
.
.
. ,
() .
c
.
~ | 1 () 6 }.
[0, 1] K = { (X)
27. 0 K
() , 2 (0 ) 6 2 ()
K .
. , (,
, )

.

3.

85

3.
~ = (X1 , . . . , Xn ) . X
, :
= F1 }
H1 = {Xi

= F2 }.
H2 = {Xi

f1 (y) f2 (y) F1 F2 .
(6) . 27.
:
n
n
Y
Y
~
~
f1 (X) =
f1 (Xi ) f2 (X) =
f2 (Xi ).
i=1

i=1

(I).
(I) F1 F2 ,
.
16. , , . .
(I) , - f1 (y) f2 (y).

. 37. , X1 b = 1/2: , , , , . f2 (x1 , . . . , xn )/f1 (x1 , . . . , xn ) ,
Rn , . ,
, ,
.
c 1 = ,
, ,
,
: , c
, , : f2 (x1 , . . . , xn )/f1 (x1 , . . . , xn ) ,
c.

86

VII.


T (~x) = T (x1 , . . . , xn ) =

f2 (x1 , . . . , xn )
,
f1 (x1 , . . . , xn )

(21)

~x,
. , 0/a = 0, a/0 = +.
, , ~
, T (X)
, . .
c, 
~
~
c = PH1 f2 (X)/f
1 (X) = c . ,
: .
,
() c :
~ > c) = PH (T (X)
~ > c) + PH (T (X)
~ = c) = PH (T (X)
~ > c) + c .
PH (T (X)
1

, , S = {T (~x) > c} ,
S = {T (~x) > c} , .
, (II).
~ > c) c c > 0.
(II) R(c) = PH1 (T (X)
R(c) ~ :
T (X),
~ < c).
R(c) = 1 PH1 (T (X)
~ = c)
, c = PH1 (T (X)
c > 0.
28. (I), (II)

(
f (X , . . . , Xn )
~ < c, H1 , 2 1
< c,
H1 , T (X)
f1 (X1 , . . . , Xn )
~
c (X) =
=
~ >c
H2 , f2 (X1 , . . . , Xn ) > c
H2 , T (X)
f1 (X1 , . . . , Xn )

().
~ > c) = R(c),
~ < c).
1 (c ) = PH (T (X)
2 (c ) = PH (T (X)
1

3.

87

. ,
.
.
21. (I) (II).
1) c , 1 (c ) = 2 (c );
2)
r s, c = r/s;
~ > 0), c ,
3) , 0 < 6 PH1(f2 (X)
1 (c ) = .
. 21 [1, 2, . 3].
38. X1 , . . . , Xn a . ,
r = 1/3, s = 2/3 H1 = {a = a1 } H2 = {a = a2 },
a1 < a 2 .
, (II) . .
~ = H2 }.
S = {(X)
)
( n
n
X
X
~
1
~ = f2 (X) = exp 1
(Xi a1 )2
(Xi a2 )2 > c. (22)
T (X)
~
f1 (X)

i=1

i=1

c = r/s = 1/2. (22).


~ = H2
(X)

X>

a1 + a2
ln 2

.
2
n(a2 a1 )

,
(22) X > c1 , c1 , c.




1 () = PH1 X > c1 = PH1


n (Xa1 ) > n (c1 a1 ) =


= 1 0,1 n (c1 a1 ) ,



2 () = PH2 X < c1 = PH2


n (Xa2 ) < n (c1 a2 ) =


= 0,1 n (c1 a2 ) .

88

VII.

1 () = , n(c1 a1 ) = 1 , 1 1
.
c1 = a1 + 1 / n.
~ = H2
(X)

1
X > a1 +
.

1 () = 2 () . ,




1 0,1 n (c1 a1 ) = 0,1 n (c1 a2 ) = 1 0,1 n (a2 c1 ) ,


c1 a1 = a2 c1 c1 = (a1 + a2 )/2.

~ = H2 X > a1 + a2 .
(X)
2

39. X1 , . . . , Xn a = 0 2 , > 0.
H1 = { = 1 } H2 = { = 2 }, 1 < 2 .
, (II) . ~ = H2 }
S = {(X)

( 
)
X
n
n
1
1
~ = 1 exp 1
T (X)

Xi2 > c,
n
2
2
2

i=1

X 2 > c1 . c1 ,
:






2
nX
nc
nc
1
1
1 () = PH1 X 2 > c1 = PH1
> 2 = 1 Hn
= .
2
2
1

nc1 / 21 = h1 , h1 2- n . c1 = h1 21 /n
~ = H2
(X)

X2 >

h1 21
.
n

, n .

89

3.

29. n = n (X1 , . . . , Xn ) , 1 (n ) n .
n = n (X1 , . . . , Xn ) ,
2 (n ) 0 n .
17. , Hi i - i (n ) = i (n , F)
F, , . 29
F.
40. ,
?
38:
1
~ = H2 X > a1 +
.
n (X)
n



1 
1
2 (n ) = PH2 X < a1 +
= PH2 X
< a1 .
n

H2

1
a2 > a1 .
n = X
n

, . .
Fn (x)
Fa2 (x). Fa2 (x) = P(a2 < x)
a1 ( ?) .

1
< a1 = Fn (a1 ) Fa2 (a1 ) = 0.
2 (n ) = PH2 X
n

39:
~ = H2
n (X)

X2 >

h1 21
.
n


h1 21 
2 (n ) = PH2 X 2 <
.
n

14 (. 78) , 2 c n
n :

h1 = n + 1 2n + o( n).

90

VII.

2 (n ) = PH2

X2

<

21

2
+ 21 1
n



1
+o
.
n

, n,
:
H2

 p

2
1
2
2
X 1 1 + o
22 > 21 .
n

F2 (x)
21

2 (n ) = PH2

X2

2
21 1
n




1
2
< 1 F2 (21 ) = 0.
+o
n

4.
1. : ,
, ,
. , .
2. , F G , B , F(B) = 0, G(B) = 1.
: , F, , G, .
, , .
3. X1 , . . . , Xn m p, p 1/3 2/3
1/5 4/5 , m . .
4. , = 1 = 2 , 1 < 2 . n .

VIII

,
H1 = {F = F1 } H2 = {H1 }.
, ,
, . , ,
,
,
.
.

1.
, .
~ = (X1 , . . . , Xn ) F.
X
H1 = {F = F1 } H2 = {F 6= F1 }.
~
30. (X),
:
~ G,
= F1 , (X)
(K1) H1 , . . Xi
G ;
(K2) H1 , . . Xi - p
~
F2 6= F1 , |(X)|
n F2 .
= G C
= P(| | > C).
(
~
~ = H1 , |(X)| < C,
(X)
(23)
~ > C.
H2 , |(X)|
.

92

VIII.

:
, , .
, ,
. , H1 , ~ G. ,
(X)
. {| | > C} : .
~ , H1 .
(X)
~
, |(X)|
H2 .
, ()
. . H2 , ,
,
F2 .
31. H1
H2 ,
F2 , H2 ,
:

~ = H1 0 n .
2 (, F2 ) = PF (X)
2

22. , 30,
.
. (K1) :

~ > C P ( | | > C ) = .
1 () = PH1 |(X)|
(K2), .
p
, n , C > 0
P(n < C) 0 n .
, F2 :

~ < C 0.
2 (, F2 ) = PF |(X)|
2

18. (K1)
~
= G, (23) .
(X)

1.

93

, ,
~
= G C, (X)
~
|(X)|.
.



~
= X(0 ) .
= P(| | > | |)

. ,
. . ?
, (23) :
(
H1 , > ,
~
(X) =
H2 , 6 .
n
~ > | |)
PH1 (|(X)|

(24)

, G ~
(X).
, (24). (24) : , F1 ,
~ , |(X)|
.
(24)
. ,
(24) .
, , (24) 0,2, ,
20 % , ~
( ), |(X)|
, F1 . ,
, 20 % .
0,2 . = 0,01 = 0,05 (
). = 0,2 > 0,05
.
, (23) H1 .

94

VIII.

2.
~ = (X1 , . . . , Xn ) . X
F. H1 = {F = F1 } H2 = {F 6= F1 }. ,
F1 F1 ,
.

~ = n sup |F (y) F1 (y)|.


(X)
n
y

~ (K1), (K2). H1 ,
, (X)
~ ,
Xi F1 . (X)

K(y) (. 11).
1

0,5

0,5

. 11. K(y)

H1 , Xi F2 , F1 .
p
Fn (y) F2 (y) y n .
F1 6= F2 , y0 , |F2 (y0 ) F1 (y0 )| > 0.
p

sup |Fn (y) F1 (y)| > |Fn (y0 ) F1 (y0 )| |F2 (y0 ) F1 (y0 )| > 0.
y

p
~ = n supy |Fn (y) F1 (y)|
n, , (X)
.
K(y). , . . C , = P( > C).
:
(
~
~ = H1 , (X) < C,
(X)
~ > C.
H2 , (X)

2.

95

2 . 2
. F1
.
.
~ = (X1 , . . . , Xn ) F.
X
H1 = {F = F1 } H2 = {F 6= F1 }.
A1 , . . . , Ak , F1 . j = 1, . . . , k j
, Aj :
j = { Xi Aj } =

n
X

I(Xi Aj ),

i=1

pj > 0 PH1 (X1 Aj )


Aj F1 . , p1 + . . . + pk = 1. , ,
p1 = . . . = pk = 1/k.
~ =
(X)

k
X
(j npj )2
j=1

npj

(25)

19. (K2) . F2 6= F1 F1
pj Aj ,
.
,
(25), . , p1 , . . . , pk , p1 + . . . + pk = 1. 2
F :


H10 = F , P(X1 Aj ) = pj j = 1, . . . , k
H20 = {H10 }, . .


H20 = P(X1 Aj ) 6= pj .
~ (K1) ,
, (X)
H1 H10 .

96

VIII.

23 ( ). H1 H10 ,
k n
~ =
(X)

k
X
(j npj )2
j=1

npj

Hk1 ,

Hk1 2- k1 1 .
. k = 2.
2 = n 1 , p2 = 1 p1 . :
~ =
(X)

(1 np1 )2
( np2 )2
( np1 )2
(n 1 n(1 p1 ))2
+ 2
= 1
+
=
np1
np2
np1
n(1 p1 )

( np1 )2
(1 + np1 )2
( np1 )2
= 1
+
= 1
=
np1
n(1 p1 )
np1 (1 p1 )

1 np1

np1 (1 p1 )

2
.

1 n Bp1 ,
2

1 np1

np
1
~ = 1
= N0, 1 ,
= H1 .

2
(X)
np1 (1 p1 )

np1 (1 p1 )

k X.
~ (K2), (X)
H10 H20 .
. ,
0
H1 , j {1, . . . , k} ,

2
j
(j npj )2
p
n
=
pj
n .
npj

pj

30. Hk1 .
Hk1 C, 1 : =
= P( > C). 2 :
(
0
~
~ = H1 , (X) < C,
(X)
~ > C.
H20 , (X)
. k . , , ,
- . ?
, , : k = n 1 . . . k1 .
1

2.

97

20. 2 H1 = {F = F1 }. ,
, F1 .
, , , .
, .
~ Hk1 21. (X)
,
,


b
~ > C) P(2 > C)| 6 max
| PH1 ((X)
,
k1
npj (1 pj )

b ( ).
~
npj , (X)
Hk1 .
P( > C) . ,
~ Hk1 .
(X)
, np1 = . . . = npk 56.
2 . 2
.
~ = (X1 , . . . , Xn ) X
F.


H1 = F {F ; Rd } ,
, d .
k > d + 1
A1 , . . . Ak j , Aj . pj = PH1 (X1 Aj ) = pj ()
. (25)
, :
~ ) =
(X;

k
X
(j npj ())2
j=1

npj ()

(26)

98

VIII.

~ , = (X)
~ ) X.
~ (X;
pj pj ( ),
~ ) =
(X;

k
X
(j npj ( ))2
j=1

npj ( )

(27)

(K1) ( 2 pj ()) , .
24 (. ). H1 , d , k n

~ )=
(X;

k
X
(j npj ( ))2
j=1

npj ( )

Hk1d ,

Hk1d 2- k 1 d .
2 . Hk1d . C , = P( > C).
2 :
(
~ ) < C,
H1 , (X;
~
(X) =
~ ) > C.
H2 , (X;
20, 21 .
~ ) 22. (X;
.
,
X1 , . . . , Xn . ~ ) Hk1d .
(X;
~ ) 6 (X;
~ ). . , (X;
~ ) < C, (X;
~ ) < C. ,
(X;
~ ) < C,
H1 - , (X;
~ ).
(X;
~ ).
, (X;
2

2 pj ()/ i l ; kpj ()/ i k d.

3.

99

3.
. ~ = (X1 , . . . , Xn ) Y~ = (Y1 , . . . , Ym ) X
F G .
H1 = {F = G} H2 = {H1 }.
, F G
.
Fn (y) Gm (y) , ~ Y~ ,
X
q


mn
~
~
(X, Y ) =
sup Fn (y) Gm (y) .
m+n

~ Y~ )
25. H1 , (X,
n, m , .
p
~ Y~ )
. , (X,
n, m , H2 .
C , = P( > C),
(
~
~ = H1 , (X) < C,
(X)
~ > C.
H2 , (X)
23. , , 2 . [3, 3.4].
, . ~ = (X1 , . . . , Xn ) Y~ = (Y1 , . . . , Ym )
X
F G. H1 = {F = G}
H2 = {H1 }.
, (Wilcoxon, Mann, Whitney) , F G . ~ Y~ X
W, r1 , . . . , rm ( )
Y~ . U
( ):
n X
m
X
1
I(Xi < Yj ).
U = W m(m + 1) =
2
i=1 j=1

100

VIII.

H1 , P(X1 < Y1 ) =
( 2
).
EU =

nm
,
2

DU =

nm(n + m + 1)
.
12

, U :
U nm/2

~ Y~ ) = p
(X,

nm(n + m + 1)/12

.
26. F G ,
1
~ Y~ ) N0, 1 n, m .
P(X1 < Y1 ) = , (X,
2

:
(
~ < C,
H1 , |(X)|
~
~
(X, Y ) =
~ > C,
H2 , |(X)|
C 1 /2 N0, 1 .
min(n, m) > 25.
(K2) . F 6= G, P(X1 < Y1 ) = 1/2,
~ Y~ ) ,
26 (X,
, .
, Xi < Yj , H1 ,
.
, F G
, , Xi Yj , 26 .
,

1
H10 = , P(X1 < Y1 ) =
.
2

, , .
( ), , , . W r1 , . . . , rm
s(r1 ), . . . , s(rm ), s : (1, . . . , n+m) 7 (s(1), . . . , s(n+m))
. U = W m(m + 1)/2
, H1 - .

101

3.

, DY1  DX1 (. ),
Yj ,

(1, 2, 3, 4, 5, 6, 7, 8, 9, 10) 7 (10, 8, 6, 4, 2, 1, 3, 5, 7, 9),
.
.
.
: , .
( ), , .
. ,
.
( )
. .
:
~ = (X1 , . . . , Xn ) N
~
X
a1 , 21 Y = (Y1 , . . . , Ym ) Na2 , 22 ,
, , .
H1 = {1 = 2 }.
~ S 2 (Y~ )
S02 (X)
0
~
S02 (X)

n
1 X
(Xi X)2 ,
=
n1

S02 (Y~ )

i=1

m
1 X
=
(Yi Y )2
m1
i=1

2 ~
~ Y~ ) (X,
~ Y~ ) = S 2 (X)/S
~
(X,
0
0 (Y ).
~
, > 1. X
, . ,
~ > S 2 (Y~ ).
S02 (X)
0
~ Y~ )
27. H1 (X,
Fn1, m1 n 1 m 1 .
. ,

2n1 =

~
(n1) S02 (X)
21

2
m1
=

(m1) S02 (Y~ )


22

102

VIII.

Hm1 Hn1 . 1 = 2 ,
,
2 ~
~ Y~ ) = S0 (X)
(X,
2

22

S02 (Y~ )

2n1 / (n 1)
2
/(m 1)
m1

= Fn1, m1 .

f1 Fn1, m1 .

(
~ ~
~ Y~ ) = H1 , (X, Y ) < f1 ,
(X,
~ Y~ ) > f1 .
H2 (X,
. , 1 6= 2
p
21
~ Y~ )
6= 1 n, m .
(X,
2
2

(28)

.
1 > 2 (
~ > S 2 (Y~ )).
, (28), S02 (X)
0
, f = f (n, m) Fn, m (0, 1) n, m .
= Fn, m . , P(n,m <
n,m
f ) P(n,m > f ) n, m
1 .
p
, n,m 1. > 0 P( < 1 ) P( > 1 + ) n, m ,
, 1 .
, 1 < f < 1 + n, m.
, f 1 n, m .
, H1 , . . 1 > 2 , (28) f 1.
2
~ Y~ ) f1 1 1 > 0.
(X,
2

P(21 / 22 1 < x)
x = 0 (?) .
 2

1
2 () = PH2 ( < f1 ) = PH2 ( f1 < 0) P 2 1 < 0 = 0.
2

103

3.

. : ~ = (X1 , . . . , Xn ) N
~
X
a1 , 2 Y = (Y1 , . . . , Ym ) Na2 , 2
2 .
H1 = {a1 = a2 }.
.
28. tn+m2 ,
r
nm
s
n+m

tn+m2 =

(X a1 ) (Y a2 )
~ + (m 1)S 2 (Y~ )
(n 1)S 2 (X)
0

n+m2

Tn+m2 .
. (, !), X a1 N0, 2/n , Y a2 N0, 2/m .


2
2
n+m
+
= 2
.
D (X a1 ) (Y a2 ) =
n

nm

:
r
0 =


nm
= N0, 1
(X a1 ) (Y a2 )
n+m

,
~ 2 (m 1) S 2 (Y~ )/2 Hn1 Hm1
(n 1) S02 (X)/
0
,

1
~ + (m 1)S02 (Y~ )
S 2 = 2 (n 1)S02 (X)

2- Hn+m2 n+m2 (?)


X Y (?).
19 (. 69), p

0
2
S /(n + m 2)

Tn+m2 . 0 S 2
, tn+m2 28.

q
nm
X Y
~
~
(X, Y ) =
s
.
n+m

~ + (m 1)S 2 (Y~ )
(n 1)S02 (X)
0
n+m2

104

VIII.

28 (K1): H1 , . . a1 = a2 ,
= tn+m2 Tn+m2 .
C = 1/2
Tn+m2 . :
(
~ ~
~ Y~ ) = H1 , |(X, Y )| < C,
(X,
~ Y~ )| > C.
H2 , |(X,
. , .
. (K2): a1 6= a2 , ||
n m.
. 3
(. 67) 2 , ,
:
p

X Y const 6= 0,

~ + (m 1)S 2 (Y~ ) p
(n 1)S02 (X)
0
const 6= 0,
n+m2

.
. ,
. . ,
.
,
.
.
k
(1)

(1)

(k)

(k)

X (1) = (x1 , . . . , xn1 ), . . . , X (k) = (x1 , . . . , xnk )


(j)

= Na , 2 xi
j
. .
H1 = {a1 = . . . = ak }.

n

(j)

j
1 X (j)
=
xi ,
nj

i=1

j
(j) 2
1 X (j)
(j)
S =
xi X
.
nj

i=1

105

3.

n = n1 + . . . + nk .

k
(j)
1 X (j)
1 X
X=
xi =
nj X ,
n
n
i, j

j=1

j
k
2
1 X X (j)
2
S =
xi X .
n

j=1 i=1

H1 . .
,
k
2
(j)
1 X
2
nj X X .
S =
n

j=1

,
.
. ,
:
.

n

j
k
k
(j) 2
1 X X (j)
1 X
(j)
2
.
nj S =
S =
xi X
n
n

j=1

j=1 i=1

, . . , , . . , , .
, , .
j = 1, . . . , k
(j)
nj S (j)/2 Hnj 1 X .
2 -

nS2
2

k
X
nj S (j)
j=1

= Hnk ,

n k = n1 1 + . . . + nk 1.

106

VIII.

(1)

(k)

, S2 X , . . . , X .
X, (
) S2 , .

.
H1 . = Hn1 .
n. nS 2 /2
2
2
2
S , S S

nS 2
2

nS2
2

nS2
2

Hn1 ,
, Hnk .
, Hk1 .
8. ,
= Hm +
= Hs .
= Hsm .

. (t) = (1 2it)k/2 - Hk = 1/2, k/2 :


(t) (t) = (1 2it)m/2 (t) = + (t) = (1 2it)s/2 .
= Hsm .
(t) = (1 2it)(sm)/2
, H1 2 -

2 =

nS2
2

= Hk1

2 =

nS2
2

= Hnk .

Fk1, nk
=

k1

nk
2

n k S2
= Fk1, nk .

k 1 S2

C 1
Fk1, nk :
(
H1 , < C,
=
H2 , > C.
24. ,
, (. [6]).

4. 2

107

4. 2
(X1 , Y1 ), . . . , (Xn , Yn ) X Y n . H1 = {X Y }.
k 1 , . . . , k X
m 1 , . . . , m Y :
m
P
Y~ 1 2 . . . m
j=1
~
X
1
11 12 . . . 1m 1
..
.
...
k
k1 k2 . . . km k
k
P
1 2 . . . m
n
i=1

:
ij = (Xl , Yl ), i j ,
j = Yl , j ,

i = Xl , i .

H1 , (X, Y ) i j : i j



pij = P (X, Y ) i j = P X i P Y j = p xi pjy
( H10 ) . n
i

p xi ,

ij

p yi ,
ij

p ij .

( ij

i j

.
~ Y~ ) = n
(X,

k X
m
X
i=1 j=1

ij (i j )/n
i j

2

29. H1 , n
~ Y~ ) H(k1)(m1) .
(X,

(29)

108

VIII.

:
C, 1
H(k1)(m1) .
(
~ ~
~ Y~ ) = H1 , (X, Y ) < C,
(X,
~ Y~ ) > C.
H2 , (X,
. 29, , H10 (p x1 , . . . , p xk1 ; p y1 , . . . , p ym1 ),
d = k + m 2. i /n p xi j /n pjy
=

y 2

ij np x
i pj

i,j

np xi pj

(26), (29). km . 24
(. 98) H10 2-
km 1 d = (k 1)(m 1).
20 21 km .
5.

~ = (X1 , . . . , Xn ) . X
Na, 2 2 .
H1 = {a = a0 } H2 = {a 6= a0 }.

~ = n X a0 .
(X)

~
= N0, 1 .
(K1): H1 , (X)
C = 1/2 . :
(
~
~ = H1 , |(X)| < C,
(X)
(30)
~ > C.
H2 , |(X)|
p
~
. (K2): a 6= a0 , |(X)|
. , 30 .

5.

109

. , , , 2 . ,
, .

~ =
(X)

X a0
n 2 ,
S0

S02

n
1 X
=
(Xi X)2 .
n1
i=1

. 4 (c. 76)
(K1): a = a0 , Tn1 .
(30), C
,
(?).
. (K2). , .
, . ~ = (X1 , . . . , Xn ) F , . X
H1 = { = 0 }
H2 = { 6= 0 }.
( , + ) 1 . 0 , F0
P( < 0 < + ) = 1

(
H1 , 0 ( , + ),
~
(X) =
H2 , 0 6 ( , + )
:
1 () = PH1 ( = H2 ) = PH1 (0 6 ( , + )) = 1 PH1 ( < 0 < + ) = .

~ ),
G(X;
~ (X)
. .

110

VIII.

6.
1. , n m
.
2.

,
.
3. :
H1 = {a = a0 }, H2 = {a < a0 } H3 = {a > a0 }.
4. VIII , ? .
5. H1 = { = 0 }
H2 = { 6= 0 }. , , ,
?
6. .
p = 1/2 p 6= 1/2.
7. 300
.
8. 200
2 .
9.
.
10. , k = 2 .
11. .

IX

,
. : , X = + Z = +
, .
, . ,
, , ,
.
. ,
.
.
() . - .

1.
X Z. Z ,
. f (t) ,
X Z :
E(X | Z = t) = f (t).

(31)

f (t) X Z , x = f (t) . n ,
Z Z = t1 , . . . , Z = tn ,
X, X1 , . . . , Xn . i Xi E(X | Z = ti ) = Xi f (ti ) i -
.

112

IX.

, Xi = f (ti )+i , i = 1, . . . , n, i ,

X Z = ti . 1 , . . . ,
n - : ,
~
. :
E i = EXi f (ti ) = E(X | Z = ti ) E(X | Z = ti ) = 0.
t1 , . . . , tn X1 , . . . , Xn
f (t). ti , i Xi .
f (t)
f (ti ) : f (ti ) Xi , f (t) , (ti , Xi ).
f (t). f (t)
.
, f (t)
1 , . . . , k .
. . ,
X1 , . . . , Xn .
, ~
h(x) , , . ,
i N0, 2 , , . . Xi i ,
Xi , i , ,
f (ti ).

Xi h x f (ti ) .
X1 , . . . , Xn
~ 1 , . . . , k ) =
f (X;

n
Y
i=1


h Xi f (ti ) = h(1 ) . . . h(n ).

(32)

113

1.

i , h hi . i
(32) .

i f (t) 2 = D i , (32). , .
. , ~
N0, 2 . (32)


n

 Y
2
1
(X

f
(t
))
i
i
~ ~ =
exp
f X;
=
2
i=1

1
n (2)n/2

(
exp

n
1 X

22

)
(Xi f (ti ))2

i=1

, 2
X
X
(Xi f (ti ))2 =
2i .
32.
() 1 , . . . , k
,

n
n
X
X
2
(Xi f (ti )) =
2i .
i=1

i=1

i , f(t) f (t). f(ti ) , i = Xi f(ti ) .


2 , 2 ,
n
n
X
1 X
1
2
2
=
2i .
(Xi f(ti )) =
(33)

i=1

i=1

, , ,

114

IX.

, , ,
, ,
.
41. i
n
o
1
|x|
h(x) =
exp
.
2

P

|Xi f (ti )| . () 1 , . . . , k . f (t)
.
. f (t) = , i
. ,
P
, |Xi |,

(
X(m) ,
n = 2m1 (),
= 1

X(m) + X(m+1) , n = 2m ().
2

[X(m) , X(m+1) ].
1 P
2 =

|Xi |. ,
n

X, 2
S 2 (. 42 ).
f (t) .
42. f (t) = , . Xi = + i , i = 1, . . . , n.


X1 , . . . , Xn . :

n
n
X

X
2
(Xi ) = 2
(Xi )
= 0 = X.

i=1

i=1

2 = S 2 .
. ,

1.

115

43 ( ). Xi = 1 + ti 2 + i , i = 1, . . . , n, 1 2
. f (t) = 1 + t2 .


P 2 P 1 , 22 ,
i =
(Xi 1 ti 2 ) .
, .
. ,
n
n
X 2
X 2
i = 0 ,
i = 0
1

i=1

i=1


1 P
Xi ti X t
2 = n
,
1 P
2
(ti t )
n

1 = X t 2 .

33.
1 P
Xi ti X t
n
= r
,
1 P
1 P
2
2
(ti t )
(Xi X )
n
n


X1 , . . . , Xn t1 , . . . , tn .
44. 3 . ,
, , , . . ,
. X , Z1 Z2 .

E(X | Z1 = t, Z2 = u) = f (t, u) = 1 t + 2 u + c

E( | Z1 = t, Z2 = u) = 0, 27t + 0, 2u + const,
1,08 .

. .
3
Francis Galton. Regression towards mediocrity in hereditary stature // J. of the Anthropological Institute. 1886. Vol. 15. P. 246265.

116

IX.

2.
~ = (Z1 , . . . , Zk ) Z
~ = (1 , . . . , k ). -, .
()


~ = ~t = f ~t = 1 t1 + . . . + k tk ,
E X|Z
, ,
~ ) = f (Z
~ ) = 1 Z1 + . . . + k Zk .
E(X | Z
i -

~ (i) = Z (i) , . . . , Z (i) , i = 1, . . . , n.
Z
1
k
n > k X1 , . . . , Xn :

(1)
(1)

X1 = 1 Z1 + . . . + k Zk + 1

(2)
(2)

X2 = 1 Z1 + . . . + k Zk + 2

...

X = Z (n) + . . . + Z (n) + ,
n

~ = Z T ~ +~, Z(k n)
, , X
(1)

(n)
Z
. . . Z1

1..

..
~ (1) . . . Z
~ (n) .
Z = . ...
.
= Z
(1)
(n)
Zk . . . Zk
~
Z X
~ ~.
. .
(A1) Z k, . . .
9. (A1) , A = ZZ T .
. , A(k k)
,
~t T A ~t > 0 ~t = (t1 , . . . , tk ), ~t T A ~t =
= 0 ~t = ~0 = (0, . . . , 0). , -

2.

117

~u
k~u k2 = ~u T ~u =

u2i > 0.

, ~u = ~0.
A , A = ZZ T AT = A. (A1):
~t T A ~t = ~t T ZZ T ~t = (Z T ~t )T (Z T ~t ) = kZ T ~t k2 > 0.
kZ T ~t k = 0 , Z T ~t = ~0. Z
k, Z T ~t = ~0 ~t = ~0.
A,
.
10.


A
A , A A = A.

A A A = QT D Q ,
,

T
D. A = Q D Q.
, S(~ ),
S(~ ) =

n
X

~ Z T ~ k2 = (X
~ Z T ~ )T (X
~ Z T ~ ).
2i = k~ k2 = kX

i=1

i . , S(~ )
~ Rn Z T ~ (X
) Rn , Z T ~t, ~t Rk .
~ Z T
S() , X
, . .
~ Z T ~t Rk Z T ~t X
.

 
T 



T
T~
T
T
T
T~ ~
~
~

X Z = ~t Z X ZZ = 0.
Z t, X Z = Z t
~t
(0, . . . , 0, 1, 0, . . . , 0) Rk , ,

118

IX.

~ ZZ T . ,
ZX
~ A = Z X.
~
ZZ T = Z X
(34)
9, (34)
~
= A1 Z X

(35)

, Z(k n)
k, k 6 n. (34) .
, ~ N0,2
, ,
2 , (33),
n
1 ~
1
1 X 2
i = kX
=
Z T k2 = S().

n
n
n
2

(36)

i=1

. , .
12. ~ A1 Z ~.
. (35):
~ ~ = A1 Z(Z T ~ +~ ) ~ = A1 A~ + A1 Z ~ ~ = A1 Z ~.
A1 Z X
13. E~ = 0, ~.
. ,
E = ~ + A1 Z E~ = ~.
.
(A1) (A2).
(A2) ~ N0, 2 .
, ~x,
,
D~x = E(~x E~x)(~x E~x)T
, (i, j) -
cov(xi , xj ) = E(xi Exi )(xj Exj ).
, D~ = 2 En , En (nn) -.

,
(A1)(A2) A .

2.

119

14. A 2 Ek .
. 12 A :



T
D A = E A E A
A E A =

T


T

1
1

~
A ( ) = E
A A Z~
A A Z~ =
= E A ( )



1
= A A Z E ~ ~ T Z T (A1 )T A T .
AT = A, E~ ~ T = 2 En ,

D A = 2 A A1 ZZ T A1 A = 2 Ek .

14 , A .
.
.
30. (A1)(A2).
1) 1 A ( ~ ) k -
, . . k
;
2
~ Z T k2 2 n k
2) n = 1 kX
2

;
2
1

T
~
3) (2 ) = n =
kXZ
k2
nk
nk
2 .
. ,

A ( ~ ) = A A1 Z~ = ( A )1 Z~
~
. 14,
2 Ek ,
A ( ~ )/ Ek ,
13.

, . . .
. , X Z T Z T t. ,

120

IX.

Z T ( ~ ). X Z T Z T ( ~ )
:
kX Z T k2 + kZ T ( ~ )k2 = kX Z T + Z T ( ~ )k2 = kX Z T ~k2 .

kX Z T k2 = kX Z T ~k2 kZ T ( ~ )k2 = k~ k2 kZ T ( ~ )k2 . (37)

kZ T ( ~ )k2 k A ( ~ )k2 :

kZ T ( ~ )k2 = ( ~ )T ZZ T ( ~ ) = ( ~ )T A T A ( ~ ) =

= k A ( ~ )k2 = k( A )1 Z~ k2 .

, (kn) - ( A )1 Z :
 1   1 T
1
1
= ( A ) ZZ T ( A ) = Ek ,
( A) Z ( A) Z
k C(nn). k n - Y~ = C ~/ 1
( A ) Z ~/. (37)
1
1
n
2
T 2
=
kX

Z
k = k~/k2 k( A ) Z ~/k2 =
2
2

n  
X
2
i

i=1

Y12 . . . Yk2 .

(38)

~/ n - .
(38) 2 nk
, . . ~ ( , ~ ).
. ,
2 n k n k.




n
2
n
2
2
2
2
E( ) = E
=
E
=
(n k) = 2 ,
2
nk

nk

nk

X

. . ,
,
. , .
. , .

1.
, , .
34. ~ = (1 , . . . , m )
~a = E~, , , . , ~ N~a, Rm ,
~x Rm
n
o
1
1
T 1
f~ (~x) = m p
exp (~x ~a) (~x ~a) ,
(39)
( 2)

|det|

, ,
(39), . D~ , : ~
~, , .

122

X.

~ m

o
n
1
1 T
f~ (~x ) = m exp ~x ~x .
( 2)

, .

10 (. 117), B = . ~ = B~ +~a . 17 (.
72), ~

f~ (~x ) = |det B|1 f~ B 1 (~x ~a) =
o
n
1
1
T
1 T 1
= mp
exp (~x ~a) (B ) B (~x ~a) . (40)
( 2)

|det|

(40)
T

(B 1 ) B 1 = B 1 B 1 = 1 .
, ~ , (39). . ~a. , E(B~ + ~a) = BE~ + ~a = ~a,
:


D~ = E B~ (B~ )T = B E ~ ~ T B T = BB T = .

, E ~ ~ T = D~ = E .
.
31. 1. ~ , B . ~ = B~ +~a N~a, ~a = BB T .
2. ~


1
~
N~a, , > 0. ~ = B
~a B = .
, :
Rm , , , . ,
.

123

1.

, 18 (. 73) , . . ,
. ?
.
11. ~ = D~,
~ = B~ D~ = BB T .

:
QQT = D = diag(21 , . . . , 2m ).
~ ~ = Q~
,
.
25.
, , . .
Q~ = (1 , . . . , k , ck+1 , . . . , cm ), k Rk .
26. , , . ,
= N0, 1 (, c)

1 c
R2 .
c c2

.
32. ~ N~a, , (39).
, , . . .
. ii = 2i = D i (~x ~a)T 1 (~x ~a)
X
X (x a )2
i
i
,
(xi ai ) (1 )ij (xj aj ) =
2
i,j

(39) .

124

X.

45. : , . :
,
,
(39).
= N0, 1 . c > 0

(
, || 6 c,
=
.
= N0, 1 c.
,
. , { (c, 0)} { (c, 0)}
.

Z
Zc
2
2
2
2
cov(, ) =
x2 ex /2 dx
x2 ex /2 dx

c .
, . . ,
, ,
.
(1)
(2)
33 ( ). ~ , ~ , . . .
(1)
, E ~ = ~a (1)
(n)
. Sn = ~ + + ~
. n
~(n) =

Sn n~a

~, ~ N~0, .
n


g ~(n) g(~ ). g(~x )
P
g(~x ) = x2i = k~x k2 .
2. k~(n) k2 k~ k2 .

125

2.

2.
. 1. ,
,
S n~a
k - ~(n) = n
. , n
~(1) Sn ,
.
2. Q, ~(1) Q~(1) = ((1), 1),
(1) Rk1
. ~(n)
Q~(n) = (
(n), 0) .
- Q.
2 ,

(n) . 3.
(k1) -
, . . . 2 ,
Hk1 .
.
- 1.

P = ( p1 , . . . , pk ) Rk . Xi - ~(i) , i = 1, . . . , n, :


(i)
I(X

A
)
I(X

A
)
1
i
i
k
~ = (1 , . . . , k ) =
, ...,
.

p1

pk

n . ,
~a = E ~(1) = P, EI(X1 Aj ) = pj j = 1, . . . , k.
~(i) i n, ,



Pn
~(i) n~a
k npk
1 np1
S n~a
i=1

, ...,
=
= n
.

np1

npk

~(1) ,


EI(X1 Ai , X1 Aj ) pi pj
I(X1 Ai ) I(X1 Aj )
ij = cov
,
=
=

pj
pi pj
( pi
(
pi pi pj , i = j,
1 pi ,
i = j,
1
=

pi pj
0 pi pj , i 6= j
pi pj , i 6= j.

126

X.


1
0
p1

T
.
. . . . . p1 . . . pk .
= E PP =

pk
0
1
P , . , P = EP P P T P = P P = ~0, P
: P T P = kP k2 = 1. ,
. ,
P T ~(1) = I(X1 A1 ) + . . . + I(X1 Ak ) = 1.
(41)
2. (41) : Q P T , Q ~(1)
( ).
Q P T .
Q~(1) 10 B = QQT . , B (
bkk = 0).
, i - Q
P, , i 6= k
i = k, QP = (0, . . . , 0, 1).
B = QQT = Q(E P P T )QT = E QP (QP )T .
C = QP (QP )T , ckk
.



0
0
1
0
E
0
k1
.
.
..
.. =
.
(42)
B=
0
0
0
1
0
1
3. , :
~
Q (1) = ((1) , 1)
(41) QP = (0, . . . , 0, 1) = (E(1) , 1).
(42) , (1) Rk1 Ek1 .
(1) , (2) , . . . . ,
(n) =

(1) + . . . + (n)
= N~

0, Ek1 .
n

3.

127

(n) ,
2,
32
:
(n) 2

k k k =

k1
X

= Hk1 .
2i = 2k1

(43)

i=1

(n) , , ~(n) , Q~(n) ,

Q~(n) =

(n)
Q~(1) + . . . + Q~ QP

= (
(n) , 0),
n

: k~(n) k2 = kQ~(n) k2 = k(
(n) , 0)k2 = k
(n) k2 .
(43).
. , .
3.
= N
=
1.
a1 , 21 Na2 , 22
1 < < 1.
.
2. :

 
 

5 3
2 1
2 1
=
=

.
3 2
1 1
1 1

,
.
3. :


2 1
=
.
1 2
, . , .

128

X.

4.



f (x, y) = C e

1 x2 y 2
+
2 a2 b2

C. ,
.
5. , 45 (. 123)
.
6. . P(2 + 2 < r2 ).
7.



1
3xy
y2
1
x2

+
.
f (x, y) = exp
2

20

(, )
3xy
y2
9
x2

+
6
.
5
5
2
10

8. (a, b) = B 2 .
( a, b) , x2 + y 2 < r2
B : (x, y) 7 B(x, y).

XI

. ,

.
, . , , . , , .
. () :
,
Rn .

.
.

1.
.
, .

, E|| < . ,
( ).
L = L() , , = g(), g(x) .
(, ) = E(), .

130

XI.

E( | )

L.
R3 , L
, , . 12.

L()

0
. 12.

E( | ) = b
L, : L.
, g() L ( ) ( b, g()), . .



E ( b )g() = 0 E g() = E b g() .
. ,
g(y) .
35. E|| < , L = L()
. E( | ) b L, :


E g() = E b g() g() L.
(44)
, b (44)
= b . . ,
. . .
, b L(), . .
h() .
.
, . ,

1.

131

. ,
. 12.
15. E 2 < . b = E( | )
L :
2
2
min E g() = E b ,
g() L.
, , E(1 + 2 | ) = E(1 | ) + E(2 | ) . .
-
.
16. f () L , E|f () | < ,

E f () = f () E( | ) . .
. , f () . , = f ( ) E( | ) : g() L


E f () g() = E g() .
h() = f ()g() L. ,




E f () g() = E h() = E b h() = E g() .
(44) b.
17. f () L E|f ()| < .

E f () = f () . .
. = 1.
, (44) g() = 1.


18. E = E E( | ) , . . E = Eb.
.
19. E|g(, )| < ,
h
i
Eg(, ) = E E(g(, y) | ) y= .
20. , E( | ) = E .

132

XI.

.
, . .,
h(y) , E( | ) = h() . .
h(y) = E( | = y). { = y}?
: ,
.
a1 , a2 , . . . ,
b1 , b2 , . . . h()
h(b1 ), h(b2 ), . . . ,
X
h(y) =
ai P( = ai | = y).
i

, y h(y)

ai P( = ai | = y).
= y.
f, (x, y) , f (y) .
Z
f (x, y)
dx.
(45)
h(y) = x ,
f (y)

y h(y)
f (x | y) =

f, (x, y)
=
f (y)

R f, (x, y) .
f, (x, y) dx


= y, f (x | y) .
(, ),
h(), h(y) (45), (44) , , E( | ).
g() L (, ) (44)
ZZ
E( g()) = xg(y)f, (x, y) dx dy.
R2

133

1.


Z
ZZ

f (x, y)
E h()g() = h(y)g(y)f (y) dy =
x ,
dx g(y)f (y) dy.
f (y)

RR

f (y), .
46. X1 , . . . , Xn , Sn = X1 + . . . + Xn . E(X1 | Sn ).
. k 6 m
P(X1 = k | Sn = m) =

P(X1 = k, Sn = m)
P(X1 = k, X2 + . . . + Xn = m k)
=
.
P(Sn = m)
P(Sn = m)

= (n1) ,
X2 + . . . + Xn

P(X1 = k, X2 + . . . + Xn = m k) =

((n 1))mk (n1)


e
=
(m k)!

k!
(n 1)mk m n
=
e
.
k! (m k)!

nm

P(Sn = m) =
m en . ,
m!

 k 

1
1 mk
k
P(X1 = k | Sn = m) = Cm
1
.
n

, m
1/n. E(X1 | Sn = m) = h(m) = m/n.
E(X1 | Sn ) = h(Sn ) = Sn /n = X.
, : (X1 , X2 , . . . , Xn ) (X2 , X1 , . . . , Xn ) ,

P(X1 = k | Sn = y) = P(X2 = k | Sn = y),
, . .
E(X1 | Sn ) = E(X2 | Sn ) = . . . = E(Xn | Sn ).
, 17
E(X1 | Sn ) + . . . + E(Xn | Sn ) = E(Sn | Sn ) = Sn ,

E(X1 | Sn ) =

Sn
= X.
n

. [1, 1, 10, . 2]
.

134

XI.

2.
X1 , . . . , Xn F ,
q(t)
E|| < .
36. = E( | X1 , . . . , Xn ).
, 15

min E( g(X1 , . . . , Xn ))2 = E( )2 .


, :
,

q(t) = t .
47. p p.
p , , = U0, 1 q(t) = I(0 < t < 1).
, . . p
p = E(p | X1 , . . . , Xn ) = h(X1 , . . . , Xn ) . . (45) h(~y )
f (~y ; t) q(t)
f (t | ~y ) =
.
fX
y)
~ (~

. q(t)
, t,
. . (. 12, . 31)
f (~y ; t) = tny (1 t)nny .
, ,
(45), :
t C = const . ,
f (t | ~y ) =

tny (1 t)nny I(0 < t < 1)


.
C

135

3.

- B1 , 2 1 = ny+1, 2 = nny+1 . -
(. [1, . 8, 2, . 2])
h(~y ) =

1
1 + 2

ny + 1
ny + 1
=
,
ny + 1 + n ny + 1
n+2

~ = nX + 1 .
p = h(X)
n+2

.
.
3.
= F , . ,
X1 , . . . , Xn
: ,
, .
: ( ),
. ,
,
?
37. S = S(X1 , . . . , Xn ) , s B B(Rn )
P(X1 , . . . , Xn B | S = s) .
: S , ; ( ?)
!
S, . , , ,
.
( . [1, 12, . 2]).
34 ( ).
S ,

~ (S, ) . .,
f (X1 , . . . , Xn ; ) = h(X)

.
48. .

136

XI.

Bp , E ,
S = nX S = X :
~ p) = pnX (1 p)nnX = (nX, p),
f (X;
nX

~ ) = Q
f (X;

Xi !

~ 1;
h(X)

1
(nX, );
Xi !

en = Q

~ ) = n enX I(X(1) > 0) = I(X(1) > 0) (nX, ).


f (X;
= U0, S = X(n) :
Xi

~ ) = 1 I(X(1) > 0) I(X(n) 6 ) = I(X(1) > 0) (X(n) , ).


f (X;
n

= Na, 2 . (a, 2 ) Xi
S = (nX 2 , nX) :
P

~ a, 2 ) = 22 n/2 e (Xi a)2 /22 =
f (X;
n/2 (nX 2 2anX+na)/22
= 22
e
= (S, a, 2 ).

, .
= F , . S 38. Xi
,
Eg(S) = 0
g(S) = 0 . . ( g(x) ).
S ,
Kb , S,
( ). , : 1 (S) Kb 2 (S) Kb , E(1 (S) 2 (S)) = 0
. g(S) = 1 (S) 2 (S) = 0 . . - S.
,
, : .
= F , , S
35. Xi

. S Kb S,
Kb .
. Kb . .
12. E( S )(S ) = 0 .

3.

137

12. ( 18) S 16 (S ) -
S,




E( S )(S ) = E E ( S )(S ) | S = E (S )E S | S .

, E | S = S . . , S,
18 E .

, E | S Kb . - S
Kb ,

S.



S . E | S = S , E S | S = 0 . .





E( S )(S ) = E (S )E S | S = E (S ) 0 = 0.
. E( S )(S ) = 0 12,
E( )2 = E( S + S )2 = E( S )2 + E(S )2 > E(S )2 .
Kb
, S . S Kb .
?
= U0, , > 0, S = X(n) . 49. Xi
. , > 0
Z
Eg(S) = g(y)

ny n1
n

dy = 0.

, g(S) = 0 . .
,
h(y) = g(y) y n1 . h(y) = 0 y < 0.
,
Zb
h(y) dy = 0 a < b.
a

, h
B . A B ,

138

XI.

B h :
n Z
o

A= B
h(y) dy = 0 .
B

A - () . , B(R) A.
(?)
B1 = {x | h(x) > 0},

B2 = {x | h(x) < 0}.

h . , .
, .
{x | h(x) 6= 0} = 0, . . g(S) = 0 . .
, S = X(n) . 35 : = X(n) K/(n+1) ,
= (n + 1)X(n) /n K0 . .
= E , > 0, S = X. , 50. Xi
S , [5, 11.2].
1
n1

25 (. 54) =
n
X
, ,
K0 .
4.
1. E(X1 | nX)
.
2. p 47.
E(p p)2 .
3. , S = (X(1) , X(n) ) ,
R U, +1 .
4. S = (nX 2 , nX)
(a, 2 ) , (a, 2 ).


1

,
,

P( = k)

Ic , c R

P( = c) = 1

Bp
p (0, 1)

k = 0, 1

P( = 0) = 1p,
P( = 1) = p

p(1 p)

Cnk pk (1 p)nk

np

np(1 p)

k
e

p(1 p)k1

1
p

1p
p2

Bn, p
p (0, 1)
n = 1, 2, . . .

k = 0, . . . , n


>0

k = 0, 1, 2, . . .

Gp
p (0, 1)

k = 1, 2, . . .

n, K, N N
0 6 n, K 6 N

k!


max(0, n+KN )
min(n, K)

k C nk
CK
N
K

n
CN

K
n
N

K
n
N

K
1
N

N n
N 1

140

2

,
,


[a, b]
Ua, b , a < b

1 , x [a, b],
ba
0,
x
6 [a, b]

0,

x > 0,
x60

1
2
2
e(xa) /2 ,
2

a+b
2

(b a)2
12

1,2

2 + (x a)2

, ,
> 0, > 0


x1 ex , x > 0,
()

0,
x60

< x <

( > 1)

6(3 +2 62)
,>4
(3)(4)

,>3

(
, x > 1,
x+1
0,
x<1

< x <

2 2(+1)

,>2

|x|
e
,

, > 0

< x <

Ca, ,
a R, > 0

L, ,
> 0, R

(1)2 (2)

()
Na, 2 ,
a R, > 0

ex ,

()
E = , 1 ,
>0

141

3
2
x, P(2k > x) =

k
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
49
99
499
999

0,005

0,01

0,025

0,05

0,95

0,975

0,99

0,995

12, 84 11,34
9,35
7,81
0,35
0,22
0,12
14, 86 13,28 11,14
9,49
0,71
0,48
0,30
16, 75 15,09 12,83 11,07
1,15
0,83
0,55
18, 55 16,81 14,45 12,59
1,64
1,24
0,87
20, 28 18,48 16,01 14,07
2,17
1,69
1,24
21, 95 20,09 17,53 15,51
2,73
2,18
1,65
23, 59 21,67 19,02 16,92
3,33
2,70
2,09
25, 19 23,21 20,48 18,31
3,94
3,25
2,56
26, 76 24,73 21,92 19,68
4,57
3,82
3,05
28, 30 26,22 23,34 21,03
5,23
4,40
3,57
29, 82 27,69 24,74 22,36
5,89
5,01
4,11
31, 32 29,14 26,12 23,68
6,57
5,63
4,66
32, 80 30,58 27,49 25,00
7,26
6,26
5,23
34, 27 32,00 28,85 26,30
7,96
6,91
5,81
35, 72 33,41 30,19 27,59
8,67
7,56
6,41
37, 16 34,81 31,53 28,87
9,39
8,23
7,01
38, 58 36,19 32,85 30,14 10,12
8,91
7,63
40, 00 37,57 34,17 31,41 10,85
9,59
8,26
41, 40 38,93 35,48 32,67 11,59 10,28
8,90
42, 80 40,29 36,78 33,92 12,34 10,98
9,54
44, 18 41,64 38,08 35,17 13,09 11,69 10,20
45, 56 42,98 39,36 36,42 13,85 12,40 10,86
46, 93 44,31 40,65 37,65 14,61 13,12 11,52
48, 29 45,64 41,92 38,89 15,38 13,84 12,20
49, 65 46,96 43,19 40,11 16,15 14,57 12,88
50, 99 48,28 44,46 41,34 16,93 15,31 13,56
52, 34 49,59 45,72 42,56 17,71 16,05 14,26
78, 23 74, 92 70, 22 66, 34 33, 93 31, 55 28, 94
139, 0 134,6 128,4 123,2 77,05 73,36 69,23
584, 1 575,4 562,8 552,1 448,2 439,0 428,5
1117, 9 1105,9 1088,5 1073,6 926,6 913,3 898, 0

0, 07
0, 21
0, 41
0, 68
0, 99
1, 34
1, 73
2, 16
2, 60
3, 07
3, 57
4, 07
4, 60
5, 14
5, 70
6, 26
6, 84
7, 43
8, 03
8, 64
9, 26
9, 89
10, 52
11, 16
11, 81
12, 46
13, 12
27, 25
66, 51
421, 4
887, 6

142

4

x, P(|tk | > x) =
k
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
49
99

0,001 0,002 0,005 0,01 0,02 0,05

12,92 10,21
8,61 7,17
6,87 5,89
5,96 5,21
5,41 4,79
5,04 4,50
4,78 4,30
4,59 4,14
4,44 4,02
4,32 3,93
4,22 3,85
4,14 3,79
4,07 3,73
4,01 3,69
3,97 3,65
3,92 3,61
3,88 3,58
3,85 3,55
3,82 3,53
3,79 3,50
3,77 3,48
3,75 3,47
3,73 3,45
3,71 3,43
3,69 3,42
3,67 3,41
3,66 3,40
3,50 3,27
3,39 3,17
3,29 3,09

7,45
5,60
4,77
4,32
4,03
3,83
3,69
3,58
3,50
3,43
3,37
3,33
3,29
3,25
3,22
3,20
3,17
3,15
3,14
3,12
3,10
3,09
3,08
3,07
3,06
3,05
3,04
2,94
2,87
2,81

5,84
4,60
4,03
3,71
3,50
3,36
3,25
3,17
3,11
3,05
3,01
2,98
2,95
2,92
2,90
2,88
2,86
2,85
2,83
2,82
2,81
2,80
2,79
2,78
2,77
2,76
2,76
2,68
2,63
2,58

4,54
3,75
3,36
3,14
3,00
2,90
2,82
2,76
2,72
2,68
2,65
2,62
2,60
2,58
2,57
2,55
2,54
2,53
2,52
2,51
2,50
2,49
2,49
2,48
2,47
2,47
2,46
2,40
2,36
2,33

3,18
2,78
2,57
2,45
2,36
2,31
2,26
2,23
2,20
2,18
2,16
2,14
2,13
2,12
2,11
2,10
2,09
2,09
2,08
2,07
2,07
2,06
2,06
2,06
2,05
2,05
2,05
2,01
1,98
1,96

0,1

0,2

2,35
2,13
2,02
1,94
1,89
1,86
1,83
1,81
1,80
1,78
1,77
1,76
1,75
1,75
1,74
1,73
1,73
1,72
1,72
1,72
1,71
1,71
1,71
1,71
1,70
1,70
1,70
1,68
1,66
1,64

1,64
1,53
1,48
1,44
1,41
1,40
1,38
1,37
1,36
1,36
1,35
1,35
1,34
1,34
1,33
1,33
1,33
1,33
1,32
1,32
1,32
1,32
1,32
1,31
1,31
1,31
1,31
1,30
1,29
1,28

143

5

x, P(fk1 , k2 > x) = 0,05
k2
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

k1

10

161
18,5
10,1
7,71
6,61
5,99
5,59
5,32
5,12
4,96
4,84
4,75
4,67
4,60
4,54
4,49
4,45
4,41
4,38
4,35
4,32
4,30
4,28
4,26
4,24
4,23
4,21
4,20
4,18
4,17

199
19,0
9,55
6,94
5,79
5,14
4,74
4,46
4,26
4,10
3,98
3,89
3,81
3,74
3,68
3,63
3,59
3,55
3,52
3,49
3,47
3,44
3,42
3,40
3,39
3,37
3,35
3,34
3,33
3,32

216
19,2
9,28
6,59
5,41
4,76
4,35
4,07
3,86
3,71
3,59
3,49
3,41
3,34
3,29
3,24
3,20
3,16
3,13
3,10
3,07
3,05
3,03
3,01
2,99
2,98
2,96
2,95
2,93
2,92

225
19,2
9,12
6,39
5,19
4,53
4,12
3,84
3,63
3,48
3,36
3,26
3,18
3,11
3,06
3,01
2,96
2,93
2,90
2,87
2,84
2,82
2,80
2,78
2,76
2,74
2,73
2,71
2,70
2,69

230
19,3
9,01
6,26
5,05
4,39
3,97
3,69
3,48
3,33
3,20
3,11
3,03
2,96
2,90
2,85
2,81
2,77
2,74
2,71
2,68
2,66
2,64
2,62
2,60
2,59
2,57
2,56
2,55
2,53

234
19,3
8,94
6,16
4,95
4,28
3,87
3,58
3,37
3,22
3,09
3,00
2,92
2,85
2,79
2,74
2,70
2,66
2,63
2,60
2,57
2,55
2,53
2,51
2,49
2,47
2,46
2,45
2,43
2,42

237
19,4
8,89
6,09
4,88
4,21
3,79
3,50
3,29
3,14
3,01
2,91
2,83
2,76
2,71
2,66
2,61
2,58
2,54
2,51
2,49
2,46
2,44
2,42
2,40
2,39
2,37
2,36
2,35
2,33

239
19,4
8,85
6,04
4,82
4,15
3,73
3,44
3,23
3,07
2,95
2,85
2,77
2,70
2,64
2,59
2,55
2,51
2,48
2,45
2,42
2,40
2,37
2,36
2,34
2,32
2,31
2,29
2,28
2,27

241
19,4
8,81
6,00
4,77
4,10
3,68
3,39
3,18
3,02
2,90
2,80
2,71
2,65
2,59
2,54
2,49
2,46
2,42
2,39
2,37
2,34
2,32
2,30
2,28
2,27
2,25
2,24
2,22
2,21

242
19,4
8,79
5,96
4,74
4,06
3,64
3,35
3,14
2,98
2,85
2,75
2,67
2,60
2,54
2,49
2,45
2,41
2,38
2,35
2,32
2,30
2,27
2,25
2,24
2,22
2,20
2,19
2,18
2,16


, 80
, 68

, 22

, 17
, 17
, 17
, 37
, 15

, 42
, 134
, 84, 87

, 106
-, 135
-, 135
, 22
, 10
i - , 80
, 105
, 8

, 9, 13
, 17
, 13
, 17
, 17
, 114

, 9
, 9, 13
, 17

, 17
, 17

, 115
, 9, 13
, 17
, 17
, 17
-, 65
, 79
, 79
, 80, 107
, 80, 99
, 79
, 79
, 79
, 11
, 15, 94
, 12, 95
, 104

, 105
, 105
, 57
, 58
, 60
, 57
, 59, 77
, 58
, 60
, 135
, 10
, 46

, 59

, 34
, 34
, 118, 121

, 94
, 15, 94
, 15, 94
, 99
, 115
, 70
, 80
, 106
, 84, 87
, 94
, 99
, 83, 87
, 84, 87
, 86
, 104
, 91
, 101
2 , 107
2 , 95, 97
, 82

, 87
, 74
, 115, 116
, 111
, 27

, 118, 121
, 72
, 116
, 116
, 105

, 26, 113
, 23
, 113
, 83, 87

145

-, 113
, 124
,
121
, 82
, 84, 87
, 113
, 87

, 48
, 48

, 17
, 17
, 17
, 22
, 15
, 116
, 118
, 45
, 86
, 22
, 22
, 37
, 134
, 27
, 23
, 40
, 113
, 22
, 22
, 34, 136
R -, 51

, 28
, 24, 29
, 28
i - , 80
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146

, 136
, 10
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, 65
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, 121
Tk , 69
Fk, n , 71, 101
, 71
2 , Hk , 66
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, 111
, 115, 116
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, 17
, 17
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, 84
, 83

, 42
, 33
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, 136
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, 69

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, 15, 94
, 15, 94
, 135
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, 124
, 130
, 111

, 57
, 57
, 82
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, 130
, 132
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1. . . . .: , 1984. 472 .
2. . ., . . . .: -, 1997. 302 c.
3. . ., . . .
.: . ., 1984. 248 .
4. . . .
.: , 2002. 496 .
5. . ., . . . : - - , 2001.
128 .
6. . ., . . .
.: , 1965.

. .

30.08.2007
60 84 1 /16 . .
.-. . 9,25. . . . 8,6. 200 .

- .
630090, -90, . , 2.