,

, 2003

 517.0
22,16

. .

.. . : .
: - . . -, 2003. 213 .
.
, , , .

.

:
c

: .., 2002

" " ,
" " " ".
"", . . ,
, . ,
- , ,
,
,
, .
, . , , , , ,
.
, ,
, .
,
, , 3

1.

.
1.1

, , .
, . :
f (x1 , ..., xn ) ,
x1 , ..., xn

j (x1 , ..., xn ) = 0,

j = 1, ..., m.

(1.1)

L(x1 , ..., xn , 1 , ..., m ) = f (x1 , ..., xn )

m
X

j j (x1 , ..., xn ),

j=1

1 , ..., m , (1.1). L
, xi , i = 1, ..., n
(1.1), n+m
.
d2 L x1 , ..., xn ~x0 dx1 , ..., dxn
n
X
j
i=1

xi

(~x0 ) = 0, j = 1, ..., m,

(1.1).
, , .
,
, 1.

1.1.

, , ,  -.
, ~a, , ,
-. , , .
t , , , .. , . , A , At = A, ~at  -.
,
.. ~a = (a1 , ..., an )t , ~b = (b1 , ..., bn )t ,

~a ~b =

n
X

aj bj = k~akk~bk cos ,

j=1

 ~a ~b, k~ak
:
v
u
n
uX

k~ak = t

a2j .

j=1

,
0. ,

~a ~b = ~at~b,
.
(,
) , , ..

(AB)t = B t At ,
, ""
:
1 ~a, ~b A, B

A~a ~b = ~a At~b,

~a B~b = B t~a ~b.

1.

A~a ~b = (A~a)t~b = ~at (At~b) = ~a At~b,

.
, ,
(B t )t = B .
.
2 ( -)

|~a ~b| k~akk~bk,

, ,
~
~a = b.
.

~a =

~b
~a ~
, b =
.
k~ak
k~bk

k~a k = k~b k = 1

k~a ~b k2 = (~a ~b ) (~a ~b ) = 2 2~a ~b 0,

|~a ~b | 1,

k~akk~bk,
-.
, ~a = ~b, .
, - ,
, k~a ~b k = 0,
~a = ~b ,

=
.

k~ak
.
k~bk

1.1.

, ~a1 , ..., ~an n , k~aj k = 1, j = 1, ..., n i 6= j ~ai ~aj = 0.

, ..
n-
.
"". ,  . : A  .
~a ,
,
A~a = ~a.
,
.
,

A~a ~a > 0.
, .. 2. , A1/2  ,

A1/2 A1/2 = A.

. |A| . |A| =
6 0,
1
, .. A ,

AA1 = A1 A = I,
I .
, ,
( In ).
, :
1 A .

max A~x ~x = 1 ,

k~
xk=1

1.

1  , ~x = ~e1 , ,
.
,  ,
, . . (
) , , . , - . , "" , .. . , , - ""(.
).

1.2

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

. (0, 1). t
F ,

F (t ) = .
. :

1.2.

, t , , , - .
t(),
P( t()) =
F .
:
t = t(1 ).
,
.. , , . - , .
p, x

F (x) =

Zx

p(t)dt,

, . , , , , . , x, () .
, . ""
- ,
, , 1. "" -
. .
, ,
.
,

10

1.

. .
2.1.

X
xi P( = xi ),
M =
i

,
p

M =

xp(x)dx.

"" ,
. " "
"".

D = M( M)2
, , . . "" - .
1.3

n . X = (x1 , ..., xn ) n
( ).
X - n- , ,
.
. ()  , , , . , , -

1.3.

11

,
. , X = (1, 2, 1, 3, 1, 1, 3),
:

1
4/7

2
1/7

3
2/7

, - .
, , ,
n
1X

xi ;
X =
n i=1

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

( ). ,
, . , ,
.
, ..
, , .. .
.  () ,  .
,
M = .

, .. ,
. , - ,
.

12

1.

. " ", ,
.
" " , . , (
) .
, , .
,
, .
. . f (x, )
x , x,
. ,
X n

L(X, ) =

n
Y

f (xi , ).

i=1

, L
.
.

2.1

~ = (1 , ..., n ), () . ,
~ n- . ~ 1 , ..., n ,
- .
, "" () , , , .
, . , ,
. Fj (x), j = 1, ..., n F

Fj (t) = lim F (x1 , ..., xj1 , t, xj+1 , ..., xn ),

, , j -,
.
: , 1 - ,
13

14

2.

, 2 - , 3 - ,
. i , i = 1, 2, 3
, 1 2 , 1 3 .

2.1.

15

(1 , 2 ) (1 , 3 ).

1 /2
0
1

0
0
1/2

1
1/2
0

1 /3
0
1

0
1/4
1/4

1
1/4
1/4

, .
:

P (1 = a) =

P (1 = a, 2 = b), P (2 = b) =

P (1 = a, 2 = b).

2
1 . ,
,
( ) .
:

p1 (x) =

p1 ,2 (x, y)dy,

p2 (y) =

p1 ,2 (x, y)dx.

. , ,
: (n 1)-, , .
,
. , . , ,
, , . . , , ,

16

2.

, . :
1 [0, 1], 2 = 1 .
(1 , 2 )
. , , ,
.
. ,

0. ,
. , , (, )
, , , ,
. , , . ,
- .
2.2

,
, .. x1 , ..., xn
:

P (1 < x1 , ..., n < xn ) = P (1 < x1 )P (2 < x2 )...P (n < xn ).

, , . ,
,
, .
"" "". , , . ,
, ,
, .

2.2.

17

-
, .
"" , ,
, . ,
x1 , ..., xn

P (1 = x1 , ..., n = xn ) = P (1 = x1 )P (2 = x2 )...P (n = xn ).
, , .. x1 , ..., xn

p1 ,...,n (x1 , ..., xn ) = p1 (x1 )p2 (x2 )...pn (xn ).

"",
, ( ). ,
, ,
, , , ,
.
, ,
. ,
.
~ ~ , . ,
A, B n-
P (~ A, ~ B) = P (~ A)P (~ B).

, , ,
. , "",

18

2.

.. , , . , ,
~
~
.

2.3

, M~ = (M1 , ..., Mn )t ,
, ~ , n- ,
M~ - . :
1. M(~ + ~
) = M~ + M~ ;
2. - , M~ = M~;

~ ~ M(~ ~ ) = M~ M~ , ,
3. ,
, ;
4. ~ , f - , n-
,

~ =
Mf ()

...

f (~x)p(~x)dx1 ...dxn ,

n- ~;

~ Mkk
~ , , , k~ak 5. kMk
~a, .. .
, .

2.3.

19

( ),
:

~ i,j = cov(i , j ) = Mi j Mi Mj , i, j = 1, ..., n.

(cov)
~ i,j = 0.
, i , j , (cov)
,
. , . - ,
. ,
, (
" "), " ", .
:
1. ;
2. ;
3. . ~ ~t = (t1 , ..., tn )t - ,
, C = cov()

C~t ~t =

n
X

i,j=1

Ci,j ti tj = D

n
X

tk k

0.

k=1

~ = 2 cov~ .
4. cov()
, (i, j)- i- j - .

cov(, )
(, ) =
DD
,
-1 1, , , (+1 -1)

20

2.

, , . , -
,
( 2.4) . ,
( ).

[1, 2/3]
(2/3, 1/3]
(1/3, 1/3)
[1/3, 2/3)
[2/3, 1]

~ ,
~0.
. ~0 = ~ M~.
, (). ~00 = V 1/2 ~0 ,
~ . , V = cov()
, .
2.4

A - n n , , |A| . n-
v
u


u |A|
1
t
exp A(~x ~a) (~x ~a)
p(~x) =
n

(2)

2.4.

21

~a V =
A1 . ,
.
(, , ), .
, i , i = 1, ..., n
, , A1
.
2 ~ .

i, j (i , j ) = 0, 1 , ..., n .
. , cov~ ,

A .
12 , ..., n2 . , , j2 = Dj , j = 1, ..., n. ,

|A| =

n
Y

j2 ,

j=1

n
X
1
1
A(~x ~a) (~x ~a) =
(xj aj )2 .
2
2
2
j
j=1

n
Y

1
1
p(~x) =
exp (xj aj )2
2
2
j=1 2j


n
Y

pj (xj ),

j=1

.
,
.
3 ~ n-

~a V , ~ = V 1/2 (~ ~a)
n- , .. . ,  .
n , ~

.

22

2.

3 3 V 1 (~ ~a)(~ ~a)

- n .

. -

V 1 (~ ~a) (~ ~a) = V 1/2 (~ ~a) (~ ~a) = ~ ~ .

3 -
( 2)
n

~ ~ =

i2 .

i=1

. ,
,

1
(A1,1 x21 + 2A1,2 x1 x2 + A2,2 x22 )},
2
- , :
exp{

Ai,j

A = V 1 =

12
|V |
c|V1,2|

c|V1,2|
12
|V |

c1,2 = cov(1 , 2 ).
, , ,

(1 , 2 ) =

c1,2
A1,2
= q
.
1 2
A1,1 A2,2

(2.1)

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

2.5.

2.5

23

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

p(x1 , x2 ) =

|A|
1
exp{ (A1,1 x21 + 2A1,2 x1 x2 + A2,2 x22 )},
2
2

A  , . ..,

V =

12
cov(1 , 2 )
cov(1 , 2 )
22

Ai,j = |Vi,j| , i, j = 1, 2, ci,j 

(i, j) V .

c1,1 = 22 ,

c1,2 = cov(1 , 2 ),

(2.2)

, ,

p(x1 , x2 )  exp{

1
(c1,1 x21 + 2c1,2 x1 x2 + c2,2 x22 )}.
2|V |

(2.3)

, (2.2) (2.3) ,

(1 , 2 ) =

c1,2
.
c1,1 c2,2

(2.4)

~ = (1 , 2 , 3 ) 1 2
- 3 .

24

2.

1 , 2 3 = x3 ,

p1 ,2 /3 =x3 (x1 , x2 ) = p(x1 , x2 |x3 ) =

p(x1 , x2 , x3 )
R

p(x1 , x2 , x3 )dx3


1 
c1,1 (x1 b1 )2 + 2c1,2 (x1 b1 )(x2 b2 ) + c2,2 (x2 b2 )2 , (2.5)
2|V |

b1 , b2 

c1,1 b1 + c1,2 b2 = c1,3 x3 ,

c1,2 b1 + c2,2 b2 = c2,3 x3 .

.
(2.5) (2.1), (2.3) , x3 1 , 2
(2.4) :
c1,2
R12,(3) =
.
(2.6)
c1,1 c2,2
1 , 2 3 . (2.6), . ci,j , ,
(i, j) V .
(2.6) , . R12,(34...p) V ,
p.

.
, , "" , , 1 2 ,
. , ,
:

12 13 23

R12,(3) = q

(1 213 )(1 223 )

2.5.

25

.
, , n
.
~ i n
i , i = 1, ..., p(p 3) OQ
, .  , , "", , , .
, , .
.. 1 :

x1(2,...,p) = 1 M(1 / 2 , ..., p ).

, Mx1(2,...,p) = 0.
2
1(2,...,p)
= Mx21(2,...,p) .

(. " ")

1(2,...,p) = 1

p
X

i i

i=2

, .
i

p
n
X
X
1j
i ij
i j=1
i=2

!2
= 0,

1
.
n
X

j=1

1j

1j

p
X
i=2

i ij

n
X

j=1

1j xj1(2...p) = 0.

26

2.

. x1(2,...,p) ~ i , i 2. , R12(3...p) ,
OQ
x1(3,...,p) x2(3,...,p) .
.
, ~
= (2 , 3 )t , ~ .

D(~x) = D(1 /~ = ~x)

() ~
.
2
1,(2,3)
= MD(~ ).

1 (2 , 3 ). 1
2 , 3

R1,(2,3) =

v
u
u
t

2
1,(23)

D1

.
, ..
~, ( )
,
.

. V , , ~, ci,j - (i, j).
1 2 , ..., n :
|V |
2
= 1
R1,(2,...,n)
.
c1,1

2.5.

27

(i, j):
2
R1,(2,...,n)
= 1

n
Y

j=2

(1 21,j ).

28

2.

,
, ,
. ,
, , . .
, .

, .. , , . ,

, . .

3.1

()
.
, , , . ,
, .
r -, .
29

30

3.

r = [log2 n] + 1,

(3.1)

n  , [.] .
X(n) X(1)
, T = X(n) X(1) -
h = T /r. - zj , j = 0, ..., r,

z0 = X(1) ; zj = zj1 + h, j = 1, .., (r 1), zr = X(n) + .

- ,
. z0 , zr
, . ,
:

, zj
.
, nj X , zj1 zj , j = 1, ..., r.

3 19
, ""
"" . , j = (zj1 , zj ), j =
1, ..., r ( z, r , ),
.
X ,
j , , , nj . , ,

3.2.

31

, . ,
r
X
= 1
X
nj xj ,
n j=1

S2 =

r
1X
2,
nj (
xj X)
n j=1

x
j = (zj + zj1 )/2. ,
. , , ,
- .
, ,
.
3.2

, , ,

(, "",
). , "",
,
. , .
,
.
, 1. X
"". 0 . , ,
X
, ,
.

2. x  "".

|x X|
,
t =
S
S - ,
1

wn,

v
u
u
ut

2(n 1)
2 +2u4 ,
2n 5 + u2 + 3+u
12n30

32

3.

u 

1 2n
. wn, , , [1, . 199].
t wn, ,
.
3. . , , .

ti =

xi X
,
S

tn2,1/2 n 1

|ti | > zn2, = q

n 2 + t2n2,1/2

tn2,1/2  n2
, xi 1 .
zn2, [1].
4. :

T1 =

X(n) X(n1)
X(n) X(1)
X(n) X(n2)
, T2 =
, T3 =
X(n) X(1)
X(n) X(2)
X(n) X(1)

, , .
[1, .201-202].
,
, , .
3.3

, ,
.

3.3.

33

() .
. .
m ~ 1 , ..., n X m n (
). X n m .
, , 3.1 . ""
. , j - ( ) rj , ji , i = 1, ..., rj , j = 1, ..., n.
n- r1 r2 ... rn : (xk,1 , ..., xk,n ) , i1 , ..., in ,
xk,1 1i1 , xk,2 2i2 , ... xk,n nin . , n- ,
n- ,

.
, , i1 ,...,in .
. i1 ,...,in
, , - . .
n- . , i1 , ..., in i1 ,...,in . .
, - ,
.
( ).
3.3.1

X, Y
n. . r1 r2 ,

34

3.

i,j , i = 1, ..., r1 , j = 1, ..., r2 , r1 , r2  , X, Y .

ni =

r2
X

i,j ,

mj =

j=1

r1
X

i,j .

i=1

ni  X , i-
, mj Y .

2 = n

2
r1 X
r2
X
i,j

i=1 j=1 ni mj

1 .

2 - (r1 1)(r2 1) . - .
,
. , 0, ,
, . .
:
X
Y
XY
R = n qP
.
P
n
n
2
2

(x

X)
(y

Y
)
i=1 i
j=1 j

 .
XY

|R| n 2
T =
1 R2

n 2 . , T ,
.
3.3.2

m n1 , ..., nm
1 , ...m . , .

3.3.

35

,
. n1 + ... + nm . , = j
, j - , ..
j . ,
(, ),
1, ..., m. (, ), .
, .. .
, , , , , , ,
, ..
.
3.3.3

 , . ,
, 3.
, ,
, , .

, , , . .

-
, "", , , . : ,
, , .. x, -
, ..
y .

36
3.4

3.

,
.
, .
(, , ) . ,
. , ,
(, , ), , .
. , .
,
, , .. ,
. ,
(
). , . [2]. ,
() .
"" , .. "". , .
() a, -.
0. . -
,
, ,

3.5.

37

.
1. ,
,
, a.
2. ,
3, 1.
3. . , .
, , 0
.
, . , ,
a. , , : "" (, , ), a
. ,
, ( ) a .

3.5

"", , ,
. , , , . ,
"", - ,
,
. " " , " ".
, .
3 ,
~a -

38

3.

V .. , ..

V 1 (~x ~a) (~x ~a) t1 ,

(3.2)

t1  - n
1 .

~a, V (3.2) . , ,
.
, , 3.2 ,
. :

.

4.1

,
.. . , -
,
. , " ",  "
120 /". ,
, , .
, ,
,
, ,
.
, . , ..
(), . ,
, , "", "39

40

4.

", "", "",

, (, ) .
, , " - " , : " ,
". , ,
, .
, , .
, . , .  , , ,
( 15 ).
( ,
). ,
- (15 ), () (3 , 4,
).  .
,
. ,
, .

4.2

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

4.2.

41

.
, ,
, :

 , , , , :

5
x

10

11

12

, ..
, , .
,
.
, , ,
/ , , .
, -
, .
,
. .

,
.

42

4.

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

4.3

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

, . , [3].
, , :  ,  ( , , ), 

4.4.

43

,  , 
,  .
:

\ 1

2 3 4
2 2 1
1 2 5
3 6,5 5
4 6,5 5
7 5 5
6 2 5
5 4 2

5
3
2
5
4
7
6
1

, ,
. , , . ,
. ,
, , , ,
, . ,
.
4.4

, , ,

6 ni=1 d2i
R(X, Y ) = 1 3
.
n n (TX + TY )/2
P

(4.1)

44

4.

X, Y  ,
;
di  , i-
X Y . , , ;
n  ;
TX (TY ) X (Y ) . , ,
, , . X ,
TX = 0.
TX =

(t3j tj ),

X , tj  , j -
.

,
, . 2.3 .
.
, ,
T1 = T2 = T5 = 0. , t1 = 2
, 6,5 t2 = 3 ,
2. , T3 = (23 2) + (33 3) = 30.
, 5, T4 = 120.
, ,
(4.1 ).
7
X

d2i = (1 2)2 + (3 1)2 + ... + (2 5)2 = 29;

i=1

R(1, 2) = 1

73

6 29
0, 41.
7 (0 + 0)/2

4.4.

45

. .

1
2
3
4
5

1
2
1,00 0,41

1,00







3
4
5
0,75 0,78 0,64
0,24 0,22 0,61
1,00 0,40 0,43

1,00 0,56


1,00

, .. R(i, j) = R(j, i) i, j .
. ,
, , () .
 R(1, 4). .
,
. ,
.
. , ,
.
, .
,
.
- , .. . . ,
, . , , ,
.

46

4.

f (g)
\

I
2 8 10 12
II
5 3 8
8
III
2 2 6,5 6,5

\
I
1 3 5
II
2 1 4,5
III
2 2 6,5

7
4,5
6,5

11
14
5

C
9
12
2

4
6
4

6
7
5

C
4
6
2

2
3
4

(4.1 ) .
. Lg ( )
Sg2
:
n
1 X
(g)
(fi Lg )2 ,
Sg2 =
mg i=1
(g)

mg  , fi , i = 1, ..., n -
. Tg - Ti , (4.1 ) , .
Wg

Wg =

12Sg2
.
mg (n3 n) Tg

(4.2)

.
.

, .
,
. , ,
Wg . ,

4.4.

47

. , , .
, ,
.
, .
. , LI = LII = 8, LIII = 4.
2
2
SI2 = 41, SII
= 45, SIII
= 25, 5.
, TI = T1 + T4 = 120, TII = T2 + T5 = 0, TIII = 30.
, WI = WII = 0, 80, WIII = 1. 
.

48

4.

5.1

,  . ,
.
, (
) ,
. ,
 , , ,
, .
-
. , , , ,
. , ,
.
. P , . ( , + ),
, .. , 49

50

5.

1 ,

P ( < < + ) 1 .
, , .
, ( , + ) .
:
1. 2 ,

1/2
t
a = X
,
n

t1/2 - ;
2. ,

S
1/2 ,
a = X
n1
1/2 n 1 , S  ;
3. a , ,

( 2 ) =

nQ2
,
t

t+
 - n
1 /2, t
 /2 ,

n
1X
(xi a)2 .
Q2 =
n i=1

5.1.

51

4. ,

( 2 ) =

nS 2
,

, ,  - n .
,
.
4 () X  -

a, 2 n.
1.

a
X
n

2. nSa2 / 2 , Sa2 = n1 ni=1 (xi a)2 -

n ;
P

3. nS 2 / 2 - n1
;
X

4. Xa
n 1 n1 S
.
, ,

. , . ,
, ,
.
5 - -

,
2 , ..
 

x
P(( ) n < x)

52

5.

x,

!

t
t
; +
,
n
n

t - .
5.2

. , ~
m, A
m- 1 ,

P(~ A ) 1 .

, .
, -
.
.
5.2.1

()

a, 2 , = X a n , =
nS 2 / 2  - n 1 ,
. ,
a
nS 2
X
c1 <
<
c
,
b
<
n < b2
2
1
2

b1 , b2 , c1 , c2

nS 2
nS 2
Sb2
Sb1
2

< <
, X
< a <X
,
c2
c1
c1
c2

5.2.

53

, , ,
. , c1 = /2 , c2 = 1/2  - n 1
, b1 = b2 = t1/2  ,

P(c1 < < c2 ) = 1 ,

P(b1 < < b2 ) = 1 .

nS 2
1/2

< <

nS 2
,
/2

St1/2

/2

+
< a <X

St1/2

1/2

(1 )(1 ).
,  , (1)(1) = (1)
, ,

1 = 1  = 1 ,
, ,
.
, , .
[4, . 264 - 265].
,
L, m-

{~t | L(X, ~t) L(X, ~ ) /2}.

 - k ,
~  () ~.
5.2.2

~a k -

54

5.

V . 3 V 1 (X

~a) (X ~a) - k . 1 ,
, ,
(~t X)
< 1 }.
{~t | V 1 (~t X)
(5.1)
,
, , k - ~
~ n
~ , .. (~ )
n V , .
1
k - , .
3 , (5.1), X
~ .
, ,
( ) .
. A1 , A2 .
, .
,
, . 3.3.2 .
5.3

, ( ),
. ,
. ,

5.3.

55

1 , /2 1 /2 .
.
,
.

X+S
Z
1
exp{t2 /2}dt.
A(, S) =
2
XS

P(A(, S) > ) = 1 .
. ( , S A(, S)
X
) A(, S) = S(, ).

r() = S(, ).

X+r()
Z

+ r()) (X
r()) = ,
exp{t2 /2}dt = (X

(5.2)

Xr()

r()
, X,
.
, A(, S) > S >
r()/.
2
= P nS 2 > nr () | X
.
P(A(, S) > | X)
2

nS 2 - , ,
n 1 X

2n1

nr2 ()
>
2

= 1 .

56

5.

, , .
, ,
P(A(, S) > ).

= P(A(, S) > | X)

f (X)
. , , ,
X
2
4 ).
= f (0) + X f 00 (0) + o(X
f (X)
(5.3)
2!

X
:
P(A(, S) > ) = f (0) +

1 00
1
f (0) + o( 2 ).
2n
n

= 1 , , (5.2) X
n
P(A(, S) > | 1n ),
1
P(A(, S) > ) P(A(, S) > | ).
n
. ( ) r (5.2),
= 1 , 1 t X
n
2n1

= r

n
.
t

S, X
+ S).
(X
, (5.1).
.
[5, . 695-697].

5.3.

57

. F () , X(k)  k - , .. k - ,
.
,
1 . ,

P(F (X(s) ) F (X(r) ) ) = 1 .

[5] ,
Z1

xsr1 (1 x)ns+r
dx = 1 ,
B(s r, n s + r + 1)

B(a, b) =

Z1

xa (1 x)b dx

-. -,

1 I (s r, n s + r + 1) = 1 .
, , r, s
, s = n r + 1.

I (n 2r + 1, 2r) = .
, , r
. ! . [6, c. 284,
.67] .
,
, .

58
5.4

5.

.
, (,
)
, .
, , ,
, . , [7] . ,
 bootstrap, ..

.

6.1

, . , , ,
3.3.1. ,
.
, , .. . , . ,
,
.
~ = (Z1 , ..., Zk ) Z
. ,
~
, . Z
~ . X , Z
, .
~ . Z

X =

k
X

j Zj + ,

j=1

59

(6.1)

60

6.

j , j = 1, ..., k  ,
,  - .
, ,  , . , 0, 2 
, . .

. (.
) .
,
, , , ,
.. . , (6.1),
, Z12 Z3 , ,
, , . ,
.
( ) ,
, . , ,
[8] , .
.
n ,
~ X ,
Z
. ,  .

z1,1 z1,2 ... z1,n

z2,1 z2,2 ... z2,n

Z = ..
..
,
.
.

zk,1 zk,2 ... zk,n

Z1 , ..., Zk n

6.1.

61

~ = (x1 , x2 , ... xn )t , X
. t
~ -.
, .. X

~ = (1 , ..., k )t ,

~ = (1 , ..., n )t .

~
: Z, X
~

~ = Z t ~ + ~,
X

(6.2)

cov~ = 2 I .
. , , , ... ,
Z k - ,
(6.1) ( ) . ,
, Z .
~
,

= min S(),
~
: S()

(6.3)

~ = (X
~ (X
~ =
~ Z t )
~ Z t )
S()

n
X
i=1

(xi

k
X

j zj,i )2 .

j=1

, , (6.3),  ().
. , k
~ . S()
, ,
. ,
.

62

6.

. ~

xi

k
X

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

(6.4)

j=1

,
~ , (6.4). , ..

~ . ,
~ , (6.4)
. ,
~
. ,
.

6.2

, , , , .

~ ~
4 k - ,

~ = S(~ ) + 2(Y~ A~ ) (~ )
~ + 2(A(~ ))
~ (~ ),
~
S()
~ = Z X.
~
A = ZZ t , Y
. :

~
~ (X
~ (X
~ S(~ ) = (X
~ Z t~ ) (X
~ Z t )
~ Z t )
~ Z t )
S()
~ =
~ Z t~ ) (X
~ Z t~ ) (X
~ Z t~ ) (X
~ Z t ))
((X
~ (X
~ (X
~ Z t~ ) Z t (~ ~ ).
~ Z t )
= Z t (~ )

6.2.

63

~ = (Z X
~
~ Z t~ ) Z t (~ )
~ ZZ t~ ) (~ );
(X
~ (X
~ =
~ Z t )
Z t (~ )
~ (~ )
~ + (Z X
~
~ ZZ t~ ) (~ ),
ZZ t (~ )

~ S(~ ) = ZZ t (~ )
~ (~ )
~ + 2(Z X
~
~ ZZ t~ ) (~ ),
S()
.
A, , .
5 -

. , Z
,
. A = ZZ t , At = (Z t )t Z t = ZZ t = A,

. k -
~t.

A~t ~t = ZZ t~t ~t = Z t~t Z t~t 0,

.
~t ,
Z t~t = 0, , Z t1 , ..., tk .

A~ = Y~
(6.5)
.
6 -

~ , .. .
S()
1
~  ~ ,
, = A Y
cov = 2 A1 .

64

6.

.  (6.5). -

~
4 A

~ = S()
+ A( )
~ ( )
~ S().

S()
, . ,

~ = Z t ~ + ~,
X

Y~ = A~ + Z~.

(6.5),
~ = Z~, ,
, A( )

~ = A1 Z~.
, M~ =
0. M ~ = 0, .. .
, ,

~ )
~ t =
cov = M( )(
= M(A1 Z~~t Z t A1 ) =
= A1 Z cov~ Z t A1 = 2 A1 ZZ t A1 = 2 A1 .
.

7 S()/(n
k)
2 .

~  () .

~ = M~ ~ =
MS()

n
X

M2j = n 2 .

j=1

~ ,
, ~h = A( )

,
~ = 2 trAA1 = k 2 .
M~h ( )

6.3.

65

B trB , .. . 4,

~ = S()
+ ~h ( ).
~
S()

,

+ k 2 ,
n 2 = MS()
.
6.3

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

~ = 0, f2 ()
~ = 0, ... fm ()
~ = 0,
f1 ()
fi , i = 1, ..., m  k ,
.
~ .
S()
.

~ 1 , ..., m ) = S()
~
L(,

m
X
i=1

~
i fi (),

66

6.

1 , ..., m -
.
.

,

Q~ = ~a.

(6.6)

~a  m, Q  mk -,
m. ,
, m
, .
8 (6.6), - -

Q = A1 Qt D1 (Q ~a),
D = QA1 Qt  m.
. ,

QQ = Q DD1 (Q ~a) = ~a,

(6.7)

(6.5),

Y~ AQ = Qt D1 (Q ~a).
(6.7) ,

~ = ~a Q~
Q(Q )
~ . , 4,

~ = S(Q ) + 2(Q )
~ Qt D1 (Q ~a) + A(Q )
~ (Q ).
~
S()
~ (6.6),

~ Qt D1 (Q ~a) = Q(Q )
~ D1 (Q ~a) =
(Q )
~ D1 (Q ~a) = 0,
= (~a Q)
,

~ = S(Q ) + A(Q )
~ (Q )
~ S(Q )
S()
, .

6.4.

6.4

67

, , ,
. , ..

, , .
, ,
, , . ( , ) : ,
- .
, , ,
.
,
,
, ,  ,
. .
, . j , j = 1, ..., k 
, . , 6,

Dj = 2 (A1 )j,j ,

j = 1, ..., k,

, Zi hZi , i = 1, ..., k ,
, A1 = (ZZ t )1 h2 A1 ,
h2 .
,

Z .

|Z(j) |2 =

n
X

2
zj,i
= a2j , j = 1, ..., k.

i=1

Z(j) = (zj,1 , ..., zj,n )  j - Z .

(6.8)

68

6.

9 (6.8),

Dj

2
, j = 1, ..., k,
a2j

, Z , ..
i 6= j Z(i) Z(j) = 0.
. ,

(6.8)

A =

Z(1) Z(1) Z(1) Z(2) ... Z(1) Z(k)

Z(2) Z(1) Z(2) Z(2) ... Z(2) Z(k)
..
..
..
.
.
.
Z(k) Z(1) Z(k) Z(2) ... Z(k) Z(k)

a21 ~bt
~b F

~bt = (Z(1) Z(2) , ..., Z(1) Z(k) ), ~b  - k 1, F

, , .
1
F 1~b

Ik1

= 1,


1
0
a21 ~bt

=

1
~
~b F
F b Ik1 
a2 F 1~b ~b ~bt
= 1
= (a21 F 1~b ~b)|F |,
0
F



|A| = 


a21 > F 1~b ~b.

(A1 )1,1 =

|F |
1
= 2
|A|
a1 F 1~b ~b

6.5.

69

F 1~b ~b > 0,

D1 = 2 (A1 )1,1 2 a2
1 ,
, ~b = 0,
.. Z(1) . , j = 1. j .
, , Z

a21 ... 0
. .

. . ...
A =
,
..
0 ... a2k

6.5

~
Z(j) X
,
j =
a2j

j = 1, ..., k.

(6.9)

, .
,
- Z1 , ..., Zk .
~ k
, Z
, X . ~ . , k - X Z
, , ~ X , X Z
~ . (Z)
~
,  X Z .
~ () X
, X Z
~ - . Z
~ ,
X Z
~
Z .
?
,  , .
(, )

70

6.

: MX,
cov(X, Zj ), j = 1, ..., k .. , ,
X ~ =Z
~ (0) = (z 0 , ..., z 0 )t
Z
1
k

~ (0) ) =
M (Z

r
1X
Xn ,
r j=1 j

~ (0) Z
~,
r  Z
Xnj  .
, ,
~ (0) ) = M(X / Z
~ =Z
~ (0) )
M (Z
~ (0) , M (.) .
Z
.
, ( ),
~ 2 = min M(X (Z))
~ 2.
M(X (Z))

10

~ = M (Z)
~ , .. (Z)
.
,
,
 .
. ,  . 2.5. .
, , .. ~ = (1 , ..., k )t ,
0

~ = 0 + ~ Z.
~
M (Z)
, ,
,

6.5.

71

~ = 0 + ~ Z,
~
(Z)

(6.10)

. .
~ 2 , (6.10).
S() = M(X (Z))

~ MZ)
~ )2 =
S() = M( (X MX) + b ~ (Z
~ MZ))
~ 2 2~ ~a,
= DX + b2 + M(~ (Z
~ MZ
~  , k - ~a
b = MX 0
i- ai = cov(X, Zi ), i = 1, ..., k .
S() , , , b = 0,
~
0 = MX ~ MZ.

(6.11)

~ = M(~ (Z
~ MZ)
~ )2
T ()
. ,
j , j = 1, ..., k

M 2

k
X

i (Zi MZi )(Zj MZj ) 2aj = 2

i=1

k
X

i cov(Zi , Zj ) 2aj .

i=1

, , ,
,

B ~ = ~a,

(6.12)

~ . , ,
B = covZ
(6.11) (6.12) ,
~
0 = MX B 1~a MZ.
(
, ) S , B
. ,

72

6.

~ ,
11 B = covZ

~ = MX + B 1~a (Z
~ MZ),
~
(Z)

(6.13)

~a  k -

aj = cov(X, Zj ),

j = 1, ..., k.

.
, , ..
, (6.13)
.
, ,
~ , S()
~

. ,

~ , 12 covZ
. (6.13)

, , B ,
~ :
(6.12), 0 (6.11). ,
1 , 2  , ,

~ 2 = M(X 2 (Z))
~ 2.
M(X 1 (Z))

7.1

A X . A
,
, . A
.
, ().

. : , ,
, .
X ,
A , D0 X . "
" A ( ) DX
. A X , DX DO X . DX
, D0 X ,
.
,
DX = DO X + DA X,
DA X , 73

74

7.

A. ,

DX = DO X + DA X + DB X + DA,B X + ...

, . . 1920 .
X , , - ,
.
, :
1. ;
2.
;
3. , .. .
, , ,
. , ,
( ,
),
.

(, , ).
7.1.1

( -).
r j = (zj1 , zj ), j =
1, ..., r. , 3.1. nj , j =
1, ..., r , j -
r
X
(nj npj )2
,
(7.1)
2 =
npj
j=1

7.1.

75

n  , pj , . ,
. ,
,

zj X
pj =
S

zj1 X

S

(7.2)

. .
13 -

, 2 , (7.1) (7.2) - r 3 .

. ,
pj ,
, -
r 1, ()
, r 2.
,
. X
S 2 . :

1
2
3
4
5
6
7

zj

(zj X)/S


zj X
S

pj
nj
(nj npj )2
(nj npj )2 /npj

1
(x) 2
(7.2) 3

4,5
4,6

76

7.

2 . - r3 , ,
.
7.1.2

r ( ) ,
,
r
1X
M = n ln
ni s2i
n i=1

r
X

ni ln s2i .

i=1

s2i  i- , ni  , i = 1, ..., r, n 
Pr
, n =
i=1 ni .
14 ,

ni 3,

r
X
1
1
1
M 1 +

3(r 1) i=1 ni n

!!1

- r1 .
, ,
,
-. , .
ni , : s2i

s2max
G = Pr 2
i=1 si
G . [1, c.156] [6, c.242].

7.2.

7.2

77

: (-, - , ),
(-, ...), (..
).
( ) .
 ,
,
. , ,
.
. , m
A n X . , i- j - xi,j , i = 1, ..., n, j = 1, ..., m.
:

A1 ... Am
1
x1,1 ... x1,m
..
..
..
..
.
.
.
.

xn,1
x1

...
...

xn,m
xm

, , mn.
m
n X
m
X
1 X
= 1
xj =
xi,j .
X
m j=1
nm i=1 j=1

78

7.

Q=

m X
n
X

2,
(xi,j X)

QO =

j=1 i=1

m X
n
X

(xi,j xj )2 ,

j=1 i=1

QA = n

m
X

2,
(xj X)

j=1

Q = QO + QA .
Q X , QO
, QA  ,
.. .

Pm Pn

Q =

QO =
QA =

1
n

P

1
mn
Pm Pn
1
2
j=1
i=1 xi,j n

j=1

Pm

i=1

Pn

j=1 (

x2i,j

i=1

xi,j )2

m
j=1

Pm

1
nm

Pn

i=1

Pn

j=1 (

P

i=1

m
j=1

xi,j

2

;
(7.3)

xi,j )2 ;

Pn

i=1

xi,j

2

DA =

QA
,
m1

DO =

QO
,
m(n 1)

F =

DA
.
DO

F m 1, m(n 1)
. ,
A X .
QA , QO 
, Q  . , QA /Q , A.
, . - k m
. , = m
k
n, m .
Fk,m F -. F -.

7.2.

79

6 F (k; m; )  Fk,m ,

F (m; k; 1 ) =

1
.
F (k; m; )

. k, m . , , 1/
m, k , .
, t

1
1
1
1
P( < t) = P( > ) = 1 P( < ),

t
.
Fk,m
k < m ( ). .
, , , [2]. .
15 , ,
.

80

7.

1 2 3
1
9
15
18
2
11
16
14
3
10
15
17
4
12
10
9
5
7
13
14
6
11
14
17
7
12
15
16
8
10
7
15
9
13
13
16
10
11
15
8
11
13
15
14
12
11
14
10
13
10
11
16
14
12
15
15
15
13
10
17
Sj
165
198
216

1853
2706
3242
Sj2
27225
39204
46656

t = 579
u = 7801
v = 113085

mn = 45. z = (S12 + S22 + S32 )/15 = 7539, 0.

,

QA = z

t2
mn

= 89, 2, DA = 44, 6.

QO = u z = 262, 0, DO = 5, 95.
Q = u

t2
mn

= 351, 2.

F = 7, 49.
2, 42
0,99. 5,18.
, . , QA Q,
,
(QA /Q 0, 254) .

7.3.

7.3

81

DX = DA X + DB X + DAB X + DO X,
DA X, DB X, DAB X  , A, B
, DO  ,
. , ,
, A ( )
B ,
.
: t A,  g
B ,  n X ,
A, B . xijk , i = 1, ..., t, j = 1, ..., g, k = 1, ..., n.
, ,
"", A, B n > 1 . ,

(. ). ,
[9], [10, 35-37].
.
( ),

g X
g X
t
n
t X
n
X
1 X
1 X

xijk
xijk ,
QA =
ng i=1 j=1 k=1
ngt i=1 j=1 k=1
g
t X
n
X
1 X
QB =
xijk
nt j=1 i=1 k=1

!2

g X
t X
n
1 X

xijk ,
ngt i=1 j=1 k=1

82

7.

QAB

g
t X
n
X
1X
=
xijk
n i=1 j=1 k=1

g
t X
n
X
1 X

xijk
nt j=1 i=1 k=1

QO =

g X
t X
n
X

i=1 j=1 k=1

!2

!2

x2ijk

g X
t
n
X
1 X

xijk
ng i=1 j=1 k=1

g X
t X
n
1 X
+
xijk ,
ngt i=1 j=1 k=1
g
t X
n
X
1X

xijk
n i=1 j=1 k=1

g X
t X
n
X

!2

g X
t X
n
1 X
2
Q=
xijk
xijk .
ngt
i=1 j=1 k=1
i=1 j=1 k=1

, Q :

DA X =

QA
QB
QAB
, DB X =
, DAB X =
,
t1
g1
(t 1)(g 1)
DO X =

QO
Q
, DX =
.
(n 1)tg
tgn 1

FA =

DA X + DAB X
DB X + DAB X
, FB =
,
DO X
DO X
FAB =

DAB X
,
DO X

. : ,  ( (n 1)tg ). , FA
F(t1)g,(n1)tg .
, G.A.Ferguson.
Statistical Analysis In Psychology and Education, McGraw-Hill Inc., 1966.

 ( A) ( B ).


7.3.

83

(A1 ), ( A2 ) ( A3 ).  ( B1 ) ( B2 ). n = 8 .
.

84

7.

A B

B1

k
1
2
3
4
5
6
7
8

A1
26
41
28
92
14
16
29
31

A2
41
26
19
59
82
86
45
37

A3
36
39
59
27
87
99
126
104

B2

k
1
2
3
4
5
6
7
8

A1
51
96
97
22
35
36
28
76

A2
39
104
130
122
114
92
87
64

A3
42
92
156
144
133
124
68
142

A1
A2
B1
277 395
B2
441 752
718 1147

""
A3
577
1249
901
2094
1478
3343

, Q:
3 X
2
X

j=1 i=1
2
X
i=1

8
X

xijk

!2

= 2137469,

j=1

k=1

3 X
8
X

j=1 k=1

3
X

xijk = 5944837;

2 X
8
X

xijk

!2

= 4015617;

i=1 k=1

3 X
2 X
8
X

j=1 i=1 k=1

xijk = 11175649.

,
3 X
2 X
8
X

x2ijk = 309851.

j=1 i=1 k=1

, ,
,  ,
, 80,  ,

7.4.

85

"". , ,
"".
.



Q
.. D
A
14875,52
2
7437,76
B
18150,04
1
18150,04
AB 1332,04
2
666,02
(O)
42667,38
42
1015,89

77024,98
47
1638,83
, .

FA = 7, 98; FB = 18, 52; FA,B = 0, 66.

,

FA > F (4; 42; 0, 99) = 3, 83; FB > F (3; 42; 0, 99) = 4, 31;
FA,B < F (2; 42; 0, 99) = 5, 18,
F (k; m; ) k, m
.
, A, B (
QA /Q 0, 19 QB /Q 0, 24
), , ,
QAB /Q 0, 02 , .
7.4

, ,
. m

86

7.

n1 , ..., nm , N =
(7.3)

Q =

Pm Pnj

QO =
QA =

x2i,j

i=1

j=1

Pm Pnj

i=1

j=1

Pm

j=1

Pnj

x2i,j

xi,j )2
nj

i=1

1
N

P

m
j=1

Pm

j=1

1
N

P

2

Pnj

xi,j

xi,j )2

i=1

Pnj

m
j=1

i=1

nj

Pnj

i=1

j=1

nj .

;
(7.4)

xi,j

Pm

2

,
. -
(, , DO ). N m.
,
( ).
, , ,
.
.
" ",
( , ). , , , , -, , .
(7.4).
,
. , , m, r , ,
mr . ( ) (7.4). ,
, A AB
( ABC , ADEY , ...).

8.1

n
p . p ,
n : ,
? , ,
? - p ( ) . , ,
. .
, , [2].
, , , :
1. ,
;
2. ,
87

88

8.

,
;
3. .
, , .
p ? , q .
(- p
)
.
, , :

( ) , ;
(, ,
), ;
p- q -
...
( ).   . , .. , ,
,
.
,
:
1. , , , ;

8.2.

89

2. ,
. ,
,
,
;
3. , , , .
, , , .. ,
" ", ,
. ,
() () .
p , q  p 
() .

.
8.2

x(1) , ..., x(p)  n

( ), X = (x(1) , ..., x(p) )  p- , Z = Z(X)
 q - ,

Z(X) = (Z (1) (X), ..., Z (q) (X)),

Kq (Z(X)),
 .
. F , Z . Z
F , ,

Kq (Z(X))
= max Kq (Z(X)).
ZF

90

8.

. .
.
8.2.1

q , (
) p .
F 

Z (j) =

p
X

cj,k (x(k) x(k) ),

j = 1, ..., q,

k=1

p
X

c2j,k = 1,

j = 1, ..., q,

k=1
p
X

ci,k cj,k = 0,

i, j = 1, ..., q, i 6= j.

k=1

, , , C , , .

Pq

DZ (j)
.
(j)
j=1 Dx

Kq (Z) = Pj=1
p
8.2.2

(1), ..., (q)

p () , x(j) , j = 1, ..., p , ,
.

8.2.

91

F  ,
Z , DZ = 1, D:

Kq (Z, D) =

q
X
X

2 (x(k) , Z (j) ),

j=1 k(j)

(., .)  , D = ((1), ..., (q)).

 " " (. ).
8.2.3

, , . .
, i,j
, , di,j p-
( "" ).
(
) .
, F
q - .

d(Z) =

n X
n
X
|di,j (Z) i,j |
i=1 j=1

i,j

di,j 
, , , ( , , = = 1).

Kq (Z) = (1 + d(Z))1 .

92
8.2.4

8.

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

. , , ,
.
,
.

, .
, ,
.
, F :

Z(X) = (x(i1 ) , ..., x(iq ) ).

(8.1)

, ( ):

Iq (Z) =

r X
r
X

i=1 j=1

(Pi (Z), Pj (Z)),

8.2.

93

r  , Pi (Z)  , Z i- , (., .) 
- , .
, ,

(Pi (Z), Pj (Z)) =

q 
X

2

x(ik ) (i) x(ik ) (j)

k=1

x
(ik ) (i)  ,
i- , , , Z (.
(8.1)).
8.2.5

, , , Y . , Y ,
.

94

8.


,
, .
.
9.1

.
, , . , ,
, ""
"",
,
, ,

( , ). ,
, .

(1)
.  X1 , ...., Xn(1)

1
95

96

9.

(2)

X1 , ...., Xn(2)
, , 2
,
,  . n = n1 + n2 ,
, .
, ,

, .
, , 
, ,
P , , , , 1 , 2 .
p(x, ) P , ,
, :
1 , 2 (, )
X : X ,
(X) =

p(X, 2 )
< c,
p(X, 1 )

(9.1)

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

9.1.

97

p, p-
, ,
. , , , , , ,
, ,
.
.
. . ,
, .
 .
,
,
 , , , , X
. , ( )
.
-. ,  - , . ,
("") ,
.
, p- -,
..
(1)
1/2
(1)
(2) ).
Xi,nr = B2 (Xi X
, () , (1)
Xi,nr , i = 1, ..., n1 , -

98

9.

,
V - ( (1)
Xnr
). ,
.
. , .
, , .
- p .
.
, , ~a V ,
.
, , ,
,
.
,
,
. ,
, :
1. V ;
2. ,

;
3. V ,
.
.
, .., , V

9.1.

99

V =



1
(1)t X
(1) + X
(2)t X
(2) .
X
n1 + n2 2

(9.2)

(i) , i = 1, 2 ,
X

(i)
(i) , j = 1, ..., ni , i = 1, 2.
Xj X

(1) n1 p , X
(2) 
, X
n2 p . , , V
p. ,
, , .

100

9.

9.2

, .
. , ,
.
15

. V , m
~ 1, m
~ 2  ,

p(X, V, m
~ 2 )/p(X, V, m
~ 1) =
= exp

1
(V 1 (X
2

m
~ 1 ) (X m
~ 1 ) V 1 (X m
~ 2 ) (X m
~ 2 ))

, ,

V 1 X X 2V 1 X m
~ 1 V 1 X X + 2V 1 X m
~ 2 < C,

V 1 X (m
~2m
~ 1) < C 0,

.
,
, .. ,
.
~ t = (1 , ..., q )
,

Y (X) = ~ X + 0 ,
X , Y (X) > 0,
. Y (1)  X , , Y (2) 
( ).

~ =
V ()

Y (1) Y (2)

2

9.2.

101

. ,
"" .
, ,
, ,.

~ =
v()

mj 
2 X
X

Y,(j)

Y (Xi

) Y (j)

2

j=1 i=1

, Y Y,(1)
Y,(2)
Y,(1)
Y,(2)
X1 , ..., Xm
X1 , ..., Xm
, m1 +
1
2
m2 = n, ,
. , ,
.
, , ,

~
~ = V () .
F ()
~
v()
~ 1, M~ 2 ,
M
, :
~i =
M

mi
1 X
Y,(i)
Xj ,
mi j=1

i = 1, 2

j(i) = XjY,(i) M
~ i, j = 1, ..., mi , i = 1, 2.
X
,
Pm1  ~ (1) 2
Pm2  ~ (2) 2

X
+
j=1
j
j=1 Xj
Pm2
Pm1 Pm1
2
(2) (2)
(1) (1) + Pm
=
i=1
j=1 i j Xi Xj
i=1
j=1 i j Xi Xj



~ =
v()

~
(1)t X
(1) + X
(2)t X
(2) .
~ t X

=
=

102

9.

(9.2) ,

, ,

~ = (n1 + n2 2)V ~ ~
v()
( , , , m1 + m2 = n1 + n2 .).
.

~ = (~ X
~
(1) ~ X
(2) )2 = ~ t (X
(1) X
(2) ))(X
(1) X
(2) )t .
V ()

(1) X
(2) ,
~a = X

L = ~a~at ,

~ ~
~ = L .
F ()
V ~ ~
. .

~ = B ~ ~ ,
7 B , f ()

f0 ,
1, ..., p,

f
,
j

j =

~
f0 = 2B .
~ =
. f ()

i,j

Bi,j i j ,

X
f
~ j
= 2Bj,j j + (Bi,j + Bj,i )i = 2(B )
j
i6=j

j , .
,
~ 2.
L~ ~ = (~a )

(9.3)

F0 =

~ ~ )
~ 2V (L
~ ~ )
~
2L(V
.
~ 2
(V ~ )

(9.4)

9.3.

103

~0. (9.3)

~
~ = V (~
~ a )
~ 2.
~a(~a )(V
~ )
~ = 0, F ()
~ = 0,
, ~a
,
V ~ = b~a

(9.5)

~ ,
b. ,
F , , (9.5) b.

(1) X
(2) ).
~ = bV 1 (X
, , b
, ,
b = 1 (, , b , 1 = 1).
16 ,

(1) + X
(2) )),
(1) X
(2) ) (X 1 (X
Y (X) = V 1 (X
2
X , Y (X) > 0.
 , ,
.. " " . "
" .
9.3

, ?

, , . , , , ,

104

9.

, . ,
, ,
.
: (X), (9.1),

(X) =

n1

Pn1

i=1
Pn2
n2 i=1

(1)

k(kX Xi k2 /b)
(2)

k(kX Xi k2 /b)

(9.6)

b  , , k(t)  ,

k(t) 0, k(t) = k(t),

k(t)dt = 1.

. . (X),
, , (X),
. n . , ,
c,
(1)
: (X) c, (X1 ),
X , .
,
: c .
(X) ,
, ,
.
, , ,
, , , ,
, " k ".
,

9.4.

105

p- (, ) , , k .
X k . ,
X , .
. ,
, . , "",
/. , ,
, ,
, , . : .
, ,
, ,
, , ,
, . ,
, ( ,
)
, ,
.
, ""
.

9.4

, . 5
-, ( )
- ( ).

106

9.

x1 2 , x2
, . .
:


N
x1
x2
1
97
94
2
58
39
3
73
45
4
70
80
5
96
46
78,8 60,8

N x1
x2
1
39
38
2
32
64
3
44
53
4
36
33
5
60
78
42,2 53,2

(9.2):

1170, 8 725, 8
725, 8 2414, 8

(1)t X
(1) =
X

(2)t X
(2) =
, X

472, 8 725, 1
725, 1 1370, 8

V =

205, 4 181, 4
181, 4 473, 2

, V

0, 0074 0, 0028
0, 0028
0, 0032

1 (1)
(2) )t = (60, 5; 57), (X
(1) X
(2) )t = (36, 6; 7, 6).
(X + X
2
,

Y = 0, 248x1 0, 079x2 10, 5,

:

1
6,13

2
3
4
5
1
2
3
4
0,80 4,05 0,54 9,67 -3,83 -7,62 -3,77 -4,18

5
-1.78

9.4.

107

. x1 = 52, x2 =
63. Y = 2, 57, .
, , ,
. ,  , x.
, ,
( , -).

108

9.

x2
6
*1

2
2

*1

2
2
2

*1

*1

*1

x1
, , (9.6) b:

b
1
10
15
50

1
2
1
2
1
2
1
2

1,00
0,00
0,99
0,07
0,98
0,16
0,63
0,41

1,00 1,00 1,00
0,00 0,00 0,00
0,77 0,99 0,63
0,00 0,08 0,04
0,56 0,86 0,59
0,04 0,18 0,13
0,47 0,52 0,53
0,39 0,43 0,40

1,00
0,00
0,99
0,37
0,99
0,42
0,60
0,49

1
0
(0,63;0,99)
(0,00;0,37)
(0,56;0,99)
(0,04;0,42)
(0,47;0,63)
(0,39;0,49)

x
0
0,12
0,27
0,46

,
(X) X . , b

9.5.

109

, , .
- ( , ). ,
,
. , b ,
( ).
9.5

, ,
. :
1. ( )
, , , . , . , .
, 
, .
, .
2. . p- . ,
, p- , .
,
.
. k
, p(., j), j = 1, ..., k
n = n1 + ... + nk , nj
j - , j = 1, ..., k . j = nj /n j - .

110

9.

c(j|i), ,
i j . ,
c(i|i) = 0,

c(i|j) > 0 i 6= j.

(9.7)

,
A1 , ..., Ak ,
, .
j - ,
i-,
Z

P (j|i) =

p(t, i)dt,

Aj

Q =

k
X
i=1

c(j|i)P (j|i).

j6=i

X ,
i-

i p(X, i)
,
j=1 j p(X, j)

i (X) = Pk

j -
X
i6=j

i p(X, i)
.
s=1 s p(X, s)

c(j|i) Pk

, , . Aj X ,

X
f (s) =
i p(X, i)c(s|i)
i6=s

s = j .
, , c(s|i) = 1 s 6= i, X
,
j p(X, j) . .

9.6.

9.6

111

, , , , . ,
, .

.
, ,

. " ",
.
-, :

n1 . ,
. ,
.
-, .
"bootstrap", ,

. .
(X) , , g(1) . (1) 
.
()

0 (X) = (X) + (
(1) g(1) ).
,
(
). "" .

112

9.

, , ,
,
,
. , mj , j = 1, ..., k ( ) , j -
, m -
( j -),
q

q =

k
X

j=1

mj
.
m

(. (9.7)),

Q =

k
X

j=1

k
X
i=1

c(i|j) j

mj
,
m

.
,
,
, .
, "",
, .
n p. ?
[2, .88-96]
.

 10

8,  3.
,
, , ,
. ,
, , , , .
, , ..,
. , ,
.
10.1

p ,
X1 , ..., Xp . ,
q > 1, q  p.
{1, ..., p}
D = {(1), ..., (q)}
, 113

114

10.

,
.
, , (j) () , fj , j = 1, ..., q ,
p q .
fj
Dfj = 1, j = 1, .., q ,

(j) fj .
.
10.1.1

Kq (F, D) =

q
X
X

2 (Xi , fj ),

j=1 i(j)

F q fj ,
.
.
D,

,

, . , , i- fi , ,
, D , , f1 , ..., fq
.
, .
F
, i-

X
Si =
2 (Xj , fi )
j(i)

, fi .

10.1.

115

,
.
17 DXi = 1, i = 1, ..., p,
~

~
(1 , ..., p )t , X

(X1 , ..., Xp ) .

S(~
) =

p
X

(Xi ,

i=1

p
X

j Xj )

j=1

, pj=1 j2 = 1 ~ ,
V = covX

~ , .
P

. ,

S(~
) =

p
X

cov2 (Xi ,

i=1

p
X

j Xj ) =

j=1

p
X
i=1

p
X

j=1

j Vi,j ,

S(~
) =

p X
p X
p
X

Vi,j Vi,k j k =

i=1 j=1 k=1

p X
p
X

j=1 k=1

p
X

Vj,i Vi,k j k

i=1

( V ). , ,

S(~
) =

p X
p
X

(V 2 )j,k j k = V 2
~
~ = kV
~ k2 .

j=1 k=1

V ,
, .
,
(
, 1) ,
, . , kV
~ k2 ,

116

10.

, 21 , ..., 2p  V . V ,
, .
, ,

fj = qP

(j)

i(j)

i(j)

ai Xi
(j) (j)

j = 1, ..., q,

k(j) ri,k ai ak

(10.1)

(j)

ai , i = 1, ..., p  j - , , ri,k = (Xi , Xk ). Xi , i = 1, .., p 17.

, , , fj , j = 1, ..., q
, D,
Kq (F, D):

(j) = {i | 2 (Xi , fj ) = max 2 (Xi , fk )}

k=1,...,q

(10.2)

, (10.1), (10.2) , F, D Kq , ..
.
Kq (F, D) ,
, ,
.
0. () D0 . F0 (10.1). 1.
(k)
1. Dk1 (10.1) Fk = (f1 , ..., fq(k) )
Dk (10.2):
(k)

(k) (j) = {i | 2 (Xi , fj ) = max 2 (Xi , fs(k) )}, j = 1, ..., q.

s=1,...,q

1 , Dk1 = Dk , Fk = Fk1 ,
.
1 .

10.1.

117

10.1.2

Kq (F, D) =

q
X
X

|(Xi , fi )|.

j=1 i(j)

,
, .
,

Dfi = 1,

i = 1, ..., q,

fj = qP

i(j)

i(j)

di Xi

k(j) ri,k di dk

j = 1, ..., q,

(10.3)

di , i = 1, ..., q 1,

v

u
q u
X
u X
tD
J(d1 , ..., dq , D) =
di Xi .
j=1

i(j)

, J . D ,
d1 , ..., dq , ri,j = (Xi , Xj ). ,
,

dj Xj =

d2j DXj + 2

j i,i6=j

di dj ri,j DXi DXj

118

10.

di , i ,
di dj ri,j .
, .

0.
(0)

D0 = {1 , ..., (0)
q }
q d~0
. k = 0, m = 1. 1.
1. i = 1. Dk d~k , m-
Km . 2.
2. j, Xi (k1) (j)
Dk1 . 3.
3.
0
i,j
=

d(k1)
rs,i , j = 1, ..., q
s

s(k1) (j),s6=i

i,j =

1 i,j > 0,

0 0 = 0,

, j = 1, ..., q.

i,j

-1 0 < 0.
i,j

4.
4. j = 1, ..., q
v

u
u
X
u
(k1)
Ej (i) = tD
ds
Xs + i,j Xi
(j),i,

(j),i,

(k1)

s j

v
2
u
u
X (k1)
u
tD
ds
Xs .
(j),i,

, s 6= i. j0,

Ej0 (i) = max Ej (i),

j=1,...,q

Xi (k1) (j)
(k1) (j0). Dk . 5.
5.
(k)
dj

(k1)

dj
i,j

j 6 (k1) (j0),
j (k1) (j0).

10.2.

119

6.
6. i. i p, 2, 7.
7. (m + 1)- Km+1 (,
, Dk d~k p ). Km+1 c Km .
, , m = m + 1
1.
, ,
.
10.2

, p , , ("") . ,
.
.
, B (,
p, (i, j)-
ri,j  Xi Xj ).
p , , , i- j - ri,j .
.
r , , r.
r,
 "".
.
, .

.
, . -

120

10.

.
:
1. B
ri,j , ( , , ) , Xi Xj
ri,j . k = i, s = j .
2.
2. k - s- B
, .
, ,
3.
3. (, )
. ra,b . ,
a, b k s, . , , Xa Xb . 
k, s, , , a, b ( ), . 2.
, ( , p 1 ,
), , .
, . , , ,
" ", ,
, .
, ,
, .
.
, , , , - .

 11

11.1

.
, p q ,
. (
) , .
, , , (
) , 
, ,
11 .
, () .
, ,
, , ,
- ,
""  , ,
.
121

122

11.

~ = (X (1) , ..., X (p) )t ,

. , X
, , n . ,
X (j) , j = 1, ..., p
. , ,
Mj =

n
1X
(j)
X
6= 0,
n i=1 i

, ..
X (j),0 = X (j) Mj . .
, , ~ ,
X
, Mj . , ,
, , .
,
, .
F ~ q - Z(X)
~ , q  p.
p- X
A, q p , Ai,j , i = 1, ..., q, j = 1, ..., p

p
X

Ai,j Ak,j = 0, i 6= k.

j=1

:
p
X

A2i,j = 1.

j=1

~.
Z = AX

Pq

DZ (j)
.
(j)
j=1 DX

Kq (Z) = Ppj=1

11.1.

123

. , ,
. , q
.
, , ,
.
,
" ". ,
() ,
(. ).
.
( ) .
(. ).
~
, Z = A X

Kq (Z ) = max Kq (Z),
ZF

(1)

(q)

z , ..., z Z
~.
q X
" "( ,
),
 , , ..
. ,
, , ..
.
k 1 , k - ,
k1 ,

124

11.

. , , ""
()
, ..

(
~ ).
X
p- , n . - .
,
, - .
, k 1 , ,
, k 1- ,
(pk+1)- . k -
" "
.
11.2

- :
~a(i) = (Ai,1 , ..., Ai,p )t , i = 1, ..., q.

(1)
: ~a ,

~ ~a(1)
D(X
) =

~ ~a).
max D(X

~a : k~ak=1

(11.1)

~ V ,
X
,
,


~ ~a
D X

= M

p
X

j=1

aj X (j) = V ~a ~a,

11.2.

125

. . (11.1)

L(~a, ) = V ~a ~a (~a ~a 1).

(

(V I)~a = ~0,
k~ak = 1,

(11.2)

, , . ,
(11.2), ~a

V ~a ~a ~a ~a = 0,

V ~a ~a = ,
(1)
Dz

= , ()
,
V . ,
, ,
 ,

(1)
~a
~
z(1) (X) = ~a(1)
X.
, , ""
. ,
(1)
~a  V ,
1 .
~0 = X
~ (X
~ ~a(1)
X
a(1)
(11.3)
)~

~,
V 0 , p- X
(1)
p 1- R ,
(1)
~a , p- Y~
~ = VX
~
Y = V 0X

126

11.

.
, X R(1) Y R(1) , ,
V 0 V ,
, .
, (11.3),

~ 0,
~ (X
~ ~a(1)
= X
a(1)
V 0 (X) = X

)~
6= 1  V .
V , , V 0 (p 1)- (1)
, ~a ,
.
, , .. , ,
18 -

V . 1 , ..., p  , , (1)
(p)
~a , ..., ~a ,

~
z(k) (X) = ~a(k)
X,

Dz(k) (X) = k ,

k = 1, ..., p.

q , , :
V , ,

s1 = Pp

j=1

, s2 =

P2

i=1
Pp
j=1

p
i
i
, ...., sp = Ppi=1
= 1.
j
j=1 j

q , sq
, .
.

11.3.

127

,
p
X

DXi =

i=1

p
X

Vi,i = trV,

i=1

(
~ p ) ,
X
.
19 p

, 1 , ..., p .

. ,

~ = A M X
~ = ~0,
MZ = M(A X)

~X
~ t At ) = A V A t .
B = covZ = MZ Zt = M(A X

, B V ,
, .
11.3

. 10 ,
, 3 .
" ", " " " ". (
) .
X1 , X2 , X3 ,
.
10

128

11.

1
2
3
4
5

X1
10,0
6,2
6,3
5,3
4,8

X2
749,0
746,1
756,6
758,9
751,7

X3
744,4
756,6
752,4
754,7
747,9

6
7
8
9
0

X1
3,8
17,1
22,2
20,8
21,0

X2
757,5
752,4
752,5
752,2
759,5

X3
754,0
747,8
748,6
747,7
755,6

, ,
, 1 = 11, 75, X
2 =
, X

753, 64, X3 = 749, 47, ,

, S1 = 7, 61, S2 = 4, 38, S3 = 4, 68.
.

1
0, 018 0, 289

1
0, 413
V = 0, 018
.
0, 289 0, 413
1
1,496; 1,017;
0,487. ,

~a(1)

0, 419
0, 819
0, 396

(3)
0,
573
= 0, 579 , ~a(2)
=
,
~
a
=
0, 578 .

0, 713
0, 01
0, 70

,
~
X
(1)

z (X) = 0, 396X1 + 0, 579X2 + 0, 713X3 ,

(2)

z (X) = 0, 819X1 0, 573X2 + 0, 01X3 ,

(3)

z (X) = 0, 419X1 + 0, 578X2 0, 7X3 .

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

11.3.

129

, , ~ ,
S1 = 0, 499 X
 S2 = 0, 838 . , , .
, , .
, , ,
,
.
.

10

1
2
3
4
5

-1,82
-0,32
0,35
0,99
-1,14

0,44
0,41
-0,97
-1,37
-0,50

6
7
8
9
0

0,61
-0,43
-0,01
-0,28
2,54

-1,35
0,73
1,27
1,15
0,24

, ,
( ).
.

130

11.

z2
6
*9 *8
*7
*2

*1
*5

11.4

*0

z1
*3
*6 *4

, , ,
.
11.4.1

, , ,
. ,
.
q < p ~ , p- X
~ q - Z(A),
Z(A) = AX

(j) , j = 1, ..., p ~ Z(A) ,
X

11.4.

131

p
X

(A) =

q
X

Xj

j=1

!2

(j)
i Zi (A)

i=1

A ,

(A ) = min (A),
A

A , , .. Zi (A ), i = 1, ..., q  q .
. ( . 6
(6.9)) ,
(i)

cov(Xi , Zj (A ))
.
DZj (A )

(. )
(i)

= 0, 396cov(Xi , X1 ) + 0, 579cov(Xi , X2 ) + 0, 713cov(Xi , X3 ),

(i)
2

= 0, 819cov(Xi , X1 ) 0, 573cov(Xi , X2 ) + 0, 01cov(Xi , X3 )

, ~ ,
X
(1)

2 = 0, 806;

(2)

2 = 0, 561;

(3)

2 = 0, 463.

1 = 0, 200
1 = 0, 905
1 = 0, 838

(1)
(2)

(3)

~ , X

(i)
(i)
Xi0 = 1 Z1 + 2 Z2 ,
Xi =

i,
DXi Xi0 + X

i = 1, 2, 3.

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

132

11.

1
2
3
4
5

X1
11,7
8,8
6,3
4,8
6,9

X2
745,3
757,6
757,4
760,9
750,3

X3
741,6
753,1
753,1
756,5
746,3

6
7
8
9
0

X1
4,4
15,6
19,5
18,4
17,1

X2
759,4
750,1
750,5
749,7
763,1

X3
754,9
746,4
746,9
746,1
759,1

(A ) = 4, 15 . , ,
,
- 30 .
11.4.2

p- q -. , . , ,
,
. . R(q) p- ,
q , R(q)  q , .
1. , ~ 1 , ...., X
~ n R(q)
X
R(q).
2. R(q)
~ 1 , ...., X
~ n X
R(q).

11.4.

133

3. R(q) R(q)
,
.
, , ,
. , , , .
" " , 1-3 . , ,
, R(q),
.
p- q -, , .
. , -
, 14:

Kq (Z, a) =

Pn1 Pn
i=1

2 a
j=i+1 (i,j di,j ) i,j
,
Pn1 Pn
a
i=1
j=i+1 i,j

di,j  i- j - ,
i,j  , a .
a < 0, a = 1. a.

, .
. , , . [2, c.372-375] [11].

134

11.

 12

12.1

() , ,
. f (1) , ...f (q) ,
X (1) , ..., X (p) ,  .
,
.

12.1.1

, . , (, , )
, , . , ,
. . , ,
, , , (,
, ). 135

136

12.

~ ,
X
.
,
, ~ = (X (1) , ..., X (p) )t p- . X
, n .
q (, ,
p) A, q p , ~ = (f (1) , ..., f (q) )t
, F
,
,
~
~ = AF~ + ,
X
~  " ", , ~ X
~ F
X (1) , ..., X (p) .
~
V = cov.
, ( ~ (-, , )
) "" F
A, ,
~ = AF~ ,
X
..

(k)

Ak,j f (k) ,

k = 1, ..., p,

j=1

A . q ""f (1) , ..., f (q) Ak,j , k = 1, .., p, j = 1, ..., q

, , ()

X (k) (q) =

q
X

Ak,j f (k) ,

k = 1, ..., p

j=1

~ , X
.
, ~ B = covX
~
X(q),
(i)
. , , i- A i~a ,

12.1.

137

(i)

i  i- B , ~a 
. ,
(i)

(i)

z
= , i = 1, ..., q,
i

(i)

z  i- .
~ , X
. .
, , ,
.
().
, ,
.
, (. [13]) " " .
12.1.2

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

138

12.

.
, , ,
, , ,
"", " ", "" .. "
", "" .

. -, -
~ , ,
A, F

~ ~ = AF~ = (AC)(C 1 F~ )
X
C , .
~ , , ,
F
C .
, ,

.

. ,

, "". , ~ ( X
, , ), , , ,

-
.
,
, , (
).  .
,
?

12.2.

139

A
V ~;
F
, ;
, :
,
..;

.
, , .
. , , ( , )
.

12.2

. n
~ = (X (1) , ..., X (p) )t ,
p- X
~ ( , ). B = covX
, q < p () A,
~ = (f (1) , ..., f (q) )t
p q q - F

~
~ = AF~ + ,
X
~ = (1 , ..., p )t  , V = cov~ (.. ), , ( )
.
~ 
A , F
~ () . X
,
~
, F

140

12.

.
, ,
p1
X

p
X

1
Kq (A, V ) =
i=1 j=i+1 Vi,i Vj,j

Bi,j cov(

q
X

k=1

Ai,k f

(k)

q
X

Aj,s f

(s)

!2

s=1

, , k -
(1)
(q)
f~k = (fk , ..., fk ), k = 1, ..., n,
:
n
n
1X
1X
f~k = ~0,
kf~k k2 = 1.
n k=1
n k=1
, ,
(k)

Mf~j

(k)

= 0, Df~j

= 1, k = 1, ..., q, j = 1, ..., n.

~
, F
~
, ,
B = AAt + V.

(12.1)

A, V (, , )
. , .
, , , , -,
, -, .
, (12.1)
, .
A, V , .
(12.1) .
.
1. V0 ,
0 = B V0 (  AAt ). 2.

12.2.

141

2. , (. ) 0 A0 A,
i = 0. 3.
3. i+1 = Ai Ati
Ai+1 . 4.
4. Vi+1 = B i+1 . Ai+1 Ai , Vi+1 Vi .
i = i + 1 .
, 3,  .
12.2.1

At A

,
.
(12.1) , At V A ,

, At A, ..
.
, ~ . X
,
.
( ) , , ,
.
, (
), , ,

~ai = i V ~ai , i = 1, ..., q

~ai A, i  i-

| V | = 0
(|.|  ), ..
-

142

12.

. ,
 A , .
(, ) i , Ai .
12.2.2

A. , ,
X (1)
f (1) , 
.. ,

A =

A1,1 0
0
...
0
A2,1 A2,2 0
...
0
..
..
..
..
..
.
.
.
.
.
Aq,1 Aq,2 Aq,3 .... Aq,q
..
..
..
..
..
.
.
.
.
.
Ap,1 Ap,2 Ap,3 ... Ap,q

. , ~ai  i-
, = AAt

q
X

~ai~ati .

i=1

, A,
~a1 ,

1,j
A21,1 = 1,1 , A1,j = q
, j = 2, ..., p,
1,1

12.2.

143

(1) = ~a1~at1 .
, , 1.
.
X (1) , ..., X (p) n- ,
,

, DX (i) , i = 1, ..., p , i- j - ri,j . ,

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

.
.
V (0) . ,
, .
. , r(i) = minj6=i ri,j ,
, i- 1 r(i),
.
(0) = B V (0) , hj = 1, j = 1, ..., p, ~h =
(h1 , ..., hp )t .
(0)

~a1

(0)

= qP
p

(0)~h
(0)

i,j=1 i,j hi hj

(0) (0)t

= (0) ~a1 ~a1

(12.2)

144

12.

(0)
~a2

= qP

(0)
1 ~h

p
i,j=1

(0)

1,i,j hi hj

(12.3)

~h 1 ,
.
A, , .
,
,
.
,
 . [2,
c.394], , ,
.

12.3

A V . Ai,j
, i- X (i) j - f (j) , i = 1, ..., p, j =
1, ..., q. , , ,


. , ~ X
.
.
, A V .

12.3.

145

12.3.1

(i)

q
X

f (j) Ai,j + i

i = 1, ..., p

j=1

, ( ) Ai,j , j = 1, ..., q ,
~.
()  X
, . , , ""
, .. ,
:

S(f (1) , ..., f (q) ) =

p
X
i=1

1
q

Vi,i

X (i)

q
X

j=1

f (j) Ai,j .

~ (f (1) , ..., f (q) ), F

, ..
S(F~ ) =
min S(f (1) , ...., f (q) ).
f (1) ,...,f (q)

, ,
~
F~ = (At V 1 A)1 At V 1 X.

,
. ,
, .
12.3.2

,
.
~
F~ = N X,

146

12.

N  , q p ,
.
,

S(N ) =

q
n X
X

k=1 i=1

f (i)
k

q
X

j=1

(j)
Ni,j Xk .

" " , S(N )

~ covX
~ . ,
F
, - , :

~ = AAt + V,
covX

covF~ = I,

cov(X (i) , f (j) ) = Ai,j , i = 1, ..., p, j = 1, ..., q.

, ,

~
F~ = (I + At V 1 A)1 At V 1 X.
. , At V 1 A
,
. : ,
..
, . ,
.
12.4

12.4.

147

.

( [13]). ,
, 
, .
,
. [13].

X1
X2
X3
.
1960
145,7
139,3 141,2
1961
145,2
142,1 143,9
1962
149,7
145,2 145,8
1963
152,5
149,0 151,2
.
148,3
143,9 145,5

DXi
3,00
3,61
3,66
(
)

1
0, 86 0, 90

1
0, 98
B = 0, 86
.
0, 90 0, 98
1
, , , .
. , " " :

0, 14
0
0
0, 14 0
V (0) =
0
,
0
0
0, 1

(0) = B V (0)

0, 86 0, 86 0, 90

= 0, 86 0, 86 0, 98
.
0, 90 0, 98 0, 90

148

12.

(12.2)
(0)
~a1 = (0, 92; 0, 95; 0, 98)t .
(0) (0)t

~a1 ~a1

0, 85 0, 87 0, 90
0, 01 0, 01
0
(0)

0, 05
= 0, 87 0, 90 0, 93 1 = 0, 01 0, 04
.
0, 90 0, 93 0, 96
0
0, 05 0, 06

 .
(12.3).

z(~h) = 0, 01h21 0, 02h1 h2 0, 04h22 + 0, 1h2 h3 0, 06h23 ,

, 0,03 ~h
h1 = 1, h2 = h3 = 1. (12.3)
(0)
~a2 = (0, 11; 0, 11 ; 0, 06)t .
, (1) V (1) = B(1)
:

0, 92
0, 11

A(0) = 0, 95 0, 11 ,
0, 98
0, 06

(1)

0, 86 0, 86 0, 91
0, 14
0 0, 01

(1)
0 0, 09
0, 06
=
=
0, 86 0, 91 0, 92 , V

.
0, 91 0, 92 0, 96
0, 01 0, 06
0, 04

. (12.2), ,
2,85, ,
(1)

~a1

0, 92
0, 85 0, 86 0, 90
(1) (1)t

= 0, 94 , ~a1 ~a1 = 0, 86 0, 88 0, 92
,
0, 98
0, 90 0, 92 0, 96
(1)

0, 01
0
0, 01

0, 03
0
= 0
.
0, 01
0
0

(12.3):

z(~h) = 0, 01h21 + 0, 02h1 h3 + 0, 03h22 ,

12.4.

149

h1 = h2 = h3 = 1.
(1)

~a2

0, 08
0, 85 0, 87 0, 90

(1) (1)t

= 0, 12 ~a2 ~a2 = 0, 87 0, 90 0, 93 = (2) ,

0, 04
0, 90 0, 93 0, 96
V (2)

0, 15 0, 01
0

0, 10 0, 05
= 0, 01
.
0
0, 05 0, 04

,
, ,
. .
( (i)
). ~a1 = (0, 92; 0, 95; 0, 98)t ,
(i)

0, 02 0 0

0 0
= 0
,
0
0 0

, h1 = h2 = h3 = 1,
(i)
, ~a2 = (0, 14; 0; 0)t . ,

z(~h) 0, 14 ,

0, 87 0, 87 0, 90
0, 13 0, 01
0

(i+1
(i+1
0, 10 0, 05
) = 0, 87 0, 90 0, 93 , V
) = 0, 01
.
0, 90 0, 93 0, 96
0
0, 05 0, 04
,

0, 92 0, 14
0, 13
0
0

0
0, 10
0
A = 0, 95
, V = 0
.
0, 98
0
0
0
0, 04
, ,

. ,
,
V2,3 , 

150

12.

"", .. .
,

0
(1)

+ 0, 14f (2) + 1 , D1 = 0, 13,

X1 = 0, 92f

X20 = 0, 95f (1) + 2 ,

X30 = 0, 98f (1) + 3 ,

D2 = 0, 10,
D3 = 0, 04.

.
. .
,

7, 69 0 0

t 1
10 0
= 0
, = A V A =
0
0 25
0, 03 0, 20
0, 20
7, 94

, AV

39, 55 0, 99
0, 99 0, 15

0
0, 28
0, 73
7, 16 1, 90 4, 90

f (1) = 0, 28X20 + 0, 73X30 , f (2) = 7, 16X10 1, 9X20 4, 9X30 .

(12.4)

f~(toms) = (I + )1 f~(bart),

f (1) = 0, 14X10 +0, 23X20 +0, 61X30 , f (2) = 0, 79X10 0, 20X20 0, 52X30 . (12.5)
,
, ,
(12.4) (12.5) ( )

Xi =

i , i = 1, 2, 3.
DXi Xi0 + X

(12.4):

f (1) = 1, 01X2 + 2.67X3 + 146, 52,

f (2) = 21.48X1 6, 86X2 17.93X3 + 78, 57.
.

12.4.

151

. 12.1: -

f
6

(2)

*60

*63

f
-

(1)

*61 *62

X10
1960 -0,86
1961 -1,02
1962 -0,47
1963 1,41

0
0
(1)
(2)
X2
X3
f
f
f (1)
f (2)
-1,27 -1,18 -1,22 2,04 -1,14 0,20
-0,50 -0,44 -0,46 -4,23 -0,53 -0,47
0,36 0,07 0,15 -4,43 0,06 -0,48
1,39 1,55 1,52 -0,14 1,47 0.01

,
( p = 3 q = 2),
, f~ q , ,
, .
, .
, , .
.

152

12.

, 61 62 , 60 63
, (
 4).
, (
, ).

0
0
0
0

X1
X2
X3
X1
X20
X30
60
-0,84 -1,08 -1,19 -1.02 -1.08 -1.12
61
-1,01 -0,44 -0,45 -0,55 -0,50 -0.52
62
-0,48 0,14 0,15 -0,01 0,06 0,06
63
1,38 1,44 1,49 1,35 1,40 1,44

 13

( " ") , , ,
, .
,
,
.
. , ,
,
,
, .
13.1

. X (1) , X (2)
m(1), m(2) . ,
n
m(1) m(2) ( M ), (i, j) ni,j , X1 153

154

13.

i-, X2  j - , i = 1, ..., m(1), j = 1, ..., m(2).

,
m(1) m(2)

X X

ni,j = n.

i=1 j=1

M n, ,
, (X (1) , X (2) ) "",
X (1) ,
 X (2) . F .
,
, , i- , ,
j - .

pi,j

m(2)
X
ni,j
=
, n(i, .) =
ni,j .
n(i, .)
j=1

p
~i = (pi,1 , ..., pi,m(2) )t i- , i =
1, ..., m(1). i- , m(2)-
, .
, ,

m(1)

n(., j) =

ni,j ,

i=1

j - m(1)- ~
qj
ni,j
qi,j =
, i = 1, ..., m(1).
n(., j)

m(1)- .

. ,
.

n(., j)
n(i, .)
f.,j =
.
fi,. =
n
n
F .

13.1.

155

13.1.1

- .
, - i- k - X (1) , i, k =
1, ..., m(1)
m(2)
2

(i, k) =

X (pi,j pk,j )2

j=1

f.,j

, - j - s- X (2) ,
j, s = 1, ..., m(2) 
m(1)

2 (j, s) =

X (qi,j qi,s )2
i=1

fi,.

, ,
, , -.

20 -

, -
.

. , -

X1 . ,
n1,j
n2,j
=
, j = 1, ..., m(2).
n(1, .)
n(2, .)
n(2, .) = n(1, .). j = 1, ..., m(2)

n2,j = n1,j ,

f2,. =

q2,j =

n2,j
= q1,j
n(., j)

n(2, .)
= f1,. .
n

156

13.

,
1, . ,
.
n0 (1, .)
n(1, .) + n(2, .)
0
f1,.
=
=
= (1 + )f1,. ,
n
n
0
q1,j
= (1 + )q1,j .
- t- s- , ,
,

(q1,t q1,s )2
(q2,t q2,s )2
+
= Z
f1,.
f2,.
.

0
0
(q1,t
q1,s
)2
((1 + )q1,t (1 + )q1,s )2
(q1,t q1,s )2
=
=
(1 + ).
0
f1,.
(1 + )f1,.
f1,.

, ,

Z =

(q1,t q1,s )2 (q1,t q1,s )2

(q1,t q1,s )2
+
= (1 + )
,
f1,.
f1,.
f1,.

, , . , ,
, 1
2, , .
, X (2)
, f.,j , j = 1, ..., m(2), ,
X (1) , fi,. , i = 1, ..., m(1).

D(1) =

f1,. 0 ...
0
0 f2,. ...
0
..
.. . .
..
.
.
.
.
0
0 ... fm(1),.

13.1.

157

(2)

f.,1 0 ...
0
0 f.,2 ...
0
..
..
.. . .
.
.
.
.
0
0 ... f.,m(2)

- ~a ~b m(i)-

2 (~a, ~b) = (D(i) )1 (~a ~b) (~a ~b),

i = 1, 2.

, ,

p~i = (D(2) )1/2 p~i ,

~qj = (D(1) )1/2 ~qj

i, j , - () .
,
T (1) ( X1 ) 
m(2):
m(1)

(1)

f (i, .)~pi p~t

i ,

i=1

, ,

T (1) = (D(2) )1/2 F t (D(1) )1 F (D(2) )1/2 .

(13.1)

T (2) = (D(1) )1/2 F t (D(2) )1 F (D(1) )1/2 .

.
~u1 , - (..
) .
, . , T (1) ,
. ,

158

13.

-, T (2) .

= (D(1) )1/2 F (D(2) )1/2 ,

T (1) = t ,

T (2) = t ,

, T (1) , T (2) ,
.
T (1) , T (2) , , ~u1 , ~v1 .

~1 = (D(1) )1/2~v1 ,
~ 1 = (D(2) )1/2~u1

, (, ) ~u1 (, ~v1 ).
, , 

1 ~
(D(1) )1 F (D(2) )1/2~u1 = (D(1) )1/2 ~u1 =
1.

~1 , ~1
,
(1)
(2)
, X , X . , , ,
.. T (i) , i = 1, 2 
-, - ..
,
( , ..
). , X (1) , X (2)
,

.

13.1.

159

, , , , ,
, .
13.1.2

, . , , (
) ,
-. .
() X ,
q . , X
m .
ci , i = 1, ..., m ~c = (c1 , ..., cm )t .

F , q m , fs,k k - s-
.
, F . ,

fs,. =

m
X

k=1

fs,k ,

f.,k =

q
X

fs,k .

s=1

fs,. () s- , f.,k 
k - , s = 1, .., q, k = 1, ..., m.

, , . ,
, ,
, , .

160

13.

. M (s, ~c) s- ,
,
:
m
X
fs,k
M (s, ~c) =
ck
, s = 1, .., q
fs,.
k=1
" "

M (~c) =

q
X

M (s, ~c)fs,. =

s=1

q X
m
X

ck fs,k =

s=1 k=1

m
X

ck f.,k .

k=1

2 (s, ~c) =

m
X

k=1

c2k

fs,k
M 2 (s, ~c), s = 1, ..., q
fs,.

()

1 (~c) =

q
X

2 (s, ~c)fs,. =

s=1

m
X

c2k f.,k

q
X

M 2 (s, ~c)fs,. .

s=1

k=1

, , M (s, ~c) M (~c)

:
q
X
(M (s, ~c) M (~c))2

Q(~c) =

2 (~c)

s=1

fs,. max .
~c

m
X

ck f.,k = 0,

k=1

m
X

c2k f.,k = 1.

k=1

(13.2)

Q(~c) =

T (~c) =

q
X

s=1

T (~c)
,
1 T (~c)

M 2 (s, ~c)fs,. = F (D(1) )1 F t~c ~c.

(13.2)

13.1.

161

D(1)

f1,. ... 0
f.,1 ...
0
.

.
.
..
(2)
.
.

. . .. , D = ..
..
= ..
.
,
0 ... fq,.
0 ... f.,m

. , ,

Q(~c) = 1 +

1
,
1 T (~c)

, (13.2)

T (~c) max
.
,
,
k(D(2) )1/2~ck = 1.
(13.1),


T (~c) = F (D(1) )1 F t (D(2) )1/2 (D(2) )1/2~c (D(2) )1/2 (D(2) )1/2~c

= T (1)~v ~v max,
~v

~v = (D(2) )1/2~c,
k~v k = 1. , ,
T (1) , . , ~v ,

~c = (D(2) )1/2~v .
, ,
.

162
13.2

13.

. p X1 , ..., Xp , m(1), ..., m(p)

. ,
p- .
: ,
, ,
,
, . ,
,
.
, . ,
, ,
, .
, .
Xj - ~y (j) = (y 1 (j), ..., y m(j) (j)),
0 1,
Xj k - , y k (j) = 1, y i (j) = 0 i = 1, ..., m(j), i 6= k.
n
~s , s = 1, ..., n m = Ppi=1 m(i), - Y
~y (j), j = 1, ..., p,
~s p ,
. , Y
~y (j) .
~s , s = 1, ..., n , Y
Y , n m ,
,  .
. np.

13.2.

163

13.2.1

, , :
, Y , ,
, . , p

m =

p
X

m(j)

j=1

, X0 , .
, p
. ,
, .. , X1 , ..., Xp .
, , .

1
Y,
F =
np
1,
, , , p , 1/n.
F . , (k, t),
k - t- , k = 1, ..., m(t), t = 1, ..., p.
n(k, t)  , k - t- . (k, t)-
F n(k, t)/np.

fi,. =

1
n(k, t)
, i = 1, ..., n, f(k,t),. =
, k = 1, .., , m(t), t = 1, .., p,
n
np

D(1) , D(2) , D(1) = (1/n)I , I  n.

164

13.

, - k -
Xs j - Xr

2 ((s, k), (r, j)) =

n
n(s,k)

n
n(s,k)

, s = r, k = j;
n
+ n(r,j)
, s = r, k 6= j;
+

n
n(r,j)

2nn((s,k), (r,j))
,
n(s,k)n(r,j)

s 6= r.

n((s, k), (r, j))  , Xs

k -, Xr j - .
D = npD(2)  , n(k, t), , ,

1
= (D(1) )1/2 F (D(2) )1/2 = Y D1/2 ,
p

1
T (1) = t = D1/2 Y t Y D1/2 ,
p
1
T (2) = t = Y D1 Y t ,
p
m, n. . k
1 , ..., k ~u1 , ..., ~uk  T (1) ,
. k -
k

~cj = j (D(2) )1/2~uj = j npD1/2~uj , j = 1, ..., k.

(13.3)

, , ~zj Y ( )

~zj = j (D(1) )1/2~vj = j n~vj ,

~vj  T (2) , j
. (13.3)

1
~cj = D1 Y t~zj , j = 1, ..., k.
(13.4)
k

13.2.

165

13.2.2

. , (, , , p , , ), (13.4) , ~v =
(v1 , ..., vn ),
n
n
X
1X
vs = 0,
vi2 = 1.
(13.5)
n s=1
s=1
(13.5) ,
. vs , s = 1, ..., n , , ,
() v .
~v ,
~y (j), j = 1, ..., p:

R(~v ) =

p
X

R2 (v, ~y (j)) max,

j=1

R(v, ~y (j))  v ~y (j). Y ,

Xj , j = 1, .., p Yj

P (j) = Yj (Yjt Yj )1 Yjt ,

R2 (v, ~y (j)) =

1 (j)
P ~v ~v , j = 1, ..., p.
n

, Yj n m(j) ,
~y (j),
. , Yjt Yj , njk , k = 1, ..., m(j)

166

13.

( k - Yj ). , , ,
P (j)
m(j)
(j)

Pa,b =

X yai (j)ybi (j)

nji

i=1

, a, b = 1, ..., n, j = 1, .., p.

yai (j)  i- ~y (j), a-

, ..

yai (j) =

1, a- Xj i- ,
0, .

, P =

Pa,b =

Pp

j=1

P (j) ,

m
X
Ya,i Yb,i
i=1

n(., i)

, a, b = 1, ..., n,

(13.6)

Yb,i  Y , n(., i)  i-
.
, (13.6) ,
.
, ,

R(~v ) =

1
P~v ~v max ,
v
n

, , (13.5)
P ,
. , .
,

pT (2) = Y D1 Y t = P.

Y D1 Y t c (13.6). P T (2) ,
, ,
, .

13.3.

13.3

167

,
, (). :
,
, . ( ,
, , ). (13.4).
, ,
. ,
, , .. .
, ,
i- ,
i- ,
 i- . , .
, , ,
?
,
,
, , 
.
 , .. .
, T (1) T (2) m/p.
, , ,
,
.. ,
.
,
,

168

13.

, 1. ,
 .
. ,
, ,
q , , ,
q
1 X
qp
,
j
m
1 p j=1
mp

m . (, q
 .)
, .
,
, ,
. , ,
l T (i) , i = 1, 2.
, , Yj , j =
1, .., p, Y ,
1, Y , mp+1, .. Yj
m(j) 1 , j = 1, ..., p.
, , n > m p + 1,
, Y ,
, n.
l m p,
, 0 1,

trT (1) 1
1
= .
mp
p

, ,
,
,
, 1/p.
.

13.4.

169

13.4

. , . 25 , ( N
).

5
3
3

5
3
6

n.,1 = 10 n.,2 = 6 n.,3 = 9

n1,. = 11
n2,. = 14
25

5
11
5
14

P =

3
11
3
14

3
11
6
14

, , . :

f1,. =

11
,
25

f2,. =

14
.
25

D(2) :
10
6
9
f.,1 = , f.,2 = , f.,3 = .
25
25
25

(D(1) )1/2 =

1, 51
0
0
1, 34

, (D(2) )1/2

1, 58
0
0

2, 04
0
= 0
.
0
0
1, 67

,
(1) 1/2

= (D )

(2) 1/2

F (D )

0, 47 0, 37 0, 30
0, 43 0, 33 0, 53

170

13.

(1)

= =

0, 45 0, 48
0, 48 0, 57

T (1)   ,

1 0, 99,

2 0, 03.

, .

~u1 = (0, 73; 0, 68)t , ~u2 = (0, 74; 0, 66)t .

,
: (0,73;0,74),  (0,74;0,66).
T (2) T (1) :

~v1
, ,

0, 63
1

= t u~1 = 0, 49 ,
1
0, 58
~v2 = (0, 35; 0, 35; 0, 75)t .

, (0,63;0,35),  (0,49;0,35)  (0,58;-0,75).

. ,
, , , , .
, . ,
T ,
1,
( ), , ,
.
, ( ).

13.4.

171

,
.
, Y ,
, 5 25
! Y1 Y2 .
Y , 5
.. , ,
.

11 0 5 3 3

0 14 5 3 6

5 10 0 0
Y tY =
5
.

3 0 6 0
3

3 6 0 0 9
,
, . , Y t Y
. . ,
D,
,

T (2) =

1 1/2 t
D
Y Y D1/2 .
2

T (2)

0, 50
0
0, 24
0, 18
0, 15

0
0, 24 0, 18 0, 15

0, 50 0, 21 0, 16 0, 27

0, 21 0, 50
0
0
,
0, 16
0
0, 50
0

0, 27
0
0
0, 50

Mathlab .
1 = 1, 2 = 0, 58, 3 = 0, 5, 4 = 0, 47, 5 = 0. ,
, .
, , , ,

172

13.

13.1:

1
1
1
1
1
1
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
1
1
1
1
1
1

1
1
1
1
1
0
0
0
0
0
0
1
1
1
1
1
0
0
0
0
0
0
0
0
0

0
0
0
0
0
1
1
1
0
0
0
0
0
0
0
0
1
1
1
0
0
0
0
0
0

0
0
0
0
0
0
0
0
1
1
1
0
0
0
0
0
0
0
0
1
1
1
1
1
1

13.4.

173

1/p = 0, 5 ,
. ( ,
, , 0,517,
, 3 ,
.)
, 2 3 ,

~c2

0, 53
0, 47
0, 34
0, 25
0, 57

~c3

0
0
0, 68
0, 73
0.02

5 :

0,53
0

-0,47
0

0,34 -0,68

0,25 -0,73

0,57 -0,02

( )

~zj =

1
q

p j

Y ~cj ,

j = 2, 3,

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

174

13.

0,58 -0,48
0,50 -0,52
0,71 -0,01
-0,07 -0,48
-0,15 -0,52
0,06 -0,02

. , , ,
, (0,03) ,
 ,
, 0,5. , , ,
.
13.5

, , .
(. , ). ,
.
, ,
X (1) , ..., X (q)  () , X (i)
m(i) , i = 1, ..., q . Xs(i) (k), s-
X (i) k - .
 X (q+1) , ..., X (p) .
n p ,
, . q
, ,
, p q  , .

13.5.

175

. ,

, . ,

. , .
k - i- cik , k = 1, ..., m(i),
i = 1, ..., q.
n
X

cir(s)

s=1

n 
2
1X
= 0,
cir(s)
= 1
n s=1

i = 1, ..., q . r(s) ,
i- s- , .. Xs(i)
(r(s)).
,
,

K2 =

p1
X

p
X

2 (X (i) , X (j) ),

i=1 j=i+1

, i
q ,
,

Q =

q1
X

q
X

2 (X (i) , X (j) ) +

i=1 j=i+1

q
p
X
X

2 (X (i) , X (j) ).

i=1 j=q+1

Q1 , Q2 .
~ci = (ci1 , ..., cim(i) )t  i- ,
F (i, j), m(i) m(j)  i- j - , .. (k, s)
, X (i) (k),
X (j) (s) , :

Fk,s (i, j) =

n(k, s)
,
n

k = 1, ..., m(i), s = 1, ..., m(j).

176

13.

nik , X (i)
(k), k = 1, ..., m(i), i = 1, ..., q, Di ,
ni1 , ..., nim(i) , i = 1, ..., q . j = (q + 1), ..., p k = 1, ..., m(i), i = 1, ..., q

(j) (i) = 1
X
k
nik

Xs(j)

X
(i)

s:Xs (k)

X (j) , X (i) k - .

(j) (i) = (X
1(j) (i), ..., X
(j) (i)).
X
m(i)

Q1 =

q1
X

q

X

F (i, j)~cj ~ci

2

i=1 j=i+1

Q2 =

p
q

X
X

2

(j) (i)
Di~ci X

i=1 j=q+1

Q cik ,
:
q1
X

q
X

i=1 j=i+1

(F (i, j)~cj )k F (i, j)~cj ~ci +

q
p
X
X

(j) (i) = 0,
(j) (i))k Di~ci X
(Di X

i=1 j=q+1

k (
m(1) + ... + m(q)).
.
[11, 12].
, . ( )
X Y , , q
. m
.
, 13.1.2,
M (s, ~c) ,

13.5.

177

Ys , s = 1, .., , q .
, , Y , , "
" 13.1.2 .

(s, ~c) = cov(X, Y, s), s = 1, ..., q

(~c) =

q
X

(s, ~c)fs,. .

s=1

~c

Q(~c) =

q
X

s=1

k1 (~c) M (s, ~c); Ys k2 f.,s .

178

13.

. 13.1: . .
*

* *

+,

+
+

. 13.2:
.
6

** *-

**

*c*
*c *

 14

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

, , .. , . ,
, .
 , .. "" "".

. , ,
. ,
" "
179

180

14.

14.1

,

. , X1 , ..., XK .
 , , ,
.. D K ,
(i, j) i- j -
( ). ,
, ..
D :

Di,j 0,

Di,i = 0,
i, j = 1, ..., K;
Di,j = Dj,i ,
i, j = 1, ..., K;
Di,j + Dj,k Di,k , i, j, k = 1, ..., K.

(14.1)
(14.2)
(14.3)

, , , ,
, . (14.1) , , (14.2), (14.3),
. , , " ?" "
?" .
( ), , , . , (14.2)
(), Di,j Dj,i
i- j - j - i-
:
1
Di,j = Dj,i = ((i, j) + (j, i)).
2

14.1.

181

(i, j), i, j = 1, ..., K , (14.3),

.

c = max((k, j) (k, i) (i, j)).

k,i,j

Di,j =

0,
i = j ,
i, j = 1, ..., K.
(i, j) + c, ,

8 (i, j), i, j = 1, ..., K (14.1  14.2), Di,j

(14.1  14.3).

. , , c 0,

, s, i, j

s,j s,i i,j 0,

(14.3),
. , , c .
, , s = i. ,
, (14.1) , s,s = 0

c s,j s,s s,j = 0.

Di,j i,j 0 (14.1) Di,j .
s, i, j ,
, ..

Ds,j > Ds,i + Di,j ,

,

s,j > s,i + i,j + c,

( ),

s,j s,i i,j > c,

c. .
,
, , ..

182

14.

1
..
.

1
...
p
v1,1 ... v1,p
..
.

vK,1

...

vK,p

vi,j , i-
, . ( , ) , p
.

Di,j

v
u p
uX
= t (vi,s vj,s )2 ,

i, j = 1, ..., K.

s=1

.
"" . ,
0, 1.

j - v.,j S.,j .
. vi,. Si,. .
14.2

, , D, (14.1  14.3). ,
.., , x1 , ..., xK
q
,

Di,j

v
u q
uX
= t (xi,s xj,s )2 , i, j = 1, ..., K.
s=1

(14.4)

14.2.

183

xi,j  j - xi . ,
s = 1, ..., q
0:
K
X

xi,s = 0.

i=1

,
, , ..
, ,
. :
1 2

2
2
2
+ D.,.
), i, j = 1, ..., K.
(14.5)
= (Di,j
i,j
Di,.
D.,j
2
2
2
2
Di,.
, D.,j
, D.,.
 i- , j -
D , ..
2
Di,.
=

K
K
1 X
1 X
2
2
=
Di,j
, D.,j
D2 ,
K j=1
K i=1 i,j
2
D.,.
=

K X
K
1 X
Di,j .
K 2 i=1 j=1

9 , (14.5), -

. , , i- .

K
K
1 X
1
1
1 X

2
2
2
i,j
= Di,.
KDi,.

D2 + D.,.
.
K j=1
2
K
K j=1 .,j

, , ,

K
1 X
2
2
D.,j
= D.,.
K j=1
, , ,
.

184

14.

21 D (14.4) -

(14.5),

i,j

q
X

xi,s xj,s ,

i, j = 1, ..., K,

s=1

, ,
(14.6)

= XX t .

, .
. , (14.4) , xi,j , ..
K
X

xi,j = 0,

j = 1, ..., q.

i=1

(14.4) ,
2
Di,j

q
X

x2i,s

q
X

s=1

x2j,s

s=1

q
X

xi,s xj,s .

(14.7)

s=1

j :
2
Di,.

q
X

x2i,s

s=1

q
q
K X
K X
1 X
2 X
2
+
x
xi,s xj,s .
K j=1 s=1 j,s K j=1 s=1

, 0 , ..

q
K
X
2 X
xi,s xj,s = 0.

K s=1
j=1

,
2
Di,.
=

q
X

x2i,s +

s=1

x2.,s =

q
X

x2.,s , i = 1, ..., K,

s=1
K
1 X
xj,s .
K j=1

(14.8)

14.2.

185

D.,j .
, (14.7) i,
2
D.,j

q
X

x2.,s

s=1

q
X

(14.9)

x2j,s , j = 1, ..., K.

s=1

, (14.7) i, j ,

D.,. =

q
q
q
K X
K X
K X
K X
1 X
2 X
1 X
x2i,s +
x2j,s
xi,s xj,s .
K i=1 s=1
K j=1 s=1
K 2 i=1 j=1 s=1

,
, .

D.,. = 2

q
X

(14.10)

x2.,s .

s=1

(14.7), (14.8), (14.9) (14.10) (14.5).

i,j

q
X
1
=
2
xi,s xj,s ,
2
s=1

.
, , , (14.6),
X , K q q - ,
.
14.2.1

, ,
, ,
:
vP
u K PK

u
(Di,j
Di,j )2
Kq (X) = t i=1PKj=1PK
.
2
i=1

j=1

Di,j

(14.11)

186

14.

Di,j
 , q - ( X ) , Di,j 
-.
, (.
), , p- , p > q .
, "" Di,j , , ,
, (14.11) , .
(14.11) -. ..
-,

vP
u K PK

2
u
j=1 (Di,j Di,j )
= t Pi=1
,
P
K
K
2

Kq (X)0

i=1

D.,. =

j=1 (Di,j

D.,. )

K X
K
1 X
Di,j
K 2 i=1 j=1

. ,
[14], ", 2".
14.3

.  = (i,j ). ri,j =
(X (i) , X (j) ),

i,j =

1 ri,j ,

i, j = 1, ..., K.

, ,

q xi,j , j = 1, ..., q, i = 1, ..., K.
,
.

14.3.

187

(c)

(c)

1. c = 0, x
i,j = xi,j , i,j = i,j , St = 0. c  "", St  -.
2.
2 ().
(c)
di,j

v
u q 

uX (c)
(c) 2
xi,s xj,s ; Q =
= t
s=1

v
u
K
uK1
u X X (c) 2
t
(di,j ) ,
i=1 j=i+1

(c)
(c)
(c)
(c)
di,j = di,j /Q, xi,j = xi,j /Q, i, j = 1, ..., K,

v
u
K 
uK1

uX X
(c)
(c) 2
t
i,j di,j .
S(c) =
i=1 j=i+1

3.
3. ( ?) c > 0 |S(c)St| <
, . St = S(c) 4.
4. (). l = 1. c = 0. ,
c . c > 0, 5. (i, j)
i,j . -
(c)

(c)

(c)

(c)

i,j = pt di,j < dp,t ,

(i, j) (p, t). ,
.
C2K ,
, 
,  . , , .
, .
. "" l. 5.
(c)
5. di,j ,
.
 .
6.

188

14.

6. . m(l), k - d(k) , k = 1, ..., m(l) (,

). k = 1.
7.
7. k - (k + 1)- . d(k) < d(k + 1),
8. ,
k + 1

d(k + 1) =

1
(d(k) + d(k + 1)).
2

8.
8. k = k + 1. k < m(l), 7 (
), 9.
9. 7 - ,
l = l + 1 6, 10.
10. ( ).
(c+1)

i,j

= d(k) (i, j) k , k = 1, ..., m(l),

(c+1)

xi,j

(c)

= xi,j

(c+1)
K
i,k
1 X
1
(x(c) x(c) )

i,k
j,k
(c)
K k=1
di,k
(c)

i, j = 1, ..., K. di,k = 0, , , ,
0. c: c = c + 1. 2.
(c)

xi,j , i, j = 1, ..., K
q . 10 . ,
, , 1,
. ,
, . 3 9
,
, .

14.4.

189

14.4

, M ,
K . ,
,
.
"" . ().
, (s)
W (s) wt , t = 1, ..., K ,
, X (s) , K q ,

X (s) = W (s) X,

s = 1, ..., M.

(14.12)

X  "" K q -
,
(s)
. wt W (s)
, s- t- . (s)
. wt i- j -
t- s- . ,

.

(s)
, s = 1, .., M ""
X W (s) , s = 1, ..., M , , . , X (s) , s = 1, ..., M
(14.12), q -
(, ) "", X .
X, W (s) , s = 1, ..., M -

190

14.

. ,
i- j - s-

(s)
i,j

v
u q
u X (s)
= t wk (xi,k xj,k )2 , i, j = 1, ..., K, s = 1, ..., M,
k=1

..
.
.

(s), s = 1, ..., M , ,  ,
, q  .
0. p = 0 ( ). 1.
1.
M
1 X
(s)
=
M s=1
. i,j (p) 
. X(p)  "" . k q
. 2.
2. A(p), M K 2 . , 
. s- , (i, j)

i,j
(s) (s), i, j = 1, ..., K, s = 1, ..., M .
B(p), q K 2 .
,
 . t , (i, j) xi,t (p)xj,t (p) (
X(p)), i, j = 1, ..., K, s = 1, ..., M .
, :

W 2 (p) = (B(p)B t (p))1 B(p)At (p).

14.4.

191

p-
(s)

wt (p) =

2
Wt,s
(p).

3.
3. . C(p),
K M K .
- ,  (, ).

i- , (s, j), i,j

(s),
i, j = 1, ..., K, s = 1, ..., M . D(p) q M K . , 
(, ). k , s-
2
j - Wk,s
(p)xj,k (p) ( 2
W (p) X(p)).
""

X(p + 1) = C(p)Dt (p)(D(p)Dt (p))1 .

i,j
(s, p) =

q
X

2
wk,s
xi,k xj,k , i, j = 1, ..., K,

k=1

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

f =

K X
K X
M 
X

2

i,j
(s) i,j
(s, p)

i=1 j=1 s=1

4.
4. f < , . p = p + 1 1.

192

14.

 15

15.1

, , n . ( ), , ,
,
. . ,
, ,
, () n  u1 , ..., un , t1 , ..., tn h = ti ti1 , i = 2, ..., n.

 ti = i, ..
1, 2, ..., n. .
:
,
, , , ,
, (  10 ). ,
"" . , ,
193

194

15.

,
, , .
. ,
,
u, .
, . , ,
"", ,
,
 , ( ) , . , ,
,
, -
..
, (, , ) , u:
1. , ;
2.
, ;
3. ;
4. .
, , .
,
, ,

, , .
, , -

15.2.

195

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

,
, ,
.
( ) ,

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

15.2

, , , . ,
. ,

, , , 
, .
,

196

15.

;
.
, , "
", , u1 , ..., un
 .
, .. ,
.
15.2.1

, k uj , j = 1, ..., n
, uk1 < uk , uk+1 < uk ,
uk . , k  , .
,
(1 n). , (, , ) , . . "
" . , ,
 u2 u5 , , ,
2.

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

. -

15.2.

197

, , a, b, c 6 , 2 ( ), ,
, 4/6 2/3.
ui , ui+1 , ui+2 , i = 1, ..., (n 2)

Xi =

1, ,
0 .

e =

n2
X

Xi .

i=1

Me =

n2
X

2(n 2)
.
3

MXi =

i=1

Me2 = M

n2
X
i=1

Xi2 + 2

n3
X n2
X

i=1 j=i+1

Xi Xj .

(15.1)

, Xi2 = Xi , , Xi Xj ,
j > i + 2,

MXi Xj = MXi MXj =

4
,
9

j > i + 2.

a < b < c < d.

ui , ui+1 , ui+2 , ui+3 . , {a, b, c, d}. Xi Xi+1 0 1, 1
. (,
24 ), 10
a, b, c d . :

acbd badc cadb dacb adbc

bcad cbda dbca bdac cdab

198

15.

5
.
12
, MXi Xi+2 120 ,
(
Xi Xi+2 ). 54.
MXi Xi+1 = P(Xi Xi+1 = 1) =

MXi Xi+2 =

54
9
=
.
120
20

(15.1)

Me2

MXi + 2 n3
i=1 MXi Xi+1 +
Pn4
Pn5 Pn2
+ 2 i=1 MXi Xi+2 + 2 i=1 j=i+3 MXi MXj =
=

Pn2
i=1

=
+

2(n2)
+ 5(n3)
+ 9(n4)
+
3
6
10
4(n4)(n5)
40n2 144n+131
=
.
9
90

, , , n > 5, ,
C2n4 .
e

16n 29
.
90


De =

22

e Me
3e 2n + 4

=
10
16n 29
De
n .

: e n
.
3e 2n + 4
t =
10
(15.2)
16n 29

15.2.

199

 ( ,
t1/2 1 /2).

|t| < t1/2 ,

1 .
15.2.2

d, d + 3,

ui < ui+1 > ui+2 > ... > ui+d+1 < ui+d+2
( ) , ( ). d + 3 , .
,
d. , , ,
. ,
,
d + 1. , .
, A2d+1 = d(d + 1).
,
. , , , .
d + 1 d.
, , , , d + 1 . ,
, , , , . , d + 3

d(d + 1) + 2(d + 1) 1 = d2 + 3d + 1

200

15.

d. ,
,
d. , d + 3

2(d2 + 3d + 1)
pd+3 (d) =
.
(d + 3)!
, d+3
d:

Ii =

1, d + 3 , i-

d,
0 .

, , 0 1,
i

MIi = P(Ii = 1) = pd+3 (d).

, .. Ii , i =
1, ..., (nd2), , d

N (d) =

nd2
X

MIi =

i=1

2(n d 2)(d2 + 3d + 1)
.
(d + 3)!

(15.3)

(15.3), , "" d,
, N :

N =

n3
X

N (d).

d=1

(n d 2)(d2 + 3d + 1) = nd(d + 3) + n d(d + 2)(d + 3) d(d + 2)

N
n3
X

n3
n3
X
X
1
1
1
N = 2n
+
2
d=1 (d + 3)!
d=1 (d + 1)!
d=1 (d + 2)!

15.2.

201

n3
X

n3
n3
X
X
1
1
1
2 2

,
d=1 (d + 2)!
d=1 (d + 1)!
d=1 (d + 3)!

, ,

2n 7
1
N = 2
+
.
6
n!


.
23 () n -

d (15.3),
(2n 7)/3.

, , n,
: (15.3)
,
. , .
, [10,
c.476].
1884 1939 :

84
85
86
87
88
89
90
91

15,2
16,9
15,3
14,9
15,7
15,1
16,7
16,3

92
93
94
95
96
97
98
99

16,5
13,3
16,5
15,0
15,9
15,5
16,9
16,4

00
01
02
03
04
05
06
07

14,9
14,5
16,6
15,1
14,6
16,0
16,8
16,8

08
09
10
11
12
13
14
15

15,5
17,3
15,5
15,1
14,2
15,8
15,7
14,1

202

15.

16
17
18
19
20
21
22
23

14,8
14,4
15,6
13,9
14,7
14,3
14,0
14,5

24
25
26
27
28
29
30
31

15,4
15,3
16,0
16,4
17,2
17,8
14,4
15,0

32
33
34
35
36
37
38
39

16,0
16,8
16,9
16,6
16,2
14,0
18,1
17,5

, ,
, ,
(15.3) ,

1
2
3

23
7
4
21,25 9,17 2,59

34
33,67

,

. , .
. ,
e = 34 .
(1906-7 1910-11 ).
, n = 54, . (15.2) t = 1, 09,
, , t0,95 = 1, 64,

. ,
n , (15.2) t = 1, 50,
,
, .

15.2.

203

15.2.3

, ,
,
(, , ) .
,
, ,
.
m (ui , uj ), j > i uj > ui . ,
, C2n = n(n 1)/2,

Mm =

1
n(n 1),
4

m , , ,  , () , ,
. ,

m Mm.
,
, , . , Xi ui i = 1, ..., n, ..
,
,

6Q
r = 1 3
,
n n

Q =

n
X

(Xj j)2

j=1

.
,

204

15.

:
1, ui > uj ,
0, ui < uj .

Hi,j =

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

10 Xi  ui , i = 1, ..., n,
n
n1
n
X X
1X
(Xi i)2 =
Hi,j (j i).
2 i=1
i=1 j=i+1

. .
n = 2.

(X1 1)2 + (X2 2)2 = 2H1,2 .

X1 = 1, X2 = 2, 0=0,
X1 = 2, X2 = 1, 2=2. n = 2
.
, n . X1 , ..., Xn+1 , Xn+1 = k .

Yj =

Xj , Xj < k ,
Xj 1, Xj > k ,

j = 1, ..., n.

, Yj , j = 1, ..., n , ..

A =

n
X

(Yj j)2 = 2

n1
X

n
X

(15.4)

Y
Hi,j
(j i).

i=1 j=i+1

j=1

Yi < Yj Xi < Xj ,

i, j n,

Y
, Hi,j
= Hi,j i, j .

(15.4) ,

n n+1
X
X

i=1 j=i+1

Hi,j (j i) = A + 2

n
X
i=1

Hi,n+1 (n + 1 i) = A + 2

n
X

i:Xi >k

(n + 1 i).
(15.5)

15.2.

205

, Yj ,
n+1
X

(Xj j)2 =

j=1

(Yj j)2 +

j:Xj <k

(Yj + 1 j)2 + (k n 1)2 ,

j:Xj >k

n+1
X

(Xj j)2

j=1

n
X

(Yj j)2 ,

j=1

+ 1 j)2 j:Xj >k (Yj j)2 + (n k + 1)2 =

P
= j:Xj >k (2Yj + 1 2j) + (n k + 1)2 =
P
= j:Xj >k (2Xj 2j 1) + (n k + 1)2 .
P

j:Xj >k (Yj

{j : Xj > k} = {(k + 1), ...., (n + 1)}

= 2

(Xj j) (n k + 1) + (n k + 1)2 .

j:Xj >k

, (15.5), ,

(Xj j) (n k + 1) + (n k + 1)2 = 2

j:Xj >k

(n + 1 j),

j:Xj >k

(n + 1 Xj ) = (n k + 1)(n k).

j:Xj >k

Xj > k k + 1 n + 1, ,

(n + 1 Xj ) = 2

j:Xj >k

n
X

j=k+1

1 = (n k)(n k + 1).

206

15.

,
n
X X
12 n1
r = 1 3
Hi,j (j i).
n n i=1 j=i+1

(15.6)

r , ,
. , 2.3, , ,
3.3.1. , ,

, , . , .
. ,
.
Q = 2616,
r = 0, 41. , , ,
, , . ,
3.3.1, T = 3, 30,
0,999. , , 54 t0,99 = 2, 68.
, ,
.

84
85
86
87
88
89
90
91

10
36
39
54
32
29
38
34

92
93
94
95
96
97
98
99

47
18
40
21
37
33
4
17

00
01
02
03
04
05
06
07

12
48
6
20
1
3
42
41

08
09
10
11
12
13
14
15

14
25
27
28
35
5
31
30

15.2.

207

16
17
18
19
20
21
22
23

15.2.4

13
22
43
49
53
8
16
44

24
25
26
27
28
29
30
31

9
11
19
52
7
23
24
50

32
33
34
35
36
37
38
39

2
15
51
45
26
56
46
55

,
,
.
k ( k )

rk =

Pnk
i=1

(ui u)(ui+k u)
,
(n k)Su2

(15.7)

, ,

u =

n
1X
ui ,
n i=1

Su2 =

n
1X
(ui u)2
n i=1

.
r1 , r2 , ...rn1 , , rk k . , k (
n), (15.7).
" " k , ,
, ..

un+1 = u1 , ..., un+k = uk .

(c)
rk

Pn

)(ui+k
i=1 (ui u
Pn
)2
i=1 (ui u

u)

208

15.

k . k n,
k
.

15.3

( ) ,

ut = f (t) + t ,

t = 1, ..., n,

f (.)  , , 1 , ..., n  , .
, , "", .
f
, 
.
.

"".
15.3.1

, q :

f (t) = a0 + a1 t + ... + aq tq .
q n.
aj , j = 0, ..., q (. 6). , , ,
, .

15.3.

209

1, t, t2 , ...., tq j (n, t), j =

0, ..., n.

j (n, t) = tj + Cj1 (j, n)tj1 + ... + C0 (j, n), j = 1, ..., (n 1).

, 0 (n, t) = 1. j (n, t)
1, t, ..., tj1 .
n
X

j (n, t)ti = 0, i = 0, ..., (j 1),

i=1

j1
X

Cs (j, n)

s=0

n
X

ti+s =

t=1

n
X

ti+j ,

i = 0, ..., (j 1).

(15.8)

t=1

(15.8)
Cs (j, n), . , C0 (1, n) (15.8) i = 0, j = 1:

C0 (1, n)

n
X

1 =

t=1

n
X

t,

t=1

n+1
.
2
, j = 2 i = 0, 1,
C0 (1, n) =

C0 (2, n) nt=1 1 + C1 (2, n) nt=1 t = nt=1 t2 ,

P
P
P
C0 (2, n) nt=1 t + C1 (2, n) nt=1 t2 = nt=1 t2 ,
P

C0 (2, n), C1 (2, n).

,

0 (n, t) = 1,
n+1
,
2
n2 + 3n + 2
,
2 (n, t) = t2 (n + 1)t +
6
1 (n, t) = t

210

15.

.. ,
.

f (t) =

q
X

s s (n, t).

s=0

q
X

aj = j +

Cj (s, n)s , j = 0, ..., q.

s=j+1

(6.9) ,
s

Pn

t=1

ut s (n, t)
, s = 0, ..., q,
2s

( )

!2

q
n
X
X
1
=
ut 0
i i (n, t)
n q 1 t=1
i=1

2j =

n
X

2j (n, t).

t=1

, ,
(15.8). ., , [6, c. 376 ].
( , t (n + 1)/2). , , ,
, (,
, ),
, .

15.3.

211

15.3.2

q , ,
, .
, , T > n

uT

q
X

j j (n, T ),

j=1

,
uT , , " ", ..
2 . ,
ut ( ),

.
q ,
. , , ,
, ,
. , .
,
j j ,

Dj =

n
1 X
ut j (n, t).
2j t=1

ut ( , , f (t), 2 ), j P
( f (t) nt=1 j (n, t)/2j
2 /4j ) , ,
, (n q 1)2 / 2
- n q 1 .
, , q 6=
0 ,
|q q |
< t(),
(15.9)

212

15.

t() 
n q 1 .

. , , m ( m = 0 )
q . q m + 1 :

Hq :
q 6= 0,
Hq1 :
q = 0, q1 6= 0,
..
..
.
.
Hm+1 : q = 0, ... m+2 = 0, m+1 6= 0,
Hm :
q = ... = m+1 = 0.
,
, ( ),
, .
,
Hj , Rj , j = m, ..., q. [12, c.53-55] ,
Rj ,
.
(15.9): Hj ,

|j j |
q

(n q 1)2 +

Pq

j=i+1

j2 2j

> t(i ),

t(i ) 
n i 1 .
,
,

i = (1 )qi ,

i = m, ..., q.

, : , q , , - Hj .
j , .

15.3.

213

15.3.3

, , ,
, ,
()
.
,
,

, .
u1 , ..., un .
t
m
X

ft =

cs ut+s ,

(15.10)

s=m

.. ,
m , . ,
, cs = cs , s = 1, ..., m.
,
m
X

cs = 1.

s=m

ut = f (t) + t ,

ft =

m
X

cs f (t + s) + t ,

s=m

t , , ,

Dt

m
X

c2s .

s=m

, cs , , , 2 .
1/(2m + 1), 2m + 1 ,

214

15.

. ,
f (t + s) s = m, ..., m

ft (s) =

q
X

aj (t)sj .

j=0

, f (t) ft (0) = a0 (t). aj .

q
X

j=0

aj (t)

m
X

i+j

s=m

m
X

si u( t + s),

i = 0, ..., q.

s=m

, , , 0. ,
i , a
. a0 (t),
i.

p =

p
X

j=0

a2j (t)

m
X

q/2, q ,
(q 1)/2, .

s2i+2j =

m
X

s2i ut+s ,

i = 0, ..., p.

s=m

s=m

a0 (t),

a0 (t) =

m
X

cs ut+s

(15.11)

s=m

cs , .
m = 2, q = 2,
. q ,
a1 = 0.
(

5a0 + 10a2 = 2s=2 ut+s ,

P
10a0 + 34a2 = 2s=1 s2 (uts + ut+s ).
P

2
2
10
2
a0 = 34
s=2 ut+s 70
s=1 s (uts + ut+s ) =
70
= (3ut2 + 12ut1 + 17ut + 12ut+1 3ut+2 )/35

15.3.

215

, cs , s = 2, ..., 2.
, p , . ,
q . cs , s = 0, ..., m p = 1, 2, m 5. ,
cs = cs .
[10].
, , - ,

.
, . , , 15 .

ut =

1
(3ut2 + 3ut1 + 4ut + 3ut+1 3ut+2 ),
4

5 ut ( ) 4 . ,
21 .
, m m .
 "", ,
.

. .
15.3.4

. , , . .., ,

ut = f (t) + g(t) + t ,

t = 1, ..., n,

(15.12)

216

j
0
1
2
3
4
5
6
7
8

15.

15.1:
Pn
j
t=1 t
n
n(n + 1)/2
n(n + 1)(2n + 1)/6
n2 (n + 1)2 /4
n(n + 1)(2n + 1)(3n2 + 3n 1)/30
n2 (n + 1)2 (2n2 + 2n 1)/12
n(n + 1)(2n + 1)(3n4 + 6n3 3n + 1)/42
n2 (n + 1)2 (3n4 + 6n3 n2 4n + 2)/24
n(n + 1)(2n + 1)(5n6 + 15n5 + 5n4 15n3 n2 + 9n 3)/90

15.2:

c5

2
3
4

c4

k=1
c3
2
21

21
231

36
429

9
429

14
231
44
429

c5

c4

k=2
c3

15
429
45
429

5
231
55
429
10
429

3
4
5

18
429

c2

c1

c0

3
35
3
21
39
231
69
429

12
35
6
21
54
231
84
429

17
35
7
21
59
231
89
429

c2

c1

c0

30
231

75
231
135
429
120
429

131
231
179
429
143
429

30
429
60
429

15.3.

217

f (t)  , g(t)  , T (12

, 365 ..). ,
n T :

n = hT,
, g(t) ,
T
X

g(t) = 0.

t=1

g , s
T
X

g(t + s) = 0,

s = 0, ..., (n T ).

t=1

, f (t) g(t) , .
. .
T . T = 2m,

ft

m1
X
1
1 1
utm +
ut+s + ut+m , t = (m+1), ..., (nm). (15.13)
=
T 2
2
s=m+1

Mft

m1
X
1 1
1
=
f (t m) +
f (t + s) + f (t + m) f (t).
T 2
2
s=m+1

ft t.
, :
u0t = ut ft , t = 1, ..., n.

g (t) =

n
X
1 h1
1X
u0t+jT
u0 ,
h j=0
n s=1 s

(15.14)

218

15.

.., , .
(15.13) (15.14),
( , ) . , (15.14)
(, ).
, (15.12)

, .
,
.. (15.12)

ut,j = f (t)g(j) + t,j ,

t = 1, ..., n, j = 1, ..., T.

(15.15)

, ut,j , , g .
. (15.15)
(15.12) ,
.
. ,
, , , ( ) .

 A
1.

,
a, 2 ,

1
(x a)2

a, (x) =
exp
.
2
2
(

N (a, 2 ),
a, (x) :

a, (x) = P( < x) =

Zx

a, (x)dx.

a = 0, = 1,
, (x), (x) .
, , , , .
Microsoft Office (Excel), , , . (x)
Excel
219

220

A.

, , .
( )
, - ,
.
N (a, 2 ) N (0, 1)

xa
.
a, (x) =

. , , .. ,
, x

(x) + (x) = 1,
.
.
. -, ,
, , 0 1 . -, , ,
, "
" ,
. , 0 x, - .
.
.
: (2, 92) = (2, 5 + 0, 42) = 0, 99825 (
0,42 2,5 0, 92 825, , ).

Rx t2 /2

(x) =

dt

221

x
0.00
0.01
0.02
0.03
0.04
0.05

0.0+
5000
5040
5080
5120
5160
5199

0.5+
6915
6950
6985
7019
7054
7088

1.0+
8413
8438
8461
8485
8506
8531

1.5+
9332
9345
9357
9370
9382
9394

2.0+
9772
9778
9783
9788
9793
9798

2.5+
92 379
92 396
92 413
92 430
92 446
92 461

3.0+
92 865
92 869
92 874
92 878
92 882
92 886

3.5+
93 77
93 78
93 78
93 79
93 80
93 81

222

A.

Rx t2 /2

(x) =

dt

x
0.06
0.07
0.08
0.09
0.10
0.11
0.12
0.13
0.14
0.15
0.16
0.17
0.18
0.19
0.20
0.21
0.22
0.23
0.24
0.25
0.26
0.27
0.28
0.29
0.30
0.31
0.32
0.33
0.34
0.35

0.0+
5239
5279
5319
5359
5398
5438
5478
5517
5557
5596
5636
5675
5714
5753
5793
5832
5871
5910
5948
5987
6026
6064
6103
6141
6179
6217
6255
6293
6331
6368

0.5+
7123
7157
7190
7224
7257
7291
7324
7357
7389
7422
7454
7486
7517
7549
7580
7611
7642
7673
7704
7738
7764
7794
7823
7852
7881
7910
7939
7967
7995
8023

()

1.0+
8554
8577
8599
8621
8643
8665
8686
8708
8729
8749
8770
8790
8810
8830
8849
8869
8888
8907
8925
8944
8962
8980
8997
9015
9032
9049
9066
9082
9099
9115

1.5+
9406
9418
9429
9441
9452
9463
9474
9484
9495
9505
9515
9525
9535
9545
9554
9564
9573
9582
9591
9599
9608
9616
9625
9633
9641
9649
9656
9664
9671
9678

2.0+
9803
9808
9812
9817
9821
9826
9830
9834
9838
9842
9846
9850
9854
9857
9861
9864
9868
9871
9875
9878
9881
9884
9887
9890
9893
9896
9898
9901
9904
9906

2.5+
92 477
92 492
92 506
92 520
92 534
92 547
92 560
92 572
92 585
92 598
92 609
92 621
92 632
92 643
92 653
92 664
92 674
92 683
92 693
92 702
92 711
92 720
92 728
92 736
92 744
92 752
92 760
92 767
92 774
92 781

3.0+
92 889
92 893
92 897
92 900
93 03
93 06
93 10
93 13
93 16
93 18
93 21
93 24
93 26
93 29
93 31
93 34
93 36
93 38
93 40
93 42
93 44
93 46
93 48
93 50
93 52
93 53
93 55
93 57
93 58
93 60

3.5+
93 81
93 82
93 83
93 83
93 84
93 85
93 85
93 86
93 86
93 87
93 87
93 88
93 88
93 89
93 89
93 90
93 90
94 04
94 08
94 12
94 15
94 18
94 22
94 25
94 28
94 31
94 33
94 36
94 39
94 41

: (2, 92) = (2, 5 + 0, 42) = 0, 99825 ( 0,42

2,5 0, 92 825, ,

223
).

224

A.

Rx t2 /2

(x) =

dt

x
0.36
0.37
0.38
0.39
0.40
0.41
0.42
0.43
0.44
0.45
0.46
0.47
0.48
0.49

0.0+
6406
6443
6480
6517
6554
6591
6628
6664
6700
6736
6772
6808
6844
6879

0.5+
8051
8078
8106
8133
8159
8186
8212
8238
8264
8289
8315
8340
8365
8389

()

1.0+
9131
9147
9162
9177
9192
9207
9222
9236
9251
9255
9279
9292
9306
9319

1.5+
9686
9693
9699
9706
9713
9719
9726
9732
9738
9744
9750
9756
9761
9767

2.0+
9909
9911
9913
9916
9918
9920
9922
9925
9927
9929
9931
9932
9934
9936

2.5+
92 788
92 795
92 801
92 807
92 813
92 819
92 825
92 831
92 836
92 841
92 846
92 851
92 856
92 861

3.0+
93 61
93 62
93 64
93 65
93 66
93 68
93 69
93 70
93 71
93 72
93 73
93 74
93 75
93 76

3.5+
94 43
94 46
94 48
94 50
94 52
94 54
94 56
94 58
94 59
94 61
94 63
94 64
94 66
94 67

: (2, 92) = (2, 5 + 0, 42) = 0, 99825 ( 0,42

2,5 0, 92 825, ,
).
[10].
,
. , (x) = .
.

0,0005
-3,29048
0,9
1,281551

0,001
-3,09024
0,95
1,644853

0,005
-2,57583
0,99
2,326342

0,01
-2,32634
0,995
2,575835

0,05
-1,64485
0,999
3,090245

0,1
-1,28155
0.9995
3,29048

 B
2.

k 1 , ..., k . 2k ( k ).
- ,

p, (x) =

1 x
x e , x 0.
()

, 2k = 1/2, k/2 . .
. , F t,

= P( t) = 1 F (t).
,
, 1 .
2k k .

k , 30, 2


2k 1 , 1,

P( < t) ( 2t 2k 1), t > 0, k > 30,

225

226

B.

2
1 
t =
2k 1 t ,
2
t -
( ).
Microsoft Excel
2 2 ().
, , 2k 2m ,
2k+m . 2 .
+
, t
, t ,
+
P(t
< < t ) = 1
+
t
/2, t 
2
1 /2. .

227

k
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

0,999
1,6E-6
0,002
0,024
0,091
0,210
0,381
0,598
0,857
1,152
1,479
1,834
2,214
2,617
3,041
3,482

2k

0,9975
9,82E-6
0,005
0,04
0,145
0,307
0,526
0,794
1,104
1,450
1,827
2,232
2,661
3,112
3,582
4,069

0,995
3,93E-5
0,010
0,072
0,207
0,412
0,676
0,989
1,344
1,735
2,156
2,603
3,074
3,565
4,075
4,601

0,99
0,0002
0,020
0,115
0,297
0,554
0,872
1,239
1,646
2,088
2,558
3,053
3,570
4,107
4,660
5,229

0,975
0,001
0,051
0,216
0,484
0,832
1,237
1,690
2,180
2,700
3,247
3,816
4,404
5,009
5,629
6,262

0,95
0,004
0,103
0,352
0,711
1,145
1,635
2,167
2,733
3,325
3,940
4,575
5,226
5,892
6,571
7,261

0,9
0,016
0,211
0,584
1,064
1,610
2,204
2,833
3,489
4,168
4,865
5,578
6,304
7,041
7,789
8,547

228

B.

k
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

0,999
3,942
4,416
4,905
5,407
5,921
6,447
6,983
7,529
8,085
8,649
9,222
9,803
10,391
10,986
11,588

0,9975
4,573
5,092
5,623
6,167
6,723
7,289
7,865
8,450
9,044
9,646
10,256
10,873
11,497
12,128
12,764

0,995
5,142
5,697
6,265
6,844
7,434
8,034
8,643
9,260
9,886
10,520
11,160
11,808
12,461
13,121
13,787

0,99
5,812
6,408
7,015
7,633
8,260
8,897
9,542
10,196
10,856
11,524
12,198
12,878
13,565
14,256
14,953

0,975
6,908
7,564
8,231
8,906
9,591
10,283
10,982
11,688
12,401
13,120
13,844
14,573
15,308
16,047
16,791

0,95
7,962
8,672
9,390
10,117
10,851
11,591
12,338
13,090
13,848
14,611
15,379
16,151
16,928
17,708
18,493

0,9
9,312
10,085
10,865
11,651
12,443
13,240
14,041
14,848
15,659
16,473
17,292
18,114
18,939
19,768
20,599

229
2k
()

k
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

0,001
10,827
13,815
16,266
18,466
20,515
22,457
24,321
26,124
27,877
29,588
31,263
32,909
34,527
36,124
37,698

0,0025
9,140
11,983
14,320
16,424
18,385
20,249
22,040
23,774
25,462
27,112
28,729
30,318
31,883
33,426
34,949

0,005
7,879
10,596
12,838
14,860
16,750
18,547
20,278
21,955
23,589
25,188
26,757
28,300
29,819
31,319
32,801

0,01
6,635
9,210
11,345
13,277
15,086
16,812
18,475
20,090
21,666
23,209
24,725
26,217
27,688
29,141
30,578

0,025
5,024
7,378
9,348
11,143
12,832
14,449
16,013
17,534
19,023
20,483
21,920
23,337
24,735
26,119
27,488

0,05
3,841
5,991
7,815
9,488
11,070
12,593
14,067
15,507
16,919
18,307
19,675
21,026
22,362
23,685
24,996

0,1
2,705
4,605
6,251
7,779
9,236
10,645
12,017
13,361
14,684
15,987
17,275
18,549
19,812
21,064
22,307

k
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

0,001
39,252
40,791
42,312
43,819
45,314
46,796
48,268
49,728
51,179
52,619
54,051
55,475
56,892
58,301
59,702

0,0025
36,455
37,946
39,422
40,885
42,336
43,775
45,204
46,623
48,034
49,435
50,829
52,215
53,594
54,966
56,332

0,005
34,267
35,718
37,156
38,582
39,997
41,401
42,796
44,181
45,558
46,928
48,290
49,645
50,993
52,335
53,672

0,01
32,000
33,409
34,805
36,191
37,566
38,932
40,289
41,638
42,980
44,314
45,642
46,963
48,278
49,588
50,892

0,025
28,845
30,191
31,526
32,852
34,169
35,479
36,781
38,076
39,364
40,646
41,923
43,194
44,461
45,722
46,979

0,05
26,296
27,587
28,869
30,143
31,410
32,670
33,924
35,172
36,415
37,652
38,885
40,113
41,337
42,557
43,773

0,1
23,542
24,769
25,989
27,204
28,412
29,615
30,813
32,007
33,196
34,382
35,563
36,741
37,916
39,087
40,256

230

B.

 C
3.

 , 2k 
, - k ,
. ,

= q

2k /k

k ( Tk ).
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, x

T (x) + T (x) = 1.
, ..

P(| | > t) =
. , , .
.
P( > t) =
231

232

C.

, = /2.

Tk k ,
k .
Microsoft Excell. , , ().
,
( "").

233

k
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
19
19
20
21
22
23
24
25
26
27
28
29
30
35
40
45
50

0,0005
1273,155
44,703
16,326
10,305
7,976
6,788
6,081
5,617
5,291
5,049
4,863
4,716
4,597
4,499
4,417
4,346
4,286
4,187
4,187
4,146
4,109
4,077
4,047
4,021
3,996
3,970
3,954
3,935
3,918
3,902
3,836
3,788
3,752
3,723

Tk

0,0001
6370,544
100,136
28,014
15,534
11,176
9,080
7,888
7,120
6,594
6,212
5,923
5,695
5,513
5,364
5,239
5,134
5,043
4,899
4,899
4,838
4,785
4,736
4,694
4,654
4,619
4,587
4,556
4,531
4,505
4,482
4,389
4,321
4,269
4,228

0,005
127,321
14,089
7,453
5,597
4,773
4,317
4,029
3,832
3,690
3,581
3,497
3,428
3,372
3,326
3,286
3,252
3,222
3,174
3,174
3,153
3,135
3,119
3,104
3,090
3,078
3,067
3,056
3,047
3,038
3,030
2,996
2,971
2,952
2,937

0,001
636,578
31,600
12,924
8,610
6,868
5,959
5,408
5,041
4,781
4,587
4,437
4,318
4,221
4,140
4,073
4,015
3,965
3,883
3,883
3,849
3,819
3,792
3,768
3,745
3,725
3,707
3,689
3,674
3,659
3,646
3,591
3,551
3,520
3,496

0,05
12,706
4,303
3,182
2,776
2,571
2,447
2,365
2,306
2,262
2,228
2,201
2,179
2,160
2,145
2,131
2,120
2,110
2,093
2,093
2,086
2,080
2,074
2,069
2,064
2,059
2,055
2,052
2,048
2,045
2,042
2,030
2,021
2,014
2,008

0,01
63,656
9,925
5,841
4,604
4,032
3,707
3,499
3,355
3,250
3,169
3,106
3,054
3,012
2,980
2,947
2,921
2,898
2,861
2,861
2,845
2,831
2,819
2,807
2,797
2,787
2,779
2,771
2,763
2,756
2,750
2,724
2,704
2,689
2,678

0,1
6,314
2,920
2,350
2,132
2,015
1,943
1,894
1,859
1,833
1,812
1,796
1,782
1,771
1,761
1,753
1,746
1,741
1,729
1,729
1,725
1,721
1,717
1,714
1,711
1,708
1,706
1,703
1,701
1,699
1,697
1,689
1,684
1,679
1,676

234

C.

 D
4.

 ,
2k , 2m ,

m
f =
k
k, m
Fk,m .
, f , , . , . , 1/f
m, k . , t
!

1
P
t
f

1
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t


1
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Fk,m 
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, , , , , ,
, . 235

236

D.

.
( ),  ( ).
1,
, . = 0, 05 ( ) = 0, 01
( ).
Microsoft Excel, , , , , . F F.
,,
Fk,m , (. [6]):

lim F1,m (x) = 2( x) 1,

m

lim Fk,1 (x) = 2(1 (1/ x)).

237
Fk,m
= 0,05

( k , m)
1
2
3
4
5
1
161,446 199,499 215,707 224,583 230,160
2
18,513
19,000
19,164
19,247
19,296
3
10,128
9,552
9,277
9,117
9,013
4
7,709
6,944
6,591
6,388
6,256
5
6,608
5,786
5,409
5,192
5,050
6
5,987
5,143
4,757
4,534
4,387
7
5,591
4,737
4,347
4,120
3,972
8
5,318
4,459
4,066
3,838
3,688
9
5,117
4,256
3,863
3,633
3,482
10
4,965
4,103
3,708
3,478
3,326
11
4,844
3,982
3,587
3,357
3,204
12
4,747
3,885
3,490
3,259
3,106
13
4,667
3,806
3,411
3,179
3,025
14
4,600
3,739
3,344
3,112
2,958
15
4,543
3,682
3,287
3,056
2,901
16
4,494
3,634
3,239
3,007
2,852
17
4,451
3,592
3,197
2,965
2,810
18
4,414
3,555
3,160
2,928
2,773
19
4,381
3,522
3,127
2,895
2,740
20
4,351
3,493
3,098
2,866
2,711
21
4,325
3,467
3,072
2,840
2,685
22
4,301
3,443
3,049
2,817
2,661
23
4,279
3,422
3,028
2,796
2,640
24
4,260
3,403
3,009
2,776
2,621
25
4,242
3,385
2,991
2,759
2,603
26
4,225
3,369
2,975
2,743
2,587
27
4,210
3,354
2,960
2,728
2,572
28
4,196
3,340
2,947
2,714
2,558
29
4,183
3,328
2,934
2,701
2,545
30
4,171
3,316
2,922
2,690
2,534
34
4,130
3,276
2,883
2,650
2,494
40
4,085
3,232
2,839
2,606
2,449
50
4,034
3,183
2,790
2,557
2,400
100
3,936
3,087
2,696
2,463
2,305

238

D.

Fk,m
= 0,05 

( k , m)
6
7
12
24
50
1
233,988 236,767 243,905 249,052 251,774
2
19,329
19,353
19,412
19,454
19,476
3
8,941
8,887
8,745
8,638
8,581
4
6,163
6,094
5,912
5,774
5,699
5
4,950
4,876
4,678
4,527
4,444
6
4,284
4,207
4,000
3,841
3,754
7
3,866
3,787
3,575
3,410
3,319
8
3,581
3,500
3,284
3,115
3,020
9
3,374
3,293
3,073
2,900
2,803
10
3,217
3,135
2,913
2,737
2,637
11
3,095
3,012
2,788
2,609
2,507
12
2,996
2,913
2,687
2,505
2,401
13
2,915
2,832
2,604
2,420
2,314
14
2,848
2,764
2,534
2,349
2,241
15
2,790
2,707
2,475
2,288
2,178
16
2,741
2,657
2,425
2,235
2,124
17
2,699
2,614
2,381
2,190
2,077
18
2,661
2,577
2,342
2,150
2,035
19
2,628
2,544
2,308
2,114
1,999
20
2,599
2,514
2,278
2,082
1,966
21
2,573
2,488
2,250
2,054
1,936
22
2,549
2,464
2,226
2,028
1,909
23
2,528
2,442
2,204
2,005
1,885
24
2,508
2,423
2,183
1,984
1,863
25
2,490
2,405
2,165
1,964
1,842
26
2,474
2,388
2,148
1,946
1,823
27
2,459
2,373
2,132
1,930
1,806
28
2,445
2,359
2,118
1,915
1,790
29
2,432
2,346
2,104
1,901
1,775
30
2,421
2,334
2,092
1,887
1,761
34
2,380
2,294
2,050
1,843
1,713
40
2,336
2,249
2,003
1,793
1,660
50
2,286
2,199
1,952
1,737
1,599
100
2,191
2,103
1,850
1,627
1,477

239
Fk,m
= 0,01

( k ,
1
2
3
1
4052,185 4999,340 5403,534
2
98,502
99,000
99,164
3
34,116
30,816
29,457
4
21,198
18,000
16,694
5
16,258
13,274
12,060
6
13,745
10,925
9,780
7
12,246
9,547
8,451
8
11,259
8,649
7,591
9
10,562
8,022
6,992
10
10,044
7,559
6,552
11
9,646
7,206
6,217
12
9,330
6,927
5,953
13
9,074
6,701
5,739
14
8,862
6,515
5,564
15
8,683
6,359
5,417
16
8,531
6,226
5,292
17
8,400
6,112
5,185
18
8,285
6,013
5,092
19
8,185
5,926
5,010
20
8,096
5,849
4,938
21
8,017
5,780
4,874
22
7,945
5,719
4,817
23
7,881
5,664
4,765
24
7,823
5,614
4,718
25
7,770
5,568
4,675
26
7,721
5,526
4,637
27
7,677
5,488
4,601
28
7,636
5,453
4,568
29
7,598
5,420
4,538
30
7,562
5,390
4,510
34
7,444
5,289
4,416
40
7,314
5,178
4,313
50
7,171
5,057
4,199
100
6,895
4,824
3,984

4
5624,257
99,251
28,710
15,977
11,392
9,148
7,847
7,006
6,422
5,994
5,668
5,412
5,205
5,035
4,893
4,773
4,669
4,579
4,500
4,431
4,369
4,313
4,264
4,218
4,177
4,140
4,106
4,074
4,045
4,018
3,927
3,828
3,720
3,513

m)

5
5763,955
99,302
28,237
15,522
10,967
8,746
7,460
6,632
6,057
5,636
5,316
5,064
4,862
4,695
4,556
4,437
4,336
4,248
4,171
4,103
4,042
3,988
3,939
3,895
3,855
3,818
3,785
3,754
3,725
3,699
3,611
3,514
3,408
3,206

240

D.

Fk,m
= 0,01 

( k ,
6
7
12
1
5858,950 5928,334 6106,682
2
99,331
99,357
99,419
3
27,911
27,671
27,052
4
15,207
14,976
14,374
5
10,672
10,456
9,888
6
8,466
8,260
7,718
7
7,191
6,993
6,469
8
6,371
6,178
5,667
9
5,802
5,613
5,111
10
5,386
5,200
4,706
11
5,069
4,886
4,397
12
4,821
4,640
4,155
13
4,620
4,441
3,960
14
4,456
4,278
3,800
15
4,318
4,142
3,666
16
4,202
4,026
3,553
17
4,101
3,927
3,455
18
4,015
3,841
3,371
19
3,939
3,765
3,297
20
3,871
3,699
3,231
21
3,812
3,640
3,173
22
3,758
3,587
3,121
23
3,710
3,539
3,074
24
3,667
3,496
3,032
25
3,627
3,457
2,993
26
3,591
3,421
2,958
27
3,558
3,388
2,926
28
3,528
3,358
2,896
29
3,499
3,330
2,868
30
3,473
3,305
2,843
34
3,386
3,218
2,758
40
3,291
3,124
2,665
50
3,186
3,020
2,563
100
2,988
2,823
2,368

24
6234,273
99,455
26,597
13,929
9,466
7,313
6,074
5,279
4,729
4,327
4,021
3,780
3,587
3,427
3,294
3,181
3,083
2,999
2,925
2,859
2,801
2,749
2,702
2,659
2,620
2,585
2,552
2,522
2,495
2,469
2,383
2,288
2,183
1,983

m)

50
6302,260
99,477
26,354
13,690
9,238
7,091
5,858
5,065
4,517
4,115
3,810
3,569
3,375
3,215
3,081
2,967
2,869
2,784
2,709
2,643
2,584
2,531
2,483
2,440
2,400
2,364
2,330
2,300
2,271
2,245
2,156
2,058
1,949
1,735

[1] ., ., . - . - .: , 1987. - 278 .

[2] .., .., .., .. : . .: , 1989. - 607 .
[3] .. - ( ). - :
- , 1998 - 95 .
[4] .. - .:, 1984. - 472 .
[5] ., . - .:, 1973. - 900 .
[6] .., .. - .:, 1983. - 416 .
[7] .., .. - - .: ,
1978. - 248 .
[8] .., .., .. - : . - .: , 1985. 487 .
[9] . - . - .:, 1963. - 626 .
[10] ., . -
. - .:, 1976, - 736 .
241

242

[11] .., .., .. - : . - .: , 1983.- 472 .

[12] . - . - .:,
1976. - 755 .
[13] ., .. -
. - .:, 1979.- 379 .
[14] . - : . - .: , 1988.- 254 .

1.1
1.2
1.3
2

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2.1
2.2
2.3
2.4
2.5
3

29

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5

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8.2.1 . . . . . . . . . . . . . .
8.2.2 . . . . . . .
8.2.3 . . . . . . . . . . . . .
8.2.4
8.2.5 . . . . . . .
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12.1.1 . . . . . . . . . .
12.1.2 . . . . . . . . . . . . . . .
12.2 . . . . . . . . . . . . . . . . . . . .
12.2.1 At A . . . . . . . . . . . . . . . . . . . .
12.2.2 .
12.3 . . . . . . . . . . . . . . . . . . . . . .
12.3.1 . . . . . . . . . . . . . . . . . . . .
12.3.2 . . . . . . . . . . . . . . . . . . . . .
12.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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13

13.1 . . . . . . . . . . . . . . . . . . . . .
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13.1.2 .
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15.3.2 . . . . . . . . . . . . . . .
15.3.3 . . . . . . . . . . . . . . . . . . . .
15.3.4 . . . . . . . . . . .

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179

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185
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193

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203
207
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211
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215

219

B 2

225

231

235