Lekcii Chernova Stat

JJ
II

2- ,

. .
cher@nsu.ru
. ... 179
. 1

. ,
, . ,
. . , -
( ).
JJ
II

1.1 . . . . . . .
1.2 . . . . . . . . . . . . . .
1.3 ,
1.4 . . . . . . . . . . . . . . . .
1.5 . . . .
1.5.1 . . . . . . . . . . . . . . . .
1.5.2 . . . . . . . . . . . .
1.5.3 . . . . . .
1.6 . . . . . . . . . . . . . . .
1.7 . . . . . . . . . . . . . . . .
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5
7
8
10
14
15
15
20
21
25
26
. ... 179
2
2.1
2.2 . . . . . . . . . . . . . .
2.3 . . . . . . . . . . . . . .
2.4 . . . . . . . . . .
2.5 . . .
2.6 . . . . . . . . . . .
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28
28
29
32
35
38
45

3.1 . . . . . . . . .
3.2 . . . . .
3.3 . . . . .
3.4 . . . . . . . . . . . . . .
3.5 . . . .
3.6
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46
47
50
53
55
57
60
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. 2
3.7
JJ
II
. ... 179
. 3
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
4.1 . . . . . . .
4.2 . . . . . . . . . . . . .
4.3 . .
4.4
4.5 BLUE . . . . . . . . . . . . . . .
4.6 . . . . . .
5
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7.1 . . . . . . . .
7.2 . .
7.3
7.3.1 . . . . . . .
7.3.2
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62
62
63
66
71
79
79
80
6 ,
6.1 - . . . . . . . . . . . . . . . . . . .
6.2 2 - . . . . . . . . . . . . . . . .
6.3 . . . . . . . . . . . . . . . .
6.4 . . . . . . . . . . . . . . . . .
6.5 . . . . . . . . . . . . . . . . . . . . . .
6.6
6.7 . . . . . . . . . . . . . . . . . .
7
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61
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91
. 92
. 94
. 97
. 100
. 101
. 109
. 111
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112
. 116
. 118
. 121
. 124
. 126
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JJ
II
. ... 179
. 4
8
8.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.2 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.3 2 . . . . . . . . . . .
8.4 : .
8.5 : - . . .
8.6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.8 . .
8.9
8.10 . . . . . . . . . . . . . . . . . . .
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133
135
137
142
145
146
148
151
154
155
156
9
9.1 . . . . . . . . . . . .
9.2 . . . . . . . . . .
9.3 . . . . . . . . . . . . . .
9.4 . . . . . . . . . . . . . . . . . . . . . . . . .
9.5 . . . . . . . . . . .
9.6 .
9.7 . . . . . . . . . . . . . . . . . . . . .
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157
157
159
160
161
164
165
167
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171
A
. . . . . . . . . . . . . . . . . . . . . . 171
B
. . . . . . . . . . . . . . . . . . . . . . . . . . 173
1.
JJ
II
. ... 179
( )
, - .
, .
().
,
, .
( ) ,
.
, , :
. 5
( ) , . .

? ? , ?
JJ
II
. ... 179
, , .
().
, , ,
. ,

, , , ,
, . .
, () ,
,
,
. 6

( ) .
, , ,
.
1.1.
JJ
II
. ... 179
. 7
: IR , .
, ( ).
, n ,
X1 , X2 , . . . , Xn ,
, . . .
F, .
X = (X1 , . . . , Xn ), .
.
,
. X1
. X1 ( X2 , X3 , . .) ,
, , (
). X1 ,
, ,
, . . X1 .
X = (X1 , . . . , Xn ) n n
( ), , , F.
? , , E , D , E k . .
.
1.2.
JJ
II
. ... 179
0
X1 = X1 (0 ), . . . , Xn = Xn (0 ).
, X1 , . . . , Xn 1/n
( - , ).

:
X1
1/n
...
...
Xn
1/n
Fn (y) =
X 1
Xi (, y)
=
.
n
n
Xi <y
.

:
n
n
X
1
1X
Xi = X,
E =
Xi =
n
n
i=1
i=1
n
n
X
1
1X
2
(Xi X)2 = S2 .
D =
(Xi E ) =
n
n
i=1
i=1
E ( )k =
n
n
X
1X k
1 k
Xi =
Xi = Xk .
n
n
i=1
i=1
g(X)
. 8
1X
g(Xi ) = g(X).
n
n
E g( ) =
i=1
JJ
II
. ... 179
. 9
X1 , . . . , Xn
, Fn (y), X, S2 , Xk , g(X)
. () .

( X1 ) n.
,
,
n
.
Xi {1, . . . , 6} , i- , i = 1, . . . , n.
, n1 , n2 ..
1, . . . , 6
n1
n6
, ...,
. n 1/6
n
n
.
,
.
,
.
,
.
1.3. ,
F , ,
F(y) = P (X1 < y), .
JJ
1. ,
X = (X1 , . . . , Xn ) n, Fn : IR [0, 1],
y IR
II
Xi (, y)
1X
=
=
I(Xi < y).
n
n
n
Fn (y)
i=1
. ... 179
:
I(Xi < y) =
. 10

1,
0
Xi < y,
{Xi < y}. y ,

?
p = P (Xi < y) = F(y).
, y F(y),
X1 y, , y.
X1 , . . . , Xn (
), , :
X(1) 6 X(2) 6 . . . 6 X(n1) 6 X(n) .
X(1) = min{X1 , . . . , Xn },
JJ
II
. ... 179
. 11
X(n) = max{X1 , . . . , Xn }.
X(k) , k = 1, . . . , n k- k- .
1. : X = (0; 2; 1; 2,6; 3,1; 4,6; 1; 4,6; 6; 2,6; 6; 7; 9; 9; 2,6).
: (0; 1; 1; 2; 2,6; 2,6; 2,6; 3,1; 4,6; 4,6; 6; 6; 7; 9; 9).
Fn (y)
6

1
, Xi

m/n, m

, Xi .

:

y
0
1 2 3 4 5 6 7 8 9 10
0,
y 6 X(1) ,
k
Fn (y) =
. 1: 1
, X(k) < y 6 X(k+1) ,
1
y > X(n) .
JJ
II
( ) ( ). ,
.
. ( )
( ). A1 ,
. . . , Ak , .
j = 1, . . . , k j , Aj :
j = { Xi Aj } =
n
X
I(Xi Aj ),
i=1
. ... 179
j = n.
(1)
j=1
Aj , j . .
lj Aj . fj Aj
fj =
k
X
j
.
nlj
.
2. (. 1):
(0; 1; 1; 2; 2,6; 2,6; 2,6; 3,1; 4,6; 4,6; 6; 6; 7; 9; 9).
. 12
[0, 10] 4 . A1 = [0; 2,5) 4

, A2 = [2,5; 5) 6, A3 = [5; 7,5) 3, A4 = [7,5; 10]
2 . (. 2). . 3
, 5 .
8/75
0.1
9 10
. 2: 2
JJ
II
. ... 179
9 10
. 3: 2
1. , ( ) k = k(n) = 1 + [3.322 lg n].

lg n , k = 1+[log2 10 log10 n] = 1+[log2 n],
. . 1.
, , . ,
, , n, n
.
:
,
k(n) , k(n)/n 0,
.
. 13
, .
1.4.
JJ
II
. ... 179
.
.
E = E X1 = a, D = D X1 = 2 , E k = E Xk1 = mk
, , k- . E = X, D = S2 , E ( )k = Xk .

D = D X1 = 2

n
1 P
X=
Xi
n i=1
n
1 P
(Xi X)2 ,
S2 =
n i=1
n
1 P
S20 =
(Xi X)2
n 1 i=1

E k = E Xk1 = mk
Xk =
E = E X1 = a
n
1 P
Xk k-
n i=1 i
, , , , . . .
1X
g(Xi ).
n
n
. 14
E g()
g(X) =
i=1
1.5.
JJ
II
. ... 179
,
: , , . ,
. .
, .
1.5.1.
1. X = (X1 , . . . , Xn ) n F F. Fn ,
. y IR
p
Fn (y) F(y)
n .
2. Fn (y) ,
X1 , . . . , Xn . .
1. 1,
n
P
. 15
Fn (y)
I(Xi < y)
i=1
I(X1 < y), I(X2 < y), . . . ,

:
E I(X1 < y) = 1 P (X1 < y) + 0 P (X1 > y) = P (X1 < y) = F(y) < ,
, ?
n
P
JJ
II
Fn (y) =
I(Xi < y)
i=1
E I(X1 < y) = F(y).
,
( ) .
. ... 179
, , .
. X = (X1 , . . . , Xn ) n
F F. Fn
, .
p
sup Fn (y) F(y) 0

yIR
. 16
n .
3. , 1
, .
F ,
1/ n:
. X = (X1 , . . . , Xn ) n
F F, Fn
.
JJ
II
yIR
n ,
. ... 179
n sup Fn (y) F(y)
K(x) =
2 x2
(1)j e2j
x > 0,
K(x) = 0 x < 0.
j=

. 17
n , , , .
, Fn (y) F(y)(1 F(y))
, 1/n.
F(y)
n
, Fn (y) F(y) 1/ n.
1. y IR
1) E Fn (y) = F(y), . . Fn (y) F(y);
JJ
II
2) D Fn (y) =
F(y)(1 F(y))
;
n
3) 0 < F(y) < 1, n(Fn (y) F(y)) N0,F(y)(1F(y)) , . . Fn (y)

F(y);
4) n Fn (y) Bn,F(y) .
. ... 179
1.
BF(y) ,
, I(X1 < y) -
E I(X1 < y) = F(y)
D I(X1 < y) = F(y)(1 F(y)).
1) I(X1 < y), I(X2 < y), . . . ,

?
n
P
E Fn (y) = E i=1
. 18
n
P
I(Xi < y)
n
E I(Xi < y)
i=1
nE I(X1 < y)
= F(y).
n
2) I(X1 < y), I(X2 < y), . . . , ?

n
P
D Fn (y)
=D
n
P
I(Xi < y)
i=1
D I(Xi < y)
i=1
n2
nD I(X1 < y)
F(y)(1 F(y))
=
.
2
n
n
3) : ?
JJ
II
n(Fn (y)
n
P
I(Xi < y)

i=1
F(y)) = n
F(y) =
n
P
i=1
I(Xi < y) nF(y)
. ... 179
n
P
i=1
I(Xi < y) nE I(X1 < y)
4) I(X1 < y) ( ) n
P
BF(y) , ? nFn (y) =
I(Xi < y)
i=1
Bn,F(y) . ?
. 19
N0,D I(X1 <y) = N0,F(y)(1F(y)) .
4. , : , , , 2. .
1.5.2.
F , f . ,
, k n. , k = k(n),
1.
JJ
II
2. n j = 1, . . . , k
l j fj =
. ... 179
j p
P (X1 Aj ) =
n
Z
f(x) dx.
Aj
. 2, (1) .
. 20
, , ,
.
1.5.3.
X , ( ):
2.
1) E |X1 | < , E X = E X1 = a.
p
JJ
II
2) E |X1 | < , X E X1 = a n .
3) D X1 < ,

n X E X1 N0,D X1 .
. ... 179
2.
1) E X =
n
1
1 P
E Xi = nE X1 = E X1 = a.
n i=1
n
2) , X =
3) ,
n
P

. 21
n
1 P
p
Xi E X1 = a.
n i=1
n X E X1 =
i=1
Xi nE X1
N0,D X1 .
n
k- Xk , k- :
3.
1) E |X1 |k < , E Xk = E Xk1 = mk .
p
JJ
II
2) E |X1 |k < , Xk E Xk1 = mk n .
3) D Xk1 < ,

k
n X E Xk1 N0,D Xk .
1
. ... 179
. 3.

. 22
.
,
Xi , (
X21 ).
4.
1) S2 S20
p
p
: S2 D X1 = 2 , S20 D X1 = 2 .
2) S2 , S20 :
JJ
II
. ... 179
E S2 =
n1
n1 2
D X1 =
6= 2 ,
n
n
E S20 = D X1 = 2 .
2 S2
3) S
0

2
: n S D X1 N0,D (X1 E X1 )2 .
4.
1) , , ,
1X
(Xi X)2 = X2 (X)2 .
n
n
S2 =
(2)
i=1
. 23
(2) , S2 = X2 (X)2 E X21 (E X1 )2 = 2 .

n
n
p
,
1, S20 =
S2 2 .
n1
n1
2) (2):

E S2 = E X2 (X)2 = E X2 E (X)2 = ( 3) = E X21 E (X)2 =
1X
= E X21 (E X)2 + D (X) = E X21 (E X1 )2 D
Xi =
n
JJ
II
2
n1 2
1
=
,
= 2 nD X1 = 2
n
n
n
n
E S2 = 2 .
=
n1
i=1
. ... 179
E S20
3) :
2

2
1X
1 X
(Xi X)2 =
Xi a (X a) = (X a)2 X a .
S =
n
n
n
i=1
i=1

2
2
2
2
2
n S = n (X a) X a =
=
n
P
. 24

2

n (X a)2 E (X1 a)2 n X a =
(Xi a)2 nE (X1 a)2

X a n X a N0, D (X1 a)2 ,

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

X a n X a
,
N0,D X1 . ?
1.6. ( )
, ,
. , .
k
A1 , . . . , Ak :
A1 = [a0 , a1 ), . . . , Ak = [ak1 , ak ),
JJ
II
. ... 179
, j , Aj , wj
Aj ( ):
j = { Xi Aj } =
. 25
n
X
I(Xi Aj ),
i=1
wj =
j
.
n
wj
Aj fj =

.
: aj = aj1 + /2 Aj .
a1 , . . . , a1 ,
| {z }
aj aj1 = .
...,
ak , . . . , ak
| {z }
k
, Xi , Aj ,
aj . ( ) , ( ),
k
k
X
1X
X=
aj j =
aj w j
n
j=1
j=1

S2 =
JJ
II
. ... 179
X
1X
(aj X)2 j =
(aj X)2 wj .
n
k
j=1
j=1
, (a0 , 0), (a1 , f1 ), . . . , (ak , fk ), (ak , 0),

().
().
1.7.
1. , . 1,
X1 , . . . , Xn , n ? ? ? n
?
2. (X1 , . . . , X6 ) 6 ? (X1 , . . . , X12 ) 12? ,

(2X1 , . . . , 2X12 ).
Fn (y)
1 6

1

3. , . 2, X1 , . . . , Xn ?
. 26
4. , n
Bp . X. , :

p
sup Fn (y) F(y) 0 n .
yIR
5. , X1 : X(1) = min{X1 , . . . , Xn }, X(n) = max{X1 , . . . , Xn }.

X1 .
6. ( ), k- X(k)
:
P (X(k) < y) = P ( k < y) =
JJ
II
n
X
Cin F(y)i (1 F(y))ni ,
i=k
F(y) X1 .
. ... 179
7. : ,
v
!
u
n
k1
u 1X
k
k
t
Xk
=
Xi
n
i=1
) X(1) k ) X(n) k +
X1 , . . . , Xn , , , . . . .
. X(1) ( X(n) ) - ,
k
1 1 k +, ..
: k k 1 k +,
8. ,
v
!
u
n
q
u 1X
k
k
k
t
k
E ( ) =
Xi , k = 1, 2, 3, . . .
n
i=1
. 27
k. . .
2.
2.1.
JJ
II
. ... 179
, n, X1 , . . . , Xn
, F ,
.
F , .
.
, i = 1, . . . , n
Xi , > 0 ;
F = , = , = (0, );
Xi Bp , p (0, 1) ;
F = Bp , = p, = (0, 1);
Xi Ua,b , a < b ;
F = Ua,b , = (a, b), = {(a, b) : a < b};
Xi U0, , > 0 ;
F = U0, , = (0, );
Xi Na,2 , a IR, > 0 ;
F = Na,2 , = (a, 2 ), = IR (0, );
. 28
Xi Na,4 , a IR ;
F = Na,4 , = a, = IR.
JJ
II
. ... 179
,
. ,
.
,
( ),
( ) , -
.
2.2.
. ,
, X1 , . . . , Xn n
F , .
, X1 , . . . , Xn .
, , Xi
E X1 = ,
. 29
P (X1 = 2) =
2
e ,
2
D X1 =
. .
, E X1 E X1 .. , D1 X1
, = 1 .
. , Xi
. , = 1, E X1 = 1, = 7
E X1 = 7. , E X1 , X1 ,
.
2. = (X1 , . . . , Xn )
.
JJ
II
. ... 179
5. ,
. , ,
( ),
.
, , (,
IR IRn ), ,
.
. 30
3. = (X1 , . . . , Xn )
, E = .
4. = (X1 , . . . , Xn )
p
, n .
JJ
II
. ... 179
n. , ..
.
,
. , .
3. X1 , . . . , Xn n
Na,2 , a IR, > 0. a 2 ,
( ) ?

.
a = Ea,2 X1
a = X. 2 , .
2 = Da,2 X1 :
1X
(Xi X)2
n
n
S2 =
i=1
1 X
(Xi X)2
n1
n
S20 =
i=1
. 31
( ).
4, , . ?
.
2.3. :
JJ
II
. ... 179
: X1
(, k-) , , .
k- . k- ,
.
X1 , . . . , Xn n F , . g(y) ,
E g(X1 ) = h(),
(3)
h .

g(X) = h( ).
( ), (3) ,
:
1X
g(X) = h1
g(Xi ) .
n
= h1 (E g(X1 )) ,
= h1
i=1
. 32
g(y) g(y) = yk .
E Xk1 = h(),
, h ,
1 X k
= h1
Xi .
n
= h1 Xk
= h1 E Xk1 ,
i=1
JJ
II
. ... 179
, () , .
4. X1 , . . . , Xn n
[0, ] U0, , > 0.
() :
E X1 =
,
2
= 2E X1
1 = 2X.
() k- :
Z
E Xk1
yk
1
k
dy =
,
k+1
0
. 33
q
k
(k + 1)E Xk1 ,
k =
q
k
(k + 1)Xk .
(4)
5. X1 , . . . , Xn n
> 0.
= () = P (X1 = 1) = e
g(y) = I(y = 1):

E g(X1 ) = E I(X1 = 1) = P (X1 = 1) = e = ,
1X
I(Xi = 1).
n
n
JJ
II
. ... 179
= I(X = 1) =
i=1
, > 0 g(y) = I(y = 1)

: h() = e - , , > 0.
: E X1 = , = X .
6. , = h1 (g(X)) 6 , .
. ,
h1 (g(X)) .
6. X1 , . . . , Xn n Na,1 a > 0. a :
Ea X1 = a,
. 34
a = X.
a > 0, X . X < 0,
a 0. X > 0,
X. : a = max{0, X} .
2.4.
JJ
II
, h1 . .
3. :
. ... 179
1X
p
g(Xi ) E g(X1 ) = h().
n
n
g(X) =
3. = h1 g(X) ,
i=1
h1 ,

= h1 g(X) h1 (E g(X1 )) = h1 (h()) = .
: , . . - h : IR IR
h h1 .
. 35
, , .
, = h1 g(X) ,

E h1 g(X) = = h1 (h()) = h1 E g(X) .
JJ
II
. ... 179
(5)
h1 .
, (5)
g(X) h1
.
, ,
[0, ] , 4
.
:
1. , 1 = 2X 2E X1 = 2/2 = , . . 1 = 2X .
2. , ( 3 , )
n
k
p
Xk E Xk1 =
.
k+1

. 36
(k + 1)y y > 0, n
p
k
k =
q
k
s
p
(k + 1)Xk
(k + 1)
k
= .
k+1
p
k
(k + 1)y?
:
1. ,
E 1 = E 2X = 2E X = ( 2) = 2/2 = ,
. . 1 = 2X .
2. 2 . ,
JJ
II
E 2
. ... 179
= E
3X2 ,
2
=
3E X21 =
3E X2 .
pE 2 = , = 3X2
E = E , = E 2 = (E )2 D = 0.
q
. 37
3X2
( , )
q
. 2 = 3X2 .
k , k > 2. , , (5),
.
q

k
k k=1 =
(k + 1)Xk
, 1 = 2X .
2.5. :
JJ
II
. ... 179
. 38

. , ,
n X = (X1 , . . . , Xn ).
.
, , . .
. , F
f (y) ( dy) y.
F y P (X1 = y).
, F . ,
5.

f (y),
f (y) =
P (X1 = y),
F ,
F
F .
, , ,
.
, .
X1 a1 , a2 , . . . # -
Z
X
#(B) = ai , B, #(B) = #(dy) =
1,
P (X1 B) =
B
JJ
II
. ... 179
P (X1 = y) #(dy) =
f (y) #(dy) =
B
6. ( )
f(X, ) = f (X1 ) f (X2 ) . . . f (Xn ) =
n
Y
f (Xi )
i=1
. ( )
L(X, ) = ln f(X, ) =
n
X
ln f (Xi )
i=1
. 39
P (X1 = ai ).
X1 , f (y)
(dy) = dy:
Z
Z
P (X1 B) = f (y) (dy) = f (y) dy.
X
ai B
ai B
f(x1 , . . . , xn , )
X1 , . . . , Xn x1 , . . . , xn .
:
f(x, ) =
n
Y
f (xi ) = P (X1 = x1 ) . . . P (Xn = xn ) = P (X1 = x1 , . . . , Xn = xn ).
i=1
JJ
II
. ... 179
7. ^
, f(X, ) (
X1 , . . . , Xn ):
^ = arg max f(X, ).
7. ln y , f(X, )
L(X, ) . ()
( ) L(x, ):
^ = arg max L(X, ).
. 40
, , , /,
.
7. X1 , . . . , Xn n
, > 0. ^ .
P (X1 = y) =
y
e ,
y!
y = 0, 1, 2, . . .
f(X, ) =
n
Y
Xi
i=1
JJ
II
> 0 ,
, .
:
. ... 179
nX n
L(X, ) = ln f(X, ) = ln Q
e
Xi !
Xi n
nX n
e = Q
e
=Q
e
.
Xi !
Xi !
Xi !
= nX ln ln
n
Y
Xi ! n.
i=1
nX
L(X, ) =
n,
. 41
nX
^ :
n = 0, ^ = X.
.
1) , ^ = X , .
2) , ^ = X . ?
8. X1 , . . . , Xn n
Na,2 , a IR, > 0; a, 2 .
, . :
JJ
II
(y a)2
f(a,2 ) (y) =
exp
22
22
1
:
n
P
f(X, a, 2 ) =
. ... 179
n
Y
i=1
1
22
exp
(Xi a)2
22
(Xi a)2
1
i=1
exp
22
(22 )n/2
n
P
n
L(X, a, 2 ) = ln f(X, a, 2 ) = ln(2)n/2 ln 2
2
. 42
(Xi a)2
i=1
22
( (a, 2 )) L
:
L(X, a, 2 ) =
a
n
P
(Xi a)
i=1
22
n
P
nX na
=
;
2
(Xi a)2
n
i=1
L(X, a, 2 ) = 2 +
.
2
2
24
(^
a, ^2 ) (a, 2 )
n
P
(Xi a)2
nX na
n
i=1
= 0;
2+
= 0.
2
2
2(2 )2
, :
1X
^2 =
(Xi X)2 = S2 .
n
n
a
^ = X,
JJ
II
. ... 179
i=1
.
1) , a
^ = X, ^2 = S2 , .
2) , .
. 43
9. X1 , . . . , Xn n
U0, , > 0. ^ = X(n) = max{X1 , . . . , Xn } (. [3], 4.4, .24 [1],
5, .91).
10. X1 , . . . , Xn n U,+5 , IR (. [1], 4, .91).
. :

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

(1/5)n , Xi [, +5]
(1/5)n , 6 X(1) 6 X(n) 6 +5
f(X, ) =
=
=
0
=
JJ
II
X(n) 5 6 6 X(1)
.
(1/5)n
[X(n) 5, X(1) ]. . 4.
f(X, )
. ... 179

(1/5)n ,
6
1
5n
X(n) 5
X(1)
. 4: 10.
^ [X(n) 5, X(1) ]
.

^ = (1 )(X(n) 5) + X(1)
-
[0, 1], ^0 = X(n) 5

^1 = X(1) .
. 44
.
1) , [X(n) 5, X(1) ] .
2) ( ) ,
.
3) U,2 .
2.6.
1. X1 , . . . , Xn Bp , p (0, 1) . , X1 , X1 X2 , X1 (1 X2 )
p, p2 , p(1 p). ?
JJ
II
. ... 179
2. X1 , . . . , Xn , > 0
. , X1 I(X1 = k)
k

e . ?
k!
3. X1 , . . . , Xn U0, , > 0 . 1 = X(n) , 2 = 2X,
3 = X(n) + X(1) .
4.
:
a) Bp , ) , ) Ua,b
, ) E , ) E1/ ,
) U, , ) , , ) Na,2 ( 2
a a ).
5. 4 ? ?
. 45
6. , 4()
4(). , . .
.
7.
: a) Bp , ) +1 , ) U0,2 , ) E2+3 , ) U, ,
) Na,2 (a ).
8. 7 ? ?
3.
JJ
II
. ... 179
. 46
,
.
? ?
, , .
| | : -, , , , . ,
, |X| |Xk |? , , |2.15|
|3.1 |?
,
, E | |.
. . ,
E ( )2 . , ,
( ).
, E ( )2 , .
.
,
, , E ( )4 E | |.
,

n.
3.1. .
X1 , . . . , Xn n F , .
JJ
II
8. , 1 2 ,
E (1 )2 6 E (2 )2 ,
.
. ... 179
. 47
? . , . ,
: : = .
4. .
4. , , , 1 ,
E ( )2 6 E (1 )2 .
1 . 1 1 .
E ( )2 6 E (1 )2 .
JJ
II
. ... 179
, = 1 E1 ( 1 )2 6 E1 (1 1 )2 = 0.
E1 ( 1 )2 = 0. , 1 ,
E ( )2 = 0. (
), . . .
, , :
I , IR, X1 ;

U,+1 , Z, X1 .
. 4.
, , ,
.
,
b() = E .
Kb = Kb() , ,
b():
. 48
Kb = { : E = + b()} ,
K0 .
K0 = { : E = } .
9. Kb Kb ,
( ) Kb
. 1 Kb ,
JJ
II
. ... 179
E ( )2 6 E (1 )2 .
10. K0 .
8. K0 , ,
E ( )2 = E ( E )2 = D ,

. ( K0 )
.
. Kb
E ( )2 = D ( ) + (E )2 = D + b2 (),
. 49

.
. Kb . ,
4 Kb .
3.2.
5. 1 Kb 2 Kb Kb ,
1 : P (1 = 2 ) = 1.
JJ
II
. ... 179
5. , E (1 )2 = E (2 )2 . , 1 Kb , 2 ,
E (1 )2 6 E (2 )2 ,
. E (1 )2 = E (2 )2 .
+ 2
= 1
. Kb . !
2
. ,

2
ab
2
2
a2 + b 2
.
2
(6)
a = 1 , b = 2 . (a + b)/2 = , a b = 1 2 .
(6) :
E ( ) + E
. 50
a+b
2
1 2
2
2
= E
(1 )2 + (2 )2
=
2
= E (1 )2 = E (2 )2 . (7)
Kb , , , 1 .
E ( )2 > E (1 )2 .
(7), ,
E
JJ
II
. ... 179
1 2
2
2
1
E (1 2 )2 6 0 , , E (1 2 )2 = 0.
4
P (1 = 2 ) = 1, .
. ,
, ,
.
.
11. X1 , . . . , Xn n U0, , > 0. 4 9 ^ = X(n) = max{X1 , . . . , Xn }
= 2X. .
= 2X ,
E ( )2 = D = D 2X = 4D X = 4
. 51
D X1
2
2
=4
=
.
n
12n
3n
^ = X(n) = max{X1 , . . . , Xn }
E (^ )2 = E ^2 2E ^ + 2 .
JJ
II
^ = X(n) . ( , !)
^
:
0,
y < 0,
n
y
P (X(n) < y) = P (X1 < y)n =
, y [0, ],
n
1,
y > ,
. ... 179
E X(n)
0,
y 6 [0, ],
n1
fX(n) (y) =
n y
, y [0, ].
n
Z
Z
n
n
yn1
yn1
2
, E X(n) = y2 n n dy =
2 .
= yn n dy =
n+1
n+2
0
E (X(n) )2 =
n
n
2
2 2
2 + 2 =
2 .
n+2
n+1
(n + 1)(n + 2)
n = 1, 2 , n > 2
E (X(n) )2 =
. 52
22
2
<
= E (2X )2 ,
(n + 1)(n + 2)
3n
X(n) , 2X. E (X(n) )2 n2 , E (2X )2 n1 .
.
1. , X(n) Kb , b() =
.
n+1
n+1
X(n) K0 ().
n
n+1
3.
X(n) X(n) .
n
2. ,
JJ
II
3.3.
()
q
, k = (k + 1)Xk (. 4),
:
. ( )
. ,
.
X1 , . . . , Xn n F , .
k
. ... 179
. 53
11. 2 (),
n( )
n( ) N0,2 () ,
N0,1 .
()
12. X1 , . . . , Xn n U0, , > 0. , = 2X ^ = X(n)

(). ,
JJ
. ... 179
. 54
Xi
n( ) = n(2X ) = n 2 i=1
n
n
P
II
n
P
i=1
n
P
i=1
2Xi n
=
n
2Xi nE 2X1
N0,D 2X1 = N0,4D X1 .

n
= 2X
2 () = 4D X1 = 42 /12 = 2 /3.
^ = X(n) :
n(^ ) = n(X(n) ) < 0 1.
(8)
, n F, x,
F, Fn (x) = P (n < x) F(x).
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.
JJ
II
. ... 179
: .
. n(X(n) ). ,
.
, .
2) n(X(n) ) 0, n X(n) ,
, 0 ?
. , n(X(n) ) , E1/ .
: .
n+1
X(n) (8) . ?
n
. ,
.
3)
4) , ^ = X(n) ? ,
n(X(n) ) ?
3.4.
6. , .
. 55
JJ
II
6. :
, ( ) ,
,
.
1
= n( ) 0 = 0,
n
N0,2 () .
.
. 6,
, ?
. ... 179
^ = X(n) 12. (
, )
n(X(n) ) ,
. 56
, , , 0.
, ,
1
1
, . . :
n
n
p
0,
n( ) N0,2 () .
(9)
. , ^
1
.
n
. ?
3.5.
12 , 2X .
,
.
g(y) , 0 6= D g(X1 ) < .
1P
g(Xi )
g(X) =
n
E g(X1 ) 2 () = D g(X1 ):
5.
JJ
II
. ... 179
g(X) E g(X1 )
n p
N0,1 .
D g(X1 )
. 5.
. 57

!
Pn

1 g(Xi )
.
= H g(X) = H
n
! ,
= H (E g(X1 )).
7. g(y) , 0 6= D g(X1 ) < , H(y)

a = E g(X1 ) H 0 (a) = H 0 (y)y=a 6= 0.

JJ
II
. ... 179
= H g(X)
= H (E g(X1 )) = H(a) 2 () = (H 0 (a))2 D g(X1 ).
7.
g(X) a = E g(X1 )
n.
H(y) H(a) , y =
6 a,
ya
G(y) =
0
H (a),
y=a
a.
p
, , G(g(X))
G(a)
= H 0 (a).

, 5 n g(X) a
N0,D g(X1 ) .
.

n H g(X) H(a) = n g(X) a G g(X) H 0 (a).
H 0 (a)
. 58
: n n c = const,
n n c. H 0 (a) N0, (H 0 (a))2 D g(X1 ) .
13. X1 , . . . , Xn n q k
U0, , > 0. , k = (k + 1)Xk , k = 1, 2, . . . ,
4, .
g(y) = (k + 1)yk , H(y) = k y.
k
JJ
II
sP
(k +
1)Xk
(k + 1)Xki
=H
n
q
k
E (k + 1)Xk1 =
. ... 179
g(Xi )
.
n
(k + 1)
k
.
k+1
, . ?
7:
k
a = E g(X1 ) = (k + 1)
= k ,
k+1
2k
k2
2
2
2k
D g(X1 ) = E (k+1)2 X2k
a
=
(k+1)
=
2k
1
2k + 1
2k + 1
. H(y) a:
1 1k
1
y k , H 0 (a) = H 0 (k ) = 1k > 0.
k
k
7, k
H 0 (y) =
2
2k () = H 0 (a)
. 59
P
= H (E g(X1 )) =
J
D g(X1 ) =
1 22k
k2
2
2k
=
.
k2
2k + 1
2k + 1
1 = 2X 21 () =
2
(. 12).
3
,
.
3.6.
JJ
II
. ... 179
. 60
: N0,1 10
N0,100 . , , 0, 9973.. = P (|| < 3),
10 0, 9973.. = P (|| < 30). 10
, ( ) .
?
1 100:
n(1 ) N0,1
n(2 ) N0,100 .
n n(2 )
, n(1 ), (
).
, . :
12. 1 21 (), 2 22 (). , 1 , 2 ,

21 () 6 22 (),
.
JJ
II
. ... 179
13 ().

1 , 2 , . . . . k 2k () = 2 /(2k + 1). , k,
.
, ,
, . :
. . 7 () 1. , k X(n) . .,
k
v
u
u
u
k
t
(k + 1)
n
P
i=1
Xki ()
n
max{X1 (), . . . , Xn ()}.
, ^ = X(n)
: ,
(9), n1 n1/2 .
3.7.
. 61
1. X1 , . . . , Xn n U,+5 , IR.
^0 = X(n) 5, ^1 = X(1) 10 .
= X 2,5.
2. r
,
k!
k- , : k = k
. k , k = 1, 2, . . .
Xk
. , 1 .
4.
JJ
II
. ... 179
.
( ).
. ,
(, , ).
,
Kb() E ( )2 .
, ,
( ), ,
.
,
, , , .
4.1.
. 62
X1 , . . . , Xn n F , . f (y) F ( 5).
F .
C IR ,
P (X1 C) = 1, F .
JJ
II
9. IR, . , ,
.
.
(R) C F , y C
p
f (y) .
. ... 179
4.2.
14 ( ). E
> 0.

q
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:
. 63
y
1
q
f (y) = ey/2 ey/2 .
2
2
JJ
II
. ... 179
15 ( ). U0,
> 0.
1 , 0 6 y 6 ,
1 , > y y > 0,
f (y) =
=
0, y 6 [0, ]
0
.
,
(0, x) :
P (X1 (0, x)) < 1 > x. C = (0, +) > 0
P (X1 C) = 1.
( ).
, (R) : y C,
p
f (y) , .
f (y)
6
. 5: 15
. 64
y > 0 f (y) ( ) .
, y C ,
f (y) ,
. ,
(R) .
JJ
II
. ... 179
16 ( ).
IR

ey , y > ,
ey , < y,
=
f (y) =
0,
y 6
0,
> y.
(, +),
, C = IR (- ) , > 0 P (X1 C) = 1.
, (R) : y C,
p
f (y) , , 15.
f (y)
6
y IR 6 f (y) ( ,
) .
y , f (y)
, .
. 6: 16
10.
ln f (y).
. 65
f (y) -
4.3.
X1 , . . . , Xn n F , , F (R).
, ,
(RR)
JJ
II
. ... 179
I() = E
2
ln f (X1 )
, .
.
F (R) (RR).
K0 , D
,
D = E ( )2 >
. 66
1
.
nI()
. , E
> 0 D X1 > 0,
.
.
b() :
JJ
II
.
F (R) (RR).
Kb() , D
,
E ( )2 >
(1 + b 0 ())2
+ b2 (),
nI()
. .
D >
(1 + b 0 ())2
.
nI()
. ... 179
. 67
1. (R) (RR) T = T (X),

,
E T = E
T
L(X, ) .
. , f(X, ), L(X, ) ( 6), ,

X1 .
1.
:
() ,
.
Z
E T (X1 , . . . , Xn ) =
T (y1 , . . . , yn ) f(y1 , . . . , yn , ) dy1 . . . dyn .
IRn
JJ
II
. ... 179
, (), ,

(, ).
,
(. ).
E T (X)
Z
T (y) f(y, ) dy
IR
Z
=
IRn
Z
IR
Z
T (y)
T (y) f(y, ) dy
f(y, )
f(y, )
f(y, ) dy
IRn
T (y)
IR
. 68
T (y)
f(y, ) dy
L(y, ) f(y, ) dy
y (y1 , . . . , yn ).
T (X)
L(X, ) .
.
K0 . Kb .
1. T (X)
, .
1. T (X) 1.
1 = E
L(X, ).
X
Q
, f(X, ) =
f (Xi ), L(X, ) =
ln f (Xi ),
0=
JJ
II
. ... 179
0 = E
E =
= 1 = E
L(X, ).
:
cov(, ) = E E E 6
D D .
(10) (11),
. 69
(10)
2. T (X) = K0 , . . E = .
L(X, ) = E
ln f (Xi ) = n E
ln f (X1 ).
cov ,
L(X, ) = E

L(X, ) E E
L(X, ) =
(11)
= E

L(X, ) = 1 6
D D
L(X, ).
(12)
L(X, ):
n
X
D
L(X, ) = D
ln f (Xi ) = nD
ln f (X1 ) = nE (
ln f (X1 ))2 = nI().
i=1
JJ
II
. ... 179
(12),
1 6 D nI() D >
1
,
nI()
.
,
, () 1.
17 ( ). U0,
> 0. n = 1 - : , T (X1 ) = 1
E T (X1 ) =
Z
0
. 70
dy =
1 = 0;
1
1
dy = 6= 0.

, : ,
1/n2 , 1/n .
. ,
, , X(n) n+1
X(n) K0 .
n
4.4.
.
JJ
II
1.
F (R) (RR), Kb() ,
:
. ... 179
. 71
E ( )2 =
(1 + b 0 ())2
(1 + b 0 ())2
+ b2 () D =
,
nI()
nI()
Kb() .
, ,
R- . 1 :
R-, .
18. X1 , . . . , Xn Bp
p = X ,
(. [3], 13.20, . 67).
19. X1 , . . . , Xn n Na,2 , a IR, > 0. , a = X K0

(. [3], 13.6, . 64).
a (,
a).
!
(X1 a)2
exp
f(a,2 ) (X1 ) =
,
22
22
(X1 a)2
,
ln f(a,2 ) (X1 ) = ln(22 )1/2
22
(X1 a)
ln f(a,2 ) (X1 ) =
,
a
2
2

E(a,2 ) (X1 a)2
D(a,2 ) X1
1
ln f(a,2 ) (X1 ) =
=
= 2.
I(a) = E(a,2 )
4
4
a
JJ
II
. ... 179
, I(a) = 1/2 . X.
D(a,2 ) X
1
D 2 X1
n (a, )
2
.
n
, ,
:
2
1
D(a,2 ) X =
=
.
n
nI(a)
. 72
a = X ( ).
20. X1 , . . . , Xn n n
1 P
N0,2 , > 0. , 2 =
X2 = X2 K0
n i=1 i
.
.
.
2 .
JJ
II
. ... 179
X2
f2 (X1 ) =
exp 12 ,
2
22
X2
1
ln f2 (X1 ) = ln(2)1/2 ln 2 12 ,
2
2
1
X21
ln f2 (X1 ) = 2 + 4 ,
2
2
2
1
I( ) = E2
!2
X21
1
=
ln
f
(X
)
=
E
2
2
2
1
2
4
2
2
1
1
= 8 E2 (X21 2 )2 = 8 D2 X21 .
4
4
D2 X21 = E2 X41 (E2 X21 )2 = E2 X41 4 . ,

: = X1 /
,
E 2k = (2k 1)!! = (2k 1)(2k 3) . . . 3 1,
. 73
X1 =
EX41 = E 4 4 = 34 .
, , :
E2 X41
= 24
JJ
II
. ... 179
t2
2
1
t4 e
2
y2
22
1
y
e
dy = 24
2
y 4
y
22
1
e
=
d
1
dt = 24
2
t2
t3 de 2
1
= 24
2

t2
t3 e 2
1
= 2 3
2
t2
2
e
Z
4
dt = 3
1
t2 e
2
t
2
, D2 X21 = E2 X41 4 = 24 ,
1
1
1
D2 X21 = 8 24 = 4 .
8
4
4
2
2 = X2 .
X
1
1
24
= 2 D2
X2i = D2 X21 =
.
n
n
n
n
. 74
D2 X2
e
0
dt = 34 D = 34 1,
I(2 ) =
t2
2
dt3 =
, :
24
1
D2 X2 =
=
.
n
nI(2 )
, 2 = X2 .
JJ
II
. X1 , . . . , Xn n Na,2 , a , > 0. ,
n
1 P
2 =
(Xi a)2 = (X a)2 . K0 ?
n i=1
? ?
. ... 179
21. X1 , . . . , Xn n E1/ 1/, > 0. , = X K0

( !) .

. 75
I() = E
2
ln f (X1 )
1 e y , y > 0,
f (y) =
0,
y 6 0.
1 X1
X1
e ,
,
ln f (X1 ) = ln
1 X1
1
ln f (X1 ) = + 2 = 2 (X1 ),

2
E (X1 )2
D X1
2
1
I() = E
ln f (X1 ) =
=
=
= 2.
4
4
4
p
f (X1 ) =
, I() = 1/2 . X.
JJ
II
D X =
J
. ... 179
. 76
1
2
D X1 =
.
n
n
,
:
2
1
D X =
=
.
n
nI()
= X .
.
. ? ?
. , = X1
. , ,
, K0 .
, = X = X1
, . 5.
. , ,
.
, .
JJ
II
. ... 179
22. X1 , . . . , Xn n E , > 0.
n1 1
n1
=
.
= Pn
n
X
i=1 Xi
, .
n
P
-,
Xi
i=1
E = ,1 ,n
n
yn1 ey , y > 0,
,n (y) = (n)
0,
y 6 0.
, (n) = (n 1)!
E = E
n1
P
Xi
= (n 1)
0
. 77
1
n
yn1 ey dy =
y (n 1)!
(n 1)
(y)n2 ey d(y) =
(n 1) = .
(n 1)!
(n 2)!
0
, K0 .
:
1
ln f (X1 ) = X1 ,

2
1
I() = E
ln f (X1 ) = E (X1 )2 = D X1 = 2 .
p
f (X1 ) = eX1 ,
ln f (X1 ) = ln X1 ,
, I() = 1/2 . .
JJ
II
(n 1)2
= (n 1)2
E ( ) = E P
2
( Xi )
. ... 179
1
n
yn1 ey dy =
y2 (n 1)!
(n 1)2
(n 1)
n1 2
2 (y)n3 ey d(y) =
2 (n 2) =
.
(n 1)!
(n 2)!
n2
0
2
n1 2
2 =
.
n2
n2
, ,
n :
D = E ( )2 (E )2 =
D
. 78
2
n2
>
2
1
=
.
n
nI()
, , .
4.5.
JJ
II
. ... 179
: , ( n
P
) , =
ai X i .
i=1

X(
X )
a2i
ai .
, , , BLUE (best linear unbiased estimate).
, , U0, 0 = 2X BLUE,
! 11 !
n
n
P
P
=
ai Xi ,
ai = 2. ?
i=1
i=1
(. 11), 0 = 2X,
BLUE,
^ = n+1
n X(n) ( ,
).
4.6.
. 79
1. :
) Bp , ) , ) Na,1 , ) Bm,p (), 0 < p < 1, m.
2. , 4.
5.
JJ
II
, , X = (X1 , . . . , Xn ) F
IR. (), ,
, .
, ,
.
. : ,
, . ,
1, .
. ... 179
13. 0<<1.
( , + ) = ( (X, ), + (X, ))
1 ,

P < < + > 1 .
14. 0<<1.
( , + ) = ( (X, ), + (X, ))
() 1 ,
. 80
lim inf P < < + > 1 .

14 , , ,
, n.
JJ
II
. ... 179
. 81
11. ( , + ), P ( < < + ) ( , + ) ,

....
12. > 1 ,
: , B1/2 x
P ( < x) = 0,25 , :
P ( < x) > 0,25
x > 0.
1
( 1 ), ( )
1 .
-
( ), , .
.
.
23. X1 , . . . , Xn n Na,2 , a IR , > 0 .

a 1 .
, : !
JJ
II
6.
1 Na1 ,2 , 2 1
Na2 ,2 , .
2
= b1 + c2 + d
E = b a1 + c a2 + d,
D = b2 21 + c2 22 .
. ... 179
n
X
Xi Nna,n2 ,
n
X
Xi na
1
Pn
Xi na
1
n
. 82
N0,n2 ,
Xa
N0,1 .
Xa
n
.
(0, 1) c > 0 , P (c < < c) = 1 .

, =
c 1 /2 :
P (c < < c) = 0,1 (c) 0,1 (c) =
= 0,1 (c) (1 0,1 (c)) = 20,1 (c) 1 = 1 ,
0,1 (c) = 1 2 .
:
JJ
II
. ... 179
15. F F . F,
F( ) = . F , .
, c = 1/2 , c = /2 ( ).
1
/2
/2
. 83
y
c
c
. 7: .
c < < c a,
1 = Pa (c < < c) = Pa
Xa
c < n
<c
c
c
. (13)
= Pa X < a < X +
n
n

JJ
II
c = 1/2 :

Pa X
1/2
1/2
<a<X+
n
n
= 1 .
. ... 179
, 1
. 84
1/2
1/2
X
, X+
.
n
n

, .
1.
?
P (/3 < < 12/3 ) = 1 ? .
? ?
2. ?
3. 23 ? ?
n ?
24. X1 , . . . , Xn n E , > 0. ( )
1 .
:
n
P
JJ
II
. , n

. ... 179
Xi n E X1

X 1/
= n
= n X 1 ,
1/
n D X1
P c <

n X 1 < c P (c < < c) = 1
c = 1/2 .
P 1/2 <

n X 1 < 1/2 =
= P
1/2
1/2
1
1
<< +

nX
nX
X
X
, 1
1/2 1
1/2
1

,
+
X
nX X
nX
. 85
n .
:
1. G(X, ), G .
, G(X, ) X.
2. g1 g2 G ,
1 = P (g1 < G(X, ) < g2 ).
JJ
II
3. g1 < G(X, ) < g2 ( ), .
. ... 179
:
1. G(X, ), G, . , G(X, )
X.
2. g1 g2 G ,
P (g1 < G(X, ) < g2 ) P (g1 < < g2 ) = 1 .
. 86
3. g1 < G(X, ) < g2 , .
13. g1 g2 /2 1 /2
G. , , ,
.
JJ
II
25. , ,
> 0 [, 2] .
Xi
, Xi U,2 , Yi =
1
U0,1 .
Y(n) = max{Y1 , . . . , Yn } =
. ... 179
X(n)
max {X1 , . . . , Xn }
1=
1 = G(X, )
, n
[0, 1] ,
y<0
0,
FY(n) (y) = P ( < y) =
yn , y [0, 1]
1,
y > 1.
g1 g2
. 87
X(n)
1 < g2 =

X(n)
X(n)
= P
<<
. (14)
g2 + 1
g1 + 1

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

g1 g2 .
Y(n) [0, 1] nyn1 . g1 g2
g2 = 1, g1 , 1 = P (g1 < Y(n) < 1).
P (g1 < Y(n) < 1) = FY(n) (1) FY(n) (g1 ) = 1 gn
1 = 1 , . . g1 =
JJ
II
. ... 179
. 88
(14):
1 = P

n
< Y(n) < 1 = P
X(n)
X(n)
.
<<
2
1+ n

. , 23,
a, c < < c (13) ? , , Xa > 0.
? ?
Xa
, G n

a, a.
. ( 24) , G
.
26. X1 , . . . , Xn n , > 0.
1 .
n
P
1
JJ
II
Xi nE X1
X
= n ,
nD X1
. , n
!
. ... 179
X
c < n < c
P (c < < c) = 1 c = 1/2 .
. 89

- . ,
X?
p
, n 1 n , n n .
= X ,
p
1.
X
s
X X
.
n = n
X

P 1/2
JJ
II
. ... 179
X
< n
< 1/2
X
P (1/2 < < 1/2 ) = 1 .
1/2 X
1/2 X
1 n .
<<X+
P X
n
n
, 1

1/2 X
1/2 X
X
.
, X+
n
n
( ):
2 (),
G(X, ) =

n
,
()
. 90
14. () , , 26,
( ). , () . :
?
6. ,
( ) a 2 .
a
Xa
n
,
a .
G(X, a) =
JJ
II
. ... 179
:
2) a,
3) a ,
4) a.
, , . (3)
, (4) a.
, , (
).
. 91
, ,
.
6.1. -
JJ
II
- . !
,
E = ,1 .
7. 1 , . . . , n , i - ,i ,
i = 1, . . . , n.
n
X
Sn =
i ,Pn1 i .
i=1
. ... 179
( 7).
.
- ,
it
(t) = E e
it
= 1
:
Sn (t) =
. 92
n
Y
i (t) =
i=1
.. ,Pn1 i .
n
Y
i=1
it
1
i
it
= 1
Pn i
1
8. , 2
- 1/2,1/2 .
JJ
II
. 2 , . y 6 0
F2 (y) = P (2 < y) = 0, f2 (y) = 0.
. ... 179
y > 0
F2 (y) = P (2 < y) = P ( y < < y) = F ( y) F ( y).
= F0 ( y) ( y) 0 F0 ( y) ( y) 0 =
f ( y)

1
1
= f ( y) + f ( y) =
=
ey/2 .
2 y
y
2y
0
f2 (y) = F2 (y)
f2 (y), 0 y 6 0,
f2 (y) =
. 93
1
(1/2)1/2 1/21 y/2
y
e
ey/2 =
(1/2)
2y
y > 0, - 1/2,1/2 .
6.2. -
7 8 :
2. 1 , . . . , k
,
2k = 21 + . . . + 2k
JJ
II
- 1/2,k/2 .
. ... 179
16. k - k Hk . 2, Hk 1/2,k/2 .
Hk = 1/2,k/2 k 1, 2, 4 8.
. 94
. , k > 2 Hk
k 2.
H1
2 -
H2 = E1/2
0,5
H4
JJ
II
I
0
H8
. ... 179
2k Hk .
2 -:
1.
. 2k Hk , 2m Hm ,
. 2k + 2m Hk+m .
. 1 , 2 , . . .
.
2k 21 + . . . + 2k ,
. 95
2m 2k+1 + . . . + 2k+m ,
21 + . . . + 2k+m , . . Hk+m .
2.
2 . 2k Hk ,
E 2k = k
II
D 2k = 2k.
. 1 , 2 , . . .
.
E 21 = 1,
JJ
D 21 = E 41 (D 21 )2 = 3 1 = 2
(. 20).
E 2k = E (21 + . . . + 2k ) = k,
D 2k = D (21 + . . . + 2k ) = 2k.
. ... 179
3. 1 , . . . , k Na,2 ,

k
X
i a 2
2
k =
i=1
2 -
Hk k .
. 3.
. 96
. , ,
2 - ?
6.3.
17. 0 , 1 , . . . , k
.
tk = r
JJ
II
0
=s
1 2
2k
( + . . . + 2k )
k 1
k
0

k Tk .
. ... 179
N0,1
Tk

k !
((k + 1)/2)
fk (y) =
k (k/2)
. 97
y2
1+
k
!(k+1)/2
(15)
, -
, [1, .6-7 2 2].
:
1.
. .
2.
JJ
II
. tk
Tk k , tk .
. Tk
k .
. 0 , 1 , . . . , k
. E 21 = 1,
2 + . . . + 2k p
2k
= 1
1 k .
k
k
. ... 179
tk = r
0 ,
1 2
( + . . . + 2k )
k 1
tk
0 , .
Tk N0,1 .
3.
. 98
.
. ,
?
. k = 1 (15), (1/2) =
(1) = 1, :
f1 (y) =
1
1
.
1 + y2
4.
JJ
II
m < k,
m > k. .
. (15) m
. ... 179
. 99
1
(k +
y2 )(k+1)/2
dy.
|y|m
C(k)
, 2 , ,
- ,
.
,
,
. , .
[1, .6 2 .2] , , .
- ?
6.4.
18. 2k Hk , 2m Hm ,
.
fk,m =
JJ
II
2
2k /
k = m k
k 2m
2m /
m
k, m Fk,m .
( ):
. ... 179
1.
hk,m Fk,m , 1/hk,m

Fm,k .
2.
Fk,m 1 I1 k m .
. 100
. , hk,m ,

21 + . . . + 2k
21 + . . . + 2m
,
k
m
1 k , m . 1 , 2 , . . .
1 , 2 , . . . ,
.
6.5.
X = (X1 , . . . , Xn ) N0,1 (
). C (n n), ..
1
T
CC = E =
0
JJ
II
..
.
1
P
Y = C X Yi = n
j=1 Cij Xj .
Y? ? , ,
.
. ... 179
, c :

1
fc (y) = |c| f c1 y .
, , . ,
,
.
. 101
.
X fX (y1 , . . . , yn ) = fX (y),
C . Y = C X

1
fY (y) = fCX (y) = |det C| fX C1 y .
(16)
JJ
II
. ... 179
9. X , C , Y = C X.
Y .
. X.
(
, ):
1 Pn
n
Y
2
1
fXi (yi ) =
fX (y1 , . . . , yn ) =
e
(2)n/2
i=1
y2
i
2 kyk
1
=
.
e
(2)n/2
y kyk2
kyk =
n
X
y2i = yT y.
i=1
(16), Y = C X. C
, C1 = CT det C = 1.
. 102
fY (y) = fX
2 kC
1
C y =
e
(2)n/2
T
T yk2
. ,
2
kCT yk = (CT y)T (CT y) = (yT C) (CT y) = yT E y = kyk2 .

JJ
II
. ... 179
y2
i
, Y , X, . .
.
. .
,
1 Pn
2
1
e
(2)n/2
y2
i
n
Y
1
e
=
2
i=1
y2
i
2
. . 12 () 12 (+)?
?
. 103
1 Pn
2 kyk
2
1
1
fY (y) =
e
e
=
f
(y)
=
X
(2)n/2
(2)n/2
(17)
C=
1
2
1
2
2
1
2
. X , C , Y = C X.
k = 1, . . . , n1
T (X) =
n
X
X2i Y12 . . . Yk2 Y1 , . . . , Yk
i=1
JJ
II
2 - Hnk n k .
. ... 179
. (17), X Y = C X :
n
X

X2i = kXk2 = kC Xk2 =
i=1
n
X
Yi2 .
i=1
T (X) =
n
X
i=1
. 104
X2i
Y12
...
Yk2
n
X
2
Yi2 Y12 . . . Yk2 = Yk+1
+ . . . + Yn2 .
i=1
Y1 , . . . , Yn 9
2
, T (X) = Yk+1
+ . . . + Yn2 Hnk
Y1 , . . . , Yk .
, :
1X
X=
Xi ,
n
n
i=1
JJ
II
. ... 179
2
1 X
=
Xi X .
n1
n
S20
i=1
. X1 , . . . , Xk Na,2 ,
Xa
n
;

2
n
2
X
X
X
i
(n 1) S0
=
2 - n 1 ;
2)
2
2
1)
i=1
3) X S20 .
. 105
: 16 Hn1 , (n 1)S20 /2
n1, n , -
X. ,
N0,1 . ? !
, , , + , , S20
X, X S20 .
, X S20 ,
.
.
. [2, . 2, . III, 4].
JJ
II
. ... 179
.
1. . , !
2. ,
Na,2 :
(n 1)S20 X Xi X
=
2
!2
i=1
n
X
Xi a X a
=
!2
i=1
n
X
(zi z)2 ,
i=1
Xi a
Xa
.
, z =
. . , Xi , 2 a = 0, 2 = 1.
zi =
.
. 106
T (X) = (n
1)S20
n
X
i=1
2
Xi X
n
X
i=1
X2i
n(X) =
n
X
i=1
X2i Y12 .
Y1
Y1 =
JJ
II
. ... 179
. 107
X1
Xn
n X = + ... + .
n
n
, C ,
Y1 Y = CX. C
1
1
, . . . , . () ,
n
n
IRn (
). Y1 = n X
Y = C X.
. !
3. , T (X) = (n1)S20 =
Y1 = n X, X S20 .
Pn
2
2
i=1 Xi Y1
,
. ,
.
.
Xa
1) n
( a );
2)
n
P
i=1
JJ
II
3)
i=1
4)
. ... 179
n
P
Xi a
Xi X
2
Hn ( 2 a );
!2
(n 1)S20
Hn1 ( 2 a );
2
Xa Xa
Tn1 ( a ).
nq
= n
S0
S20
.
1) 3) , 2) 3.
17 , 4).
Xa Xa
nq
= n
S20
| {z }
N0,1
. 108
1
v
u
u (n 1)S20
t
- . %
{z
1
}n1
=s
0
2n1
n1
Hn1
17, Tn1 .
6.6.
1. a 2 . 23:

1/2
1/2
= 1 , 0,1 (1/2 ) = 1 /2.
Pa,2 X
<a<X+
n
n
2. 2 a. . 2 ,
nS21
1X
Hn , S21 =
(Xi a)2 .
2
n
n
JJ
II
i=1
2n,/2
g1 =
1 /2.
g2 =
2n,1/2
Hn /2
. ... 179
1 = Pa,2
nS2
g1 < 21 < g2
= Pa,2
nS21
nS21
< 2 <
g2
g1
3. 2 a. . 3 ,
1 X
(n1)S20
Hn1 , S20 =
(Xi X)2 .
2
n1
n
i=1
g1 = 2n1,/2 g2 = 2n1,1/2 Hn1 /2

1 /2.
. 109
1 = Pa,2
(n1)S20
g1 <
< g2
2
= Pa,2
. 17 . 3 . 2.
(n1)S20
(n 1)S20
< 2 <
g2
g1
4. a . . 4 ,
n
Xa
1 X
2
n
Tn1 , S0 =
(Xi X)2 .
S0
n1
i=1
a1 = tn1,/2 a2 = tn1,1/2 Tn1 /2

1 /2. , a1 = a2 .
!
1 = Pa,2
JJ
II
. ... 179
. 110
Xa
< tn1,1/2 =
tn1,1/2 < n
S0

tn1,1/2 S0
tn1,1/2 S0
<a<X+
.
= Pa,2 X
n
n
. . 4 . 1.
15. , . 2 3,
. 1 4: n , .
n ,
n Tn N0,1 , Hn n .
, g = g(n) , P (2n < g) = n,
gn
n . g(n) ,
n ,
2n
. : n
!
2

n
X
n n
gn
2
2
P (n < g) = P
i < g = P
<
0,1 ( ) = .
2n
2n
i=1
Hn g = g(n) = n+ 2n+o( n).

. . 2 3
, n.
6.7.
1. 1 2 N(0, 16). k,
1 32 k1 + 2 . 9.
JJ
II
2. , 2n Hn :
q
q
22n 2n N0,1 ,
, n Hn

q
q

2
2
2n 2n < 2x 2n 0,1
2x 2n .
Hn (x) = P n < x = P
. ... 179
. 111
.

.
3. /2 1/2 Hn Tn1 .
4. , (n1)S20 /2 2 ,
.
7.
JJ
II
. ... 179
, . ,
,
.
X = (X1 , . . . , Xn ) F.
, , .
(., , :
)
.
.
. 112
19. ( H )
:

^} .
H = F = F1
H = F {F
H
, ,

. . H = F = F1 . H .
^ }.
, F { F
, ,
.
27 ( ).
JJ
II
. ... 179

1. : H1 = F = F1 , . . . , Hk = F = Fk ( ).

2.
:
H1 = F = F1 , H2 = F 6= F1 .

, H1 = F = U0,1 , H2 = F 6= U0,1 .

:
Bp , 0 < p 6 1/2.

H1 = p = 1/2 . H2 = p < 1/2 . p > 1/2
.

^ } , H2 = F 6 { F
^
3. : H1 = F { F

} .
, H1 = F { Na,2 , a IR, > 0 } , H2 = H1 .
4. . :
(X11 , . . . , X1n1 )
F1 ,
(Xk1 , . . . , Xknk ) Fk .

. . . ,

H
=
F
=
=
F
() 1
k

1
H2 = H1 .
5. .
(, ).
(X
1 , Y1 ), . . . , (Xn , Yn ) n (, )
H1 = ()

H2 = H1 .
6. . n (1 , . . . , n ).
X1 , . . . , Xn ,

, H1 = 1 , . . . , n

() H2 = H1 .
. 113
, , .
20. H1 , . . . , Hk , ( ) = (X1 , . . . , Xn )
: IRn {H1 , . . . , Hk }.
, ( ) , .
JJ
II
. ... 179
21. : IRn {H1 , . . . , Hk } ,

i- , Hi ,
. i-
i () = PHi ((X) 6= Hi ).
16. Hi PHi (), , , Hi ,

. Hi , . .
, i () . Hi , i () ,
Fi , Hi , :
i () = i (, Fi ) = PFi ((X) 6= Hi )
. 114
JJ
II
28 ( ).
p.
: ,
( ) .

:
H
=
1

H2 = , ,
,
:
= PH1 ( = H2 ) = P ( );
= PH2 ( = H1 ) = P ( );
. ... 179
.

,
:
H
=
H2 =
1

.
, :
1. , .
, ,
.
. 115
2. , ,
, .
3. , ,
.
, Hi , i
Hi .
7.1.
,
:

H1 = F = F1 , H 2 = F = F2 .
JJ
II
. ... 179
(X) : IRn
. IRn

H1 ,
(X) =
H2 ,
{H1 , H2 },
IRn = S (IRn \S) ,
X IRn \S,
X S.
S, () , .
22. 1 = 1 ()
:
1 = 1 () = PH1 ((X) 6= H1 ) = PH1 ((X) = H2 ) = PH1 (X S).
1 2 , 2 = 2 ()
.
. 116
1 2 () = 1 PH2 ((X) 6= H2 ) = PH2 ((X) = H2 ) = PH2 (X S).
,
( H1 H2 ),
(, 1 = 1 2 ,
) .
, , , .
JJ
II
. ... 179
. 117
29. H1 , H2 (X) H1 , S .
1 = PH1 ( H2 ) = 0, 2 = PH2 ( H1 ) = 1.
: H1 , H2 (X) H2 , S = IRn .
1 = PH1 ( H2 ) = 1, 2 = PH2 ( H1 ) = 0.
29 30 :
, , . , 1 = PH1 (X S) , S,
1 2 = PH2 (X S).
30. 1 Na,1
: H1 = {a = 0} H2 = {a = 1}.
( c):

H1 , X1 6 c,
(X1 ) =
H2 , X1 > c.

:
1 = PH1 ((X1 ) = H2 ) = PH1 (X1 > c),
2 = PH2 ((X1 ) = H1 ) = PH2 (X1 6 c).
N0,1
N1,1
2
JJ
II
. ... 179
0
c
1
. 8: .
, c 1 , 2 .
, , .

i (1 ) 6 i (2 )
i = 1, 2,
, .
7.2.
. 118
, , . 1 (), 2 ()
1 (), 2 ().
.
1. .
, ,
max{1 (), 2 ()} 6 max{1 (), 2 ()}.
23. ,
.
JJ
II
. ... 179
,
max{1 (), 2 ()} .
.
c = 1/2.
, 30 ,
2. .
. 119
:
) , r H1 , s = 1 r H2 ,
) : r, , s, . r + s
1, r 0 = r/(r + s)
s 0 = s/(r + s).
r s . ,
,
r1 () + s2 () 6 r1 () + s2 ().
24. ,
.
JJ
II
. ... 179
,
r1 () + s2 () . ()
().
. , 30
r = s, c = 1/2.
3. .
. 120
.
(, ). ,
() , . , , ,
.
[0, 1] K = {(X) : 1 () 6 }.
25. 0 K ()
,
2 (0 ) 6 2 ()
K .
JJ
II
. ... 179
7.3.
, , , (, ,
)
.
X = (X1 , . . . , Xn ) ( , ), Xi :
H1 = {Xi F1 }
H2 = {Xi F2 }
f1 (y) F1 , f2 (y) F2 ,
f1 (X) = f1 (X1 , . . . , Xn ) =
n
Y
f1 (Xi )
i=1
. 121
f2 (X) = f2 (X1 , . . . , Xn ) =
n
Y
i=1
f2 (Xi )
, F1 F2 , .
JJ
II
. ... 179
17. , ,
.
. ,
-
f1 (y) f2 (y).
.
, .
30. ,
X1 c = 1/2. , , , , .
f2 (x1 , . . . , xn )/f1 (x1 , . . . , xn ) ,
IRn , . ,
, , .
. 122
c 1 = ,
, , , : ,
c , , : f2 (x1 , . . . , xn )/f1 (x1 , . . . , xn ) ,
c.

T (x) = T (x1 , . . . , xn ) =
JJ
II
. ... 179
f2 (x1 , . . . , xn )
,
f1 (x1 , . . . , xn )
(18)
x, . , 0/a = 0, a/0 = +.
, , ,
T (X) , . .
c, c = PH1 (f2 (X)/f1 (X) = c) . ,
:
.
, ()
c :
PH1 (T (X) > c) = PH1 (T (X) > c) + PH1 (T (X) = c) = PH1 (T (X) > c) + c .
. 123

, , S = {T (x) > c}
, , S = {T (x) > c}
, .
, [1],
, . , , T (X)
, . . c = 0
c.
7.3.1.
JJ
II
. ... 179
26. (X), [0, 1]

, . ( )
. . ., (X) = 3/4, 3/4, H2 , H1 .
(X) = 1 ( 1, . . ), (X) = 0 , .
, T (X) , (18).
27.
0,
c,p (X) = p,
1,
, :
T (X) < c,
H1 , T (X) < c,
T (X) = c, = p H2 , T (X) = c,
T (X) > c,
H2 , T (X) > c,
().
.
. 124
1 (c,p ) = PH1 ( H2 ) = 1 PH1 (T (X) > c) + p PH1 (T (X) = c) = EH1 c,p (X).

1 2 (c,p ) = PH2 ( H2 ) = 1 PH2 (T (X) > c) + p PH2 (T (X) = c) = EH2 c,p (X).
:
JJ
II
. ... 179
2 (c,p ) = PH2 ( H1 ) = PH2 (T (X) < c) + (1 p) PH2 (T (X) = c) = 1 EH2 c,p (X).
. c p,

1) ; c p ,
: 1 (c,p ) = 2 (c,p );
2) r s; p
, c r/s;
3) 0 < < 1 ; c p
, :
1 (c,p ) = PH1 (T (X) > c) + p PH1 (T (X) = c) = .
. 125
c c > 0. c = 0 ( , T (x) > 0) 6 PH1 (f2 (X) > 0) . (X) = I(f2 (X) > 0)
PH1 (f2 (X) > 0).
, .
H2 , f2 (x) = 0.
7.3.2.
,
R(c) = PH1 (T (X) > c) c c > 0.
(19)
R(c) T (X):
R(c) = 1 PH1 (T (X) < c).
JJ
II
, c = PH1 (T (X) = c)
c > 0.
. ,
. ... 179
28. (19)
f2 (X1 , . . . , Xn )
H1 , T (X) < c, H1 , f1 (X1 , . . . , Xn ) < c,

c (X) =
=
f2 (X1 , . . . , Xn )
H2 , T (X) > c,
> c,
H2 ,
f1 (X1 , . . . , Xn )
().

. 126
1 (c ) = PH1 (T (X) > c) = R(c);
2 (c ) = PH2 (T (X) < c).
. (19). c,

1) ; c ,
: 1 (c ) = 2 (c );
2) r s; c r/s;
JJ
II
3) 0 < 6 PH1 (f2 (X) > 0) ;

c , : 1 (c ) = .
. ... 179
. : c,
, . .
1. , 0 < 6 PH1 (f2 (X) > 0) c ,
R(c) = 1 (c ) = .
R(c) = PH1 (T (X) > c) c. R(c) c

, {T (X) = } = {f1 (X) = 0}
PH1 (f1 (X) = 0) = 0. ,
R(+0) = PH1 (T (X) > 0) = PH1 (f2 (X) > 0) > .
. 127
, R(c) R(+0) 0, 0 < 6 R(+0)

c , R(c) = 1 (c ) = .
2. c, 1 (c ) = 2 (c ).
2 (c ) = PH2 (T (X) < c), R(c), c.

c 0 2 (c ) PH2 (T (X) = 0) = PH2 (f2 (X) = 0) = 0.
, R(c), c > 0 c - (19):
Z
Z
PH2 (T (X) = c) =
f2 (y) dy = c
f1 (y) dy = cPH1 (T (X) = c) = 0.
{f2 (y)=cf1 (y)}
JJ
II
{f2 (y)=cf1 (y)}
R(c) = 1 (c ) 2 (c ) .
3. .
. ... 179
2.
(y) = min { f2 (y), c f1 (y) }.

Z
2 (c ) + c1 (c ) =
(y) dy.
IRn
.
Z
2 (c )+c1 (c ) = PH2 (T (X) < c)+cPH1 (T (X) > c) =
Z
f2 (y) dy+c
{T (y)<c}
. 128
f1 (y) dy.
{T (y)>c}
{T (y) < c} = {f2 (y) < cf1 (y)} f2 (y)

(y). {T (y) > c} = {f2 (y) > cf1 (y)}
cf1 (y) (y). ,

Z
Z
Z
2 (c ) + c1 (c ) =
(y) dy +
(y) dy =
(y) dy.
{T (y)<c}
{T (y)>c}
IRn
. 2 :
JJ
II
4.
c > 0,
c
. ... 179
2 () + c1 () > 2 (c ) + c1 (c ).
(20)
. ,
Z
Z
2 () + c1 () =
f2 (y) dy + c
f1 (y) dy >
{(y)=H1}
Z
>
. 129
(y) dy +
{(y)=H1}
{(y)=H2}
(y) dy =
{(y)=H2}
(y) dy = 2 (c ) + c1 (c ).
IRn
4. (20), .
I. c , 1 (c ) = 2 (c ) = max{1 (c ), 2 (c )}.
(20) (1 + c) max{1 (c ), 2 (c )},
(1 + c) max{1 (c ), 2 (c )} 6 2 () + c1 () 6 (1 + c) max{1 (), 2 ()}.

, max{1 (c ), 2 (c )} 6 max{1 (), 2 ()}, . . c .
JJ
II
. ... 179
II. c = r/s s 6= 0. (20)

:
r
r
2 () + 1 () 6 2 (c ) + 1 (c ), s2 () + r1 () 6 s2 (c ) + r1 (c ).
s
s
s = 0, c = .
.
III. c , 1 (c ) = . K
1 () 6 . (20) ,
2 (c ) + c = 2 (c ) + c1 (c ) 6 2 () + c1 () 6 2 () + c.
, 2 (c ) 6 2 (), . . c K .
. 130
31. X1 , . . . , Xn a . , r = 1/3,
s = 2/3 H1 = {a = a1 }
H2 = {a = a2 }, a1 < a2 .
JJ
II
, 28 ,
(X) = H2 .
n

n
1X
1X
f2 (X)
2
2
= exp
(Xi a1 )
(Xi a2 )
> c.
(21)
T (X) =
f1 (X)
2
2
i=1
i=1
c = r/s = 1/2. (21).
. ... 179
(X) = H2
. 131
X>
1
2
2 (a2
a21 )
a2 a1
1
n
ln 2
, a1 = 0 a2 = 1 X >
1
2
1
n
ln 2.
, (21)
X > c1 , c1 , c.

1 () = PH1 X > c1 = PH1 n (Xa1 ) > n (c1 a1 ) = 1

n (c1 a
0,1
1) ,
2 () = PH2 X < c1 = PH2 n (Xa2 ) < n (c1 a2 ) = 0,1 n (c1 a2 ) .
1 ()= . n(c1 a1 ) = 1 , 1
1 . c1 = a1 + 1 / n

1
(X) = H2 X > a1 + .
n
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.
(X) = H2
JJ
II
. ... 179
X>
a1 + a2
.
2
32. X1 , . . . , Xn 0 2 , > 0.
H1 = { = 1 } H2 = { = 2 }, 1 < 2 .

, 28 .
(X) = H2

X
n
1
n
1
1
X2i > c,
T (X) = 1n exp
2
2 21 22
i=1
X2 > c1 . c1 , :
!

2
nX
nc
nc1
1
2
1 () = PH1 X > c1 = PH1
> 2
= 1 Hn
= .
21
1
21
nc1 /21 = h1 , h1 2 - n
1 . c1 = h1 21 /n
. 132
(X) = H2
X2 >
h1 21
.
n
8.
JJ
II
. ... 179
,
H1 = {F = F1 } H2 = {H1 }. , ,
,
. ,
, , .
.
, X = (X1 , . . . , Xn ) F. ,
.
H1 = {F = F1 } H2 = {F 6= F1 }.
K1. (X), :
) H1 , (X) G, G ;
p
. 133
) H1 , |(X)| n .
K2. (X) . G
C = P (|| > C). :

H1 , |(X)| < C,
(X) =
(22)
H2 , |(X)| > C.
. :
( ), , . ,
() .
29. , H1
, n:
JJ
II
1 () = PH1 ((X) 6= H1 )
n .
. ... 179
. 134
H2 , , 16,
2 (, F2 )
F2 {F2 : F2 6= F1 }.
30. H1 H2 , F2 ,
H2 ,
:
2 (, F2 ) = PF2 ((X) = H1 ) 0 n .
10. , (22), n :
1. 1 () = PH1 (|(X)| > C) P (|| > C) = ;
2. 2 (, F2 ) = PF2 (|(X)| < C) 0 F2 , H2 .

, .
JJ
II
. 10.
p
. , n , C > 0
. ... 179
P (n < C) 0 n .
. (X) G K1() (X) G, (22) .
8.1.
X = (X1 , . . . , Xn ) F. H1 = {F = F1 } H2 = {F 6= F1 }. ,
F1 F1 , .
. 135
(X) =
n sup|Fn (y) F1 (y)|.

y
, (X) K1(a,).
) H1 , Xi F1 . (X) ,
.
JJ
II
) 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
n, n , (X) =
n supy |Fn (y) F1 (y)| .
. ... 179
K(y)
0.5
K(y) =
2 y2
(1)j e2j
y > 0.
j=
0.5
. 9: K(y)
. 136
, C , = P ( > C).
(X) =

H1 , (X) < C,
H2 , (X) > C.
8.2.
JJ
II
: 2
2 (K.Pearson, 1903) .
F1 . .
X = (X1 , . . . , Xn ) F.
H1 = {F = F1 } H2 = {F 6= F1 }.
, 1.6, A1 , . . . , Ak
F1 . j = 1, . . . , k
j , Aj
j = { Xi Aj } =
. ... 179
pj > 0 PH1 (X1 Aj ) Aj

F1 . , p1 + . . . + pk = 1.
, , p1 = . . . = pk = 1/k.
(X) =
k
X
(j npj )2
j=1
. 137
I(Xi Aj ),
i=1
n
X
npj
(23)
18. K1() .
F2 6= F1 , F1 , pj
Aj ,
.
JJ
II
, (23),
. , p1 , . . . , pk
, p1 + . . . + pk = 1. 2

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

H20 = P (X1 Aj ) pj .
, (X) K1(a).
. ... 179
. H10 , k n
(X) =
k
X
(j npj )2
j=1
Hk1 ,
, , Hk1 2 - k1o .
. 138
npj
. k . ,
, , -
. ? , , :
k = n 1 . . . k1 .
k = 2.
2 = n 1 , p2 = 1 p1 . :
(X) =
(1 np1 )2 (2 np2 )2
(1 np1 )2 (n 1 n(1 p1 ))2
+
=
+
=
np1
np2
np1
n(1 p1 )
(1 np1 )2
(1 np1 )2 (1 + np1 )2
+
=
=
=
np1
n(1 p1 )
np1 (1 p1 )
JJ
II
. ... 179
1 np1
p
np1 (1 p1 )
!2
1 n Bp1 ,
1 np1
p
,
np1 (1 p1 )
.
(X) =
1 np1
p
np1 (1 p1 )
!2
2 .
2 2 - H1 .
. 139
, , ,
() , . A ,
, (CTRL+P)
.
(X) K1(). ,
. , H10 ,
j {1, . . . , k} ,
JJ
II
. ... 179
(j npj )2
n
=
npj
pj
j
pj
n
2
K2.
2k1 Hk1 . Hk1 C 1 .
= P (2k1 > C) 2 :
(X) =

H10 , (X) < C,
H20 , (X) > C.
19. 2 H1 = {F = F1 }. ,

, F1 .
, , ,
.
. 140
! !
20. (X) Hk1 ,

,

b
|P ((X) > C) P (2k1 > C)| 6 ! max q
np (1 p )
j
JJ
II
. ... 179
(. ), b
. npj ,
(X) Hk1 . P ( > C)
.
n ,
(X) Hk1 .
, np1 = . . . = npk 5-6.
. 141
8.3. 2
2 , . .
.
X = (X1 , . . . , Xn ) F.

H1 = F {F } ,
JJ
II
IRl ( ), l
.
. ... 179
IR k > l A1 Ak , j
, Aj . pj = PH1 (X1 Aj ) = pj ()
.
(23) , :
(X, ) =
k
X
(j npj ())2
j=1
npj ()
(24)
^
^ = (X)
, (X, )
^
X. pj pj (),

. 142
^ =
(X, )
k
X
^ 2
(j npj ())
j=1
^
npj ()
(25)
K1(a) ( pj ()o )
(R. Fisher, 1924), :
8. H1 , dim() = l ()
, k n
^ =
(X, )
JJ
II
k X
k
X
^ 2
(j npj ())
Hk1l ,
^
npj ()
j=1 j=1
Hk1l 2 - k 1 l .
. ... 179
(K1()) , , , F2 , PF2(X1 A1 ), . . . , PF2(X1 Ak )

p1 (), . . . , pk ().
2 .
2k1l Hk1l .
C , = P (2k1l > C).
2 , :

^ < C,
H1 , (X, )
(X) =
^ > C.
H2 , (X, )
. 143
o
2 pj ()/i l ; kpj ()/i k l.
19, 20 .
^ (X, ),
21. ,
, X1 , . . . , Xn .
(X, )
) Hk1l ,
JJ
II
. ... 179
21 + . . . + 2k1l +a1 ()2kl + . . . + al ()2k1 ,

i N0,1 , ai (), , 0 1 (H.Chernoff, E.Lehmann, 1954);
) .
^ (X, ),
22. ,
, 1 , . . . , k
.
k
k
X
X
k
1
n!
pi () = 1
i = n.
p1 ()
. . . pk () ,
f(; ) =
1 ! . . . k !
i=1
. 144
i=1

, (X, ).
8.4.
JJ
II
. ... 179
. 145
X = (X1 , . . . , Xn ) Y = (Y1 , . . . , Ym ) F G . H1 = {F = G}
( ) H2 = {H1 }.
, F G
.
Fn (y) Gm (y) ,
X Y,
r

mn
(X, Y) =
sup Fn (y) Gm (y).
m+n y
9. H1 , (X, Y) n, m ,
.
p
. , (X, Y) n, m , H2 .
: C ,
= P ( > C), :

H1 , (X) < C,
(X) =
H2 , (X) > C.
23. , , 2 . (
) 3.4.2, . 124 . . , . . . . , 1984, 248 .
8.5. : 2
(X, Y) = (X1 , Y1 ), . . . , (Xn , Yn ) X Y n . H1 = {X Y }.

k 1 , . . . , k X m
1 , . . . , m Y.
Y
JJ
II
. ... 179
X
1
..
.
k
k
P
...
m
P
j=1
1,1
1,2
...
1,m
1,
k,1
k,2
...
...
k,m
k,
,1
,2
...
,m
i,j = { (Xl , Yl ), i j },
,j = { Yl , j },
i, = { Xl , i }.
i=1

H1 , (X, Y)
i j : i j
pi,j = P (X, Y) i j = P X i P Y j = pxi pyj .
( H10 ) .
i, p x
pi ,
n
. 146
,j p y
pi ,
n
i,j p
pi,j .o
n
i,j
i, ,j
i, ,j

( i,j
)
n
n n
n
.
o

2
k X
m
X
i,j (i, ,j )/n
(X, Y) = n
.
i, ,j
(26)
i=1 j=1
10. H1 , (X, Y) H(k1)(m1) n .
JJ
II
. ... 179
10 , , H10

y
(px1 , . . . , pxk1 , py
1 , . . . , pm1 ) l=k+m2.
i, /n pxi ,j /n py
j
=
X i,j npxi py
j
i,j
npxi py
j
2
(. (24)),
(26). km , 8 H10 2 -
km1(k+m2) = (k1)(m1) .
. 147
19 20 k m .
8.6.
: X = (X1 , . . . , Xn )
Na1 ,2 Y = (Y1 , . . . , Ym ) Na2 ,2 , , , .
1
H1 = {21 = 22 }.
S20 (X) S20 (Y) :
1 X
(Xi X)2 ,
n1
n
S20 (X) =
JJ
II
1 X
(Yi Y)2
m1
m
S20 (Y) =
i=1
i=1
(X, Y) (X, Y) =
J
. ... 179
11. H1 , (X, Y) Fn1,m1 n1, m1 .

. ,
2n1 =
(n1) S20 (X)

21
2m1 =
(m1) S20 (Y)

22
Hm1 Hn1 . 21 = 22
2n1 /(n1)
2m1 /(m1)
. 148
S20 (X)
.
S20 (Y)
S20 (X)
6 22
= (X, Y)
S20 (Y)
6 21
n1, m1 18
(X, Y).
K1() .
. , 21 6= 22
p
(X, Y)
JJ
II
. ... 179
. 149
21
6= 1 n, m .
22
(27)
, (27) .
f/2 f1/2 Fn1,m1 .

H1 , f/2 6 (X, Y) 6 f1/2 ,
(X, Y) =
H2 .
.
, f = f (n, m) 0 < < 1
Fn,m 1 n, m . fn,m . , P (fn,m < f ) = , P (fn,m > f ) = 1 n, m.
p
2 , fn,m 1. > 0 P (fn,m < 1) P (fn,m > 1+) n, m ,
, 1. ,
n, m 1 < f < 1 + .
, H1
, , , 1 21 /22
(27). , , n m
21
21
<
+ = 1 < f/2 .
22
22

2 () = PH2 (f/2 6 6 f1/2 ) 6 PH2 (1 < ) = PH2
II
. ... 179
. 150
0.
, ( n m)
f1/2 < 1 + =
JJ
2
> 12 +
2
21
21
+

<
.
22
22
. , . ?
. ,
.
( ), , .
. ,
,
, .
.
, .
8.7.
: X = (X1 , . . . , Xn ) Na1 ,2 Y = (Y1 , . . . , Ym )

Na2 ,2 , 2 , , ,
. H1 = {a1 = a2 }.
.
.
JJ
II
.
12. tn+m2 ,
. ... 179
tn+m2 =
(X a1 ) (Y a2 )
nm
s
n+m
(n 1)S20 (X) + (m 1)S20 (Y)
n+m2
Tn+m2 n+m2 .
12.
. 151
1. , , ! X a1 N0,2/n , Y a2
N0,2/m .

D (X a1 ) (Y a2 ) =
2 2
n+m
+
= 2
.
n
m
nm
.
1
0 =

nm
(X a1 ) (Y a2 )
n+m
.
2. , (n1) S20 (X)/2
(m1) S20 (Y)/2 Hm1 Hn1 ,
JJ
II
. ... 179
S2 =

1
2
2
(n
1)S
(X)
+
(m
1)S
(Y)
0
0
2
2 - Hn+m2 n+m2 X
Y.
0
3. 17, q
S2 /(n+m2)
Tn+m2 . 0 S2 ,
tn+m2 12.
(X, Y) =
. 152
nm
XY
s
.
2
n+m
(n 1)S0 (X) + (m 1)S20 (Y)
n+m2
12 K1(): H1 , . . a1 = a2 ,
= tn+m2 Tn+m2 .
. K1(): (. . a1 6= a2 ) ||
n m.
. 24 1- , ,
:
p
X Y const 6= 0,
JJ
II
. ... 179
(n 1)S20 (X) + (m 1)S20 (Y) p

const 6= 0,
n+m2
C = 1/2 Tn+m2 .
C tn+m2 Tn+m2
P (|tn+m2 | > C) = 2P (tn+m2 > C) = .

:

H1 , |(X, Y)| < C,
(X, Y) =
H2 , |(X, Y)| > C.
. , .
. 153
.
.
8.8.
X = (X1 , . . . , Xn ) Na,2 2 . H1 = {a = a0 }
H2 = {a 6= a0 }.
(X)
(X) =
JJ
II
X a0
n
.
K1(): H1 , (X)
.
p
. ... 179
. 154
. K1(): a 6= a0 , |(X)| .
C = 1/2 .
= PH1 (|(X)| > C).

:

H1 , |(X)| < C,
(X) =
H2 , |(X)| > C.
(28)
. ,
.
. : H1 = {a = a0 },
H2 = {a < a0 } H3 = {a > a0 }.
8.9.
, , ,
2 . , ,
, .
(X)
(X) =
JJ
II
X a0
n q
,
S20
1 X
(Xi X)2 .
n1
n
S20 =
i=1
. 4 K1(): a = a0 ,
Tn1 .
. ... 179
. K1().
(28), C
, . ?
. ,
.
. ?
. K1()
, ?
. 155
. ?
8.10.
X = (X1 , . . . , Xn ) F .
H1 = { = 0 } H2 = { 6= 0 }.
( ) ( , + )
1 . 0 , F 0
P 0 ( < 0 < + ) = 1
JJ
II
. ... 179

(X) =
( 1 ).

H1 , 0 ( , + ),
H2 , 0 6 ( , + )
() . ,
1 () = PH1 (=H2 ) = P0 (0 6 ( , + )) = 1 P0 ( < 0 < + ) = ( ).
G(X, ),
(X)
.
33. (28). H1 ,
|(X)| < C = 1/2 ,

X a

0
n
< 1/2 ,

. 156
1/2
1/2
< a0 < X +
.
n
n
, , (13) a
.
9.
JJ
II
. ... 179
,
. : , X = + Z = + ,
.
().
,
. , , ,
, . .
,
.
. , , , .
- .
9.1.
X
Z. Z , .
f(t) , X Z:
. 157
E (X | Z = t) = f(t).
(29)
JJ
II
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- .
, Xi = f(ti ) + i , i = 1, . . . , n, i ,
X
Z = ti . 1 , . . . , n -
: ,
.
:
. ... 179
E i = E Xi f(ti ) = E (X | Z = ti ) E (X | Z = ti ) = 0.
. 158
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 .
9.2.
JJ
II
. ... 179
. , X1 , . . . , Xn .
, , ,
h(x)
, ,
. , i N0,2 , , , .. Xi i
, Xi , i , ,

f(ti ). Xi h x f(ti ) ,
X1 , . . . , Xn , ,
f(X1 , . . . , Xn ; 1 , . . . , k ) = h X1 f(t1 ) . . .h Xn f(tn ) = h(1 ). . .h(n ). (30)
. 159
i , h hi . (30)
.

i f(t) ( ) D i ,
(30). ,

.
9.3.
JJ
II
,
N0,2 . (30)

(X1 f(t1 ))2
1
(X1 f(tn ))2
1
. . . exp
=
f (X; ) = exp
22
22
2
2

n
1
1 X
2
= n
exp 2
(Xi f(ti )) .
2
(2)n/2
i=1
,
P
P 2
(Xi f(ti ))2 =
i .
. ... 179
31. ()
1 , . . . , k ,

n
X
(Xi f(ti )) =
i=1
n
X
2i .
i=1
. 160
^ f(t).
i , f(t)
^ i ) , ^i = Xi f(t
^ i ) .
f(t
2
, 2
, !
n
n
X
1X
^ i ))2 = 1
^2 =
(Xi f(t
^2i .
(31)
n
n
i=1
i=1
, , ,
, ,
,
.
34. i
JJ
II
. ... 179
. 161
h(x) =
1
exp {|x|/} , . . i .
2
2
P

|Xi f(ti )| .
() 1 , . . . , k .
9.4.
f(t) . ,
.
35. f(t) = , .
Xi = + i , i = 1, . . . , n.

X1 , . . . , Xn . ^ :
X

X
(Xi )2 = 2
(Xi )
= 0 ^ = X.
^
=
n
i=1
i=1
. ,
^ 2 = S2 .
. , 34 , P
|Xi |,
X(m) ,
n = 2m1 (),

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

^2 =
h
1
n
n
P
^
|Xi |.
i=1
JJ
II
X(m) , X(m+1) .
36. .
Xi = 1 + ti 2 + i , i = 1, . . . , n, 1 2
. f(t) = 1 + t2 .
. ... 179
^1 , ^2 , P 2 P

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

. 162
^2 =
1
n
n
X 2
i = 0
2
i=1
P
1
n
ti Xi X t
,
P
(ti t)2
^1 = X t^2 .
32.
1
n
ti Xi X t
P
(ti t)2 n1 (Xi X)2
=q P
1

X1 , . . . , Xn t1 , . . . , tn .
JJ
II
. ... 179
37. Francis Galton, Regression towards mediocrity in hereditary stature (Journal of the Anthropological Institute
V. 15, p. 246265, 1886).
, , ,
, . . ,
. 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 .
. 163
9.5.
: Z = (Z1 , . . . , Zk ) = (1 , . . . , k )
. -,
. , ,
.
,
() :
JJ
II
E (X | Z = t) = f(t) = 1 t1 +. . .+k tk , E (X | Z) = f(Z) = 1 Z1 +. . .+k Zk .
i- (i)
(i)
Z(i) = (Z1 , . . . , Zk ), i = 1, . . . , n.
n > k X = (X1 , . . . , Xn ),
(1)
(1)
X1 = 1 Z1 + . . . + k Zk + 1
X = Z(2) + . . . + Z(2) +
2
1 1
k k
2
.
.
.
(n)
(n)
Xn = 1 Z1 + . . . + k Zk + n ,
. ... 179
, , X = ZT + , Z(k n) ( )
Z=
. 164
(1)
Z1
..
.
(1)
Zk
(n)
. . . Z1
..
= (Z(1) . . . Z(n) ).
...
.
(n)
. . . Zk
= (1 , . . . , n ) .
Z X
.
9.6.
1. Z k, . . k .
3. 1 , A = ZZT .
JJ
II
. ... 179
1.
A(k k) , tT At > 0
t = (t1 , . . . , tk ), tT At = 0, t = 0 .
P 2
2.
u kuk2 = uT u =
ui > 0.
, u = 0 .
3. 2,
T
tT At = tT ZZT t = (ZT t ) (ZT t ) = kZT tk2 > 0,
. 165
kZT tk = 0, ZT t = 0 . Z k
, , ZT t = 0 , t = 0 .
A,
4.
A A , A A = A.
JJ
II
, A , A = ZZT AT = A. o
A A
A = QT DQ ,
, A D. A = QT DQ.
^ , S(),

S() =
. ... 179
n
X
2i = kk2 = kX ZT k2 = (X ZT )T (X ZT ).
i=1
, S()
i , . S() X IRn
ZT () IRn
ZT t, t IRk .
^ , X ZT
^ S()
, . . t IRk
^ .
ZT t X ZT

^ = ZT t
ZT t, X
T
^ = 0.
^ = tT ZX ZZT
X ZT
. 166
o
., , . . , , , 7.
t IRk (0, . . . , 0, 1, 0, . . . , 0),

^ . ,
, ZX ZZT
^

^ = ZX
ZZT
^ = ZX.
A
(32)
3, (32)
^ = A1 ZX
JJ
II
. ... 179
(33)
, Z(k n) k, k 6 n.
(32) .
,
N0,2 ,
, 2 , (31),
1
1X 2
^ 2 = 1 S().
^
^i = kX ZT k
n
n
n
n
^2 =
(34)
i=1
9.7.
, , , .
^ A1 Z:
1.
. 167
^ = A1 ZX = A1 Z(ZT + ) = A1 A + A1 Z = A1 Z.
^ : E
^ = + A1 ZE .
2. E = 0,
1 2:
2.
N0,2 .
JJ
II
3. x,

, D x = E (x E x)(x E x)T , (i, j)-

cov(xi , xj ) = E (xi E xi )(xj E xj ).
, D = 2 En , En (nn)-.
. ... 179
3.
. 168
^ 2 Ek :
A

T

T
^ = E A
^ E A
^
^ E A
^ = E A()
^
^
D A
A
A()
=

T T
= AA1 Z E T ZT A1 A .
^ = 2 AA1 ZZT A1 A = 2 Ek .
AT = A, ET = 2 En , D A
=E

AA1 Z
T
AA1 Z
^ . 3 , A
.

.
13.
1 ^
1.
A() k- , . .
k N0,1 .
n^
2
1
^ 2 2 nk
= 2 kXZT k
2
^
.
2.
JJ
II
3. (2 ) =
n^
2
1
^ 2 2 .
=
kXZT k
nk
nk
. ... 179
13.
^ ) = AA1 Z = ( A)1 Z
1. A(
. 3,
2 Ek ,
^ )/ Ek , 2.
A(
,
, . 14. .
^ ZT t. 2. , X ZT
T ^
, Z ( ). ,
:
. 169
^ 2 + kZT (
^ )k2 = kX ZT
^ + ZT (
^ )k2 = kX ZT k2 .
kX ZT k

^ 2 = kX ZT k2 kZT (
^ )k2 = kk2 kZT (
^ )k2 .
kX ZT k
^ )k2 :
^ )k2 k A(
kZT (
JJ
II
. ... 179
(35)
T
^ )k2 = (
^ )T ZZT (
^ ) = (
^ )T A A(
^ ) =
kZT (
^ )k2 = k( A)1 Zk2 .

= k A(
, (kn)- ( A)1 Z :

T

( A)1 Z ( A)1 Z = ( A)1 ZZT ( A)1 = Ek ,

k (nn)-
C.
k n- Y = C/ ( A)1 Z/.
(35)
n
X
1
n^
2
1
i 2
T^ 2
2
2
Y12 . . . Yk2 . (36)
=
kX
Z
k
=
k/k
k(
A)
Z/k
=
2
2
i=1
. 170
, / n- .
(36) 2 nk
^ ,
^
, . . (
).
3. , E 2nk = nk.
2
2
n^
2
n^
2
E (2 ) = E
=
E
=
(n k) = 2 .
2
nk
nk
nk
A.
JJ
II
. ... 179
33. = (1 , . . . , m ) a = E
, ij = cov(i , j ). ,
Na, IRm ,

1
1
T 1
f (x) = m p
exp (x a) (x a) , x IRm
2
( 2)
|det |
(x a)T 1 (x a)
X
(x a)T 1 (x a) =
(xi ai ) (1 )ij (xj aj ).
(37)
i,j
24. , ,

. , (, c)
1c cc2 , D = 1, IR2 .

.
. 171
14.
Na, . , , . .
.
25. !: , ,
, .
,
.
. ii = 2i = D i
(37)
X
(xi ai ) (1 )ij (xj aj ) =
i,j
X (xi ai )2
i
2i
.
, , , , .
JJ
II
. ... 179
.
(1) , (2) , . . . , E (1) =a
. Sn = (1) + . . . +(n) .
n
(n) =
Sn na
, N0, .
n

g (n)
P 2
g(). g(x) g(x) =
xi = kxk2 .
5. k(n) k2 kk2 .
. 172
B.
:
Pk
1. , = j=1 (j npj )2 /npj
(n) = (Sn na)/ n IRk . ,
(1) Sn , .
^ (1) , 0),
2. C, (1) C (1) = (
(1)
JJ
II
. ... 179
. 173
^

IRk1 .
, (n) C (n) = (^
(n) , 0)
. - C.
^ (n) . (k1)-
3.
, . .
. 5 , 2 - Hk1 .
:
1. Xi - (i) :

I(Xi A1 ) p1
I(Xi Ak ) pk
(i)
= (1 , . . . , k ) =
,...,
, i = 1, 2, . . . , n.
p1
pk
n . a = E (1)
Pn
, E I(X1 Aj ) = pj j = 1, . . . , k. , j = i=1 I(Xi Aj ),
Pn

(i)
1 np1
k npk
Sn
Sn na
,...,
= i=1
= =
.
np1
npk
n
n
n
(1) ,

I(X1 Ai ) pi I(X1 Aj ) pj
1
ij = cov
=
,
(E I(X1 Ai )I(X1 Aj )pi pj =
pi
pj
pi pj
1
=
pi pj

pi pi pj , i = j,
0 pi pj ,

1 pi ,
i = j,
=
pi pj , i 6= j.
i 6= j
, (1) :
k
X
pj j =
j=1
JJ
II
. ... 179
I(X1 Aj )
j=1
k
X
pj = 1 1 = 0.
(38)
j=1
2. (38) : C
( p1 , . . . , pk ) ( ), C (1) (38).
C = E T
B = CCT . , , C,
, bkk = 0.
C , m 6= k l 6= m
k
X
k
X
cmj ckj =
j=1
k
X
cmj pj = 0,
j=1
k
X
c2mj = 1,
j=1
k
X
cmj clj = 0.
j=1
, il- CT cli ,
k
k
k
X
X
X
X
bml =
cmj ji cli =
cmj pi pj + cmi (1 pi ) cli =
i=1
k
X
i=1
pi
j=1
i=1
cmj
j6=i
. 174
j6=i

k
X
cmi , m 6= k

pj cmi pi + cmi cli =
cli
=
0,
m=k
i=1

1, m 6= k, m = l
0, m = k m 6= l

=
Ek1
0
0
0

.
(39)
(1)
^ , 0)
3. , : C (1) = (
(38). (39) ,
^ (1) IRk1 Ek1 .
(1)
(2)
^ ,
^ , . . . , , C E (1) = 0.

,
^ (n) =
JJ
II
. ... 179
^ (1) + . . . +
^ (n)
, N0,Ek1 .
n
^ (n) , ,
5,
14, :
k^
(n) k2 kk2 =
k1
X
2i = 2k1 , 2k1 Hk1 .
(40)
i=1
Hk1 16. , ^ (n) ,

(n) , C (n) ,
C (n) =
C (1) + . . . + C (n)
= (^
(n) , 0),
n
(17): k(n) k2 = kC (n) k2 = k(^

(n) , 0)k2 = k^
(n) k2 .
(40).
. .
. 175

, 111
, 53
, 60
JJ
II
. ... 179
. 176
, 120, 125, 127

, 30
, 11
i- , 114
, 7
, 8, 14
, 14
, 162
, 8
, 8, 14
, 163
, 8, 14
-, 92
, 112
, 112
, 113, 146
, 113, 145
, 112
, 112
, 112
, 12
, 16, 136
, 12, 25, 137
, 80
, 81
, 80
,
84, 109, 110
, 81
, 10
, 66
, 83

K0 , 48
Kb() , 48
, 168, 171
, 135
, 17, 136
, 17, 136
, 145
, 163
, 98
, 114
, 120, 125, 127
, 135
, 145
, 119, 125, 127
, 121, 125, 127
, 114
, 124, 126
, 124
, 153
, 133
, 148
2 , 137
, 146
, 142
, 116
JJ
II
. ... 179
. 177
, 125, 127
, 104
, 162, 164
, 158
, 39
, 168, 171
, 101
, 164
, 165
, 38
, 159
, 32
, 160
, 119, 125, 127
-, 160
, 172
, 171
, 116
, 121, 125, 127
, 160
, 125, 127

, 66
, 67
, 30
, 165
, 167
, 62
, 123
, 30
, 53
, 40
, 32
, 160
, 30
, 30
, 60
, 47
, 49, 62
R-, 71
i- , 114
, 158
, 28
, 28
, 138

, 38
, 38
, 11
, 116
JJ
II
. ... 179
. 178
, 165
, 66, 67
, 8
, 92
, 17, 136
, 98
, 171
Tk , 97
Fk,m , 100, 148
, 100
2 , Hk , 94
, 8
, 158
, 162, 164
, 63
, 15
, 134
, 30

, 119
, 119

, 60
, 47
, 30
, 11
, 153
, 97
, 13
, 39
, 16, 136
, 17, 136
, 138
, 172
, 158
, 80
, 80
, 116
, 63
, 157
, 148
, 104
, 100, 148
, 100
, 13
, 30
, 39
, 39
2 , 137
, 146
, 142
2 , 94
, 8, 10
, 8
, 49

[1] .. . .: , 1984.
[2] . . .: , .2, 1984.
[3] .., .. . : - . ..
, 2001.
JJ
II
. ... 179
. 179
[4] .., .. . .: , 1965.

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JJ

{Xi < y}. y ,

[0, 10] 4 . A1 = [0; 2,5) 4

1. , ( ) k = k(n) = 1 + [3.322 lg n].

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

E I(X1 < y) = F(y).

sup Fn (y) F(y) 0

n sup Fn (y) F(y)

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

E I(X1 < y) = F(y)

D I(X1 < y) = F(y)(1 F(y)).

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

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

I(Xi < y) nF(y)

I(Xi < y) nE I(X1 < y)

N0,D I(X1 <y) = N0,F(y)(1F(y)) .

2) E |X1 |k < , Xk E Xk1 = mk n .

(2) , S2 = X2 (X)2 E X21 (E X1 )2 = 2 .

E S2 = E X2 (X)2 = E X2 E (X)2 = ( 3) = E X21 E (X)2 =

(Xi a)2 nE (X1 a)2 

X a n X a N0, D (X1 a)2 ,

N0, D (X1 a)2 , 

, (a0 , 0), (a1 , f1 ), . . . , (ak , fk ), (ak , 0),

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

Cin F(y)i (1 F(y))ni ,

g(y) = I(y = 1):

, > 0 g(y) = I(y = 1)

= h1 g(X) h1 (E g(X1 )) = h1 (h()) = .

E h1 g(X) = = h1 (h()) = h1 E g(X) .

f (xi ) = P (X1 = x1 ) . . . P (Xn = xn ) = P (X1 = x1 , . . . , Xn = xn ).

^ = arg max L(X, ).

[0, 1], ^0 = X(n) 5

X(n) , 2X. E (X(n) )2 n2 , E (2X )2 n1 .

12. X1 , . . . , Xn n U0, , > 0. , = 2X ^ = X(n)

N0,D 2X1 = N0,4D X1 .

n(^ ) = n(X(n) ) < 0 1.

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

0.5 n , n(X(n) ) N0,2 ()

7. g(y) , 0 6= D g(X1 ) < , H(y)

= H (E g(X1 )) = H(a) 2 () = (H 0 (a))2 D g(X1 ).

g(y) = (k + 1)yk , H(y) = k y.

max{X1 (), . . . , Xn ()}.

1. (R) (RR) T = T (X),

. , f(X, ), L(X, ) ( 6), ,

19. X1 , . . . , Xn n Na,2 , a IR, > 0. , a = X K0

D2 X21 = E2 X41 (E2 X21 )2 = E2 X41 4 . ,

21. X1 , . . . , Xn n E1/ 1/, > 0. , = X K0

lim inf P < < + > 1 .

11. ( , + ), P ( < < + ) ( , + ) ,

23. X1 , . . . , Xn n Na,2 , a IR , > 0 .

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

3. g1 < G(X, ) < g2 ( ), .

3. g1 < G(X, ) < g2 , .

P (g1 < G(X, ) < g2 ) = P

X(n) (g2 g1 )/ (g1 +1)(g2 +1)

< Y(n) < 1 = P

P (c < < c) = 1 c = 1/2 .

P (1/2 < < 1/2 ) = 1 .

F2 (y) = P (2 < y) = 0, f2 (y) = 0.

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

hk,m Fk,m , 1/hk,m

kCT yk = (CT y)T (CT y) = (yT C) (CT y) = yT E y = kyk2 .

X2i Y12 . . . Yk2 Y1 , . . . , Yk

X2i = kXk2 = kC Xk2 =

(Xi a)2 nE (X1 a)2

N0, D (X1 a)2 ,