________________

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2014
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32.811.1
32
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© ., ., ., 2014
©
, 2014
ISBN
 ………………………………………..…………………….… 8
1. ……………………………….. 11
1.1. …………………….. 11
1.1.1. ……….………………………….. 18
1.1.2. ………………………………….. 23
1.2. ……….. 30
1.2.1. -
……………………………………………………….. 32
1.2.2. …………..………..……. 46
1.2.3. ………………..…….. 53
1.3. …………….. 62
1.3.1. ……...……………………. 68
1.3.2. ( ) 69
1.3.3. ………………………….. 70
1.3.4. ………………………….. 72
1.3.5. ( ) ……………... 73
1.3.6. ……………………………………. 74
1.3.7. …..……...………. 75
1.3.8. 78
1.3.9. ……………. 81
1.4. ………………… 82
1.5. ……………….. 90
1.5.1. … 91
1.5.2. ………………………………… 95
1.5.3. ……………………………………….. 97
1 ……………………………………... 104
2.
…………………………………………………………………. 106
2.1.
…………………………………………………….. 108
2.1.1. “ ” ………………………….. 115
2.1.2. ……………………………………. 117
2.1.3. ………………………………………….. 118

3
 2.1.4.
MATLAB ………………………………………………………... 120
2.2.
…………………………………………………………….. 127
2.3. -
………………………………………………………… 137
2.3.1. ……………………………….. 138
2.3.2. ………………………………………. 142
2.3.3. …………………………………….. 144
2.3.4. …… 147
2.3.5. ………. 148
2.3.6. ……… 152
2.3.7. -
…………………………………………………………….. 154
2.4. -
………………………….................... 157
2.4.1. -
……………………………………. 157
2.4.2. ……...………………… 158
2.4.3. ……………………………… 161
2.4.4. -
………………………………………………… 164
2.4.5. 176
2 …………………………………….. 178
3. …………………….. 182
3.1. ………………………… 182
3.1.1. …………………. 187
3.1.2. . -
…………………………………………………….. 187
3.1.3. …………………………………….. 191
3.1.4. …………………………………… 192
3.2. -
…….…………..…………………………………… 197
3.2.1. -
………………………………………………. 202

4
 3.2.2. -
……………………………………………………………... 202
3.2.3. 204
3.2.4. -
……………………………………………… 206
3.2.5. ………… 207
3.2.6.
……………………………………. 211
3.2.7. -
…………………………………………… 212
3.2.8. -
…………………………………………… 212
3.2.9. ……………….. 213
3.2.10.
…………………………….……………………… 214
3.2.11.
………………………………………………………… 217
3.2.12. ….. 219
3.3. .
..……………….. 222
3.3.1. -
………………………………………………….............. 222
3.3.2. …………….. 226
3.3.3. ( -
) ………………………………………….. 229
3.3.4. 234
3.4. …..……. 241
3 …………………………………….. 252
4. ……………………………………. 254
4.1. .………... 255
4.2. …… 265
4.2.1. …………………... 268
4.2.2. …………………………………. 270
4.2.3. ………. 271
4.2.4. …………………………………. 271

5
 4.2.5. -
………………………………………………………. 276
4.3. -
………………………………………………………………. 281
4.3.1. … 282
4.3.2. 285
4.3.3. -
……………………………………………………. 286
4.3.4. …. 289
4.4. …………….. 290
4.4.1.
…………………….. 290
4.4.2. . 294
4.4.3. ……………….. 298
4.4.4. —
…………………………………………………………. 305
4.4.5. ……………. 307
4.5. -
…………………………… 309
4.5.1. —
………………………………………….. 309
4.5.2. 315
4.5.3.
…………………………………………………………. 316
4.6. ………………………........ 318
4.6.1. ……………………. 321
4.6.2. ………… 324
4.6.3. …………….. 330
4.6.3. …………… 333
4 …………………………………….. 337
………………………………………. 340

6
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11
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12
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1 2 3 1 2 3 1 2 3
1 abc 10 a bc 19 a bc
2 abc 11 b ac 20 b ac
3 abc 12 c ab 21 c ab
4 ab c 13 a bc 22 a b c
5 ac b 14 b ac 23 a c b
6 bc a 15 c ab 24 b a c
7 ab c 16 ab c 25 b c a
8 ac b 17 ac b 26 c a b
9 bc a 18 bc a 27 c b a

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15
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A4 = {1, 3, 7, 8, 9, 13, 14, 15}.

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16
 . 10- -
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1 2 3 1 2 3 1 2 3
1 3 0 0 5 2 0 1 9 0 1 2
2 0 3 0 6 1 2 0 10 1 1 1
3 0 0 3 7 1 0 2
4 2 1 0 8 0 2 1

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 1.3

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 1.1.2.
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B1 / B2, , -

23
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P(B1) = P(2) + P(4) + P(6) + P(8) + P(9) + P(10);
P(B2) = P(4) + P(5);
P(B1B2) = P(4).

P B1 B2 P (4)
P B1 / B2 .
P B2 P (4) P (5)
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P(B1) = 6/10; P(B2) = 2/10; P(B1B2) = 1/10; P(B1 / B2) = 1/2.
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(1.1.6)
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P(A1 … AK) = P(A1) P(A2 / A1) P(A3 / A1 A2) …. P(AK / A1 A2 … AK–1). (1.1.7)

:
P(A1 + A2) = P(A1) + P(A2) – P(A1 A2). (1.1.8)

24
 K
P A1 A2 AK P Ai P Ai A j
i 1 j i

P Ai Aj Ak P Ai Aj Ak Al . (1.1.9)
k j i l k j i

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P(A / B1) … P(A / BK).
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A :
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k 1

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B1 … BK , P(A / B1)
… P(A / BK) — . a posteri-
ori — ).
(1.1.6) ,
P A / Bk P Bk
P Bk / A ,
P( A)

25
 , (1.1.11) ,
P A / Bk P Bk
P Bk / A K
, k = 1, …, K. (1.1.12)
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26
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27
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28
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4 4
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29
 1 1
P ( A1 A2 A3 ) P ( A1 ) P ( A2 ) P ( A3 ) .
4 8

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x —
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32
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x – ,
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33
 -
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36

0, x 1;
1/ 36, 1 x 2;
4 / 36, 2 x 3;
F ( x) 9 / 36, 3 x 4;
16 / 36, 4 x 5;
25 / 36, 5 x 6;
1, x 6,
. 1.5.
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0, x 0;
e( x)
1, x 0,

, m x1, …, xm -
p1, …, pm,
m
F ( x) pk e( x xk ) . (1.2.2)
k 1

34
F (x)
1
0.75
0.5
0.25 x
0 1 2 3 4 5 6
. 1.5.
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F ( x) x, 0 x 1;
1, x 1.

35
 F (x)
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0 1
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1 2 x , 1 x 2;
2
1, x 2.

36
 v x4 > 2 > x3 > 1 > x2 > 0 > x1

u = v + x4
1

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2
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dx x 0 x
“ ” -
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x x + x,

37
 F (x x) F ( x)
w ( x)
x
, (1.2.1),
P x x x
w ( x) .
x
, w (x)

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:
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:
x
F ( x) P x w ( y ) dy . (1.2.5)

, x=+ -
:

w ( x) dx 1. (1.2.6)

(1.2.1) (1.2.5)
[a: b)
b
P a b w ( x)dx . (1.2.7)
a

, (1.2.4) (1.2.6)
,
.
w (x) -
( ),
. x = xmax, , -
,

38
 ( . 1.8, ) -
( . 1.8, ) .

0.3 W (x) 0.3 W (x)

0.2 0.2

0.1 0.1
x x
-6 -4 -2 0 2 4 6 0 1 2 3 4 5 6 7 8
) )
. 1.8. ( ) ( )

,
, . . , -
.

.q ( , ,
q) x = x q, F (xq) = q. ,
w (x) q

xq

w ( x )dx q. (1.2.8)

, 0,5- .
-
, -
, , -
, . -
.
1
, (x) , -
{ (x )}:

1
. .

39
 ( x) lim ( x, ) ,
0

— ( , ), -
.
, , -
. (x – x0) x0 x x0
x = x0:
0, x x0 ,
(x x0 )
, x x0 .
[a; b], x0,
:
b

(x x0 ) dx 1 .
a

, , -
, , .
-
, : (x) = (–x)

c/2
1 2
lim ( x ) dx 1.
c c c/ 2

-
.
:
1 / , | x | / 2;
x, 0.
0, | x | / 2;
:
1 x2
x, exp 0.
2 2 2 2
sin(x)/x:
sin x
x, .
x
:
1 1
x, 2 0.
1 x/

40
 . ,
,
m :

(m) ( jx )m
( x) exp( jtx )dt , m = 0, 1, … .
2
“ ” :
b
(m)
g ( x) (x x0 )dx ( 1) m g ( m ) ( x0 ) .
a

-
. , -
e(x) :
de( x)
( x) .
dx
, ,
m x1, …, xm p1, …, p m,
(1.2.2)
m
w ( x) pk ( x xk ) . (1.2.9)
k 1

, ( -
) , -
x= ,
w ( x) ( x c) .
, -
p1, …, pm, :
m
pk 1. (1.2.10)
k 1

, -
( . 1.9).

41
 W (x)
0.8
0.6
0.4
0.2 x
0 1 2 3 4 5 6 7 8 9 10
. 1.9.

, , -
, :
L
w ( x) a1 w( x) a2 pk ( x xk ) , (1.2.11)
k 1

a1 a2 -
:
a1 0 , a2 0 , a1 a2 1.
. 1.10

W (x)
0.2
)
0.1
x
0 1 2 3 4 5 6 7
F (x)
1
0.8
0.6
)
0.4
0.2
x
0 1 2 3 4 5 6 7
. 1.10. ( ) ( )

42
 . 1.4 1.5 -
-
.

1.4

E[ ] (a b) / 2 ,

xk a (k 1) ,
(b a )2 ( m 1) 2
D[ ] ,
12(m 1)
(b a) / ( m 1) ,
r 1 1
b a
pk 1 / m , k 1, 2, ,m mr ,
(b a )( r 1)
r = 2, 3, …
n
P = 1) = p; E ] = p, n = 1, 2, …,
P = 0) = 1 – p D ] = p(1 – p)
n k E[ ] np , D[ ] np( p 1) ,
pn ( k ) Cnk p k 1 p ,
k 0, 1, , n; p — d r
r 1
p (1 p ) nr r 1
,
- dp
r = 2, 3, …
E[ ] , D[ ] ,
k
r 2
pk exp( ), 0, k
k! r
Cr 1 k
, r = 2, 3, …,
k 0
k 0, 1,
0
1
k 1
pk p 1 p ,
k 0, 1, ;p— E[ ] 1 / p , D[ ] (1 p) / p
2

k N k
CM C L M
E[ ] NM / L ,
- pN ( k ) N
,
CL NM ( L M )( L N)
D[ ] 2
k 0, 1, , min( L , N ) L ( L 1)

43
 1.5

E[ ] ( a b) / 2 ,
2
D[ ] (b a) / 12 ,
w ( x ) 1 / (b a ) , a x b b
r 1
a
r 1

mr [ ] ,
( r 1)(b a )
r = 1, 2, …
1 E[ ] a , D[ ]
2
,
w ( x)
2
2 2 r
(2 r )!
) 2 2r 1
0, 2r
,
x a r! 2
exp 2
2 r = 1, 2, …
b
w ( x) 2 2
,
b x x0
b>0
2
x x
w ( x) exp , E[ ] /2,
2 2
2 2
D[ ] 2 /2
x 0
1
w ( x) , | x| c E[ ] 0 , D[ ]
2
c /2
2 2
c x
2
E[ ] 1 / , D[ ] 1 / ,
- w ( x) exp x , x 0
r
mr r !/ , r = 1, 2, …
2
E[ ] , D[ ] 2/ ,
( - r /2 r 2i
- w ( x) exp |x |
r!
mr 2i
,
) 2 i 0 (r 2i )!
r = 1, 2, …

44
 1.5

k 1
E[ ] ( k 1) / ,
w ( x) D[ ] ( k 1) /
2
,
( k 1)
r 1
k r
x exp x , x 0, mr (k i 1) ,
i 0
0, k 0, 1,
r = 1, 2, …
( m 1 / 2)
E[ ] c/m ,
m
(m)
2 m 2
w ( x) c ( m 1 / 2)
(m) a D[ ] c 2
,
2m 1 2
m ( m)
x exp mx / a , r/2
c ( m r / 2)
x 0, a 0, m 1/ 2 mr ,
m (m)
r = 1, 2, …
1 E[ ] ( 1) ,
w ( x) 1
- ( 1) D[ ]
2
( 1) ,
x exp x/ , x 0, mr 1
( r 1) mr ,
1, 0 r = 1, 2, …
E[ ] a (a b) ,
(a b)
w ( x) ab
- ( a ) (b) D[ ] 2
,
( a b) ( a b 1)
a 1 b 1
x (1 x ) , 0 x 1,
(a b) (a r)
a 0, b 0 mr
(a ) ( a b r)
1
w ( x) n/2 E[ ] n , D[ ] 2n ,
2 ( n / 2)
n /2 1
mr n(n 2) (n 2r 2) ,
x exp x/2 , x 0,
r = 1, 2, …
n 1, 2,

45
 1.2.2.

.
-
. , F (2) ( x, y ) -
x y -
, ,
<x < y:
(2)
F ( x, y ) P x, y . (1.2.12)
, -
, -
( ) —
.
(1.2.12) y= , F (2) ( x, ) —
, <x , . . -
:
F (2) ( x, ) F (1) ( x ) .
-

F (2) ( x, ) F ( x) . (1.2.13 )

F (2) ( , y ) F ( y) . (1.2.13 )
(1.2.12) , -
:
F (2) ( x, ) F (2) ( , y ) 0 , F (2) ( , ) 1.
w(2) ( x, y ) -
, ,
( , ) -
:
2
(2) F (2) ( x, y )
w ( x, y ) . (1.2.14)
x y

46
 ,
w(2) ( x, y ) -
:
P x x x; y y y
w(2) ( x) .
x y
, -
( , ) S ,
-
:
P ( , ) S w(2)
, ( x, y )dxdy . (1.2.15)
S

, S— [a; b] × [c; d],

b d
P a b, c d w(2)
, ( x, y )dxdy . (1.2.15 )
a c

w(2) ( x, y ) dy w ( x) ; (1.2.16 )

w(2) ( x, y )dx w ( y) . (1.2.16 )

, ,
.

( , ) ,
:
1
w(2) ( x, y )
2 1 r2
2 2
1 x a x a y a y a
exp 2
2r 2
. (1.2.17)
2 1 r2

47
 (1.2.17) -
( 5 ) , -
, — a , a , —
—r(
, . )— -
.
, -
“ ”
. :
2
1 x a
w ( x) exp 2
; (1.2.18 )
2 2 2
2
1 y a
w ( y) exp 2
. (1.2.18 )
2 2 2
, , . .

w(2) ( x, y ) w ( x) w ( y )
r = 0,
. -
: -
.
: , , -
.

— , -
— ,
. ( . 1.5)
, , -
. , -
, ,
-
.

48
 ) )
. 1.11.

. 1.11
( , ),
c, ( . 1.11, )
45o
. 1.11, ). , -
2
, 1/ ,
-
. ,
, , -
:
c /2
w ( x) w(2) ( x, y )dy 1/ c , x c / 2; c / 2 ;
c /2
c /2
w ( y) w(2) ( x, y ) dx 1/ c , y c / 2; c / 2 ,
c /2

. .
w(2) ( x, y ) w ( x) w ( x) ,
.

49
 w (x) “ ”
( . 1.11, ). :
x c/ 2
2
1/ c dy 2c 2 x / c 2 , c/2 x 0;
x c/ 2
w ( x)
x c/ 2
2
1/ c dy 2c 2 x / c 2 , 0 x c / 2,
x c/ 2

, ,
w ( x) 2c 2 | x | / c 2 , c / 2 x c / 2.
,
w ( y) 2c 2 | y | / c 2 , c / 2 y c / 2.
,
w(2) ( x, y ) w ( x) w ( x) ,
.
.
, ( , )
x 1, x 2, … y 1, y 2, … , -
{pij},
pij P xi , yj , (1.2.19)
, , :
pij 1.
i j

-
:
w(2) ( x, y ) pij ( x xi ) ( y yj ). (1.2.20)
i j

(1.2.19) -
, -
, ,
. , ,
:

50
 pi pij ; (1.2.21 )
j

p j pij . (1.2.22 )
i

, , -
, , .

x1 x2 … xM
m

y1 p11 p21 … pM1 p•1

y2 p12 p22 … PM2 p•2

… … … … … …

yN p1N p2N … pMN p•N

p1• p2• … pM• 1

n

-
, — -
.
. 1.1 -
( ) . -
,
. —
— .
-
( . . ) -
. , -

F (2) ( x, y ) P x, y P x P y F ( x) F ( y ) , (1.2.23)

( ):

51
 w(2) ( x, y ) w ( x) w ( y ) (1.2.24)
( ):
pij P xi , yj P xi P yj pi p j . (1.2.25)
-
-
.
( 1, …, n)
n
F (1n ) n ( x1 , , xn ) P 1 x1 , , n xn (1.2.26)

n :
n
( n)
F (1n ) n
x1 , , xn
w1 n
x1 , , xn , (1.2.27)
x1 xn
( -
):
w(1n ) n
x1 , , xn pi1 in x1 xi(1)
1
xn xi(nn ) . (1.2.28)
i1 in

xi(j j ) j 1

” j, j = 1, …, n, ij —
. pi1 in -
:
pi1 in P 1 xi(1)
1
, , n xi(nn ) .
,
n
= ( 1, …, n)
x :
x ( x1 , , xn ) .
(1.2.26)
F ( n ) ( x) P 1 x1 , , n xn .

1
.

52
 n r
(r = 1, …, n – 1)
r i1 , , ir ,
n ( 1, …, n).
,
r , + .
, F j (x j ) -

j, (j = 1, …, n)
F j (x j ) F ( n ) c1 , c2 , , cn ,

, k j
ck .
xj , k j
.
1.2.3.
-
. , ,
-

, (1.1.5). -
,

F ( x / B) P( x / B) ,
B– , , -
< x. , -
( , ) , -
( -
), , , .
w(2) ( x, y )
( , ) , , -

y y h , h > 0.

53
 , -
, :
P x, y y h
P x/ y y h .
P y y h
-
w(2) ( x, y ) :
x y h
P x, y y h w(2) ( x , y )dy dx ;
y
y h
P y y h dx w(2) ( x , y )dy .
y

h , , y y h y
, — y*
[y; y + h],
F (x / y ) lim P x/ y y h
h 0
x x x
(2) * (2)
dx w x,y h w x , y dx w(2) x , y dx
lim .
h 0 w ( y)
dx w(2) x , y * h w(2) x , y dx

(1.2.29)
, (1.2.29) -
, F (x = y) .
F (x = y) x
F (x / y)
w (x / y) , (1.2.30)
x
.

, -
: F (x / = y) -
0 1; w (x / = y) — ,
. .
(1.2.29) x,

54
 w(2) x, y
w (x / y) , (1.2.31)
w ( y)

w(2) x, y w (x / y) w ( y ) . (1.2.32)

w ( x) w(2) x, y dy w (x / y ) w ( y )dy , (1.2.33)

-
( . (1.1.11)).
F (x / = y) w (x / = y)
,
, ,
w (x) w (y) — . -
“ ” :
w (y / = x) w (x),
w (x / = y).
w(2) x, y
w(2) x, y w y/ x w ( x) ,
w (y)

w ( y) w y/ x w ( x )dx ,

w y/ x w ( x) w y/ x w ( x)
w (x / y) (1.2.34)
w ( y)
w y/ x w ( x )dx

( . (1.1.12)).

. (1.2.17) (1.2.18) (1.2.31),

55
 2
1 1 x a y a
w x/ y exp r .
2 1 r 2 2 1 r2

(1.2.35)
r = 0, , ,
(1.2.35), . r 1
:
x a y a
w x/ y .

: y -

x a y a .

, B -
.

. ,
: ( )
.
B = { < a}, a— ,
P( B) P{ a} F (a ) 0.
:
P( x, a)
F ( x / B) F (x / a) P( x/ a) .
P( a)
x < a, <x < a:
( x) ( a) ,
:
P( x, a) P( x) ,

P( x) F ( x)
F ( x / B) .
P( a) F (a )

56
 x a, , , <a -
< x,
P( x, a) P( a)

P( a)
F ( x / B) 1.
P( a)
-
:
w ( x) w ( x)
a
, x a;
F (a)
w (x / a) w ( x)dx (1.2.36)

0, x a.
B -
: B = {a < b}, a b— ,

P( B) F (b) F (a ) 0.

P( x, a b)
F ( x / B) F (x / a b) .
P(a b)
x b, a <b < x,

P (a b)
F (x / B) 1.
P (a b)
a x < b, ( < x, a < b) -
a < x,
P (a x) F ( x) F ( a )
F ( x / B) .
P (a b) F (b ) F ( a )
, x < a, <x a <b ,

F ( x / B) 0 .
-
:

57
 w ( x)
, a x b;
w (x / a b) F (b ) F ( a ) (1.2.37)
0, x a, x b.
-
. 1.12.

) )
. 1.12. ( ) ( )

, , -
,

w ( x) exp |x| , (1.2.38)

2

a x a ,a 0,
2 2
— , 2/ .

58
 1
exp x , x 0;
2
F ( x)
1
1 exp x , x 0,
2
, (1.2.37), 1 exp a 2 .
,
exp | x|
, a 2/ x a 2/ ;
w x/ a a 2 1 exp a 2

0, x a 2/ ,x a 2/
(1.2.39)

0, x a 2/ ;
exp x exp a 2
, a 2/ x 0;
2 1 exp a 2
F x/ a a
1 1 exp x
, 0 x a 2/ ;
2 2 1 exp a 2

1, x a 2/ ,
(1.2.40)
. . .

, ,
. (1.2.19)
{pij}, i = 1, …, M; j = 1, …, N, -
. (1.1.5)
pi ,
xi ,
= yj:
pij pij
pi / P xi / yj . (1.2.41 )
p j pij
i

59
 , pj ,
yj ,
= xi,
pij pij
p j/ P yj / xi . (1.2.41 )
pi pij
j

(1.2.41)
, , :
N N
1 pi
p j/ pij 1
j 1 pi j 1 pi
pi .
, , :

–2 0 1 3
i

–1 0,00 0,10 0,10 0,00 0,20

0 0,10 0,05 0,00 0,00 0,15

2 0,05 0,15 0,15 0,20 0,55

4 0,10 0,00 0,00 0,00 0,10

0,25 0,30 0,25 0,20 1,00

j

–2 0 1 3

pi 0,25 0,30 0,25 0,20

–1 0 2 4

pj 0,20 0,15 0,55 0,10

60
 , , , = –1:
0 0,1
P 2/ 1 0; P 0/ 1 0,5 ;
0, 2 0, 2
0,1 0
P 1/ 1 0,5 ; P 3/ 1 0.
0, 2 0, 2

P / ), :
P x1 / y1 P x2 / y1 P x3 / y1 P x4 / y1
P x1 / y2 P x2 / y2 P x3 / y2 P x4 / y2
P( / )
P x1 / y3 P x2 / y3 P x3 / y3 P x4 / y3
P x1 / y4 P x2 / y4 P x3 / y4 P x4 / y4
0,000 0,500 0,500 0,000
0,667 0,333 0,000 0,000
.
0,091 0, 273 0, 273 0,363
1,000 0,000 0,000 0,000
, , , -
.
: -
, -
{pi } {pj } , -
, , .

. -
-
1
“ ” .
-
.

1
, , ,
, .

61
 1.3.

( , , . .), , ,
,
,
.
, -
, ,
. , , -
-
;
“ ”,
.
-
, -
: .
-
k mk

mk [ ] x k w ( x) dx (1.3.1)

, ( -
, , ,
). , -
, mk -
,
.
, , -
x 1, x 2, … p 1,
p 2, … , k

62
 mk [ ] xik pi (1.3.2)
i 1

, .
,
k ,
n < k. k ,
r > k.
— -
m 1,
, -
.
1
E ].
(1.3.1) (1.3.2),

E[ ] xw ( x )dx (1.3.3)

E[ ] xi pi (1.3.4)
i 1

.
.
-
.
( ) -
.
-
=c , c— ,
:
E[ ] E[c ] cE[ ] .
( )
( ) :
E 1 2 E 1 E 2 .

1
E— expectation — .

63
 .

:
E 1 2 E 1 E 2 .
.
, -
w (x). -
xmed, -
. ,

1
F xmed . (1.3.5)
2
,
, , ,
, .
( ; ), F (x) = 1/2, -
.
w (x), -
-
. r xquan,r

F xquan,r r , 0 r 1. (1.3.6)
, 1/2.
,
: ,
1/2. , (
) . ,
, ,
” ( ) “ ”
.
, -
, . 1.2.1
xm — . ,

64
 , -
.

, . . xk -
. x , -

p p 1, p p 1. (1.3.7)
. 1.13
, -
.
;
.

W (x), W (x)
0.2

W (x) W (x)
0.1

x
0 5 10 15 20
xm, xmed, E[ ] xm, = xmed, = E[ ]
. 1.13. ,

, -
, -
, — . , -
, , -
, — .
(1.3.3) (1.3.4) , -
, -
. , -
( )

65
 o
E[ ] , (1.3.8)
, , .
(1.3.1) (1.3.2) k -
k, -
:
k
k [ ] x E[ ] w ( x)dx (1.3.9)

k
k [ ] xi E[ ] pi (1.3.10)
i 1

.
-
2,
D ]:
2
D[ ] x E[ ] w ( x )dx (1.3.11)

2
D[ ] xi E[ ] pi (1.3.12)
i 1

.
.
-
.
, D ]=0 ,
.
:
=c ,
D[ ] D[c ] c 2 D[ ] .
:
=c+ ,
D[ ] D[c ] D[ ] .

66
 1
1 2 ,
:
D 1 2 D 1 D 2 .
( )
. -
2
D[ ] -
, ( ) ,
.
w (x)
E ] -
: >0
D[ ]
P E[ ] 2
, (1.3.13)

,
D[ ]
P E[ ] E[ ] 1 2
.

, -
, , -
.
, . 1.5.4.
-
, (1.3.11) (1.3.12):
2
D E E2 (1.3.14)
“ ” .
,
.
( )

( .
).

67
 3
kas (1.3.15)
3
D[ ]

4
kex 2
3. (1.3.16)
D[ ]
kas , ;
.
“ ” -
, kex = 0. kex > 0
,
.
kex < 0 -
.
-
.
1.3.1.
,
. -
,
-
, , -
.
,
1
, a x b;
w ( x) b a (1.3.17)
0, x a, x b,
U ( a, b) ,
b
x a b
E[ ] dx , (1.3.18)
a
b a 2

b 2
x2 a b (b a ) 2
D[ ] dx . (1.3.19)
a
b a 2 12

68
 :
b
xk bk 1 ak 1
mk [ ] dx , k = 1, 2, … . (1.3.20)
a
b a ( k 1)(b a )

, , “ ”,
[a; b].
:
b 3 ( b a )/2
123/2 1 b a 123/2
kas x dx y 3dy 0,
(b a ) 3 b a a 2 (b a ) 4 ( b a )/2

b 4 ( b a )/2
122 1 b a 122
kex x dx 3 y 4 dy 3
(b a) 4 b a a 2 (b a ) 5 ( b a )/2
5 5
12 2 1 b a b a 6
3 .
(b a ) 5 5 2 2 5
U (0, 1) -
, , ,
-
.
1.3.2. ( ) -

, U ( a, b) ,
-
, , , m
(m = 2, 3, …) .
,
xk :
b a
xk a (k 1) , , k 1, 2, ,m, (1.3.21)
m 1

69
 1
pk , k 1, 2, ,m.
m

m
a (k 1) a b
E[ ] ,
k 1 m 2

2 2
m
a (k 1) b a (b a) 2 ( m 1)
D[ ] . (1.3.22)
k 1 m 2 12(m 1)
,
, (1.3.7) -
.

3
1 m
b a a b (b a)3 m
kas a ( k 1) (2k m 1)3
m k 1 m a 2 8m( m 1)3 k 1

(1.3.23)
, -
,
kas 0.
-
:
6( m 2 1)
kex . (1.3.24)
5( m 2 1)
, , , m
-
.
1.3.3.
-

.
, ,
.

70
 pn(k) , n -
k (k = 0, 1, …, n) “ ”, . . -
,
pn ( k ) Cnk p k (1 p )n k , (1.3.25)
p— ,
n n!
Cnk
k k !( n k )!
.
n p B(n, p).
:
n
k k n k ( n 1)! p k 1 (1 p) n 1 ( k 1)
n
E[ ] kC p (1 p)
n np
k 0 k 1 ( k 1)!( n 1 ( k 1))!
n 1
( n 1)! p m 1 (1 p ) n 1 m
np .
m 0 m !(n 1 m)!
,
(n – 1) m (m = 0, 1, …, n – 1)
, , , . -
,
E[ ] np . (1.3.26)

n
2 k k n k 2
n
kn ! p k (1 p )n k
D[ ] k C p (1 p)
n ( np ) (np) 2
k 0 k 1 ( k 1)!( n k )!
( m 1)( n 1)! p k (1 p) n
n 1 m 1
np (np) 2
m 1 m !( n m 1)!
m( n 1)! p k (1 p)n
n 1 1 m
( n 1)! p k (1 p) n
n 1 m
np np(1 p) ( np) 2
m 0 m !(n 1 m)! m 0 m!(n 1 m)!
, -
np, — .
D[ ] (np ) 2 np (1 p ) ( np ) 2 np (1 p ) . (1.3.27)
p = 0,5 ,
p 0,5, .

71
 1
kas , (1.3.28)
np (1 p )

1 6(1 p )
kex . (1.3.29)
np (1 p )
,
, , (np,
, ), , n
.
( n 1) p ,

np 1 , np , np 1,
( + ).
, -
[7]:
d r
r 1 p (1 p ) nr r 1 , r = 2, 3, … . (1.3.30)
dp
1.3.4.
-
, -
, -
, , -

. , -
-
,
.
pk , -
k
k
pk P( k) exp( ) , k = 0, 1, 2, …, (1.3.31)
k!
>0— .

72
 :
k k 1 m
E[ ] k exp( ) exp( ) exp( ) .
k 0 k! k 1 ( k 1)! m 0 m!

,
E[ ] . (1.3.32)
:
k
2 2 k k1 2
D[ ] k exp( ) exp( )
k 0 k! k 1 ( k 1)!
m
( m 1) 2 2 2
exp( ) . (1.3.33)
m 0 m!
,
.
-
. , = 0,5 ; =2 -
; = 3,5 .
(
); , , .

1
kas , (1.3.34)

1
kex . (1.3.35)

1.3.5. ( )
( ) -

, .
. 1730 . -
, 1/2.
.- . , -
, .- . ,

73
 . -
, ( )
,
: , -
.
(1.2.18) , -
2
N a, , :
2
1 x a
w ( x) exp 2
.
2 2 2
(1.3.3)
(1.3.10) ,
x 2 2
E[ ] exp x a /2 dx a (1.3.36)
2
2

2
x a 2 2 2
D[ ] exp x a /2 dx , (1.3.37)
2
2
. .
. N (0, 1) -
.
, -
, -
, .

2 r
(2r )!
2r , r = 1, 2, … . (1.3.38)
r! 2

1.3.6.

b
w ( x) 2
,b>0 (1.3.39)
2
b x x0

74
 , -
,
xk
2
dx
2
b x x0
k = 1, 2, … .
C ( x0 , b) , x0 — ,
, , b>0— , -
“ ” . C (0, 1) -
.
1.3.7.
-
. -
, -

.
E[ / y] -
, -
= y,

E[ / y] xw ( x / y ) dx . (1.3.40)

(1.3.40) ,
:

xw(2) ( x, y ) dx xw(2) ( x, y )dx

E[ / y] . (1.3.41)
w ( y)
w(2) ( x, y )dx

2
D[ / y] x E[ / y] w ( x / y )dx

75
 2
x E[ / y ] w(2) ( x, y )dx
. (1.3.42)
w(2) ( x, y ) dx

, -
, ,
, , , -
, .
.
, (1.2.17)
1
E[ / y]
2 1 r2

1 2
x exp 2
x a / r y a / dx
21 r

a r y a / , (1.3.43)
. . y. r = 0, y= a
.

1 2
D[ / y] x a r( y a ) /
2 1 r2

1 2
2
exp 2
x a / r y a / dx 1 r2 .
21 r
(1.3.44)
, -
, , -
r . r= 0
.
-
, (1.3.40) (1.3.42) -
(1.2.41) :

76
 E[ / yj ] xi P xi / yj ; (1.3.45)
i
2
D[ / yj] xi E[ / yj] P xi / yj . (1.3.46)
i

, . 1.2.3
:
E[ / 1] 2 0 0 0,500 1 0,500 3 0 0,500 ;
E[ / 0] 2 0, 667 0 0,333 1 0 3 0 1,334 ;
E[ / 2] 2 0, 091 0 0, 273 1 0, 273 3 0,363 1,180 ;
E[ / 4] 2 1,000 0 0 1 0 3 0 2, 000 .
E[ / y] -
.
E[ / y] y .
“ ”
. 1.14).
, -
,
.
, -
“ ” ,
. . g(y), E[ / y] -

2
E g ( y) .

E[ / = y]
1
y
-1 0 1 2 3 4
-1
-2
. 1.14.

77
 (1.3.40) w (y) y,
“ ”
:
E[ ] E E[ / y] . (1.3.47)

1.3.8.
-
r , -

.
.
( . . 1.2.2),
,
, , ( -
) .

.
, n -
1, …, n,

w(1n ) n ( x1 , , xn ) , k

(k = 1, …, n)

E[ k ] xk w(1n ) n ( x1 , , xn )dx1 dxn , (1.3.48)

—
2
D[ k ] xk E[ k ] w(1n ) n ( x1 , , xn )dx1 dxn . (1.3.49)

, n n, -
, n
— . ,
(1.3.48) (1.3.49); -
(
), -
( ).

78
 ) .
11 j, k] -
j k ,
Cov jk 11 [ j, k ]

xj E[ j ] xk E[ k ] w(1n ) n ( x1 , , xn )dx1 dxn . (1.3.50)

, k= j -
.
-
j k Kjk — -
:

K jk m11[ j , k ] x j xk w(1n ) n ( x1 , , xn )dx1 dxn . (1.3.51)

11 [ j, k ]
rjk , (1.3.52)
D[ j ]D[ k ]
[–1; +1],
j k.

.
, , -
, j k -
:
D[ ]
E[ ] E[ ] .
D[ ]
, , -
, , — -
. , -
, -

79
 , , -
, .
Covjk ( ) -
n × n:
Cov11 Cov12 Cov1n
Cov 21 Cov 22 Cov 2 n
Cov . (1.3.53)

Cov n1 Cov n 2 Cov nn

Covjk = Covkj, -
, .
1, …, n , . .
Covjk = 0 j k, :
Cov11 0 0
0 Cov 21 0
Cov . (1.3.53 )

0 0 Cov nn
, , ,
, , ,
, , ,
,
.
n -
, -
,

mk1 kn [ 1, , n ] x1k1 xnkn w(1n ) n ( x1 , , xn ) dx1 dxn , (1.3.54)

kj — , .
n -
1, …, n — , . —
. , -
E[ 1 / x2 , , xn ] ,
1, , 2, …, n
x2, …, xn,

80
 E[ 1 / x2 , , xn ] x1w x1 / 2 x2 , , n xn dx1 , (1.3.55)

w x1 / 2 x2 , , n xn — .
(1.3.55), -
, 1 2, …, n -
n . ,
, . .
:
n
E[ 1 / x2 , , xn ] c1 ci xi , (1.3.56)
i 2

c1, …, cn — .
1.3.9.

.
— -
, (
)
,
. — -
, -
.
n -
(n ) = ( 1, …, n) :

a E E 1 , ,E n a1 , , an ;
K, -

E ( i ai )( j aj) Cov i , j , i, j 1, ,n;

ij K–1, K.
:

81
 n n
(n) 1 1
w x1 , , xn ; t1 , , tn exp xi ai xj aj ij
(2 ) n det K 2 i 1 j 1
.
(1.3.57)
, A–1
n×n , , . . det A -
. ij ( i, j 1, ,n)
A ji
ij
,
det A
j i i
Aij ( 1) M j — ij , -
( ) det A i -
j .
(1.3.57)
, , -
.
( )
x1 a1
x a
xn an
( )
x a x1 a1 , xn an ,

1 1
w( n ) x1 , , xn ; t1 , , tn exp x a K 1
x a . (1.3.57 )
(2 ) det Kn 2

, , [6], -
, . . .
,
, -
, -
: .

1.4.

, , , -

82
 , -
,
, -
. . -
, . . -
, -
. -
, ,
, -

;
; -
.

, , , , , -
.
, -

: . -
, , -
.
. -
( )

x x (1) , x (2) , , x( M ) . (1.4.1)

, , — .
.
.
-
, ,
. -

83
 . , -
, -
, , -
, .
.
, , -
, , -
. , , . .
.
.
-
(x(1), y(1)), …, (x(M), y(M)) , ,
,
, -

2
E[ / y] f ( y, b) , D[ / y] g 2 ( y) ,
b— , f,
g— , , ,
. -
f y b.
. , -
, -
. -
, ( )
( ) .
M -
(1.4.1) ,
, ,
— . -
,
. :
(M >> 1),
, ( -
);

84
 ,
( ).
x , -
,
x(i) x ( j ) , i > j,

. k -
k- . -

xmin min x1 , x2 , , xM

xmax max x1 , x2 , , xM
,
xM /2 xM /2 1 / 2, M ;
xmed
x( M 1)/2 M .
-
.
-

F (x), -
— -
( ) F*(x), . x
( , )
(x) — ,
x. ,
M
( x) 1
F * ( x) e x x( k ) . (1.4.2)
M M k 1

F*(x) — , ( ),
xmin xmax. M
, 1/M. ,
, -
,
.

85
 F*(x) F (x), -
,
M. , F*(x) F (x) -
, . . >0
lim P F * ( x ) F ( x) 1.
M

.
MF*(x) -
B(M, F (x)).
-
:
E[ F * ( x)] F ( x ) . (1.4.3)
, ,
, -
.

F ( x ) 1 F ( x)
D[ F * ( x)] . (1.4.4)
M
, -
; -
.
x,
F (x) ,
M F * ( x ) F ( x)
( . . M)
F ( x) 1 F ( x) .
, — -
, -
.
, , .

, -
L , -

86
 , . -
, ,
-
. r
r {xr ; xr 1}, r = 1, …, L,
nr , -
nr /M. -
,
, — nr /(M r). -

L
* 1 nr
w ( x) rect x, xr , xr 1 (1.4.5)
M r 1 r

. (1.4.5)
1, a x b;
rect( x, a, b)
0, x a, x b;
. M -

, , -
.
M -
: L , , -
, -
; ,
“ ” -
, .
L
:
3
L M . (1.4.6)
, , -
, M ,
, , . .
, -
.

87
 . 1.3, -
,
— . ,
-
, .
, -
( ) ,
, . . -
, .
mk ( ) k ( ), -
: mk*
*
k.

k
k :
M
* 1 k
mk x (i ) , k = 1, 2, … . (1.4.7)
M i 1

, ,
,
:
M
* 1
m 1 x (i ) . (1.4.8)
M i 1

:
M M
* 1 (i ) 1
E m
1 E x E E ,
M i 1 M i 1

. . ,
2 2 2
D m1* E m1* E m1* E m1* E

M M
1 2
E x(i) x( j ) E
M2 i 1 j 1

M
1 2 2
E x (i ) x(i) x( j ) E
M2 i 1 i j

88
 M 2 M2 M 2 2 1
E E E D .
M2 M2 M
, ( -
) -
, — .
,
, . .
m1* N E[ ], D[ ] / M .
x(k ) m1* -
,
k :
M
* 1 k
k x (i ) m1* k = 2, 3, … . (1.4.9)
M i 1

,
M M
* 1 (i) * 2 1 2 2
2 x m1 x (i ) m1* , (1.4.10)
M i 1 M i 1

,
-
.

M M M
* 1 (i) 2 1
E 2 E x E x(i) x( j ) E 2

M i 1 M2 i 1 j 1

1 2 2 M 1
ME M2 M E D (1.4.11)
M2 M
( -
M), , -
. ,

M
2 M 2
S x(i) m1* . (1.4.12)
M 1 i 1

, ,

89
 2 2 2
* 4 2 2 4 4 2 4 3 2
D 2 ,
M M2 M3
. M (1.4.12)
, , -

2
* 4 2
D 2 . (1.4.13)
M

1.5.
-
. -
,

, -
, . -
.

,
, .
, -
-
, .

, ,
-
—“ ”,
( , -
), “ ”
“ ”.
, -
:
, “ ,
, -
. , -

90
 , .
, -
,
.
1.5.1.
, n -
,
” i (i =1, …, n), -
1 p 0 1 – p.
” pn(k) , k -
, ,
,
pn (k ) Cnk p k (1 p)n k .
, “ ” , ,

k
pn (i k) Cni p i (1 p ) n i

i 0

, k . -

n!
Cnk ,
k !(n k )!
,
k
p, n
.
, -
, , “ ”
, -
, -
. -

. , “ ”,

91
 , -
.
, -
-
,
.

k np
xk ,
np (1 p )
-
. pn(k) -
1
:
1 1 xn2
pn ( k ) exp , (1.5.1)
n np (1 p ) 2 2
. .
1 1 xn2
pn ( k ) exp . (1.5.1 )
np (1 p ) 2 2
(1.5.1) p,
np(1 – p). n
. . ), p 1/2. -
(1.5.1 ) np(1 – p). -
,
np(1 p ) 20 ;
.
, n = 10 , p = 5·10–3
4

np (1 p ) 49,75 20 .
, , pn(40) 1,97·10–3,
(1.5.1) 2,06·10–3, -
.
, n = 100 p = 0,2,

1
p = 1/2 1730 . . ,
, , .- .
p.

92
 np (1 p ) 16 20 .
pn(8)
2,3·10–3 4,4·10–3, . .
.
(1.5.1) “ ” , . -
pn(k) -
. –
:
b
k np 1
P a b exp x 2 / 2 dx , (1.5.2)
np(1 p) n 2 a

.
b
k np 1
P a b exp x 2 / 2 dx , (1.5.2 )
np(1 p) 2 a

“ ”
pn(i k).
(1.5.2) . ,
,
,
k np k np
P a b P a b .
np(1 p) np(1 p)
,

. -
, , ,

. n , -
, n -
.

93
 k
P p , > 0.
n
(1.5.2), n
k n k np n
P p P
n p(1 p) np(1 p) p(1 p)
n / p (1 p )
1
exp x 2 / 2 dx .
2 n / p (1 p )

, n , ,
k
P p 1. (1.5.3)
n n

1
, ,
,
: -
-
. (“ ”)
, .
.
, -
, np(1 – p) .
( 1) p “ ” n -
(1.5.1) ,
, -
2
p.
. .
n:
pn 0,
n

npn :
npn n ,0 n .
n

:
1
. XVII–XVIII .
2
( 1) p -
q=1–p .

94
 k
pn (k ) exp( ), (1.5.3)
n k!
. .
k
pn (k ) exp( ). (1.5.3 )
k!

, , (1.5.3) -
–2
, p—“ ” ( 10
), np — .
n = 800 p = 5·10–3. =4 , , pn(4),
(1.5.3),
44
p800 (4) exp( 4) 0,1954 ;
4!
0,1945. , –
0,2000, 3%.
1.5.2.
,
( , , ), -
, .
,“ ” ( ) “ -
” -
, , -
(
, .).
, -
.
,
(
), ,
.
-
1, 2, …

ck ( ) P k ,

95
 , | k– |
> 0.
{ck} :
lim ck ( ) lim P k 0
k k

, ,
lim c1k ( ) lim P k 1,
k k

, .
“ ”
, , , -
, .

, 1, 2, … -
.
, . k -
:k>0 0
1 1
P k k , P k 0 1 .
k k
, .
> 0. ,
k> ,
1
P k 0 P k P k k 0.
k

( ), {k}
.

2
dk E k ,
-
2
( k– ) . {dk} :
2
lim d k lim E k 0,
k k

.
, -
:
T 2
1
lim dT lim E (t )dt 0.
T k T 0

( )

96
 Fk (x) F (x) — k -
. {Fk (x)}, -
{ k}. {Fk (x)}
F (x) , F (x) :
lim Fk ( x) F ( x) ,
k

, .
“ ”:
;
, -
. “ ” , -
.

1.5.3.
. 1.5.1
,
(1.3.13), -
, ,
-
:
2

P | | 2
.

, { k}, k = 1, …, N, -
, -
a=E ] , —
:
N 2
1
P k a 2
. (1.5.4)
N k 1
N

” “ ” -
N .
N
, (1 / N )
k 1 k

a; , -
-
, N -

97
 , . .
.

, (1.5.4), -
, -
.
,
( ) .
{ k}, k = 1, …, N – -
, .
,
, .
{ k}
N
f k ,
k 1

f :
1, | x | N ;
f ( x)
0, | x | N .
, ,
N N
1
P k P k N P 1 .
N k 1 k 1

–0 1,
P 1 1 P 1 0 P 0 E[ ] .
,
N N
1
P k E[ ] E f k . (1.5.5)
N k 1 k 1

k
-
(1.5.5). , ( . 1.15)
2
x
f ( x) . (1.5.6)
N

98
 N N 2
1
E f k E k ,
k 1
( N )2 k 1

, , k , -
,
N N 2 2
1 1 2
N
P k ,
N k 1
( N )2 k 1
( N )2 N 2

. . .

. 1.15.

,
f(x) (1.5.6)
g(x):
f ( x) g ( x) ,

N N
1
P k E g k .
N k 1 k 1

, , -
, .
N
1
P k .
N k 1

g ( x) exp ( x N ) ,

99
 — ,
, , .
N N N
1
P k E exp k N exp N E exp k .
N k 1 k 1 k 1

k,
exp( k),
N N
N
E exp k E exp k E exp k .
k 1 k 1

,
N N
1 N
P k exp N E exp k E exp k
N k 1 k 1

(1.5.7)
> 0, , -
0, (1.5.7).
,
N
Q( ) E exp k ,
, .
:
Q( ) N 1 E exp k
N E exp k

N 1 exp k
N E exp k E

N 1
N E exp k exp E k exp k .
, ,
0

E k exp 0 k
. (1.5.8)
E exp 0 k

N
1 N
P k E exp 0 k 0 . (1.5.9)
N k 1

100
 , 0
0.
, (1.5.8) (1.5.9), -
. ,
(1.5.4), , , -
:
B ln E exp 0 k 0 , 0,
(1.5.9) ,
N
1
P k exp BN ,
N k 1

. . N, -
(1.5.4) 1/N. , , -
B, , .
, N B1 > B,

N
1
P k exp B1 N
N k 1

N( , -
).
,
k a=E k]. -

k k a , k = 1, …, N,
, -
(1.5.8) (1.5.9).
N
1 N
P k a E exp 0 k exp 0 a 0 . (1.5.10)
N k 1

0
:
E k exp 0 k
a . (1.5.11)
E exp 0 k

101
 :
P k = 1) = p, P k = 0) = 1 – p, k = 1, …, N,

E k p, D k p(1 p) ,
E exp 0 k p exp 0 1 (1 p )exp 0 0 p exp 0 1 p

E k exp 0 k 1 p exp 0 1 0 (1 p )exp 0 0 p exp 0 .

, (1.5.11) :
p exp 0
p ,
p exp 0 1 p

( p )(1 p)
0 ln ,
p(1 p )
0 >0 > 0.
, (1.5.10):
E exp 0 k exp 0 p 0 exp 0 p 0 E exp 0 k

p
exp( 0 ) p exp( 0 ) (1 p)
p
p(1 p ) ( p )(1 p)
1 p p
( p )(1 p) p(1 p )
p p 1 p
p (1 p ) 1 p p (1 p)
,
( p )(1 p ) 1 p (p ) (1 p )
-
:
N (p )N (1 p )N
1 p (1 p)
P k E[ k ] . (1.5.12)
N k 1 (p ) (1 p )
, , (1.5.4),
N
1 p(1 p)
P k E[ k ] . (1.5.32)
N k 1
N 2

102
 -
:
k D[ k ] k k p(1 p) , k = 1, 2, …

N
1
P k E[ k ] k p (1 p )
N k 1

( p k p (1 p ) ) N (1 p k p (1 p ) ) N
p (1 p)
. (1.5.12 )
( p k p(1 p)) (1 p k p(1 p))

N
1 1
P k E[ k ] k p(1 p) . (1.5.32 )
N k 1
Nk 2
. 1.5
, = , p = 0,1 -
N.
1.5

N 1 5 10 25 50 100
7,3·10–1 2,1·10 –1
4,5·10–2 4,2·10–4 1,7·10–7 3,0·10–14

1,0 2,0·10–1 1,0·10–1 4,0·10–2 2,0·10–1 1,0·10–2

, . 1.5, -
N (N = 1…7) -
( ),
N = 10 .

103
 1
1.1. X
_________
(X A) X A B.
1.2. , , -
:
( ) = 0,85; ( ) = 0,9; ( ) = 0,95;
( ) = 0,7; ( ) = 0,7; ( ) = 0,7?
1.3. k , -
n1, n2, ..., nk . -
p. -
, -
. , k -
.
1.4.
?
1.5. -
5 10.
.
1.6. (0,0), (0,1), (1,0), (1,1)
, ( , )— .
2
) , + + =0 -
, ,
.
) ,
+ 1 2/9.
) ,
.
1.7. -
[0,1].
.
1.8.
:
) 10 , 0 9;

104
 ) 20 , 1 20.
.
?
a b– , ,
a) = max(a, b), = min(a, b);
) = |a – b|, = min(a, b).
,
2 2
. , – 3. -
:
)P < 5 / < 4}.
)P < 20 / < 10}.
-
. ?
1.9. —
. + – ?
n
1.10. , — -
.

105
 2.

, , -
. -
—
-
.

)
: , -
“ ” , -
, -
. ,
, ,
,
.

. -
, -
( ) , -
,
,
. .
“ -
”,
, -
.
( ).
,

106
 , ,
.
,
, -
, . . .
( ),
.
( ), -
.

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

, —
, .

,
. -
— — -
, -
:
.
, , -

107
 ( ) ,
, ( . 3), -
,
, , , -
.
-
, , -
: , -
, , , ( ,
, -
). -
-
, ,
, . ,
, , ,
MATLAB1,
” .
, ,
,
, ,
. -
“ ” — -
.

2.1.

-
,
, ( ) ,
, —

1
MATLAB (MATrix LABoratory) —
, (Cleve Moler), -
, -
.

108
 ,
- . -
, -
, , — -
.
“ ”
, ,
[0; 1] ,
, -
( ) . -
, , ,
, -
( -
) . ,
, -
, , -
“ -
” . , -
, -
“ ”.
, (
, -
: , -
; -
.
-
( -
), -
,
( ,
, .),
.
“ ” —
[0; 1]
( . . -

109
 ), ( )
.
-
. -
,
,
M = 2n zk (k = 1, …, M),
n— . x,
[0; 1],
z k, . . ,
, , M.
,
-
[0; 1] . -
:
1
“ ” ? -

,
[0; 1] -
. -
, , -

, -
.
-

1
“ ” ,
, , ;
. -
. :“ , -
, -

, , -
”.

110
 , -
, , [3, 4].

(“ ”) ( ) -
. — -
-
. X
X1 X2: , -
, X1, , — X2 — -
, , -
.
, -
.
-
, :
— , -
, —
, .
”
: -
—
, ,
, —
, 1– .
, -
. ,
;
,
( 10–2…10–3) -
X2, -
.
, “ ” -
F*(x), L
x x1 , x2 , , xL ,

111
 ( ) F (x)
, -

DL sup F * ( x ) F ( x ) , (2.1.1)
X

.
(2.1.1) : x -
*
F (x) F (x),
L ( -
), L DL -
, .
-

K (t ) lim P LDL t ( 1) j exp 2 j 2t 2 . (2.1.2)

L
j

K(t),
,

L 20, . . ,

K (t ) P LDL t ( 1) j exp 2 j 2t 2 , L 20. (2.1.2 )

j

K 1 . (2.1.3)
, = 0,01 = 1,628; = 0,05 = 1,358.
MATLAB

kstest1.

1
, MATAB, -
-
.

112
 ,
: DL -

LDL ,
;
, ,
1– .
DL -
. -
, -
— ,
.

: -
( — [0; 1]) -
n Sr (r = 1, …, n),
r
Sr .
pr ,

n 2
2 r pr
n L , (2.1.4)
r 1
pr
( — L 50) -
(n – 1) ( , ,
). ,
2
(1 – )- 1 ,n 1 , . . -
,
2 2
n 1 ,n 1 .
L n
; -
1, :
3
n L .

113
 MATLAB
chi2inv.
. 2.1 -
n.
, -
, .

2.1
2
1 ,n

n
0,99 0,95 0,10 0,05 0,02 0,01
2 0,020 0,103 4,605 5,991 7,824 9,210
5 0,554 1,145 9,236 11,070 13,388 15,086
10 2,558 3,940 15,987 18,307 21,161 23,209
15 5,229 7,261 22,307 24,996 28,259 30,578

, -
,
,
.
, , -
—
—
,
. 1.4), -
. ,

.
-
, [0; 1].

114
 2.1.1. “ ”
-
1
, , .
1951 . (middle-square method).
a 0,
2n , 1 0,
, 4n , z1 2n
: (n + 1)- (3n)- . ,
, , -
.

200 1
F *(x), F (x)
0.8
150 *
F (x)
0.6
100
0.4
F (x)
50
0.2
x x
0 0
0 0.5 1 0 0.5 1
) )
. 2.1. ( ), ( ) -
,

. 2.1, 103 , -
a0 = 27846 32- -
, ,
[0; 1] .
-
.

1
(John von Neumann) — ,
, -
.

115
 ,
. . 2.2 -
,
DL = 0,083. ,
L = 1000
LDL 1000 0,083 2,625
= 1,628,
= 0,01, , , , -
[0; 1] -
—
.

0.1
|F*(x) - F (x)|
0.08

0.06

0.04

0.02
x
0
0 0.2 0.4 0.6 0.8 1
. 2.2.

-
2
n (2.1.4).
2
n 102,0 . . 2.1, n = 10 -
10–1…10–2 16…23.
2
, n 102,0
, , -
[0; 1]
.

116
 , “ ” -
1
, -
.
“ ” —
.
2.1.2.
b1 b 2, 2n -
, , -
z1 —
. b2 z 1, -
— (n + 1)- (3n)- —
z2 — ; , -
b2 , -
.

150 1
F* (x), F (x)
0.8
F*(x)
100
0.6

0.4
50 F (x)
0.2
x x
0 0
0 0.5 1 0 0.5 1
) )
. 2.3. ( ), ( ) -
,

1
,
, , int16 uint16,
, -
( ) .
, ,
a0.

117
 103
b1 = 27835 b2 = 16723
. 2.3, -
-
, :
2
DL = 0,029 ( LDL 0,917 ) n 14,0 ,
10–1…10–2 -
[0; 1] .
, , -
( )
, , 22n ( -
2n ).
2.1.3.
-
, [2], . -
1
, -
2
M:
zk 1 zk c (mod M ) , k = 0, 1, … (2.1.5)
c— , , , -
z0, “ ” (seed).
( !) -
“ ”:
c— ;
p –1 p.
M 4, –1 4.
c=0 -
(residual method), -
.

1
(Derrick Henry Lehmer) — ,
, . ( ).
2
(mod) , r = sm + l
(0 l < m), r (mod m) = l.

118
 , . -
M -
, -
, M.
M. M M
: 0, 1, …, M –1. M
M. .
17 42
, z0 = 1, =5 M=2
, 242 1012. -
3
10 -
. 2.4, -
[0; 1].

150 1
*
F (x), F (x)
0.8
F*(x)
100
0.6

0.4
50 F (x)
0.2
x x
0 0
0 0.5 1 0 0.5 1
) )
. 2.4. ( ), ( ) -
,

— -
1
DL = 0,007 ( LDL 0,221 )
2
n 0, 26 , -
.

1
,
“ ”; , , -
.

119
 ( c 0)
[2]. . 2.2
, -
[0; 1] -
.

2.2

c M
63641362238467 44269504088896 264 64- RISC-
93005 3407
22695477 1 232 Borland ++
134775813 1 232 Borland Delphi
214013 214013 232 Microsoft Visual
++
1103515245 12345 232 ANSI C
69069 5 232 GNU Compiler
Collection

2.1.4.
MATLAB
MATLAB rand, -
[0; 1]
-
.
(1960- ) 4
“ ”( , , ) -

= 216 + 3 = 65539, = 0, M = 231 = 2147500000,

32- .
4 -

= 75 = 16807, = 0, M = 231 – 1 = 2147483647,

120
 1 1
31
;1 31
2 1 2 1
231 – 2. 32-
.
1990- -
(
), .
1995 . ( 5 7.3) .
(George Marsaglia) “ ” (subtract with borrow),

. -
2 53 ;1 253 -
21492 .
7.4 .
(Mersenne Twister),
. -
2 53 ;1 253 219937 1 / 2 .

rand(method,s),
method — , -
: ‘seed’ — ; ‘state’ — -
; ‘twister’ — . -
s :
31
‘seed’ — 0 2 – 2; ‘state’ ‘twister’
32
0 2 – 1.
rand :
>> rand
ans =
0.4170
. ,
>> rand(3,4)
ans =
0.7203 0.1468 0.3456 0.4192

121
 0.0001 0.0923 0.3968 0.6852
0.3023 0.1863 0.5388 0.2045
3 × 4.
, -
,
U(0; 1) — -
[0; 1] .
, .
Ud(N), . . -
1, …, N
, u U(0; 1) N,
:
ud Nu 1. (2.1.6)
, -
3
N( 10 ) -
;
.
MATLAB -
unidrnd.
unidrnd(n)
1 n:
>> unidrnd(10)
ans =
9
. ,
>> unidrnd(10,3,4)
ans =
10 7 6 2
2 1 10 10
10 4 3 1
3×4 , -
1 4.
—
( ) —
. ,
122
 , -
, . -
,
.
”
, -

.
K , ,
, . ,

. ,
K
12 K
i , (2.1.7)
K i 1
2
— U(0; 1), K = 12,
w (n) -
–3
9 10 |n| < 2 9 10–1
2 < |n| < 3, ( ) -
, |n| 6 w (n)
.
, -
“ ” :
1
” (|n| < 3) ( )
. ,
,
, ( -
, ) -
“ ”. “ ” ,
(2.2.7), , -
( ) .

1 2

3 0,999.

123
 1
. ,
(ziggurat algorithm), -
5 MATLAB.
, , -
, “ -
”, , ,
, -
—
f(x) = exp(–x2/2).
.
, , , , -

w( x ) 2 / exp( x 2 / 2) , x 0 .
“ ” -

( ) .

0.76

0.59

0.45
0.33
0.23
0.14
0.06
0
0 0.74 1.031.26 1.49 1.72 1.98 2.34

. 2.5.

1
— , -
.

124
 n , -
.( -
— ).
. 2.5 , n=8 ;
(n = 128 5 MATLAB).
n n–1 -
, n -
“ ”.
xk (k = 1, …, n + 1) — . ,
xn+1 = .
f ( x1 ) 1 , f ( xn 1 ) 0 ,
S
S xk 1 f ( xk ) f ( xk 1 ) , k = 1, …, n – 1. (2.1.8 )
S
:

S xn f ( xn ) exp x 2 / 2 dx , (2.1.8 )
xn

xn -
(2.1.8 ) (2.1.8 ).
n=8 xn = 2,341.
n = 128 256 xn = 3,443
3,654 .
xn xk
,
xk 1
k ,
xk
.
-
. -
k ,
[–1; 1] u( -
“ ” ), -

125
 : u
, . . |u | k , -
,
| u | xk xk 1 .
, uxk
, , ,
. ,
.
, -
,
x(k) gama(k) .
k = unidrnd(128);
u = 2*rand – 1;
if abs(u) < gama(k)
n = u*x(k);
end;
, xk k -
, , , , -
.
MATLAB
normrnd.
normrnd(mu, sigma) -
2
mu sigma (
sigma ):
>> normdrnd(0,1)
ans =
-0.4326

. ,
>> normdrnd(0,1,3,4)
ans =
-1.6656 -1.1465 -0.0376 -0.1867
0.1253 1.1909 0.3273 0.7258
0.2877 1.1892 0.1746 -0.5883

126
 3×4 -
.
. 2.6 -
, -
normdrnd.
8000 .

1500 1
F*(x)
0.8
1000
0.6

0.4
500
0.2
x x
0 0
-4 -2 0 2 4 -4 -2 0 2 4
) )
. 2.6. ( ) ( )

( ,
,
.

2.2.

-
. -
n
, , w x1,..., xn -
1,…, n ( n -
),

127
 yi f i x1,..., xn , x1, …, xn -
1, …, n y1, …, yn
1, …, n (n ),
1 f1 ( 1 ,..., n );
(2.2.1)
n f n ( 1 ,..., n ).
n
w y1,..., yn -
, , , .
, f1, …, fn -

, -
, w (x) -
F (x),
f ( ),
x Y = {y}
. f— -
( . 2.7),
f 1( ) g( ) ,
y x:
x = x(y).

. 2.7.

128
 -
, , , -
[x; x + dx], — [y; y + dy] ,
. . :
P x x dx w ( x)dx w ( y )dy P y y dy .
, :
dx( y )
w ( y) w ( x( y )) . (2.2.2)
dy
,
.
, -
:
g, f;
= dx(y)/dy ;
w (x) y -
;
w (y), -
(2.2.2).

y + dy

x1 x1 + dx1 x2 x2 + dx2 x3 x3 + dx3 x

. 2.8.

129
 , f -
, y
x ( . 2.8, y
x), . .
y y dy
:
x1 x1 dx1 x2 x2 dx2 … xQ xQ dxQ ,
Q– .
-
[y; y + dy]
[xk; xk + dxk] (k = 1, …, Q),
-
:
Q
dxk ( y )
w ( y) w ( xk ( y )) . (2.2.3)
k 1
dy
,
X
Xk (k = 1, …, Q) f; -
gk ,
(2.2.3).
, xk(y)
y, , . . -
, w (y)
y.

a b, (2.2.4 )
X
b
. (2.2.4 )
a
dx(y)/dy = 1/ ,
y b 1
w ( y) w , (2.2.5)
a |a|

130
. .
.
. 2.9, :( -
)
y kx 2 , (2.2.6)
-
( ).

) )
. 2.9. ( ) ( )

g1 ( y ) y / k , y 0; (2.2.7 )

g 2 ( y) y / k , y 0. (2.2.7 )

dg1,2 ( y ) 1
,
dy 2 ky
, (2.2.3),
1
w ( y) w y/k w y/k , y 0. (2.2.8)
2 ky

131
 (2.2.8) : -
-
. , -
, . . w (x) — , (2.2.8)
:
1
w y/k , y 0;
w ( y) ky (2.2.8 )
0, y 0.
w (y) :
( ) .

1 / (2c ), x c; c ;
w x
0, x c; c ;

1 / (2c ), y [0; kc 2 ];
w y/k
0, y [0; kc 2 ],

1
, y [0; kc 2 ];
w ( y) 2c ky (2.2.9)
2
0, y [0; kc ].
y=0 w (y) ,
; w (y) [0; kc2] -
, , .
. 2.10 (2.2.9), -
, -
; 8000.
w (x) — N(a, 2) -
2
a (
).
2
1 y/k a
w y/k exp 2
,
2 2 2

132
 2 2

1 y/k a y/k a
w y exp 2
exp 2
2 yk 2 2
2 2

1 y a 2k a y
exp 2
ch 2 , y 0 , (2.2.10)
2 yk 2 k k
ch(x) = [exp(x) + exp(–x)]/2 — .

4 2000
W (y)

3 1500

2 1000

1 500

y/kc2 y/kc2
0 0
0 0.5 1 0 0.5 1
) )

1
*
F (y)
0.8

0.6

0.4

0.2
2
y/kc
0
-0.2 0 0.2 0.4 0.6 0.8 1 1.2
)
. 2.10. ( ), ( )
( )

133
 (2.2.10), -
,
k = 1, a = 1, =1 . 2.11. -
8000 .
1 5000
kW (y)
0.8 4000

0.6 3000

0.4 2000

0.2 1000
y/k y/k
0 0
0 5 10 15 0 5 10 15
) )
1
F * (y)
0.8

0.6

0.4

0.2
y/k
0
0 5 10 15
)
. 2.11. ( ), ( )
( )

-
. , , -
[–c; c]
( . 2.9, )
kx 2 , x 0;
y (2.2.11)
0, x 0.

134
 [0; + ) (2.2.7 ), -
—
w ) ( y)
1
w ) ( y) w y/k .
2 ky
x, , -
, y = 0.

w ) ( y) — q ( y) . -
q, ,
,
y = 0.
8 5000
W (y
4000
6
3000
4
2000
2
1000
2 2
y/kc y/kc
0 0
0 0.5 1 0 0.5 1
) )
1
*
F (y
0.8

0.6

0.4

0.2
2
y/kc
0
-0.2 0 0.2 0.4 0.6 0.8 1 1.2
)
. 2.12. ( ), ( )
( )

135
 q P 0 F (0) ,
F (x) — . ,
1
w y w ) ( y ) w( ) ( y ) F (0) ( y ) w y/k , y 0. (2.2.21)
2 ky
, [–c; c]

1 1
( y) , y [0; kc 2 ];
w ( y) 2 4c ky (2.2.12)
0, y 0, y kc 2 .

, , .
,
( . 2.12).
, ,
, -
w (y), :

E m k f n ( x) w ( x)dx ; (2.2.13 )

n
E k f ( x) E w ( x)dx . (2.2.14 )

.
-
.
xk -
pk = P(xk) (k = 1, 2, …). =f ) -
, yk = f(xk). -

P yk P xk pk .

136
 , yk
xk1 , …, xkm ,
P yk P xk1 P xkm pk1 pkm .
,

. -
. w (x) w (y)
: (“ ”) (“ ”) ,
= f ), -
. ,
-
, , -
,
[0; 1] .

2.3.

, , -
(2.2.4) ,
) “ ”
:
1 x b
w x w .
a a
, -
. , -

u = 2*rand – 1
[–1; 1] -
U(0; 1).
-
.

137
 2.3.1.

(
),
.
1
w (y)

w ( y )dy , (2.3.1)

, , F (y) -

F 1( ) , (2.3.1 )
— ,
[0; 1], w (y).

1 w ( y )dy

y1 w ( y )dy F ( y) ,

-
. , (2.3.1),
P y P 1 y1 P F ( y) F F ( y) .
, F (k) -
[0; 1]

F (y) ,
1
F (k ) . F (y) , ,
1
F (k ) sup y : F ( y) k .

138
 0, k 1;
F k k , 0 k 1;
1, k 1.
F (y) , -
0 1, ,
P y F ( y) ,
. . -
F (y).

(2.3.1) , -
-
. ,
, , -
, w (y) . -
, (2.3.1) -
, ,
.
, -
. , ( ) -

exp y , y 0;
w ( y) > 0,
0, y 0,
(2.3.1)
exp 1 ,

exp ,
1– .
1
ln . (2.3.2)

MATLAB
-
exprnd(mu,n,m), mu — m n —
. ,

139
 >> exprnd(1,3,4)
ans =
0.2049 0.0906 1.2783 0.0357
0.0989 0,4583 0.6035 1.8476
2.0637 2.3275 0.0434 0.0298
3×4 ,
= 1.
. 2.13
, (2.3.2) = 1.
8000 .
3000
* 1
F (y)
0.8
2000
0.6

0.4
1000
0.2
y y
0 0
0 2 4 6 8 0 2 4 6 8
. 2.13. ( ) ( )
=1

y y2
2
exp , y 0;
w ( y) 2 2 , > 0,
0, y 0,
(2.3.2)
2
1 exp 2
,
2
:
2ln 1
, ,
2ln . (2.3.3)

140
 , , ,
( ) -
.
. 2.14 -
, (2.3.3) = 1. -
8000 .

1500 * 1
F (y)
0.8
1000
0.6

0.4
500
0.2
y y
0 0
0 1 2 3 4 5 0 2 4
. 2.14. ( ) ( )
=1

MATLAB ( -
) raylrnd(sigma,m,n), sigma —
, m n — .
,
>> raylrnd(1,3,4)
ans =
0.7302 0.3094 1.1930 1.3475
2.7460 1.5660 0.8332 0.7383
0.1852 1.1924 0.4402 1.7784
3×4 ,
= 1.
, “ ” -
, -
(2.3.2). -
, (2.3.2)

141
 . -
, -
. ,
-
F 1, , -
, , -
, , .
, , , -
. ,
-
— -
, “ ” ( , -
. .).
2.3.2.
( ),
. , ,

. .
g— ,
[a; b] , —
w (y),
( . 2.15).

. 2.15.

142
 g G( . 2.15 G — -
, ;y— -
,z— ), “ ” [a; b]
(y, z) — ( , ), -
G. ,
w (y) z y -
w (y),
. . , (y, z)
. -
(y, z) w (y) z.
, G,
g. , (y, z)1
, (y, z)2 — , -
g.
, , -
, w (y). -

P y y y, w ( y ) z
w y / w ( y) z ,
yP w ( y ) z
y— .
P w ( y) z — -
, -
( , ) -
g G:
b
Sg 1 1
P w ( y) z w ( y )dy .
SG SG a SG

y y y, w ( y ) z
w (y), -
y. ,
( , ),

143
 y y
1 yw ( y )
P y y y, w ( y ) z lim w ( y )dy .
y 0S SG
G y

,
w y / w ( y) z w y .
-
. w (y)
, , y w (y) < 1,

w (y). , w (y) z, y
;
(y, z) .
, -
, -
q w (y)
G. , k -
,
k
(k + 1)- , q(1 – q) . ,
-

1
kq (1 q )k 1.
k 1
q
, ,
,
).
2.3.3.
,
-
. , -
w (y) ,
wk(y):
K
w y pk wk ( y ) , (2.3.4)
k 1

144
 p1, …, pK — ( ), -
.
(2.3.4) ,
w (y) gk
(k = 1, … K), pk ( . 2.16).
wk(y) “ ” -
gk ( pk ) wk(y).

W (y) W1(y)

g1

g2
g1
g3
a b y a b y
W2(y) W3(y)

g2
g3
a b y a b y

. 2.16.

, , -
, . . pk ,
wk(y), -
. ,
, , -

145
 -
. -
.
, . 2.17 “ ” -
w1(y), w6(y), “ ” -
w2(y), w3(y), w4(y), w5(y), w7(y), w8(y), “ ”
8
W ( y) pkWk ( y )
k 1
W9 y 8
.
1 pk
k 1

.
w9(y) . -

2 y, y [0;1]
w y
0, y [0;1]
, -
(2.2.23)
,
[0; 1].

. 2.17.

146
 . -

,
1, …, N,
unidrnd.
2.3.4.
N=2 , , -
:
2*(unidrnd(1,m,n))-3,
m × n, -
+1 –1.
:
P x1 p, P x2 q 1 p.
-
p. , , x1 = 1 x2 = 0,

P 1 p P p .
I(A) A, , A -
, :
1, A;
I ( A)
0, A.

I( p) . (2.3.5)
MATLAB -
find, -
, -
. ,
>> x=[1 4 -3 -7 6 9 -1]; find(x<0);
ans =
3 4 7
,
u=rand(1,n);

147
 n [0; 1] ,
z(find(u < p)) = 1; z(find(u >= p)) = 0;
z -
p.
2.3.5.
,
Bi(N, p) — “ -
” N , -
p.
Bi(N, p) “ ”
: ( 1, …, N) — , . .
k (k = 1, …, N) p 1,
1–p— 0, = 1 +…+ N -
B(N, p). , N “ ” -

”, .
,
p , -
.
, binornd, -
MATLAB.
binornd(N,p,m,n) m×n -
, Bi(N, p). ,
>> binornd(5,0.1,1,10);
ans =
1 2 2 0 2 1 0 1 0 0 1 0 1 2 1
. 2.18 -
, 7- -
p = 0,4. -
8000 .

148
 2500 1
F* (y)
2000 0.8

1500 0.6

1000 0.4

500 0.2
y y
0 0
0 2 4 6 8 0 2 4 6 8
. 2.18. ( ) ( )
N = 7, p = 0,4

, , , -
.
, , -
, . . -
.
, P( / ) ,
-
pk = P = tk),
:
P( x) P x / tk p tk .
k

, ,
“ ” ,
.
-
Bi(M, p), M ,
Bi(N, q), N M.
Bi(N, pq).
( , )
, -
1970 . . .

149
 , -
, .
-
Bi(N, p) “ ” -
Bi(M, q),
2 p, 0 p 1 / 2;
q
2(1 p ), 1 / 2 p 1,
M N -
Bi(N, 1/2). -
( 0 p 1/2) N– ( 1/2 < p 1) -
N p.

pk min 2 pk 1 , 2 2 pk 1 , k = 1, 2, …, p0 = p,
K — k, pk = 0.
Q n1 , n2 , k, pk 1/2. ,
p = 1/16
p1 min 1 / 8,15 / 8 1/ 8;
p2 min 1 / 4, 7 / 4 1/ 4 ;
p3 min 1 / 2, 3 / 2 1/ 2;
p4 min 1,1 1;
p5 min 2, 0 0,
M = 5, Q 3, 4 . , M , -
p ; M
p.
-
1, 2, …, , -
,0 1. ( )
0, N k 1 0;
Sk
N0 = N; N k 1
k = 1, 2, …,
i , Nk 1 0,
i Sk 2 1

150
 k
S 1 0 ; Sk Nj .
j 0

:
0, N 0 0; 0, N1 0;
N0 N 0 N1
N1 N2 …
i, N0 0, i, N1 0,
i 1 i N0 1

L— k, Nk 0 (L ).

0, n1 min( L, M );
( 1)k N k , n1 min( L, M ),
k:nk min( L ,M )

N p.
-
L
M.
1. N p ,
y:= 0 ( )
s:= 1 ( ).
2. p=1 N = 0, x:= y + s*N, -
( , , -
x = 1, -
,
N).
3.
Bi(N, 1/2), . . M ( -
“ ” “ -
” ).
4. p > 0,5, y:= y + s*M, s:= –s, p: = 2*(1 – p); p: = 2*p.
5. N := M 2.

, -
.

151
 ) E[L] —
N k, ,
E[L] log2M + 2.

, ,
( , -
), “ ” .
2.3.6.
), -

k
pk P( k) exp( ) , k = 0, 1, …,
k!
.
,
, n
npn ,
n

pn — “ ” n . , -

pn 1.
n
pn 10–2 . , -
n , -
, , 1, p n.

= npn.
, , ,
pn
.
, , -
.
u— , -
[0; 1] .

152
 r
1
qr exp( ) , r = 0, 1, …
i 0
i!
k,
qk 1 u qk .
( 2.2) r .
-
( 2.3).
MATLAB -
poissrnd(lambda,m,n), lambda — -
, , , -
.
“ ” lambda 15 -
.
1. : L:= exp(–lambda), k:= 0, q:= 1.
2. u
[0; 1] ; q:= q*u.
3. q L, k:= k + 1 2.
4. k -
lambda.
“ ” 0 <lambda < 15
1
(waiting time method).
j = find(lambda < 15);
p = zeros(numel(j),1);
while ~isempty(j)
p = p - log(rand(numel(j),1));
t = (p < lambda(j));
j = j(t);
p = p(t);
r(j) = r(j) + 1;
end

1
, —
, , -
. , ,
, .

153
 4000 * 1
F (y)
0.8
3000
0.6
2000
0.4
1000 0.2
y y
0 0
0 5 10 15 -5 0 5 10 15
. 2.19. ( ) ( )
=4

. 2.19 -
= 4.
15625 .
2.3.7. -

-
, y1, y2, …,
ym p1, p2, …, pm. ,
(1.2.2),
m
F ( y) pk e( y yk ) ,
k 1

e(y) — , ( -
— ) (2.2.23)
[0; 1] .
-
.
u,
[0; 1].
0 u < p1, y:= y1;
p1 u < p1 + p2, y:= y2;
…

154
 p1 + p2 + … + pm –1 u < 1, y:= ym.
, -
,
m
kpk , (2.3.6)
k 1

-
-
.
, Bi(6, 0,5) -
:

k 1 2 3 4 5 6 7
yk 0 1 2 3 4 5 6
pk 1/64 6/64 15/64 20/64 15/64 6/64 1/64

1 6 15 20 15 6 1 256
1 2 3 4 5 6 7 4,00 .
64 64 64 64 64 64 64 64
, -
:

k 1 2 3 4 5 6 7
yk 3 2 4 1 5 0 6
pk 20/64 15/64 15/64 6/64 6/64 1/64 1/64

20 15 15 6 6 1 1 162
1 2 3 4 5 6 7 2,53
64 64 64 64 64 64 64 64
, .
MATLAB
cumsum,
. , ,

155
8000 , -
,
x = [1 2 3 4 5]

p = [0,1 0,2 0,2 0,35 0,15].

,
X:
x = [1 2 3 4 5];
p = [0.1 0.2 0.2 0.35 0.15];
for i = 1:8000
u = rand;
k = min( find(u < cumsum(p)) );
% k - , -

X(i) = x(k);
end;

3000

2000

1000

x
0
1 2 3 4 5 6
. 2.20.

. 2.20 -
, .

156
 2.4.

,
-
. , ,
( . ), -
.
(
, .), ,
(
, ).
2.4.1. -

n = ( 1, …, n) -
, w( n ) (x) :
n
(n)
w ( x) w k ( xk ) ,
k 1

k .
-
, n

ak xk bk , k 1, ,n .
w( n ) (x)

1
n
c bk ak ,
k 1

1
w k ( xk ) bk ak , xk ak ; bk .

157
 , {uk} -
[0; 1] x k, -
(2.3.1),
xk ak uk bk ak . (2.4.1)
, k , -
, -
, ( ),
, .
2.4.2.
-

, (1.2.32):
(n)
w (x) w 1 x1 w 2 x2 / 1 x1 w 3 x3 / 1 x1 , 2 x2
w n xn / 1 x1 , , n 1 xn 1 ,
-
.
1 -
w 1 x1 .
2 -
w 2 x2 / 1 x1 ,
1 = x 1. , -
.
, n -
n! , -
, , -
. ,
w(2) ( x1 , x2 ) w 1 x1 w 2 x2 / 1 x1 w 2 x2 w 1 x1 / 2 x2 ,
, -
x 1, x 2, :
x 2, x1.

158
 ( 1, 2),
, x1 + x2 1, x1 0, x2 0, -

w(2) ( x1 , x2 ) 6 x1 , (2.4.2)
. . (x2) ,
(x1) — .
1, -
— 2.
1 x1

w 1 x1 w(2) ( x1 , x2 )dx2 6 x1 (1 x1 ) , 0 x1 1 ;
0

w(2) ( x1 , x2 ) 1
w 2 x2 / 1 x1 ,0 x2 1 x1
w 1 ( x1 ) 1 x1
2,
x1 x2
x2). -

x1

F 1 x1 w 1 ( x1 )dx1 3 x12 2 x13 , 0 x1 1 ,

0
x2
x2
F 2 x2 / 1 x1 w 2 x2 / 1 x1 dx2 , 0 x2 1 x1 .
0
1 x1
(2.3.1)
1 1) 2 2):
2
1 3 1 2 13 ;
(2.4.3 )
2 (1 1) 2.

,
, (2.4.3 ) .
, -
: 2,
— 1.
1 x2

w 2 x2 w(2) ( x1 , x2 )dx2 3(1 x2 ) 2 , 0 x2 1 ;

0

159
 w(2) ( x1 , x2 ) 2 x1
w 1 x1 / 2 x2 2
,0 x1 1 x2
w 2 ( x2 ) 1 x2

x2

F 2 x2 w 2 ( x2 )dx2 1 (1 x2 )3 , 0 x2 1 ;
0
x1
x12
F 1 x1 / 2 x2 w 1 x1 / 2 x2 dx1 2
, 0 x1 1 x2 .
0
1 x2

(1 2 )3 1 1 ;
2 2
1 (1 2 ) 2 .

1500 800

600
1000
400
500
200
x2 x1
0 0
0 0.5 1 0 0.5 1
) )
x2 1
0.8

0.6

0.4

0.2
x1
0
0 0.2 0.4 0.6 0.8 1
)
. 2.21. w 2 x2 ( ),
w 1 x1 / 2 x2 ( ) w(2) ( x1 , x2 ) ( )

160
 , 1 1– 1
,
(1 2 )3 1,

2 1 3
1 ;
(2.4.3 )
1.
3
1 2

.
. 2.21 -
, (2.4.2),
: w 2 x2
w 1 x1 / 2 x2 . 8000 .

2.4.3.
-
-
.
[5], x1, …, xn
y1, …, yn “ ” , ( -
) :
y1 / x1 y1 / x2 y1 / xn
y1 , y2 , , yn y2 / x1 y2 / x2 y2 / xn
det .
x1 , x2 , , xn
yn / x1 yn / x2 yn / xn
, w( n ) ( x1 , , xn ) — -
= ( 1, …, n) (x1, …, xn),
= ( 1, …, n)
(y1, …, yn)
y1 , y2 , , yn
w(n ) y1 , , yn w( n ) x1 ( y1 , , yn ), , xn ( y1 , , yn ) ,
x1 , x2 , , xn
{xk} {yk}.

161
 , ,

x12 x22 x32 R.

3
w(3) ( x1 , x2 , x3 ) .
4 R3

,
, , -
, .
, .
(r, , ) — , -
(x1, x2, x3) :
x1 r sin cos ;
x2 r sin sin ; ,
x3 r cos .

0 r R, 0 ,0 2 .

x1 , x2 , x3
r 2 sin ,
r, ,
,
1
w(3) (r , , ) (4 / 3) R 3 r 2 sin ,
, :
1
w(3) (r , , ) 3r 2 R 3
2 1 sin 2 .
, -
, -
.
(2.3.1) :
r
3r 2 dr sin d d
3 1, 2 , 3 ,
0
R 0
2 0
2
,

162
 r R3 1 , arccos 1 2 2 , 2 3 ,
, , 1, 2, 3 — [0; 1]
, u1, u2, u3.
, -
, :
x1 2 R 3 u1 u2 u22 cos 2 u3 ;
x2 2 R 3 u1 u2 u22 sin 2 u3 ; (2.4.4)
x3 R 3 u1 1 2u2 .
. 2.22 -
, , -
(2.3.4).
2000 .

0.5
x3
0

-0.5

-1
1
1
0
0
x2 -1 -1 x1

. 2.22.

, ,
-
. -

163
 -
, , .
2.4.4. -

. 1 2, -
(2)
w ( x1 , x2 ) , -

f ( x) f1 ( x1 , x2 ), f 2 ( x1 , x2 ) ,

1 f1 ( 1 , 2 ), 2 f2 ( 1, 2 ). (2.4.5)
1 2
(2)
w ( y1 , y2 ) , -
F (2) ( y1 , y2 ) ), 1 2.

;
.
-
, (2.3.5) -

1 1 ( 1, 2 ), 2 2 ( 1, 2 ). (2.4.6)
dSx x1, x2
x1; x1 dx1 x2 ; x2 dx2
( . 2.23) dSy y 1, y 2,

y1 f1 ( x1 , x2 ) y1 dy1 ; y2 f 2 ( x1 , x2 ) y2 dy2 .
, dSx dSy -
,
P y1 f1 ( x1 , x2 ) y1 dy1 , y2 f 2 ( x1 , x2 ) y2 dy2 w(2) ( y1 , y2 )dS y
w(2) ( x1 , x2 )dS x ,

164
 dS x
w(2) ( y1 , y2 ) w(2) x1 ( y1 , y2 ), x2 ( y1 , y2 ) .
dS y

. 2.23.

x 1, x 2 y 1, y 2
(
):
x1 x1
dS x x1 , x2 y1 y2
,
dS y y1 , y2 x2 x2
y1 y2

x1 , x2 1
.
y1 , y2 y1 , y2
x1 , x2
, -
:
x1 , x2
w(2) ( y1 , y2 ) w(2) x1 ( y1 , y2 ), x2 ( y1 , y2 ) , (2.4.7)
y1 , y2

165
 , , x1 x2
y1 y2 -
(2.4.6).
-
. m>1
:
1k 1k ( 1, 2 ), 2k 2k ( 1, 2 ) , k = 1, …, m,
dSy
dSx1, …, dSxm ( . 2.24). , ,
(y1, y2) dSy, -
, , (x1, x2)
dSxk (k = 1, …, m), -

m
(2) x1k , x2 k
w ( y1 , y2 ) w(2) x1k ( y1 , y2 ), x2 k ( y1 , y2 ) . (2.4.7 )
k 1
y1 , y2

. 2.24.

(2.3.7) -

( ) , -
1, …, n,
(n )
w ( x1 , ..., xn ) ,

166
 f ( x) f1 ( x1 , ..., xn ), ..., f n ( x1, ..., xn ) ,

1 f1 ( 1 , ..., n ) , …, n f n ( 1 , ..., n ).
-
w( n ) ( y1 , ..., yn ) :
m
( n) x1k , , xnk
w ( y1 , , yn ) w( n ) x1k ( y1 , , yn ), , xnk ( y1 , , yn ) .
k 1
y1 , , yn
(2.4.7 )
xik ( y1 , , yn ) — k (i = 1, …, n).
(2.4.7) -
, , . ,
fk , -
, -
, k. -
, fk
, , -
.
, ,
, -
.
-
.
1 1, 2 =f 1, 2) ,
1
f ( 1, 2 )— .
1 0
y1 , y2 f ( x1 , x2 )
f ( x1 , x2 ) f ( x1 , x2 ) ,
x1 , x2 x2
x1 x2

x1 y1 , x2 ( y1 , y2 ) .
,
1
w(2) ( y1 , y2 ) w(2) y1 , ( y1 , y2 ) ,
f ( x1 , x2 ) / x2

167
w(2) ( y1 , y2 ) “ ” :

dy1
w 2 ( y2 ) w(2) y1 , ( y1 , y2 ) . (2.4.8)
f ( x1 , x2 ) / x2
, 1 2 ,
,
dy1
w 2 ( y2 ) w 1 ( y1 ) w 2 ( y1 , y2 ) . (2.4.8 )
f ( x1 , x2 ) / x2
(2.4.8) , -
, .
2 = 1 ± 2, x2 ( y1 , y2 ) y1 y2 —
, | f(x1, x2) / x2| = 1,

w 2 ( y2 ) w(2) y1 , y2 y1 dy1 . (2.4.9)

1 2 ,

w 2 ( y2 ) w 1 ( y1 )w 2 y2 y1 dy1 . (2.4.9 )

2 = 2 1 x2 ( y1 , y2 ) y2 / y1 — -
, | f(x1, x2) / x2| = |x1| = |y1| ,
dy1
w 2 ( y2 ) w(2) y1 , y2 / y1 . (2.4.10)
y1
1 2 ,
dy1
w 2 ( y2 ) w 1 ( y1 ) w 2 y2 / y1 ) . (2.4.10 )
y1
2 = 2 / 1, x2 ( y1 , y2 ) y2 y1 — -
, | f(x1, x2) / x2| = 1 / |x1| = 1 / |y1| ,

w 2 ( y2 ) w(2) y1 , y2 y1 y1 dy1 . (2.4.11)

1 2 ,

168
 w 2 ( y2 ) w 1 ( y1 ) w 2 y2 y1 y1 dy1 . (2.4.11 )

, -
-
.

1 a11 1 a12 2 ;
(2.4.12)
2 a21 1 a22 2 ,
a11, …, a22 — .

( y1 , y2 ) a11 a12
a11a22 a12 a21 D.
( x1 , x2 ) a21 a22
, D -

1 1
1 D a22 1 a12 2 ; 2 D a11 2 a21 1 . (2.4.13)

(2.4.7)
1
w(2) ( y1 , y2 ) D w(2) D 1
a22 y1 a12 y2 , D 1
a11 y2 a21 y1 . (2.4.14)

1 1
x2 y2
0.8
0.5
0.6
0
0.4
-0.5
0.2
x1 y1
0 -1
0 0.5 1 0 0.5 1 1.5 2
) )
. 2.25. ( ) ( )

169
 . 2.25
, -
[0; 1], -

1 1 2;
2 1 2,

8 000 .
, -
1 2 .
, -
, , . 2.25, , -
Q 2, 1/2. -

y1

(1 / 2) dy2 , 0 y1 1;
y1
w 1 ( y1 ) w(2) ( y1 , y2 )dy2 y1 2
Q
(1 / 2) dy2 , 1 y1 2;
y1 2

y2 2

(1 / 2) dy1 , 1 y2 0;
y2
w 2 ( y2 ) w(2) ( y1 , y2 )dy1 2 y2
Q
(1 / 2) dy1 , 0 y2 1.
y2

:
y1 , 0 y1 1; 1 y2 , 1 y2 0;
w 1 ( y1 ) 2 y1 , 1 y1 2; w 2 ( y2 ) 1 y2 , 0 y2 1;
0, y1 0, y1 2; 0, y2 1, y2 1,
, , .

:
2 2
1 1 2 , 2 1 / 2 . (2.4.15)

170
 : 1 — ,
2 — ( -
), 1 2.
. y1 > 0
y1 x12 x22 ;
y2 x1 / x2
:
x1 y1 y2 / 1 y22 ; x2 y1 / 1 y22

x1 y1 y2 / 1 y22 ; x2 y1 / 1 y22 .
y1 0 , , .

( y1 , y2 ) x1 / x12 x22 x2 / x12 x22 x12 / x22 1 1 y22

.
( x1 , x2 ) 1 / x2 x1 / x22 x12 x22 y1

1 y22 (2)
w(2) ( y1 , y2 ) w y1 y2 / 1 y22 , y1 / 1 y22
y1

w(2) y1 y2 / 1 y22 , y1 / 1 y22 , y1 > 0. (2.4.16)

10
y2
8

2
y1
0
0 0.5 1 1.5
. 2.26.
(2.4.15)

171
 (2.4.16)
. 2.26.
8 000 .
( )
-
(2.4.9 ).
1 2 — -
2
. ,
. . 1 | 1 | | 2 | 2 | 1 | | 2 |.
1 2, ,
-
:
2
2/( ) exp xi2 / (2 2
) , xi 0;
w| i | ( xi )
0, xi 0.
1

w 1 ( y1 ) w 1 w 2 w 1 ( x )w 2 ( y1 x)dx

y1
2
2/( ) exp x 2 / (2 2
) 2/( 2
) exp ( y1 x) 2 / (2 2
) dx .
0

z x y1 / 2 / ,
y1 /(2 )
2 2 2
w 1 ( y1 ) (2 / )exp y / (4
1 ) exp z 2 dz
y1 /(2 )

2
2/( ) exp y12 / (4 2
) erf y1 / (2 ) , y1 0 , (2.4.17)
z
erf( z ) 2/ exp( x 2 )dx — “ ”.
0

. 2.27 1 , -
, 1. -
105 .

172
 8000 0.4
W (y1)
1

6000 0.3

4000 0.2

2000 0.1
y1 y1
0 0
0 2 4 6 0 2 4 6
) )
. 2.27. ( ) ( )

w 2 ( y2 ) w 1 ( x) w 2 ( y2 x )dx .

y2 0
2
w 2 ( y2 ) 2/( ) exp x 2 / (2 2 ) 2/( 2
) exp ( y2 x) 2 / (2 2
) dx .
0

z x y2 / 2 /

2
w 2 ( y2 ) (2 / )exp y22 / (4 2
) exp z 2 dz
y 2 /(2 )

2
1/ ( ) exp y22 / (4 2
) 1 erf y2 / (2 ) .
y2 < 0
2
w 2 ( y2 ) 2/( ) exp x 2 / (2 2
) 2/( 2
) exp ( y2 x ) 2 / (2 2
) dx
y2

2
1/ ( ) exp y22 / (4 2
) 1 erf y2 / (2 ) .
:
2
w 2 ( y2 ) 1/ ( ) exp y22 / (4 2
) 1 erf y2 / (2 ) . (2.4.18)

173
 10000 0.8
W (y2)
2
8000
0.6
6000
0.4
4000
0.2
2000
y2 y2
0 0
-4 -2 0 2 4 -4 -2 0 2 4
) )
. 2.28. ( ) ( ) -

. 2.28 1 , -
, 2. -
5
10 .

. 2.29.

. , , -
1 2, -
[–c; c]:

1 / (2c), xi c;
w i ( xi ) i 1,2.
0, xi c,

174
 ( . 2.29) ,
:“ ”( -
) w (x) “ ” w (y –x):

1 / (4c 2 ) 2c | y | , | y | 2c;
w ( y) (2.4.19)
0, | y | 2c.

, “ ” -
, -
-
w (y – x) y.
, ,
[–c; c]
1, 2 3, -
,
(2.3.19), . -
:
1 / (8c3 ) 3c 2 y 2 , | y | c;
2
w ( y) 1 / (16c 3 ) 3c | y | , c | y | 3c; (2.4.20)
0, | y | 3c.

5000 5000

4000 4000

3000 3000

2000 2000

1000 1000
y y
0 0
-2 -1 0 1 2 -2 0 2

) )
. 2.30. ( ) ( )
[–1; 1]

175
 . 2.30 , -

[–1; 1] . 105 .
, “ ” -
-
. -
, -
. , -
— -
— -
. “ ”
,
, .
2.4.5.
-
, ,
, -
.
-

x –1 0 1 3,5 4
p(x) 0,18 0,12 0,25 0,35 0,10

y –2 1 5
p(y) 0,10 0,34 0,56
, . . -

1 , 1 .

1 2
. ,
-
. , z1 = 2 x = 1,
y = 1, x = 4, y = –2. ,

176
 z1 = 2 , ,
, . -
, -
, ,
:

z1 –3 –2 –1 0 1 1,5 2
p(z1) 0,0180 0,0120 0,0250 0,0612 0,0408 0,0350 0,0950
z1 4 4,5 5 6 8,5 9
p(z1) 0,1008 0,1190 0,1012 0,1400 0,1960 0,056

z2 –8 –7 –5 –2 –1 0 1
p(z2) 0,0100 0,0350 0,1008 0,0250 0,0612 0,1200 0,085
z2 2 3,5 4 5 17,5 20
p(z2) 0,0180 0,1190 0,0340 0,1400 0,1960 0,0560

. 2.31 (
) 1 1.

0.2 0.2
p(z1) p(z2)
0.15 0.15

0.1 0.1

0.05 0.05
z1 z2
0 0
-5 0 5 10 -10 0 10 20

) )
. 2.31. 1 ( ) 2 ( )

, 1 -
,
.

177
 2
2.1. = f ),
w (y),
[0; 1].
w ( y) 1 y/2 . 0 y 2/ , 0;
c
w ( y) , c 0, b 0 ;
(1 by )2
w ( y ) c( y 1)3/4 , 0 y 1;
w ( y ) c sin x , /2 y /2.
2.2. u— ,
[0; 1] .
n
1
qn exp( ) , n = 0, 1, …
i 0 i!
n, qn 1 u qn . , n -
.
2.3. 1, 2, … — , -
w (x) = exp(– x), x 0. -

1 , 1 2 , 1 2 3 ,…
n,
n n 1

k k .
k 1 k 1

, n .
2.4. -

)
w ( x) cos 2 (2 mx) , 0 x 2 , m — ;
)
F ( x) 1 (1 / 3) 2exp( x) exp( 5 x ) , 0 x .
2.5.
(x, y):

178
 ) R12 x2 y2 R22 ;
) w(2) ( x1 , x2 ) 6 x2 , -
, x1 0 ; x2 1 ; x1 x2 .
2.6. ln ,
[0; 1], —
w (y).
2.7. ,
a exp( ax)
w ( x) ,a 0, d 0,
1 exp( ad )
[0; 1] -
, :
) (1 / a)ln 1 1 exp( ad ) ;
) (1 / a)ln (1 )exp( ad ) ;
) (1 / a )ln ( x < d);
2.8. (x1, x2)
[0; 1] × [0; 1]. -
x1 x2.
2.9. w(2) ( x1 , x2 ) .
1 2.
2.10. -
2 2
1 2 .
2.11. ( -
) -
:
3
w ( x) c 3 2x , 0 x 1;
3/2
w ( x) cx 5/3 1 x ,0 x 1;
w ( x) cx 5/3 exp( x) , x 0 .
2.12.
, :
2
w ( x) c x x 2 exp x3 , x 1;

179
 w ( x) c exp ax 1 exp bx , x 0 , a, b 0 ;
w ( x ) cx(1 x)2 , 0 x 1 ;
w ( x) c(1 x)3 , 0 x 1 .
2.13.
:
2
w ( x) c exp x 1 , x 1;

w ( x) c ln 4 x , 0 x 1 .
2.14.
,
:
w(2) ( x, y ) cx exp xy , 0 x 2 , y 0 ;
w(2) ( x, y ) c exp |x| exp | y | , 1 x , y 1;

w (2) ( x, y ) c x 2 y2 , 0 x , y 1;
2.15.
,
a K:
2 0 0
a1 1 , a2 2 , a3 3, K 0 3 1 ;
0 1 4
1 1 0 0
1 2 0 0
a1 1 , a2 2 , a3 3 , a4 3, K ;
0 0 3 2
0 0 2 4
2 2 2
a1 1 , a2 2 , a3 3, K 2 2 2 .
2 2 2
2.16. ,
1
w ( x) ,
1 x2
:

180
 ) = 1/ ;
) = 1 – 2.
.
2.17. , -
, -
[0; 1]

1
) w ( y) , |y| < c ( );
c2 y2
( 1)( y a )
) w ( y) , y [a; b] , > 0;
(b a ) 1
( 1)(b y )
) w ( y) , y [a; b] , > 0.
(b a ) 1
( y 2a b) , y [2a b; a);
( 1)
) w ( y) 1
(b y ) , y [a; b];
2(b a)
0, y 2a b; y b;

) w ( y) exp y ( ).
2
x
) w ( y) A cos , |y| a, > 0.
2a
) w ( y) A y 2 a 2 , |y| a, > 0.
y y
) w ( y) 2
exp 2
, > 0, y 0( ).
2
2.18. w ( x) xn ,
x [0; a ] , n – , cos / 2a .
a n?
. -
m? [m – c; m + c],
1/4, 2/4, 3/4.

181
 3.

,
.
, -
( ),
, ,
. , -
:
;
( , , -
) ; -
( , , , ) .
,
-
.

3.1.
( )
, t, , , …), — -
— ( )
t, , , …, , , t. -
, -
,
. , , -
= k
( )
(k)
(t, , , …) = k, t, , , …),
. ,
-
( . 3.1) , , -
.

182
 -
, ( -
) ,
, . . . -
, ,
, , .

(k )
(t)
1

0.5

0 1
0
25
50 2
k
t 75
100 3
. 3.1.

, ( -
) t = t1,
F ( x1 , t1 ) P ( x1 ) t1

F ( x1 , t1 )
w ( x1 , t1 )
x1
( , .),
.
,
x1 x1(1) , x1(2) , , x1( M )
.
t = t2 -
.
-
, -

183
 , , ,
(t1) t1 . -
,
” . -
, “ ”
( ) -
, .
, t1 t2

F (2) ( x1 , x2 ; t1 , t2 ) P ( x1 ) t1 , ( x2 ) t2

(2)
F (2) ( x1 , x2 ; t1 , t2 )
w ( x1 , x2 ; t1 , t2 ) ,
x1 x2
.
,
x1 , x2 x1(1) , x2(1) , x1(2) , x2(2) , , x1( M ) , x2( M ) .
t1, …, tn n-

F ( n ) ( x1 ,..., xn ; t1 ,..., tn ) P ( x1 ) t1, ..., ( xn ) tn ;

( n) F ( n ) ( x1 ,..., xn ; t1 ,..., t n ) (3.1.1)
w ( x1 ,..., xn ; t1,..., tn )
x1 xn
, n
x1 , ..., x 2 x1(1) , ..., xn(1) , x1(2) , ..., xn(2) , , x1( M ) , ..., x2( M ) .

,
, -
.
, “
”, . . -
, , ,
, . .

184
 , -
-
“ –
”.
, ;
, -
( , , ) .
, ( -
) ,
— .
-
,
, “ ” .
-
,
:
(t ) sin( t ).
, -
.
, ,
-
“ ”, -
, . -
-
.
-
, ( ) -
. , -
, -
. , -
,

, -
. -
.

185
 , -
-
, , -

w( n ) ( x1 , t1 ; ...; xn , tn ),
, .
, ,
“ -
” .
.
(
),
, . . -

w( n ) ( x1 , t1 ; ...; xn , tn ) w( n ) ( x1 , t1; ...; xn , tn ) . (3.1.2)

, -
n= 3 , ,

- -
– -
. -
, -
,
.
, -
, F ( n ) ( x1 ,..., xn ; t1 ,..., tn ) , n = 1, 2, …,
n , -
( . . 1.2), n

k < n. , , : -
n —
. , -
.

186
 3.1.1.
, -
,
( -
); k = (tk)
.
, -
:
n
( n)
w ( x1 ,..., xn ; t1 ,..., t n ) w ( xk , t k ) , (3.1.3)
k 1
. . , -
.

. -
,
( — -
),
, .
3.1.2. . -

. (t), -
, ,

ti tj tk tn
(tj) – (ti) (tn) – (tk) .
-
, . . -
.
-
, (1.5.3).
. 1.5,
) -
. , — -

187
 ;
-
.
(t), -
( ), -
:
1) (t) — , . . -
t1 < t2 t3 < t4 (t2) – (t1) (t4) – (t3)
;
2) , . .
t1, t2 t3 (t2) – (t1) (t2 + t3) – (t1 + t3) -
;
3) : (0) = 0;
4) p1 ) ,
1
,
p1 ( ) P (t ) (t ) 1 o( ) , > 0;
5) p0 ) ,
,
p0 ( ) P (t ) (t ) 0 1 o( ) .
, 4) 5) -
( )
. .
p0 ).
h— , . .
0; h 0; ;h ,
,
p0 ( h) p0 ( ) p0 (h) p0 ( ) 1 h o( h) .

p0 ( h) p0 ( h) o( h)
p0 ( ) .
h h
, h ,

1
g(t) = o(t) , g(t) / t 0 t 0.

188
 p0 ( ) p0 ( ) ,
, (0) = 0, . . p0(0) = 1,
p0 ( ) exp .

pm ( ) P (t ) (t ) m / (0) 0
, m
m.
h— , -
,
m
pm ( h) pm ( ) p0 (h) pm 1 ( ) p1 (h) pm k ( ) pk (h) .
k 2

p0(h) p1(h) o(h) -

, , pm(h), m 2, o(h).
,
pm ( h) pm ( ) p0 ( h) pm 1 ( ) p1 ( h) o( h) ,

pm ( h) pm ( ) 1 h o ( h) pm 1 ( ) h o ( h) o( h ) .
p0 ), :
pm ( h) pm ( ) o( h)
pm ( ) pm 1 ( )
h h
h 0 :
pm ( ) pm ( ) pm 1 ( ) , m = 1, 2, ...
pm(0) = 0.

Qm ( ) pm ( ) exp( ) , m = 0, 1, ...,
Q0(t) = 0.
Qm ( ) Qm 1 ( ) , m = 1, 2, ...
Qm(0) = 0.
, .
m = 1:
Q1 ( ) ,

Q1 ( ) .

189
 m = 2:
2
Q2 ( ) ,

2 2
Q2 ( ) .
2
, m
m m
Qm ( ) ,
m!

m m
pm ( ) exp . (3.1.4)
m!
(3.1.4)
.

. 3.2.

. 3.2 ,

. -
( — ) .

190
 3.1.3.
,
,
( ) .
(1.3.57) -
.
(t) , -
t1, …, tn
1 = (t1), …, n = (tn)

w( n ) x1 , , xn ; t1 , , tn
n n
1 1
exp xi E[ (ti )] x j E[ (t j )] ij . (3.1.4)
n
(2 ) det K 2 i 1 j 1

(3.1.4) :
(t ) E (t1 ) , , E (tn ) —
1, …, n;

K, -

E ( i E[ (ti )])( j E[ (t j )]) Cov i , j , i, j 1, ,n;

ij K–1, K.
(3.1.4) -
, , -
.
( )
x1 E[ (t1 )]
x a
xn E[ (tn )]
( )
x a x1 E[ (t1 )], xn E[ (tn )] ,

1 1
w( n ) x1 , , xn ; t1 , , tn exp x a K 1
x a . (3.1.4 )
(2 ) det K n 2

191
 ,
(3.1.4).
-
, , , , -
. ,
-
.
-
.

.
3.1.4.
, -
, -
—
:
t0 t < t0.
-
; -
, .
-
.
, -
,
.

-
— .
(t) t0, t1,
t2, … ( ) -

192
 ( ) x1, …, xQ,

P n xj / n 1 xi , , 0 xk P n xj / n 1 xi pij (t n , tn 1 ) ,
Q
pij (tn , tn 1 ) 0 , pij (tn , tn 1 ) 1 , (3.1.5)
j 1

i j , ,
. , -

Q
0
p k P (0) xk , pk0 1 . (3.1.6)
k 1

-
. ,
, . .
P n xj / n 1 xi , , 0 xk P n xj / n 1 xi pij ,
.
“ ” -
, ; -
n- (n 2) .
,
.

,
,
.
,

. , pij(n + k) -
n+k -
:
Q
pij (n k ) pim ( n) pmj ( k ) , (3.1.7)
m 1

.
( )

193
 qj lim pij (k ) , i, j = 1, …, Q
k

,
“ ” , , .
-

Q
qj qi pij , (3.1.8)
i 1

Q
qi 1 .
i 1

(t), -
(1.3.5)
(1.3.6),
:
P (t1 ) x j / (t2 ) xi pij (t1 , t2 ) , t2 > t1,
Q
pij (t1, t2 ) 0 , pij (t1 , t 2 ) 1 , (3.1.9)
j 1

Q
pij (t1 , t2 t) pim (t1 , t2 ) pmj (t2 , t2 t ) , t2 > t1, t 0 (3.1.10)
m 1

, ,
.
-
: t pii
, , pij -
, . .
pii (t , t t) 1 ii (t ) t o ( t );
(3.1.11)
pij (t , t t) ij (t ) t o( t ), i j.

194
 , , (3.1.11),
, -
.
(3.1.11) (3.1.10) t 0
:“ ”

pij (t1, t2 )
jj (t2 ) pij (t1, t2 ) kj (t2 ) pik (t1 , t2 ) (3.1.12)
t2 k i

“ ”1
pij (t1, t2 )
ii (t2 ) pij (t1 , t2 ) ik (t1 ) pkj (t1 , t2 ) . (3.1.13)
t1 k i

= t1 – t2, aij(t) -
, (3.1.12) (3.1.13) :
dpij ( )
jj pij ( ) kj pik ( ) ; (3.1.12 )
d k i

dpij ( )
ii pij ( ) ik pkj ( ) . (3.1.12 )
d k i

(3.1.12) (3.1.13) -
ij
. , ij

jj =– j – 1, j = , -
.

. -
-
,
. , -

1
“ ” “ ”
, ” “ , ”.

195
 w n xn / n 1 xn 1 , , 0 x0 w n xn / n 1 xn 1 , (3.1.13)
w 0 ( x0 )
n :
n
w x1 , , xn , t1, , tn w 0 ( x0 ) w k xk / k 1 xk 1 . (3.1.14)
k 1

-
1
:

w n xn / m xm w n xn / k xk w k xk / m xm dxm . (3.1.15)

-
, -
.
-
(3.1.13)–(3.1.15) — -
;
, -
, .

(3.1.15) -

w x, t / x , t ( 1)k k
k
Ak ( x, t )w x, t / x , t , (3.1.16)
t k 1 k ! x

1 k
Ak ( x, t ) lim E (t t) (t ) / (t ) . (3.1.17)
t 0 t
Ak(x, t) -
(3.1.17). , -
A1(x, t) A2(x, t).
, , ,

.
1

196
3.2.

. 1.3.8, -
, — -
.
-
—
B (t1 , t2 ) E (t1 ) (t2 ) E[ (t1 )]E[ (t2 )] , (3.2.1)

.
b (t1 , t2 ) E (t1 ) (t2 ) (3.2.2)
;
,
( -
, ,
, ,
), -
“ ” , -
.

E (t1 ) (t2 ) E (t1 ) E (t2 )

R (t1 , t2 ) (3.2.3)
D (t1 ) D (t2 )
.
(3.2.1) (3.2.2) -
(t) -
.
( ) — -
(t) (t)
:
B (t1 , t2 ) E (t1 ) (t2 ) E[ (t1 )]E[ (t2 )] . (3.2.4 )
( )
,

197
 : B
, B — .
( )
1
. , -
-
, .
1. ( )
:
B (t1 , t2 ) B (t2 , t1 ) ;
b (t1 , t2 ) b (t2 , t1 ) ;
B (t1 , t2 ) B (t2 , t1 ) ;
b (t1 , t2 ) b (t2 , t1 ) ,
.
2. ( . . -
(t1, t2))
, :
2
B (t , t ) E (t ) E 2 [ (t )] D (t ) .
3.
( ),
, t1, …, tn
c1, …, cn
n n
b (tk , tl )ck cl 0.
k 1 l 1

, —
-
:
n 2

E ck (tk ) 0.
k 1

, -
, .
1

198
 4. ( ) -
:
B 2 (t1 , t2 ) D (t1 ) D (t 2 ) ;
B 2 (t1 , t2 ) D (t1 ) D (t2 ) ;

b2 (t1 , t2 ) E 2
(t1 ) E 2
(t2 ) ;

b2 (t1 , t2 ) E 2
(t1 ) E 2
(t2 ) .
B (t1, t2) b (t1, t2)
, (t) (t) :
(t2 ) c1 (t1 ) c2 , c1 0.
B (t1, t2); -
.
(t) (t) — , — -
. -

2
E (t1 ) E[ (t1 )] B (t1 , t2 ) (t2 ) E[ (t2 )] 0.

:
2
E (t1 ) E[ (t1 )] b (t1, t2 ) (t2 ) E[ (t2 )]
2
E (t1 ) E (t1 ) 2 B (t1, t2 )E (t1 ) E (t1 ) (t2 ) E (t2 )
2
4 2 B 2 (t1 , t2 )E (t2 ) E (t2 )
2 2
E (t1 ) E (t1 ) 2 B 2 (t1 , t2 ) 2
B 2 (t1 , t2 )E (t2 ) E (t2 )

D (t1 ) 2 B 2 (t1 , t2 ) 2
B 2 (t1 , t2 )D (t2 ) .

, :
4 2
B (t1 , t2 ) B (t1 , t 2 )D (t1 ) D (t2 )
B 2 (t1 , t2 ) B 2 (t1, t2 ) D (t1 ) D (t2 ) 0,
.
(t) (t) , , ,

199
 B 2 (t1 , t2 ) c 2 B 2 (t1, t2 ) D (t1 ) D c1 (t2 ) c2 D (t1 ) D (t2 ) .
,

(t1 ) E[ (t1 )] (t2 ) E[ (t2 )]

1 (t1 ) , 1 (t2 ) ,
D (t1 ) D (t2 )

(t1 ) E (t1 ) (t2 ) E (t2 )

b 1 1 (t1 , t2 ) R (t1 , t2 ) E 1.
D (t1 ) D (t2 )
b 1 1 (t1 , t2 ) 1,
2
D (t )
1 1 1 (t2 ) E 1 1(t ) 1 (t2 )
2 2
D 1 (t1 ) 2E 1 (t1 ) 1 (t2 ) E 1 (t 2 ) 2 1 b 1 1 (t1 , t2 ) 0.
, -
, . .
1 (t1 ) 1 (t2 ) const .
, 1(t) 1(t) ;
, -
(t) (t).
-
.
,
, ( , )
,
t1 t2 . , -

B (t1 , t2 ) B (t1 t2 ) B (t2 t1 ) B ( )

E (t ) (t ) m2 , (3.2.4 )
m — .
(t) (t)
,
, (t) (t)

200
 . , (t) (t) -
, , .
1. ( ) -
:
B( ) B( );
b( ) b( ).
, -
,
b ( ) E (t ) (t ) E (t ) (t ) b( ).
2.
,
b ( ) E (t ) (t ) E (t ) (t ) b ( ) b ( ).
3. -
, :
2
B (0) B ( ).

E (t ) (t ) m2 b ( ) m2
B( ) . (3.2.5 )
D (t ) B (0)
,
( ) Tkorr —
, -
:
1
Tkorr b( ) d r ( )d . (3.2.6)
b(0) 0 0

, -
, (3.2.6). ,
r( ) -
e .

lim b ( ) 0 .
0

201
 ,
”,
, ,
.

( ) .
3.2.1. -

(3.1.3). , -

.
B (t1 , t2 ) E (t1 ) (t2 ) E (t1 ) E (t2 )
0, t1 t2 ;
D (t1 ) , t1 t2 .

, , ,
. -
— ,
.
3.2.2.

. (3.1.4)
(t) — -
( . 3.2), pk

( t )k
pk P (t ) k exp( t) ,
k!
>0 — , ,
.

202
 ( t )k ( t )k 1
E (t ) k exp( t ) exp( t)
k 0 k ! k 0 k!
exp( t )exp( t ) t t,
.
:
k
2 ( t)
D (t ) E (t ) E2 (t ) k2 exp( t ) ( t )2
k 0 k!
k
( t) ( t )k
t exp( t) k t exp( t) ( t )2 t.
k 0 k! k 0 k!
— -
.

B (t1 , t2 ) E (t1 ) (t2 ) E[ (t1 )]E[ (t2 )] .

t1 t2
E (t1 ) (t2 ) E (t1 ) (t2 ) (t1 ) (t1 )
2
E (t1 ) (t2 ) (t1 ) E (t1 ) ,
-
:
E (t1 ) (t2 ) (t1 ) E (t1 ) E (t2 ) (t1 ) t1 t2 t1 .
,
B (t1 , t2 ) t1 .
, t2 t1
E (t1 ) (t2 ) E (t1 ) (t2 ) (t2 ) (t2 )

B (t1 , t2 ) t1 .
,
B (t1, t2 ) min t1 , t 2 . (3.2.8)
( -
) ; -
.

203
 3.2.3. -

, “ -
”( . 3.3).

. 3.3.

(t) :
(t )
(t ) ( 1) , (3.2.9)
(t) — , —
(t) , ±1:
1
P 1 P 1 .
2
( -
(t)), ,
.

2 ( t1 ) ( t2 ) ( t1 ) ( t2 )
B (t1, t 2 ) b (t1 , t2 ) E E ( 1) E ( 1) .
t1 t2 :

( t2 ) ( t1 ) ( t2 ) ( t1 )
B (t1 , t2 ) E ( 1) E ( 1) .

( t2 ) ( t1 )
( 1)

204
 , (t2) – (t1). -
P1 , t2 – t1

2m
2m t2 t1
P1 ( 1) exp t2 t1
m 0 (2m)!
2m 2m
t2 t1
exp t2 t1 exp t2 t1 ch t2 t1
m 0 (2 m)!
1
exp t2 t1 exp t2 t1 exp t2 t1
2
1
1 exp 2 t2 t1 .
2
P2 , t2 – t1

1 1
P2 1 P1 1 1 exp 2 t2 t1 1 exp 2 t2 t1 .
2 2
,
( t2 ) ( t1 )
E ( 1) 1 P1 ( 1) P2
1 1
1 exp 2 t2 t1 1 exp 2 t2 t1 exp 2 t2 t1 .
2 2
t2 t1 :
( t1 ) ( t2 )
B (t1 , t2 ) E ( 1) exp 2 t1 t2 .
t1 t2 ,
:
B (t1 , t2 ) B (t1 t2 ) exp 2 t1 t2 exp 2 | | . (3.2.10)
=0 :
D (t ) 1.
,
, -
,
.
(3.2.6)
1/(2 ).

205
 3.2.4. -

(t ) cos 0 t ,
0 ,
— ( . 3.4).

(k )
1 (t)

t
0 1 2

-1
. 3.4.

, (t)
.

E (t ) E E cos 0 t
E E cos 0 t E cos E sin 0 t E sin
E ] ,
E cos E sin 0.
, ,
,
, [0; 2 ), :
2 2
1 1
E cos cos d 0 sin d E sin .
2 0
2 0

2
b( ) E E cos 0 t cos 0 (t )

206
 2
2 1
E cos 2 0t 0 2 cos 0 d
4 0

1 2
E cos 0 (3.2.11)
2
,
, , .

,
.
3.2.5.
-
.
, -
, -
.
[8],
: — -
; — . -

, -
, , -
, ,
. -
, -
, , -
, — -
,
.
.
-
.
(k)
(t) k (t),
T. -
, , k
(k )
T (t )

207
 (k )
(k ) (t ), | t | T / 2;
T (t )
0, | t | T / 2.
,
( ) ST( k ) ( )
1
:
T /2
(k ) (k )
S T ( ) T (t )exp j t dt .
T /2

ST( k ) ( ) , -
; GT( k ) ( ) —
ST( k ) ( ) , :
1 (k ) 2
GT( k ) ( ) ST ( ) .
T
(k )
T (t ) — , -
1 , GT( k ) ( ) — , -
F =1/T .
,

1 (k) 2
lim GT( k ) ( ) lim ST ( ) ,
T T T
, , , -
2
. -
GT( k ) ( ) :
GT ( ) E GT( k ) ( ) ,

G )—
:
1 2
G( ) lim E ST( k ) ( ) . (3.2.12)
T T

.
2
. 3.3.4.

208
 , G )

. ,
G ), , -
.
-
G ) (t) -
b ) :

G( ) b ( )exp( j )d ;
(3.2.13)
1
b( ) G ( )exp( j )d .
2
(3.2.13) .
(3.2.13),
.
GT )— , -
x(t). GT ) -
:
T T
1
GT ( ) x (t1 ) exp( j t1 ) dt1 x(t2 )exp( j t 2 ) dt2
T 0 0
T T
1
x(t1 ) x (t2 )exp j (t1 t2 ) dt1dt2
T 0 0

-
:
T T
1
E GT ( ) b (t1 t2 ) exp j (t1 t2 ) dt1dt2 .
T 0 0

( . 3.5),
(t1, t2) (t = t1, = t1 – t2). -
J
(t1 , t2 ) 1 1
J 1.
(t , ) (t , ) 1 0
(t1, t2 ) 0 1

209
 , t, — ,
0 T
1
E GT ( ) dt b ( ) exp j d
T T
T T
1
dt b ( ) exp j d
T 0 0
T 0
1 1
T b ( ) exp j d T b ( ) exp j d
T 0
T T
T
| |
1 b ( ) exp j d .
T
T

t2

T T

=t

0 T t1 0 T t

=t–T

–T

. 3.5.

,
T

b( )d ,
T

, , ,
T , — -
G ), (3.2.12).

210
 ( )
,
.
(3.2.13) ,

1
b (0) D[ (t )] E 2 [ (t )] G ( )d . (3.2.14)
2
, , ,
1
D[ (t )] G ( )d . (3.2.14 )
2

. -
, -
, . -
, (
) .
(3.2.14) -
.
, -
(3.2.14) , -
, (3.2.13):
( , -
) .
-
. -

. 3.1.
3.2.6.

:
b ( ) b0 exp | | , b0 > 0, > 0, (3.2.15)
, , .

211
 G( ) exp( | |) exp( j )d

b0 exp j d b0 exp j d
0

b0 b0 2b0
2 2
. (3.2.16)
j j

3.2.7. -

-
:
b0 (1 | | /T ), | | T ;
b( ) b0 > 0. (3.2.17)
0, | | T ,
, :
T
| |
G( ) b0 1 exp( j )d
T
T
0 0
b0 1 b0 1
1 exp( j )d 1 exp( j )d
j T T
j T T

b0 b0
2
1 exp( j T ) 2
exp( j T ) 1
T T
b0
2
2 exp( j T ) exp( j T )
T
2
4b0 exp( j T / 2) exp( j T / 2) sin 2 ( T / 2)
2
b0T . (3.2.18)
T 4 j2 ( T / 2)2

3.2.8. -

,
:
2 2
b ( ) b0 exp , b0 > 0, > 0. (3.2.19)

212
 2 2
G( ) b0 exp exp( j )d

:
j
2 2 2 2
j b0
G ( ) b0 exp 2
d exp 2
exp( y 2 )dy .
2 4 4 j
2

, ,
.
2 2
b0 2 b0
G( ) exp 2
exp( y )dy exp 2
. (3.2.20)
4 4
,
.
:
.
3.2.9.
( )
, -
:
N0
G( ) const , . (3.2.21)
2
(3.2.21),
, . . , ,
, . , —
, ,
, “ ” -
. ,
“ ”
, , .
. (3.2.13) :
1 N0 N0 1
b( ) exp( j )d exp( j )d .
2 2 2 2

213
 ( 1/2 ) -
1
,
1 N0 N0 N0 , 0;
b( ) exp( j )d ( ) (3.2.22)
2 2 2 2 0, 0.
: -
.
, ,
, ,
,
, -
,
. . .
, ,
, , -
“ ”.
-
, .
, -
; , -
( ) (3.1.3) -
.
3.2.10.

,
, -

N0
G( ) ,| | .
2

1 N0 N 0 sin
b( ) exp( j )d . (3.2.23)
2 2 2
1
-
( . . 37).

214
 , ( — ) -
, , -
, . . , -
k/ , k— ( . 3.6).
1
2 b( )/(N0 )
0.8

0.6

0.4

0.2

-0.2

-0.4
-15 -10 -5 0 5 10 15

. 3.6.

-
: , -
, b ) -
. “ -
1
” .
, -

, N0/2. , , -
, , -
Pc, , ,
, -
, , -
:
1 N0 1 N0
Pc d 2 N0 F , (3.2.24)
2 2 2 2

1
-
, ) = sin( )/( ) .

215
 F= /(2 ) — , .
, -

f
.

. 3.7.

. 3.7
.
x(t) , -
f,
f
,
( ), ( ) -
( ).
h(t, f) — ,
T u(t)
T
1 2
P( f ) x(t ) h(t , f ) dt ,
T 0

* .
f
P( f )
G( f ) .
f
f ,
G(f) —
.

216
 -

:
N0 , 0;
G( )
0, 0;

N0 , 0 ;
G( )
0, 0, ,
.
,
.
-
, -
-
.
3.2.11.

(t)
2b0
G( ) 2 2
,

. -
, :
2b0
b( ) 2 2
exp( j )d .

, -
,
. -

z= +j .
2b0 2b0
G ( z) 2 2
z (z j )( z j )

217
 z1 = j z2 = – j , .
( . 3.8),

exp j z exp j ( j ) exp j exp .

1
0 |exp[j z]| 0 |z|
0, . . ( . 3.8, ).

1
b( ) 2 j Res G ( z )exp( j z )
2 z z1

2b0 exp( j z )
j lim ( z j ) b0 exp( ).
z z1 ( z j )( z j )

)
)
. 3.8.
0( ) 0( )

0 |exp[j z]| 0 |z|

0, . . ( . 3.8, ),

1
b( ) 2 j Res G ( z)exp( j z)
2 z z2

2b0 exp( j z)
j lim ( z j ) b0 exp( ) .
z z2 ( z j )( z j )

1
, , -
, . -
, , [13].

218
 , -

b ( ) b0 exp( | |) ,
(3.2.15).
3.1.12.
-
( -
)
, -
, “ ”( -
) .
,
, . -
“ ”
,
“ ”, . . -
,
. , -
( , : ) -
, , -
, [13].
-
, -
.
, — , -
, -
, -
.

d
(t ) , (0) = 0, (3.2.25)
dt
(t) — , . .

219
 N0
b (t2 t1 ) (t2 t1 ) ,
2
(t) — , .
(3.2.25) ,

,
t

(t ) (t )dt . (3.2.26)
0

(3.2.26)
.
,
(t)
t t

E (t ) E (t ) dt 0dt 0
0 0

t 2 t t

D (t ) E (t )dt E (t ) (t )dt dt
0 0 0

t t t t
N0 N0
E (t ) (t ) dt dt (t t ) dt dt t. (3.2.27)
0 0 0 0
2 2

t1 t2

b (t1 , t2 ) E (t1 ) (t2 ) E (t ) (t )dt dt

0 0

t1 t2
N0 N0
(t t )dt dt min(t1 , t2 ) . (3.2.28)
0 0
2 2
, — -
,

1 y2
w ( y, t ) exp . (3.2.29)
N 0t 2 N 0t
.
, “ -

220
 ”. , -
,
.

3.1

b ) G )
N0 N0
( ),
2 2
N 0 sin N0
, ,| |
2 2
n n
2 2
k cos k k ( k ) ( k )
k 1 k 1

b0 exp | | , >0 2b0

2 2

2 2 2
b0 exp , >0 b0
exp 2
4
b0 , | | T ; sin T
b( ) 2b0T
0, T; T
b0 (1 | | /T ), | | T ; sin 2 ( T / 2)
b0T
0, | | T ; ( T / 2)2
1 | | sin ( 1 )/2
2
, 2 | | 1 ; b0 ( 1 2 )
1 2 ( 1 2) / 2

b0 1, | | 2 ; sin ( )/2
1 2
0, | | 1 ; ( 1 2) / 2

221
 3.3. .

-
, , -

. , -

GT( k ) ( ) . ,
, , .
“ ”
,
. -
, , -
,
. -
.
3.3.1. -

(t),
E (t)] = m
B (t1 , t2 ) B (t1 t2 ) B( ) E (t ) m (t ) m ,
T, x(t) — -
. (t) -
( ),
T
1
mt lim x(t )dt xw ( x)dx m . (3.3.1)
T T 0
, ,
, . .
T 2
1
lim E x(t ) dt m 0.
T T 0

222
 (3.3.1) mt -
,
, , ,
. -

T
1
mT x(t )dt , (3.3.2)
T 0
, , , -
:
T T
1 1
E[mT ] E[ x(t )]dt m dt m.
T 0 T 0
, -
. -
mT,
:
T 2
2 1
D mT E mT m E x(t )dt m
T 0
T T T T
1 1
E x(t1 ) m x(t2 ) m dt1dt2 B (t1 t2 )dt1dt2 .
T2 0 0
T2 0 0

: (t1, t2) (t = t1, = t1 – t2), -

, ;
. 3.5.

T T
1 | | 2
D mT 1 B ( )d 1 B ( )d
T T
T T 0
T
2 T
2
1 r ( )d . (3.3.3)
T 0
T
, -
T mT
T
2
D mT B ( )d . (3.3.3 )
T 0

223
 , ,
( T )
mT,
T
2
lim 1 B ( )d 0, (3.3.4)
T T 0
T
.
, (3.3.4) ,
.
:
(t ) 0.

, ,
, . . .
T T
2 2
1 B ( )d D[ 0 ] 1 d 2D[ 0 ] ,
T 0
T T 0
T
(3.3.4) ,
.
, (3.2.9) -
(3.2.10). -

T
2 2 T exp 2 T 1
D mT 1 B ( )d 2 , (3.3.5)
T 0
T (2 T )2
T .
(3.3.4)
, ,
T
1
b ( )d 0 (3.3.6)
T 0 T

b( ) 0. (3.3.7)
, (3.2.11)
-
(3.3.6):

224
 T
2 1 2 1
E cos 0 d E sin 0 T 1 0,
T0 T T

.
,
, -
(3.3.4), (3.3.6) (3.3.7), -
, ,
, . . . -
, ( )
.
.
, ,
, , . -
( -
, .), .
,
,
. ,
( ) ,
— , (3.3.2)
, -
, ..
, : -

-
. : “ -
” “ -
”? ,
( )
. -
, “ ” -
: ,
,

225
. . ( ) -
, .
, -
, , , -
, -
, -
, ,
, .
, -
, , -
, -
. [13], (t) -

d (t )
(t ) (t ) ,
dt
(t) — , -
(t) :
b ( ) exp( | |) .

3.3.2.
2
T(t) .
, m -
B ) .

T
2 1 2
T x (t ) m dt (3.3.8)
T 0

(t) -
,
T
2 1 2 2 2
t lim x(t ) m dt x m w ( x)dx . (3.3.9)
T T 0
2
T . -
(3.3.8), , — -
T:

226
 T T
2 1 2 1 2
E T E x (t ) m dt D (t ) dt D (t ) .
T 0 T 0

2 2 2
D T E T E2 2
T

T T
1 2 2 4
E x (t1 ) m x(t 2 ) m dt1dt2 . (3.3.10)
T2 0 0

, (3.3.10) -
,
.
-
, -
. ,
.
“ -
” ,
, , “ ” , . .
, ,
, -
. , -
, ,
.
-
( . 1.15), [7]
E (t1 ) m (t2 ) m (t3 ) m (t4 ) m
B (t2 t1 ) B (t3 t4 ) B (t3 t1 ) B (t4 t2 ) B (t4 t1 ) B (t3 t2 )
(3.3.11)
t1, t2, t3, t4. ,
t1 = t3 t2 = t4,
2 2
E (t1 ) m (t2 ) m 2 B 2 (t2 t1 ) 4
. (3.3.12)

, (3.3.12) (3.3.10),

227
 T T
2 2
D T B 2 (t1 t 2 )dt1dt2 ,
T2 0 0

. . , mT
, -
, . ,
2
T , :
T
2 4
D T 1 B 2 ( )d , (3.3.13)
T 0
T

T
4
lim 1 B 2 ( )d 0, (3.3.14)
T T 0
T

T
1
B 2 ( )d 0 (3.3.15)
T 0 T

(3.3.7) ). (3.3.13) -
2
T :
T
2 4
D T B 2 ( )d , (3.3.16)
T 0
,
:
2 4 2
D T B 2 ( )d B 2 ( )d , (3.3.16 )
T 0 T
.
, (3.3.8) -
, -
(3.3.14).
, -
N0/2 | | 2 F. -
, (3.2.23),
N 0 sin 2 F
b( ) ,
2

228
 ,
, (3.3.15)
2
2 2 2 sin 2 F
D T N0 / 2 d .
T

2
sin a
d |a| ,

2 N02 F
D T . (3.3.17)
T
( ) N0F, , -

2
D T N 02 F 1
4
. (3.3.18)
TN 02 F 2 FT
(3.3.14) , -
, (3.3.4): -
(3.3.8), -
, , , ? -
, . 3.3.1:
(3.3.14)
, “
”, -
( , ),

, -
2
. T ( -
) (3.3.2) -
m.
3.3.3. ( -
)
( ) ,
, .

229
 , — -
, -
.
, , -
m —
( ) ,
mT, ( )
B ), -
( ) .

T | |
1
x (t ) m x(t | |) m dt , | | T ;
BT ( ) T 0
(3.3.19)
0, | | T .
-
[–T; T] = t2 – t1, -
, , ,
BT ) , , -
[0; T]:
T
1
x(t ) m x (t ) m dt , 0 T;
BT ( ) T 0
(3.3.19 )
0, T,

[–T; 0].
(t) -
,
T
1
Bt ( ) lim x(t ) m x(t ) m dt
T T 0

x1 m x2 m w(2) ( x1 , x2 , )dx1dx2 B ( ), (3.3.20)

x1 = x(t1), x2 = x(t2).
BT ) -
. :

230
 T
1
E BT ( ) E x(t ) m x (t ) m dt
T 0
T
1 T
B ( )dt B( ) 1 B ( ). (3.3.21)
T 0
T T
, BT( ) ,
T . -
1

T ||
1
x (t ) m x(t | |) m dt , | | T ;
BT* ( ) T | | 0
(3.3.22)
0, | | T .
BT( ).
2
D BT ( ) E BT ( ) E BT ( )

T 2
1
E x (t ) m x (t ) m dt 1 B( )
T 0
T

T 2
1
E x(t ) m x(t ) m B ( ) dt
T 0

T T
1
E x(t1 ) m x(t1 ) m B( )
T2 0 0

x(t2 ) m x (t2 ) m B ( ) dt1dt2 .

-

T T
1
D bT ( ) E x (t1 ) m
T2 0 0

x (t1 ) m x (t2 ) m x (t 2 ) m B 2 ( ) dt1dt2 .

1
B*T ), , : ,
BT ), ; , , -
.

231
 (3.3.10),
D[bT )] ,

. . 3.3.2, ,
(3.3.11) -
t1, t2, t3, t4.
t3 t1 , t4 t2 ,

T T
1
D BT ( ) B 2 (t1 t2 ) B (t1 t2 ) B (t1 t2 ) dt1dt2 . (3.3.23)
T2 0 0

: (t1, t2) (t = t1,

s = t1 – t2);
. 3.51.
t = t2 – t1, s = t1 ( . 1.20),
0 T
1
D BT ( ) dt B 2 (s) B (s ) B (s ) ds
T2 T s
T s T
1
dt B 2 (s) B (s ) B (s ) ds
T2 0 0
T
1
T s B2 (s) B (s )B (s ) ds
T2 0
0
1
T s B 2 ( s) B ( s )B (s ) ds
T2 T
T
1 |s|
1 B 2 (s) B (s ) B (s ) ds . (3.3.24)
T T
T
, -
:
T
1 |s|
lim 1 B2 (s) B (s ) B (s ) ds 0 . (3.3.25)
T T T
T

1
, . 3.5 -
, (3.3.32) — -
, s.

232
 T
1
lim B 2 (s) B (s ) B (s ) ds 0 . (3.3.26)
T T T

(3.3.24) -
:
T
1
D BT ( ) B 2 ( s) B ( s ) B (s ) ds . (3.3.24 )
T T

, T
BT ) B ),
1/T, (3.3.25)
(3.3.19) -
.
, -
, B ) BT )
b ) bT ).
(3.3.21), (3.2.24)–(3.2.26) .

2
D[b T( )]/
1.6 0

1.4
= 0.2 = 0.5
1.2
= 1.0
1
0.8
0.6
0.4
0.2
/T
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
. 3.9. bT )

, -

233
 2 2 2
b( ) 0 exp / 0 (3.3.27)
, (3.3.24 ),
2 2 2
D bT ( ) 2 0 1 exp 2 /

(1 )erf 2(1 )/ exp 2(1 )2 / 2

1 , (3.3.28)
2 2 4
= /T, = 0/T, erf(z) — -

z
2
erf( z ) exp t 2 dt .
0

. 3.9 ( -
)
(3.3.28) ( T) -
. , , . .
“ ” ,
; ,“ ”
.
3.3.4.

, —
, , . . -
. , , -
.
G )
(3.2.12) -
: -
. ,
.
, , T -
x(t). ( ) ST ) -

ST ( ) x(t )exp( j t )dt .

0

234
 1 2
GT ( ) ST ( ) ,
T
,
,
F =1/T .
, GT )
G ), , ( ) -
.
, GT )
bT ) .
T T
1 2 1
ST ( ) x(t1 ) x(t2 )exp j t1 t2 dt1dt2 .
T T 0 0

, t1, t2
= t1 – t2, t = t1 ( . 3.5). :
0 T
1 2 1
ST ( ) exp( j ) x(t ) x(t )dt d
T TT
T T
1
exp( j ) x(t ) x (t )dt d
T 0 0
T T
1
exp( j ) x (t ) x (t )dt d
0
T
T T
1
exp( j ) x (t ) x(t )dt d .
0
T 0

-
t =t– ,
T T
1 2 1
ST ( ) exp( j ) x(t ) x(t )dt d
T 0
T 0
T T
1
exp( j ) x (t ) x(t )dt d .
0
T 0

, bT ),
. ,

235
 T

GT ( ) bT ( )exp( j )d , (3.3.29 )
T

1
bT ( ) GT ( )exp( j )d , (3.3.29 )
2
. . ( -
) ( )
.

GT ). (3.2.21)
T

E GT ( ) E bT ( ) exp( j )d
T
T
| |
1 b ( )exp( j )d . (3.3.30)
T
T

| | b ( )d

T (3.2.13). , GT ) —
(t).

D GT ( ) E GT2 ( ) E2 GT ( )
, , .
, , -
(t) . ,
.
T T T T
2 1
E G ( )
T E x(t1 ) x(t2 ) x(t3 ) x(t4 )
T2 0 0 0 0

exp j t1 t2 t3 t 4 dt1dt2dt3dt 4 .
-

, (3.3.11) :

236
 E x(t1 ) x(t2 ) x (t3 ) x(t4 )
b (t1 t2 )b (t3 t4 ) b (t1 t3 )b (t 2 t4 ) b (t1 t4 )b (t 2 t3 ) .

T T T T
2 1
E G ( ) T b (t1 t2 )b (t3 t4 ) b (t1 t3 )b (t2 t4 )
T2 0 0 0 0

b (t1 t4 )b (t2 t3 ) exp j t1 t2 t3 t4 dt1dt2dt3dt4 .

T T
1
E GT ( ) E x(t1 ) x(t2 ) exp j t1 t2 dt1dt2
T 0 0
T T
1
b t1 t2 exp j t1 t2 dt1dt2 ,
T 0 0

T T 2
2 2 1
E G ( ) T 2E GT ( ) b t1 t 2 exp j t1 t2 dt1dt2 ,
T2 0 0

D GT ( ) E 2 GT ( )
T T 2
1
b t1 t2 exp j t1 t2 dt1dt 2 . (3.3.31)
T2 0 0

(3.3.31) , T
, . . GT ) -
, , -
, ,
.

:
,
.
, GT ) “ ” , ,

( , ,

237
 ), , -
, . -
, GT ), -
.

, (3.3.30),
b )f )
b )
1 | | /T , | | T ;
f( ) (3.3.32)
0, | | T .
b ) G ), -
— ,

E GT ( ) f ( )b ( )exp( j )d

1
f( ) G ( 1 )exp( j 1 )d 1 exp( j )d
2

1
G ( 1) f ( )exp j( 1 ) d d 1
2

1 1
G ( 1) F ( 1 )d 1 F ( )G ( )d , (3.3.33)
2 2

F( ) f ( )exp( j )d

. -
-
G ) “ ” F );
F ) .
T -
, 2 /T,
, T

238
 “ ”, -
G ) . , -
(3.3.32), , -

sin 2 ( T / 2)
F( ) T , (3.3.34)
( T / 2) 2

1 sin 2 ( 1T / 2)
E GT ( ) T G( 1 )d 1
2 ( 1T / 2)2
1 sin 2 ( 1T / 2)
G( ) T d 1 G ( ).
2 ( 1T / 2)2
, ( )
“ ”
T .
,
( . . ) -
GT ).
[0; T] K
= T/K
x(k)(t), k = 1, …, K x(t) -
. , x(k)(t)

k
(k ) 1
b ( ) x(t ) x(t )dt , k = 1, …, K, 0,
( k 1)

G(k ) ( ) b( k ) ( )exp( j )d , k = 1, …, K,

(“ ”) GT* ( ) ,
(3.3.30):
K K
* 1 (k ) 1
G ( )
T G ( ) b( k ) ( )exp( j )d
K k 1 K k 1

239
 K
1
b( k ) ( )exp( j )d bT* ( )exp( j )d , (3.3.35)
K k 1

K k
* 1 1
b ( )
T x (t ) x (t )dt
K k 1 ( k 1)

(“ ”)
.
E bT* ( ) 1 | | /T b ( )

* 1 sin 2 ( 1 / 2)
E G ( )
T G( 1 )d 1 ,
2 ( 1 / 2)2
. .

sin 2 ( / 2)
F( )
( / 2) 2

1 | |/ , | | ;
f( )
0, | | .
,
. . 3.2 -
.

3.2

f( )
F )
1 | |/ , | | ; sin 2 ( / 2)
0, | | . ( / 2) 2
0,54 0,46cos( / ), | | ; sin( )
0, | | .
1,08 0,16( / )2
1 ( / )2

240
 .3.2
1 6 | |2 / 2
6 | |3 / 3
, | | / 2; 3 sin 4 ( / 4)
2 1 | |/
3
, /2 | | 4 ( / 4) 4
0, | | .

1 cos( / ) / 2, | | ; sin( )
0, | | .
1
1 ( / )2

3.4.

2 -
. “ ” : , ,
-
,
, .“ ” :
-
, “ –
”.
”, , -
. -
“ ” , , ,
“ ” , -
.
, -
, . -
“ ” :

241
 . , , -
,
, -

.
, (
) -
h(t),
, , -
H ), -
h(t) :

H( ) h(t )exp j t dt . (3.4.1)

x(t) — (t) -
, y(t) (t)
:

y (t ) x(t ) h(t ) x( ) h(t )d x(t ) h( ) d . (3.4.2)

h (t ) 0 , t < 0, (3.4.3)
, (3.4.2) :
t t

y (t ) x ( )h(t )d x(t ) h( ) d . (3.4.4)

0 0

,
:
t t

(t ) ( )h(t )d (t ) h( ) d . (3.4.4 )
0 0

-
. -
:
t1 tn

E (t1 ) (tn ) E (t1 1 )h( 1 ) (t n n ) h( n ) d 1 d n .

0 0

242
 , , , -
,
.
t1 tn

E (t1 ) (tn ) E (t1 1 ) (tn n ) h( 1 ) h( n ) d 1 d n .

0 0

(3.4.5)
t1 =… tn = t :
t t
n
E (t ) E (t 1 ) (t n ) h( 1 ) h( n ) d 1 d n . (3.4.6)
0 0

, n=1
:
t

E (t ) E (t ) h( ) d . (3.4.7)
0

(t) ,
E (t)] = m ,
, , ,
t

E (t ) m h( ) d . (3.4.8)
0

,
, . .

| h( ) | d . (3.4.9)
0

,
t

E (t ) m h( )d m H (0) . (3.4.10)
0

(3.4.5) n = 2, ,
:
t1 t2

E (t1 ) (t2 ) b (t1 , t2 ) E (t1 1 ) (t2 2 ) h( 1 )h( 2 )d 1d 2

0 0

243
 t1 t2

b (t1 1 , t2 2 )h( 1 )h( 2 )d 1d 2 . (3.4.11)

0 0

,
t1 t2

b (t1, t2 ) b (t2 t1 1 2 )h( 1 )h( 2 )d 1d 2 , (3.4.12)

0 0

t1 t2

b (t1, t2 ) b (t2 t2 ) b (t 2 t1 1 2 )h( 1 )h( 2 )d 1d 2 . (3.4.13)

0 0

, (3.4.10) (3.4.13)

, .

, -
.
,
, -
, -
.
, “ –
” ,
.
(3.4.13).
= t2 – t2, :

b ( )exp j d G ( )

b (t2 t1 1 2 )h( 1 )h( 2 ) d 1d 2 exp j d .

0 0

(3.4.10),

G ( ) exp j 1 h( 1 ) d 1 exp j 2 h( 2 ) d 2
0 0

244
 b( 1 2 )exp j 1 2 d( 1 2 )

2
H ( ) H * ( ) b (u )exp j u du H( ) G ( ). (3.4.14)

, -
-
, -
( ).

-
(3.4.14) .
, , b )
, b )
. , , (3.4.13),
-
. ,
:
b( ) G( ) G ( ) b ( ). (3.4.15)
-
b )
G ), (3.4.14)
G ) , -
b ) .
(3.4.5) -
. -
. , (3.4.5)
.
, -
, -
(3.4.15), -
( , ).
G )

245
 2 1
D[ (t )] G ( ) | H ( ) |2 d . (3.4.16)
2
. -
RC ( . 3.10, ) —

N0/2. -
.

) )
. 3.10. ( ) ( ) RC

, [8],
1
H( ) .
1 j RC
= 1/(RC) — RC ,
1
H( ) . (3.4.17)
1 j /

:
1 1 exp j t
h (t ) H ( )exp j t d d .
2 2 1 j /
. 3.2,
:
h(t ) j Res f ( z ) ,
zk
(k )

zk —
exp jzt
f (z) ,
1 jz /
.

246
 t:
t 0, ; t < 0,
. 3.8).

z=j ,
h (t ) exp( t) .
f(z) , -
t<0 . ,
exp( t ), t 0;
h (t ) (3.4.18)
0, t 0.
:
N0
b( ) ( ).
2

(3.4.13). :
2 N0
b( ) exp( 1 )exp( 2 ) ( 1 2 ) d 1d 2 .
0 0
2
,
. 0( . 3.11, ) -
2,
2
N0
b( ) exp( 1 ) exp( 2 ) ( 2 1 )d 2 d 1
2 0 0

2
N0 N0
exp( 1 )exp( ( 1 ))d 1 exp( ).
2 0
4
<0 2 -
; , 1

1 < , ( . 3.11, ).
:
2
N0
b( ) exp( 2 ) exp( 1 ) ( 1 2 )d 1 d 2
2 0 0

247
 2
N0 N0
exp( 2 )exp( ( 2 ))d 2 exp( ) .
2 0
4

) )
. 3.11. 0( ) <0( )

, -
RC :
N0
b( ) exp | | . (3.4.19)
4
b ) :
2 N0
b (0) . (3.4.20)
4
-
(3.4.15).
(t) RC
2
N0
G ( ) 2 2
. (3.4.21)
2
, -
(3.4.20):
2
1 1 N0 exp j
b( ) G ( )exp j d d .
2 2 2 ( j )( j )
, ( -
) -

248
 : 0 , < 0, -
( . 3.8). , ,
1 N0 2 exp jz N0
b( ) 2 j Res exp , 0
2 2 z j (z j )( z j ) 4

1 N0 2 exp jz N0
b( ) 2 j Res exp , < 0.
2 2 z j (z j )( z j ) 4
, (3.4.19).
,
(t) ( ) N0/2 ( . . -
) -
RC ( ), — -
,
.
, ,
— ,
, .

(
— ) , -
. . 4.4 -

.
, -
“ ” , . . -
-
,
(3.4.15).

. , -
, (3.4.13)
.

249
 , RC
-
:
b ( ) b0 exp | | , > 0,
.
(3.4.13)
. , -
. ,
, (3.2.15),
2b0
G( ) 2 2
,

2
2b0
G( ) 2 2 2 2
.

2
2 2b0 d
.
2 ( j )( j )( j )( j )
, -
,
, . , -

2
2 2b0
2 j Res f ( z ) Res f ( z ) ,
2 z j z j

1
f ( z) .
(z j )( z j )( z j )( z j )
, ,
. , ,
2 b0
. (3.4.22)
1 /
( )
-

250
 RC ( . 3.10, ),

j RC
H( ) . (3.4.23)
1 j RC j
( ) . -
, :
2
2 1 N0 d
.
2 2 ( j )( j )
, .
,
RC ( )
, -
-
. , -
.
” -
:
G( ) N0 / 2 , | | .

2
2 1 N0 d N0 2
2 2
arctg / . (3.4.24)
2 2 2
“ ” , -
, (3.4.24), .

251
 3
3.1. -
?

(t) (t) (t) (t)

t t t

t
a a)

3.2.
(t) = cos( 0t + ),
0 – , – ,
k /2, k = 1, .. ,4.
(t) ?
3.3. -
?
A(1 | | /T ), | | T ;
) f1 ( )
0, | | T ;
2 2
) f2 ( ) ( 1)exp( ), < 1;
B cos , | | / 2;
) f3 ( )
0, / 2.
3.4. ( ) -
-
:
2m
2
) b(t1 , t2 ) exp C2i mt1it22 m i
;
i 0

2
) b(t1 , t2 ) exp t12 t22 cos 0 (t1 t2 ) ;
2
) b(t1 , t2 ) exp (t1 t2 ) 2 cos 0 (t1 t 2 ) ?

252
 3.5. n ,

b ) = 2exp(– |), .
3.6. (t)
n(t) -
[t]
s(t) = (–1) , [t] — t. (t) -
? (t). -
[t + ]
? , s(t) = (–1) , — -
, [0; 1].
1.6. m — , B )— -
(t).
:
2
) E (t1 ) (t2 ) (t3 ) (t4 ) ; ) E (t1 ) 2 (t2 ) .
3.8.
:
2 2
) b( ) exp ( | |) ; ) b( ) exp ( 2 | |) ;
2 2
) b( ) exp( | |)cos 0 ; ) b( ) exp( | |) cos 2 0 ;
2 2
(1 | | /T )cos 0 , | | T; cos 0 , | | T;
) b( ) ) b( )
0, | | T ; 0, | | T ;
2
) b( ) exp( 2 | |)cos 0 ?
3.9. (t) (t)
a (t) a (t), b (t1,t2) b (t1,t2)

b (t1 , t 2 ) E (t1 ) a (t1 ) (t2 ) a (t 2 ) ;

b (t1 , t2 ) E (t 2 ) a (t2 ) (t1 ) a (t1 ) .

-
( ) (t) = (t) (t).
3.10. RC- -
N0/2. = RC,

U .

253
 4.

. ,
,
, ( , ,
).
, -
, . , -
1
,
, -
, . .
, -
.
“ ” , -
,
,
.

”, , -
.
x(t) — , ,
t, -
. -
, ,
; .
x[k] —
, k.

1
, “ ”, , “ -
” ,
. -
,
. “ ” “ ”
.

254
 x(t), t
, , ,
), x[k] x(k t). -

() [] .

4.1.

-
-
( ) 1.
L, . .
x[k] — , y[k] — , y[k] = L(x[k]).
,
x1[k], x2[k] c 1, c 2
L c1x1[k ] c2 x2[k ] c1L x1[k ] c2 L x2[k ] . (4.1.1)
k0 —
. ,
:
L x[k k0 ] y[k k0 ] .
, -
. , -
;
,
, [14].

[k], :
1, k 0;
[k ] (4.1.2)
0, k 0.
,
, (4.1.2) -

1
LSI (Linearity
and Shift-Invariance).

255
 .
[k],
x[k] :

x[k ] x[n] [k n] x[k n] [n] . (4.1.3)

n n

h[k] — ,

. y[k]
x[k]
:

y[k ] x[k ] h[k ] x[n]h[k n] x[k n]h[n] . (4.1.4)

n n

-
,
; ,
h[k ] 0 , k < 0. (4.1.5)
, -
, , , ( -
) . -
[6], ,
:

| h[n] | . (4.1.6)
n

, , -
, .
-
.
-
:
a k , k 0;
x[k ] (4.1.7)
0, k 0.

256
 a
. 0<a<1 -
; –1 < a < 0 — -
; |a| > 1 — ;
a=1— ( ):
1, k 0;
u[k ] (4.1.8)
0, k 0;
, a = –1 -
( “ ”). , -
-
:
1, k k0 ;
u[k k0 ] (4.1.8 )
0, k k0 .
-
:
x[k ] Acos(2 fkT ) Acos( kT ) , (4.1.9)
T — , A — , — ,
f = 2 f.
, , , ( -
) ( ),
x[k] y[k] -
:
Q P
y[k ] bn x[k n] an y[k n] , (4.1.10)
n 0 n 1
a1, …, aP b1, …, bQ ,
P Q .
(4.1.10), , -
y[k] P ,
Q . -
, P = 0, :
Q
y[k ] bn x[k n] . (4.1.11)
n 0

257
 , -
. ,
:
Q
h[k ] bn [k n] , (4.1.12)
n 0
-
( ). , P 0
,
-
1
( ).
-
, -

, z- .
( ), -
{x[k]}, , , -
( . . 4.6),
X ) ( ), -
:

X( ) x[k ]exp( j k ) . (4.1.13)

k

(4.1.13)
{x[k]}:

| x[k ] | .
k

, ,
(1.2.7)
x[k ] exp( j 0k ) , (4.1.14)
, , , ( -
) :

1
FIR (Fi-
nite length Impulse Response), — IIR (Infinite length Impulse Response).

258
 X exp( j 0k ) exp( j 0 k )exp( j k)
k

2 ( 0) 2 ( 0).

-
:

H( ) h[k ]exp( j k ) . (4.1.15)

k

.
X ) 2 (
).
{x[k]} , X ) -
:
X( ) X *( ).
, , , -
, :
X( ) X ( ) exp j ( ) .
X ) — -
— , —
— :
X( ) X( );
( ) ( ).
— -
( ),
1
X ) -
x[k]:
1
x[k ] X ( )exp( j k )d . (4.1.16)
2
y[k]
x1[k] x2[k]:

1
[– ; ],
.

259
 y[k ] x1[k ] x2 [k ] ,

x1[k] x2[k]:
Y( ) X1( ) X 2 ( ) .
,
:
1
| x[k ] |2 | X ( ) |2 d . (4.1.17)
k
2
. 4.1.

4.1

x[k] X )

1
x[k ] X ( ) exp( j k ) d X( ) x[k ]exp( j k )
2 k

x[k – k0] X ) exp(–j k0)

x[k] exp(–j 0k) X – 0)

)
-
x*[k] X*(– )

x[–k] X(– )
)
x1[k ] x2[ k ] X1 ) X2 )

1
x1[k] x2[k] X1( ) X 2 ( )d
2

dX ( )
k kx[k] j
d

- * 1 *
x1[ k ] x2 [ k ] X 1 ( ) X 2 ( )d
k
2

260
 z {x[k]},
Z[x[k]], ,
(4.1.13) ( . .
) -
z = r exp(j ) -
:
k
X (z) x[k ]z . (4.1.18)
k

, r=1 (4.1.15) (4.1.18) .

, z ,
(4.1.18) . z -
, ,
H(z) z, -
z = 0.
z, :
R1 z R2 .
z , , -
( . 4.2).
4.2
z
z
x[k] X(z)
1
x[k ] X ( z ) z k 1dz ,
2 j
C
k
C— X (z) x[ k ] z
, - k

k0
x[k – k0] X ( z) z
-
x*[k] X*(z*)

-
k ck x[k] X(z /c)
c

x[–k] X(z –1)

)

261
 4.2
x1[k ] x2[ k ] X1(z) X2(z)

1
x1[k] x2[k] X1 ( y ) X 2 ( z y )dy
2

dX ( z )
k kx[k] z
dz

- * 1 *
x1[ k ] x2 [ k ] X1 ( z ) X 2 ( z ) dz
k
2

z H(z) ( . . z -
)
k
H ( z) h[k ]z . (4.1.19)
k

-
.

z –1:
Q Q
k 1
H ( z) bk z b0 1 kz , (4.1.20)
k 0 k 1

k . -
, (4.1.20), , -
(all-zero filter).

z –1:
Q Q
k 1
bk z 1 kz
k 0 k 1
H (z) P
b0 Q , (4.1.21)
k 1
1 ak z 1 kz
k 1 k 1

k k -
.

262
 , , -
, ,
b0 b0
H (z) P Q . (4.1.22)
k 1
1 ak z 1 kz
k 1 k 1
(all-pole filter).
ak bk ,
H ( z ) H * ( z* ) ,

.
,
, . .
k 1.
.
(linear phase filter) -

H( ) A( )exp j ( ) , (4.1.23)
A )— , — .
(all-pass filter) — , -

. -
,
| H ( ) | const .
(minimum phase filter)
, .
, - -
. , -
.
, ( ,
z ) -
, . ,

263
 A
,k 1
( x a)k

Ax B
, k 1.
( x px q)k
2

, z
, x
–1
z .
. 4.3 z -
( 4.1).
4.3
z
z
x[k] X(z)
[k] 1 z
[k – k0] 1/ z k0 z 0
z
u[k] |z| > 1
z 1
k 1
u[k ] , >0 |z| >
1 z1
1
k 1 z
u[k 1] , >0 1
|z| >
1 z
k
z 1
k u[k ] |z| > | |
(1 z 1 )2
N
k 1 z N
u[ k ] u[ k n] |z| > 0
1 z 1
k 1
u[ k 1] 1
|z| < | |
1 z
k
z 1
k u[ k 1] |z| < | |
(1 z 1 )2

|k|
1 2
< |z| < 1/
(1 z 1 )(1 z)
1
sin(k 1) 1 2
,
k 1
r ,r>0 1z 2z |z| > r
sin 2
2r cos a1 , r a2

264
 4.2.

“ ” -
, ,
, . . ( -
). , -
-
. , -
-
, t1, …, tn. ,
n (t) -
:
F (n) ( x1, , xn ; t1, , tn ) P( (t1) x1, , (tn ) xn ) .
, -
t1, …, tn -
, -
. ; ,

, -
.
, -
x(t) —
(t), x[k] — ( -
) [k]. , -
, -
, : [k] k, x[k] xk . .
, -
, .
,
. , -
, , -
, , .
-
, , , , -

265
 -
, , -
, .
1 2 —“ ” ,

1 j 2

E[ ] E[ 1 ] jE[ 2 ]

D E | E |2 .
-
:
*
Cov , E E E .

* .
,
-
, , -
( , , ) -
, — -

.
, ( -
) .
( ) -
k:

E[ k ] m [k ] , (4.2.1)
:
E[ k ] m . (4.2.1 )
k:
2 2
D[ k ] E k m [k ] [k ] , (4.2.2)

266
 2 2
D[ k ] E k m . (4.2.2 )
1
( ) -
k:
*
B [k , n] Cov k, n E k m [k ] n m [n]
*
E k n m [k ]m*[n] . (4.2.3)

:
B [k , n] B [k n] B [m] .
k=n , -
:
B [m] B [0] D[ k ] .
( ) -
k:
*
b [k , n] E k n . (4.2.4)
, -
m [ k ]m*[ n] , , -
, .
k ,
:
b [m] b*[ m] .
,
:
b [m] b [ m] .
1
-
k k:

1
B,b,B b , -
, .
, , , , -
, , , .

267
 *
B [k , n] Cov[ k , n] E k m [k ] n m [n]
*
E k n m [k ]m* [n] . (4.2.5)
-
.
2
B [m] b [0]b [0] .

k k:
*
b [k , n] E k n , (4.2.6)

m [ k ]m* [ n] , , -
, .
,
, . ,
, -
. , -
, -
, , .
-
.
4.2.1.
, -
:
k A0 sin(k 0 ). (4.2.7)
A0 0 — ( -
), — , -
[0; 2 ):

1
, ( )
, :
,
— .

268
 1/ (2 ), 0 2 ;
w( )
0. 0 2 .
(4.2.7),
, :
2
1
m [k ] E[ A0 sin(k 0 )] A0 sin(k 0 )d 0.
2
0

:
b [k , n] E A0 sin(k 0 ) A0 sin(n 0 )
A02
E cos (k n) 0 cos (k n) 0 2
2
2
A02 1
cos (k n) 0 cos (k n) 0 2 d .
2 2
0

,
A02
b [ k , n] cos (k n) 0 .
2
k=n :
D[ k] A02 / 2 .
, -
, -
. , (4.2.7)
, , .
-
:
k A0 exp j (k 0 ) . (4.2.8)
k ,
b [k , n] E A0 exp j (k 0 ) A0 exp j (n 0 )

A02E exp j (k n) 0 A02 exp j (k n) 0 . (4.2.9)

269
 4.2.2.
. 3.2.8, “ ” —

, -
, , -
.
, ( ) -

. ,
, -
( , )
.
— -
, -
2
, . -

2
B [m] [m] , (4.2.10)
[m] — (4.1.2).

. -
, , , -

, (4.2.9) -
. , -
( ) -
:
1 ( x a )2
w ( x) exp 2 ,
2 2 2
2
a — , — .

270
 4.2.3.
,
. k k -
:
[k ] [k 1] . (4.2.11)

* *
b [k , n] E k n E k k 1 b [k , k 1]
.
4.2.4.

. -
( )
( ) .
M ( T -
, . .
)
T
[ 1 2 M] , (4.2.12)

m [m 1 m 2 m M ]T (4.2.13)

2 2 2 2
[ 1 2 M
]T . (4.2.14)
M × M,
1
:
2 * *
| 1| 1 2 1 M
* 2 *
H 2 1 | 2| 2 M

* *
M 1 M 2 | 2 |2
:

1
( H ) —
.

271
 B 11 B 12 B 1M
B 21 B 22 B 2M
B

B 1M B 2M B MM

( )( m )H E m mH b m mH

Cov[ 1, 1] Cov[ 1, 2 ] Cov[ 1, M]

Cov[ 2 , 1] Cov[ 2 , 2 ] Cov[ 2 , M]
, (4.2.15)

Cov[ M , 1] Cov[ M , 2] Cov[ M, M]

,
— (4.2.5). b
:
b 11 b 12 b 1M
b 21 b 22 b 2M
b E[ ]

b 1M b 2M b MM

2 * *
E[| 1| ] E[ 1 2] E[ 1 M]
* 2 *
E[ 2 1] E[| 2| ] E[ 2 M]
. (4.2.16)

* *
E[ M 1] E[ M 2] E[| 2 |2 ]
-
:
, ,
b [m] b*[ m] , -
:

272
 b [0] b*[1] b*[M 1]
b [1] b [0] b*[M 2]
b

b [M 1] b [M 2] b [0]

b [0] b [ 1] b [ M 1]
b [1] b [0] b [ M 2]
. (4.2.17)

b [M 1] b [M 2] b [0]
, ,
1
, , .

b Toep b 1, b 2 , ,b M .
b [m] = b [–m], -
:
b [0] b [1] b [M 1]
b [1] b [0] b [M 2]
b . (4.2.17 )

b [M 1] b [M 2] b [0]
, ,
. ,
n -
2n – 1 . , -
-
, . ,
n ,
2
n(log2n) ,
n nm , m > 2.

, , -
M a = [a1, a2, …, aM] ,
b, :
1
(1881–1940).

273
 M M
H
a ba a[ k ]a*[ n]b [ k m] 0 .
k 1 n 1
H
, b =E ],
2
aH b a aH E H
a E aH H
a E aH H
a E aH 0.

, -
.

B 11 B 12 B 1M
B 21 B 22 B 2M
B

B 1M B 2M B MM

E ( m )( m )H E H
m mH b m mH
Cov[ 1, 1] Cov[ 1, 2] Cov[ 1, M]
Cov[ 2 , 1] Cov[ 2 , 2] Cov[ 2 , M]
(4.2.18)

Cov[ M , 1] Cov[ M , 2] Cov[ M, M]

b 11 b 12 b 1M
b 21 b 22 b 2M
b

b 1M b 2M b MM

E[ 1 1] E[ 1 2] E[ 1 M]
E[ 2 1] E[ 2 2] E[ 2 M]
(4.2.19)

E[ M 1] E[ M 2] E[ M M]

T
[ 1 2 M]

274
 T
[ 1 2 M] .
, -
,
(4.2.19) .

(4.2.7),

A02
b [m] cos(m 0 ) .
2
= [ 1, 2].
:
A02 / 2 A02 / 2cos 0 A02 1 cos 0
b .
A02 / 2cos 0 A02 / 2 2 cos 0 1
:
2 2
A02 2
ak an*b k n a1 a2 cos 0 0.
k 1 n 1
2

det(b I) 0 , (4.2.20)
I— . :
1 cos 0
det (1 )2 cos2 0
cos 0 1
(1 cos 0 )(1 cos 0) 0.

1 1 cos 0 0;
2 1 cos 0 0.
:
:
k A0 exp j(k 1 1) A0 exp j(k 2 2) ,
1 2 — , -
[0; 2 ).

275
 b [k , n] A02E exp j (k 1 1) exp j (k 2 2)

exp j (n 1 1) exp j (n 2 2)

A02 exp j (k n) 1 A02 exp j(k n) 2

A02E exp j ( k 1 1) exp j (n 2 2)

A02E exp j (k 2 2) exp j (n 1 1) .

-
( ),
b [k , n] b [k n] b [m] A02 exp jm 1 A02 exp jm 2 .
= [ 1, 2],

2 exp jm 1 exp jm 2
b A02 .
exp jm 1 exp jm 2 2
(4.2.20),
1 2
1 2 2cos 0;
2
1 2
2 2 2cos 0.
2
4.2.5. -

-
“ ” ,
-
.
.
k
b [m]. -
( ),
b [m]:

P( ) b [m]exp( jm ) . (4.2.21)
m

276
, , -
:

1
b [m] P ( )exp( jm )d . (4.2.22)
2
(4.2.21) . -
z = r exp(j ),
z :

m
P (z) b [m]z . (4.2.21 )
m
,
, . -
.
-
, -
:
P ( ) P*( ) .
, k , :
P( ) P( ).
z

P ( z) P* (1/ z* ) .
, k ,
P ( z) P*( z*) .
:

P* ( ) b*[m]exp( jm ) b*[ n]exp( jn )

m n

b [n]exp( jn ) P ( ) .
n

k , b [m] = b [–m]

277
 P( ) b [m]exp( jm ) b [ n]exp( jn )
m n

b [n]exp( jn ) P ( ) .
n
z , :
*
m *
P* (1/ z* ) b [m] 1/ z* b*[m] z*m
m m

b*[ n]z n
b [n]z n
P ( z) .
n n
.
.
:

2 1
E k P ( )d , (4.2.23)
2
(4.2.22), m = 0.
, k ,
(4.2.24) .

i :
min P ( ) i max P ( ) . (4.2.24)

i — , qi — -
(4.2.17), . .
b qi iqi , i = 1, …, n,

T
qi qi (0), qi (1), , qi (n 1) ,
qiH :
qiH b qi qiH iqi H
iqi qi

278
 qiH b qi
i .
qiH qi
(4.2.22):
n 1 n 1
qiH b qi qi* (k )b ( k l )qi (l )
k 0 l 0
n 1 n 1
1
qi* (k )qi (l ) P ( )exp j (k l ) d
2 k 0 l 0

n 1 n 1
1
P( ) qi* (k )exp( j k) qi (l )exp( j l ) d .
2 k 0 l 0

-
qi:
n 1
Qi ( ) qi (l )exp( j l ) ,
l 0

1 2
qiH b qi P ( ) Qi ( ) d .
2
, -
i, ,
1 2
qiH b qi Qi ( ) d .
2
,
1 2
P ( ) Qi ( ) d
2
i .
1 2
Qi ( ) d
2
:
1 2 1 1 2
P ( ) Qi ( ) d max P ( ) Qi ( ) d
2 2 2

279
 1 2 1 1 2
P ( ) Qi ( ) d min P ( ) Qi ( ) d ,
2 2 2
(4.2.2.4) .
— -
—
P ), -
k k:

P ( ) b [m]exp( jm ) . (4.2.25)
m
-
, P ) -
,
P ( ) P* ( )
.
-
, -
, -
, . .
-
,
|m|
b [m] , | | < 1.
:
0
k k
P( ) exp( jm ) exp( jm )
m m 1

1 1 1 2
1 2 . (4.2.26)
1 exp( j ) 1 exp( j ) 1 2 cos
, , .

280
 3
P ( )

2.5

1.5

0.5

0 /
-1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1

. 4.1. [– ; ]

. 4.1 (4.2.26)
[– ; ]. ,
(3.2.16), -
(3.2.15).

4.3.

. 3.3,
, ,
, ,
.) ,
, . -
, -
.
-
(3.3.4), (3.3.14), (3.3.25), ,
, ,
, .
-
, -
,

281
 .
-
-
.
[6],
[0; T] xk = x(k t), -
t -

1
t
2F ,
F— -
. , -
N (N -
)
x [ x0 x2 xN 1 ]T (4.3.1)
k.
x -
, -
1
.
4.3.1.
( ):
N 1
1
mx xk . (4.3.2)
N k 0

,
N 1
1
E mx E xk E k m.
N k 0

,
( ), —
( ). :m — -
( ); mx — .

282
 (4.3.2),
, ,
2
lim E mx m 0.
N

-
(4.3.2):
N 1 N 1
2 1 *
D mx E mx m E xk m xn m
N2 k 0 n 0
N 1 N 1
1
B [ k n] . (4.3.3)
N2 k 0 n 0

( . 3.5), -
. (
N ) -
:
n m = k – n:
N 1 N 1 N 1k N 1
1 1
B [ k n] B [m] .
N2 k 0 n 0
N2 k 0 m k
-
N ×(2N – 1):
m
–N + 1 … –2 –1 0 1 2 … N–1
0 [–N + 1] … [–2] [–1] [0] – … … –
1 – … [–2] [–1] [0] [1] … … –
– … [–2] [–1] [0] [1] [2] … –
k

… … … … … … … … … …

N–2 – … – [–1] [0] [1] [2] … –

N–1 – … – – [0] [1] [2] … N–1

283
 ,
:
N 1k N 1
1 1
B [m] B [ N 1] 2B [ N 2] ( N 1) B [ 1]
N2 k 0 m k
N2
NB [0] ( N 1) B [1] 2B [2] B [1]
N 1 N 1
1 1 | m|
N | m | B [m] 1 B [m] .
N2 m N 1
Nm N 1
N
,
:
N 1
1 |m|
D mx 1 B [ m] , (4.3.4)
Nm N 1
N

N 1
1
D mx B [m] , (4.3.4 )
Nm N 1

N.
, -
N. -
:
N 1
1 | m|
lim 1 B [m] 0 , (4.3.5)
N Nm N 1
N

N 1
1
lim B [m] 0 (4.3.6)
N Nm N 1

lim B [m] 0 . (4.3.7)

N
, -
( ) , (4.3.5) (4.3.6)
m.
, (4.2.7) :

284
 N 1 N 1 N 1
1 A02 A02 3
B [m] 2 cos m 0 1 Re exp jm 0
Nm N 1
2 N m 1
N k 0
2

A02 1 exp jN 0 3 A02 sin N 0 / 2 ( N 1) 0 3 A02

Re cos ,
N 1 exp j 0 2 2 N sin 0 / 2 2 2N
0 0, (4.3.6) , -
. 0 = 0, ,
, — -
k .
4.3.2.
( ), -
, , -
. , , , -
,
N 1
2 1 2
x xk m (4.3.8)
N k 0

,
N 1 N 1
2 1 2 1 2
E x E xk m D k .
N k 0
N k 0

(4.3.8)
N 1 N 1
2 2 2 2 2 1 2 2 4
D x E x E x E xk m xn m .
N2 k 0 n 0

, , , -
,

( , ) . -
,
2 2
E xk m xn m 2 B2 [ n k ] 2
4.

285
 N 1 N 1
2 2
D x B 2 [n k ] ,
N2 k 0 n 0
(4.3.4), , -
, . ,

N 1
2 2 | m| 2
D x 1 B [m] , (4.3.9)
Nm N 1
N
N:
N 1
2 2
D x B2[m] , (4.3.9 )
Nm N 1

N 1
2 | m| 2
lim 1 B [m] 0 , (4.3.10)
N Nm N 1
N

N 1
1
lim B2[m] 0 . (4.3.11)
N Nm N 1
(4.3.7) .
, ( -
) , -
( ).

N 1
2 1 2
1x xk mx (4.3.12)
N k 0
, .
4.3.3. -

( -
)

286
 N m 1
1
bux [m] xk m xk* , 0 m N – 1. (4.3.13)
N m k 0
m>N–1 -
.
m bux[m] :
N |m| 1
1
bux [m] xk* |m| xk , – (N – 1) m < 0. (4.3.13 )
N m k 0
, -
:
bux [m] bu*x [ m] ,
. . , -
(4.2.4). , (4.3.13) -
2N – 1 -
m, m
.

, :
N m 1
xk m xk* , 0 m N 1;
1 k 0
bbx [m] N |m| 1 (4.3.14)
N
xk* |m| xk , ( N 1) m 0.
k 0

(4.3.13) (4.3.14) :
N | m|
bbx[m] bux[m] ,
N
: (4.3.13) -
:
E bux [m] b [m] ,
1
(4.3.14) :

1
:u
(unbiased — . ) b (biased — . ).

287
 | m|
E bbx [m] 1 b [m] .
N
, -
(4.3.13) , -
: -
-
, (4.3.14) .
, , -
(4.3.14), ,
.
(4.3.13) (4.3.14)
-
:
N 1
N
D bux[m] b2[k ] b [k m]b [k m] , (4.3.15)
( N m)2 k N 1
N 1
1
D bbx [m] b2[k ] b [k m]b [k m] , (4.3.16)
Nk N 1
m << N, . . -
( -
). m -
,
( ) .

. , -

x [ x0 x2 xN 1 ]T , y [ y0 y2 yN 1]T

N m 1
xk m yk* , 0 m N 1;
1 k 0
bbxy [m] N |m| 1 (4.3.17)
N
xk* yk |m| , ( N 1) m 0.
k 0

288
 (4.2.39) (4.2.40), -
,
(4.2.41) :
buxy [m] bu*xy [ m] .
, ( ) -
, -
.
4.3.4.
-
.
;
. 4.6.
” , -
, ,
. .
:
N 1 2
1
GPx[ ] xk exp( jk T ) . (4.3.18)
N k 0

( . 3.3.4) -
,
: -
. .

( . . 4.6.3).
—
,
-
. (4.2.21) -
, :
L
GK x ( ) bbx [m]exp( jm ) . (4.3.18)
m L

289
 , , ,
, — ,
, , -
(2.2.34) bbs[m]. L N / 10.

4.4.

. 3.4, , -
,
, ,
( ) -
— .
,
, -
. (
)
, -
, .
-
,

.
4.4.1.

k -
m b [m]
h[m]. k
, ,

k n hk n k n hn . (4.4.1)
n n

(4.4.1) , . . -
-
. ,

290
 -
.

E k E k n hn E k n hn m hn m H (0) , (4.4.2)
n n n

H(0) — (4.1.15)
. ,E k] -
, “ ” H(0).
b [m] -
. , — -
,
1
. :

* * *
b [k m, k ] E k m k E k m n hk n
n

*
E k m n hk* n b [k m n]hk* n , (4.4.3)
n n

b [m] — -
, , -
k k,

* *
b [k m, k ] b [m] E k m k E hn k m n k
n

*
hnE k m n k hnb [m n] . (4.4.4)
n n
, -
, . . ,
m, (4.4.3) i = k – n:

b [k m, k ] b [i m]hi* b [m] .
i

1
, -
, ,
. . 3.4);
.

291
 , m . b [m]
1
:
b [m] b [m] h*m .
, (4.4.3) (4.4.4), -

”:

b [m] hnhi*b [n i m] b [m] hm h*m . (4.4.5)

n i

h* k

. 4.2.

(4.4.5) : -
b [m]
hk
. 4.2), -
b [m]. b [m] -
, , -
*
h –k.
b [m].
(4.4.5) .
hk

rh[m] hk hk* m hk h*k ,

k
.
-
rh[m]:

1
“ ”:
, — .

292
 b [m] b [m] rh [m] . (4.4.6)
b [m] , -
( , ) -
:

b [0] hn hi*b [n i ] . (4.4.7)

n i
, -
, (4.4.7) :
b [0] hH b h . (4.4.7 )
, -
. (4.4.6) -
, -
:
2
P ( ) P ( ) H( ) . (4.4.8)
z
P ( z) P ( z) H ( z)H * (1/ z* ) . (4.4.8 )
, , H(z) = H*(z*),
P ( z) P ( z ) H ( z) H (1/ z) . (4.4.8 )
z = z0,
*
, z = 1/z 0 -
. ,
z = z1, , z = 1/z*1
.
, (4.1.8),
. , P (z) —
, z
( 4.3):
P ( z ) P ( z ) H * (1/ z* );
(4.4.9)
P ( z) P ( z) H ( z ).
P (z) -
k k P (z) k

293
 k, k
H(z) k,

P ( z) P ( z) H *(1/ z*) . (4.4.10)

2
, ,
,
1
H ( z) . (4.4.11)
1 0,25z 1
,
, :

2 2
P( ) b [m]exp( jm ) [m]exp( jm ) .
m m

2 1 1
P ( z) 1 .
1 0,25z 1 0,25z
, -
z = 0,25 z = 4,00.
-
z . P (z)
:
16 2 / 15 16 2 / 15
P (z) .
1 0,25z 1 1 4 z 1
, z , -
. 4.3, :
k |k |
16 2 1 16 2 k 16 2 1
b (m) u[k ] 4 u[ k 1] . (4.4.12)
15 4 15 15 4
4.4.2. .
k, -
P ), z P (z).
, ln P (z)
< |z| < 1/ , .
, ,
:

294
 k
ln P ( z ) ck z , (4.4.13)
k

z
c k. , {ck}
b [m].
(4.4.13)

ln P ( ) ck exp( jk ) , (4.4.14)
k
ck
ln P ) , (4.1.16),

1
ck ln P ( )exp( jk )d .
2
P ) , ck -
:
c k ck* ,

1
c0 ln P ( )d .
2
(4.4.13), P (z) :
1
k k k
P ( z) exp ck z exp(c0 )exp ck z exp ck z .
k k k 1

k
H ( z ) exp ck z , |z| > .
k 1

k
ck z
k 1
|z| > , -
( . . )

295
 . , H(z)

k
H (z) hk z ,
k 0

z -
hk , (hk = 0 k < 0).
H(z) -
; hk — -
. H ) = 1, , h0 = 1,
, |z| > , ,

; , ,
, 1/H(z).
c k,
1 *
k
exp ck z exp ck* z k exp ck (1 / z* ) k
H * (1 / z* ) .
k k 1 k 1

2 1
0 exp(c0 ) exp ln P ( )d ,
2
:
2 * *
P ( z) 0 H ( z) H (1/ z ) . (4.4.15)

2 1
P ( z) 0 H ( z) H ( z ) . (4.4.15 )
k,
(4.4.15), . -
.
-
H(z),
2
k 0 ( . 4.3, ).
, H(z), . . -
1/H(z), . , -

296
 , -
(4.4.15), -
2
0 ( . 4.3, ).

k k
H(z)

k 1 k

H ( z)

)
. 4.3. : ( )
( )

, k k , . .
.
.
, ,
. .
2 D( z )
P ( z) 0 ,
G( z )
:
2 B( z ) B* (1/ z* )
P (z) 0 , (4.4.16)
A( z) A* (1/ z* )
1
A(z) B(z) — z–1:
1 P
A( z) 1 a1z aP z ,
1
B( z) 1 b1z bQ z Q ,

1
,
.

297
 .
( ) -
.
(4.4.16) B(z) A(z)
, -
, , -
A(z) B(z),
( )
.
-
, -
.
4.4.3.
,

BQ ( z) b0
H (z) P , (4.4.17)
AP ( z ) k
1 ak z
k 1
2
k 0. -
k (4.4.17) -
P- AR(P) ( .
autoregressive process). , (4.4.15),
z
2
2 b0
P (z) 0 (4.4.18)
AP ( z ) AP* (1/ z* )
, ,
2
2 b0
P( ) 0 2 .
AP ( )
, AR(P)- 2P -
( z = ).

298
 ,
-
(4.1.10).
P

k an k n b0 k . (4.4.19)
n 1
*
k m -
, . . :
P
* * *
E k k m anE k n k m b0E k k m .
n 1

, —
:
P
b [m] anb [ m n] b0b [m] .
n 1

b [m]
, . -

k k hk hi k i ,
i 0

*
b [ m] E k k m E k h0* *
k m hi* *
k m i
i 1

h0*E k
*
k m E k
*
k m i hi* h0*b [ m] b [ m i ]hi* ,
i 1 i 1

h0 , -
b 0.
k ,
2
b [m i ] 0 [m i ] .
m>0 i 1
,

299
 b [ m i ]hi* 0,
i 1

0, m 0;
2
b [ m] 0 h0* , m 0; (4.4.20)
h*m m 0;
, , h 0 = b 0,

P
0, m 0;
2
b [m] anb [m n] b0 0 b0* , m 0; . (4.4.21)
n 1
h*m m 0;
,
m 0 m P:
2 2
b [0] a1b [ 1] a2b [ 2] a pb [ P ] 0 b0 ;
b [1] a1b [0] a2b [ 1] a pb [ P 1] 0 ;
…
b [ P] a1b [ P 1] a2b [ P 2] a pb [0] 0 .
b [ m] b*[m]
:
b [0] b*[1] b*[2] b*[ P] 1 b0
2 2
0
b [1] b [0] b*[1] b*[ P 1] a1 0
* a2
b [2] b [1] b [0] b [ P 2] 0 . (4.4.22)

b [ P] b [ P 1] b [ P 2] b [0] aP 0
(4.4.22), -
-
, –
(Yule-Walker equations) AR- .
(4.4.22)
. -

300
 1
:
.
(4.4.22) b [0], …, b [P], -
b [m], m > 0, (4.4.21).
AR-
AR(1), -
:
b0
H (z) ,
1 a1z 1
a1 b0 — .
AR(1)-
:
b [0] a1b [1] 02b02 ;
(4.4.23)
b [1] a1b [0] 0,

b [1] b 2[0] b2[1]

a1 , b02 2 .
b [0] 0b [0]
(4.4.17),
,
AR(1)- , -
2
0:

b [0] b2[0] b2[1]

H (z) 0 1 . (4.4.24)
b [0] b [1]z
:
, ( -
)
b [0] 2 2
1 a1 0b0
a1 1 b [1] 0

1
, , -
, -
— .

301
 b [0] b [1].
2 2 2 2
0b0 0b0
b [0] , b [1] a1 ,
1 a12 1 a12
.
, (4.4.21) m>0
b [m] a1b [m 1] ,

:
b02 |m|
b [m] a1 . (4.4.25)
1 a12
, AR(1)- -
.

P 1

0.9

0.8
a = 0,9
0.7

0.6
a = 0,6 a = 0,3
0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
/

)
. 4.4. AR(1)-
1 >0( ) 1<0 ( )

302
 AR(1)- . (4.4.15) :
2 b02 2 b02
P ( z) 0 1 0 (4.4.26 )
1 a1z 1 a1z 1 a12 a1 z 1z
1

z
2 b02
P( ) 0
1 a1 exp( j ) 1 a1 exp( j )

2 b02
0 (4.4.26 )
1 a12 2a1 cos
.
. 4.4 AR(1)- -
a 1.

P 1

0.9
a = -0,9
0.8
a = -0,3 a = -0,6
0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
/

)
. 4.4.

303
 a1 -
, AR(1)- -
; a1 ,
AR(1)- .
AR(2)- ,

:
b0
H ( z) 1 * 1
.
1 z 1 z
,
2 b02
P( ) 0 2 .
*
1 exp( j ) 1 exp( j )

P
1

0.9

= 0,5 j
0.8

0.7

0.6

0.5
= 0,5
0.4
= 0,5 + 0,5 j
0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
/

. 4.5. AR(4)-

304
 . 4.5
AR(2)- :
*
0,5 ;
*
0,5 j , 0,5 j ;
*
0,5 0,5 j , 0,5 0,5 j .

4.4.4. —

AR(P) – -
P Q, ARMA(P, Q) ( . auto-
regressive moving average process). ,
b 0, -
B(z) Q:
Q
k
bk z
BQ ( z) k 0
H (z) P , (4.4.27)
AP ( z ) k
1 ak z
k 1
H(z) 2P 2Q .
ARMA(P, Q)-

2 BQ ( z) BQ* (1/ z* )
P (z) 0
AP ( z) AP* (1/ z* )
z
2
2
BQ ( )
P( ) 0 2
AP ( )
.
, , -
.

P Q

k an k n bn k n, (4.4.28)
n 1 n 0

305
 , (4.4.19), .
*
k m , :
P Q
b [m] anb [m n] bnb [m n] .
n 1 n 0

. , AR(P)-
, :

*
b [ m n] E k n k m E k n hi* *
k m i hi*E *
k n k m i
i 0 i 0

0, m n
hi*b [ m i n] 2 *
, (4.4.29)
i 0 0 hn m , m n.
m>n( -
) m > Q (
); m n— 0 m Q,
n.
m, AR(P)- ,
, -
.

P
0, m Q;
Q
b [m] anb [m n] 2
n 1 0 bn hn* m , 0 m Q.
n 0

,
hn* m 0 n < m,
:

P
0, m Q;
Q
b [m] anb [m n] 2 (4.4.30)
n 1 0 bn hn* m , 0 m Q.
n m

, m = 0, …, Q + P:
2
b [0] a1b [ 1] a pb [ P] 0 b0h0* b1h1* bQhQ* ;

306
 2
b [1] a1b [0] a pb [ P 1] 0 b1h0* b2h1* bQhQ* 1 ;
…
2 *
b [Q] a1b [Q 1] apb [Q P] 0bQh0 ;

b [Q 1] a1b [Q] a pb [Q 1 P] 0 ;
…
b [Q P] a1b [Q P 1] a pb [Q] 0 ,
:
b [0] b [ 1] b [ 2] b [ P] 1 b0 h0* bQ hQ*
b [1] b [0] b [ 1] b [ P 1] a1 b1h0* bQ hQ* 1

a2
2
b [Q ] b [Q 1] b [Q 2] b [Q P ] 0 bQ h0* .
b [Q 1] b [Q ] b [Q 1] b [Q 1 P] 0

b [Q P ] b [Q P 1] b [Q P 2] b [Q ] aP 0
(4.4.31)
(4.4.31)
ARMA(P, Q) . hk
a1, …, aP b1, …, bQ, -
.
AR- ,
,
— -
( Q+P+1 , -
— ). , , (4.4.22),
(4.4.31) ,
.
4.4.5.
1
ARMA(P, Q)- , P = 0, -
Q,
MA(Q) ( . moving average).
1
-
, ARMA- , AR-
MA- .

307
 MA(Q)-

Q
H ( z ) BQ ( z) bk z k , (4.4.32)
k 1

. . ( z= ) 2Q
.
MA(Q)-
2 * *
P ( z) 0 BQ ( z ) BQ (1/ z )

z
2 2
P( ) 0 BQ ( )
2
, 0 — ,
.
, (4.4.32) , bk -
z , . .
hk bk .

P
1

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
/

. 4.6. MA(4)-

308
 MA(Q)-
(4.4.31), a1 = … = aP = 0. :
2
b [0] 0 b0b0* bQ bQ* ;
2
b [1] b1b0* bQ bQ* ;
0 1
0 m Q, (4.4.33)
2 *
b [Q ] b h ;
0 Q Q

b [m] = 0, m > 0.
, . 4.6 -
MA(4)- , , -
:
0,8exp(±j /6) 0,8exp(±j /4). -
|m| > 4.

4.5.

. -
,
. ARMA-
,
-
.
, . .
-
.
4.5.1. -
—
. 4.4.4, ARMA-

309
 Q
k
bk z
k 0
H ( z) P ,
k
1 ak z
k 0

k .
, k .
ak bk –
(4.4.31), , , ,
.
,

.
(4.4.30) m = Q +1, Q +2, …,
Q + P. , -
,
ARMA- :
b [Q ] b [Q 1] b [Q P 1] a1 b [Q 1]
b [Q 1] b [Q ] b [Q P 2] a2 b [Q 2]
,

b [Q P 1] b [Q P 2] b [Q ] aP b [Q P]
(4.5.1)
-
ak .
(4.5.1) ,
( , ) -
.
(4.5.1)
b Qa P b Q 1 , (4.5.1 )
P
T
aP a1 , a2 , , aP ;
P×P

310
 b [Q ] b [Q 1] b [Q P 1]
b [Q 1] b [Q ] b [Q P 2]
b Q

b [Q P 1] b [Q P 2] b [Q ]
P -

T
b Q 1 b [q 1], b [q 2], , b [q P] .
Q , -
.
bQ , b Q1 .
, (4.5.1) b Q1 ,
aP b Q1 b Q 1 . (4.5.2)
, , a1, …, aP,
b0, …, bQ.
(4.4.31),
m = 0, 1, …, Q.
b [0] b [2] b [ P] 1 b0 h0* bQ hQ*
b [1] b [0] b [ P 1] a1 b1h0* bQ hQ* 1
, (4.5.3)

b [Q ] b [Q 1] b [Q P ] aP bQ h0*

b Qa P cQ , (4.5.3 )

T
cQ b0 h0* bQ hQ* , b1h0* bQ hQ* 1 , , bQ h0* ,
cQ
b0, …, bQ h* m :
Q Q m
cm bn hn* m bi m hi* bm h* m , m = 0, …, Q.
n m i 0

ck , -
m =0 m > Q.

311
 , , , -
.
C(z) — z ck :
m
C(z) cm z .
m

-
, (4.5.3) ( -
, m =0 m > Q), (
(4.5.3) ).
,
[C(z)]+ “ ” z ,
, , -
z:

C ( z) ck z k .
k 0

, [C(z)]- “ ” z -
, ( -
z):
1
m
C ( z) cm z c k zk .
m k 0

m -
b0, …, bQ h* m , z

* *
BQ* (1 / z* )
C ( z) BQ ( z ) H (1 / z ) BQ ( z ) ,
AP* (1 / z* )
, AP* (1 / z * ) ,
C ( z ) AP* (1/ z* ) BQ ( z ) BQ* (1 / z * ) . (4.5.4)
, k ARMA(P, Q)-

C(z) BQ ( z ) H * (1 / z * ) ,
k AP(z) -
MA(Q)- k,

312
 P ( z) BQ ( z ) BQ* (1 / z * ) . (4.5.5)
,
,
BQ(z), .
.
, (4.5.4)–
(4.5.5) c–k, (4.5.3). -
, “ ” -
z ,
, ,
AP* (1 / z * ) z
:
P
* * k
A (1 / z )
P ak* z* .
k 0

, AP* (1 / z * ) “ ” -
:
AP* (1 / z * ) AP* (1 / z * ) .

P ( z) C ( z) C ( z) AP* (1 / z * )
C ( z ) AP* (1 / z * ) C ( z) AP* (1 / z * ) .

, “ ” [P (z)]+
:
[ P ( z )] C ( z ) AP* (1 / z * ) . (4.5.6)
, (4.5.6) -
z, , -
, z.
: ARMA(1, 1)-
,

b (0) = 26,0; b (1) = 7,0; b (2) = 3,5.

313
 -
3 × 2 (P + Q + 1 = 3, P + 1 = 2) :
b [0] b [1] c0
1
b [1] b [0] c1 ,
a1
b [2] b [1] 0
:
b [2] a1b [1] 0 ,

b [2] 3,5
a1 0,5 .
b [1] 7,0
,
A1 ( z ) 1 0,5 z 1 .
, MA(1)- -

b [0] b [1] 1 c1
.
b [1] b [0] a1 c2
:
26,0 7,0 1,0 c1
,
7,0 26,0 0,5 c2

c0 = 22,5; c1 = –6,0.
” z
1
C( z) c0 c1 z 22,5 6,0 z 1 .

C ( z ) A1* (1 / z * ) 22,5 6 z 1
(1 0,5 z ) 25,5 6,0 z 1
11,25 z .
“ ”,
—“ ” ,
P ( z) C ( z ) A1* (1 / z* ) 25,5 6,0 z 1 .
,
1
6,0z “ ” 6,0z .
,

314
 1
P (z) 6,0 z 25,5 6, 0 z B1 ( z ) B1* (1 / z * ) .
. :
1 25,5
6,0 z 25,5 6,0 z 6,0 z1 z 2
z 1
1
6,0
1 1 1
6,0 z z 4,00 z 0,25 2 6 1 0,25 z 2 6 1 0,25 z .
,
1
B1 ( z ) 2 6 1 0, 25 z .
, -
ARMA(1, 1)- :
1 0,25 z 1
H ( z) 2 6 .
1 0,5 z 1
4.5.2. -

AR-
ARMA- , -
:
b0
H ( z) P
,
k
1 ak z
k 0

(4.4.22) -
2 2
(4.4.31), b0 0 [m ] .
,
AR- , -
. AR- -
-
, .
(4.4.32) m = 1, 2, …, P:

315
 b [0] b*[1] b*[2] b*[ P 1] a1 b [1]
b [1] b [0] b*[1] b*[ P 2] a2 b [2]
b [2] b [1] b [0] b*[ P 3] a3 b [3] . (4.5.7)

b [ P 1] b [ P 2] b [ P 3] b [0] aP b [ P]

(4.5.7),
a1, …, aP,
.
, aP, -
b0 . -
(4.4.32) m = 0,
P
2
b0 b [0] aib [i] . (4.5.8)
i 1

4.5.3.

MA-
ARMA- , aP = 0, -
Q :
Q
H ( z) BQ ( z ) bk z k .
k 0

MA-
k -
:
Q

k bj k j . (4.5.9)
j 1

MA- -
(4.4.33), , ARMA- -
AR- , ,
.
b1, …, bQ,
MA-

316
 , , ARMA- -
, .
, . .
:
Q
H (z) BQ ( z ) b0 (1 j z 1) ,
j 1

1, …, Q — .
-
,
Q
* * 2
P ( z) BQ ( z ) B (1 / z )
Q b0 (1 j z 1 )(1 *
j z) , (4.5.10)
j 1

, . 4.4.2,
, , -
, (4.4.15),
Q
2 * * 2 1 *
P (z) 0Q( z )Q (1/ z) 0 (1 jz )(1 j z) , (4.5.11)
j 1

Q(z) — , -
,

2 1
0 exp ln P ( )d .
2
(4.5.10) (4.5.11) ,
b0 0,
Q(z) — “ ” BQ(z), ,
j, j = 1, …, Q, -
, .
, MA- -
.
,
: Q(z) -
* *
Q (1/z ). Q(z) ( Q*(1/z*)) -
b0
H ( z) b0Q( z) .

317
 , MA- -

b [m] 17 [k ] 4 [k 1] 4 [k 1] ,

1
P ( z ) 17 4 z 4z .
P (z) :
1
P ( z) z 17 4 z 4z z (4 z 1 )(1 4 z 1 )
1 1 1
4 1 z 4 1 z .
4 4
:
1 1
H ( z) 4 1 z (4 z 1) .
4

4.6.
-
-
, , ,
. . 4.3.4 -
: — -
— . -

.
[14],
: . ,
xk = x(k t), t,
:
1
t ,
2F
F– .
(t) -
:

(t ) (t k t) , (4.6.1)
k

318
 1
xd(t)

xd (t ) x(t ) (t ) x(t ) (t k t ) , (4.6.2)

k

Xd ( ) X( ) ( ) X( ) ( )d , (4.6.3)

Xd(f) X(f) — -
, )
(t):

( ) (k t )exp( j t )dt exp( j k t )

k k

M
1 exp j (2 M 1) t
lim exp( j k t ) lim exp( j M t )
M
k M
M 1 exp j t
2M 1
sin t
lim 2 . (4.6.4)
M t
sin
2
, ,
M =2 k t -
, . ,
(4.6.4) ( -
2 t) , -
= 2 k t:
2M 1
sin t
2 2 k
lim c , k = 0, ±1, ±2, … .
M t t
sin
2
c (4.6.4)
, -
, , – t t:

1
, ; -
-
.

319
 / t M
c exp( j k t )d .
/ tk M

k 0, , ,
/ t
1
exp( j k t )d exp jk t exp jk t 0;
/ t
jk t t t
k = 0,
/ t / t
2
exp( j k t )d d .
/ t / t
t
, -
:
2 2 k
( ) , k = 0, ±1, ±2, … . (4.6.5)
t t
, (4.6.5) (4.6.3),
:
2 2 k
Xd ( ) X . (4.6.6)
t k t
(4.6.6) , -
“ ” , . .
X ), ( )
t .
f = /2 , 1/ t :
1 k
Xd ( f ) X f . (4.6.6 )
tk t
X(f) -
F, , –
, t 1/(2F) , , -
fd 2F,
. , , ,
, ( . aliasing) —
, ,
.
-
. 4.1 .

320
 , (4.1.13) -
2

Sx ( ) xk exp( j k ) ,
k

Xd ) 2 t. ,
, -

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

.
4.6.1.
. 3.4, -
, , -
, , -
,
. -
:
,
( )
T
x x0 , , xN 1 ,
-

T
x , x 1 , x0 , , xN 1 , xN , ,
:
x x w, (4.6.6)

1, 0 k N 1;
w rect(k , 0, N 1)
0, k 0; k N 1.

321
 , , ( )
.
(4.6.6) , , -
, , ,
, , -
.
-

.
, .
, N -
( ) T0,
-
, 2 / T0.
, , -
, T= t ;
T0 = T, , -
,
2 2
.
T N t
, , [0; 2 t] -
(4.6.6)
2 / t
N
2 / (N t)

N 1
2
S x (k ) x(n t )exp jn t
n 0 N t
N 1
2 nk
x( n t )exp j , k = 0, 1, …, N – 1. (4.6.7)
n 0 N
,
N 1
2 nk
S x [k ] x[ n]exp j , k = 0, 1, …, N – 1. (4.6.7 )
n 0 N
(4.6.7), (4.6.7 ),
) ( ). -

322
 (4.1.13), -
, N -
. , -
N
N .
( ). -
(4.1.16) xn
-
. , [0; 2 t]
2 / t
1
xn S x ( )exp j n d , n = 0, 1, …, N – 1. (4.6.8)
2 0

Sx ) -
:
N 1
Sx ( ) A S x [k ] ( k ), (4.6.9)
k 0

A— , -
xk -
. (4.6.9) (4.6.8),
:
2 / tN 1 N 1
A A 2
xn S x [k ] ( k )exp j n d S x [k ]exp j nk .
2 0 k 0 2 k 0 N
A, xk
:
N 1N 1
A 2 2
xn exp j nk x[ p ]exp j pk
2 k 0 p 0 N N
N 1 N 1
A 2
x[ p ] exp j k (n p) .
2 p 0 k 0 N
n p. , m = n – p, ,
N 1
1 exp j 2 km
exp j 2 km / N 0.
k 0 1 exp j 2 km / N
n = p, ,
N 1
exp j 2 k ( n p) / N N.
k 0

323
 ,
A
xn xk N ,
2
, A = 2 / N.
, :
N 1
1 2 nk
x (n t ) S x (k )exp j , n = 0, 1, …, N – 1 (4.6.10)
N k 0 N
, ,
N 1
1 2 nk
x[ n] S x [ k ]exp j , n = 0, 1, …, N – 1. (4.6.10 )
N k 0 N
-
(4.6.7 ) (4.6.10 ),
. “ -
” -
f = fd / N , fd — .
, , k
f =k f . ,
fd = 8 1024- Sx[256] -

256
f 8000 2000 .
1024
4.6.2.
,
N x . -
, (4.6.6) -
:

Sx ( f ) Xd ( f ) W ( f ) X d ( f )W ( f f )df , (4.6.11)

Sx(f) — ( ) x, W(f) — :
N 1 N 1
W( f ) rect( k , 0, N 1)exp( j 2 fk ) exp( j 2 fk )
k 0 k 0

sin( fN )
exp j f ( N 1) . (4.6.12)
sin( f )

324
 , (4.6.12), , -
, f, . . -
f t, t— .
W(f) , (4.6.11)
, Sx(f) Xd(f) x :

Sx ( f ) Xd ( f ) ( f f )df Xd ( f ).

, , N( ),
, W(f), , :
,
.

, -
A0,
0 = 2 f0 ( ) 2:

k A0 cos 2 f 0 k . (4.6.13)
. 4.1 , , , -
, -
. , -
.
[– fd/2; fd/2],
X ( f ) 2 A0 f f0 2 A0 f f0 , (4.6.14)
. . , -
. , (4.6.11)
(4.6.14), N -
:
sin ( f f 0 ) N
S x ( f ) 2 A0 exp j (f f 0 )( N 1)
sin ( f f 0 )
sin ( f f 0 ) N
2 A0 exp j (f f 0 )( N 1) .
sin ( f f 0 )
Sx(f) -

325
 sin ( f f 0 ) N
exp j (f f 0 )( N 1)
sin ( f f 0 )
sin ( f f 0 ) N
exp j ( f f 0 )( N 1) .
sin ( f f 0 )
-
f = f1, — f = – f2, ,
-
N :
2 2 sin 2 ( f f 0 ) N sin 2 ( f f 0 ) N
Sx ( f ) 2 A0 . (4.6.15)
sin 2 ( f f 0 ) sin 2 ( f f 0 )
. 4.7 ( ) (4.6.15) , -
f0 -
N .
0
|Sx |2,
N = 16
-5
N = 32

-10 N = 64

-15

-20

-25

-30
-0.5 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5
f / fd

. 4.7.

. 4.7, N = 64 -
: 0,05 fd, -
f0 –20…–25 . -
N = 32 16.

326
 : , ,
, -

k A1 cos 2 f1k A2 cos 2 f 2 k ,

, ,
15…20 ,
. , . 4.7
f1 = 0,25 fd, f2 = 0,32 fd A2 20 A1,
, , -
N = 32 , , N = 16.
—
wk, , -
N , )
W(f),
N .
, , W(f)

. , :
.
. 4.8–4.10.
( )
). , (
) . 3.3.4 -
.
, , -
,
, .

| 2k N 1|
w[k ] 1 , k = 0, …, N – 1, (4.6.16)
N 1
2 sin 2 ( fN / 2)
W( f ) exp 2 j f ( N 1) , (4.6.17)
N sin 2 ( f / 2)

327
 , ;
. -
1
, , -
. , -
,
.

wk 1 0 2
|W|(f)| ,

-10
0.8

-20
0.6
-30

0.4
-40

0.2 -50
f / fd
0 -60
0 10 20 30 40 50 60 k -0.5 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5

) )
. 4.8. ( ) ( ) N = 64

“ ”( . 4.9)
1 2 k
w[k ] 1 cos , k = 0, …, N – 1, (4.6.18)
2 N 1
1 sin( fN )
W( f ) exp j f ( N 1)
2 sin( f )
1 sin fN N / ( N 1)
exp j f ( N 1)
4 sin f / ( N 1)
1 sin fN N / ( N 1)
exp j f ( N 1) , (4.6.19)
4 sin f / ( N 1)
,
,

1
Bartlett M. S. Periodogram Analysis and Continuous Spectra, Biometrika, 37, 1–16
(1950)

328
 , , ,
1/2 1/4 .

1 0
wk
|H(f)|2,
-10
0.8

-20
0.6
-30
0.4
-40

0.2
-50
f / fd
0 -60
0 10 20 30 40 50 60 -0.5 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5
k
) )
. 4.9. ( ) ( ) N = 64

( . 4.10)
2 k
w[k ] 0,54 0, 46cos , k = 0, …, N – 1, (4.6.20)
N 1
sin( fN )
W ( f ) 0,54exp j f ( N 1)
sin( f )
sin fN N / ( N 1)
0,23exp j f ( N 1)
sin f / ( N 1)
sin fN N / ( N 1)
0,23exp j f ( N 1) , (4.6.21)
sin f / ( N 1)
0,54 0,46 ,
( ,
, -
).
,
( ,
.), -

329
 . -
.
1 0
wk |H(f)|2,
-10
0.8
-20
0.6
-30

0.4
-40
f / fd
0.2 -50

-60
0 -0.5 -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5
0 10 20 30 40 50 60
k
)
)
. 4.10. ( ) ( ) N = 64

, ,
, -
,
.
, , -
,
. ,
-
, ,
-
, .
4.6.3.
(4.2.21), -
:

P(f) b [m]exp( j 2 fm) .

m

330
 . , -
(4.3.13), [–1/2; 1/2]
:
L
GK x ( f ) bu x [m]exp( j 2 fm)
m L
1 L |m| 1
1
xk* |m| xk exp( j 2 fm)
m L 1
L |m| k 0
1 L m 1
1 *
xk m xk exp( j 2 fm) . (4.6.22)
m L 1
L m k 0

L , , -
N . -
L N / 10.
(4.6.22) ,
.
T
exp( f ) 1, exp( j 2 f ), , exp( j 2 fN )
,
bu x [0] bu*x [1] bu *x [ L]
bu x [1] bu x [0] bu *x [ L 1]
bu x

bu x [ L] bu x [ L 1] bu x [0]
.
GK x ( f ) exp H ( f )bu xexp ( f ) . (4.6.22 )
(4.6.22) ,
, , ; -
, -
( . . 3.3.4),
L
E GK x ( f ) E bbx [m] exp( j 2 m)
m L
L
b [m]exp( j 2 m) . (4.6.23)
m L

331
 , 2L ,
,
, (4.6.6), -
x k, —
. , GKx(f)

, . . P (f) -
k WK(f) :
sin f (2 L 1)
E GK x ( f ) P ( f ) WK ( f ) P(f) . (4.6.24)
sin( f )
WK(f) , W(f), .
, ,
, , , -
, , WK(f) -
, W(f) .
, -

; . 4.6.1:
-
, “ -
”.
,
(4.3.14) bbx[m]. ,
| m|
E bbx [m] 1 b [m] ,
N

L
|m|
E GK x ( f ) 1 b [ m]exp( j 2 m) , (4.6.25)
m L
N
. . -
.
2
2 sin f (2 L 1) / 2
E GK x ( f ) P(f) . (4.6.26)
L sin 2 ( f / 2)

332
 , -
, -
— -
.
,

f[m], -
:
L
GK x ( f ) f [m]bx [m]exp( j 2 fm) . (4.6.27)
m L

,
. 4.6.1.
4.6.4.
( )— “ ” -

N 1 2
1
GPx ( f ) xk exp( j 2 fk ) , (4.6.28)
N k 0

N -
. . 3.3.4 , “ ”
, -
.
,
N .
-
, . -
:
.

1
N -
K x(p), D :

1
Bartlet M.D. Smoothing Periodograms from Time-Series with Continuous Spectra.
Nature, 161: pp. 686–687.

333
 x( p ) xk p , xk p 1, , xk p D 1 , p = 0, …, K – 1, k = 0, …, D – 1, (4.6.29)

2
k p D 1
1
GPx( p ) ( f ) xs( p ) exp( j 2 fk ) , (4.6.30)
D s k p

:
K 1
1
GPB ( f ) GPx( p ) ( f ) . (4.6.31)
K p 1

K 1
1
E GPB ( f ) E GPx( p ) ( f ) E GPx ( f ) (4.6.32)
K p 1

, ,
, , , -
.
, ,
, , D
N ,
GPB(f) K:
1 2
D GPB ( f ) P ( f ), (4.6.33)
K
P(f) — .
, -
K , . . -
.
, ( -
— ) , -
, , -
. , -
, , -
, -
. -
.

334
 (Welch1)
,
. “ ”
, -
, ,
. -
N -
, , .
N K -
D , -
J D .
. 4.11, , -
, . . (K – 1)J + D = N.

. 4.11.

x(p), p = 0, …, K – 1, -
w, , , -
:

1
Welch P.D. The Use of Fast Fourier Transform for the Estimation of Power Spectra: A
Method Based on Time Averaging Over Short, Modified Periodograms. IEEE Trans. On Au-
dio Electroacoustics, AU-15 (1967), pp. 70–73.

335
 2
k p D 1
1
GPx( p ) ( f ) xs( p ) ws exp( j 2 fk ) . (4.3.34)
D s k p

(4.6.31),
“ ”
D 1
Ew ws2 ,
s 0

, .

:
K 1
1
GPW ( f ) GPx( p ) ( f ) . (4.6.35)
KEw p 1

:
1
E GPW ( f ) P( f ) | W ( f ) |2 , (4.6.36)
EW
, —
:
1 2
D GPW ( f ) P ( f ). (4.6.37)
K
,
, , , , -
, , -
K, ,
, , .

. -
50%- .

336
 4
4.1. z ,
. 4.3.
4.2. P (z) P (z) — k k, -
H(z), P (z) —
.
:
) P ( z) P ( z) H ( z ) ;
) P ( z) P ( z ) H * (1 / z * ) .
4.3. k —
b [m].
k k dk ,
dk — . -
k.
4.4. k
P

k am k m m ,
m 1
am — , k — -
2
.

k k k,
2
k — , -
k. k k.
4.5. k c -

b [m] 10(1/ 2)|m| 3(1/ 2)|m 1| 3(1/ 2)|m 1| .

) , k,
.
) , , -
k, -
.
4.6. k

337
 25 24cos
P( ) .
26 10cos
,
, k.
4.7.
1
1 (1/ 2) z
H ( z) 1
1 (1/ 3) z
k

b [m] (1/ 2)|m| .

k :
) ;
) ( . .z -
) k k.
4.8. -
k, :
) b [m] 2 [m] j 2 [m 1] j 2 [m 1] ; ) b [m] [m] 2(1/ 2)|m| ;
10 | k |, | k | 10;
) b [m] 2 [m] cos( k / 4) ; ) b [m]
0, | k | 10.
4.9. -
k, :
1
) P ( ) 3 2cos ; ) P ( ) ;
5 3cos
2 z 2 5z 2
) P ( z) ;
3z 2 10 z 3
4.10. -
.
) 1 000 k -
.
) 100 b [m], -

999
1
bb [m] k k m, k = 0, …, 99.
1000 k 0

338
 -
b [m] = [m]?
) 10 -
, 100 ,
“ ”:
9 999
1
bb [m] k 100n k m 100n , k = 0, …, 99.
1000 n 0 k 0
, . -
b [m] = [m].
) 10 000 k -
100 -
,
9999
1
bb [m] k k m, k = 0, …, 99.
10000 k 0
, . .
?
4.11. AR(2)-
k a1 k 1 a2 k 2 b0 k ,
k — .
) -
.
)
a1 0,0 ; a2 0,81 ; b0 1,0
64 .
) -
, . .
) . ) , -
,
. .
) . ) ,
.

339
 1. . . .— .: , 2010. — 658 .
2. . . . 2. — .: ,
2007. — 832 .
3. . . / . . -
, . . .— .: , 2010. — 600 .
4. . . . — .: ,
2010. — 704 .
5. . . -
. . 1. — . : , 2001. — 616 .
6. . . / . . , . . .— .:
, 2002. — 320 .
7. . . .— .: ,
1982. — 624 .
8. . . .— .: -
, 2006. — 719 .
9. . . / . . ,
. . — .: , 1999. — 799 .
10. , -
/ . . [ .] ; . .
. . — .: , 2008. — 448 .
11. . . : :
. / . . , . . , . . .— .: .
, 1980. — 544 .
12. . . /
. . , . . , . . .— .:
), 1998. — 64 .
13. .
/ . . , . . — .: ,
2004. — 608 .
14. . . . /
. . , . . , . . , . .— :
, 2005. — 749 .

340
 .

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