BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

BI GING 3

MT S VN C BN
V XC SUT THNG K
TRONG KINH T LNG
MC TIU BI GING:
1. K hiu tng
2. Php th, khng gian mu v bin c
3. Bin ngu nhin
4. Xc sut
5. Bin ngu nhin v hm phn phi xc sut
6. Hm mt xc sut a bin
7. c im ca cc phn phi xc sut
8. Mt s phn phi xc sut quan trng
9. Mt s php ton ma trn
10. Suy din thng k

I TNG BI GING:
1. Ti liu bi ging cho sinh vin i hc
2. Ti liu tham kho n tp cho hc vin cao hc

K HIU TNG
K hiu tng
K t (sigma) c thng nht s dng ch tng:
n

X i Xi X1 X 2 ... X n
i 1

(3.1)

Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar sumX=@sum(x)
1

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Tnh cht ca php ton tng

1. Khi k l mt hng s
n

k nk

(3.2)

i 1

2. Khi k l mt hng s
n

i 1

i 1

kX i k X i

(3.3)

3. Tng ca tng hai bin Xi v Yi

(Xi Yi ) Xi Yi

(3.4)

4. Tng ca mt hm tuyn tnh

(a bXi ) na b Xi

(3.5)

PHP TH, KHNG GIAN MU, V BIN C

Php th
Mt php th c hai c tnh:
1) Khng bit chc kt qu no xy ra
2) Nhng bit c cc kt qu c th xy ra

Khng gian mu hay tng th

Tp hp tt c cc kt qu c th xy ra ca mt php th
c gi l tng th hay khng gian mu.

Bin c
Mt bin c l mt nhm cc kt qu c th xy ra c mt
php th. Ni cch khc, l mt tp hp con ca khng
gian mu.
Cc php tnh v bin c:
Bin c hi (AB): A xy ra hay B xy ra
Bin c giao (AB): A xy ra v B xy ra
Bin c ph ( A ): A xy ra, A khng xy ra
Bin c xung khc: AB =

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

BIN NGU NHIN

V d, tung hai ng xu, quan st v lp thnh bng kt
qu ca cc php th nh sau:
BNG 3.1: nh ngha khi nim bin ngu nhin
ng xu th
nht
T
T
T
H
H

ng xu th
hai
T
H
H
T
H

S mt nga
0
1
1
1
2

Ngun: Gujarati, 2006, trang 25

Ta gi bin s mt nga l mt bin ngu nhin. Ni mt
cch tng qut, mt bin m gi tr (bng s) ca n c
xc nh bi kt qu ca mt php th c gi l mt
bin ngu nhin. Nh vy, bin ngu nhin l bin m gi
tr ca n c xc nh mt cch ngu nhin.
Mt bin ngu nhin c th c gi tr ri rc hoc
lin tc. Mt bin ngu nhin ri rc ch c mt s gi
tr hu hn (hoc v hn c th m c). Mt bin ngu
nhin lin tc l mt bin ngu nhin c bt k gi tr
no trong mt khong gi tr no .

XC SUT
Xc sut ca mt bin c: nh ngha c in
Nu mt php th c th c n kt qu loi tr nhau v c
kh nng xy ra nh nhau, v nu m kt qu t php th
ny hp thnh bin c A, th P(A), xc sut A xy ra,
l t s m/n.

m
n
Xc sut ca mt bin c: Tn sut tng i
P(A)

(3.6)

gii thiu khi nim ny, ta xem v d sau y. D

liu trong bng 3.1 l phn phi im im thi m kinh t
vi m ca 200 sinh vin. y l mt v d v phn phi
3

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

tn sut cho bit cc im ngu nhin c phn phi nh

th no. Cc con s trong ct 3 l cc tn sut tuyt
i, ngha l s ln xy ra ca mt bin c nht nh.
Cc con s trong ct 4 c gi l cc tn sut tng
i, ngha l s tn sut tuyt i chia tng s ln xy
ra.
BNG 3.2: Phn phi im KTL ca 200 sinh vin
im
0-9
10-19
20-29
30-39
40-49
50-59
60-69
70-79
80-89
90-99

im gia ca
khong
5
15
25
35
45
55
65
75
85
95

Tn sut
tuyt i
0
0
0
10
20
35
50
45
30
10
Tng
200

Tn sut tng
i
0
0
0
0.050
0.100
0.175
0.250
0.225
0.150
0.050
1.000

Ngun: Gujarati, 2006, trang 28

PHN PHI XC SUT

Phn phi xc sut ca mt bin ngu nhin ri rc
Gi s X l mt bin ngu nhin ri rc vi cc gi tr
x1, x2, ... th hm f c xc nh bi
f(X=xi) = P(X=xi)

i = 1, 2,

(3.7)

=0 nu x xi
c gi l hm phn phi xc sut ca bin ngu nhin X,
k hiu l PMF hay PF, trong , P(X=xi) l xc sut X c
gi tr xi. Hm PMF c cc tnh cht sau:
0 f(xi) 1
n

f (x i ) 1

(3.8)
(3.9)

i 1

V d, bin X l s mt nga khi tung hai ng xu, ta xt

bng sau y:

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

BNG 3.3: PMF ca bin ngu nhin ri rc

S mt nga
PMF
X
f(X)
0.25
0

0.5

0.25

Tng
1.00
Ngun: Gujarati, 2006, trang 34

Hnh 3.1: PMF ca bin ngu nhin ri rc

Phn phi xc sut ca bin ngu nhin lin tc

V d, gi X l bin chiu cao ca mt ngi, c o
bng mt. Gi s ta mun tnh xc sut chiu cao ca
mt ngi trong khong 1.56m n 1.80m.

Xc sut chiu cao trong

khong 1.56 n 1.8

4.04924276

3.54924276

3.04924276

2.54924276

2.04924276

1.54924276

1.04924276

0.54924276

0.04924276

1.4

1.44

1.48

1.52

1.56

1.6

1.64

1.68

1.72

1.76

1.8

1.84

1.88

1.92

1.96

Hnh 3.2: PDF ca mt bin ngu nhin lin tc

Xc sut chiu cao ca mt c nhn nm trong khong t

1.56m n 1.80m l din tch di dng phn phi gia
hai gi tr 1.56 v 1.80. i vi mt bin ngu nhin
lin tc X, th hm mt xc sut f(X) nh sau:
P(x1 X x2) =

x2

f ( x )dx

(3.10)

x1

Hm mt xc sut ca mt bin ngu nhin X c cc tnh

cht sau y:
5

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Tng din tch di ng f(x) bng 1

P(x1 X x2) l din tch di ng f(x) gia x1 v
x2, vi x2 > x1.
V xc sut mt bin ngu nhin nhn mt gi tr
nht nh bng khng, nn cc cng thc di y l
tng ng nhau:
P(x1 X x2) = P(x1 X x2) = P(x1 X x2) = P(x1 X x2)

(3.11)

Hm phn phi tch ly ca mt bin ngu nhin

Lin quan n PMF hay PDF ca mt bin ngu nhin X l
hm phn phi tch ly ca bin , c xc nh nh
sau:
F(X) = P(X x)

(3.12)

P(X x) ngha l xc sut mt bin ngu nhin X c

gi tr nh thua hoc bng x, vi x bit. CDF c cc
tnh cht nh sau:
F(-) = 0 v F(+) = 1
F(x) l mt hm khng gim, ngha l nu x2 > x1, th
F(x2) F(x1)
P(X k) = 1 F(k)
P(x1 X x2) = F(x2) F(x1)
BNG 3.4: Hm phn phi xc sut tch ly ca mt bin ngu nhin
S mt nga
(X)
0
1
2
3
4

PDF
0
1
2
3

X
X
X
X
X

<
<
<
<
X

1
2
3
4

CDF
PDF
1/16
4/16
6/16
4/16
1/16

X
X
X
X
X

0
1
2
3
4

CDF
1/16
5/16
11/16
15/16
16/16

Ngun: Gujarati, 2006, trang 37

Nh vy, CDF ch l tch ly hay n gin l tng ca cc
PDF ca cc gi tr X nh thua hoc bng x.

Cc hm mt xc sut a bin
V d, mt i l bn l my tnh bn hai loi thit b
l my tnh c nhn v my in. S my tnh v my in c
6

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

bn thay i gia cc ngy khc nhau, nhng gim c i

l thu thp doanh s ca 200 ngy qua nh trong bng
sau.
BNG 3.5: Phn phi tn sut ca hai bin ngu nhin X v Y
S my in c bn
(Y)
0
1
2
3
4
Tng

S my tnh c
0
1
2
6
6
4
4
10
12
2
4
20
2
2
10
2
2
2
16
24
48

bn (X)
3
4
4
2
4
2
10
10
20
20
10
30
48
64

Tng
22
32
40
54
46
200

Ngun: Gujarati, 2006, trang 39

Bng trn cho thy trong 200 ngy c 30 ngy i l bn
c 4 my tnh v 4 my in, c 2 ngy bn c 4 my
tnh nhng khng bn c my in no. Gii thch tng t
cho cc con s cn li. y l mt v d v phn phi tn
sut kt hp. Nu chia tng con s trong bng trn cho
200, ta s c cc tn sut tng i.
BNG 3.6: Phn phi xc sut ca hai bin ngu nhin X v Y
S my in c bn
(Y)
0
1
2
3
4
Tng

S my tnh c bn (X)
3
4
0
1
2
0.03 0.03 0.02 0.02 0.01
0.02 0.05 0.06 0.02 0.01
0.01 0.02 0.01 0.05 0.05
0.01 0.01 0.05 0.10 0.10
0.01 0.01 0.01 0.05 0.05
0.08 0.12 0.24 0.24 0.32

Tng
0.11
0.16
0.23
0.27
0.23
1.00

Ngun: Gujarati, 2006, trang 39

Do hai bin X v Y l cc bin ngu nhin ri rc, nn
bng 3.6 c gi l hm phn phi xc sut kt hp ca
hai bin ngu nhin.
f(X,Y) = P(X = x v Y = y)
= 0 khi X x v Y y
Hm xc sut kt hp c cc tnh cht sau:
f(X,Y) 0

f (X, Y) 1
x y

(3.13)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Hm xc sut bin
Xc sut X nhn mt gi tr nht nh bt k Y nhn gi
tr g c gi l xc sut bin ca X, v phn phi ca
cc xc sut ny c gi l hm phn phi xc sut bin.
BNG 3.7: Phn phi xc sut bin ca X v Y
X
0
1
2
3
4
Tng

f(X)
0.08
0.12
0.24
0.24
0.32
1.00.

Y
0
1
2
3
4

f(Y)
0.11
0.16
0.23
0.27
0.23
1.00

Ngun: Gujarati, 2006, trang 41

T bng xc sut kt hp gia X v Y ta c th tnh cc
hm xc sut bin nh sau:
f(X) = f (X, Y)
y

f(Y) = f (X, Y)
x

Nu hai bin X v Y l hai bin ngu nhin lin tc th

ta s thay k hiu tng thnh k hiu tch phn.

Hm xc sut iu kin
Gi s ta mun tm xc
c 4 my tnh c bn
c iu kin. Hm phn
bin ngu nhin c th

sut c 4 my in c bn nu bit
trong ny, v chnh l xc sut
phi xc sut c iu kin ca mt
c nh ngha nh sau:

F(YX) = P(Y=yX=x)

(3.14)

F(XY) = P(X=xY=y)

(3.15)

Mt cng thc n gin tnh hm phn phi xc sut c

iu kin s nh sau:
F(YX) =

f ( X, Y )
f (X)

(3.16)

F(XY) =

f ( X, Y )
f (Y)

(3.17)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

CC C IM CA PHN PHI XC SUT

Gi tr k vng: Thc o nh tm
Gi tr k vng ca mt bin ngu nhin ri rc, k hiu
l E(X), c nh ngha nh sau:
E(X) = X = xf (X)

(3.18)

Gi tr k vng ca mt bin ngu nhin l trung bnh c

trng s ca cc gi tr c th c ca bin , vi xc
sut ca cc gi tr ny, f(X), ng vai tr nh cc
trng s. Gi tr k vng ca mt bin ngu nhin cng
c gi l gi tr trung bnh, mc d chnh xc hn l
gi tr trung bnh tng th.
Tnh cht ca gi tr k vng
E(b) = b

(3.19)

E(X+Y) = E(X) + E(Y)

(3.20)

E(X/Y)

E(X)
E(Y)

(3.21)

E(XY) E(X)E(Y)

(3.22)

Nu X v Y l hai bin ngu nhin c lp, th

E(XY) = E(X)E(Y)

(3.23)

E(X2) [E(X)]2

(3.24)

E(aX) = aE(X)

(3.25)

E(aX+b) = aE(X) + b

(3.26)

Phng sai: Thc o phn tn

Gi tr k vng ca mt bin ngu nhin n gin ch cho
bit trng tm ca bin u ch khng cho bit cc
gi tr ring l ca bin phn tn nh th no xung
quanh gi tr trung bnh. Thc o ph bin nht cho s
phn tn ny l phng sai, v c nh ngha nh sau:
var(X) = 2x = E(X-x)2

(3.27)

var(X) = (X x ) 2 f (X)

(3.28)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Phng sai cho bit cc gi tr X ring l c phn phi

hay phn tn xung quanh gi tr trung bnh nh th no.
Nu cc gi tr X phn tn rng quanh gi tr trung bnh
th phng sai s tng i ln (xem Hnh 3.3). Cn bc
hai ca phng sai l lch chun, k hiu l x.

Phng sai
qu nh

Phng sai
qu ln

Hnh 3.3: PDF ca cc bin ngu nhin lin tc cng gi tr k vng

Tnh cht ca phng sai

Phng sai ca mt hng s bng khng.
Nu X v Y l hai bin ngu nhin c lp, th
var(X+Y) = var(X) + var(Y)

(3.29)

var(X-Y) = var(X) var(Y)

Nu b l hng s, th
var(aX) = a2var(X)

(3.30)

Nu a v b l hng s, th
var(aX+b) = a2var(X)

(3.31)

Nu X v Y l hai bin c lp v a v b l hng s,

th
var(aX+bY) = a2var(X) + b2var(Y)

10

(3.32)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

tin li cho vic tnh ton, cng thc phng sai

cng c th c vit li nh sau:
var(X) = E(X2) [E(X)]2

(3.33)

H s bin thin
Lu rng, v lch chun (hay phng sai) ph thuc
vo cc n v o lng khc nhau, cho nn s kh cho
vic so snh gia cc lch chun nu chng c cc
thc o khc nhau. gii quyt vn ny, ta c th
s dng h s bin thin (V) nh sau:
V =

x
.100
x

(3.34)

Hip phng sai

Gi s X v Y l hai bin ngu nhin vi E(X) = x v E(Y)
= y, th hip phng sai (cov) gia hai bin s nh sau:
Cov(X,Y) = E[(X-x)(Y-y)]
= E(XY) - xy

(3.35)

Hip phng sai gia hai bin c th dng, m, hoc bng

khng. Nu hai bin vn ng theo cng chiu, th hip
phng sai s dng, nu khc chiu, th hip phng sai
s m. Nu hip phng sai gia hai bin bng khng, th
c ngha l khng c mi quan h tuyn tnh no gia hai
bin .
Ta c th tnh hip phng sai theo cng thc sau
y:
cov(X,Y) = (X x )( Y y )f (X, Y)
x y

= XYf (X, Y) x y

(3.36)

x y

= E(XY) - xy
Tnh cht ca hip phng sai
Nu X v Y l hai bin ngu nhin c lp, hip
phng sai ca chng bng khng v khi E(XY) =
E(X)E(Y) = xy.
cov(a+bX, c+dY) = bdcov(X,Y)

(3.37)

cov(X,X) = var(X)

(3.38)

11

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Nu X v Y l hai bin ngu nhin nhng khng nht

thit phi c lp, th cng thc tnh phng sai
(3.29) c vit li nh sau:
var(X+Y) = var(X) + var(Y) + 2cov(X,Y)

(3.39)

var(X-Y) = var(X) + var(Y) 2cov(X,Y)

(3.40)

H s tng quan
H s tng quan l thc o mi quan h tuyn tnh gia
hai bin ngu nhin, ngha l n cho bit hai c quan
h vi nhau nh th no: mnh hay yu. H s tng quan
tng th (, rho) c xc nh nh sau:
=

cov(X, Y)
xy

(3.36)

Tnh cht ca h s tng quan

Ging hip phng sai, h s tng quan c th m
hoc dng.
H s tng quan l mt thc o mi quan h tuyn
tnh gia hai bin.
-1 1

(3.37)

H s tng quan l mt con s thun ty khng c n

v o lng.
Nu hai bin c lp, h s tng quan bng khng.
H s tng quan khng hm mi quan h nhn qu.

K vng c iu kin
Mt khi nim thng k khc c bit quan trng trong
phn tch hi qui l khi nim k vng c iu kin.
E(XY=y) = Xf (X / Y y)

(3.38)

nghing v nhn
nghing v nhn cho ta bit iu g v hnh dng
ca phn phi xc sut. nghing (S) l mt thc o s
mt cn xng ca th phn phi xc sut, v nhn
(K) l mt thc o cao hay thp ca th phn phi
xc sut.
M men th ba: E(X-x)3

(3.39)

M men th t: E(X-x)4

(3.40)
12

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

S =

E ( X x )3

(3.41)

3x
i xng

Nghing tri

Nghing phi

Hnh 3.4: nghing ca phn phi

C ba kh nng xy ra nh sau:
Nu S = 0, PDF i xng quanh gi tr trung bnh
Nu S > 0, PDF b nghing phi
Nu S < 0, PDF b nghing tri
K =

E(X x ) 4

(3.42)

[E(X x ) 2 ] 2

C ba kh nng xy ra nh sau:
Nu K = 3, PDF c nhn chun v c gi l
mesokurtic
Nu K < 3,
platykurtic

PDF

Nu K > 3,
leptokurtic

PDF

ui

13

ui

ngn

gi

di

gi

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

ui ngn

nhn chun

ui di

Hnh 3.5: nhn ca phn phi

T TNG TH N MU
Trung bnh mu
Trung bnh mu ca mt bin ngu nhin X c n quan st
c k hiu l X (c l X ngang) v c nh ngha nh
sau:
n

Xi
i 1 n

(3.43)

Trung bnh mu c xem l mt c lng ca E(X), t

trung bnh tng th. Mt c lng n gin l mt qui
tc, mt cng thc, hay mt thng k cho ta bit lm sao
c lng mt i lng ca tng th. Gi s X c 7
quan st vi cc gi tr nh sau: 8, 9, 10, 11, 12, 13,
14. Vy X = 11, v con s 11 ny c gi l mt gi tr
c lng ca trung bnh tng th.
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar
meanX=@mean(x)
14

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Phng sai mu
Phng sai mu c k hiu bng S2x , l c lng ca
phng sai tng th 2x . Phng sai mu c nh ngha
nh sau:

S2x

(X i X) 2

i 1 n 1
n

(3.44)

n-1 c gi l s bc t do (d.f.). Bc t do l s
ngun thng tin (piece of information) v mt bin ngu
nhin. hiu khi nim ny, ta xt v d sau y.
BNG 3.8: nh ngha khi nim bc t do
Quan st
1
2
3
4
5
6
7

X
8
9
10
11
12
13
14
Tng

(X- X )
-3
-2
-1
0
1
2
3
0

(X- X ) 2
9
4
1
0
1
4
9
28

Ngun: Tc gi
Ta bit rng tng lch lun lun bng khng1, nn
xem lch ca cc gi tr X so vi gi tr trung bnh
ta phi ly lch bnh phng. Tng ca 7 lch bnh
phng l 28, nhng thc s con s 28 ny ch do 6
ngun ng gp, v quan st th t trng vi gi tr
trung bnh. Nh vy, xem lch trung bnh ta ch ly
28 chia cho s ngun thc s to ra n, tc 7-1 = 6. Vy
phng sai l 4.67 (l mt gi tr c lng ca phng
sai tng th) v cn bc hai ca phng sai mu c gi
l lch chun mu (s.d.). lch chun (2.16) c
xem nh mt thc o sp x cho trung bnh ca 6 lch
tuyt i trn. M rng cho trng hp mt bin ngu
nhin lin tc.
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar varX=@var(x)

Chng minh:

(X X) X X X nX X X 0
15

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Hip phng sai mu

Hip phng sai mu gia hai bin ngu nhin X v Y l
c lng ca hip phng sai tng th, v c nh
ngha nh sau:
Cov(X,Y) =

(X i X)( Yi Y)
n 1

(3.45)

Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar
covXY=@cov(x,y)

H s bin thin mu
H s bin thin mu ca X c xc nh bng cng
thc sau y:
V =

Sx
.100
X

(3.46)

Thao tc vi Eviews
Trn ca s lnh ca Eview ta nhp: scalar
cvX=@stdev(x)/@mean(x)

H s tng quan mu
H s tng quan mu gia hai bin ngu nhin X v Y l
c lng ca h s tng quan tng th, v c nh
ngha nh sau:

(Xi X)( Yi Y) /(n 1)

s.d.( X)s.d.( Y)

(3.47)

Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp: scalar
corXY=@cor(x,y)

nghing v nhn mu
tnh nghing v nhn mu, ta s dng cc m men
mu th ba v th t nh sau:

(X X)
M men th ba:
(n 1)

(X X)
M men th t:
(n 1)

16

(3.48)
(3.49)

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ThS Phng Thanh Bnh

Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar skewX=@skew (x)
scalar kurtX=@kurt(x)

MT S PHN PHI XC SUT QUAN TRNG

Phn phi chun
Kinh nghim cho thy rng phn phi chun l mt m hnh
hp l cho mt bin ngu nhin lin tc vi gi tr ca
n ph thuc vo nhiu yu t, nhng mi yu t ch c
nh hng tng i nh ln gi tr ca bin s . Phn
phi chun ca mt bin ngu nhin X c th hin thng
qua hai tham s c bn l gi tr trung bnh v phng
sai. C th nh sau:
X ~ N(x, 2x )

-3

-3

-2
-2

-
-1

0
khong 68%
khong 95%
khong 99.7%

Hnh 3.6: th phn phi chun

17

(3.50)

2
2

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ThS Phng Thanh Bnh

Tnh cht ca phn phi chun

ng phn phi chun i xng quanh gi tr trung
bnh x.
Hm phn phi xc sut PDF ca mt bin ngu nhin
theo phn phi chun cao nht ti gi tr trung bnh
nhng nh dn v cc cc tr ca n. Ngha l, xc
sut c mt gi tr ca mt bin ngu nhin theo
phn phi chun cng xa gi tr trung bnh cng nh.
Theo kinh nghim, khong 68% din tch di ng
phn phi chun nm gia gi tr xx, khong 95%
din tch nm gia x2x, v khong 99.7% din tch
nm gia x3x.
Mt phn phi chun c nh ngha hon ton bi hai
tham s x v 2x . Mt khi bit c hai tham s ny
th ta c th tnh c xc sut ca X nm trong mt
khong nht nh theo cng thc sau:
f(X) =

1
x

1 X x

exp -
2
x
2

(3.51)

Mt kt hp (hay mt hm) tuyn tnh ca hai hay

nhiu bin ngu nhin theo phn phi chun s theo
phn phi chun y l mt tnh cht c bit quan
trng ca phn phi chun trong kinh t lng.
i vi phn phi chun, th nghing S l 0 v
nhn K l 3.
Phn phi chun ha
Mc d mt phn phi chun hon ton c xc nh bng
hai tham s, gi tr trung bnh v phng sai tng th,
nhng cc phn phi chun c th khc nhau hoc gi tr
trung bnh, hoc phng sai, hoc c hai.

18

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ThS Phng Thanh Bnh

-3

-2

-1

0 1

1 2

Hnh 3.7: So snh cc phn phi chun c trung bnh v phng sai khc nhau

Ta khng th so snh cc phn phi chun c cc tnh cht

khc nhau. Cho nn, ngi ta qui v cng mt bin chun
ha Z nh sau:

X x
x

(3.52)

Theo tnh cht ca phn phi chun, nu X l mt bin

ngu nhin c trung bnh l x v phng sai l x, X ~
N(X, 2X), th Z l mt k hp tuyn tnh ca X s l mt
bin ngu nhin c phn phi chun vi trung bnh l
khng v phng sai l mt, Z ~ N(0, 1)2.
Nh vy, bt k mt bin ngu nhin theo phn phi
chun vi mt gi tr trung bnh v phng sai nht nh
u c th c chuyn i thnh mt bin chun ha, iu
ny gip n gin ha rt nhiu vic tnh xc sut.
hiu vai tr ca phn phi chun ha, ta xem xt v d
sau y.

1

E(X x ) 0 do E(X-x) = E(X) E(x) = x - x = 0. V Var(Z) =

2
X x
1
1 2
2
2
2
2

E[Z-E(Z)] = E(Z ), do E(Z) = 0, vy E(Z ) = E

2 E(X x ) 2 x 1

x
x
2

X x
Chng minh: E(Z) = E
x

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ThS Phng Thanh Bnh

Gi s X, s lt khch du lch quc t hng ngy ca mt

cng ty du lch, theo phn phi chun vi gi tr trung
bnh l 70 v phng sai l 9; ngha l, X ~ N(70,9). Hy
tnh xc sut cho mt ngy bt k cng ty c s khch du
lch quc t nhiu hn 75 khch?
Ta thy, do X theo phn phi chun vi gi tr trung
bnh v phng sai bit, n ta c:

75 70
1.67
3

s theo phn phi chun ha vi trung bnh bng 0 v

phng sai bng 1. Thay v tm P(X > 75), ta c th tm
P(Z > 1.67). Lu , trong cc sch thng k v kinh t
lng thng c km ph lc bng thng k gi tr hm
phn phi xc sut tch ly (CDF) hay gi tr xc sut
tch ly ca phn phi chun ha gia cc gi tr Z = -3
v Z = 3 (ti sao?). Theo bng thng k ny th xc sut
Z nm t -3 n 1.67 l 0.95253. Cho nn,
P(Z > 1.67) = 1 P(Z < 1.67) = 1 0.9525 = 0.0475
Vy xc sut mt ngy bt k cng ty c s lt khch
du lch nhiu hn 75 ngi l 4.75%.
Tm li, mt bin ngu nhin bt k m gi tr ca n
ph thuc vo rt nhiu yu t, nhng khng c yu t no
c nh hng quyt nh gi tr , th bin ngu nhin
s theo phn phi chun4. V bt k mt bin X c phn
phi chun vi gi tr trung bnh v phng sai bit
th u c th chuyn c sang bin chun ha Z c gi
tr trung bnh l 0 v phng sai l 1.
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm167=1-@cnorm(1.67) = 0.0475
scalar probs167=@cnorm(1.67) = 0.9525
scalar probs_167=@cnorm(-1.67) = 0.0475
scalar Zval09525=@qnorm(0.9525) = 1.67
3

Nu qu v ang s dng my vi tnh m li ci tra bng thng k th c y nh bn nhn qua ci khc kht .
Hy m Excel ra l lm th ny: = NORMDIST(X, Mean, Standard_dev, Cumulative). Trong , X l gi tr
cn tnh xc sut tch ly (1.67), Mean v Standard_dev y ln lt l trung bnh (0) v lch chun (1)
ca bin X, v Cumulative c hai la chn l True (ng tnh xc sut tch ly) v False (khng tnh
xc sut tch ly). trng hp ang xt, ta chn True. Ngc li, nu ta bit xc sut tch ly, gi tr
trung bnh v phng sai th ta d dng tnh gi tr ca bin nh sau: =NORMINV(0.9525,0,1) = 1.67.
4
y l c s quan trng cho vic gi nh rng hn nhiu ui c phn phi chun (s c ni n bi ging
6).

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Phn phi xc sut ca trung bnh mu X

Gi s ta chn ngu nhin mt mu vi n quan st gm cc
gi tr X1, X2, , Xn t mt tng th c cng hm phn
phi xc sut. Nu ta thc hin m mu nh th th gi tr
trung bnh mu X s l mt bin ngu nhin. Nh vy, vn
t ra l X s c phn phi nh th no?
BNG 3.9: nh ngha bin trung bnh mu v phng sai mu

Mu

Gi tr ca mu

Gi tr trung bnh mu X

Phng sai mu S2x

1
2
3
.
.
M

X11 X12 . . . X1n

X21 X22 . . . X2n
X31 X32 . . . X3n
.
.
Xm1 Xm2 . . . Xmn

X1
X2
X3
.
.
Xm

S2x1

S2x 2
S2x 3
.
2
Sxn

V d, mt tng th c phn phi chun vi gi tr trung

bnh l 10 v phng sai l 4, tc N(10,4). T tng th
ny ta thu thp 20 mu ngu nhin vi 20 quan st/mu.
Nh vy ta s c cc gi tr trung bnh, X nh sau.
BNG 3.10: Phn phi xc sut ca trung bnh mu
Cc trung bnh
mu ( X )
9.641
10.134
10.040 10.249
9.174
10.321
10.840 10.399
10.480
9.404
11.386
8.621
9.740
9.739
9.937
10.184
10.250
9.765
10.334 10.410

Khong ca trung
bnh mu

Tn sut
tuyt i

Tn sut
tng i

8.5 8.9

0.05

9.0 9.4

0.05

9.5 9.9

0.25

10.0 10.4

0.40

10.5 10.9

0.20

11.0 11.4

0.05

Tng

20

1.00

Ngun: Gujarati, 2006, trang 86

Tng ca 20 gi tr trung bnh l 201.05, X

( X X)
0.339 .
19
2

v var( X ) =

21

Xi
10.052 ,
n

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ThS Phng Thanh Bnh

0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
0.00

8.75

9.25

9.75

10.25

10.75

11.2

Hnh 3.8: Phn phi ca 20 gi tr trung bnh mu t tng th c N(10,4)

L thuyt thng k cho rng, nu X1, X2, , Xn l mt mu

ngu nhin t mt tng th c phn phi chun vi trung
bnh x v phng sai 2x , th trung bnh mu, X ,cng theo
phn phi chun vi trung bnh x

2x 5
nhng phng sai
.
n

Ngha l,

X ~ N(x, x )
2

(3.53)

x
, c gi
n
l sai s chun (se) ca X , tng t nh khi nim
lch chun. Lu , cn bc hai ca phng sai ca mt
Cn bc hai ca phng sai trung bnh mu,

Chng minh: Do X

1 n
Xi nn ta c:
n
i 1

1
1
1
[E(X1) E(X 2 ) ... E(X n )] [ x x ... x ] (n x ) x
n
n
n
1
X X 2 ... X n
var( X) var 1
[var( X1 ) var( X 2 ) ... var( X n )]

n2

E ( X)

2
1
(n 2x ) x
n
n2

22

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ThS Phng Thanh Bnh

bin ngu nhin c gi l lch chun (s.d.), v cn

bc hai ca mt c lng c gi l sai s chun (se).
nh l gii hn trung tm
Nh ta va phn tch, trung bnh mu ca mt mu rt ra
t mt tng th phn phi chun cng theo phn phi chun
(bt k c mu bao nhiu). Vn t ra l nu cc mu
rt ra t cc tng th khc khng theo phn phi chun
th sao? nh l gii hn trung tm cho rng nu X1, X2,
, Xn l mt mu ngu nhin t bt k tng th no vi
trung bnh l x v phng l 2x , th trung bnh mu X s
c xu hng theo phn phi chun vi trung bnh l x v

2x
phng sai l
khi c mu tng ln v cng6.
n

Phn phi mu ca gi
tr trung bnh

Tng th khng c phn

phi chun

Tng th c phn
phi chun

Hnh 3.9: nh l gii hn trung tm: Cc mu c rt ra t mt tng th chun hay

khng chun u c phn phi chun

Phn phi t
Phn phi xc sut c s dng rt nhiu trong phn kinh
t lng cn bn l phn phi t, cng c gi l phn
phi t Student.

Trn thc t, cho d phn phi xc sut nn tng l g, trung bnh mu ca mt c mu t nht c 30 quan st s
c th xp x chun (Gujarati, 2006, pp.88).

23

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ThS Phng Thanh Bnh

2x
Nu X ~ N(x,
), th bin chun ha Z c nh ngha
n
(X x )
nh sau: Z =
~ N(0,1) nu c hai tham s x v
x
n
2x
u c bit. Nhng gi s ta ch bit x v gi tr
n
2
( X i X)
2
2
c lng ca x bi c lng mu Sx
. Nh vy,
n 1
nu thay x bng S x ta s c mt bin mi nh sau:
t =

(X x )
Sx
n

(3.54)

L thuyt thng k cho rng bin t s theo phn phi t

vi s bc t do l (n-1), y l tham s duy nht ca
phn phi t.
Phn phi chun
Phn phi t vi df=1
Phn phi t vi df=4
Phn phi t vi df=10

t
-4

-3

-2

-1

Hnh 3.10: Phn phi t vi mt s bc t do khc nhau

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ThS Phng Thanh Bnh

Tnh cht ca phn phi t

Ging nh phn phi chun, phn phi t i xng quanh
gi tr trung bnh.
Trung bnh ca phn phi t, ging nh phn phi chun
ha, l khng, nhng phng sai l k/(k-2), vi k l
s bc t do. V vy, phng sai ca phn phi t ch
c xc nh khi s bc t do d.f. > 2.
mimh ha ng dng ca phn phi t trn thc t ta xt
tip v d v s lt khch du lch quc t ti mt cng
ty du lch nh cp. Bit rng, trong giai on 15
ngy qua, s lt khch quc t trung bnh mt ngy l 72
v phng sai mu l 4. Hy tnh xc sut c c s
lt khch trung bnh , bit rng gi tr trung bnh
thc l 70 khch mt ngy?
Nu bit lch thc ca tng th () th ta c th
d dng s dng phn phi chun ha tnh xc sut
trn. Nhng y ta c S, l mt c lng ca , nn ta
c th s dng phn phi t nh sau:

72 70
=1.9365
3 15

s theo phn phi chun ha vi trung bnh bng 0 v

phng sai bng 1.17. Thay v tm P(X 72) , ta c th tm
P(t > 1.9365). p dng hm phn phi t7 cho trng hp mt
ui ta c:
P(t > 1.9365) = 1 P(t < 1.9365) = 0.0366
Vy xc sut s lt khch trung bnh mt ngy ca
cng ty du lch ny l 3.66%.
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm19365=1-@ctdist(1.9365,14) = 0.0366
scalar probs19365=@ctdist(1.9365,14) = 0.9634
scalar probs_19365=@ctdist(-1.9365,14) = 0.0366
scalar tval09634=@qtdist(0.9634,14) = 1.9365
7

Hm phn phi xc sut t trn Excel l: =TDIST(X, Deg_freedom, Tails). X ngha l gi tr t cn tnh xc
sut (1.9365), ngha l din tch di ng phn phi t t t n + (ta s bit y chnh l vng bc b gi thit
H0). Deg_freedom l s bc t do (14). Tails c hai la chn: 1 (mt ui), v 2 (hai ui). Gi tr xc
sut ta tnh c t cng thc ny chnh l P-Value (s c gii thiu bi ging 4). Nu ta bit mc
ngha (s c trnh by bi ging 4) v s bc t do, ta s tm c gi tr t theo cng thc sau:
=TINV(Probability, Deg_freedom). V d, =TINV(3.66%,14) = 1.9365. Lu , Ph lc B cui bi ging 3 s
hng dn cch v th phn phi t bng Excel.

25

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Phn phi xc sut Chi bnh phng (2)

Ta xc nh phn phi xc sut ca trung bnh mu, X ,
2
(X i X)
2
vy cn phng sai mu, S
s c phn phi nh
n 1
th no? Phn phi xc sut cn cho mc ch ny chnh l
phn phi xc sut Chi bnh phng (2), cng l mt phn
phi c mi quan h rt gn vi phn phi chun. Lu ,
ging nh trung bnh mu, phng sai mu cng thay i t
mu ny qua mu khc. Cho nn, ging nh trung bnh mu,
phng sai mu cng l mt bin ngu nhin.
Ta bit rng nu mt bin ngu nhin X theo phn phi
chun

vi

trung

bnh

phng

sai

2x ,

X~N(x, 2x ), th bin chun ha Z~N(0,1). L thuyt thng

k cho rng bnh phng ca mt bin chun ha c phn
phi Chi bnh phng (2) vi mt bc t do. K hiu nh
sau:
Z2 ~ 2(1)

(3.55)

Ging nh phn phi t, bc t do l tham s ca phn phi

Chi bnh phng (2). phng trnh (3.55) ch c mt bc
t do v ta ang xt bnh phng ca mt bin chun ha8.
Gi s Z1, Z2, , Zk l cc bin chun ha c lp
(mi bin Z l mt bin ngu nhin c phn phi chun vi
trung bnh bng 0 v phng sai bng 1). Nu ta ly bnh
phng tng bin ny, th tng ca cc bin Z bnh phng
ny cng theo phn phi Chi bnh phng vi k bc t do.
2
2
2
2
2
Zi Z1 Z1 ... Z1 ~ ( k )

Bc t do trong phn Chi bnh phng bng s bin ngu nhin c ly bnh phng

26

(3.56)

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ThS Phng Thanh Bnh

vi df = 4

vi df = 6

10

12

vi df = 2

14

16

18

Hnh 3.11: Phn phi chi bnh phng vi cc bc t do khc nhau

Tnh cht ca phn phi 2

Khc phn phi chun, phn phi Chi bnh phng9 ch
c gi tr dng t 0 n v cng.
Khc phn phi chun, phn phi Chi bnh phng l
mt phn phi nghing, nghing ca phn phi ph
thuc vo s bc t do. Khi bc t do thp, phn phi
Chi bnh phng b nghing phi, nhng khi bc t do
tng ln, phn phi s i xng v dn v phn phi
chun.
Gi tr trung bnh ca mt bin ngu nhin theo phn
phi Chi bnh phng l k v phng sai l 2k (k l
s bc t do). y l mt tnh cht ng ch ca
phn phi Chi bnh phng v phng sai gp i gi
tr trung bnh.
9

Hm phn phi xc sut Chi bnh phng trn Excel l: =CHIDIST(X, Deg_freedom). X ngha l gi tr 2
cn tnh xc sut (v d 6), ngha l din tch di ng phn phi Chi bnh phng t 2 n + (ta s bit y
chnh l vng bc b gi thit H0). Deg_freedom l s bc t do (v d 2). Gi tr xc sut ta tnh c t cng
thc ny (4.98%) chnh l P-Value. Nu ta bit mc ngha (s c trnh by bi ging 4) v s bc t do,
ta s tm c gi tr 2 theo cng thc sau: =CHIINV(Probability, Deg_freedom). V d, =CHIINV(4.98%,2)
=6. Lu , Ph lc C cui bi ging 3 s hng dn cch v th phn phi 2 bng Excel.

27

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ThS Phng Thanh Bnh

Nu Z1 v Z2 l hai bin c phn phi Chi bnh phng

c lp vi k1 v k2 bc t do, th (Z1+Z2) cng l
mt bin c phn phi chi bnh phng vi bc t do
l (k1+k2).
Tm li, y l mt phn phi rt hay s dng trong phn
tch kinh t lng cho cc bin ngu nhin dng bnh
phng nh kim nh JB, kim nh phng sai ca hn
nhiu, cc kim nh phn d s dng phng trnh hi qui
ph (nR2),
Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm6=1-@cchisq(6,2) = 0.0498
scalar probs6=@cchisq(6,2) = 0.9502
scalar chival09502=@qchisq(0.9502,2) = 6

Phn phi F
Mt phn phi xc sut khc cng rt quan trng trong
kinh t lng l phn phi F vi tng nh sau. Gi s
X1, X2, , Xm l mt mu ngu nhin vi c mu m t mt
tng th c phn phi chun vi trung bnh X v 2X; v
Y1, Y2, , Yn l mt mu ngu nhin vi c mu n t mt
tng th phn phi chun vn trung bnh Y v phng sai
2Y. Gi s hai mu c ny lp nhau v c ly t hai
tng th c phn phi chun. Gi s ta mun xem phng
sai ca hai tng th trn c ging nhau hay khng (2X =
2Y). Do ta khng th quan st trc tip phng sai tng
th nn ta suy ra t cc c lng phng sai nh sau:
S

2
(X i X)
=
m 1

(3.57)

2
(Yi Y)
n 1

(3.58)

S2 Y =

By gi ta xt t s sau y:
F =

S2X
S2Y

2
(Xi X) /(m 1)
2
(Yi Y) /(n 1)

(3.59)

Cc phng sai cng khc nhau th t s F cng ln. Phn

phi F ph thuc vo hai tham s l bc t do ca t (m1) v bc t do ca mu (n-1).

28

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ThS Phng Thanh Bnh

c im ca phn phi F
Ging phn phi chi bnh phng, phn phi F10 cng
b nghing phi v nm trong khong t 0 n v cng.
Ging phn phi t v phn phi chi bnh phng, phn
phi F s dn v phn phi chun khi k1 v k2 tng
ln v cng.
Bnh phng ca mt bin ngu nhin c phn phi t
vi k bc t do s c phn phi F vi 1 v k bc t
do.

t 2k ~ F1, k

(3.60)

y l mt tnh cht c ngha rt quan trng trong phn

phn tch hi qui bi.
Cng nh mi quan h gia phn phi t v F, cng c
mi quan h gia phn phi F v phn phi chi bnh
phng nh sau.
F(m,n)

2
=
khi n
m

(3.61)

Tm li, phn phi F rt quan trng trong kinh t lng

khi chng ta thc hin phn tch phng sai (ANOVA) v
kim nh cc bin di dng t s gia cc phng sai v
d kim nh gi thit ng thi, kim nh Wald, kim
nh Chow, kim nh nhn qu Granger,
Ngoi ra, qu v c th tham kho thm cc loi phn
phi khc nh phn phi beta, phn phi nh thc, phn
phi Gama, phi Poisson, phn phi Weibull, trong cc
ti liu chuyn v thng k, v d Hong Trng (2007), v
phn tr gip trong Eviews (statistical distribution
functions). Do cc loi phn phi ny t s dng trong
chng trnh kinh t lng c bn nn cun sch ny s
khng cp.

10

Hm phn phi xc sut F trn Excel l: =FDIST(X, Deg_freedom1, Deg_freedom2). X ngha l gi tr F

cn tnh xc sut (v d 4), ngha l din tch di ng phn phi F t F n + (ta s bit y chnh l vng
bc b gi thit H0). Deg_freedom1 l s bc t do ca t s (v d 2). Deg_freedom2 l s bc t do ca
mu s (v d 14). Gi tr xc sut ta tnh c t cng thc ny (4.23%) chnh l P-Value (s c gii thiu
bi ging 4). Nu ta bit mc ngha v s bc t do ca t v mu s, ta s tm c gi tr F theo cng thc
sau: =FINV(Probability, Deg_freedom1, Deg_freedom2). V d, =FINV(4.23%,2,14) = 4.

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ThS Phng Thanh Bnh

vi df1=3, df2=10

vi df1=10, df2=30

vi df1=50, df2=50

1.40

1.20

1.00

0.80

0.60

0.40

0.20

0.00
0

0.5

1.5

2.5

Hnh 3.12: Phn phi F vi cc bc t do khc nhau

Thao tc vi Eviews
Trn ca s lnh ca Eviews ta nhp:
scalar probm4=1-@cfdist(4,2,14) = 0.0423
scalar probs4=@cfdist(4,2,14) = 0.9577
scalar fval09577=@qfdist(0.9577,2,14) = 4

30

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ThS Phng Thanh Bnh

I S MA TRN
Mt s khi nim
Ma trn
Ma trn A c M dng v N ct thng c k hiu gn l
[aij] c th c th hin nh sau:

a11 a12 a13 ... a1N

a
a
a ... a 2 N
A [a ij ] 21 22 23

.......... .......... .......... .....

a M1 a M 2 a M3 ... a MN
Trong aij l thnh t dng th i v ct th j ca ma
trn A. Trong m hnh hi qui c in, ma trn X c gi
l ma trn M dng v N ct. d dng nhn bit s bc
ca mt ma trn, ngi ta thng k hiu s dng v ct
ca ma trn nh sau:

1 5 7
B 1 0 4
3x 3 8 9 11

2 3 5
A 6 1 3

2x3

Thao tc vi Eviews
to ma trn A, th trn ca s lnh ca Eviews ta nhp: matrix(2,3) matrixA
Sau nhp gi tr cc thnh t ca ma trn A nh sau:
matrixA.fill 2, 6, 3, 1, 5, 3

Vect ct
Mt ma trn c M dng v ch mt ct c gi l mt
vect ct, v c minh ha nh sau:

3
4
Y 5
4x1
9
Trong m hnh hi qui c in, cc ma trn dng vect ct
l ma trn bin ph thuc Y, ma trn h s hi qui B, v
ma trn hng nhiu u.
Thao tc vi Eviews
to vect ct Y, th trn ca s lnh ca Eviews ta nhp: vector(4) vectorY
Sau nhp gi tr cc thnh t ca vect Y nh sau: vectorY.fill 3, 4, 5, 9

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ThS Phng Thanh Bnh

Vect dng
Mt ma trn c mt dng v N ct c gi l mt vect
dng, v c minh ha nh sau:

Z 2 5 - 4 10 17
1x 5

Thao tc vi Eviews
to vect dng Z, th trn ca s lnh ca Eviews ta
nhp: rowvector(5) vectorZ
Sau nhp gi tr cc thnh t ca vect Z nh sau:
vectorZ.fill 2, 5, -4, 10, 17
Ma trn chuyn v
Ma trn chuyn v ca ma trn A vi M dng v N ct, c
k hiu l A l mt ma trn c N dng v M ct c c
bng cch thay i dng v ct ca ma trn A nh sau:

4 5
A 3 1
3x 2 5 0

4 3 5
A 5 1 0

2x3

Thao tc vi Eviews
to ma trn chuyn v (AT) ca ma trn A, th trn ca
s lnh ca Eviews ta nhp:
matrix AT @transpose(A)
Do vect l mt loi ma trn c bit, nn chuyn v mt
vect dng l mt vect ct v ngc li.

3
4
Y 5
4 x1
9

A 3 4 5 9
1x 4

Ma trn con
Ma trn A c 3 dng, 3 ct, gi s b i dng v ct th
3 ca ma trn A, ta s c ma trn B vi 2 dng, 2 ct. B
c gi l ma trn con ca ma trn A.

1 5 7
A 1 0 4
3x 3 8 9 11

1 5
B

2 x 2 1 0

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ThS Phng Thanh Bnh

Cc loi ma trn
Ma trn vung
Ma trn c s dng v s ct bng nhau c gi l ma
trn vung, nh ma trn A v ma trn B trn.
Ma trn ng cho
Mt ma trn vung vi t nht mt thnh t khc khng
trn ng cho chnh v cc thnh t khc c gi tr
khng c gi l ma trn ng cho.

2 0 0

A 0 5 0
3x 3 0 0 1

2
B 0
2x 2

0
3

Ma trn v hng
Mt ma trn ng cho vi cc thnh t trn ng cho
u ging nhau c gi l ma trn v hng. Ma trn v
hng hay gp trong kinh t lng l ma trn phng sai hip phng sai ca hn nhiu trong m hnh hi qui tuyn
tnh c in nh sau:

0
var cov(u) 0

5x5
0
0

0 0 0
0

2 0 0
0
0 2 0
0

0 0 2 0
0 0 0 2

Ma trn n v
Mt ma trn vi cc thnh t trn ng cho u bng 1
c gi l ma trn n v, c k hiu l I. Ma trn
n v l mt trng hp c bit ca ma trn v hng.

1
0
I 0
4x 4
0

1 0 0
I 0 1 0
3x 3 0 0 1

0
1
0
0

0
0
1
0

0
0
0

Ton t ma trn
Php cng ma trn
Ta c A = [aij] v B = [bij]. Nu A v B l cc ma trn c
cng bc, th php cng ma trn c nh ngha nh sau:
A + B = C

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ThS Phng Thanh Bnh

Trong , C c cng s bc vi A v B v c tnh nh

sau cij = aij + bij cho tt c cc i v j; ngha l, C c
tnh bng cch cng cc thnh t tng ng ca A v B.
V d:

2 3 4 5
A 6 7 8 9

2x 4

1 0 - 1 3
B 2 0 1 5

2x 4

V C = A + B th:

3 3 3 8
C 4 7 9 14

2x 4
Thao tc vi Eviews
thc hin php cng hai ma trn A v B, th trn ca
s lnh ca Eviews ta nhp:
matrix matrixC=A+B
Php tr ma trn
Php tr ma trn cng c thc hin theo mt nguyn tc
nh php cng ma trn (C = A B); ngha l, ta tr cc
thnh t ca A cho cc thnh t tng ng ca C.
Thao tc vi Eviews
thc hin php tr hai ma trn A v B, th trn ca s
lnh ca Eviews ta nhp:
matrix matrixC=A-B
Tch v hng
nhn mt ma trn A vi mt v hng , ta nhn mi
thnh t ca ma trn A vi nh sau:
A = [aij]

1 5
2 10
V d, nu = 2 v A
, th A =

2 0
2 x 2 1 0
Thao tc vi Eviews
thc hin php nhn mt s k v ma trn A, th trn
ca s lnh ca Eviews ta nhp: matrix matrixD=k*A
Php nhn ma trn
Gi s ta c A l mt ma trn M dng, N ct, v B l mt
ma trn N dng, P ct. Th ma trn C = AB s l mt ma
trn c M dng v P ct nh sau:
34

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ThS Phng Thanh Bnh

cij a ik b kj
k 1

i = 1, 2, M v j = 1, 2, , P

Ngha l, thnh t dng th i v ct th j ca ma trn

C c tnh bng cch nhn cc thnh t ca dng th i
ca ma trn A vi cc thnh t tng ng ca ct j ca ma
trn B v cng tt c cc tch li.
Xem v d sau y11:

2 1
B 3 5
3x 2
6 2

3 4 7
A 5 6 1

2x3
(3x2) (4x3) (7x6)
A*B = C
2 x 2 (5x2) (6x3) (1x6)

(3x1) (4x5) (7x2) 60 37

(5x1) (6x5) (1x2) 34 37

Thao tc vi Eviews
nhn ma trn A v B, th trn ca s lnh ca Eviews
ta nhp: matrix AB=A*B
Lu :
AB BA
Tch ca mt vect dng v mt vect ct l mt v
hng

uu = [u1

u1
u 2
.
u2 un] = u i2
.
.
u n

Tch ca mt vect ct v mt vect dng l mt ma

trn

u1
u 2
2
u1
u1u 2
.
s

uu = [u1 u2 un] =

.
s

u n
11

Thc hin php nhn ma trn trn Excel nh sau: Gi s trong bng tnh Excel ma trn A ang v tr A1:C2,
v B ang v tr A4:B6. Bc mt, ta chn khi v tr s t ma trn C (gi s D4: E5). Bc hai, ti u tin
ca ma trn C (tc D4) ta nhp cng thc =MMULT(A1:C2, A4:B6). Bc ba, nhn phm F2, sau gi
ng phm Ctrl+Shift, v cui cng l nhn phm Enter.

35

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ThS Phng Thanh Bnh

Nu AMN, BNP, CPK, th (AB)C = A(BC) v A(B + C) = AB +

AC v (B+C)A = BA + CA
Php chuyn v ma trn
Php chuyn v ma trn c cc tnh cht nh sau:
(A) = A
C = A + B v C = (A + B) = A + B
(AB) = BA v (ABCD) = DCBA
I = I
=
(A) = A = A = A
Nu A l mt ma trn vung v A = A, th A l mt ma
trn i xng
Php nghch o ma trn
Nghch o ca mt ma trn vung A, k hiu l A 1 c
nh ngha nh sau:
A A 1 = A 1 A = I
Xem v d sau y12:

2 4
A 6 8

2x 2

- 1 2
A 1 6
1
2x 2

-
4
8

th

1 0
AA1
0 1

Thao tc vi Eviews
tm ma trn nghch o (AI) ca ma trn A, th trn
ca s lnh ca Eviews ta nhp: matrix AI=@inverse(A)
Ma trn nghch o c cc tnh cht sau y:
(AB)-1 = B-1A-1

(A-1) = (A)-1

12

Thc hin php nhn ma trn trn Excel nh sau: Gi s trong bng tnh Excel ma trn A ang v tr A1:C2.
Bc mt, ta chn khi v tr s t ma trn A-1 (gi s A4: B5). Bc hai, ti u tin ca ma trn A-1 (tc
A4) ta nhp cng thc =MINVERSE (A1:C2). Bc ba, nhn phm F2, sau gi ng phm Ctrl+Shift, v
cui cng l nhn phm Enter.

36

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ThS Phng Thanh Bnh

nh thc ma trn
Tng ng vi mi ma trn vung, A, l mt con s nht
nh c gi l nh thc ca ma trn. nh thc ca ma
trn A thng c k hiu l det A hay A . V d,

1 5 7
A 1 0 4
8 9 11

1 5 7
A 1 0 4
8 9 11

Vic tnh gi tr nh thc i vi ma trn 2 dng 2 ct

tng i n gi bng cch ly tch ca hai thnh t
trn ng cho chnh tr tch ca hai thnh t trn
ng cho ph (a11a22 - a12a21). Tuy nhin, vic tnh gi
tr nh thc ca cc ma trn nhiu dng v nhiu ct (v
d 3 dng 3 ct, hay 5 dng 5 ct) s tr nn kh khn v
lun lm nhiu sinh vin cm thy s hi! Tuy nhin, vic
tnh gi tr nh thc trn Excel thc ra l mt vic ht
sc nh nhng. V d, trn bng tnh Excel gi tr cc
thnh t ca ma trn A nm trong khi A1:C3, ta ch cn
nh cng thc =MDETERM(A1:C3) vo mt no th ta s
bit gi tr ca nh thc A l 116.
Thao tc vi Eviews
tnh nh thc ca ma trn A, th trn ca s lnh
Eviews ta nhp:
scalar detA=@det(A)
Cc tnh cht cn lu ca nh thc ma trn:

Mt ma trn c gi tr nh thc l khng c gi l

ma trn suy bin v mt ma trn c gi tr nh thc
khc khng c gi l ma trn khng suy bin. D
nhin, mt ma trn suy bin th khng th c ma trn
nghch o. Tnh cht ny rt quan trng khi chng ta
phn tch trng hp a cng tuyn hon ho. Mt ma
trn suy bin c ngha l dng (hay ct) ny l mt
hm tuyn tnh ca dng (hay ct) khc trong ma trn
.

Nu tt c cc thnh t ca bt k mt dng no ca
ma trn u bng khng, th gi tr nh thc s bng
khng.

A A

o v tr ca hai dng hay hai ct bt k no s lm

thay i du ca nh thc.
37

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ThS Phng Thanh Bnh

Nu mi thnh t ca mt dng hay mt ct ca ma trn

c nhn vi mt v hng , th gi tr nh thc
s tng thn ln.

Nu hai dng hay hai ct ca ma trn l ging nhau,

th gi tr nh thc s bng khng.

Nu mt dng hay ct ca ma trn l bi s ca mt

dng hay mt ct khc th gi tr nh thc s bng
khng (ni cch khc, nu mt dng hay mt ct l mt
kt hp tuyn tnh ca cc dng hay cc ct khc th
gi tr nh thc s bng khng).

AB A B

Tm nghch o ca ma trn vung

iu kin: A 0

A 1

(adjA) l chuyn v ca ma trn ph hp ca A

1
(adjA)
A

y ta khng trnh by chi tit (adjA) hay ma trn ph

hp, m ch mun lm r tng c bn rng nu ma trn A
c gi tr nh thc bng khng th ta khng th xc nh
c ma trn nghch o ca n c.

38

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ThS Phng Thanh Bnh

SUY DIN THNG K L G?

Suy din thng k l vic nghin cu mi quan h gia mt
tng th v mt mu c ly ra t tng th . hiu
r khi nim ny, ta xem xt v d c th sau y v ROE
(sut sinh li trn vn ch s hu, %) trn S giao dch
chng khon TP.HCM.
BNG 3.11: ROE ca 30 cng ty trn S giao dch chng khon TP.HCM

Cng ty
ABT
SC5
SFI
BHS
BMP
DHA
DHG
DQC
ITA
PAC
REE
SGH
STB
TAC
UNI
Trung bnh = 22.2

ROE
Cng ty
13.7
VFC
29.2
VGP
41.9
VHC
14.1
VHG
22.8
VIC
17.4
VIS
19.7
TSC
29.3
VNE
11.1
VNM
22.9
VPL
13.0
VSC
17.6
VSH
19.0
BMC
34.8
VTB
32.5
VTO
Phng sai = 131.9

ROE
13.2
10.5
32.5
16.8
14.6
12.6
44.3
16.6
22.3
8.1
26.1
12.7
56.2
11.2
30.2
lch = 11.5

Ngun: Tc gi tng hp, 2008

Gi s quan tm chnh ca ta khng phi l ROE ca
mt cng ty nht nh no , m l ROE trung bnh ca
ton b chng khon nim yt trn th trng TP.HCM. Trn
nguyn tc, vic thu thp d liu t s ROE ca 152 cng
ty nim yt tnh ROE trung bnh l hon ton c th
thc hin c, nhng thc t, vic lm ny rt tn thi
gian v chi ph (gi s trong tng lai c thm rt nhiu
cng ty nim yt th sao?). Cho nn liu ta c th s
dng ROE trung bnh ca 30 cng ty nh mt gi tr c
lng ca ROE trung bnh tng th hay khng. C th, nu
ta t X = ROE ca mt chng khon v X l ROE trung bnh
ca 30 chng khon, th liu ta c th ni g v gi tr
k vng ca ROE, E(X) ca ton b th trng chng khon
TP.HCM hay khng. Qu trnh khi qut ha t gi tr mu,
v d X , cho gi tr tng th, E(X), l ni dung ch yu
39

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

ca suy din thng k. Ta s tho lun chi tit ch

ny.
Vic thu thp thng tin v tt c cc ROE ca c th
trng chng khon tnh ROE trung bnh l rt tn km,
nn ta c th thu thp mt mu ngu nhin mt s chng
khon tnh ROE trung bnh mu, X . X l c lng ca
ROE trung bnh tng th, E(X), v cng c gi l tham
s tng th. Mt gi tr bng s ca c lng c gi
l mt gi tr c lng. V th, c lng l bc u
tin ca suy din thng k. Sau khi c gi tr c
lng ca tham s, ta cn phi tm hiu xem gi tr c
phi l mt gi tr c lng tt cho tham s tng th
hay khng, v mt gi tr c lng c th khng bng gi
tr tham s thc.
Bc th hai ca suy din thng k l kim nh gi
thit. Trong kim nh gi thit
ta c th c phn
on hay k vng trc v gi tr ca mt tham s nht
nh. V d, da vo kin thc c hoc kin chuyn
gia ta c th bit ROE trung bnh thc ca th trng l
17.4. Nh vy, gi tr 22.2 t mu 30 cng ty c khc v
mt thng so vi gi tr 17.4 hay khng.

C LNG CC THAM S
Thng thng, mt bin ngu nhin X c cho rng s theo
mt phn phi nht nh, nhng ta khng bit gi tr cc
tham s ca phn phi . Chng hn, nu X theo phn phi
chun, ta mun bit gi tr ca hai tham s trung bnh
E(X) = x v phng sai 2x . c lng cc tham s ny,
qui trnh thng thng l ly mt mu ngu nhin vi n
quan st t mt phn phi xc sut bit v s dng mu
c lng cc tham s cha bit. V th, ta c th s
dng trung bnh mu nh mt gi tr c lng ca trung
bnh tng th v phng sai mu nh mt gi tr c lng
ca phng sai tng th. Qui trnh ny c gi l vn
c lng. Vn c lng c chia thnh hai loi: c
lng im v c lng khong.
c th ha tng ny, gi s bin ngu nhin X
(ROE) l mt bin c phn phi chun vi mt gi tr
trung bnh v mt gi tr phng sai nht nh, nhng ta
khng bit gi tr ca cc tham s ny. Gi s ta c mt
40

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ThS Phng Thanh Bnh

mu ngu nhin gm 30 ROE t mt tng th c phn phi

chun nh Bng 3.11.
Ta c th s dng mu ny tnh gi tr trung bnh
tng th x = E(X) v phng sai tng th 2x nh th no.
C th hn, gi s quan tm ca ta by gi l tm gi tr
trung bnh x. Ta thy rng gi tr trung bnh mu, X , l
22.2. Ta gi 22.2 l gi tr c lng im ca x, v
Xi
cng thc X
c dng tnh gi tr c lng im
30
c gi l c lng im. Lu rng c lng im l
mt bin ngu nhin v gi tr ca n s khc nhau cc
mu khc nhau. V th, lm sao c th tin mt gi tr c
th nh 22.2 l gi tr c lng ca x. Ni cch khc,
lm th no ta c th ch da vo mt gi tr c lng
ca trung bnh tng th. Tuy nhin, c v tt hn nu cho
rng mt khong gi tr no c cha trung bnh tng
th. l tng ca khi nim c lng khong. c
lng khong l mt khong cc gi tr s cha gi tr
thc ca tng th vi mt mc tin cy nht nh.
tng nn tng ca c lng khong l khi nim
phn phi mu ca mt c lng. Gi s, mt bin ngu
nhin X c phn phi chun, X~ N(X, 2), th

2x
)
X ~ N(X,
n

(3.62)

Z =

(3.63)

X x
x / n

~ N(0, 1)

iu ny c ngha rng phn phi mu ca trung bnh

mu X cng theo phn phi chun. Nu X khng theo phn phi
chun, th theo nh l gii hn trung tm X s theo phn
phi chun nu c mu ln.
Tuy nhin, do khng bit gi tr phng sai 2x , nhng
ta c th s dng c lng ca n l S2x
t =

X X
Sx / n

( X x X)
th
n 1

~ td.f.=(n-1)

theo phn phi t vi (n-1) bc t do, (d.f.).

41

(3.64)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

bit phng trnh (3.64) c s dng nh th no cho

c lng khong ca gi tr trung bnh tng th x ca
ROE, ta s dng Bng A2 vi bc t do l 29 nh sau:
P(-2.045 t 2.045) = 0.95

-2.045

(3.65)

2.045

Hnh 3.13: Khong tin cy 95% ca X vi s bc t do l 29

Vi d.f. = 29, xc sut l 0.95 (hay 95%), th khong (2.045, 2.045) s cha gi tr t tnh t cng thc (4.3).
Cc gi tr t trn c gi l cc gi tr t ph phn
(critical t values) s cho bit phn trm din tch di
ng phn phi t gia hai gi tr ph phn ny. Trong
, t = -2.045 c gi l gi tr t ph phn chn di
(lower critical t value) v t = 2.045 c gi l gi tr
t ph phn chn trn (upper critical t value).
Th gi tr t t (3.64) vo (3.65) ta c:
P(-2.045

X X
Sx / n

P( X - 2.045

2.045) = 0.95

Sx
S
X X + 2.045 x ) = 0.95
n
n

42

(3.66)
(3.67)

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

S
X 2.045 x
n

S
X 2.045 x
n

Hnh 3.14a: Khong tin cy 95% ca X vi s bc t do l 29

S
X 2.756 x
n

S
X 2.756 x
n

Hnh 3.14b: Khong tin cy 99% ca X vi s bc t do l 29

Phng trnh (3.67) l mt c lng khong (interval

estimator) ca trung bnh tng th x.
Trong thng k, phng trnh (3.67) c gi l 95%
khong tin cy (confidence interval) cho gi tr thc
nhng khng bit trung bnh tng th x v 0.95 c gi
l h s tin cy (confidence coefficient). Ni cch khc,
phng trnh (3.66) cho bit 95% khong ngu nhin
( X 2.045Sx / n )
cha
gi
tr
trung
bnh
thc
x.
( X 2.045Sx / n ) c

gi

gii

( X 2.045Sx / n ) l gii hn trn.

43

hn

di

ca

khong

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

Lu rng khong phng trnh (3.67) l mt khong

S
ngu nhin v n ph thuc vo X v x , m hai i lng
n
ny khc nhau cc mu khc nhau. Nhng trung bnh tng
th x, d khng bit, nhng thc ra l mt con s c nh
v v th khng ngu nhin. Cho nn, s khng ng nu
ni rng xc sut 95% x nm trong khong ny, m phi ni
rng xc sut 95% khong ngu nhin cha x.
Quay li v d trn vi n = 30, X = 22.2, v Sx =
11.5 th ta xc nh khong ngu nhin nh sau:
22.2 -

(2.045 )(11.5)
(2.045 )(11.5)
x 22.2
30
30
17.91 26.49

(3.68)

Phng trnh (3.68) cho rng nu ta xy dng c cc

khong phng trnh (3.68), th trong 100 ln, c 95
khong nh vy s cha gi tr x thc. Hy cn thn,
khng th ni rng xc sut l 95% mt khong nht nh
trong phng trnh (3.68) cha x.
Thao tc vi Eviews (trn ca s lnh)
Gi tr trung bnh mu ca ROE: scalar ROEmean=@mean(roe) = 22.2
Gi tr t ph phn: scalar tc95=@qtdist(0.975,29) = 2.045
lch chun ca ROE: scalar stdevROE=@stdev(roe) = 11.5
S quan st ca mu: scalar obs=@obs(roe) = 30
Gi tr chn di ca ROE: scalar ROE_lb=ROEmean-tc95*stdevROE/obs
Gi tr chn trn ca ROE: scalar ROE_ub=ROEmean+tc95*stdev/obs
* Lu : Khi qu v quen cc hm trn Eviews, qu v c th xy dng mt cc trc
tip ch khng cn thc hin tng thao tc ring nh th ny.

KIM NH GI THIT
Sau khi xem xt nhnh c lng ca suy din thng k,
by gi chng ta s xem xt chi tit hn nhnh th hai
ca n l kim nh gi thit. Tr li v d v ROE
trn, thay v tm khong tin cy cho x, gi s ta gi
thit rng gi tr thc X bng mt gi tr bng s c
th, v d X = 17.4. Cng vic ca ta by gi l kim
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nh gi thit ny. Ta s kim nh gi thit ny nh th

no l ng h hay bc b n?
Theo ngn ng kim nh gi thit th mt gi thit
nh x = 17.4 c gi l gi thit khng v c k hiu
l H0. Nh vy, H0: x = 17.4. Gi thit khng lun c
kim nh ngc li vi gi thit khc, k hiu l H1. Gi
thit khc c th di mt s hnh thc khc nhau nh
sau:
H1: x > 17.4, y l gi thit khc mt pha hay mt
ui
H1: x < 17.4, cng l gi thit khc mt pha hay
mt ui
H1: x 17.4, y c gi l gi thit khc kt hp,
hai pha, hay hai ui.
kim nh H0, ta s dng d liu mu v l thuyt thng
k xy dng cc qui tc quyt nh nhm xem chng c
ca mu c ng h gi thit khng hay khng. Nu chng c
mu ng h gi thit khng, ta khng bc b H0, ngc li,
ta bc b H0, iu ny cng c ngha ta chp nhn gi
thit H1.
Vn c ra l chng ta xy dng cc qui tc quyt
nh ny nh th no? C hai cch tip cn kim nh c
tnh b sung cho nhau: (i) Khong tin cy, v (ii) Kim
nh ngha. Chng t s dng v d v ROE minh ha
cho cc phng php kim nh ny. Gi s ta c cc gi
thit kim nh nh sau:
H0: x = 17.4
H1: x 17.4
Kim nh da vo khong tin cy
Kim nh da vo khong tin cy c ngha l ta c gng
xy dng khong tin cy cho mt c lng, ri kim tra
xem gi tr thc c gi nh theo gi thit H 0 s nm
trong hay ngoi khong tin cy . V trn c s ta s
c quyt nh bc b hay khng bc b gi thit H0.
kim nh gi thit H0, gi s ta c d liu mu
nh trong Bng 3.11. T d liu ny, ta tnh c gi tr
trung bnh mu l 22.2. Ta bit rng trung bnh mu c
phn phi chun vi trung bnh l x v phng sai l
2x / n . Nhng do ta khng bit gi tr phng sai thc ca
tng th, nn ta thay th phng sai ny bng phng sai
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ThS Phng Thanh Bnh

mu, v nh th th trung bnh mu s theo phn phi t.

Da vo phn phi t ta xy dng c khong tin cy 95%
cho X nh sau:
17.91 X 26.49

(3.69)

Ta bit rng cc khong tin cy a ra mt khong cc gi

tr c th bao gm gi tr x thc vi mt mc tin cy
nht nh, chng hn 95%. V th, khong tin cy ny
khng gi tr gi thit khng, x = 17.4, ta c th bc b
gi thit H0 ny khng?
Nh vy, khong tin cy v kim nh gi thit l hai
ch c quan h mt thit vi nhau. Theo ngn ng kim
nh gi thit, khong tin cy 95% c gi l vng chp
nhn v vng ngoi vng chp nhn l vng ph phn hay
vng bc b13 gi thit H0. Gi tr chn di v gi tr
chn trn ca vng chp nhn c gi l cc gi tr ph
phn14. Theo ngn ng thng k, nu vng chp nhn c cha
gi tr tham s gi thit H0, ta khng bc b H0 (ngha
l chp nhn H0 l ng). Nhng nu ri ngoi vng chp
nhn (tc nm trong vng bc b), ta bc b H0. v d
ang xt, ta bc b gi thit H0: x = 17.4 v vng chp
nhn, nh phng trnh (3.69), khng cha gi tr gi
thit khng ny. .
Cc bc thc hin:
Xc nh gi thit H0 v H1
Chn mc ngha vi phn phi t hai ui
Xy dng khong tin cy
Kim tra xem khong tin cy c cha gi tr ca gi
thit H0 hay khng
a ra quyt nh

13

Acceptance region, critical region, v the region of rejection.

Critical value. Lu , cc sch thng k hoc kinh t lng Vit Nam dch thut ng critical l ph
phn hoc ti hn. Tuy nhin, iu quan trng l ta nn hiu bn cht ca thut ng ny. V d, ta thng ni
a critical decision c ngha l mt quyt nh c ngha sng cn, theo kiu thng lm vui, thua lm gic.
Trong thng k, cc ranh gii ca vng chp nhn c gi l cc gi tr ph phn, v cc ranh gii ny l ng
phn chia gia vic chp nhn v bc b gi thit H0. Ngoi ra, cc gi tr ny l cc gi tr chun c tnh da
trn mt phn phi nht nh (v trc y chng c nh km dng cc bng thng k phn ph lc cc
sch gio khoa) gip sinh vin tra v so snh, cho nn i khi chng c gi l gi tr tra bng. Ngy nay,
chng ta thng tra nhanh cc gi tr ny bng cc cng thc nh TINV, FINV, CHIINV, trn Excel hoc
cc hm @qtdist, @fqdist, @qchisq, trn Eviews.
14

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ThS Phng Thanh Bnh

Sai lm loi I v loi II

Trong v d v ROE ta bc b gi thit H0: x = 17.4 bi
v chng c t mu ca ta X = 22.2 dng nh khng ph
hp vi gi thit ny. C phi iu ny c ngha l mu
30 chng khon nh trong Bng 3.11 khng c ly t mt
tng th c phn phi chun vi gi tr trung bnh l
17.4? Chng ta hon ton khng chc chn, v khong tin
cy y l 95% ch khng phi 100%. Nu iu ny l
ng, ta c th b mc sai lm bc b gi thit H0: x =
17.4. y l loi sai lm loi I: sai lm trong vic bc
b mt gi thit ng. Tng t, gi s H0: x = 20, v
theo phng trnh (3.69) ta s khng bc b gi thit
khng ny. Nhng rt c th mu 30 chng khon khng c
ly t mt tng th c phn phi chun vi gi tr trung
bnh l 20. Nh vy, ta c th mc sai lm loi II: sai
lm trong vic chp nhn gi thit sai.
BNG 3.12: Hai loi sai lm trong thng k
H0 l ng
H0 l sai

Bc b H0
Sai lm loi I
Quyt nh sai

Khng bc b H0
Quyt nh ng
Sai lm loi II

Ngun: Gujarati, 2006, trang 116

Tht l tng nu ta c th ti thiu ha c hai loi sai
lm ny. Tuy nhin, vi mt c mu nht nh ta khng th
no ti thiu ha ng thi hai loi sai lm ny. Theo
Gujarati (2006, 116), cch duy nht gim sai lm loi II
m khng lm tng sai lm loi I l tng c mu. Nhng
y khng phi l iu lun lun d dng. Cch tip cn
c in cho rng sai lm loi I nghim trng hn sai lm
loi II. Cho nn, ngi ta c gng gim thiu sai lm
loi I cng nh cng tt, v d khong 0.01 hay 0.05, v
c gng gim thiu sai lm loi II. Theo l thuyt thng
k, xc sut chp nhn sai lm loi I c qui c l ,
c gi l mc ngha, v xc sut chp nhn sai lm
loi II c qui c l . Nh vy,
Sai lm loi I = = xc sut bc b H0 (H0 l ng)
Sai lm loi II = = xc sut chp nhn H0 (H0 l sai)
Xc sut khng chp nhn sai lm loi II, ngha l, bc
b H0 khi H0 l sai, l (1-) v c gi l sc mnh ca
kim nh.

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Theo cch tip cn c in v kim nh gi thit th

thng c cho cc mc 1%, 5%, ri c gng gim thiu
. Trong thc t, cch tip cn c in thng xc nh
gi tr m khng cn quan tm nhiu n . Nhng lu
rng, khi ra quyt nh lun tn ti s nh i gia mc
ngha v sc mnh kim nh. iu ny c ngha rng,
vi mt c mu nht nh, nu ta c gng gim xc sut
ca sai lm loi I, ta c th tng xc sut sai lm loi
II v v th gim sc mnh kim nh. Chng hn, thay v
s dng = 5%, ta s dng = 1%, chng ta c th rt t
tin khi bc b H0, nhng chng ta c th s khng t tin
lm khi khng bc b H0.
Quay li v d ROE nhng vi = 1% v ta s tnh
c khong tin cy 99% nh sau:
16.41 x 27.99

(3.70)

So vi (3.69), th khong tin cy 99% rng hn khong tin

cy 95%. V khong tin cy 99% ny c cha gi tr gi
thit l 17.4, nn ta khng bc b gi thit khng. iu
ny ni ln iu g? Bng cch gim sai lm loi I t 5%
xung 1%, chng ta tng xc sut chp nhn sai lm
loi II. Ngha l, vic khng bc b gi thit khng theo
cng thc (3.70), chng ta c th ang chp nhn mt cch
sai lm gi thit cho rng gi tr x thc l 17.4. Cho
nn, hy nh rng lun lun c s nh i gia sai lm
loi I v sai lm loi II.
Kim nh da vo ngha
Kim nh ngha l mt cch kim nh khc c tnh b
sung v ngn gn hn so vi kim nh da vo khong tin
(X X )
cy15. Xin nhc li rng t =
c phn phi t vi
Sx / n
(n-1) bc t do. Cc thng tin X , n, v S bit t
mu, nn nu c gi tr x di gi thit khng, ta s
tnh c gi tr thng k t (cn c gi l gi tr t
tnh ton). Hn na, vi (n-1) bc t do ta c th xc
nh c cc gi tr t ph phn16.

15

V cc phn mm kinh t lng u cung cp cc thng tin gi tr thng k t v gi tr xc sut tng ng, nn
phng php kim nh ny c s dng ph bin.
16

Bit rng t=

(X X )
Sx / n

theo phn phi t vi bc t do l (n-1), nn ta c th d dng tnh c gi tr xc sut

tng ng ca n bng cng thc =TDIST(x,Deg_Freedom,Tails). V d, =TDIST(2.045,29,2) = 5%. Ngoi ra,

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Nu khc bit gia X v x l nh (t s s nh v mu s

khng i), th gi gi tr tuyt i ca t tnh ton s
nh. Nu X = x, gi tr t tnh ton s bng khng, v
chc chn ta s khng bc b gi thit H0. Cho nn, khi
gi tr tuyt i ca t tnh ton cng khc khng, ta s
c xu hng bc gi thit H0. Ni cch khc, khi gi tr
tuyt i ca t tnh ton cng ln, ta cng c xu hng
bc b gi thit H0. Tuy nhin, quyt nh bc b hay chp
nhn H0 ty thuc vo mc ngha c chn. Nu gi tr t
tnh ton nm gia cc gi tr t ph phn chn di v
chn trn th ta chp nhn H0 ( t t / 2 ). Ngc li, nu gi
tr thng k t nm ngoi cc gi tr t ph phn chn di
v chn trn th ta bc b H0 ( t t / 2 ).
V d, X = 22.2, Sx = 11.5, v n = 30. Gi s H0: x =
17.4 v H1: x 17.4. Ta c:
t =

(22 .2 18 .5)
= 2.286
11 .5 / 30

Vi s bc t do l 29, cc gi tr t ph phn vi mc
ngha 5% l -2.045 v 2.045. Nh vy, t tnh ton bng
2.286 nm pha ui phi vng bc b ca phn phi t,
nn ta bc b gi thit H0. Ngoi ra, ta d dng tnh xc
sut t 2.286 ch l 2.974%.
Cc bc thc hin:
Xc nh gi thit H0 v H1
Tnh gi tr thng k t
Chn mc ngha vi phn phi t hai ui v xc
nh cc gi tr t ph phn chn di v chn trn
So snh gi tr thng k t v gi tr t ph phn
a ra quyt nh
Theo ngn ng ca kim nh ngha ta thng gp hai
thut ng sau y:
Kim nh c ngha thng k17
Kim nh khng c ngha thng k
tnh gi tr t ph phn ta dng cng thc =TINV(Probability,Deg_Freedom). V d, =TINV(5%,29) = 2.045.
Hoc ta cng c th s dng hm @qtdist(0.975,29) = 2.045 hoc 1-@ctdist(2.045,29) = 5%.
17
Khi ni mt kim nh/kt qu nghin cu c ngha thng k, ngha l ta c th bc b gi thit H0. Ngc
li, khi ta khng bc b gi thit H0, ta ni rng kim nh/kt qu nghin cu khng c ngha thng k.

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Kim nh mt ui hay hai ui?

Cho n y tt c cc v d u xc nh gi thit H 1 l
hai ui. V th nu ROE bng 17.4 di gi thit H0, th
di gi thit H1 th ROE c th hoc ln hn hoc nh
thua 17.4. Nh vy, nu thng k kim nh ri vo bt k
ui no ca phn phi (vng bc b) ta bc b H0.

95%

Vng chp
nhn H0

2.5%

2.5%

-2.045

2.045

Hnh 3.15a: Kin nh mc ngha t: Hai ui

Tuy nhin, cng c trng hp gi thit khng v gi
thit khc l mt ui, hay mt pha. V d, H0: x 17.4
v H1: x > 17.4, tc gi thit khc l mt ui. Ta s
kim nh gi thit ny nh th no?
Th tc kim nh hon ton ging cch kim nh
cc v d trn ngoi tr vic thay v tm hai gi tr ph
phn, by gi ta ch xc nh mt gi tr ph phn duy
nht ca thng k kim nh.
Lu , khi tra bng A2, trng hp kim
ta chn mc ngha dng di, ngc li,
pha ta chn mc ngha dng trn. Khi
thc TINV trn Excel, th mc ngha c
. Cho nn, nu kim nh hai pha vi
TINV(5%,d.f.), ngc li, nu kim nh mt
= 5%, th ta phi chn TINV(10%,d.f.).

50

nh hai pha
kim nh mt
s dng cng
chn lun l
= 5%, th
pha cng vi

BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

BNG 3.13: Tm tt kim nh t

Gi thit
khng, H0

Gi thit khc,
H1

Vng ph phn/bc b
H0 nu
X 0
t =
> t,d.f.
Sx / n

x = 0

x > 0

x = 0

x < 0

t =

x = 0

x 0

t=

X 0
< t,
Sx / n

d.f.

X 0
> t/2,d.f.
Sx / n

Ngun: Gujarati, 2006, trang 122

95%

Vng chp
nhn H0

5%

1.699

Hnh 3.15b: Kin nh mc ngha t: Mt ui

Lu , v mt t ng, ta nn s dng cch pht biu bc
b hoc khng bc b gi thit H0, hn l bc b hoc
chp nhn mt gi thit. Theo Gujarati (2006), vic ta
khng bc b gi thit khng khng nht thit c ngha
rng gi thit ng, bi v mt gi thit khng khc
c th cng tng thch vi d liu.
Mc ngha v gi tr xc sut p
Gi tr xc sut p (p-value) cng c gi l mc ngha
chnh xc ca thng k kim nh (v d thng k t). Gi
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ThS Phng Thanh Bnh

tr xc sut p c th c nh ngha l mc ngha thp

nht ti gi thit H0 c th b bc b. Qui tc quyt
nh vi gi tr xc sut p nh sau: Gi tr xc sut p
cng nh, th bng chng bc b gi thit H0 cng mnh.
Cc phn mm kinh t lng u c bo co gi tr xc
sut p. Chng ta s phn tch tht chi tit vn gi
tr xc sut p Bi ging 7.
Mi quan h gia hai phng php kim nh
T phng trnh (3.64) ta thy rng bin ngu nhin t l
mt hm tuyn tnh ca bin ngu nhin X . Di gi thit
H0 ta c gi tr x, nn s tm c gi tr ca t theo
X . Mi quan h c th hin qua th phn phi xc
sut sau y:

Vng chp
nhn H0

2.5%

2.5%

17.91

26.49

Vng chp
nhn H0
2.5%

2.5%

-2.045

2.045

Hnh 3.16: Mi quan h gia hai phng php kim nh

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Kim nh ngha 2
Nh bit, nu S2 l phng sai mu t mt mu c ly
ngu nhin vi n quan st t mt tng th c phn phi
chun vi phng sai l 2, th

S2
(n-1) 2 ~ (2n 1)

(3.71)

Ngha l, t s ca phng sai mu/phng sai tng th

c nhn vi s bc t do (n-1) c phn phi 2 vi s
bc t do l (n-1). Lu rng, (n-1) v 2 ch l cc con
s nht nh, ring bn thn S2 l mt bin ngu nhin v
gi tr ca S2 s thay i t mu ny qua mu khc (tng
t nh X ). Do X l mt bin ngu nhin c phn phi
2

chun, th S2 c xem gn nh mt X , nn theo nh

ngha bi ging 3, S2 s c phn phi 2. Hn na, v
tri ca phng trnh (3.71) l mt bin tng ca (n-1)
2
bin S 2 , nn s bc t do s l (n-1).

BNG 3.14: Tm tt kim nh 2

Gi thit khng, H0

2x

02

2x 02

Gi thit khc, H1

2x

Vng ph phn/bc b H0 nu

(n 1)S2x

02

02
(n 1)S2x

2x 02

02
(n 1)S2x

2x

02

2x

02

02
hay

2 , ( n 1)

(21 ), ( n 1)

2 / 2, ( n 1)
(21 / 2), ( n 1)

Ngun: Gujarati, 2006, trang 124

V d, t mt mu ngu nhin nh Bng 3.11 ta c phng
sai mu l S2 = 131.9, ta kim nh xem gi tr ny c
khc g mc ngha = 5% so vi gi tr phng sai
thc ca tng th l 99.1 hay khng.
H0: 2 = 99.1 v H1: 2 99.1
Lu , qu v cn xem y l loi gi thit g trn ba
trng hp c trnh by Bng 3.14 xc nh gi tr
2 ph phn cho ng. Ta c n = 30 nn thay vo phng
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BI GING 3: N TP XC SUT THNG K

ThS Phng Thanh Bnh

131 .9
=
99 .1
38.598
vi
s
bc
t
do l
29.
T cng
thc
=CHIINV(2.5%,29) = 45.72 > 38.598 > =CHIINV(97.5%,29) =
16.05, ta khng bc b gi thit H0 mc ngha 5%.
Ngoi ra, ta c th tnh xc sut c c gi tr 2
bng hoc ln hn 38.598 (vi 29 bc t do) theo cng
thc =CHIDIST(38.598,29) = 0.1096 hay 10.96%. V xc sut
ny ln hn mc ngha c chn l 5%, nn ta khng bc
b gi thit H0 cho rng phng sai thc l 99.1.
trnh (3.70) ta s c gi tr 2 tnh ton l (30-1)

Thao tc vi Eviews (trn ca s lnh)

Gi tr phng sai mu ca ROE: scalar ROEvar=@var(roe) = 131.9
hoc scalar ROEvar=@stdev(roe)^2 = 131.9
Gi tr ph phn chn trn: scalar chisqc975=@qchisq(0.975,29) = 45.72
2

Gi tr 2 ph phn chn di: scalar chisqc0025=@qchisq(0.025,29) = 16.05

S quan st ca mu: scalar obs=@obs(roe) = 30
Gi tr 2 tnh ton: scalar chival=(obs-1)*(ROEvar/99.1) = 38.598
Kim nh ngha F
Ta bit, nu ta c hai mu ngu nhin t hai tng th
c phn phi chun X v Y, vi m v n quan st, th

S2X
S2Y

2
(Xi X) /(m 1)
2
(Yi Y) /(n 1)

(3.72)

s theo phn phi F vi (m-1) v (n-1) bc t do. Nu ta

c gi thit H0: 2x 2y th ta kim nh da vo bng sau:
BNG 3.15: Tm tt thng k F
Gi thit
khng, H0

12

22

12 22

Gi thit khc,
H1

12

Vng ph phn/bc b H0
nu

S12

22

S22

S12

12 22

S22

F, ndf , ddf

F / 2, ndf , ddf

hay F(1 / 2), ndf , ddf

Ngun: Gujarati, 2006, trang 125
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V d, gi s ta c hai mu ngu nhin 30 cng ty nim

yt trn hai th trng TP.HCM v th trng H Ni (ngy
26 thng 5 nm 2008). T hai mu ny ta thy ROE trung
bnh hai th trng gn bng nhau ( X =22.2 v Y =22.39).
By gi ta mun xem phng sai ca hai th trng ny c
ging nhau hay khng. T hai mu ta c phng sai ln
lt l 131.9 v 79.6. Vi gi thit H0: 2x 2y v H1:

12 22 , vi mc ngha = 5%. Mt ln na xin qu v hy

lu loi gi thit chng ta a ra l g xc nh
gi tr F ph phn cho ph hp. Ta c gi tr F tnh ton
l 131.9/79.6 = 1.657, c phn phi F vi s bc t do
ln lt l 29 v 29. Do gi tr F ph phn tnh t cng
thc =FINV(5%,29,29) = 1.86 > 1.657, vy ta khng bc b
gi thit H0 mc ngha 5% (ngha l hai phng sai
tng th l ging nhau). Ta cng c th kt lun tng t
bng cch so snh mc ngha 5% vi gi tr xc sut p
=FDIST(1.657,29,29) = 8.99%. Tuy nhin, nu mc ngha
10% th kt lun ca ta s thay i.
Thao tc vi Eviews (trn ca s lnh)
Gi tr phng sai mu ca ROE, TP.HCM: scalar
ROE1var=@var(roe1) = 131.9
Gi tr phng sai mu ca ROE, H Ni: scalar
ROE2var=@var(roe2) = 99.6
Gi tr F tnh ton: scalar Fval=ROE1var/ROEvar2
Gi tr F ph phn: fc095=@qfdist(0.95,29,29) = 1.86
By gi ta c th tm tt cc bc trong vic kim nh
mt gi thit thng k bt k nh sau:

Bc 1: Pht biu gi thit H0 v gi thit H1

Bc 2: Chn la thng k kim nh thch hp (v d

trung bnh, phng sai, hay so snh phng sai, )

Bc 3: Xc nh phn phi xc sut thch hp ca

thng k kim nh (v d t, 2, hay F)

Bc 4: Chn mc ngha ( l xc sut chp nhn

sai lm loi I)

Bc 5: Chn phng php kim nh thch hp (xy

dng khong tin cy hay kim nh ngha)

55