1

Pmn

m!
(m n)!

C mn

m!
n!(m n)!

m n

1
m n

m+n
m n
2

m+n

mn
m n
mn

ABC

1
1

A B
A B

A B

A B B A A B A BA=B
AB A B A+B

A B A B A-B A-AB

AB

A B

AB A B ABA B= A B A B
6

-A A A A A

A(BC)=(AB)C

A(BC)=(AB)C

(AB)C=(AC)(BC)

A A
i

i 1
1

(AB)C=(AC)(BC)

i 1

A B A B A B A B


1 0P(A)1
2 P() =1

A A P(A)

A1 A2

P Ai P( Ai )
i 1 i 1

P(A) A
1

1 , 2 n

P(1 ) P( 2 ) P( n )

P(A)=

A 1 , 2 m

(1 ) ( 2 ) ( m ) = P(1 ) P( 2 ) P( m )

m A

P( A)
10

L( A) L
L ( )

P(A+B)=P(A)+P(B)-P(AB)
P(AB)0 P(A+B)=P(A)+P(B)
P(A-B)=P(A)-P(AB)

11

B A P(A-B)=P(A)-P(B)
A=P( B )=1- P(B)
AB P(A)>0 P( AB ) A B
P( A)

12

P( B / A) P( AB )
P( A)

P(/B)=1 P( B /A)=1-P(B/A)
P( AB )

13

P( A) P( B / A)

A1A2An P(A1A2An-1)>0

P( A1 A2 An) P( A1) P( A2 | A1) P( A3 | A1 A2) P( An | A1 A2 An 1)

A B P( AB) P( A) P( B) A B
A B P( A) 0

P( B | A)
14

P( AB ) P( A) P( B)

P( B)
P( A)
P( A)

A B A B A B A B

ABC
P(AB)=P(A)P(B)P(BC)=P(B)P(C)P(CA)=P(C)P(A)
1

 P(ABC)=P(A)P(B)P(C)
ABC
n
B1, B 2,, Bn
1 B1, B 2,, Bn P( Bi )
15

0(i 1,2,, n)

A Bi
i 1

P( A) P( B1) P( A | B1) P( B2) P( A | B2) P( Bn) P( A | Bn)

B1 B 2 Bn
1

B1 B 2 Bn P(Bi ) >0 i 12 n
n

A Bi
i 1

P( Bi / A)

16

P( A)

P( Bi ) P( A / Bi ) i=12n
n

P( B
j 1

) P( A / B j )

P( Bi ) i 1 2 n P( Bi / A) i 1 2 n

A A

n A
A A
n

17

p A A 1 p q Pn(k ) n A

k (0

k n)

Pn(k ) C n p k q nk
k

0,1,2,, n

X Xk(k=1,2,)(X=Xk)
P(X=xk)=pkk=1,2,

X
x1, x 2,, xk ,
|
P( X xk ) p1, p 2,, pk ,

pk 0 k 1,2,

2 k 1

F (x)

F ( x) f ( x)dx

X f
4

(x) X

f ( x) 0

f (x) x

f ( x)dx 1

P( X x) P( x X x dx) f ( x)dx

f ( x)dx P( X xk ) pk

F ( x) P( X x)

x
X

P(a X b) F (b) F (a)

X (a, b] F (x)

x]

0 F ( x) 1,

F (x) x1 x2 F ( x1) F ( x 2)

F () lim F ( x) 0 F () lim F ( x) 1

F ( x 0) F ( x) F (x)

F ( x)

0-1

pk

xk x

P( X x) F ( x) F ( x 0)
x

f ( x)dx

P(X=1)=p, P(X=0)=q
n

A p A X

0,1,2,, n

P( X k ) Pn(k ) C nk p k q nk

1 P( X

F ( x)

q 1 p,0 p 1, k 0,1,2,, n

p X ~ B(n, p)

k ) p k q1k k 0.1 0-10-1

P( X k )

e 0 k 0,1,2

k!

X ~ ( ) P( )

np=n

C Mk C Nn kM k 0,1,2, l
P( X k )
,
l min( M , n)
C Nn
X n,N,M H(n,N,M)

P( X k ) q k 1 p, k 1,2,3, p0q=1-p
X p G(p)

[ab]

f (x) [ab] 1
ba

1
, axb

f ( x) b a

0,

[ab] X~U(ab)

F ( x) f ( x)dx

x<a

xa
,
ba

axb

x>b

ax1<x2b X

P( x1 X x 2 )

x 2 x1
ba

x1 , x2

e x ,

f (x)

x 0,

x 0,

0,

0 X
X

1 e x ,

F (x)

x 0,

0,

x<0

e x dx n!

f ( x)

( x )2
2 2

0 X

Gauss

X ~ N ( , )
2

f (x)
1
2

f (x) x
x

f ( )

X ~ N ( , 2 ) X

F ( x)

1
2

1
2

(t ) 2

2 2

dt

0 1 X ~ N (0,1)

( x)

x2

1 2
e
2

( x)

1
2

t2
2

dt

(x)

(-x)1-(x) (0)

X ~ N ( , 2 )

2
~ N (0,1)

x
x
P( x1 X x2 ) 2
1

P( X

P( X

x1, x 2, , xn,
X

P( X xi ) p1, p 2, , pn,
Y g (X ) y i g ( xi )

g ( x1), g ( x 2), , g ( xn),

Y

P(Y yi ) p1, p 2, , pn,

g ( xi )

p i g ( xi )

X fX(x) Y FY(y)P(g(X)y)
fY(y)

XYx,y

=XY ( xi ,

y j )(i, j 1,2, ) { = ( xi , y j ) }

pij,,

P{( X , Y ) ( xi , y j )} pij (i, j 1,2, )

=XY X Y

Y
y1

y2

yj

x1

p11

p12

p1j

x2

p21

p22

p2j

xi

pi1

p ij

pij
1pij0i,j=1,2,
2

p ij 1.

(X ,Y )

f ( x, y)( x , y )
D D={(X,Y)|a<x<b,c<y<d}

P{( X , Y ) D} f ( x, y)dxdy ,
D

f(x,y) =XY X Y
f(x,y)
1

f(x,y)0;

2
2

f ( x, y)dxdy 1.

( X x, Y y) ( X x Y y)

XY x,y,

F ( x, y) P{X x, Y y}
XY X Y
{(1 , 2 ) |

X (1 ) x, Y ( 2 ) y}

F(x,y)
1 0

F ( x, y) 1;

2Fx,y x y
x2>x1 Fx2,yF(x1,y); y2>y1 F(x,y2) F(x,y1);
3Fx,y x y

F ( x, y) F ( x 0, y), F ( x, y) F ( x, y 0);
4 F (,)
5 x1

F (, y) F ( x,) 0, F (,) 1.

x2y1 y 2

F ( x2y 2 ) F ( x2y1 ) F ( x1y 2 ) F ( x1y1 ) 0 .

4

P( X xY y) P( x X x dxy Y y dy) f ( xy)dxdy

Pi P( X xi ) pij (i, j 1,2, )

j

P j P(Y y j ) pij (i, j 1,2, )

i

f X ( x)

f ( x, y)dy

f Y ( y)

f ( x, y)dx.

X=xi Y

P(Y y j | X x i )

p ij
pi

Y=yj X

P( X x i | Y y j )

p ij
p j

Y=y X

f ( x | y)

f ( x, y )

f Y ( y)

X=x Y

f ( y | x)
7

f ( x, y )
f X ( x)

F(X,Y)=FX(x)FY(y)

pij pi p j

f(x,y)=fX(x)fY(y)

x 2 2 ( x )( y ) y
1
1
2
2

1 2
2 (1 2 ) 1
2
1

f ( x, y )

1
2 1 2 1

X1,X2,Xm,Xm+1,Xn h,g

hX1X2,Xm gXm+1,Xn
X Y hX gY
X Y 3X+1 5Y-2

XY

x 2 2 ( x )( y ) y
1
1
2
2

1 2
2 (1 2 ) 1
2
1

f ( x, y )
1 , 2, 1

2 1 2 1

0, 2 0, | | 1 5 XY

XYN 1 , 2, 1

, 22 , ).

XN 1 , 1

), Y ~ N ( 2, 22 ).

XN 1 , 1

10

Z=X+Y

), Y ~ N ( 2, 22 ) (XY)

FZ ( z )

P(Z z) P( X Y z)

fZ(z)

f ( x, z x)dx

2 , 12 22

Ci i

Z=max,min(X1,
X2,Xn)

X1, X 2 X n

2 C i2 i2
i

Z=max,min(X1,X2,Xn)

Fmax ( x) Fx1 ( x) Fx2 ( x) Fxn ( x)

Fmin ( x) 1 [1 Fx1 ( x)] [1 Fx2 ( x)][1 Fxn ( x)]

Fx1 ( x)Fx2 ( x) Fxn ( x)

n X 1 , X 2 , , X n

W X i2
i 1

n
u
1

1
2
u
e 2
n

n
f (u ) 2 2

0
,

W n W
2

u 0,
u 0.

(n)

n 2 1 x
x e dx.
2 0

Yi 2 (ni ),

Z Yi ~ 2 (n1 n 2 n k ).
i 1

XY

X ~ N (0,1), Y ~ 2 (n),

X
Y /n

n 1

2
2 t
f (t )
1
n
n
n
2

n 1
2

T n t Tt(n)

t1 (n) t (n)

( t ).

X ~ 2 (n1 ), Y ~ 2 (n2 ) X Y F

n1 n 2

n1

f ( y ) n1 n 2 n 2

2 2

n1
2

n1
1
2

X / n1
Y / n2

n
1 1 y
n2

n1 n2
2

,y0

0, y 0

F n1 n2 F Ff(n1, n2).

1
F1 (n1 , n 2 )
F (n 2 , n1 )

1

X P(

X xk )

E( X )

pkk=1,2,,n

X f(x)

E ( X ) xk pk

xf ( x)dx

k 1

Y=g(X)

Y=g(X)

E (Y ) g ( x k ) p k

E (Y )

k 1

g ( x) f ( x)dx

D(X)=E[X-E(X)]

( X ) D( X )

2
D( X ) [ xk E ( X )] p k D( X ) [ x E ( X )] f ( x)dx

k X k

k X k

X k vk,

X k vk,

k=E(X )=

k
i

p i , k=1,2, .

k X EX k
X k k

k E ( X E ( X ))

(x

k=1,2, .
k X EX k
X k k

k E ( X E ( X )) k

.
=

k=E(X )= x k f ( x)dx,

E ( X )) k p i

k=1,2, .

.
=

( x E ( X )) k f ( x)dx,

k=1,2, .
2

X EX= DX=

2
P( X ) 2

P( X )

1 E(C)=C
2 E(CX)=CE(X)

C X

) Ci E ( X i )

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

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

i 1

i 1

X Y
3

1
2
3
4
5

D(C)=0E(C)=C
D(aX)=a2D(X) E(aX)=aE(X)
D(aX+b)= a2D(X) E(aX+b)=aE(X)+b
D(X)=E(X2)-E2(X)
D(XY)=D(X)+D(Y)X Y
X Y
D(XY)=D(X)+D(Y) 2E[(X-E(X))(Y-E(Y))]
E(X+Y)=E(X)+E(Y)

0-1 B(1,

p)

p(1 p)

B(n,

p)

np

np(1 p)

P( )

M N n
1

N N 1

U (a, b)

ab
2

(b a) 2
12

e( )

2n

n
(n>2)
n2

N ( ,

E ( X ) xi p i

( x)dx

( y )dy

E[G( X , Y )]

G( x , y

yf

E (Y )

j 1

xf

E( X )

i 1

E (Y ) y j p j

nM
N

nM
N

H (n, M , N )

1 p
p2

1
p

G ( p)

E[G( X , Y )]

G( x, y) f ( x, y)dxdy

) p ij

D( X ) [ xi E ( X )] pi
2

D( X ) [ x E ( X )] 2 f X ( x)dx

D(Y ) [ x j E (Y )] 2 p j
j

D(Y ) [ y E (Y )] 2 f Y ( y )dy

X Y

11

X Y

XY cov( X , Y )

XY 11 E[( X E( X ))(Y E(Y ))].

XY X Y DX DY XX YY

X Y DX>0, D(Y)>0

XY
D( X ) D(Y )
X Y XY

| |1| |=1 X Y P( X

aY b) 1

1(a 0)

1(a 0)

0 X Y

XY 0
cov(X,Y)=0;
E(XY)=E(X)E(Y);
D(X+Y)=D(X)+D(Y);
D(X-Y)=D(X)+D(Y).

XX

YX

XY
YY

X Y E ( X

Y l ) X Y k+l kl k+l

u kl E[( X E ( X )) k (Y E (Y )) l ].
6

(i)
(ii)
(iii)
(iv)

cov (X, Y)=cov (Y, X);

cov(aX,bY)=ab cov(X,Y);
cov(X1+X2, Y)=cov(X1,Y)+cov(X2,Y);
cov(X,Y)=E(XY)-E(X)E(Y).

X Y XY

ii

XYN 1 , 2 , 1

, 22 ,

X Y X Y

X1X2 C DXi<C(i=1,2,),

1 n

1 n

lim P X i E ( X i ) 1.
n
n i 1
n i 1

X1X2 EXI=

1 n

lim P X i 1.
n
n i 1

n A p A

lim P p 1.
n
n

n A

lim P p 0.
n
n

X N ( ,

2
n

X1X2Xn EXn=

1 n

lim P X i 1.
n
n i 1

X1 X2

E ( X k ) , D( X k ) 2 0(k 1,2, )
n

Yn

X
k 1

Fn(x) x

X k n

1
k 1

lim Fn ( x) lim P
x
n
n
n
2

t2
2

dt.

X n n,

p(0<p<1) x,

1
X n np

lim P
x
n
2

np(1 p)

t2
2

dt.

M
p(n, k)
N

C Mk C Nn kM
k k
nk

C
p
(
1

p
)
n
C Nn

( N ).

n , np

C p (1 p)
k
n

nk

k
k!

(n ).

k=012n

x1 , x 2 , , x n
n n
x1 , x 2 , , x n n

x1 , x 2 , , x n n

x1 , x 2 , , x n

x1 , x 2 , , x n

x1 , x 2 , , x n

1 n
x xi .
n i 1

1 n
S
( x i x) 2 .

n 1 i 1
2

1 n
S
( x i x) 2 .

n 1 i 1

1 n k
M k xi , k 1,2, .
n i 1
k

1 n
M k ( xi x) k , k 2,3, .
n i 1
E (X ) D( X )

E (S )
2

S
2

2
E (S * )

n 1 2
,
n

1 n
( X i X ) 2
n i 1

x1 , x 2 , , x n N ( ,

u
t

*2

def

/ n

~ N (0,1).

x1 , x 2 , , x n N ( ,

def

x
s/ n

t(n-1) n-1 t

~ t (n 1),

x1 , x 2 , , x n N ( ,

w

F

(n 1) S 2

def

~ 2 (n 1),

(n 1) n-1 2

x1 , x 2 , , x n N ( , 12 ) y1 , y 2 , , y n

N ( , 22 )

def

S12 / 12
S 22 / 22

~ F (n1 1, n 2 1),

1 n1
S
( x i x) 2 ,

n1 1 i 1
2
1

1 n2
S
( y i y) 2 ;

n 2 1 i 1
2
2

F (n1 1, n2 1) n1 1 n 2 1 F
3

X 1 , 2 , , m F ( x; 1 , 2 , , m ). k
v k

E ( X k )(k 1,2, , m) 1 , 2 , , m v k v k ( 1 , 2 , , m )

x1 , x 2 , , x n X n k

1 n k
xi

n i 1

(k 1,2, , m).

1 n

v
(

xi ,
m
1 1 2
n i 1

1 n 2

v
(

xi ,
2
1
2
m

n i 1

v ( , , , ) 1
x im .

m
1
2
m

n i 1

m m ( 1 , 2 , , m ) 1 , 2 , , m

g (x) g () g ( )

f ( x; 1 , 2 , , m ) 1 , 2 ,, m

x1 , x 2 , , x n
n

L( 1 , 2 , , m ) f ( xi ; 1 , 2 , , m )
i 1

Ln.
X P{ X

x} p( x; 1 , 2 , , m )
n

L( x1 , x 2 ,, xn ; 1 , 2 ,, m ) p( xi ; 1 , 2 ,, m )
i 1

L( x1 , x 2 ,, xn ; 1 , 2 ,, m ) 1 ,

,, m 1 , 2 ,, m

1 , 2 ,, m

ln Ln
i

0, i 1,2,, m

i i

g (x) g () g ( )
2

( x1 , x 2 , , x n ) E

=EX
ES =DX

1 ( x1 , x, 2 , , x n )

2 ( x1 , x, 2 , , x n )

D( 1 ) D( 2 ) 1 2

lim P(| n | ) 0,

D() 0(n ),
E(X) D(X)

1 1 ( x1 , x, 2 , , xn )

x1 , x, 2 , , x n

2 2 ( x1 , x, 2 , , xn ) ( 1 2 )

[ 1 , 2 ]

1 (0 1)

P{ 1 2 } 1 ,
[ 1 , 2 ] 1

x1 , x, 2

, , x n X ~ N ( , 2 ) 1 2

[ 1 , 2 ]
i
ii 1
iii [ 1 , 2 ]

0 / n

~ N (0,1).

(ii)

x
P
1 .

0 / n

iii

,x 0
x
n
n

x
S/ n

~ t (n 1).

(ii)

x
P
1 .
S/ n

iii

S
S
,x
x

n
n

(n 1) S 2

~ 2 (n 1).

ii

(n 1) S 2
P 1
2 1 .
2

iii

n 1
n 1
S
,
S

2
1

H0 H0
H0 H0 H0 H0
H0 H1
{K R } =0.05 0.01 0.10

(i)

H0

(ii)

(iii)

(iv)

x1 , x 2 , , x n K

K | K

| ( K ) H H
0

H0 H0
H0 H0

P{ H0|H0 }=

H1 H0
H0 H0

P{ H0|H1 }=

0.01 0.001

| u | u

H 0 : 0

H 0 : 0

x 0

0 / n

N01

H 0 : 0

H 0 : 0

u u1
u u1
| t | t

H 0 : 0

x 0

t (n 1)

S/ n

H 0 : 0

(n 1)

t t1 (n 1)
t t1 (n 1)
w 2 (n 1)

H 0 : 2 2

H 0 :
2

2
0

H 0 : 2 02

(n 1) S 2

02

2 (n 1)

2
1

(n 1)

w 12 (n 1)
w 2 (n 1)