.. , ..

2003
 519.2 (075.8)
22.171+22.172 73
67

..
67 :
. . / .. ,
.. . .: , 2003. 84 .: .

17 , .

, .
,
, ,
.

519.2 (075.8)
22.171+22.172 73

.., .., 2003

, 2003


1 .................................................................................................................. 6
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. ..................................................... 11
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................................ 34
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.................................... 38
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 1

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m , A.
, A = , ..
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A

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A.

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,
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Ai (i = 1, 2, ..., n)
C = A B = A B
,

n
B
Ai = .
i =1
A

:
A + A = ; A A = ; A + = ; A = ; A = ;
A + = A; A + B = A B; A B = A + B; A + A B = A + B .
1. p()
, ,
:
0 p(A) 1, (1.1)
p ( ) = 0, p ( ) = 1 .
2.
:
n n
p ( Ai ) = p ( Ai ), Ai A j = , i j . (1.2)
i =1 i =1
 1 2:
1 = p ( ) = p ( A + A ) = p ( A) + p ( A ) p ( A ) = 1 p ( A) .

1 n ,
:
- 1 n , Ai A j = , i j ;
n
- 1 n ,
i =1
Ai = ;

- 1 n , p ( Ai ) = p, i .
,

:
m
p (A ) = , (1.3)
n
m i, , ..
= {1 m };
n .
. , A = A1 + A2 + + Am. i
, A :
m m
p ( A ) = p ( Ai ) = p ( Ai ) = m p ,
i =1 i =1
n n
1 m
p ( ) = p ( Ai ) = p ( Ai ) = n p = 1 p = p ( A) = .
i =1 i =1 n n
(1.3)
XVII XIX .
m, n (1.3)
.

X = {x1, x2, ..., xn}, n
. (n, r)- , r ,
X.
,
. X
, .
(n,r)
(n, r)- () A
A(n, r)
 A nr = n r , (1.4)
n!
A nr = . (1.5)
( n r )!
r = n, ,
..
. n
Pn = n! = 12n. (1.6)
: P0 = 0! = 1.
(n, r)- () C n
r

r
Cn

C nr =
(n + r 1)!
, (1.7)
r!(n 1)!
A nr n!
C r
= = . (1.8)
r ! ( n r )!
n
Pr
n k
, 1- r1 ,
2- r2 .., n = r1 + r2 +... + rk,
n!
Pn (r1 , r2 ,..., rk ) = . (1.9)
r1! r2 !...rk !
 2

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T,
T.
T .
T A
A
S ( A)
p (A ) = , (2.1)
S ( )
S(A) S() (, , ..)
A .

.

:
p(A + ) = p() + p() p(). (2.2)
. +
B
A
+ = + + .

AB AB AB
p( + ) = p() + p() + p().

:
A = A B + AB, p(A) = p(AB) + p(AB) p(AB) = p(A) p(AB),
B = BA + AB, p(B) = p(BA) + p(AB) p(BA) = p(B) p(AB),
p(AB) p(BA) p( + )
: p( + ) = p() + p() p().
n . n
A1, ..., An
n n
p ( Ai ) = p ( Ai1 ) p ( Ai1 Ai1 ) + ...
i =1 i1 =1 i1 , i2
: (2.3)
... + ( 1) k +1

i1 , i2 ,..., ik
p ( Ai1 Ai2 ... Aik ) + ... + ( 1) n +1
p ( A1 A2 ... An ),
 k
k- C n , ..
k .
. .
m m+1
m = 2. ,
p( A1 + A2 + A3 ) = p( A1 ) + p( A2 ) + p( A3 ) + p( A1 A2 ) + p( A1 A2 ) + p( A1 A2 ) p( A1 A2 A3 ) ,
p ( A1 + A2 ) = p ( A1 ) + p ( A2 ) p ( A1 A2 ) .
B = A2 + A3 ,
p( A1 + A2 + A3 ) = p( A1 + B) = p( A1 ) + p( B) p( A1 B) = p( A1 ) + p( A2 + A3 ) p( A1 A2 + A1 A3 ) =
= p( A1 ) + p( A2 ) + p( A3 ) p( A2 A3 ) p( A1 A2 ) p( A1 A3 ) + p( A1 A2 A3 ),
.
, p ( A) = 1 p ( A ) , n
( n > 2)
p( A1 + A2 + + An ) = 1 p( A1 + A2 + + An ) = 1 p( A1 A2 An ) . (2.4)

,
()
.
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, ( ),
.

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p ( A) = p ( A / B ) = p ( A / B ) . (2.5)
, .. ,
.
, ..
(. (2.5)), :
p ( B ) = p ( B / A) = p ( B / A ) . (2.6)

.
,
:
p ( AB ) = p ( A) p ( B / A) = p ( B ) p ( A / B ) . (2.7)
. (2.7) .
n .
m , B k . l
.
kB
m

...
lB

n
m k l
, p ( A ) = , p ( B ) = , p ( AB ) = (. (1.1)).
n n n
p(|), .. ,
. , ,
n m,
l
. l p(B / A) = .
m
p(A/B), .. A
l
, B : p( A / B) = .
k
l m l k l
(2.7): = = ,
n n m n k
. , ,
, .

n .
n 1 n
p( A1 A2 An ) = p( A1 ) p( A2 / A1 ) p( A3 / A1 A2 ) p( An / A1 A2 An1 ), (2.8)
p( Ak / A1 Ak 1 ) ) Ak,
A1 , A2 , , Ak 1 .
. .
m m+1
m = 2. , p ( A1 A 2 A3 ) = p ( A1 ) p ( A2 / A1 ) p ( A3 / A1 A2 ) ,
 p ( A1 A2 ) = p ( A1 ) p ( A2 / A1 ) . B = A1 A 2 ,
p( A1 A2 A3 ) = p( BA3 ) = p( B) p( A3 / B) = p( A1 A2 ) p( A3 / A1 A2 ) = p( A1 ) p( A2 / A1 ) p( A3 / A1 A2 ) ,
.
1 n ,
:
p ( A1 A 2 A n ) = p ( A1 ) p ( A 2 ) p ( A n ) , (2.9)
p( A1 + A2 + + An ) 1, 2, ...,
n (. (2. 4))
p ( A1 + A2 + + An ) = 1 p ( A1 A2 An ) = 1 p ( A1 ) p( A2 ),..., p( A3 ) . (2.10)

B , n
Ai. p( Ai ) = pi (
) .
.
:

A1 A2 An

, B = A1 A2 An , (2.9)
p(B) = p( A1) p( A2 ) p( An ) = p1 p2 pn . (2.11)

B = A1 + A2 + + An , (2.10)
A1
p(B) =1 p( A1 A2 An ) =1 q1 q2 qn , (2.12)
q i = 1 p i .
A2


,

,
(2.11) An
(2.12).
 3

:
.
, n
(),
:
n
H1 , H 2 , ..., H n , H i H j = , i j , H i = .
i =1

. :
n
p( H1 ), p( H 2 ), ..., p( H n ), p( H i ) = 1 .
i =1
,
.
:
P(A/H1), p(A/H2), , p(A/Hn).
() p() .
n :
A = A = A(H1 + H2 + + Hn) = AH1 + A/H2 + + A/Hn.

n
p( A) =
i =1
p(H i A) .
p(HiA) = p(Hi)p(A/Hi),
n
p( A) = p( H i ) p( A / H i ) . (3.1)
i =1

.
n n
(),
:
n
H1 , H 2 , ..., H n , H i H j = , i j , H i = .
i =1
( ) :
p(H1), p(H2), , p(Hn).
 , .
, , ..
: p(H1/A), p(H2/A), , p(Hn/A).
, i,
p(HiA) = p(Hi)p(A/Hi) = p(A)p(Hi/A).
p(i/):
p( H i ) p( A / H i )
p ( H i / A) = .
p ( A)
p(A) (3.1)
p( H i ) p( A / H i )
p ( H i / A) = .
n (3.2)
p( H j ) p( A / H j )
j =1

, .

n ,
. P(n, k) ,
k , ( ):
n!
P(n, k ) = Cnk pk qnk = pk qnk ,0 k n , (3.3)
k ! (n k )!
q = 1 , .
. k k
n k . k
:
Bk = A1 A2 ...... Ak Ak +1 Ak + 2 ...... An + .........+ A1 A2 ...... An k An k +1 Ak + 2 ...... An
1 4 4 2 4 43 1 4 4 2 4 4 3 1 4 4 2 4 4 3 1 4 44 2 4 4 43
k nk nk k
i Ai i- .
.
,
P( A1 A2 ...... Ak Ak +1 Ak + 2 ...... An ) = p p..... pq q ......q = p k q n k .
1 4 2 43 1 4 2 43
k n k

n , , ..
r
C n .
nk
, : p( Bk ) = P(n, k ) = Cn p q .
k k

:
1. (3.3)
:
 n n
( q + p ) = P ( n, k ) = C nk p k q n k = 1 .
n
(3.4)
k =0 k =0

2. P(n, k)
nk p
P ( n, k + 1) = Pn ( n, k ) . (3.5)
k +1 q
3. 0, P ( n , k 0 ) ,

np q k 0 np + p . (3.6)
:
Pn ( k + 1) n k p nk p
= Pn ( k + 1) Pn ( k ) 1 k np q ,
Pn ( k ) k +1 q k +1 q
nk p
Pn ( k + 1) Pn ( k ) 1 k np q .
k +1 q
, k < np q P(n, k) , k > np q
. k0, P(n, k) , ..
P ( n , k 0 ) P ( n , k 0 1)
.
P ( n , k 0 ) P ( n , k 0 + 1)
k0, (3.6).
4. Pn ( k 1 k k 2 ) , n
k 1 k 2 ( 0 k 1 k 2 n ), :
k2 k2
P ( n, k1 k k 2 ) = P ( n, k ) = C k
n p k q nk . (3.7)
k = k1 k = k1

5 P(n,1 k n) , n
,
P(n,1 k n) = 1 P(n,0) = 1 qn . (3.8)
n , r
(r > 2) A1, A2, , Ar
p1 = p(A1), p2 = p(A2), , pr = p(Ar).
, n
A1 k1 , A2 k2 ,..., Ar kr ( k1 + k2 + ..... + kr = n ) ,

P( n , k 1 , k 2 ,..... k r ) =
( k 1 + k 2 +..... k r ) ! p k 1
p2k2 ... prkr . (3.9)
1
k 1 ! k 2 !..... k r !
 P( n , k ) n
.
.
n ,
1
p 0 , np a , 0 < a < p << ,
n
:
ak a
P(n, k ) e , k = 0, n . (3.10)
k!
n , p q ,
:
0 < np 3 npq , np + 3 npq < n ,
:
( x)
P(n, k ) , (3.11)
npq

1 x2 k np
( x) = exp , x= ;
2 2 npq

P(n, k1 k k2 ) (x2 ) (x1) , (3.12)

( k1 np ) ( k np )
x1 = , x2 = 2 ,
npq npq
1
x
x2
2 0
( x) = exp dx .
2
( x ) ( x) .
, ( x ) ( (x) = ( x) ),
( ( x )= ( x ) ). (3.11) (3.12)
12 ( ).
 4
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: x, y, z, X X.
:
1. ;
; X = {0, 1, 2, 3, 4, 5, 6}.
2. ; X
; X = (0, ].
X
.
() , X
, ..
.
(),
X .

(, ..),

p{a X < b}, a, b ,
.

F(x) X
, , x:
F(x) = p{X < x}. (4.1)
:
1. F() = 0. C
2. F(+) = 1. A B
3. F(x1) F(x2), x1 < x2. x
. x1 x2
A = {X < x1}, B = {x1 X < x2}, C = {X < x2},

C = A + B, p(C) = p(A) + p(B), p(C) = F(x2), p(A) = F(x1),

F(x2) = F(x1) + p(B), p(B) 0 F(x1) F(x2).
4. p(x1 X < x2) = F(x1) F(x2). (4.2)
.
p(x1 X < x2) = p(B) = p(C) p(A) = F(x1) F(x2).


. X<x
x
, x

.
F(x) ,
. ,
, X < x
( 3). X < x
, .. F() = 0 ( 1), +
, .. F(+) = 1( 2).
,
.

F(x) .
X ,
x1, x2, ..., xn (xi-1 <
< xi), p1, p2, ..., pn, pi = p{X = xi}.
xi x1 x2 ... xn
pi p1 p2 ... pn

{X = x1}, ..., {X = xn}

,
p1 + p2 + ... + pn = 1. (4.3)

.
, .
.
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:
F ( x) = p( X = x i ) ,
xi < x
(4.5)

x i , .

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F(x)
.
F(x)
, ..
. ,
,
. ,
, .
,
.

,
.
X
x x + x :
p{x X <x + x} = F(x + x) F(x).
p{ x X < x + x}
. x 0 ,
x
x
p{x X < x + x} F ( x + x) F ( x) dF ( x)
lim = lim = = F ( x) = f ( x).
x 0 x x 0 x dx

.
( ) f(x)
X
dF ( x)
f ( x) = = F ( x) , (4.6)
dx
.
x dx.
X f(x)dx.
.
X [a, b[
:
b
p{ a X < b} =
a
f ( x ) dx . (4.7)

p{a X < b} ,
f(x) [a, b[.
(4.7) F(x)
X :
 x
F ( x ) = p{ X < x} = p{ < X < x} =

f ( x) dx. (4.8)
:
1. f(x) 0,
F(x) (. 3 F(x)).

2. :

f ( x ) dx = p ( X < + ) = 1. (4.9)
, ,
1.
 5


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.

, .
.

:
N

xi pi ,
i =1
mX =M[ X ] = (5.1)
x f ( x)dx


.

mX , (5.1);
M[X] .
(5.1),
,
,
.

, .. ,
.
:
1. M[c] = c.
. c
, c = 1.

2. M[X + c] = M[X] + c = mX + c .

: M[ X + c] = (x + c) f (x)dx = x f (x)dx + c f (x)dx = mX + c .

3. M[cX] = cM[X] = c mX .

: M[cX ] = cx f ( x)dx = c x f ( x)dx = c mX .
k- X
k- :
 N

xi pi ,
k

i =1
k ( x) = M[ X k ] = (5.2)
x k f ( x)dx


.

k = 0 0 ( x ) = M [X ] = M [1] = 1 ;
0

k = 1 1 ( x ) = M [ X 1 ] = M [ X ] = m X ;
k = 2 2 ( x ) = M [X 2 ] .

o
X
,
o
( ), .. M [ X ] = 0 .
(
o
X )
o
X = X mX .
k X
k-
o
X :
N

( xi mX ) pi ,
k
o
i =1
k ( x) = M[ X k ] = (5.3)
( x m ) k f ( x)dx

X .
o
k = 0 0 ( x ) = M [ X 0 ] = M [1] = 1 ;
o o
k = 1 1 ( x ) = M [ X ] = M [ X ] = 0 ;
1

o
k = 2 2 ( x ) = M [ X 2 ] = M [( X m X ) 2 ] = M [ X 2 ] 2 m X M [ X ] + m X2 = 2 m x2 = D X
.

()
:
N N

( xi mX ) pi = xi pi mX ,
2 2 2

i =1 i =1
Dx = D[ X ] = 2 ( x) = 2 (x) mX2 =
(5.4)
( x m ) f ( x)dx = x f ( x)dx m .

2 2 2
X

X

:
 1. D[c] = 0.
: D[c ] = M (c M [c ]) 2 = M (c c ) 2 = M [0] = 0 .
2. D[X + c] = DX.
:
D[ X + c ] = M ( X + c M [ X + c ]) 2 = M ( X + c m X c ) 2 = M [( X m X ) 2 ] = D X
3 . ,
, +
. ,
:
o
D[ X ] = D[ X mX ] = D[ X ] .
3. D[cX] = c2DX.
: D[cX ] = M [c2 X 2 ] ( M [cX ]) = c2 (M [ X 2 ] mX2 ) = c2 DX .
2

,
.
(), .

X
X :
X = [ X ] = + D[ X ] . (5.5)

, .
3.

[ mX 3X; mX + 3X; ]. (5.6)

( )
.
:
.
.

.

, ..
, pi ( )
f(x) ( ) :
f ( Mo ) = max, p( X = Mo ) = max .

.
,
. ,
, .

X ,
p{X < Me} = p{X Me}. , ,
. Me
:
Me +

f ( x )dx = 0 ,5 ; f ( x )dx = 0 ,5 ; F ( Me ) = 0 ,5 . (5.7)

Me
Me , ,
.

p X ,

p{X < p} = F(p) = p. (5.7)
, 0,5.
 6


X, 1 0 :
1 , A
X = .
0 , A
:

xi 0 1
pi q p
p ;
q = 1 p .
:
m X = p, D X = qp . (6.1)

,
0, 1, , :
p ( X = i ) = pi = q i p , (6.2)
p (0 p 1), q=1 p.
:
m X = q / p, D X = q / p2 . (6.3)
.
.
.
X,
0, 1, , n :
n!
p( X = i) = pi = p i q n i , (6.4)
i !(n i)!
n, p (0 p 1), q = 1 p.
:
m X = np, D X = nqp . (6.5)
. n ,
.
, (.
).

,
0, 1, , :
 ai a
p( X = i) = pi = e , (6.6)
i!
a (a > 0).
:
m X = a, D X = a . (6.7)
:
1. ,
n , p A
0, lim np = a
n
p
(. (3.10)).
2.
, = ,
.
,
(,
, ..).
.
,
, ,

, ..
( ) .
,
t
, 1- .
,
,
, .
,
, .

,
[; b] , ..
X :
0, x < a , 0, x < a,
1 x a

f (x) = , a x b, F ( x ) = , a x b , (6.8)
b a b a
0, x > b . 1, x > b .

b = 3 a = 1.
f(x) F(x)

:
a + b (b a ) 2
mX = ,DX = . (6.9)
2 12
a b mX, DX
:
a = m X + X 3, b = m X X 3 . (6.10)
:
1.
:
, X [1; 0], mX = 0,5;
, X [0; 1], mX = 0,5;
, X [ 0,5; 0,5], mX = 0,
1 .
2.
, X [ 0,5; 0,5], mX = 0, 1
.
3. , RANDOM,
.

T, ,
:
e t , t 0, 1 e t , t 0,
f (t ) = F (t ) = (6.11)
0 , t < 0 . 0, t < 0.
( > 0).

= 1.
 f(x) F(x)
1 1

0.5 0.5

2 4 0 2 4

:
mT = 1 / , DT = 1 / 2 . (6.12)
. T

, .

( )
,
:
1 ( x m )2 xm
f (x ) = exp , F ( x ) = 0 .5 + , (6.13)
2 2
2

m, ( > 0);
x t2
1
( x) =
2 0
e 2 dt .

m = 1, = 1.

f(x) F(x)
0.4
1

0.2 0.5

2 0 2 2 0 2

2
ex ,
,
,
.
, (x) = (x), (0) = 0, () = 0,5.
:
m X = m,D X = 2
; (6.14)
 I [k / 2]
m k 2 i ( / 2) i
k ( x) = k ! i=0 ( k 2 i )! i !
; (6.15)

0, k ,

k (x) = k ! 2 k /2 (6.16)
, k .
(k / 2)! 2
.
. 12 ( ).
, :
;
, .. m = 0,
;
(,
..), m , ,
.
 7


, Y, .. Y = (x) .
, Y , , ,
/
Y
.

,
, Y
.
xi x1 x2 xn
pi p1 p2 pi

yi (x1) (x2) (xn)

pi p1 p2 pn
(*)

yi y1 y2 ym
pj p1 p2 pm
(**)

(*)
Y (**).

f ( x) , Y = ( x)
. [, b],
, .. p(a X b) =1,
a = , b = + .
[, b]: .
:
.
Y = () .
G ( y ) .
( y)
G ( y ) = p (Y < y ) = p ( ( x ) < y ) = p ( X < ( y )) =

f X ( x ) dx ,
 (y) (x).
Y < y Y = ( x)
, (b)

(y).
, Y y
X,
[a, b], Y<y
0, y < ( a ), (a)
( y ) x

G ( y ) = f X ( x ) dx, ( a ) y (b ), f ( x)
a
1, y > (b ).

Y = () x
. a (y) b
G( y)
X<(y)
Y.

G ( y ) = p (Y < y ) = p ( ( x ) < y ) = p ( X > ( y )) =


( y)
f X ( x ) dx ,

(y) (x).
Y < y ,
= (y) b.
, Y X,
[a, b], :
0, y < (b),
b

G( y) = f X ( x)dx, (b) y (a),
( y )
1, y > (a).

Y = (x)
:
0, y < ymin ,

g ( y) = G( y) = f X ( ( y)) ( y) , ymin y ymax ,
(7.1)
0, y > y .
max
.
Y = ( x)

1 2 2
(b)
f(x) = e x / 2 , Y = X 3.
2
g( y ).
Y = (x) y
, Y<y
X = (y) = Y .
3
(a)
(7.1). x
1 2/3 2
f X ( ( y )) = f X ( y ) =
1/ 3
e y / 2 ,
2 f ( x)
1
( y ) = ( y1/ 3 ) = 2 / 3 ,
3y

Y = X 3 :
1 y 2 / 3 / 2 2
g ( y) = e .
3 y 2 / 3 2 x
a (y) b
Y = ()
X>(y)
.
Y = (x) .
1. Y = () Y [ymin, ymax].
2. Y M ,
ki, i = 1, 2, ..., M:
[ymin, y1), [y1, y2) [yM-1, ymax].
ki ,
Y, j(), j = 1, , ki.
3. j() = 1() j'().
j() i- ki.
4. g(y) :
0, y < y m in ,

M
k i
g ( y ) = f X ( j ( y )) j ( y ) , y i 1 y < y i , (7.2)
j =1
M

0, y > y m ax .
,
j ( y ) = ( y ), j ( y ) = ( y ) , (7.2)
 0, y < y m in ,
M


g ( y ) = k i f X ( ( y )) ( y ) , y i 1 y < y i , , (7.3)
M

0, y > y m ax .
[a, b], ..
1/(b a), a x b
f X (x) = , g()
0, x < a, x > b
0 , y < y m in ,
M

1
g ( y ) = ki ( y ) , y i 1 y < y i , (7.4)
b a
M

0 , y > y m ax .

Y = (), X
, Y.
, Y (. (7.1 7.4)),
Y (5.1 5.7). ,
Y ,
, .

,
n
m Y = M [Y ] =
i=1
(xi )pi ; (7.5)
n

2 ( x i ) p i m Y2 ;
2
D Y = M [Y 2
] mY = (7.6)
i=1
n
k ( y ) = M [Y k
] =
i=1
k
( xi) pi ; (7.7)
o k n
k ( y ) = M [Y ] = i=1
( ( x i ) m Y ) k p i . (7.8)

f(x),
+
m Y = M [Y ] = (x)

f ( x ) dx ; (7.9)
+

2
D Y = M [Y 2
] mY = 2
( x ) f ( x ) dx m Y2 ; (7.10)

 +
( y ) = M [Y ] = ( x ) f ( x ) dx ;
k k
k (7.11)

o k +
k ( y ) = M [Y ] =

( ( x ) m Y )k f ( x)dx . (7.12)

Y = e , X
itX

, t , i = 1 .

Y = e
itX
:
n

e p k , ,
itx k

k =1
X ( t ) = M [ e itX ] = + . (7.12)
e itX f ( x ) dx , .

, X (t)
. ,
f(x) X

:
+
1
(t )e
itX
f (x) = dt . (7.13)
2

:
1. Z = aX +b , X
X (t ) ,
Z (t ) = M [e it ( aX + b ) ] = e itb X ( at ) . (7.14)
2. k- X
k ( x ) = X( k ) (0)i k , (7.15)
X( k ) (0) k- t = 0.
n
3. Y = X k
k =1

:
n
Y (t ) =
i =1
Xi (t ) . (7.16)
4.
m :
t 2 2
itm
X (t ) = e 2
. (7.17)
 8
.
(, Y)
,
.

X , Y ()
. X, Y ,
.
(, Y)
(, ) 0
, (, ).

y
, ,
,
Y
.
(X,Y)
,
(, Y):

p ( X ; ) , , , . x
0 X

(, Y) { < }
{Y < }:
F ( x, y) = p ({X < x}{Y < y}) . (8.1)
F(x, y)
(, Y)
y
(, ), .
,
y .
(x, y)
,
FX ( x ) ,
Y
, x
FY ( y ) . 0 x

:
1. 0 F(x, y) 1.
 .
: ,
1.
2. F(, y) = F(x, ) = F(, ) = 0, F(+, +) = 1.
3. F(x1, y) F(x2, y), x2 > x1; F(x, y1) F(x, y2), y2 > y1.
. , F(x, y)
.
p ( X < x2 , Y < y ) = p ( X < x1 , Y < y ) + p ( x1 X < x2 , Y < y ) .
p( X < x2 ,Y < y) = F(x2, y) , p( X < x1,Y < y) = F(x1, y) ,
F ( x2 , y) F ( x1 , y) = p( x1 X < x2 , Y < y) F ( x2 , y) F ( x1 , y) 0 F ( x2 , y) F ( x1, y) .
.
4. :
F ( x , ) = p ( X < x , Y < ) = p ( X < x ) = FX ( x ) ; (8.2)
F (, y ) = p ( X < , Y < y ) = p (Y < y ) = FY ( y ) . (8.3)
5.
p ( X ; ) = y
= F(, ) F(, ) F(, ) + F(, ). (,) (,)





, (,) (,)
. x
0

(, Y) ,
X Y
.
.
,
X X = {x1, x2, ..., xn},
Y Y = {y1, y2, , ym}
pij = p(X = xi, Y = yj ), i = 1, , n, j = 1, , m.
xi \ yj y1 y2 ... ym
x1 p11 p12 ... p1m
x2 p21 p22 ... p2m
... ... ... ... ...
xn pn1 pn2 ... pnm
:
 n m
1.
i =1 j =1
p ij = 1 .

2. X:
m
pi = p(X = xi ) = pij , i = 1, ..., n . (8.3)
j =1

3. Y:
n
p j = p (Y = y j ) = pij , j = 1, ..., m . (8.4)
i =1

(X, Y) ,
F(, ) ,

2 F (x, y)
.
xy
f(, )
(, )
:
p({x X < x + x} I { y Y < y + y} 2 F ( x, y)
f ( x, y) = lim = . (8.5)
x0
y 0
x y x y

f(, )
, y
y + y
.

: f ( x , y )dxdy . y
(x,y)

x
(X, Y) D
x + x

0 x x +x

:
p{( X , Y ) D }= f ( x , y ) dxdy . (8.6)
(D )

:
1. f(x, y) 0.
2. :

f ( x , y )d x d y = 1 . (8.7)
 ,
x0y, .
3. :
x y

F ( x , y) = f ( x , y)dxdy .

(8.8)

4. :

fX (x) =

f ( x, y )dy ; (8.9)

fY ( y ) =

f ( x, y )dx . (8.10)

,
, .
, . . :
1) F(x, y) = p(X < x, Y < y) = p(X < x)p(Y < y) = FX(x)FY(y) x, y; (8.11)
2) f(x, y) = fX(x)fY(y) x, y; (8.12)
3) pij = pi pj , i, j. (8.13)
, ,
X Y .

, , .
, X Y
.
.

, ,
.
Y
:
pi/j = p(X = xi/Y = yj) = pij/p(Y = yj), i = 1, ..., n; (8.14)
pj/i = p(Y = yj/X = xi) = pij/p(X = xi), j = 1, ..., m. (8.15)

(,Y), ,
(. (8.3, 8.4))
(8.14, 8.15).
 X
Y :
f(x/y) = f(x, y)/fY (y), fY (y) 0; (8.16)
f(y/x) = f(x, y)/fX (x), fX (x) 0. (8.17)

.
Y ,
:
pi/j = pi, i = 1, ..., n; (8.18)
pj/i = pj, j = 1, ..., m. (8.19)
f(x/y) = fX (x); (8.20)
f(y/x) = fY (y). (8.21)
()
. Y
, =
= (), , ,
Y, .

( Y . (8.11 8.13)),

, .. ,
.
. Y ,
. , Y
, Y ( )
.
 9


(X, Y).
k + s
Xk Ys:
n m k s
xi y j pi, j ,
i =1 j =1
k ,s ( x, y) = M[ X kY S ] = (9.1)


k s
x y f ( x, y ) dxdy .

k + s
k
X Y
s
:
n
m

(xi mx ) ( y j my ) pi, j ,
k s

i=1 j=1
k,s (x, y) = M[(X mX )k (Y mY )s ] =
(9.2)
(x m )k ( y m )s f (x, y)dxdy ,
x y

pij
() (X, Y);
f(x, y)
() (X, Y).
:
mX = 1,0 ( x, y ), mY = 0,1 ( x, y ) ; (9.3)
DX = 2,0 ( x, y) = 2,0 ( x, y) mX2 , DY = 0,2 ( x, y) = 0,2 ( x, y) mY2 . (9.4)
, ,
1+1 1,1 ( x, y) ,
X,
Y.
KXY
X Y (mX,
mY):
K XY = 1,1 ( x , y ) = 1,1 ( x , y ) m X m Y . (9.5)
KXY :
1. KXY = KYX.
2. X Y
.

. K XY = 1,1 ( x , y ) m X mY = x

y f ( x , y ) dxdy m X mY .
 (. (8.12)) f ( x, y) = f X ( x) fY ( y) ,

xy

f ( x, y)dxdy = x

f X ( x)dx y fY ( y)dy = mX mY KXY = mX mY mX mY = 0.

3.

K xy Dx Dy K xy x y . (9.6)
. 11.
K XY < 0 , X Y
, .. ,
(.
8). . , Y
.
K XY > 0 , X Y
, .. ,
. . X Y
.
K XY = 0 , X Y
, ..
.
K XY 0 , X Y .
,
, ,
.
(. (8.11 8.13))
,
.
K XY X, Y,
.. (mX, mY), ,

, .
.
R XY
:
K XY K
RXY = = XY . (9.7)
DX DY X Y
:
1.
: R XY 1 .
 . (9.6)
XY KXY XY X Y 0
1 R XY 1 R XY 1 .
2. R XY = 1 , X, Y
Y = a + b.
:
K X Y = 1,1 ( x , y ) = M [( X M [ X ])( aX + b M [ aX + b ])] =
= M [( X m X )( aX + b am X b )] = aM [( X m X ) 2 ] = aD X .
Y: D [Y ] = D [ aX + b ] = a D X , ..
2

K XY aDX a
: RXY = = = RXY = 1.
DX DY DX a 2 DX a
,
X, Y
.
3. X Y , RXY = 0 .

(. (8.14 8.17)).
,
(5.1 5.4) ( )
, .

.

, ,
Y Y = y:
n

xi pi / j , ,
i =1
M [ X / y] = mX =
/y
(9.8)
x f ( x / y )dx , .

y j p j/i , ,
i =1
M [Y / x ] = m Y /x = (9.9)


y f ( y / x)dx , .
 m X / y X y,
m Y / x Y . ,
,
, , .. m X / y = ( y ) ,
mY / x = ( x ) .
( .
).
1 , X, Y
,
Y
mY / x
( Y ), ..
1
K XY > 0 . 2 ,
X, Y ,
3 X, Y m Y 2

, .. K XY < 0 . 3
x

X, Y. X, Y ,
. :

mY / x = mY + R XY Y ( x m X ) , mX / y = mX + RXY X ( y mY ) . (9.10)
X Y
(mX, mY),
Y.
 10

(X, Y)
, :
( x mX )2 2 RXY ( x mX )( x mY ) ( y mY )2
1
1
+
f ( x, y) =
2 X Y 1 R 2 e 2
2(1 RXY ) 2 X2 X Y 2 Y2 , (10.1)
XY

mX , mY , X ,Y , RXY .
X, Y
, , .. R XY = 0
1 ( xmX )2 ( y mY )2 ( xmX )2 ( y mY )2
1 + 1 1

2 X Y e e e
f ( x, y) = 2 X
2
Y =
2
2 X
2
2Y2 = f ( x) f ( y) .
X Y
X 2 y 2
,
.

Y = ( X1 , X 2 ) .
Y
(1, 2)
. G(y) Y

G( y) = p(Y < y) = p( f ( x1, x2 ) < y) = f ( x1, x2 )dx1dx2 , (10.2)
( D)

f ( x1 , x2 ) X1 X2.
(10.2) x2
D,
y
( X 1 , X 2 ) < y . D
( X 1 , X 2 ) .
y=x1+x2
, Y = X 1 + X 2 ,
, D
, x1
y

1 2
yx yx

G( y ) = f ( x1 , x2 )dx2 dx1 = f ( x1 , x2 )dx1 dx2 . (10.3)

y,
Y:

g( y) = f ( x1, y x1)dx1 = f ( y x 2, x 2)dx 2 . (10.4)

X1 X2 ,

g( y) = f1( x1) f2 ( y x1)dx1 = f1( y x 2 ) f2 ( x 2 )dx 2 . (10.5)

, ,
.

, (. (10.5)).

n i,
i = 1, , n,
, n- (1, 2, , n).
n-
.
n- (1, 2, , n)
n- ,
.
n- (1, 2, , n)
n i < xi:
F ( x1 , x2 ...xn ) = p{( X 1 < x1 )( X 2 < x 2)... ( X n < xn )} .
(10.6)
,
, , n-
.
n- (1, 2, ,
n) n- F ( x1 , x2 ...xn ) ,
:
n F ( x 1 , x 2 ... x n )
f ( x 1 , x 2 ... x n ) = . (10.7)
x 1 x 2 ... x n
:
 1. f(x1, , xn) 0.
2. :

... f ( x ,..., x

1 n ) dx 1 ...dx n = 1 (10.8)

3.
n-
. ,

+ +
f k ( xk ) = ..

( n 1) .. f1 ( x1 ,..., xn )dx1...dxk 1dxk +1......dxn .

(10.9)

4. (1, 2, , n) n-
D n- :
p{( X 1 X 2 ... X n ) D} = ... f ( x1 , x2 ,...xn )dx1dx2 .....dxn . (10.10)
( D)

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

,
: f ( x1, x2 ,..., xn ) = f1 ( x1 ) f2 ( x2 )... fn ( xn ) .
n- (1,
2, , n) .
1. M = (m1, m2, , mn):

mi = ... x f ( x ,..., x

i 1 n ) dx1... dx n . (10.11)

2. D = (D1, D2, , Dn):

Di =

... ( x

i mi ) 2 f ( x1 ,..., x n ) dx1 ...dx n . (10.12)

3. ,
, :
 K11 K12 K1n
K 21 K 22 K 2n
Kij =
,
K n1 K n2 K nn

K ij = ... ( x

i m i )( x j m j ) f ( x1 ,..., x n ) dx1 ... dx n . (10.13)

( K ij = K ji )
, ii = Di
4. :
1 R12 K R1 n
R21 1 K R2 n
Rij =
M M O M ,
Rn1 Rn 2 K 1

K ij
Rij = . (10.14)
Di D j
.
 11

Y = (x1, x2, , xn), 1, 2, , n
n- f(x1, x2, , xn).
Y

k ( y ) = M [Y ] = ...
k k
( x 1 , ..., x n ) f ( x 1 , ..., x n ) d x 1 ... d x n , (11.1)

k ( y ) = M [ ( Y mY ) ] = ... ( ( x ,..., x
k
1 n ) mY ) k f ( x1 ,..., x n ) dx1 ...dx n , (11.2)

mY = M [Y ] = M [ ( x1 ,..., xn )] = 1 ( y) , (11.3)
DY = 2 ( y ) = 2 ( y ) mY2 . (11.4)
,
f(x1, x2, , xn), ,
Y
.

n
Y = X i , 1, 2, , n
i =1
:
M = (m1, m2, , mn);
D = (D1, D2, , Dn);
K ij .
.

:
n n
M [Y ] = M X i = mi . (11.5)
i =1 i =1
. n = 2, .. Y = 1 + 2, ,

f ( x1 , x2 ) .

mY = M [X1 + X 2] =

( x1 + x 2 ) f ( x1 , x 2 ) d x1 d x 2 =

=

x1 f ( x1 , x 2 ) d x1 d x 2 +

x 2 f ( x1 , x 2 ) d x1 d x 2 = m 1 + m 2 .
 .
, , n.
.

:
n n n n n n
D[Y ] = D X i = K ij = Di + 2 K ij . (11.6)
i =1 i =1 j =1 i =1 i =1 j = i +1

:
n n

2
n o 2
D [Y ] = M [(Y m Y ) ] = M X i m i = M X i =
2

i =1 i =1 i =1

n n o o n n n n n n n
o o
= M X i X j = M X i X j = K ij = D i + 2 K ij .
i =1 j =1 i =1 j =1 i =1 j =1 i =1 i =1 j = i + 1

.
, K ij = 0, i , j :
n n
D X i = Di . (11.7)
i =1 i =1
n

Y = a0 + ai X i , a i ,
i =1
Y :
n
n
mY = M a 0 + ai X i = a 0 + ai mi ; (11.8)
i =1 i =1

n
n n n
DY = D a0 + ai X i = ai2 Di + 2 ai a j K ij . (11.9)
i =1 i =1 i =1 j =i +1

, (11.6), (11.7)
(M[c] = c, M[X + c] = mX + c , M[cX] = c mX ) (D[c] = 0,
D[X + c] = DX, D[cX] = c2DX).
. ,

:
K xy Dx Dy K xy x y .
Z1 = Y X XY, Z2 = YX + YY
(11.9):
D [ Z 1 ] = 2 X2 Y2 2 X Y K X Y ; D [ Z 2 ] = 2 X Y + 2 X Y K XY .
2 2

, 2 X2 Y2 2 XY KXY 0
X Y K XY 2 X2 Y2 + 2 X Y K XY 0 X Y K X Y . ,
X Y K XY X Y K X Y X Y .

n

Y =
i =1
X i , (X1, X2, , Xn)

:
M = (m1, m2, , mn);
D = (D1, D2, , Dn);
K ij .

.
:
mY = M [ X 1 X 2 ]= m1m2 + K12 . (11.10)
.
o o
K12 = M [ X 1 X 2 ] = M [( X 1 m1 )( X 2 m2 )] = M [ X 1 X 2 m1 X 2 m2 X 1 + m1m2 ] =
M [ X 1 X 2 ] m1M [ X 2 ] m2 M [ X 1 ] + m1m2 = M [ X 1 X 2 ] m1m2 .
(11.10).
.
:
n n
mY = M X i = m i . (11.11)
i =1 i =1
. n = 2.
K ij = 0, i , j , (11.10) mY = M [ X 1 X 2 ]= m1m2 .
, , (11.11)
n.
.

n n n
D Y = D X i = ( D i + m i ) m i2 .
2
(11.12)
i =1 i =1 i =1

.
n n n
2

2
n n n n
D X i = M X i M X i = M X i2 mi2 = ( Di + mi2 ) mi2 .
i =1 i =1 i =1 i =1 i =1 i =1 i =1

.
:
n n
DY = D X i = D i . (11.12)
i =1 i =1
 12

,
.
, . n- (n > 100...1000)
( )
.
,

.

. X
mX DX
:
D
p( X m ) X
, (12.1)

X 2

> 0.
. p( X ) :
x2 2 x2 1
p( X ) = f ( x) dx = 2 2 f ( x ) dx 2 f ( x ) dx = 2 x f ( x) dx
2

x x
x x
x
+
1 M[X 2]
x f ( x ) dx =
2
.
2
2
M [X 2]
, p( X ) .
2

o
X X = X mX ,
M [( X m X ) 2 ] D X
p( X mX ) = 2 .
2

. ,
3X. = 3 X , :
D 1
p ( X m X 3 X ) X2 = .
9 X 9

. (1/9)
. , 3X
, 8/9.

. Xn
p
a, X n a , n
n
 , Xn a ,
:
p( X n a < ) > 1 ,
, .

,
.
. n
, X X1,
X2, , Xn.
X
:
1 n p

X i n
n i =1
mX . (12.2)

1 n
. Y = X i .
n i=1
Y (. (11.5), (11.7)):
1 n 1 n 1
mY = M [ X i] = M [X i] = nm X = m X ;
n i =1 n i =1 n
1 n 1 n 1 DX
DY = D[ X i ] = 2 D[ X i ] = 2 nD X = .
n i =1 n i =1 n n
Y:
1 n D D
p ( Y m Y ) = p ( X i m X ) 2Y = 2Y .
n i =1 n
, n ,
DX
< , .
2n
n
1
p(
n
X
i =1
i mX ) < .
n
1
p(
n
X
i =1
i m X < ) > 1 , .. Y mX.

. n
, .
n
:
p
p*(A) p(A) , (12.3)
n
 m
p* ( A ) = n ;
n
m ;
n .
X :
1 , A
X = ,
0 , A
Xi i- .
X (. (6.1)):
m X = p, D X = qp ,
q = 1 p .
:
1 n m p

X i = n = p ( A ) n
n i =1
*

m X = p = p ( A) .

,
.
,

X1, X2, , Xn. , ;
, .
, ,
.
. X1, X2, , Xn ,
m
2 , n (n )
n

Y = X i
i =1
:
mY = n m, Y = n . (12.4)
.
( ).
. X1, X2, , Xn
f(), ,
X (t ) . ,
X1, X2, , Xn m;
, , , m = 0.
(7.16)
:
Y (t ) = [ X (t ) ] .
n
(12.5)
 X (t ) t = 0
:
X (t ) = X (0) +X (0)t + [X (0) / 2 + (t )]t 2 , (12.6)
t; (t ) 0 t 0.
(7.15)

X (0) = X(0) (0) = 0 ( x)i0 = 1 ,

X (0) = X(1) (0) = 1 ( x)i1 = m i = 0 ,
X (0) = X(2) (0) = 2 ( x)i2 = 2 i2 = 2 .
(12.5),
X (t ) = 1 [ 2 / 2 (t )]t 2 . (12.7)
Y
Y
Z = . ,
n
n . , Z
, ,
Y, Z, .
,
Z n , ,
, ,
t2

e 2

, Z, mZ = 0; Z = 1 (. (7.17)).
Z.
(7.14) :
t
Z (t ) = Y ( ). (12.8)
n
(12.5) (12.7) (12.8), :
n
2
Z (t ) = 1 (t / n ) t 2 /(n 2 ) . (12.9)
2
:
2
lnZ (t ) = n ln 1 (t / n ) t 2 /(n 2 ) .
2
2 2
(t / n ) t /( n ) = , ln Z (t ) = n ln(1 ) .
2

2
n;
. ln (1 )
 ( n ):
ln (1 ) .

t2
lim ln Z ( t ) = lim n ( ) = lim + (t / n )t 2 / 2 =
n n n
2
t2 t2
= + lim ( t / n ) t / = .
2 2

2 n 2
t2

ln im Z (t ) = e 2
, ,
,
m = 0, = 1.

.
. X1, X2, , Xn ,
Di D i ,
n (n )
n
Y = X i :
i =1
n n
mY = mi , Y = D i . (12.10)
i =1 i =1

Di D, i ,
( i Y
).
, ,
( ) ,
.
. Y
- , .
( )
n , :
n
Y = Xi
i =1
, :
X1 , ;
2 , ;
3 , ;

n , .
n , n
, Y. X1, X2, ,
Xn . ,
 - X1, X2, , Xn
, ,
,
; ,
,
( ) .
;
, ,

( ) ;
Xi,
,
.
.

,
n>10...20.
1. ,
[0, 1], , ,
.
12
Y = (
i = 1
x i 6 ) + m (12.11)
m, .
2. (. (3.11), (3.12)), ..
n
, n , p q
, :
0 < np 3 npq , np + 3 npq < n . (12.12)
Xi i- ,
n
n Y = X i , 0 Y n .
i =1
Y

n n
mY = mi = np , Y = D i = npq . (12.12)
i =1 i =1

3 Y Y,
Y [0; n].
 13
.
,
,
.
, n
.
,
.
X. (N)
.
.
{x1 , x2 ,..., xn } ()
. n
. ,
, ..
(). ,
, , ..

. , k
n X:
{x1(1) ,..., xn(1)},{x1(2) ,..., xn(2)},...,{x1(k ) ,..., xn(k )} .
X F(x),
{x1(1) ,..., xn(1)},{x1(2) ,..., xn(2)},...,{x1(k ) ,..., xn(k )} ,
n- (1,...,n), i, i =
= 1, ..., n, i- . ,
i F(x).
i , n-
(X1, X2, , Xn)
F(x1, x2, , xn) = F(x1) F(x2)...F(xn).
{ x1 , x2 ,..., xn },
.
x i .

.

X
, X , x,

 0, x x1 ,
:

i
F * ( x ) = p* ( X < x ) = , xi < x xi +1 ,
(13.1)
n
:

1, x > xn .
n F*(x)
F(x).
F*(x).
1. 0 F*(x) 1.
2. F*(x) .
3. F*(x) = 0, x x1 .
4. F*(x) = 1, x > x n .

(, , ).
F*(x) :
X.

n,
{ x1 , x 2 , ..., x m } :
xj 1 2 .... m

p *j k1 k2 .... km
kj
p j =
*
j- ;
n
kj xj .
:
m
1. j =1
k j = n .
m
2. j =1
p *j = 1 .

,
:
j Aj Bj hj j p *j f j*
1 A1 B1 h1 1 p1* f1*
0
M AM BM hM M pM* fM*
j ;
 M ,
[ x1 , x n ] :

M
( )
int n , n 100,
(13.2)
int ( ( 2 4 ) lg ( n ) ) , n > 100,
int(x) x . , n M;
Aj, Bj j- (Aj+1 = Bj),
A1 = x1 , B M = x n ;
hj = Bj Aj j- ;
j , j- ;
j
p *j = j- ;
n
p *j j
fj =
*
= j- .
hj nh j

:
1) , .. :
x x1
hj = h = n , j ; (13.3)
M
A j = x1 + ( j 1) h , j = 2, M . (13.4)
2) , .. ,
(,
n M):
n 1
j = = , p *j = j ; (13.5)
M M
x ( j 1) + x ( j 1) +1
Aj = , j = 2, M . (13.6)
2

*
f (x) ,
. ,
, , hj
*
f j
.

,
. 1.
: , .
 f*(x)

f*
j
f*1 x
A1 B1 A3 B3 Aj Bj AM BM
A2 B2 A4
 14

Q Q
,
( ). .
, .
Q Q X
Q = ( x1 , x2 ,..., xn ) , (14.1)
xi .
, Q ,
n- (X1, X2, , Xn), i
i- , Q
. .
1. Q ,
n Q:
Q p
n
Q lim( P( Q Q < )) = 1, > 0 . (14.2)
n
.
2. Q ,
Q :
M [ Q ] = Q , n . (14.3)
, lim D Q = 0.
n

3. Q ,
:
D Q = m in . (14.4)
.

x ,
:
n
1
m *X = x =
n

i =1
xi . (14.5)

x.
1 n 1 n 1 n
M [ x ] = M [ X i ] = M [ X i ] = mX = mX ,
n i =1 n i =1 n i =1
.. .
1 n 1 n 1 n 1
D[ x ] = D[ X i ] = 2 D[ X i ] = 2 DX = D X . (14.6)
n i =1 n i =1 n i =1 n
 (14.5) , .. ,
X .
k-

1 n
k ( x ) = ( xi ) .
k
(14.7)
n i =1

.

:
1 n 1 n 2
S = ( xi x ) = xi ( x ) 2 .
2 2
(14.8)
n i =1 n i =1
S2.
, , mX, ..
:
2
1 n o2 1 n o n 1 n o2 2 n o o
M [S ] = M [ X i X i ] = M [ 2 X i 2 X i X j ] =
2

n i =1 n i =1 n i =1 n i< j
n 1 n o
2 n o o n 1 n 2 n n 1
= 2 M [ X i2 ] 2 M [ X i X j ] = 2 D X 2 K ij = DX .
n i =1 n i< j n i =1 n i< j n
Kij = 0 , , , i
i- . , S 2
,
:
n 2 1 n 1 n 2 n 2
( xi x ) =
2
S02 = S = xi x . (14.9)
n 1 n 1 i=1 n 1 i=1 n 1
2
S 0 :
n34
D [ S 02 ] = D2. (14.10)
n n ( n 1)
X (14.10)

2
D [ S 02 ] = D2, (14.11)
( n 1)

0 .8 n + 1 .2 2
D [ S 02 ] D . (14.12)
n ( n 1)


S 0 = S 02 . (14.13)
k- :
 1 n
k ( x) = ( xi x ) .
k
(14.14)
n i =1
.
A
:
m
p * ( A) = , (14.15)
n
m , A;
n .
p * ( A ) = p * :
p (1 p )
M[p * ] = p ( A ) = p , D[p * ] = . (14.16)
n

.
. {x1, ..., xn}
f(x, Q1, ...,
Qm) m Q1, ..., Qm.
Q , ..., Q Q1, ..., Qm. :
1 m
1. m /

k ( x ) = M ( X mx ) .
k
k ( x) = M X k , (14.17)

2. m k ( x) /
k ( x) (14.7, 14.14).
3. Q1, ..., Qm
m ,
. k ( x) = k ( x)
( x ) = ( x ) . Q , ..., Q
k k 1 m
.
. ,
.
.
Q1 , ..., Q m Q1, ..., Qm
L( x1,..., xn , Q1,..., Qm ) .
X , xi ,
 n
L( x1,..., xn , Q1,..., Qm ) = f ( xi , Q1,..., Qm ).
i =1
X xi
p( X = xi ) = pi ( xi , Q1,..., Qm ),
n
L( x1,..., xn , Q1,..., Qm ) = pi ( xi , Q1,..., Qm ).
i =1

:
L( x1, ..., xn , Q1, ..., Qm )
= 0, i = 1, 2, ..., m , (14.18)
Qi

ln ( L ( x1, ..., xn , Q1, ..., Qm ) )

= 0, i = 1, 2, ..., m. (14.19)
Qi

Q1 , ..., Q m Q1, ..., Qm.

Q Q .
, Q
Q . , ,
,
,
p ( Q Q < ) = . (14.20)
,
Q Q , ;
= 1 . (14.19)
, Q

I = ( Q ; Q ) . (14.21)
I ,
() Q.
1: 0,9; 0,95; 0,975; 0,99.
,
Q . ,
Q X ,
, (
Q ). , Q
 , , n
,
, n (n > 2050)
.
.
I X

S0 z S0 z
x < mX < x + , (14.22)
n n

z = arg ( ) , .. (z) = .
2 2
X
ft (x)
mx x ,
(x mX ) n
T =
S0
(n 1)
.
k x
-t ,k t ,k
:
k +1

k +1

2 1+ t 2
2
f k (t ) = , (14.23)
k k
k
2

( ) = t e dt -.
1 t

S0 t ,n1 S0 t ,n1
x < mX < x + , (14.24)
n n
t ,n1
, .
. I
X
2 2 2 2
S 02 z S 0 < DX < S 02 + z S0 , (14.25)
n 1 n 1

z = arg ( ) , .. (z) = .
2 2
 X
( n 1) S 02

2
mx x , v =
X2

(n 1)

( n 1) S 02 ( n 1) S 02
< DX < , (14.26)
12 12+
, n 1 , n 1
2 2

1 ,n1 , 1+ ,n1 ,
2 2
2.
2 2
(14.24, 14.26)
n, I
, Q Q . ,
X X2 ,
I
n (14.22), S 0
X .
. I
A
p * (1 p * ) p * (1 p * )
p z
*
< p ( A) < p * + z , (14.25)
n n
m
p = p ( A ) =
* *
A n ;
n
m , A;
n ;

z = arg ( ) , .. (z) = .
2 2
 15


{0, 1, , Hk-1}
. Hi
. :
{H0, H1}. H0 , H1-
.
U = ( x1 ,K , xn ) , xi
,
H0 , H0 ,
, ,
, (
).
.
, H0,
(" ").
.
, = 0,05 = 0,01.
, H0 ,
(" ").
. (1-)
.
.

.
.
, n1 n2 .
.
k1 , k2 ,
, :
k k
p 1* = 1 > p 2* = 2 .
n1 n2
U = p 1* p 2* . (15.1)
, ?
, A ,
, ?
{H0, H1}, :
H0 , ..
, U
,
 H1 , ..
.
- H0 ,
,
, ,
k1 + k 2
: p p =
*
.
n1 + n 2
n1 n2 p1* p 2*
,
m = p p . D1 D2
*

, (. (14.16))
p1* (1 p1* ) p 2* (1 p 2* )
D1 , D2 .
n1 n2

U = p p ,
*
1
*
2
mU = 0
p1* (1 p1* ) p2* (1 p2* ) p1* (1 p1* ) p2* (1 p2* )
DU = D1 + D2 + , U = DU + .
n1 n2 n1 n2
U
:
U
= p (U U ) = 0.5 ( ) .. U = U arg (0.5 ) .
U
, (15.1), ,
, .. U > U , H0 ,
.

,
.
( ).
2

. .
1. .
2. :
H0 X - : f(x) = f0(x),
H1 X - : f(x) f0(x),
f0(x), F0(x) .
 3. ,
Q1 , ..., Q m
.
4.

( )
2
( j np j )
2
M p j p*j M
2 = n = , (15.2)
j =1 pj j =1 np j
pj j-
, H0 :
Bj

p j = p( Aj X < Bj ) = f0 (x)dx = F0 ( Bj ) F0 ( Aj ) . (15.3)

Aj

. p1 pM
A1, BM
. , A1
= -, BM = +. pi ,

M
1 pi 0,01 .
j =1

2 ,
2 .
X, k,
:
1 k
1
u

k u e 2 , u 0,
2
k
f k (u ) = 2 2 (15.4)
2
0, u < 0,

( ) = t e dt -.
1 t

0
f 2(x)

,
2 ,k ,
p ( > 2 , k ) = ,
2
2

k. , k
 5. 2 ,k ,
2

( = 0,05 = 0,01), k
,
k = M - 1 - s.
s
, . 3.
6. , (15.2), ,
, .. > ,k , H0 ,
2 2

.
. :
1.
F*(x).
2. F*(x) :
H0 : F(x) = F0(x),
H1 : F(x) F0(x),
F0(x) .
3.
Q1 , ..., Q m
.
4. 10...20 F0(x)
F*(x).
5.
F*(x) F0(x).
n
Z = max F * ( xi ) F0 ( xi ) . (15.5)
i =1
6.
= n Z . (15.6)
,
X,:

F ( ) = ( 1) e
k =
k 2 k 2 2
. (15.7)

F ( ) , f (x)


,
p (0 < ) = .
7.

, = 1 .

( = 0,05 = 0,01).
 8. > , H0 ,
.
2
:

(n < 20), "", ,
. ,
F*(x)
, .
, ,
,
- , ..
F0(x),
Q1, ..., Qk. .
F0(x),

2
.

k. .
. ,

, ;
,
.
 16

n ,
(,)
{(1, 1), (2,
2),,(n, n)}.
, (.
1315), ,
() . ,

(,):
:
1 n
m = x = xi ;
*
X (16.1)
n i =1
1 n
mY = y = yi ;
*
(16.2)
n i =1
:
1 n 1 n 2 n 2
( xi x ) =
2
S02 ( x) = xi x ; (16.3)
n 1 i =1 n 1 i =1 n 1
1 n 1 n 2 n 2
( yi y ) =
2
S02 ( y) = yi y . (16.4)
n 1 i=1 n 1 i=1 n 1
.

1 n
*
K XY = ( xi x )( yi y ), (16.5)
n 1 i =1
xi, yi , X, Y i- ;
x , y X Y .
.

* K *XY
RXY = , (16.6)
S 0 ( x ) S0 ( y )
S0 ( x), S0 ( y )
X Y .


e2a 1 e 2b 1
< RXY < 2b , (16.7)
e2a + 1 e +1
 1 + R XY
*
z 1 + R XY
*
z
a = 0, 5 ln ; b = 0, 5 ln *
+ ;
1 R XY
*
n 3 1 R XY n3

z = arg ( ) , .. (z) = .
2 2

.
, (X, Y)
. .
1. :
H0: R X Y = 0 ;
H1: R X Y 0 .
R X Y .
*
2. R X Y (16.6)
3. ( n < 50 ),
R X* Y n 2
t = , (16.8)
1 (R XY )
* 2

(n-2) ,
H0 .
4.
=1
t , n 2 .
5. t > t , n 2 , H0 , ,
X, Y . H0 .
3*. (n > 50 ),

R X* Y n
Z = , (16.9)
1 (R XY )
* 2

, H0
.
4*.
1 1
Z = arg , .. ( Z ) = .
2 2
5*. Z > Z , H0 , ,
X, Y . H0 .
 t-. t-
,
X Y , . ,
0 , mX = mY. {x1 , x2 ,..., xn1 } , {y1, y2 ,..., yn2 }
;
.

xy n1n2 ( n1 + n2 2)
T= . (16.10)
(n1 1) S02 ( x ) + ( n2 1) S 02 ( y ) n1 + n2
( X Y
) , 0 ,
k = n1 + n2 2 .

.
t1,n1 . ( (16.10))
T T > t1 ,n 1 , 0 .
t-
. ,
(..
) . X = Y
; X = Y
F- (. ).
F-. ,
X2 , ,
, . .
F-
, X Y . 0
, X = Y .
n1 n2.
S 2 ( x) S 2 ( y)
F = 02 , F = 02 ,. (16.11)
S0 ( y ) S0 ( x)
, .
F F- (n1 -1, n2 -1)
. .
F-
F / 2;n1 1, n2 1 . F, , ,
F / 2;n1 1, n2 1 , 0 .
. ,
;
, 0 , FX (x) FY ( y) .
 X Y .
,
, , ,
,
X Y.
{x1 , x2 ,..., xn1 } { y1 , y2 ,..., yn2 }
. (i yj;) , yj < i .
, , n1 = 4 n2 = 5 : y5 x3
x4 y1 y2 x2 y4 y3 x1 . x3 x4 ( y5), x2
( y5 y1 y2), x1 ( ).
U .
, U
nn
M U = 1 2 .
2
0 , U
U,
. (n1 n2 25)
U
n1 n 2 ( n1 + n 2 + 1)
U = Z , (16.12)
12
1 1
Z = arg - , .. ( Z ) =
2 2
 17

n ,
(,)
{(1, 1), (2,
2),,(n, n)}.
X, Y, ..
*
m Y / x Y .
:
mY* / x = y ( x ) = ( x , a 0 , a1 ,..., a m ) ,
a0 , a1,..., am .
, -,
y
(x, a0 , a1,..., am ) ..
,
, ..,
-,

a0 , a1,..., am .




,

,

0 x
(. ).

y ( x ) = ( x , a 0 , a1 ,..., a m ) ,
(1,y1)....(xn,yn) ,
, ..
Y =.

.
,
y = ( x , a 0 , a1 ,..., a m )
{(1, 1), (2, 2 ,, (n, n)}, .

,
a0 , a1,..., am ,
:
 n

[y ( x i , a 0 , ..., a m ) ] = m in
2
i (17.1)
i =1

a j , j = 1,..., m , (17.1)
. a j , j = 1,..., m ,
( ):
n
( xi )
[ yi ( xi , a 0 ,..., a m ) ] = 0, j = 0,1,...m , (17.2)
i =1 a j
( xi )
aj
a j
i.
(17.2) ,
, .. m+1.
(17.2) ;
.
y :
m
y = ( x , a 0 , ..., a m ) = a j=0
j xj . (17.3)
(17.2) ():
m n n

a (x ) = yi ( xi ) , k = 0,1,...., m
j+k k
j i (17.4)
j =0 i =1 i =1

n,
m

a
j =0
j j +k ( xi ) = k ,1 ( xi , yi ), k = 0,1,...., m (17.5)

1 n
k ( x ) = ( xi ) - k- X;
k

n i =1
1 n
k ,1 ( x , y ) = xik y i
n i =1
k+1 X Y.
(17.4) a j , j = 1,..., m ,

. , a0 , a1,..., am ,
y = ( x , a 0 , a1 ,..., a m )
{(1, 1), (2, 2),,(n, n)}.
. mY / x = a0 + a1 x.
(17.5) m=1
0 ( x)a0 + 1 ( x)a1 = 0,1 ( x , y )
.
1 ( x)a0 + 2 ( x)a1 = 1,1 ( x , y )
 , 0 ( x ) = 1, 1 ( x ) = x , 0 ,1 ( x , y ) = y , :
a0 + xa1 = y
.
xa0 + 2 ( x)a1 = 1,1 ( x , y )

1 ,1 ( x , y ) x y K *X Y
a 1 = = , (17.6)
2 ( x ) x 2 2
S0 (x)
a0 = y a1 x , (17.7)
(9.10) (. 9).


1. .., ..
. .: , 1988. 416 .
2. .. :
. 5- ., . .: . ., 1999. 576 .
3. .. . .: . ., 1983.
279 .
4. .. . .:
. ., 1977. 479 .
5. .., .., ..
: . . .-. .
.: , 2000.-384 .
 . 2003, . 29

..
..
.. .
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.08.2003. 6084 1/16. .

. . . . . .
.-. . 4,0. 300 . 210.
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:

.
156 30.12.2002.
509 03.08.2001.
220013, , . , 6.