2011-1-1

1
1

Pmn =

m!
(m n)!

C mn =

m!
m n
n!(m n)!

m n

m+n
m
n 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 A B A B
AB A B ABA B= A B
A B

-A A A A A


2011-1-1

A(BC)=(AB)C A(BC)=(AB)C
(AB)C=(AC)(BC) (AB)C=(AC)(BC)

i =1

i =1

Ai = Ai

A B = A B

A B = A B

A A P(A)

1 0P(A)1
2 P() =1
3 A1 A2

P Ai = P( Ai )
i =1 i =1

P(A) A

1 = { 1 , 2 n }

n
A 1 , 2 m
P(A)= { ( 1 ) ( 2 ) ( m )} = P( 1 ) + P ( 2 ) + + P ( m )
2 P ( 1 ) = P ( 2 ) = P ( n ) =

=
9

m A
=
n

P ( A) =
10

11

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

12

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

P ( A)
AB P(A)>0

P(/B)=1 P( B /A)=1-P(B/A)
13

P ( AB ) = P ( A) P ( B / A)
A1A2An P(A1A2An-1)>0


2011-1-1

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

An 1)
14

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

P ( B | A) =

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)
P(ABC)=P(A)P(B)P(C)
ABC
n
15

B1, B 2, , Bn

1 B1, B 2, , Bn P( Bi ) > 0(i = 1,2, , n)

n

A Bi

i =1

P ( A) = P ( B1) P ( A | B1) + P ( B 2) P ( A | B 2) + + P ( Bn) P ( A | Bn)

16

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

A Bi
i =1

P ( Bi / A) =

P ( A) > 0

P ( Bi ) P( A / Bi )
n

P( B
j =1

) P( A / B j )

i=12n

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

17

n
A A
n A
A A


2011-1-1

p A A 1 p = q Pn(k )
n A k (0 k n)
k

Pn( k ) = C n p k q n k k = 0,1,2, , n

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

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

1
2

pk 0

k = 1,2,

= 1

k =1

F (x) X f (x) x

F ( x) = f ( x)dx

X f (x ) X

4
1
2
3

f ( x) 0

f ( x)dx = 1

P ( X = x) P( x < X x + dx) f ( x) dx
f ( x) dx P ( X = xk ) = pk


2011-1-1

X x

F ( x) = P ( X x)
X

P (a < X b) = F (b) F (a ) X (a, b]

F (x) x]

1 0 F ( x) 1,

< x < +

2 F (x) x1 < x 2 F ( x1) F ( x 2)

F ( x ) = 0 F (+) = lim F ( x ) = 1
3 F ( ) = xlim

x +
4 F ( x + 0) = F ( x) F (x)
5 P ( X = x) = F ( x) F ( x 0)
F ( x) =

xk x

F ( x) =

f ( x)dx

0-1

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

n A p A
X X 0,1,2, , n

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

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

X n p

X ~ B (n, p )
n = 1 P ( X = k ) = p k q 1 k k = 0.1 0-1
0-1


2011-1-1

P( X = k ) =

k
e > 0 k = 0,1,2
k!

X 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)

X [a b] f (x )
[ab]

axb

ba

1
,

f ( x) = b a
0,

X [ab] X~U(ab)

xa
,
ba

x<a
axb
x

F ( x) = f ( x )dx =

x>b

ax1<x2b X x1 , x 2

P ( x1 < X < x 2 ) =

x 2 x1

ba


2011-1-1

e x ,
x 0,
0,

x < 0,

f (x) =
> 0 X
X

1 e x ,
0,

x 0,
x<0

F (x ) =
+

e x dx = n!

X
2

( x )

< x < +
2
> 0 X

f ( x) =

2 2

2
Gauss X ~ N ( , )

f (x )
f (x ) x =
1
2 x = f ( ) =
2
2
, )x
( t X
)2

X ~ N (

1
2
2
F ( x) =
e
dt
2

= 0 = 1

X ~ N (0,1)
x2
1 2
( x) =
e
2
< x < +

( x) =

1
2

t2
2

dt

(x)
1
(-x)1-(x) (0)
2
X
2
X ~ N ( , )
~ N (0,1)

x
x
P ( x1 < X x 2 ) = 2
1


2011-1-1

P ( X )
P ( X > )

x1, x 2, , xn,
X
P ( X = xi ) p1, p 2, , pn,
Y = g ( X ) y i = g ( x i )
g ( x1), g ( x 2), , g ( xn ),
Y
P (Y = y i )

p1, p 2, , pn,
g ( xi ) p i g ( xi )

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

XY

x,y

= X Y

( x i , y j )(i, j = 1,2, ) { = ( x i , y j ) } pij,,

P{( X , Y ) = ( x i , y j )} = p ij (i, j = 1,2, )

=XY X Y

Y
y1
y2

yj
X
x1
p11
p12

p1j
x2

p21

p22

xi

pi1

pij
1pij0i,j=1,2,
2

p ij = 1.

p2j

p ij


2011-1-1

= (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 ( , ) = F ( , y ) = F ( x, ) = 0, F ( +,+) = 1.
5 x1 < x 2y1 < y 2

F ( x 2y 2 ) F ( x 2y1 ) F ( x1y 2 ) + F ( x1y1 ) 0 .

4

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


2011-1-1

Pi = P ( X = x i ) = p ij (i, j = 1,2, )
j

P j = P (Y = y j ) = p ij (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
p i

Y=yj X

P( X = xi | 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)=FX(x)FY(y)

p ij = p i p j

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

f ( x, y ) =

f ( x, y )
f X ( x)

1
2 1 2 1 2

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

+
1 2
2 (1 2 ) 1
2

X1,X2,Xm,Xm+1,Xn h,g
hX1X2,Xm gXm+1,Xn
X Y hX gY
X Y 3X+1 5Y-2


2011-1-1

XY

1
S
D
f ( x, y ) =
0,

( x, y ) D

SD D X Y D
XYUD
3.1 3.2 3.3
y
1
D1
O
1

3.1
y
1
D2
O

2 x

3.2

D3

y
d
c
O a
3.3

b x


2011-1-1

XY

f ( x, y ) =

1
2 1 2 1 2

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

+
1 2
2 (1 ) 1
2
1

1 , 2, 1 > 0, 2 > 0, | |< 1 5 XY

XYN 1 , 2, 1 , 2 , ).
2

XN 1 , 1 ), Y ~ N ( 2, 2 ).
2

XN 1 , 1 ), Y ~ N ( 2, 2 ) (XY)
2

10

Z=X+Y

FZ ( z ) = P ( Z z ) = P ( X + Y z )
+

fZ(z)

f ( x, z x)dx

1 + 2 , 12 + 22

= C i i 2 = C i2 i2
i

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

X1, X 2 X n

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


2011-1-1

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

2
0,

u 0,
u < 0.

W n 2 W

2 (n)
n

n + 1
= x 2 e x dx.
2 0

2
Yi 2 (ni ),

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

XY

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

T=

X
Y /n

n + 1
n +1

2 2
2 t
1 +
f (t ) =
n
n
n
2

( < t < +).

T n t Tt(n)

t1 (n) = t (n)
1


2011-1-1

X ~ 2 (n1 ), Y ~ 2 (n 2 ) X Y

F=

X / n1

Y / n2

n1 + n 2

n1

f ( y ) = n1 n 2 n 2

2 2

n1

2 n21 1
n
y 1 + 1 y
n2

n1 + n2
2

,y0

0, y < 0

F n1
n2 F Ff(n1, n2).

F1 (n1 , n 2 ) =

1
F (n 2 , n1 )

X
P( X = x k )
pkk=1,2,,n
n

E ( X ) = xk p k
k =1

Y=g(X)
n

E (Y ) = g ( x k ) p k
k =1

D(X)=E[X-E(X)]2

( X ) = D( X )

X
f(x)

E( X ) =

xf ( x)dx

Y=g(X)

E (Y ) =

g ( x) f ( x)dx

D( X ) = [ x k E ( X )] 2 p k
k

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


2011-1-1

k
X k X
k vk,
k=E(Xk)=

k
i

p i , k=1,2, k=E(Xk)= + x k f ( x)dx,

.
k
X EX k
X k

(x

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

k = E ( X E ( X )) k
.
=

k X
k X k
vk,

k = E ( X E ( X )) k
.

E ( X )) k p i

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

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

P( X )

2
2

P( X )

1 E(C)=C
2 E(CX)=CE(X)
3 E(X+Y)=E(X)+E(Y) E (

C X
i =1

i ) = Ci E ( X i )
i =1

4 E(XY)=E(X) E(Y)X Y
X Y
1 D(C)=0E(C)=C
2 D(aX)=a2D(X) E(aX)=aE(X)
3 D(aX+b)= a2D(X) E(aX+b)=aE(X)+b
4 D(X)=E(X2)-E2(X)
5 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)

p
0-1 B (1, p)
B (n, p )

np

P ( )

p (1 p )
np (1 p )


2011-1-1

G ( p )

1 p
p2

N ( , 2 )

1
p
nM
N
a+b
2
1

2n

n
(n>2)
n2

H (n, M , N )
U (a, b)
e( )

nM
N

E ( X ) = xi p i
i =1

E( X ) =

j =1

xf

( x)dx

E (Y ) =

yf

( y )dy

E[G ( X , Y )]

G( x , y
i

E (Y ) = y j p j

M N n
1

N N 1

(b a ) 2
12
1
2
2

E[G ( X , Y )]
) p ij

+ +

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

D( X ) = [ x i E ( X )] 2 p i

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


2011-1-1

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

X Y E ( X k Y l ) X Y

XY

YY

k+l kl k+l

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

(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 = 0

ii

XYN 1 , 2 , 12 , 22 ,
X Y X Y


2011-1-1

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

X1 X2
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

2
X N ( ,
)
n

X1X2Xn
EXn=

1 n

lim P X i < = 1.
n
n i =1

X1X2

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

Yn =

X
k =1

Fn(x) x

X k n

1
lim Fn ( x ) = lim P k =1
x =
n
n
n
2

t2
2

dt.


2011-1-1

X n n, p(0<p<1)
x,

t
X n np

1 x 2
= lim P
x =
e dt.
n
2
np (1 p )

M
p( n, k)
N ,
N
2

C Mk C Nn kM
C nk p k (1 p ) n k
n
CN

( N ).

n , np > 0

C nk p k (1 p) n k

k
e
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


2011-1-1

1 n
xi .
n i =1

x=

1 n
S =
( xi x) 2 .

n 1 i =1
2

S=

1 n
( x i x) 2 .

n 1 i =1

Mk =

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

M k =

1 n
( x i x) k , k = 2,3, .

n i =1

E ( X ) = D( X ) =

E (S 2 ) = 2 E (S *2 ) =
S * =
2

1 n
( X i X ) 2
n i =1

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

u
t

n 1 2
,
n

def

/ n

~ N (0,1).

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

def

x
s/ n

~ t (n 1),

t(n-1) n-1 t

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

def

(n 1) S 2
~ 2 (n 1),
2

2 (n 1) n-1 2


2011-1-1

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

y1 , y 2 , , y n N ( , 22 )

def

S 12 / 12
S 22 / 22

~ F (n1 1, n 2 1),

S12 =

1 n1
( x i x) 2 ,
n1 1 i =1

S 22 =

1 n2
( yi y) 2 ;
n 2 1 i =1

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

2
X S


2011-1-1

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

1 , 2 , , m v k = v k ( 1 , 2 , , m )

x1 , x 2 , , x n X n k
1 n k
xi (k = 1,2, , m).
n i =1

1 n

v
(

)
=
xi ,
m
1 1 2
n i =1

1 n 2

v
(

)
=
xi ,
m
2 1 2
n i =1

v ( , , , ) = 1 x m .
m
i
m 1 2
n i =1

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

g (x) g () g ( )


2011-1-1

f ( x; 1 , 2 , , m ) 1 , 2 , , m
x1 , x 2 , , x n
n

L( 1 , 2 , , m ) = f ( x i ; 1 , 2 , , m )
i =1

Ln.
X

P{ X = x} = p ( x; 1 , 2 , , m )
n

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

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

1 , 2 , , m 1 , 2 , , m

ln Ln
i

= 0, i = 1,2, , m

i = i

g (x) g () g ( )

= ( x , x , , x ) E =
1
2
n

E X =EX ES2=DX

1 = 1 ( x , x, , , x ) 2 = 2 ( x , x, , , x )
1
2
n
1
2
n

D ( 1 ) < D ( 2 ) 1 2


2011-1-1

lim P (| n |> ) = 0,
n

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

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

2 = 2 ( x1 , x, 2 , , x n ) ( 1 < 2 )
1 (0 < < 1)

[ 1 , 2 ]

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 ]

u=

0 / n

~ N (0,1).

(ii)

x
P
= 1 .
0 / n

iii

,x+ 0
x
n
n


2011-1-1

t=

x
S/ n

~ t (n 1).

(ii)

x
P
= 1 .
S/ n

iii

S
S
,x+
x

n
n

w=

( n 1) S 2
~ 2 (n 1).
2

ii

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

iii

n 1
n 1
S,
S

1
2

H0 H0
H0
H0 H0
H0 H0 H1
{K R }

=0.05 0.01 0.10

(i)
H0
(ii)
K
(iii)

(iv)

x1 , x 2 , , x n K

K | K |> ( K > ) H0
H0


2011-1-1

H0
H0 H0
H0

P{ H0|H0 }=

H1
H0 H0
H0

P{ H0|H1 }=

0.01 0.001

N01
H 0 : = 0
x

U=

H 0 : 0

0 / n

H 0 : = 0

T=

x 0

t (n 1)

S/ n

| t |> t

(n 1)

t > t1 ( n 1)

H 0 : 0
H 0 : 2 = 2

u < u1

H 0 : 0

| u |> u

u > u1

H 0 : 0
2

t < t1 (n 1)
w=

(n 1) S 2
02

2 (n 1)

w < 2 ( n 1)
2

w > 2 (n 1)
1

H 0 :
2

2
0

H 0 : 2 02

w >

2
2
1

(n 1)

w < 2 (n 1)