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Hanoi Center for Financial and Industrial Mathematics

Trung Tm Ton Ti Chnh v Cng Nghip H Ni


NHP MN HIN I
XC SUT & THNG K
c Thi v Nguyn Tin Dng
H Ni Toulouse, 2009
ii
Bn tho ny: Ngy 10 thng 11 nm 2009
c Prof. Dr. Do Duc Thai & Prof. Dr. Nguyen Tien Zung
Hanoi Center for Financial and Industrial Mathematics
Hanoi National University of Education & University of Toulouse
iii
Li gii thiu
Xc sut v thng k ng vai tr rt quan trng trong hu ht mi lnh vc ca th
gii hin i, t khoa hc, cng ngh, n kinh t, chnh tr, n sc khe, mi trng,
v.v. Ngy nay, my tnh gip cho vic tnh ton cc vn xc sut thng k ngy cng
tr nn d dng, mt khi c cc s liu ng n v m hnh hp l. Th nhng, bn
thn my tnh khng bit m hnh no l hp l. y l vn ca ngi s dng: cn
phi hiu c bn cht ca cc khi nim v m hnh xc sut thng k, th mi c th
dng c chng.
Mc ch ca quyn sch ny chnh l nhm gip bn c hiu ng bn cht ca
nhng khi nim v phng php c bn nht ca xc sut v thng k, v qua c
th p dng c chng, tm c phng php thch hp cho nhng tnh hung c th.
Mt s im m cc tc gi c gng a vo trong sch ny l:
- Gii thch bn cht cc khi nim mt cch trc gic, d hiu nht trong chng mc
c th, ng thi m bo cht ch nht nh v mt ton hc.
- Cho nhiu v d v bi tp v nhng tnh hung c tht, vi s liu c tht, nhm
gip bn c cm nhn c cc ng dng thc t ca xc sut v thng k.
Quyn sch ny c 5 chng. Chng 1 gm mt s khi nim c s ca l thuyt
xc sut. Chng ny khng i hi kin thc c bit g v ton, v hc sinh ph thng
cng c th c v hiu c phn ln. Tuy nhin, kin thc ca Chng 1 khng hon
ton hin nhin, k c i vi nhng ngi hc i hc. Trong qu trnh son tho, cc
tc gi c em mt s bi tp hi kh ca Chng 1 cc hc sinh i hc v cao hc
ngnh ton, v phn ln h lm sai! Cc bi tp khng phi l kh v mt ton hc
( gii chng ch cn lm vi php tnh s hc n gin), m l kh v chng cha ng
nhng s t nh v bn cht ca xc sut. Hy vng rng, bn c s thy c nhng s
t nh , v trnh c cc sai lm m nhiu ngi khc hay mc phi.
T Chng 2 n Chng 4 ca quyn sch l l thuyt xc sut ca cc bin ngu
nhin. Chng 2 l v cc bin ngu nhin nhn gi tr thc. Chng 3 l v cc b nhiu
bin ngu nhin, hay cn gi l cc vector ngu nhin. Chng 4 l v cc nh l gii
hn, trong c nh l gii hn trung tm, c coi l nh l quan trng nht ca l
thuyt xc sut v l hn tng ca thng k ton hc. Chng 5 ca quyn sch l
gii thiu v thng k. Bn c s tm thy trong chng ny nhng vn c th gii
quyt bng thng k nh c lng, kim nh, d bo, nhng nguyn tc c bn nht
iv
ca thng k, v mt s phng php thng k nay tr thnh kinh in.
hiu tt cc vn c bn ti trong Chng 2 v cc chng tip theo, bn c
cn c mt s kin thc chun b v gii tch ton hc, nh php tnh vi tch phn v
khai trin Taylor-Lagrange, cng vi mt t kin thc v i s tuyn tnh. Nu c thm
mt t kin thc v tp v gii tch hm th cng tt. Trong sch c a ra nh ngha
v tnh cht ca mt s khi nim ton hc cn dng, v d nh tch phn Lebesgue trn
khng gian xc sut, bin i Fourier, hi t yu, v.v.
Quyn sch ny c th dng lm sch gio khoa hay sch tham kho cho mn xc sut
thng k bc i hc hoc cao hc nhiu ngnh khc nhau. Sinh vin cc ngnh khng
phi ton c th b qua cc phn chng minh cc nh l tng i phc tp trong sch,
m ch cn hiu ng pht biu ca cc nh l quan trng nht v cch p dng chng.
Cc sinh vin ngnh ton th nn tm hiu c cch chng minh cc nh l.
Do khun kh ca quyn sch c hn, nn cn rt nhiu khi nim quan trng ca xc
sut v thng k khng xut hin trong sch, v d nh qu trnh ngu nhin. Hy vng
rng quyn sch ny cung cp c tng i y cc kin thc c s, bn c c
th hiu c cc ti liu chuyn su hn v xc sut v thng k khi cn thit.
bin son quyn sch ny, cc tc gi c tham kho nhiu sch bo lin quan n
xc sut thng k, v c trch li nhiu bi tp v v d t cc ti liu . Nhng sch m
cc cc tc gi tham kho nhiu c lit k phn Ti liu tham kho. Trong c
nhng sch nng, c nhiu chng minh cht ch v kh nng v ton, v d nh quyn
Theory of probability and random processes ca Koralev v Sinai [5], v c nhng sch
nh, d c c th nm c nhng tng chnh, nhng khng c chng minh, tiu
biu nh quyn The cartoon guide to statistics ca Gonick v Smith [2].
Nhng bn tho u tin ca quyn sch ny c c mt s ng nghip, bn b v
sinh vin c v gp sa li v trnh by li cho tt ln. Cc tc gi xin chn thnh
cm n s quan tm v gip ca h. Tt nhin, mi li cn li trong sch l thuc v
trch nhim ca cc tc gi.
Quyn sch ny l mt sn phm ca Trung Tm Ton Ti Chnh v Cng Nghip
H Ni (do cc tc gi thnh lp vo u nm 2009), c vit vi mc ch trc ht l
phc v cho nhu cu ca bn thn Trung Tm. Cc tc gi hy vng rng, quyn sch
ny s c ch, khng ch cho Trung Tm, m cn cho mt lng rt ln cc c gi khc
ang hoc s quan tm v xc sut v thng k.
H Ni Toulouse, 2009
Mc lc
1 Xc sut l g . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Xc sut l g ? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1 Xc sut ca mt s kin . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.2 Ba tin v s nht qun ca xc sut . . . . . . . . . . . . . . . . . . . 2
1.1.3 Xc sut ph thuc vo nhng g ? . . . . . . . . . . . . . . . . . . . . . . 3
1.1.4 Tnh xc sut bng thng k . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 M hnh ton hc ca xc sut . . . . . . . . . . . . . . . . . . . . . . 6
1.2.1 Khng gian xc sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2.2 Phn b xc sut Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2.3 Phn b xc sut u . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.2.4 M hnh xc sut vi v hn cc s kin . . . . . . . . . . . . . . . . . . . 12
1.2.5 nh x gia cc khng gian xc sut . . . . . . . . . . . . . . . . . . . . . 13
1.2.6 Tch ca cc khng gian xc sut . . . . . . . . . . . . . . . . . . . . . . . 14
1.2.7 Phn b nh thc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.3 Xc sut c iu kin . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.3.1 nh ngha xc sut c iu kin . . . . . . . . . . . . . . . . . . . . . . . 18
1.3.2 S c lp v ph thuc ca cc s kin . . . . . . . . . . . . . . . . . . . 20
1.3.3 Cng thc xc sut ton phn . . . . . . . . . . . . . . . . . . . . . . . . 22
1.3.4 Cng thc Bayes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
1.4 Mt s nghch l trong xc sut . . . . . . . . . . . . . . . . . . . . . 24
1.4.1 Nghch l 1 (Nghch l Simpson). Thuc no tt hn ? . . . . . . . . . . . 24
1.4.2 Nghch l 2. Hong t c ch em gi khng ? . . . . . . . . . . . . . . . . 25
1.4.3 Nghch l 3. Vn Phm c phi l th phm ? . . . . . . . . . . . . . . . 25
1.4.4 Li gii cho cc nghch l . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
v
vi MC LC
1.5 Lut s ln . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
1.6 Bi tp b sung cho Chng 1 . . . . . . . . . . . . . . . . . . . . . . 30
2 Bin Ngu Nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.1 Bin ngu nhin v phn b xc sut ca n . . . . . . . . . . . . . . 33
2.1.1 Bin ngu nhin l g ? . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.1.2 M hnh ton hc ca bin ngu nhin . . . . . . . . . . . . . . . . . . . . 34
2.1.3 Phn b xc sut ca bin ngu nhin . . . . . . . . . . . . . . . . . . . . 35
2.1.4 Cc loi phn b xc sut trn R . . . . . . . . . . . . . . . . . . . . . . . 38
2.2 Mt s phn b xc sut thng gp . . . . . . . . . . . . . . . . . . . 40
2.2.1 Phn b hnh hc v phn b nh thc m . . . . . . . . . . . . . . . . . 41
2.2.2 Phn b Poisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.2.3 Phn b u (trng hp lin tc) . . . . . . . . . . . . . . . . . . . . . . 44
2.2.4 Phn b normal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.2.5 Phn b ly tha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
2.2.6 Phn b Pareto . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
2.3 K vng ca bin ngu nhin . . . . . . . . . . . . . . . . . . . . . . . 49
2.3.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.3.2 Trng hp tng qut: tch phn trn khng gian xc sut . . . . . . . . . 52
2.3.3 K vng ca phn b xc sut trn R . . . . . . . . . . . . . . . . . . . . 55
2.3.4 Gi tr k vng hnh hc . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
2.4 Phng sai, lch chun, v cc moment . . . . . . . . . . . . . . . . 59
2.4.1 Phng sai v lch chun . . . . . . . . . . . . . . . . . . . . . . . . . 59
2.4.2 Cc moment ca mt bin ngu nhin . . . . . . . . . . . . . . . . . . . . 61
2.4.3 Bt ng thc Chebyschev v bt ng thc Markov . . . . . . . . . . . . 64
2.5 Hm c trng, hm sinh, v bin i Laplace . . . . . . . . . . . . . 66
2.5.1 Hm c trng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
2.5.2 Tm li phn b xc sut t hm c trng . . . . . . . . . . . . . . . . . 67
2.5.3 Hm sinh xc sut v bin i Laplace . . . . . . . . . . . . . . . . . . . . 70
3 Vector ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
3.1 Vector ngu nhin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
3.1.1 Phn b xc sut ng thi . . . . . . . . . . . . . . . . . . . . . . . . . . 73
3.1.2 Cc phn b xc sut bin . . . . . . . . . . . . . . . . . . . . . . . . . . 74
MC LC vii
3.1.3 Hm mt ng thi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
3.1.4 Hm c trng ca vector ngu nhin . . . . . . . . . . . . . . . . . . . . 77
3.2 Cc bin ngu nhin c lp . . . . . . . . . . . . . . . . . . . . . . . 78
3.2.1 S c lp ca mt b bin ngu nhin . . . . . . . . . . . . . . . . . . . 78
3.2.2 Mt v d khng hin nhin v s c lp . . . . . . . . . . . . . . . . . . 80
3.2.3 Mt s h qu ca s c lp . . . . . . . . . . . . . . . . . . . . . . . . . 80
3.3 Lut s ln . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
3.3.1 Dng yu ca lut s ln cho phn b bt k . . . . . . . . . . . . . . . . 82
3.3.2 Dng mnh ca lut s ln . . . . . . . . . . . . . . . . . . . . . . . . . . 83
3.3.3 Tch ca mt dy v hn cc khng gian xc sut . . . . . . . . . . . . . 84
3.3.4 Chng minh nh l 3.8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.4 S tng quan gia cc bin ngu nhin . . . . . . . . . . . . . . . . . 87
3.4.1 Hip phng sai . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
3.4.2 H s tng quan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.4.3 Quan h tuyn tnh vi sai s bnh phng nh nht . . . . . . . . . . . . 92
3.4.4 H s tng quan v quan h nhn qu . . . . . . . . . . . . . . . . . . . 94
3.5 Phn b v k vng c iu kin . . . . . . . . . . . . . . . . . . . . . 95
3.5.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
3.5.2 Trng hp lin tc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
3.6 Phn b normal nhiu chiu . . . . . . . . . . . . . . . . . . . . . . . . 99
3.6.1 nh ngha ca phn b normal nhiu chiu . . . . . . . . . . . . . . . . . 99
3.6.2 Trng hp hai chiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
3.6.3 Mt s tnh cht ca phn b normal nhiu chiu . . . . . . . . . . . . . 102
4 Cc nh l gii hn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.1 nh l gii hn trung tm . . . . . . . . . . . . . . . . . . . . . . . . 105
4.1.1 nh l de Moivre Laplace . . . . . . . . . . . . . . . . . . . . . . . . . 105
4.1.2 nh l gii hn trung tm . . . . . . . . . . . . . . . . . . . . . . . . . . 108
4.1.3 Gii hn ca dy hm c trng . . . . . . . . . . . . . . . . . . . . . . . 110
4.2 Hi t yu v cc kiu hi t khc . . . . . . . . . . . . . . . . . . . . 112
4.2.1 Hi t yu v hi t theo phn phi . . . . . . . . . . . . . . . . . . . . . 112
4.2.2 Cc metric trn khng gian cc phn b xc sut . . . . . . . . . . . . . . 114
4.2.3 nh l tin compact ca Prokhorov . . . . . . . . . . . . . . . . . . . . . 117
viii MC LC
4.2.4 nh l lin tc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
4.2.5 Cc kiu hi t khc ca dy bin ngu nhin . . . . . . . . . . . . . . . . 120
4.3 Phn b
2
v nh l Pearson . . . . . . . . . . . . . . . . . . . . . . 121
5 Thng k ton hc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
5.1 Cc vn thng k . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
5.2 c lng bng thng k . . . . . . . . . . . . . . . . . . . . . . . . . 133
5.2.1 Mu thc nghim v phn b thc nghim . . . . . . . . . . . . . . . . . 133
5.2.2 Hm c lng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
5.2.3 c lng khng chch ca phng sai . . . . . . . . . . . . . . . . . . . . 138
5.2.4 Phng php hp l cc i . . . . . . . . . . . . . . . . . . . . . . . . . . 138
5.2.5 Phng php moment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
5.3 Sai s v tin cy ca c lng . . . . . . . . . . . . . . . . . . . . 142
5.3.1 Sai s ca c lng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
5.3.2 Khong tin cy v tin cy . . . . . . . . . . . . . . . . . . . . . . . . . 144
5.3.3 Khong tin cy cho lch chun . . . . . . . . . . . . . . . . . . . . . . 146
5.3.4 Phn b Student . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
5.4 Kim nh cc gi thuyt . . . . . . . . . . . . . . . . . . . . . . . . . 149
5.4.1 Mt s nguyn tc chung ca kim nh bng thng k . . . . . . . . . . 150
5.4.2 Kim nh Z v kim nh T cho k vng . . . . . . . . . . . . . . . . . . 153
5.4.3 Kim nh so snh hai k vng . . . . . . . . . . . . . . . . . . . . . . . . 155
5.4.4 Kim nh F so snh hai lch chun . . . . . . . . . . . . . . . . . . . 158
5.5 Kim nh
2
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
5.5.1 Trng hp m hnh xc sut c nh . . . . . . . . . . . . . . . . . . . . 159
5.5.2 Trng hp m hnh xc sut c c lng theo tham s . . . . . . . . 161
5.5.3 Kim nh
2
cho s c lp . . . . . . . . . . . . . . . . . . . . . . . . . 163
5.6 Phn tch hi qui . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
5.6.1 Hi qui tuyn tnh n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
5.6.2 Hi qui tuyn tnh bi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
5.6.3 Hi qui phi tyn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
Chng 1
Xc sut l g
1.1 Xc sut l g ?
Hu nh mi ngi u bit n khi nim xc sut. Tuy nhin khng phi ai cng
hiu r nhng tnh cht c bn ca n. V d nh s ph thuc vo thng tin ca xc
sut (mi khi c thm thng tin mi th xc sut thay i) hay b b qua. V c nhng
bi ton tnh ton xc sut tng chng nh rt n gin, nhng c hn mt na s
ngi tng hc xc sut lm sai khi c hi, k c cc thc s ngnh ton. Bi vy,
trong chng ny, chng ta s nhn mnh nhng s t nh trong xc sut, c bit l vi
xc sut c iu kin, m bn c cn bit n, trnh c nhng li c bn hay gp
nht.
Trc khi i vo l thuyt, c mt cu lin quan n xc sut sau y dnh cho
bn c. Gi s c mt tr chi trn TV nh sau: c 3 cnh ca, ng sau 1 trong 3
cnh ca l 1 mn qu ln, cn sau 2 ca cn li khng c g. Ngi chi c chn
1 trong 3 cnh ca, nu chn ng ca c qu th c nhn qu. Sau khi ngi chi
chn 1 ca, ngi hng dn chng trnh m mt trong hai ca cn li ra, nhng s ch
m ca khng c qu. Sau ngi chi c quyn chn, hoc l gi ci ca mnh chn
ban u, hoc l i ly ci ca cha c m cn li. Theo bn th ngi chi nn chn
phng n no? V sao ? Hy th ngh v n mt cht trc khi tip tc c.
1.1.1 Xc sut ca mt s kin
Xc sut ca mt s kin (hay tnh hung gi nh) l kh nng xy ra s kin (hay
tnh hung gi nh) , c nh gi di dng mt s thc nm gia 0 v 1.
1
2 CHNG 1. XC SUT L G
Khi mt s kin khng th xy ra th xc sut ca n bng 0. V d nh xc sut ca
s kin c ngi sng trn sao Th bng 0.
Khi mt s kin chc chn hoc s xy ra th xc sut ca n bng 1 (hay cn vit
l 100%). V d nh s kin ti c sinh ra t trong bng m c xc sut bng 1.
Khi mt s kin c th xy ra v cng c th khng xy ra, v chng ta khng bit n
c chn chn xy ra hay khng, th chng ta c th coi xc sut ca n ln hn 0 v nh
hn 1. S kin no c coi l cng d xy ra th c xc sut cng ln (cng gn 1), v
ngc li nu cng kh xy ra th xc sut cng nh (cng gn 0). V d ti mua mt v
x s. Ti khng bit n s trng gii hay khng, c th c m cng c th khng. Nu
nh c 100 v x s ch c 1 v trng gii, th ti s coi xc sut trng gii ca v ca ti
l 1%. Con s 1% y chnh l tn sut, hay t l trng gii ca cc v x s: n bng
s cc v trng gii chia cho tng s cc v.
Khng nhng ch cc s kin trong tng lai, m c cc s kin trong qu kh, m
chng ta thiu thng tin c th bit chc l chng thc s xy ra hay khng, th
chng ta vn c th gn cho cc s kin mt xc sut no , ng vi tin tng ca
chng ta v vic s kin thc s xy ra hay khng. V d nh, n hong Cleopatra
ca Ai Cp c t t bng cch cho rn c cn khng ? y l mt gi thuyt, m
theo cc nh s hc th c nhiu kh nng xy ra, nhng khng chc chn.
1.1.2 Ba tin v s nht qun ca xc sut
Tin 1. Nh vit pha trn, nu A l mt s kin (gi nh) v k hiu P(A) l
xc sut ca A th
0 P(A) 1 (1.1)
Tin 2. Nu A l mt s kin, v k hiu A l s kin ph nh ca A th
P(A) + P(A) = 1 (1.2)
ngha trit hc ca tin 2 tng i hin nhin: Trong hai s kin A v ph
nh ca A c 1 v ch 1 s kin xy ra. Nu A cng c nhiu kh nng x ra th ph
nh ca A cng c t kh nng xy ra, v ngc li.
V d 1.1. Mt hc sinh i thi vo mt trng i hc. Nu xc sut thi l 80% th
xc sut thi trt l 20% (= 100% - 80%), ch khng th l 30%, v nu xc sut thi
l 80% v xc sut thi trt l 30% th khng nht qun.
1.1. XC SUT L G ? 3
V d 1.2. Ti tung mt ng tin, khi n ri xung th c th hin mt sp hoc mt
nga. Tng xc sut ca hai s kin mt sp v mt nga bng 1. Nu ti khng c
l do c bit g ngh rng mt no d hin ln hn mt no, th ti coi rng hai mt
c xc sut hin ln bng nhau. Khi s kin mt nga c xc sut bng s kin mt
sp v bng 1/2.
Tin 3. Vi hai s kin A v B, ta s k hiu s kin c A v B u xy ra bng
A B v s kin t nht mt trong hai s kin A hoc B xy ra bng A B. Khi
nu hai s kin A v B khng th cng xy ra, th xc sut ca s kin xy ra A hoc
B bng tng cc xc sut ca A v ca B:
P(A B) = 0 P(A B) = P(A) + P(B) (1.3)
V d 1.3. Mt hc sinh c cho im mt bi kim tra. C th c 7 im, c th
c 8 im, hoc c th c im khc, nhng khng th va c 7 im va c 8
im. Bi vy P((7d) (8d)) = P(7d) + P(8d)
Tin 3 c th pht biu mt cch tng qut hn nh sau:
Tin 3. Nu X v Y l hai s kin bt k th
P(A B) = P(A) + P(B) P(A B). (1.4)
Bi tp 1.1. Chng minh rng tin 3 tng ng vi tin 3.
1.1.3 Xc sut ph thuc vo nhng g ?
Xc sut ca mt s kin khng nht thit phi l mt hng s, m n c th thay
i, ph thuc vo nhiu yu t. (T s kin y hiu theo ngha thng thng, ch
khng phi theo ngha mt tp hp trong mt khng gian xc sut vi 1 o xc sut
c nh trong m hnh ton hc)
Xc sut thay i theo thi gian. V d, ng Obama c bu lm tng thng M vo
thng 11/2008. T trc lc bu c my thng, c s cnh tranh c lit gia ng ta v
i th chnh ca ng ta l ng McCain, v mt ngi quan st bn ngoi c th nhn
nh l hai ng c kh nng c bu c ngang nhau (tc l xc sut c bu ca mi
ng qung 50%). Nhng khi kt qu bu c c cng b trn vn, th xc sut c
bu ca Obama chuyn thnh 100% (tc l ng ta chc chn c bu). Trc 1
nm, ng Obama l mt ngi cha c nhiu ngi bit n v cn phi tranh c vi
b Clinton v cc ng c vin khc trong ng ca mnh, v khi , i vi quan st vin
4 CHNG 1. XC SUT L G
bn ngoi, xc sut c bu lm tng thng ca Obama khng phi 100%, cng khng
phi 50%, m nh hn th nhiu.
Xc sut ph thuc vo thng tin. Ly bi ton v tr chi trn TV vit pha trn
lm v d. Gi tn ca m ngi chi chn lc u l A, ca khng c qu m ngi
hng dn chng trnh m ra l B, v ca cn li l C. Vo thi im ban u, khng
c thng tin g v ca no pha sau c qu, thng tin duy nht l 1 trong 3 ca c qu.
Khng c c s g cho rng ca no c nhiu kh nng c qu hn ca no, bi vy
vo thi im ban u ta coi P(A) = P(B) = P(C) = 1/3. Nhng sau khi ca B c
m ra, th ta c thm mt thng tin mi, l ca B khng c qu. Nh vy thng tin mi
ny lm thay i xc sut ca B: by gi ta c P(B) = 0. Khng ch xc sut ca B thay
i, m tng xc sut ca A v C by gi cng thay i: P(A) +P(C) = 1 thay v bng
2/3 nh trc. Nh vy t ra mt trong hai s P(A) hoc P(C) thay i, hoc l c hai.
Xc sut P(A) c thay i v thng tin mi ny khng ? Cu tr li l khng (Gii thch
v sao khng ?). Ch c P(C) l thay i: sau khi ngi hng dn chng trnh m ca
B, th ta c P(A) = 1/3 v P(C) = 2/3. Nh vy ngi chi nn i ca A ly ca C
th d thng hn. thy r hn vic cnh ca cn li c nhiu kh nng c qu hn l
cnh ca m ngi chi chn ban u, thay v ch c 3 ca, ta hy hnh dung c 100 ca.
Sau khi bn chn 1 ca, ngi dn chng trnh m 98 ca khng c qu trong s 99 ca
cn li, ch li 1 ca thi. Khi , nu c i, bn s gi nguyn ca ca mnh, hay
l i ly ci ca cn li kia ?
Xc sut ph thuc vo iu kin. Chng ta s bn v xc sut c iu kin v cng
thc tnh xc sut c iu kin mt phn sau. iu ng ch y l, mi xc sut
u c th coi l xc sut c iu kin, v u ph thuc vo nhng iu kin no ,
c th c ni ra hoc khng ni ra (iu kin hiu ngm). V d, khi chng ta ni khi
tung ci xc sc S, xc sut hin ln mt c 3 chm l 1/6, chng ta hiu ngm S l
mt ci xc sc u n, cc mt u c kh nng xut hin nh nhau. Nhng nu S l
mt ci xc sc mo m, nh bn ny nng bn n (iu kin khc i), th hon ton c
th l xc sut khi tung hin ln mt c 3 chm s khc 1/6. Mt v d khc l xc
sut xy ra tai nn khi li t: khi ngi li xe khoe mnh tnh to, th xc sut xy ra
tai nn thp, cn khi vn ngi li b say ru hoc bun ng gt, th xc sut xy
ra tai nn cao hn, v.v. Khi chng ta bit thm mt iu kin mi, tc l c thm mt
thng tin mi, bi vy s ph thuc vo iu kin ca xc sut cng c th coi l s ph
thuc vo thng tin.
Xc sut ph thuc vo ngi quan st, hay l tnh ch quan ca xc sut. Cng l
1.1. XC SUT L G ? 5
mt s kin, nhng hai ngi quan st khc nhau c th tnh ra hai kt qu xc sut khc
nhau, v c hai u c l, bi v h da trn nhng thng tin v phn tch khc nhau.
V d nh, c chuyn gia ti chnh nh gi rng c phiu ca hng Vinamilk c nhiu
kh nng i ln trong thi gian ti, trong khi li c chuyn gia ti chnh khc nh gi
rng c phiu ca hng c nhiu kh nng i xung t kh nng i ln trong thi gian
ti. Quay li tr chi truyn hnh: vi ngi chi th P(A) = 1/3, nhng i vi ngi
dn chng trnh th P(A) khng phi l 1/3, m l 0 hoc 1, v ngi bit ng
sau ca A c qu hay khng.
1.1.4 Tnh xc sut bng thng k
i vi nhng hin tng xy ra nhiu ln, th ngi ta c th dng thng k tnh
xc sut ca s kin xy ra hin tng . Cng thc s l
P(A) =
N(A)
N(total)
(1.5)
y N(total) l tng s cc trng hp c kho st, v N(A) l s cc trng hp
c kho st tha mn iu kin xy ra A.
C s ton hc cho vic dng thng k tnh xc sut, l lut s ln v cc nh l
gii hn, m chng ta s tm hiu pha sau trong sch ny.
V d 1.4. C mt s s liu sau y v tai tn t v my bay. Trong nhng nm
1989-1999, trn ton th gii, trung bnh mi nm c khong 18 triu chuyn bay, 24 tai
nn my bay cht ngi, v 750 ngi cht trong tai nn my bay. Cng trong khong
thi gian , nc Php, trung bnh mi nm c khong 8000 ngi cht v tai nn t,
trn tng s 60 triu dn. T cc s liu ny, chng ta c th tnh: Xc sut mt ngi
Php b cht v tai nn t trong mt nm l 8000/60000000 = 0,0133%. Xc sut
i mt chuyn bay gp tai nn cht ngi l 24/18000000 = 0,000133%, ch bng 1/100
xc sut b cht v tai nn t trong 1 nm. Nu mt ngi mt nm bay 20 chuyn, th
xc sut b cht v tai nn my bay trong nm bng qung 20 0, 000133% = 0, 00266%,
tc l ch bng 1/5 xc sut b cht v tai nn t trong nm.
V d 1.5. ng Gregor Mendel (1822-1884) l mt tu s ngi o (Austria) thch nghin
cu sinh vt. ng ta trng nhiu ging u khc nhau trong vn ca tu vin, v ghi
chp t mn v cc tnh cht di truyn v lai ging ca chng. Nm 1866 Mendel cng b
mt bi bo v cc hin tng m ng ta qua st c, v l thuyt ca ng ta gii
thch cc hin tng. Mt trong nhng quan st trong l v mu sc: Khi lai u ht
6 CHNG 1. XC SUT L G
vng vi u ht xanh (th h th nht) th cc cy lai (th h th hai) u ra u ht
vng, nhng tip tc lai cc cy u ht vng th h th hai ny vi nhau, th n th
h th ba xc sut ra u ht xanh l 1/4. Con s 1/4 l do Mendel thng k thy t l
Hnh 1.1: L thuyt di truyn ca Mendel v xc sut trong lai ging u
u ht xanh th h th ba gn bng 1/4. T Mendel xy dng l thuyt di truyn
gii thch hin tng ny: mu ca u c xc nh bi 1 gen, v gen gm c hai
phn. Th h u tin, cy u ht vng c gen thun chng YY cn ht xanh c gen
yy (tn gi Y v y y l ty tin). Khi lai nhau, th mt na gen ca cy ny
ghp vi mt na gen ca cy kia to thnh gen ca cy con. Cc cy th h th hai
u c gen Yy, v mu ht ca gen Yy cng l vng. n th h th ba, khi lai Yy
vi Yy th c 4 kh nng xy ra : YY, Yy, yY v yy. (Yy v yY l ging nhau
v gen, nhng vit nh vy l phn bit l phn Y n t cy th nht hay cy th
hai trong 2 cy lai vi nhau). V l thuyt, c th coi 4 kh nng trn l c xc sut xy
ra bng nhau. Bi vy xc sut cy th h th ba c gen yy (ht mu xanh) l 1/4.
Trong rt nhiu nm sau khi cng b, cng trnh ca Mendel khng c cc nh khoa
hc khc quan tm n, nhng ngy nay Mendel c coi l cha t ca di truyn hc.
1.2 M hnh ton hc ca xc sut
1.2.1 Khng gian xc sut
Khng gian xc sut l mt khi nim ton hc nhm tru tng ha 3 tin pha
trn v s nht qun ca xc sut.
nh ngha 1.1. Mt khng gian xc sut l mt tp hp , cng vi:
1.2. M HNH TON HC CA XC SUT 7
1) Mt h S cc tp con ca , tha mn cc tnh cht sau: S, v nu A, B S
th A B S, A B S v A := \ A S. Mt h nh vy c gi l mt i s
cc tp con ca . Trong trng hp l mt tp c v hn cc phn t, th chng ta s
i hi thm iu kin sau: Nu A
i
, i = 1, 2, 3, . . . l mt dy v hn cc phn t ca S,
th hp

i=1
A
i
cng thuc h S. Vi thm iu kin ny, S c gi l mt sigma-i
s. Cc phn t ca S c gi l l tp hp con o c ca khng gian xc sut.
2) Mt hm s thc P : S R trn S, c gi l phn b xc sut hay o
xc sut trn , tha mn cc tnh cht sau:
i) Vi mi A S, ta c
0 P(A) 1. (1.6)
ii)
P() = 0, P() = 1. (1.7)
iii) Nu A B = th
P(A B) = P(A) + P(B). (1.8)
Tng qut hn, nu A
i
, i = 1, 2, 3, . . . l mt dy cc tp hp con o c khng giao nhau
th
P(
_
i
A
i
) =

i
P(A
i
). (1.9)
Ghi ch 1.1. 1) Khng gian xc sut cn c gi l khng gian mu (sample space),
v n l m hnh ton hc tru tng cho vn tnh ton xc sut ang c quan tm.
Mi phn t ca c th c gi l mt s kin thnh phn (elementary event). Nu
A l mt phn t ca th ta cng c th vit P(A) v hiu l P({A}), trong {A}
l tp con ca cha duy nht mt phn t A. Mi s kin l mt tp con ca , v c
th gm nhiu (thm ch v hn) s kin thnh phn. Khng nht thit tp con no ca
cng o c (tc l nm trong h S), v chng ta s ch quan tm n nhng tp con
o c.
2) Trong ton hc, mt i s l mt tp hp vi cc php tnh cng, tr, v php nhn
(khng nht thit phi c php chia). Cc tnh cht ca h S trong nh ngha khng
gian xc sut khin n l mt i s theo ngha nh vy: Phn t 0 trong S l tp rng,
phn t n v trong S l tp , php nhn trong S l php giao: A B := A B, v
php cng trong S l php A + B := (A B) \ (A B) = (A \ B) (B \ A). i s ny
c s c trng bng 2, tc l 2A = A+A = 0 vi mi A (v bi vy php cng v php
tr chng qua l mt). Chng ta mun S l mt i s chnh l cho vic lm cc php
tnh s hc vi xc sut c thun tin.
8 CHNG 1. XC SUT L G
Hnh 1.2: A. N. Kolmogorov
3) ng thc (1.9) c gi l tnh cht sigma ca xc sut. Trong ton, ch ci hy
lp sigma thng dng k hiu tng, vi hu hn hay v hn cc thnh phn. Tnh
cht sigma l tnh cht cng tnh v hn: khi c mt dy v hn cc tp con khng giao
nhau, xc sut ca hp ca chng cng bng tng v hn ca cc xc sut ca cc tp
con. Tnh cht sigma chnh l tnh cht cho php chng ta ly gii hn trong vic tnh
ton xc sut. Chng hn nh, nu A
1
A
2
. . . l mt dy tng cc tp con ca , v
A = lim
n
A
n
=

n=1
A
n
, th ta c th vit P(A) = lim
n
P(A
n
), bi v
P(A) = P(A
1

_
n=1
(A
n+1
\ A
n
)) = P(A
1
) +

n=1
P(A
n+1
\ A
n
)
= P(A
1
) + lim
n
n

k=1
P(A
k+1
\ A
k
) = A
1
+ lim
n
(P(A
n+1
) P(A
1
)) (1.10)
Php ton ly gii hn l php ton c bn nht ca gii tch ton hc, v mi php ton
gii tch khc nh o hm, tch phn, v.v. u c th c nh ngha qua php ly gii
hn. Bi vy, tnh cht sigma chnh l tnh cht cho php chng ta s dng gii tch ton
hc trong vic nghin cu xc sut. Cc nh ton hc c in trong th k 18 v 19
dng cc php tnh vi tch phn trong xc sut, tc l dng tnh cht sigma. V mt
trc gic, tnh cht sigma l m rng hin nhin ca tnh cht cng tnh (1.8). Tuy nhin,
ni mt cch cht ch ton hc, ng thc (1.9) khng suy ra c t ng thc (1.8),
v phi c coi l mt tin trong xc sut. Tin ny c ra bi nh ton hc
ngi Nga Andrei Nikolaievitch Kolmogorov (1903-1987), ngi xy dng nn tng cho
l thuyt xc sut hin i.
Bi tp 1.2. Chng minh rng, vi 3 tp con A, B, C (o c) bt k trong mt khng
1.2. M HNH TON HC CA XC SUT 9
gian xc sut, ta c:
P(ABC) = P(A) +P(B) +P(C) P(AB) P(BC) P(CA) +P(ABC).
1.2.2 Phn b xc sut Bernoulli
Hnh 1.3: Bia m ca mathematicus incomparabilis J. Bernoulli Basel
Khng gian xc sut n gin nht m khng tm thng l khng gian snh bi ng
1 s kin A v ph nh A ca n: = {A, A}. Phn b xc sut trn trong trng
hp ny c xc nh bi ng mt s p = P(A). Phn b ny c gi l phn b
Bernoulli, theo tn ca Jacob Bernoulli (1654-1705), mt nh ton hc ngi Th S.
V d 1.6. Mt vn ng vin bn sng, nhm vo ch bn 1 pht sng. C hai s kin
i lp nhau c th xy ra l A = bn trng v A = bn trt. Gi s xc sut bn
trng l 95%. Khi ta c khng gian xc sut = {A, A} vi phn b xc sut Bernoulli
vi p = P(A) = 95%. Xc sut ca A (s kin bn trt) bng 1 p = 1 95% = 5%.
V d 1.7. (Ci kim ca Buffon). B tc George-Louis Leclerc de Buffon (1707-1788)
l mt nh khoa hc t nhin ln, nghin cu v thc vt, ng vt, tri t, lch s
t nhin, v.v. Thi tr, ng ta c bit thch ton hc, v vo nm 1733 c trnh ln
Vin Hm lm Php mt cng trnh nhan Sur le jeu du franc-carreau (v ch tri
franc-careau, l mt tr chi c cc thnh hnh thi : ngi ta tung 1 ng tin vo 1
10 CHNG 1. XC SUT L G
vung v c cc nhau xem v tr n s nm ch no). Trong cng trnh ny, cc php
ton vi tch phn c Buffon a vo l thuyt xc sut. Buffon cn l ngi ngh ra
phng php sau y tnh s : Ly 1 t giy to v 1 ci kim. K cc ng thng
song song trn t giy, cch u nhau mt khong cch ng bng chiu di ca ci kim.
Tung ci kim mt cch ngu nhin ln trn t giy. C hai kh nng xy ra: 1) kim nm
ln 1 ng thng trong cc ng c k; 2) kim nm lt vo gia hai ng thng.
Buffon tnh ra rng, s kin kim nm ln 1 ng thng c xc sut bng 1/. Nh
vy hai s kin nm ln 1 ng thng v nm lt vo gia hai ng thng hp
thnh mt khng gian xc sut Bernoulli vi p = 1/. Tung kim n ln, v gi s ln kim
nm ln 1 ng thng trong s n ln tung l b
n
. Khi , theo lut s ln, b
n
/n tin ti
p = 1/ khi n tin ti v cng. Bi vy xp x tnh s , c th lm nh sau: tung kim
tht nhiu ln, m s ln kim ln trn 1 ng thng, ri ly s ln tung chia cho s
. Phng php tung kim ca Buffon chnh l tin thn ca phng php Monte-Carlo
trong ton hc.
Hnh 1.4: Tng ca Buffon Jardin des Plantes, Paris
1.2. M HNH TON HC CA XC SUT 11
1.2.3 Phn b xc sut u
nh ngha 1.2. Phn b xc sut P trn khng gian xc sut hu hn vi N phn t
= {A
1
, . . . , A
N
} c gi l phn b xc sut u nu nh P(A
1
) = . . . = P(A
N
) =
1/N.
Tt nhin, mi khng gian xc sut vi mt s hu hn cc phn t ch c duy nht
mt phn b xc sut u trn .
Ghi ch 1.2. Khi nim phn b u khng m rng c ln cc khng gian xc sut
c s phn t l v hn v m c, bi v 1 chia cho v cng bng 0, nhng m tng
ca mt chui v hn s 0 vn bng 0 ch khng bng 1.
Cc phn b xc sut u l cc phn b quan trng hay gp trong thc t. L do
chnh dn n phn b xc sut u l tnh i xng, cn bng, hay hon v c ca cc
s kin thnh phn.
V d 1.8. Ly mt b bi t l kh mi c 52 qun, t nm sp. Khi xc sut
rt mt con bi trong ra mt cch ty c con 2 C (hay bt k s no khc)
bng 1/52. V sao vy ? V cc con bi khi t nm sp th ging ht nhau, khng th
phn bit c con no vi con no, s no cng c th c vit di bt k con bi
no, v nu chuyn ch 2 con bi trong b bi vi nhau th trng b bi vn ht nh c
(y chnh l tnh i xng, hon v c). Ngi quan st khng c thng tin g
c th nhn bit c s no d nm pha di con bi no hn trong cc con bi ng
nm sp, v khi th phi coi rng xc sut ca cc s l nh nhau. Nu nh c nhng
con bi c nh du (chi n gian), th tt nhin i vi ngi bit chuyn nh du,
khng cn phn b xc sut u na.
Cng thc tnh xc sut ca mt s kin trong mt phn b xc sut u rt n
gin: Nu nh khng gian xc sut vi phn b xc sut u c N phn t, v s kin
c biu din bng mt tp con A ca vi k phn t, th xc sut ca A bng k/N:
P(A) =
#A
#
=
k
N
(1.11)
V d 1.9. Gi s mt gia nh c 3 con. Khi xc sut gia nh c 2 con trai 1
con gi l bao nhiu. Chng ta c th lp m hnh xc sut vi 4 s kin thnh phn: 3
trai, 2 trai 1 gi, 1 trai 2 gi, 3 gi. Th nhng 4 s kin thnh phn khng cn bng
vi nhau, v bi vy khng kt lun c rng xc sut ca 2 trai 1 gi l 1/4. c
khng gian xc sut vi phn b u, ta c th lp m hnh xc sut vi 8 s kin thnh
12 CHNG 1. XC SUT L G
phn nh sau:
= {TTT, TTG, TGT, TGG, GTT, GTG, GGT, GGG}.
(Chng hn, GGT c ngha l con th nht l con gi, con th hai l con gi, con th ba
l con trai). S kin 2 trai mi gi l hp ca 3 s kin thnh phn trong m hnh xc
sut ny: TTG, TGT, GTT. Nh vy xc sut ca n bng 3/8.
Bi tp 1.3. C mt nhm n bn, trong c hai bn Vva v Lily. Xp cc bn trong
nhm thnh mt hng dc mt cch ngu nhin. Hi xc sut Vva v tr ngay sau
Lily trong hng l bao nhiu ?
Bi tp 1.4. Mt nhm c 5 ngi, vi 5 tn khc nhau. Mi ngi vit tn ca mt ngi
khc trong nhm mt cch ngu nhin vo giy. Tnh xc sut c 2 ngi trong nhm
vit tn ca nhau.
Bi tp 1.5. Gi s trong mt gii bng u loi trc tip c 8 i A,B,C,D,E,F,G,H
tham gia: vng 1 c 4 trn, vng 2 c 2 trn, vng 3 (vng cui cng) c 1 trn. Gi s
xc sut mi i thng mi trn u l 1/2, v cc i bt thm xem i no u
vi i no vng u, cc vng sau th c xp theo kt qu vng trc. Tnh xc sut
i A c u vi i B trong gii.
1.2.4 M hnh xc sut vi v hn cc s kin
Mi vn xut pht t thc t u ch c mt s hu hn cc s kin thnh phn.
Nhng khi m s s kin thnh phn ln, th ngi ta c th dng cc m hnh ton
hc vi v hn phn t biu din, cho d hnh dung v tin tnh ton.
V d 1.10. Nu ta quan tm n lng khch hng trong mt ngy ca mt siu th,
th c th dng tp hp cc s nguyn khng m Z
+
lm khng gian xc sut: mi s
n Z
+
ng vi mt s kin s khch trong ngy l n. Vn tip theo l chn phn
b xc sut no trn Z
+
cho hp l (phn nh kh chnh xc thc t xy ra, ng thi
li tin cho vic tnh ton) ? V d ngi ta c th dng phn b xc sut sau trn Z
+
,
gi l phn b Poisson (c l Poa-Sng): P(n) = e

n
n!
vi mi n Z
+
. (Ch rng

n
P(n) =

n
e

n
n!
= e

n
n!
= e

= 1, nh vy cc tin v xc sut c
tha mn). Phn b Poisson ng vi hai gi thuyt: lng khch hng trung bnh trong
mt ngy l , v cc khch hng i n siu th mt cch ngu nhin v c lp vi
nhau. Chng ta s tm hiu k hn v phn b Poisson trong nhng phn sau.
1.2. M HNH TON HC CA XC SUT 13
V d 1.11. Ta bit rng c mt xe t X ang u trn mt khc ph Z, v ta quan
tm n v tr ca X trn ph . Ta c th m hnh X bng 1 im, Z bng mt on
thng v ly on thng lm khng gian xc sut: = [a, b], a, b R, a < b. (M
hnh xc sut lin tc ny c s phn t l continuum, khng m c). S kin
t ch no trn khc ph chuyn thnh s kin im x nm trong mt on
thng con no trn on thng = [a, b]. Ta c th chn phn b xc sut u trn
= [a, b] theo ngha sau: xc sut ca mi on thng con trn t l thun vi di
ca on thng con , v bng chiu di ca on thng con chia cho chiu di ca
: P([c, d]) = (d c)/(b a).
1.2.5 nh x gia cc khng gian xc sut
Cng mt vn tnh ton xc sut, ta c th lp nhiu m hnh khng gian xc sut
khc nhau. V d, m hnh xc sut n gin nht cho s kin b m s l m hnh
Bernoulli
1
= {S, H} vi 2 s kin S = b m (sick) v H = khng b m (healthy).
Nh ta cng c th chia nh s kin b m ra thnh rt nhiu s kin con, v d nh
m bnh A, m bnh B, m c bnh A ln bnh B, v.v. v s kin khng b m
cng c th chia thnh nhiu s kin con, v d nh rt khe, khng m nhng m
yu, v.v. Khi chia nh nh vy, ta c m hnh xc sut vi mt khng gian xc sut

2
= {S
1
, S
2
, . . . , H
1
, H
2
, . . .} vi nhiu phn t hn. Hai khng gian lin quan vi
nhau bi mt nh x :
1

2
, (S
i
) = S, (H
i
) = H. Tt nhin, khi ta chia nh s
kin S ra thnh nhiu s kin (khng giao nhau) S
1
, S
2
, . . ., th khng phi v th m xc
sut ca n thay i. Ni cch khc, ta phi c
P(S) = P(
1
(S)) = P(
i
S
i
) =

i
P(S
i
) (1.12)
Tnh cht trn l tnh cht bo ton xc sut ca nh x . Ni mt cch tng qut,
ta c nh ngha sau:
nh ngha 1.3. Mt nh x : (
1
, P
1
) (
2
, P
2
) t mt khng gian xc sut (
1
, P
1
)
vo mt khng gian xc sut (
2
, P
2
) c gi l mt nh x bo ton xc sut nu
n bo ton o xc sut, c ngha l vi mi tp con B
2
o c, ta c
P
1
(
1
(B)) = P
2
(B) (1.13)
Nu hn na, l mt song nh modulo nhng tp c xc sut bng 0, c ngha l tn
ti cc tp con A
1
, B
2
sao cho P
1
(A) = P
2
(B) = 0 v :
1
\ A
2
\ B l
14 CHNG 1. XC SUT L G
song nh bo ton xc sut), th c gi l mt ng cu xc sut , v ta ni rng
(
1
, P
1
) ng cu xc sut vi (
2
, P
2
).
V d 1.12. t 4 bn Al, Ben, Cam, Don ngi vo 4 gh A, B, C, D mt cch hon
ton ngu nhin. Tnh xc sut Al c t ngi vo gh A. C 4 gh, v xc sut
Al ngi vo mi ngh trong 4 gh coi l bng nhau (v khng c c g coi l khc
nhau), bi vy xc sut Al ngi vo gh A l 1/4. Nhng cng c th l lun t mn
hn nh sau: c tng cng 4! = 24 cch t 4 bn ngi vo 4 gh, trong c 3! = 6 cch
c Al ngi vo gh A. Bi vy xc sut Al ngi vo gh A l 6/24 = 4. Hai cch gii
cho cng mt p s, nhng s dng hai khng gian xc sut khc nhau: khng gian th
nht c 4 phn t, cn khng gian th hai c 24 phn t. C mt php chiu t nhin
bo ton xc sut t khng gian th hai ln khng gian th nht.
nh l 1.1. Nu (
1
, P
1
) l mt khng gian xc sut, v :
1

2
l mt nh x
ty , th tn ti mt o xc sut P
2
trn
2
, sao cho nh x : (
1
, P
1
) (
2
, P
2
)
l nh x bo ton xc sut.
Chng minh. C th xy dng P
2
theo cng thc sau: vi mi tp con B
2
, nu
tn ti P
1
(
1
(B)) th ta t
P
2
(B) := P
1
(
1
(B)) (1.14)
o xc sut P
2
nh ngha theo cng thc trn c gi l push-forward ca P
1
qua
nh x , hay cn gi l phn b xc sut cm sinh t P
1
qua nh x .
Bi tp 1.6. Chng minh rng quan h ng cu xc sut gia cc khng gian xc sut
l mt quan h tng ng.
1.2.6 Tch ca cc khng gian xc sut
Nu M v N l hai tp hp, th tch ca chng (hay cn gi l tch trc tip, hay tch
Descartes), k hiu l M N, l tp hp cc cp phn t (x, y), x M, y N. Trong
trng hp M = (
1
, P
1
) v N = (
2
, P
2
) l hai khng gian xc sut, th tch
1

2
,
cng c mt o xc sut P, c xc nh mt cch t nhin bi P
1
v P
2
bng cng
thc sau: Nu A
1

1
v A
2

2
nm trong cc sigma-i s tng ng ca P
1
v P
2
th:
P(A
1
A
2
) = P
1
(A
1
) P
2
(A
2
). (1.15)
1.2. M HNH TON HC CA XC SUT 15
Sigma-i s ca P chnh l sigma i s sinh bi cc tp con ca
1

2
c dng
A
1
A
2
nh trn. Khi ta ni n tch trc tip ca hai khng gian xc sut, ta s hiu
l n i km o xc sut c xc nh nh trn.
Tng t nh vy, ta c th nh ngha tch trc tip ca n khng gian xc sut, hay
thm ch tch trc tip ca mt dy v hn cc khng gian xc sut.
nh l 1.2. Hai php chiu t nhin t tch (
1
, P
1
) (
2
, P
2
) ca hai khng gian xc
sut xung (
1
, P
1
) v (
2
, P
2
) l hai nh x bo ton xc sut.
V d 1.13. Ly 1 ng xu tung 3 ln, mi ln hin ln S (sp) hoc N (nga). Khng gian
xc sut cc s kin y l khng gian cc dy 3 ch ci m mi ch ci l S hay N:
= {SSS, SSN, SNS, SNN, NSS, NSN, NNS, NNN}. K hiu (
k
= {S
k
, N
k
}, P
k
)
l khng gian xc sut ca mt hin ln trong ln tung th k. Ta gi s cc kt qu
ca cc ln tung l c lp vi nhau (tc l kt qu ln trc khng nh hng n kt
qu ca cc ln sau), khi c th coi l tch trc tip ca cc khng gian xc sut
(
k
= {S
k
, N
k
}, P
k
). Gi s ng xu l cn bng, hai mt sp nga c xc sut hin ln
ging nhau trong mi ln tung. Khi cc khng gian (
k
= {S
k
, N
k
}, P
k
) l ng cu
vi nhau v vi mt khng gian xc sut Bernoulli vi tham s p = 1/2. Ta c th vit:
= {S, N}
3
V d 1.14. Trong v d trn, nu thay v ch tung ng xc sc c 3 ln, ta hnh dng
la ta tung v hn ln (trong thc t khng lm c nh vy, nhng c gi s ta c v
hn thi gian v lm c nh vy). Khi mi s kin c c th c nh du bng
mt dy v hn cc ch ci m mi ch l S hoc N, v khng gian xc sut l
= {S, N}
N
Ta c th xy dng mt nh x bo ton xc sut sau t {S, N}
N
vo on thng [0, 1]
vi phn b xc sut u trn :
((M
i
)
iN
) :=

i=1
(M
i
)/2
i
y mi M
i
l S hoc N, v (N) = 0, (S) = 1. nh x
: {S, N}
N
[0, 1]
xy dng nh trn khng phi l mt song nh, nhng n l mt ng cu xc sut !
16 CHNG 1. XC SUT L G
Hnh 1.5: Blaise Pascal (1623-1662)
V d 1.15. Bi ton Mr. Hip s de Mr (tn khai sinh l Antoine Gombaud (1607-
1684), l nh vn v nh trit hc ngi Php) l mt nhn vt lch s nghin nh bc.
ng ta hay chi xc sc, v nhn thy rng trong hai s kin sau:
A = Tung mt con xc sc 4 ln, c t nht 1 ln hin ln 6, v
B = Tung mt i xc sc 24 ln, c t nht 1 ln hin ln mt i 6,
th B t xy ra hn A. Tuy nhin ng ta khng gii thch c ti sao. Theo ng ta th
ng nh hai s kin phi c kh nng xy ra bng nhau, v 24 = 64. ng ta bn hi
bn mnh l nh ton hc v trit hc Blaise Pascal (1623-1662), vo nm 1654. Pascal
lc t b ton, nhng c nhn li suy ngh v cu hi ca de Mr. Sau Pascal
vit th trao i vi Pierre de Fermat (159?-1665), mt lut s ng thi l nh ton hc
vng Toulouse (Php). Hai ngi cng nhau pht minh ra l thuyt xc sut c in, v
gii c bi ton ca de Mr. Kt qu l: P(A) = 1 P(A) = 1 (1 1/6)
4
0, 5177,
v P(B) = 1 P(B) = 1 (1 (1/6)
2
)
24
0, 4914.
Bi tp 1.7. Chng minh nh l 1.2.
1.2.7 Phn b nh thc
Phn b nh thc l mt trong nhng phn b hay gp nht, v n l mt v d v
s xut hin cc php ton t hp trong xc sut thng k.
nh ngha 1.4. Phn b nh thc vi cc tham s n, p (n N, 0 p 1) l phn
b xc sut
P(k) = C
k
n
p
k
(1 p)
nk
(1.16)
1.2. M HNH TON HC CA XC SUT 17
Hnh 1.6: Fermat v nng ton. Tng Toulouse
trn tp hp = {0, 1, 2, . . . , n}.
y, C
k
n
=
n!
k!(n k)!
l nh thc Newton. ngha t hp ca C
k
n
l: n l s cc
tp con c ng k phn t trong mt tp hp c n phn t, hay ni cch khc, n l s
cch chn ra mt nhm con vi k phn t, t mt nhm c n phn t.
Nhc li rng ta c cng thc i s quen thuc sau:
(x + y)
n
=
n

k=0
C
k
n
x
k
y
nk
. (1.17)
Nu thay x bng p v y bng 1p trong cng thc trn, th ta c

n
k=0
C
k
n
p
k
(1p)
nk
= 1,
chng t nh ngha phn b xc sut nh thc trn ph hp vi cc tin v xc sut.
ngha ca phn b nh thc nh sau: Khi ta lm n ln mt php th no , v
mi ln th xc sut xy ra kt qu A no l p (v d: mt ngi bn sng n ln, xc
sut trng ch mi ln l p), v gi s l kt qu ca cc ln th khc nhau c lp vi
nhau (ln th ny khng nh hng n ln th khc), th tng s ln xy ra kt qu A
trong s n ln l mt s nguyn nm gia 0 v n, v vi mi k = 0, 1, 2, . . . , n, xc st
ca s kin "s ln ra kt qu A l k" bng C
k
n
p
k
(1 p)
nk
.
Tht vy, nu ta ly khng gian xc sut cho mi php th l khng gian {A, A}, th
khng gian xc sut cc trng hp ca n ln th l {A, A}
n
(cc phn t ca khng
18 CHNG 1. XC SUT L G
gian ny l cc dy n kt qu, m mi kt qu l A hoc A. C C
k
n
phn t ca khng
gian {A, A}
n
c cha ng k kt qu A v (n k) kt qu A. Xc sut ca mi phn t
l p
k
(1 p)
k
theo cng thc tch ca xc sut. Bi vy xc sut ca s kin "kt qu
A xy ra k ln" s phn t ca s kin ny (hiu nh l mt tp con ca khng gian xc
sut) nhn vi xc sut ca mt phn t (v cc phn t ny c cng xc sut), v bng
C
k
n
p
k
(1 p)
nk
.
Bi tp 1.8. Hai vn ng vin Nam v Tin chi mt trn tennis. Ai thng c 3 set
trc th thng c trn. Gi s xc sut Nam thng mi set l 40% ( Tin thng
mi set l 60%, v kt qu ca set ny khng nh hng n set khc). Hi xc sut
Nam thng trn tennis l bao nhiu ?
1.3 Xc sut c iu kin
1.3.1 nh ngha xc sut c iu kin
Nh chng ta bit, xc sut ca mt s kin c th ph thuc vo nhiu yu t,
iu kin khc nhau. ch ra mt cch c th hn v vic xc sut ca mt s kin A
no ph thuc vo mt iu kin B no ra sao, ngi ta a ra khi nim xc sut
c iu kin. iu kin B cng c th hiu l mt s kin, tc l s kin c B.
nh ngha 1.5. Gi s (trong mt khng gian xc sut no ) iu kin B c xc
sut khc khng, P(B) > 0, th xc sut ca s kin A di iu kin B, k hiu l
P(A|B), c nh ngha nh sau:
P(A|B) =
P(A B)
P(B)
. (1.18)
Mt h qu trc tip ca nh ngha xc sut c iu kin l cng thc tch sau y:
P(A B) = P(A|B).P(B). (1.19)
Tt nhin, ta cng c th coi B l s kin, A l iu kin, v khi ta c P(A B) =
P(B|A).P(A)
V d 1.16. Mt lp hc c 30 bn, trong c 17 bn n v 13 bn nam. C 3 bn tn
l Thanh, trong c 1 bn n v 2 bn nam. Thy gio gi ngu nhin 1 bn ln bng.
Xc sut bn c tn l Thanh s l 1/10. Nhng vi iu kin l bn n th
xc sut bn tn l Thanh l 1/17. S kin y l A = tn l Thanh, v iu
1.3. XC SUT C IU KIN 19
kin l B = n. Khng gian xc sut c 30 phn t, vi phn b xc sut u. A c
3 phn t, B c 17 phn t, v AB c 1 phn t. Bi vy: P(A) =
#A
#
= 3/30 = 1/10;
P(A|B) = P(A B)/P(B) = (1/30)/(17/30) = 1/17. Ch rng, trong v d ny ta c
P(A|B) = P(A). Vn v d ny, nu thy gio gi 1 bn c tn l Thanh ln bng, th
xc sut bn l bn n l bao nhiu ? Li gii: trong 3 bn Thanh c 1 bn l n,
bi vy xc sut l 1/3. S dng cng thc P(A B) = P(B|A).P(A) vi xc sut c
iu kin, ta cng c P(B|A) = P(A B)/P(A) = (1/30)/(1/10) = 1/3. (Cu hi: V
sao hai cch gii khc nhau li ra kt qu ging nhau ?)
Ghi ch 1.3. C th gii thch ngha trit l v ton hc ca nh ngha xc sut c
iu kin nh sau: S kin A cng vi iu kin B chnh l s kin A B, tc l c A
v B cng xy ra. Ta c th coi A v B l hai tp con ca mt khng gian xc sut
ban u. Cc tp con ca B chnh l cc s kin vi iu kin B c tha mn.
Khi chng ta t iu kin B, th tc l chng ta hn ch khng gian xc sut t
xung cn B, v hn ch cc s kin A xung cn A B. Xc sut ca A vi iu kin
B chnh l xc sut ca A B trong khng gian xc sut mi B vi mt o xc sut
P
1
: P(A|B) = P
1
(A B). o xc sut P
1
khng ty , m n c sinh ra bi o
xc sut P ban u, theo nguyn tc bnh qun: nu C v D l hai tp con ca B (tc
l 2 s kin tha mn iu kin B) vi cng xc sut, P(C) = P(D), th ta cng phi
coi rng chng c cng xc sut c iu kin: P
1
(C) = P
1
(D). Mt cch tng qut hn,
ta c cng thc t l thun: P(C)/P(D) = P
1
(C)/P
1
(D) nu C v D l hai tp con ca
B. T suy ra: P(A B)/P(B) = P
1
(A B)/P
1
(B) = P
1
(A B) = P(A|B) (bi v
P
1
(B) = 1).
V d 1.17. Theo mt con s thng k M nm 2007, c khong 40% cc v tai nn
xe c gy cht ngi l c ngi li say ru. Gi s t l s ngi say ru khi li xe l
4%. Hi vic xay ru khi li xe lm tng kh nng gy tai nn cht ngi ln bao nhiu
ln ? Ni cch khc, chng ta mun tnh t l P(A|S)/P(A), y A l s kin li xe
xy ra tai nn cht ngi, S l iu kin ngi li say ru. T cng thc P(A S) =
P(A|S).P(S) = P(S|A).P(A) ta c P(A|S)/P(A) = P(S|A)/P(S) = 40%/4% = 10, tc
l vic say ru khi li xe c th lm tng kh nng gy tai nn xe c cht ngi ln 10
ln.
Bi tp 1.9. C hai s kin A v B vi xc sut ln hn 0. Khi no th ta c P(A|B) =
P(B|A) ?
Bi tp 1.10. Ta bit rng mt nh n c 3 con mo, trong c t nht 1 con l mo
ci. Hi rng xc sut c 3 con mo u l mo ci l bao nhiu ?
20 CHNG 1. XC SUT L G
1.3.2 S c lp v ph thuc ca cc s kin
Th no l hai s kin c lp vi nhau ? V mt trit l, hai s kin c lp l
hai s kin khng lin quan g n nhau. V d, ti khng lin quan g n i bng
Barcelona. i thng hay thua ti cng khng quan tm, khng nh hng g n
vic ti c phi i ch hay khng. Hai s kin ti i ch v i Barcelona thng c
th coi l c lp vi nhau. Nu hai s kin A v B c lp vi nhau, th vic c xy ra
hay khng s kin B khng nh hng g n vic c xy ra hay khng s kin A. Ni
cch khc, xc sut ca A vi iu kin B khng khc g xc sut ca A khi khng tnh
n iu kin B. y chnh l nh ngha trong l thuyt xc sut v s c lp ca hai
s kin:
nh ngha 1.6. S kin A c gi l c lp vi s kin B nu nh
P(A) = P(A|B) = P(A B)/P(B), (1.20)
hay vit cch khc:
P(A B) = P(A).P(B) (1.21)
Ghi ch 1.4. Cng thc P(A|B) = P(A) tng ng vi cng thc P(A B) =
P(A).P(B) v tng ng vi P(B|A) = P(B). iu c ngha l quan h c lp l
mt quan h i xng: nu A c lp vi B th B c lp vi A, v chng ta c th ni l
A v B c lp vi nhau. Trong cng thc P(A|B) = P(A) ta phi gi s l P(B) = 0.
K c khi P(B) = 0 th cng thc P(A B) = P(A).P(B) vn c th dng lm nh
ngha c, v khi n hin nhin ng: mt s kin c xc sut bng 0 th c lp vi
mi s kin khc.
Tng qut hn, gi s ta c mt h M (hu hn hoc v hn) cc s kin.
nh ngha 1.7. H M c gi l mt h cc s kin c lp, nu nh vi bt k
s t nhin k no v bt k k s kin A
1
, . . . , A
k
khc nhau no trong h M ta cng c:
P
_
k

i=1
A
i
_
=
k

i=1
P(A
i
). (1.22)
Nu nh P(A B) = P(A).P(B) vi bt k hai s kin khc nhau no trong h M
(tc l ng ta ch yu cu ng thc trn ng trong trng hp k = 2, th h M c
gi l h cc s kin c lp tng i mt.
1.3. XC SUT C IU KIN 21
Ghi ch 1.5. Tt nhin nu ta c mt h cc s kin c lp, th cc s kin trong h
c lp tng i mt vi nhau. Nhng iu ngc li khng ng: C nhng h khng
c lp, m trong cc s kin c lp tng i mt vi nhau !
V d 1.18. Tung 1 xc sc 2 ln, c 2 s k hiu l a, b. Xt 3 s kin sau: X l s
kin a + b l s chn, Y l s kin a = 1 v Z l s kin b = 4. y khng gian
xc sut l khng gian c 6
2
= 36 phn t, mi phn t l mt cp s (a, b), mi s c
th nhn 1 trong 6 gi tr 1,2,3,4,5,6. Ta c th gi s khng gian xc sut ny c phn
b xc sut u (2 ln tung c lp vi nhau). Khi d dng kim tra rng cc s kin
X, Y, Z c lp tng i mt vi nhau, th nhng h 3 s kin {X, Y, Z} khng phi l
mt h c lp: P(X Y Z) = 0 trong khi P(X).P(Y ).P(Z) = (1/2).(1/6).(1/6) = 0
Nu nh hai s kin khng c lp vi nhau, th ngi ta ni l chng ph thuc vo
nhau. Do tnh cht i xng, nu s kin A ph thuc vo s kin B th B cng ph
thuc vo A. Nu nh P(A|B) > P(B) th ta c th ni l iu kin B thun li cho s
kin A, v ngc li nu P(A) < P(A|B) th iu kin B khng thun li cho s kin A.
Cng thc P(A|B)P(B) = P(B|A)P(A) tng ng vi cng thc
P(A|B)/P(A) = P(B|A)/P(B), (1.23)
c th c suy din nh sau: B thun li cho A (tc l P(A|B)/P(B) > 1) th A cng
thun li cho B v ngc li.
V d 1.19. Gi s c 5 hc sinh th c 1 hc sinh gii ton, c 3 hc sinh th c 1 hc
sinh gii ngoi ng, v trong s cc hc sinh gii ton th c 2 hc sinh c 1 hc sinh gii
ngoi ng (ln hn t l trung bnh). Khi trong s cc hc sinh gii ngoi ng, t l
hc sinh gii ton l 30% (cng ln hn t l trung bnh): (1/2)/(1/3) = 30%/(1/5).
Bi tp 1.11. Chng minh rng nu mt s kin A c lp vi s kin B, th n cng c
lp vi s kin B.
Bi tp 1.12. Tm mt v d vi 3 s kin A, B, C sao cho A c lp vi hai s kin B
v C, nhng khng c lp vi B C.
Bi tp 1.13. Ly mt b bi t l kh 52 qun, v rt ra t 2 ln mi ln 1 qun,
c 2 qun. Gi A l s kin qun rt ra u tin l qun nhp v B l s kin qun
rt ra th hai l qun c. Hi hai s kin A v B c c lp vi nhau khng ?
22 CHNG 1. XC SUT L G
1.3.3 Cng thc xc sut ton phn
nh ngha 1.8. Mt h cc tp con B
1
, . . . , B
n
ca khng gian xc sut l mt phn
hoch (partition) ca nu nh cc tp B
i
i mt khng giao nhau, v hp ca chng
bng :
B
i
B
j
= i = j ,
n
i=1
B
i
= . (1.24)
Nu nh ta cha bit xc sut P(A) ca mt s kin A no , nhng bit cc xt
sut P(B
i
) ca mt phn hoch (B
1
, . . . , B
n
) ca khng gian xc sut, v bit cc xc
sut c iu kin P(A|B
i
), th ta c th dng cng thc sau, gi l cng thc xc sut
ton phn (total probability formula), tnh xc sut ca A:
P(A) =
n

i=1
P(A B
i
) =
n

i=1
P(A|B
i
).P(B
i
). (1.25)
Trng hp ring ca cng thc trn l khi ta c hai s kin A, B, c th s dng
phn hoch (B, B = \ B) hai thnh phn ca tnh xc sut ca A:
P(A) = P(A B) + P(A B) = P(A|B).P(B) + P(A|B).P(B). (1.26)
Bi tp 1.14. Theo mt s liu thng k, nm 2004 Canada c 65,0% n ng l tha
cn
(1)
, v 53,4% n b tha cn. S n ng v n b Canada coi nh bng nhau.
Hi rng, trong nm 2004, xc sut mt ngi Canada c chn ngu nhin l ngi
tha cn bng bao nhiu ?
1.3.4 Cng thc Bayes
Cng thc Bayes, mang tn ca linh mc v nh ton hc ngi Anh Thomas Bayes
(1702-1761), l cng thc ngc, cho php tnh xc sut c iu kin P(B|A) khi bit xc
sut c iu kin P(A|B) v mt s thng tin khc. Dng n gin nht ca cng thc
ny l: Nu A, B l hai s kin bt k vi xc sut khc 0 th ta c:
P(B|A) =
P(A|B).P(B)
P(A)
. (1.27)
(1)
Theo nh ngha ca cc t chc y t, nhng ngi c ch s trng lng c th (body mass index)
25 c gi l tha cn (overweight or obese), trn 30 c gi l bo ph (obese), trn 40 l bo bnh
hon (morbidly obese). Ch s trng lng c th c tnh ra t chiu cao v cn nng theo cng thc:
BMI = trng lng (tnh theo kg) chia cho chiu cao (tnh theo mt) bnh phng
1.3. XC SUT C IU KIN 23
Cng thc trn l h qu trc tip ca cng thc P(B|A).P(A) = P(A|B).P(B) =
P(A B) c bn n nhng phn trc. Kt hp cng thc trn vi cng thc
xc sut ton phn cho P(A), ta c:
nh l 1.3. Gi s (B
1
, . . . , B
n
) l mt phn hoch ca khng gian xc sut. Khi ta
c cng thc Bayes sau:
P(B
k
|A) =
P(A|B
k
).P(B
k
)
P(A)
=
P(A|B
k
).P(B
k
)

n
i=1
P(A|B
i
).P(B
i
)
. (1.28)
vi mi k = 1, 2, . . . , n.
Hnh 1.7: Thomas Bayes (1702-1761)
Cng thc Bayes rt n gin nhng n c ngha rt su xa. Mt trong nhng li
m rt nhiu ngi mc phi, l ln ln gia P(A|B) v P(B|A), coi hai con s nh
l bng nhau. Nhng cng thc Bayes cho thy hai con s c th chnh lch nhau rt
nhiu, nu nh P(A) v P(B) chnh lch nhau rt nhiu ! Di y l mt v d minh
ha iu .
V d 1.20. y l mt bi ton c 3 nh ton hc Cassels, Shoenberger v Grayboys
em 60 sinh vin v cn b y khoa ti Harvard Medical School nm 1978
(2)
. Gi s c
mt loi bnh m t l ngi mc bnh l 1/1000. Gi s c mt loi xt nghim, m ai
mc bnh khi xt cng ra phn ng dng tnh, nhng t l phn ng dng tnh nhm
(false positive) l 5% (tc l trong s nhng ngi khng b bnh c 5% s ngi th ra
phn ng dng tnh). Hi khi mt ngi xt nghim b phn ng dng tnh, th kh
(2)
Ngun: Cassels, Schoenberger and Grayboys, Interpretation by physicians of clinical laboratory re-
sults. New England Journal of Medicine, 299 (1978), 999-1000
24 CHNG 1. XC SUT L G
nng mc bnh ca ngi l bao nhiu ? Theo bn l bao nhiu ? Hy th t tm cu
tr li trc khi c tip.
Nu bn tr li 95% (= 100% - 5%), th cu tr li ca bn cng ging cu tr li
ca phn ln nhng ngi khc c hi. Ta hy th phn tch k thm v cu hi ny.
Nu k hiu K l s kin khng b bnh v D l s kin phn ng dng tnh, th con
s 5% l con s P(D|K) (xc sut c phn ng dng tnh khi m khng b bnh) ch
khng phi P(K|D) (xc sut khng b bnh khi m c phn ng dng tnh). tnh
P(K|D), ta dng cng thc Bayes P(K|D) =
P(D|K).P(K)
P(D|

K).P(

K) + P(D|K).P(K)
. Ta c
P(D|K) = 5/100, P(K) = 1 1/1000 = 999/1000, v P(D|

K).P(

K) +P(D|K).P(K) =
(1).(1/1000) + (5/100).(999/1000) = 51/1000 (tnh xp x), v bi vy: P(K|D) =
(5/100).(999/1000)/(51/1000) 98%. Nh vy trong s nhng ngi xt nghim ra dng
tnh, c khong 98% s ngi l khng b bnh. Ni cch khc, khi xt nghim ra dng
tnh, xc sut thc s mc bnh ch c 2% !
Bi tp 1.15. c bit c 5% n ng b m mu, v 0,25% n b b m mu. Gi s
s n ng bng s n b. Chn 1 ngi b m mu mt cch ngu nhin. Hi rng xc
sut ngi l n ng l bao nhiu ?
1.4 Mt s nghch l trong xc sut
Tnh ton xc sut l mt vn nhiu khi ht sc t nh. K c trong nhng bi
ton tng chng nh rt n gin, cng c th tnh ra kt qu sai m kh pht hin sai
u. Phn ny s gm mt s "nghch l" trong xc sut minh ha iu . Nhng
nghch l ny cho thy chng ta cn ht sc cn thn trong lc lp m hnh tnh ton
xc sut, c bit l xc sut c iu kin, kim tra li nhng iu tng chng nh hin
nhin, trnh sai lm.
1.4.1 Nghch l 1 (Nghch l Simpson). Thuc no tt hn ?
Mt ngi nghin cu mun xc nh xem gia 2 loi thuc cng cha 1 bnh, loi
no tt hn. Kt qu thng k v lng ngi cha c khi bnh, phn bit theo gii
tnh, c vit di y
Gii tnh: N Thuc I Thuc II
Cha c 150 15
Khng cha c 850 285
1.4. MT S NGHCH L TRONG XC SUT 25
Gii tnh: Nam Thuc I Thuc II
Cha c 190 720
Khng cha c 10 180
Da vo bng thng k trn, c 2 cu tr li tri ngc nhau nh sau cho cu hi
thuc no tt hn:
1) Thuc I em cho 1200 ngi dng, ch c bnh cho 340 ngi. Thuc II em cho
1200 ngi dng, cha c 735 ngi, nh vy thuc II tt hn.
2) i vi n, t l cha c bnh ca Thuc I l 15%, ca Thuc II l 5%. i vi
nam, t l cha c bnh ca thuc I l 95%, ca thuc II l 80%. Trong c hai trng
hp th t l cha c bnh ca thuc I cao hn, vy nn thuc I tt hn.
Trong hai cu tr li trn cu tr li no ng tin? V sao ? Nghch l nm u ?
1.4.2 Nghch l 2. Hong t c ch em gi khng ?
Bit rng cha m ca 1 hong t c 2 con. Hi xc sut hong t c sister (ch
gi hoc em gi) l bao nhiu ? C 2 p n sau:
1) Hong t c 1 ngi anh ch em rut. C hai kh nng: hoc ngi l con trai, hoc
l con gi. Nh vy xc sut ngi l con gi (tc l hong t c sister) l 1/2.
2) C 4 kh nng cho 1 gia nh c 2 con: {B,B}, {B,G}, {G,B}, {G,G}. (B = boy = con
trai, G = girl = con gi, xp theo th t con th nht - con th hai). V ta bit hong t
l con trai (y l iu kin) nn loi i kh nng {G,G}, cn 3 kh nng {B,B}, {B,G},
{G,B}. Trong s 3 kh nng th c 2 kh nng c con gi. Nh vy xc sut hong
t c sister l 2/3.
Trong hai p n trn, t hn phi c (t nht) 1 p n sai. Th nhng ci no sai,
sai ch no ?
1.4.3 Nghch l 3. Vn Phm c phi l th phm ?
Mt ngi n ng tn l Vn Phm b tnh nghi l th phm trong mt v n. Cnh
st iu tra c nhng tin sau y: 1) ngoi nn nhn ch c 2 ngi c mt lc xy ra
v n, mt trong hai ngi l Vn Phm, ngi kia cnh st khng h bit l ai, v
mt trong hai ngi l th phm; 2) th phm phi l n ng. Hi xc sut "Vn
Phm l th phm" l bao nhiu ?
Gi ngi th hai m cnh st khng bit l ai l "X". X c th l n ng hoc n
26 CHNG 1. XC SUT L G
b. Ta gi s kin "Vn Phm l th phm" l A, s kin "X l n ng" l B, "th
phm l n ng" l C. C hai cch gii khc nhau nh sau:
1) Theo cng thc xc sut ton phn ta c P(A) = P(A|B).P(B) + P(A|B).P(B)
Nu X l n b th X khng th l th phm v Vn Phm phi l th phm, bi vy
P(A|B) = 1. Nu X l n ng th mt trong hai ngi, X hoc Vn Phm, l th phm,
bi vy P(A|B) = 1/2. X c th l n ng hoc n b, v ta coi s n ng bng s
n b, bi vy P(B) = P(B) = 1/2. T ta c P(A) = (1/2).(1/2) + 1.(1/2) = 3/4,
c ngha l xc sut "Vn Phm l th phm" bng 3/4.
2) Ta coi C l iu kin, v mun tnh xc sut c iu kin P(A|C) (xc sut
Vn Phm l th phm, khi bit rng th phm l n ng). Theo cng thc Bayes ta c
P(A|C) =
P(C|A).P(A)
P(C|A).P(A) + P(C|A).P(A)
. trong cng thc trn, P(A) l xc sut ca
s kin "Vn Phm l th phm" nu nh cha c iu kin "th phm l n ng". V
mt trong hai ngi Vn Phm v X l th phm, nn xc sut P(A) khng c iu kin
y l P(A) = 1/2. Ta c P(C|A) = 1 v tt nhin nu Vn Phm l th phm th th
phm l n ng. Ngc li, P(C|A) = 1/2 (nu X l th phm, th th phm c th l
n ng hoc n b, khi m cha t iu kin "th phm l n ng"). Bi vy ta c:
P(A|C) =
1.(1/2)
1.(1/2)+(1/2).(1/2)
=
1/2
3/4
= 2/3, tc l xc sut Vn Phm l th phm bng
2/3.
Hai cch gii trn cho 2 p s khc nhau, nh vy (t nht) mt trong hai cch gii
trn l sai. Cch gii no sai v sai ch no ?
1.4.4 Li gii cho cc nghch l
Nghch l 1. Vn nm ch Thuc I c em th cho qu it nam, qu nhiu n
so vi thuc II, nn khi ly tng s cc kt qu ca cc php th th n thin v thuc II
v khng phn nh ng t l cha c bnh. Kt lun 1) l sai v kt lun 2) ng tin
hn.
Nghch l 2. Nghch l ny c trong 1 quyn gio trnh ting Anh v xc sut. iu
ng ngc nhin l tc gi ca gio trnh ni rng p n th hai ng (tc l xc
sut = 2/3) v p n th nht sai. c k p n th 2, ta thy kh nng B,B thc ra
khng phi l mt kh nng n, m l mt kh nng kp gm c 2 kh nng trong :
hong t c ni n hoc l ngi con trai th nht, hoc l ngi con trai th hai.
Nh vy phi tnh B,B l 2 kh nng B=H,B v B, B=H (H l hong t). Nh th tng
cng vn c 4 kh nng, v xc sut vn l 2/4 = 1/2. Sai y l sai trong cch m
1.5. LUT S LN 27
s kh nng. (C cu hi khc: ti sao 4 kh nng ny li phi c xc sut bng nhau ?
Ti sao li phi c phn b xc sut u ? Cu tr li dnh cho bn c). Nu ta i bi
ton i mt cht thnh: Mt gia nh c 2 con, bit rng t nht mt trong hai con l
con trai, th hi xc sut c con gi l bao nhiu ? Trong bi ton ny th xc sut l
2/3 tht. Bn c th ngh xem s khc nhau gia hai bi ton nm ch no ?
Nghch l 3. Vn y nm s ln ln gia cc khng gian xc sut trong lc lp
m hnh tnh xc sut. Trong cch gii th nht, khi ta vit P(A) tnh xc sut
ca s kin "Vn Phm l th phm", khng gian xc sut ca ta phi l khng gian
C
tt c cc kh nng (vi mt trong 2 ngi Vn Phm v X l th phm) tha mn iu
kin "th phm l n ng", ch khng phi l khng gian ca tt c cc kh nng
c th xy ra (vi mt trong 2 ngi Vn Phm v X l th phm), bt k th phm
l n ng hay n b. cho khi ln ln, th trong cch gii th nht ta phi vit
P
C
(A) = P
C
(A|B).P
C
(B) + P
C
(A|B).P
C
(B) Trong khng gian th ta c P(B) = 1/2,
tc l xc sut X l n ng l 1/2. Nhng trong khng gian
C
dng trong cch gii
th nht, th ta phi dng xc sut P
C
ca khng gian , v P
C
(B) khng phi l 1/2,
m thc ra l 2/3, v P
C
(B) = 1/3. Ni cch khc, khi bit rng mt trong hai ngi X
v Vn Phm l th phm, v bit rng th phm l n ng, th xc sut X l n
ng l 2/3 ch khng cn l 1/2 na ! (V sao vy ?). Nu ta s dng cc con s xc sut
ny trong cng thc tnh xc sut ton phn ca A trong khng gian
C
th ta c:
p
C
(A) = (1/2).(2/3) + 1.(1/3) = 2/3 Tc l nu ta sa li v xc sut ca B i, th cch
gii th nht s cho cng p s 2/3 nh cch gii th hai.
1.5 Lut s ln
Lut s ln l mt trong nhng nh lut c bn nht ca l thuyt xc sut v thng
k. dng n gin nht, n c th c pht biu mt cch nm na nh sau: khi mt
php th c lp i lp li rt nhiu ln, th s ln cho ra mt kt qu no trong
tng s cc ln th s phn nh kh chnh xc xc sut xy ra kt qu trong 1
ln th. V d, gi s ta c mt ng tin vi hai mt sp (S) v nga (N) vi xc sut
hin ln bng nhau v bng 1/2 khi tung ng tin. Gi s ta tung i tung li ng tin
nhiu ln, v c mt dy cc kt qu sp nga, v d nh: S N S S N S N S N N S S
... Ta gi S(n) l tn s xut hin ln mt sp sau khi tung ng tin n ln, tc l s
ln hin ln mt sp sau khi tung ng tin n ln chia cho n, v d nh theo dy trn:
S(1) = 1, S(2) = 1/2, S(3) = 2/3, S(4) = 3/4, S(5) = 3/5, S(6) = 2/3, S(7) = 4/7, S(8) =
28 CHNG 1. XC SUT L G
5/8, S(9) = 5/9, S(10) = 1/2, S(11) = 6/11, S(12) = 7/12, . . . . Cc con s S(n) m chng
ta thu c ni chung khc 1/2, nhng lut s ln ni rng chng ta c th yn tm rng
khi n tin ti v cng th S(n) s tin ti 1/2: lim
n
S(n) = 1/2.
Di y chng ta s pht biu lut s ln mt cch cht ch thnh nh l ton hc
v chng minh n, cho phn b Bernoulli.
Gi s c mt php th no c th thc hin c nhiu ln, v xc sut xy
ra kt qu X trong mt ln th l mt hng s p, 0 < p < 1. (V d: php th l tung
xc sc, kt qu l hin ln 1 chm, xc sut l p=1/6). Ta gi X
k,n
l s kin sau: khi
thc hin n ln php th th X xut hin k ln trong s n ln th. Chng ta bit rng
xc sut ca X
k,n
tun theo phn b nh thc:
P(X
k,n
) = C
k
n
p
k
(1 p)
nk
. (1.29)
Ly mt s dng > 0 ty sao cho 0 < p < p + < 1. Gi X

n
l s kin sau: khi
lm php th n ln th tn sut xut hin kt qu X chnh lch so vi xc sut p khng
qu , tc l p k/n p +, trong k l s ln hin ln kt qu X. S kin X

n
l
hp ca cc s kin X
k,n
tha mn bt ng thc p k/n p + , do vy:
P(X

n
) =

n(p)kn(p+)
C
k
n
p
k
(1 p)
nk
. (1.30)
nh l 1.4. Vi hai s dng p, bt k tha mn 0 < p < p + < 1, ta c
lim
n

n(p)kn(p+)
C
k
n
p
k
(1 p)
nk
= 1. (1.31)
C ngha l, xc sut P(X

n
) ca s kin sau n php th th tn sut hin kt qu X sai
lch so vi xc sut p ca X khng qu tin ti 1 khi s php th n tin ti v cng.
nh l trn gi l dng yu ca lut s ln cho phn b Bernoulli. Dng mnh
ca lut s ln, s c xt ti trong chng sau, pht biu l tn sut k/n tin ti p khi
n tin ti v cng hu nh chc chn (tc l vi xc sut bng 1: tp nhng dy v hn
ln th m iu sai c xc sut bng 0 trong khng gian tt c cc dy v hn ln
th).
Chng minh. Chng ta mun chng minh rng hiu
1 P(X

n
) = U
n
+ V
n
, (1.32)
trong
U
n
=

0k<n(p)
C
k
n
p
k
(1 p)
nk
v V
n
=

n(p+)<kn
C
k
n
p
k
(1 p)
nk
, (1.33)
1.5. LUT S LN 29
tin ti 0 khi n tin ti v cng. nh gi V
n
, chng ta c th dng th thut sau y:
Gi l mt s dng bt k, khi ta c
V
n

n(p+)<kn
e
(kn(p+))
C
k
n
p
k
(1 p)
nk

0kn
e
(kn(p+))
C
k
n
p
k
(1 p)
nk
= e
n

0kn
C
k
n
(e
(1p)
p)
k
(e
p
(1 p))
nk
= e
n
(e
(1p)
p + e
p
(1 p))
n
= [e

(e
(1p)
p + e
p
(1 p))]
n
= f()
n
,
(1.34)
vi f() = e

(e
(1p)
p +e
p
(1 p)). Ch rng hm s f() c f(0) = 1 v o hm
f

(0) = < 0. Nh vy nu ta chn > 0 nh th ta c 0 < f() < 1, dn ti


lim
n
f()
n
= 0. V V
n
f()
n
nn ta cng c lim
n
V
n
= 0. Mt cch hon ton
tng t, ta c th chng minh lim
n
U
n
= 0, suy ra lim
n
U
n
+V
n
= 0. Phn chng
minh ny l bi tp dnh cho bn c.
Chng ta c th m rng lut s ln cho phn b Bernoulli thnh lut s ln cho
mt khng gian xc sut bt k vi hu hn cc phn t nh sau. Gi s c mt php
th, m c mt ln th th hin ln mt trong cc kt qu A
1
, . . . , A
s
, vi cc xc sut
P(A
i
) = p
i
tng ng. (

s
i=1
p
i
= 1, v = {A
1
, . . . , A
s
} lp thnh mt khng gian xc
sut hu hn vi cc xc sut P(A
i
) = p
i
). Lm php th n ln (cc ln th c lp
vi nhau), v gi k
i
l s ln hin ln kt qu A
i
trong s n ln th . Gi B

n,i
l s
kin |
k
i
n
p
i
| < .
nh l 1.5. Vi mi > 0 ta c
lim
n
P(B

n,1
B

n,2
. . . B

n,s
) = 1. (1.35)
Ghi ch 1.6. (Mt cht lch s
(3)
). Lut s ln c bit n dng trc gic, cng th
nghim nhiu ln th kt qu thng k cng chnh xc, t hng nghn nm trc y.
Nh ton hc v thin vn hc ngi n Brahmagupta (598-668), v sau nh ton
hc ngi Italia Gerolamo Cardano (1501-1576), c pht biu n m khng chng minh.
Ngi u tin a ra chng minh ton hc cho lut s ln c l l Jacob Bernoulli nm
1713, v lut s ln cn c gi l nh l Bernoulli. Ci tn lut s ln (la loi des
grands nombres) c Simon Denis Poisson vit ra nm 1835, v ngy nay ngi ta hay
gi theo tn .
Bi tp 1.16. Suy ra nh l 1.5 t nh l 1.4.
(3)
Xem: http://en.wikipedia.org/wiki/Law_of_large_numbers.
30 CHNG 1. XC SUT L G
1.6 Bi tp b sung cho Chng 1
Bi tp 1.17. Tung mt ng tin cn bng cho n khi mt nga hin ln 3 ln. Gi A
l s kin cn tung 6 ln. Hy lp mt khng gian xc sut cho vn xc sut ny, v
tnh xc sut ca s kin A.
Bi tp 1.18. (Bi tp ca ngnh bo him). Mt cng ty bo him t c 20000 ngi
ng k bo him. Nhng ngi ng k bo him c cng ty phn loi theo 3 tiu
chun:
i) Tr hay gi,
ii) n ng hay n b.
iii) C v/chng hay c thn.
c bit, trong s nhng ngi ng k bo him, c 6300 ngi tr, 9600 ngi l n
ng, 13800 ngi c v/chng, 2700 n ng tr, 6400 n ng c v, 2900 ngi tr c
v/chng, 1100 ngi l n ng tr c v. Hi xc sut mt ngi ng k bo him
t ca hng c chn mt cch ngu nhin l mt ph n tr c thn bng bao nhiu?
Bi tp 1.19. Mt anh chng c 2 c bn gi A v B, v khng bit l thch c no hn.
Anh ta hay i thm cc c bn mt cch ngu nhin: ra bn xe but, nu gp xe but
i tuyn ng n nh c A trc th i ln xe thm c A, cn nu gp xe i tuyn
ng n nh c B trc th i thm c B. C hai tuyn ng u c xe u n 10
pht mt xe. Sau mt thi gian di, anh ta nhn ra rng mnh i thm c bn A nhiu
gp 3 ln c bn B. C th gii thch bng xc sut ti sao ?
Bi tp 1.20. (S may ri). Gi s c mt loi x s ch c 100 s, t 00 n 99, mi ln
quay c 1 s trng gii.
i) Tnh xc sut sao cho trong 100 ln quay c mt s trng gii t nht 3 ln.
ii) Tnh xc sut sao cho trong 100 ln quay, khng c ln no s 68 trng gii.
Bi tp 1.21. Mt lp hc c 36 hc sinh. Hi rng xc sut c hai hc sinh ca lp
c cng ngy sinh nht l bao nhiu ? (Vit cng thc tnh s , v th c lng
xem s gn s no hn trong 3 s ny: 0, 50%, 1?)
V d 1.21. C n ngi chi tr tung mng trong mt d hi: mi ngi cm 1 ci m
ca mnh, tung vo gia phng. Sau mi ngi nht ly mt ci m trong s cc m
c tung mt cch ngu nhin. Chng minh rng xc sut khng c ngi no nht
c ng m ca chnh mnh l
1
2!

1
3!
+
1
4!
. . . +
(1)
n
n!
.
1.6. BI TP B SUNG CHO CHNG 1 31
Khi n tin ti v cng th s ny tin ti e
1
.
Bi tp 1.22. (B BorelCantelli). Gi s (A
n
)
nN
l mt dy cc tp con o c
trong mt khng gian xc sut (, P). Gi B

l tp hp cc phn t ca m nm
trong mt s v hn cc tp con A
n
ca dy. Chng minh rng:
i) Nu

n=1
P(A
n
) < th P(B

) = 0.
ii) Nu tn ti mt s v v hn cc tp con A
n
ca dy tha mn iu kin P(A
n
) ,
th P(B

) .
(Gi : t B
k
= tp cc phn t ca nm trong t nht k tp con A
n
ca dy. Khi
P(B

) = lim
k
B
k
. Trong trng hp th nht, chng minh rng k.B
k

n=1
P(A
n
)
vi mi k. Trong trng hp th hai, chng minh rng P(B
k
) vi mi k).
Bi tp 1.23. (T ca Bertrand). C 3 ngn ko, 1 ngn c 2 ng tin vng, 1 ngn c
2 ng tin bc, v 1 ngn c 1 ng tin vng v 1 ng tin bc. Rt ra mt ngn ko
mt cch ngu nhin, v li ra t ngn ko mt ng tin mt cch ngu nhin. Gi s
c 1 ng tin vng. Hi xc sut ngn ko c rt ra l ngn ko cha hai ng
tin vng bng bao nhiu?
Bi tp 1.24. C ba ngi A, B, C b bt vo t. C lnh th hai trong s ba ngi ny
ra. Cai t nhn c lnh, nhng n hm sau mi c cng b v thi hnh lnh. Ngi
t A bo cai t: hy ni cho ti bit tn 1 ngi c th trong hai ngi B v C i. Cai
ngc tr li: anh ang c xc sut c th l 2/3. Nu ti ni tn mt ngi c th
trong s hai ngi B v C, th gia anh v ngi cn li ch cn mt ngi c th na
thi, bi vy xc sut anh c th s gim xung cn 1/2. Ti khng mun xc sut
anh c th b gim i, bi vy ti s khng ni tn. Hi rng ngi cai ngc l lun
nh vy c ng khng ?
Bi tp 1.25. Hai k trm eo mt n, b cnh st ui bt, bn vt mt n i v tr
trn vo mt m ng. Cnh st bt gi ton b m ng, tng cng 60 ngi, v dng
my pht hin ni di (lie detector) iu tra xem ai trong m ng l k trm. Bit
rng i vi k trm, xc sut b my nghi l c ti l 85%, nhng i vi ngi v ti,
th xc sut b my nghi nhm thnh c ti l 7%. Gi s X l mt nhn vt trong
m ng b my nghi l c ti. Tnh xc sut X l k trm.
Bi tp 1.26. (B in). Nm 2001 Cng ng Chu u c lm mt t kim tra rt rng
ri cc con b pht hin nhng con b bnh b in (bovine spongiform encephalopathy).
Khng c xt nghim no cho kt qu chnh xc 100%. Mt loi xt nghim, m y
ta gi l xt nghim A, cho kt qu nh sau: khi con b b bnh b in, th xc sut
ra phn ng dng tnh trong xt nghim A l 70%, cn khi con b khng b bnh, th
32 CHNG 1. XC SUT L G
xc sut xy ra phn ng dng tnh trong xt nghim A l 10%. Bit rng t l b
b mc bnh b in H Lan l 1,3 con trn 100000 con. Hi rng khi mt con b H
Lan phn ng dng tnh vi xt nghim A, th xc sut n b mc bnh b in l
bao nhiu ?
Bi tp 1.27. (Gi du ha). Gi du ha c nhng lc dao ng rt mnh, c khi i ln
hn 100% trong vng 1 nm. Gi s rng, nu tnh gi theo USD ca nm 2009 (sau khi
iu chnh theo t l lm pht), th gi du ha khng bao gi xung di 10 USD
mt thng (di mc ngi ta ngng sn xut du ha v khng cn li g na) v
khng bao gi ln qu 300 USD mt thng (trn mc ngi ta dng cc loi nng
lng khc r hn). Hi h cc s kin Gx sau y (x=0,1,...9) c th l mt h c lp
cc s kin c khng : Gx = nm 201x gi du ha tng ln t nht 50% tnh t u
nm n cui nm, tnh theo USD ca nm 2009. Gii thch ti sao ?
Hnh 1.8: Tranh vui v s tin ha ca loi ngi
Chng 2
Bin Ngu Nhin
2.1 Bin ngu nhin v phn b xc sut ca n
2.1.1 Bin ngu nhin l g ?
Bin l ci c th thay i. Ngu nhin l khi ngi ta cha xc nh c ci g
, th ngi ta gi n l ngu nhin. Ci g khi xc nh c, th thnh nh tnh,
ht ngu nhin. Mt bin c th l ngu nhin vi ngi ny, nhng khng ngu nhin
vi ngi khc, ty theo lng thng tin nhn c. V d, s th ting ngoi ng m
ng A ni c l mt s xc nh, khng ngu nhin i vi ng A, nhng n l mt s
khng xc nh, ngu nhin vi mt ng B no .
Bin ngu nhin c th nhn gi tr trong mi phm tr (hiu t phm tr y theo
ngha thng thng ch khng phi theo ngha phm tr ton hc), v d nh mu sc,
hnh dng, phng hng, v.v. Tuy nhin, bng cc nh x (khng ngu nhin), chng
ta c th chuyn vic nghin cu mi bin ngu nhin v vic nghin cu cc bin ngu
nhin nhn gi tr l cc s. Bi vy y, khi ni n mt bin ngu nhin m khng
ni c th n nhn gi tr u, chng ta s hiu l cc gi tr ca n l cc con s.
V d 2.1. Ti thi im ng ca th trng chng khon M hm 04/09/2009, gi c
phiu ca hng phn mm my tnh Oracle (m chng khon: ORCL) l 21,97 USD. N
c xc nh v khng cn ngu nhin. Th nhng ti thi im , th gi c phiu
ca Oracle cho lc cui ngy 18/09/2009 cha c bit, v n l mt bit ngu nhin
i vi th trng chng khon. Ngi ta cho rng gi ca n vo ngy 18/09/2009 c th
ln trn 23 USD, m cng c th xung di 21 USD. iu ny th hin qua vic, ti thi
im cui ngy 04/09/2009 , quyn mua ORCL trc ngy 19/09/2009 vi gi 23 USD
33
34 CHNG 2. BIN NGU NHIN
(September 2009 call option at strike price 23) c gi 0,25 USD (nu nh ai cng bit
chc rng gi ca ORCL vo thi im 18/09/2009 s khng vt qu 23 th ci quyn
mua s phi c gi bng 0 v khng c gi tr g), ng thi quyn bn (put option)
ORCL vi gi 21 c gi l 0,30 USD. (Cc thng tin v gi c c phiu v option c th
xem trn rt nhiu cc trang web v chng khon).
Tng t nh vi cc s v cc hm s, ta c th lm nhiu php ton khc nhau vi
cc bin ngu nhin: cng, tr, nhn, chia, ly gii hn, tch phn, hm hp, v.v. Qua
cc php ton nh vy, chng ta c th sinh ra cc bin ngu nhin mi t cc bin ngu
nhin cho trc.
V d 2.2. Mt hc sinh thi vo i hc phi thi 3 mn. im ca mi mn c th coi l
1 bin ngu nhin. Tng s im cng l mt bin ngu nhin, v n l tng ca 3 bin
ngu nhin pha trc.
V d 2.3. Tc V ca mt xe t ang chy trn ng c th coi l mt bin ngu
nhin. Nu xe ang chy m phi phanh gp li v pha trc c nguy him, th t thi
im ngi li xe bp phanh cho n thi im xe dng li, xe phi chy thm mt mt
qung ng c di D na. D cng c th coi l mt bin ngu nhin. N khng phi
l t l thun vi V , m l t l thun vi bnh phng ca V . Tc l bin ngu nhin
D c th c sinh ra t bin ngu nhin V theo cng thc: D = k.V
2
. H s k y
ph thuc vo iu kin ca ng v iu kin ca xe; n c th coi l xc nh nu ta
bit cc iu kin ny, cn nu khng th c th coi l mt bin ngu nhin khc. V d,
trong iu kin bnh thng, th k = 0, 08m
1
.s
2
: mt xe ang chy vi tc 36km/h =
10m/s th t lc bp phanh n lc dng li chy thm mt 0, 08 10
2
= 8 mt, nhng
nu xe ang chy vi tc 108km/h = 3 36km/h, th t lc bp phanh n lc dng
li s chy thm mt nhng 8 3
2
= 72 mt.
2.1.2 M hnh ton hc ca bin ngu nhin
Gi s c mt bin ngu nhin X. Chng ta gi s l c nhiu tnh hung khc nhau
c th xy ra, v trong mi tnh hung th X s nhn c mt gi tr no . Nh vy
mt bin ngu nhin c th c m hnh ha bng mt hm s X : R. y
l khng gian i din cho cc tnh hung c th xy ra. Cc tnh hung, hay cc nhm
cc tnh hung (cc tp hp con ca ) l cc s kin, v chng ta c th gn cho mi
s kin mt xc sut v kh nng xy ra. iu c ngha l c th coi l mt khng
gian xc sut, k hiu l (, P) vi mt o xc sut P. Chng ta lun gi s rng, vi
2.1. BIN NGU NHIN V PHN B XC SUT CA N 35
mi cp s a, b R, a < b, tn ti xc sut P(a < X b) ca s kin (a < X b), hay
ni cch khc, tp hp { |a < X() b} l tp o c. Cc hm X : R tha
mn iu kin ny c gi l hm o c trn (, P). T chng ta c nh ngha
ton hc sau:
nh ngha 2.1. Mt bin ngu nhin (random variable) vi gi tr thc l mt hm
s o c trn mt khng gian xc sut:
X : (, P) R. (2.1)
nh ngha 2.2. Nu ta c hai bin ngu nhin X, Y (vi cng mt m hnh khng gian
xc sut), th ta s ni rng X = Y theo ngha xc sut, hay X = Y hu khp mi ni
, nu nh s kin X = Y c xc sut bng 1 (tc l tp hp cc trng hp m
X = Y c xc sut bng 0, c th b qua).
V d 2.4. Mt th sinh i kim tra trc nghim, c giao 5 cu hi mt cch ngu
nhin. c bit 3 cu u thuc loi va, v xc sut th sinh lm ng cho mi
cu l 80%, 2 cu sau thuc loi kh, v xc sut lm ng mi cu l 50%. Mi cu
lm ng th c tnh 1 im. Khng gian cc tnh hung y gm 2
5
= 32 phn
t, mi phn t c th c k hiu bng 1 dy 5 ch ci m mi ch ci l D (ng)
hoc S (sai). T thng tin pha trn c th suy ra xc sut ca mi phn t ca , v d
nh P(DDSSD) = 80%.80%.20%.50%.50% = 4/125 = 3, 2%. Bin ngu nhin l tng s
im, tc l hm X : {0, 1, 2, 3, 4, 5}, X ca mt dy ch ci bng s ln ch ci D
xut hin trong dy.
V d 2.5. Nu A l mt s kin, th ta c th nh ngha hm ch bo
A
ca A nh
sau:
A
= 1 khi A xy ra v
A
= 0 khi A khng xy ra. Nu ta c mt s kin, th hm
ch bo ca n l mt bin ngu nhin ch nhn hai gi tr 0 v 1, v ngc li, nu ta
c mt bin ngu nhin F ch nhn 2 gi tr 0 v 1, th n l hm ch bo ca s kin
{F = 1}. Nu ta biu din A nh l mt tp con ca mt khng gian xc sut , th hm
ch bo ca A c biu din nh l hm ch bo ca tp A trong :

A
() =
_
1 khi A
0 khi A = \ A
. (2.2)
2.1.3 Phn b xc sut ca bin ngu nhin
Nhc li rng, nu ta c mt khng gian xc sut (, P) v mt nh x X : (, P)
t ln mt khng gian no , th php push-forward theo X s bin thnh mt
36 CHNG 2. BIN NGU NHIN
khng gian xc sut, vi o xc sut cm sinh P
X
= X

P: theo nh ngha, nu B l
mt tp con ca sao cho tn ti P(X
1
(B)) th
P
X
(B) = P(X
1
(B))
Trong trng hp X : (, P) R l mt bin ngu nhin, tnh cht o c ca X
(trong nh ngha ca bin ngu nhin) ni rng tn ti P(X
1
(]a, b])) = P(a < F b)
vi mi on thng na m ]a, b] trn R. Sigma-i s B sinh bi cc on thng na
m trn R c gi l signma-i s Borel ca R. Khi ni n mt phn b xc sut
trn R, chng ta s coi rng sigma-i s tng ng chnh l sigma-i s Borel, bi v
ni chung chng ta s ch quan tm n xc sut ca cc on thng, v cc tp con ca
R xy dng c t cc on thng bng cc php giao, hp, ly phn b. Do ta c
nh ngha sau:
nh ngha 2.3. Phn b xc sut (hay cn gi l phn phi xc sut) ca mt
bin ngu nhin X (trn R) l phn b xc sut P
X
trn R, vi sigma-i s l sigma-i
s Borel B ca R, cho bi cng thc sau:
P
F
(B) = P(X
1
(B)) (2.3)
vi mi tp con B ca R nm trong sigma-i s B.
nh l sau cho php hiu r hn v sigma-i s Borel:
nh l 2.1. i) Mi on thng m (b chn hay khng b chn) u l phn t ca
sigma-i s Borel. Ngc li, sigma-i s sinh bi cc on thng m cng chnh bng
sigma-i s Borel.
ii) Mi on thng ng u l phn t ca sigma-i s Borel. Ngc li, sigma-i s
sinh bi cc on thng ng cng chnh bng sigma-i s Borel.
Chng minh. Gi s ]a, b[ l mt on thng m b chn ca R, vi a < b. Khi tn
ti mt dy s n iu tng a = b
0
< b
1
< b
2
< . . . vi lim
n
b
n
= b, v ta c th vit
]a, b[=

n=1
]b
n1
, b
n
], t suy ra ]a, b[ B, bi v ]b
n1
, b
n
] B vi mi n. Trong trng
hp b = +ta vn c th lm ht nh trn chng minh rng ]a, +[ B. Khi a = ,
th tn ti mt dy s n iu gim b = b
0
> b
1
> b
2
> . . . vi lim
n
b
n
= , v ta
c th vit ] , b[=]b
1
, b
0
[

n=1
]b
n+1
, b
n
], t suy ra ] , b[ B. i vi mt on
thng ng [a, b], ta c ] , a[ B, ]b, +[ B, v [a, b] = R \ (] , a[]b, +[), t
suy ra [a, b] B. Cc khng nh ngc li (cc tp ng sinh ra sigma-i s B, v
cc tp m cng sinh ra sigma-i s B) nhng cho bn c lm bi tp.
2.1. BIN NGU NHIN V PHN B XC SUT CA N 37
nh ngha 2.4. Hm phn phi xc sut ca phn b xc sut P
X
trn R ca mt
bin ngu nhin X l hm F
X
: R [0, 1] cho bi cng thc
F
X
(x) := P(X x) = P
X
(] , x]). (2.4)
Tt nhin, hm phn phi c xc nh duy nht bi phn b xc sut. iu ngc
li cng ng: Nu ta bit hm phn phi F
X
, th ta c th tnh c xc sut P
X
ca
cc on thng ng v na m ca R qua cc cng thc sau
P
X
(]a, b]) = F
X
(b) F
X
(a), (2.5)
P
X
([a, b]) = F
X
(b) lim
xa
F
X
(x), (2.6)
v t tnh c xc sut ca cc tp con khc ca R.
nh l 2.2. Hm phn phi F
X
ca mt phn b xc sut ty trn R tha mn 4 tnh
cht sau:
1) n iu khng gim: F
X
(x) F
X
(y) vi mi x y,
2) Lin tc bn phi: lim
0+
F
X
(x + ) = F
X
(x) vi mi x,
3) lim
x
F
X
(x) = 0,
4) lim
x+
F
X
(y) = 1.
Ngc li, mi hm s thc trn R tha mn 4 tnh cht trn l hm phn phi ca mt
phn b xc sut trn R
Chng minh. Tnh cht th nht l hin nhin: nu x < y th F
X
(y) F
X
(x) =
P(x < X y) 0. Tnh cht th hai c th pht biu cch khc nh sau: nu x
1
>
x
2
> . . . l mt dy s n iu gim vi x
n
x khi n tin ti v cng th ta c
lim
n
F
X
(x
n
) = F
X
(x). thy iu , ta c th vit F
X
(x
n
)F
X
(x) = P
X
(]x, x
n
]) =
P
X
(

k=n
]x
k+1
, x
k
]) =

k=n
P
X
(]x
k+1
, x
k
]). Chui s dng

k=1
P
X
(]x
k+1
, x
k
]) l mt
chui hi t, v bi vy phn ui

k=n
P
X
(]x
k+1
, x
k
]) ca n tin ti 0 khi n tin ti v
cng. Tnh cht th 3 v tnh cht th 4 c th chng minh mt cch hon ton tng
t. Khng nh ngc li l bi tp dnh cho bn c.
Bi tp 2.1. th 2.1 l biu phn b xc sut (partial histogram, thiu phn ui)
ca mc nng lng ta ra, tnh theo n v nng lng megaton, ca cc thin thch
ln m vo bu kh quyn ca tri t
(1)
. Hy tnh xc sut mt thin thch ln m
vo bu kh quyn ca tri t c mc nng lng ta ra khng vt qu 7 megaton.
(1)
S liu ca NASA nm 1994. Mt thin thch ln l mt thin thch ta ra nng lng t nht 1
megaton, bng 1 qu bom ht nhn nh.
38 CHNG 2. BIN NGU NHIN
Hnh 2.1: Nng lng ca cc thin thch m vo bu kh quyn tri t
2.1.4 Cc loi phn b xc sut trn R
Trong nhiu cng vic tnh ton vi bin ngu nhin, ta c th qun i khng gian
xc sut ban u ca bin ngu nhin , m ch cn bit n phn b xc sut trn R
ca n. Cc phn b xc sut trn R c th c chia lm 3 loi sau: ri rc, lin tc, v
hn hp (na ri rc na lin tc).
nh ngha 2.5. Mt phn b xc sut P
X
trn R c gi l lin tc nu nh hm
phn phi xc sut F
X
l hm lin tc trn R. N c gi l lin tc tuyt i nu
nh nh tn ti mt hm s
X
: R R
+
kh tch v khng m, sao cho vi mi a R
ta c
F
X
(a) = P
X
(] , a]) =
_
a

X
(x)dx
Hm
X
: R R
+
tho mn iu kin nh trn gi l hm mt ca P
X
.
Ghi ch 2.1. Hm mt ca mt phn b xc sut lin tc tuyt i P
X
trn R l duy
nht theo ngha xc sut: nu P
X
c hai hm mt
1
v
2
, th
1
=
2
hu khp mi
ni trn R, tc l tp {x R,
1
(x) =
2
(x)} c o Lebesgue bng 0. Mt phn b
xc sut c th l lin tc m khng lin tc tuyt i. (Bi tp: xy dng v d). Tuy
nhin, trong thc t, khi ngi ta ni n mt phn b xc sut lin tc trn R, thng
c hiu l n lin tc tuyt i, tc l c cho bi mt hm mt . Ch rng hm
mt chnh bng o hm ca hm phn phi xc sut (hu khp mi ni). Rt nhiu
vn trong thc t c th c m hnh ha bng cc bin ngu nhin vi phn b xc
sut lin tc, v d nh nhit ca nc bin, gi du ha, sn lng in, trng lng
ca trng g, v.v.
nh l 2.3. Gi s X c phn b xc sut lin tc vi hm mt
X
, v f : R R
l mt n nh kh vi lin tc trn R tr mt s hu hn cc im. Khi Y = f(X)
2.1. BIN NGU NHIN V PHN B XC SUT CA N 39
cng c phn b xc sut lin tc, vi hm mt cho bi cng thc sau:

Y
(y) =

X
(x)
|f

(x)|
ti im y = f(x) (2.7)
Cng thc trn chng qua l cng thc i bin trong tch phn, v sinh ra t cng
thc df(x) = f

(x)dx.
Mt im x R c gi l mt im ht ca mt phn b xc sut P
X
nu nh
P
X
(x) > 0. B sau cho thy mt phn b xc sut l lin tc khi v ch khi n khng
c im ht:
nh l 2.4. Gi s F
X
l hm phn phi xc sut ca mt phn b xc sut P
X
trn
R.
i) Vi mi x R ta c
P
X
(x) = F
X
(x) lim
yx
F
X
(y). (2.8)
i) Hm F
X
l hm lin tc trn R khi v ch khi P
X
(x) = 0 vi mi x R
Chng minh. i) Nu x
0
< x
1
< x
2
< . . . l mt dy s n iu tng c gii hn l
x, th ta c
lim
n
F
X
(x
n
) = F
X
(x
0
) + lim
n
P
X
(]x
0
, x
n
]) = F
X
(x
0
) + lim
n
n

k=1
P
X
(]x
k1
, x
k
])
= F
X
(x
0
) +

k=1
P
X
(]x
k1
, x
k
]) = F
X
(x
0
) + P
X
(

_
k=1
]x
k1
, x
k
]) = F
X
(x
0
) + P
X
(]x
0
, x[)
= P
X
(] , x[) = P
X
(] , x]) P
X
(x) = F
X
(x) P
X
(x),
t suy ra cng thc trong b . chng minh phn th hai ca b trn, nhc
li rng hm phn phi xc sut lun lun lin tc bn phi. Bi vy n lin tc khi v
ch khi n lin tc bn tri, tc l khi v ch khi P
X
(x) = F
X
(x) lim
yx
F
X
(y) = 0
vi mi x R.
Trong trng hp phn b xc sut P
X
khng lin tc, gi
K
X
= {x R|P
X
(x) > 0} (2.9)
l tp hp cc im ht ca n (tc l tp hp cc im gin on ca hm phn phi xc
sut). Khi K
X
l tp hu hn hoc cng lm l m c, v P
X
(A) =

xK
X
P
X
(x)
1.
40 CHNG 2. BIN NGU NHIN
nh ngha 2.6. Mt phn b xc sut P
X
c gi l ri rc nu nh n tp trung
trn tp hp cc im ht ca n: P
X
(A
X
) = 1, P
X
(R \ A
X
) = 0.
V d 2.6. Phn b xc sut trn R ca bin ngu nhin im kim tra trong v d bi
kim tra trc nghim mc trc l mt phn b ri rc tp trung 6 im: 0,1,2,3,4,5.
(Bi tp: tnh cc xc sut ca 6 im ).
Gi s P
X
l mt phn b xc sut bt k trn R, vi hm phn phi F
X
. Khi ta
c th vit:
F
X
(x) = D
X
(x) +C
X
(x) (2.10)
vi D
X
(x) = P
X
(] , x] K
X
) gi l phn ri rc ca F
X
, v C
X
(x) = F
X
(x) D
X
(x)
gi l phn lin tc ca F
X
. Phn b P
X
c gi l hn hp nu nh c hai phn
ri rc v lin tc u khc 0. Nu phn lin tc khng phi l lin tc tuyt i (khng
vit c di dng tch phn ca mt hm khng m), th ta c th tch n tip thnh
tng ca phn lin tc tuyt i v phn lin tc k d, nhng chng ta s khng i vo
chi tit y.
V d 2.7. Trong xe t thng c kim ch mc xng, dao ng trong khong t 0 (0%,
tc l ht xng) n 1 (100%, bnh xng y). Mc xng c kim ch vo c th coi l
mt bin ngu nhin nhn gi tr trong on thng [0, 1] vi phn b xc sut lin tc.
Tuy nhin, mt s xe t c, kim b hng, c lc n ch ng mc xng nhng c lc
n b tc ch s 0 tuy rng xe cn xng. Khi , phn b xc sut khng cn l lin
tc na m l hn hp, vi "ht" ti im 0.
Bi tp 2.2. Gi s bin ngu nhin X c phn b xc sut lin tc vi hm mt
X
sau :
X
(x) = 0 khi |x| > 1 v
X
(x) = 1 |x| khi |x| 1. Tm hm mt ca phn b
xc sut ca bin ngu nhin Y = arcsin(x).
Bi tp 2.3. Gi s bin ngu nhin X c phn b xc sut lin tc v i xng, theo
ngha X v X c cng phn b xc sut. Chng minh rng hm phn phi xc sut ca
X tha mn tnh cht F
X
(x) + F
X
(x) = 1 vi mi x R. iu ny cn ng khng
nu phn b xc sut ca X khng lin tc ?
2.2 Mt s phn b xc sut thng gp
Nhc li rng, phn b nh thc vi cc tham s n, p l phn b xc sut P(k) =
C
k
n
p
k
(1 p)
n
. trn khng gian = {0, 1, . . . , n}. N cng c th c coi nh mt phn
b ri rc trn R tp trung ti cc im 0, 1, . . . , n vi cc xc sut nh trn. Tng t
2.2. MT S PHN B XC SUT THNG GP 41
nh vy, phn b Bernoulli vi tham s p c th c coi nh mt phn b xc sut trn
R tp trung ti hai im 0, 1 (hoc hai im no khc), vi cc xc sut P(1) = p v
P(0) = 1p. Phn b Bernoulli v phn b nh thc l nhng phn b rt hay gp trong
thc t. y, chng ta s tho lun thm mt s phn b ri rc v lin tc ph bin
khc trn R.
2.2.1 Phn b hnh hc v phn b nh thc m
nh ngha 2.7. Phn b hnh hc vi tham s p (0 p 1) l phn b xc sut ri
rc tp trung ti tp hp cc s t nhin, cho bi cng thc sau:
P(k) = p(1 p)
k1
k N. (2.11)
ngha ca phn b hnh hc l: n l phn b xc sut ca s ln th cho n khi
thnh cng, nu nh xc sut thnh cng ca mi ln th l p.
V d 2.8. Mt ngi chi tr tung vng vo c chai, tung n bao gi trng th thi.
Xc sut tung trng mi ln l p. Gi T l s ln phi tung cho n khi tung trng.
Khi T l mt bin ngu nhin nhn gi tr trong N. Xc sut sao cho tung k 1
ln u trt, nhng ln th k trng, l (1 p)
k1
p. Nh vy phn b xc sut ca T
chnh l phn b hnh hc vi tham s p.
Nu thay v tnh s ln th cho n khi c 1 ln thnh cng, ta tnh tng s ln th
tht bi k cho n khi c tng cng r ln thnh cng (r N) th ta c mt bin ngu
nhin mi, nhn gi tr trong Z
+
, vi phn b xc sut sau:
P(k) = C
k
k+r1
p
r
(1 p)
k
Nh thc Newton C
k
k+r1
trong cng thc trn l s cch chn ra r 1 phn t t
tp hp {1, 2, . . . , k + r 1}. (Mi cch chn nh vy ng vi mt tnh hung, vi
k ln tht bi v r 1 ln thnh cng trong s k + r 1 ln th u tin, v ln
th th k + r thnh cng). Cc nh thc Newton C
k
k+r1
cn c th vit di dng
C
k
k+r1
=
(k+r1).....(r+1).r
k!
= (1)
k
(r).(r1).....(rk+1)
k!
= (1)
k
C
k
r
, v chng xut hin
trong khai trin Taylor sau:
(1 q)
r
=

k=0
(1)
k
C
k
r
q
k
Trong khai trin Taylor trn, nu t q = 1 p v nhn c hai v vi p
r
, th ta c
1 =

k=0
(1)
k
C
k
r
p
r
(1 p)
k
=

k=0
P(k)
42 CHNG 2. BIN NGU NHIN
Ch rng khai trin Taylor trn c gi tr (v hi t khi |q| < 1) c khi m r > 0 khng
phi l s nguyn. Cc cng thc trn dn n nh ngha sau:
nh ngha 2.8. Gi s 0 < p < 1 v r > 0. Khi phn b xc sut ri rc cho bi
cng thc
P(k) = C
k
k+r1
p
r
(1 p)
k
= (1)
k
C
k
r
p
r
(1 p)
k
(2.12)
vi mi k Z
+
c gi l phn b nh thc m vi cc tham s r v p.
Tt nhin, phn b hnh hc c th coi l trng hp c bit ca phn b nh thc
m, vi r = 1 (v trn N thay v trn Z
+
, tc l c cng thm 1 vo bin ngu nhin).
Bi tp 2.4. Kim tra cng thc sau: hm phn phi xc sut ca phn b hnh hc vi
tham s p cho bi cng thc F(x) = 0 nu x < 0 v F(x) = 1 (1 p)
[x]
nu x 0.
y [x] l phn nguyn ca s x.
2.2.2 Phn b Poisson
nh ngha 2.9. Mt bin ngu nhin X c gi l c phn b Poisson (c l Poa-
Sng) vi tham s , nu nh cc gi tr ca n l cc s nguyn khng m, v vi mi
k Z
+
ta c:
P(X = k) =

k
k!
e

. (2.13)
Ghi ch 2.2. Phn b Poisson mang tn ca nh ton hc v vt l ngi Php Simon
Denis Poisson (17811840). Trong l thuyt xc sut, Poisson c bit n nhiu nht
bi phn b Poisson, v qu trnh Poisson (mt qu trnh ngu nhin ng vi phn b
ny). Tn gi lut s ln (ca cc lut s ln, m chng ta s tm hiu trong Chng 4)
cng l do Poisson t ra.
Phn b Poisson l gii hn ca phn b nh thc vi cc tham s p = /n v n, khi
n tin ti v cng. Tht vy, ta c
C
k
n
(/n)
k
(1 /n)
nk
=
n!
k!(n k)!
(/n)
k
(1 /n)
nk
=

k
k!
n(n 1) . . . (n k + 1)
n
k
(1 /n)
k
(1 /n)
n
.
Khi n tin ti v cng th (n(n 1) . . . (n k + 1)/n
k
)(1 /n)
k
tin ti 1 (k y l
c nh) v (1 /n)
n
tin ti e

, bi vy ta c
lim
n
C
k
n
.(/n)
k
(1 /n)
nk
=

k
k!
e

. (2.14)
2.2. MT S PHN B XC SUT THNG GP 43
Hnh 2.2: Simon Denis Poisson
Hnh 2.3: Cc phn b Poisson(3.5) v Binomial(35,0.1)
Xem th minh ha trn hnh 2.3 cho trng hp = 3, 5, n = 35, p = 0, 1.
M hnh phn b Poisson l m hnh thng c dng cho cc bin ngu nhin dng
s s kin xy ra trong mt khong thi gian no .
V d 2.9. Bin ngu nhin s v tai nn giao thng xy ra trong mt ngy mt vng
no c th c m hnh ha bng phn b Poisson. Ta s gi s cc tai nn giao
thng xy ra mt cch ngu nhin, c lp vi nhau, v trung bnh mi ngy c v
tai nn. Ta s chia 24 ting ng h trong ngy thnh n khong thi gian (n l mt s
44 CHNG 2. BIN NGU NHIN
rt ln), sao cho c th coi rng trong mi khong thi gian c nhiu nht 1 v giao
thng xy ra, v kh nng xy ra tai nn giao thng trong mi khong thi gian bng
/n. Khi tng s tai nn xy ra trong ngy tun theo phn b nh thc vi cc tham
s n, p = /n, v khi cho n tin ti v cng ta c phn b Poisson. Tt nhin phn b
Poisson khng th l phn b xc sut chnh xc ca vn (v s ngi l hu hn, v
s tai nn b chn trn bi s ngi ch khng ln tu c), nhng n l phn b gn
ng thun tin cho vic tnh ton.
2.2.3 Phn b u (trng hp lin tc)
nh ngha 2.10. Gi s a v b l hai s thc, vi b > a. Khi phn b u (uniform
distribution) trn on thng ]a, b[ l phn b xc sut lin tc vi hm mt (x) sau:
(x) =
_
1
ba
khi a x b
0 khi x < a hoc x > b
. (2.15)
Phn b xc sut u trn on thng ]a, b[ hay c k hiu l U(a, b).
Ghi ch 2.3. Trong nh ngha trn, thay v ly on thng m ]a, b[, c th ly on
thng ng [a, b] hoc on thng na m ]a, b] hoc [a, b[ cng c. V mt xc sut
khng c g thay i.
V d 2.10. V tr ca mt ngi i b trn mt on ng c th c m hnh ha
bng mt bin ngu nhin vi phn b u, nu nh ta khng c thng tin g ngoi thng
tin ngi i b ang trn on ng .
Khi nim phn b u c th m rng ln trng hp nhiu chiu: khng gian xc
sut l mt min trong R
n
(n 2), v xc sut ca mt min con t l thun vi th tch
(n chiu) ca min con .
Bi tp 2.5. Gi s X c phn b u U(0, 1), v Y l mt bin ngu nhin bt k. Chng
minh rng tn ti mt hm s g sao cho g(X) v Y c cng phn b xc sut. (Bi tp
ny c ngha thc t trong vic lm gi lp (simulation) cc bin ngu nhin: dng
random number generator (chng trnh to s ngu nhin) trn my tnh gi lp mt
bin ngu nhin vi phn b u U(0, 1), ri qua gi lp c mi phn b xc sut,
qua cc hm s thch ng).
2.2. MT S PHN B XC SUT THNG GP 45
2.2.4 Phn b normal
nh ngha 2.11. Phn b xc sut normal (cn gi l phn b chun , hay phn b
Gauss) trn R vi trung im v lch chun l phn b lin tc vi hm mt
sau:
(x) =
1

2
exp(
(x )
2
2
2
). (2.16)
K hiu thng dng ch phn phi xc sut normal l: N(,
2
). Phn b normal
N(0, 1) (vi = 0,
2
= 1) c gi l phn b normal chun tc .
Hnh 2.4: Hm mt ca phn b normal
th ca hm mt ca phn b normal c hnh ci chung, v bi vy phn b
normal cn c gi mt cch nm na l phn b hnh ci chung. Trung im ca
ci chung ny chnh l im x = , v cao ca chung chnh bng
1

2
. Nu cng
nh th chung cng cao v cng hp, v ngc li cng ln th chung cng thp v
cng b ra.
Hnh v minh ha 2.4 cho thy hu ht xc sut ca mt phn b normal nm
trong on [ 3, + 3]. Ch c khng n 0,3% nm ngoi on . Ni cch khc,
nu X l mt bin ngu nhin c phn b xc sut normal vi cc tham s , , th
vi xc sut 99,7% ta c th tin rng gi tr ca X nm trong on [ 3, + 3]:
P( 3 < X < + 3) = 99, 7%.
Phn b normal l mt trong nhng phn b xc sut quan trng nht, v nhiu phn
b xc sut gp trong thc t c dng iu kh ging phn b normal, v d nh phn
46 CHNG 2. BIN NGU NHIN
b ca chiu cao ca n ng, phn b ca ch s IQ (ch s tr tu), phn b ca gi
chng khon trong tng lai, v.v. Khi n tin ti v cng v p c nh, th dng iu ca
phn b nh thc vi cc tham s n, p cng ngy cng gn ging phn b normal. V d,
ly p = 0, 9. Khi n nh th phn b nh thc vi cc tham s n v p = 0, 9 c dng iu
khc xa phn b normal, nhng khi n = 100, th dng iu ca phn b nh thc trng
rt gn ging phn b normal, nh th hin trn Hnh 2.5.
Hnh 2.5: Phn b nh thc vi n = 100, p = 0, 9
Cc nh l gii hn trung tm m chng ta s cp n trong Chng 4 s cho
chng ta c s l thuyt hiu ti sao c nhiu phn b xc xut trong thc t trng
ging phn b normal.
V d 2.11. Hnh 2.6 l biu tn s (histogram) ca huyt p ca ngi, trong mt
th nghim o huyt p 1000 ngi. Tn s (frequency) ca mt gi tr tc l s ln xut
hin gi tr trong dy s cc kt qu. Nu chng ta coi khng gian xc sut y l c
1000 phn t, vi xc sut ca mt phn t l 1/1000, th bng tn s trn cho ta bng
phn b xc sut ri rc ca bin ngu nhin "huyt p" H: xc sut ca s kin H = x
bng tn sut (relative frequency
(2)
) ca x. Tn sut l tn s chia cho tng s (tc l
chia cho 1000 y). V th c hnh gn ging hnh ci chung, nn ta thy phn b
(2)
T frequency ting Anh va c ngha l tn sut va c ngha tn s. phn bit, tn sut c khi
c gi l relative frequency, hoc l frequency rate.
2.2. MT S PHN B XC SUT THNG GP 47
xc sut ca bin "huyt p" trong th nghim ny c th c xp x kh tt bng mt
phn b normal.
Hnh 2.6: Biu tn s huyt p
Ghi ch 2.4. c mt phn b xc sut gn ging phn b normal, cn phi c mt s
thun nht no trong bin ngu nhin. V d, nu ta c 1 thng to chn cng mt
ging to, th khi xt bin ngu nhin ng knh ca qu to trn thng to , ta c
th c mt phn b gn ging phn b normal. Nhng nu ta trn 2 thng to thuc 2
ging to khc nhau, mt ging to to mt ging to nh, th phn b xc sut ca bin
ng knh trong ng to trn ln ny khng cn l normal c na, m n phi c
2 nh, 1 nh ng vi ng knh trung bnh ca ging to to v 1 nh ng vi ng
knh trung bnh ca ging to nh.
Bi tp 2.6. Gi s X l mt bin ngu nhin tun theo lut phn b normal N(,
2
).
Chng minh rng bin ngu nhin Z = (X )/ tun theo phn b normal chun tc
N(0, 1).
2.2.5 Phn b ly tha
nh ngha 2.12. Phn b ly tha (exponential distribution) vi tham s l phn
b xc sut lin tc tuyt i trn R cho bi hm mt sau:
(x) =
_
e
x
khi x > 0
0 khi x 0
. (2.17)
48 CHNG 2. BIN NGU NHIN
Hm phn b xc sut F ca phn b ny nh sau: F(x) = 0 khi x 0, v khi x > 0
th
F(x) =
_
x
0
e
t
dt = 1 e
x
. (2.18)
Phn b ly tha c th c xem nh l dng lin tc ca phn b hnh hc: phn
b hnh hc l ri rc cn phn b ly tha l lin tc, nhng hm phn phi xc sut
ca hai phn b ny c dng iu tng t nhau.
Phn b ly tha c th c dng lm m hnh xc sut cho nhng bin ngu
nhin kiu khong cch gia hai ln xut hin, v d nh: khong cch thi gian gia
hai c in thoi gi n, khong cch gia hai gen t bin k tip trn mt di DNA,
v.v.
Bi tp 2.7. Gi s bin ngu nhin X c phn b ly tha vi tham s , v c > 0.
Chng minh rng cX cng c phn b ly tha vi tham s /c.
Bi tp 2.8. Gi s bin ngu nhin X c phn b ly tha vi tham s , v s v t l
hai s dng. Chng minh rng
P(X > s + t|X > s) = P(X > t)
Gii thch ti sao ng thc ny gi l tnh cht khng c tr nh (lack of memory
property) ca phn b ly tha.
Bi tp 2.9. Gi s X l mt bin ngu nhin lin tc vi hm phn phi xc sut lin
tc f = F
X
. Chng minh rng:
i) f(X) c phn b xc sut u trn on thng [0, 1].
ii) ln f(X) c phn b ly tha.
2.2.6 Phn b Pareto
Vilfredo Pareto (18481923) l mt nh kinh t ngi Italia. ng ta quan st thy
rng, phn b ti sn trn th gii rt khng u, v 80% ti sn l do 20% ngi lm
ch (80% nhn dn cn li ch lm ch 20% ti sn). Quan st ny mang tn nguyn tc
Pareto hay nguyn tc 80-20 (c khi n cn tr thnh nguyn tc 90-10). Pareto a ra
m hnh phn b xc sut lin tc ha sau cho bin ngu nhin gi tr ti sn ca mt
ngi:
2.3. K VNG CA BIN NGU NHIN 49
Hnh 2.7: Vilfredo Pareto
nh ngha 2.13. Phn b Pareto vi tham s > 0 l phn b lin tc trn R vi
hm mt sau:
(x) =
_
_
_

x
+1
khi x 1
0 khi x < 1
. (2.19)
Phn b Pareto cn c dng lm m hnh phn b xc sut gn ng cho rt nhiu
bin ngu nhin khc, v d nh: kch thc ca cc ht ct, cc thin thch, cc khu
dn c, d tr du ha ca cc m du, mc thit hi ca cc v tai nn, v.v.
Bi tp 2.10. Chng minh rng nu X c phn b Pareto vi tham s , v Y = X
s
vi
s > 0, th Y cng c phn b Pareto, v tm tham s ca phn b ny.
Bi tp 2.11. Gi s X c phn b xc sut u U(0, 1). Chng minh rng Y = 1/(1X)
c phn b Pareto vi tham s = 1.
2.3 K vng ca bin ngu nhin
2.3.1 Trng hp ri rc
Khi ta c mt bin ngu nhin, ta c th nghin cu cc tnh cht, c trng ca n,
rt ra cc thng tin, kt lun no . Mt trong nhng c trng quan trng nht l
gi tr k vng.
50 CHNG 2. BIN NGU NHIN
nh ngha 2.14. Gi tr k vng ca mt bin ngu nhin X, k hiu l E(X), chnh
l trung bnh cng ca bin ngu nhin trn khng gian xc sut cc tnh hung.
T nh ngha c th suy ra c rng, hai bin ngu nhin c cng phn b xc sut
trn R th c cng k vng. Bi vy, thay v ni v k vng ca mt bin ngu nhin, ta
cng c th ni v k vng ca mt phn b xc sut trn R.
Trong trng hp khng gian xc sut cc tnh hung l mt tp hp hu hn hoc
m c, = {
1
,
2
, . . .} vi cc xc sut P(
i
) (

i
P(
i
) = 1), th cng thc tnh
gi tr k vng (trung bnh cng) ca mt bin ngu nhin X : R l
E(X) =

i
X(
i
)P(
i
). (2.20)
V d 2.12. Tr chi (mt tr nh bc): trong 100 s s ch c 1 s thng, 99 s
thua. Thng th c 70 ln tin t cc. Thua th mt tin t cc. Nu t cc T tin,
th k vng s tin nhn li c l 99% 0 + 1% 70.T = 0, 7.T. K vng li (l) l
0, 7.T T = 0, 3.T. Tc l t cc T tin chi , th k vng l b thua 0, 3.T.
V d 2.13. Gi tr k vng ca phn b Poisson P(X = k) =

k
k!
e

l E(X) = . Tht
vy,
E(X) =

k
kP(X = k) =

k
ke

k
k!
= e

k1

k
(k 1)!
= e

k1

k1
(k 1)!
= e

= .
V d 2.14. Gi tr k vng ca phn b hnh hc P(T = k) = p(1 p)
k1
l
E(T) =

k=1
k.p.(1 p)
k1
= 1/p.
iu ny ph hp vi suy lun trc gic rng, nu xc sut nm vng mt ln trng
c chai l p, th trung bnh phi nm vng 1/p ln mi trng c chai.
Ghi ch 2.5. Trong trng hp khng gian xc sut ri rc = {
1
,
2
, . . .} c v hn cc
s kin, khi nh ngha k vng, chng ta i hi chui

i=1
X(
i
).P(
i
) phi l chui
hi t tuyt i, c ngha l chui

i=1
|X(
i
)|.P(
i
) phi hi t. Trong trng hp chui

i=1
X(
i
).P(
i
) khng hi t tuyt i, th k vng khng c xc nh hoc l bng
v cng. L do i hi iu kin hi t tuyt i l, chng ta mun tng ca chui

i=1
X(
i
).P(
i
) phi hu hn v khng ph thuc vo th t ca cc s trong tng,
tc l nu c thay i cch nh s cc s kin, th vn phi ra cng mt tng. Cc chui
tha mn iu kin ny chnh l cc chui hi t tuyt i.
2.3. K VNG CA BIN NGU NHIN 51
nh l 2.5. Mt s tnh cht c bn ca gi tr k vng:
i) K vng ca mt hnh s c (bin ngu nhin ch nhn 1 gi tr) chnh l hng s :
E(c) = c. (2.21)
ii) Tuyn tnh: Nu X, Y l hai bin ngu nhin v a, b l hai hng s th
E(aX + bY ) = aE(X) + bE(Y ). (2.22)
iii) n iu: Nu X 0 th E(X) 0. Tng qut hn,
X Y E(X) E(Y ). (2.23)
nh l trn ng trong trng hp tng qut, khi m cc gi tr k vng c xc
nh. Chng minh ca n trong trng hp ri rc tng i hin nhin.
Khi chng ta s dng hai m hnh khng gian xc sut khc nhau nghin cu cng
mt bin ngu nhin, th khng phi v th m k vng ca n thay i. Ni mt cch
chnh xc hn, ta c:
nh l 2.6. Gi s X : (, P) R l mt bin ngu nhin vi khng gian xc sut
, v : (
1
, P
1
) (, P) l mt nh x bo ton xc sut t mt khng gian xc sut
(
1
, P
1
) ln (
1
, P
1
). t X
1
= X : (
1
, P
1
) R l bin ngu nhin ging X nhng
vi khng gian xc sut (
1
, P
1
). Khi
E(X
1
) = E(X). (2.24)
nh l trn cng ng trong trng hp tng qut. Chng minh ca n tng i
hin nhin trong trng hp v
1
l cc khng gian xc sut ri rc, v l bi tp
dnh cho bn c.
Bi tp 2.12. Mt doanh nghip u t pht trin mt sn phm mi, xc sut thnh
cng l 30%. Chi ph u t b ra l 100 nghn USD. Nu khng thnh cng th mt chi
ph u t m khng thu v c g, nhng nu thnh cng th thu v c 1 triu (trc
khi tr i chi ph u t). Tnh k vng li nhun t v u t ny.
Bi tp 2.13. Xy dng mt v d n gin vi hai bin ngu nhin X, Y ri rc sao cho
E(XY ) = E(X)E(Y ).
Bi tp 2.14. Trong mt r c 99 qu bng nh s t 1 n 99. Li ra t trong r 5 qu
bng mt cch ngu nhin. Gi X l s nh nht hin ln trn 5 qu bng c li ra,
52 CHNG 2. BIN NGU NHIN
v Y l s ln nht hin ln.
i) Tnh phn b xc sut ca cc bin ngu nhin X v Y .
ii) Chng minh rng, vi mi m, n N, m n, ta c

n
k=m
C
m
k
= C
m+1
n+1
.
iii) Dng ii) tnh E(X).
Bi tp 2.15. Mt ngi tp bng r, ng t mt ch nm bng vo r 6 ln. Xc
sut nm trng mi ln l 2/3. Gi X l s ln nm trng, Y l s ln nm trt, v
Z = XY . Hy tnh k vng E(Z) ca Z bng hai cch khc nhau: mt cch thng qua
phn b xc sut ca Z, v mt cch khng dng n phn b xc sut ca Z.
Bi tp 2.16. (Entropy). Gi s c 1 tr chi gia hai ngi A v B nh sau: A chn 1
s t nhin trong cc s t 1 n 2
n
(n l mt s c nh no ), v B phi tm xem
l s no. B c th hi A bt c cu hi no v s m A chn, v A s tr li c hoc
khng cho cc cu hi ca B.
i) Ch ra mt chin thut (m cch hi), sau khi hi ng n ln, B tm c s m A
chn. (S n y c gi l entropy, hay l lng thng tin).
ii) Chng minh rng, vi bt k chin thut no ca B, th k vng v s ln phi hi
cho n khi tm c s m A chn l mt s ln hn hoc bng n.
(u tin hy th lm cho cc trng hp n = 2, n = 3, ri lm cho trng hp tng
qut).
2.3.2 Trng hp tng qut: tch phn trn khng gian xc sut
Trong trng hp tng qut, cng thc tnh gi tr k vng c vit di dng tch
phn Lebesgue ca X trn khng gian xc sut (, P):
E(X) =
_

XdP. (2.25)
nh ngha ca tch phn Lebesgue nh sau. Gi s c mt hm s F : (, P) R
o c trn mt khng gian xc sut (, P) vi o xc sut P. Nhc li rng, tnh
cht o c c ngha l tn ti P(F
1
(]a, b])) vi mi a, b R, a < b.
Trc ht ta xt trng hp F l mt hm b chn: tn ti mt s dng M R
+
sao cho |F()| < M vi mi .
Mt phn hoch (s chia nh) ca on thng ] M, M] l mt dy s a
0
= M <
a
1
< a
2
< . . . < a
n
= M hu hn n iu tng no , sao cho s u bng M v s
cui bng M. Ni cch khc, ta chia on thng ] M, M] thnh mt hp khng giao
2.3. K VNG CA BIN NGU NHIN 53
nhau ca cc on thng na m ]a
i
, a
i+1
]. Khi c mt phn hoch nh vy, k hiu l
, ta c th lp hai s sau:
I

(F) =
n

i=0
a
i
.P(F
1
(]a
i
, a
i+1
])), (2.26)
v
J

(F) =
n

i=0
a
i+1
.P(F
1
(]a
i
, a
i+1
])). (2.27)
K hiu l tp hp tt c cc phn hoch ca on thng ] M, M]. D thy rng
I

(g) J

(F) , .
(Bi tp: Chng minh bt ng thc trn). Hn na, nu phn hoch tha mn tnh
cht a
i+1
a
i
< vi mi i, th ta cng c J

(g) I

(g) < . T suy ra sup

(F) =
inf

(F). Theo nh ngha, tch phn Lebesgue ca F trn (, P) chnh l gi tr


chung :
_

FdP = sup

(F) = inf

(F). (2.28)
Trong trng hp F khng b chn, th u tin ta thay F bng cc hm b chn
F
M,N
() := min(max(N, F()), M), (2.29)
(M, N > 0), ri nh ngha
_

FdP = lim
M,N+
_

F
M,N
dP (2.30)
nu nh gii hn tn ti. Trong trng hp gii hn tn ti v hu hn, th ta ni F
l hm kh tch. Kh tch c ngha l nh ngha c tch phn, v cc cch nh ngha
khc nhau (qua cc cch ly gii hn khc nhau) cho cng mt kt qu hu hn. Hm
F kh tch khi v ch khi gi tr tuyt i ca n c tch phn hu hn:
_

|F|dP < .
(y l mt nh l trong gii tch, chng minh khng kh).
Trong trng hp l mt min trong R
n
vi th tch bng 1, phn b xc sut P l
phn b u trn (xc sut ca mt min con ca l th tch ca min con ), v F
l mt hm lin tc b chn, th tch phn Lebesgue trng vi tch phn (Riemann) nhiu
chiu thng thng. Trong trng hp tng qut, th tch phn Lebesgue l m rng ca
khi nim tch phn Riemann.
54 CHNG 2. BIN NGU NHIN
Tt nhin, trong trng hp = {
1
,
2
, . . .} l mt khng gian xc sut ri rc, ta
c
_

FdP =

i
F(
i
).P(
i
), (2.31)
v (nu c v hn phn t) F kh tch khi v ch khi chui

i
F(
i
).P(
i
) hi t tuyt
i.
Tng t nh tch phn Riemann thng thng, tch phn Lebesgue trn khng gian
xc sut c tnh cht n iu, tuyn tnh, v giao hon vi php ly gii hn ca mt
dy hm hi t u:
nh l 2.7. Gi s F, G v F
n
l cc hm o c trn mt khng gian xc sut (, P).
i) Nu F 0 (hu khp mi ni trn ) th
_

FdP 0. Tng qut hn, nu F G th


_

FdP
_

GdP.
ii) Nu F
n
hi t u n F trn , c ngha l lim
n
sup

|F
n
() F()| = 0, th
lim
n
F
n
dP =
_

FdP.
iii) Vi hai s thc a, b bt k, ta c
_

(aF + bG)dP = a
_

FdP + b
_

GdP. (2.32)
Hai khng nh u tin ca nh l trn suy ra trc tip t nh ngha ca tch phn
Lebesgue. Khng nh th ba c th kim tra trc tip d dng trong trng hp F v
G ch nhn mt s hu hn cc gi tr. Trong trng hp tng qut, ta c th xp x F
v G bng cc hm ch nhn mt s hu hn cc gi tr, sau ly gii hn.
nh l sau, gi l nh l hi t b chn Lebesgue (Lebesgue dominated convergence
theorem), l mt nh l hay c s dng trong vic nghin cu cc tch phn Lebesgue:
nh l 2.8 (Lebesgue). Gi s F
n
: (, P) R l mt dy hm o c trn khng
gian xc sut (, P) tha mn hai iu kin sau:
i) |F
n
| G vi mi n, trong G l mt hm kh tch trn .
ii) F
n
hi t hu khp mi ni n mt hm o c F trn , c ngha l tp cc im
sao cho lim
n
F
n
() = F() c o bng 1.
Khi ta c
_

FdP = lim
n
_

F
n
dP. (2.33)
S lc chng minh. V |F
n
| G nn ta cng c |F| G hu khp mi ni. Ly
mt s > 0 nh ty . t A
n
= { ||F
n
() F()| > }. Ta c
|
_

FdP
_

F
n
dP|
_

|F F
n
|dP
_
\A
n
dP +
_
A
n
2GdP + 2
_
A
n
GdP.
2.3. K VNG CA BIN NGU NHIN 55
chng minh |
_

FdP
_

F
n
dP| tin ti 0 khi n tin ti v cng, ta ch cn chng
minh
_
A
n
GdP tin ti 0 khi n tin ti v cng vi mi . V F
n
hi t hu khp mi ni
n F trn , nn tp hp cc im m nm trong v s cc tp A
n
c o bng 0. Do
P(A
n
) tin ti 0 khi n tin ti v cng (xem khng nh th hai ca Bi tp 1.22), t
suy ra
_
A
n
GdP tin ti 0 khi n tin ti v cng.
nh l 2.6 v s bo ton gi tr k vng di nh x bo ton xc sut c th c
pht biu li di dng nh l v s bo ton tch phn Lebesgue di dnh x bo ton
xc sut:
nh l 2.9. Gi s F : (, P) R l mt hm kh tch trn khng gian xc sut
(, P), v : (
1
, P
1
) (, P) l mt nh x bo ton xc sut. Khi F l hm
kh tch trn (
1
, P
1
) v
_

1
(F )dP
1
=
_

FdP. (2.34)
Chng minh ca nh l trn suy ra trc tip t nh ngha tch phn Lebesgue.
2.3.3 K vng ca phn b xc sut trn R
i khi, ta s k hiu tch phn
_

FdP thnh
_

F()dP, hoc l
_

F()dP(),
ch r hn v vic ly tch phn theo bin no.
Theo nh ngha, k vng ca mt phn b xc sut P
X
trn R l
_
xR
xdP
X
.
nh l 2.10. i) K vng ca mt bin ngu nhin X bng k vng ca phn b xc sut
P
X
ca bin ngu nhin :
E(X) =
_
xR
xdP
X
. (2.35)
ii) Nu P
X
l mt phn b lin tc vi hm mt
X
, th ta c:
E(X) =
_

x
X
(x)dx. (2.36)
iii) Nu g l mt hm s thc th
E(g(X)) =
_
xR
g(x)dP
X
=
_

g(x)
X
(x)dx. (2.37)
Khng nh u tin ca nh l trn chng qua l trng hp c bit ca tnh cht
bo ton k vng qua nh x bo ton xc sut. Tht vy, ta c th vit X = Id X,
trong Id l hm ng nht trn R : Id(x) = x. Do k vng ca X bng k vng
56 CHNG 2. BIN NGU NHIN
ca hm Id trn R vi phn b xc sut P
X
, v ta c cng thc (2.35). Khng nh th
hai l h qu ca khng nh th nht trong trng hp lin tc tuyt i. Khng nh
th ba cng suy ra t tnh cht bo ton k vng qua nh x bo ton xc sut, tng
t nh khng nh th nht.
V d 2.15. Gi tr k vng ca phn b xc sut normal N(,
2
) bng .
V d 2.16. Gi s gi 1kg vng vo thi im T l 35000 (USD). Ti thi im T, th
gi 1kg vng cho thi im T + 1 cha c bit, v c th coi l mt bin ngu nhin
X. Gi s rng X c phn b (gn nh) normal vi k vng 35000 v lch chun 400.
Hi rng, vo thi im T, gi tr ca quyn mua 1kg vi gi 35000 ti thi im T + 1
l bao nhiu ? Quyn mua (call) vng l mt chng khon phi sinh, cho php ngi s
hu n mua vng vi gi c nh trc, ti mt thi im trong tng lai, nhng khng
bt buc phi mua. Gi gi tr ca quyn mua ny ti thi im T + 1 l Y . Khi
Y = max(0, X 35000), tc l nu gi vng lc di 35000 th gi tr ca quyn mua
bng 0, cn nu gi vng trn 35000 th gi tr ca quyn mua bng s chnh lch gia
gi vng v gi ghi trong quyn mua. Gi tr ca quyn mua ny ti thi im T c coi
bng k vng ca Y . Nh vy gi tr ny bng
E(Y ) =
1
400

2
_

35000
(x35000). exp
_

(x 35000)
2
2.400
2
_
dx =
400

2
_

0
exp(z)dz 160.
Bi tp 2.17. Gi s Y l mt bin ngu nhin lin tc vi hm mt sau:
Y
(x) = c sin x
khi x ]0, [, v
Y
(x) = 0 ti cc im khc.
i) Hy tnh c.
ii) Hy tnh E(Y )
iii) Th ngh mt vn c th xy ra trong thc t vi phn b xc sut ny.
Bi tp 2.18. Tnh k vng ca phn b Pareto (2.19) vi tham s > 1. (Khi 1 th
k vng bng v cng).
2.3.4 Gi tr k vng hnh hc
Trong cc ti liu v xc sut t khi nhc ti k vng hnh hc. Nhng khi nim ny
cng rt quan trng, bi vy chng ta s cp n y. Gi tr k vng ng vi trung
bnh cng, cn gi tr k vng hnh hc ng vi trung bnh nhn. Mt v d n gin sau
y cho thy s quan trng ca trung bnh nhn trong thc t.
V d 2.17. Gi s gi nh dao ng trong 4 nm nh sau. Nm u tin gim 15%, nm
th hai tng 35%, nm th ba gim 20%, nm th t tng 20%. Hi xem trong 4 nm
2.3. K VNG CA BIN NGU NHIN 57
gi nh tng ln (hay gim i) trng bnh mi nm bao nhiu % ? Nu ta ly trung bnh
cng th c (-15% + 35% - 20% + 20%)/ 4 = 5% mt nm. Nhng con s c phn
nh chnh xc s i ln ca gi nh trong 4 nm khng ? Nu gi gi lc u l X, th
sau nm u gi l (1-15%)X, sau nm th hai gi l (1+35%)(1-15%)X, sau nm th ba
gi l (1-20%)(1+35%)(1-15%)X, sau 4 nm gi l (1+20%)(1-20%)(1+35%)(1-15%)X =
1,1016 X. Tc l sau 4 nm gi nh ch tng ln c 10,16%, ch khng phi 20% (= 4 ln
5%) nh l ngi ta tng ! c ci nhn chnh xc v mc tng trng trung bnh
hng nm trong giai on 4 nm, cn phi ly trung bnh nhn ca cc con s 1+20%,
1-20%, 1+35%, 1-15% ri tr i 1. Kt qu l 2,449% mt nm.
Nh chng ta bit, nu c mt dy cc s dng a
1
, . . . , a
n
, a
i
> 0 vi mi i, th ngoi
gi tr trung bnh cng (

a
i
)/n, chng ta cn c th ni n trung bnh nhn: (

i
a
i
)
1/n
.
T ting Anh cho trung bnh nhn l geometric mean, nu dch tng ch ra ting Vit
th l trung bnh hnh hc, cn trung bnh cng l trung bnh s hc. Trung bnh nhn
c th c nh ngha qua trung bnh cng v qua hm logarithm ln, v hm ngc ca
hm ln, tc l hm exp:
(

i
a
i
)
1/n
= exp(

i
(ln a
i
)/n). (2.38)
Hm ln l hm lm trn na ng thng dng (o hm bc hai ca n bng 1/x
2
l mt hm m), bi vy ta c:

i
ln a
i
n
ln
_
i
a
i
n
_
Ly exp ca hai v ca bt ng trn, ta c bt ng thc quen thuc sau: Trung bnh
nhn lun lun nh hn hoc bng trung bnh cng:
_

i
a
i
_
1/n

i
a
i
n
. (2.39)
Du bng xy ra khi v ch khi tt c cc s a
i
bng nhau.
Nu thay v mt dy cc s dng, ta c mt bin ngu nhin X m cc gi tr u
dng, th ta cng c th lm tng t nh trn, v kt qu gi l gi tr k vng hnh
hc ca X:
nh ngha 2.15. Nu X l mt bit ngu nhin ch nhn cc gi tr dng, th gi tr
k vng hnh hc ca X, k hiu l G(X), c cho b cng thc sau:
G(X) = exp(E(ln X)) = exp(
_

ln(X)dP). (2.40)
58 CHNG 2. BIN NGU NHIN
nh l 2.11. Gi tr k vng hnh hc lun nh hn hoc bng gi tr k vng:
G(X) E(X). (2.41)
Du bng xy ra khi v ch khi F l hng s hu khp mi ni trn khng gian xc sut,
tc l tn ti mt s thc dng c sao cho P(X = c) = 1.
nh l trn l trng hp ring ca bt ng thc Jensen pht biu nh sau:
nh l 2.12 (Bt ng thc Jensen). Nu f l mt hm li, v X l mt bin ngu
nhin bt k, th
E(f(X)) f(E(X)). (2.42)
V d 2.18. Gi s c mt c hi u t nh sau. Kh nng thng/thua l 50%/50%, sau
1 thng bit kt qu. Nu thng th li 100%, nu thua th l 50% tin b ra. (Trn th
trng chng khon c nhng trng hp tng t nh vy, v d nh 1 hng cng ngh
sinh hc khi ang i kt qu th nghim lm sng ca mt loi thuc cha ung th, nu
thnh cng th gi tr c phiu ca hng c th tng hn gp i, nu tht bi th gi tr
cng c th mt trn 50%). Hi i vi ngi u t th c nn u t vo nhng c hi
nh vy khng, v nu nn th nn u t vi nhiu nht nhiu % vn u t ( t k
vng li nhun cao nht, gi s l khng c cc c hi u t khc)?
Trc ht, ta c th tnh gi tr k vng ca li nhun ca u t theo c hi trn,
vi 1 n v vn b ra. Gi L l bin li nhun, ta c 2 kh nng: hoc L = 1 hoc
L = 1/2, mi kh nng c xc sut 50%. Nh vy k vng li nhun trn 1 n v vn
b ra l: E(L) = 50%.1 + 50%.(1/2) = 0, 25 K vng li nhn y l dng v kh
ln (bng 25% vn b ra), nn y l c hi nn u t, tr khi c nhng c hi khc tt
hn. (Li 25% trong mt thng c th gi l siu li nhun).
Cu hi th hai l nh u t nn u t vo nhiu nht l bao nhiu phn trm
vn u t ? Nu gi s u t ton b 100% vn. Khi c 2 kh nng, hoc l tng s
vn tng ln gp i, hoc l gim i cn 1 na, vi xc sut ca mi kh nng l 50%.
Nhng nu mt nh u t m lm nh vy 2 ln lin tip, 1 ln thng mt ln thua, th
sau hai ln s vn li v nh c khng tng trng c g c. Mun m bo cho vn
tng trng v lu v di, ci cn tnh n khng phi l gi tr k vng ca vn sau mi
ln u t, m l gi tr k vng hnh hc. Nu gi s ch c 1 c hi u t duy nht nh
trn, th gi tr k vng hnh hc ca vn c c sau khi u t Y tin vo trn tng
s X tin s l:
_
(X Y/2)(X + Y ) ti u ha gi tr k vng hnh hc tc l tm Y
sao cho
_
(X Y/2)(X + Y ) t cc i, vi X cho trc. Kt qu l Y = X/2, v khi
2.4. PHNG SAI, LCH CHUN, V CC MOMENT 59
gi tr k vng hnh hc ca vn sau khi u t l
_
(X X/4)(X + X/2) = 1, 061.X
Nh vy, k vng li nhun ca mt c hi u t nh trn, tnh trn ton b vn ca
nh u t, ch c khng qu 6,1% ch khng phi 25%.
nh l 2.13. Gi tr k vng hnh hc c nhng tnh cht sau:
Tnh n iu: nu F G th G(F) G(G)
Tnh thun nht: Nu c l hng s th G(cF) = cG(F)
Tnh lm: (G(F) +G(G))/2 G((F +G)/2). Du bng xy ra khi v ch khi F v G t
l thun vi nhau, tc l tn ti mt hng s dng c sao cho G = cF hu khp mi ni.
Ghi ch 2.6. Tnh lm ca gi tr k vng hnh hc chnh l c s ca nguyn tc a
dng ha ti sn (diversification) trong u t: Bng cch a dng ha ti sn (u t
mt phn vo F v mt phn vo G , thay v ch u t vo F hay ch u t vo G) c
th lm tng gi tr k vng hnh hc ca danh mc u t (t ra l trong trng hp F
v G c cng k vng hnh hc v tng trng).
Bi tp 2.19. Chng minh bt ng thc (G(F) +G(G))/2 G((F +G)/2), cho trng
hp khng gian xc sut l mt khng gian hu hn phn t c phn b xc sut u.
2.4 Phng sai, lch chun, v cc moment
2.4.1 Phng sai v lch chun
nh ngha 2.16. lch chun (standard deviation) ca mt bin ngu nhin X l
(X) =
_
E((X E(X))
2
). (2.43)
Phng sai (variance) ca X, k hiu l var(X), chnh l bnh phng ca lch chun
ca X, tc l bng E((X E(X))
2
).
S dng tnh tuyn tnh ca gi tr k vng, ta c th bin i cng thc ca phng sai
nh sau: E((XE(X))
2
) = E(X
2
2E(X).X+E(X)
2
) = E(X
2
)2E(X).E(X)+E(X)
2
=
E(X
2
) E(X)
2
. Nh vy, ta c cng thc sau:
var(X) = (X)
2
= E(X
2
) E(X)
2
. (2.44)
lch chun c tnh thun nht bc mt: (cX) = c(X), cn phng sai th thun
nht bc hai: var(cX) = (cX)
2
= c
2
var(X). ngha ca lch chun l: n l thc
60 CHNG 2. BIN NGU NHIN
o lch ca cc gi tr ca X so vi gi tr trung bnh ca n. nh ngha ca phng
sai cho thy n lun lun ln hn hoc bng 0, v bng 0 khi v ch khi X l hng s hu
khp mi ni, tc l n khng b lch i u c so vi gi tr trung bnh ca n.
Cu hi cho nhng ngi t m: Ti sao ngi ta li hay dng phng sai v lch
chun lm thc o cho lch gia cc gi tr ca mt bin ngu nhin X vi gi tr k
vng ca n, ch khng dng mt i lng kiu nh E(|X E(X)|) ?
V d 2.19. Nu F nhn hai gi tr a v a (a > 0), mi gi tr vi xc sut 50%, th gi
tr k vng ca F l 0, phng sai ca F l a
2
.50% + (a)
2
.50% = a
2
, v lch chun
chnh l a.
V d 2.20. Nu F c phn b normal N(,
2
), th gi tr k vng ca F chnh l ,
cn lch chun ca F chnh l . (Bi tp: chng minh iu bng cc bin i tch
phn, xut pht t cng thc
_

2
exp(
x
2
2
)dx = 1)
Ghi ch 2.7. i vi cc bin ngu nhin vi v hn cc gi tr, th cc i lng c
trng ca chng nh k vng, phng sai, v cc i lng khc, khng phi lc no cng
tn ti hay hu hn. V d, phn b xc sut ri rc P(k) = C/k
2
vi mi k N, vi
C = 1/(

1/n
2
) = 6/
2
, khng c k vng v sai phng hu hn. Ta ch s dng cc
i lng c trng khi chng tn ti v hu hn.
Bi tp 2.20. Chng minh rng:
i) lch chun ca phn b hnh hc vi tham s p (P(k) = p(1 p)
k1
vi mi k N)
l =

1 q
q
.
ii) lch chun ca phn b Poisson vi tham s (P(k) = e

.
k
/k! vi mi k Z
+
)
l =

.
Bi tp 2.21. Gi s X l mt bin ngu nhin vi E(X) = 2, v c phn b xc sut
lin tc vi hm mt
X
c dng sau:
X
(x) = ax
2
+b nu 0 < x < 1, v
X
(x) = 0
nhng im cn li. Hy tnh a, b, v var(X).
Bi tp 2.22. Mt phng th nghim phi kim tra mt lng N rt ln cc mu mu
ngi (mi mu ca 1 ngi) tm ra cc mu c cha mt loi khng th X. Thay v xt
nghim tng mu mt, ngi ta lm nh sau: Chia cc mu thnh tng nhm, mi nhm
c k mu. Trn cc mu mu trong cng mt nhm vi nhau (ly mt t mu t mi
mu) c 1 mu hn hp, ri xt nghip mu hn hp . Nu kt qu xt nghim
l m tnh (mu hn hp khng c khng th X) th coi nh c k mu trong nhm u
khng c khng th X, cn nu mu hn hp c khng th X, th lm tip k xt nghim,
mi xt nghim cho tng mu ca nhm. Gi s xc sut 1 mu mu c khng th X
2.4. PHNG SAI, LCH CHUN, V CC MOMENT 61
l mt s p, v cc mu mu c lp vi nhau. Gi S l tng s ln phi xt nghim.
i) Xc sut mt mu mu hn hp c cha khng th X l bao nhiu ?
ii) Tnh k vng v phng sai ca S, khi tng s mu mu phi kim tra l N = km.
iii) Vi nhng gi tr no ca p th tn ti mt s k thch hp no sao cho phng
php xt nghim trn tit kim c s ln xt nghim (k vng ca S nh hn N) ?
Tm gi tr ca k ti u, nh l hm ca p.
2.4.2 Cc moment ca mt bin ngu nhin
nh ngha 2.17. Nu X l mt bin ngu nhin, v k l mt s t nhin, th i lng
E(X
k
) c gi l moment (hay m men) bc k ca X, v i lng E((X E(X))
k
)
c gi l moment trung tm bc k ca X.
Ghi ch 2.8. C nhiu t thut ng gc nc ngoi, m trong ting Vit khng c t
thun Vit tng ng, ch dch phin m, v d nh m men (moment), vc t (vector),
m un (module), v.v. Trong nhng trng hp nh vy, y chng ta s nguyn t
theo ting Anh, thay v dng phin m ting Vit.
Nh pha trn chng ta thy, moment bc 1 ca X chnh l gi tr k vng ca n,
moment trung tm bc 1 ca X th lun bng 0, moment trung tm bc 2 ca X chnh
l phng sai ca n, v n c th c biu din qua cc moment ca X theo cng thc:
E((X E(X))
2
) = E(X
2
) E(X)
2
(2.45)
Tng t nh vy, cc moment trung tm bc cao hn ca X cng c th khai trin
di dng a thc ca cc moment ca X.
Nu k hiu P
X
l phn b xc sut trn R ca X, th ta c th vit moment bc k
ca X theo cng thc sau:
E(X
k
) =
_
xR
x
k
dP
X
. (2.46)
Nu nh phn b xc sut P
X
la mt phn b xc sut lin tc vi hm mt
X
th ta c th vit:
E(X
k
) =
_
+

x
k

X
(x)dx. (2.47)
Cc moment ca mt bin ngu nhin cho ta cc thng tin v dng iu ca phn b
xc sut ca bin ngu nhin . V d, nu moment trung tm bc 2 nh, th c ngha
l cc gi tr ca X ni chung t b sai lch so vi gi tr k vng ca n, hay ni cch
62 CHNG 2. BIN NGU NHIN
khc phn ln xc sut ca phn b xc sut ca X tp trung trong mt khong nh
xung quanh im gi tr k vng. Ngc li, nu moment trung tm bc 2 ln, th phn
b xc sut ca X ni chung s "dn tri" hn ra xa im gi tr k vng.
Moment trung tm bc 3 ca X c gi l h s bt i xng (skewness), hay cn
c th gi l xin ca phn b xc sut ca X: Nu X c phn b xc sut i xng
quanh im gi tr k vng (c ngha l X v 2E(X) X c cng phn b xc sut), th
moment trung tm bc 3 ca n bng 0. Nu nh moment trung tm bc 3 ln hn 0 th
phn b xc sut ca X c gi l xin v bn phi, cn nu moment trung tm bc 3
nh hn 0 th phn b xc sut ca X c gi l xin v bn tri.
Hnh 2.8: Phn b bt i xng
V d 2.21. Moment trung tm bc 3 ca mt phn b normal bng 0.
V d 2.22. Gi s c mt bin ngu nhin X vi phn b xc sut ri rc sau: P(X =
2) = 1/2, P(X = 1) = 1/4, P(X = 3) = 1/4. Khi gi tr k vng ca X bng
0, moment trung tm bc 3 ca X bng moment bc 3 ca X v bng: (1/2).(2)
3
+
(1/4).1
3
+ (1/4).3
3
= 3 > 0. th phn b xc sut ca X (vi 3 on thng nh ln
3 im -2,1,3 trn trc honh) b "lch v bn phi" so nu ly im gi tr k vng
(= 0) lm trung im.
Moment trung tm bc 4 ca X lin quan n ci gi l kurtosis
(3)
ca X. Theo nh
ngha, kurtosis (hay cn gi l h s nhn) ca mt bin ngu nhin l i lng

2
=

4

4
3, (2.48)
trong
4
l moment trung tm bc 4, cn l lch chun. T l
4
/
4
c gi
l moment chun ha bc 4. L do ca vic chun ha ny l: cc moment chun ha
ca cc phn b normal u l hng s v khng ph thuc vo lch chun. Moment
(3)
kurtosis l mt t gc ting Hy lp, ch nhn
2.4. PHNG SAI, LCH CHUN, V CC MOMENT 63
Hnh 2.9: Kurtosis
chun ha ca bc 4 ca mt phn b normal chnh bng 3, bi vy kurtosis ca mt
phn b normal bng 0. Khi mt phn b xc sut c kurtosis dng (phn b nh vy
gi l phn b leptokurtic hay nhn vt chun) th c ngha l n "nhn" hn phn
b normal c cng lch chun, cn khi kurtosis m (phn b nh vy gi l phn b
platykurtic) th c ngha l n "bt" hn phn b normal c cng lch chun. Nu
kurtosis bng 0 th phn b c gi l mesokurtic. (Xem hnh 2.9).
Hnh 2.10: Thay i cc moment bc 1 n bc 4
V d 2.23. Hnh 2.10 l v d minh ha v vic dch chuyn 4 im a, b, c, d ca mt
phn b xc sut u ri rc P(a) = P(b) = P(c) = P(d) = 1/4, t v tr ban u
a = 3, b = 1, c = 1, d = 3, sao cho lm tng 1 trong 4 moment bc 1, bc 2, bc 3, bc
4 trong khi gi nguyn 3 moment cn li.
Tt nhin, nu hai bin ngu nhin c cng phn b xc sut trn R, th tt c cc
moment ca chng u bng nhau. iu ngc c ng khng, hay ni cch khc, dy
cc moment E(X
k
), k = 1, 2, 3, . . . ca mt bin ngu nhin xc nh hon ton phn b
xc sut ca bin ngu nhin khng ? y l mt cu hi ton hc th v. C nhng
v d v cc phn b xc sut lin tc khc nhau nhng c tt c cc moment nh nhau.
64 CHNG 2. BIN NGU NHIN
Tuy nhin, trong trng hp cc khng gian xc sut ch c hu hn phn t (m thc
ra tt c cc vn trong thc t u ch c hu hn cc kh nng xy ra, v cc m
hnh lin tc vi v hn kh nng ch l cc m hnh m phng gn ng), th ta c:
Mnh 2.14. Nu X v Y l hai bin ngu nhin ch nhn mt s hu hn cc gi tr,
v c E(X
k
) = E(Y
k
) vi mi k N, th phn b xc sut ca chng trn R bng nhau.
Bi tp 2.23. Chng minh mnh trn.
Bi tp 2.24. Tnh k vng v cc moment trung tm ca phn b ly tha vi tham s
.
2.4.3 Bt ng thc Chebyschev v bt ng thc Markov
Nhng bt ng thc tng i n gin sau y ca Chebyschev v Markov lin quan
n cc moment s c ch trong vic nh gi phn b xc sut ca cc bin ngu nhin.
nh l 2.15. (Bt ng thc Chebyschev cho k vng) Vi mi bin ngu nhin X ch
nhn cc gi tr khng m, v mi s dng a > 0 ta c
P(X a)
E(X)
a
. (2.49)
Chng minh. Gi X
a
l bin ngu nhin sau: X
a
= a khi X a v X
a
= 0 khi
X < a. Khi X X
a
, v X
a
ch nhn hai gi tr 0 v a. Bi vy
E(X) E(X
a
) = 0.P(X
a
= 0) + a.P(X
a
= a) = a.P(X a),
t suy ra iu phi chng minh.
nh l 2.16. (Bt ng thc Markov cho cc moment tuyt i) Vi mi bin ngu
nhin X, s dng a > 0, v s t nhin k, ta c
P(|X| a)
E(|X|
k
)
a
k
. (2.50)
Chng minh. Suy ra t bt ng thc Chebyschev cho bin ngu nhin |X|
k
v hng
s a
k
.
nh l 2.17. (Bt ng thc Chebyschev cho phng sai) Nu X l mt bin ngu nhin
c phng sai var(X) hu hn v a > 0 bt k, ta c
P(|X E(X)| a)
var(X)
a
2
. (2.51)
2.4. PHNG SAI, LCH CHUN, V CC MOMENT 65
Hnh 2.11: Pafnouti Lvovitch Chebyschev (1821-1894)
Hnh 2.12: Andrei Andreevitch Markov (1856-1922)
Chng minh. Suy ra t bt ng thc Markov cho bin ngu nhin X E(X) v
cho k = 2.
Ghi ch 2.9. Pafnouti Lvovitch Chebyschev (1821-1894) l mt nh ton hc ngi Nga.
Ngoi l thuyt xc sut, ng ta cn nghin cu nhiu v s hc v i s. Cc a thc
U
n
bc n tha mn U
n
(cos(x)) =
sin((n + 1)x)
sin x
c gi l a thc Chebyschev, v chng
xut hin nhiu trong ton hc v ng dng. Andrei Andreevitch Markov (1856-1922)
cng l mt nh ton hc ngi Nga, v l hc tr ca Chebyschev. Cc xch Markov
(Markov chains) c bit quan trng trong l thuyt xc sut v cc qu trnh ngu nhin
(stochastic processes). Cc qu trnh ngu nhin nm ngoi khun kh ca cun sch ny,
66 CHNG 2. BIN NGU NHIN
nhng s c bn n trong mt cun sch tip theo.
2.5 Hm c trng, hm sinh, v bin i Laplace
Thay v xt cc moment E(X
k
) ca mt bin ngu nhin X, ta c th xt cc gi tr
c trng dng E(exp(yX)) trong y l mt tham s no . Khi ta bin i y trong
mt min no trn R hoc C, s ta c mt hm cc gi tr c trng ca X. S lin
quan gia hm ny v cc moment c th hin qua ng thc sau (xy ra nu nh ta
c cc iu kin v hi t):
M
X
(y) = E(exp(yX)) = E(

k
(y
k
/k!).X
k
) =

k
E(X
k
).(y
k
/k!) (2.52)
Hm M
X
(y) = E(exp(yX)) c gi l hm sinh moment ca X.
2.5.1 Hm c trng
Trong biu thc M
X
(y) = E(exp(yX)), nu ta ly y = is, ( y i =

1) ,vi s R,
th ta c exp(yX) = exp(isX) = cos(sX) +i sin(sX) l mt bin ngu nhin b chn (c
gi tr tuyt i bng 1), v ta c th yn tm v s tn ti ca E(exp(isX)). T c
nh ngha sau:
nh ngha 2.18. Hm c trng ca mt bin ngu nhin thc X l hm
X
: R C
c cho bi cng thc

X
(s) = E(exp(isX)) =
_
xR
e
isx
dP
X
. (2.53)
V d 2.24. Hm c trng ca mt s phn b xc sut quen thuc:
i) Hm c trng ca mt hng s c (tc l bin ngu nhin ch nhn mi gi tr c) l

c
(s) = e
ics
.
ii) Hm c trng ca phn b nh thc vi cc tham s n, p l hm (1 p + pe
is
)
n
.
iii) Hm c trng ca phn b xc sut u trn mt on thng [a, b] l hm
e
ibs
e
ias
i(b a)s
.
iv) Hm c trng ca phn b xc sut ly tha vi tham s 1 (vi mt (x) = e
x
khi x > 0) l hm
1
1 is
.
v) Hm c trng ca phn b xc sut normal chun tc N(0, 1) l hm (s) =
exp(s
2
/2).
2.5. HM C TRNG, HM SINH, V BIN I LAPLACE 67
(Bi tp: Hy suy ra cc cng thc trn t nh ngha ca hm c trng v ca cc phn
b xc sut).
nh l 2.18. Mt s tnh cht ca hm c trng:
i)
X
(0) = 1
ii) |
X
(s)| 1 vi mi s R
iii) Nu Y = aX + b vi a, b l cc hng s, th
Y
(s) = e

1bs

X
(as).
iv)
X
lin tc u trn R.
v) Nu E(|X|
k
) < vi mt s t nhin k no , th hm c trng
X
kh vi lin tc
k ln trn R, v
E(X
k
) =
1
(

1)
k
.
(k)
X
(0), (2.54)
trong
(k)
X
l k hiu o hm bc k ca
X
.
Chng minh. Ba tnh cht u tin tng i hin nhin, suy ra ngay t nh ngha.
Tnh cht th t l bi tp dnh cho nhng bn c quen vi khi nim lin tc u.
chng minh tnh cht cui cng, chng ta nh rng php ly gi tr k vng l mt php
ly gi tr trung bnh, c th hiu nh l mt php ly tng (ca mt chui), v do n
giao hon vi php ly p hm (khi mt s iu kin hi t no c tha mn). p
dng nguyn tc giao hon vo nh ngha ca hm c trng, ta c o hm bc k
ca hm c trng l:

(k)
X
(s) =
d
k
ds
k

X
(s) = E(
d
k
ds
k
exp(isX)) = E((iX)
k
exp(isX)) = i
k
E(X
k
exp(isX)).
(2.55)
t s = 0, ta c
(k)
X
(0) = i
k
E(X
k
).
2.5.2 Tm li phn b xc sut t hm c trng
Chng ta c cng thc gii hn sau y, cho php tm li c phn b xc sut t
hm c trng ca n:
nh l 2.19. Gi P
X
l phn b xc sut ca mt bin ngu nhin X ty , v
X
l
hm c trng ca n. Khi vi mi a, b R, a < b, ta c:
lim
R
1
2
_
R
R
e
ias
e
ibs
is

X
(s)ds = P
X
(]a, b[) +
P
X
(a) + P
X
(b)
2
. (2.56)
Chng ta s chp nhn nh l trn m khng chng minh. Nu bn c bit qua
v gii tch Fourier th c th t chng minh n khng qu kh khn (n tng t nh
68 CHNG 2. BIN NGU NHIN
nh l Dirichlet cho chui Fourier). Nu khng th c th xem chng hn trong Chng
9 ca quyn sch ca Koralov v Sinai [5].
Trong trng hp X c phn b xc sut lin tc vi hm mt
X
, th ta c th
vit

X
(s) =
_
+

e
isx

X
(x)dx. (2.57)
Trong gii tch, php tnh trn gi l php bin i Fourier. C ngha l, hm c trng
chnh l bin i Fourier ca hm mt .
Chia c hai v ca cng thc (2.56) cho b a, v cho b tin ti a, ta c cng thc
sau, gi l php bin i ngc Fourier, tnh hm mt t hm c trng:

F
(x) =
1
2
_

e
isx

F
(s)ds. (2.58)
Trong trng hp X l bin ngu nhin nguyn (ch nhn gi tr trong Z), th hm c
trng
X
ca X chnh l chui Fourier vi cc h s l cc xc sut P
X
(k) = P(X = k),
k Z:

X
(s) =

kZ
P
X
(k) exp(iks), (2.59)
v ta c th tnh ra P
X
(k) t
X
theo cng thc quen thuc tnh cc h s ca mt
chui Fourier:
P
X
(k) =
1
2
_

e
iks

X
(s)ds (2.60)
Ghi ch 2.10. Joseph Fourier (17681830) l nh ton hc v vt l Php. Trong khong
thi gian 17981801 Fourier i theo Napolon, cng vi 35000 lnh Php v mt on cc
nh khoa hc, sang chinh chin Ai Cp (Egypt) v tm hiu nn vn minh Ai Cp. Khi
Ai Cp, Fourier tr thnh ngi iu hnh Vin Hn lm Ai Cp do Napolon lp ra,
v sau iu hnh lun c cc cng vic hnh chnh v ngoi giao Ai Cp, gn nh l
quan ton quyn. Fourier t ra rt c ti v chnh tr v ngoi giao, c th m phn, ha
gii cc bn i lp. Sau khi Php u hng Anh Ai Cp nm 1801 v Fourier tr v
Php, c c lm tnh trng (prfet) vng Isre. Trong thi gian Ai Cp, Fourier pht
minh ra chui Fourier, khi nhn thy cc lp sng ct (dunes) sa mc. Chui Fourier v
bin i Fourier l mt th cng c vn nng, khng ch quan trng trong xc sut, m
cn xut hin khp ni trong ton hc v vt l.
Trong trng hp tng qut, mt phn b xc sut cng c xc nh mt cch duy
nht bi hm c trng ca n:
2.5. HM C TRNG, HM SINH, V BIN I LAPLACE 69
Hnh 2.13: Joseph Fourier (17681830)
nh l 2.20. Hai bin ngu nhin c cng phn b xc sut khi v ch khi chng c
cng hm c trng.
Chng minh. Gi s hai phn b xc sut P
X
v P
Y
c cng hm c trng . Cng
thc (2.56) dn n:
P
X
(]a, b[) +
P
X
(a) + P
X
(b)
2
= P
Y
(]a, b[) +
P
Y
(a) + P
Y
(b)
2
vi mi a < b. Ta c th chn a v b l nhng im lin tc ca F
X
v F
Y
, ri cho a tin
ti , ta c: F
X
(b) = F
Y
(b) ti mi im b m l im lin tc ca c F
X
v F
Y
.
Gi s x R l mt im ty . Nhc li rng s im gin on ca mt hm phn
phi xc sut trn R l khng qu m c. V th tn ti mt dy cc im x
n
> x sao
cho x
n
tin ti x khi n tin ti v cng, v x
n
l im lin tc ca F
X
v F
Y
vi mi n.
Nhc li rng, cc hm phn phi xc sut c tnh cht lin tc bn phi. Do ta c:
F
X
(x) = lim
n
F
X
(x
n
) = lim
n
F
Y
(x
n
) = F
Y
(x). Nh vy, hai hm phn phi xc
sut F
X
v F
Y
trng nhau, do hai phn b xc sut P
X
v P
Y
cng trng nhau.
Bi tp 2.25. Ta s gi mt bin ngu nhin X l i xng nu nh X v X c cng
phn b xc sut. Hy xy dng nhng v d bin ngu nhin i xng, v chng minh
rng mt bin ngu nhin l i xng khi v ch khi hm c trng
X
ca n l mt
hm thc (tc l
X
(s) R vi mi s R).
70 CHNG 2. BIN NGU NHIN
2.5.3 Hm sinh xc sut v bin i Laplace
Trong biu thc E(exp(yX)), nu t y = ln z, th ta c hm sau, gi l hm sinh
xc sut:
G
X
(z) = E(z
X
) (2.61)
Hm sinh xc sut hay c dng khi m cc gi tr ca bin ngu nhin u l s
nguyn khng m. Khi hm sinh xc sut c dng a thc hoc chui Taylor c bn
knh hi t ln hn hoc bng 1:
G
X
(z) =

k
P
X
(k).z
k
, (2.62)
v ta c P(X = k) =
1
k!
d
k
G
X
(z)
dz
k

z=0
vi mi k Z
+
.
T quan im ca gii tch phc, hm c trng
X
(s) v hm sinh G
X
(z) gn nh
l mt, c th chuyn t hm ny sang hm kia bng cch i bin. Bi vy, tt nhin
cc moment ca mt bin ngu nhin cng c th suy ra c t hm sinh xc sut ca
bin ngu nhin . Ta c nh l sau:
nh l 2.21. Gi s X l mt bin ngu nhin vi hm sinh xc sut G . Khi :
1) E(X) = G

(1)
2) var(X) =
2
(X) = G

(1) + G

(1) (G

(1))
2
3) E(X(X 1) . . . (X k + 1)) = G
(k)
(1) vi mi k N. y G
(k)
l o hm bc k
ca G.
V d 2.25. Hm sinh xc sut ca mt bin ngu nhin X vi phn b Poisson vi tham
s l hm G
X
(z) = exp((z 1)) Tht vy, ta c: G
X
(z) = E(z
X
) =

k
z
k
P(X =
k) =

k
e

k
z
k
/k! = e

e
z
= e
(z1)
. T suy ra E(X) = G

X
(1) = , G

X
(1) =
2
v
var(X) = G

X
(1) + G

X
(1) (G

X
(1))
2
=
2
+
2
= .
Trong trng hp bin ngu nhin X ch nhn cc gi tr thc khng m, ngi ta
hay dng hm Laplace L
X
(t) : R
+
R, nhn c t biu thc E(exp(yX)) bng cch
t t = y:
L
X
(t) = E(exp(tX)). (2.63)
y ta coi bin t nm trong tp cc s thc khng m. Vi gi s rng F ch nhn cc
gi tr khng m, ta lun c 0 < (exp(tF)) 1, t suy ra cc gi tr ca L
F
(t) l s
dng v b chn trn bi 1.
2.5. HM C TRNG, HM SINH, V BIN I LAPLACE 71
Trong trng hp F c phn b xc sut lin tc vi hm mt
F
tha mn iu
kin
F
(x) = 0 vi mi x < 0 (c ngha l F khng nhn cc gi tr m), th ta c
L
F
(t) =
_

0
exp
tx

F
(x)dx, (2.64)
v hm L
F
(t) c gi l bin i Laplace ca hm mt
F
(x).
Tng t nh i vi hm sinh v hm c trng, cc o hm ca hm L
F
(t) ti
im t = 0 cng cho ta cc moment ca F.
Hnh 2.14: Pierre-Simon Laplace (1949-1827)
Ghi ch 2.11.
(4)
Pierre-Simon Laplace (1749-1827) l nh ton hc, thin vn hc v vt
l ngi Php, mt trong nhng nh khoa hc c th lc nht chu u thi i ng ta.
ng ta nghin cu rt nhiu th, t xc sut (nh l gii hn trung tm, bin i Laplace)
n gii tch iu ha, c hc, m thanh, truyn nhit, cc thin th, v.v. Laplace chnh l
ngi t ra gi thuyt v l en (black hole) v v s co li do trng lng (gravitational
collapse) trong vt l thin vn. Laplace cn c tham vng v chnh tr, l thnh vin
ca thng ngh vin. C lc lm B trng B ni v di thi Napolon, nhng sau
6 tun th b cch chc v khng c vic. Laplace b nhiu ngi cng thi khng a
v tnh bc bo, ch k, c khi cn v c cng trnh ca ngi khc thnh ca mnh, v
thay i quan im chnh tr nh chong chng theo chiu gi. Nhng v mt khoa hc,
Laplace l mt con ngi v i ca th k 18-19. Bin i Laplace c gi nh vy l
do Laplace a vo nghin cu xc sut, cng vi hm sinh xc sut. Bin i Laplace
cn xut hin nhiu ni khc trong vt l v ton hc. Leonhard Euler (17071783) c
l l ngi u tin ngh ra bin i ny.
(4)
Xem wikipedia: http://fr.wikipedia.org/wiki/Pierre-Simon_Laplace.
72 CHNG 2. BIN NGU NHIN
Bi tp 2.26. Chng minh rng hm sinh xc sut ca mt bin ngu nhin vi phn b
hnh hc vi tham s p l hm G(z) =
pz
1 z + pz
. T suy ra k vng v phng sai
ca phn b hnh hc.
Bi tp 2.27. Tnh hm sinh xc sut v hm Laplace ca phn b nh thc vi cc tham
s n, p.
Bi tp 2.28. Chng minh nh l 2.21 cho trng hp F nh nhn mt s hu hn cc
gi tr.

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