T SCH SPUTNIK

Sch in t SE001

GS. Nguyn Tin Dng v GS. c Thi

NHP MN HIN I

XC SUT & THNG K

c Prof. Dr. Do Duc Thai & Prof. Dr. Nguyen Tien Zung

c
Sputnik
Education

y l phin bn in t min ph
dnh cho cc bn c ca
Sputnik Education

Phin bn ny: Ngy 2 thng 5 nm 2015

Sputnik Education

Mc lc
Li ta cho bn e-book . . . . . . . . . . . . . . . . . . . . . . . . .

Li gii thiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1

Xc sut l g . . . . . . . . . . . . . . . . . . . . . . 15
1.1

Xc sut l g ? . . . . . . . . . . . . . . . . . . . 15

1.1.1 Xc sut ca mt s kin . . . . . . . . . . . . . . . . . 16

1.1.2 Ba tin v s nht qun ca xc sut . . . . . . . . 17
1.1.3 Xc sut ph thuc vo nhng g ? . . . . . . . . . . . 19
1.1.4 Tnh xc sut bng thng k . . . . . . . . . . . . . . . 21
1.2

M hnh ton hc ca xc sut . . . . . . . . . . 24

1.2.1 Khng gian xc sut . . . . . . . . . . . . . . . . . . . 24

1.2.2 Phn b xc sut Bernoulli . . . . . . . . . . . . . . . . 28
1.2.3 Phn b xc sut u . . . . . . . . . . . . . . . . . . . 30
1.2.4 M hnh xc sut vi v hn cc s kin . . . . . . . . 33
1.2.5 nh x gia cc khng gian xc sut . . . . . . . . . . 34
1.2.6 Tch ca cc khng gian xc sut . . . . . . . . . . . . 36
1.2.7 Phn b nh thc . . . . . . . . . . . . . . . . . . . . . 41
1.3

Xc sut c iu kin . . . . . . . . . . . . . . . . 42

1.3.1 nh ngha xc sut c iu kin . . . . . . . . . . . . 42

1.3.2 S c lp v ph thuc ca cc s kin . . . . . . . . 45
1.3.3 Cng thc xc sut ton phn . . . . . . . . . . . . . . 48
1.3.4 Cng thc Bayes . . . . . . . . . . . . . . . . . . . . . 49
1.4

Mt s nghch l trong xc sut . . . . . . . . . . 52

1.4.1 Nghch l 1 (Nghch l Simpson). Thuc no tt hn ? 52

1.4.2 Nghch l 2. Hong t c ch em gi khng ? . . . . . . 53
1.4.3 Nghch l 3. Vn Phm c phi l th phm ? . . . . . 54
1.4.4 Li gii cho cc nghch l . . . . . . . . . . . . . . . . 55
1.5

Lut s ln . . . . . . . . . . . . . . . . . . . . . 57

1.6

Bi tp b sung cho Chng 1 . . . . . . . . . . . 61

Bin Ngu Nhin . . . . . . . . . . . . . . . . . . . . 66

2.1

Bin ngu nhin v phn b xc sut ca n . . . 66

2.1.1 Bin ngu nhin l g ? . . . . . . . . . . . . . . . . . . 66

2.1.2 M hnh ton hc ca bin ngu nhin . . . . . . . . . 68
2.1.3 Phn b xc sut ca bin ngu nhin . . . . . . . . . 70
2.1.4 Cc loi phn b xc sut trn R . . . . . . . . . . . . 74
2.2

Mt s phn b xc sut thng gp . . . . . . . 78

2.2.1 Phn b hnh hc v phn b nh thc m . . . . . . . 78

2.2.2 Phn b Poisson . . . . . . . . . . . . . . . . . . . . . 80
2.2.3 Phn b u (trng hp lin tc) . . . . . . . . . . . 83
2.2.4 Phn b normal . . . . . . . . . . . . . . . . . . . . . . 85
2.2.5 Phn b m . . . . . . . . . . . . . . . . . . . . . . . . 89
2.2.6 Phn b Pareto . . . . . . . . . . . . . . . . . . . . . . 90
2.3

K vng ca bin ngu nhin . . . . . . . . . . . 92

Sputnik Education

2.3.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . 92
2.3.2 Trng hp tng qut: tch phn trn khng gian xc
sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
2.3.3 K vng ca phn b xc sut trn R . . . . . . . . . . 100
2.3.4 Gi tr k vng hnh hc . . . . . . . . . . . . . . . . . 103
2.4

Phng sai, lch chun, v cc moment . . . . 107

2.4.1 Phng sai v lch chun

. . . . . . . . . . . . . . 107

2.4.2 Cc moment ca mt bin ngu nhin . . . . . . . . . 110

2.4.3 Bt ng thc Chebyschev v bt ng thc Markov . 115
2.5

Hm c trng, hm sinh, v bin i Laplace . . 118

2.5.1 Hm c trng . . . . . . . . . . . . . . . . . . . . . . 118

2.5.2 Tm li phn b xc sut t hm c trng . . . . . . . 120
2.5.3 Hm sinh xc sut v bin i Laplace . . . . . . . . . 124
3

Vector ngu nhin . . . . . . . . . . . . . . . . . . . 128

3.1

Vector ngu nhin . . . . . . . . . . . . . . . . . 128

3.1.1 Phn b xc sut ng thi . . . . . . . . . . . . . . . 128

3.1.2 Cc phn b xc sut bin . . . . . . . . . . . . . . . . 131
3.1.3 Hm mt ng thi . . . . . . . . . . . . . . . . . . 132
3.1.4 Hm c trng ca vector ngu nhin . . . . . . . . . 134
3.2
3.2.1

Cc bin ngu nhin c lp . . . . . . . . . . . . 136

S c lp ca mt b bin ngu nhin . . . . . . . . 136

3.2.2 Mt v d khng hin nhin v s c lp . . . . . . . 139

3.2.3 Mt s h qu ca s c lp . . . . . . . . . . . . . . 140
3.3

Lut s ln . . . . . . . . . . . . . . . . . . . . . 143

3.3.1 Dng yu ca lut s ln cho phn b bt k . . . . . . 143

Sputnik Education

3.3.2 Dng mnh ca lut s ln . . . . . . . . . . . . . . . 145

3.3.3 Tch ca mt dy v hn cc khng gian xc sut . . . 146
3.3.4 Chng minh nh l 3.8 . . . . . . . . . . . . . . . . . 148
3.4

S tng quan gia cc bin ngu nhin . . . . . 151

3.4.1 Hip phng sai . . . . . . . . . . . . . . . . . . . . . 151

3.4.2 H s tng quan . . . . . . . . . . . . . . . . . . . . . 152
3.4.3 Quan h tuyn tnh vi sai s bnh phng nh nht . 158
3.4.4 H s tng quan v quan h nhn qu . . . . . . . . 161
3.5

Phn b v k vng c iu kin . . . . . . . . . 163

3.5.1 Trng hp ri rc . . . . . . . . . . . . . . . . . . . . 164

3.5.2 Trng hp lin tc
3.6

. . . . . . . . . . . . . . . . . . . 167

Phn b normal nhiu chiu . . . . . . . . . . . . 169

3.6.1 nh ngha ca phn b normal nhiu chiu . . . . . . 169

3.6.2 Trng hp hai chiu . . . . . . . . . . . . . . . . . . . 171
3.6.3 Mt s tnh cht ca phn b normal nhiu chiu . . . 174
4

Cc nh l gii hn . . . . . . . . . . . . . . . . . . 177
4.1

nh l gii hn trung tm . . . . . . . . . . . . . 177

4.1.1 nh l de Moivre Laplace . . . . . . . . . . . . . . . 177

4.1.2 nh l gii hn trung tm . . . . . . . . . . . . . . . . 181
4.1.3 Gii hn ca dy hm c trng
4.2

. . . . . . . . . . . . 186

Hi t yu v cc kiu hi t khc . . . . . . . . 188

4.2.1 Hi t yu v hi t theo phn phi

. . . . . . . . . . 188

4.2.2 Cc metric trn khng gian cc phn b xc sut . . . 191

4.2.3 nh l tin compact ca Prokhorov . . . . . . . . . . 196
4.2.4 nh l lin tc . . . . . . . . . . . . . . . . . . . . . . 197

Sputnik Education

4.2.5 Cc kiu hi t khc ca dy bin ngu nhin . . . . . 202

4.3
5

Phn b 2 v nh l Pearson . . . . . . . . . . . 203

Thng k ton hc . . . . . . . . . . . . . . . . . . . 210

5.1

Cc vn thng k . . . . . . . . . . . . . . . . 210

5.2

c lng bng thng k . . . . . . . . . . . . . 220

5.2.1 Mu thc nghim v phn b thc nghim . . . . . . . 220

5.2.2 Hm c lng . . . . . . . . . . . . . . . . . . . . . . 223
5.2.3 c lng khng chch ca phng sai

. . . . . . . . 226

5.2.4 Phng php hp l cc i . . . . . . . . . . . . . . . 227

5.2.5 Phng php moment . . . . . . . . . . . . . . . . . . 232
5.3

Sai s v tin cy ca c lng . . . . . . . . 233

5.3.1 Sai s ca c lng . . . . . . . . . . . . . . . . . . . 233

5.3.2 Khong tin cy v tin cy . . . . . . . . . . . . . . . 236
5.3.3 Khong tin cy cho lch chun . . . . . . . . . . . . 239
5.3.4 Phn b Student . . . . . . . . . . . . . . . . . . . . . 241
5.4

Kim nh cc gi thuyt . . . . . . . . . . . . . . 245

5.4.1 Mt s nguyn tc chung ca kim nh bng thng k 246

5.4.2 Kim nh Z v kim nh T cho k vng . . . . . . . . 250
5.4.3 Kim nh so snh hai k vng . . . . . . . . . . . . . 253
5.4.4 Kim nh F so snh hai lch chun . . . . . . . . . 257
5.5

Kim nh 2 . . . . . . . . . . . . . . . . . . . . 259

5.5.1 Trng hp m hnh xc sut c nh . . . . . . . . . . 260

5.5.2 Trng hp m hnh xc sut c c lng theo
tham s . . . . . . . . . . . . . . . . . . . . . . . . . . 263
5.5.3 Kim nh 2 cho s c lp . . . . . . . . . . . . . . . 266
Sputnik Education

5.6

Phn tch hi qui . . . . . . . . . . . . . . . . . . 268

5.6.1 Hi qui tuyn tnh n . . . . . . . . . . . . . . . . . . 270

5.6.2 Hi qui tuyn tnh bi . . . . . . . . . . . . . . . . . . 271
5.6.3 Hi qui phi tyn . . . . . . . . . . . . . . . . . . . . . 273
A

Li gii cho mt s bi tp . . . . . . . . . . . . . . 279

1.1

Li gii bi tp Chng 1 . . . . . . . . . . . . . 279

1.2

Li gii bi tp Chng 2 . . . . . . . . . . . . . 286

1.3

Li gii bi tp Chng 3 . . . . . . . . . . . . . 299

1.4

Li gii bi tp Chng 4 . . . . . . . . . . . . . 308

Phn mm my tnh cho xc sut thng k . . . . . 313

Bng phn b Z . . . . . . . . . . . . . . . . . . . . 316

T Sch Sputnik . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319

Sputnik Education

Li ta cho bn e-book
Cun sch ny c in ra ln u vo nm 2010. Cc tc gi
b rt nhiu tm tr v sc lc vit n, nhm t cht lng tt
nht c th. Mong mun ca cc tc gi l lm sao cun sch c
ph bin tht rng ri Vit Nam, c bit l cc trng i hc,
gip cc bn sinh vin tip cn c vi xc sut thng k mt
cch d hiu hn, ng bn cht hn, d ng dng hn.
T lc in ra nm 2010, cun sch nhn c rt nhiu phn
hi tch cc t pha bn c v mt ni dung cun sch. V mt cht
lng in n v pht hnh th khng c tt bng, v rt tic nhng
khu nm ngoi kh nng kim sot ca cc tc gi. Hin ti bn
in nm 2010 khng cn trn th trng, v cc tc gi nhn c th
ca hng trm ngi ni rng mun sch ti bn c th mua c.
c th phc v tt hn cc bn c, c bit l cc bn sinh
vin, cc tc gi kt hp vi T Sch Sputnik cng b min ph
bn in t ca cun sch ny. Mt s li trong bn in nm 2010
c sa trong bn in t ny.
T Sch Sputnik ca Sputnik Education, m cc tc gi tham gia

lm cng tc vin, l mt d n nhm em li cc sn phm gio dc

c cht lng cao nht cho hc sinh v sinh vin, gp phn ci thin
nn gio dc ca Vit Nam. Vo thi im 2015, T Sch Sputnik
ra mt bn c 5 cun sch cho hc sinh, v c k hoach ra mt hng
chc cun sch khc trong nm tip theo.
Cc tc gi tin rng T Sch Sputnik gm ton nhng cun sch
rt hay, c chn lc v dch hoc vit rt cn thn. Trong c
nhng cun sch nh Nhng cuc phiu lu ca ngi thch m
ni ting ton th gii, in ra hng triu bn, ln u xut hin
Vit Nam. C nhng cun sch ni ting khc nh Ba ngy nc T
Hon trc y tng c dch ra ting Vit, nhng bn dch mi
ca Sputnik chnh xc hn, trnh c nhiu li sai ca bn dch c.
Bn c s khng ph tin khi mua chng cho bn thn hay tng
ngi thn.
Xin mi bn c tm hiu k hn v T Sch Sputnik pha cui
cun sch ny. Cc tc gi mong rng bn c s nhit tnh hn ng
T Sch Sputnik, qua vic mua sch, qung b cho T Sch Sputnik,
v.v. ng h T Sch Sputnik l mt cch thit thc gp phn em
li cc sn phm gio dc c cht lng tt hn cho Vit Nam. Xin
chn thnh cm n bn c!
HanoiToulouse, 05/2015

10

Sputnik Education

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, i su
tm hiu 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

11

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 cng thm phn ph lc. 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
ca thng k, v mt s phng php thng k nay tr thnh kinh
in. Ph lc A cha li gii ca nhiu bi tp trong 4 chng u
tin ca quyn sch.

12

Sputnik Education

 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, phng php bootstrap, hi qui tuyn
tnh suy rng, v.v.. 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,

Sputnik Education

13

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].
Cc hnh minh ha trong quyn sch ny ch yu c ly t
internet. Chng ti tin rng cc hnh thuc phm vi public v
khng b hn ch v mt bn quyn, nhng nu do s sut m chng
ti s dng hnh c bo v bi lut bn quyn m cha xin php,
th chng ti xin thnh tht xin li trc.
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. c bit, chng ti mun cm n cc bn Phan Thanh
Hng, Nguyn Tuyt Mai, Nguyn Thu Ngc, Trn Quc Tun v L
Vn Tun, l cc thnh vin ca Trung Tm Ton Ti Chnh v Cng
Nghip H Ni tch cc tham gia gip chng ti son phn li gii
cho cc bi tp.
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, 2010

14

Sputnik Education

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:
15

Chng 1. Xc sut l g
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 bin c, tnh hung gi nh) l

kh nng xy ra s kin (hay bin c, tnh hung gi nh) , c
nh gi di dng mt s thc nm gia 0 v 1.
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
16

Sputnik Education

1.1. Xc sut l g ?
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.
Sputnik Education

17

Chng 1. Xc sut l g
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.
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.

18

Sputnik Education

1.1. Xc sut l g ?

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 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
Sputnik Education

19

Chng 1. Xc sut l g
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

20

Sputnik Education

1.1. Xc sut l g ?
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 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
N (A)
N (total)

(1.5)

Sputnik Education

21

P (A) =

Chng 1. Xc sut l g
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 vng vi u ht xanh (th
h th nht) th cc cy lai (th h th hai) u ra u ht vng,
22

Sputnik Education

1.1. Xc sut l g ?
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

Hnh 1.1: L thuyt di truyn ca Mendel v xc sut trong lai ging

u

l do Mendel thng k thy t l 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,
Sputnik Education

23

Chng 1. Xc sut l g
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
1.2.1

M hnh ton hc ca xc sut

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) 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 Ai , i = 1, 2, 3, . . . l mt dy v hn cc phn t ca S,
S
th hp
i=1 Ai 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
24

Sputnik Education

1.2. M hnh ton hc ca xc sut

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)

P () = 0, P () = 1.

(1.7)

P (A B) = P (A) + P (B).

(1.8)

ii)

iii) Nu A B = th

Tng qut hn, nu Ai , i = 1, 2, 3, . . . l mt dy cc tp hp con o

c khng giao nhau th
[
X
P ( Ai ) =
P (Ai ).
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
Sputnik Education

25

Chng 1. Xc sut l g

Hnh 1.2: A. N. Kolmogorov

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 := (AB)\(AB) = (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.
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
26

Sputnik Education

1.2. M hnh ton hc ca xc sut

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 A1 A2 . . .
S
l mt dy tng cc tp con ca , v A = limn An =
n=1 An ,
th ta c th vit P (A) = limn P (An ), bi v

P (A) = P (A1
= P (A1 ) + lim

(An+1 \ An )) = P (A1 ) +

n=1
n
X

P (An+1 \ An )

n=1

P (Ak+1 \ Ak ) = A1 + lim (P (An+1 ) P (A1 ))

k=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
Sputnik Education

27

Chng 1. Xc sut l g
k trong mt khng gian xc sut, ta c:
P (ABC) = P (A)+P (B)+P (C)P (AB)P (BC)P (CA)+
+ P (A B C).

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

28

Sputnik Education

1.2. M hnh ton hc ca xc sut

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 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
Sputnik Education

29

Chng 1. Xc sut l g
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 bn . Khi ,
theo lut s ln, bn /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.

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 = {A1 , . . . , AN } c gi l phn b xc sut u
nu nh P (A1 ) = . . . = P (AN ) = 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
30

Sputnik Education

1.2. M hnh ton hc ca xc sut

Hnh 1.4: Tng ca Buffon Jardin des Plantes, Paris

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
Sputnik Education

31

Chng 1. Xc sut l g
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) =

k
#A
=
#
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 phn nh sau:
= {T T T, T T G, T GT, T GG, GT T, GT G, 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: T T G, T GT, GT T .
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 ?
32

Sputnik Education

1.2. M hnh ton hc ca xc sut

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):
X
X
n
n
vi mi n Z+ . (Ch rng
P (n) =
e
=
P (n) = e
n!
n!
n
n
X n
e
= e e = 1, nh vy cc tin v xc sut c tha
n!
n
Sputnik Education

33

Chng 1. Xc sut l g
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.
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
34

Sputnik Education

1.2. M hnh ton hc ca xc sut

sut 2 = {S1 , S2 , . . . , H1 , H2 , . . .} vi nhiu phn t hn. Hai khng
gian lin quan vi nhau bi mt nh x : 1 2 , (Si ) =
S, (Hi ) = H. Tt nhin, khi ta chia nh s kin S ra thnh nhiu s
kin (khng giao nhau) S1 , S2 , . . ., 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 Si ) =

P (Si )

(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 , P1 ) (2 , P2 ) t mt khng
gian xc sut (1 , P1 ) vo mt khng gian xc sut (2 , P2 ) 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
P1 (1 (B)) = P2 (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 P1 (A) =
P2 (B) = 0 v : 1 \ A 2 \ B l song nh bo ton xc sut), th
c gi l mt ng cu xc sut , v ta ni rng (1 , P1 ) ng
cu xc sut vi (2 , P2 ).
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
Sputnik Education

35

Chng 1. Xc sut l g
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 , P1 ) l mt khng gian xc sut, v : 1 2
l mt nh x ty , th tn ti mt o xc sut P2 trn 2 , sao cho
nh x : (1 , P1 ) (2 , P2 ) l nh x bo ton xc sut.
Chng minh. C th xy dng P2 theo cng thc sau: vi mi tp
con B 2 , nu tn ti P1 (1 (B)) th ta t
P2 (B) := P1 (1 (B))

(1.14)

o xc sut P2 nh ngha theo cng thc trn c gi l pushforward ca P1 qua nh x , hay cn gi l phn b xc sut cm
sinh t P1 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 , P1 )
v N = (2 , P2 ) l hai khng gian xc sut, th tch 1 2 , cng
36

Sputnik Education

1.2. M hnh ton hc ca xc sut

c mt o xc sut P , c xc nh mt cch t nhin bi P1
v P2 bng cng thc sau: Nu A1 1 v A2 2 nm trong cc
sigma-i s tng ng ca P1 v P2 th:
P (A1 A2 ) = P1 (A1 ) P2 (A2 ).

(1.15)

Sigma-i s ca P chnh l sigma i s sinh bi cc tp con ca

1 2 c dng A1 A2 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 , P1 ) (2 , P2 ) ca
hai khng gian xc sut xung (1 , P1 ) v (2 , P2 ) 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, SN S, SN N, N SS, N SN, N N S, N N N }.
K hiu (k = {Sk , Nk }, Pk ) 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 = {Sk , Nk }, Pk ). Gi s ng xu l cn bng, hai mt
Sputnik Education

37

Chng 1. Xc sut l g
sp nga c xc sut hin ln ging nhau trong mi ln tung. Khi
cc khng gian (k = {Sk , Nk }, Pk ) 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 :
((Mi )iN ) :=

(Mi )/2i

i=1

y mi Mi 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 !
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
38

Sputnik Education

1.2. M hnh ton hc ca xc sut

Hnh 1.5: Blaise Pascal (1623-1662)

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 = 6 4. 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
Sputnik Education

39

Chng 1. Xc sut l g
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.

Hnh 1.6: Fermat v nng ton. Tng Toulouse

Bi tp 1.7. Chng minh nh l 1.2.

40

Sputnik Education

1.2. M hnh ton hc ca xc sut

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) = Cnk pk (1 p)nk

(1.16)

trn tp hp = {0, 1, 2, . . . , n}.

n!
l nh thc Newton. ngha t hp ca
k!(n k)!
Cnk l: n l s cc tp con c ng k phn t trong mt tp hp c n
y, Cnk =

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
X

Cnk xk y nk .

(1.17)

k=0

Nu thay x bng p v y bng 1 p trong cng thc trn, th ta c

Pn
k k
nk = 1, chng t nh ngha phn b xc sut nh
k=0 Cn p (1 p)
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
Sputnik Education

41

Chng 1. Xc sut l g
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 Cnk pk (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 gian ny l cc dy n kt qu,
m mi kt qu l A hoc A. C Cnk 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 pk (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
Cnk pk (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
1.3.1

Xc sut c iu kin
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
42

Sputnik Education

1.3. Xc sut c iu kin

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 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
A B 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) 6= P (A). Vn v d ny, nu thy gio gi 1 bn c
Sputnik Education

43

Chng 1. Xc sut l g
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
P1 : P (A|B) = P1 (A B). o xc sut P1 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: P1 (C) = P1 (D). Mt cch tng
qut hn, ta c cng thc t l thun: P (C)/P (D) = P1 (C)/P1 (D)
nu C v D l hai tp con ca B. T suy ra: P (A B)/P (B) =
P1 (A B)/P1 (B) = P1 (A B) = P (A|B) (bi v P1 (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 ?
44

Sputnik Education

1.3. Xc sut c iu kin

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 ?

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:
Sputnik Education

45

Chng 1. Xc sut l g
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) 6= 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 A1 , . . . , Ak khc
nhau no trong h M ta cng c:
!
k
k
\
Y
P
Ai =
P (Ai ).
i=1

(1.22)

i=1

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.
46

Sputnik Education

1.3. Xc sut c iu kin

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 62 = 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 (XY Z) = 0
trong khi P (X).P (Y ).P (Z) = (1/2).(1/6).(1/6) 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
Sputnik Education

47

Chng 1. Xc sut l g
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 ?

1.3.3

Cng thc xc sut ton phn

nh ngha 1.8. Mt h cc tp con B1 , . . . , Bn ca khng gian xc

sut l mt phn hoch (partition) ca nu nh cc tp Bi i
mt khng giao nhau, v hp ca chng bng :
Bi Bj = i 6= j , ni=1 Bi = .

(1.24)

Nu nh ta cha bit xc sut P (A) ca mt s kin A no ,

nhng bit cc xt sut P (Bi ) ca mt phn hoch (B1 , . . . , Bn ) ca
khng gian xc sut, v bit cc xc sut c iu kin P (A|Bi ), 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
X
i=1

48

P (A Bi ) =

n
X

P (A|Bi ).P (Bi ).

i=1

Sputnik Education

(1.25)

1.3. Xc sut c iu kin

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)

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
(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

Sputnik Education

49

Chng 1. Xc sut l g
hp cng thc trn vi cng thc xc sut ton phn cho P (A), ta
c:
nh l 1.3. Gi s (B1 , . . . , Bn ) l mt phn hoch ca khng gian
xc sut. Khi ta c cng thc Bayes sau:
P (Bk |A) =

P (A|Bk ).P (Bk )

P (A|Bk ).P (Bk )
.
= Pn
P (A)
i=1 P (A|Bi ).P (Bi )

(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
50

Sputnik Education

1.3. Xc sut c iu kin

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 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 (D|K).P (K)
P (K|D) =

+ P (D|K).P (K) . Ta c P (D|K) = 5/100,

P (D|K).P
(K)

P (K) = 11/1000 = 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
(2)

Ngun: Cassels, Schoenberger and Grayboys, Interpretation by physicians of

clinical laboratory results. New England Journal of Medicine, 299 (1978), 999-1000

Sputnik Education

51

Chng 1. Xc sut l g
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
52

Sputnik Education

1.4. Mt s nghch l trong xc sut

Gii tnh: N

Thuc I

Thuc II

Cha c

150

15

Khng cha c

850

285

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 hong t Romeo c 2 con (hong t Romeo

l mt trong hai ngi con ). Hi xc sut hong t Romeo 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
Sputnik Education

53

Chng 1. Xc sut l g
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 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
54

Sputnik Education

1.4. Mt s nghch l trong xc sut

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) =

1/2
1.(1/2)
=
= 2/3,
1.(1/2) + (1/2).(1/2)
3/4

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
Sputnik Education

55

Chng 1. Xc sut l g
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 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

56

Sputnik Education

1.5. Lut s ln
b. cho khi ln ln, th trong cch gii th nht ta phi vit
PC (A) = PC (A|B).PC (B) + PC (A|B).PC (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 PC ca khng gian , v PC (B) khng phi l 1/2, m thc
ra l 2/3, v PC (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:
pC (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
Sputnik Education

57

Chng 1. Xc sut l g
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) = 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: limn 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 Xk,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 Xk,n tun theo phn b nh thc:
P (Xk,n ) = Cnk pk (1 p)nk .

(1.29)

Ly mt s dng  > 0 ty sao cho 0 < p  < p +  < 1. Gi Xn 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 Xn l hp ca cc s
kin Xk,n tha mn bt ng thc p  k/n p + , do vy:
P (Xn ) =

Cnk pk (1 p)nk .

n(p)kn(p+)

58

Sputnik Education

(1.30)

1.5. Lut s ln
nh l 1.4. Vi hai s dng p,  bt k tha mn 0 < p  < p +  <
1, ta c
lim

Cnk pk (1 p)nk = 1.

(1.31)

n(p)kn(p+)

C ngha l, xc sut P (Xn ) 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 (Xn ) = Un + Vn ,

(1.32)

trong

Un =

X
0k<n(p)

Cnk pk (1 p)nk v Vn =

Cnk pk (1 p)nk ,

n(p+)<kn

(1.33)
tin ti 0 khi n tin ti v cng. nh gi Vn , chng ta c th dng
Sputnik Education

59

Chng 1. Xc sut l g
th thut sau y: Gi l mt s dng bt k, khi ta c
X
Vn
e(kn(p+)) Cnk pk (1 p)nk

=
=

n(p+)<kn
(kn(p+)) C k pk (1 p)nk
n
0kn e
X
n
k (1p) k p
e
Cn (e
p) (e (1 p))nk
0kn
n
e
(e(1p) p + ep (1 p))n

(1.34)

= [e (e(1p) p + ep (1 p))]n = f ()n ,

vi f () = e (e(1p) p + ep (1 p)). Ch rng hm s f () c
f (0) = 1 v o hm f 0 (0) =  < 0. Nh vy nu ta chn > 0
nh th ta c 0 < f () < 1, dn ti limn f ()n = 0. V Vn f ()n
nn ta cng c limn Vn = 0. Mt cch hon ton tng t, ta c
th chng minh limn Un = 0, suy ra limn Un + Vn = 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 A1 , . . . , As , vi cc xc sut P (Ai ) = pi tng
P
ng. ( si=1 pi = 1, v = {A1 , . . . , As } lp thnh mt khng gian
xc sut hu hn vi cc xc sut P (Ai ) = pi ). Lm php th n
ln (cc ln th c lp vi nhau), v gi ki l s ln hin ln kt qu
 l s kin | ki p | < .
Ai trong s n ln th . Gi Bn,i
i
n
nh l 1.5. Vi mi  > 0 ta c



lim P (Bn,1
Bn,2
. . . Bn,s
) = 1.

(1.35)

Ghi ch 1.6. (Mt cht lch s(3) ). Lut s ln c bit n dng

(3)

60

Xem: http://en.wikipedia.org/wiki/Law_of_large_numbers.

Sputnik Education

1.6. Bi tp b sung cho Chng 1

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.

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
Sputnik Education

61

Chng 1. Xc sut l g
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, khng c ln no s 68
trng gii.
ii) Tnh xc sut sao cho trong 100 ln quay, s 99 trng gii ng
2 ln.
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
1
(1)n
1
+ ... +
.
2! 3! 4!
n!
62

Sputnik Education

1.6. Bi tp b sung cho Chng 1

Khi n tin ti v cng th s ny tin ti e1 .
Bi tp 1.22. (B BorelCantelli). Gi s (An )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 An
ca dy. Chng minh rng:
P
i) Nu
n=1 P (An ) < th P (B ) = 0.
ii) Nu tn ti mt s  v v hn cc tp con An ca dy tha mn
iu kin P (An ) , th P (B ) .
(Gi : t Bk = tp cc phn t ca nm trong t nht k tp con
An ca dy. Khi P (B ) = limk Bk . Trong trng hp th nht,
P
chng minh rng k.Bk
n=1 P (An ) vi mi k. Trong trng hp
th hai, chng minh rng P (Bk )  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
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63

Chng 1. Xc sut l g
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 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
64

Sputnik Education

1.6. Bi tp b sung cho Chng 1

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

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65

Chng 2

Bin Ngu Nhin

2.1
2.1.1

Bin ngu nhin v phn b xc sut ca n

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,
66

2.1. Bin ngu nhin v phn b xc sut ca n

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 (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
Sputnik Education

67

Chng 2. Bin Ngu Nhin

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, 08m1 .s2 : mt
xe ang chy vi tc 36km/h = 10m/s th t lc bp phanh n
lc dng li chy thm mt 0, 08 102 = 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 32 = 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
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Sputnik Education

2.1. Bin ngu nhin v phn b xc sut ca n

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 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 6= 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 25 = 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
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Chng 2. Bin Ngu Nhin

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 () =

2.1.3

1 khi A
0 khi A = \ A

(2.2)

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 khng gian xc sut, vi
o xc sut cm sinh PX = X P : theo nh ngha, nu B l mt
tp con ca sao cho tn ti P (X 1 (B)) th
PX (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
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Sputnik Education

2.1. Bin ngu nhin v phn b xc sut ca n

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 sigmai 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 PX trn
R, vi sigma-i s l sigma-i s Borel B ca R, cho bi cng thc
sau:
PF (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 sigmai 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 = b0 < b1 <
S
b2 < . . . vi limn bn = b, v ta c th vit ]a, b[=
n=1 ]bn1 , bn ],
t suy ra ]a, b[ B, bi v ]bn1 , bn ] B vi mi n. Trong trng
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71

Chng 2. Bin Ngu Nhin

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 = b0 > b1 > b2 > . . . vi limn bn = , v ta c th vit
S
] , b[=]b1 , b0 [
n=1 ]bn+1 , bn ], 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.

nh ngha 2.4. Hm phn phi xc sut ca phn b xc sut PX

trn R ca mt bin ngu nhin X l hm FX : R [0, 1] cho bi cng
thc
FX (x) := P (X x) = PX (] , 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 FX ,
th ta c th tnh c xc sut PX ca cc on thng ng v na
m ca R qua cc cng thc sau
PX (]a, b]) = FX (b) FX (a),

(2.5)

PX ([a, b]) = FX (b) lim FX (x),

(2.6)

xa

v t tnh c xc sut ca cc tp con khc ca R.

nh l 2.2. Hm phn phi FX ca mt phn b xc sut ty trn
R tha mn 4 tnh cht sau:
1) n iu khng gim: FX (x) FX (y) vi mi x y,
2) Lin tc bn phi: lim0+ FX (x + ) = FX (x) vi mi x,
3) limx FX (x) = 0,
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Sputnik Education

2.1. Bin ngu nhin v phn b xc sut ca n

4) limx+ FX (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
FX (y) FX (x) = P (x < X y) 0. Tnh cht th hai c th pht
biu cch khc nh sau: nu x1 > x2 > . . . l mt dy s n iu
gim vi xn x khi n tin ti v cng th ta c limn FX (xn ) =
FX (x). thy iu , ta c th vit FX (xn )FX (x) = PX (]x, xn ]) =
P
S
PX (
k=n PX (]xk+1 , xk ]). Chui s dng
k=n ]xk+1 , xk ]) =

PX (]xk+1 , xk ])

k=1

l mt chui hi t, v bi vy phn ui

k=n PX (]xk+1 , xk ])

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.

Hnh 2.1: Nng lng ca cc thin thch m vo bu kh quyn

tri t

Sputnik Education

73

Chng 2. Bin Ngu Nhin

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.

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 PX trn R c gi l lin tc
nu nh hm phn phi xc sut FX 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
Z a
FX (a) = PX (] , a]) =
X (x)dx

Hm X : R R+ tho mn iu kin nh trn gi l hm mt

ca PX .
Ghi ch 2.1. Hm mt ca mt phn b xc sut lin tc tuyt
i PX trn R l duy nht theo ngha xc sut: nu PX c hai hm
(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.

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Sputnik Education

2.1. Bin ngu nhin v phn b xc sut ca n

mt 1 v 2 , th 1 = 2 hu khp mi ni trn R, tc l tp
{x R, 1 (x) 6= 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) cng c phn b xc sut lin tc, vi
hm mt cho bi cng thc sau:
Y (y) =

X (x)
ti im y = f (x)
|f 0 (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 0 (x)dx.
Mt im x R c gi l mt im ht ca mt phn b xc
sut PX nu nh PX (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 FX l hm phn phi xc sut ca mt phn b
xc sut PX trn R.
i) Vi mi x R ta c
PX (x) = FX (x) lim FX (y).
yx

Sputnik Education

(2.8)
75

Chng 2. Bin Ngu Nhin

i) Hm FX l hm lin tc trn R khi v ch khi PX (x) = 0 vi mi
xR
Chng minh. i) Nu x0 < x1 < x2 < . . . l mt dy s n iu
tng c gii hn l x, th ta c
limn FX (xn ) = FX (x0 ) + limn PX (]x0 , xn ])
P
= FX (x0 ) + limn nk=1 PX (]xk1 , xk ])
S
P
= FX (x0 ) +
k=1 PX (]xk1 , xk ]) = FX (x0 ) + PX ( k=1 ]xk1 , xk ])
= FX (x0 ) + PX (]x0 , x[) = PX (] , x[)
= PX (] , x]) PX (x) = FX (x) PX (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 PX (x) = FX (x) limyx FX (y) = 0 vi mi x R.
Trong trng hp phn b xc sut PX khng lin tc, gi
KX = {x R|PX (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 KX l tp hu hn hoc cng
P
lm l m c, v PX (A) = xKX PX (x) 1.
nh ngha 2.6. Mt phn b xc sut PX c gi l ri rc nu
nh n tp trung trn tp hp cc im ht ca n: PX (AX ) = 1,
PX (R \ AX ) = 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
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Sputnik Education

2.1. Bin ngu nhin v phn b xc sut ca n

b ri rc tp trung 6 im: 0,1,2,3,4,5. (Bi tp: tnh cc xc sut
ca 6 im ).
Gi s PX l mt phn b xc sut bt k trn R, vi hm phn
phi FX . Khi ta c th vit:
FX (x) = DX (x) + CX (x)

(2.10)

vi DX (x) = PX (] , x] KX ) gi l phn ri rc ca FX , v
CX (x) = FX (x) DX (x) gi l phn lin tc ca FX . Phn b PX
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
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77

Chng 2. Bin Ngu Nhin

rng hm phn phi xc sut ca X tha mn tnh cht FX (x) +
FX (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) = Cnk pk (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 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) = 1 p. 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.
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2.2. Mt s phn b xc sut thng gp

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:
k
pr (1 p)k
P (k) = Ck+r1
k
trong cng thc trn l s cch chn ra
Nh thc Newton Ck+r1

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).
k
k
Cc nh thc Newton Ck+r1
cn c th vit di dng Ck+r1
=
(k+r1).....(r+1).r
k!

k , v chng
= (1)k (r).(r1).....(rk+1)
= (1)k Cr
k!

xut hin trong khai trin Taylor sau:

(1 q)r =

X
k k
(1)k Cr
q
k=0

Trong khai trin Taylor trn, nu t q = 1 p v nhn c hai v vi

pr , th ta c

X
X
k k r
k
1=
(1) Cr p (1 p) =
P (k)
k=0

k=0

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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
k r
k
pr (1 p)k = (1)k Cr
p (1 p)k
P (k) = Ck+r1

(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
e .
k!

(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
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Sputnik Education

2.2. Mt s phn b xc sut thng gp

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.

Hnh 2.2: Simon Denis Poisson

Phn b Poisson l gii hn ca phn b nh thc vi cc tham s

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81

Chng 2. Bin Ngu Nhin

p = /n v n, khi n tin ti v cng. Tht vy, ta c
n!
(/n)k (1 /n)nk
k!(n k)!
k n(n 1) . . . (n k + 1)
=
(1 /n)k (1 /n)n .
k!
nk

Cnk (/n)k (1 /n)nk =

Khi n tin ti v cng th (n(n 1) . . . (n k + 1)/nk )(1 /n)k tin

ti 1 (k y l c nh) v (1 /n)n tin ti e , bi vy ta c
lim Cnk .(/n)k (1 /n)nk =

k
e .
k!

(2.14)

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 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
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Sputnik Education

2.2. Mt s phn b xc sut thng gp

Hnh 2.3: Cc phn b Poisson(3.5) v Binomial(35,0.1)

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
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83

Chng 2. Bin Ngu Nhin

sut lin tc vi hm mt (x) sau:
(
(x) =

1
ba

khi a x b

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 Rn (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).
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Sputnik Education

2.2. Mt s phn b xc sut thng gp

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 )2
1
).
(x) = exp(
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
1
x = , v cao ca chung chnh bng . Nu cng nh th
2
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Chng 2. Bin Ngu Nhin

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 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.
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
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2.2. Mt s phn b xc sut thng gp

Hnh 2.5: Phn b nh thc vi n = 100, p = 0, 9

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
(2)

T frequency ting Anh va c ngha l tn sut va c ngha tn s. phn

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87

Chng 2. Bin Ngu Nhin

cho 1000 y). V th c hnh gn ging hnh ci chung, nn ta
thy phn b 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
bit, tn sut c khi c gi l relative frequency, hoc l frequency rate.

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2.2. Mt s phn b xc sut thng gp

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 m

nh ngha 2.12. Phn b m (exponential distribution) vi tham s

l phn b xc sut lin tc tuyt i trn R cho bi hm mt sau:
(
ex khi x > 0
.
(2.17)
(x) =
0
khi x 0
Hm phn b xc sut F ca phn b ny nh sau: F(x) = 0 khi
x 0, v khi x > 0 th
Z
F(x) =

et dt = 1 ex .

(2.18)

Phn b m c th c xem nh l dng lin tc ca phn b

hnh hc: phn b hnh hc l ri rc cn phn b m l lin tc,
nhng hm phn phi xc sut ca hai phn b ny c dng iu
tng t nhau.
Phn b m 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.
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Chng 2. Bin Ngu Nhin

Bi tp 2.7. Gi s bin ngu nhin X c phn b m vi tham s ,
v c > 0. Chng minh rng cX cng c phn b m vi tham s /c.
Bi tp 2.8. Gi s bin ngu nhin X c phn b m 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 m.
Bi tp 2.9. Gi s X l mt bin ngu nhin lin tc vi hm phn
phi xc sut lin tc f = FX . Chng minh rng:
i) f (X) c phn b xc sut u trn on thng [0, 1].
ii) ln f (X) c phn b m.

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:
nh ngha 2.13. Phn b Pareto vi tham s > 0 l phn b lin
tc trn R vi hm mt sau:

x+1
(x) =
0
90

khi x 1
khi x < 1

Sputnik Education

(2.19)

2.2. Mt s phn b xc sut thng gp

Hnh 2.7: Vilfredo Pareto

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
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Chng 2. Bin Ngu Nhin

rng Y = 1/(1 X) c phn b Pareto vi tham s = 1.

2.3
2.3.1

K vng ca bin ngu nhin

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.
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 )
P
( 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) =

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
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2.3. K vng ca bin ngu nhin

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 .
k

V d 2.13. Gi tr k vng ca phn b Poisson P (X = k) = k! e

P
P
k =
l E(X) = . Tht vy, E(X) =
k kP (X = k) =
k ke
k!
P
P
k
k1

e
k1 (k1)! = e e = .
k1 (k1)! = 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.p.(1 p)k1 = 1/p.

k=1

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
P
ta i hi chui
i=1 X(i ).P (i ) phi l chui hi t tuyt i,
P
c ngha l chui i=1 |X(i )|.P (i ) phi hi t. Trong trng hp
P
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
P
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.
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
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Chng 2. Bin Ngu Nhin

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 , P1 ) (, P ) l mt nh x bo
ton xc sut t mt khng gian xc sut (1 , P1 ) ln (1 , P1 ). t
X1 = X : (1 , P1 ) R l bin ngu nhin ging X nhng vi
khng gian xc sut (1 , P1 ). Khi
E(X1 ) = 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.
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Sputnik Education

2.3. K vng ca bin ngu nhin

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 ) 6= 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, v Y l s ln nht hin ln.
i) Tnh phn b xc sut ca cc bin ngu nhin X v Y .
P
ii) Chng minh rng, vi mi m, n N, m n, ta c nk=m Ckm =
m+1
.
Cn+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 = X Y . 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 2n (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, m c th pht biu li di dng s
c thuc mt tp con X no ca tp cc s t nhin trn hay
khng, v A s tr li c hoc khng cho cc cu hi ca B. (V d
c th hi: s c ln hn 5 hay khng, l s chn hay khng, v.v.)
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Chng 2. Bin Ngu Nhin

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 ):
Z
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 a0 = M < a1 < a2 < . . . < an = 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 nhau ca
96

Sputnik Education

2.3. K vng ca bin ngu nhin

cc on thng na m ]ai , ai+1 ]. Khi c mt phn hoch nh vy, k
hiu l , ta c th lp hai s sau:
I (F ) =

n
X

ai .P (F 1 (]ai , ai+1 ])),

(2.26)

ai+1 .P (F 1 (]ai , ai+1 ])).

(2.27)

i=0

v
J (F ) =

n
X
i=0

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 ai+1 ai <  vi mi i, th ta cng c J (g)
I (g) < . T suy ra sup I (F ) = inf J (F ). Theo nh
ngha, tch phn Lebesgue ca F trn (, P ) chnh l gi tr chung
:
Z
F dP = sup I (F ) = inf J (F ).

(2.28)

Trong trng hp F khng b chn, th u tin ta thay F bng

cc hm b chn
FM,N () := min(max(N, F ()), M ),
(M, N > 0), ri nh ngha
Z
F dP =

(2.29)

Z
lim

M,N +

FM,N dP

Sputnik Education

(2.30)
97

Chng 2. Bin Ngu Nhin

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
R
hn: |F |dP < . (y l mt nh l trong gii tch, chng minh
khng kh).
Trong trng hp l mt min trong Rn 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.
Tt nhin, trong trng hp = {1 , 2 , . . .} l mt khng gian
xc sut ri rc, ta c
Z
F dP =

F (i ).P (i ),

(2.31)

v (nu c v hn phn t) F kh tch khi v ch khi chui

X
F (i ).P (i )
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 Fn l cc hm o c trn mt khng
gian xc sut (, P ).
98

Sputnik Education

2.3. K vng ca bin ngu nhin

i) Nu F 0 (hu khp mi ni trn ) th
R
R
hn, nu F G th F dP GdP.

F dP

0. Tng qut

ii) Nu Fn hi t u n F trn , c ngha l limn sup |Fn ()

R
F ()| = 0, th limn Fn dP = F dP.
iii) Vi hai s thc a, b bt k, ta c
Z
Z
Z
(aF + bG)dP = a F dP + 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 Fn : (, P ) R l mt dy hm o
c trn khng gian xc sut (, P ) tha mn hai iu kin sau:
i) |Fn | G vi mi n, trong G l mt hm kh tch trn .
ii) Fn hi t hu khp mi ni n mt hm o c F trn , c
ngha l tp cc im sao cho limn Fn () = F () c o
bng 1.
Khi ta c

Z
F dP = lim

Fn dP.

(2.33)

S lc chng minh. V |Fn | G nn ta cng c |F | G hu

khp mi ni. Ly mt s > 0 nh ty . t An = { ||Fn ()
Sputnik Education

99

Chng 2. Bin Ngu Nhin

F ()| > }. Ta c
Z
Z
Z
| F dP
Fn dP |
|F Fn |dP

Z
Z

dP +
\An

chng minh |

F dP

ta ch cn chng minh

R
An

Z
2GdP + 2

An

Fn dP |

GdP.
An

tin ti 0 khi n tin ti v cng,

GdP tin ti 0 khi n tin ti v cng vi

mi . V Fn hi t hu khp mi ni n F trn , nn tp hp cc
im m nm trong v s cc tp An c o bng 0. Do P (An )
tin ti 0 khi n tin ti v cng (xem khng nh th hai ca Bi tp
R
1.22), t suy ra An 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 , P1 ) (, P ) l mt nh x bo ton
xc sut. Khi F l hm kh tch trn (1 , P1 ) v
Z
Z
(F )dP1 =
F dP.
1

(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

l

F ()dP (),

100

F dP

thnh

F ()dP ,

hoc

ch r hn v vic ly tch phn theo bin no.

Sputnik Education

2.3. K vng ca bin ngu nhin

ZTheo nh ngha, k vng ca mt phn b xc sut PX trn R
xdPX .
l
xR

nh l 2.10. i) K vng ca mt bin ngu nhin X bng k vng ca

phn b xc sut PX ca bin ngu nhin :
Z
E(X) =
xdPX .

(2.35)

xR

ii) Nu PX l mt phn b lin tc vi hm mt X , th ta c:

Z
E(X) =
xX (x)dx.
(2.36)

iii) Nu g l mt hm s thc th
Z
Z
E(g(X)) =
g(x)dPX =
xR

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 ca hm
Id trn R vi phn b xc sut PX , 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
Sputnik Education

101

Chng 2. Bin Ngu Nhin

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


Z
(x 35000)2
1

(x 35000). exp
dx
E(Y ) =
2.4002
400 2 35000


Z
Z
400
x2
1

dx =
x exp
exp(z)dz
=
2.4002
400 2 0
2 0
400
= 160.
2
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).
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2.3. K vng ca bin ngu nhin

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 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%)(120%)(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 a1 , . . . , an , ai > 0
P
vi mi i, th ngoi gi tr trung bnh cng ( ai )/n, chng ta cn
Q
c th ni n trung bnh nhn: ( i ai )1/n . T ting Anh cho trung
bnh nhn l geometric mean, nu dch tng ch ra ting Vit th l
Sputnik Education

103

Chng 2. Bin Ngu Nhin

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:
Y
X
( ai )1/n = exp( (ln ai )/n).
(2.38)
i

Hm ln l hm lm trn na ng thng dng (o hm bc hai

ca n bng 1/x2 l mt hm m), bi vy ta c:
P
P 
i ai
i ln ai
ln
n
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:
!1/n
Y
i

ai

i ai

(2.39)

Du bng xy ra khi v ch khi tt c cc s ai 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:
Z
G(X) = exp(E(ln X)) = exp(

ln(X)dP ).

(2.40)

nh l 2.11. Gi tr k vng hnh hc lun nh hn hoc bng gi tr

k vng:
G(X) E(X).
104

Sputnik Education

(2.41)

2.3. K vng ca bin ngu nhin

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
Sputnik Education

105

Chng 2. Bin Ngu Nhin

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:
p
(X Y /2)(X + Y ) ti u ha gi tr k vng hnh hc tc l
p
tm Y sao cho (X Y /2)(X + Y ) t cc i, vi X cho trc. Kt
qu l Y = X/2, v khi gi tr k vng hnh hc ca vn sau khi
p
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.
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Sputnik Education

2.4. Phng sai, lch chun, v cc moment

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
2.4.1

Phng sai, lch chun, v cc moment

Phng sai v lch chun

nh ngha 2.16. lch chun (standard deviation) ca mt bin

ngu nhin X l
(X) =

p
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((X E(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 .
Sputnik Education

(2.44)
107

Chng 2. Bin Ngu Nhin

lch chun c tnh thun nht bc mt: (cX) = c(X), cn
phng sai th thun nht bc hai: var(cX) = (cX)2 = c2 var(X).
ngha ca lch chun l: n l thc 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
a2 .50% + (a)2 .50% = a2 , 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
R 1
x2

2 exp( 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 =
P
1/( 1/n2 ) = 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) =
108

Sputnik Education

2.4. Phng sai, lch chun, v cc moment

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

vi mi k Z+ ) l = .
p(1

p)k1

vi mi k N) l =

Bi tp 2.21. Gi s X l mt bin ngu nhin vi E(X) = 2/3,

v c phn b xc sut lin tc vi hm mt X c dng sau:
X (x) = ax2 + 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 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
Sputnik Education

109

Chng 2. Bin Ngu Nhin

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 PX l phn b xc sut trn R ca X, th ta c th
vit moment bc k ca X theo cng thc sau:
Z
k
E(X ) =
xk dPX .
xR

110

Sputnik Education

(2.46)

2.4. Phng sai, lch chun, v cc moment

Nu nh phn b xc sut PX la mt phn b xc sut lin tc
vi hm mt X th ta c th vit:
Z +
k
E(X ) =
xk 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 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.
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).13 + (1/4).33 =
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Chng 2. Bin Ngu Nhin

Hnh 2.8: Phn b bt i xng

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
3,
4

(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 chun ha
(3)

kurtosis l mt t gc ting Hy lp, ch nhn

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2.4. Phng sai, lch chun, v cc moment

Hnh 2.9: Kurtosis

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).
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
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113

Chng 2. Bin Ngu Nhin

Hnh 2.10: Thay i cc moment bc 1 n bc 4

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. 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 ca phn b m vi tham
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2.4. Phng sai, lch chun, v cc moment

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 Xa l bin ngu nhin sau: Xa = a khi X a

v Xa = 0 khi X < a. Khi X Xa , v Xa ch nhn hai gi tr 0 v
a. Bi vy
E(X) E(Xa ) = 0.P (Xa = 0) + a.P (Xa = 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 )
.
ak

(2.50)

Chng minh. Suy ra t bt ng thc Chebyschev cho bin ngu

nhin |X|k v hng s ak .


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115

Chng 2. Bin Ngu Nhin

Hnh 2.11: Pafnouti Lvovitch Chebyschev (1821-1894)

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)
.
a2

(2.51)

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

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2.4. Phng sai, lch chun, v cc moment

Hnh 2.12: Andrei Andreevitch Markov (1856-1922)

ton hc ngi Nga. Ngoi l thuyt xc sut, ng ta cn nghin

cu nhiu v s hc v i s. Cc a thc Un bc n tha mn
sin((n + 1)x)
Un (cos(x)) =
c gi l a thc Chebyschev, v chng
sin x
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
Sputnik Education

117

Chng 2. Bin Ngu Nhin

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, 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):
X
X
MX (y) = E(exp(yX)) = E( (y k /k!).X k ) =
E(X k ).(y k /k!)
k

(2.52)
Hm MX (y) = E(exp(yX)) c gi l hm sinh moment ca
X.

2.5.1

Hm c trng

Trong biu thc MX (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:
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2.5. Hm c trng, hm sinh, v bin i Laplace

nh ngha 2.18. Hm c trng ca mt bin ngu nhin thc X
l hm X : R C c cho bi cng thc
Z
X (s) = E(exp(isX)) =

eisx dPX .

(2.53)

xR

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) = eics .
ii) Hm c trng ca phn b nh thc vi cc tham s n, p l hm
(1 p + peis )n .
iii) Hm c trng ca phn b xc sut u trn mt on thng
eibs eias
.
[a, b] l hm
i(b a)s
iv) Hm c trng ca phn b xc sut m vi tham s 1 (vi mt
1
(x) = ex khi x > 0) l hm
.
1 is
v) Hm c trng ca phn b xc sut normal chun tc N (0, 1) l
hm (s) = exp(s2 /2).
(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
1
(k)
E(X k ) =
.X (0),
k
( 1)
Sputnik Education

(2.54)
119

Chng 2. Bin Ngu Nhin

(k)

trong 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) =

dk
dk

(s)
=
E(
exp(isX))
X
dsk
dsk
= E((iX)k exp(isX)) = ik E(X k exp(isX)). (2.55)
(k)

t s = 0, ta c X (0) = ik 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 PX 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:
1
lim
R 2

120

eias eibs
PX (a) + PX (b)
X (s)ds = PX (]a, b[) +
.
is
2
(2.56)
Sputnik Education

2.5. Hm c trng, hm sinh, v bin i Laplace

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 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
Z

eisx X (x)dx.

X (s) =

(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:
1
F (x) =
2

eisx 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 PX (k) = P (X = k), k Z:
X (s) =

PX (k) exp(iks),

(2.59)

kZ

v ta c th tnh ra PX (k) t X theo cng thc quen thuc tnh

cc h s ca mt chui Fourier:
Z
1
PX (k) =
eiks X (s)ds
2
Sputnik Education

(2.60)

121

Chng 2. Bin Ngu Nhin

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:
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 PX v PY c cng hm
c trng . Cng thc (2.56) dn n:
PX (]a, b[) +

PY (a) + PY (b)
PX (a) + PX (b)
= PY (]a, b[) +
2
2

vi mi a < b. Ta c th chn a v b l nhng im lin tc ca FX

v FY , ri cho a tin ti , ta c: FX (b) = FY (b) ti mi im b
m l im lin tc ca c FX v FY . Gi s x R l mt im ty .
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2.5. Hm c trng, hm sinh, v bin i Laplace

Hnh 2.13: Joseph Fourier (17681830)

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 xn > x
sao cho xn tin ti x khi n tin ti v cng, v xn l im lin tc ca
FX v FY vi mi n. Nhc li rng, cc hm phn phi xc sut c
tnh cht lin tc bn phi. Do ta c: FX (x) = limn FX (xn ) =
limn FY (xn ) = FY (x). Nh vy, hai hm phn phi xc sut FX
v FY trng nhau, do hai phn b xc sut PX v PY cng trng
nhau.

Bi tp 2.25. Ta s gi mt bin ngu nhin X l i xng nu nh

Sputnik Education

123

Chng 2. Bin Ngu Nhin

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).

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:
GX (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:
GX (z) =

PX (k).z k ,

(2.62)


1 dk GX (z) 
v ta c P (X = k) =
k! dz k 

vi mi k Z+ .
z=0

T quan im ca gii tch phc, hm c trng X (s) v hm

sinh GX (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) = G0 (1)
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Sputnik Education

2.5. Hm c trng, hm sinh, v bin i Laplace

2) var(X) = 2 (X) = G00 (1) + G0 (1) (G0 (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 GX (z) = exp((z 1)) Tht vy, ta c:
P
P
GX (z) = E(z X ) = k z k P (X = k) = k e k z k /k! = e ez =
e(z1) . T suy ra E(X) = G0X (1) = , G00X (1) = 2 v var(X) =
G00X (1) + G0X (1) (G0X (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 LX (t) : R+ R, nhn
c t biu thc E(exp(yX)) bng cch t t = y:
LX (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 LF (t) l s dng v b chn trn bi 1.
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
Z
LF (t) =

exptx F (x)dx,

(2.64)

v hm LF (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 LF (t) ti im t = 0 cng cho ta cc moment ca F.
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125

Chng 2. Bin Ngu Nhin

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
(4)

Xem wikipedia: http://fr.wikipedia.org/wiki/Pierre-Simon_Laplace.

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2.5. Hm c trng, hm sinh, v bin i Laplace

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.
Bi tp 2.26. Chng minh rng hm sinh xc sut ca mt bin ngu
pz
.
nhin vi phn b hnh hc vi tham s p l hm G(z) =
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.

Sputnik Education

127

Chng 3

Vector ngu nhin

3.1
3.1.1

Vector ngu nhin

Phn b xc sut ng thi

Nu ta c hai bin ngu nhin X, Y : (, P ) R, th ta c th

xt chng cng mt lc vi nhau nh l mt bin ngu nhin vi gi
tr trong R2 :
X = (X, Y ) : (, P ) R2 .

(3.1)

Mt bin ngu nhin X vi gi tr trong R2 cn c gi l mt

vector ngu nhin(1) 2 chiu. Tng t nh vy, nu ta c n bin
ngu nhin vi gi tr thc, ta c th xt chng cng mt lc vi
nhau nh l mt bin ngu nhin vi gi tr trong Rn , v gi n l
mt vector ngu nhin n chiu.
(1)

Ting Vit phin m ch vector thnh vc t, nhng y chng ta s nguyn

ch vector cho tin.

128

3.1. Vector ngu nhin

nh ngha 3.1. Mt vector ngu nhin n chiu X = (X1 , . . . , Xn ) :
(, P ) Rn xc nh trn Rn mt phn b xc sut cm sinh qua
push-forward t phn b xc sut trn . Phn b xc sut trn Rn
ny c gi l phn b xc sut ca X, hay cn c gi l phn
b xc sut ng thi ca cc bin ngu nhin X1 , . . . , Xn . Hm
FX : Rn [0, 1] cho bi cng thc
FX (x1 , . . . , xn ) := P (X1 x1 , . . . , Xn xn )

(3.2)

c gi l hm phn phi xc sut ca vector ngu nhin X, hay cn

gi l hm phn phi xc sut ng thi ca cc bin ngu nhin
X1 , . . . , Xn .
Ghi ch 3.1. Ni mt cch cht ch ton hc, tng t nh trong
trng hp 1 chiu, trong nh ngha vector ngu nhin c iu kin
o c, tc l tn ti xc sut P (X U ) vi mi tp con m U
ca Rn . Khi ni n mt phn b xc sut trn Rn ta s lun coi rng
sigma-i s ca n chnh l sigma-i s Borel sinh bi cc tp con
m ca Rn .
Ghi ch 3.2. Nu hai bin ngu nhin X1 : (1 , P1 ) R v X1 :
(2 , P1 ) R c hai m hnh khng gian xc sut khc nhau, th
trc khi c th xt cp (X1 , XR ) nh l mt vector ngu nhin,
ta phi thay i m hnh khng gian xc sut, bin X1 v X2
thnh cc bin ngu nhin trn cng mt khng gian xc sut. Ni
cch khc, ta phi xy dng c mt khng gian xc sut (, P )
, cng vi cc ton nh bo ton xc sut 1 : (, P ) (1 , P1 )
v 2 : (, P ) (2 , P2 ), sao cho thch hp vi vn ang c
nghin cu. Sau , thay v xt X1 v X2 ring l, ta c th xt
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129

Chng 3. Vector ngu nhin

2 = X2 2 cng nhau trn . Ch rng, v mt
1 = X1 1 v X
X
1 chng qua l mt (v tt nhin c cng phn b
bn cht, X1 v X
xc sut trn R), nhng c t trn cc m hnh khng gian xc
sut khc nhau.
Tng t nh trong trng hp 1 chiu, mt phn b xc sut
nhiu chiu PX (ca mt vector ngu nhin X = (X1 , . . . , Xn )) c
xc nh duy nht bi hm phn phi xc sut ca n. V d, khi n =
2, ta c th tnh xc sut ca mt hnh ch nht na m ]a, b]]c, d]
trong R2 khi bit hm phn phi xc sut FX qua cng thc sau:
PX (]a, b]]c, d]) = FX (b, d) FX (b, c) + FX (a, c) FX (a, d), (3.3)
cn xc sut ca cc min hnh ch nht ng th c th tnh qua gii
hn
PX ([a, b] [c, d]) =

lim

a0 a,c0 c

PX (]a0 , b]]c0 , d]).

(3.4)

Bi tp 3.1. Vit cng thc tnh xc sut PF (]a, b]]c, d]]e, f ]) ca

mt hnh khi ch nht na m thng qua hm phn phi xc sut
FF ca mt vector ngu nhin 3 chiu F = (F1 , F2 , F3 ).
Bi tp 3.2. Hai ngi hn gp nhau vo mt bui tra ti mt im
X. Mi ngi i n im X trong khong thi gian t 12h n 13h
mt cch ngu nhin vi phn b u, v nu khi n khng thy
ngi kia u th i thm 15 pht m vn khng thy th b i.
Tnh xc sut hai ngi gp c nhau im X theo hn.
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3.1. Vector ngu nhin

3.1.2

Cc phn b xc sut bin

Khi ta c mt vector ngu nhin X = (X1 , . . . , Xn ) vi phn hm

phn phi xc sut ng thi FX , th ta c th tm li c cc hm
phn phi ca cc phn b xc sut FXi ca cc bin Xi qua cng
thc gii hn sau:
FXi (x) =

lim

xk k6=i

FX (x1 , . . . , xi1 , x, xi+1 , . . . , xn ).

(3.5)

Do , cc hm phn phi xc sut FXi cn c gi l cc hm phn

phi xc sut bin (hay cn gi l phn phi xc sut bin duyn)
ca hm phn phi xc sut ng thi FX , v cc phn b xc sut
PXi c gi l cc phn b xc sut bin (marginal distributions)
ca phn b xc sut ng thi PX .
Mnh 3.1. Cc php chiu t nhin i : (Rn , PX ) (R, PXi ),
i (x1 , . . . , xn ) = xi , l cc nh x bo ton xc sut.
Chng minh ca mnh trn suy ra trc tip t cc nh ngha.
V d 3.1. Nu X l mt bin ngu nhin ri rc vi cc gi tr xi v
Y l mt bin ngu nhin ri rc vi cc gi tr yj , th vic php chiu
th nht bo ton xc sut c ngha l
P (X = xi ) = P (j (X = xi , Y = yj )) =

P (X = xi , Y = yj ).

(3.6)
Ch rng cc phn b xc sut bin c xc nh duy nht bi
phn b xc sut ng thi, nhng iu ngc li ni chung khng
ng: Nu ta bit phn b xc sut ca hai bin ngu nhin X, Y th
khng c ngha l ta bit phn b xc sut ng thi ca chng.
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131

Chng 3. Vector ngu nhin

V d 3.2. Gi s ta bit rng PX l phn b Bernoulli vi PX (0) =
1 p, PX (1) = p, v PY cng l phn b Bernoulli vi PY (0) =
1q, PY (1) = q. Khi ta bit rng PX,Y l mt phn b xc sut trn
R2 tp trung ti 4 im A = (0, 0), B = (0, 1), C = (1, 0), D = (1, 1),
v tho mn cc iu kin: PX,Y (C) + PX,Y (D) = p, PX,Y (B) +
PX,Y (D) = q. Nhng PX,Y (D) c th l mt s bt k nm gia 0 v
min(p, q).

3.1.3

Hm mt ng thi

nh ngha 3.2. Mt phn b xc sut n chiu PX c gi l lin tc

tuyt i nu n c sinh bi mt hm mt X : Rn R+ kh
tch trn Rn . iu c ngha l vi mi min U Rn ta c:
Z
PX (U ) =
X (x1 , . . . , xn )dx1 . . . dxn .

(3.7)

Hm X cn c gi l hm mt ng thi ca cc bin ngu

nhin X1 , . . . , Xn .
Tt nhin, nu mt hm khng m l mt hm mt ng
thi trn Rn , th n phi c tnh cht
Z
Z
...
(x1 , . . . , xn )dx1 . . . dxn = 1,

(3.8)

bi v xc sut ca ton b khng gian l bng 1. Ngc li, mi hm

khng m c tnh cht trn l hm mt ca mt phn b xc sut
no trn Rn .
Nu nh cc phn b xc sut PXi (i = 1, . . . , n) v, PX (X =
(X1 , . . . , Xn )) l cc phn b xc sut lin tc vi cc hm mt
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3.1. Vector ngu nhin

tng ng Xi v X , th ta c th vit
Z
Z
X1 (x) =
...
(x, y2 , . . . , yn )dy2 . . . dyn ,

(3.9)

v tng t nh vy cho cc hm X2 (x), . . . , Xn (x). Cc hm Xi

c gi l cc hm mt bin (ca hm mt X , hay l ca
cc bin Xi ).
V d 3.3. Gi s X = (X, Y ) c hm mt ng thi X (x, y) =
1/x khi 0 < y x 1 v X (x, y) = 0 ti cc im khc. Khi hm
mt bin X ca X l:
Z x
Z x
X (x) =
X (x, y)dy =
(1/x)dy = 1
0

khi 0 < x 1, v X (x) = 0 ti cc im khc. iu c ngha l

X c phn b xc sut u trn on ]0, 1]. Hm mt bin ca Y
l:
Z
Y (y) =

(1/x)dx = ln y

X (x, y)dx =
x

khi 0 < y 1, v Y (y) = 0 ti cc im khc.

Nu ta c hai bin ngu nhin X, Y v F : R2 R l mt hm
s hai bin, th phn b xc sut ca bin ngu nhin F (X, Y ) c th
suy ra c t phn b xc sut ng thi ca X v Y theo cng
thc:
FF (X,Y ) (a) = P (F (X, Y ) a) = PX,Y ({(x, y) R2 |F (x, y) a}).
(3.10)
Trong trng hp lin tc, ta cng c th tnh c hm mt ca
F (X, Y ) t hm mt ng thi ca X v Y . V d, trong trng
Sputnik Education

133

Chng 3. Vector ngu nhin

hp F (X, Y ) = X + Y , ta c cng thc sau:
Z

X,Y (x, z x)dx.

X+Y (z) =

(3.11)

(Cng thc tng t cho cc bin ngu nhin ri rc l: PX+Y (z) =

P
x PX,Y (x, z x), vi PX,Y (x, z x) = P (X = x, Y = z x)). Tt
nhin, cc khng nh trn c th m rng ln trng hp n chiu.
Bi tp 3.3. Gi s X l mt bin ngu nhin bt k. Chng minh
rng khng tn ti hm mt cho vector ngu nhin (X, X 3 ).

3.1.4

Hm c trng ca vector ngu nhin

Tng t nh trong trng hp bin ngu nhin 1 chiu, ta c

th nh ngha cc i lng c trng ca cc vector ngu nhin:
nu F : Rn C l mt hm n bin bt k, v X = (X1 , . . . , Xn ) l
mt vector ngu nhin n, th
Z
F (x)dPX

(3.12)

xRn

l i lng c trng ca X nh ngha bi hm F . Nhc li rng,

trong trng hp n = 1 v F (x) = xk , th cng thc trn cho ta
moment bc k. Trong trng hp n ty v F (x) = xk11 . . . xknn l
mt n thc (x = (x1 . . . , xn )), th ta c mt moment hn hp
E(X1k1 . . . Xnkn ) ca vector ngu nhin n chiu. Nu F khng ch ph
thuc vo x m cn ph thuc vo cc tham s s no , th cng
thc trn cho ta mt hm theo bin s, m cc gi tr ca n l cc gi
tr c trng ca X.
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3.1. Vector ngu nhin

nh ngha 3.3. Hm c trng ca vector ngu nhin n chiu X =
(X1 , . . . , Xn ) l hm n bin X (s), s = (s1 , . . . , sn ), cho bi cng thc
sau:
Z
X (s1 , . . . , sn ) =

n
X
si xi )dPX .
exp( 1

xRn

(3.13)

i=1

Tng t nh trong trng hp mt chiu, hm v trng trong

trng hp nhiu chiu c cc tnh cht sau:
nh l 3.2. i) Gi s X l mt vector ngu nhin n chiu bt k.
Khi hm trng X ca n l mt hm lin tc u trn Rn ,
|X (0)| = 1, v |X (s)| 1 vi mi s Rn .
ii) (Cng thc nghch o) Gi s X l mt vector ngu nhin n chiu,
v a, b R, sao cho a < b v hnh hp m n chiu Ba,b = {x
Rn |a < x < b} c xc sut ca bin theo phn b ca X bng 0:
PX (Ba,b ) = 0. Khi :
P (X Ba,b ) =
1
lim . . . lim
=
(2)n T1 Tn

n
Y

1sk ak

T<s<T k=1

1sk

1sk bk

!
X (s)ds
(3.14)

(trong ds = ds1 . . . dsn l k hiu o Lebesgue trn Rn ).

iii) Nu hai vector ngu nhin n chiu c cng hm c trng, th chng
cng c cng phn b xc sut trn Rn .
iv) Gi s m N v E(|Xi |m ) < vi mi i = 1, . . . , n. Khi hm
c trng kh vi lin tc m ln, v
|k| X (0)
1
E(X1k1 . . . Xnkn ) =
,
( 1)|k| xk11 . . . xknn
Sputnik Education

(3.15)
135

Chng 3. Vector ngu nhin

vi mi k1 , . . . , kn Z+ sao cho |k| = k1 + . . . + kn m.
v) (Bin i Fourier ngc). Trong trng hp phn b xc sut ca X
l lin tc tuyt i vi hm mt X , th X l bin i Fourier ca
X , v X l bin i Fourier ngc ca X :
Z
X
1
exp(
1
sk xk )X (s)ds.
X (x) =
(2)n Rn

(3.16)

Chng minh ca nh l trn tng t nh trng hp 1 chiu,

tuy c phc tp hn.

3.2
3.2.1

Cc bin ngu nhin c lp

S c lp ca mt b bin ngu nhin

Khi nim c lp ca cc bin ngu nhin l m rng khi nim

c lp ca cc s kin. V mt trit l, khi m hai bin ngu nhin
khng lin quan n nhau, th chng phi c lp vi nhau. V d,
"s gi dy hc trong tun ca gio vin" v "chiu cao ca cy cau"
c l khng lin quan g n nhau, c th coi l c lp. Nu gi s
ta tung qun xc sc 3 ln, th ta c mt b 3 bin ngu nhin, mi
bin l kt qu ca mt ln tung xc sc. B 3 bin ngu nhin
cng c th coi l c lp, khi khng c g chng t kt qu ca cc
ln tung c th nh hng ti nhau.
nh ngha 3.4. Mt b n bin ngu nhin X1 , . . . , Xn c gi l
c lp nu nh khng gian xc sut (Rn , PX ) vi phn b xc sut
ng thi PX ca X1 , . . . , Xn l tch trc tip ca cc khng gian
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3.2. Cc bin ngu nhin c lp

xc sut (R, PX1 ), . . . , (R, PXn ), hay ni cch khc, vi mi tp con
A1 , . . . , An R (nm trong sigma-i s Borel ca R) ta c
PX (A1 . . . An ) = P (X1 A1 , . . . Xn , An )
=

n
Y

P (Xi Ai ) =

i=1

n
Y

PXi (Ai ). (3.17)

i=1

Trong trng hp cc bin ngu nhin X1 , . . . , Xn u c phn

b xc sut ri rc, iu kin c lp c th c vit di dng sau:
PX (x) =

n
Y

PXi (xi )

(3.18)

i=1

vi mi x = (x1 , . . . , xn ) Rn .
Hm phn phi xc sut ca tch trc tip (R, PX1 ). . .(R, PXn )
Q
Q
chnh l hm F(x1 , . . . xn ) = ni=1 P (Xi xi ) = ni=1 FXi (xi ). Phn
b xc sut trn Rn c xc nh duy nht bi hm phn b xc sut
ca n, bi vy ta c:
nh l 3.3. Cc khng nh sau y l tng ng:
i) B n bin ngu nhin X1 , . . . , Xn l c lp.
ii) Hm phn phi xc sut ng thi FX ca X1 , . . . , Xn l tch ca
cc hm phn phi xc sut bin FXi :
FX (x1 . . . , xn ) =

n
Y

FXi (xi ),

(3.19)

i=1

hay ni cch khc,

P (F1 x1 . . . , Fn xn ) =

n
Y

P (Fi xi ),

(3.20)

i=1

Sputnik Education

137

Chng 3. Vector ngu nhin

vi mi (x1 , . . . , xn ) Rn .
iii) Hm c trng X (s1 , . . . , sn ) ca X = (X1 , . . . , Xn ) l tch ca
cc hm c trng Xi (si ):
X (s1 , . . . , sn ) =

n
Y

Xi (si ).

(3.21)

i=1

iv) (Trng hp lin tc tuyt i) Tch ca cc hm mt bin

Xi (xi ) ca cc bin Xi bng hm mt ng thi:
X (x1 , . . . , xn ) =

n
Y

Xi (xi ).

(3.22)

i=1

V d 3.4. Nu A v B l hai s kin, v A v B l cc hm ch bo

tng ng ca chng (A = 1 nu A xy ra v A = 0 nu A khng
xy ra, v tng t nh vy vi B ), th A v B l hai s kin c lp
khi v ch khi A v B l hai bin ngu nhin c lp.
Ghi ch 3.3. Tng t nh i vi cc s kin, c nhng b bin ngu
nhin khng c lp, m trong cc bin ngu nhin c lp vi
nhau theo tng i mt. ly v d, ta ch cn ly mt b cc s
kin khng c lp nhng c lp tng i mt, ri ly cc hm ch
bo ca chng.
Bi tp 3.4. Xy dng mt v d vi 3 bin ngu nhin X, Y, Z sao
cho X c lp vi Y v Z, nhng khng c lp vi Y + Z.
Bi tp 3.5. Gi s X, Y, Z l ba bin ngu nhin c lp vi phn b
u trn on thng ]0, 1[. Hy tnh xc sut c th lp c mt
hnh tam gic vi ba cnh l X, Y, Z.
Bi tp 3.6. Phn b gamma vi cc tham s , > 0 l phn
b xc sut lin tc tuyt i trn R vi hm mt sau: (x) =
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3.2. Cc bin ngu nhin c lp

R
1 x
x
e
. y () = 0 x1 ex dx gi l hm gamma. Bit
()
rng (k) = (k 1)! vi mi k N. Chng minh (bng qui np)
rng, nu X1 , . . . , Xk l k bin ngu nhin c lp vi phn b m
vi tham s , th tng ca chng X1 + . . . + Xk c phn b gamma
vi cc tham s k, .
Bi tp 3.7. Gi s X v Y c phn b xc sut ng thi lin tc,
vi hm mt xc sut ng thi sau y:
(
xexy khi x, y > 0
.
(x, y) =
0 ti cc im khc
Hi rng X v Y c c lp vi nhau khng ?

3.2.2

Mt v d khng hin nhin v s c lp

Gi s ta tung qun xc sc tng cng N ln, v mi ln tung th

xc sut hin ln mt 1 chm l p = 1/6. Gi X l s ln tung hin
ln 1 chm, Y l s ln tung hin ra nhng mt khc. Khi X v Y
l hai bin ngu nhin, vi X + Y = N . Nu s ln tung N l mt s
c nh, th X v Y khng c lp vi nhau, v P (X = a, Y = b) = 0
nu a + b 6= N .
By gi ta gi s rng bn thn tng s ln tung N l mt s ngu
nhin tun theo lut Poisson vi tham s :
n
P (N = n) = e , n Z+
n!
Khi P (X = a, Y = b) 6= 0 vi mi a, b Z+ . Xc sut c i kin
P (X = x|N = n) tun theo phn b nh phn:
P (X = x|N = n) = Cnx px (1 p)nx
Sputnik Education

139

Chng 3. Vector ngu nhin

T suy ra:
P (X = x, Y = y) = P (X = x|N
x+y
x
= Cx+y
px (1 p)y
e
(x + y)!
P
P (X = x) = yZ+ P (X = x, Y
P
P (Y = y) = xZ+ P (X = x, Y

= x + y).P (N = x + y)
(p)x ((1 p))y
=
e v,
x!
y!
x
= y) = (p)
x! .C1 ,
= y) =

((1p))y
.C2 ,
y!

vi C1 = ep , C2 = e(1p) , v P (X = x).P (y = y) = P (X =
x, Y = y). iu c ngh l, trong trng hp ny (khi m tng
N = X + Y tun theo phn b Poisson), hai bin X v Y c lp vi
nhau!

3.2.3

Mt s h qu ca s c lp

nh l 3.4. Gi s X1 , . . . , Xn l mt b n bin ngu nhin c

lp, v g1 , . . . , gn l cc hm s thc. Khi cc bin ngu nhin
g1 (X1 ), . . . , gn (Xn ) cng c lp vi nhau.
Chng minh. Vi cc tp con A1 , . . . , An R bt k, ta c:
P (g1 (X) A1 , . . . , gn (X) An ) = P (X1 g11 (A1 ), . . . , X1
Q
Q
gn1 (An )) = i P (Xi gi1 (Ai )) = i P (g(Xi ) Ai ), v do
cc bin ngu nhin g1 (X1 ), . . . , gn (Xn ) c lp vi nhau.

Tng t nh vy, ta c mnh sau (chng minh ca n l bi

tp dnh cho bn c):
Mnh 3.5. Nu X1 , X2 , X3 l mt b 3 bin ngu nhin c lp, v
: R2 R l mt hm hai bin, th cc bin ngu nhin (X1 , X2 ) v
X3 c lp vi nhau.
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3.2. Cc bin ngu nhin c lp

Nhc li rng, nu X l mt bin ngu nhin, th hm sinh xc
sut ca n l hm GX (z) = E(z X ), v hm c trng ca n l hm

X (s) = E(exp( 1sX)).

nh l 3.6. Nu X1 , . . . , Xn l mt b n bin ngu nhin c lp, th
:
i)
E(

Xi ) =

E(Xi ),

(3.23)

var(Xi ),

(3.24)

GXi (z),

(3.25)

Xi (s).

(3.26)

ii)
var(

Xi ) =

X
i

iii)
GPi Xi (z) =

Y
i

iv)
Pi Xi (s) =

Y
i

Chng minh. i) v ii). Chng ta s chng minh cho trng hp

n = 2, v hai bin ngu nhin X1 , X2 ch nhn mt s hu hn cc
gi tr {a1 , . . . , ak } v {b1 , . . . , bm } tng ng. Khi ta c:
P
P
i) E(X1 X2 ) = ij ai bj P (X1 = ai , X2 = bj ) = ij ai bj P (X1 =
ai )P (X2 = bj ) =
P
P
= ( i ai P (X1 = ai ))( j bj P (X2 = bj )) = E(X1 )E(X2 ).
ii) var(X1 + X2 ) = E((X1 + X2 )2 ) E(X1 + X2 )2 =
= E(X12 ) + 2E(X1 X2 ) + E(X22 ) (E(X1 ) + E(X2 ))2 =
= E(X12 ) + 2E(X1 X2 ) + E(X22 ) E(X1 )2 2E(X1 )E(X2 ) E(X2 )2 =
= E(X12 ) E(X1 )2 + E(X22 ) E(X2 )2 = var(X1 ) + var(X2 ).
Sputnik Education

141

Chng 3. Vector ngu nhin

Trng hp cc bin ngu nhin nhn v hn cc gi tr c th
suy ra t trng hp vi hu hn cc gi tr bng cch ly gii hn.
Trng hp n ty suy ra t trng hp n = 2 bng qui np.
P
Q
Q
Xi
iii) Ta c GPi Xi (z) = E(z Xi ) = E( z Xi ) =
i E(z ) =
Q
Xi c lp vi nhau. iv) Chng minh hon
i GXi (z), do cc bin z
ton tng t.

V d 3.5. Gi s X v Y l hai bin ngu nhin c lp c phn b

Poisson vi cc tham s l v tng ng. Khi X + Y cng c
phn b Poisson vi tham s l + . thy iu , ta c th tnh
P (X + Y = k) qua cng thc
P (X+Y = k) =

P (X = h, Y = kh) =

P (X = h)P (Y = kh),

hoc l ta c th l lun nh sau: Hm sinh ca X l GX (z) =

exp((z 1)), ca Y l GY (z) = exp((z 1)). V X v Y c lp
vi nhau nn hm sinh ca X + Y l GX+Y (z) = GX (z)GY (z) =
exp((z 1)) exp((z 1)) = exp(( + )(z 1)) l hm sinh ca
phn b Poisson vi tham s + . Bi vy X + Y c phn b ny.
Bi tp 3.8. Gi s X v Y l hai bin ngu nhin c lp tun theo
cc phn b normal N (1 , 12 ) v N (2 , 22 ) tng ng. Hy tnh hm
c trng ca X + Y , v t suy ra rng X + Y tun theo phn b
normal N (1 + 2 , 12 + 22 ).
Bi tp 3.9. Tung 1 qun xc sc nhiu ln, cho n khi tng ca tt
cc cc s hin ln trong cc ln tung t t nht 1000. Gi l xc
sut s ln phi tung ln hn 350. Dng bt ng thc Chebyschev
tm mt nh gi chn trn ca .
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Sputnik Education

3.3. Lut s ln
Bi tp 3.10. Tung mt con xc sc 5 ln. Dng hm sinh xc sut,
hy tnh xc sut tng cc s hin ln trong 5 ln tung l 15.
Bi tp 3.11. Gi s X1 , X2 , X3 , . . . l mt dy cc bin ngu nhin
c lp c cng mt phn b xc sut, vi k vng < 0 v phng
sai 2 < . Gi Sn = X1 + . . . + Xn l tng ca n bin ngu nhin
u tin. Dng bt ng thc Chebyschev chng minh rng, vi
mi c R, ta c limn P (Sn c) = 0

3.3
3.3.1

Lut s ln
Dng yu ca lut s ln cho phn b bt k

Gi s X1 , X2 , X3 , . . . l mt dy v hn cc bin ngu nhin c

lp c cng mt phn b xc sut vi k vng v phng sai 2 hu
hn. t Sn = X1 + . . . + Xn . Ta c m rng sau y ca nh l 1.4:
nh l 3.7 (Lut s ln). Vi mi  > 0 ta c




 Sn


 <  = 1.
lim P 
n
n

(3.27)

nh l Bernoulli 1.4 l trng hp ring ca nh l trn, khi m

Xi ch nhn hai gi tr 0 v 1.
Chng minh. Do cc bin ngu nhin Xi c lp vi nhau nn
P
P
var(Sn ) = ni=1 var(Xi ) = n 2 , v E(Sn ) = ni=1 E(Xi ) = n. p
Sputnik Education

143

Chng 3. Vector ngu nhin

dng bt ng thc Chebyschev, ta c:



 Sn

2 n
var(Sn )


P 
  = P (|Sn E(Sn )| n)
=
0,
n
(n)2
n2
(3.28)
t suy ra iu phi chng minh.

Ghi ch 3.4. Chng minh ca nh l 3.7 tt nhin c th dng c

cho nh l 1.4, v n n gin hn cch chng minh nh l 1.4 vit
pha trn. Tuy nhin, cc chng minh nh l 1.4 pha trn cho mt
nh gi hi t tt hn: dy s dng an , vi 0 < a < 1, h t v 0
nhanh hn l dy s 1/n.
Ghi ch 3.5. K c trong trng hp vi k vng hu hn nhng
phng sai v hn, nh l 3.7 vn ng, nhng chng minh phc
tp hn, v khi n c gi l nh l Khinchin. (C th xem,
chng hn, [5] v [6]).
Bi tp 3.12. Mt sng bc hp php c rao bn, v bn l nh
u t mun mua n. Nhng trc khi mua n bn mun bit li
nhun hng nm ca n bao nhiu. Sng bc ny ch chuyn v tr
quay vng en. Mi bn quay c 37 : 18 , 18 en, v 1
nh ci. Nu khi quay vng kim ch vo cng mu vi t cc th
ngi chi thng, t 1 n 1, cn nu kim ch vo khc mu hoc
vo nh ci th ngi chi mt tin t cc. Ni cch khc, c mi
ln c cc, th xc sut nh ci thng s tin t cc l 19/37,
v nh ci thua s tin t cc l 18/37. Bit rng trong nm
sng bc m ca c 365 ngy, mi ngy trung bnh cc ngi chi
t cc tng cng 50 nghn euro. Gii thch ti sao lut s ln li c
th dng tnh c lng s tin thu v c trong 1 nm ca sng
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Sputnik Education

3.3. Lut s ln
bc t tr chi quay vng en (trc khi tr chi ph hot ng),
v hy tnh con s ny.

3.3.2

Dng mnh ca lut s ln

nh l 3.8 (Lut s ln). Gi s X1 , X2 , X3 , . . . l mt dy v hn

cc bin c lp c cng mt phn b xc sut vi k vng bng v
E(X14 ) hu hn. Khi ta c:
Pn


P

lim

i=1 Xi


=

(3.29)

= 1,

Pn
hay ni cch khc, hu nh chc chn rng,

i=1 Xi

tin ti khi n

tin ti v cng.
Ghi ch 3.6. Tt nhin, dng mnh ca lut s ln mnh hn dng
yu, v bi vy cng i hi iu kin mnh hn: nu mt phn b
xc sut no tha mn lut s ln mnh, th n cng nghim nhin
tha mn lut s ln yu, tuy iu ngc li khng ng.
Trc khi chng minh nh l 3.8, ta cn hiu chnh xc ngha
ton hc caP
nh l trn, v cn c m hnh xc sut t nhin cho
n
i=1 Xi
= , tc l m t tp hp tt c cc tnh hung
s kin lim
n
n
xy ra s kin ny nh l mt tp con trong mt khng gian xc sut
no . Khng gian xc sut y s tch trc tip ca mt dy v
hn cc khng gian xc sut.
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Chng 3. Vector ngu nhin

3.3.3

Tch ca mt dy v hn cc khng gian xc sut

Gi s ta c mt dy v hn cc khng gian xc sut (i , Pi ), i =

1, 2, 3, . . . . Khi tch trc tip ca chng l khng gian
=

i = {(x1 , x2 , x3 , . . .)|xi i i N}.

(3.30)

i=1

Mi phn t ca l mt dy x = (xi )iN cc phn t xi : xi i

vi mi i N. Phn b xc sut tch trn c cho bi cng thc
sau: nu Ai i sao cho tn ti Pi (Ai ) vi mi i N, th theo nh
ngha,

n
Y
Y
Y
P ( Ai ) :=
Pi (Ai ) := lim
Pi (Ai ).
i=1

i=1 Ai

i=1

(3.31)

i=1

= {(x1 , x2 , x3 , . . .)|xi Ai i N} l mt tp con ca

c dng tch trc tip. Ch rng tch v hn

Y
i=1

Pi (Ai ) = lim

n
Y

Pi (Ai )

i=1

Q
tn ti v khng m, bi v dy s ( ni=1 Pi (Ai ))nN l mt dy n
iu khng tng khng m. Tch ny c th bng 0 k c khi Pi (Ai ) >
0 vi mi i. Th nhng nu Pi (Ai ) > 0 vi mi i, v Pi (Ai ) = 1 vi
hu ht mi i tr mt s hu hn cc gi tr ca i, th tch ny c th
coi nh l mt tch hu hn, vi gi tr dng.
i vi cc tp con ca khng c dng tch trc tip, th xc
sut ca chng c th tnh c t xc sut ca cc tp con c dng
tch trc tip, thng qua cc tin ca xc sut. V d, xc sut ca
146

Sputnik Education

3.3. Lut s ln
hp ca hai tp con c dng tch trc tip l:
P(

Y
i

Ai

Y
Y
Y
Y
Bi ) = P ( Ai ) + P ( Bi ) P (( Ai ) ( Bi ))

Y
Y
Y
= P ( Ai ) + P ( Bi ) P ( (Ai Bi ))
i

Pi (Ai ) +

Pi (Bi )

Pi (Ai Bi ).

Bng cch , ta c th nh ngha xc sut ca mi tp con ca

m nm trong sigma-i s sinh bi cc tp con c dng tch trc tip
(qua cc php: phn b, giao, hp, v hp mt dy v hn). o
xc sut P trn nh ngha nh trn, cng vi sigma-i s ny,
c gi l tch trc tip ca cc o xc sut Pi .
Nu ta c mt dy v hn cc bin ngu nhin c lp Xi ,, th ta
c th coi n nh mt vector v hn chiu (Xi )iN , v vector v hn
chiu ny sinh ra trn khng gian v hn chiu RN mt phn b xc
sut P , chnh l tch trc tip ca cc phn b xc sut Pi ca Xi trn
R:
(RN , P ) =

Y
(R, Pi )

(3.32)

i=1

Trong trng hp cc bin Xi c cng phn b xc sut, tc l Pi =

P1 vi mi i N, ta c th vit
(RN , P ) = (R, P1 )N

(3.33)

Tch v hn (R, Pi )N ny c th dng lm m hnh khng gian xc

n
1X
Xi = ng vi tp
sut trong nh l 3.8. Khi s kin lim
n n
i=1

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147

Chng 3. Vector ngu nhin

hp con {(xi )iN RN | limn

1
n

Pn

i=1 Xi

= } trong RN . nh l

3.8 tng ng vi khng nh

(3.34)

P (A) = 0,
trong A = RN \ {(xi )iN RN | limn

1
n

Pn

i=1 Xi

= }.

C mt chi tit k thut l: tp A trn khng nht thit nm

trong sigma-i s ca (R, P1 )N xy dng nh trn. Khi ta phi
hiu P (A) = 0 nh th no ? Vn ny dn n nh ngha sau:
nh ngha 3.5. Gi s B l mt tp o c ca mt khng gian xc
sut (, P ), vi P (B) = 0, v A l tp con ca B. Khi A s c gi
l tp con c th b qua, v ta cng vit
P (A) = 0.
Ni cch khc, nu mt tp c xc sut bng 0, th ta coi mi tp
con ca n cng c xc sut bng 0, k c khi cc tp con khng
nm trong sigma-i s ban u. Ta c th m rng sigma-i s
cha tt c cc tp con nh vy.

3.3.4

Chng minh nh l 3.8

Chng ta s chia chng minh ca nh l 3.8 thnh mt s bc,

mi bc chng ta s vit di dng mt b .
B 3.9 (Tiu chun xc sut bng 0). Nu tn ti mt dy cc tp
con A An (, P ) sao cho An o c v limn P (An ) = 0, th
P (A) = 0.
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3.3. Lut s ln
Chng minh ca b trn l bi tp dnh cho bn c.
Gi s X1 , X2 , X3 , . . . l mt dy v hn cc bin c lp c cng
mt phn b xc sut vi k vng bng v E(X14 ) hu hn, nh
trong nh l 3.8. t Yi = Xi ( chuyn nh l v trng hp
vi k vng bng 0). D thy rng, iu kin E(X14 ) hu hn tng
ng vi iu kin moment trung tm bc 4 4 = E(Y14 ) hu hn,
v suy ra iu kin phng sai 2 = E(Y12 ) hu hn.
B 3.10. Vi mi n N ta c
n
X
E((
Yi )4 ) = n4 + 3n(n 1) 4 Cn2 ,

(3.35)

i=1

trong C = 3 4 + 4 l mt hng s (khng ph thuc vo n).

Chng minh. Ta c

n
X

Yi )4 =

i=1

n
X

Yi4 + 6

i=1

Yi2 Yj2 + 4

i<j

Yi3 Yj

i6=j

+6

Yi2 Yj Yk +

i6=j6=k

Yi Yj Yk Yl .

i6=j6=k6=l

Do cc bin ngu nhin Y1 , . . . , Yn c lp vi nhau v c k vng

bng 0 nn E(Yi3 Yj ) = E(Yi3 )E(Yj ) = 0 vi mi i 6= j, v tng t
nh vy, E(Yi2 Yj Yk ) = E(Yi Yj Yk Yl ) = 0 vi mi i 6= j 6= k 6= l. Bi
vy
n
n
X
X
X
E(Yi2 )E(Yj2 ) = n4 + 3n(n 1) 4 .
E((
Yi )4 ) =
E(Yi4 ) + 6
i=1

i=1

i<j

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149

Chng 3. Vector ngu nhin

B 3.11. Vi mi k N tn ti mt hng s Ck = k 4 C sao cho
n

1X
1
Ck
P (|
Yi | ) < 2
n
k
n

(3.36)

i=1

vi mi n N.
B 3.11 suy ra trc tip t b 3.10 v bt ng thc Markov.
B 3.12. Vi mi k N tn ti mt s mk N sao cho, t
n

Bk =

(|

nmk

1X
1
Yi | ),
n
k

(3.37)

i=1

ta c
P (Bk ) <

1
.
2k

(3.38)

B 3.12 suy ra trc tip t b 3.11 v s hi t ca chui

X
1
.
s
n2
n=1
P
Nhc li rng, A l s kin n1 ni=1 Yi khng tin ti 0 khi n tin
ti v cng, v nh l 3.8 tng ng vi khng nh P (A) = 0.
t
Ak =

(3.39)

Bh .

h>k

B 3.13. Ta c
A Ak v P (Ak ) <
vi mi k N.
150

Sputnik Education

1
2k

(3.40)

3.4. S tng quan gia cc bin ngu nhin

Khng nh A Ak suy ra trc tip t nh ngha v gii hn,
cn bt ng thc P (Ak ) < 1/2k l h qu trc tip ca b 3.12.
T b cui cng ta suy ra P (A) = 0, l iu cn phi chng minh.


3.4
3.4.1

S tng quan gia cc bin ngu nhin

Hip phng sai

nh ngha 3.6. Nu X, Y l hai bin ngu nhin, th hip phng

sai (covariance) ca chng l i lng
cov(X, Y ) = E((X E(X))(Y E(Y ))).

(3.41)

Trong trng hp c bit, khi X = Y , t nh ngha trn ta c

khng nh sau: hip phng sai ca mt bin ngu nhin vi chnh
n chnh l phng sai ca n:
cov(X, X) = E((X E(X))2 ) = var(X) = (X)2 .

(3.42)

ngha ca hip phng sai cov(X, Y ) nh sau: n o dao

ng "cng hng" hay "ngc hng" ca X v Y . y ta hnh
dung l X v Y dao ng quanh trung im (gi tr k vng) tng
ng ca chng. Nu nh X v Y lun dao ng cng hng, tc l
X dao ng ln trn trung im (X E(X) > 0) mi khi Y cng dao
ng ln trn trung im, v X dao ng xung di mi khi Y cng
dao ng xung di, th (X E(X))(Y E(Y )) lun c c gi tr
ln hn hoc bng 0, v cov(X, Y ) l s dng. Ngc li, nu X v
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151

Chng 3. Vector ngu nhin

Y dao ng ngc hng, th cov(X, Y ) l s m. Trong trng hp
chung, cov(X, Y ) l s m hay s dng ty thuc vo vic X v Y
dao ng ngc hng nhiu hn hay l dao ng cng hng nhiu
hn.
nh l 3.14. i) Mt cng thc khc tnh hip phng sai l:
cov(X, Y ) = E(XY ) E(X)E(Y ).

(3.43)

ii) Nu hai bin X v Y c lp vi nhau, th cov(X, Y ) = 0.

Chng minh. i) Ta c:
E((X E(X))(Y E(Y ))) = E(XY E(X)Y XE(Y )+E(X)E(Y ))
= E(XY )E(X)E(Y )E(X)E(Y )+E(X)E(Y ) = E(XY )E(X)E(Y ).
ii) Khi X v Y c lp vi nhau th E(XY ) = E(X)E(Y ), do
cov(X, Y ) = E(XY ) E(X)E(Y ) = 0

nh l 3.15. Hip phng sai c cc tnh cht sau:

i) i xng: cov(X, Y ) = cov(X, Y )
ii) Tuyn tnh: cov(a1 .X1 +a2 .X2 , Y ) = a1 .cov(X1 , X)+a2 .cov(X2 , Y )
iii) Bt bin theo x dch: cov(X + a, Y ) = cov(X, Y )
Cc tnh cht trn suy ra trc tip t nh ngha. Tnh cht tuyn
tnh cng ng vi bin Y , nn ta ni rng cov(X, Y ) c tnh cht
song tuyn tnh.

3.4.2

H s tng quan

Do tnh cht song tuyn tnh ca hip phng sai cov(X, Y ), ta

c th chia cov(X, Y ) cho (X)(Y ) c mt i lng c bc
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Sputnik Education

3.4. S tng quan gia cc bin ngu nhin

thun nht bng 0, tc l khng thay i khi ta nhn X, Y vi cc
hng s. i lng c gi l h s tng quan (correlation) ca
X v Y :
nh ngha 3.7. Nu hai bin ngu nhin X, Y c lch chun
(X), (Y ) khc 0, th h s tng quan ca chng l i lng
sau:
r(F, G) =

cov(F, G)
.
(F )(G)

(3.44)

nh l 3.16. Nu X, Y l hai bin ngu nhin c lch chun khc

0, th ta lun c
1 r(X, Y ) 1.

(3.45)

Hn na, r(X, Y ) = 1 khi v ch khi X, Y c quan h tuyn tnh vi

nhau vi h s dng, c ngha l tn ti mt s thc dng a > 0
v mt s thc b sao cho X = aY + b hu khp mi ni. Ngc li,
r(X, Y ) = 1 khi v ch khi X, Y c quan h tuyn tnh vi nhau vi
h s m, c ngha l tn ti mt s thc dng a < 0 v mt s thc b
sao cho X = aY + b hu khp mi ni.
nh l trn l h qu trc tip ca bt ng thc Cauchy-Schwarz
sau:
nh l 3.17. (Bt ng thc Cauchy-Schwarz). Nu U, V l hai bin
ngu nhin thc bt k th ta lun c
E(U V )2 E(U 2 )E(V 2 ).

(3.46)

Du bng xy ra khi v ch khi U v V t l thun vi nhau, tc l hoc

l V = 0 hu khp mi ni hoc l ta c th vit U = cV hu khp
mi ni, vi c l mt hng s.
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153

Chng 3. Vector ngu nhin

Trng hp m khng gian xc sut l hu hn vi phn b xc
sut u, bt ng thc Cauchy-Schwarz c dng c in quen thuc
sau: Vi cc s thc ai , bi , i = 1, . . . , n, bt k, ta c:
(

ai bi )2 (

X
a2i ).(
bi )2 .

(3.47)

chng minh bt ng thc c in trn, ch cn kim tra rng

X
X
X
X
(
ai bi )2 (
a2i ).(
bi )2 =
(ai bj aj bi )2 0.
i

(3.48)

i<j

Du bng xy ra khi v ch khi ai bj = aj bi vi mi i, j, c ngha l dy

s (ai ) t l thun vi dy s (bi ). Trng hp tng qut ca bt ng
thc Cauchy-Schwarz trn khng gian xc sut chng qua l gii hn
ca trng hp c in quen thuc trn.
Chng minh bt ng thc Cauchy-Schwarz trong trng hp
tng qut: Ta c th vit U = U1 + aV vi a = E(U V )/E(V 2 ). Khi
ta c E(U V )2 = a2 E(V 2 )2 , E(U1 .V ) = 0, E(U 2 ) = E(U12 + 2a.U1 .V +
a2 .V 2 ) = E(U12 ) + a2 .E(V 2 ) a2 .E(V 2 ), v bi vy E(U 2 ).E(V 2 )
a2 .E(V 2 ).E(V 2 ) = E(U V )2 .

Trong bt ng thc Cauchy-Schwarz, nu ta t U = F E(F ) v

V = G E(G) th ta c bt ng thc cov(F, G)2 (F )2 .(G)2 ,
t suy ra 1 r(F, G) 1.
Ghi ch 3.7. i lng E(U V ) c gi l tch v hng ca U
v V . Vi tch v hng ny, khng gian cc bin ngu nhin (trn
mt khng gian xc sut c nh no ) tr thnh khng gian tin
Hilbert (pre-Hilbert space).
154

Sputnik Education

3.4. S tng quan gia cc bin ngu nhin

V d 3.6. (Gi nh v din tch nh). Dy s liu sau v gi rao bn
cc cn h Qun 13 thnh ph Paris c ly t mt trang web bt
ng sn vo ngy 12/10/2009. lm v d y, chng ta s ch
ly 40 qung co xut hin mi nht, trong s hng nghn qung co:
(102, 890), (45, 210), (40, 286), (53, 375), (69, 311), (64, 645),
(84,498), (38, 262), (33, 210), (38, 223), (33, 242), (15, 129), (73,
456), (31, 233), (16, 109), (40, 297), (85, 495), (84, 485), (100,
780), (83, 490), (87, 460), (51, 275), (40, 297), (85, 495), (85,
505), (43, 215), (46, 265), (75, 477), (61, 293), (76, 399), (73,
399), (73, 490), (85, 495), (37, 292), (34, 290), (30, 232), (20,
150), (57, 383), (20, 132), (61, 290)
Trong dy s liu trn, mi cp s gm 2 s: s th nht l din
tch ca cn h, tnh theo n v m2, s th hai l gi rao bn, tnh
theo n v nghn euro. V d, (102, 890) c ngha l mt cn h
rng 102m2 c rao bn vi gi 890 nghn Euro. Chng ta s coi
khng gian xc sut y gm 40 phn t, vi phn b xc sut u,
mi phn t ng vi mt cn h c rao bn trong 40 qung co
pha trn. (Khng gian xc sut ny c gi l khng gian xc sut
thc nghim).
T s liu trn, ta c th tnh ra h s tng quan gia bin X =
din tch ca cn h Qun 13 v bin Y = gi rao bn cn h
Qun 13 (ti thi im 12/10/2009) bng 0,888. Con s ny c
th tnh c bng tay, nhng cng c th dng phn mm my tnh
tnh, s nhanh hn. c bit l khi bng s liu rt ln (khng
gian xc sut c rt nhiu phn t), th cch tnh tt nht l nhp s
liu vo my ri tnh bng my. tnh h s tng quan trong v d

Sputnik Education

155

Chng 3. Vector ngu nhin

Hnh 3.1: Din tch cn h v gi rao bn ti Qun 13, Paris, thng

10/2009

ny, cc tc gi dng phn mm gretl (vit tt ca: Gnu Regression,

Econometrics and Time-series Library), l mt phn mm nh t do
m m, c giao din trc gic d s dng.
Hnh 3.1, do chng trnh gretl v ra, l th phn tn (scatterplot) ca hai bin din tch cn h v gi cn h trong v d
trn.
V d 3.7. Trng lng tr em lc sinh ra, v c lng bng soi siu
m. Mt nghin cu thng k trong y hc ca Schild, Fimmers v
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Sputnik Education

3.4. S tng quan gia cc bin ngu nhin

Hansmann(2) trn 65 tr em cho thy phng php c lng trng
lng tr em trc lc sinh ra bng soi siu m 3 chiu cho kt qu
rt tt: h s tng quan gia c lng v trng lng thc t lc
sinh ra l 0,976. Xem th phn tn trn hnh 3.2.

Hnh 3.2: Trng lng c lng bng soi siu m v trng lng
thc t

(2)

R.L. Schild, R. Fimmers, L. Hansmann, Fetal weight estimation by three-

dimensional ultrasound, Ultrasound in Obstetrics and Gynecology, 16 (2000), 445

452

Sputnik Education

157

Chng 3. Vector ngu nhin

Bi tp 3.13. Xy dng mt v d vi hai bin ngu nhin khng c
lp vi nhau, nhng c hip phng sai bng 0.
Bi tp 3.14. (Gi xe t v tui ca xe). Dy s liu sau v tui ca
xe Mercedes C220 c (s nm m xe chy) v gi rao bn xe (tnh
theo euro) c ly t trang web vivastreet (chuyn v qung co
bn c) ngy 25/10/2009: (13, 3000), (4, 17500), (7, 9900), (3,
17800), (6,11500), (6, 14000), (4,18000), (6, 15000), (10, 5490),
(8, 12000), (1, 32500), (10, 6500), (9, 5900), (3, 24200), (11, 6000),
(2, 21000), (9,10700), (0, 30000), (8, 9800), (13, 4200). Hy tnh
h s tng quan gia hai bin tui ca xe v gi rao bn xe cho
cc xe Mercedes C220 c, da theo dy s liu trn.
Bi tp 3.15. Tm trng lng v chiu cao ca mt nhm ngi
(v d mt lp hc), ri tnh h s tng quan gia hai bin trng
lng v chiu cao ca nhng ngi trong nhm .

3.4.3

Quan h tuyn tnh vi sai s bnh phng nh nht

Nhc li rng, nu h s tng quan r = r(X, Y ) gia hai bin

ngu nhin X v Y bng 1, th Y = aX + b vi a, b l cc hng s.
Trong trng hp chung (c bit l khi r2 gn bng 1), ta cng c
th vit Y di dng mt a thc bc 1 ca X cng vi mt sai s 
no :
Y = aX + b + .

(3.49)

Ta mun chn cc hng s a v b sao cho sai s  l nh nht c th.

Ta s dng chun L2 o to nh ca . C ngha l, ta mun
chn cc hng s a v b sao cho E(||2 ) nh nht.
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Sputnik Education

3.4. S tng quan gia cc bin ngu nhin

nh l 3.18. Gi s X v Y l hai bin ngu nhin khng phi hng
s. t  = Y aX b trong a, b l hai hng s thc. Khi
cov(X, Y )
E(||2 ) t gi tr nh nht (theo a, b) khi m a =
v b =
var(X)
E(Y ) aE(X).
Chng minh. E((Y aX b)2 ) l mt a thc bc 2 theo a v b,
tin ti + khi |a| + |b| tin ti v cng. Bi vy n t gi tr nh
nht ti mt im m o hm ring theo c hai bin a v b bng 0.
T ta c h phng trnh tuyn tnh theo a v b:
(

E((Y aXb)2 )
a
E((Y aXb)2 )
b

= 2aE(X 2 ) 2bE(X) 2E(XY ) = 0

= 2b 2aE(X) 2E(Y ) = 0

(3.50)

cov(X, Y )
var(X)
v b = E(Y ) aE(X), bi vy y l im cc tiu ca E((Y aX

Nghim duy nht ca h phng trnh tuyn tnh trn l a =

b)2 ). C th tnh ra rng, gi tr cc tiu ca E((Y aX b)2 ) bng

var(Y ).(1 r(X, Y )2 ).

ng thng y = ax + b vi cc h s a =

cov(X,Y )
var(X)

v b = E(Y )

aE(X) c gi l ng hi qui tuyn tnh (linear regression), hay

ng quan h tuyn tnh khp nht (fittest) cho hai bin ngu nhin
X v Y , vi sai s bnh phng nh nht. ng ny l mt trng
hp ring (trng hp tuyn tnh n bin) ca phng php hi qui
(regression, mc ch l vit c mt bin ngu nhin di dng
hm s ca cc bin ngu nhin khc, vi sai s chp nhn c),
theo nguyn tc bnh phng nh nht.
Trong thc t, ta khng bit ht cc gi tr ca (X, Y ) (tc l
khng bit chnh xc phn b ng thi ca (X, Y )), m ch bit
Sputnik Education

159

Chng 3. Vector ngu nhin

mt s gi tr (X1 , Y1 ), . . . , (Xn , Yn ) ca n (gi l cc gi tr thc
nghim). Khi , thay v khng gian xc sut ban u ca (X, Y ), ta
c th s dng m hnh khng gian xc sut thc nghim gm n
phn t, vi phn b xc sut u, v mi phn t ng vi mt cp
gi tr (Xi , Yi ). Ta c th coi (X, Y ) nh l vector ngu nhin trn
khng gian xc sut thc nghim ny. Khi phn b ca (X, Y )
trn R2 cm sinh bi khng gian xc sut thc nghim ny c gi
l phn b ng thi thc nghim, v cc phn b bin cm sinh
cng c gi l cc phn b thc nghim (vi c ca mu thc
nghim bng n). Vic tnh ton hi qui trong thc t l da trn cc
phn b thc nghim.
V d 3.8. Tip tc v d 3.6 v quan h gia din tch cn h v
gi cn h. C th tnh c rng (chng hn c th dng chng
trnh gretl tnh), trong v d ny, ng quan h tuyn tnh khp
nht l ng thng y = 6, 14x + 13, 7. Xem hnh 3.1. Cc im (x, y)
trong th pht tn nm hai bn ca ng thng, v ni chung
gn ng thng. Ch rng, nu phn ln cc im ca th pht
tn nm cng gn ng hi qui tuyn tnh, th sai s bnh phng
E(||2 ) cng nh, v h s tng quan bnh phng r2 cng gn 1.
Bi tp 3.16. (S v n mng, t st, v t l dn c sng). Bng thng
k sau l v s v n mng v s v t st tnh trn 1 triu dn trong
1 nm, v t l s gia nh c sng, mt s nc trn th gii, trong
cc nm 1983-1986, theo s liu ca WHO(3) .
(3)

Ngun: M. Killas, International correlation between gun ownership and rates of

homicide and suicide, Can. Med. Assoc. J. 1993, 148 (10), 17211725

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Sputnik Education

3.4. S tng quan gia cc bin ngu nhin

Nc

n mng

T st

% gia nh c sng

Australia

19,5

115,8

19,6

Belgium

18,5

231,5

18,6

Canada

26,0

139,4

29,1

England & Wales

6,7

86,1

4,7

Finland

29,6

253,5

23,2

France

12,5

223, 0

22,6

The Netherlands

11,8

117,2

1,9

Northern Ireland

46,6

82,7

8,4

Norway

12,1

142,7

32,0

Scotland

16,3

105,1

4,7

Spain

13,7

64,5

13,1

Switzerland

11,7

244,5

27,2

United States

75,9

124,0

48,0

West Germany

12,1

203,7

8,9

Da vo bng trn, hy tnh cc h s tng quan gia cc cp

bin trong 3 bin ngu nhin: t l gia nh c sng, s v n
mng v s v t st, v tnh cc ng hi qui tuyn tnh gia
ca cc cp bin ngu nhin, theo nguyn tc sai s bnh phng nh
nht.

3.4.4

H s tng quan v quan h nhn qu

Cc bin ngu nhin m c h s tng quan ln v gi tr tuyt

i, thng c quan h nhn qu (causation) vi nhau, lin h mt
thit vi nhau v logic. V d, hc nhiu th trnh cao, trnh cao
Sputnik Education

161

Chng 3. Vector ngu nhin

th d xin c vic i hi trnh cao. Nhng vic i hi trnh
cao, t ngi lm c, th phi tr lng cao tuyn c ngi.
T suy ra hc nhiu th thu nhp d cao hn l khng c hc. Tc
l c quan h nhn qu gia s nm i hc v mc thu nhp.
Hoc l v d pha trn v din tch cn h v gi cn h: din tch
cng rng th cng sng v gi thnh cng cng cao, bi vy gi
cng cng cao, tuy rng tt nhin c nhng ch din tch nh li t
hn ch khc din tch rng hn, v gi cn h cn ph thuc vo
nhng yu t khc ngoi din tch, nh l a im, cht lng nh,
v.v.
Tuy nhin, khng phi lc no quan h nhn qu cng r rng.
V d, mt nghin cu nm 2009 i hc Mainz cho thy c,
bo ph (obesity) v mc n m a(over-indebtedness) c tng
quan mnh vi nhau(4) , nhng khng r l ci no dn n ci no
v nh th no: mc n m a dn n b bo ph (do nh hng
tm l), hay l b bo ph dn n mc n (do d b mt vic hn
khi bo ph), hay l c nhng l do chnh khc. Hn na, c nhng
bin ngu nhin m v mt logic c th coi l khng lin quan ti
nhau, nhng cc gi tr ca chng c h s tng quan ln, do tnh
c. Khng gian xc sut cng nh (cng t phn t) th cng d xy
ra hin tng c cc s kin khng lin quan g n nhau nhng c
h s tng quan ln.
V d 3.9. (Ly t Wikipedia(5) ). Hnh 3.3 cho thy c h s tng
quan gn bng -1 gia s v t vong v tai nn xe c M trong
(4)
(5)

Xem: http://www.sciencedaily.com/releases/2009/08/090811080751.htm
Xem trang web http://en.wikipedia.org/wiki/Correlation_does_not_imply_causation

162

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3.5. Phn b v k vng c iu kin

Hnh 3.3: Tai nn giao thng cht ngi v chanh ti nhp khu

nhng nm 1996-2000, v s qu chanh nhp khu sang M t Mexico. Tuy nhin ngi ta c th t hi: hai bin th lin quan g vi
nhau ?!

3.5

Phn b v k vng c iu kin

phn ny chng ta s bn v phn b xc sut v k vng ca

mt bin ngu nhin X di iu kin Y = y, trong y l mt s
v Y l mt bin ngu nhin khc. Trong trng hp Y c phn b
xc sut lin tc ti y, tc l P (Y = y) = 0, th chng ta khng th
nh ngha hm phn phi xc sut c iu kin P (X x|Y = y)
Sputnik Education

163

Chng 3. Vector ngu nhin

theo cng thc xc sut c iu kin thng thng, P (X x|Y =
y) = P ((X x) (Y = y))/P (Y = y), m chng ta s phi dng cc
phng php gii hn gii tch nh ngha v nghin cu n. Cn
trong trng hp bin ngu nhin Y c P (Y = y) > 0, th ta c th
dng cng thc xc sut c iu kin thng thng.

3.5.1

Trng hp ri rc

nh ngha 3.8. Gi s X, Y l hai bin ngu nhin, y R, v P (Y =

y) > 0. Khi phn b xc sut c iu kin ca X vi iu kin
Y = y l phn b xc sut trn R cho bi cng thc sau:
PX|Y =y (A) = PX|Y (A|y) = P (X A|Y = y) =

P (X A, Y = y)
P (Y = y)
(3.51)

(vi mi tp hp A R thuc sigma-i s Borel). Hm phn phi

xc sut c iu kin l hm
FX|Y =y (x) = FX|Y (x|y) = PX|Y =y (] , x]) =

P (X x, Y = y)
.
P (Y = y)
(3.52)

K vng c iu kin ca X vi iu kin Y = y l

Z
E(X|Y = y) =

xdPX|Y =y .

(3.53)

xR

Ni cch khc, k vng c iu kin chnh l k vng ca phn b

xc sut PX|Y =y trn R. Trong trng hp phn b xc sut PX|Y =y
l ri rc v tp trung ti cc im x1 , x2 , . . ., th k vng c iu kin
164

Sputnik Education

3.5. Phn b v k vng c iu kin

c th c tnh theo cng thc
E(X|Y = y) =

xi .PX|Y =y (xi ) =

xi .P (X = xi |Y = y),

(3.54)
PX,Y (xi , y)
P (X = xi , Y = y)
=
.
vi P (X = xi |Y = y) =
P (Y = y)
PY (y)
V d 3.10. Gi s X v Y l hai bin ngu nhin c lp vi phn
b Poisson vi cc tham s v tng ng. Chng ta s tnh phn
b xc sut c iu kin ca X vi iu kin X + Y cho trc, tc l
tnh P (X = k|X + Y = k + m). Tng X + Y cng c phn b Poisson
vi tham s + . Bi vy,
P (X = k|X + Y = k + m) =
=

P (X = k, Y = m)
P (X + Y = k + m)

k m
k! e
m! e
k+m
(+)
(+)
(k+m)! e

(k + m)! k m
k!m! ( + )k+m
k
= Ck+m
(

m
k
) (1
)
+
+

Ni cch khc, t r = k + m, ta c
PX|X+Y =r (k) = Crk (

k
rk
) (1
) ,
+
+

c ngha l phn b xc sut PX|X+y=r l phn b nh thc vi cc

r

tham s r v +
. T suy ra E(X|X + Y = r) =
.
+
K vng c iu kin c th c dng tnh k vng khng
iu kin qua cng thc sau:
nh l 3.19. Gi s Y l mt bin ngu nhin ri rc v X l mt
Sputnik Education

165

Chng 3. Vector ngu nhin

bin ngu nhin. Khi
E(X) =

E(X|Y = y)P (Y = y).

(3.55)

Chng minh. Ta c th vit X =

Xy , vi Xy = X khi m Y =

y v Xy = 0 khi m Y 6= y. Khi E(X|Y = y) = E(Xy )/P (Y = y),

v
X
X
X
E(X) = E(
Xy ) =
E(Xy ) =
E(X|Y = y)P (Y = y).
y


V d 3.11. Gi s mt ca hng bn mt loi chi c bit. Mi
khch hng trong ngy c xc sut mua chi c bit l p, v cc
quyt nh mua ca cc khch hng l c lp vi nhau. S khch
hng trong ngy l mt s ngu nhin N tun theo phn b Poisson
vi tham s . Gi K l s khch hng mua chi c bit trong
ngy. Chng ta mun tnh E(K|N = n) v E(K). Cc gi s pha trn
cho bit P (N = n) = n e /n! (phn b Poisson), v PK|N (k|n) =
Cnk pk (1 p)k (phn b nh thc). T suy ra E(K|N = n) = pn, v
P
P
E(K) = n E(K|N = n)P (N = n) = p n nP (N = n) = pE(N ) =
p.
Bi tp 3.17. Chng minh rng, trong v d 3.11, bin K tun theo
phn b Poisson vi tham s p, v E(N |K = k) = k + (1 p).
Bi tp 3.18. Gi s X c phn b m vi tham s > 0. Gi s Y l
bin ngu nhin sao cho khi X = x th Y c phn b u trn on
thng [0, x]. Hy tnh E(Y ).
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Sputnik Education

3.5. Phn b v k vng c iu kin

3.5.2

Trng hp lin tc

Khi P (Y = y) = 0, ta khng nh ngha c P (X x|Y = y)

mt cch trc tip nh trong trng hp P (Y = y) > 0, m phi
dng n cc php ton gii tch c s dng gii hn. Mt trong cc
nh ngha c th dng l:
FX|Y =y (x) := P (X x|Y = y) := lim P (X x|y Y y + ),
0+

(3.56)
nu nh gii hn trn tn ti. Trong trng hp ri rc, c th chng
minh rng gii hn trn lun tn ti v cho kt qu trng vi nh
ngha thng thng. y chng ta s ch quan tm n nhng
trng hp lin tc tt sao cho gii hn trn tn ti.
Gi s vector ngu nhin (X, Y ) c hm mt ng thi X,Y
v cc hm mt bin X , Y . Khi ta c th vit:
P (X x|Y = y) = lim P (X x|y Y y + ) =
0+
R x R y+
X,Y (t, s)ds)dt
P (X x, y Y y + )
( y
= lim
=
= lim
R x+
0+
0+
P ( Y y + )
Y (s)ds
x
Rx
R y+
lim
(
X,Y (t, s)ds/)dt Z x X,Y (t, y)

0+

y
dt,
=
=
R x+
Y (y)
lim0+ (
Y (s)ds/)

v bi vy, ta c:
Mnh 3.20. Trong trng hp lin tc tuyt i, nu Y (y) > 0 th
hm mt ca phn b xc sut c iu kin PX|Y =y chnh l hm
X|Y (x|y) := X|Y =y (x) =

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

Sputnik Education

(3.57)

167

Chng 3. Vector ngu nhin

K vng c iu kin trong trng hp lin tc c th c vit
di dng:
Z
E(X|Y = y) =

xdPX|Y =y =

xX|Y (x|y)dx.

(3.58)

nh l 3.21. Ta c cc cng thc sau:

i)

FX (x) = P (X x) =

FX|Y =y (x)Y (y)dy,

(3.59)

ii)

E(X) =

E(X|Y = y)Y (y)dy.

(3.60)

Chng minh. Kim tra cng thc th hai:

Z Z
E(X) =
xX,Y (x, y)dxdy
y= x=

Z Z
=
xX|Y (x|y)Y (y)dx dy
y=
x=
Z
E(X|Y = y)Y (y)dy.
=

Chng minh ca cng thc th nht hon ton tng t, v nhng

cho bn c lm bi tp. Cng thc th nht cng c th c suy t
cng thc th hai, bng cch thay bin ngu nhin X bng bin ngu
nhin Xx nh ngha bi: Xx = 1 khi X x v Xx = 0 khi X > x.
(Khi E(Xx ) = FX (x)).

V d 3.12. Xt vector ngu nhin lin tc (X, Y ) vi hm mt :

X,Y (x, y) = 1/x khi 0 < y x 1, v X,Y (x, y) = 0 ti cc im
khc. D thy rng, vi mi x c nh, 0 < x 1, phn b xc sut c
iu kin PY |X=x l phn b u trn on thng ]0, x], vi hm mt
168

Sputnik Education

3.6. Phn b normal nhiu chiu

bng 1/x trn on thng . Phn b xc sut bin PX l phn b
R1
u trn on ]0, 1]. T suy ra E(Y ) = 0 E(Y |X = x)X (x)dx =
R1
R1
E(Y
|X
=
x)dx
=
0 (x/2)dx = 1/4.
0

3.6
3.6.1

Phn b normal nhiu chiu

nh ngha ca phn b normal nhiu chiu

Phn b normal n chiu (n 2) l m rng ca khi nim phn

b normal trn R ln trng hp nhiu chiu, v ng vai tr rt
quan trng trong vic nghin cu cc qu trnh ngu nhin (m trong
khun kh ca quyn sch ny chng ta khng bn ti). V d n
gin nht ca phn b normal nhiu chiu l, nu Z1 , . . . , Zn l mt
b n bin ngu nhin c lp vi nhau v cng tun theo phn b
normal chun tc N (0, 1), th phn b ng thi ca (Z1 , . . . , Zn ),
vi hm mt ng thi
 P 2
x
1
exp i i ,
(x1 , . . . , xn ) =
2
( 2)n

(3.61)

l mt phn b normal nhiu chiu, gi l phn b normal nhiu

chiu chun tc. Tng t nh trong trng hp mt chiu, ta mun
rng mt bin i tuyn tnh (hay affine, tc l tuyn tnh cng vi
mt php tnh tin) ca mt phn b normal nhiu chiu cng l mt
phn b normal nhiu nhiu. Bi vy ta c nh ngha sau:
nh ngha 3.9. Ta ni rng mt vector ngu nhin X = (X1 , . . . , Xn )
c phn b normal n chiu, nu nh tn ti mt b m bin ngu
nhin Z = (Z1 , . . . , Zm ) c lp (m N), vi cc Zi cng tun theo
Sputnik Education

169

Chng 3. Vector ngu nhin

phn b normal chun tc N (0, 1), mt ma trn A = (aij )j=1,...,m
i=1,...,n v
mt vector = (1 , . . . , n ) (A v l hng s), sao cho:
Xt = A.Zt + t .

(3.62)

Ch t trong cng thc trn l php chuyn v ma trn, bin

cc vector hng thnh vector ct. Ni cch khc,
Xi =

m
X

aik Zk + i i = 1, . . . , n.

(3.63)

k=1

Tng t nh trong trng hp 1 chiu, cc phn b normal

nhiu chiu c th dng lm m hnh xc sut ca kh nhiu vn
thc t. V d, b 3 bin (chiu cao ca mt ngi n b, cn
nng ca ngi , ch s tr tu ca ngi ) c th c coi l 1
vector ngu nhin 3 chiu vi phn b normal 3 chiu. C s ton
hc gii thch iu ny cng l nh l gii hn trung tm.
V tng ca cc bin ngu nhin c lp vi phn b normal cng
l bin ngu nhin vi phn b normal, nn nu X = (X1 , . . . , Xn ) c
phn b normal n chiu, th cc thnh phn Xi ca n u c phn
b normal, tuy iu ngc li khng ng.
Ma trn i xng = A.At , trong A l ma trn trong nh
ngha trn, c gi l ma trn hip phng sai ca phn b normal
nhiu chiu trong nh ngha. L do l v phn t ij ca ma trn
chnh l hip phng sai cov(Xi , Xj ) ca Xi v Xj . Tht vy, theo
P
nh ngha, ta c Xi = k aik Zk + i , vi k vng bng i . T suy
P
P
P
ra cov(Xi , Xj ) = E(( k aik Zk )( k ajk Zk )) = k aik ajk = ij .
Vector c gi l vector k vng ca phn b normal nhiu
chiu trn. Mt phn b normal nhiu chiu c xc nh duy nht
170

Sputnik Education

3.6. Phn b normal nhiu chiu

bi ma trn hip phng sai v vector k vng ca n, v thng
c k hiu l N (, ).

3.6.2

Trng hp hai chiu

hiu hn v phn b normal nhiu chiu, trc ht chng ta

s xt k hn trng hp 2 chiu. Gi (X1 , X2 ) l mt vector ngu
nhin 2 chiu vi phn b normal. Theo nh ngha, ta c:
X1 =

m
X

a1i Zi + 1 , X2 =

i=1

m
X

a2i Zi + 1 ,

(3.64)

i=1

trong Z1 , . . . , Zm l mt b m bin ngu nhin lp c phn b

normal chun tc N (0, 1).
Ma trn hip phng sai trong trng hp ny l ma trn 2 2,
vi 4 phn t:
11 =

a21k , 12 = 21 =

a1k a2k , 22 =

a22k .

(3.65)

B 3.22. Nu ma trn hip phng sai l ma trn ng cho,

tc l 12 = 21 = cov(X1 , X2 ) = 0 th hai bin ngu nhin X1 v X2
c lp vi nhau.
Chng minh. C th kim tra trc tip theo nh ngha, hoc l
dng hm c trng, kim tra rng (X1 ,X2 ) (s1 , s2 ) = X1 (s1 ).X1 (s2 )
nu nh cov(X1 , X2 ) = 0. Ch rng, nu X1 , X2 l hai bin ngu
nhin ty , th t cov(X1 , X2 ) = 0 khng suy ra c rng X1 c
lp vi X2 . Nhng y X1 v X2 l hai thnh phn ca mt vector
ngu nhin vi phn b normal, nn iu ng.
Sputnik Education


171

Chng 3. Vector ngu nhin

Nu khng c dng ng cho (12 6= 0), th v i xng
nn ta c th ng cho ha n bng mt ma trn 2 2 vung gc
(orthogonal) C (vung gc c ngha l C 1 = C t ): 0 = C 1 C =
C t C l ma trn ng cho. t (Y1 , Y2 )t = C 1 .((X1 , X2 )t t ) =
(C 1 A).Zt . Khi (Y1 , Y2 ) c phn b normal, v c ma trn hip
phng sai bng (C 1 A)(C 1 A)t = C 1 C = 0 , l mt m trn
ng cho, v bi vy Y1 v Y2 c lp vi nhau. Ta c th vit
Y1 = 1 Z10 , Y2 = 2 Z20 , trong 1 v 2 l lch chun ca Y1 v
Y2 , v Z10 v Z20 c lp v c phn b normal chun tc N (0, 1). V
(X1 , X2 )t = C.(Y1 , Y2 )t + t ) nn ta c th vit:
(
X1 = a011 .Z10 + a012 .Z20 + 1
X2 = a021 .Z10 + a022 .Z20 + 2

(3.66)

C ngha l, trong trng hp vector 2 chiu, ta lun c th gi s

m = 2: sinh ra mt vector ngu nhin 2 chiu vi phn b normal
ty , ch cn bin i tuyn tnh mt vector ngu nhin 2 chiu vi
phn b normal chun tc.
Trng hp det = 0 gi l trng hp suy bin. Khi (t
nht) mt trong hai gi tr ring (eigenvalue) ca bng 0, suy ra
mt trong hai bin ngu nhin, Y1 v Y2 pha trn l hng s, v khi
thc ra ta ch cn mt bin ngu nhin vi phn b normal chun
tc N (0, 1) sinh ra vector (X1 , X2 ). Ni cch khc, trong trng
hp suy bin, ta c th vit
(

X1 = 1 Z + 1
X2 = 2 Z + 2

(3.67)

vi 1 , 2 l hng s, v Z l mt bin ngu nhin c phn b normal

172

Sputnik Education

3.6. Phn b normal nhiu chiu

chun tc N (0, 1). Phn b ng thi ca (X1 , X2 ) trong trng hp
suy bin tp trung trn ng thng 2 (x1 1 ) = 1 (x2 2 ) trong
R2 , v bi vy n khng c hm mt trn R2 .
Trng hp det 6= 0 gi l trng hp khng suy bin. Khi
phn b xc sut ca X = (X1 , X2 ) c hm mt sau:
X (x) =

1
1

exp( (x ).1 .(x )t ).

2
2 det

(3.68)

Tht vy, nu thay v xt h ta x = (x1 , x2 ) trn R2 , ta xt h ta

mi y = (y1 , y2 ), qua php bin i affine yt = C 1 .(xt t ), th
ta c
X (x) = Y (y)

(3.69)

(hm mt khng thay i, v php i bin bo ton din tch

Euclid), v
1
1 y2
y2
exp( ( 12 + 22 ))
21 2
2 1
2
1
1
exp( (y.(0 )1 .yt )
=
2
2 det 0
1
1
=
exp( (x ).1 .(x )t ).
2
2 det

Y (y) = Y1 (y1 )Y2 (y1 ) =

Cc ng mc ca hm mt X (x) ca phn b normal hai

chiu trn R2 l cc ng ellipse, vi tm im ti x = m (khng
im ca h ta (y1 , y2 )) v cc trc l cc trc ca h ta
(y1 , y2 ).
V d 3.13. Hm


1
1
2
2
exp
X,Y (x, y) =
(x 2rxy + y ) ,
2(1 r)2
2 1 r2
(3.70)
Sputnik Education

173

Chng 3. Vector ngu nhin

l hm mt ca mt phn b normal hai chiu (bivariate normal
distribution) vi tham s r, 1 < r < 1. Tham s r y chnh l h
s tng quan gia hai thnh phn X v Y . Cc phn b bin PX v
PY ca phn b normal hai chiu ny l cc phn b normal chun
tc N (0, 1). Ma trn hip phng sai y l m trn
=

1 r

r 1

(3.71)

Hai thnh phn X v Y y c lp vi nhau khi v ch khi r = 0.

3.6.3

Mt s tnh cht ca phn b normal nhiu chiu

nh l 3.23. i) Gi s mt vector ngu nhin n chiu X c phn b

normal. Khi phn b ca n c xc nh duy nht bi ma trn
hip phng sai v vector k vng ca n. Ni cch khc, hai phn
b normal n chiu c cng ma trn hip phng sai v vector k vng
th bng nhau.
ii) Nu hng ca ma trn hip phng sai bng k (k n), th X c
th c sinh bi mt h k bin ngu nhin c lp c phn b chun
N (0, 1) qua mt php bin i affine, v phn b ca X tp trung ti
mt khng gian affine con c s chiu bng k trn Rn .
iii) Nu ma trn hip phng sai l khng suy bin (tc l det 6= 0,
hay ni cch khc, hng ca bng n), th phn b normal N (, )
c hm mt X sau trn Rn ( y ta s dng cc k hiu X =
(X1 , . . . , Xn ) x = (x1 , . . . , xn ), v || = det ) :
X (x) =
174

1
(2)n/2 ||1/2

1
exp( (x ).1 .(x )t ).
2

Sputnik Education

(3.72)

3.6. Phn b normal nhiu chiu

Cc mt mc ca hm mt X l cc hnh ellipsoid ng dng c
tm im ti . Nu ma trn suy bin th phn b N (, ) khng c
hm mt .
P
iv) Vi mi c = (c1 , . . . , cn ) Rn , bin ngu nhin X = ni=1 ci Xi
Pn
2
c phn b normal N (, 2 ), vi = E(X) =
i=1 ci i , v =
P
P
var( ni=1 ci Xi ) = c..ct . (Nu var( ni=1 ci Xi ) = 0 th X l hng s,
c ngha l phn b xc sut ca X tp trung ti mt im).
v) Ngc li, gi s rng (X1 , . . . , Xn ) l mt vector ngu nhin vi
P
tnh cht: phn b xc sut ca ni=1 ci Xi l phn b normal (hoc l
tp trung ti mt im) vi mi (c1 , . . . , cn ) Rn . Khi , phn b xc
sut ng thi ca (X1 , . . . , Xn ) l mt phn b normal n chiu.
Trong mc trc, chng ta chng minh v c bn nh l trn
trong trng hp 2 chiu, tr khng nh cui cng. Trng hp tng
qut n chiu chng minh hon ton tng t trng hp 2 chiu.
Khng nh cui cng c th chng minh bng cch xt hm c
trng.

Bi tp 3.19. Chng minh rng phn b normal n chiu N (, ) c

hm c trng sau:

1
(s) = exp( 1.st s..st ).
2

(3.73)

Bi tp 3.20. Gi s X v Y l hai bin ngu nhin c lp tun

theo phn b normal chun tc N (0, 1). Tnh hm mt ca Z =
1 2
(X + Y 2 ).
2
Bi tp 3.21. Ta gi phn b Cauchy l phn b lin tc trn R vi
hm mt sau:
(x) =

1
.
(1 + x2 )

Sputnik Education

(3.74)
175

Chng 3. Vector ngu nhin

(Phn b ny khng c k vng, v khng c phng sai hu hn).
Chng minh rng nu Z1 v Z2 l hai bin ngu nhin c lp tun
theo phn b normal chun tc N (0, 1), th Z1 /Z2 c phn b Cauchy.
Bi tp 3.22. Gi s vector (X, Y ) c phn b normal 2 chiu vi
hm mt
X,Y (x, y) =

1
1
exp(
(x2 2rxy + y 2 )).
2
2(1

r)2
2 1 r

i) Chng minh rng X v Z = (Y rX)/(1 r2 )1/2 l cc bin ngu

nhin c lp c phn b normal chun tc N (0, 1).
ii) Suy ra t i) rng
P (X > 0, Y > 0) =

1
1
+
arcsin r.
4 2

iii) Chng minh rng vi mi y R, phn b xc sut c iu kin

PX|Y =y l mt phn b normal c phng sai khng ph thuc vo
im y, v tnh phng sai v k vng ca phn b c iu kin .

176

Sputnik Education

Chng 4

Cc nh l gii hn
4.1

nh l gii hn trung tm

nh l gii hn trung tm l c coi l nh l quan trng nht

ca xc sut thng k, hn tng ca thng k ton hc. N l mt
trong nhng nh l c trch dn s dng nhiu nht ca ton b
ton hc hin i ni chung.

4.1.1

nh l de Moivre Laplace

Tin thn ca nh gii hn trung tm tng qut l nh l sau

y ca de Moivre v Laplace v dng iu tim cn ca phn b xc
sut nh thc
Pn (k) =

n!
pk (1 p)nk
k!(n k)!

vi tham s p c nh, khi n tin ti v cng.

177

(4.1)

Chng 4. Cc nh l gii hn

Hnh 4.1: Abraham de Moivre (16671754)

nh l 4.1 (de Moivre Laplace). t

z = z(n, k) = (k np)/

p
np(1 p).

(4.2)

Khi
1
1
Pn (k) = p
exp( z 2 ).(1 + n (k)),
2
2 np(1 p)
trong n (k) hi t u n 0 khi n tin ti , c ngha l
lim sup n (k) = 0.

n k

178

Sputnik Education

(4.3)

4.1. nh l gii hn trung tm

nh l 4.1 lin quan cht ch n cng thc Sterling sau y
trong gii tch:
lim

n+

n!
2n

n n
e

= 1.

(4.4)

S dng cng thc Sterling, c th chng minh kh d dng nh l

de Moivre Laplace 4.1, v ngc li, cng thc Sterling cng c th
suy c ra t nh l 4.1. y chng ta s tm thi chp nhn
nh l 4.1 v cng thc Sterling m khng chng minh(1) .
Mt h qu trc tip v quan trng ca nh l 4.1 l nh l sau:
nh l 4.2 (de Moivre Laplace). Gi s X1 , X2 , . . . , Xn , . . . l cc
bin ngu nhin c lp c cng phn b xc sut Bernoulli: P (Xi =
1) = p, P (Xi = 0) = 1 p vi mi i. t Sn = X1 + . . . + Xn . Khi
vi mi cp s thc a < b ta c:

lim P

! Z
b
1
Sn pn
2
ex /2 dx.
b =
a p
2
np(1 p)
a

(4.5)

Chng minh. Theo gi thuyt, Sn c phn b nh thc P (Sn =

k pn
k) = Pn (k) = Cnk pk (n p)nk . t z = z(n, k) = p
. p
np(1 p)
(1)

Cc chng minh c in ca cng thc Sterling kh di. Nhng c th xem mt

chng minh ngn gn v n gin, da trn hm gamma v nh l hi t b chn

Lebesgue (nh l 2.8) trong bi bo sau: J. M. Patin, A very short proof of Sterlings
formula, The American Mathematical Monthly, Vol. 96 (1989), No. 1, pp 4142.

Sputnik Education

179

Chng 4. Cc nh l gii hn
dng nh l 4.1, ta c:
P

!
X
Sn pn
a p
b =
Pn (k)
np(1 p)
azb
X
1
1
=
n exp( z 2 ).(1 + n (k)), (4.6)
2
2
azb

1
bng bc nhy ca z trong tng pha
trong n = p
np(1 p)
trn. Bi vy, theo nh ngha tch phn Riemann, ta c
1
1
lim
n exp( z 2 ) =
n
2
2
azb
X

t suy ra iu phi chng minh.

1
2
ex /2 dx,
2

(4.7)

nh l 4.2 chnh l mt trng hp ring quan trng ca nh l

gii hn trung tm bn n mc sau.
V d 4.1. Tung mt ng tin 1000 ln, c 600 ln hin mt nga. Ta
c th coi ng tin l cn bng (hai mt sp v nga u c xc sut
hin ln l 1/2) c khng ? tr li cu hi , ta gi s l ng
tin cn bng. Khi ta c phn b nh thc vi n = 1000, p = 1/2,
p
pn = 500, np(1 p) 15, 1811 Gi k l s ln hin ln mt nga
trong s n = 400 ln tung. Theo nh l de
Laplace, ta c
! Moivre
Z 6,521
k np
99
1
2
ex /2 dx >
P (k 599) = P p

15, 1811
2
np(1 p)

0, 9999999999. iu c ngha l, nu ng xu cn bng, th xc sut

hin ln mt nga t nht 600 ln khi tung ng xu 1000 ln nh
hn 1/1010 . Kh nng xy ra iu l qu nh c th tin c l
ng xu cn bng.
180

Sputnik Education

4.1. nh l gii hn trung tm

Ghi ch 4.1. Abraham de Moivre (16671754) l mt nh ton hc
ngi gc Php, b bt i t nm 1688 v l do tn gio, sau di
tn sang London v cho n khi cht. c bu vo vin Hm
lm Hong gia Anh (Royal Society) nm 1697. Cng vi Newton v
Leibniz, de Moivre l mt trong nhng ngi u tin nghin cu
php tnh vi phn (differential calculus), m thi gi l method of
fluxions. Khi ngi ta hi Newton v method of fluxions, Newton c
khng nh l nn gp de Moivre v ng ta bit tt hn ti. nh
l de MoivreLaplace v dng iu tim cn ca phn b nh thc
u tin l do de Moivre pht hin v chng minh cho trng hp
p = 1/2 t nm 1733, sau n c Laplace m rng cho trng
hp p bt k. Ngoi l thuyt xc sut v php tnh vi phn, de Moivre
cn l mt trong nhng ngi u tin nghin cu l thuyt tp hp
v s phc. Cng thc (cos(x) + i sin(x))n = cos(nx) + i sin(nx) cho
s phc mang tn cng thc de Moivre.
Bi tp 4.1. Tnh xc sut ca s kin sau: tung mt con xc sc
(u) 6000 ln, s ln xut hin mt 6 l mt s 850 v 1050.

4.1.2

nh l gii hn trung tm

Gi s X1 , X2 , . . . , Xn , . . . l mt dy cc bin ngu nhin c lp

c cng phn b xc sut, vi k vng bng v lch chun bng
hu hn . nh l gii hn trung tm s cho chng ta bit v dng
iu tim cn ca phn b xc sut ca tng Sn = X1 + . . . + Xn , khi
n tin ti v cng. Trc khi xt dng iu tim cn ca Sn , chng ta
s chun ha n. Bi v nu nguyn, v gi s chng hn > 0,
th theo lut s ln, phn b xc sut ca Sn s b dn v pha v
Sputnik Education

181

Chng 4. Cc nh l gii hn
cng khi n tin ti v cng, v nh vy th n khng th tin ti mt
phn b cho trc no . Nhc h qu sau y ca s c lp ca
cc bin Xi :
E(Sn ) =

n
X

E(Xi ) = n, var(Sn ) =

i=1

t Zn =

n
X

var(Xi ) = n 2

(4.8)

i=1

Sn n
, ta c
n
E(Zn ) = 0, var(Zn ) = 1.

(4.9)

Sn n
,
n
ta c th a bin ngu nhin Sn v mt bin ngu nhin Zn c k

iu c ngha l, qua php bin i tuyn tnh Zn =

vng bng 0 v phng sai bng 1. Bin ngu nhin Zn ny c gi

l chun ha ca Sn , hay cn gi l tng chun ha ca X1 , . . . , Xn .
Sau khi chun ha nh vy, ta c th so snh dng iu ca phn
b ca Zn vi cc phn b chun ha khc (c cng k vng bng 0
v lch chun bng 1). nh l gii hn trung tm pht biu rng,
bt k phn b ban u (ca X1 ) ra sao, khi n ln th phn b ca
tng chun ha Zn c th c xp x rt tt bng phn b normal
N (0, 1), v khi n tin ti v cng th n tin ti N (0, 1). Ni mt cch
chnh xc hn:
nh l 4.3 (nh l gii hn trung tm). Gi s X1 , X2 , . . . , Xn , . . .
l mt dy cc bin ngu nhin c lp c cng phn b xc sut vi k
vng bng v lch chun bng hu hn. t
Zn =
182

Pn

i)
i=1 X

Sputnik Education

(4.10)

4.1. nh l gii hn trung tm

Khi vi mi a, b R, a < b, ta c:
Z

lim P (a Zn b) =

1
2
ex /2 dx.
2

(4.11)

Mt cch pht biu tng ng l:

nh l 4.4 (nh l gii hn trung tm). Gi s X1 , X2 , . . . , Xn , . . .
l mt dy cc bin ngu nhin c lp c cng phn b xc sut vi k
vng bng v lch chun bng hu hn. t Zn =

P
( n
Xi )n
i=1
.
n

Khi vi mi tp con A R thuc sigma-i s Borel, ta c:

Z
1
2
ex /2 dx = PN (0,1) (A).
lim PZn (A) = lim P (Zn A) =
n
n
2
A
(4.12)
Ghi ch 4.2. Nhiu nh ton hc ng gp vo nh l gii hn
trung tm: u tin l de Moivre trong th k 18, ri n Laplace,
Cauchy, Bessel, Poisson trong th k 19, ri n cc nh ton hc
Chebyschev, Markov, Lyapunov cui 19 u th k 20, ri n cc
nh ton hc ca th k 20 nh von Mises, Polya, Lindeberg, Cramr
pht trin v m rng n, v.v. Tn gi nh l gii hn trung tm
(ting c: zentraler Grenzwertsatz) l do George Polya a ra nm
1920 trong mt bi bo nhan nh vy. Mt iu th v l Alan
Turing (mt trong nhng cha t ca tin hc hin i) cng vit lun
n v nh l gii hn trung tm vo nm 1934, trc khi pht hin
ra rng kt qu ca mnh c Lindeberg lm ra t nm 1922.
Ngi u tin pht biu v chng minh nh l gii hn trung tm
cho mt phn b tng qut c l l Alexandr Mikhailovich Lyapunov
(18571918), mt nh ton hc ngi Nga, hc tr ca Chebyschev,
Sputnik Education

183

Chng 4. Cc nh l gii hn

Hnh 4.2: Alexandr M. Lyapunov (18571918)

vo nm 1901. Ngoi cng trnh v xc sut, Lyapunov cn ni ting

v cc cng trnh trong phng trnh vi phn v s n nh ca cc
h ng lc (n nh Lyapunov, cc ly tha Lyapunov, v.v.).
Bi tp 4.2. Mt nh my sn xut dy xch bng thp, mi dy gm
nhiu mt xch. di ca cc mt xch c nh ngha sao cho
184

Sputnik Education

4.1. nh l gii hn trung tm

di ca dy xch bng tng di cc mt xch. Phng nghin cu
ca nh my o thy di cc mt xch l mt bin ngu nhin X
c k vng l 5cm v lch chun l 0,1cm. Nh my bn loi dy
xch di 50m, v yn tm v di, xy xch c ni bng
1002 mt xch. Nh my cam oan rng khng c dy xch no loi
ny di di 50m, v nu khch hng no mua phi dy di di
50m th c n tin v c tng mt dy khc min ph.
i) c lng xc sut sao cho mt dy xch vi 1002 mt xch c
di di 50m.
ii) Sau mt thi gian, b phn bn hng ca nh my thy c nhiu
dy xch di di 50m b tr li, v hi phng nghin cu xem vn
nm u. Sau khi iu tra, phng nghin cu pht hin l o
khng tht chnh xc: k vng ca chiu di mt xch khng phi l
5cm m l 4,993cm. Vi k vng ny, xc sut mt dy xch vi
1002 mt xch c di di 50m l bao nhiu ?
Bi tp 4.3. i) Chng minh rng tng ca n bin ngu nhin c lp
c phn b Poisson vi tham s 1 l mt bin ngu nhin c phn b
Poisson vi tham s n.
ii) Dng kt qu trn v nh l gii hn trung tm chng minh
khng nh sau:
lim P (Xn n) = 1/2,

trong Xn l bin ngu nhin c phn b Poisson vi tham s n, v

t suy ra:


n2
nn
1
n
... +
= .
lim en 1 + +
n
1!
2!
n!
2
Sputnik Education

185

Chng 4. Cc nh l gii hn

4.1.3

Gii hn ca dy hm c trng

chng minh nh l gii hn trung tm, chng

P ta s xt cc
( ni=1 Xi ) n

hm c trng Zn ca cc tng chun ha Zn =

,
n
trong X1 , X2 , . . . , Xn , . . . l mt dy cc bin ngu nhin c lp
c cng phn b xc sut vi k vng bng v lch chun bng
hu hn.
Mnh 4.5. Vi mi s R ta c
lim Zn (s) = exp(s2 /2).

(4.13)

Chng minh. Theo cng thc bin i hm c trng khi bin

i bin ngu nhin mt cch tuyn tnh (xem khng nh iii) ca
nh l 2.18), v cng thc tnh hm c trng ca mt tng cc bin
ngu nhin c lp (xem khng nh iv) ca inh l 3.6) , ta c:




s
1n
P
n

s i=1 Xi
Zn (s) = exp
n
n

Y


n
1n
s

= exp
s
Xi
n
n
i=1



n
1n
s

= exp
s
X1
,
n
n
do




s
1n

s + n ln X1
ln(Zn (s)) =
n
n

= 1nt + n ln(X1 (t)), (4.14)

s
. Khi n tin ti th t tin ti 0. Hm X1 (t)
n

kh vi lin tc 2 ln v c X1 (0) = 1, 0X1 (0) = 1, 00X1 (0) =

trong t =

186

Sputnik Education

4.1. nh l gii hn trung tm

E(X12 ) = ( 2 + 2 ). (Xem nh l 2.18). Do hm ln X1 cng
kh vi lin tc hai ln trong ln cn ca 0, v ln X1 (0) = 0, (ln X1 )0 (0) =

1, (ln X1 )00 (0) = 2 Theo cng thc khai trin TaylorLagrange,

ta c:
ln(X1 (t)) =

1
1t 2 t2 + o(t2 ),
2

trong o(t2 ) l k hiu Landau: o(t2 )/t2 tin ti 0 khi t tin ti 0.

Do

1
ln(Zn (s)) = 1nt + n( 1t 2 t2 + o(t2 ))
2
1
1
= n 2 t2 + no(t2 ) = s2 + no(t2 ).
2
2
Khi n tin ti v cng th no(t2 ) =

s2
o(t2 )/t2
2

tin ti 0, do

lim Zn (s) = exp( lim ln(Zn (s)))

1
1
= exp( lim s2 + no(t2 )) = exp( s2 ),
n 2
2
l iu phi chng minh.

Nhc li rng hm (s) = exp(s2 /2) chnh l hm c trng

ca phn b normal chun tc N (0, 1). nh l gii hn trung tm
4.3 suy ra trc tip t Mnh 4.5 v mnh sau:
Mnh 4.6. Gi s c mt dy bin ngu nhin Zn vi cc hm
c trng Zn tng ng sao cho, vi mi s R, Zn (s) hi t n
(s) = exp(s2 /2) khi n tin ti v cng. Khi vi mi a, b R,
a < b, ta c
Z
lim P (a Zn b) =

1
2
ex /2 dx.
2

Sputnik Education

(4.15)

187

Chng 4. Cc nh l gii hn
Mnh trn l mt trng hp ring ca nh l lin tc 4.11 v
tiu chun hi t yu ca cc phn b xc sut, m chng ta s bn
n trong phn sau.

4.2
4.2.1

Hi t yu v cc kiu hi t khc
Hi t yu v hi t theo phn phi

nh ngha 4.1. Mt dy phn b xc sut Pn (hay mt dy hm phn

phi xc sut Fn tng ng) c gi l hi t yu n mt phn b
xc sut P (hay n mt hm phn phi xc sut F tng ng) nu
chng tha mn iu kin sau: Vi mi im lin tc x R ca F
(tc l P (x) = 0), ta c
lim Fn (x) = F (x).

(4.16)

Chng ta c th k hiu s hi t yu nh sau:

w

Pn P , Fn F .

(4.17)

Ch w pha trn c ngha l yu (weak ting Anh). Hi t yu l

kiu hi t hay dng nht cho cc thng k xc sut. Bi vy khi ta
vit limn Pn = P ta s hiu l gii hn yu, tc l Pn hi t
yu n P . V d sau cho thy v sao, trong nh ngha trn, ta ch
yu cu limn Fn (x) = F (x) khi x l im lin tc ca F (x).
V d 4.2. Gi s (cn )nN l mt dy s thc tin ti mt s thc
c khi n tin ti v cng. Gi s thm rng cn > c vi mi n. Gi
Pn (hay P ) l phn b xc sut ca hng s cn (hay c ), tc l
188

Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

phn b xc sut ri rc tp trung ti im cn (hay c ): Pn (cn ) = 1
(hay P (c ) = 1). Khi ta mun ni mt cch t nhin rng Pn
hi t n P khi n tin ti v cng. Tuy nhin Fn (c ) = Pn (]
, c ]) = 0 vi mi n trong khi F (c ) = 1, v bi vy iu kin
limn Fn (x) = F (x) khng tha mn ti im x = c (l im
gin on ca hm phn phi xc sut F ). Ti cc im x 6= c th
iu kin ny c tha mn. Bi vy, trong v d ny, c c
s hi t ca dy phn b (Pn )nN n P , ta phi dng hi t yu,
nh c nh ngha trn.
Cc phn b xc sut ri rc c th hi t yu n cc phn b
xc sut lin tc, v ngc li, cc phn b xc sut lin tc cng c
th hi t yu n cc phn b xc sut ri rc.
V d 4.3. i) Vi mi n N, gi Pn l phn b xc sut u trn on
thng [0, 1/n] (vi hm mt bng n trn on thng ). Khi n
tin ti v cng, th Pn hi t yu n phn b ri rc P tp trung
ti im 0: P (0) = 1.
ii) Vi mi n N, gi Pn l phn b xc sut ri rc tp trung
ti n im 1/n, 2/n, . . . , 1 vi cc xc sut bng nhau v bng 1/n:
Pn (1/n) = Pn (2/n) = . . . = Pn (1) = 1/n. Khi n tin ti v cng, th
Pn hi t yu n phn b u trn on thng [0, 1].

nh ngha 4.2. Mt dy bin ngu nhin Zn c gi l hi t theo

phn phi xc sut n mt bin ngu nhin Z (hay cn gi l hi t
theo phn phi n phn b xc sut ca Z), nu nh dy phn b xc
sut PZn ca Zn hi t yu n phn b xc sut PZ .
Sputnik Education

189

Chng 4. Cc nh l gii hn
Chng ta s k hiu s hi t theo phn phi nh sau:
d

Zn Z,

(4.18)

(4.19)

hoc l
Zn PZ .

Ch d c ngha l distribution, tc l phn phi (hay phn b) xc

sut.
V d 4.4. Gi s Xn l bit ngu nhin ri rc nhn hai gi tr 1/n
v 1 1/n vi cc xc sut tng ng P (Xn = 1/n) = (n + 1)/2n v
P (Xn = 1 1/n) = (n 1)/2n. Khi Xn hi t theo phn phi n
bin ngu nhin X vi phn b Bernoulli: P (X = 0) = P (X = 1) =
1/2.
V phn b normal chun tc N (0, 1) l mt phn phn b lin
d
n R b
tc, nn Zn N (0, 1) khi v ch khi FZn (b) exp(x2 /2)dx
vi mi x R. Bi vy nh l gii hn trung tm c th c pht
biu li nh sau:
nh l 4.7 (nh l gii hn trung tm). Gi s X1 , X2 , . . . , Xn , . . .
l mt dy cc bin ngu nhin c lp c cng phn b xc sut
vi
P k vng bng v lch chun bng hu hn. Gi Zn =
( ni=1 Xi ) n

l tng chun ha ca X1 , . . . , Xn . Khi

n
d

Zn N (0, 1)

(4.20)

khi n tin ti v cng.

Bi tp 4.4. Chng minh rng mt dy phn b xc sut normal
N (n , n2 ) hi t yu khi v ch khi hai dy s (n ) v n hi t.
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4.2. Hi t yu v cc kiu hi t khc

Bi tp 4.5. Chng minh rng mt dy phn b xc sut Pn hi t
yu n mt phn b xc sut P khi v ch khi vi mi on thng
m ]a, b[ ta c lim inf Pn (]a, b[) P (]a, b[).
n

Bi tp 4.6. Gi s rng Xn c phn b hnh hc vi tham s 1/n.

Chng minh rng
Xn d
Y
n
khi n tin ti v cng, trong Y c phn b m vi tham s 1.
Bi tp 4.7. Gi s X1 , X2 , . . . l mt dy cc bin ngu nhin c
lp c phn b u U (0, 1). t
Yn = n(1 max(X1 , X2 , . . . , Xn )).
Chng minh rng Yn hi t theo phn phi xc sut n X, trong
X c phn b m vi tham s 1.

4.2.2

Cc metric trn khng gian cc phn b xc sut

V mt trc gic, khi chng ta ni rng phn b xc sut P1 gn

bng phn b xc sut P2 c ngha l khong cch gia P1 v P2 nh.
Nhng pht biu iu mt cch chnh xc, ta cn nh ngha
khong cch y l g. C nhiu cch nh ngha khc nhau, cho ra
cc kt qu khc nhau, trn khng gian cc phn b xc sut. y
chng ta s bn n 3 cch trong s cc cch nh ngha.
nh ngha 4.3. Gi s PX v PY l hai phn b xc sut trn R, vi
cc hm phn phi xc sut tng ng FX v FY .
i) Khong cch L1 (vi hch nhn e|x| ) gia PX v PY l i lng
Z
d1 (PX , PY ) =
|FX (x) FY (x)|e|x| dx.
(4.21)

Sputnik Education

191

Chng 4. Cc nh l gii hn
ii) Khong cch LvyProkhorov gia PX v PY l i lng
dLP (PX , PY ) = inf{ > 0 | PX (A) PY (A ) + v
PY (A) PX (A ) + A B(R)}, (4.22)
trong B(R) l i s Borel trn R, v
A = {x R | y A sao cho |x y| < }

(4.23)

l ln cn ca A trong R.
iii) Khong cch KolmogorovSmirnov gia PX v PY l i lng
dKS (PX , PY ) = sup |FX (x) FY (x)|.

(4.24)

xR

Nhc li rng, mt metric trn mt khng gian V l mt nh x

d : V V R tha mn cc tnh cht sau:
i) Dng tnh: d(u, v) 0 vi mi u, v V , v d(u, v) = 0 khi v ch
khi u = v.
ii) i xng: d(u, v) = d(v, u) vi mi u, v V .
iii) Bt ng thc tam gic: d(u, v) + d(v, w) d(u, w) vi mi
u, v, w V.
Mt khng gian V vi mt metric d trn c gi l mt khng
gian metric, v d(u, v) c gi l khong cch gia u v v (theo
metric d). Mt khng gian vi mt metric d trn th tr thnh mt
khng gian tp, trong s hi t ca mt dy im (un )nN n
mt im u (theo metric d) c ngha l d(un , u ) tin ti 0 khi n
tin ti v cng.
D dng kim tra rng, c ba nh ngha khong cch d1 , dLP v
dKS pha trn u tha mn cc tin ca mt metric, do ta c
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Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

3 metric khc nhau trn khng gian cc phn b xc sut trn R, ng
vi 3 nh ngha khong cch ny. Quan h gia 3 metric d1 , dLP v
dKS nh sau:
nh l 4.8. Hai metric d1 v dLP tng ng vi nhau v tp
(cho cng mt tp trn khng gian cc phn b xc sut trn R)
, ngha l lim d1 (Pn , P ) = 0 khi v ch khi lim dLP (Pn , P ) =
n

0. Metric mnh dKS mnh hn hai metric d1 v dLP , ngha l nu

lim dKS (Pn , P ) = 0 th lim d1 (Pn , P ) = 0 v lim dLP (Pn , P ) =

0, nhng khng nh ngc li khng ng.

Khng nh dKS mnh hn d1 kh l hin nhin: d dng thy
rng
Z

d1 (P1 , P2 ) dKS (P1 , P2 ).

e|x| dx = 2dKS (P1 , P2 )

vi hai phn b xc sut P1 , P2 bt k trn R. Dy phn b xc sut

trong v d 4.2 cho thy dKS thc s mnh hn d1 , tc l c th c
d1 (Pn , P ) tin ti 0 trong khi dKS (Pn , P ) khng tin ti 0 khi n
tin ti v cng. S tng ng tp ca d1 v dLP l mt bi tp
gii tch th v dnh cho bn c. nh ngha d1 n gin hn nh
ngha dLP . Nhng li th ca dLP nm tnh tng qut ca n: n
dng c cho khng gian cc phn b xc sut trn mt khng gian
metric bt k. Ch thm rng, hm e|x| trong nh ngha metric d1
c chn mt cch kh ty tin. Nu ta thay hm bng mt hm
khc, tho mn cc tnh cht b chn lin tc dng c tch phn trn
R hu hn, th ta c mt nh ngha metric khc, tng ng v
mt t p vi metric d1 .
Sputnik Education

193

Chng 4. Cc nh l gii hn
nh l 4.9. Mt dy cc phn b xc sut Pn hi t theo metric
d1 (hay l metric dLP ) n mt phn b xc sut P (c ngha l
limn d1 (Pn , P ) = 0) khi v ch khi Pn hi t yu P khi n tin ti
v cng. Ni cch khc, s hi t yu trng vi s hi t theo metric d1
v trng vi s hi t theo metric Lvy-Prokhorov.
Chng minh.
i)iu kin cn. Gi s c mt im lin tc x0 ca F sao cho
Fn (x0 ) khng hi t n F (x0 ). Khi tn ti mt hng s c > 0 v
mt dy s t nhin nk tin ti v cng sao cho |Fnk (x0 )F (x0 )| >
c vi mi k N. Ta s gi s F (x0 )Fnk (x0 ) > c vi mi k. (Trng
hp c th chn Fnk (x0 ) F (x0 ) > c vi mi k hon ton tng
t). Do tnh lin tc ca F ti x0 , tn ti > 0 nh sao cho
F (x0 ) F (x) < c/2 vi mi x [x0 , x0 ]. Do cc hm phn b
xc sut l hm tnh tin tng, ta c Fnk (x) Fnk (x0 ) vi mi x
[x0 , x0 ], t suy ra F (x)Fnk (x) > c/2 vi mi x [x0 , x0 ],
Rx
v do tn ti mt hng s dng C = x00 (c/2)e|x| dx > 0, sao
cho d(Pnk , P ) > C vi mi k. iu c ngha l d(Pn , P ) khng
tin ti 0 khi n tin ti v cng.
ii) iu kin . Gi s F (x) = limn Fn (x) ti mi im
lin tc ca F . Gi s  > 0 l mt s dng ty . Nhc li rng
hm F l mt hm n iu khng gim b chn, v tp cc im
khng lin tc ca F l hu hn hoc m c. Ta c th chn
mt dy hu hn x0 < x1 < . . . < xN cc im lin tc ca F sao
R x0 |x|
R
cho
e
dx < , xN e|x| dx < , v vi mi k = 0, 1, . . . , N
1 ta c hoc l 0 F (xk+1 ) F (xk ) < /(xN x0 ) hoc l
0 < xk+1 xk < /N . Gi I l tp cc ch s k tha mn 0
194

Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

F (xk+1 ) F (xk ) < /(xN x0 ), v t J = {0, . . . , N 1} \ I .
Do dy hm s Fn tin ti F ti cc im x0 , . . . , xN , tn ti mt
s t nhin K sao cho vi mi n K v mi i = 0, 1, . . . , N ta c
|Fn (xi ) F (xi )| < /(xN x0 ). Nu k I th t cc bt ng thc
ny cng vi bt ng thc 0 F (xk+1 ) F (xk ) < /(xN x0 )
v s n iu khng gim ca Fn v F suy ra bt ng thc sau:
|Fn (x) F (x)| < 2/(xN x0 ) x [xk , xk+1 ]
(vi mi k I). Ta chia d(Pn , P ), vi mi n K, thnh 3 phn:
Z

d(Pn , P ) =

|Fn (x) F (x)|e|x| dx = An + Bn + Cn ,

vi
x0

Z
An =
R

|Fn (x) F (x)|e|x| dx+

(x) F (x)|e|x| dx < 2,

xN |FnZ
X xi+1
Bn =
|Fn (x) F (x)|e|x| dx <
kI

<

Cn =

R xN
x0

2
xN x0 dx

= 2,

|Fn (x) F (x)|e|x| dx

kJ

xi

R xi+1

2
kIZ xi
xN x0 dx
x
i+1
X

xi

kJ (xk+1

xk ) N maxkJ (xk+1 xk ) < N N = .

Tng cng li, ta c d(Pn , P ) < 5, vi mi n ln. V  l ty ,

nn lim d(Pn , P ) = 0.

Bi tp 4.8. Chng minh s tng ng v tp ca metric d1 v

metric dLP .
Sputnik Education

195

Chng 4. Cc nh l gii hn

4.2.3

nh l tin compact ca Prokhorov

nh ngha 4.4. Mt dy cc phn b xc sut (Pn )nN c gi l

cht (tight) nu nh vi mi  > 0 tn ti R R+ sao cho
Pn ([R , R ]) > 1  n N.

(4.25)

Ni mt cch nm na, iu kin cht l iu kin xc sut khng

b dn tri v v cng khi n tin ti v cng.
nh l 4.10 (Prokhorov). Gi s (Pn )nN l mt dy phn b xc
sut trn R tha mn iu kin cht. Khi tn ti mt dy con
(Pkn )nN (kn khi n ) hi t yu n mt phn b xc
sut no .
Tnh cht mi dy im (ca mt tp no ) u c mt dy
con hi t gi l tnh cht tin compact (pre-compact). Bi vy nh
l trn ca Prokhorov c gi l nh l tin compact.
S lc chng minh. Ly mt tp tr mt m c trn R (v
d nh tp hp Q cc s hu t), v nh s th t cc s trong tp
thnh mt dy s (am )mN . C th xy dng bng qui np theo m
mt dy con (Pkn )nN ca dy phn b xc sut (Pn )nN tha mn
tnh cht sau: dy s Fkn (am ) hi t vi mi m N, trong Fkn l
cc hm phn phi xc sut tng ng. Xy dng hm F nh sau:
t Q(am ) = limn Fkn (am ), v F (x) = inf{Q(am )|am > x} vi
mi x R. D thy hm F tha mn cc tnh cht n iu khng
gim v lin tc bn phi. Tnh cht cht ca dy (Pkn )nN m bo
rng F (x) tin ti 0 khi x tin ti v tin ti 1 khi x tin ti
+. Bi vy n l hm phn phi ca mt phn b xc sut P no
196

Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

. Bc cui cng l kim tra rng Pkn hi t yu ti P . (Bi tp:
Lm chi tit cc bc chng minh).

Ghi ch 4.3. nh l Prokhorov v metric Lvy-Prokhorov l gi theo

tn ca Yuri Vasilevich Prokhorov (sinh nm 1929), mt nh ton hc
Nga X Vit chuyn v xc sut, hc tr ca Kolmogorov, vin s vin
hn lm khoa hc Lin X t nm 1972 (nay l vin hn lm khoa
hc Nga).

4.2.4

nh l lin tc

nh l 4.11 (nh l lin tc). Gi s c mt phn b xc sut P

v mt dy phn b xc sut Pn trn R. Khi ba iu kin sau y
tng ng vi nhau:
1) Dy phn b xc sut Pn hi t yu n P khi n tin n v cng.
2) Vi mi hm lin tc v b chn F trn R ta c
Z
Z
F dPn =
F dP .
lim
n R

(4.26)

3) Gi n v l cc hm c trng tng ng ca Pn v P . Khi

vi mi s R ta c
lim n (s) = (s).

(4.27)

Chng minh. iu kin 1) suy ra iu kin 2): Gi s iu kin

1) c tha mn, v gi s F l mt hm lin tc b chn: tn ti
mt s thc dng M sao cho |F (x)| M vi mi x R. Gi  > 0
l mt s dng bt k. Chng ta s chng minh rng
Z

Z


 F dPn
<
F
dP

(4.28)

Sputnik Education

197

Chng 4. Cc nh l gii hn
vi mi n ln. Tn ti R R+ sao cho R v R l hai im lin
tc ca F , v

F (R) < /6M , F (R) > 1 /6M.

(4.29)

Khi , vi mi n ln, ta cng c Fn (R) < /6M v Fn (R) >

1 /6M. V gi tr tuyt i ca F b chn bi M , nn t ta c
Z





F dP  < /6 ,

 ],R]


Z





F dP  < /6,

 ]R,+[


(4.30)

Z





F dPn  < /6

 ]R,+[


(4.31)

v
Z





F dPn  < /6 ,

 ],R]


vi mi n ln. Nh vy, chng minh bt ng thc 4.28, ta ch

cn chng minh rng

Z
Z




F dPn
F dP  < /3

 ]R,R]

]R,R]

(4.32)

vi mi n ln. V hm F lin tc, nn n lin tc u trn on

thng [R, R]. Bi vy tn ti mt dy s a0 = R < a1 < . . . <
aN = R, sao cho cc s ai u l cc im lin tc ca F , v trn
mi on thng [ai1 , ai ] dao ng ca F nh hn /6 : |F (x)
198

Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

F (ai )| < /9 vi mi x [ai1 , ai ]. T suy ra
Z

N


X


F dPn
F (ai )(Fn (ai ) Fn (ai1 ))

 ]R,R]

i=1


N Z
X



=
(F F (ai ))dPn 


]ai1 ,ai ]
i=1

N Z
X
i=1

|F F (ai )|dPn <

]ai1 ,ai ]

N Z
X
i=1

(/9)dPn

]ai1 ,ai ]

Z
1dPn /9 (4.33)

= (/9)
]R,R]

vi mi n, v mt bt ng thc nh vy cho P . Ch rng cc

im ai l cc im lin tc ca F , do Fn (ai ) tin ti F (ai ) khi
n tin ti v cng vi mi i = 1, . . . , N. Bi vy vi mi n ln ta
c


N
N

X
X


F (ai )(Fn (ai ) Fn (ai1 ))
F (ai )(F (ai ) F (ai1 )) < /9.



i=1
i=1
(4.34)
Kt hp cc bt ng thc trn li vi nhau, ta c iu phi chng
minh .
iu kin 2) suy ra iu kin 3): iu kin 3) chng qua l trng

hp ring ca iu kin 2) cho cc hm s Fs (x) = exp( 1sx), bi

v, theo nh ngha,

X (s) = E(exp( 1sX)) =

exp( 1sx)dPX

(4.35)

vi mi phn b xc sut PX (vi mt bin ngu nhin X tng ng).

iu kin 3) suy ra iu kin 1): (S lc chng minh). Gi s
limn n (s) = (s) vi mi s R. Nhc li rng cc hm c
Sputnik Education

199

Chng 4. Cc nh l gii hn
trng ca cc phn b xc sut l b chn bi 1: |n (s)| 1 vi mi
s R. Bi vy, theo nh l hi t b chn Lebesgue, ta c
Z 
Z 
lim
n (s)ds =
(s)ds
n 

(4.36)

vi mi  > 0. Mt khc, ta c bt ng thc sau:

B 4.12. Vi mi bin ngu nhin X, v mi s  > 0 ta c:

 Z 

1
2 2
PX ([ , ]) 
X (s)ds 1.
(4.37)
 
 
Ch rng v phi ca bt ng thc (4.37) tin ti 1 khi  tin
ti 0. T bt ng thc ny v cng thc gii hn (4.36) d dng suy
ra rng dy phn b xc sut (Pn ) tha mn iu kin cht. Bi vy,
theo nh l tin compact ca Prokhorov, tn ti mt dy con Pkn hi
t yu n mt phn b xc sut P no . Nh chng minh
trn, khi Pk hi t n P , th k cng hi t n hm c trng
n

ca P ti mi im. Th nhng n hi t n , bi vy hm t
trng ca P chnh l . V mi phn b xc sut c xc nh duy
nht bng hm c trng ca n, nn P chnh l P . C ngha l c
mt dy con ca (Pn ) hi t yu n P . Nhng khi , ton b dy
(Pn ) phi hi t yu n P , v nu khng, tng t nh trn, s
dng nh l Prokhorov, ta s tm c mt dy con ca (Pn ) hi t
yu n mt phn b xc sut P khc P , nhng P li c hm c
trng trng vi hm c trng ca P , l iu khng th xy ra. 
Ghi ch 4.4. nh l pha trn c gi l nh l lin tc, v n khng
nh rng nh x t cc hm c trng vo cc phn b xc sut
tng ng l mt nh x lin tc. N l mt phn ca nh l lin
200

Sputnik Education

4.2. Hi t yu v cc kiu hi t khc

tc ca Paul Pirre Lvy (1886-1971), mt nh ton hc ngi Php.
Lvy l ngi a ra nhiu khi nim quan trng trong l thuyt xc
sut, trong c khi nim martingale. nh l lin tc ca Lvy pht
biu nh sau:
nh l 4.13 (Lvy). Gi s cc hm c trng Xn ca cc bin ngu
nhin Xn (n N) tin ti mt hm ti mi im trn R (hi t theo
tng im). Khi cc khng nh sau y l tng ng:
i) Xn hi t theo phn phi xc sut n mt bin ngu nhin X no
.
ii) Dy cc phn b xc sut (PXn )nN tha mn iu kin cht.
iii) l hm c trng ca mt bin ngu nhi X no .
iv) l mt hm lin tc trn R.
v) Hm (s) lin tc ti im s = 0.
Bi tp 4.9. (Chng minh b 4.12). Chng minh ng thc sau
1
2

sin(x)
dPX
x
xR
Z
sin(x)
sin(x)
dPX +
dPX
x
x
|x|2/
|x|>2/

X (s)ds =

Z
=

(4.38)

vi mi bin ngu nhin X. (Gi : dng nh ngha ca hm c

trng, v cng thc thay i th t tnh tnh phn Fubini). Sau p
dng cc bt ng th | sin(t)/t| 1 vi mi t R v | sin(t)/t| 1/2
vi mi |t| 2, t R vo ng thc trn, suy ra bt ng thc
(4.37).
Sputnik Education

201

Chng 4. Cc nh l gii hn

4.2.5

Cc kiu hi t khc ca dy bin ngu nhin

Ngoi hi t theo phn phi (l kiu hi t trong nh l gii hn

trung tm), chng ta gp nhng kiu hi t sau y: hi t theo
xc sut (l kiu hi t trong dng yu ca lut s ln), v hi t hu
nh chc chn (l kiu hi t trong dng mnh ca lut s ln)
nh ngha 4.5. Mt dy bin ngu nhin Xn c gi l hi t theo
xc sut n mt bin ngu nhin X nu nh vi mi  > 0 ta c
lim P (|Xn X| > ) = 0.

(4.39)

nh ngha 4.6. Mt dy bin ngu nhin Xn c gi l hi t hu

nh chc chn n mt bin ngu nhin X nu nh
P ({ | lim Xn () = X()}) = 1,
n

(4.40)

trong k hiu khng gian xc sut chung ca cc bin ngu nhin

Xn v X, v k hiu cc phn t ca , tc l cc s kin thnh
phn.
S hi t hu nh chc chn cn c gi l s hi t hu khp
mi ni.
Ngoi ra, c mt loi hi t khc hay c dng n, l hi t
theo chun Lk (k 1 khng nht thit phi l s nguyn; trng hp
hay dng nht l k = 2):
nh ngha 4.7. i lng (E(|X|k ))1/k c gi l chun Lk ca
mt bin ngu nhin X. Mt dy bin ngu nhin Xn c gi l hi
202

Sputnik Education

4.3. Phn b 2 v nh l Pearson

t theo chun Lk (hay cn gi l hi t theo trung bnh cp k) n
mt bin ngu nhin X nu nh
lim E(|Xn X|k ) = 0.

(4.41)

nh l 4.14 (Quan h gia cc kiu hi t). i) Nu k1 > k2 1, th

s hi t theo chun Lk1 mnh hn s hi t theo chun Lk2 . C ngha
l, nu Xn hi t theo chun Lk1 th n cng hi t theo chun Lk2 .
(iu ngc li ni chung khng ng).
ii) Vi mi k 1, s hi t theo chun Lk mn hn s hi t theo xc
sut.
iii) S hi t hu nh chc chn mnh hn s hi t theo xc sut.
iv) S hi t theo xc sut mnh hn s hi t theo phn phi.
Ghi ch 4.5. S hi t theo chun Lk khng suy ra s hi t hu
nh chc chn, v ngc li s hi t hu nh chc chn cng khng
mnh hn s hi t theo chun Lk .

4.3

Phn b 2 v nh l Pearson

Phn b ki bnh phng (2 , chi-square) vi tham s r N l

phn b xc sut ca bin ngu nhin 2r nh ngha nh sau:
2r = Z12 + . . . Zr2 ,

(4.42)

trong Z1 , . . . , Zr l mt b r bin ngu nhin c lp tun theo

phn b normal chun tc N (0, 1). Tham s r y c gi l s
bc t do. Chng hn khi r = 3 th ngi ta ni l c 3 bc t do (3
degrees of freedom).
Sputnik Education

203

Chng 4. Cc nh l gii hn
Phn b 2 hay xut hin trong nhng bi ton thng k, m
chng ta s xt n chng sau. N lin quan n vic c lng
phng sai ca mt phn b xc sut normal. ng thi, n ng vai
tr rt quan trng trong vic kim nh cc gi thuyt v dng iu
cc phn b xc sut, qua ci gi l kim nh 2 (chi-square test).
C s ca kim nh 2 l nh l gii hn sau y ca Karl Pearson:
nh l 4.15 (Pearson). Gi s X l mt bin ngu nhin nhn hu
hn cc gi tr x1 , . . . , xs vi cc xc sut PX (xi ) = pi > 0 tng ng
P
( si=1 pi = 1). Gi s X1 , X2 , . . . , Xn , . . . l mt dy cc bin ngu
nhin c lp v c cng phn phi xc sut vi X. Vi mi n, gi
i = i,n l bin ngu nhin sau: i l s ln xut hin gi tr xi trong
P
dy X1 , . . . , Xn . ( si=1 i = n). Khi
k
X
(i npi )2
i=1

tc l bin ngu nhin

npi

s
X
(i npi )2
i=1

npi

2s1 ,

(4.43)

hi t theo phn phi n 2s1 ,

khi n tin ti v cng.

Ghi ch 4.6. Trong trng hp s = 2, v cho tin gi s x1 = 1,
x2 = 0 (cc gi tr ca xi khng quan trng, ch c xc sut ca
chng l quan trng trong nh l Pearson), ta c: X tun theo phn
P
b Bernoulli vi tham s p = p1 = E(X), 1 p = p2 , 1 = ni=1 Xi ,
2 = n 1 , v
(1 np1 )2 (2 np2 )2
(1 np)2 (1 np)2
+
=
+
np1
np2
pn
(1 p)n
P

2
n
(1 np)2
i=1Xi nE(X)
=
=
.
p(1 p)n
n(X)
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4.3. Phn b 2 v nh l Pearson

Pn

nE(X) d
Z1 (trong
n(X)
Z1 c phn b normal chun tc N (0, 1)), v do

Theo nh l gii hn trung tm th

 Pn

i=1Xi

nE(X)
n(X)

i=1Xi

2

21 .

Ni cch khc, nh l Pearson trong trng hp k = 2 l h qu trc

tip ca nh l gii hn trung tm. Trong trng hp k > 2, nh l
Pearson c th coi nh mt m rng ca nh l gii hn trung tm.
(i npi )
.
S lc chng minh nh l Pearson. t Fi = p
p (1 pi )n
Ps i
Ta cn tm gii hn theo phn phi xc sut ca i=1 (1 pi )Fi2 ,
d

khi n tin ti v cng. Theo nh l gii hn trung tm, ta c Fi

N (0, 1) vi mi i = 1, . . . , s khi n tin ti v cng. Tuy nhin, cc bin
P p
F1 , . . . , Fs c ph thuc vo nhau: si=1r pi (1 pi )Fi = 0. Bng
pi pj
cch tnh trc tip, ta c: cov(Fi , Fj ) =
vi mi
(1 pi )(1 pj )
i 6= j.
Mt im ng ch l, cng theo nh l gii hn trung tm,
P
vi mi c1 , . . . , cs R, si=1 ci Fi cng hi t theo phn phi n
mt phn b normal. T suy ra vector ngu nhin (F1 , . . . , Fs ) hi
t theo phn phi n mt vector ngu nhin (G1 , . . . , Gs ) vi phn
b normal nhiu chiu N (0, ), trong ma trn hip phng sai
c xc nh nh sau:
q
ii = var(Gi ) = 1 v ij = cov(Gi , Gj ) = pi pj /((1 pi )(1 pj )).
(4.44)
vi mi i, j. iu cn li cn phi chng minh l

Ps

i=1 (1

pi )G2i c

cng phn b xc sut vi 2s1 .

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205

Chng 4. Cc nh l gii hn
Ma trn hip phng sai suy bin (bi v

Ps

p
pi (1 pi )Gi =
i=1

0), c hng (rank) bng s 1, do (v mt phn phi xc sut) ta

c th nhn c vector ngu nhin (G1 , . . . , Gs ) t mt vector ngu
nhin (Z1 , . . . , Zs1 ) c phn b normal chun tc (s 1) chiu, qua
mt php bin i tuyn tnh:

j=1,...,s1
(G1 , . . . , Gs )t = (aij )i=1,...,s
.(Z1 , . . . , Zs1 )t .

(4.45)

Theo nh l 3.23, ta cn chn ma trn A sao cho A.At = . Ma trn

A = (aij )j=1,...,s1
c th c chn nh sau. Gi O = (oij )j=1,...,s
i=1,...,s
i=1,...,s l
mt ma trn vung gc (orthogonal, c ngha l O.Ot = Is ) bt k

tha mn iu kin: osi = pi vi mi i = 1, . . . , s, tc l ct cui

cng ca O c cho bi cc s pi . Ma trn vung gc O nh vy

P

tn ti bi v si=1 ( pi )2 = 1. t

oij
aij =
vi mi i = 1, . . . , s, j = 1, . . . , s 1.
1 pi

(4.46)

D dng kim tra rng ma trn A nh ngha nh trn tha mn

iu kin A.At = , v nh vy ta c th coi rng (G1 , . . . , Gs )t =
j=1,...,s1
(aij )i=1,...,s
.(Z1 , . . . , Zs1 )t . Ni cch khc, ta c

Gi =

s1
X
j=1

206

oij
Zj vi mi i = 1, . . . , s,
1 pi
Sputnik Education

(4.47)

4.3. Phn b 2 v nh l Pearson

t suy ra:

2
s1
X
o
ij

(1 pi )G2i =
(1 pi )
Zj
1

pi
i=1
i=1
j=1

s
s1
X
X
X

=
o2ij Zj2 +
oij oik Zj Zk

s
X

s
X

i=1

j=1

j6=k

s1 X
s
s
s1
X
XX
X
(
o2ij )Zj2 +
(
oik )Zj Zk =
Zj2 (4.48)
j=1 i=1

j6=k i=1

j=1

v ta c iu phi chng minh.

Do tm qua trng ca phn b 2 trong thng k, nn n c

nghin cu rt k, v c th tnh hm phn phi ca n bng my
tnh hoc tra bng. Hm mt ca phn b 2 l hm sau:
nh l 4.16. Phn b 2 vi r bc t do (r > 0) c hm mt l:

r 1 x
1
2

x
e 2 khi x > 0
r/2
2 (r/2)
,
(4.49)
(x) =

0
khi x 0
trong l hm gamma: (a) =

R
0

xa1 ex dx.

Ghi ch 4.7. Karl Pearson (18571936), ngi Anh, c coi l mt

trong nhng cha t ca ngnh thng k ton hc. Nm 33 tui, sau
khi c sch Natural Inheritance ca Francis Galton, Pearson bt u
quan tm n cc phng php thng k, p dng chng vo vic
kim nghim hc thuyt sng lc t nhin ca Darwin, trong khun
kh ca hc thuyt eugenics (u sinh hc) ang thnh hnh thi ,
m Pearson l mt trong nhng ngi i theo. Pearson l ngi lp
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207

Chng 4. Cc nh l gii hn

Hnh 4.3: Hm mt ca 2k , vi k = 1, 2, 3, 4, 5

ra khoa thng k u tin, nm 1911, ti University College London.

Nhiu khi nim c bn trong xc sut thng k l da trn nhng
cng trnh ca Pearson, trong c: h s tng quan, hi qui tuyn
tnh, phn loi cc phn b xc sut, kim nh ki bnh phng.
Bi tp 4.10. Lm chi tit cc bc trong chng minh ca nh l
Pearson 4.15.

208

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4.3. Phn b 2 v nh l Pearson

Hnh 4.4: Karl Pearson

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209

Chng 5

Thng k ton hc
5.1

Cc vn thng k

Thng k ton hc c th coi l tng th cc phng php ton

hc, da trn l thuyt xc sut v cc cng c khc, nhm a ra
c nhng thng tin mi, kt lun mi, c gi tr, t nhng bng s
liu th ban u, v nhm gii quyt nhng vn no ny sinh
t thc t. C th k tn mt s mc ch chnh ca thng k nh
sau:
- M t s liu.
- c lng v d on cc i lng.
- Tm ra cc mi quan h gia cc i lng .
- Kim nh cc gi thuyt.
Thng k hc l mt ngnh ln, vi nhiu phng php khc
nhau dng cho cc tnh hung khc nhau (c ngi v cc phng
210

5.1. Cc vn thng k
php thng k nh l cc cch nu n, rt a dng phong ph), v
c nhiu im cn ch khi dn n cc kt lun thng k sai
lch (hoc l b mc la bi nhng ngi c tnh lm thng k theo
cc phng php sai lch). Trong chng ny chng ta s ch bn ti
mt s vn v phng php thng k ton hc c bn nht. Trc
khi i vo l thuyt, phn ny chng ta s im qua cc mc ch
chnh trn ca thng k, qua mt s v d.

Hnh 5.1: T l thi gian dng internet Vit Nam nm 2009

V d 5.1. (Biu thng k). Trong thng k m t, ngoi cc bng

s liu (cng vi mt s i lng c trng tiu biu nht nh trung
v, k vng, phng sai), cc biu cng hay c dng, gip
Sputnik Education

211

Chng 5. Thng k ton hc

ngi c nm bt thng tin v s liu mt cch nhanh chng. Mt s
loi biu hay gp l: biu tn s, th pht tn, biu hnh
qut (pie chart), v.v. Hnh 5.1, l mt v d v biu hnh qut,
phn nh t l thi gian dng internet Vit Nam vo nm 2009
(theo bo Lao ng). So vi cc bng s liu, cc biu c th c
nhc im l cho thng tin khng c chnh xc bng ( sai s
cao hn), nhng c u im l cho c cng mt lc nhiu thng
tin trn mt hnh nh, d tip thu i vi no ngi hn l mt bng
cc con s.

Hnh 5.2: S ch trong h vo thng 5 v thng 9

Tt nhin, c nhng biu c th phn nh rt sai lch v cc

i lng. Hnh 5.2 l mt v d n gin v ti ni di bng thng
k. th xut pht t s liu thng k s ch trong 1 ci h: hn
10 con vo thng 5, v nhiu gp 3 ln nh vy vo thng 9. Nhng
nhn vo th ngi ta s c cm gic l s ch vo thng 9 gp
212

Sputnik Education

5.1. Cc vn thng k
3 3 = 9 ln thng 5.
V d 5.2. (Pht xt c sn xut bao nhiu my bay v xe c gii ?).
Trong chin tranh, vic c lng c ng sc mnh ca qun ch
l mt vic nhiu khi c tnh cht sng cn. Trong chin tranh th gii
ln th II, cc c quan tnh bo qun ng minh Anh-M cung cp
nhiu thng tin rt sai lch v lc lng qun c. Th nhng, bng
phng php thng k (thu nht cc m s trn cc xc my bay, lp
xe, v.v. ca qun c b bn chy, b ri, ri t gii m v dng
cc hm c lng c lng), nh thng k hc Richard Ruggles
cng vi cc cng s ca mnh, lc lm ti Cc tnh bo kinh t
ca Anh, c lng c rt chnh xc s my bay v xe c gii
m c sn xut c hng thng.(1)
Cng sut hng thng ca Pht xt c

My bay

Xe c gii

c lng ca Ruggles

28500

147000

S liu thc theo ti liu ca c

26400

159000

Trong khi , c lng ca cc tnh bo vin Anh-M l cng

sut ca c khong 1 triu xe c gii mt thng!
V d 5.3. (Thn dc chng bo ph ?). T l s ngi b bo ph
(obesity) tng rt nhanh trn th gii (k c Vit Nam, chu u,
v M) trong nhng thp k cui th k 20 - u th k 21, v tr
thnh mt vn x hi ln, v bo ph hay dn n nhiu cn bnh
(1)

Theo sch [1], da trn: Ruggles, R. and H. Brodie, An Empirical Approach

to Economic Intelligence in World War II, Journal of the American Statistical Association, 42, March 1947; v theo: James Tobin, In memoriam: Richard Ruggles
(19162001) Review of Income and Wealth Series 47, Number 3, September 2001

Sputnik Education

213

Chng 5. Thng k ton hc

khc (tim mch, tiu ng, t qu, v sinh, v.v.), v c th lm gim
ng k tui th ca ngi. Chng bo ph l mt vn nng hi,
nhng cho n nm 2009 cha c thuc no tht hiu qu c bn
trn th trng. iu ny c th thay i trong nhng nm sau ,
v trong nm 2009 c 3 hng dc phm cng b cc kt qu th
nghim lm sng giai on III (phase III clinical trial) cho cc loi
thuc chng bo ph mi c nhiu trin vng. Trong ng ch
nht c l l thuc Qnexa ca hng Vivus. Cng b kt qu v Qnexa
ca Vivus vo ngy 09/09/2009(2) c mt bng thng k sau (trong
s nhiu bng thng k):
ITT-LOCF

Completers

---------------------------EQUIP (OB-302)

Placebo

Qnexa

Qnexa

Low Dose

Full Dose

---------------------------Placebo

Qnexa

Qnexa

Low Dose

Full Dose

56 Weeks

(n=498)

(n=234)

(n=498)

(n=241)

(n=138)

(n=301)

--------------

-------

--------

---------

-------

--------

---------

1.6%

5.1%*

11.0%*

2.5%

7.0%*

14.7%*

17%

45%*

67%*

26%

59%*

84%*

Mean Weight
Loss (%)
Greater than
or equal to
5% weight
loss rate

ITT-LOCF: Intent-to-treat with last observation carried forward

*p<0.0001 vs. placebo

Theo bng trn, tng s ngi tham gia th nghim lm sng (trong
th nghim ) l 498 + 234 + 498 = 1300 ngi. t th nghim ko
di 56 tun, nhng c nhng ngi b d gia chng: trong s 498
ngi c nhn placebo (trng ging nh vin thuc tht, nhng
(2)

Ngun: http://ir.vivus.com/releasedetail.cfm?ReleaseID=407933

214

Sputnik Education

5.1. Cc vn thng k
khng c thuc trong ) th ch c 241 ngi theo n cng cuc
th nghim, cn trong s 498 ngi c nhn liu y ca thuc,
c 301 ngi (61%) theo n cng. Trong s nhng ngi c nhn
liu v theo n cng, th c 84% s ngi gim c t nht 5%
trng lng, v trung bnh mi ngi gim c 14,7% trng lng.
Trong bng trn c vit p < 0, 0001 vs. placebo. iu c ngha
l, vi tin cy bng 1 p > 99, 99% (hay ni cch khc, vi kh
nng kt lun sai lm nh hn 0, 01%), cc con s thng k cho thy
kt qu t c ( y l gim cn) tt hn khi c thuc so vi khi
khng c thuc. Thng thng, khi p < 0, 01 th ngi ta chp nhn
gi thuyt l thuc c hiu ng thc s, cn nu p 0, 05 th hiu
ng khng r rng, c th l do ngu nhin.
Cc hng dc phm trn th gii, trc khi c quyn bn mt
loi thuc mi no , thng thng u phi qua th nghim lm
sng din rng (trn t nht my trm bnh nhn), v cc kt qu
thng k phi chng t r rng cng dng v s an ton ca thuc,
tc l phi qua c kim nh thng k cho gi thuyt thuc c
cng dng v an ton, vi tin cy cao.
V d 5.4. (London nguy him hay an ton ?(3) ). Ngy 10/07/2008,
c 4 v git ngi bng dao 4 ni khc nhau London. S kin ny
lm no lon d lun n mc th tng Anh l Gordon Brown phi
tuyn b ha s tm cch lm gim cc v m dao. London c tr
nn nguy him cho tnh mng hn nhng nm trc khng ? tr
li cu hi , chng ta c th da trn mt s s liu thng k sau:
- Trong 5 nm trc , mi nm London c khong 170 ngi b
(3)

Da theo tp ch Significance ca Royal Statistical Society, s thng 3/2009

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215

Chng 5. Thng k ton hc

git, v con s ny kh n nh hng nm.
- Khong 41% cc v git ngi l dng dao, 17% l dng sng, 9%
l nh p (khng v kh), 5% l nh bng vt khng phi dao,
3% l bp c, 3% l dng thuc c, v.v., v 17% l khng xc nh
c phng php.
- Trong thi gian 3 nm 04/2004 03/2007, c 713 ngy khng c
v n mng no, 299 ngy c 1 v, 66 ngy c 2 v, 16 ngy c 3 v,
1 ngy c 4 v, v khng c ngy no c t 5 v tr ln.
T cc s liu thng k, ngi ta tnh c mt s c lng sau
v s v n mng London:
- S v n mng xy ra trong ngy tun theo phn b Poisson vi k
vng l 0,44 (tc l trung bnh mi ngy c 0,44 v) .
- K vng l mi nm c khong 3-4 ngy vi 3 v n mng, c
khong gn 3 nm th c 1 ngy vi 4 v n mng, v khong 30
nm th mi c mt ngy vi 5 v n mng.
Vic xy ra 1 ngy vo nm 2008 vi 4 v n mng khng nm
ngoi cc con s c lng trn. m bng dao l phng php gy
n mng ph bin nht (41% tng s cc v). Khi c 4 v n mng,
th xc sut c 4 v u do m dao l (0, 41)4 = 2, 8%, mt con
s kh nh, nhng cng khng nh n mc khng th xy ra. Khi
c 4 v n mng xy ra cng ngy, th c rt nhiu t hp cc kh
nng xy ra v phng php gy n mng trong 4 v (v d 2 v
dng dao, 1 v dng sng, 1 v tht c), v tt c cc t hp u
c xc sut nh, t hp vi xc sut ln nht cng khng vt qu
6%. T , c th kt lun l, vic hm 10/07/2008 xy ra 4 n mng
London, v c 4 u bng m dao, hon ton nm trong cc c
216

Sputnik Education

5.1. Cc vn thng k
lng v n mng xy ra London, v khng h chng t xu th g
mi. Tng kt nm 2008, London c 152 n mng xy ra nm .
Phng tin truyn thng c dp vui mng v lu ri cha nm
no London c an ton nh vy. Nhng con s c chng t xu
th g khng, hay chng qua cng ch l mt s ngu nhin khng
nm ngoi qui lut chung ?

Hnh 5.3: Cc ng vn trong mng mt

V d 5.5. (Con mt tr thnh cha kha). u th k 21, c nhng

khch sn m khch khng cn cha kha phng, ch cn nhn vo
camera ca phng, l phng t ng m ca. S tin li ny da
trn cng ngh nhn bit danh tnh ca ngi qua mng mt (iris).
Mt iu th v l, k c khi hai ngi sinh i v trng ging ht
nhau, th cc ng nt trong mng mt ca h vn rt khc nhau,
do qu trnh pht trin cc ng nt trong mng mt thai nhi ph
thuc vo nhiu yu t ngu nhin (khng do di truyn). T nhng
Sputnik Education

217

Chng 5. Thng k ton hc

nm 1930, cc bc s mt ni rng c th dng mng mt nhn
bit danh tnh ngi. John Daugman l mt trong nhng ngi lm
ra cng ngh nhn bit danh tnh bng mng mt, t cui th k
20. Thut ton ca ng ta tch ra c t nh mng mt 1 m vi
266 n v thng tin c th coi l ngu nhin v c lp vi nhau
(mi n n v y l mt bin ngu nhin nhn 2 gi tr 0 v 1,
vi xc sut 50% 50%, v cc bin ny gn nh c lp vi nhau).
tm ra 266 n v thng tin c lp (xut pht t 2048 n
v thng tin khng c lp vi nhau) v kim nh s c lp ca
chng, Daugman lm thng k so snh hn 222 nghn ln cp
nh mng mt khc ch (2 mt trong 1 cp l ca hai ngi khc
nhau), v hn 500 cp nh mng mt cng ch(4) . Mt trong cc kt
qu l, t l n v thng tin chch nhau gia m ca 2 mt khc ch
tun theo phn b normal vi k vng l 45.6% (tc l trung bnh
hai mt khc ch th c 45.6% n v thng tin chch nhau) vi
lch chun l 0.18%, v khng c cp mt khc ch no (trong cc
th nghim) c di 37% n v thng tin lch nhau. Mt khc, hai
nh mng mt khc nhau ca cng mt ch th trung bnh ch c 9%
cc n v thng tin b lch nhau trong s 266 n v, v khng c
cp nh mt cng ch no b lch nhau qu 31% n v thng tin. T
dn n thut ton phn bit: coi rng nu hai m b lch nhau
khng qu 34% s n v thng tin, th vn l ca cng mt ngi,
cn nu trn 34% th coi l ca hai ngi khc nhau.

(4)

J. Daugman, Wavelet demodulation codes, statistical independence, and pattern

recognition, in: Proceedings IMA-IP: Mathematical Methods, Algorithms, and Applications, (Blackledge and Turner eds.), Horwood, London, 2000, pages 244260.

218

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5.1. Cc vn thng k
Mt iu cn ch l, thng k hay b cc t chc hay c nhn
lm dng bp mo s tht theo hng c li cho mnh, hoc c
khi t di mnh, nu nh lm khng ng cch. C rt nhiu cch
ni di khc nhau bng thng k, chng hn nh: ba t cc con
s khng c tht, la chn cc con s c li, giu i cc con s bt
li, thin lch (bias) trong vic chn mu th nghim, v.v. V d v
ni gii trng trn: B quc phng M c tuyn b rng, trong cuc
chin vi Irak nm 1991, cc tn la Patriot ca M bn rng 41
tn la Scud ca Irak, nhng khi Quc hi M iu tra li thy ch c
4 tn la Scud b bn rng. V d v bias lm hng kt qu thng k:
Bo Literacy Digest thm d kin c tri v bu c tng thng M
nm 1936, qua in thoi v qua cc c gi t bo. Kt qu thm
d trn phm vi rt rng cho d on l Landon s c 370 phiu
(i c tri) cn Roosevelt s ch c 161 phiu. Th nhng lc bu
tht th Roosevelt thng. Ho ra, i tng m Literacy Digest thm
d nm , nhng ngi c tin t in thoi hay t bo, l nhng
ngi thuc tng lp kh gi, c bias theo pha Landon (ng Cng
ha), khng c trng cho ton dn chng M.
Ni chung, thng k ton hc cho ra c cc kt qu ng
tin cy, ngoi cc cng thc ton hc ng n, cn cn m bo s
trung thc ca cc s liu, c mu thc nghim (lng s liu)
ln, v loi i c nh hng ca cc bias m bo tnh ngu
nhin ca s liu. Nhiu khi vic loi i cc kt qu c bias cao t
mu thc nghim l cng vic hiu qu, cho ra kt lun thng k
chnh xc v tn km hn l tng c ca mu thc nghim ln
thm nhiu. chng ny, chng ta s ch bn n mt s phng

Sputnik Education

219

Chng 5. Thng k ton hc

php thng k c bn, da trn gi s l s liu m chng ta nhn
c l ng thc v khng b bias.

5.2
5.2.1

c lng bng thng k

Mu thc nghim v phn b thc nghim

Chng ta th hnh dung mt tnh hung sau: Mt nh sn xut

da chut mui ng hp mun bit phn b chiu di cc qu da
chut (chiu di trung bnh, lch chun, ...), lm v hp vi
kch thc thch hp. Nh sn xut ny s khng i o ht chiu di
ca hng triu qu da chut s c ng hp. H s ch o chiu
di ca mt s n qu da chut c chn mt cch ngu nhin, ri
t c lng ra phn b chiu di. S n y c th l mt con
s kh ln, v d 100 qu hay 1000 qu, nhng n l mt phn rt
nh ca tng s cc qu da chut.
m hnh ha bi ton c lng trn, ta s gi X l bin ngu
nhin chiu di ca qu da chut. Chng ta mun c lng phn
b xc sut PX ca X, hoc l c lng nhng i lng c trng
ca PX , v d nh k vng v phng sai. c lng, chng ta
s ly ra n gi tr ca X mt cch ngu nhin (chn ra n qu da
chut mt cch ngu nhin ri o chiu di ca chng). Gi cc gi
tr c ly ra l x1 , . . . , xn . B n gi tr (x1 , . . . , xn ) c gi l mt
mu thc nghim c n ca bin ngu nhin X
Ni mt cch tng qut, mt mu thc nghim (empirical sample) c n ca mt bin ngu nhin X l mt gi tr x = (x1 , . . . , xn )
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Sputnik Education

5.2. c lng bng thng k

ca vector ngu nhin X = (X1 , . . . , Xn ), trong cc bin ngu
nhin X1 , . . . , Xn c lp v c cng phn b xc sut vi X. (Trong
v d, Xi l bin ngu nhin chiu di ca qu da chut th i c
chn, cn xi l gi tr nhn c ca Xi ). Cc s xi c gi l cc
gi tr thc nghim ca X (hay ca Xi ).
Ghi ch 5.1. Trong thc t, c nhng tnh hung m cc bin X1 , . . . , Xn
khng th c lp vi nhau. V d, nu gi Xi l m s ca ci xc
my bay th i ca pht xt c m qun ng minh nht c, th
Xi khng th bng Xj khi i 6= j v do Xi khng c lp vi Xj .
Trong nhng trng hp nh vy, hoc l s ph thuc tuy c nhng
nh, c th b qua, hoc l ta phi iu chnh l thuyt sau cho thch
hp. y, n gin, ta s lun gi s rng cc bin Xi c lp
vi nhau.
Mu thc nghim (x1 , . . . , xn ) cho ta mt phn b xc sut Pn
trn R, gi l phn b xc sut thc nghim, nh sau: n l phn
b xc sut ri rc tp trung ti cc im x1 , . . . , xn , sao cho mi
im xi c t trng xc sut l 1/n. Ni cch khc, nu xi khc tt
c cc s cn li th Pn (xi ) = 1/n. Nhng nu c k s bng nhau,
xi1 = xi2 = . . . = xik v khc cc s cn li, th Pn (xi1 ) = k/n. Mt
cch nh ngha khc ca phn b Pn ny l qua hm phn phi
thc nghim Fn ca n: vi mi x R, Fn (x) bng 1/n nhn vi s
lng cc s xi nh hn hoc bng x. Khng nh sau l h qu trc
tip ca lut s ln:
nh l 5.1. Hu nh chc chn rng Pn hi t yu n PX khi n tin
ti v cng.
Sputnik Education

221

Chng 5. Thng k ton hc

Ni cch khc, tp hp cc dy v hn gi tr thc nghim
(x1 , x2 , . . . , xn , . . .)
sao cho dy cc phn b xc sut thc nghim (Pn )nN tng ng
khng hi t yu n phn b xc sut XP ca X l mt tp c
Q

o bng 0. Khng gian xc sut y l tch v hn

i=1 (R, PXi ) =
(R, PX )N , tng t nh trong pht biu ca dng mnh ca lut s
ln.
nh l 5.1 cho ta mt nguyn tc sau y v c lng:
Phn b xc sut ca mt bin ngu nhin X c th c c lng
bng cc phn b thc nghim ca X, v khi c ca mu thc nghim
cng cao th c lng ny cng chnh xc. Cc i lng c trng
ca X c th c c lng bng cc i lng c trng tng ng
ca cc phn b thc nghim.
V d 5.6. K vng ca phn b thc nghim Pn ca mu thc nghim
(x1 , . . . , xn ) l

1X
xi .
n

(5.1)

i=1

Gi tr
c gi l mt k vng thc nghim (hay k vng mu)
ca X, v l mt c lng ca k vng ca X. Tng t nh vy,
vi mi k N, gi tr

1X k
xi ,
n

(5.2)

i=1

gi l moment thc nghim bc k, l mt c lng ca moment

bc k ca X. Gi tr
n

i=1

i=1

i=1

1X
1X
1X 2

=
(xi
)2 =
(xi
xi ) ,
n
n
n
2

222

Sputnik Education

(5.3)

5.2. c lng bng thng k

gi l phng sai thc nghim (hay phng sai mu), l mt c
lng ca phng sai ca X.
V d 5.7. Trung v (median) ca mt bin ngu nhin X l im m
1
(1/2)
sao cho FX (m) = P (X m) = 1/2. Nu nh nh ngc FX

khng phi l mt im m l mt on thng, th trung v c nh

ngha l trung im ca on thng . Trung v ca X c th c
c lng bng trung v thc nghim, tc l ca phn b xc sut
thc nghim.
Bi tp 5.1. Suy ra nh l 5.1 t nh l 3.8.

5.2.2

Hm c lng

Gi s X l mt bin ngu nhin c phn b Poisson vi tham s

. Khi ta bit rng va l k vng, va l phng sai ca X, v
nh vy c t nht 2 cch khc nhau c lng : thng qua k
vng hoc phng sai ca cc phn b thc nghim.
Ni mt cch tng qut, gi s ta mun c lng mt i lng
no . C th c nhiu cch khc nhau c lng , mi cch
cho bi mt hm c lng. Theo nh ngha, mt hm c lng
(estimator) ca chng qua l mt hm s n bin no , nhn
u vo l cc mu thc nghim (x1 , . . . , xn ) ca X, v u ra l cc
gi tr c lng (esimate) ca :
= (x1 , . . . , xn ).

(5.4)

iu chng ta mun c l sai s gia c lng v gi tr tht

ca cng nh cng tt. Hay ni cch khc, c lng cng chnh
xc cng tt.
Sputnik Education

223

Chng 5. Thng k ton hc

Nu g l mt hm s n bin bt k, v x1 , . . . , xn l mt mu thc
nghim c n ca mt bin ngu nhin X, th g(X1 , . . . , Xn ) c gi
l mt hm thng k ca bin ngu nhin X, v gi tr g(x1 , . . . , xn )
c gi l mt thng k (statistic). Nh vy, ta c th ni rng, hm
c lng (estimator) l mt hm thng k dng c lng mt
i lng no , v i lng c c lng bng thng k.
Khi c ca mu thc nghim c th thay i, th ta cn khng
phi l mt, m l mt dy hm c lng: mi hm cho mt c mu
n. Ta s k hiu chung mt dy hm c lng nh vy ( cng
c lng mt i lng ) bng mt ch ci (v d ) v gi chung
chng l mt hm. Ta mun rng, khi n cng ln th ni chung sai s
gia c lng v gi tr tht ca phi cng nh. Tnh cht
ny c th pht biu chnh xc mt cch ton hc nh sau, v gi l
tnh nht qun(5) (consistency), ca hm c lng:
nh ngha 5.1. Hm c lng ca i lng c gi l nht
qun (consistent), nu nh vi mi  > 0 ta c
lim P (|(X1 , . . . , Xn ) | < ) = 1.

(5.5)

Tnh nht qun l tnh cht quan trng nht ca hm c lng.

Ngoi ra, ty tng trng hp, ta c th i hi mt s tnh cht
(5)

C ti liu gi tnh cht ny l tnh vng, nhng y chng ta s dng t nht

qun, v t vng ting Vit cn c dng ch mt tnh cht khc ca c lng,

m ting Anh gi l robust. Cc hm c lng vng (robust) l ci tin ca cc hm
c lng c in thng dng, v cho c lng tt k c khi mu thc nghim
chng may c nhng gi tr qu c bit (qu ln hay qu nh so vi thng thng,
qu him xy ra).

224

Sputnik Education

5.2. c lng bng thng k

khc, v d nh tnh khng chch, hoc dng yu hn ca n, l tnh
khng chch tim cn:
nh ngha 5.2. Hm c lng c gi l khng chch (unbiased) nu nh k vng ca (X1 , . . . , Xn ) bng :
= E((X1 , . . . , Xn )).

(5.6)

Hm c lng c gi l khng chch tim cn (asymptotically

unbiased) nu nh
= lim E((X1 , . . . , Xn )).
n

(5.7)

V d 5.8. Nh ta thy trong mc trc, hm k vng thc nghim

n

X=

1X
Xi
n

(5.8)

i=1

l mt hm c lng ca k vng ca X. D thy rng y l mt

hm c lng khng chch, v dng yu ca lut s ln ni rng
hm c lng ny nht qun. Moment bc k ca phn b thc
n
1X k
Xi ca moment bc k ca X. Hm
nghim cho hm c lng
n
i=1

c lng ny ni chung khng tha mn tnh cht khng chch khi

k 2, nhng tha mn tnh cht khng chch tim cn.
nh l 5.2. Gi s l mt hm c lng khng chch tim cn
tha mn iu kin phng sai tin n 0 khi n tin n v cng:
lim var((X1 , . . . , Xn )) = 0.

(5.9)

Khi l mt hm c lng nht qun.

Sputnik Education

225

Chng 5. Thng k ton hc

Chng minh. Tng t nh chng minh ca dng yu ca lut
s ln, suy ra t bt ng thc Chebyschev.

Ghi ch 5.2. Trong ting Vit, nhiu khi thay v ni hm c lng

ngi ta ni n gin ha l c lng nhng hiu l hm c
lng. Trong ting Anh th hai t ny khng ln vi nhau: hm c
lng gi l estimator, cn c lng gi l estimate.
Bi tp 5.2. Gi s X c phn b u trn on thng ]0, [. Chng
minh rng
n+1
max(X1 , X2 , . . . , Xn )
n
l mt hm c lng nht qun khng chch ca .
=

(5.10)

Bi tp 5.3. Chng minh rng trung v thc nghim l c lng nht

qun khng chch tim cn ca trung v. Xy dng v d cho thy
trung v thc nghim ni chung khng tha mn tnh cht khng
chch.

5.2.3

c lng khng chch ca phng sai

Pn
2
n 
1X
i=1 Xi
Xi
l mt c
Hm phng sai mu =
n
n
2

i=1

lng nht qun, nhng c chch, c ngha l k vng ca

Pn
2
n 
1X
i=1 Xi
Xi
n
n
i=1

khng bng phng sai 2 ca X. Tht vy, khi n = 2, ta c

 2

X1 + X22 (X1 + X2 )2
1
2

E( ) = E

= E(X12 + X22 2X1 X2 )

2
4
4
1
1
1
= (E(X12 )+E(X22 )2E(X1 )E(X2 )) = (2E(X 2 )2E(X)2 ) = 2
4
4
2
226

Sputnik Education

5.2. c lng bng thng k

ch khng bng 2 . Tng t nh vy, khi n ty , c th kim tra
2 ) = n 1 2 . Bi vy ta c nh ngha v nh l sau:
rng E(
n
nh ngha 5.3. Hm
Pn
2
n 
1 X
i=1 Xi
S =
.
Xi
n1
n
2

(5.11)

i=1

gi l hm phng sai mu hiu chnh. Nu x1 , . . . , xn l mt mu

thc nghim ca X, th gi tr ca S 2 ti b im (x1 , . . . , xn ), s2 =

2
Pn
1 Pn
i=1 xi
x

, gi l phng sai mu hiu chnh (ca

i
i=1
n1
n
mu x1 , . . . , xn ) ca X.
nh l 5.3. Hm phng sai mu hiu chnh l c lng khng
chch ca phng sai 2 ca bin ngu nhin X.
nh l trn gii thch v sao ngi ta hay dng cng thc phng
Pn
2
n 
1 X
2
i=1 xi
xi
sai mu hiu chnh s =
, thay v cng
n1
n
i=1
Pn
2
n 
1X
i=1 xi
xi
, khi ni v phng sai ca mt b n s
thc
n
n
i=1

(x1 , . . . , xn ). T l gia phng sai mu hiu chnh v phng sai

n
mu l
, tin ti 1 khi n tin ti v cng.
n1

5.2.4

Phng php hp l cc i

Phn b thc nghim l mt c lng ca phn b ca X. Nhng

phn b thc nghim lun lun l phn b ri rc, v c th khng
tha mn mt s tnh cht m X phi tha mn, tc l khng nm
trong h cc phn b m X ri vo, v d nh h cc phn b normal,
Sputnik Education

227

Chng 5. Thng k ton hc

h cc phn b hnh hc, v.v. Mt trong nhng phng php ph bin
nht c lng phn b xc sut ca X bng mt phn b xc
sut trong mt h no l phng php hp l cc i (maximal
likelyhood - d xy ra nht). tng ca phng php ny l: nhng
g m thy c trong thc nghim, th phi d xy ra hn l nhng
g khng thy. V d nh, khi mt gio vin hi mt hc sinh 4 cu
hi ngu nhin v mt mn hc no m hc sinh u tr li c,
th gio vin s c lng rng y l hc sinh gii, v khi gii th
mi nhiu kh nng tr li c c 4 cu hi, cn nu khng gii
s c nhiu kh nng khng tr li c t nht 1 trong 4 cu hn l
kh nng n may tr li c c 4 cu. Chng ta s tm phn b xc
sut ca bin ngu nhin X sao cho mu thc nghim (x1 , . . . , xn )
c nhiu kh nng xy ra nht.
Ta s gi s X c phn b xc sut P ph thuc vo mt s tham
s = (1 , . . . , k ) no . Trong trng hp P l phn b ri rc,
ta t
L() = L (x1 , . . . , xn ) = P (x1 ) . . . P (xn ),

(5.12)

cn trong trng hp P l phn b lin tc vi hm mt , th

ta t
L() = L (x1 , . . . , xn ) = (x1 ) . . . (xn ).

(5.13)

L() c gi l hm hp l (likelyhood function) ca (khi m

mu x1 , . . . , xn bit). Bi ton m chng ta cn gii, l tm c
sao cho
hp l cao nht, tc l tm
= sup L().
L()

228

Sputnik Education

(5.14)

5.2. c lng bng thng k

Vi nguyn tc o hm bng 0 ti im cc tr, vn tm im
cc i ca L() nhiu khi c a v vn gii phng trnh:
d
L() = 0.
d

(5.15)

Khng phi lc no phng php hp l cc i cng cho kt qu,

bi v chng hn nu hm L() c nhiu im cc i, th khng bit
nn chn im no. Tuy nhin, trong nhiu bi ton, phng php
ny cho kt qu duy nht v kh hp l v trc gic.

Hnh 5.4: Ronald Fisher

Sputnik Education

229

Chng 5. Thng k ton hc

Ghi ch 5.3. Ngi khi xng phng php hp l cc i l Ronald
Fisher (1890-1962), mt nh di truyn hc v thng k hc ngi
Anh, vo u th k 20. Fisher cng vi Pearson c coi l nhng
cha t ca thng k ton hc. Khi Fisher a ra phng php hp l
cc i th Pearson khng ng h n, dn n quan h cng thng
gia hai ngi.
V d 5.9. Gi s ta bit rng X phi c phn b xc sut u trn
mt on thng [a, b], nhng ta khng bit a v b. Vn t ra l
c lng a v b, da trn mt mu thc nghim x1 , . . . , xn . Ta c
L(a, b) = a,b (x1 ) . . . a,b (xn ) =

1
,
(b a)n

(5.16)

v ta cn tm a,b sao cho 1/(b a)n t cc i. Ta bit rng cc

im x1 , . . . , xn phi nm trong on thng [a, b], nh vy ta phi c
b max xi , a min xi , v 1/(b a)n t cc i khi m b = max xi ,
a = min xi . Bi vy cc c lng ca a v b l:
a
= min xi , b = max xi .

(5.17)

V d 5.10. Gi s ta mun tm xc sut ca mt s kin A no

(v d nh s kin: say ru khi li xe). Gi X l hm ch bo ca A:
X = 0 nu A khng xy ra, v X = 1 nu A xy ra. Khi X c phn
b Bernoulli vi tham s p = P (A). c lng p, ta lm n php
th ngu nhin c lp, v c mt mu x1 , . . . , xn ca X. Cc s
x1 , . . . , xn ch nhn hai gi tr 0 v 1. Gi k l s s 1 trong dy s
x1 , . . . , xn , v n k l s s 0. Khi hm hp l l:
L(p) = pk (1 p)nk .
230

Sputnik Education

(5.18)

5.2. c lng bng thng k

o hm ca L(p) l L0 (p) = n(k/n p)pk1 (1 p)nk1 , t
suy rng hm L(p) t cc i trn on [0, 1] ti im p = k/n =
Pn
i=1 xi /n. Nh vy, theo phng php hp l cc i, ta c c
lng sau y ca xc sut p = p(A):
p =

n
X

xi /n.

(5.19)

i=1

V d 5.11. Tr li bi ton c lng phn b ca chiu di da

chut. Ta gi s X y c phn b normal N (, 2 ), v ta mun
c lng k vng v phng sai 2 ca X. Theo phng php hp
l cc i, ta xc nh hm hp l, khi c mt mu x1 , . . . , xn ca
X, l:
n
Y



(xi )2
1

exp
L(, ) =
2 2
2
i=1
!
n

n
X
(xi )2
1
exp
=
. (5.20)
2 2
2
i=1
d
L(, ) =
d
n
d
d X
0 v
L(, ) = 0. Phng trnh th nht tng ng vi
(xi
d
d
i=1
Pn
i=1 xi
)2 = 0, v cho nghim l =
. Phng trnh th hai
n
P
2 i (xi )2
n
tng ng vi,
+
= 0, v cho nghim l 2 =

2 3
P
2
i (xi )
. Nh vy, phng php hp l cc i cho ta cc c
n
lng sau y ca k vng v phng sai 2 :
Pn
xi

= i=1 ,
(5.21)
n

tm im c hp l cc i, ta gii h phng trnh

Sputnik Education

231

Chng 5. Thng k ton hc

Pn
2
n
n 
1X
1X
2
i=1 xi

=
xi
.
(xi
) =
n
n
n
2

i=1

(5.22)

i=1

Mt iu th v l i vi phn b normal, phng php hp l cc

i cho ta c lng ca phng sai bng phng sai mu, ch khng
bng phng sai mu hiu chnh. (Nhc li rng t l gia hai i
lng ny l n/(n 1)).
Bi tp 5.4. Chng minh rng cc c lng trong v d 5.9 tha
mn tnh cht nht qun.
Bi tp 5.5. Tm hm c lng hp l cc i cho tham s ca
phn b m.
Bi tp 5.6. Tm hm c lng hp l cc i cho tham s ca
phn b Poisson. (Ch : c lng ny khng tn ti nu nh tt c
cc gi tr trong mu thc nghim u bng 0).

5.2.5

Phng php moment

Mt trong nhng phng php khc hay c dng c lng

phn b ca X bng mt phn b P no , l gii h phng trnh
sau tm c lng ca cc tham s = (1 , . . . , k ):
n

xs dP =

1X s
xi
n

(5.23)

i=1

vi mi s = 1, . . . , k, trong (x1 , . . . , xn ) l mt mu thc nghim

ca X. V bn tri ca phng trnh trn l moment bc s ca phn
b P , cn v bn phi l moment bc s thc nghim.
232

Sputnik Education

5.3. Sai s v tin cy ca c lng

Bi tp 5.7. Gi s X l mt bin ngu nhin vi phn b lin tc
cho bi hm mt sau:
(
(x; ) =

x1 nu 0 < x < 1
0 ti cc im cn li

(5.24)

trong l mt tham s. a) Tm hm c lng hp l cc i ca

.
b) Tm hm c lng ca theo phng php moment.

5.3
5.3.1

Sai s v tin cy ca c lng

Sai s ca c lng

V nguyn tc, ni chung mi c lng u c sai s, bi v gi

tr ca c lng ph thuc vo hm hc lng v gi tr ca mu
thc nghim, m cc mu thc nghim khc nhau ca cng mt bin
ngu nhin c cc gi tr khc nhau, dn n cc gi tr c lng
khc nhau, khng th tt c u chnh xc c.
Gi s (X1 , . . . , Xn ) l mt hm c lng ca mt i lng
no . Trong trng hp l c lng khng chch, tc l k
vng ca (X1 , . . . , Xn ) chnh bng , th ta c th ly lch chun
ca (X1 , . . . , Xn ) lm thc o nh gi mc sai s trung bnh
ca mt c lng ca dng hm c lng . Trong trng hp
chung, i lng
M SE() = E(|(X1 , . . . , Xn ) |2 )
Sputnik Education

(5.25)
233

Chng 5. Thng k ton hc

c gi l sai s trung bnh bnh phng (mean squared error) ca
hm c lng (cho i lng c trng ca bin ngu nhin X).
Bt ng thc CramrRao di y cho ta chn di ca sai s
trung bnh bnh phng ca cc hm c lng. N cho thy, v mt
l thuyt, khi c ca mu thc nghim l c nh, khng th c cch
c lng vi chnh xc ty , m cch c lng (khng chch)
no cng c sai s trung bnh bnh phng ln hn mt hng s no
.
Hm c lng c sai s trung bnh bnh phng cng nh th
c coi l cng hiu qu (cng chnh xc). Hm c lng c sai s
trung bnh bnh phng nh nht (trong cc hm c lng n bin
ca ) c gi l hm c ng hiu qu.
nh ngha 5.4. Gi s phn b xc sut PX = P nm trong mt h
cc phn b xc sut P ph thuc vo tham s . Khi i lng
 ! Z 


ln L(x, ) 2
ln L(X, ) 2
=
dP ,
(5.26)
I() = E

R
trong L(x, ) = P (x) trong trng hp P l phn b xc xut ri
rc v L(x, ) = (x) trong trng hp P l phn b lin tc vi hm
mt , c gi l lng thng tin Fisher ng vi .
nh l 5.4 (Bt ng thc CramrRao). Vi mi hm c lng
khng chch ca ta c
E(|(X1 , . . . , Xn ) |2 )

1
.
nI()

(5.27)

Nu nh l c lng c chch, vi chch l

b() = E((X1 , . . . , Xn )) ,
234

Sputnik Education

(5.28)

5.3. Sai s v tin cy ca c lng

v k hiu b0 () l o hm ca b() theo , th
E(|(X1 , . . . , Xn ) |2 )

(1 + b0 ())2
.
nI()

(5.29)

Ghi ch 5.4. Trong pht biu chnh xc hn ca nh l trn, cn

phi gi s rng phn b xc sut ca X tha mn mt s iu kin
regularity (khng k d) (xem chng minh pha di, s xut hin
c th iu kin). Trong cc bi ton thc t, ni chung cc iu kin
regularity ny lun c tha mn.
Chng minh. Ta s chng minh cho trng hp n = 1, c lng
l khng chch, v phn b xc sut l lin tc tuyt i vi hm mt
(x) = (, x). Trng hp tng qut phc tp hn, nhng cc
chng minh hon ton tng t.
R
Xut pht t ng thc (X)(, x)dx = (c lng khng
chch), ly o hm theo , ta c
Z
(, x)
dx = 1.
(X)

Z
(x, )
Chng ta cn iu kin khng k d sau:
dx = 0 (ngoi

vic tch phn

Z giao hon vi o hm theo pha trn). Vi iu kin
(, x)
ny, ta c
dx = 1, hay cn c th vit
((X) )

Z
p
ln (, x) p
((X) ) (, x)
(, x)dx = 1.

ng thc trn, cng vi bt ng thc Cauchy-Schwartz

Z
Z
Z
2
2
(
f gdx) (
f dx)(
g 2 dx),

Sputnik Education

235

Chng 5. Thng k ton hc

suy raZ

Z
p
((X) ) (, x))2 dx)(

ln (, x) p
(, x))2 dx) =

E(|(X) |2 ).I(), v ta c iu phi chng minh.


1(

Ghi ch 5.5. Harald Cramr (18931985) l nh ton hc v thng k

hc Thy in, hc tr ca nh ton hc Marcel Riesz. Calyampudi
Radhakrishna Rao (sinh nm 1920) l nh thng k hc ngi gc
n , lm vic ti M cho n khi v hu, hc tr ca Ronald Fisher.
Bt ng thc KramrRao c hai ng lm ra vo qung nm 1945.
Bi tp 5.8. Th t chng minh nh l trn khi n l s tu (v X
c phn b lin tc tuyt i).

5.3.2

Khong tin cy v tin cy

V ni chung mi c lng u c sai s, nn sau khi tm c

mt gi tr c lng = (x1 , . . . , xn ) ca , ta phi cho php
n c th c mt sai s n  no , v coi rng gi tr tht ca
nm trong on [ , + ]. on gi l khong tin cy. Nhng
iu khng c ngha l ta tin tng 100% rng nm trong on
[ , + ], m ch c ngha l ta tin rng, vi tin cy cao, nm
trong khong tin cy [ , + ]. Ni cch khc, ta c
P ( [ , + ]) = 1 p,

(5.30)

trong 1 p l tin cy (confidence), v [ , + ] l khong

tin cy (confidence interval). Tt nhin, khi khong tin cy cng hp
( cng nh), th tin cy cng thp Mun c tin cy cao (tc l
p nh), th cn phi khong tin cy rng ( ln). Vi gi s
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5.3. Sai s v tin cy ca c lng

c lng nht qun, khi sai s  c nh th tin cy 1 p tin ti
1 khi c thc nghim n tin ti v cng, v ngc li khi p c dnh
th sai s  tin ti 0 khi n tin ti v cng. Ngi ta thng hay c
nh p (chng hn p = 5% hay p = 1%), ri tm khong tin cy tng
ng cho tin cy c nh .
V d 5.12. Gi s khi o chiu di ca 100 qu da chut c
chn mt cch ngu nhin t mt qun th (population) cc qu
da chut s c ng hp, ta c cc con s sau: X (hm k
vng thc nghim) c gi tr bng 9.3cm (y l ging da chut
nh), v
( lch chun thc nghim) l 0.5cm. Ta c th coi l
(X )
(X )

=
Z=
c phn b normal chun tc, trong l
0.05

/ 100
k vng di ca cc qu da chut tnh theo cm. t p = 1%, ta
c |Z| 2.57, c ngha l P (|Z| 2.57) 99% = 11%. Bt ng
(9.3 )
thc |
| 2.57 tng ng vi [9.3 2.57 0.05, 9.3 +
0.05
2.57 0.05] [9.17, 9.43]. Nh vy, [9.17, 9.43] l khong tin cy ca
vi tin cy 99%.
Ghi ch 5.6. C mt vn t nh trong l lun trong v d trn,
lin quan n xc sut c iu kin. Sai s m chng ta tnh c l
2.57 0.05 0.13 vi tin cy 99%, c ngha l
P (|X | < 0.13 | c nh) 99%,
nhng sau ta li mun hiu iu ny thnh: X = 9.3 l ci bit
c sau thc nghim, l ci cha bit, c th coi nh mt bin
ngu nhin, v
P (|X | < 0.13 | X = 9.3) 99%.
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237

Chng 5. Thng k ton hc

V sao ta c th coi P (|X | < 0.13 | c nh) = P (|X | <
0.13 | X c nh)? Trit l y l, ta coi rng phn b ca sai s
X khng ph thuc vo bn thn gi tr ca , m ch ph thuc
vo hiu X (trong lp nhng vn ang c xt). Kiu nh khi
bn cung tn vo ch: t ch u khng quan trng, vn s c
cng 1 phn b v lch ca mi tn c bn so vi tm im ()
ca ch. Tt nhin iu ny khng hon ton ng, nhng gn
ng ta s dng n. Tng t nh vy, ta cng coi rng phn b
ca X khng ph thuc vo bn thn gi tr ca X, m ch ph
thuc vo hiu X . Khi (trong mt khng gian xc sut thch
ng cho vn ang c xt) ta c P (|X | < 0.13 | c nh) =
P (|X | < 0.13) = P (|X | < 0.13 | X c nh).
Mt cch tng qut hn, ta c th thay (X)  v (X) +  bng
hai thng k A = g1 (X) v B = g2 (X) bt k (X = (X1 , . . . , Xn ) l
hm mu thc nghim ca X, v phn b ca X ph thuc tham s
), vi A < B. Khi ta c nh ngha sau:
nh ngha 5.5. Gi s A = g1 (X) v B = g2 (X) l hai hm thng
k, vi A < B. Gi s P (A < < B) = 1 p. Khi , vi mi gi tr
thc nghim a ca A v b ca B (ca cng mt mu thc nghim), ta
ni rng on ]a, b[ l khong tin cy ca vi tin cy 1 p, hay
cn gi l khong tin cy 100(1 p)% ca .
Trong nhiu vn , thay v c lng , ngi ta ch mun nh
gi mt pha (xem n ln hn, hay nh hn, ci g ). Khi ngi
ta dng cc khong tin cy mt pha ] , b[ hay ]a, [.
V d 5.13. (Bu c). Gi s mt cuc thm d kin cho thy 52% s
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5.3. Sai s v tin cy ca c lng

ngi c hi, trong s 400 ngi c chn mt cch ngu nhin
trong dn chng, s bu cho ng c vin tng thng A trong s 2 ng
c vin chnh. Hi c th ni rng A s thng c vi tin cy bng
bao nhiu ? Gi p l t l tng s ngi s bu cho A. Khi p cng
l l xc sut 1 ng c vin ngu nhin bu cho A. Khong tin cy
y l mt chiu: p > 50% th A c bu. i lng thc nghim
l p = 52% = 0.52, v c thc nghim l n = 400. Phn b xc sut
p
y l phn b Bernoulli, vi lch chun l 2 = p(1 p). Theo
nh l gii hn trung tm, ta c
P(

X p
< c) FN (0,1) (c) = PN (0,1) (] , c[).
/ n

vi mi c. Ta s thay bng lch chun thc nghim

=

p(1 p),

v X bng gi tr p = 0.52 ca n, trong cng thc trn. Nh vy,

FN (0,1) (c) l tin cy cho khong tin cy mt pha
p
]
p c p(1 p)/n, [ = ]0.52 0.02498c, [
ca p. xt kh nng thng c, cn xt khong tin cy ]0.5, [, tc
l t 0.52 0.02498c = 0.5. Gii phng trnh , ta c c = 0.80,
v tin cy l FN (0,1) (0.80) 0.788. C ngha l, ta c th d on
ng c vin A s thng c, vi tin tng l 78.8%.

5.3.3

Khong tin cy cho lch chun

Trong cc v d mc trn, chng ta dng lch chun thc

nghim thay th cho lch chun, khi tnh khong tin cy v
tin cy cho k vng. Cu hi t ra l: vic dng lch chun thc
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Chng 5. Thng k ton hc

nghim thay th cho lch chun c lm gim s chnh xc ca
cc tnh ton nhiu khng? Bn thn vic dng lch chun thc
nghim lm c lng cho lch chuni c tin cy v khong
tin cy ra sao? tr li cu hi , ta c th dng nh l sau, trong
trng hp phn b l normal:
nh l 5.5. Gi s X1 , . . . , Xn l mt b n bin ngu nhin c
P
2 =
lp c cng phn b normal N (, 2 ), v X = ( ni=1 Xi )/n,
1 Pn
2 / 2 c phn b 2 vi n 1 bc t do.
(Xi X)2 . Khi n
i=1

Chng minh ca nh l trn c th suy ra c d dng t cc

tnh cht ca cc phn b normal nhiu chiu (ca vector (X1 , . . . , Xn )),
v mt php bin i tuyn tnh vung gc, tng t nh trong chng
minh nh l Pearson. Cng c th chng minh bng cch tnh hm
c trng hay hm sinh moment.
V d 5.14. Gi s ta bt c 20 con rng. Trung bnh mi con di
10 mt, v lch chun thc nghim ca mu 20 con l 1 mt.
Tnh khong tin cy 90% ca lch chun ca chiu di ca rng?
Ta coi chiu di ca rng c phn b normal vi lch chun , v

gi hm lch chun thc nghim ca mt mu 20 con rng l .

2 / 2 c phn b 2 vi 19 bc t do. tm
Theo nh l trn, 20
19
mt khong tin cy cho vi tin cy 90%, ta c th tm hai s
20.05 v 20.95 sao cho
P (219 20.05 ) = 5% v P (219 20.95 ) = 5%

(5.31)

Dng my tnh hoc tra bng, ta tm c 20.05 10.12 v 20.95

30.14, bi vy
P (10.12 <
240

2
20
< 30.14) 1 5% 5% = 90%.
2
Sputnik Education

(5.32)

5.3. Sai s v tin cy ca c lng

= 1, ta c bt ng thc
Vi gi tr thc nghim
20
10.12 < 2 < 30.14,

tng ng vi

(5.33)

(5.34)

0.81 < < 1.41.

Nh vy, khong tin cy 90% cho l ]0.81, 1.41[. C th thy y l

mt khong kh rng (chnh lch gn 2 ln gia s u v s cui).
L do l v n = 20 tng i nh, nn chnh xc ca c lng
lch chun khng cao.

5.3.4

Phn b Student

Trong cc v d mc trn, ta dng nh l gii hn trung tm,

ri thay lch chun bng lch chun thc nghim
, kt
X
p
X

p
2
lun rng phn b xc sut ca /n (hay ca , trong
/ n

l hm phng sai thc nghim, cn

2 l mt gi tr thc nghim
ca n), c th xp x bng phn b normal chun tc N (0, 1). iu
ny ch ng n khi m n ln. Khi n nh th xp x ny khng
cn tt na, v khi th thay v phn b normal chun tc ta phi
dng cc m hnh phn b khc. Bi vy ta c nh ngha sau:
nh ngha 5.6. Nu X1 , . . . , Xn l mt b n bin ngu nhin c lp
c cng phn b normal N (, 2 ), v
X
,
(5.35)
S/ n
q
P
1 Pn
2
trong X = ( ni=1 Xi )/n v S = n1
i=1 (Xi X) , th phn b
T =

xc sut ca T c gi l phn b Student, hay phn b T (Student

T-distribution), vi n 1 bc t do.
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Chng 5. Thng k ton hc

Ghi ch 5.7. D thy rng, trong nh ngha trn, phn b ca T
khng ph thuc vo v . Phn b T c nh thng k hc ngi
Anh, ng William Sealy Gosset (18761937), a ra vo nm 1908,
khi ang lm vic cho hng bia Guinness Dublin (thng k chn
bia ngon). Do nguyn tc gi b mt ca hng bia, Gosset khng c
php k tn cc bi bo ca mnh vi tn tht, nn ly bt danh l
Student. Khi nim bc t do ca phn b T l do Ronald Fisher a
ra, v n ph hp vi cc cng trnh khc ca Fisher lin quan n
bc t do.

Hnh 5.5: Hm mt ca cc phn b T vi 1, 3 v 30 bc t do

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5.3. Sai s v tin cy ca c lng

Phn b Student rt quan trng trong vic xc nh cc khong
tin cy v tin cy trong trng hp mu thc nghim c c nh.
Bi vy n c nghin cu kh k lng. Cng thc tnh hm
mt ca phn b Student l:
nh l 5.6. Phn b Student T vi 1 bc t do c hm mt
sau:
(x) =

( +1
1
2 )
.

( 2 ) (1 + x2 ) +1
2

(5.36)

Cng thc trn c th suy ra c t cng thc tnh hm mt

ca phn b 2 v t nh l sau.
nh l 5.7. Gi s X1 , . . . , Xn l mt b n bin ngu nhin c
P
lp
cng phn b normal N (, 2 ), v X = ( ni=1 Xi )/n, S =
q c P
n
1
2
i=1 (Xi X) . Khi :
n1
i) X c lp vi cc bin ngu nhin Xi X v vi S.
ii) (n 1)S 2 / 2 c phn b 2 vi n 1 bc t do.
iii) Nu Z c phn b N (0, 1) v U c phn b 2 vi m bc t do, th

Z m/ U c phn b Student T vi m bc t do.
Chng minh ca nh l trn c th suy ra c d dng t cc
tnh cht ca cc phn b normal nhiu chiu.
Theo nh l gii hn trung tm, th phn b Student vi n bc t
do hi t n phn b normal chun tc khi n tin ti v cng. Tuy
nhin, khi n nh, th chnh lch gia phn b Student v phn
b normal chun tc kh cao. Hnh 5.5 l th hm mt ca cc
phn b t vi 1, 3 v 30 bc t do. Khi s bc t do l 30 tr ln th
phn b t gn bng phn b normal chun tc, nhng vi s bc t
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Chng 5. Thng k ton hc

do nh nh, th n dn tri hn nhiu so vi phn b normal chun
tc. C th tnh ton cc gi tr ca hm phn phi xc sut ca phn
b Student T bng cch tra bng hoc dng chng trnh my tnh.
V d 5.15. Tip t v d trong mc trc v rng. V vic xp x
lch chun bng lch chun thc nghim c chnh xc km khi
n = 20, nn ta phi dng phn b T thay cho phn b normal chun

tc khi tnh khong tin cy ca k vng. t T = (X ) n 1/,

trong n = 20 l s con rng bt c (c ca mu), l k vng
l hm
chiu di ca rng, X l hm k vng thc nghim, v
lch chun thc nghim. Khi T tun theo phn b Student T vi
19 bc t do. Gi s ta mun tm khong tin cy 90% cho . Ta cn
tm s c sao cho
P (|T | < c) = 90%.

(5.37)

Tra theo phn b Student T vi 19 bc t do, ta c c 1.729. Bi vy

ta cn gii bt phng trnh

< 1.729,
|(X ) 20 1/|

(5.38)

= 1 (l cc i lng thc nghim). Kt qu l

trong X = 10 v
9.603 < < 10.397

(5.39)

vi tin cy 90%.
Bi tp 5.9. Gi s c mt loi xe t mi, cho 5 ngi chy th 5 xe
khc nhau trn ng cao tc, vi kt qu chy 100km ht ln lt
l 4.53, 3.82, 4.37, 3.91, 4.16 lt xng. Tm khong tin cy cho s lt
xng tiu tn trung bnh ca loi xe ny cho 100km ng cao tc,
vi tin cy 90%.
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5.4. Kim nh cc gi thuyt

5.4

Kim nh cc gi thuyt

Trong phn ny, v phn sau, chng ta s bn n nhng phng

php thng k dng tra li nhng cu hi dng c hay khng
mt hin tng hay hiu ng no . V d: loi thuc cha bnh
cm ny c hiu nghim khng?, c k th gii tnh trong vic tuyn
ngi khng?, cht thi ca nh my ny c lm hi sc khe ca
nhn dn xung quanh khng?, s thch m nhc c thay i theo
tui khng?, c quyn c nh hng xu n kinh t khng?, v.v.
Mi tnh hung c hay khng nh vy c th vit di hng mt gi
thuyt, thng k hiu l H0 , gi l khng thuyt (null hypothesis),
v mt gi thuyt i ngc li n, thng k hiu l H1 hoc Halt ,
gi l i thuyt (alternative hypothesis).
C mt iu m bn c cn ht sc ch . l, mi phng
php kim nh bng thng k ch thch hp trong nhng tnh hung
nht nh, khi cc gi s nht nh c tho mn. Khi c mt vn
kim nh thng k trong thc t cn thc hin, th phi chn la
phng php ng n, v rt c th l phng php m bn c cn
n khng nm trong quyn sch ny (v s phng php th nhiu,
m quyn sch ch gii thiu mt s phng php c s), v bn c
s phi tm hiu su thm v thng k chn la c phng php
thch hp cho vn ca mnh.
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Chng 5. Thng k ton hc

5.4.1

Mt s nguyn tc chung ca kim nh bng thng

k

Tng t nh c lng, vic kim nh gi thuyt bng thng

k khng cho kt qu chnh xc 100%, m ch cho kt qu vi mt
tin cy nht nh no , v c th xy ra sai lm. Cc sai lm c
th phn lm hai loi:
- Sai lm loi 1: ph nhn gi thuyt H0 , chp nhn i thuyt H1 ,
trong khi H0 ng
- Sai lm loi 2: gi gi thuyt H0 , khng chp nhn i thuyt H1 ,
trong khi H1 ng.
C hai loi sai lm u c th gy ra nhng hu qu khng tt.
Ty tng trng hp m nh gi xem sai lm loi no dn n hu
qu nghim trng hn, v cn trnh hn. V d, trong trng hp
cht thi c th gy ung th: nu theo thng k, H0 xy ra vi
tin tng 80% (tc l vi tin tng 80%, cht thi khng gy ung
th) v ch c 20% l H1 (cht thi gy ung th) xy ra, th nh th
cng qu nguy him vi tnh mng con ngi, v trong trng
hp ny khng chp nhn c H0 (tc l khng th cho nh my
thi cht thi nh vy). Nhng ngc li, nu i vi mt loi thuc
mi, kim nh thng k cho thy H0 (gi thuyt thuc khng c tc
dng) c trn 5% kh nng xy ra, th ni chung thuc cha c
B Y T ca cc nc chp nhn, v phi nghin cu v th nghim
thm cho n khi chng t c l H1 (gi thuyt thuc c tc dng)
l ng n vi tin tng rt cao (t ra trn 95%) th thuc mi
c chp nhn.
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5.4. Kim nh cc gi thuyt

Khi kim nh bng thng k, cc gi thuyt v i thuyt thng
c th pht biu li di dng: mt i lng no (m ta khng
bit, mun c lng) nm trong mt on thng no , vi tin
cy no . Bi vy, cc bi ton kim nh c th coi nh l nhng
trng hp c bit ca cc bi ton c lng. V d, nu H0 l, khi
bu vo quc hi, n b cng c xc sut c bu nhiu nh n
ng, th H0 c th b loi b v H1 c chp nhn nu nh c
lng cho thy xc sut ngi c bu vo quc hi l n ng
nm trong on ]1/2, [, vi tin cy trn 99%.
Nhc li rng, trong vn c lng, tin cy c coi bng
xc sut mt kt qu thng k thc nghim nm trong mt min
no , khi m i lng m ta mun c lng nm trong mt
khong no (khong tin cy). Ta t tin cy , khi m kt qu
thng k thc nghim ca ta nm trong min cn thit. Trong v d
bu c quc hi, th i lng m ta mun c lng l xc sut
mt ngi c bu c l n b. C hai cch pht biu iu kin:
hoc l xc sut ngi c bu l n b khng nh hn 50%
hoc l xc sut ngi c bu l n b bng 50%. Gi s kt
qu thng k y l s ngi c bu vo quc hi l n ng l
mt s N. Khi xc sut ( tin cy) y c th vit l
P1 = P (x.s. ng. c bu l n 50% | s ng. c bu l nam = N ),

hoc l
P = P (s ng. c bu l nam N | x.s. ng. c bu l n = 50%),

i lng P cui cng l ci m ta c th tnh c trc tip bng

cc cng thc xc sut, cn P1 v P2 l tin cy, ta khng tnh trc
tip, m l lun rng chng c th coi l (gn) bng P . Ch rng ta
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247

Chng 5. Thng k ton hc

khng vit
P (x.s. ng. c bu l n = 50% | s ng. c bu l nam = N ),

hoc l
P (s ng. c bu l nam = N | x.s. ng. c bu l n = 50%),

v nu dng ng thc c s kin v iu kin, th xc sut ni

chung s rt nh, d thc t xy ra th no, v bi vy khng dng
n kim nh c.
Gi tr P = (xc sut s ngi c bu l n ng N di
iu kin: xc sut ngi c bu l n b = 50%) c gi l
gi tr P cho gi thuyt H0 (xc sut ngi c bu l n b =
50%). N l xc sut sao cho gi tr ca thng k ( y l s n
ng c bu) bng hoc thi qu hn l gi tr thc nghim nhn
c ( y l s N ). Trong trng hp chung, ta c nh ngha sau:
nh ngha 5.7. Gi tr P (P-value) l xc sut gi tr ca mt
thng k no ri vo mt min no , khi m gi thuyt H0 ng:
P = P (G A | H0 ),

(5.40)

trong G l mt thng k v A l min gm nhng gi tr bng hoc

thi qu hn so vi gi tr thc nghim ca G.
Nguyn tc kim nh nh sau: C nh mt s no (v d
= 1% hoc = 5%). Nu gi tr P nh hn th chp nhn i
thuyt H1 , cn nu P th gi gi thuyt H0 .
V d 5.16. Tung mt ng tin 20 ln, ra 2 ln mt sp v 18 ln
mt nga. C th coi ng tin l cn bng (hai mt sp v nga
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5.4. Kim nh cc gi thuyt

u c xc sut 50%) khng? Gi thuyt H0 l ng tin cn bng.
Gi X l bin ngu nhin s ln hin mt sp trong 20 ln tung.
Gi tr P y l: P = P (X 2 | xc sut hin mt sp = 50%) =
0 + C 1 + C 2 )/220 0.02%. Gi tr ny qu nh c th chp
(C20
20
20

nhn gi thuyt H0 .
Gi tr P pha trn c th coi l xc sut xy ra sai lm loi 1.
N thch hp cho nhng trng hp m sai lm loi 1 l ci cn ch
n (hn so vi sai lm loi 2). Nu cn ch n sai lm loi 2,
th phi tnh xc sut xy ra sai lm loi 2, thay v xc sut xy
ra sai lm loi 1. (Phng php lm hon ton tng t).
Bi tp 5.10. (Tui ly chng Roma thi c i). C mt l thuyt
ca cc nh kho c hc cho rng, tui ly chng ln u trung bnh
Roma thi c i l khong 19 tui, v l cc m ph n m c
vn bia (epitaph) l do ngi cha vit th tui trung bnh di 19,
con do chng vit th tui trung bnh trn 19. (Ngi ta gi thuyt
rng ph n c chng khi cht th vn bia do chng vit, cn cha
c chng th do cha vit). Th nhng, theo mt ghi chp lch s, tui
ly chng ln u ca 26 ph n Roma c i c ghi l: 11, 12,
12, 12, 12, 13, 13, 13, 13, 13, 14, 14, 14, 14, 14, 14, 15, 15, 15, 15,
15, 15, 16, 16, 17, 17(6) . Gi H0 l gi thuyt tui ly chng trung
bnh Roma c i l 19, v gi s rng tui ly chng c phn b
normal, vi lch chun coi bng lch chun mu ca mu thc
nghim vi 26 gi tr trn, tc l bng 1.57. Chng minh rng gi tr
P nh hn 1% (Gi : c th dng bt ng thc Chebyschev).
(6)

Theo: A. Lelis, W. Percy, B. Verstraete, The age of first mariage in ancient Rome,

Edwil Mellen Press, 2003; trch li t [7].

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Chng 5. Thng k ton hc

5.4.2

Kim nh Z v kim nh T cho k vng

Bi v bi ton kim nh c th coi l trng hp c bit ca bi

ton c lng, nn cc phn b hay c dng tnh khong tin
cy trong c lng cng xut hin trong kim nh. Hai loi phn b
hay gp nht l: phn b normal chun tc (dng trong trng hp
mu thc nghim ln), v phn b T (cho mu thc nghim nh, vi
gi s l phn b xc sut ban u l normal hc gn ging normal).
Cc kim nh dng phn b normal chun tc c gi l kim nh
Z, cn cc kim nh dng phn b Student T c gi l kim nh
T. Chng hn, ta c nh ngha sau:
nh ngha 5.8. Kim nh Z cho gi tr k vng l kim nh gi
thuyt dng thng k
Z=

X 0
X 0

,
hoc l Z =
/ n

/ n

(5.41)

trong :
i) X l gi tr trung bnh ca mt mu thc nghim c n ca mt bin
ngu nhin X
ii) Gi thuyt y l v k vng = E(X) ca X. Gi thuyt H0 l
= 0 , v i thuyt l 6= 0 (hoc l H0 : 0 , H1 : > 0 ;
hoc l H0 : 0 , H1 : < 0 ).
iii) Hoc l X c gi s l c phn b normal vi lch chun
bit trc, hoc l n ln sao cho c th coi l Z c phn b normal
chun tc, v thay v dng ta dng
, trong
2 l phng sai thc
nghim (cho bi cng thc (5.3)).
Tng t nh vy, c th nh ngha kim nh T cho gi tr k
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5.4. Kim nh cc gi thuyt

vng, tc l kim nh dng thng k T =

X 0
, v coi rng T c
n
/

phn b Student T vi n 1 bc t do.

V d 5.17. (Thuc cm). Gi s mt hng dc phm mun kim
nh s hiu nghim ca mt loi thuc cm mi. Thuc c a
cho 100 ngi bnh ngu nhin s dng khi bt u c triu chng
cm. Gi s mt ngi b cm m khng cha bng thuc, th qu
trnh b cm ko di trung bnh 7 ngy. Gi X l Gi s di trung
bnh ca t b cm ca nhng ngi c th cho dng thuc mi
l X = 5.3, vi lch chun thc nghim l 1.5 ngy. Hi thng tin
ny c chng t thuc c hiu nghim khng ?
V X = 5.3 < 7 nn chng ta mun chp nhn i thuyt H1
(thuc hiu nghim). Nhng trc khi chp nhn n, chng ta cn
phi khng nh c rng gi tr P y,
P = P (X 5.3|H0 ),
rt nh. Gi thuyt H0 y c th hiu l s kin E(X) = 7, tc l
nu em thuc mi dng i tr, th k vng ko di ca t cm
khng khc g so vi nu khng dng thuc). Thay v tnh P (X
5.3|E(X) = 7), ta c th ch cn kim tra xem P (X 5.3|E(X) =
7) < hay khng, trong l mt s rt nh no , v d = 1%.
lm iu , ta cn gii phng trnh
P (X c|E(X) = 7) = ,

(5.42)

ri kim tra xem iu kin 5.3 < c c c tha mn khng.

Mu thc nghim y l ln (n = 100) p dng nh l
gii hn trung tm v dng kim nh Z. Ni cch khc, ta c th coi
Sputnik Education

251

Chng 5. Thng k ton hc

100(X E(X))
10(X E(X))
=
l mt bin ngu nhin vi
(X)
(X)
phn b normal chun tc N (0, 1). Khi X c tng ng vi
Z=

10(cE(X))
.
(X)

Ta s coi (X) bng lch chun thc nghim, tc

l (X) = 1.5, v E(X) = 7. Nh vy

P (Z

10(c 7)
)
1.5

(5.43)

l gi tr ca hm phn phi xc sut ca phn b normal chun

tc ti im

10(c7)
1.5 .

t = 1%, ta c

10(c7)
1.5

2.33, tc l

c (7 2.33) 1.5/10 6.65. V 5.3 < 6.65, nn P < = 1% , v ta

c th chp nhn i thuyt H1 , tc l thuc c hiu nghim.
Bi tp 5.11. Trong mt trang tri nui b ln, trng lng trung
bnh ca b l 520kg. Mt loi thc n mi nhm tng trng lng
cho b c em th trn 50 con b chn ngu nhin. Cc con b
c th t trng lng trung bnh l 528kg vi lch chun 25kg.
Hi thc n mi c hiu nghim khng ? (Dng kim nh Z).
Bi tp 5.12. Mt hng xe t tuyn b l mt loi xe mi do hng
sn xut ch tiu tn trung bnh 3.0 lt xng cho 100km trn ng
cao tc. Mt t chc c lp kim tra khng nh ny, bng cch cho
5 ngi chy th 5 xe khc nhau ca loi xe mi , v kt qu l:
2.90, 2.95, 3.10, 3.35, 3.45 (lt/100km). Da theo s liu ny, hy
xc nh xem tuyn b ca hng xe t c chp nhn c khng
? Gi s cho 5 ngi khc chy th thm 5 xe, v c thm 5 kt
qu l 2.95, 3.00, 3.15, 3.30, 3.40. Kim nh li xem tuyn b ca
hng xe t c chp nhn c khng, da trn tng cng 10 kt
qu. (Dng kim nh T).
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Sputnik Education

5.4. Kim nh cc gi thuyt

Bi tp 5.13. Cc trm cung cp nc cho thnh ph phi kim tra
cht lng nc hng gi, trong c kim tra pH. Mc tiu l
gi pH ca nc qung 8.5 (hi c tnh kim: trn 7 l kim,
di 7 l axt). Mt ln kim tra 15 mu nc mt trm, thy rng
pH trung bnh ca cc mu bng 8.28 v lch chun l 0.14.
Hi rng c c s kt lun rng pH trung bnh ca nc
vo thi im khc 8.5 ? (Dng kim nh T).

5.4.3

Kim nh so snh hai k vng

Gi s ta mun so snh k vng ca hai bin ngu nhin X v Y

vi nhau, da trn mt mu thc nghim c nX ca X v mt mu
thc nghim c nY ca Y . Gi thuyt H0 l E(X) = E(Y ) + (hoc
E(X) E(Y ) + ) v i thuyt H1 l E(X) 6= E(Y ) + (hoc
E(X) > E(Y ) + ). y l chnh lch gia hai k vng theo
gi thuyt.
Khi n v m ln, th da theo nh l gii hn trung tm v c
X E(X)
Y E(Y )
v
lng ca lch chun, ta c th coi rng

X / nX
Y /nY

l hai bin ngu nhin c lp c phn b normal chun tc, trong

X
X l hm k vng thc nghim ca X (vi c thc nghim nX ),
l hm lch chun thc nghim ca X, v tng t nh vy cho
(X E(X)) (Y E(Y ))
r
Y . T suy ra ta cng c th coi rng
c
2

X
nX

Sputnik Education

Y
nY

253

Chng 5. Thng k ton hc

phn b normal chun tc. Bi vy ta c th t
X Y
Z=r
.
2

X
nX

(5.44)

Y
nY

Nu gi thuyt H0 l ng, tc l E(X) = E(Y ) + th Z c phn b

normal chun tc. Kim nh da trn gi tr thc nghim ca thng
k Z ny c gi l kim nh Z hai mu (two sample Z test) so
snh hai k vng.
V d 5.18. (Aspirin chng au tim). Trong mt t th nghim ln,
22071 bc s tham gia th nghim lm sng v tc dng ca Aspirin
chng au tim. Cc bc s c chia mt cch ngu nhin thnh hai
nhm: nhm 1 gm 11037 ngi, c cho dng Aspirin, cn nhm
hai gm 11034 ngi c cho dng placebo (khng c thuc).
Khng ai c bit mnh thuc nhm c cho thuc hai l nhm
placebo. Kt qu th nghim cho thy: 104 ngi thuc nhm dng
aspirin b ln cn au tim (heart attack), v nhm placebo c 189
ngi b ln cn au tim, nhng ngi cn li khng b. Hi thuc c
hiu nghim chng au tim khng ?
Trong bi ton ny, c th t X l bin Bernoulli, bng 1 nu b
au tim, bng 0 nu khng b au tim, trn qun th nhng ngi
khng dng aspirin. K vng ca X l xc sut b au tim vi iu
kin l khng dng aspirin. Bin Y tng t, nhng cho nhng ngi
c dng aspirin. Thuc hiu nghim nu kim nh cho thy k vng
ca Y phi nh hn k vng ca X. C th coi H0 l gi thuyt k
vng ca Y bng k vng ca X. Ta c mt mu thc nghim ca
X vi c 11034, k vnng thc nghim l 189/11034, v phng sai
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Sputnik Education

5.4. Kim nh cc gi thuyt

mu l (1 - 189/11034).189/11034. Tng t nh vy cho Y . Gi tr
ca thng k Z bng:
189
11034

(1189/11034).189/11034
11034

104
11037

5.

(1104/11037).104/11037
11037

V P = PN (0,1) ([5, +[) < 1/106 l con s qu nh, nn ta c th d

dng loi b H0 v chp nhn i thuyt H1 , tc l aspirin c hiu
nghim chng ln cn au tim.
Trong trng hp m mu thc nghim ca X v Y c c nh(cc
s nX v nY nh), kim nh Z khng cn chnh xc. C th thay th
n bng kim nh T hai mu (two sample T test), nu nh X v Y
c phn b (gn ging) phn b normal, v c coi l c phng sai
bng nhau. Thng k T y l
T =r

X
nY

X Y
.
2 q n +n

+ nXY . nXX+nY Y2

(5.45)

Vi gi s rng H0 l ng (E(X) E(Y ) = ), th T c phn b

Student T vi nX + nY 2 bc t do(7) .
V d 5.19. Gi s mt ngi nghin cu x hi mun iu tra xem
nhng ngi tr tui 20-30 v nhng ngi gi tui trn 70,
c hi lng v cuc sng hin ti nh nhau khng. Ngi ny phng
vn ngu nhin 10 ngi gi v 12 ngi tr, v nh gi hi lng
theo thang im t 0 n 100 (100 l hon ton hi lng). Gi s cc
(7)

Nu X v Y c phng sai khc nhau, th c mt kim nh T tng t, gi l

Welchs T test, cng dng phn b T, nhng vi s bc t do c tnh mt cch phc

tp hn.

Sputnik Education

255

Chng 5. Thng k ton hc

kt qu nhn c l:
Ngi tr: 77, 68, 82, 55, 91, 63, 78, 56, 47, 80, 78, 60;
Ngi gi: 76, 35, 66, 53, 85, 38, 47, 66, 72, 61.
Gi thuyt H0 l ngi tr v ngi gi c hi lng v cuc sng
nh nhau. Mu thc nghim y tng i nh, khng thch hp
cho kim nh Z, nhng ta c th dng kim nh T. Gi X l bin
hi lng ca mt ngi tr, Y l bin hi lng ca mt ngi
gi. Theo hai mu thc nghim trn, ta c:
X = 13.36, nY = 10, Y = 59.90,
Y = 16.41.
nX = 12, X = 69.58,
C th tnh ra thng k T y c gi tr bng (69.5859.90)/6.3415
1.526, v s bc t do l 10 +12 - 2 = 20. Ta c gi tr P bng
P = P (|T20 | 1.526) 14.3%, trong T20 l k hiu bin ngu
nhin c phn b Student T vi 20 bc t do. Tuy rng X = 69.58
chnh lch vi Y = 59.90 kh nhiu, nhng m gi tr P y bng
14.3% l mt con s khng nh c th loi b gi thuyt H0 .
Ngi nghin cu ny phi iu tra thm trc khi c th kt lun l
hi lng v cuc sng ca ngi tr cao hn ngi gi.
Bi tp 5.14. Gi s khi kho st 30 hc sinh nam v 30 hc sinh
n mt trng hc ln, thy im ton trung bnh ca 30 hc sinh
nam l 7.0 vi lch chun 1.4, cn ca 30 hc sinh n l 7.4 vi
lch chun 1.5. C th kt lun c rng hc sinh n gii ton
hn hc sinh nam trng ny c khng ? (Dng kim nh Z).
Bi tp 5.15. Ngi ta mun kim tra hiu qu ca mt chng trnh
x hi chm sc ph n nh ngho ang c thai. Kho st trn 50
a tr sinh ra t cc ph n tham gia chng trnh ny cho thy cc
256

Sputnik Education

5.4. Kim nh cc gi thuyt

a tr ny lc sinh ra nng trung bnh 3000 gam, vi lch chun
410 gam. so snh, ngi ta kho st 50 a tr sinh ra t cc ph
n nh ngho khng tham gia chng trnh, v thy rng nhng a
tr ny lc sinh ra c cn nng trung bnh l 2650 gam vi lch
chun 425 gam. Kim nh xem chng trnh ny c gip lm tr em
nh ngho t cn nng cao ln khi sinh ra khng ?
Bi tp 5.16. Mt vin dng lo lm th nghim sau: chn 30 ngi
gi ngu nhin trong vin, chia lm 2 nhm mi nhm 15 ngi.
Cho mi ngi mt ci cy cnh. Yu cu nhng ngi nhm u
tin hng ngy chm sc cy, cn khng yu cu nhng ngi trong
nhm th hai chm sc cy. Ghi li s ln than phin v sc khe ca
nhng ngi trong hai nhm trong vng 1 tun sau khi cho cy. Kt
qu l:
Nhm 1 (c yu cu chm sc cy): 23, 12, 6, 15, 18, 5, 21, 18,
34, 10, 23, 14, 19, 23, 8.
Nhm 2 (khng yu cu chm sc cy): 35, 21, 24, 26, 17, 23, 37,
22, 16, 38, 23, 41, 27, 24, 32. Hy xem vic chm sc cy c nh
hng n s ln than phin v sc khe khng. (Dng kim nh
T).

5.4.4

Kim nh F so snh hai lch chun

Nhc li rng, nu bin ngu nhin X c phn b normal N (, 2 ),

2 l hm phng sai mu ca X vi c thc nghim n, th n
2 / 2
v
c phn b 2 vi n 1 bc t do. Do , c th dng cc phn b
2 trong vic c lng v kim nh v phng sai v lch chun
ca X (vi gi s phn b ca X l normal).
Sputnik Education

257

Chng 5. Thng k ton hc

Tng t nh vy, trong trng hp X v Y l hai bin ngu
nhin vi phn b normal, th kim nh so snh lch chun
ca X vi lch chun ca Y , ta c th dng cc phn b sau:
nh ngha 5.9. Gi s 2m v 2n l hai bin ngu nhin c lp c
phn b 2 vi m v n bc t do tng ng. Khi phn b xc sut
ca bin ngu nhin
Fm,n =

n2m
2m /m
=
2n /n
m2n

(5.46)

c gi l phn b F vi m v n bc t do.
Kim nh dng phn b F so snh lch chun gi l kim
nh F. Ta gi s rng X v Y c phn b normal vi lch chun
1 v 2 tng ng. Gi thuyt H0 l 1 = 2 Gi S12 v S22 l cc
hm phng sai mu hiu chnh ca X v Y vi c thc nghim n1
v n2 tng ng. Nu 1 = 2 th S12 /S22 c phn b F vi n1 1 v
n2 1 bc t do.
Ghi ch 5.8. Phn b F c gi nh vy l theo ch ci u ca tn
ca Ronald Fisher. Kim nh F ch thch hp khi cc phn b ca X
v Y l normal hoc rt gn ging normal (n khng c robust
lm, khi phn b chch i khi normal).
V d 5.20. (Cch o lng no chnh xc hn). Gi s c hai cch
o hm lng cht arsenic trong t. Mi cch c th 10 ln (cho
cng mt ch t), vi cc kt qu nh sau (ppm c ngha l partsper-million, t l tnh theo phn triu):
258

Sputnik Education

5.5. Kim nh 2
Cch

Trung bnh (ppm)

lch chun mu hiu chnh (ppm)

7.7

0.8

II

7.9

1.2

Phng php no c lch chun thp hn th c coi l phng

php o c chnh xc cao hn. Ta mun kim nh xem c
chng c coi rng phng php I chnh xc hn phng php
II khng. Gi tr ca thng k F y l (0.8)2 /(1.2)2 = 0.4444.
Cc s bc t do l 10 1 = 9 v 10 1 = 9. Tra my tnh, ta c
P (F9,9 0.4444) 12%, l mt con s nh, nhng cha nh
loi b gi thuyt H0 (l hai phng php c chnh xc nh
nhau), cn th nghim thm.
Cng thc tnh hm mt ca cc phn b F nh sau. N c
th c suy ra t cng thc hm mt cho cc phn b 2 .
nh l 5.8. Phn b F vi m v n bc t do c hm mt sau:

nu x 0
0
(m/2)1
(5.47)
fm,n (x) =
x

nu
x
>
0,
c
(mx + n)(m+n)/2
trong
c=

5.5

((m + n)/2)mm/2 nn/2

.
(m/2)(n/2)

(5.48)

Kim nh 2

Kim nh ki bnh phng (2 test) l kim nh thng c

dng kim tra mt gi thuyt v tnh ng n (goodness-of-fit)
Sputnik Education

259

Chng 5. Thng k ton hc

mt m hnh xc sut vi hu hn cc s kin thnh phn =
{A1 , A2 , . . . , As }. (Khi khng gian xc sut l v hn, th ngi ta
chia n ra theo mt phn hoch hu hn dng kim nh ny).
Gi thuyt H0 y c th hiu l cc xc sut P (Ai ), i = 1, . . . , s,
phi bng cc s pi no (hoc tha mn cc iu kin g ) cho
bi m hnh. Thay v kim nh tng gi thuyt P (Ai ) = pi cho tng
s kin thnh phn (tc l phi lm s kim nh), ta s lm mt kim
nh chung cho ton b m hnh xc sut.
Mu thc nghim y l mt dy n kt qu, mi kt qu c
dng xy ra s kin Ai . Ta gi ni l s ln xy ra Ai trong mu.
P
( si=1 ni = n). S ni c th hiu l mt gi tr thc nghim ca bin
ngu nhin Ni = s ln xy ra Ai trong n ln th nghim. cho
d hiu, ta s phn bit hai trng hp: 1) Cc xc sut pi l c nh
v c cho trc trong m hnh; 2) M hnh xc sut ph thuc k
tham s no (v d nh m hnh phn b Poisson ph thuc tham
s ), cc tham s c c lng t mu thc nghim , v cc
xc sut pi c xc nh t cc tham s .

5.5.1

Trng hp m hnh xc sut c nh

Theo nh l Pearson 4.15, khi n ln , phn phi xc sut ca

bin ngu nhin
X (Ni P (Ai )n)2
i=1

P (Ai )n

(5.49)

c th xp x bng phn phi 2 vi s 1 bc t do, vi sai s

nh c th b qua. (Nhc li rng, phn phi 2 vi s 1 bc t do
2 ,
l phn phi xc sut ca bin ngu nhin 2s1 = Z12 + . . . + Zs1

260

Sputnik Education

5.5. Kim nh 2
tng bnh phng ca s 1 bin ngu nhin Zi c lp c cng phn
b normal chun tc N (0, 1)). Gi tr thc nghim

2 =

s
X
(i pi n)2
i=1

pi n

(5.50)

(khi gi s rng P (Ai ) = pi l cc s cho trc trong m hnh) c

th coi l mt gi tr thc nghim ca 2s1 . Mt cch d nh vit
cng thc ca thng k
2 l:

2 =

X (observedi expected )2
i
,
expectedi

(5.51)

trong observed c ngha l cc gi tr thc nghim, cn expected l

cc gi tr k vng tng ng (ca s ln xy ra cc s kin).
V thng k
2 l s khng m, v o sai s gia m hnh phn
b xc sut v phn b thc nghim, nn
2 cng nh th chng t m
hnh cng khp vi thc nghim. Nh y l nh so vi phn phi
ca 2s1 . Bi vy, nu P (2s1
2 ) cng cao th tin tng ca ta
vo m hnh (gi thuyt H0 ) cng cao. Nu P (2s1
2 ) > , vi
l mt s cho trc theo qui c (thng thng ngi ta ly = 5%,
nhng cng c khi ly = 10% hay 1%) th gi thuyt H0 c chp
nhn, cn nu P (2s1
2 ) < th ngi ta chp nhn i thuyt
H1 , tc l coi rng m hnh b sai.
Trong thc t, trnh sai s qu cao khi p dng nh l Pearson,
ngi ta thng i hi c n ca mu phi ln sao cho pi n 10
vi mi i = 1, . . . , s (hoc t ra l vi hu ht cc ch s i). Nhng
s kin Ai vi pi n < 10 l nhng s kin qu him c th kim
nh xc sut ca chng bng kim nh 2 .
Sputnik Education

261

Chng 5. Thng k ton hc

V d 5.21. Mt ngi chi tung xc sc. Tung mt con xc sc 120
ln, trong c 35 ln hin ln s 6. Hi c s thin v s 6 (chng
hn c s gian ln, hay qun xc sc khng cn bng) y khng,
hay l s 6 hin ln nhiu l hon ton do ngu nhin ?
M hnh xc sut y gm hai s kin: A = hin ln s 6, vi
xc sut (nu gi s khng c thin v) l 1/6, v A = hin ln s
khc 6, vi xc sut 5/6. S ln thc nghim hin ln 6 l 35 so vi
k vng l 120/6 = 20, cn s ln hin ln khc 6 l 120 35 = 85 so
vi k vng l 100. Thng k
2 y l:

2 =

(35 20)2 (85 100)2

+
= 13, 5.
20
100

Ta c P (21 13, 5) < 1%. Nh vy gi thuyt H0 b loi b, v i

thuyt s 6 c thin v c chp thun.
Tt nhin, v d trn rt n gin, vi s bc t do l 1, v thay v
lm kim nh ki bnh phng, ta c th lm kim nh Z cho xc sut
ca s kin hin ln s 6, cng s ra kt qu tng ng. Nhng nu
thay v ch kim nh xem s 6 c c thin v khng, ta mun kim
nh cng mt lc tt c cc s ca xc sc xem c s no c thin
v khng, th ni chung s phi dng n ki bnh phng.
V d 5.22. Mt ngi tung xc sc 120 ln, c 28 ln hin s 1, 14
ln hin s 2, 26 ln hin s 3, 18 ln hin s 4, 15 ln hin s 5, 19
ln hin s 6. Hi rng xc sc c cn bng khng ? Gi thuyt cn
bng H0 y l xc sut hin ln mi s trong mi ln tung u
l 1/6. K vng s ln hin ra mi s trong 120 ln tung u l 20.
(14 20)2
(26 20)2
(28 20)2
+
+
+
Thng k
2 y l:
2 =
20
20
20
262

Sputnik Education

5.5. Kim nh 2
(18 20)2 (15 20)2 (19 20)2
+
+
= 8, 3.
20
20
20
Tra bng phn phi xc sut ca 25 , ta c P (25 8, 3) 14%.
Con s 14% ln chp nhn gi thuyt H0 .

5.5.2

Trng hp m hnh xc sut c c lng theo

tham s

Nhc li rng, khi cc xc sut pi = P (Ai ), i = 1, . . . , s l c

cho trc trong m hnh v ta cn kim nh chng, th s bc t do
ca phn b 2 tng ng l s 1. L do l v ta c mt rng buc
Ni pi n
, c th l:
tuyn tnh gia s bin ngu nhin p
pi (1 pi )n
s p
X
X Ni pi n
Ni pi n

pi (1 pi ) p
=
= 0.
n
p
(1

p
)n
i
i
i=1
i

(5.52)

Gii hn ca phn b xc sut ng thi ca b s bin ngu nhin

ny l mt phn b normal s chiu nhng c rank bng s1 v c mt
rng buc tuyn tnh, nn n c th nhn c t phn b normal
chun tc s 1 chiu qua mt php bin i tuyn tnh, v bi vy ta
ch c s 1 bc t do.
Khi cc xc sut pi = P (Ai ), i = 1, . . . , s khng c cho trc
trong m hnh, m ph thuc vo k tham s 1 , . . . , k no ca
m hnh phn b xc sut, v k tham s ny c c lng t mu
thc nghim, th thay v 1 rng buc tuyn tnh, ta c k + 1 rng buc
Ni pi n
. Bi vy, trong
tuyn tnh gia cc bin ngu nhin p
pi (1 pi )n
X (Ni pi n)2
(vi k + 1
trng hp ny, phn phi xc sut ca
pi n
i=1

Sputnik Education

263

Chng 5. Thng k ton hc

iu kin rng buc ) khng tin ti phn phi xc sut ca 2s1
(vi s 1 bc t do) na, m tin ti phn phi xc sut ca 2sk1
(vi s k 1 bc t do). Khng nh ny c th c chng minh
tng t nh nh l Pearson 4.15. Bi vy, trng hp khi m m
hnh xc sut c k tham s c c lng, c kim nh hon
ton tng t nh trng hp khng c tham s, nhng bc cui
cng phi dng phn phi xc sut 2 vi s k 1 bc t do thay
2 ) > th gi thuyt H0 c
v s 1 bc t do: Nu P (2sk1
2 ) < th chp nhn i thuyt
chp nhn, cn nu P (2sk1
H1 .
V d 5.23. Chng ta s kim nh gi thuyt s v n mng xy ra
London hng ngy tun theo phn b Poisson, da theo s liu
thng k trong v d 5.4. Ta c bng thng k sau:
i

ni

713

299

66

16

trong ni l s ngy xy ra i n mng trong vng 3 nm, t 04/2004

n 03/2007. Tng s ngy y l 713 + 299 + 66 + 16 + 1 = 1095
ngy.
Trc ht ta c lng tham s ca phn b Poisson trong gi
thuyt. Nu X l bin ngu nhin tun theo phn phi Poisson vi
tham s , th = E(X). Bi vy ta c lng bng k vng ca
mu thc nghim:
P4
ini
1
=
(0713+1299+266+316+41) 0, 4411.
= Pi=0
i
1095
i=0 ni
Gi p0i l xc sut ca s kin trong ngy c i v git ngi theo
264

Sputnik Education

5.5. Kim nh 2
m hnh phn phi Poisson vi tham s . Khi
p0i = (0, 4411)i e0,4411 /i!, i = 0, 1, 2, . . .
Vic c lng (v qua p0i ) nh trn to thm mt rng buc
Ni p0i n
tuyn tnh sau y cho cc bin ngu nhin p
, ngoi
p0i (1 p0i )n
rng buc cho bi phng trnh (5.52), c th l:
X Ni p0i n
i
= 0.
n
i

Nhn n = 1095 vi p0i , ta c bng sau, vi cc gi tr k vng np0i

v s ngy c i v git ngi trong vng 3 nm: ta c bng sau:
i

np0i

704,44

310,73

68,53

11,28

bng trn, ta gp cc s cc s np0i , i 3, li vi nhau, c

mt gi tr ln hn 10 (cc s bt u t np04 tr i qu nh: np04
1, 1 , np05 0, 1 , np06 < 0, 01 , . . .). Tc l ta s kim nh m hnh
phn b Poisson n gin ha, vi ch c 4 s kin thnh phn, ng
vi s v git ngi trong ngy nh sau: 0, 1, 2, 3.
Gi tr ca thng k
2 y l:

(713 704, 44)2 (299 310, 73)2

+
704, 44
310, 73
(66 68, 53)2 (17 11, 28)2
+
+
3, 54.
68, 53
11, 28

V trong m hnh phn b xc sut c k = 1 tham s c tnh

bng c lng (tham s ), nn phn b xc sut 2 cn dng y
Sputnik Education

265

Chng 5. Thng k ton hc

c s bc t do bng 4 1 1 = 2. Ta c
P (22
2 ) P (22 3, 54) 17%,
l con s kh ln (ln hn 10%). Bi vy gi thuyt H0 (rng s v
n mng hng ngy tun theo phn b Poisson) c chp nhn.

5.5.3

Kim nh 2 cho s c lp

Khi ta mun kim tra xem hai s kin hay hai bin ngu nhin
no c c lp vi nhau khng, ta cng c th dng 2 . Chng
hn, gi s ta c bin ngu nhin X nhn m gi tr x1 , . . . , xm , v
bin ngu nhin Y nhn n gi tr y1 , . . . , yn . Gi thuyt H0 : X c
lp vi Y c ngha l P (i, j) := P (X = xi , Y = yj ) = P (X =
xi )P (Y = yj ) vi mi i, j. M hnh gian xc sut y c mn phn
t (X = xi , Y = yj ). M hnh xc sut y c m + n 2 tham
s, c ngha l nu ta c lng c m + n 2 gi tr P (X =
x1 ), . . . , P (X = xm1 ), P (Y = y1 ), . . . , P (Y = yn1 ), th ta bit c
ton b phn b xc sut ca khng gian xc sut (nu chp nhn
gi thuyt P (X = xi , Y = yj ) = P (X = xi )P (Y = yj ) vi mi i, j).
Bi vy, s bc t do ca phn b 2 cn dng trong kim nh gi
thuyt H0 y l: mn (m + n 2) 1 = (m 1)(n 1).
V d 5.24. Ngi ta mun kim nh xem tui ca ngi c nh
hng n khuynh hng chnh tr khng. n gin, trong v d
ny ta chia cc khuynh hng chnh tr ra lm 3 khuynh hng: phi
t, phi hu, v trung lp. V ta cng chia cc tui ra lm 3: di
30 tui, t 30 n 50, v trn 50 tui. Bng sau l mt bng thng
266

Sputnik Education

5.5. Kim nh 2
k thm d khuynh hng ca 500 ngi c chn mt cch ngu
nhin:
Tui / Khuynh hng

Phi t

Phi hu

Trung lp

Tng

Di 30

45

35

38

118

30 n 50

62

60

95

217

Trn 50

48

49

68

165

Tng

155

144

201

500

Gi s tui v khuynh hng chnh tr c lp vi nhau. Khi ,

da vo cc s tng trong bng trn, c lng k vng ca s ngi
di 30 tui theo phi t trong s 500 ngi s l 155 118/500 =
36, 58, v tng t nh vy cho cc khc. Thng k
2 y l:
(45 36, 58)2 (62 67, 27)2 (48 51, 15)2
+
+
36, 58
67, 27
51, 15
(35 33, 984)2 (60 62, 496)2 (49 47, 52)2
+
+
+
33, 984
62, 496
47, 52
2
2
(38 47, 436)
(95 87, 23)
(68 66, 33)2
+
+
+
5, 329.
47, 436
87, 23
66, 33

2 =

S bc t do y l (m 1)(n 1) = (3 1)(3 1) = 4. Ta c
P (24 5, 329) > 25%. Nh vy ta chp nhn gi thit H0 : tui
khng nh hng (ng k) ti khuynh hng chnh tr.
Bi tp 5.17. (Sinh vin n c b k th?). Mt iu tra nm 1975
mt trng i hc hng u trn th gii v s sinh vin nam v n
xin hc v c nhn vo hc cc chng trnh sau i hc 3 khoa
ln nht trng cho kt qu thng k sau:
Sputnik Education

267

Chng 5. Thng k ton hc

c nhn

B t chi

Nam

526

550

313

698

Hy kim nh xem c c s thng k ni rng sinh vin n

kh c nhn vo hc sau i hc hn so vi sinh vin nam khng?

5.6

Phn tch hi qui

Hi qui (regression) l phng php thng k ton hc c

lng v kim nh cc quan h gia cc bin ngu nhin, v c th
t a ra cc d bo. Cc quan h y c vit di dng cc
hm s hay phng trnh.
tng chung nh sau: gi s ta c mt bin ngu nhin Y , m ta
mun c lng xp x di dng mt hm s F (X1 , . . . , Xs ) ca cc
bin ngu nhin X1 , . . . , Xs khc (gi l cc bin iu khin (control
variables), hay cn gi l bin t do (ting Anh gi l independent
variables, nhng khng c ngha y l mt b bin ngu nhin c
lp), trong khi Y c gi l bin ph thuc (dependent variable)),
tc l khi ta c cc gi tr ca X1 , . . . , Xs , th ta mun t c lng
c gi tr ca Y . Hm s F ny c th ph thuc vo mt s tham
s = (1 , . . . , k ) no . Ta c th vit Y nh sau:
Y = F (X1 , . . . , Xs ) + ,

(5.53)

trong  l phn sai s (cng l mt bin ngu nhin). Ta mun

chn hm F mt cch thch hp nht c th (ph thuc vo tng lp
268

Sputnik Education

5.6. Phn tch hi qui

bi ton c th), v cc tham s , sao cho sai s  l nh nht c
th. Thng thng, ngi ta o to nh ca sai s bng chun L2
(sai s trung bnh bnh phng). C ngha l, ta mun chn sao
cho E(||2 ) l nh nht c th. i lng
p
E(||2 )

(5.54)

c gi l sai s chun (standard error) ca m hnh hi qui. M

hnh no m c sai s chun cng thp th c coi l cng chnh xc.
M hnh n gin nht l m hnh tuyn tnh vi mt bin iu
khin: F (X) = aX + b, vi a v b l hng s. Vic tm a, b ri c
lng Y bi hm tuyn tnh aX + b c gi l hi qui tuyn tnh
n, m ta gp trong Chng 3, Mc 3.4.3. Hi qui tuyn tnh
thch hp trong mt s trng hp, khi cc bin ngu nhin phi c
quan h tuyn tnh no vi nhau v mt l thuyt. Chng hn, s
ph thuc ca gi nh vo din tch nh (khng k n cc yu t
khc) c th coi l tuyn tnh, v ta c th hnh dung l 1 ci nh to c
th chia lm hai ci nh nh bng mt na. Th nhng trng lng
ca qu to khng ph thuc tuyn tnh vo ng knh ca n, m
ph thuc tuyn tnh vo lp phng ca ng knh ca n th hp
l hn. Hay dn s ca Vit Nam thay i hng nm cng khng theo
kiu tuyn tnh. Bi vy, vic chn la hm F sao cho thch hp (da
trn cc l thuyt no ) l quan trng khi p dng phng php
hi qui. Mt khi c nh mt lp hm F hp l, gi tr ca hp
l nht s l gi tr sao cho E((Y F (X1 , . . . , Xs ))2 ) l nh nht.
Nh vy, trong nhiu trng hp, bi ton hi qui c a v vn
tm cc tr: tm sao cho E((Y F (X1 , . . . , Xs ))2 ) nh nht.
Nhc li rng, trong thc t, v ta khng bit chnh xc phn b
Sputnik Education

269

Chng 5. Thng k ton hc

xc sut ng thi ca cc bin Xi v Y , m ch bit mt phn b
thc nghim no thng qua mt s s liu kt qu thc nghim,
nn ta s thay (c lng) cc khng gian xc sut bi cc khng
gian xc sut thc nghim.

5.6.1

Hi qui tuyn tnh n

Hi qui tuyn tnh n c nhc ti trong Mc 3.4.3. Gi

s hai bin ngu nhin X, Y hp thnh vector ngu nhin 2 chiu
(X, Y ), vi cc gi tr thc nghim (x1 , y1 ), . . . , (xn , yn ). Ta mun vit
Y di dng hm tuyn tnh ca X,
Y = aX + b + 

(5.55)

vi sai s bnh phng E(||2 ) nh nht (a, b l hng s cn sai s 

l bin ngu nhin). Ta s tm a, b sao cho sai s thc nghim bng
P
phng (sai s trung bnh bnh phng) ni=1 |i |2 /n l nh nht,
trong i = yi axi b l cc sai s thc nghim. Gi vector vi
phn b thc nghim cho bi cc cp s (x1 , y1 ), . . . , (xn , yn ) ny l
Y ). Khi cng thc s l (xem Mc 3.4.3):
(X,
P
Y )
(xi x)(yi y)
cov(X,
(5.56)
= iP
a=

(xi x)2
var(X)
v

b = y ax = E(Y ) aE(X),
(5.57)
P
P
trong x = ( xi )/n v y = ( yi )/n l cc gi tr k vng thc
nghim. Bnh phng ca h s tng quan thc nghim,
R2 =
270

Y )2
cov(X,

var(X)var(
Y )

Sputnik Education

(5.58)

5.6. Phn tch hi qui

l s o chnh xc ca hi qui tuyn tnh trn mu thc nghim:
P
nu R2 = 1 th ni=1 |i |2 = 0, tc l khng c sai s. Trong trng
hp tng qut, ta c
+ b)
var(Y ) (1/n)
var(aX
=
R =
var(Y )
var(Y )
2

2
i i

v tc l R2 cng gn 1, th tng sai s bnh phng

V d, khi

(5.59)

,
2
i i

cng nh.

R2

= 0.9, th sai s chun (cn bc hai ca sai s trung

bnh bnh phng) bng 1 R2 0.32 ln lch chun (thc

nghim) ca Y . Nu gi s lch chun ca Y bng 1/4 gi tr
trung bnh ca Y , th tc l hi qui tuyn tnh trong trng hp ny
s c sai s  vo qung 32%/4 = 8% gi tr ca Y .
Khi c phng trnh hi qui tuyn tnh n Y = aX + b + ,
th vi mi gi tr ca X ta c mt c lng Y cho gi tr tng
ng ca Y theo cng thc Y = aX + b. Ging nh cc bi ton c
lng c bn pha trc, c th tnh khong tin cy v tin
cy ca c lng ny. Khi R2 gn 1, v X nm trong on thng
[min xi , max xi ] th c lng ny c chnh xc cao (khong tin
cy hp) cn ngc li th chnh xc thp. Chng ta s khng i
vo chi tit y.

5.6.2

Hi qui tuyn tnh bi

Trong hi qui tuyn tnh bi, ta mun tm tham s = (0 , . . . , i ),

sao cho khi t
Y = 0 +

s
X

i Xi + ,

(5.60)

i=1

Sputnik Education

271

Chng 5. Thng k ton hc

trong Xi v Y l cc bin ngu nhin cho trc, th sai s trung
bnh bnh phng E(||2 ) l nh nht.
cho tin, ta s t X0 = 1 v coi nh l mt bin ngu
nhin (c gi tr lun bng 1), v vit
Y =

s
X

(5.61)

i Xi + .

i=0

Ta s gi s rng cc bin ngu nhin Xi , i = 0, . . . , s l c lp tuyn

tnh vi nhau (khng c bin no c th vit c di dng mt
t hp tuyn tnh ca cc bin khc), v nu chng ph thuc tuyn
tnh, th ta c th loi bt mt s bin i.
Khng gian cc bin ngu nhin (trn cng mt khng gian xc
sut ban u) vi tch v hng hX, Y i := E(XY ) l mt khng gian
Ps
i Xi nm trn
(tin) Hilbert. Bi vy bin ngu nhin Y =
i=0

khng gian con s + 1 chiu V = RhX0 , . . . , Xs i sinh bi X0 , . . . Xs ,

sao cho chun bnh phng kY Y k2 := E(|Y Y |2 ) nh nht, chnh
l nh ca php chiu vung gc t Y ln trn khng gian con V ny.
Ni cch khc, cc tham s i cn tha mn h phng trnh tuyn
tnh sau:
hY

s
X

i Xi , Xj i = 0 j = 0, 1, . . . , s,

(5.62)

i=0

hay c th vit l
s
X

i hXi , Xj i = hY, Xj i j = 0, 1, . . . , s.

(5.63)

i=0

Nghim duy nht ca h phng trnh ny l:


1
j=0,...,s
(i )i=0,...,s = (hXi , Xj i)i=0,...,s
.(hY, Xj i)j=0,...,s .
272

Sputnik Education

(5.64)

5.6. Phn tch hi qui

5.6.3

Hi qui phi tyn

Hi qui phi tuyn l khi hm hi qui F khng phi l hm tuyn

tnh ca cc bin Xi . Tuy nhin, trong nhiu trng hp, bng cch
i bin, ta c th a bi ton hi qui phi tuyn v bi ton hi qui
tuyn tnh bi. V d, gi s hm F l hm a thc bc 3 mt bin:
F (X) = aX 3 +bX 2 +cX +d. Khi , t X1 = X, X2 = X 2 , X3 = X 3 ,
ta a bi ton ny v trng hp hi qui tuyn tnh vi ba bin iu
khin X1 , X2 , X3 . Cc bin iu khin ny tt nhin l ph thuc vo
nhau, nhng chng c lp tuyn tnh vi nhau, bi vy c th dng
nguyn tc gii bi ton hi qui tuyn tnh bi nh trong mc pha
trn. Trong trng hp chung, khi m khng a c v m hnh
tuyn tnh, vic tnh ton c th phc tp hn, nhng cc chng
trnh my tnh s gip chng ta tm c cc tham s tt nht, v
kim tra mc sai s ca m hnh.
V d 5.25. Chng ta s th p dng mt s m hnh hi qui vo vic
lc lng gi ca cc xe t BMW 320 c bn Php vo 11/2009.
Ga ca xe ph thuc vo nhiu yu t: tui ca xe, s km chy,
kiu dng xe, tin nghi trong xe, s bo hnh, cc ph tng thay
th, v.v. y, n gin, ta s ch c lng gi xe theo hai bin:
tui ca xe v s km chy. Tt nhin c lng nh vy s c sai
s cao, v mun c lng chnh xc hn phi thm cc bin khc.
Bng sau y l gi bn (tnh theo nghn euro) ca 60 chic BMW c
ti thi im 08/11/2009, cng vi tui ca xe (tnh theo s nm)
v qung ng chy (tnh theo nghn km):

Obs

price

age

distance

Sputnik Education

273

Chng 5. Thng k ton hc

274

31.0

24

12.5

115

15.5

80

6.7

195

30.0

53

21.0

52

18.5

75

8.6

10

126

9.0

138

10

18.0

70

11

11.0

150

12

13.0

156

13

11.0

124

14

9.0

180

15

8.0

143

16

12.0

97

17

17.5

100

18

7.0

200

19

20.0

80

20

6.0

230

21

15.3

109

22

23.0

37

23

4.5

13

130

24

7.0

180

25

24.5

25

26

12.5

142

27

15.0

70

28

7.0

166

29

24.0

45

30

11.5

146

31

23.5

55

32

7.2

245

33

29.0

13

34

9.9

188

35

33.0

10

36

14.3

90

37

17.5

101

Sputnik Education

5.6. Phn tch hi qui

38

12.0

116

39

6.5

182

40

5.6

223

41

11.0

124

42

17.5

101

43

13.5

73

44

19.2

61

45

6.9

216

46

1.5

16

246

47

13.0

135

48

11.0

10

105

49

9.3

145

50

3.8

15

78

51

13.0

119

52

14.0

86

53

15.5

73

54

10.5

130

55

8.5

161

56

3.5

14

175

57

3.0

16

165

58

7.9

126

59

5.5

258

60

5.3

11

273

M hnh th nht l m hnh hi qui tuyn tnh n, ca gi theo

tui: price = a + b.age. My tnh cho kt qu sau:
estimated_price 24.69 1.78 age,

(5.65)

vi sai s chun bng 3.78 (so vi gi trung bnh ca xe l 13.03). Sai

s chun nh vy l rt cao so vi gi trung bnh (3.78/13.03 29%).
R rng m hnh ny khng c tt, v chng hn n cho c lng
gi m cho nhng xe trn 14 tui, trong khi nhng xe vn c gi
dng my nghn euro.
Sputnik Education

275

Chng 5. Thng k ton hc

Hnh 5.6: M hnh hi qui tuyn tnh n v phi tuyn n cho gi

xe BMW

M hnh th hai l m hnh phi tuyn n: price = a. exp(b.age).

Theo m hnh ny, gi ca xe gim theo tui, khng theo cp s cng
m theo cp s nhn. My tnh cho kt qu sau:
estimated_price 34.72 exp(0.175 age),

(5.66)

vi sai s chun l 2.36. Sai s chun ny gim ng k so vi m

hnh tuyn tnh (t 3.78 xung cn 2.36), v hn na m hnh ny
hp l hn v mt logic, v gi ca xe c em bn lun l s dng
276

Sputnik Education

5.6. Phn tch hi qui

(xe no ht gi tr, th ngi ta vt vo bi thi xe, khng cn em
bn na).
M hnh th ba l tuyn tnh n theo qung ng chy:
price = a + b.distance. My tnh cho kt qu:
estimated_price 25.05 0.096 distance,

(5.67)

vi sai s chun l 4.08. M hnh ny cn ti hn l m hnh hi qui

tuyn tnh n theo bin tui ca xe.
M hnh th t l tuyn tnh bi, theo tui ca xe v qung ng
chay. My tnh cho kt qu:
estimated_price 27.50 0.0557 distance 1.146 age, (5.68)
vi sai s chun l 2.60. M hnh ny tt nhin tt hn c hai m
hnh hi qui tuyn tnh n pha trn, nhng sai s ca n vn cao
hn l m hnh phi tuyn n. L do kh hin nhin: s ph thuc
ca gi xe vo tui l phi tuyn.
M hnh th nm l kt hp ca m hnh th hai v th ba: phi
tuyn theo tui cng thm mt phn tuyn tnh theo qung ng
chy. My tnh cho kt qu sau:
estimated_price 31.58 exp(0.1075 age) 0.0297 distance,
(5.69)
vi sai s chun l 2.07. M hnh ny chnh xc hn c 4 m hnh
pha trc.
M hnh th su l iu chnh ca m hnh th nm. Ta s thay
bin qung ng chy bng mt bin mi, gi l attrition (hao
Sputnik Education

277

Chng 5. Thng k ton hc

mn):
attrition =

distance
10.
(age + 0.5)

(5.70)

tng l, cc xe ni chung chy t ra 10 nghn km mt nm. Mc

10 nghn km mt nm c coi l mc vi hao mn thp, v vi
hao mn th gi xe gim theo cp s nhn. Nu chy trn 10
nghn km mt nm, th hao mn cao hn mc thp, v gi ca xe
gim thm i. My tnh cho kt qu:
estimated_price 35.83 exp(0.1468 age) 0.2815 attrition,
(5.71)
vi sai s chun l 1.70, tt hn nhiu so vi cc m hnh trc. C
th xy dng thm nhng m hnh khc hp l v chnh xc hn na,
nhng chng ta s tm dng y.
Bi tp 5.18. Hy ly nhng bng s liu thng k c thc bt k no
(chng hn nh nhng bng s liu thng k i km theo chng
trnh gretl, hoc l nhng bng s liu thng k t rt nhiu ngun
khc nhau trn internet), ri th lm phn tch hi quy tuyn tnh
n, tuyn tnh bi, v phi tuyn vi chng.

278

Sputnik Education

Ph lc A

Li gii cho mt s bi tp
1.1

Li gii bi tp Chng 1

Bi tp 1.1. 30 3: Hin nhin.

3 30 : t B 0 = (AB)\A. Khi AB 0 = v AB = AB 0 .
Suy ra P (A B) = P (A B 0 ) = P (A) + P (B 0 ). Kt hp vi P (B) =
P (B 0 ) + P (A B) ta c P (A B) = P (A) + P (B) P (A B).
Bi tp 1.2. p dng tin 3 ta c P (A B C) = P (A B) +
P (C) P ((A B) C)
= P (A) + P (B) P (A B) + P (C) P ((A C) (B C))
= P (A) + P (B) + P (C) P (A B) P (B C) P (C A) + P ((A
C) (B C))
= P (A)+P (B)+P (C)P (AB)P (BC)P (CA)+P (ABC).
Bng quy np ta c th chng minh c rng
279

Ph lc A. Li gii cho mt s bi tp
P(

n
[

i=1

Ai ) =

n
X

P (Ai )

i=1

. . . + (1)n1 P (

P (Ai Aj ) +

i6=j
n
\

P (Ai Aj Ak )

i6=j6=k

Ai ).

i=1

Bi tp 1.3. C n! cch xp n bn thnh mt hng dc, trong c

(n 1)! cch xp Vva ngay sau Lily. Nh vy xc sut Vva
1
(n 1)!
= .
ngay sau Lily trong hng l
n!
n
C th gii cch khc nh sau. Xc sut Vva khng ng u
hng l (n 1)/n. Khi Vva ng u hng th khng th ng sang
Lily, cn khi Vva khng ng u hng, th xc sut Lily ng
ngay trc Vva l 1/(n 1) (v trong n 1 v tr cn li th c 1 v
tr l ngay trc Vva). Bi vy xc sut Vva ng ngay sau Lily
l: (n 1)/n 1/(n 1) = 1/n.
Bi tp 1.4. Gi l khng gian mu, A l bin c c hai ngi
trong nhm vit tn ca nhau. Ta c || = 45 = 1024, |A| = C52 .43
C54 .C42 .4 = 520 . (u tin chn ra hai ngi trong nhm vit tn ca
nhau, 3 ngi cn li vit tn mt ngi bt k trong nhm, nh vy
nhng cch vit tn m c hai cp trong nhm vit tn ca nhau
c tnh hai ln). Xc sut c hai ngi trong nhm vit tn ca
65
|A|
=
.
nhau l P (A) =
||
128
Bi tp 1.5. Gi l khng gian mu, M l bin c i A gp i
B trong gii, M1 , M2 , M3 ln lt l cc bin c i A gp i B
vng 1, vng 2, vng 3. Ta c P (M ) = P (M1 ) + P (M2 ) + P (M3 ), vi
1
P (M1 ) = . || = C82 .6! = 28.6!. (C C82 cch chn hai i vng
7
chung kt, 6.5 cch chn hai i b thua vng 2 v 4.3.2.1 cch

280

Sputnik Education

1.1. Li gii bi tp Chng 1

chn 4 i b thua vng 1). |M3 | = 6! (C 6.5 cch chn hai i b
thua A v B vng 2 v 4.3.2.1 cch chn 4 i b thua vng 1).
|M2 | = 2.6! (C 2 cch chn i thng trong trn A B, 6 cch chn
i gp A hoc B trong trn chung kt, 5 cch chn i th hai b
thua vng 2 v 4.3.2.1 cch chn 4 i b thua vng 1). Nh vy
1
|M3 |
1
1
1
1
|M2 |
=
, P (M3 ) =
=
, P (M ) = +
+
=
P (M2 ) =
||
14
||
28
7 14 28
1
.
4
C th gii cch khc nh sau. Tng cng c C82 = 28 cp i, v
c 7 trn u. V cc cp l bnh ng, nn trung bnh mi cp c
7/28 = 1/4 trn u (gia hai i ca cp ). C ngha l cp i
A B cng c trung bnh l 1/4 trn u, hay ni cch khc, xc
sut xy ra trn u gia A v B l 1/4.
Bi tp 1.6. Tnh phn x v tnh i xng l hin nhin. Ta chng
minh tnh cht bc cu. Gi s : (1 , P1 ) (2 , P2 ) v :
(2 , P2 ) (3 , P3 ) l cc ng cu xc sut vi : 1 \A1
2 \A2 v : 2 \B2 3 \B3 l cc song nh bo ton xc sut,
P1 (A1 ) = P2 (A2 ) = P2 (B2 ) = P3 (B3 ) = 0. t A3 = (A2 ), B1 =
1 (B2 ). Khi P1 (B1 ) = P3 (A3 ) = 0. nh x : 1 \(A1
B1 ) 3 \(A3 B3 ) l mt song nh bo ton xc sut vi P (A1
B1 ) = P (A3 B3 ) = 0. Vy (1 , P1 ) v (3 , P3 ) ng cu xc sut.
Bi tp 1.7. Xt nh x chiu 1 : (1 , P1 ) (2 , P2 ) (1 , P1 ) v
A l mt tp P1 - o c. Khi 1
1 (A) = A 2 l P - o c
v P (1
1 (A)) = P (A 2 ) = P1 (A).P2 (2 ) = P1 (A).
Bi tp 1.8. kt thc trn u, Nam v Tin phi chi t nht l
3 st v nhiu nht l 5 st. Nam l ngi thng trn th Nam

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Ph lc A. Li gii cho mt s bi tp
phi l ngi thng set cui cng. Xc sut Nam thng trn l
2
2 3
2
3
C22 .( )3 + C32 .( )3 . + C42 .( )3 .( )2 = 0.31744.
5
5 5
5
5
P (A B)
P (A B)
=
P (A) =
Bi tp 1.9. P (A|B) = P (B|A)
P (B)
P (A)
P (B).
Bi tp 1.10. Gi A l bin c trong 3 con mo c t nht mt con
l mo ci, B l bin c c 3 con mo u l mo ci. Ta cn tnh
P (A B)
P (B)
(1/2)3
1
P (B|A) =
=
=
= .
3
P (A)
P (A)
1 (1/2)
7
Bi tp 1.11. A, B c lp nn P (AB) = P (A).P (B). Ta c P (A) =

P ((A B)(AB))
= P (A B)+P
(AB) = P (A B)+P
(A).P (B).
= P (A).(1 P (B)) = P (A).P (B).
Vy A v B
c
Suy ra P (A B)
lp.
Bi tp 1.12. Ta ly 3 s kin A, B, C trng vi 3 s kin X, Y, Z nh
trong v d 1.18. Ta c P (X) = 1/2, P (Y ) = P (Z) = 1/6, P (XY ) =
1/12 = P (X).P (Y ), P (X Z) = 1/12 = P (X).P (Z), P (Y Z) =
1/36 = P (Y ).P (Z), P (X Y Z) = 0 6= P (X).P (Y Z). Nh vy
X c lp vi Y v Z nhng khng c lp vi Y Z.
Bi tp 1.13. Gi C l s kin "qun rt ra u tin l qun c". Ta

= 12 . 13 + 13 39 = 1 <
c P (B) = P (B|C).P (C) + P (B|C).P
(C)
51 52
51 52
4
13
= P (B|A). Vy hai s kin A v B khng c lp.
51
Bi tp 1.14. Gi A l bin c ngi c chn l n ng (A l bin
c ngi c chn l n b), B l bin c ngi c chn l tha
cn. Theo cng thc xc sut ton phn P (B) = P (B|A).P (A) +
(A)
= 0.65 0.5 + 0.534 0.5 = 0.592.
P (B|A).P
Bi tp 1.15. Gi A l bin c ngi c chn l n ng, B l bin

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Sputnik Education

1.1. Li gii bi tp Chng 1

=
c ngi c chn b m mu. Ta c P (B|A) = 0.05, P (B|A)
0.0025. Xc sut mt ngi m mu c chn l n ng l
P (B|A).P (A)
P (A|B) =
(A)
= 0.9524.
P (B|A).P (A) + P (B|A).P
 ) 1 khi n (k =
Bi tp 1.16. Theo nh l 1.4, P (Bn,k
1, 2, ..., s). Do P (B ) 0 khi n (k = 1, 2, ..., s). Suy
n,k

 B  ... B  )) = P (B



ra P (\(Bn,1
n,s
n,2
n,1 Bn,2 ... Bn,k )

 ) + P (B


P (Bn,1
n,2 ) + ... + P (Bn,k ) 0 khi n . Vy P (Bn,1
 ... B  ) 1 khi n .
Bn,2
n,s

Bi tp 1.17. Khng gian mu gm mt dy kt qu nhng ln

tung, trong ln tung cui cng thu c mt nga, trong nhng
ln tung trc, c hai ln mt nga xut hin.
= {N N N, SN N N, N SN N, N N SN, SSN N N, ...}.
tung su ln th trong nm ln u tin c hai ln mt nga xut
hin, ln cui cng thu c mt nga. Vy
P (A) =

C52 .

 2  3
1
1
1
.
. = 0.15625.
2
2
2

Bi tp 1.18. Gi l tp hp nhng ngi mua bo him trong

, A l tp hp nhng ngi tr, B l tp hp n ng, C l tp
hp nhng ngi c v hoc chng. Ta c || = 20000, |A| =
6300, |B| = 9600, |C| = 13800, |A B| = 2700, |B C| = 6400, |A
C| = 2900, |A B C| = 1100. Xc sut mt ngi mua bo
C)
= P (A\((A
him ca hng l ph n tr c thn l P (A B
B) (A C))) = P (A) P (A B) P (A C) + P (A B C) =
6300 2700 2900 + 1100
= 0.09.
20000
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283

Ph lc A. Li gii cho mt s bi tp
Bi tp 1.9. C th gii thch rng sau khi c xe bus n nh c B 7,5
pht th c xe bus n nh c A.
Bi tp 1.20. i) Xc sut trong 100 ln quay khng c ln no s
99 100
68 trng gii l (
) 0.366.
100
ii) Dnh cho bn c t lm.
Bi tp 1.21. Gi l khng gian mu, Ai l bin c ngi th i
nht c m ca mnh (i = 1, 2, ..., n). Ta cn tnh P (\(A1 A2
... An )) = 1 P (A1 A2 ... An ).
Ta c P (A1 A2 ... An )
= ni=1 P (Ai )ni,j=1,i6=j P (Ai Aj )+...+(1)n1 P (A1 A2 ...An )
1
= (Cn1 .(n 1)! Cn2 .(n 2)! + ... + (1)n1 .Cnn .0!)
n!
1
(1)n1
= 1 + ... +
.
2!
n!
Vy xc sut khng c ngi no nht c m ca chnh mnh l
1
(1)n1
1
1
(1)n
1 (1 + ... +
) = + ... +
e1 khi n .
2!
n! S 2! 3!
n!
T
Bi tp 1.22. t Bn =
n=1 Bn .
m=n Am , n = 1, 2, ... th B =
Mt khc B1 B2 B3 ... nn P (B ) = limn P (Bn ).

i) V
n=1 P (An ) < nn P (Bn ) < m=n P (Am ) 0 khi n

. Vy P (B ) = 0.
ii) Nu tn ti mt dy v hn cc An sao cho P (An )  th
P (Bn )  vi mi n. Vy P (B ) .
Bi tp 1.23. Gi A l s kin ngn ko c rt ra l ngn ko cha
hai ng tin vng, B l s kin ng tin rt ra l ng tin vng.
1/3
2
P (A B)
=
= .
Ta cn tnh P (A|B) =
P (B)
1/2
3
Bi tp 1.24. Cai ngc l lun nh vy l sai. Bi ton ny tng t

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Sputnik Education

1.1. Li gii bi tp Chng 1

nh bi ton chi m ca c qu u Chng 1. Trong hai ngi B
v C lun c t nht 1 ngi c th, v nu ni tn 1 ngi c
th trong hai ngi B v C ra, th xc sut c th ca ngi cn
li trong hai ngi gim xung thnh 1/3 trong khi xc sut A
c th vn gi nguyn l 2/3.
Bi tp 1.25. Gi A l bin c mt ngi trong m ng l k trm,
B l bin c mt ngi trong m ng b my nghi l c ti. Ta
1
2
= 0.07. Ta cn tnh
=
, P (B|A) = 0.85, P (B|A)
c P (A) =
60
30
P (A|B). Theo cng thc Bayes, ta c
P (A|B) =

P (B|A).P (A)
(A)

P (B|A).P (A) + P (B|A).P

0.85 1/30
=
0.295.
0.85 1/30 + 0.07 29/30

Bi tp 1.26. Gi X l bin c mt con b b mc bnh b in, Y

l bin c mt con b phn ng dng tnh vi xt nghim A. Ta
= 0.1, P (X) = 1.3 105 . Ta cn tnh
c P (Y |X) = 0.7, P (Y |X)
P (Y |X).P (X)
P (X|Y ) =

. Kt qu l:
P (Y |X).P (X) + P (Y |X).P
(X)
P (X|Y ) =

0.7 1.3 105

0.000091.
0.7 1.3 105 + 0.1 (1 1.3. 105 )

Bi tp 1.27. Gi s {Gx, x = 0, 1, 2, ..., 9} l mt h cc s kin c

lp. V gi du khng th tng t nht 50% mi nm trong 10 nm
lin tip (nh th gi du s vt qu 10 (1.5)10 > 300 USD mt
thng) nn P (G0 G1 ... G9) = P (G0).P (G1) . . . P (G9) = 0.
Suy ra tn ti x {0, 1, 2, . . . , 9} P (Gx) = 0. Nh vy nu coi gi
du bin ng mt cch ngu nhin v vic gi du tng t nht 50%
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285

Ph lc A. Li gii cho mt s bi tp
trong mt nm l hon ton c th xy ra (xc sut ln hn 0) th h
cc s kin trn l khng c lp.

1.2

Li gii bi tp Chng 2

Bi tp 2.2. Hm mt ca X:
(
X (x) =

0 nu |x| > 1
1 |x| nu |x| 1

Hm phn phi xc sut ca X:

0 nu x < 1

(1 + x)2 /2 nu 1 x 0
P (X x) =

1 (1 x)2 /2 nu 0 < x < 1

1 nu x 1
Bin ngu nhin Y = arcsin X

P (Y x) = P (X sin x)

c hm phn phi:
0 nu x < /2
(1 + sin x)2 /2 nu /2 x 0
1 (1 sin x)2 /2 nu 0 < x < /2
1 nu x /2

Hm mt ca Y l:

sin x cos x + cos x nu x [ 2 , 0]

Y (x) =
sin x cos x + cos x nu x [0, 2 ]

0 nu |x| > /2
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Sputnik Education

1.2. Li gii bi tp Chng 2

Bi tp 2.3. Nu phn b xc sut ca bin ngu nhin X l i xng
v lin tc th ta c
P (X x) = P (X < x) = P (X < x) = P (X > x) = 1P (X x),
do FX (x) + FX (x) = 1.
Nu F khng lin tc, khi kt lun trn khng cn ng. Phn
v d: X c phn b xc sut tp trung ti x = 0, tc P (X = 0) = 1,
khi : F (x) + F (x) = 2 vi x = 0.
Bi tp 2.5. Vi mi y [0, 1], t g(y) = sup{x : FY (x) < y}. Ta
chng minh: g(y) z FY (z) y. Tht vy :
Gi s FY (z) < y. Do F lin tc phi nn z 0 > z sao cho
FY (z) < FY (z 0 ) < y
z < z 0 sup{x : FY (x) < y} = g(y).
Gi s FY (z) y. Khi z > x vi mi x tha mn FY (x) < y
z sup{x : FY (x) < y} = g(y).
Ta c Fg(X) (z) = P (g(X) z) = P (FY (z) X) = P (X FY (z)) =
FY (z)
(V X c phn phi u U(0, 1), F (x) = x vi mi x [0, 1].) Hm g
nh ngha nh trn chnh l hm cn tm.
Bi tp 2.6. X N (, 2 ) hm mt ca X:
X (x) =

1 1 ( x )2
e 2
2

Xt y = f (x) =

x
1
X (x)
f 0 (x) = . Ta c: Y (y) =
=

|f 0 (x)|

1 1 ( x )2
e 2 =
2

1 21 y 2
.
2 e

Vy Y c phn phi chun N (0, 1).

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287

Ph lc A. Li gii cho mt s bi tp
Bi tp 2.7. X E() hm mt :
(
X (x) =

ex nu x > 0
0 nu x 0

Y = cX, c > 0. Xt y = f (x) = cx.

x
e
e c y nu y > 0
nu x > 0
c
Y (y) =
=
c

0 nu y 0
0 nu x 0
Vy Y E( c ).
Bi tp 2.8. Ta c:
P (X > s + t, X > s)
P (X > s)

P (X > s + t|X > s) =

e(s+t)
= et = P (X > t)
es

Bi tp 2.9. i) Tng t nh bi tp 2.5.

ii) Nu X U(0, 1), tc l c hm mt X (x) = 1 trn on
thng [0, 1], v Y = ln X E(1) th hm mt ca Y l:
1
= x nu x [0, 1]
X (x)
1/x
Y (y) = d ln x =
| dx | 0 nu x
/ [0, 1]
(
ey y > 0
=
0 y 0

iu c ngha l Y c phn b xc sut m E(1).

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Sputnik Education

1.2. Li gii bi tp Chng 2

Bi tp 2.10. X c phn phi Pareto vi tham s v hm mt l

nu x 1
x+1
X (x) =
0 nu x < 1
Y = X s , s > 0. Xt y = f (x) = xs , ta c:

x+1 = 1 nu x 1
X (x)
Y (y) =
=
s xs1
s x+s
|f 0 (x)| 0 nu x < 1

1

+1 nu y 1
s ys
=

0 nu y < 1
1

(Do x = y s > 1 y > 1). Vy Y c phn phi Pareto vi tham s

Bi tp 2.11. X U(0, 1), Y =

f 0 (x) =

1
(1 x)2

.
s

1
1
. Xt y = f (x) =

1X
1x

Ta c
X (x)
Y (y) = 0
=
|f (x)|

(1 x)2 =

1
y2

nu y 1

0 nu y < 1

Y c phn phi Pareto vi tham s = 1.

Bi tp 2.12. K vng li nhun:

E = 0.7 (0 100000) + 0.3 (1000000 100000) = 200000.
Bi tp 2.13. im cn ch khi ly v d l, cn cho phn b xc
sut chung ca X v Y ch khng cho phn b xc sut ca ring X
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289

Ph lc A. Li gii cho mt s bi tp
v ring Y ri coi hai bin c lp vi nhau. (Nu chng c lp
th E(X)E(Y ) = E(XY )). Chng hn c th chn X v Y l nhng
bin ngu nhin nhn hai gi tr 0 v 1, vi phn b xc sut chung
nh sau: P (X = 0, Y = 0) = 0.2, P (X = 0, Y = 1) = 0.4, P (X =
1, Y = 0) = 0.3, P (X = 1, Y = 1) = 0.1 Khi E(X) = 0.4, E(Y ) =
0.5, E(XY ) = 0.1 6= E(X)E(Y ) = 0.2.
Bi tp 2.14. C 99 qu c nh s t 1 n 99, ly ngu nhin 5
5 . Gi hai bin
qu, ta c lc lng ca khng gian mu l || = C99

ngu nhin: X l "s nh nht trn 5 qu bc c", Y l "s ln nht

trn 5 qu bc c".
i) Phn b xc sut ca X v Y :
X
p

4
C98
5
C99

4
C97
5
C99

95
C44
5
C99

C44
5
C99

C54
5
C99

99
4
C98
5
C99

V d, nu X = 2 th c ngha l c 1 qu trong 5 qu bng bc ra

4 cch
l s 2, cn 4 qu cn li nm trong cc s t 3 n 99. C C97

chn 4 s khc nhau trong 97 s t 3 n 99, c ngha l tp hp cc

4 phn t trong khng gian xc sut c C 5
kh nng vi X = 2 c C97
97
4 /C 5 .
phn t vi phn b xc sut u, do ta c P (X = 2) = C97
99
Pn
m+1
m+1
m
ii) Cng thc k=m Ck = Cn+1 sinh ra t cng thc Ck+1 =

Ckm+1 + Ckm .

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Sputnik Education

1.2. Li gii bi tp Chng 2

iii) S dng cng thc trn, ta c:
E(X) =

=
=
=

4 + 2C 4 + + 95C 4
C98
97
4
5
C99
98
97
P
P
Ck4 +
Ck4 + C44
k=4

k=4
5
C99

5 + C5 + + C5
C99
98
5
5
C99
6
C100
100
100! 94! 5!

=
.
=
5
6! 94!
99!
6
C99

Bi tp 2.15. Phn b xc sut ca X:

2 1
P (X = k) = C6k ( )k ( )6k ,
3 3
(k = 0, 1, 2, . . . , 6). V Z = X Y v X + Y = 6 nn Z = 2X 6, v
ta c th vit phn b xc sut ca Z:
2 1
P (Z = 2k 6) = C6k ( )k ( )6k , k = 0, . . . , 6
3 3
T tnh c ra k vng ca Z:
E(Z) =

6
X
k=0

2 1
C6k ( )k ( )6k (2k 6) = 2.
3 3

Mt cch tnh n gin hn l: k vng bng vo r mi ln

nm l 2/3. Bi vy nu nm 6 ln, th k vng s ln bng vo r l
62/3 = 4, tc l ta c E(X) = 4, t suy ra E(Z) = 2E(X)4 = 2.
Bi tp 2.16. i) Chin thut:
Ln th nht: B hi: "s c ln hn 2n1 khng"?
Sputnik Education

291

Ph lc A. Li gii cho mt s bi tp


Nu cu tr li l "c": s s nm trong on 2n1 + 1; 2n


Nu cu tr li l "khng": s s nm trong on 1; 2n1
Ln th i: Ta s xc nh c s nm trong on c di 2ni .
Vy, sau n ln, ta s xc nh c s A chn.
ii) Ta s chng minh mt khng nh tng qut hn: gi s X l
mt tp hu hn c m phn t, A chn mt phn t ca X, v B hi
cc cu hi kiu phn t c nm trong tp con Y ca X khng,
v A s tr li l c hoc khng. Khi mi chin thut hi ca B s
cn trung bnh t nht l log2 m cu hi xc nh phn t m A
chn. (Trng hp bi ton nu ra l trng hp m = 2n ).
Ta c th chng minh khng nh ny bng cch qui np theo m.
Vi cc s m nh (v d m = 2 hay m = 3), d dng kim tra trc
tip khng nh), v vi m = 1 th khng nh l hin nhin. Gi s
ta chng minh c khng nh cho cc tp c khng qu m 1
phn t (m 2), ta s chng minh rng khng nh ng cho tp X
vi m phn t.
D l chin thut no, th cu u tin ca B cng phi c dng
phn t c nm trong Y khng, trong Y l mt tp con ca
X m B chn ra. Nu cu tr li l c, th trong cc bc tip theo
B phi chn cc tp con ca Y , v nh vy, theo qui np, s cn
thm trung bnh t nht l log2 |Y | ln hi. y ta c th coi rng
1 |Y | = k < |X| = m. Nu cu tr li l khng, th c ngha l
phn t A chn nm trong X \ Y, v s cn thm trung bnh t nht
log2 |X \ Y | = log2 (m k) ln hi. Xc sut phn t m A chn ri
vo Y , tc l A tr li Yes cho cu hi u tin l |Y |/|X| = k/m,
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Sputnik Education

1.2. Li gii bi tp Chng 2

v xc sut A tr li No cho cu hi u tin l (m k)/m. Nh
vy, nu trong chin thut hi dng tp con Y cho cu hi u tin,
th s cn trung bnh t nht l
1+

mk
k
log2 k +
log2 (m k)
m
m

cu hi xc nh c phn t A chn. Ch rng hm x log2 x l

hm li, do khi m c nh v 0 < k < m th gi tr ca
mk
m

1+

k
m

log2 k +

log2 (m k) t cc tiu khi m k = m k = m/2, bi vy ta c

k
mk
log2 k +
log2 (m k) 1 + 2.(1/2). log2 (m/2) = log2 m,
m
m

t suy ra iu phi chng minh.

Bi tp 2.17.
(
Y (x) =

c sin x nu x (0, )
0 nu x
/ (0, )

i) Ta c:
Z

Z
Y (x)dx =

1=



c sin xdx = c cos x = 2c,
0

do c = 1/2.
Z

x sin xdx = . Mt cc gii thch khc l, hm

2
0 2
mt Y (x) i xng quanh im x = /2, v do gi tr k vng
ii) E(Y ) =

ca Y bng /2.
Bi tp 2.18. X c phn phi Pareto vi tham s > 1, hm mt :

nu x 1
x+1
X (x) =
0 nu x < 1
Sputnik Education

293

Ph lc A. Li gii cho mt s bi tp
K vng ca X l:
Z
E(X) =

+1 
dx
=
x
.
 =
+1
x
+ 1
1
1

Bi tp 2.19. Gi (ai , bi ), i = 1, . . . , n, l cc cp gi tr ca (F, G),

1
ai , bi > 0. T gi thit ta c P (F = ai , Gi = bi ) = , v
n
v
v
v
u n
u n
u n
uY
uY
uY ai + bi
n
n
n
t
t
G(F ) =
.
ai , G(G) =
bi , G((F + G)/2) = t
2
i=1

i=1

i=1

p dng bt ng thc Cauchy (trung bnh nhn nh hn trung bnh

cng), ta c
v
v
u n
u n
Y
u
uY bi
ai
G(F ) + G(G)
n
n
t
=
+t
2G((F + G)/2)
ai + bi
a + bi
i=1
i=1 i
!
!
n
n
1 X ai
1 X bi

+
= 1.
n
ai + bi
n
ai + bi
i=1

i=1

Bi tp 2.20. i) X c phn phi hnh hc P (k) = p(1 p)(k1) .

X
X
E(X) =
k p(1 p)k1 = p
k (1 p)k1
k1

k1

1
1
= ,
=p
2
(1 (1 p))
p
X
E(X 2 ) =
k 2 p(1 p)k1
k1

= p(1 p)

k(k 1) (1 p)k2 + p

k2

k1

1
2p
2
+ =
,
(1 (1 p))3 p
p2
1p
var(X) = E(X 2 ) (E(X))2 =
.
p2
= p(1 p)

294

Sputnik Education

k p(1 p)k1

1.2. Li gii bi tp Chng 2

1p
.
p
k
ii) X c phn phi Poisson P (k) = e .
k!

p
Do , lch chun = var(X) =

E(X) = e

k1

X k1
k
= e
k!
(k 1)!
k1

= e e = ,
X
X
k
k1
k2
k
E(X 2 ) = e
= e
k!
(k 1)!
k1
k1

k1
k1
X
X

= e (k 1)
+
(k 1)!
(k 1)!
k1

k1

= e (e + e ) = 2 +
p
p

= E(X 2 ) (E(X))2 = 2 + 2 = .

(
Bi tp 2.21. E(X) = 2/3 , X (x) =

ax2 + b nu 0 < x < 1

0 nu khng

Ta c
Z1
2/3 = E(X) =

x(ax2 + b)dx =

a b
+
4 2

v
Z
1=

Z1
X (x)dx =

(ax2 + b)dx =

a
+ b.
3

Gii h phng trnh tuyn tnh trn theo a v b, ta c a = 2, b =

Sputnik Education

295

Ph lc A. Li gii cho mt s bi tp
1/3, t suy ra

Z1

E(X ) =

x2 (2x2 + 1/3)dx = 2/5 + 1/9 = 23/45

v var(X) = E(X 2 ) E(X)2 = 23/45 4/9 = 1/15.

Bi tp 2.22. i) Xt mt mu mu hn hp gm k mu mu. Ta gi
cc bin c: A = "mu mu hn hp cha khng th X"; Ai = "mu
mu i cha X". Khi

=
P (A)

k
Y

P (Ai ) = (1 p)k .

i=1

cho gn, t (1 p)k = q, ta c P (A) = 1 (1 p)k = 1 q.

ii) Gi S l bin ngu nhin tng s ln phi xt nghim. Ta c
phn phi ca S:

296

m+k

m + mk

qm

1 q m1 (1 q)
Cm

(1 q)m

Sputnik Education

1.2. Li gii bi tp Chng 2

E(S) =

m
X

i mi
Cm
q
(1 q)i (m + ik)

i=0

=m

m
X

i mi
Cm
q
(1 q) + k

i=0

m
X

i mi
iCm
q
(1 q)i

i=0

= m + k(1 q)m

m
X

i1 mi
q
(1 q)i1
Cm1

i=1

= m + mk(1 q),
2

E(S ) =

m
X

i mi
Cm
q
(1 q)i (m + ik)2

i=0
2

= m + 2mk

m
X

i mi
iCm
q
(1

q) + k

i=0
2

m
X

i mi
i2 Cm
q
(1 q)i

i=0
2



= m + 2mk m(1 q) + k m(1 m)(1 q)2 + m(1 q)
= m2 + 2m2 k(1 q) + mk 2 (1 q) [(m 1)(q 1) + 1]
var(S) = E(S 2 ) E(S)2 = mk 2 (1 q)q.
iii) Ta c E(S) < N m+mk(1q) < mk kq > 1 k(1p)k > 1.
Bi tp 2.23. Khng mt tnh tng qut, ta coi X, Y nhn hu hn
cc gi tr a1 , a2 , . . . , an , (ai 6= aj i 6= j), vi cc xc sut p(X =
n
n
P
P
ai ) = pi 0 v p(Y = ai ) = qi 0.
pi =
qi = 1. Theo gi
i=1
i=1
P
P
thuyt, ta c E(X k ) = i aki pi = E(Y k ) = i aki qi , hay c ngha l
Pn
k
i=1 ai xi = 0 vi xi = pi qi v vi mi s t nhin k. Cho k chy
t 1 n n, ta c mt h phng trnh tuyn tnh vi n n xi v n
phng trnh.
Nu ai 6= 0 vi mi i, th nh thc ca h phng trnh ny l
Sputnik Education

297

Ph lc A. Li gii cho mt s bi tp
nh thc ca ma trn














an 

a21 a22 a2n 



an1 an2 ann 
a1

a2

(gi l nh thc Vandermonde) c gi tr khc 0 v cc s ai khc

nhau, v do h phng trnh ch c mt nghim duy nht l
nghim tm thng xi = 0 vi mi i, c ngha l ta c pi = qi vi mi
i, hay ni cch khc, X v Y c cng phn b xc sut.
Nu gi s chng hn a1 = 0, th ta ch xt n 1 phng trnh
u tin, vi n 1 n s x2 , . . . , xn . Tng t nh trng hp pha
P
trn, ta phi c pi = qi vi mi i 2, t suy ra p1 = 1 i2 pi =
P
1 i2 qi = q1 , v X v Y cng c cng phn b xc sut.
Bi tp 2.24. Gi s X c phn b m vi tham s > 0, hm mt
ca X l
(
X (x) =

ex nu x > 0
0 nu x 0

Khi E(X) = 1/, v moment bc n ca X bng E(X) = n n! vi

mi n N.
Bi tp 2.25. Hm c trng ca X l X (s) = E(cos sX)+iE(sin sX),
(s R), v ca X l X (s) = E(cos s(X)) + iE(sin s(X)) =
X (s). X i xng khi v ch khi X v X c cng phn b xc sut,
tc l khi v ch khi X v X c cng hm c trng, c ngha l
X = X , hay ni cch khc X l hm thc.
Bi tp 2.26. X c phn phi hnh hc P (X = k) = p(1p)k1 k
298

Sputnik Education

1.3. Li gii bi tp Chng 3

1. Hm sinh xc sut ca X:
G(z) =

P (k)z =

k=1

k1 k

p(p1)

z = pz

k=1

(zpz)k =

k=0

pz
.
1 z + pz

T ta c:
G0 (z) =

p
2p(1 p)
, G(z) =
,
2
(1 z + pz)
(1 z + pz)3

v phng sai ca X l:
var(X) = G(1) + G0 (1) (G0 (1))2 =

2(1 p) 1
1
1p
+ 2 =
.
p2
p p
p2

Bi tp 2.27. X c phn phi nh thc tham s n, p. P (k) = Cnk pk (1

p)k . Hm sinh xc sut ca X:
G(z) =

n
X

z k P (k) =

n
X

z k Cnk pk (1 p)k = (pz + 1 p)n .

k=0

k=0

Hm Laplace:
L(t) = E(e

tX

)=

n
X

etk Cnk pk (1 p)k = (et p + 1 p)n .

k=0

1.3

Li gii bi tp Chng 3

Bi tp 3.1. Ta c:
PF (]a, b]]c, d]]e, f ]) =
= PF (] , b]]c, d]]e, f ]) PF (] , a]]c, d]]e, f ])
Sputnik Education

299

Ph lc A. Li gii cho mt s bi tp
S hng th nht:
PF (] , b]]c, d]]e, f ])
= PF (] , b]] , d]]e, f ]) PF (] , b]] , c]]e, f ])
= PF (], b]], d]], f ])PF (], b]], d]], e])
+ PF (] , b]] , c]] , e]) PF (] , b]] , c]] , f ]
= FF (b, d, f ) FF (b, d, e) + FF (b, c, e) FF (b, c, f )
S hng th hai:
PF (] , a]]c, d]]e, f ])
= FF (a, d, f ) FF (a, d, e) + FF (a, c, e) FF (a, c, f )

Vy:
PF (]a, b]]c, d]]e, f ])
= FF (b, d, f ) FF (b, d, e) + FF (b, c, e) FF (b, c, f )
FF (a, d, f ) + FF (a, d, e) FF (a, c, e) + FF (a, c, f )
Bi tp 3.2. Gi s hai ngi hn gp nhau ti A.
X l thi im ngi 1 n A ( [0, 1])
Y l thi im ngi 2 n A ( [0, 1])
12h
0

1, x [0, 1]
X (x) =
0, x
6 [0, 1]
300

13h
1

1, y [0, 1]
, Y (y) =
0, y
6 [0, 1]

Sputnik Education

1.3. Li gii bi tp Chng 3

Ta c:
1
1
1
P ( X Y ) = PX,Y ( x y
4
4
4
ZZ
=
X,Y (x, y)dxdy =
41 xy 14

1
)
4Z Z
dxdy =

7
16

1 xy 1
4
4
0x1, 0y1

7
.
16
Bi tp 3.3. Gi s tn ti hm mt ca (X, X 3 ) l X,Y (x, y) vi
Vy xc sut hai ngi gp nhau theo hn l

X 3 = Y . Xt hm s f : R2 R2 , (x, y) 7 (x3 y, x + y) l song

nh kh vi lin tc, c Jacobian


3x2 1


J =
 = 3x2 + 1 6= 0
 1
1
suy ra vc t ngu nhin (U = X 3 Y, V = X + Y ) c hm mt
U,V (u, v) = X,Y (f 1 (u, v)).|J(f 1 (u, v))|1
Vy tn ti hm mt bin ca U l U (u) =

R +

U,V (u, v)dv.

Nhng U = 0 nn l bin ngu nhin ri rc c im ht l 0 mu

thun. Vy khng tn ti hm mt ng thi ca X v X 3 .
* Thay X 3 bi (X) vi n iu cng c kt qu tng t.
Bi tp 3.4. Tung mt xc sc 2 ln, c hai s k hiu l a, b. Xt
ba s kin: A l "a + b l s chn", B l "a = 1", C l "b=4".
D kim tra c A, B, C c lp tng i, A v B C khng c
lp.
Xt X = A , Y = B , X = C , khi Z + Y = BC .
Ta c: X c lp vi Y v Z nhng khng c lp vi Y + Z.
Sputnik Education

301

Ph lc A. Li gii cho mt s bi tp
Bi tp 3.5. Phn b xc sut ng thi ca 3 bin X, Y, Z c lp
vi phn b xc sut u trn on [0, 1] :

1, (x, y, x) [0, 1]3

(x, y, z) =
0, (x, y, z) 6 [0, 1]3

D thy xc sut cn tm bng P = 1 P (X + Y Z) P (X + Z

Y ) P (Y + Z X) = 1 3P (X + Y Z), mt khc P (X + Y Z)
bng th tch ca hnh t din cho bi cc mt x 0, y 0, z
x + y, 1 z trong khng gian Euclide R3 vi h ta chun (x, y, z),
v n bng 1/6. T suy ra P = 1/2.
Bi tp 3.6. C th chng minh bng qui np theo k.
Bi tp 3.7. Ta c:

+
Z
x.ex
X (x) =
(x, y)dy =
0

+
Z
ey
(x, y)dx =
Y (y) =
0

vi

x>0

vi

x0

vi

y>0

vi y 0

Suy ra X (x).Y (y) = (x, y) nn X, Y l hai bin ngu nhin c

lp.
C th chng minh ngn gn hn nh sau: hm mt ng
thi (x, y) c th vit di dng tch ca hai hm, mt hm ch ph
thuc vo x v mt hm ch ph thuc vo y, do X v Y c lp
vi nhau.
Bi tp 3.8. Gi s X1 N (1 , 12 ) X1 = 1 X + 1 vi X
N (0, 1).
302

Sputnik Education

1.3. Li gii bi tp Chng 3

Suy ra
X1 (s) = E(exp(isX1 )) = E(exp(is1 X+is1 )) = exp(is1 ).X (1 s)
Vy X1 (s) = exp(is1

12 s2
2 ),

tng t X2 (s) = exp(is2

22 s2
2 )

V X1 , X2 c lp nn X1 +X2 (s) = X1 (s).X2 (s) = exp(is(1 +

2 )

(12 +12 )s2

)
2

hay X1 + X2 N (1 + 2 ,

12 +12
2 ).

Bi tp 3.9. Xc sut cn c lng l xc sut tng ca cc s

hin ln trong 350 ln tng u nh hn 1000.
Bi tp 3.10. Gi X1 , ..., X5 l cc bnn ch s chm xut hin trong
5 ln tung. Khi X = X1 + X2 + X3 + X4 + X5 ch tng s chm
xut hin trong 5 ln tung.
Ta c:

GXi (z) = E(z X1 ) =

1X k
z
6
k=1

Suy ra:
GX (z) =

5
Y
i=1

6
1 X k 5
GXi (z) = 5 (
z )
6

Vy xc sut cn tnh l h s ca

k=1

z 15

trong khai trin ca GX (z).

Bi tp 3.11. t Yi = Xi th E(Yi ) = 0, V (Y ) = 2 . Chn n

ln c n > 0. Ta c P (Sn c) = P (Sn n P
c n)
Pn
E(| n1 Yi |)2
. M
P (|Sn n| c n) = P (| 1 Yi | c n)
(c n)2
P
n 2
E(| n1 Yi |)2 = n 2 , vy P (Sn c)
0 khi n +
(c n)2
Bi tp 3.12. Gi Xi l bnn ch s tin thu c ngy th i ca
nm.
Sputnik Education

303

Ph lc A. Li gii cho mt s bi tp
Ta c:
= E(Xi ) =

19
18
50
.50 .50 =
37
37
37

2 = var(Xi ) = E(Xi2 ) E(Xi )2 <

Theo lut s ln, vi n = 365:
18250
Sn
Sn
493
n
37
l c lng s tin thu v c trong 1 nm (theo n v nghn
euro).
Bi tp 3.13. V d: Xt bin ngu nhin X c phn phi nh sau
X

-1

1/4

1/2

1/4

khi phn phi ca X 2 l

X

p 1/2 1/2
Ta c cov(X, X 2 ) = E(X 3 ) E(X)E(X 2 ) = 0 nhng X, X 2 khng
c lp (v P (X = 1, X 2 = 1) = P (X = 1) = 1/4 6= P (X =
1)P (X 2 = 1)).
Bi tp 3.14. r(X, Y ) 0.9427.
Bi tp 3.17. Ta c:
P (K = k) =

P (K = k | N = n).P (N = n)

nk

=
=

304

Cnk pk (1 p)nk .

nk
pk e k

k!

e n
n!

X (q)nk
pk e k qk
(p)k ep
=
.e =
.
(n k)!
k!
k!

nk

Sputnik Education

1.3. Li gii bi tp Chng 3

Vy K c phn phi Poisson vi tham s p.
Bi tp 3.18. Ta c:
R
R
E(Y ) = R E(Y | X = x)X (x)dx = R+ x2 .ex dx =

1
2 .

Bi tp 3.19. Gi s X N (, ), Z = (Z1 , Z2 , ..., Zn ) vi Zi

N (0, 1) l cc bnn c lp.
Khi X c dng X t = A.Z t + t vi A.At = . Suy ra
t

X (s) = E(eisX ) = E(ei(sAZ

Ta c sAz t =

t +st )

) = E(eisAZ )eis

P P
j ( k sk akj )Zj suy ra

E(eisAZ ) =

Eei(

k sk akj )Zj

e 2 (

2
k sk akj )

12 (

k,l sk akj sl alj )

= e 2

P P
k

k sk sl (

akj alj )

j
1

= e 2 ss
Vy X (s) = eis

t 1 sst
2

Bi tp 3.20. Xt phn phi ca

X2
2

Z 2

x2
2
X2
P(
< t) = P ( 2t < X < 2t) =
e 2
2
2 0
o hm theo t
et
et
0
F X 2 (t) = X 2 (t) = 1(0,+) (t)
2
t
t
2
Ta cng c
ez
Y 2 (z) = 1(0,+) (z)
z
2
Sputnik Education

305

Ph lc A. Li gii cho mt s bi tp
t X 0 =

X2
0
2 ,Y

Y2
2

suy ra X 0 , Y 0 l cc bnn c lp.

Ta c
X 0 ,Y 0 (t, z) =

etz
1(t>0,z>0)
tz

Suy ra
Z
X 0 (u z)Y (z)dz =

X 0 +Y 0 (u) =
R

eu

Z
0

dz
p
= eu
z(u z)

khi u 0. (X 0 +Y 0 (u) = 0 khi u < 0)

Bi tp 3.21. t Z = (Z1 , Z2 ) Z (z1 , z2 ) =

1
2 e
2

2
z1
z2
22
2

|z2 | z1 z2
Z1
2
2 .
Xt f (Z) = ( Z
,
Z
),
ta
c

(z
,
z
)
=
2
1
2
f
(Z)
2 e
2
2
|b| (a2 +1) b
2 .
Vi a = zz12 , b = z2 z1 = ab. Suy ra f (Z) (a, b) = 2
e

Ta c:
Z

1
f (Z) (a, b)db =
Z1 (a) =
2
Z2
R
1
=
(a2 + 1)

2 +1) b2
2

|b|e(a

Bi tp 3.22. i) t U = X, V = Z suy ra X = U, Y = V

1 r2 +

rU .
Ta c:
p
p
1
U,V (u, v) = X,Y (x, y) 1 r2 = X,Y (u, v 1 r2 + ru)
1 r2
2
2
1 u +v
2
=
e
2
Suy ra U (u) =

R U,V dv

1 u2
2 e

v ta cng c V (v) =

1 v2
2 e

U .V = U,V Vy X, Z l cc bnn c lp v c phn b N (0, 1).

306

Sputnik Education

1.3. Li gii bi tp Chng 3

ii) S dng php t cu trn. Ta c
+ Z
+
Z
P (X > 0, Y > 0) =
X,Y (x, y)dxdy
0

Z
U,V (u, v)dudv

=
u>0 v>

ru

1r 2

Z
U,V dudv =

U,V dudv +

1
+ I(r)
4

u>0 0>v> ru

u>0 v>0

1r 2

p dng cng thc o hm ca tch phn ta c

Z
Z
0
I (r) =
(
U,V dv)0r du
u>0 0>v> ru
2
1r

1
=
2

+
Z
2
1
1
u
)du =
(e 2(1r2 )
1 r2
2 1 r2
0

1
P (X > 0, Y > 0) = 14 + 2
arcsin(r).

iii) S dng php t cu i). Ta c Y = 1 r2 Z + rX.

Suy ra I =

1
2 arcsin(r)

V Z, X l cc bnn c lp c phn phi chun tc nn d thy Y

cng l phn phi chun tc.
Ta c:
X|Y (x | y) =

X,Y (x, y)
1
(x ry)2
=p
exp(
)
Y (y)
2(1 r2 )
2(1 r2 )

Suy ra PX|Y =y l phn b chun c k vng l ry v phng sai l

1 r2 (khng ph thuc vo y).

Sputnik Education

307

Ph lc A. Li gii cho mt s bi tp

1.4

Li gii bi tp Chng 4

Bi tp 4.1. K hiu Xn l bin nh phn c xc nh nh sau:

1 nu ln tung th n xut hin mt 6,

Xn =
0 trong trng hp ngc li.
Khi c th xem {Xn }n0 l dy php th Bernoulli vi
1
p = P (Xn = 1) = .
6
K hiu

Pn
k=1 Xk pn
.
Zn = p
np(p 1)

Vi n = 6000 l mt s nguyn dng ln, theo nh l MoivreLaplace ta c:

P (850 S6000 1050) =

1
1
1050 6000
850 6000 6
6
r
r
=P

6000

1 5
1 5
6000
6000
6 6
6 6

( 3) (3 3),

trong l k hiu lm phn phi xc sut ca phn b normal

chun tc N (0, 1). (Bn c t tnh ton tip!)
Bi tp 4.2. Gii tng t nh bi tp 4.1.
Bi tp 4.3. a) Ta bit rng phn b Poisson vi tham s (k hiu
l P ())c hm c trng l:
308

Sputnik Education

1.4. Li gii bi tp Chng 4

(t) = e(e
Vy nu Sn =

Pn

k=1 Xk

it 1)

l tng cc bin ngu nhin c lp c cng

phn b P (1) th hm c trng ca Sn l:

it 1)

Sn (t) = [X1 (t)]n = en(e

iu ny chng t Sn c phn b Poisson vi tham s = n.

n
P
b) Bi cu a, ta c th xem Xn =
k vi {k }k1 l dy bin
k=1

ngu nhin c lp vi cng phn b P (1). p dng nh l gii hn

trung tm ta c:
 Pn
P (Xn n) = P

k=1
k

x2
e 2
1

= .
2
2

Tuy nhin ta cng c th vit li P (Xn n) theo mt cch khc:

P (Xn n) =

n
X

P (Xn = k) =

k=0

n
X

en

k=0

nk
.
k!

So snh hai h thc trn ta c iu cn chng minh.

Bi tp 4.4. Theo nh l v tnh lin tc ta c: Dy bin ngu nhin
{Xn } vi phn b N (n , n2 ) hi t yu n bnn X
Xn X
exp(in t

n2 t2
) X
2

n2 t2
ln X
2
(n , n ) (, ).

in t

Sputnik Education

309

Ph lc A. Li gii cho mt s bi tp
vi , 0 no . Ta c iu cn chng minh.
Bi tp 4.6. Trc ht ch rng phn b hnh hc vi tham s p c
hm c trng c tnh nh sau:

p (t) =

X
k1

eitk pk =

eitk p(1 p)k1

k1

p X
peik
[(1 p)eit ]k =
1p
(1 eik ) + peik
k1

Vy

t
Xn (t) = Xn ( ) =
n
n

!1

it

it
n

it.e

1 en
it
n

+1

Chuyn qua gii hn ta c:

lim Xn (t) =

1
.
1 it

V phi chnh l hm c trng ca bnn c phn b m vi tham s

Xn w
= 1. Do

P(1). Do tnh lin tc ca phn b m ta c

n
iu phi chng minh.
Bi tp 4.7. Bng cch tnh ton trc tip ta s ch ra phn b ca
310

Sputnik Education

1.4. Li gii bi tp Chng 4

Yn hi t n phn b m vi tham s = 1. Tht vy:
FYn (x) = P (Yn x) = P ( max Xi 1
1in

x
)
n

= 1 P ( max Xi 1
1in

=1

n
Y

P (Xi 1

i=1

x
)
n

x
)
n

1 (1 x )n nu x 0, n >> 1,
n
=

0 nu x < 0.

1 ex nu x 0,
n

0 nu x < 0.
d

Vy Yn
P.
Bi tp 4.9. Theo nh l Fubini ta c:
1
|
2

Z Z
1
X (s)ds| = |
( eisx dPX )ds|
2

Z R
1
1
=|
( eisx | )dPX |
2 R ix
Z
sin x
=|
dPX |
x
ZR
Z
sin x
sin x

|
|dPX +
|
|dPX
x
x
|x| 2
|x|> 2
Z
Z
1

dPX +
dPX
2 |x|>
|x|

1
2 2
= (1 + P [ , ])
2

Sputnik Education

311

Ph lc A. Li gii cho mt s bi tp
T ta c

312

2 2
1
P[ , ] |

X (s)ds| 1.

Sputnik Education

Ph lc B

Phn mm my tnh cho xc

sut thng k
C hng trm phn mm my tnh cho tnh ton xc sut thng
k. C th chia chng theo cc tnh cht sau:
- Phn mm cho ton ni chung, vi cc chc nng tnh ton xc
sut thng k (v d nh MAPLE, MATLAB), hay l phn mm chuyn
v xc sut thng k (v d nh MINITAB, S-PLUS, SAS, SPSS), hay
l chuyn dng hn na ( dng trong mt lnh vc hp c cn n
thng k).
- Phn mm phi tr tin (v d nh cc phn mm va k trn),
hay l min ph (v d nh R).
- mnh, y ca cc chc nng, v d s dng, v.v.
Mi chng trnh c nhng im mnh v im yu, thch hp
vi nhng i tng khc nhau. V d:
313

Ph lc B. Phn mm my tnh cho xc sut thng k

- MATLAB thch hp cho nhng ngi cn tnh ton hnh thc ni
chung v c th dng n thng k. Gn y MATLAB cng c gii
ti chnh chuyn nghip dng nhiu trong cc cng vic tnh ton,
lm m hnh, simulation, v.v.
- i vi nhng ngi dng nhiu n hi qui v data mining
(o s liu tm thng tin), th nhng chng trnh nh SPSS c
th thch hp hn.
- Chng trnh R l mt chng trnh thng k min ph, m m,
v rt mnh, c nhiu ngi dng, c bit trong gii hn lm. R
trc kia c im d l kh s dng, nhng ngy nay, cng vi s
pht trin ca giao din trc gic, tr nn d s dng hn nhiu.
Cc chng trnh v c bn c nhiu nguyn tc chung ging
nhau, nn nu s dng thnh tho mt chng trnh th s khng
qu kh khn chuyn sang dng chng trnh khc.
tnh ton nhng v d thng k trong quyn sch ny, cc
tc gi dng mt chng trnh tng i gn nh (b li ch c t
chc nng) c tn l gretl (vit tt t: Gnu Regression, Econometrics
and Time-series Library), mt phn mm thng k m m do Allin
Contrell (GS kinh t i hc Wake Forest) khi xng v nhiu ngi
ng h xy dng. Chng trnh ny c nhiu ngi khen l rt
thch hp cho ging dy i hc. Mt s u im ca gretl l:
- Min ph, m m,
- C giao din trc gic, rt d s dng,
- Chy trn nhiu h iu hnh khc nhau,
- Thch hp v dng s liu vi cc chng trnh thng dng khc,
- C cng ng ngi s dng v ngi lp trnh pht trin nhanh,
314

Sputnik Education

- C th np cc s liu thng k t ngun bn ngoi v qua internet,

- C cc chc nng tnh ton thng k mnh, dng cho cc
sinh vin hc v kinh t lng, cng nh cho mn xc sut thng k
bc i hc.
C th tm hiu v gretl trn trang web: http://gretl.sourceforge.net/.

Sputnik Education

315

Ph lc C

Bng phn b Z
Phn b normal chun tc N (0, 1) cn c gi l phn b Z.
Bng pha trc cho xc sut PN (0,1) (] , Z[).
Bng pha sau cho xc sut ui PN (0,1) (]Z, [)
Z | 0.00

0.01

0.02

0.03

0.04

0.05

0.06

0.07

0.08

0.09

----+---------------------------------------------------------------------0.0 | 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 | 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 | 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 | 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 | 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 | 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 | 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 | 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 | 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 | 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 | 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 | 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 | 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 | 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177

316

1.4 | 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 | 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 | 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 | 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 | 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 | 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 | 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 | 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 | 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 | 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 | 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 | 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 | 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 | 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 | 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 | 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 | 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
Z

P{Z to oo} |

P{Z to oo} |

P{Z to oo}

P{Z to oo}

----------------+-----------------+------------------+-----------------2.0

0.02275

3.0 0.001350

4.0 0.00003167

5.0

2.867 E-7

2.1

0.01786

3.1 0.0009676

4.1 0.00002066

5.5

1.899 E-8

2.2

0.01390

3.2 0.0006871

4.2 0.00001335

6.0

9.866 E-10

2.3

0.01072

3.3 0.0004834

4.3 0.00000854

6.5

4.016 E-11

2.4

0.00820

3.4 0.0003369

4.4 0.000005413 |

7.0

1.280 E-12

2.5

0.00621

3.5 0.0002326

4.5 0.000003398 |

7.5

3.191 E-14

2.6

0.004661

3.6 0.0001591

4.6 0.000002112 |

8.0

6.221 E-16

2.7

0.003467

3.7 0.0001078

4.7 0.000001300 |

8.5

9.480 E-18

2.8

0.002555

3.8 0.00007235 |

4.8 7.933 E-7

9.0

1.129 E-19

2.9

0.001866

3.9 0.00004810 |

4.9 4.792 E-7

9.5

1.049 E-21

Sputnik Education

317

Ti liu tham kho

[1] F. M. Dekking, C. Kraaikamp, H. P. Lopuha
a, L. E. Meester, A modern
introduction to probability and statistics Understanding why and
how, Springer, 2005.
[2] L. Gonick, W. Smith, The cartoon guide to statistics, HarperCollins
Publishers, 1993.
[3] Ch. M.Grinstead, J. L. Snell, Introduction to probability, AMS, 1997.
[4] Darrel Huff, How to lie with statistics, 1954.
[5] L. B. Koralov, Ya. G. Sinai, Theory of probability and random processes, Universitext, 2nd edition, 2007.
[6] R. Meester, A natural introduction to probability theory, 2008.
[7] G. Shay, Introduction to probability with statistical applications,
Birkh
auser, 2007.
[8] A. N. Shiryaev, Probability (Graduate texts in mathematics, Vol. 95),
Springer, 1995.
[9] Trn Mnh Tun, Xc sut v thng k L thuyt v thc hnh tnh
ton, NXB HQGHN, 2004.

318

Gii thiu T Sch Sputnik

Cc sch xut bn
S001. Malba Tahan, Nhng cuc phiu lu ca Ngi Thch
m
L Hi Yn, Phm Vit Hng v
Nguyn Tin Dng dch, 236 trang,
02/2015.
y l cun sch vit v ton
hc thng thc c a chung
nht trn th gii trong vng mt
th k qua. N c in ra hng
triu bn, c dch ra hu ht cc
th ting ph bin trn th gii nh
ting Anh, ting Php, ting Ty
Ban Nha, ting c, ting Rp v
c ti bn lin tc hng nm. . .
S hp dn c bit ca cun sch ny nm ch n va l mt
319

quyn sch gii thiu rt nhiu iu th v v ton hc, ng thi va

c gi tr rt cao v vn hc v cha nhiu in tch lch s th v.
Cuc phiu lu ca nhn vt chnh trong cun sch ly k khng km
Nghn l mt m.
Hp vi mi la tui.

S002. Vladimir Levshin, Ba ngy nc T Hon

Nguyn Tin Dng dch, 190
trang, 02/2015
y l mt quyn sch k diu,
mt truyn thn thoi tuy khng
phi thn thoi nhng c php
mu lm cho c hc sinh v ngi
ln tr nn yu ton hc. N c
nh ton hc Vladimir Levshin sng
tc Nga vo nm 1962 v t
n nay c ti bn rt nhiu ln,
tng cng hng nghn bn dch,
dch sang cc th ting khc nhau,
v tr thnh sch gi u ging ca bit bao th h hc sinh. Ba
ngy nc t hon li n tng su sc trong hng triu bn tr,
v nhiu ngi trong s v sau s tr thnh nh khoa hc, k s,
bc s, thng gia, v.v.
Bn dch ca GS. Nguyn Tin Dng do Sputnik xut bn l bn
dch mi, chnh xc hn bn dch c tng c in Vit Nam
320

Sputnik Education

trc y.
Sch hp vi mi la tui.

S003. Nguyn Tin Dng, Cc bi ging v ton cho Mirella,

quyn I
127 trang, 02/2015, km li
gii thiu ca GS. H Huy Khoi.
Cun sch gm 12 chng, da
trn cc bi ging v cc bui ni
chuyn m tc gi dnh cho c con
gi ca mnh.
Trch t mt gii thiu trong
sch: c vit bi mt nh ton
hc hng u l GS. TS Nguyn
Tin Dng , cun sch l mt ti
liu qu v khc bit gi m nhng
vn l th ca ton hc s cp
v hin i. Bn thn ti rt n tng vi cc bi ging c dn
dt bng ngn ng gn gi, hm hnh nhng rt logic v cha ng
nhng tng su sc ca tc gi. y chc hn l cun sch m bt
k hc sinh yu ton no cng c th tm thy nhng kin thc b
ch v ton hc v vic hc ton.
Sch dnh cho cc hc PTCS v PTTH.
Sputnik Education

321

S004. Trn Nam Dng, 169 bi ton hay cho tr em v

ngi ln
142 trang, 03/2015
y l cun sch b ch cho
nhng bn hc sinh v nhng ngi
yu thch ton hc. Vi nhng bi
ton c pht biu rt vui, rt gn
gi trong cuc sng, cun sch ny
s em li cho cc bn nhng pht
th gin cn thit.
Sch hp cho c tr em v ngi
ln.

S005. N. Ia. Vilenkin, Qui np

v t hp
H Huy Khoi dch, 03/2015, 87
trang.
y l mt trong nhng cun
sch vit hay v d hiu nht v
phng php qui np v cc vn
tnh ton t hp. Tc gi l nh ton
hc Nga ni ting N. Ia. Vilenkin.
Sch hp vi trnh ph thng c
s v ph thng trung hc.
322

Sputnik Education

Khng ch quan trng i vi nhng k thi hc sinh gii m T

hp v quy np l mt phn khng th thiu cho nhng ai mun tip
tc hc tp, nghin cu v lm vic c hiu qu trong nhng ngnh
ton hc, tin hc, k thut hay n gin ch l trau di t duy
logic, iu m ai cng cn n trong cuc sng.

Mt s sch sp xut bn
Di y l mt s sch trong T Sch Sputnik hon thn hoc
hn nh hon thnh vo thi im 05/2015. Ngoi ra cc cng tc
vin ca T Sch Sputnk ang vit v dch nhiu quyn sch khc.

L Bch Phng v Nguyn Tin Dng, Romeo i tm cng

cha, 100 cc cu vui hc ba
Qung 140 trang, hon thnh bn tho 04/2015.
Sch ny l mt tuyn tp ng 100 cu vui ton hc, t d
n kh, ph hp vi mi la tui, chia thnh cc ti: s hc, hnh
hc, qui lut, thut ton, v logic. c bit, c mt chng v Romeo
i tm cng cha, v tm c s phi tri qua nhiu th thch
gian nan.
V d mt cu t quyn sch:
Romeo cng vi hai hip s i c ng ng ti ng Tin m
khng b sa vo by. B tin bit trc v s xut hin ca ba v
khch ny, nn chun b sn 5 ci m, trong c hai ci mu
xanh v ba ci mu . B tin bo ba chng trai xp thnh 1 hng
Sputnik Education

323

dc, khng c trao i vi nhau, ri i ln u mi ngi mt

chic m t nm chic . Romeo ng u hng, khng nhn thy
c b tin i m mu g ln u ai. Toto ng gia, nhn thy m
trn u Romeo nhng khng nhn thy m trn u Dario v u
mnh. Dario ng sau cng nhn thy hai m trn u ca Romeo
v Toto nhng khng nhn thy m trn u mnh. B tin ni rng
nu ai suy lun c ra m m mnh i mu no mt cch chc
chn, th s c b cho ci m . C Dario v Toto u rt thng
minh, nhng u ln lt nh ni rng h khng suy lun c m
h i trn u mu g. n lt Romeo, th Romeo li suy lun c
ra l ang i m mu g, v c b tin tng cho ci m . Bn
c bit Romeo i m mu g khng?

Nguyn Tin Dng, Cc bi ging v ton cho Mirella, Quyn

2
Qung 170 trang, hon thnh bn tho 04/2015.
C km li gii thiu ca GS. Nguyn Vn Mu.
Tng t nh quyn Mirella 1, mi chng sch ca quyn ny
xut pht t mt cuc ni chuyn hay mt bi ging cho Mirella (con
gi ca tc gi) v ton hc. Nhng vn cp ti trong sch
bao gm: cc i lng v cng nh v v cng ln, s hc trn mt
phng, cc hnh a din li v cc tnh cht ca chng, o hm v
bin phn v ng dng ca n (v d nh nh lut Snell trong quang
hc), cc vn v thut ton v tin hc, c bit l khi nim lng
thng in, v cc bi ton lin quan, v d nh bi sau:
324

Sputnik Education

C 12 ng tin vng trng ging ht nhau, trong c 11 ng

tin tht, v mt ng tin gi. Cc ng tin tht nng bng nhau,
cn ng tin gi c khi lng khc ng tin tht, nhng khng
bit l nng hn hay nh hn. Dng mt ci cn c in. Lm sao
vi ch 3 ln cn m chc chn xc nh c rng u l dng tin
gi, v n nh hn hay nng hn so vi cc ng tin tht.
Sch hp vi cui cp PTCS tr ln.

Lichtman, B mt, di tr, v i s

Nguyn Tin Dng dch, qung 160 trang, hon thnh bn tho
03/2015.
Cun truyn cho thin nin ny c bit ch n c ct truyn
hn hoi, v cuc sng v tnh bn ca nhng hc sinh lp 8 mt
trng hc M, ng thi mi chng u gii thiu cc tng v
khi nim ton hc mt cch rt t nhin v gn gi cuc sng. Cun
sch ny xut bn bn M nm 2006, v ot nhiu gii thng
v sch cho thin nin.

Kiselev, Hnh hc phng

Nguyn Vn Hng dch, qung 360 trang, hon thnh bn tho
03/2015.
y l quyn sch kinh in v hnh hc cho hc sinh ph thng,
c dng lm sch hc chnh thc Nga trong nhiu thp k, v gn
y c dch sang ting Anh. N trnh by mt cch h thng v lSputnik Education

325

gch cc khi nim hnh hc phng (cho hc sinh PTCS v PTTH), v

km theo rt nhiu bi tp qua hc sinh c th nm chc cc
kin thc c bn.

Aleksandrova & Levshin, Ngi mt n en t nc Al-Jabr

Nguyn Tin Dng dch, qung 240 trang, hon thnh bn tho
04/2015
Cun sch ny cng vi hai cun sch khc l Ba ngy nc
T Hon v Thuyn trng n V (hay cn gi l Thy th S
Khng) to thnh mt b ba tp sch ni ting do Levshin v Aleksandrova vit vo thp k 1960. T n nay, b sch ny c
ti bn lin tc hng nm, in ra nhiu nc trn th gii, tr thnh
sch gi u ging ca hng trm nghn bn tr, nhng ngi m
v sau s tr thnh cc nh khoa hc, bc s, k s, thng gia, nh
qun l, v.v.
Bn dch mi ny do Sputnik xut bn trnh c nhiu li sai
ca mt bn dch c ang c lu hnh ti Vit Nam.
Sch hp vi mi la tui.

c Thi, Cc bi tp s hc
Dnh cho hc cc hc sinh PTCS v PTTH c nng khiu v ton.

Spivak, Cu lc b ton hc lp 6 - lp 7
Trn Nam Dng dch t ting Nga.
326

Sputnik Education

Cun sch ny c khong 500 bi ton hay, c i km li gii.

Dnh cho cc hc sinh PTCS.

Cc a ch bn sch Sputnik
Sch ca T sch Sputnik c c bn qua cc cng ty pht hnh
sch n cc ca hng online/offlinen cc hi ch sch, v.v. Ngoi ra,
Sputnik c phn phi trc tip sch n cc a im sau, nhng ai
mun mua c th lin lc. Danh sch ny s thnh thong c cp
nht.

Saigon (v khu vc min Nam)

- Nh sch C Chp, 211-213 V Vn Tn, TP HCM, 08 6290 6951
- Ms. V Th Bch Phng, Titan Education, 94 Mc nh Chi,
Mobile: 0909058520 Email: phuong@titan.edu.vn
- Titan Education (a im khc), 175 Phm Hng, P. 4, Q. 8, TP
HCM, Mobile: 0909058520 Email: phuong@titan.edu.vn
- Mr. Sn, s in thoi 0947558338 . C trang FB Sch cho tr
Sachchotre. C th giao sch tn ni.

Nng (v khu vc min Trung)

- 111/18 Thanh Thy, Nng. S in thoi: 0906016943 hoc
01667286280. (C th gi in, giao sch tn nh nu cn)
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327

Hanoi v cc ni khc (c th gi in hn ly hoc mua

sch qua bu in)
- Booksquare, 12 Ha M, Qun HBT, HN, Ms. Thy, 04 3821
3888
- Trung tm dy ton Pomath, Ng 158 Nguyn Khnh Ton, Cu
Giy, HN Ms. Hin 091 513 7066
- Trung tm CSVC v thit b, chi tr em Vin KHGD VN 62
Phan nh Git, qun Thanh Xun, HN Mrs. Cao Chi (84.4) 38642687
- Nh sch S phm, 12H1 Khu tp th i hc S phm, H ni.
t: 0437548642.
- Ms. Nguyn Th Thu 241 ph Trn ng Ninh, Cu Giy Mobile: 0982932219 Email: sach@sputnik.vn (nhn gi sch qua bu
in)
- Ms. Qunh Anh, Ng 291 Lc Long Qun, Ngha , HN 093
518 5555 (nhn gi sch qua bu in)
- Mrs Phng, ng 43, ng C Nhu, 090 206 1246 (nhn gi
sch qua bu in)
- Mrs. H 090 200 8386 (nhn gi sch qua bu in)
- Mrs. Thanh 091 323 9846 (lin h v phn phi sch, mua s
lng ln)

Online
- Tiki.vn

328

Sputnik Education

Ch mc
2 , 203

c lng, 223

nh x bo ton xc sut, 35

c lng hiu qu, 234

i thuyt H1 , 245

c lng khng chch, 225

th phn tn, 156

c lng khng chch tim cn,

225

lch chun, 107

c lng nht qun, 224

tin cy, 236

c lp, 136

bt ng thc Chebyschev, 115,

nh l Pearson, 204

116

nh l Prokhorov, 196

bt ng thc CramrRao, 234

nh l de Moivre Laplace,

bt ng thc Jensen, 105

178
nh l gii hn trung tm, 182

bt ng thc Markov, 115

nh l hi t b chn Lebesgue,

bin i Fourier, 121

bin i Laplace, 125

99
nh l lin tc, 197

bin i ngc Fourier, 121

nh l lin tc Lvy, 201

bin iu khin, 268

ng cu xc sut, 35

bin ngu nhin, 69

a dng ha ti sn, 107

bin ph thuc, 268

im ht, 75

bin t do, 268

o c, 24

biu tn s, 86
329

cng thc Bayes, 50

hm phn phi, 72

cng thc Sterling, 179

hm phn phi thc nghim,

cng thc xc sut ton phn,

48

221
hm phn phi xc sut ng

c ca mu, 220

thi, 129

cht, 196

hm phn phi xc sut bin,

chun Lk , 202

131

chui Fourier, 121

hm phn phi xc sut c iu

kin, 164

gi tr P, 248

hm sinh moment, 118

gi tr thc nghim, 221

hm sinh xc sut, 124

gi thuyt H0 , 245

hm thng k, 224

gretl, 156

h s bt i xng, 111
hu khp mi ni, 69

h s tng quan, 153

hi qui, 268

hi t hu khp mi ni, 202

hi qui phi tuyn, 273

hi t hu nh chc chn, 202

hi qui tuyn tnh, 159

hi t theo phn phi xc sut,

hi qui tuyn tnh n, 269

189

hi qui tuyn tnh bi, 271

hi t theo xc sut, 202

hm c trng, 119, 135

hi t yu, 188

hm hp l, 228

hip phng sai, 151

hm o c, 69
hm c lng, 223

k vng, 92

hm ch bo, 70

k vng c iu kin, 164

hm mt , 74, 132

k vng hnh hc, 104

hm mt ng thi, 132

k vng mu, 222

hm mt bin, 133

k vng thc nghim, 222

330

Sputnik Education

khng gian mu, 25

metric Lvy-Prokhorov, 192

khng gian metric, 192

moment, 110

khng gian xc sut, 24

moment chun ho, 112

khng gian xc sut thc nghim,

moment hn hp, 134

155, 160

moment thc nghim, 222

kh tch, 98

moment trung tm, 110

khong cch, 192

khong tin cy, 236

phn b u, 83

khong tin cy mt pha, 238

phn b ng thi thc nghim,

160

ki bnh phng, 203

kim nh 2 , 204, 259

phn b Bernoulli, 29

kim nh F, 258

phn b Cauchy, 175

kim nh T, 250

phn b chun, 85

kim nh T hai mu, 255

phn b F, 258

kim nh Z, 250

phn b gamma, 138

kim nh Z hai mu, 254

phn b hnh hc, 78

kurtosis, 112

phn b hn hp, 77
phn b lu tha, 89

lng thng tin Fisher, 234

lin tc, 74

phn b nh thc, 41
phn b nh thc m, 80

lin tc tuyt i, 74

phn b normal, 85

lut s ln, 57, 143

phn b normal chun tc, 85

phn b normal nhiu chiu,

mu thc nghim, 220

169

ma trn hip phng sai, 170

phn b normal nhiu chiu chun

metric, 192

tc, 169

metric L1 , 191
metric KolmogorovSmirnov, 192

phn b Pareto, 90

Sputnik Education

331

phn b Poisson, 80

s kin c lp, 46

phn b ri rc, 76

s kin thnh phn, 25

phn b Student, 241

sai lm loi 1, 246

phn b T, 241

sai lm loi 2, 246

phn b thc nghim, 160

sai s chun, 269

phn b xc sut, 25

sai s trung bnh bnh phng,

234

phn b xc sut u, 30
phn b xc sut ng thi, 129

sigma-i s, 24

phn b xc sut bin, 131

sigma-i s Borel, 71, 129

phn b xc sut c iu kin,

song tuyn tnh, 152

164
phn b xc sut cm sinh, 36
phn b xc sut thc nghim,
221

tch phn Lebesgue, 96

tch trc tip, 146
tch v hng, 154
tn s, 86

phn hoch, 48

tn sut, 87

phn phi xc sut, 71

tp con c th b qua, 148

phn lin tc, 77

tng chun ho, 182

phn ri rc, 77
phng php hp l cc i,
228

thng k, 224
trung v, 223

phng sai, 107

vector k vng, 170

phng sai mu, 223

vector ngu nhin, 128

phng sai mu hiu chnh, 227

phng sai thc nghim, 223
push-forward, 36

xc sut, 17
xc sut c iu kin, 42

s bc t do, 203
332

Sputnik Education