Xac Suat Thong Ke

HC VIN CNG NGH BU CHNH VIN THNG
SCH HNG DN HC TP
XC SUT THNG K
(Dng cho sinh vin ngnh CNTT v TVT h o to i hc t xa)
Lu hnh ni b
H NI - 2006
HC VIN CNG NGH BU CHNH VIN THNG
SCH HNG DN HC TP
XC SUT THNG K
Bin son :
Ts. L B LONG
LI NI U
L thuyt xc sut thng k l mt b phn ca ton hc, nghin cu cc hin tng ngu
nhin v ng dng chng vo thc t. Ta c th hiu hin tng ngu nhin l hin tng khng
th ni trc n xy ra hay khng xy ra khi thc hin mt ln quan st. Tuy nhin, nu tin hnh
quan st kh nhiu ln mt hin tng ngu nhin trong cc php th nh nhau, ta c th rt ra
c nhng kt lun khoa hc v hin tng ny.
L thuyt xc sut cng l c s nghin cu Thng k mn hc nghin cu cc cc
phng php thu thp thng tin chn mu, x l thng tin, nhm rt ra cc kt lun hoc quyt
nh cn thit. Ngy nay, vi s h tr tch cc ca my tnh in t v cng ngh thng tin, l
thuyt xc sut thng k ngy cng c ng dng rng ri v hiu qu trong mi lnh vc khoa
hc t nhin v x hi. Chnh v vy l thuyt xc sut thng k c ging dy cho hu ht cc
nhm ngnh i hc.
C nhiu sch gio khoa v ti liu chuyn kho vit v l thuyt xc sut thng k. Tuy
nhin, vi phng thc o to t xa c nhng c th ring, i hi hc vin phi lm vic c
lp nhiu hn, v vy cn phi c ti liu hng dn hc tp ca tng mn hc thch hp cho i
tng ny. Tp ti liu Hng dn hc mn ton xc sut thng k ny c bin son cng
nhm mc ch trn.
Tp ti liu ny c bin son cho h i hc chuyn ngnh in t-Vin thng theo
cng chi tit chng trnh qui nh ca Hc vin Cng ngh Bu Chnh Vin Thng. Ni dung
ca cun sch bm st cc gio trnh ca cc trng i hc khi k thut v theo kinh nghim
ging dy nhiu nm ca tc gi. Chnh v th, gio trnh ny cng c th dng lm ti liu hc
tp, ti liu tham kho cho sinh vin ca cc trng, cc ngnh i hc v cao ng khi k thut.
Gio trnh gm 6 chng tng ng vi 4 n v hc trnh (60 tit):
Chng I: Cc khi nim c bn v xc sut.
Chng II: Bin ngu nhin v cc c trng ca chng.
Chng III: Vc t ngu nhin v cc c trng ca chng.
Chng IV: Lut s ln v nh l gii hn.
Chng V:.Thng k ton hc
Chng VI: Qu trnh ngu nhin v chui Markov.
iu kin tin quyt mn hc ny l hai mn ton cao cp i s v gii tch trong chng
trnh ton i cng. Tuy nhin v s hn ch ca chng trnh ton dnh cho hnh thc o to t
xa, do nhiu kt qu v nh l ch c pht biu v minh ha ch khng c iu kin
chng minh chi tit.
Gio trnh c trnh by theo cch thch hp i vi ngi t hc, c bit phc v c lc
cho cng tc o to t xa. Trc khi nghin cu cc ni dung chi tit, ngi c nn xem phn
gii thiu ca mi chng thy c mc ch ngha, yu cu chnh ca chng . Trong
mi chng, mi ni dung, ngi c c th t c v hiu c cn k thng qua cch din t

v ch dn r rng. c bit bn c nn ch n cc nhn xt, bnh lun hiu su hn hoc
m rng tng qut hn cc kt qu v hng ng dng vo thc t. Hu ht cc bi ton c xy
dng theo lc : t bi ton, chng minh s tn ti li gii bng l thuyt v cui cng nu
thut ton gii quyt bi ton ny. Cc v d l minh ho trc tip khi nim, nh l hoc cc
thut ton, v vy s gip ngi c d dng hn khi tip thu bi hc. Sau cc chng c phn
tm tt cc ni dung chnh v cui cng l cc cu hi luyn tp. C khong t 20 n 30 bi tp
cho mi chng, tng ng vi 3 -5 cu hi cho mi tit l thuyt. H thng cu hi ny bao trm
ton b ni dung va c hc. C nhng cu kim tra trc tip cc kin thc va c hc
nhng cng c nhng cu i hi hc vin phi vn dng mt cch tng hp v sng to cc kin
thc gii quyt. V vy vic gii cc bi tp ny gip hc vin nm chc hn l thuyt v kim
tra c mc tip thu l thuyt ca mnh.
Tuy rng tc gi rt c gng, song v thi gian b hn hp cng vi yu cu cp bch ca
Hc vin, v vy cc thiu st cn tn ti trong gio trnh l iu kh trnh khi. Tc gi rt mong
s ng gp kin ca bn b ng nghip, hc vin xa gn v xin cm n v iu .
Cui cng chng ti by t s cm n i vi Ban Gim c Hc vin Cng ngh Bu
Chnh Vin Thng, Trung tm o to Bu Chnh Vin Thng 1 v bn b ng nghip
khuyn khch ng vin, to nhiu iu kin thun li chng ti hon thnh tp ti liu ny.
H Ni, u nm 2006.
L B Long
Khoa c bn 1
Hc Vin CNBCVT
Chng 1: Cc khi nim c bn v xc sut
CHNG I: CC KHI NIM C BN V XC SUT
GII THIU
Cc hin tng trong t nhin hay x hi xy ra mt cch ngu nhin (khng bit trc kt
qu) hoc tt nh (bit trc kt qu s xy ra). Chng hn ta bit chc chn rng lng ca qu c
mu en, mt vt c th t trn cao chc chn s ri xung t... l nhng hin tng din
ra c tnh quy lut, tt nh. Tri li khi tung ng xu ta khng bit mt sp hay mt nga s xut
hin. Ta khng th bit c bao nhiu cuc gi n tng i, c bao nhiu khch hng n im
phc v trong khong thi gian no . Ta khng th xc nh trc ch s chng khon trn th
trng chng khon l nhng hin tng ngu nhin. Tuy nhin, nu tin hnh quan st kh
nhiu ln mt hin tng ngu nhin trong nhng hon cnh nh nhau, th trong nhiu trng hp
ta c th rt ra nhng kt lun c tnh quy lut v nhng hin tng ny. L thuyt xc sut
nghin cu cc qui lut ca cc hin tng ngu nhin. Vic nm bt cc quy lut ny s cho php
d bo cc hin tng ngu nhin s xy ra nh th no. Chnh v vy cc phng php ca l
thuyt xc sut c ng dng rng ri trong vic gii quyt cc bi ton thuc nhiu lnh vc
khc nhau ca khoa hc t nhin, k thut v kinh t-x hi.
Chng ny trnh by mt cch c h thng cc khi nim v cc kt qu chnh v l thuyt
xc sut:
-
Cc khi nim php th, bin c.
Quan h gia cc bin c.
Cc nh ngha v xc sut: nh ngha xc sut theo c in, theo thng k.
- Cc tnh cht ca xc sut: cng thc cng v cng thc nhn xc sut, xc sut ca
bin c i.
- Xc sut c iu kin, cng thc nhn trong trng hp khng c lp. Cng thc xc
sut y v nh l Bayes.
-
Dy php th Bernoulli v xc sut nh thc
Khi nm vng cc kin thc v i s tp hp nh hp, giao tp hp, tp con, phn b ca

mt tp con hc vin s d dng trong vic tip thu, biu din hoc m t cc bin c.
tnh xc sut cc bin c theo phng php c in i hi phi tnh s cc trng hp
thun li i vi bin c v s cc trng hp c th. V vy hc vin cn nm vng cc phng
php m - gii tch t hp ( c hc lp 12 v trong chng 1 ca ton i s A2). Tuy
nhin thun li cho ngi hc chng ti s nhc li cc kt qu chnh trong mc 3.
Mt trong nhng kh khn ca bi ton xc sut l xc nh c bin c v s dng ng
cc cng thc thch hp. Bng cch tham kho cc v d v gii nhiu bi tp s rn luyn tt k
nng ny.
3
NI DUNG
1.1. PHP TH V BIN C
1.1.1. Php th (Experiment)
Trong thc t ta thng gp nhiu th nghim, quan st m cc kt qu ca n khng th d
bo trc c. Ta gi chng l cc php th ngu nhin.
Php th ngu nhin thng c k hiu bi ch C . Tuy khng bit kt qu s xy ra nh
th no, nhng ta c th lit k c hoc biu din tt c cc kt qu ca php th C . Mi kt
qu ca php th C c gi l mt bin c s cp. Tp hp tt c cc bin c s cp ca php
th c gi l khng gian mu, k hiu .
V d 1.1:
Php th tung ng xu c khng gian mu l = {S, N } .
Vi php th tung xc xc, cc bin c s cp c th xem l s cc nt trn mi mt xut
hin. Vy = {1, 2, 3, 4, 5, 6} .
Php th tung ng thi 2 ng xu c khng gian mu l
= {( S , S ), ( S , N ), ( N , S ), ( N , N )}.
Ch rng bn cht ca cc bin c s cp khng c vai tr c bit g trong l thuyt xc
sut. Chng hn c th xem khng gian mu ca php th tung ng tin l = {0, 1}, trong 0
l bin c s cp ch mt sp xut hin v 1 ch mt nga xut hin.
1.1.2. Bin c (Event)
Vi php th C ta thng xt cc bin c (cn gi l s kin) m vic xy ra hay khng
xy ra hon ton c xc nh bi kt qu ca C .
Mi kt qu ca
qu ca C l .
c gi l kt qu thun li cho bin c A nu A xy ra khi kt
V d 1.2: Nu gi A l bin c s nt xut hin l chn trong php th tung xc xc v

d 1.1 th A c cc kt qu thun li l 2, 4, 6.
Tung hai ng xu, bin c xut hin mt mt sp mt mt nga (xin m dng) c cc kt
qu thun li l ( S , N ) ; ( N , S ) .
Nh vy mi bin c A c ng nht vi mt tp con ca khng gian mu bao gm
cc kt qu thun li i vi A .
Mi bin c ch c th xy ra khi mt php th c thc hin, ngha l gn vi khng gian
mu no . C hai bin c c bit sau:
Bin c chc chn l bin c lun lun xy ra khi thc hin php th, bin c ny trng
vi khng gian mu .
Bin c khng th l bin c nht nh khng xy ra khi thc hin php th. Bin c
khng th c k hiu .
4

Tung mt con xc xc, bin c xut hin mt c s nt nh hn hay bng 6 l bin chc
chn, bin c xut hin mt c 7 nt l bin c khng th.
1.1.3. Quan h gia cc bin c
Trong l thuyt xc sut ngi ta xt cc quan h sau y cho cc bin c.
a. Quan h ko theo
Bin c A ko theo bin c B , k hiu A B , nu A xy ra th B xy ra.
b. Quan h bin c i
Bin c i ca A l bin c c k hiu l A v c xc nh nh sau: A xy ra khi v
ch khi A khng xy ra.
c. Tng ca hai bin c
Tng ca hai bin c A, B l bin c c k hiu A B . Bin c A B xy ra khi v ch
khi c t nht A hoc B xy ra.
Tng ca mt dy cc bin c {A1 , A2 , ... , An } l bin c
Ai . Bin c ny xy ra khi c
i =1
t nht mt trong cc bin c Ai xy ra.

d. Tch ca hai bin c
Tch ca hai bin c A, B l bin c c k hiu AB . Bin c AB xy ra khi v ch khi
c hai bin c A , B cng xy ra.
Tch ca mt dy cc bin c {A1 , A2 , ... , An } l bin c
Ai . Bin c ny xy ra khi tt
i =1
c cc bin c Ai cng xy ra.

e. Bin c xung khc
Hai bin s A, B gi l xung khc nu bin c tch AB l bin c khng th. Ngha l hai
bin c ny khng th ng thi xy ra.
Ch rng cc bin c vi php ton tng, tch v ly bin c i to thnh i s Boole
do cc php ton c nh ngha trn c cc tnh cht nh cc php ton hp, giao, ly phn
b i vi cc tp con ca khng gian mu.
f. H y cc bin c
Dy cc bin c A1 , A2 , ... , An c gi l mt h y cc bin c nu:
i. Xung khc tng i mt, ngha l Ai A j = vi mi i j = 1, ... , n ,
n
ii. Tng ca chng l bin c chc chc, ngha l
Ai = .
i =1
c bit vi mi bin c A , h A, A l h y .
5

V d 1.3: Mt nh my c ba phn xng sn xut ra cng mt loi sn phm. Gi s rng
mi sn phm ca nh my ch do mt trong ba phn xng ny sn xut. Chn ngu nhin mt
sn phm, gi A1 , A2 , A3 ln lt l bin c sn phm c chn do phn xng th nht, th
hai, th ba sn xut. Khi h ba bin c A1 , A2 , A3 l h y .
g. Tnh c lp ca cc bin c
Hai bin c A v B c gi l c lp vi nhau nu vic xy ra hay khng xy ra bin c
ny khng nh hng ti vic xy ra hay khng xy ra bin c kia.
Tng qut cc bin c A1 , A2 , ... , An c gi l c lp nu vic xy ra hay khng xy ra
ca mt nhm bt k k bin c, trong 1 k n , khng lm nh hng ti vic xy ra hay
khng xy ra ca cc bin c cn li.
nh l 1.2: Nu A, B c lp th cc cp bin c: A, B ; A, B ; A, B cng c lp.
V d 1.4: Ba x th A, B, C mi ngi bn mt vin n vo mc tiu. Gi A, B, C ln
lt l bin c A, B, C bn trng mc tiu.
a. Hy m t cc bin c: ABC , A B C , A B C .
b. Biu din cc bin c sau theo A, B, C :
- D : C t nht 2 x th bn trng.
- E : C nhiu nht 1 x th bn trng.
- F : Ch c x th C bn trng.
- G : Ch c 1 x th bn trng.
c. Cc bin c A, B, C c xung khc, c c lp khng ?
Gii:
a. ABC : c 3 u bn trng. A B C : c 3 u bn trt. A B C : c t nht 1 ngi
bn trng.
b. D = AB BC CA .
C nhiu nht mt x th bn trng c ngha l c t nht hai x th bn trt, vy
E = AB BC C A .
F = ABC .
G = ABC ABC ABC .
c. Ba bin c A, B, C c lp nhng khng xung khc.

1.2. NH NGHA XC SUT V CC TNH CHT
Vic bin c ngu nhin xy ra hay khng trong kt qu ca mt php th l iu khng th
bit hoc on trc c. Tuy nhin bng nhng cch khc nhau ta c th nh lng kh nng
xut hin ca bin c, l xc sut xut hin ca bin c.
6

Xc sut ca mt bin c l mt con s c trng kh nng khch quan xut hin bin c
khi thc hin php th.
Da vo bn cht ca php th (ng kh nng) ta c th suy lun v kh nng xut hin
ca bin c, vi cch tip cn ny ta c nh ngha xc sut theo phng php c in.
Khi thc hin nhiu ln lp li c lp mt php th ta c th tnh c tn sut xut hin
ca mt bin c no . Tn sut th hin kh nng xut hin ca bin c, vi cch tip cn ny ta
c nh ngha xc sut theo thng k.
1.2.1. nh ngha c in v xc sut
Gi s php th
tho mn hai iu kin sau:
(i)
Khng gian mu c mt s hu hn phn t.
(ii)
Cc kt qu xy ra ng kh nng.
Khi ta nh ngha xc sut ca bin c A l
P ( A) =
s trng hp thun li i vi A
s trng hp c th
(1.1)
Nu xem bin c A nh l tp con ca khng gian mu th
P ( A) =
A
s phn t ca A
=
s phn t ca
(1.1)
V d 1.5: Bin c A xut hin mt chn trong php th gieo con xc xc v d 1.1 c 3
3 1
trng hp thun li ( A = 3 ) v 6 trng hp c th ( = 6 ). Vy P( A) = = .
6 2
tnh xc sut c in ta s dng phng php m ca gii tch t hp.
1.2.2. Cc qui tc m
a. Qui tc cng
Nu c m1 cch chn loi i tng x1 , m 2 cch chn loi i tng x 2 , ... , mn cch
chn loi i tng x n . Cc cch chn i tng xi khng trng vi cch chn x j nu i j
th c m1 + m2 +
+ mn cch chn mt trong cc i tng cho.
b. Qui tc nhn
Gi s cng vic H gm nhiu cng on lin tip H1 , H 2 , ... , H k v mi cng on
H i c ni cch thc hin th c tt c n1 n2 nk cch thc hin cng vic H .
c. Hon v
Mi php i ch ca n phn t c gi l php hon v n phn t. S dng quy tc
nhn ta c th tnh c:
C n ! hon v n phn t.
7

d. Chnh hp
Chn ln lt k phn t khng hon li trong tp n phn t ta c mt chnh hp chp
k ca n phn t. S dng quy tc nhn ta c th tnh c s cc chnh hp chp k ca n phn
t l
Ank =
n!
(n k )!
(1.2)
e. T hp
Mt t hp chp k ca n phn t l mt tp con k phn t ca tp n phn t. Cng c
th xem mt t hp chp k ca n phn t l mt cch chn ng thi k phn t ca tp n phn
t.
Hai chnh hp chp k ca n phn t l khc nhau nu:
c t nht 1 phn t ca chnh hp ny khng c trong chnh hp kia.
cc phn t u nh nhau nhng th t khc nhau.
Do vi mi t hp chp k ca n phn t c k! chnh hp tng ng. Mt khc hai
chnh hp khc nhau ng vi hai t hp khc nhau l khc nhau.
Vy s cc t hp chp k ca n phn t l
Ank
k
Cn =
=
k!
n!
k!(n k )!
(1.3)
V d 1.6: Tung mt con xc xc hai ln. Tm xc sut trong c 1 ln ra 6 nt.

Gii: S cc trng hp c th l 36. Gi A l bin c trong 2 ln tung con xc xc c 1
ln c mt 6. Nu ln th nht ra mt 6 th ln th hai ch c th ra cc mt t 1 n 5, ngha l
c 5 trng hp. Tng t cng c 5 trng hp ch xut hin mt 6 ln tung th hai. p dng
10
.
quy tc cng ta suy ra xc sut ch c mt ln ra mt 6 khi tung xc xc 2 ln l
36
V d 1.7: Cho cc t m 6 bit c to t cc chui cc bit 0 v bit 1 ng kh nng. Hy
tm xc sut ca cc t c cha k bit 1, vi k = 0 , ... , 6 .
Gii: S trng hp c th = 2 6 . t Ak l bin c " t m c cha k bit 1" . C th
xem mi t m c cha k bit 1 l mt t hp chp k ca 6 phn t, vy s trng hp thun li
6!
i vi Ak l s cc t hp 6 chp k . Do Ak = C 6k =
k!(6 k )!
Vy xc sut ca cc bin c tng ng P ( Ak ) =
6!
k!(6 k )!2 6
, k = 0 , ... , 6 .
V d 1.8: Mt ngi gi in thoi qun mt hai s cui ca s in thoi v ch nh c

rng chng khc nhau. Tm xc sut quay ngu nhin mt ln c ng s cn gi.

Gii: Gi A l bin c quay ngu nhin mt ln c ng s cn gi. S cc trng hp
c th l s cc cp hai ch s khc nhau t 10 ch s t 0 n 9. N bng s cc chnh hp 10
2
= 10 9 = 90 . S cc trng hp thun li ca A l
chp 2. Vy s cc trng hp c th l A10
1. Do P( A) =
1
.
90
V d 1.9: Mt cng ty cn tuyn 2 nhn vin. C 6 ngi np n trong c 4 n v 2

nam. Gi s kh nng trng tuyn ca c 6 ngi l nh nhau. Tnh xc sut bin c:
a. Hai ngi trng tuyn l nam
b. Hai ngi trng tuyn l n
c. C t nht 1n trng tuyn.
Gii: S trng hp c th = C62 = 15 .
a. Ch c 1 trng hp c 2 nam u trng tuyn do xc sut tng ng l P = 1 / 15 .
b. C C 42 = 6 cch chn 2 trong 4 n, vy xc sut tng ng P = 6 / 15 .
c. Trong 15 trng hp c th ch c 1 trng hp c 2 nam c chn, vy c 14 trng
hp t nht 1 n c chn. Do o xc sut tng ng P = 14 / 15 .
1.2.3. nh ngha thng k v xc sut
nh ngha xc sut theo c in trc quan, d hiu. Tuy nhin khi s cc kt qu c th v
hn hoc khng ng kh nng th cch tnh xc sut c in khng p dng c.
Gi s php th C c th c thc hin lp li nhiu ln c lp trong nhng iu kin
ging ht nhau. Nu trong n ln thc hin php th C , bin c A xut hin k n ( A) ln th t s
f n ( A) =
k n ( A)
n
c gi l tn sut xut hin ca bin c A trong n php th.

Ngi ta chng minh c (nh l lut s ln) khi n tng ln v hn th f n ( A) tin n
mt gii hn xc nh. Ta nh ngha gii hn ny l xc sut ca bin c A , k hiu P(A) .
P( A) = lim f n ( A)
n
(1.4)
Trn thc t P(A) c tnh xp x bi tn sut f n ( A) khi n ln.

V d 1.10: Mt cng ty bo him mun xc nh xc sut mt ngi M 25 tui s b
cht trong nm ti, ngi ta theo di 100.000 thanh nin v thy rng c 798 ngi b cht trong
vng 1 nm sau . Vy xc sut cn tm xp x bng 0,008.
V d 1.11: Thng k cho thy tn sut sinh con trai xp x 0,513. Vy xc sut b trai ra
i ln hn b gi.
Nhn xt: nh ngha xc sut theo thng k khc phc c hn ch ca nh ngha c
in, n hon ton da trn cc th nghim quan st thc t tm xc sut ca bin c. Tuy nhin
9

nh ngha thng k v xc sut cng ch p dng cho cc php th m c th lp li c nhiu
ln mt cch c lp trong nhng iu kin ging ht nhau. Ngoi ra xc nh mt cch tng
i chnh xc gi tr ca xc sut th cn tin hnh mt s n ln ln cc php th, m vic ny
i khi khng th lm c v hn ch v thi gian v kinh ph.
Ngy nay vi s tr gip ca cng ngh thng tin, ngi ta c th m phng cc php th
ngu nhin m khng cn thc hin cc php th trong thc t. iu ny cho php tnh xc sut
theo phng php thng k thun tin hn.
1.2.4. nh ngha xc sut theo hnh hc
nh ngha 1.3: Gi s khng gian mu c th biu din tng ng vi mt min no
c din tch (th tch, di) hu hn v bin c A tng ng vi mt min con ca th
xc sut ca bin c A c nh ngha:
P ( A) =
din tch A
.
din tch
V d 1.12: Hai ngi bn hn gp nhau mt

a im trong khong thi gian t 12h n 13h. Mi
ngi c th n im hn mt cch ngu nhin ti
mt thi im trong khong thi gian ni trn v h
quy c rng ai n trc th ch i ngi kia trong
vng 15 pht. Tnh xc sut hai ngi gp nhau.
Gii: Gi s x, y l thi im ngi th nht
60
A
15
v th hai n im hn th 0 x 60 , 0 y 60 .
Vy mi cp thi im n ( x ; y ) l mt im
ca hnh vung = [0, 60] .
2
15
60
Gi A l bin c hai ngi gp nhau th
A = ( x ; y ) x y 15 = {( x ; y ) 15 + x y x + 15 } .
P( A) =
45 2
9
7
din tch A
= 1 2 = 1
= .
din tch
16 16
60
1.2.6. Cc tnh cht v nh l xc sut

1.2.6.1. Cc tnh cht ca xc sut
Cc nh ngha trn ca xc sut tho mn cc tnh cht sau:
1. Vi mi bin c A :
0 P( A) 1 .
(1.5)
2. Xc sut ca bin c khng th bng 0, xc sut ca bin c chc chn bng 1.
P () = 0, P() = 1
10
(1.6)

1.2.6.2. Qui tc cng xc sut
a. Trng hp xung khc
Nu A, B l hai bin c xung khc th
P ( A B) = P( A) + P( B) .
(1.7)
Tng qut hn, nu {A1 , A2 , ... , An } l dy cc bin c xung khc tng i mt th
n n
P Ai = P ( Ai ) .
i =1 i =1
(1.7)
T cng thc (1.6) v (1.7) ta c h qu: Nu {A1 , A2 , ... , An } l mt h y th

n
P( Ai ) = 1
(1.8)
i =1
b. Trng hp tng qut
Nu A, B l hai bin c bt k th
P ( A B) = P( A) + P( B) P( AB)
Nu A, B, C l ba bin c bt k th
P ( A B C ) = P( A) + P( B) + P(C ) P( AB) P ( BC ) P(CA) + P( ABC )
(1.9)
(1.9)
Nu {A1 , A2 , ... , An } l dy cc bin c bt k
n
n
P Ai = P( Ai ) P( Ai A j ) + P( Ai A j Ak )
i< j
i< j <k
i =1 i =1
+ (1) n 1 P( A1 A2 ... An ) .
(1.9)
V d 12: Mt l hng c 25% sn phm loi I, 55% sn phm loi II v 20% sn phm loi
III. Sn phm c cho l t cht lng nu thuc loi I hoc loi II. Chn ngu nhin 1 sn
phm tm xc sut sn phm ny t tiu chun cht lng.
Gii: Gi A1 , A2 , A3 ln lt l bin c sn phm c chn thuc loi I, II, III. Ba bin c
ny xung khc tng i mt. P ( A1 ) = 0,25 , P ( A2 ) = 0,55 , P( A3 ) = 0,20 . Gi A l bin c sn
phm c chn t tiu chun cht lng. Vy A = A1 A2 .
P ( A) = P ( A1 ) + P ( A2 ) = 0,25 + 0,55 = 0,8 .
p dng cng thc (1.8) cho h y A, A ta c quy tc xc sut bin c i

1.2.6.3. Quy tc xc sut ca bin c i
Vi mi bin c A
P( A ) = 1 P( A) .
11
(1.10)

1.2.5. Nguyn l xc sut ln, xc sut nh
Mt bin c khng th c xc sut bng 0. Tuy nhin mt bin c c xc sut bng 0 vn c
th xy ra trong mt s ln cc php th. Qua thc nghim v quan st thc t, ngi ta thy rng
cc bin c c xc sut nh s khng xy ra khi ta ch thc hin mt php th hay mt vi php
th. T ta tha nhn nguyn l sau y, gi l Nguyn l xc sut nh: Nu mt bin c c
xc sut rt nh th thc t c th cho rng trong mt php th bin c s khng xy ra.
Chng hn mi chic my bay u c mt xc sut rt nh b xy ra tai nn. Nhng trn
thc t ta vn khng t chi i my bay v tin tng rng trong chuyn bay ta i s kin my bay
ri khng xy ra.
Hin nhin vic quy nh mt mc xc sut th no c gi l nh s ph thuc vo tng
bi ton c th. Chng hn nu xc sut my bay ri l 0,01 th xc sut cha th c coi
l nh. Song nu xc sut mt chuyn tu khi hnh chm l 0,01 th c th coi rng xc sut ny
l nh.
Mc xc sut nh ny c gi l mc ngha. Nu l mc ngha th s = 1 gi
l tin cy. Khi da trn nguyn l xc sut nh ta tuyn b rng: Bin c A c xc sut nh
(tc l P( A) ) s khng xy ra trn thc t th tin cy ca kt lun trn l . Tnh ng
n ca kt lun ch xy ra trong 100 % trng hp.
Tng t nh vy ta c th a ra Nguyn l xc sut ln: Nu bin c A c xc sut
gn bng 1 th trn thc t c th cho rng bin c s xy ra trong mt php th. Cng nh
trn, vic quy nh mt mc xc sut th no c gi l ln s ty thuc vo tng bi ton c
th.
1.3. XC SUT C IU KIN
1.3.1. nh ngha c cc tnh cht ca xc sut c iu kin
Xc sut ca bin c B c tnh trong iu kin bit rng bin c A xy ra c gi
l xc sut ca B vi iu kin A . K hiu P (B A) .

Tnh cht
Nu P( A) > 0 th
P (B A) =
P( AB)
.
P( A)
(1.11)
Khi c nh A vi P ( A) > 0 th xc sut c iu kin P (B A) c tt c cc tnh cht
ca xc sut thng thng (cng thc (1.5)-(1.10)) i vi bin c B .

Chng hn:
( )
P B A = 1 P(B A), P (B1 B2 A) = P(B1 A) + P(B2 A) P (B1 B2 A) .
12

V d 13: Gieo ng thi hai con xc xc cn i. Tnh xc sut tng s nt xut hin
trn hai con xc xc 10 bit rng t nht mt con ra nt 5.
( )
11
5
.
Gii: Gi A l bin c " t nht mt con ra nt 5". P ( A) = 1 P A = 1 =
36
6
Gi B l bin c "tng s nt trn hai con 10 "
Bin c AB c 3 kt qu thun li l (5,6), (6,5), (5,5).
Vy P ( AB ) =
3
3 11 3
P ( B A) =
= .
36 36 11
36
1.3.2. Quy tc nhn xc sut

1.3.2.1. Trng hp c lp:
Nu A, B l hai bin c c lp th
P( AB) = P( A) P( B) .
(1.12)
Nu {A1 , A2 , ... , An } l cc bin c c lp th
P( A1 A2 ... An ) = P( A1 )P( A2 )...P( An ) .
(1.13)
1.3.2.2. Trng hp tng qut:
P ( AB ) = P ( A) P (B A)
P ( A1 A2 ... An ) = P ( A1 ) P ( A2 A1 ) P ( A3 A1 A2 ) ... P ( An A1 A2 ... An1 ) .
(1.14)
(1.15)
V d 1.14: Ti I cha 3 bi trng, 7 bi , 15 bi xanh.

Ti II cha 10 bi trng, 6 bi , 9 bi xanh.
T mi ti ly ngu nhin 1 bi. Tm xc sut 2 bi c rt t 2 ti l cng mu.
Gii: Gi At , A , Ax ln lt l bin c bi c rt t ti I l trng, , xanh.
Bt , B , B x ln lt l bin c bi c rt t ti II l trng, , xanh.

Cc bin c At , A , Ax c lp vi cc bin c Bt , B , B x . Vy xc sut 2 bi c
rt cng mu l
P ( At Bt A B Ax Bx ) = P ( At Bt ) + P ( A B ) + P ( Ax Bx )
= P ( At ) P ( Bt ) + P ( A ) P ( B ) + P ( Ax ) P ( Bx )
3 10 7 6 15 9 207
+
+
=
0,331 .
25 25 25 25 25 25 625
13

V d 1.15: Mt th kho c mt chm cha kha gm 9 chic, b ngoi chng ging ht
nhau nhng trong ch c ng 2 chic m c kho. Anh ta th ngu nhin tng cha (cha no
khng trng th b ra). Tnh xc sut m c kho ln th ba.
Gii: K hiu Ai l bin c "th ng cha ln th i". Vy xc sut cn tm l
( ) (
) (
P A1 A2 A3 = P A1 P A2 A1 P A3 A1 A2 =
762 1
= .
987 6
1.3.3. Cng thc xc sut y

nh l 1.3: Nu
{ A1, A2 , ..., An }
l mt h y cc bin c. Vi mi bin c B ca
cng mt php th, ta c

n
P ( B) = P( Ai ) P ( B Ai )
(1.16)
i =1
1.3.4. Cng thc Bayes

nh l 1.4: Nu { A1, A2 , ..., An } l mt h y cc bin c. Vi mi bin c B ca
cng mt php th sao cho P( B ) > 0 ta c :
P ( Ak B ) =
P( Ak ) P ( B Ak )
P( Ak B)
= n
.
P( B)
P( Ai ) P ( B Ai )
(1.17)
i =1
Gii thch: Trong thc t cc xc sut { P ( A1 ), P ( A2 ), ..., P ( An )} bit v c gi l

cc xc sut tin nghim. Sau khi quan st bit c bin c B xy ra, cc xc sut ca Ak c
tnh trn thng tin ny (xc sut c iu kin P (Ak B ) ) c gi l xc sut hu nghim. V vy
cng thc Bayes cn c gi l cng thc xc sut hu nghim.
V d 1.16: Mt trm ch pht hai tn hiu A v B vi xc sut tng ng 0,85 v 0,15. Do
c nhiu trn ng truyn nn 1/7 tn hiu A b mo v thu c nh tn hiu B cn 1/8 tn hiu
B b mo v thu c nh A.
a. Tm xc sut thu c tn hiu A.
b. Gi s thu c tn hiu A. Tm xc sut thu c ng tn hiu lc pht.
Gii: Gi l A bin c "pht tn hiu A" v B l bin c "pht tn hiu B". Khi {A, B}
l h y . Gi l T A bin c "thu c tn hiu A" v l TB bin c "thu c tn hiu B".
P ( A) = 0,85 , P ( B ) = 0,15 ; P (TB A) =

a.
1
1
, P (T A B ) = .
8
7
p dng cng thc xc sut y ta c xc sut thu c tn hiu A:
P(T A ) = P ( A) P(T A A) + P ( B) P(T A B ) = 0,85

14
1
6
+ 0,15 = 0,7473 .
8
7

b.
p dng cng thc Bayes ta c
P(A T A ) =
P( A) P (T A A)
P(T A )
6
7 = 0,975 .
=
0,7473
0,85
V d 1.17: Ngi ta dng mt thit b kim tra mt loi sn phm nhm xc nh sn

phm c t yu cu khng. Bit rng sn phm c t l ph phm l p % . Thit b c kh nng
pht hin ng sn phm l ph phm vi xc sut v pht hin ng sn phm t cht lng
vi xc sut . Kim tra ngu nhin mt sn phm, tm xc sut sao cho sn phm ny:
a.
c kt lun l ph phm (bin c A ).
b.
c kt lun l t cht lng th li l ph phm.
c.
c kt lun ng vi thc cht ca n.
Gii: Gi H l bin c sn phm c chn l ph phm. Theo gi thit ta c:
P ( H ) = p, P ( A H ) = , P A H = .
a. p dng cng thc y cho h y H , H ta c:
( ) (
P ( A) = P( H ) P ( A H ) + P H P A H = p + (1 p)(1 ) .
b. P H A =
P HA
( )
P A
)=
p(1 )
.
p(1 ) + (1 p )
( ) (
c. P ( AH ) + P A H = P ( H ) P ( A H ) + P H P A H = p + (1 p ) .
1.4. DY PHP TH BERNOULLI
Dy cc php th lp li, c lp, trong mi php th ch c 2 kt cc: A , A v xc sut
xut hin ca bin c A khng i P ( A) = p , (0 < p < 1) c gi l dy php th Bernoulli.
p l xc sut thnh cng trong mi ln th.

K hiu H k l bin c " A xut hin ra ng k ln trong n php th".
t Pn (k ; p ) = P( H k ) .
nh l 1.1: Pn (k ; p ) = C nk p k (1 p ) n k ; k = 0,1, ... , n .
(1.18)
Chng minh: H k l tng ca C nk cc bin c xung khc tng i nhn c bng cch
hon v cc ch A v A trong bin c tch sau:
A ... A A ... A
k ln n k ln
15

Mi bin c ny c xc sut P( A ... A A ... A ) = p k (1 p ) n k .
k ln n k ln
Vy
Pn (k ; p ) = C nk p k (1 p) n k .
nh l 1.2:
(i).
Pn (k ; p) =
(n k + 1) p
Pn (k 1; p)
kq
(1.19)
(ii). Khi k tng t 0 n n th Pn (k ; p ) mi u tng sau gim v t gi tr ln nht

ti k = m tho mn:
(n + 1) p 1 m (n + 1) p
(1.20)
Nh vy,
Khi (n + 1) p khng nguyn th m = [(n + 1) p ] (l phn nguyn ca (n + 1) p ).
Khi (n + 1) p nguyn th m = (n + 1) p 1 hoc m = (n + 1) p
Pmax = Pn (m 1; p) = Pn (m ; p)
(1.20)
Chng minh:
n!
p k q nk
Pn (k ; p)
(n k + 1) p
k! (n k )!
, t c (1.19).
=
=
n!
kq
Pn (k 1 ; p)
k 1 n k +1
p q
(k 1)! (n k + 1)!
(1.19)
Pn (k ; p )
Pn (k ; p )
(k + 1)(1 p )
. Do
=
< 1 k + 1 < (n + 1) p .
Pn (k + 1; p )
(n k ) p
Pn (k + 1; p )
Vy Pn (k ; p) < Pn (k + 1 ; p) khi k < (n + 1) p 1
Pn (k ; p) < Pn (m ; p) k < (n + 1) p 1 .
v Pn (k ; p ) > Pn (k + 1; p) khi k (n + 1) p
Pn (k ; p) < Pn (m ; p) k > (n + 1) p ,
trong m l s t nhin tha mn (n + 1) p 1 m (n + 1) p .
Khi m = (n + 1) p th
Pn ( m 1; p)
( n + 1)(1 p) p
=
=1
(n (n + 1) p + 1) p
Pn ( m ; p)
Pn (m 1 ; p) = Pn (m ; p) .
nh ngha 1.1: m xc nh bi cng thc (1.20) hoc (1.20) c gi l gi tr chc
chn nht ca s thnh cng hay gi tr c kh nng xy ra ln nht. Pn (m ; p) l s hng trung
tm ca phn b nh thc.
16

V d 1.19: Tn hiu thng tin c pht i 3 ln c lp nhau. Xc sut thu c mi ln l
0.4.
a) Tm xc sut ngun thu nhn c thng tin ng 2 ln.
b) Tm xc sut ngun thu nhn c thng tin .
c) Nu mun xc sut thu c tin 0,9 th phi pht i t nht bao nhiu ln.
Gii: C th xem mi ln pht tin l mt php th Bernoulli m s thnh cng ca php th
l ngun thu nhn c tin, theo gi thit xc sut thnh cng ca mI ln th l 0,4. Vy:
a) Xc sut ngun thu nhn c thng tin ng 2 ln l
P2 (3 ; 0,4) = C32 (0,4)2 (0,6) = 0,288 .

3
b) Xc sut ngun thu nhn c thng tin l P = 1 (0,6 ) = 0,784 .
c) Xc sut ngun thu nhn c thng tin khi pht n ln l P = 1 (0,6 )n .

Vy nu mun xc sut thu c tin 0,9 th phi pht i t nht n ln sao cho:
1 (0,6 )n 0,9 (0,6 )n 0,1 n
lg(0,1)
1
=
= 4,504 . Chn n = 5 .
lg(0,6 ) 1 = 0,778
TM TT
Php th
Trong thc t ta thng gp nhiu th nghim, quan st m cc kt qu ca n khng th d
bo trc c. Ta gi chng l cc php th ngu nhin. Mi kt qu ca php th C c gi
l mt bin c s cp. Tp hp tt c cc bin c s cp ca php th c gi l khng gian mu,
k hiu .
Bin c
Mi bin c A c ng nht vi mt tp con ca khng gian mu bao gm cc kt
qu thun li i vi A .
Xc sut
Xc sut ca mt bin c l mt con s c trng kh nng khch quan xut hin bin c
khi thc hin php th.
nh ngha c in v xc sut
Xc sut ca bin c A l P( A) =
s trng hp thun li i vi A
s trng hp c th
nh ngha thng k v xc sut

Xc sut ca bin c A l
P ( A) f n ( A) =
k n ( A)
trong k n ( A) s ln xut hin bin
n
c A trong n php th.

17

Nguyn l xc sut nh
Nu mt bin c c xc sut rt nh th thc t c th cho rng trong mt php th bin c
s khng xy ra.
Nguyn l xc sut ln
Nu bin c A c xc sut gn bng 1 th trn thc t c th cho rng bin c s xy ra
trong mt php th.
Quan h ko theo
Bin c A ko theo bin c B , k hiu A B , nu A xy ra th B xy ra.
Quan h bin c i
A l bin c i ca A . A xy ra khi v ch khi A khng xy ra.

Tng ca hai bin c
Bin c A B tng ca hai bin c A, B xy ra khi v ch khi c t nht A hoc B xy ra.
n
Bin c tng
Ai ca mt dy cc bin c {A1 , A2 , ... , An } xy ra khi c t nht mt trong

i =1
cc bin c Ai xy ra.
Tch ca hai bin c
Bin c AB ca hai bin c A, B xy ra khi v ch khi c hai bin c A , B cng xy ra.
n
Bin c tch
Ai ca dy cc bin c {A1 , A2 , ... , An }

i =1
xy ra khi tt c cc bin c Ai
cng xy ra.
Bin c xung khc
Hai bin s A, B gi l xung khc nu AB l bin c khng th.
H y cc bin c
Dy cc bin c A1 , A2 , ... , An c gi l mt h y cc bin c nu chng xung khc
tng i mt v tng ca chng l bin c chc chc.
Tnh c lp ca cc bin c
Hai bin c A v B c gi l c lp vi nhau nu vic xy ra hay khng xy ra bin c
ny khng nh hng ti vic xy ra hay khng xy ra bin c kia.
Tng qut cc bin c A1 , A2 , ... , An c gi l c lp nu vic xy ra hay khng xy ra
ca mt nhm bt k k bin c, trong 1 k n , khng lm nh hng ti vic xy ra hay
khng xy ra ca cc bin c cn li.
Qui tc cng
18
n n
Trng hp xung khc: P ( A B) = P( A) + P( B) ; P Ai = P ( Ai ) .
i =1 i =1
Trng hp tng qut
P ( A B) = P( A) + P( B) P( AB)
P ( A B C ) = P( A) + P( B) + P(C ) P( AB) P ( BC ) P(CA) + P( ABC )
n
n
P Ai = P ( Ai ) P ( Ai A j ) + P ( Ai A j Ak )
i< j
i< j <k
i =1 i =1
+ (1) n 1 P ( A1 A2 ... An ) .
Quy tc xc sut ca bin c i
P( A ) = 1 P( A) .
Xc sut c iu kin
Xc sut ca bin c B c tnh trong iu kin bit rng bin c A xy ra c gi l
xc sut ca B vi iu kin A , k hiu P (B A) .

Quy tc nhn
Trng hp c lp:
P( AB) = P( A) P( B) . P( A1 A2 ... An ) = P( A1 )P( A2 )...P( An ) .

Trng hp khng c lp:
P( AB) = P( A) P(B A) ;
P ( A1 A2 ... An ) = P ( A1 ) P ( A2 A1 ) P ( A3 A1 A2 ) ... P ( An A1 A2 ... An1 ) .

Cng thc xc sut y
Gi s { A1, A2 , ..., An } l mt h y . Vi mi bin c B ta c:
n
P ( B) = P( Ai ) P ( B Ai ) .
i =1
Cng thc Bayes

Nu { A1, A2 , ..., An } l mt h y v vi mi bin c B sao cho P ( B) > 0 ta c :
P ( Ak B ) =
P( Ak ) P ( B Ak )
P( Ak B)
= n
.
P( B)
P( Ai ) P ( B Ai )
i =1
Dy php th Bernoulli
Dy cc php th lp li, c lp, trong mi php th ch c 2 kt cc: A , A v xc sut
xut hin ca bin c A khng i P ( A) = p , (0 < p < 1) c gi l dy php th Bernoulli.
19

Khi m = [(n + 1) p ] th Pn (m ; p) = C nm p m (1 p ) n m t gi tr ln nht. Gi m l gi tr
c kh nng xy ra ln nht ca dy php th Bernoulli.
CU HI N TP V BI TP
1.1 Ta c th c hai khng gian mu cc bin c s cp cho cng mt php th
ng
Sai
C?
1.2 Cc bin c A v A B l xung khc.

ng
Sai
1.3 Hai bin c A v B xung khc th P ( A B) = P( A) + P( B) .

ng
Sai
1.4 Thng tin lin quan n vic xut hin bin c B lm tng xc sut ca bin c A , tc l
P ( A B ) P ( A) ?
ng
Sai
1.5 Hai bin c xung khc l hai bin c c lp.

ng
Sai
1.6 Cc bin c i ca hai bin c c lp cng l c lp.

ng
Sai
1.7 Xc sut ca tng hai bin c c lp bng tng xc sut ca hai bin c ny.
ng
Sai
1.8 Xc sut ca tch 2 bin c xung khc bng tch 2 xc sut.

ng
Sai
{ }
1.9 H 2 bin c A, A l h y .
ng
Sai
1.10 Cho = {a, b, c, d } trong cc bin c s cp l ng kh nng. Bin c A = {a, b} v
B = {a, c} l ph thuc v chng cng xy ra khi bin c s cp a xy ra.

ng
Sai
1.11 Trong mt hm ng 10 chi tit t tiu chun v 5 chi tit l ph phm. Ly ng thi 3
chi tit. Tnh xc sut:
a) C 3 chi tit ly ra thuc loi t tiu chun.
b) Trong s 3 chi tit ly ra c 2 chi tit t tiu chun.
1.12 Thang my ca mt ta nh 7 tng xut pht t tng mt vi 3 khch. Tm xc sut :
a) Tt c cng ra tng bn.
20

b) Tt c cng ra mt tng
c) Mi ngi ra mt tng khc nhau.
1.13 Mt ngi gi in thoi cho bn nhng li qun mt 3 ch s cui v ch nh rng chng
khc nhau. Tm xc sut ngi quay s mt ln c ng s in thoi ca bn.
1.14 Ta kim tra theo th t mt l hng c 10 sn phm. Mi sn phm thuc mt trong hai loi:
Tt hoc Xu. K hiu Ak ( k = 1,10 ) l bin c ch sn phm kim tra th k thuc loi xu.
Biu din cc bin c sau theo Ak :
a) C 10 sn phm u xu.
b) C t nht mt sn phm xu.
c) C 6 sn phm kim tra u l tt, cc sn phm cn li l xu.
d) C 6 sn phm kim tra u l xu.
1.15 Hai ngi cng bn vo mt mc tiu. Kh nng bn trng ca tng ngi l 0,8 v 0,9.
Tm xc sut:
a) Ch c mt ngi bn trng mc tiu.
b) C ngi bn trng mc tiu.
c) C hai ngi bn trt.
1.16 C cu cht lng sn phm ca nh my nh sau: 40% sn phm l loi I, 50% sn phm l
loi II, cn li l ph phm. Ly ngu nhin mt sn phm ca nh my. Tnh xc sut sn
phm ly ra l ph phm.
1.17 C 1000 v s trong c 20 v trng thng. Mt ngi mua 30 v, tm xc sut ngi
trng 5 v.
1.18 c nhp kho, sn phm ca nh my phi qua 3 vng kim tra cht lng c lp nhau.
Xc sut pht hin ra ph phm cc vng ln lt theo th t l 0,8; 0,9 v 0,99. Tnh xc
sut ph phm c nhp kho.
1.19 Mt th kho c mt chm cha kha gm 9 chic trng ging ht nhau trong ch c mt
chic m c kho. Anh ta th ngu nhin tng cha kha mt, chic no c th th khng
th li. Tnh xc sut anh ta m c ca ln th th 4.
1.20 Mt l hng c 9 sn phm. Mi ln kim tra cht lng ly ngu nhin 3 sn phm. Sau
khi kim tra xong tr li vo l hng. Tnh xc sut sau 3 ln kim tra l hng, tt c cc
sn phm u c kim tra.
1.21 Mt nh my t c ba phn xng I, II, III cng sn xut ra mt loi pt-tng. Phn xng
I, II, III sn xut tng ng 36%, 34%, 30% sn lng ca nh my, vi t l ph phm
tng ng l 0,12; 0,1; 0,08.
a) Tm t l ph phm chung ca nh my.
b) Ly ngu nhin mt sn phm kim tra v c sn phm l ph phm. Tnh xc sut
ph phm l do phn xng I, II, III sn xut.
21

1.22 C bn nhm x th tp bn. Nhm th nht c 5 ngi, nhm th hai c 7 ngi, nhm th
ba c 4 ngi v nhm th t c 2 ngi. Xc sut bn trng ch ca mi ngi trong nhm
th nht, nhm th hai, nhm th ba v nhm th t theo th t l 0,8; 0,7; 0,6 v 0,5. Chn
ngu nhin mt x th v bit rng x th ny bn trt. Hy xc nh xem x th ny c kh
nng trong nhm no nht.
1.23 Bn hai ln c lp vi nhau mi ln mt vin n vo cng mt bia. Xc sut trng ch ca
vin n th nht l 0,7 v ca vin n th hai l 0,4 . Tm xc sut ch c mt vin n
trng bia (bin c A). Sau khi bn, quan trc vin bo c mt vt n bia. Tm xc sut
vt n l vt n ca vin n th nht.
1.24 Mt nh my sn xut mt chi tit ca in thoi di ng c t l sn phm t tiu chun
cht lng l 85%. Trc khi xut xng ngi ta dng mt thit b kim tra kt lun sn
phm c t yu cu cht lng hay khng. Thit b c kh nng pht hin ng sn phm t
tiu chun vi xc sut l 0,9 v pht hin ng sn phm khng t tiu chun vi xc sut
l 0,95. Tm xc sut 1 sn phm c chn ngu nhin sau khi kim tra:
a) c kt lun l t tiu chun.
b) c kt lun l t tiu chun th li khng t tiu chun.
c) c kt lun ng vi thc cht ca n.
22
Chng 2: Bin ngu nhin v cc c trng ca chng
CHNG II: BIN NGU NHIN V CC C

TRNG CA CHNG
PHN GII THIU

Trong chng ny ta kho st cc bin c gn vi cc gi tr no , khi cc gi tr ny thay
i ta c cc bin ngu nhin.
Khi nim bin ngu nhin (cn c gi l i lng ngu nhin) v cc c trng ca
chng l nhng khi nim rt quan trng ca l thuyt xc sut.
i vi bin ngu nhin ta ch quan tm n vn bin ngu nhin ny nhn mt gi tr
no hoc nhn gi tr trong mt khong no vi xc sut bao nhiu. Ni cch khc bin
ngu nhin X c th c kho st thng qua hm phn b xc sut ca n F ( x) = P { X < x} .
Nh vy khi ta bit qui lut phn b xc sut ca mt bin ngu nhin th ta nm c ton b
thng tin v bin ngu nhin ny.
Khi bin ngu nhin ch nhn cc gi tr ri rc th hm phn b xc sut hon ton c
xc nh bi bng phn b xc sut, l bng ghi cc gi tr m bin ngu nhin nhn vi xc
sut tng ng. Khi bin ngu nhin nhn gi tr lin tc th hm phn b xc sut c xc nh
bi hm mt xc sut.
Ngoi phng php s dng hm phn b xc nh bin ngu nhin, trong nhiu trng
hp bi ton ch i hi cn kho st nhng c trng c bn ca bin ngu nhin.
Cc c trng ca bin ngu nhin c chia thnh hai loi sau:
Cc c trng cho v tr trung tm ca bin ngu nhin nh: K vng, Trung v, Mt.
Cc c trng cho phn tn ca bin ngu nhin nh: Phng sai, lch chun, H
s bin thin, H s bt i xng v H s nhn.
Trong cc bi ton thc t k vng c s dng di dng li nhun k vng cn phng
sai tnh mc ri ro ca quyt nh. Trong k thut lch chun biu din sai s ca php
o.
Trong chng ny ta xt cc quy lut phn b xc sut quan trng sau:
- Quy lut nh thc, quy lut ny thng gp trong dy php th Bernoulli.
- Quy lut Poisson, quy lut ny thng gp trong bi ton v qu trnh m s xut
hin bin c A no . Qu trnh n ca cc h phc v.
- Quy lut phn b u, quy lut phn b u trn mt on l quy lut phn b xc sut
ca bin ngu nhin lin tc ng kh nng ly gi tr trong khong . Quy lut phn
b u c ng dng rng trong thng k ton. N c ngha to ln trong cc bi ton
s dng phng php phi tham s.
23

- Quy lut phn b m.
- Quy lut phn b Erlang-k.
- Quy lut chun.
- Quy lut khi bnh phng.
- Quy lut Student.
Phn b chun thng c gp trong cc bi ton v sai s khi o c cc i lng trong
vt l, thin vn ... Trong thc t, nhiu bin ngu nhin tun theo quy lut chun hoc tim cn
chun (nh l gii hn trung tm) chng hn: trng lng, chiu cao ca mt nhm ngi no ,
im thi ca th sinh, nng sut cy trng, mc li sut ca mt cng ty, nhu cu tiu th ca mt
mt hng no ...
Vi mi quy lut phn b xc sut ta s kho st bng phn b xc sut hoc hm mt
cc tnh cht v cc c trng ca n.
hc tt chng ny hc vin phi nm vng nh ngha xc sut, bin c v cc tnh cht
ca chng.
Cc c trng ca bin ngu nhin c xc nh thng qua tnh tng ca cc s hng no
(trng hp bin ngu nhin ri rc) hoc tnh tch phn xc nh (trng hp bin ngu nhin
lin tc). V vy hc vin cn n tp v tch phn xc nh.
NI DUNG
2.1. BIN NGU NHIN
2.1.1. Khi nim bin ngu nhin
nh ngha 2.1: Bin ngu nhin X l i lng nhn cc gi tr no ph thuc vo
cc yu t ngu nhin, ngha l vi mi gi tr thc x th {X < x} l mt bin c ngu nhin..
Nh vy i vi bin ngu nhin ngi ta ch quan tm xem n nhn mt gi tr no
hoc nhn gi tr trong mt khong no vi mt xc sut bao nhiu.
V d 2.1: Cc i lng sau l bin ngu nhin
S nt xut hin khi gieo mt con xc xc.
Tui th ca mt thit b ang hot ng.
S khch hng vo mt im phc v trong 1 n v thi gian.
S cuc gi n mt tng i.
Sai s khi o lng mt i lng vt l
2.1.2. Phn loi
Ngi ta phn cc bin ngu nhin thnh hai loi:
Bin ngu nhin ri rc nu n ch nhn mt s hu hn hoc v hn m c cc gi
tr. Ngha l c th lit k cc gi tr thnh mt dy x1 , x 2 , ... .
24

Bin ngu nhin lin tc nu cc gi tr ca n c th lp y mt hoc mt s cc
khong hu hn hoc v hn v xc sut P{X = a} bng khng vi mi a.
V d 2.2:
Gi X l s nt xut hin khi gieo mt con xc xc th X l bin ngu nhin ri rc nhn
cc gi tr 1, 2,3, 4,5, 6 .
Gi Y l tui th ca mt thit b ang hot ng th Y l bin ngu nhin lin tc nhn
gi tr trong mt khong.
Gi Z l s khch hng vo mt im phc v trong 1 n v thi gian, Z l bin ngu
nhin ri rc nhn cc gi tr 0,1, 2,...
S cuc gi n mt tng i l bin ngu nhin ri rc nhn cc gi tr 0,1, 2,...
Sai s khi o lng mt i lng vt l Y no l bin ngu nhin lin tc nhn gi tr
trong mt khong.
2.1.3. Hm phn b xc sut
nh ngha 2.2: Hm phn b xc sut (cumulative distribution function, vit tt CDF) ca
bin ngu nhin X l hm s F ( x) xc nh vi mi x bi cng thc:
F ( x) = P{X < x}; < x <
(2.1)
Hm phn b c cc tnh cht sau:

a. 0 F ( x) 1 vi mi x ,
(2.2)
b. F ( x) l hm khng gim, lin tc bn tri. Nu X l bin ngu nhin lin tc th F ( x)

l hm lin tc.
c. F () = lim F ( x) = 0 ; F (+) = lim F ( x) = 1 ,
(2.3)
d. P{a X < b} = F (b) F (a ) .
(2.4)
x +
2.2. BIN NGU NHIN RI RC

2.2.1. Bng phn b xc sut ca bin ngu nhin ri rc
Vi bin ngu nhin ri rc chng ta c th nghin cu thng qua bng ghi cc gi tr m
bin ngu nhin nhn vi xc sut tng ng, l bng phn b xc sut.
Gi s bin ngu nhin X ch nhn cc gi tr x1 , x 2 , ... vi xc sut tng ng
pi = P{X = xi } . pi > 0 v
pi = 1 .
i
Bng phn b xc sut ca X c dng sau:
X
P
x1
p1
25
x2
p2

Nu bin ngu nhin ri rc X nhn v hn cc gi tr x1 , x 2 , ... th hm phn b c
dng:
0
F ( x) =
p1 + p 2 +
x x1
nu
+ p k 1 nu
x k 1 < x x k , k
(2.5)
th ca F ( x) l hm bc thang c bc nhy ti x1 , x 2 , ...

Nu X ch nhn cc gi tr x1, x2 , ..., xn th cc bin c
{ X = x1} , { X = x2 } , ..., { X = xn }
(2.6)
lp thnh h y cc bin c.
Hm phn b c dng:
F ( x) = p1 + p 2 +
1
nu
+ p k 1 nu
nu
x x1
x k 1 < x x k
(2.7)
x > xn
V d 2.3: Chn ngu nhin 3 bi t mt ti c 6 bi en, 4 bi trng. Gi X l s bi trng

trong 3 bi va chn th X l mt bin ngu nhin ri rc. Tm bng phn b v hm phn b.
Gii:
P { X = 0} =
P { X = 2} =
C61C42
3
C10
C63
3
C10
C43
9
1
=
=
, P { X = 3} =
3
30
C10 30
Bng phn b xc sut:
Hm phn b:
C62C14 15
5
=
=
, P { X = 1} =
3
30
30
C10
X
P
0
1
2
3
5 / 30 15 / 30 9 / 30 1 / 30
0
5 / 30
F ( x) = 20 / 30
29 / 30
nu x 0
nu 0 < x 1
nu 1 < x 2
nu 2 < x 3
nu x > 3
th
26
y
30 / 30
29 / 30
20 / 30
5 / 30
O
2.2.2. Qui lut nh thc
B (n ; p)
nh ngha 2.3: Bin ngu nhin ri rc X nhn cc gi tr 0, 1, ... , n vi xc sut tng

ng
P{X = k } = C nk p k q n k
(2.8)
trong n l s t nhin v 0 < p < 1, q = 1 p , c gi l c phn b nh thc tham s n, p ,

k hiu X ~
B (n ; p) .
Bng phn b xc sut ca bin ngu nhin c quy lut nh thc
B (n ; p)
C n0 p 0 q n
C 1n p1 q n 1
C nk p k q nk
Cnn p n q 0
Nhn xt:
1. Thc hin n php th Bernoulli vi xc sut thnh cng ca bin c A trong mi ln
th l p .
Vi mi i = 1, 2,..., n ; nu ln th th i bin c A xut hin ta cho X i nhn gi tr 1,
nu bin c A khng xut hin ta cho X i nhn gi tr 0. Nh vy X i l bin ngu nhin ri
rc c bng phn b:
Xi
1 p
X i c gi l c phn b khng- mt A( p) .
Gi X l s thnh cng trong n php th Bernoulli ny th
27
(2.9)
X = X1 + X 2 +
2. T (2.10) suy ra rng nu X ~
+ X n ~ B (n ; p)
B (n1 ; p)
X +Y ~
v Y ~
B (n2 ; p)
(2.10)
th
B (n1 + n2 ; p)
(2.11)
2.2.3. Phn b Poisson

nh ngha 2.4: Bin ngu nhin X nhn cc gi tr k = 0, 1, 2, ... vi xc sut
P { X = k } = e
gi l c phn b Poisson tham s > 0 , k hiu X ~
k
k!
(2.12)
P ( ) .
Trong thc t vi mt s gi thit thch hp th cc bin ngu nhin l cc qu trnh m

sau:
1) S cuc gi n mt tng i.
2) S khch hng n 1 im phc v.
3) S xe c qua 1 ng t.
4) S tai nn (xe c); s cc s c xy ra mt a im
trong mt khong thi gian xc nh no s c phn b Poisson vi tham s l tc trung
bnh din ra trong khong thi gian ny.
V d 3.3: mt tng i in thoi cc cuc gi n mt cch ngu nhin, c lp v
trung bnh c 2 cuc gi trong 1 pht. Tm xc sut :
a) C ng 5 cuc gi n trong 2 pht (bin c A).
b) Khng c mt cuc gi no trong 30 giy (bin c B).
c) C t nht 1 cuc gi trong 10 giy (bin c C).
Gii: Nu k hiu X (t ) l s cuc gi n tng i trong khong thi gian t pht th
X (t ) ~
P (2t ) .
a) X (2) ~
P (4) , do P( A) = P{X (2) = 5} = e
45
0,156 .
5!
P (1) , do P( B) = P{X (1 / 2) = 0} = e 1 0,3679 .

X (1 / 6) ~ P (1 / 3) , do
b) X (1 / 2) ~
c)
P (C ) = P{X (1 / 6) 0} = 1 P{X (1 / 6) = 0} = 1 e 1 / 3 0,2835 .

Quy lut Poisson c ng dng rng ri trong nhiu lnh vc thc t nh kim tra cht lng
sn phm, l thuyt qun tr d tr, l thuyt sp hng, cc h phc v m ng, cc bi ton
chuyn mch trong tng i
28

Nu X 1 , X 2 l hai bin ngu nhin c lp c phn b Poisson tham s ln lt 1 , 2 th
X 1 + X 2 cng c phn b Poisson tham s 1 + 2 .

X1 + X 2 ~
P ( 1 + 2 )
(2.13)
2.3. BIN NGU NHIN LIN TC

2.3.1. Hm mt phn b xc sut ca bin ngu nhin lin tc
nh ngha 2.5: Gi s X l mt bin ngu nhin lin tc c hm phn b F (x) . Nu tn
ti hm f (x) sao cho vi mi x
x
F ( x) =
f (t )dt
(2.14)
th f ( x) c gi l hm mt ca bin ngu nhin X (probability density function, vit tt

PDF).
Nh vy gi tr ca hm F (x) bng din tch hnh phng gii hn bi th hm mt
f (x) , trc honh v ng thng song song vi trc tung c hong l x .
f ( x)
F ( x)
Tnh cht ca hm mt
a. F ' ( x) = f ( x) ti cc im x m f (x) lin tc.
b.
(2.15)
f ( x) 0 vi mi x ,
(2.16)
c.
f ( x)dx = 1 ,
(2.17)
d. P{a < X < b} = P{a X b} = P{a < X b} = P{a X < b} = f ( x)dx .

a
V d 2.4: Hm phn b xc sut ca bin ngu nhin lin tc X c dng
29
(2.18)
F ( x) = kx 2
1
vi x 0
vi 0 < x 1
vi x > 1
a. Xc nh h s k ;
b. Tm hm mt xc sut f (x) .
Gii:
a. V hm phn b xc sut F ( x) lin tc, do ti x = 1 1 = F (1) = kx 2
x =1
=k.
b. Theo tnh cht (2.10) ca hm mt xc sut ta c
f ( x) = 2 x
0
vi x 0
vi 0 < x < 1
vi x 1
V d 2.5: Bin ngu nhin lin tc X c hm mt dng
vi x < 1
f ( x) = k
2
x
vi x 1
Hy xc nh:
a. H s k ;
b. Hm phn b F ( x) ;
c. Xc sut P{2 < X < 3} ;
d. Xc sut trong 4 php th c lp bin ngu nhin X u khng ly gi tr
trong khong (2, 3) .
Gii:
k a
= k , t k = 1 .
a. Da vo tnh cht (2.12) ta c 1 = f ( x)dx = 2 dx = lim
x
1 x
b. T cng thc (2.9) xc nh hm mt ta c
vi x < 1
0
F ( x) = f (t )dt = x 1
vi x 1
x
c. T cng thc (2.13) ta c P{2 < X < 3} = F (3) F (2) =
30
2 1 1
= .
3 2 6
1 5
= .
6 6
Vy xc sut trong 4 php th c lp bin ngu nhin X u khng ly gi tr trong khong
d. Xc sut X khng ly gi tr trong khong (2;3) trong mt php th bng 1
4
5
(2;3) bng 0,48 .
6
2.3.2. Quy lut phn b u U(a, b)
nh ngha 2.6: Bin ngu nhin X c gi l c phn b u trn [a , b ] nu hm mt
ca n xc nh bi:
f ( x) = b a
0
nu a x b
(2.19)
nu ngc li
Hm phn b
nu x < a
0
x a
F ( x) = f (t )dt =
b a
1
x
nu a x b
(2.20)
nu x > b
Vy X c kh nng nhn gi tr trong khong [a , b ] l u nhau v khng nhn gi tr
ngoi [a , b ] .
f ( x)
F (x)
1
ba
th hm mt ca phn b u U(a, b)
F ( x)
1
ba
th ca hm phn b u U(a, b)
31

Quy lut phn b u c nhiu ng dng trong thng k ton nh m phng thng k, c
bit trong phng php phi tham s. Trong mt s l thuyt kt lun thng k ngi ta thng
xut pht t quy tc sau y: Nu ta khng bit g v gi tr ca tham s cn c lng th mi gi
tr c th c ca tham s l ng kh nng. iu dn n vic quan nim tham s cn c
lng nh mt bin ngu nhin c quy lut phn b u.
2.3.3. Phn b m
nh ngha 2.7: Bin ngu nhin X c gi l c phn b m tham s > 0 nu c hm
mt :
e x
f ( x) =
0
nu x > 0
nu x 0
(2.21)
Hm phn b
x
F ( x) =
0
f
t
dt
=
(
)
1 e x
nu x 0
nu x > 0
(2.22)
Phn b m thng xut hin trong cc bi ton v thi gian sng ca mt loi sinh vt,
tui th ca thit b hoc khong thi gian gia hai ln xut hin ca mt bin c E no m
s ln xut hin ca E tun theo lut phn b Poisson.
V d 2.5: Tui th ca mt mch in t trong my tnh l mt bin ngu nhin c phn b
1
m tham s > 0 . Gi s tui th trung bnh ca mch in t ny l = 6,25 (nm). Thi gian
bo hnh l 5 nm. Hi c bao nhiu phn trm mch in t bn ra phi thay th trong thi gian
bo hnh.
Gii: Gi X l tui th ca mch in t. Xc sut mch in t b hng trong thi gian
bo hnh l:
P { X 5} = 1 e
= 1 e
5
6,25
= 1 e 0,8 = 1 0, 449 = 0,551 .
Vy c khong 55% s mch in t bn ra phi thay th trong thi gian bo hnh.

Bin ngu nhin X c gi l khng nh (memoryless) nu
P { X > x + t X > t} = P { X > x} x, t > 0

P{X > x + t} = P{X > x}P{X > t} x, t > 0
(2.23)
Gi F ( x) l hm phn b ca X , t G ( x) = P{X > x} = 1 F ( x) . iu kin (2.23) c th

vit li
G ( x + t ) = G ( x)G (t )
(2.24)
Gii phng trnh (2.24) vi iu kin G ( x) = 1, x < 0 v G (+) = 0 ta c G ( x) = e x .

Vy bin ngu nhin X khng nh khi v ch khi X c phn b m. V vy phn b m
cn c gi l phn b Markov.
32

2.3.4. Quy lut phn b Erlang k
nh ngha 2.8: Bin ngu nhin X c phn b Erlang k tham s > 0 nu hm mt
c dng:
k
x k 1e x
f ( x) = (k 1)!
0
nu x > 0
(2.25)
nu x 0
C th chng minh c rng nu X 1 , X 2 , ... , X k l k bin ngu nhin c lp cng c

phn b m tham s > 0 th X = X 1 + X 2 +
+ X k c phn b Erlang k tham s .
2.3.5. Quy lut chun N( ; 2 )

2.3.5.1. nh ngha
nh ngha 2.9: Bin ngu nhin lin tc X c phn b chun N ( ; 2 ) , k hiu
X ~ N ( ; 2 ) , nu hm mt c dng
1
f ( x) =
e
2
( x )2
2 2
; x
(2.26)
Phn b chun c Gauss tm ra nm 1809 nn n cn c gi l phn b Gauss. Phn

b chun thng c thy trong cc bi ton v sai s gp phi khi o c cc i lng vt l,
thin vn ...
Trong thc t, nhiu bin ngu nhin tun theo quy lut chun hoc tim cn chun (nh l
gii hn trung tm). Chng hn: trng lng, chiu cao ca mt nhm ngi no , im thi ca
th sinh, nng sut cy trng, mc li sut ca mt cng ty, nhu cu tiu th ca mt mt hng no
...
2.3.5.2. Tnh cht th ca hm mt ca quy lut chun
T cng thc xc nh hm mt (2.26) ta suy ra cc tnh cht sau ca th:
-
Nhn trc x = lm trc i xng.
Tim cn vi trc honh khi x .
Din tch gii hn bi th v trc honh bng 1.
t cc i ti x = v c gi tr cc i bng
Do khi tng ln th th dch sang phi, cn khi gim th dch sang tri.
Khi tng ln th th s thp xung, cn khi gim th cao ln v nhn hn.
33
1
2
. C 2 im un ti x = .
y
<1
=1
>1
x=
Nu X 1 , X 2 l hai bin ngu nhin c lp c phn b chun X 1 ~ N (1 ; 12 ) v
X 2 ~ N ( 2 ; 22 ) th t hp tuyn tnh bt k ca X 1 , X 2 cng c phn b chun, c bit

X 1 + X 2 ~ N (1 + 2 ; 12 + 22 )
(2.27)
2.3.5.3. Phn b chun tc

Phn b chun N (0 ;1) vi k vng bng 0, phng sai bng 1 gi l phn b chun tc.
Hm mt ca N (0 ;1)
1
2
( x) =
x2
e 2
x
(2.28)
Hm phn b ca N (0 ;1)
x
1
( x) = (t )dt =
2
t 2
e 2 dt
x
C bng tnh sn cc gi tr ca ( x) v ( x) (xem Ph lc I v Ph lc II).
th ca hm mt (x)
34
(2.29)
y
1
2
(a)
1 (a)
Cc tnh cht ca hm phn b (x)

1)
( x) + ( x ) = 1 , ( x) = 1 ( x) .
2)
Nu X ~ N (0 ;1) th
a > 0, P { X < a} = 2 (a) 1, P { X > a} = 2 (1 (a) ) .
(2.30)
nh ngha 2.10: Gi tr U gi l gi tr ti hn ca phn b chun tc mc nu
1 (1 ) = U .
(2.31)
Nu X ~ N (0 ;1) th
P { X > U } = ; P X > U = ; P X < U = 1 .

2
2
(2.32)
Ngi ta chng minh c:

Nu X ~ N ( ; 2 ) th
X
~ N (0 ;1) .
(2.33)
T ta c
X x
x
<
F ( x) = P{X < x} = P
.
=

a
a X b
b
<
<
P{a < X < b} = P
.

=

(2.33)
(2.33)
Xc sut ca s sai lch gia bin ngu nhin c quy lut chun X ~ N ( ; 2 ) v k vng
ca n c tnh theo cng thc
P { X < } = 2
35
(2.34)

V d 3.4: Gi s X ~ N ( ; 2 ) , = 2100, = 200 . Hy tm:
a)
P{X > 2400}.
b)
P{1700 < X < 2200}.
c)
Xc nh a P{X > a} = 0,03 .
Gii:
2400 2100
a) P{X > 2400} = 1
= 1 (1,5) = 1 0,9332 = 0,0668 .
200
b) p dng cng thc (3.23):
1700 2100
2200 2100
P{1700 < X < 2200} =
= (0,5) ( 2) = 0,6688

200
200
a 2100
a 2100
c) P{X > a} = 1
= 0,97
= 0,03
200
200
Tra bng ta c 0,97 = (1,881)
a 2100
= 1,881 a = 2476,2 .
200
2.3.5.4. Quy tc hai xch ma v ba xch ma

Nu trong cng thc (3.27) ta t = 2 tc l bng hai ln lch chun ca X th
P { X < 2 } = 2 ( 2 ) 1 = 0,9544 . Vy
P { 2 < X < + 2 } = 0,9544
(2.35)
Tng t thay = 3 ta c
P { 3 < X < + 3 } = 0,9973
(2.36)
Hai cng thc trn l c s ca quy tc hai xch ma v ba xch ma:

Nu X c phn b chun N ( ; 2 ) th c n 95,44% gi tr ca X nm trong khong
( 2 ; + 2 )
v hu nh ton b gi tr ca X nm trong khong ( 3 ; + 3 ) .
2.3.6. Quy lut khi bnh phng

nh ngha 2.11: Bin ngu nhin lin tc X c phn b khi bnh phng n bc t do,
k hiu X ~ 2n nu hm mt c dng
x
x n / 2 1
e
f ( x) = 2 n / 2 (n / 2)
36
nu x > 0
nu x 0
(2.37)

+
trong ( x) =
x 1 t
e dt l hm Gamma.
C th chng minh c rng nu X 1 , X 2 , ... , X n l cc bin ngu nhin c lp c cng

phn b chun tc N (0,1) th
n
X i2 = X 12 + X 22 +
i =1
+ X n2 ~ 2n
(2.38)
Phn b 2 do Karl Pearson a ra vo nm 1900.

T (3.34) suy ra rng nu X 1 , X 2 l hai bin ngu nhin c lp c phn b khi bnh
phng ln lt n1 v n2 bc t do th X1 + X 2 l bin ngu nhin c phn b khi bnh phng
n1 + n2 bc t do
X 1 + X 2 ~ 2n1 + n2
(2.39)
2 (n)
2
Gi tr ti hn khi bnh phng n bc t do mc , k hiu
(n) , c nh ngha nh
sau:
P 2 > 2 (n) = .
(2.40)
2
(n) c tnh sn trong bng Ph lc III.
Bng cc gi tr ti hn
2.3.7. Quy lut student T(n)

nh ngha 2.12: Bin ngu nhin lin tc T c phn b Student n bc t do, k hiu
T ~ T(n) , nu hm mt c dng:
( n +1)
n + 1

2 2
2 t
f (t ) =
1+
, < t < .
n
n(n / 2 )
37
(2.41)

trong (x) l hm Gamma.
Ngi ta chng minh c rng nu Z ~ N (0 ;1) , V ~ 2n ; Z v V c lp th
T=
Z
V n
~ T( n )
(2.42)
Gi tr ti hn mc ca phn b Student n bc t do k hiu t n () tha mn:
P{T > t (n)} = .
(2.43)
Bng tnh cc gi tr ti hn t (n) cho trong Ph lc IV.

Hm mt (3.38) l hm chn nn th i xng qua trc tung. Khi s bc t do tng
ln, phn b Student hi t rt nhanh v phn b chun tc N (0;1) . Do khi n ln ( n 30 )
c th dng phn b chun tc thay cho phn b Student. Tuy nhin khi n nh ( n < 30 ) vic thay
th nh trn s gp sai s ln.
f (t )
t 1 (n)
t (n)
2.4. CC THAM S C TRNG CA BIN NGU NHIN

2.4.1. K vng ton
2.4.1.1. nh ngha
K vng hoc gi tr trung bnh (average, mean value, expected value) ca bin ngu nhin
X k hiu l EX v c xc nh nh sau:
(i) Nu X ri rc nhn cc gi tr xi vi xc sut tng ng pi = P{X = xi } th
E X = xi p i
i
(ii) Nu X lin tc c hm mt f ( x) th
38
(2.44)
EX =
xf ( x)dx
(2.45)
K vng E X tn ti nu chui (2.44) (trng hp ri rc) hi t tuyt i hoc tch phn

(2.45) (trng hp lin tc) hi t tuyt i.
V d 2.6: Tnh k vng ca bin ngu nhin X cho v d 2.3.
Gii: E X = 0
1 6
9
15
5
+ 1 + 2 + 3
= .
30 5
30
30
30
V d 2.7: Theo thng k vic mt ngi M 25 tui s sng thm trn mt nm c xc sut
l 0,992, cn xc sut ngi cht trong vng mt nm ti l 0,008. Mt chng trnh bo
him ngh ngi bo him sinh mng cho 1 nm vi s tin chi tr 1000 la, cn tin
ng l 10 la. Hi li nhun ca cng ty bo him nhn c l bao nhiu?
Gii: R rng li nhun l bin ngu nhin X vi 2 gi tr l + 10 la (nu ngi bo
him khng cht) v 990 la (nu ngi cht). Bng phn b xc sut tng ng.
990
+ 10
0,008 0,992
Do k vng E X = (990) 0,008 + 10 0,992 = 2 . Ta thy li nhun trung bnh l mt

s dng v vy cng ty bo him c th lm n c li.
V d 2.8: Tui th ca mt loi cn trng no l mt bin ngu nhin X (n v l
thng) vi hm mt nh sau:
kx 2 (4 x) nu 0 x 4
f ( x) =
0
nu ngc li
Tm hm phn b v tm tui th trung bnh ca loi cn trng trn.
4
Gii: V
(4 x)dx =
64
3
k=
. Hm phn b xc sut
3
64
x
3x 3 4 x
F ( x) = f (t )dt =

64
3 4
nu
x0
nu 0 < x 4
nu
x>4
4
3
3 4 x 5
3
(
4
)
Tui th trung bnh E X =
x
x
dx
x
=
64 0
64
5
=
0
12
(thng).
5
2.4.1.2. ngha ca k vng

K vng mang ngha l gi tr trung bnh m bin ngu nhin nhn c. Gi s bin
ngu nhin X nhn cc gi tr x1 , x 2 , ... , x m vi cc tn s tng ng r1 , r2 , ... , rm .
39
ri xi l tng gi tr X nhn c vi cng gi tr xi . Do r1 x1 + r2 x 2 +

tng tt c cc gi tr X nhn c.
r1 + r2 +
r1 x1 + r2 x 2 +
n
+ rm x m
+ rm x m l
l gi tr trung bnh ca X , trong
+ rm = n .
ri
c gi l tn sut nhn gi tr xi ca X . Trong trng hp tng qut th tn
n
sut f i c thay bng xc sut pi .
fi =
Trng hp bin ngu nhin lin tc php tnh tng ca gi tr trung bnh c thay bng
php tnh tch phn xc nh.
Khi nim k vng c p dng rng ri trong nhiu lnh vc. Trong kinh doanh v qun
l, k vng c ng dng di dng li nhun k vng hay doanh s k vng.
2.4.1.3. Tnh cht
1) E (C ) = C vi mi hng s C.
2) E (CX ) = CE ( X ) vi mi hng s C.
(2.46)
3) E ( X 1 +
(2.47)
+ X n ) = E (X1 ) +
+ E (X n )
4) Cho hm s (x) , xt bin ngu nhin Y = ( X ) th
( xi ) pi nu X ri rc c pi = P X = xi
i
EY =
(x)f(x)dx nu X li n tc c hm mt f ( x)

(2.48)
c bit ta c cc ng thc sau nu tng hoc tch phn sau tng ng hi t:
xi2 pi nu X ri rc
i
2
EX =
x 2 f(x)dx nu X li n tc c hm mt
(2.49)
f ( x)
5) Gi s ( x, y ) l hm hai bin sao cho ( X , Y ) cn l bin ngu nhin, khi :
( xi , y j ) pij nu X ri rc c pij = P X = xi , Y = y j
i, j
E ( X , Y ) =
(x, y)f(x, y)dxdy nu ( X , Y ) li n tc c hm mt f ( x, y )

6) Nu X 1 , ... , X n c lp th E ( X 1
X n ) = E (X1 )
E (X n ).
V d 2.10: Chn ngu nhin 3 bi t mt ti c 6 bi en, 4 bi trng.
40
(2.50)
(2.51)

a) Nu chn c 1 bi trng s c thng 200$. Gi Y l s tin nhn c. Tnh k
vng ca Y .
b) Nu chn c 1 bi trng s c thng 200$ v chn c 1 bi en s c thng
300$. Gi Z l s tin nhn c. Tnh k vng ca Z .
Gii:
a) Gi X l s bi trng trong 3 bi va chn (xem v d 2.3) th Y = ( X ) = 200 X l mt
bin ngu nhin ri rc c bng phn b sau:
Y = ( X )
P
EY = 0
200
400
600
5 / 30 15 / 30 9 / 30 1 / 30
5
15
9
1
+ 200 + 400 + 600
= 240 = 200E X .
30
30
30
30
b) Z = 200 X + 300(3 X ) = 900 100 X
E Z = E (900 100 X ) = 900 100EX = 900 100
6
= 780$ .
5
V d 2.11: Tung con xc xc n ln. Tm k vng ca tng s nt thu c.

Gii: Gi X i (i = 1, ... , n) l s nt thu c ln tung th i , gi X l tng s nt thu
n
i =1
i =1
c trong n ln tung. Nh vy X = X i . Theo cng thc (3.5) ta c E X = E X i .

Cc bin ngu nhin X i u c bng phn b xc sut nh sau
Xi
P
Do E X i =
1/ 6 1/ 6 1/ 6 1/ 6 1/ 6 1/ 6
1
(1 + 2 + 3 + 4 + 5 + 6) = 7
6
2
EX =
7
n.
2
2.4.2. Phng sai

2.4.2.1. nh ngha
Phng sai (variance) hay lch bnh phng trung bnh ca bin ngu nhin X l i
lng o s phn tn bnh phng trung bnh ca X xung quanh gi tr trung bnh EX .
Phng sai ca X c k hiu l DX hay var X v nh ngha nh sau:
DX = E ( X E X )
(2.52)
X = DX c gi l lch tiu chun (deviation) ca X .

Khai trin v phi cng thc (2.52) v p dng cc tnh cht ca k vng ta c th tnh
phng sai theo cng thc sau:
41
DX = E X 2 ( E X )
(2.53)
Theo cng thc (2.49) th phng sai c th tnh theo cng thc sau:
(i). Nu X ri rc nhn cc gi tr vi xc sut tng ng pi = P{X = xi } th
D X = ( xi E X )2 pi = xi2 pi (E X )2
i
(2.54)
(ii). Nu X lin tc c hm mt f (x) th
DX =
(x E X )
f ( x)dx =
f ( x)dx (E X )2
(2.55)
V d 2.12: Tnh phng sai ca bin ngu nhin xt trong v d 2.7.

Gii: E X 2 = (990) 2 0, 008 + 102 0,992 = 7940
DX = EX 2 ( EX ) = 7940 4 = 7936 X = DX = 7936 89,08 .

2
iu ny ni ln rng mc d kinh doanh bo him c li nhng ri ro kh ln.

V d 2.13: Tnh phng sai ca bin ngu nhin xt trong v d 2.8.
Gii: E X
4
3
3 4 x 5 x 6
4
x (4 x)dx =
=
64 0
64 5
6
DX = EX 2 (EX )2 =
=
0
32
5
32 12
16
4
=
X = .
5 5
25
5
Phng sai ca bin ngu nhin X l lch bnh phng trung bnh quanh gi tr trung
bnh E X . Trong k thut phng sai c trng cho mc phn tn ca cc chi tit gia cng hay
sai s ca thit b. Trong qun l v kinh doanh th phng sai c trng cho mc ri ro ca
cc quyt nh.
V d 2.8 cho thy u t bo him cho nhng ngi 25 tui l c li, nhng v d 2.12 cho
thy ri ro ca bo him rt ln.
2.4.2.2. Tnh cht
1)
D(a) = 0 vi mi hng s a .
2)
D(aX ) = a 2 D( X ) vi mi hng s a .
3)
D(aX + b) = a 2 D( X ) vi mi hng s a, b .
4)
Nu X 1 , ... , X n c lp c cc phng sai hu hn th
D ( a1 X1 +
(2.56)
+ an X n ) = a12 D ( X1 ) +
42
(2.57)
+ a 2n D ( X n ) .
(2.58)

Ni ring: Nu X , Y c lp v DX , DY hu hn th D ( X Y ) = DX + DY .
V d 2.15: Tung con xc xc n ln c lp nhau. Tm phng sai ca tng s nt xut
hin.
n
Gii: Xt X = X i v d 2.11. V cc X i (i = 1, ... , n) c lp nhau, do theo cng

i =1
thc (2.58) ta c DX = DX i .
i =1
Mt khc E X i =
Do DX i =
7
1
91
; E X i2 = 12 + 2 2 + 3 2 + 4 2 + 5 2 + 6 2 = .
2
6
6
91 7 2 35
35
2 = . Vy DX = n .
6 2
12
12
2.4.3. Phn v, Trung v

2.4.3.1. Phn v
Phn v mc ca bin ngu nhin X c hm phn b F (x) l gi tr v tha mn
P{X < v } P{X v }

F (v ) F (v + 0)
Hay
(2.59)
Nu F (x) lin tc tng cht th phn v v l nghim duy nht ca phng trnh
F (x) = , ngha l
v = F 1 ( )
Nu X ri rc c phn b:
X
P
x1
p1
x2
p2
m, m [xi , xi +1 ]
v =
xi +1
(2.60)
t Pi = p1 +
nu Pi = < Pi +1
nu Pi < < Pi +1
+ pi th
(2.61)
2.4.3.2. Trung v
Phn v mc 1/2 c gi l median hay trung v ca X , k hiu MedX . Nh vy trung v
l im phn chia phn b xc sut thnh hai phn bng nhau.
2.4.4. Mt
Mt (Mode) ca bin ngu nhin X l gi tr m bin ngu nhin X nhn vi xc sut ln
nht.
43
X
P
Nu X ri rc c phn b:
x1
p1
xi0 = Mod X
x2
p2
th
pi0 = max{p1 , p 2 , ...}
(2.62)
Nu X lin tc c hm mt f ( x)
c = Mod X
f (c) = max{ f ( x) , x }.
(2.63)
V d 2.16: Bin ngu nhin X v d 2.3 c Mt v trung v ModX = MedX = 1 .

V d 2.17: Tm trung v v Mt ca bin ngu nhin ri rc c bng phn b xc sut
20
21
22
23
24
0,3 0,25 0,18 0,14 0,13
Gii: D thy rng ModX = 20 .

Hm phn b xc sut ca X
0
0,3
0,55
F ( x) =
0,73
0,87
nu x 20
nu 20 < x 21
nu 21 < x 22
nu 22 < x 23
nu 23 < x 24
nu x > 24
T suy ra MedX = 21 .
V d 2.18: Tm MedX v ModX ca bin ngu nhin lin tc X xt trong v d 2.4
Gii: MedX l nghim ca phng trnh F ( x) = x 2 =
Hm mt f ( x) = 2 x
0
1
1
MedX =
.
2
2
vi x 0
vi 0 < x 1 t cc i ti x = 1 , vy ModX = 1 .
vi x > 1
V d 2.19: Tm MedX v ModX ca bin ngu nhin lin tc X c hm mt xc

nh nh sau
3
x(2 x )
f ( x) = 4
0
Gii: Hm phn b xc sut
44
vi 0 x 2
nu tri li
vi x 0
0
x3
3
F ( x) = x 2 vi 0 < x 2
3
4
1
vi x > 2
x 3 3x 2 + 2 = 0
1
. T MedX = 1 .
2
0 < x 2
MedX l nghim ca phng trnh F ( x) =
3
(1 x ) vi 0 < x < 2
Hm mt f (x) c o hm f ' ( x) = 2
0
nu tri li
sang m khi i qua x = 1 , do t cc i ti im ny. Vy ModX = 1 .
i du t dng
2.4.5. Moment, h s bt i xng, h s nhn

1)
Moment cp k
mk = EX k ; k = 1, 2, ...
(2.64)
2)
Moment quy tm cp k
k = E ( X EX )k ; k = 1, 2, ...
(2.65)
3)
H s bt i xng
3 =
4)
H s nhn
4 =
3
3
4
4
vi = DX .
(2.66)
(2.67)
Nhn xt:
m1 = EX , 1 = 0 , 2 = DX .
3 o mc bt i xng ca lut phn b :

Nu 3 < 0 th phn b xc sut v th ca hm mt s lch v bn tri hn.
3 = 0 th phn b xc sut v th ca hm mt i xng.

3 > 0 th phn b xc sut v th ca hm mt s lch v bn phi hn.
H s nhn 4 c trng cho nhn ca th hm mt so vi th hm mt
ca phn b chun.
Vi bin ngu nhin c phn b chun th 4 = 3 .
4 > 3 th th hm mt s nhn hn so vi th hm mt chun.

4 < 3 th th hm mt s t hn so vi th hm mt chun.
Khi phn b ca X i xng hoc gn i xng th dng k vng nh v l tt nht,
song nu phn b ca X qu lch th nn dng Median v Mode nh v.
45

2.5. HM C TRNG
2.5.1. nh ngha
Hm c trng bin ngu nhin X k hiu l X (t ) v c nh ngha bi biu thc:
( ) = eitx f X ( x)dx .
X (t ) = E e
itX
(2.68)
trong f X (x) hm mt ca bin ngu nhin X , i l n v o tha mn i 2 = 1 .

2.5.2. Tnh cht
1) Hm c trng l bin i Fourier ngc ca hm mt X (t ) =
F 1{ f X ( x)}. V
vy hm c trng c cc tnh cht nh bin i Fourier.

2)
X (t ) X (0) = 1 .
3) X (t ) xc nh khng m.
4) Nu bin ngu nhin X c mment cp k th X (t ) c o hm n cp k v
[ ]
E Xk =
1
i
)
(k
X (0) .
(2.69)
5) Cc bin ngu nhin X 1 , X 2 , ... , X n c lp khi v ch khi
X1 + X 2 +
+ X n (t )
= X1 (t )
X n (t ) .
(2.70)
6) Nu hm c trng X (t ) c bin i Fourier (kh tch tuyt i v tha mn iu kin

Dirichlet) th hm mt c tnh theo cng thc:
1
f X ( x) =
2
itx
X (t )dt .
(2.71)
2.5.3. Cc c trng ca cc quy lut phn b xc sut thng gp

Quy lut xc sut
K vng
Phng sai
Hm c trng
(peit + q )n
Nh thc X ~
B (n ; p)
EX = np
DX = npq
Poisson X ~
P ( )
EX =
DX =
u X ~ U(a, b)
X c phn b m tham s > 0
EX =
a+b
2
EX =
DX =
it
(b a ) 2
12
e ibt e iat
it (b a)
it
DX =
46
e (e
Chun X ~ N( ; 2 )
EX =
DX = 2
Erlang-k X ~ E k ( )
k
EX =
DX =
1
it 2t 2
2
e
( it )k
TM TT
Bin ngu nhin
Bin ngu nhin X l i lng nhn cc gi tr no ph thuc vo cc yu t ngu
nhin, ngha l vi mi gi tr thc x th {X < x} l mt bin c ngu nhin.
Ngi ta phn cc bin ngu nhin thnh hai loi:
Bin ngu nhin ri rc nu n ch nhn mt s hu hn hoc v hn m c cc
gi tr. Ngha l c th lit k cc gi tr thnh mt dy x1 , x 2 , ... .
Bin ngu nhin lin tc nu cc gi tr ca n c th lp y mt hoc mt s cc
khong hu hn hoc v hn v xc sut P{X = a} bng khng vi mi a.
Hm phn b xc sut
Hm phn b xc sut ca bin ngu nhin X l hm s F ( x) xc nh vi mi x bi
cng thc: F ( x) = P{X < x}; < x < .
Bng phn b xc sut ca bin ngu nhin ri rc
Gi s bin ngu nhin X ch nhn cc gi tr x1 , x 2 , ... vi xc sut tng ng
pi = P{X = xi } . pi > 0 v
pi = 1 . Bng phn b xc sut ca
X c dng sau:
X
P
x1
p1
x2
p2
Hm mt phn b xc sut ca bin ngu nhin lin tc

Gi s X l mt bin ngu nhin lin tc c hm phn b F ( x) . Hm mt ca bin
x
ngu nhin X l hm f (x) sao cho vi mi x , F ( x) =
f (t )dt .
K vng
K vng hoc gi tr trung bnh ca bin ngu nhin X k hiu l EX v c xc nh
nh sau:
Nu X ri rc nhn cc gi tr xi vi xc sut tng ng pi = P{X = xi } th
E X = xi p i
i
47
Nu X lin tc c hm mt f (x) th E X =
xf ( x)dx .
Phng sai
Phng sai hay lch bnh phng trung bnh ca bin ngu nhin X l i lng o s
phn tn bnh phng trung bnh ca X xung quanh gi tr trung bnh EX . Phng sai ca X
c k hiu l DX hay var X v nh ngha nh sau: DX = E ( X E X ) .
2
lch tiu chun
X = DX c gi l lch tiu chun ca X .

Phn v
Phn v mc ca bin ngu nhin X c hm phn b F (x) l gi tr v tha mn
P{X < v } P{X v } hay F (v ) F (v + 0)

Trung v
Phn v mc 1/2 c gi l median hay trung v ca X , k hiu MedX . Nh vy trung v
l im phn chia phn b xc sut thnh hai phn bng nhau.
Mt
Mt (Mode) ca bin ngu nhin X l gi tr m bin ngu nhin X nhn vi xc sut ln nht.
Nu X ri rc c phn b:
X
P
x2
p2
x1
p1
th
xi0 = Mod X pi0 = max{p1 , p 2 , ...}
Nu X lin tc c hm mt f (x) th c = Mod X f (c) = max{ f ( x) , x } .
Moment, h s bt i xng, h s nhn
Moment cp k
mk = EX k ; k = 1, 2, ...
Moment quy tm cp k
k = E ( X EX )k ; k = 1, 2, ...
H s bt i xng
3 =
H s nhn
4 =
H s bt i xng 3 o mc bt i xng ca lut phn b.
H s nhn 4 cho php b sung thm thng tin v phng sai ca phn b.
3
3
4
4
vi = DX .
48
CU HI N TP V BI TP
2.1 Bin ngu nhin lun lun nhn gi tr dng.
ng
Sai
2.2 Bin ngu nhin ri rc ch nhn mt s hu hn cc gi tr.

ng
Sai
2.3 Nu bin ngu nhin X ri rc ch nhn cc gi tr x1 , ... , x n th h cc bin c {X = x1 } , ,
{X
= x n } lp thnh mt h y .
ng
Sai
2.4 K vng ca bin ngu nhin ri rc l gi tr n ly thng xuyn nht.

ng
Sai
2.5 K vng ca tng hai bin ngu nhin lun lun bng tng cc k vng ca n.
ng
Sai
2.6 Hai bin ngu nhin c cng k vng s c cng phng sai.
ng
Sai
2.7 Phng sai ca tng hai bin ngu nhin ri rc lun lun bng tng phng sai ca n.
ng
Sai
2.8 Bin ngu nhin tn ti phng sai th cng tn ti k vng.

ng
Sai
2.9 Hm mt f (x) ca bin ngu nhin lin tc c tnh cht f ( x) 0 .

ng
Sai
2.10 Tng ca hai bin ngu nhin phn b theo quy lut nh thc bt k lun lun l mt bin
ngu nhin phn b theo quy lut nh thc.
ng
Sai
2.11 Bin ngu nhin phn b theo quy lut Poisson l bin ngu nhin ri rc nn ch nhn mt
s hu hn cc gi tr.
ng
Sai
2.12 Nu X l bin ngu nhin phn b theo quy lut Poisson tham s >0 th k vng, phng
sai v mt ca X u bng .
ng
Sai
2.13 Nu bin ngu nhin X phn b theo quy lut chun N (; 2 ) th xc sut sai lch gia
X v k vng ca n tha mn P{ X < } = 2 1 .
ng
Sai
49
2.14 Nu bin ngu nhin X phn b theo quy lut chun N (; 2 ) th
X
phn b theo
quy lut chun tc N (0;1) .

ng
Sai
2.15 Bin ngu nhin phn b theo quy lut Student ch nhn nhng gi tr dng.
ng
Sai
2.16 Bin ngu nhin X c bng phn b
0, 4
0,3
0,1
0, 2
Tnh k vng EX v phng sai DX.

2.17 Bin ngu nhin ri rc X nhn ba gi tr c th c l x1, x2 , x3 . Bit x1 = 4, x2 = 0, 6 vi
xc sut tng ng p1 = 0,5 , p2 = 0,3 v c k vng EX = 8. Tm x3 v p3 .
2.18 Cho X 1 v X 2 l hai bin ngu nhin c lp c bng phn b xc sut nh sau:
X1
X2
0,3
0,5
0,2
0,2
0,8
a) Tnh EX 1 ; EX 2 ; DX 1 ; DX 2 .
b) Tnh E( X 1 + X 2 ) v D( X 1 + X 2 ) .
2.19 Cho X 1 , X 2 , X 3 l ba bin ngu nhin c lp c bng phn b xc sut nh sau:
X1
X2
X3
0,6
0,4
0,4
0.6
0,8
0.2
Lp X =
X1 + X 2 + X 3
. Tnh E ( X ) ; D( X ) .
3
2.20 Hai bin ngu nhin X , Y c lp. Tnh D(Z ) vi:

a) Z = 2 X + 3Y .
b) Z = 3 X + Y .
Cho bit D( X ) = 4 , D(Y) = 5 .

2.21 Bin ngu nhin ri rc X nhn cc gi tr c th c l x1 = 1; x 2 = 0 ; x3 = 1 . Tm cc
xc sut tng ng p1 ; p 2 ; p3 bit rng E ( X ) = 0,1 v D( X ) = 0,89 .
2.22 Xp ngu nhin 5 hnh khch ln 3 toa tu I, II, III. Gi X l s khch ln toa I v Y l s
khch ln toa II v III.
a) Tnh xc sut c 3 toa u c khch.
b) Lp bng phn b xc sut ca bin ngu nhin X v bin ngu nhin Y .
50

2.23 Tnh k vng ca bin ngu nhin lin tc X c hm mt xc sut
cos x
nu x ( / 2; / 2 )
f ( x) = 2
0
nu x ( / 2; / 2 )
2.24 Tui th ca mt loi cn trng no l mt bin ngu nhin X (n v l thng) vi hm

mt nh sau
kx 2 (2 x) nu 0 x 2
f ( x) =
nu tri li
0
a) Tm k ;
b) Tnh xc sut cn trng cht trc khi n c mt thng tui;
c) Tm EX , DX .
2.25 Hai x th A v B tp bn. Mi ngi bn hai pht. Xc sut bn trng ch ca A trong mi
ln bn l 0,4; cn ca B l 0,5.
a) Gi X l s pht bn trng ca A tr i s pht bn trng ca B. Tm phn b xc sut
ca X , k vng EX v phng sai DX.
b) Tm phn b xc sut ca Y = X v k vng EY .
2.26 Mt x nghip c hai t vn ti hot ng. Xc sut trong ngy lm vic cc t b hng
tng ng bng 0,1 v 0,2. Gi X l s t b hng trong thi gian lm vic. Lp bng phn
b xc sut, tnh k vng EX v phng sai DX ca X .
2.27 Cho bin ngu nhin ri rc X c bng phn b xc sut
2k
2k
3k
k2
k2
k2 + k
a) Xc nh k.
b) Tnh xc sut P { X 5} v P { X < 3} .
c) Tnh k vng EX.
d) Tnh phng sai DX .
2.28 C 5 sn phm trong c 4 chnh phm v 1 ph phm. Ngi ta ly ra ln lt 2 sn
phm (ly khng hon li).
a) Gi X l "s ph phm c th gp phi". Lp bng phn b xc sut ca X.
Tnh k vng EX v phng sai DX.
b) Gi Y l "s chnh phm c th gp phi". Lp h thc cho bit mi quan h gia Y v
X. Tnh k vng EY v phng sai DY.
51

2.29 Mt nhm c 10 ngi trong c 6 nam v 4 n. Chn ngu nhin ra 3 ngi. Gi X l s
n c trong nhm c chn. Lp bng phn b xc sut ca X. Tnh k vng EX.
2.30 Hai kin tng bng bn ngang sc thi u vi nhau. Hi thng 2 trong 4 vn d hn hay
thng 3 trong 6 vn d hn.
2.31 Mt n cng nhn qun l 12 my dt. Xc sut mi my trong khong thi gian T cn
n s chm sc ca n cng nhn l 1/3. Tnh xc sut:
a) Trong khong thi gian T c 4 my cn n s chm sc ca n cng nhn.
b) Trong khong thi gian T c t 3 n 6 my cn n s chm sc ca n cng nhn.
2.32 Trong mt l hng c 800 sn phm loi 1 v 200 sn phm loi 2. Ly ngu nhin ra 5 sn
phm theo phng thc c hon li. Gi X l s sn phm loi 1 ly c.
a)
X tun theo quy lut phn b g? Vit biu thc tng qut ca quy lut.
b) Tm k vng v phng sai ca X .

c) Tm mt ca X v tnh kh nng xy ra iu .
2.33 Xc sut sn phm sn xut ra b hng bng 0,1.
a) Tm xc sut trong 5 sn phm sn xut ra c khng qu 2 sn phm hng.
b) Tm s sn phm hng trung bnh trong 5 sn phm .
c) Tm s sn phm hng c kh nng xy ra nhiu nht.
2.34 Mt bi thi trc nghim gm c 10 cu hi, mi cu hi c 5 phng n tr li, trong ch
c mt phng n ng. Gi s mi cu tr li ng c 4 im v cu tr li sai b tr 2
im. Mt hc sinh km lm bi bng cch chn h ho mt phng n cho mi cu hi. Tnh
xc sut :
a) Anh ta c 4 im.
b) Anh ta b im m.
2.35 Tn hiu thng tin c pht i 5 ln c lp nhau. Xc sut thu c tin ca mi ln pht l
0,7. Tnh xc sut:
a) Thu c tn hiu ng 2 ln.
b) Thu c tn hiu nhiu nht 1 ln.
c) Thu c tin.
2.36 Mt cu th ni ting v pht n, xc sut vo gn l 4/5. C ngi cho rng c st
5 qu th chc chn rng c 4 qu vo li. iu khng nh c ng khng? Tm xc sut
trong 5 ln st c ng 4 ln bng vo li.
2.37 mt tng i bu in cc cuc in thoi gi n xut hin mt cch ngu nhin, c lp
vi nhau v trung bnh c 2 cuc gi trong mt pht. Tnh xc sut :
a) C t nht mt cuc gi trong khong thi gian 10 giy.
b) Trong khong thi gian 3 pht c nhiu nht ba cuc gi.
c) Trong khong thi gian 3 pht lin tip mi pht c nhiu nht mt cuc gi.
52

2.38 Bin ngu nhin X tun theo quy lut chun vi k vng = 10 v phng sai 2 = 4 .
Tnh xc sut X nhn gi tr trong khong (8; 12).
2.39 Bin ngu nhin X tun theo quy lut chun vi k vng = 10 . Xc sut X nhn gi
tr trong khong (10; 20) l 0,3. Tm xc sut X nhn gi tr trong khong (0; 10).
2.40 Trng lng sn phm X do mt my t ng sn xut l mt bin ngu nhin tun theo
quy lut chun vi = 100 gam v lch chun = 100 gam. Sn phm c coi l t tiu
chun k thut nu trng lng ca n t t 98 n 102gam.
a) Tm t l sn phm t tiu chun k thut ca nh my.
b) Tm t l ph phm ca nh my.
c) Gii thch bng th kt qu tm c phn a).
2.41 Chiu cao ca nam gii khi trng thnh mt vng dn c l bin ngu nhin phn b
chun v k vng = 160 cm v lch chun = 6 cm. Mt thanh nin b coi l ln nu
c chiu cao nh hn 155 cm.
a) Tm t l thanh nin ln vng .
b) Tm xc sut ly ngu nhin 4 ngi th c t nht 1 ngi khng b ln.
2.42 Cho X i ( i = 1, n )l cc bin ngu nhin c lp, cng tun theo quy lut chun vi
E( X 1 ) = E( X 2 ) = ... = E( X n ) = ; D( X 1 ) = D( X 2 ) = ... = D( X n ) = 2
Lp cng thc tnh P X < bit rng X =

chun, > 0 ty .
53
1 n
X i v cng tun theo quy lut
n i =1
Chng 3: Vc t ngu nhin
CHNG III: VC T NGU NHIN
GII THIU
Vc t ngu nhin l mt b c th t bao gm nhiu bin ngu nhin. Mi bin ngu nhin
l mt thnh phn ca vc t ngu nhin. S bin ngu nhin thnh phn gi l chiu ca vc t
ngu nhin.
Tng t bin ngu nhin, quy lut bin ngu nhin nhiu chiu c kho st thng qua
hm phn b. Trng hp bin ngu nhin nhiu chiu c cc bin ngu nhin thnh phn ri rc
c gi l bin ngu nhin nhiu chiu ri rc. Nu tt c cc bin ngu nhin thnh phn lin
tc th bin ngu nhin nhiu chiu tng ng gi l lin tc. Bin ngu nhin nhiu chiu ri rc
c xc nh bi bng phn b xc sut ng thi, cn bin ngu nhin lin tc c xc nh
bi hm mt xc sut ng thi.
Vi bin ngu nhin hai chiu ri rc ta c bng phn b xc sut ng thi, l bng ghi
cc gi tr ca hai bin ngu nhin thnh phn theo hng, theo ct v xc sut tng ng. Da vo
cng thc cng xc sut y ta c th tm c bng phn b xc sut ca hai bin ngu nhin
thnh phn. Tng t, t hm mt ng thi ta c th tm hm mt ca bin ngu nhin
thnh phn bng cch ly tch phn theo cc bin thch hp.
Ngoi cc c trng k vng, phng sai ca cc bin ngu nhin thnh phn, cc vc t
ngu nhin cn c c trng bi hip phng sai v h s tng quan. H s tng quan o
mc ph thuc tuyn tnh ca hai bin ngu nhin thnh phn, h s tng quan cng gn 1 th
mc ph thuc tuyn tnh cng cht. Hai bin ngu nhin thnh phn khng tng quan th h
s tng quan bng 0. Da vo c trng ny ta c th xy dng hm hi quy tng quan. Hai
bin ngu nhin c lp th khng tng quan.
Tnh c lp ca cc bin ngu nhin c nhn bit thng qua du hiu ca bng phn b,
hm phn b hoc hm mt xc sut.
i vi bin ngu nhin khng c lp, bng cch p dng cng thc tnh xc sut c iu
kin suy ra quy lut phn b xc sut c iu kin ca cc bin ngu nhin thnh phn.
T cc bin ngu nhin X 1 , X 2 , ... , X n v hm nhiu bin ( x1 , ... , x n ) ta c th xy dng
cc bin ngu nhin mi ( X 1 , ... , X n ) l hm ca cc bin ngu nhin cho. Xc nh bng
phn b xc sut hay hm mt xc sut ca ( X 1 , ... , X n ) .
hc tt chng ny hc vin cn nm vng cc tnh cht c bn ca xc sut, xc sut
c iu kin, phn b xc sut ca bin ngu nhin ri rc; Tch phn suy rng, hm nhiu bin.
54
NI DUNG
3.1. KHI NIM VC T NGU NHIN
3.1.1. Khi nim
Trong cc chng trc ta xt cc bin ngu nhin m gi tr chng nhn c c th biu
din bng mt s, l cc bin ngu nhin mt chiu. Tuy nhin trong thc t c th gp cc i
lng ngu nhin m gi tr nhn c l mt b gm hai, ba, , n s. Nhng i lng ny
c gi mt cch tng ng l bin ngu nhin hai chiu, ba chiu, , n chiu v c gi
chung l bin ngu nhin nhiu chiu. Cc bin ngu nhin hai chiu, ba chiu, , n chiu cn
c gi l vc t ngu nhin hai chiu, ba chiu, , n chiu.
nh ngha 3.1: Mt vc t ngu nhin n chiu l mt b c th t ( X 1 , X 2 , ... , X n ) vi
cc thnh phn X 1 , X 2 , ... , X n l cc bin ngu nhin. Ta k hiu vc t ngu nhin hai chiu l
( X , Y ) , trong X l bin ngu nhin thnh phn th nht v Y l bin ngu nhin thnh phn
th hai.
V d 3.1: Mt nh my sn xut mt loi sn phm. Nu kch thc ca sn phm c o
bng chiu di X v chiu rng Y th ta c bin ngu nhin hai chiu, cn nu xt thm c chiu
cao Z na th ta c bin ngu nhin ba chiu. Nu ta ch quan tm n trng lng v th tch ca
sn phm ta cng c bin ngu nhin hai chiu.
Vc t ngu nhin n chiu ( X 1 , X 2 , ... , X n ) l lin tc hay ri rc nu tt c cc bin ngu
nhin thnh phn X 1 , X 2 , ... , X n l lin tc hay ri rc.
3.1.2. Hm phn b
nh ngha 3.2: Hm n bin F ( x1 , x 2 , ... , x n ) xc nh bi:
F ( x1 , x2 , ... , xn ) = P{X 1 < x1 , X 2 < x 2 , ... , X n < x n }
(3.1)
c gi l hm phn b ca vc t ngu nhin X = ( X 1 , X 2 , ... , X n ) hay c gi l phn b

ng thi ca cc bin ngu nhin X 1 , X 2 , ... , X n .
Hm phn b ng thi c cc tnh cht:
1. 0 F ( x1 , x 2 , ... , x n ) 1 .
2.
3.
4.
5.
6.
(3.2)
lim F ( x1 , x 2 , ... , x n ) = 0 , vi k no thuc {1, ... , n}.
xk
lim
( x1 , ..., xn )( , ..., )
F ( x1 , x 2 , ... , x n ) = 1 .
(3.3)
(3.4)
F ( x1 , x 2 , ... , x n ) khng gim theo tng bin.

lim F ( x1 , ... , x k , ... , x n ) = P{X 1 < x1 , ... , X k 1 < x k 1 , X k +1 < x k +1 , ... , X n < x n }
xk
c bit F ( x, y ) l hm phn b ca vc t ngu nhin hai chiu ( X , Y ) th:

55
lim F ( x, y ) = P{X < x} = FX ( x) ; lim F ( x, y ) = P{Y < y} = FY ( y )
(3.5)
FX ( x) , FY ( y ) l cc hm phn b ca bin ngu nhin X , Y hay cn c gi l cc

phn b thnh phn ca vc t ngu nhin ( X , Y ) cng l phn b bin duyn ca phn b ng
thi F ( x, y ) .
3.2. BNG PHN B XC SUT CA VC T NGU NHIN RI RC HAI CHIU
3.2.1. Bng phn b xc sut ng thi
Bng phn b xc sut ng thi ca bin ngu nhin ri rc hai chiu ( X , Y ) l bng lit
k tt c cc gi tr ca X theo hng, Y theo ct v cc xc sut tng ng.
y1
y2
yj
ym
x1
p( x1, y1 )
p( x1, y2 )
p ( x1, y j )
p ( x1, ym )
p( x1 )
x2
p( x2 , y1 )
p ( x2 , y2 )
p ( x2 , y j )
p( x2 , ym )
p( x2 )
p ( xi , ym )
p( xi )
xi
p( xi , y1 )
p( xi , y2 )
p ( xi , y j )
xn
p( xn , y1 )
p ( xn , y2 )
p ( xn , y j )
p( xn , ym )
p( xn )
p ( y1 )
p ( y2 )
p( y j )
p ( ym )
Trong xi ( i = 1, n ) l cc gi tr c th c ca thnh phn X ; y j ( j = 1, m ) l cc gi

tr c th c ca thnh phn Y . p ( xi , y j ) l xc sut ng thi ca bin ngu nhin hai chiu
( X , Y ) nhn gi tr ( xi , y j ) , ngha l:
p( xi , y j ) = P X = xi , Y = y j ,
cc xc sut ny tha mn
p ( xi , y j ) 0 , i = 1, n , j = 1, m
n m
p( xi , y j ) = 1
i =1 j =1
56
(3.6)

3.2.2. Bng phn b xc sut bin
p dng cng thc xc sut y (1.16) cho h { X = x1} , { X = x2 } , ..., { X = xn } (xem
cng thc 2.7) ta c:
p ( y j ) = P Y = y j = P X = xi , Y = y j = p ( xi , y j ) ;
i =1
j = 1, m
(3.7)
i =1
Tng t
m
p( xi ) = P{ X = xi } = P X = xi , Y = y j = p( xi , y j ) ; i = 1, n
j =1
(3.8)
j =1
Nh vy t bng phn b xc sut ng thi ca ( X , Y ) , nu ta cng cc xc sut theo ct

th ta c cc xc sut tng ng vi cc gi tr ca Y , nu ta cng cc xc sut theo hng ta
c cc xc sut tng ng vi gi tr ca X . T nhn c phn b xc sut ca bin ngu
nhin thnh phn Y v bin ngu nhin thnh phn X .
x1
x2
xi
xn
p ( x1 )
p( x2 )
p ( xi )
p( xn )
y1
y2
yj
ym
p( y1 )
p( y 2 )
p( y j )
p( y m )
V d 3.2: Gieo 3 ng tin cn i A, B, C. Gi X l s mt nga xut hin ca 2 ng

tin A, B v Y l s mt nga xut hin ca c 3 ng tin A, B, C. Hy lp bng phn b xc
sut ng thi ca X , Y .
Gii: Chng ta c bng 8 kt qu ng kh nng ca vic gieo 3 ng tin cn i v tnh
cc gi tr ca X , Y tng ng, trong N l k hiu mt nga xut hin cn S l mt sp.
A
57

S dng cng thc tnh xc sut c in (1.1) ta c:
P{X = 2, Y = 3} =
1
1
2
; P{X = 2, Y = 2} = ; P{X = 1, Y = 2} =
8
8
8
Vy bng phn b xc sut ng thi ca X v Y l
1/8
1/8
2/8
2/8
2/8
4/8
1/8
1/8
2/8
1/8
3/8
3/8
1/8
Phn b xc sut ca bin ngu nhin thnh phn:

Cng cc ct ta c:
2/8
4/8
2/8
1/8
3/8
3/8
1/8
Cng cc hng ta c:
V d 3.3: C hai hp, mi hp ng 6 bi.

Hp I c 1 bi mang s 1, 2 bi mang s 2, 3 bi mang s 3.
Hp II c 2 bi mang s 1, 3 bi mang s 2, 1 bi mang s 3.
Rt ngu nhin t mi hp 1 bi. Gi X , Y ln lt l s ghi trn bi rt c t hp I v hp II.
Hy lp bng phn b xc sut ng thi ca X , Y .
Gii: Mi hp c 6 bi cho nn s cc trng hp c th c ca php th l 6 6 = 36 , trong
c 2 trng hp (1,1) , 3 trng hp (1, 2) , 4 trng hp (2,1) ,
Vy bng phn b xc sut ng thi ca X , Y nh sau:
58
2/36
3/36
1/36
1/6
4/36
6/36
2/36
2/6
6/36
9/36
3/36
3/6
2/6
3/6
1/6
V d 3.4: (Phn b a thc) Vc t ngu nhin n chiu X = ( X 1 , X 2 , ... , X n ) c gi l
c phn b a thc vi cc tham s N ; p1 , ... , p n k hiu X ~ MUT ( N ; p1 , ... , p n ) nu:
N!
p1k1 p 2k2
k1!k 2 !...k n+1!
P{X 1 = k1 , ... , X n = k n } =
trong 0 k i N , k n+1 = N (k1 +
+ k n ) ; q = 1 ( p1 +
p nkn q
kn +1
+ pn ) .
Trng hp n = 1 ta c phn b nh thc.

Xt N php th c lp, thun nht mi php th c n + 1 kt qu; gi s xc sut xut hin
kt qu th k l p k th p1 + + p n + p n+1 = 1 .
Gi X k l s thnh cng ca kt qu th k trong N php th th X = ( X 1 , X 2 , ... , X n ) c
phn b a thc X ~ MUT ( N ; p1 , ... , p n ) .
Gieo xc xc cn i 10 ln. Tnh cc xc sut:

1) C ng 3 ln xut hin mt 5 chm (bin c A).
2) C 2 ln xut hin mt 1 chm, 4 ln mt 3 chm, 1 ln mt 4 chm v 3 ln mt 6
chm (bin c B).
Gii:
1) Gi X l s ln xut hin mt 5 trong 10 ln th th X ~
3
B (10 ;1 / 6) .
3 1 5
P ( A) = P{X = 3} = C10
= 0,155 .
6 6
2) Gi X k l s ln xut hin mt k trong 10 php th th ( X 1 , X 2 , X 3 , X 4 , X 6 ) c phn
b a thc MUT (10 ;1 / 6, 1 / 6, 1 / 6, 1 / 6, 1 / 6 ) .
P ( B) = P{X 1 = 2, X 2 = 0, X 3 = 4, X 4 = 1, X 6 = 3} =
59
10
10! 1

2!0!4!1!3! 6
0,0002 .

3.3. VC T NGU NHIN LIN TC
3.3.1. Hm mt ca vc t ngu nhin lin tc
nh ngha 3.3: Hm mt ca vc t ngu nhin lin tc X = ( X 1 , X 2 , ... , X n ) l hm
n bin f ( x1 , x 2 , ... , x n ) 0 tho mn:
F ( x1 , x 2 , ... , x n ) = P{X 1 < x1 , X 2 < x 2 , ... , X n < x n } =
x1
xn
f (t1 , t 2 , ... , t n ) dt1dt 2 ... dt n
f ( x1 , x 2 , ... , x n ) cn c gi l hm mt ng thi ca X 1 , X 2 , ... , X n .

Tnh cht: n gin cho cch biu din ta xt trng hp vc t ngu nhin hai chiu
( X , Y ) c hm mt f ( x, y ) .

1)
f ( x, y ) 0 vi mi ( x, y ) v
f ( x, y)dxdy = 1.
(3.12)
P{( X , Y ) A} =
2)
f ( x, y)dxdy vi
A 2 .
(3.13)
( x , y )A
2
F ( x, y ) nu tn ti o hm ti ( x, y )
f ( x, y ) = xy
0
nu ngc li
3)
(3.14)
4)
f ( x, y) dy =
f X ( x) hm mt ca bin ngu nhin X .
(3.15)
f ( x, y) dx =
f Y ( y ) hm mt ca bin ngu nhin Y .
V d 3.5: Cho vc t ngu nhin ( X , Y ) c hm mt xc nh nh sau:
C
f ( x, y ) =
0
nu x + y 1
nu ngc li
a) Tm C.
b) Tm cc hm mt ca cc bin ngu nhin
X,Y.
Gii:
a) Min D: x + y 1 i xng qua hai trc

to Ox, Oy. Phn ca D nm trong gc phn t
th nht l tam gic vung cn 0 x, 0 y ; x + y 1 .
60
Vy D l hnh vung c di cnh bng
2 , do :
1=
f ( x, y )dxdy = Cdt D = 2C C =
1
.
2
x 1 y 1 x nu 0 x 1
b) x + y 1 x 1 y x + 1
x 1 y x + 1 nu -1 x 0
1 1+ x
dy = 1 + x nu 1 x 0
2 -x-1
1 x
=
f X ( x) = 0 nu ngc li
0
1 x
1 dy = 1 x nu 0 x 1
2
x-1
nu x 1
nu x > 1
Do tnh cht i xng ca X v Y nn ta cng c:
1 y
fY ( y) =
0
nu y 1
nu y > 1
3.4. TNH C LP CA CC BIN NGU NHIN

nh ngha 3.4: Hai bin ngu nhin X v Y gi l c lp nu mi bin ngu nhin
nhn gi tr ny hay gi tr khc khng nh hng g n phn b xc sut ca bin ngu nhin
kia.
nh l 3.1: Gi s F ( x, y ) l hm phn b ca vc t ngu nhin ( X , Y ) . Khi X , Y
c lp khi v ch khi
F ( x, y ) = FX ( x) FY ( y )
(3.16)
trong FX ( x), FY ( y ) ln lt l hm phn b ca X v Y .

nh l 3.2: Vc t ngu nhin hai chiu ri rc ( X , Y ) vi phn b xc sut ng thi
(3.6) l c lp khi v ch khi
p ( xi , y j ) = p ( xi ) p( y j ) i = 1, n , j = 1, m .
(3.17 )
Mt du hiu nhn bit hai bin ngu nhin ri rc c lp l bng phn b xc sut ng
thi c tnh cht:
Hai hng bt k t l.
Hai ct bt k t l.
V d 3.6: Hai bin ngu nhin X v Y ca v d 3.2 khng c lp v P{X = 2} =
P{Y = 1} =
3
nhng P{X = 2, Y = 1} = 0 .
8
61
2
,
8

Hai bin ngu nhin X v Y ca v d 3.3 c lp v tha mn iu kin (3.17).
nh l 3.3: Gi s vc t ngu nhin ( X , Y ) c hm mt f ( x, y ) . Khi X , Y c
lp khi v ch khi
f ( x, y ) = f X ( x ) f Y ( y )
(3.18)
trong f X ( x), f Y ( y ) ln lt l hm mt ca X v Y .
V d 3.7: Vc t ngu nhin ( X , Y ) ca v d 3.5 khng c lp v hm mt
f ( x, y ) f X ( x ) f Y ( y ) .
3.5. HM CA CC BIN NGU NHIN
3.5.1. Hm ca mt bin ngu nhin
Gi s X l mt bin ngu nhin v ( x) l hm lin tc mt bin s. Khi Y = ( X )
cng l mt bin ngu nhin gi l hm ca bin ngu nhin X .
a. Trng hp ri rc:
Nu X c phn b ri rc:
x1
x2
p1
p2
( x1 )
( x 2 )
p1
p2
th Y cng c phn b ri rc:
b. Trng hp lin tc:

Nu X lin tc c hm phn b FX (x) v hm mt f X (x) th bng phng php gii
tch ta c th tm c hm phn b v hm mt ca bin ngu nhin Y = ( X ) .
Trng hp ( x) l mt song nh. Khi ( x) hoc n iu tng hoc n iu
gim:
( x) n iu tng
FY ( y ) = P{( X ) < y} = P X < 1 ( y ) = FX 1 ( y ) FX ( x) = FY (( x) )

f X ( x) = f Y (( x) )' ( x) hay f Y ( y ) =
( ) = f X (1 ( y)) = f X ( x) dx .
dy
' ( 1 ( y ) )
' ( 1 ( y ) )
f X 1 ( y )
(3.19)
( x) n iu gim
FY ( y ) = P{( X ) < y} = P X > 1 ( y ) = 1 FX 1 ( y ) FX ( x) = 1 FY (( x) )

62
f X ( x) = f Y (( x) )' ( x) hay f Y ( y ) =
( ) = f X ( 1 ( y)) = f X ( x) dx .
dy
' ( 1 ( y ) )
' ( 1 ( y ) )
f X 1 ( y )
(3.20)
Trng hp (x) l mt hm lin tc bt k ta tnh trc tip xc sut P{Y < y = (x)}
t suy ra hm phn b v hm mt ca Y .
V d 3.8: Gi s 1 ( x) = x 3 , 2 ( x) = x 2 , 3 ( x) = e x . X l mt bin ngu nhin lin
tc c hm phn b FX (x) v hm mt f X (x) :
a) Tm hm mt ca Y = 1 ( X ) .
b) Tm hm mt ca Z = 2 ( X ) .
c) Tm hm mt ca T = 3 ( X ) .
d) Tm hm mt f Y ( y ) v hm phn b FY ( y ) v xc sut bin c P{2,5 < Y < 5} nu
hm mt f X (x) ca X xc nh bi:
f X ( x) = x 2
0
nu 1 x 2
nu ngc li
Gii:
dx
1
. p dng cng thc (3.19) ta c:
a. y = 1 ( x) = x 3 ng bin. x = 3 y ,
=
dy 3 3 y 2
f Y ( y ) = f X ( x)
b. Vi z > 0 ta c:
dx 1 f X (3 y )
=
.
dy 3 3 y 2
} {
FZ ( z ) = P{Z < z} = P X 2 < z = P z < X < z = F X ( z ) F X ( z ) .

Vi z 0 th P{Z < z} = 0 v Z = X 2 khng nhn gi tr m. Vy hm mt ca Z .
1
f X ( z ) + f X ( z )
f Z ( z) = 2 z
c. Vi
t > 0 ta c:
nu z > 0
nu z 0
FT (t ) = P{T < t} = P e X < t = P{X > ln t} = 1 FX ( ln t )
t 0 bin c {T < t} l bin c khng th v T = e X ch nhn gi tr dng, do

P{T < t} = 0 . Vy hm mt ca T xc nh nh sau:
Khi
63
f X ( ln t )
nu t > 0
f T (t ) =
t
0
nu t 0
2
1 f X (3 y ) 3 4 nu 1 y 8
d. f Y ( y ) =
.
= 3 y
3 3 y2
0 nu ngc li
0
1

FY ( y ) = 21
3 y

nu y 1
nu 1 < y 8 .
nu y > 8
3
} {
P{2,5 < Y < 5} = P 2,5 < X < 5 = P 2,5 < X < 5 =

3
2 ,5
2
x2
dx 0,3040 ,
1
1
hoc P{2,5 < Y < 5} = FY (5) FY (2,5) = 2

.
3 2,5 3 5
3.5.2. Hm ca hai bin ngu nhin

Gi s X , Y l hai bin ngu nhin v ( x, y ) l mt hm hai bin lin tc cho trc. Xt
bin ngu nhin Z xc nh bi Z = ( X , Y ) . Khi Z l hm ca hai bin ngu nhin X v
Y.
a) Trng hp ri rc:
Nu X , Y c tp cc gi tr {x1 , x 2 , ... , x m } v {y1 , y 2 , ... , y n } th Z = ( X , Y ) c tp cc
gi tr l ( xi , y j ) i = 1, ... m ; j = 1, ... , y n .
nh l: Gi s Z = ( X , Y ) . Khi :
P{Z = a} =
P{X = xi ; Y = y j }.
{(i, j ) ( xi , y j ) =a}
b) Trng hp lin tc:

Gi s X , Y l hai bin ngu nhin; u ( x, y ), v( x, y ) l hai hm hai bin cho trc. Khi
ta c th thit lp mt cp bin ngu nhin mi U , V bng cng thc:
U = u ( X , Y ), V = v( X , Y )
Gi s T l nh x t 2 vo 2 xc nh bi:
T ( x, y ) = (u ( x, y ), v( x, y ) )
64

Gi thit T l nh x 1 - 1 (n nh) t min D 2 ln min 2 . Khi T c nh
x ngc T 1 : D , vi mi (u , v) tn ti duy nht ( x, y ) D sao cho T ( x, y ) = (u , v) ,
ta k hiu T 1 (u , v) = ( x, y ) .
nh thc Jacobi ca T 1 c xc nh theo cng thc sau:
x
D( x, y ) u
J (u , v) =
=
D(u , v) y
u
u
D (u , v) x
v nh thc Jacobi ca T l: J ( x, y ) =
=
D( x, y ) v
x
x
v
y
v
u
1
y
.
=
v J (u , v)
y
nh l 3.4: Gi s X , Y l hai bin ngu nhin lin tc vi mt ng thi

f X ,Y ( x, y ) . K hiu:
D = ( x, y ) 2 f X ,Y ( x, y ) > 0
Gi s T ( x, y ) = (u ( x, y ), v( x, y ) ) l nh x 1 - 1 kh vi lin tc t min D 2 ln min
2 . Khi U = u ( X , Y ), V = v( X , Y ) l hai bin ngu nhin c mt ng thi
D ( x, y )
f X ,Y ( x(u , v), y (u , v) )
fU ,V (u , v) =
D(u , v)
nu (u , v )
nu ngc li
nh l 3.5: Gi s V = X + Y l tng ca hai bin ngu nhin X , Y .

(i) Nu X , Y ri rc th phn b xc sut ca V :
P{V = v} = P{X = x; Y = v x} = P{Y = y; X = v y} .

x
(3.21)
(ii) Nu X , Y lin tc c hm mt ng thi f X ,Y ( x, y ) th hm mt ca V :
f V (v ) =
f X ,Y ( x, v x)dx .
(3.22)
H qu: Gi s V = X + Y l tng ca hai bin ngu nhin c lp X , Y .

(i) Nu X , Y ri rc th phn b xc sut ca V :
P{V = v} = P{X = x}P{Y = v x} = P{Y = y}P{X = v y} .

x
(3.23)
(ii) Nu X , Y lin tc c hm mt ng thi f X ( x) f Y ( y ) th hm mt ca V :

65
f V (v ) =
f X ( x) fY (v x)dx =
f X * f Y (v ) .
(3.24)
3.6. CC THAM S C TRNG CA BIN NGU NHIN

3.6.1. K vng v phng sai ca cc bin ngu nhin thnh phn
T bng phn b xc sut thnh phn (3.6)-(3.8) v hm mt thnh phn ta c cng thc
tnh k vng v phng sai ca bin ngu nhin thnh phn X , Y ca vc t ngu nhin ( X , Y ) :
a. Trng hp X , Y ri rc
n
n m
EX = xi p ( xi ) = xi p ( xi , y j )
i =1
(3.25)
i =1 j =1
m n
EY = y j p ( y j ) = y j p( xi , y j )
j =1
(3.26)
j =1 i =1
n m
DX = EX 2 (EX )2 = xi2 p ( xi , y j ) (EX )2
(3.27)
i =1 j =1
m n
DY = EY 2 (EY )2 = y 2j p ( xi , y j ) (EY )2
(3.28)
j =1 i =1
b. Trng hp X , Y lin tc c hm mt ng thi f X ,Y ( x, y )
EX =
EY =
xf X ( x)dx = xf X ,Y ( x, y)dxdy
yfY ( y)dy = yf X ,Y ( x, y)dxdy
(3.30)
DX = EX (EX ) =
2
(3.29)
f X ,Y ( x, y )dxdy (EX )2
(3.31)
DY = EY (EY ) =
2
f X ,Y ( x, y )dxdy (EY )2
(3.32)
3.6.2. Hip phng sai

nh ngha 3.5: Hip phng sai (hay cn gi l Covariance) ca hai bin ngu
nhin X , Y , k hiu cov( X , Y ) , l k vng ton ca tch cc sai lch ca cc bin ngu nhin
vi k vng ton ca chng:
cov( X , Y ) = E ( X EX )(Y EY ) = E XY EX EY
66
(3.33)

Nu X , Y ri rc c bng phn b ng thi (3.6) th
m n
cov( X , Y ) = xi y j p ( xi , y j ) E X E Y
(3.34)
j =1 i =1
Nu X , Y lin tc c hm mt ng thi f X ,Y ( x, y ) th

cov( X , Y ) =
xyf X ,Y ( x, y)dxdy E X E Y
(3.35)
Tnh cht
1) cov( X , Y ) = cov(Y , X ) .
(3.36)
2) cov( X , X ) = DX .
(3.37)
3) cov(aX + c, bY + d ) = ab cov(Y , X ) vi mi hng s a, b, c, d .
(3.38)
4) Nu X , Y c lp th cov( X , Y ) = 0 nhng ngc li cha chc ng.

3.6.3. Ma trn hip phng sai
nh ngha 3.6: Cho vc t ngu nhin X = ( X 1 , X 2 , ... , X n ) .
[ ]nn vi aij = cov( X i , X j )
Ma trn M = aij
(3.39)
c gi l ma trn hip phng sai (ma trn covariance, ma trn moment) ca vc t ngu
nhin X .
Tnh cht
1) Ma trn hip phng sai l ma trn i xng.
2) Vi mi t1 , t 2 , ... , t n n lun c
aij ti t j 0 .
j
3) Cc nh thc con chnh ca M khng m.

Ni cch khc ma trn hip phng sai M l ma trn ca dng ton phng khng m.
3.6.4. H s tng quan
nh ngha 3.7: H s tng quan ca hai bin ngu nhin X , Y k hiu v nh ngha bi
cng thc:
X ,Y =
cov( X , Y )
X Y
(3.40)
Tnh cht
1) 1 X ,Y 1 vi mi X , Y .
(3.41)
2) Nu X , Y c lp th X ,Y = 0 , nhng iu ngc li cha chc ng.

67

3) Vi mi hng s a, b, c, d
X ,Y
aX +c,bY + d =
X ,Y
nu ab > 0
(3.42)
nu ab < 0
4) Y = aX + b , a 0 khi v ch khi
1 nu a > 0
X ,Y =
1 nu a < 0
(3.43)
ngha ca h s tng quan

H s tng quan o mc ph thuc tuyn tnh gia X v Y . Khi X ,Y cng gn 1 th
tnh cht quan h tuyn tnh cng cht, khi X ,Y cng gn 0 th s ph thuc tuyn tnh cng t,
cng lng lo.
Khi X ,Y = 0 ta ni X v Y khng tng quan.
3.7. PHN B C IU KIN V K VNG C IU KIN
3.7.1. Phn b c iu kin v k vng c iu kin ca bin ngu nhin X ri rc vi iu
kin B
nh ngha 3.8: Cho bin ngu nhin X ri rc nhn cc gi tr {x1 , x 2 , ... , x n } v bin c
B c xc sut P ( B) > 0 . Khi ta c bng phn b xc sut c iu kin ca X vi iu kin

B.
XB
x1
x2
xi
xn
p( x1 B)
p( x2 B)
p ( xi B )
p( xn B)
trong :
p ( xi B ) =
P ({X = xi }B )
; i = 1, n .
P( B)
(3.44)
v k vng ca X vi iu kin B :
n
E [X B ] = x i p ( x i B )
(3.45)
i =1
3.7.2. Phn b c iu kin v k vng c iu kin ca hai bin ngu nhin X , Y ri rc

Nu X , Y c tp cc gi tr {x1 , x 2 , ... , x n } v {y1 , y 2 , ... , y m } . Vi mi y j , ta c bng
phn b xc sut iu kin ca X vi iu kin bin c Y = y j :
68
X Y = yj
x1
x2
xi
xn
p ( x1 y j )
p( x2 y j )
p ( xi y j )
p( xn y j )
trong
p ( xi y j ) =
p ( xi , y j )
p( y j )
; i = 1, n , j = 1, m .
(3.46)
Tng t ta cng c bng phn b xc sut c iu kin ca Y vi iu kin {X = xi }
Y X = xi
y1
y2
yj
ym
p ( y1 xi )
p ( y 2 xi )
p ( y j xi )
p ( y m xi )
trong
p ( y j xi ) =
p ( xi , y j )
p ( xi )
; i = 1, n , j = 1, m .
(3.47)
K vng c iu kin ca X vi iu kin Y = y j v k vng c iu kin ca Y vi iu

kin X = xi tng ng:
i =1
j =1
E X Y = y j = xi p( xi Y = y j ) ; E[Y X = xi ] = y j p ( y j X = xi ) .
E[Y X = x ] l mt hm ca x , c gi l hm hi qui ca Y i vi X .
E[X Y = y ] l mt hm ca y , c gi l hm hi qui ca X i vi Y .
V d 3.9: Gieo lin tip mt ng tin. Gi s xc sut xut hin mt nga l p . Gi X l
bin ngu nhin ch ln gieo u tin xut hin mt nga. Gi B l bin c: "Trong n ln gieo
u tin c duy nht mt ln xut hin mt nga".
a) Tm phn b ca X .
b) Tm phn b ca X vi iu kin B .
Gii:
a) Ta c bng phn b xc sut ca X vi q = 1 p :
qp
q k 1 p
b) Phn b ca X vi iu kin B : Khi P( B) > 0 th P ({X = k } B ) =

69
P({X = k }B )
P(B)

R rng khi k > n th bin c {X = k } ko theo bin c trong n php th u tin ng
tin khng xut hin mt nga. Do P ({X = k }B ) = 0 .
Khi k n , p dng cng thc Bernoulli ta c: P ( B) = C n1 pq n1 = npq n1 .

Mt khc P ({X = k }B ) = P{ch xut hin mt nga ln gieo th k } = pq n1
Vy
1
nu k n
P ({X = k } B ) = n
0 nu k > n
V d 3.10: Thng k dn c ca mt thnh ph n tui trng thnh v thu nhp hng
thng X v la tui Y thu c kt qu trong bng sau.
Tm thu nhp trung bnh theo la tui.
30
45
70
0,01
0,02
0,05
0,03
0,06
0,10
0,18
0,21
0,15
0,07
0,08
0,04
trong X = 1, 2, 3, 4 tng ng ch thu nhp triu ng /thng.
Y = 30, 45, 70 ch tui ca ngi dn trong khong: 25-35, 35-55, 55-85.

Gii: Thu nhp trung bnh theo la tui l k vng c iu kin ca X theo Y .
Vi Y = 30 bng phn b xc sut iu kin tng ng:
X Y = 30
0,01
0,29
0,03
0,29
0,18
0,29
0,07
0,29
E( X Y = 30) = 0
7
18
3
1
+ 1
+ 2
+ 3
= 2,069 .
29
29
29
29
Tng t E ( X Y = 45) = 1,946 . E ( X Y = 70 ) = 1,529 .

Vy thu nhp trung bnh tui 30 l 2.069.000/thng, tui 45 l 1.946.000/thng
v tui 70 l 1.529.000 /thng.
70

3.7.3. Phn b c iu kin v k vng c iu kin ca hai bin ngu nhin X , Y lin tc
nh ngha 3.9: Cho hai bin ngu nhin X , Y . Xc sut ca bin c {Y < y} vi iu
kin {X = x} xc nh mt hm s ca y ph thuc tham s x c nh ngha l hm phn b
ca Y vi iu kin {X = x}.
FY | X ( y | x) = P{Y < y X = x}.
(3.49)
nh l 3.6: Nu X , Y lin tc c hm mt ng thi l f ( x, y ) v X c mt
f X (x) th
y
FY | X ( y | x) =
f ( x, v )
dv , nu f X ( x) > 0 .
f X ( x)
o hm ca hm phn b c iu kin
(3.50)
d
FY | X ( y | x) c gi l hm mt c iu
dy
kin ca Y vi iu kin X = x v k hiu l f Y | X ( y | x) . (y l hm ca bin y cn x ng

vai tr l tham s). T nh l trn ta c
f Y | X ( y | x) =
f ( x, y )
vi mi y v x tho mn f X ( x) > 0 .
f X ( x)
(3.51)
Tng t ta c hm phn b v hm mt c iu kin ca X vi Y = y

x
f (u, y )
du , nu f Y ( y ) > 0 .
fY ( y)
(3.52)
f ( x, y )
vi mi x v y tho mn f Y ( y ) > 0 .
fY ( y)
(3.53)
FX |Y ( x | y ) =
f X |Y ( x | y ) =
V d 3.11: Nu X , Y l hai bin ngu nhin lin tc c mt ng thi cho trong v

d 5.4 th
f X Y ( x y ) = 2(1 y )
0
nu y 1 v x + y 1
nu ngc li
nh ngha 3.10: Gi s hai bin ngu nhin X , Y c f Y | X ( y | x) l hm mt c iu

kin ca Y vi iu kin X = x . Khi k vng ca Y vi iu kin X = x c k hiu v
nh ngha theo cng thc sau
E[Y X = x ] =
yfY X ( y x)dy
(3.54)
nh l sau y cho cng thc lin h gia k vng v k vng c iu kin tng t cng
thc (2.48) v cng thc xc sut y (1.16).
71
[[
]]
nh l 3.7: E[Y ] = E E Y X = x , ngha l
E[Y ] = E[Y X = x ] f X ( x)dx ,
(3.55)
trong D = {x f X ( x) > 0} .
3.8. PHN B CHUN NHIU CHIU

3.8.1. Khi nim phn b chun n chiu
nh ngha 3.11: Vc t ngu nhin ( X 1 , X 2 , ... , X n ) c gi l c phn b chun n
chiu nu c mt ng thi
f ( x) =
1
exp ( x a) M 1 ( x a) t
2
(2) n det M
1
(3.56)
[ ]nn l ma trn i xng
trong x = ( x1 , x 2 , ... , x n ) n ; a = (1 , 2 , ... , n ) n ; M = Cij
xc nh dng; ma trn ct ( x a ) t l chuyn v ca ma trn hng ( x a) .

nh l 3.8: Nu vc t ngu nhin X = ( X 1 , X 2 , ... , X n ) c phn b chun n chiu vi
mt ng thi xc nh nh trong nh ngha trn th
i. Hm c trng:
X (t ) = exp i t , a t , M 1t t ; t = (t1 , t 2 , ... , t n ) .

2
(3.57)
ii. Vi mi i = 1, ... , n : i = EX i .
iii. M l ma trn hip phng sai ca vc t ngu nhin X = ( X 1 , X 2 , ... , X n ) :
Cij = cov( X i , X j ) .
(3.58)
iv. Cc bin ngu nhin X 1 , X 2 , ... , X n c lp khi v ch khi chng khng tng quan,
ngha l M l ma trn cho.
v. Bin ngu nhin thnh phn X i c phn b chun N ( i ; Cii ) .
(Y1 , Y2 , ... , Yn ) = H ( X 1 , X 2 , ... , X n )t cng c phn b chun, trong
H l ma trn vung
cp n bt k c det H 0 .
3.8.2. Phn b chun hai chiu
nh ngha 3.12: Vc t ngu nhin ( X , Y ) c gi l c phn b chun hai chiu nu c
mt ng thi:
f ( x, y ) =
1
21 2
exp Q( x, y ) ,
2
1 2
72
(3.59)

2
x 2
x 1 y 2 y 2
1
2
+
.
Q ( x, y ) =
(1 2 ) 1
1 2 2
nh l 3.9: Gi s vc t ngu nhin ( X , Y ) c phn b chun hai chiu vi mt ng

thi xc nh nh trong nh ngha 9.3. Khi
i. X c phn b chun N (1 ; 12 ) , Y c phn b chun N ( 2 ; 22 ) .
ii. H s tng quan ( X , Y ) = .
iii. X , Y khng tng quan khi v ch khi X , Y c lp.
iv. Hm mt ca X vi iu kin Y = y :
f ( x, y )
1
=
f ( x y) =
fY ( y) 1 2
1
trong ( x) =
1
2
x2
e 2
x ( / )( y )
1
1
2
2
1 1 2
(3.60)
l mt ca bin ngu nhin chun tc N (0;1) .
Nhn xt:
1. Ma trn tng quan ca ( X , Y ) l
12
M =

1 2
1 2

2
2
1 / 12
/(1 2 )
.
=
2
1 2 /(1 2 )
1 / 2
1
(3.61)
2. T nh l 3.9 suy ra rng phn b ca X vi iu kin Y = y c phn b chun vi k
vng 1 + 1 ( y 2 ) v phng sai 12 (1 2 ) , do k vng c iu kin:

2
E[X Y = y ] = 1 +
1
( y 2 ) .
2
(3.62)
l mt hm tuyn tnh theo y . y l mt tnh cht rt quan trng ca phn b chun 2 chiu.
nh l 3.10: Nu ( X , Y ) c phn b chun hai chiu th vi mi hng s a, b bin
ngu nhin Z = aX + bY cng c phn b chun.
TM TT
Bin ngu nhin nhiu chiu
Mt bin ngu nhin n chiu hay vc t ngu nhin n chiu l mt b ( X 1 , X 2 , ... , X n )
vi cc thnh phn X 1 , X 2 , ... , X n l cc bin ngu nhin. Bin ngu nhin n chiu l lin tc
hay ri rc nu tt c cc bin ngu nhin thnh phn X 1 , X 2 , ... , X n l lin tc hay ri rc.
73

Ta k hiu bin ngu nhin hai chiu l ( X , Y ) , trong X l bin ngu nhin thnh phn
th nht v Y l bin ngu nhin thnh phn th hai.
Bng phn b xc sut ng thi ca bin ngu nhin ri rc hai chiu
Bng phn b xc sut ng thi ca bin ngu nhin ri rc hai chiu ( X , Y ) l bng lit
k tt c cc gi tr ca X theo hng, gi tr ca Y theo ct v cc xc sut tng ng.
Bng phn b xc sut bin
Gi s bin ngu nhin thnh phn X nhn cc gi tr xi ( i = 1, n ). Y nhn cc gi tr
y j ( j = 1, m ) vi xc sut tng ng p ( xi , y j ) = P X = xi , Y = y j th phn b ca hai bin

ngu nhin thnh phn
p ( y j ) = P Y = y j = P X = xi , Y = y j = p ( xi , y j ) ;
i =1
j = 1, m
i =1
p ( xi ) = P{ X = xi } = P X = xi , Y = y j = p( xi , y j ) ; i = 1, n
j =1
j =1
Quy lut phn b xc sut c iu kin ca cc thnh phn
X Y = yj
x1
x2
xi
xn
p ( x1 y j )
p( x2 y j )
p ( xi y j )
p( xn y j )
p ( xi y j ) =
p ( xi , y j )
p( y j )
; i = 1, n , j = 1, m .
Y X = xi
y1
y2
yj
ym
p ( y1 xi )
p ( y 2 xi )
p ( y j xi )
p ( y m xi )
p ( y j xi ) =
p ( xi , y j )
p ( xi )
; i = 1, n , j = 1, m .
Hm mt c iu kin ca cc bin ngu nhin lin tc:
f Y | X ( y | x) =
f ( x, y )
vi mi y v x tho mn f X ( x) > 0 .
f X ( x)
Tnh c lp ca cc bin ngu nhin

Hai bin ngu nhin X v Y gi l c lp nu mi bin ngu nhin nhn gi tr ny hay
gi tr khc khng nh hng g n phn b xc sut ca bin ngu nhin kia. Ngha l:
p( xi , y j ) = p ( xi ) p( y j ) i = 1, n , j = 1, m .
K vng v phng sai ca cc bin ngu nhin thnh phn
74
n m
i =1
i =1 j =1
EX = xi p( xi ) = xi p( xi , y j ) hoc EX =
xf X ( x)dx = xf X ,Y ( x, y)dxdy
m n
j =1
j =1 i =1
EY = y j p( y j ) = y j p( xi , y j ) hoc EY =
yfY ( y)dy = yf X ,Y ( x, y)dxdy
n m
DX = EX 2 (EX )2 = xi2 p( xi , y j ) (EX )2

i =1 j =1
hoc DX = EX (EX ) =
2
f X ,Y ( x, y )dxdy (EX )2
Hip phng sai

m n
cov( X , Y ) = E ( X EX )(Y EY ) = xi y j p( xi , y j ) E X E Y .
j =1 i =1
H s tng quan
H s tng quan ca hai bin ngu nhin X , Y k hiu v nh ngha bi cng thc:
X ,Y =
cov( X , Y )
X Y
K vng c iu kin
m
K vng c iu kin ca Y vi iu kin {X = xi } : E(Y X = xi ) = y j p y j xi .

j =1
] yfY X ( y x)dy .
Hoc E Y X = x =
Phn b chun n chiu

Vc t ngu nhin ( X 1 , X 2 , ... , X n ) c gi l c phn b chun n chiu nu c mt
ng thi f ( x) =
1
exp ( x a) M 1 ( x a) t .
2
(2) n det M
1
Phn b chun hai chiu

Vc t ngu nhin ( X , Y ) c gi l c phn b chun hai chiu nu c mt ng thi:
f ( x, y ) =
1
21 2
exp Q( x, y ) ,
2
1 2
75

2
x 2
x 1 y 2 y 2
1
2
+
.
Q ( x, y ) =
(1 2 ) 1
1 2 2
CU HI N TP V BI TP
3.1 Bng phn b xc sut ca X v Y cho php xc nh phn b xc sut ng thi ca
( X ,Y ) .
ng
Sai
3.2 Bng phn b xc sut ng thi ca ( X , Y ) xc nh phn b xc sut ca hai bin ngu
nhin thnh phn X v Y .
ng
Sai
3.3 Nu hai bin ngu nhin X , Y c lp th bng phn b xc sut ca X v Y cho php xc
nh phn b xc sut ng thi ca ( X , Y ) .
ng
Sai
3.4 Hai bin ngu nhin c lp c hip phng sai bng 0.

ng
Sai
3.5 Hai bin ngu nhin c hip phng sai bng 0 th c lp.
ng
Sai
3.6 Hip phng sai lun nhn gi tr dng.

ng
Sai
3.7 Nu Y = aX + b , a 0 th h s tng quan X ,Y lun lun bng 1.

ng
Sai
3.8 Nu {x1 , x 2 , ... , x n } l tp gi tr ca X th { f ( x1 ), f ( x 2 ), ... , f ( x n )} l tp gi tr ca hm

hi quy f ( x) = E (Y X = x ) ca Y i vi X .
ng
Sai
3.9 Nu hai bin ngu nhin X , Y c lp th hm hi quy f ( x) = E (Y X = x ) ca Y i vi
X v hm hi quy g ( y ) = E ( X Y = y ) ca X i vi Y l hai hm hng.
ng
Sai
3.10 Nu hip phng sai ca hai bin ngu nhin bng 0 th hai k vng ca chng bng nhau
( cov( X , Y ) = 0 th EX = EY ).
ng
Sai
3.11 Hm mt ng thi ca vc t ngu nhin lin tc ( X , Y ) bng tch ca hai hm mt

thnh phn X v Y .
76

ng
Sai
3.12 Gi s ( X , Y ) l vc t ngu nhin phn b chun, khi X , Y c lp khi v ch khi X ,
Y khng tng quan.

ng
Sai
3.13 Cho X , Y l hai bin ngu nhin c phn b xc sut ng thi nh sau
y1
y2
y3
x1
0,18
0,22
0,16
x2
0,08
0,16
0,20
Tm phn b xc sut ca hai bin ngu nhin thnh phn X , Y .

1/6
1/4
1/6
1/8
1/6
1/8
Hy xc nh EX , EY , cov( X , Y ) = 0 v X ,Y .
4/15
1/15
4/15
1/15
2/15
1/15
2/15
Hy xc nh EX , EY , cov( X , Y ) = 0 v X ,Y . X , Y c c lp khng?
0,12
0,15
0,03
0,28
0,35
0,07
77

a) Chng minh rng X , Y c c lp.
b) Tm quy lut phn b ca bin ngu nhin Z = XY .
c) Tnh cc k vng EX , EY , EZ .
3.17 Cho X , Y l hai bin ngu nhin c lp c phn b xc sut nh sau:
0,4
0,3
0,2
0,1
0,1
0,3
0,4
0,15
0,05
Tm phn b xc sut ng thi ca X , Y . Tnh xc sut P{X > Y } .

0,15
0,20
0,10
0,35
0,05
0,15
Hai bin ngu nhin X , Y c c lp khng. Tnh xc sut P{X = 1Y = 2} .

3.19 Gieo ng thi mt con xc xc v mt ng tin. Gi X l bin ngu nhin ch s chm
ca con xc xc v Y l bin ngu nhin ch mt sp (1) hay mt nga (0) ca ng tin. Lp
bng phn b xc sut ng thi ca X v Y .
3.20 Cho bng phn b xc sut ng thi ca X , Y
26
30
41
50
23
0,05
0,08
0,12
0,04
27
0,09
0,30
0,11
0,21
Tm bng phn b xc sut iu kin ca Y khi X = 26 v ca X khi Y = 27 .

3.21 Cho bng phn b xc sut ng thi ca X , Y
0,15
0,06
0,25
0,04
0,30
0,10
0,03
0,07
a) Tm k vng c iu kin ca Y khi X = 1 .

b) Tm cc k vng EX , EY v phng sai DX , DY .
78

3.22 Cho X , Y l hai bin ngu nhin c phn b xc sut ng thi
a) Tm . Tnh EX , EY .
b) Tnh cov( X , Y ), ( X , Y ) .
c)
X v Y c c lp khng.
3.23 Cho vc t ngu nhin ( X , Y ) c hm mt xc nh nh sau:
Cx nu 0 < y < x < 1

f ( x, y ) =
.
nu ngc li
0
a) Tm C.
b) Tm cc hm mt ca X v ca Y .
c) X v Y c c lp khng?
3.24 Hm phn b ca vc t ngu nhin ( X , Y ) c dng
1 e x e y + e x y
F ( x, y ) =
0
nu ngc li
nu x > 0, y > 0
Tm hm mt ng thi f ( x, y ) v hm mt c iu kin f ( x y ) .
f ( x, y ) =
C
(1 + x 2 )(1 + y 2 )
a) Tm C.
b) Tm hm phn b ng thi mt ca X , Y .
c) X v Y c c lp khng?
d) Tnh xc sut vc t ngu nhin ( X , Y ) nhn gi tr nm trong hnh ch nht vi
cc nh l A(1,1); B( 3 ,1); C (1,0) v D( 3 ,0) .
79
f ( x, y ) = 2 x 2 y
0
nu x 1 v
1
y x,
x
nu ngcli
a) Tm hm mt ca X v ca Y ,
b) Tm hm mt c iu kin f ( x y ) v f ( y x) .
3.27 Cho X v Y l hai bin ngu nhin c phn b chun ng thi vi
EX = 35, EY = 20, DX = 36, DY = 16 v X ,Y = 0,8 .

Tm k vng v phng sai ca 2 X 3Y .
80
Chng 4: Lut s ln v nh l gii hn
CHNG IV: LUT S LN V NH L GII HN
GII THIU
L thuyt xc sut nghin cu kh nng xut hin ca cc bin c ngu nhin. Khi tung mt
ng xu ta s khng bit mt sp hay mt nga xut hin nhng nu tung nhiu ln th ta thy
rng s ln mt sp v mt nga xut hin l xp x gn bng nhau. Nh vy khi thc hin nhiu
ln php th ngu nhin ta s tm c quy lut xut hin ca bin c ngu nhin, y l ni dung
ca lut s ln. Lut s ln cng l c s nh ngha xc sut ca bin c thng qua tn sut
xut hin ca bin c .
Lut s ln nghin cu s hi t theo xc sut ca dy cc bin ngu nhin.
Lut s ln u tin ca James Bernoulli c cng b nm 1713. V sau, kt qu ny c
Poisson, Trbsp, Mckp, Liapunp m rng.
Trong chng ny ta xt hai nh l v lut s ln. nh l Trbsp l dng tng qut ca
lut s ln cn nh l Bernoulli l trng hp n gin nht p dng cho dy cc bin ngu nhin
c lp c phn b khng mt A( p) cng thc (2.9).
chng minh nh l Trbsp ta s dng bt ng thc Trbsp.
nh l gii hn trung tm kho st s hi t theo phn b xc sut ca dy cc bin ngu
nhin. nh l gii hn trung tm p dng cho dy cc bin ngu nhin c lp X1, X 2 ,... c cng
phn b khng mt A( p) ta c nh l Moivre Laplace.
p dng nh l Moivre Laplace ta c cng thc tnh gn ng phn b nh thc.
Lut s ln v nh l gii hn trung tm l c s l thuyt gii quyt cc bi ton c
lng v kim nh gi thit thng k.
NI DUNG
4.1. CC DNG HI T CA DY CC BIN NGU NHIN
4.1.1. Hi t theo xc sut
nh ngha 5.1: Dy cc bin ngu nhin X1, X 2 ,... gi l hi t theo xc sut v bin
P
ngu nhin X , k hiu X n X , nu:

n
> 0
lim P { X n X > } = 0 .
(4.1)
Nh vy dy cc bin ngu nhin X1, X 2 ,... hi t theo xc sut v bin ngu nhin X th
vi n ln, thc t ta c th coi rng, X n khng khc my so vi X .
81

4.1.2. Hi t theo phn b
nh ngha 4.2: Dy cc bin ngu nhin X1, X 2 ,... gi l hi t theo phn b v bin
ngu nhin X nu dy cc hm phn b FX n ( x) hi t v hm phn b FX (x) , ngha l vi

n =1
mi x :
lim P{X n < x} = P{X < x} .
(4.2)
Trng hp dy cc bin ngu nhin ri rc {X n }

n =1 v bin ngu nhin ri rc X c
C = {c1 , c2 , ...} th dy {X n }n=1

v ch khi vi mi c k C :
cng tp gi tr
hi t theo phn b v bin ngu nhin X khi
lim P{X n = c k } = P{X = c k }.
(4.3)
4.2. LUT S LN
4.2.1. Bt ng thc trbsp
nh l 4.1: Cho Y l bin ngu nhin khng m c k vng hu hn. Khi vi mi
a > 0 ta c:
EY
.
a
P{Y > a}
(4.4)
Chng minh:
a) Trng hp Y ri rc c tp gi tr V = {y1 , y 2 , ...} .
t V1 = {yi V , yi a} ; V2 = {y i V , yi > a}. Khi
EY =
yi P{Y = yi } = yi P{Y = yi } + yi P{Y = yi }
yiV
yiV1
yi P{Y = yi } a P{Y = yi } = aP{Y > a}.
yiV2
Suy ra
yiV2
P{Y > a}
yiV2
EY
.
a
b) Gi s Y lin tc c hm mt f ( x) . Ta c
EY =
Suy ra
xf ( x)dx = xf ( x)dx +
P{Y > a}
xf ( x)dx
xf ( x)dx a
f ( x)dx = aP{Y > a} .
EY
.
a
nh l 4.2: Nu X l bin ngu nhin c k vng v phng sai hu hn th vi mi

> 0 ta c:
82
P{ X EX > }
DX
2
(4.5)
cng vy,
P{ X EX } 1
DX
2
(4.6)
Chng minh: p dng cng thc (4.4) cho bin ngu nhin Y = ( X EX )2 v a = 2 ta
c:
P{ X EX > } = P Y > 2
EY
E( X EX )2
DX
2
Bt ng thc (4.5)-(4.6) c gi l bt ng thc Trbsp.

Bt ng thc Trbsp c nhiu ng dng. Trc ht n cho php ta nh gi cn trn
hoc cn di xc sut bin ngu nhin X nhn gi tr sai lch so vi k vng E X khng qu
. Bt ng thc Trbsp c ngha to ln v mt l thuyt, n c s dng chng minh

cc nh l ca lut s ln.
V d 4.1: Mt ca hng mun c lng nhanh chng sai s ca s vi bn ra trong mt
thng ca mnh. S vi ca mi khch hng c lm trn bi s nguyn gn nht (v d trong s
ghi 195,6 m th lm trn l 196m ). K hiu X i l sai s gia s mt vi thc bn v s mt vi
lm trn ca khch hng th i.
Gii: Cc sai s X1, X 2 ,..., X n l cc bin ngu nhin c lp c phn b u trn on
1
[ 0,5;0,5] . Khi EX i = 0, DX i = . Sai s tng cng trong c thng l S = X1 + + X n
12
(trong n l s khch hng mua hng trong thng). Ta c:
n
i =1
i =1
ES = EX i = 0, DS = DX i =
n
.
12
Theo bt ng thc Trbsp, xc sut sai s vt qu mt s c nh gi bi:
P{ S > }
DS
n
12 2
Gi s c n = 104 khch hng trong thng. xc sut P { S > } b hn 0,01 ta phi c
n
12 2
0, 01 hay
n
= 288, 67 .
12 0, 01
Vy ta c th kt lun: Vi xc sut 0,99 sai s gia s vi thc bn vi s vi tnh trn

khng vt qu 289 m, nu s khch hng l 1 vn.
83

4.2.2. Lut s ln Trbsp
nh l 4.3: Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp, c cc k vng hu hn
v phng sai u b chn trn bi hng s C ( DX i C ; i = 1, 2,... ). Khi
X + + X n EX1 + + EX n
> = 0
lim P 1
n
n
n
Chng minh: Xt bin ngu nhin Sn =
X1 +
n
+ EX n
EX1 +
bin ngu nhin X1, X 2 ,... ta suy ra ES n =
+ Xn
(4.7)
. T gi thit c lp ca dy cc
; DSn =
DX1 +
n2
+ DX n
C
.
n
p dng bt ng thc Trbsp (4.5) cho bin ngu nhin S n ta c:
X + + X n EX1 + + EX n
C
P 1
> 2 0 .
n
n
n
n
H qu 1: Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp c cng c k vng v
phng sai u b chn trn bi hng s C ( DX i C ; i = 1, 2,... ). Khi
X1 +
+ Xn
n
P
n
(4.8)
H qu 2: Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp c cng phn b, c k

vng v phng sai 2 . Khi
X1 +
+ Xn
n
P
n
(4.9)
nh l Trbsp chng t rng trung bnh s hc ca cc bin ngu nhin c lp hi t

theo xc sut v trung bnh s hc ca k vng tng ng ca n. Ni cch khc n chng t s
n nh ca trung bnh s hc ca mt s ln cc bin ngu nhin xung quanh trung bnh s hc
ca cc k vng ca cc bin ngu nhin y. Nh vy mc d tng bin ngu nhin c lp c th
nhn gi tr khc nhiu so vi k vng ca chng, song trung bnh s hc ca mt s ln ca mt
s ln cc bin ngu nhin li nhn gi tr gn bng trung bnh s hc ca chng vi xc sut rt
ln. iu cho php d on gi tr trung bnh s hc ca cc bin ngu nhin. Chng hn, gieo
mt con xc xc cn i. Gi s X l s nt xut hin mt trn con xc xc. Ta c EX = 3,5 .
Mt nh thng k gieo mt con xc xc cn i 1 triu ln (nh s tr gip ca my vi tnh) v
ghi li s nt xut hin mt trn con xc xc. S trung bnh ca 1 triu ln gieo c tm thy l
x1 +
+ x106
106
3,500867 3,5 .
nh l Trbsp c ng dng rng ri trong nhiu lnh vc, chng hn n chnh l c s

cho phng php o lng trong vt l. xc nh gi tr ca mt i lng vt l no ngi
ta thng tin hnh o n ln c lp v ly trung bnh s hc ca cc kt qu o lm gi tr thc
ca i lng cn o. Tht vy, gi s xem kt qu ca n ln o l cc bin ngu nhin
84
X1, X 2 ,..., X n . Ta thy rng cc bin ngu nhin ny c lp, c cng k vng bng chnh gi tr
thc ca i lng vt l (gi s khng c sai s h thng), cc phng sai ca chng u b chn
trn bi bnh phng ca chnh xc ca thit b o. Do theo nh l Trbsp ta c th cho
rng trung bnh s hc ca cc kt qu o s sai lch rt t so vi gi tr thc ca i lng vt l
vi xc sut gn nh bng mt.
nh l Trbsp cn l c s cho phng php mu ng dng trong thng k.
4.2.3. Lut s ln Bernoulli
Xt php th ngu nhin C v A l mt bin c lin quan n php th
th
C. Tin hnh php
C n ln c lp v gi kn l tn s xut hin bin c A trong n php th . f n =
kn
c
n
gi l tn sut xut hin ca A trong n php th.

nh l 4.4: Tn sut f n hi t theo xc sut v xc sut p ca bin c A , ngha l vi
mi > 0
lim P { f n p < } = 1
(4.10)
Chng minh: Xt dy cc bin ngu nhin X1, X 2 ,..., X n xc nh nh sau:
1 nu A xy ra php th th k
Xk =
0 nu A khng xy ra php th th k
ta gi dy cc bin ngu nhin X1, X 2 ,..., X n c lp c cng phn b khng mt A( p) (cng
thc (2.9)). EX k = p, DX k = p (1 p ) .
Ta c
X1 +
+ Xn
n
kn
= fn .
n
Vy theo h qu 2 ca nh l 4.2 suy ra f n hi t theo xc sut v p .

nh l Bernoulli ch ra rng tn sut xut hin ca bin c trong n php th c lp s hi
t theo xc sut v xc sut ca bin c khi s ln th tng ln v hn. Chnh v vy nh l
Bernoulli l c s l thuyt ca nh ngha thng k v xc sut.
th k 18, nh ton hc Php Buffon gieo mt ng tin 4040 ln v ghi c 2048 ln
xut hin mt nga, tn sut l 0,507. Mt nh thng k ngi Anh gieo ng tin 12000 ln v
thu c 6019 ln xut hin mt nga, tn sut tng ng 0,5016. Trong mt th nghim khc,
ng ta gieo 24000 ln v thu c 12012 ln xut hin mt nga, tn sut tng ng l 0,5005.
Nh vy ta thy rng khi s php th tng ln th tn sut tng ng s cng gn 0,5.
4.3. NH L GII HN TRUNG TM
nh l 4.5: Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp c cng phn b, c k
X + + X n n
hi t theo
vng v phng sai 2 . Khi dy bin ngu nhin Sn = 1
n
phn b v phn b chun tc N (0;1) , ngha l:
85

Vi mi x , lim P {S n < x} = ( x)
(4.11)
( x) l hm phn b ca phn b chun tc N (0;1) .

p dng nh l gii hn trung tm cho dy cc bin ngu nhin c lp X1, X 2 ,... c cng
phn b khng mt A( p ) (cng thc (2.9)) ta c nh l Moivre Laplace:
nh l 4.6 (Moivre Laplace): Dy cc bin ngu nhin X1, X 2 ,... c lp c cng phn
b khng mt A( p) ta c:
X +
Vi mi x , lim P 1
n
+ X n np
npq
< x = ( x) .
(4.12)
4.4. XP X PHN B NH THC

4.4.1. Xp x phn b nh thc bng phn b Poisson
nh l 4.7: Cho X1, X 2 ,... l dy cc bin ngu nhin c cng phn b nh thc, vi
mi n , X n c phn b nh thc B (n, p n ) . Gi s tn ti gii hn lim np n = > 0 . Th X n
n
hi t theo phn b v bin ngu nhin X c phn b Poisson tham s .

Trong thc t khi n > 50 v p < 0,1 ngi ta c th xp x
P (np)
B (n ; p) vi phn b Poisson
tham s = np :
P{X n = k } e
np
(np ) k
.
k!
(4.13)
V d 3.2: Gi s xc sut lm ra mi inh c khng ng quy cch l p = 0,015.

Ngi ta xp inh c vo tng hp, mi hp 100 chic.
a) Tnh t l hp cha ton inh c khng ng quy cch.
b) Cn phi xp t nht bao nhiu inh c trong mi hp t l hp cha 100 inh c tt
ti thiu l 80%.
Gii:
a) Nu gi X l s inh c khng ng quy cch trong hp cha 100 inh c th
X ~ B (n ; p) vi n = 100, p = 0, 015 .
Tnh gn ng: P { X = 0} e
np
(np )0
= e 1,5 = 0, 2231
0!
Vy c khong 22,3% s hp cha 100 inh c tt.

b) Gi s mi hp cha 100 + k inh c, k l s t nhin. Gi X l s inh c khng ng
quy cch trong mi hp cha 100 + k inh c. X ~ B (n ; p) vi n = 100 + k , p = 0, 015 . Ta phi
xc nh k nh nht
86

k
P { X k} = Cni ( 0, 015 ) ( 0,985 )

i
n i
0,8 .
i =0
Dng cng thc xp x P { X = i} = Cni ( 0, 015 ) ( 0,985 )
n i
i
i!
= np = (100 + k )(0, 015) 1,5 + 0, 015k 1,5 (v k nh).

Vy cn tm k nh nht
1,5 1,52
+
+
e1,5 1 +
2!
1!
1,5k
1,5 1,52
+
+
0,8 1 +
k !
1!
2!
1,5k
0,8 e1,5 = 3,5853
k!
Th vi k = 1, 2,... , ta thy k = 2 bt ng thc trn c tho mn. Nh vy dng xp x

Poisson ta c th kt lun mi hp cn ng 102 chic inh c. Khi xc sut c t nht 100
inh c tt trong hp 102 chic l 0,8022.
4.4.2. Xp x phn b nh thc bn phn b chun
Gi s X 1 , X 2 , ... , X n c lp c cng phn b khng mt A(p). Theo cng thc (2.9)
v (2.10) ta c U n = X 1 + X 2 +
+ Xn ~
B (n, p) . Cng thc (2.8) cho php tnh xc sut
P {U n = k } = Cnk p k q nk . Tuy nhin khi n kh ln ta khng th p dng cng thc ny tnh

m cn n cng thc xp x.
nh l 4.8 (nh l gii hn a phng): Gi s X l bin ngu nhin c phn b nh
k np
thc B (n, p ) . t x k =
, khi
npq
k np 1
(1 + n,k ) .
Pn (k ; p) = P{X = k } =
npq nqp
trong n,k <
C
n
(4.14)
vi C l hng s.
Nh vy khi n ln ta c th xp x :
k np 1
P{X = k }
npq nqp
1
2
( k np ) 2
2 npq
(4.15)
Ngoi ra p dng nh l Moivre-Laplace v cng thc (4.12) ta cng c cng thc xp x

gi tr ca hm phn b nh thc
U np x np
x np
P {U n < x} = P n
<

npq
npq
npq
Ngi ta thy rng xp x l tt khi np v nq ln hn 5 hoc khi npq > 20 .
87
(4.16)

V d 3.3: Gieo 3200 ln mt ng xu cn i v ng cht. Gi X l s ln xut hin mt
sp trong 3200 ln gieo .
a) Tm s ln xut hin mt sp c kh nng nht. Tnh xc sut tng ng.
b) Tnh xc sut P 5 2 + 1600 X 10 2 + 1600 .

Gii:
a) Ta c: n = 3200 , p = 0,5 (n + 1) p = 1600,5 . Vy s ln xut hin mt sp c kh
nng nht l 1600 vi xc sut tng ng
P3200 (1600; 0,5) =

Mt khc nu tnh gn ng ta c: xm =
P3200 (1600; 0,5)
3200!
0,5 3200 .
160011600!
1600 3200 0,5

= 0 . Do
3200 0,5 0,5
1
3200 0,5 0,5
(0) =
1
40
0,014 .
X 1600
e) P 5 2 X 1600 10 2 = P 0, 25
0,5 (0,5) (0, 25)
20 2
Tra bng ta c (0,5) (0,25) = 0,6915 0,5987 = 0,0928 .
TM TT
Hi t theo xc sut
P
n
X n X , nu
> 0
lim P { X n X > } = 0 .
Hi t theo phn b
Nu vi mi x : lim P{X n < x} = P{X < x} .
n
Bt ng thc Trbsp
Cho Y l bin ngu nhin khng m c k vng hu hn. Khi vi mi a > 0 ta
EY
c: P{Y > a}
.
a
Nu X l bin ngu nhin c k vng v phng sai hu hn th vi mi > 0 ta c:
P{ X EX > }
DX
v P{ X EX } 1
DX
2
Lut s ln Trbsp
Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp, c cc k vng hu hn v phng
sai u b chn trn bi hng s C ( DX i C ; i = 1, 2,... ). Khi
88
X + + X n EX1 + + EX n
> = 0.
lim P 1
n
n
n
Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp c cng c k vng v phng sai

u b chn trn bi hng s C ( DX i C ; i = 1, 2,... ) hoc c lp c cng phn b, c k vng
v phng sai 2 . Khi
X1 +
+ Xn
n
P
n
Lut s ln Bernoulli
Tn sut xut hin bin c A trong n php th f n hi t theo xc sut v xc sut p ca
bin c A . Ngha l vi mi > 0 lim P { f n p < } = 1 .
n
nh l gii hn trung tm
Gi s X1, X 2 ,... l dy cc bin ngu nhin c lp c cng phn b, c k vng v
X + + X n n
hi t theo phn b v
phng sai 2 . Khi dy bin ngu nhin S n = 1
n
phn b chun tc N (0;1) , ngha l: Vi mi x , lim P {S n < x} = ( x) .
n
CU HI N TP V BI TP
4.1 Lut s ln kt lun v s hi t theo xc sut ca trung bnh cng cc bin ngu nhin c
lp v trung bnh cng ca k vng ca chng nu cc phng sai ca cc bin ngu nhin
ny b chn.
ng
Sai
4.2 Gi s {X n } l dy cc bin ngu nhin c k vng bng nhau v phng sai dn ti 0, khi
dy s hi t theo xc sut n k vng chung ca dy bin ngu nhin trn.
ng
Sai
4.3 Bt ng thc Trbsp ch ng i vi cc bin ngu nhin ri rc.

ng
Sai
4.4 Bt ng thc Trbsp ch ng i vi cc bin ngu nhin nhn gi tr dng.

ng
Sai
4.5 Lut s ln Bernoulli l mt trng hp c bit ca lut s ln Trbsp khi dy cc bin

ngu nhin c c cng phn b khng mt A( p ) .
ng
Sai
4.6 Lut s ln Bernoulli l c s l thuyt ca nh ngha thng k v xc sut.

ng
Sai
4.7 Tng ca dy cc bin ngu nhin c lp c cng phn b vi k vng v phng sai hu
hn tim cn phn b chun.
89

ng
Sai
4.8 Lut s ln xt s hi t theo xc sut cn nh l gii hn trung tm xt s hi t theo phn

b ca dy cc bin ngu nhin.
ng
Sai
4.9 C 10 my hot ng c lp vi nhau. Xc sut trong ca lm vic mi my b hng l

0,05. Da vo bt ng thc Trbsp hy nh gi xc sut ca s sai lch gia s my hng
v s my hng trung bnh.
a) Nh hn 2.
b) Ln hn 2
4.10 Cho X 1 , X 2 , ... , X 12 l cc bin ngu nhin c lp vi EX i = 16 , DX i = 1 ( i = 1,12 ). S
dng bt ng thc Trbsp tm hai hng s a, b sao cho
12
P a X i b 0,99 .
i =1
4.11 Cho X 1 , X 2 , ... , X 10000 l cc bin ngu nhin c lp c phn b u trong on
10000
1
1 1
.
Chng
minh
rng
P
X
.
500
i
2 2
i =1
300
4.12 Gieo mt con xc xc cn i n ln mt cch c lp. Gi S l s ln xut hin mt lc.
n
n
31
.
Chng minh rng P n < S < + n
6
6
36
4.13 Gi s tin in ca mt gia nh phi tr trong 1 thng l mt bin ngu nhin vi trung
bnh 16USD v lch tiu chun 1USD. S dng bt ng thc Trbsp, hy xc nh s
M nh nht vi xc sut 0,99 s tin in phi tr trong 1 nm (12 thng) khng vt qu
M.
4.14 Cho dy cc bin ngu nhin c lp {X n } xc nh nh sau:
Xn
2n
2n
2 ( 2 n+1)
1 2 2 n
2 ( 2 n+1)
Chng minh rng dy {X n } tha mn lut s ln Trbsp.

Xn
na
1
2n 2
na
n2
2n 2
trong a l mt hng s. Dy {X n } tha mn lut s ln Trbsp khng?
90

Xn
n +1
2n + 1
n
2n + 1
trong a l mt hng s. Dy {X n } tha mn lut s ln Trbsp khng?

4.17 Xc sut chm tu ca mi hnh khch l 0,007. Dng bt ng thc Trbsp hy nh
gi xc sut trong 20.000 hnh khch c t 100 n 180 ngi chm tu.
4.18 Phi kim tra bao nhiu chi tit vi xc sut khng nh hn 0,98 c th hy vng rng sai
lch gia tn sut xut hin chi tit tt v xc sut chi tit l tt bng 0,95 s khng vt
qu 0,01.
4.19 Mt x nghip sn xut my tnh c xc sut lm ra sn phm ph phm l 0,02. Chn ngu
nhin 2500 my tnh kim tra. Tnh xc sut :
a) C ng hai my ph phm;
b) C khng qu hai my ph phm.
4.20 Mt nh ngh c 1000 khch. Nh n phc v ba tra lm hai t lin tip. S ch ngi ca
nh n phi t nht l bao nhiu xc sut ca bin c khng ch cho ngi n n b
hn 1%?
4.21 Mt trng i hc c ch tiu tuyn sinh l 300.
a) Gi s c 325 ngi d thi v xc sut thi ca mi ngi l 90%. Tnh xc sut s
ngi trng tuyn khng vt qu ch tiu.
b) Cn cho php ti a bao nhiu ngi d thi (xc sut ca h vn l 90%) bin c s
ngi trng tuyn khng vt nh hn 0,99.
91
Chng 5: Thng k ton hc
CHNG V: THNG K TON HC
GII THIU
Thng k ton l b mn ton hc nghin cu qui lut ca cc hin tng ngu nhin c
tnh cht s ln trn c s thu thp v x l s liu thng k cc kt qu quan st v nhng hin
tng ngu nhin ny.
Nu ta thu thp c tt c cc s liu lin quan n i tng cn nghin cu th ta c th
bit c i tng ny. Tuy nhin trong thc t iu khng th thc hin c v quy m ca
i tng nghin cu qu ln hoc trong qu trnh nghin cu i tng nghin cu b ph hy.
V vy cn ly mu nghin cu.
Phng php mu l mt trong nhng phng php quan trng ca l thuyt thng k.
Trong chng ny chng ta tm hiu nhng vn c bn ca l thuyt thng k ton hc:
-
C s ca l thuyt mu. Cc phng php chn mu: mu ngu nhin n, mu ngu

nhin h thng, mu chm, mu phn t, mu nhiu cp.
L thuyt c lng.
L thuyt kim nh gi thit thng k.
i vi mu ngu nhin ta xt cc vn :
Cc phng php m t mu: bng phn b tn s v sut thc nghim, bng phn b ghp
lp. Biu tn s hnh gy, a gic tn sut v t chc .
Thng k ca mu ngu nhin.
Cc c trng ca thng k mu ngu nhin.
Quy lut phn b xc sut ca mt s thng k c trng mu.
S dng phng php quy np thng k ta c th c lng cc tham s c trng ca tng

th thng qua thng k ca mu.
c lng im l dng thng k c lng mt tham s no theo cc tiu chun:
Vng, khng chch, hiu qu. C hai phng php c lng im l phng php mment v
phng php hp l cc i.
Khong tin cy l khong m tham s ca du hiu nghin cu ca tng th ri vo khong
ny vi xc sut bng tin cy.
Mt dng khc ca quy np thng k l kim nh gi thit thng k. y l mt phng
php quan trng cho php gii quyt nhiu bi ton trong thc t. Ni dung ca kim nh gi
thit thng k l da vo mu c th v cc quy tc hay th tc quyt nh dn n bc b hay
chp nhn gi thit ca tng th.
92

Trong chng ny ta s xy dng c lng cho k vng, phng sai ca du hiu nghin
cu c phn b chun v c lng cho tn sut ca tng th. Kim nh tham s c trng ca
bin ngu nhin gc trong tng th: k vng, phng sai, tn sut ca tng th.
hc tt chng ny hc vin cn nm vng c s l thuyt xc sut c hc trong
cc chng trc.
NI DUNG
5.1. L THUYT MU
5.1.1. Khi nim l thuyt mu
Nhiu bi ton trong thc t dn n nghin cu mt hay nhiu du hiu nh tnh hoc nh
lng c trng cho cc phn t ca mt tp hp no . Chng hn nu mun iu tra thu nhp
bnh qun ca cc gia nh H Ni th tp hp cn nghin cu l cc h gia nh H Ni, du
hiu nghin cu l thu nhp ca tng mi gia nh. Mt doanh nghip mun nghin cu cc khch
hng ca mnh v du hiu nh tnh c th l mc hi lng ca khch hng i vi sn phm
hoc dch v ca doanh nghip, cn du hiu nh lng l s lng sn phm ca doanh nghip
m khch hng c nhu cu c p ng. Khi kho st mt tn hiu l qu trnh ngu nhin ngi
ta tin hnh ly mu ti nhng thi im no v thu c cc tn hiu mu.
x l du hiu cn nghin cu i khi ngi ta s dung phng php nghin cu ton
b, l iu tra ton b cc phn t ca tp hp theo du hiu cn nghin cu rt ra cc kt
lun cn thit. Tuy nhin trong thc t vic p dng phng php ny gp phi nhng kh khn
sau:
-
Do qui m ca tp hp cn nghin cu qu ln nn vic nghin cu ton b s i hi

nhiu chi ph v vt cht v thi gian, c th khng kim sot c dn n b chng
cho hoc b st.
Trong nhiu trng hp khng th nm c ton b cc phn t ca tp hp cn

nghin cu, do khng th tin hnh ton b c.
C th trong qu trnh iu tra s ph hy i tng nghin cu
V th trong thc t phng php nghin cu ton b thng ch p dng i vi cc tp

hp c qui m nh, cn ch yu ngi ta s dng phng php khng ton b m c bit l
phng php nghin cu chn mu.
5.1.2. Tng th nghin cu
Ton b tp hp cc phn t ng nht theo mt du hiu nghin cu nh tnh hay nh
lng no c gi l tng th, k hiu C.
S lng cc phn t ca tng th c gi l kch thc ca tng th, k hiu N. Thng
th kch thc N ca tng th l hu hn, song nu tng th qu ln hoc khng th nm c
ton b tng th ta c th gi thit rng kch thc ca tng th l v hn.
Mi phn t ca tng th c gi l c th.
93

Cc c th ca tng th c nghin cu thng qua cc du hiu nghin cu. Du hiu
nghin cu ny c th c nh tnh hoc nh lng. Nu du hiu nghin cu c tnh nh
lng, ngha l c th hin bng cch cho tng ng mi c th ca tng th C nhn mt gi tr
thc no th du hiu ny c gi l mt bin lng, k hiu X . Bng cch m hnh ha ta
c th xem bin lng X l mt bin ngu nhin xc nh trn tng th C.
Vic chn ra t tng th mt tp con no gi l php ly mu. Tp hp con ny c gi
l mt mu.
5.1.3. Mu ngu nhin
Ta ni rng mt mu l mu ngu nhin nu trong php ly mu mi c th ca tng th
c chn mt cch c lp v c xc sut c chn nh nhau.
Gi s cc c th ca tng th c nghin cu thng qua du hiu X .
Vi mu ngu nhin kch thc n , gi X i l du hiu X ca phn t th i ca mu
( i = 1, n ). Bng cch ng nht mu ngu nhin vi cc du hiu nghin cu ca mu ta c nh
ngha v mu ngu nhin nh sau:
Mu ngu nhin kch thc n l mt dy gm n bin ngu nhin: X 1 , X 2 , ... , X n c lp
cng phn b vi X , k hiu W = ( X 1 , X 2 , ... , X n ) .
Thc hin mt php th i vi mu ngu nhin W chnh l thc hin mt php th i vi

mi thnh phn ca mu. Gi s X i nhn gi tr xi ( i = 1, n ), khi cc gi tr x1 , x 2 , ... , x n to
thnh mt gi tr ca mu ngu nhin, hay cn gi l mt th hin ca mu ngu nhin, k hiu
w = ( x1 , x 2 , ... , xn ) .
V d 5.1: Gi X l s nt xut hin khi tung con xc xc cn i, X l bin ngu nhin
c bng phn b xc sut sau
1/ 6
1/ 6
1/ 6
1/ 6
1/ 6
1/ 6
Nu tung con xc xc 3 ln v gi X i l s nt xut hin trong ln tung th i ( i = 1,3 ) th

ta c 3 bin ngu nhin c lp c cng quy lut phn b xc sut vi X . Vy ta c mu ngu
nhin kch thc 3, W = ( X 1 , X 2 , X 3 ) .
Thc hin mt php th i vi mu ngu nhin ny tc l tung con xc xc 3 ln. Gi s
ln th nht c 2 nt, ln th hai c 5 nt ln ba c 3 nt th w = (2,5,3) l mt mu c
th ca mu ngu nhin W .
94

5.1.4. Cc phng php m t mu ngu nhin
5.1.4.1. Bng phn b tn s thc nghim
Gi s ta rt c mt mu ngu nhin kch thc n ca X nhn gi tr xi vi tn s xut
hin ri , i = 1, ... , k ; trong
x1 <
< x k ; r1 +
+ rk = n .
(5.1)
Khi ta c th m t mu ngu nhin trn qua bng phn b tn s thc nghim
X
Tn s
x1
r1
x2
r2
xk
rk
(5.2)
xk
fk
(5.3)
5.1.4.2. Bng phn b tn sut thc nghim

K hiu f i =
ri
gi l tn sut ca xi .
n
Ta c bng phn b tn sut thc nghim ca X
X
Tn sut
x1
f1
x2
f2
V d 5.2: Ly mt mu ngu nhin kch thc 120 ta c bng phn b thc nghim tn s
v tn sut
X
31
34
35
36
38
40
42
44
Tn s
10
20
30
15
10
10
5
20 120
Tn sut 2 / 24 4 / 24 6 / 24 3 / 24 2 / 24 2 / 24 1 / 24 4 / 24 1
5.1.4.3. Hm phn b thc nghim ca mu
Vi mu ngu nhin xc nh bi cng thc (5.1). Hm s xc nh nh sau
Fn ( x) =
fj ;
< x < +
(5.4)
x j <x
gi l hm phn b thc nghim ca mu cho.

nh l Glivenco ch ra rng hm phn b thc nghim Fn (x) xp x vi phn b l thuyt
F ( x) = P{X < x} khi n ln.

5.1.4.4. Bng phn b ghp lp
Trong nhng trng hp mu iu tra c kch thc ln, hoc khi cc gi tr c th ca du

hiu X ly gi tr khc nhau song li kh gn nhau, ngi ta thng xc nh mt s cc khong
C1 , C 2 , ... , C k sao cho mi gi tr ca du hiu iu tra thuc vo mt khong no . Cc khong
ny lp thnh mt phn hoch ca min gi tr ca X .
95

Vic chn s khong v rng khong l tu thuc vo kinh nghim ca ngi nghin
cu, nhng ni chung khng nn chia qu t khong. Ngoi ra rng cc khong cng khng
nht thit phi bng nhau. Chng hn khi mun thng k v t l ngi nghin thuc l th ta tp
trung nhiu vo tui thanh nin v trung nin.
V d 5.3: Mt mu v chiu cao ca 400 cy c trnh by trong bng phn b ghp lp
sau:
Kho ng
4,5 9,5
9,5 11,5
Tn s ri
18
58
Tn sut f i
0,045
0,145
rng kho ng l i
5
2
y i = ri / l i
3,6
29
11,5 13,5
62
0,155
31
13,5 16,5
16,5 19,5
72
57
0,180
0,1425
3
3
24
19
19,5 22,5
22,5 26,5
26,5 36,5
42
36
55
0,105
0,090
0,1375
3
4
10
14
9
5,5
Gi tr yi =
ri
l tn s xut hin trong mt n v khong ca khong c di li .
li
Qui c: u mt bn phi ca mi khong thuc vo khong m khng thuc khong

tip theo khi tnh tn s ca mi khong.
Trong v d trn ta c cc khong [4,5 ; 9,5] , (9,5 ;11,5] , (11,5 ;13,5] , ...
5.1.4.5. Biu din bng biu
Gi s du hiu iu tra X c bng phn b tn s v tn sut thc nghim
X
Tn s
x1
r1
x2
r2
xk
rk
X
Tn sut
x1
f1
x2
f2
xk
fk
Trong mt phng vi h trc to Oxy .

Ni im trn trc honh c to ( xi ,0) vi im c to ( xi , ri ) ; i = 1, k ta c
biu tn s hnh gy.
Ni ln lt im c to ( xi , f i ) vi im c to ( xi +1 , f i +1 ) ; i = 1, k 1 ta c
biu a gic tn sut.
Bng phn b tn s v tn sut thc nghim trong v d 5.2 c biu tn s hnh gy v
a gic tn sut
96
ri
30
20
15
10
5
31
34
36 38 40
42
44
31
34
36 38 40
42
44
xi
fi
6 / 24
4 / 24
3 / 24
2 / 24
1 / 24
xi
1.4.6. T chc (histogram)

i vi bng phn b ghp lp, ngi ta thng dng t chc biu din.
Trong mt phng vi h to Oxy , trn trc honh ta chia cc khong Ci c rng li .
Vi mi khong Ci ta dng hnh ch nht c chiu cao yi =
yi =
fi
(i vi t chc tn sut).
li
T chc tn s ca mu ghp lp ca v d 5.3
97
ri
(i vi t chc tn s), hay
li
31
29
24
19
14
9
5,5
3,6
4,5
9,5 11,5 13,5 16,5 19,5
22,5
26,5
36,5
Ch rng din tch gii hn bi t chc bng tn s xut hin. Chng hn s cy nm

trong khong (12; 25] chnh l din tch ca t chc gii hn bi ng thng x = 12 v
x = 25 .
(13,5 12) 31 + (16,5 13,5) 24 + (19,5 16,5) 19 + ( 22,5 19,5) 14 + ( 25 22,5) 9 = 240
Vy c 240 cy c chiu cao t 12m n 25m .

Vi cc du hiu iu tra l nh tnh th ngi ta thng m t cc s liu mu bng biu
hnh bnh xe. l hnh trn c chia thnh nhng gc c din tch t l vi cc tn s tng
ng ca mu.
V d 5.4: Tng kt kt qu hc tp ca sinh vin Hc vin ta trong nm 2005 c s liu sau:
19%
12%
31%
Gioi
Kh
Trung bnh
Y?u
38%
5.1.5. Thng k v cc c trng ca mu ngu nhin

5.1.5.1. nh ngha thng k
Mt thng k ca mu l mt hm ca cc bin ngu nhin thnh phn ca mu. Thng k
ca mu ngu nhin W = ( X 1 , X 2 , ... , X n ) c dng:
T = T ( X 1 , X 2 , ... , X n )
98
(5.5)

Nh vy thng k T cng l mt bin ngu nhin tun theo mt quy lut phn b xc sut
nht nh v c cc tham s c trng nh k vng ET phng sai DT Mt khc, khi mu
ngu nhin nhn mt gi tr c th w = ( x1 , x 2 , ... , x n ) th T cng nhn mt gi tr c th l
T = T ( x1 , x 2 , ... , x n )
Cc thng k cng vi quy lut phn b xc sut ca chng l c s suy rng cc thng
tin ca mu cho du hiu nghin cu ca tng th.
5.1.5.2. Trung bnh mu
Trung bnh mu ca mu ngu nhin W = ( X 1 , X 2 , ... , X n ) ca bin ngu nhin X c
nh ngha v k hiu
1 n
X = Xi
n i =1
(5.6)
Gi tr trung bnh mu c th ca mu ngu nhin c th w = ( x1 , x 2 , ... , x n ) l
1 n
x = xi
n i =1
(5.7)
Gi s du hiu nghin cu X c k vng v phng sai hu hn, p dng cc cng thc

tnh k vng v phng sai ca tng cc bin ngu nhin c lp (2.46), (2.50), (2.58) ta c
( )
( )
DX
.
n
(5.8)
1 k
= ri X i 2 X
n i =1
(5.9)
E X = EX ; D X =
5.1.5.3. Phng sai mu
Phng sai mu S 2 :
1 k
2
S = ri X i X
n i =1
( )2
Phng sai mu c hiu chnh S 2 :
S2 =
1 k
ri X i X
n 1 i =1
( )
1 k
n
ri X i2
X
n 1 i =1
n 1
(5.9)
Phng sai mu S * 2 khi du hiu nghin cu X ca tng th c k vng xc nh

EX = .
S *2 =
1 k
ri ( X i )2
n i =1
(5.10)
p dng cng thc tnh k vng (2.46), (2.50) v (5.8) ta c:
ES 2 = DX v ES * 2 = DX
99
(5.11)

5.1.5.4. lch tiu chun mu
1 k
ri X i X
n 1 i =1
S = S2 =
(5.12)
5.1.5.5. Tn sut mu
Ta cn nghin cu mt du hiu nghin cu A no m mi c th ca tng th c th c
hoc khng c du hiu A . Nu c th c du hiu A ta cho nhn gi tr 1, trng hp ngc li
ta cho nhn gi tr 0. Lc du hiu nghin cu c th xem l bin ngu nhin X c quy lut
phn b xc sut khng mt A( p) c k vng v phng sai EX = p , DX = p(1 p) (cng
thc (2.9)).
Ly mu ngu nhin: W = ( X 1 , X 2 , ... , X n ) , X 1 , X 2 , ... , X n l cc bin ngu nhin c lp
c cng phn b khng mt A( p) . Tn s xut hin du hiu A ca mu l
r = X1 + X 2 +
+ Xn .
(5.13)
Tn sut mu
f =
r
n
(5.14)
Tng t cng thc (5.11) ta c cng thc tnh k vng v phng sai ca tn sut mu:
E ( f ) = p ; D( f ) =
p (1 p )
n
(5.15)
5.1.5.6. Cch tnh gi tr c th ca trung bnh mu v phng sai mu x , s 2

1. Nu mu ch nhn cc gi tr x1 , x 2 , ... , x k vi tn s tng ng r1 , r2 ,..., rk th gi tr trung
bnh mu v phng sai mu c th c tnh theo cng thc
x=
k
1
s2 =
ri xi x
n 1 i =1
k
i =1 i i
rx
r = n
i =1
(5.16)
1 k
=
ri xi2
n 1 i =1
i=1 ri xi
k
(5.17)
2. Nu gi tr ca mu c th c cho di dng bng phn b ghp lp vi cc khong

C1 , ... , C m v tn s ca Ci l ri th gi tr trung bnh mu v phng sai mu c tnh
nh trn, trong xi l trung im ca khong Ci .
3. Mu thu gn: Nu cc gi tr ca mu c th xi khng gn (qu ln hoc qu b hoc
phn tn) ta c th thu gn mu bng cch i bin:
100
ui =
Tht vy: x =
sx2 =
xi a
xi = hu i + a
h
x = h u + a ; s x2 = h 2 su2
(5.18)
1 k
1 k
h k
r
x
=
r
h
u
+
a
=
(
)
i i n
rui i + a = h u + a .
i
i
n i =1
n i =1
i =1
1 k
ri xi x
n 1 i =1
1 k
ri h ui + a h u a
n 1 i =1
h2 k
ri ui u
n 1 i =1
= h 2 su2 .
Cc s a v h c chn ph hp sao cho u , su2 tnh d dng hn. Thng thng ta chn
a l im gia ca cc gi tr xi .
V d 5.5: Gi tr trung bnh mu v phng sai mu ca mu v d 5.3.
xi 20
5
ru
i i
2
ru
i i
2,6
46,8
121,68
10,5
1,9
110,2
209,38
62
12,5
1,5
93
139,5
13,5 16,5
72
15
72
72
16,9 19,5
57
18
0,4
22,8
9,12
19,5 22,5
42
21
0,2
8,4
1,68
22,5 26,5
36
24,5
0,9
32,4
29,16
26,5 36,5
55
31,5
2,3
126,5
290,95
177,5
873,47
Khong
tn s ri
xi
4,5 9,5
18
9,5 11,5
58
11,5 13,5
ui =
400
(
177,5
177,5)2
1
2
873,47
= 1,9917
x = 5 u + 20 = 5
+ 20 = 17,78 . su =
400
399
400
s x2 = 5 2 su2 = 49,79
s = 49,79 = 7,056 .
5.1.6. Quy lut phn b xc sut ca mt s thng k c trng mu

Trng hp bin ngu nhin gc tun theo quy lut phn b chun
Gi s du hiu nghin cu trong tng th c th xem nh mt bin ngu nhin X tun
theo quy lut chun vi k vng EX = v phng sai DX = 2 . Cc tham s ny c th
bit hoc cha bit. T tng th rt ra mt mu ngu nhin kch thc n :
W = ( X 1 , X 2 , ... , X n )
101

Cc bin ngu nhin thnh phn X 1 , X 2 , ... , X n c lp c cng quy lut phn b chun
N (, 2 ) nh X . Theo nh l 3.10 mi t hp tuyn tnh ca cc bin ngu nhin c phn b

chun l bin ngu nhin c phn b chun. V vy ta c cc kt qu sau:
1) Thng k trung bnh mu:
( )
Trung bnh mu X c quy lut phn b chun vi k vng E X = v phng sai
( )
DX =
2
, p dng cng thc (2.33) suy ra thng k sau c quy lut chun tc N (0;1) :
n
U=
( X ) n
~ N (0;1)
(5.19)
2) Thng k phng sai S 2 .

2
n
n
nS 2
X
T cng thc (5.16) ta c: nS 2 = ( X i )2 v 2 = i
.

i =1
i =1
V cc bin ngu nhin X i c lp nn cc bin ngu nhin

khc theo (2.33)
Xi
cng c lp. Mt
Xi
~ N (0;1) . Do thng k sau c phn b khi bnh phng n bc t do.
2 =
nS 2
2
n
X
= i
~ 2 ( n)

i =1
(5.20)
3) Thng k phng sai S 2 .

Tng t thng k sau c phn b khi bnh phng n 1 bc t do.
2
(n 1) S 2
2
X X
= i
i =1
n
~ 2 (n 1)
4) T (5.19), (5.21) v U , 2 c lp, p dng cng thc (2.42) th T =
(5.21)
U
2 (n 1)
c phn b Student n 1 bc t do.
( X ) n
( X ) n
U
=
~ T(n 1) .
=
T=
S
(n 1) S 2
2 (n 1)
(5.22)
2 (n 1)
Khi n kh ln th quy lut Student T(n) hi t kh nhanh v phn b chun tc N (0;1) ,
do trong thc t nu n > 30 ta c th xem thng k T xp x N (0;1) .
102

Quy lut phn b ca tn sut mu
Gi s trong tng th du hiu nghin cu c th xem nh bin ngu nhin phn b theo
quy lut khng mt. T tng th rt ra mt mu ngu nhin kch thc n :
W = ( X 1 , X 2 , ... , X n )
T cng thc (5.13), (5.14), (5.15) ta bit tn sut mu f =
nh thc vi cc tham s c trng l: E ( f ) = p ; D( f ) =
X1 +
+ Xn
n
c quy lut
pq
.
n
p dng nh l Moivre-Laplace ta c:
( f p) n
< x = ( x) .
Vi mi x , lim P
n
pq
Nh vy c th xp x thng k U =
(5.23)
( f p) n
vi phn b chun tc N (0;1) khi n ln.
pq
Ngi ta thy rng xp x l tt khi np > 5 v nq > 5 hoc npq > 20 .
U=
np > 5
( f p) n
hoc npq > 20 .
~ N (0;1) khi
pq
nq > 5
(5.24)
5.2. L THUYT C LNG

5.2.1. Phng php c lng im
Phng php c lng im ch trng dng mt gi tr thay cho gi tr ca tham s
cha bit ca tng th. Thng thng gi tr c chn ny l gi tr c th ca mt thng k
no ca mu ngu nhin.
Vi mu ngu nhin W = ( X 1 , X 2 , ... , X n ) , thng k c lng cho tham s c dng
cng thc (5.5):
= T ( X 1 , X 2 , ... , X n )
Khi vi mu c th w = ( x1 , x 2 , ... , x n ) gi tr c th ca thng k = T (x1 , x 2 , ... , x n )
l c lng ca .
Cng vi mt mu ngu nhin c th xy dng nhiu thng k khc nhau c lng
cho tham s . V vy ta cn la chn thng k tt nht c lng cho tham s da vo cc
tiu chun sau:
103

5.2.2. c lng khng chch
Thng k = T ( X 1 , X 2 , ... , X n ) l mt hm ca cc bin ngu nhin X 1 , X 2 , ... , X n nn
cng l mt bin ngu nhin. Do ta c th xt cc c trng ca thng k ny.
nh ngha 5.1: Thng k = T ( X 1 , X 2 , ... , X n ) c gi l c lng khng chch ca
nu vi mi gi tr ca tham s
=
E()
(5.25)
th = T ( X , X , ... , X ) c gi l c lng chch ca .

Nu E ()
1
2
n
5.2.3. c lng hiu qu
iu kin (5.25) ca c lng khng chch c ngha rng trung bnh cc gi tr ca
bng gi tr . Tng gi tr ca c th sai lch rt ln so vi . V vy ta tm c lng khng
chch sao cho sai lch trn b nht.
nh ngha 5.2: c lng khng chch c phng sai nh nht so vi mi c lng
khng chch khc c xy dng trn cng mt mu ngu nhin gi l c lng hiu qu.
Nh vy, xt xem c lng khng chch c phi l c lng hiu qu ca hay
khng ta cn phi tm mt cn di ca phng sai ca cc c lng khng chch v so snh
phng sai ca vi cn di ny. iu ny c gii quyt bng bt ng thc Cramer-Rao
pht biu nh sau:
Cho mu ngu nhin W = ( X 1 , X 2 , ... , X n ) c ly t tng th c du hiu nghin cu l
bin ngu nhin X c hm mt xc sut (hay biu thc xc sut ) f ( x, ) tha mn mt s
iu kin nht nh (thng c tha mn trong thc t, t ra l cc phn b xc sut xt trong
chng II) v l c lng khng chch bt k ca th
()
1
(ln f ( x, ) )
nE
(5.26)
V d 5.6: Da vo bt ng thc trn ta c th chng minh c rng trung bnh mu X

l c lng hiu qu ca k vng ca du hiu nghin cu X ca tng th c phn b chun
N (, 2 ) .
( )
Tht vy theo cng thc (5.8) ta c D X =
2
. Mt khc theo (2.26) hm mt ca X
n
c dng
f ( x, ) =
1
2
( x )2
2
e 2
104
ln f ( x, ) = ln 2
( x )2
Vy
ln f ( x, ) x
= 2
( ln f ( X , ) )
n
n
n
X
2
nE
= 4 E( X ) = 4 D( X ) = 2 .
= nE
( )
Nh vy D X =
2
n
t gi tr cc tiu ca bt ng thc Cramer-Rao, do trung bnh
mu X l c lng hiu qu ca .
5.2.4. c lng vng
nh ngha 5.3: Thng k = T ( X 1 , X 2 , ... , X n ) c gi l c lng vng ca tham s
ca bin ngu nhin gc X nu = T ( X 1 , X 2 , ... , X n ) hi t theo xc sut n
khi
n .
Ngha l vi mi > 0 , lun c
lim P < = 1 .
(5.27)
Theo h qu 2 ca lut s ln Trbsep, cng thc (4.9) chng IV, ta c trung bnh mu
X l c lng vng ca k vng , S 2 v S 2 l c lng vng ca phng sai 2 ca bin
ngu nhin gc X ca tng th.
Theo lut s ln Bernoulli ta suy ra tn sut mu f l c lng vng ca tn sut p ca
tng th.
Tm li ta c kt qu sau:
Trung bnh mu X l c lng khng chch, hiu qu v vng ca k vng ca
bin ngu nhin gc ca tng th.
Tn sut mu f l c lng khng chch, hiu qu v vng ca tn sut p ca tng
th.
Phng sai mu S 2 v S * 2 (trng hp bit) l c lng khng chch v vng
ca phng sai 2 ca bin ngu nhin gc ca tng th.
5.2.5. Phng php c lng bng khong tin cy
Cc phng php c lng im ni trn c nhc im l khi kch thc mu b th c
lng im c th sai lch rt nhiu so vi gi tr ca tham s cn c lng. Mt khc phng
php trn cng khng th nh gi c kh nng mc sai lm khi c lng l bao nhiu. Do
khi kch thc mu b ngi ta thng dng phng php c lng khong tin cy. Ngha l t
mu ngu nhin tm khong [a; b] cha tham s vi xc sut ln cho trc ( c gi
l tin cy v thng c chn l 0,95 hay 0,99).
105

nh ngha 5.4: Khong [a ; b ] c hai u mt l hai thng k
a = a( X 1 , X 2 , ... , X n ) , b = b( X 1 , X 2 , ... , X n )
(5.28)
ph thuc mu ngu nhin W = ( X 1 , X 2 , ... , X n ) ca bin ngu nhin gc X , gi l khong tin

cy ca tham s vi tin cy nu:
P{a( X 1 , X 2 , ... , X n ) b( X 1 , X 2 , ... , X n )} =
(5.29)
Trong thc t thng yu cu tin cy kh ln, khi theo nguyn l xc sut ln bin
c {a b} hu nh chc chn s xy ra trong mt php th. Tin hnh mt php th vi mu
ngu nhin W = ( X 1 , X 2 , ... , X n ) ta thu c mt mu c th w = ( x1 , x 2 , ... , x n ) , tnh c gi
tr c th a = a( x1 , x 2 , ... , x n ) , b = b( x1 , x 2 , ... , x n ) .
Lc c th kt lun l: Qua mu c th vi tin cy tham s ca bin ngu nhin
gc X s nm trong khong [a ; b ] , tc l a b .
5.2.6. Khong tin cy ca k vng ca bin ngu nhin phn b theo quy lut chun
Gi s tng th bin ngu nhin gc X c phn b chun N ( ; 2 ) nhng cha bit tham
s ca n.
T tng th rt ra mt mu ngu nhin kch thc n : W = ( X 1 , X 2 , ... , X n ) , ta tm khong
tin cy ca trong cc trng hp sau:
5.2.6.1. Trng hp phng sai 2 bit
nh l 5.1: Khong tin cy ca tham s vi tin cy c dng:
; X + U / 2
X U / 2
n
n
trong : = 1 ; U l gi tr ti hn mc
2
Chng minh: Theo cng thc (5.19) ta c

Mt khc: X U / 2
X + U / 2
(5.30)
ca phn b chun tc N (0;1) (cng thc 3.21).
( X ) n
~ N (0;1) .
(X ) n
U / 2 .
p dng cng thc (2.32) ta c
( X ) n
P X U / 2
X + U / 2
U / 2 = 1 = .
= P
n
n
106
nh ngha 5.5: = U / 2
c gi l chnh xc ca c lng.
Vi chnh xc 0 v tin cy cho trc, th kch thc mu cn thit l s t nhin
n nh nht tha mn:
2U2 / 2
n
02
(5.31)
V d 5.7: Trng lng ca mt loi sn phm l mt bin ngu nhin phn b theo quy
lut chun vi lch tiu chun 1 gram. Cn th 25 sn phm loi ny ta thu c kt qu:
Trng lng (gram)
18
19
20
21
S SP tng ng
15
Vi tin cy 95%
a. Hy tm khong tin cy ca trng lng trung bnh ca loi sn phm trn.
b. Nu mun chnh xc ca c lng khng vt qu 0,3 th cn cn th t nht bao
nhiu sn phm.
Gii: Gi X l trng lng sn phm, theo gi thit X c phn b chun N (; 2 ) vi
= 1 . Trng lng trung bnh ca sn phm l tham s . Khong tin cy c dng (5.30).
Vi tin cy = 0,95
= 0, 025 U = 1,96 .
2
a. T bng s liu tm c trung bnh mu c th:
x =
3 18 + 5 19 + 15 20 + 2 21
= 19, 64 .
25
chnh xc ca c lng = U / 2
= 1,96
1
= 0,392 .
25
Vy vi tin cy 95% qua mu c th ny, khong tin cy ca tham s l:
[19,64 0,392 ; 19,64 + 0,392]

hay
19, 248 20, 032 .
b. Nu mun chnh xc ca c lng khng vt qu 0,3 th cn cn th t nht n sn

phm sao cho:
2U2 / 2 11,962
=
= 42, 68 .
n
0,32
02
Chn n = 43 .
107

5.2.6.2. Trng hp phng sai 2 cha bit, kch thc mu n 30
Trong nhiu bi ton thc t, ta khng bit phng sai 2 ca bin ngu nhin gc X ca
tng th. Nhng nu kch thc mu n ln ( n 30 ) ta c th xp x lch chun bi
lch chun mu S (v S 2 l c lng vng khng chch ca 2 ), S c xc nh bi cng
thc (5.12). Mt khc, theo nh l gii hn trung tm th thng k
(X ) n
xp x chun,
ng vi mi bin ngu nhin gc X (khng i hi phn b chun).

Do khong tin cy ca tham s vi tin cy c th ly l
S
S
; X + U / 2
X U / 2
n
n
(5.32)
V d 5.8: xc nh chiu cao trung bnh ca cc cy bch n trong khu rng rng
trng bch n, ta tin hnh o ngu nhin 35 cy v c kt qu cho trong bng sau:
Khong
ri
xi
ui = xi 8, 25
ri ui
ri ui2
6,5 7, 0
6,75
1,5
4,5
7, 0 7,5
7,25
1, 0
7,5 8, 0
10
7,75
0,5
2,5
8, 0 8,5
11
8,25
8,5 9, 0
8,75
0,5
2,5
1, 25
9, 0 9,5
9,25
1, 0
35
6,5
15, 25
u =
6,5
= 0,1857 x = 8, 25 0,1857 8, 06 .
35
s X2 = sU2 =
1
(6,5)2
15, 25
= 0, 413 s = 0, 64 .
34
35
Vi tin cy = 95% , U = 1,96 .

2
0, 64
s
= 1,96
= 0, 21 .
35
n
Vy khong tin cy cho chiu cao trung bnh ca cc cy bch n l:
7,87 8, 29 .
108

5.2.6.3. Trng hp phng sai 2 cha bit, kch thc mu n < 30
Trong trng hp ny, theo cng thc (5.22) thng k
T=
(X ) n
S
(5.33)
c phn b Student n 1 bc t do. V vy khong tin cy c tnh theo kt qu sau:

nh l 5.2: Khong tin cy ca tham s vi tin cy c dng:
S
S
; X + t / 2 (n 1)
X t / 2 (n 1)
,
n
n
trong t / 2 (n 1) l gi tr ti hn mc
(5.34)
ca phn b Student n 1 bc t do (cng thc
2.43).
chnh xc ca c lng:
= t / 2 (n 1)
S
n
(5.35)
Vi tin cy v chnh xc 0 cho trc th kch thc mu cn thit l s t nhin

n nh nht tha mn:
S t / 2 (n 1)
n
(5.36)
V d 5.9: Nng sut ca mt loi ging mi l mt bin ngu nhin c quy lut phn b
chun N ( ; 2 ) . Gieo th ging ht ny trn 16 mnh vn th nghim thu c nh sau (n v
kg/ha):
172, 173, 173,174, 174, 175, 176, 166, 166, 167, 165, 173, 171, 170, 171, 170.
Hy tm khong tin cy cho nng sut trung bnh ca loi ht ging ny vi tin cy
= 95% .
Gii: Nng sut trung bnh ca ht ging l tham s .
T cc s liu trn ta tnh c: x = 171; s = 3, 4254 . = 0, 05;
= 0, 025 .
Tra bng phn b Student vi 15 bc t do ta tm c t / 2 (n 1) = t0,025 (15) = 2,131 .

chnh xc = t / 2 (n 1)
3, 4254
S
= 2,131
= 1,885 .
16
n
Vy khong tin cy cho nng sut trung bnh ca loi ht ging ny l tha mn:
169,115 172,885 .
109

5.2.7. Khong tin cy cho tn sut p
Ta cn nghin cu mt du hiu nghin cu A no m mi c th ca tng th c th c
hoc khng c du hiu A . Nu c th c du hiu A ta cho nhn gi tr 1, trng hp ngc li
ta cho nhn gi tr 0. Lc du hiu nghin cu c th xem l bin ngu nhin X c quy lut
phn b xc sut khng mt A( p ) c k vng v phng sai EX = p ; DX = p(1 p ) .
Ly mu ngu nhin W = ( X1, X 2 ,..., X n ) , trong X1, X 2 ,..., X n l cc bin ngu nhin
c lp c cng phn b khng mt A( p ) .
f =
X1 +
+ Xn
n
l tn sut mu. Theo nh l Moivre-Laplace (4.12) th khi n ln
ta c th xp x thng k U =
( f p) n
vi phn b chun tc N (0;1) .
p (1 p )
Tuy nhin v p cha bit nn cha bit p(1 p) = DX .

Mt khc theo cng thc (5.21), (5.24) th tn sut mu f l c lng vng, khng chch
v hiu qu ca tn sut p tng th. V vy khi n ln ta c th thay p bng f .
Do khong tin cy cho tn sut p ca tng th vi tin cy l:
f U / 2
f (1 f )
; f + U / 2
n
f (1 f )
(5.37)
Vi iu kin
nf > 10
n(1 f ) > 10
trong U l gi tr ti hn mc
2
(5.38)
ca phn b chun tc N (0;1) vi = 1 .
chnh xc ca khong tin cy:
= U / 2
f (1 f )
.
n
(5.39)
Vi tin cy v chnh xc 0 cho trc th kch thc mu cn thit l s t nhin

n nh nht tha mn:
n f (1 f ) / 2
0
trong f l tn sut mu ca mt mu ngu nhin no .
110
(5.40)

V d 5.10: Trong t vn ng bu c tng thng mt nc n, ngi ta phng vn ngu
nhin 1600 c tri, c bit c 960 ngi trong s s b phiu cho ng c vin A. Vi tin
cy = 95% ti thiu ng c vin A s chim c bao nhiu % s phiu bu.
Gii: Gi p l t l s phiu s bu cho ng c vin A. Tng th nghin cu l tp hp tt
c cc c tri. Du hiu nghin cu l c tri s b phiu cho A, l bin ngu nhin c quy lut phn
b khng mt A( p ) . Khong tin cy cho p c dng (5.37) vi iu kin (5.38).
T mu c th trn ta c f =
nf = 960 > 10
960
.
= 0, 6 tha mn iu kin
1600
n(1 f ) = 640 > 10
f (1 f )
0, 6 0, 4
= 1,96
= 0, 024 .
n
1600
Khong tin cy: 0,576 p 0, 624 .

Vy vi tin cy 95% th ti thiu c 57,6% c tri s b phiu cho ng c vin A.
5.3. KIM NH GI THIT THNG K
5.3.1. Khi nim chung
Trong mc trc ta gii quyt cc bi ton v c lng tham s c trng ca du hiu
nghin cu ca tng th bng cch a v c lng cc tham s c trng ca cc bin ngu
nhin gc. Trong mc ny ta s nghin cu bi ton kim nh gi thit v cc tham s c trng
ca tng th.
5.3.1.1. Gi thit thng k
Gi thit thng k l gi thit v dng phn b xc sut, cc c trng tham s ca bin
ngu nhin gc hoc gi thit v s c lp ca cc bin ngu nhin gc.
Gi thit a ra kim nghim c k hiu l H0, gi l gi thit khng. l gi thit
m ta nghi ng mun bc b hoc gi thit ta mun bo v. Ngoi gi thit H0 ra, ta cn phi nh
ra mt gi thit cnh tranh vi H0 gi l i thit, k hiu H1. i thit H1 s c chp nhn khi
H0 b bc b.
Cn ch rng i thit H1 khng nht thit l ph nh ca gi thit H0. Chng hn gi
thit H0: nhu cu th trng v loi hng ha ny l = 1000 n v/thng. Nu ta nghi ng rng
nhu cu ny khng ng th i thit H1 l 1000 , nhng nu do tip th tt, do chnh sch hu
mi tt ngi ta ngh rng nhu cu v mt hng ny tng ln th i thit H1 l > 1000 .
Qui tc kim nh da trn hai nguyn l sau:
-
Nguyn l xc sut nh: "Nu mt bin c c xc rt nh th trong mt hay vi php

th th bin c coi nh khng xy ra".
Phng php phn chng: " bc b A ta gi s A ng th dn n mt iu v l".
Da vo hai nguyn l ny ta a ra phng php chung kim nh mt gi thit thng

k nh sau: kim nh H0 trc ht gi s H0 ng t ta tm c bin c A m xc sut
111

xut hin bin c A l rt b v ta c th xem A khng th xy ra trong mt php th v bin c
ny. Lc nu trn mt mu c th quan st c m bin c A xut hin th iu ny tri vi
nguyn l xc sut nh. Vy H0 sai v bc b n. Cn nu A khng xy ra th ta cha c c s
bc b H0.
Ta thc hin phng php trn bng cc bc c th sau:
5.3.1.2. Tiu chun kim nh gi thit thng k
T bin ngu nhin gc X ca tng th lp mu ngu nhin W = ( X 1 , X 2 , ... , X n ) . Chn
thng k
T = T ( X 1 , X 2 , ... , X n , 0 )
(5.41)
trong 0 l tham s lin quan n gi thit cn kim nh. Nu H0 ng th thng k T c quy

lut phn b xc sut xc nh. Thng k T c gi l tiu chun kim nh.
5.3.1.3. Min bc b gi thit
Sau khi chn tiu chun kim nh T , vi b cho trc (thng c ly bng 0,05
hoc 0,01) v vi iu kin H0 ng ta c th tm c min W sao cho T nhn gi tr trong
min W vi xc sut bng :
P {T W H 0 } =
(5.42)
Gi tr c gi l mc ngha ca kim nh v min W gi l min bc b gi thit

H0 vi mc ngha .
5.3.1.4. Gi tr quan st ca tiu chun kim nh
Thc hin php th vi mu ngu nhin W = ( X 1 , X 2 , ... , X n ) thu c mu c th
w = ( x1 , x 2 , ... , x n ) , thay gi tr ny vo thng k (5.41) ta c gi tr quan st ca tiu chun

kim nh:
Tqs = ( x1 , x 2 , ... , x n , 0 )
(5.43)
5.3.1.5. Quy tc kim nh gi thit thng k

So snh gi tr quan st ca tiu chun kim nh vi min bc b W v kt lun theo quy
tc sau:
1. Nu Tqs W , theo nguyn tc kim nh th H0 sai, do ta bc b H0 tha nhn H1.
2. Nu Tqs W th iu ny cha khng nh rng H0 ng m ch c ngha l qua mu c
th ny cha khng nh c l H0 sai. Do ta ch c th ni rng qua mu c th ny cha c
c s bc b H0 (trn thc t l tha nhn H0).
112

5.3.1.6. Sai lm loi mt v sai lm loi hai
Vi quy tc kim nh nh trn c th mc hai loi sai lm sau:
1. Sai lm loi I: l sai lm mc phi khi bc b gi thit H0 trong khi H0 ng. Ta thy
xc sut mc sai lm loi I ng bng mc ngha . Tht vy, xc sut ta bc b H0 bng xc
sut bin c {T W }, do khi H0 ng th xc sut ny bng P{T W H 0 } = . Sai lm loi
I sinh ra do kch thc mu qu nh, do phng php ly mu v.v

2. Sai lm loi II: l sai lm mc phi khi tha nhn gi thit H0 trong khi H0 sai, iu
ny xy ra khi gi tr quan st Tqs khng thuc min bc b W trong khi H1 ng. Vy xc sut
sai lm loi II l xc nh nh sau:
P {T W H1} =
(5.44)
Xc sut ca bin c i ca sai lm loi II: P{T W H 1 } = 1 gi l lc lng kim

nh.
Thc t
Quyt nh
Bc b H0
Khng bc b H0
H0 ng
H0 sai
Sai lm loi I
Quyt nh ng
Xc sut =
Xc sut = 1
Quyt nh ng
Sai lm loi II
Xc sut = 1
Xc sut =
Ta mun tm mt qui tc kim nh m c hai loi sai lm trn l cc tiu. Nhng khng tn
ti kim nh l tng nh vy, v ni chung khi gim sai lm loi I th sai lm loi II tng v
ngc li. Chng hn nu ly = 0 th s khng bc b bt k gi thit no, k c gi thit sai,
vy s t cc i. Mt khc trong bi ton kim nh th gi thit H0 l gi thit quan trng, do
sai lm v n cng nh cng tt. V vy cc nh thng k a ra phng php sau:
Sau khi ta chn sai lm loi I nh mc ngha , vi mu kch thc n xc nh, ta
chn ra min bc b W sao cho xc sut sai lm loi II l nh nht hay lc lng kim nh l
ln nht. Ngha l cn tm min bc b W tha mn iu kin:
P{T W H 0 } = v P{T W H1 } = 1 max

nh l Neymann - Pearson ch ra rng nhiu bi ton quan trng trong thc tin c th tm
c min bc b W tha mn iu kin trn.
Vic chn mc ngha bng bao nhiu ty thuc vo tng trng hp c th, ty thuc
vo ngha ca bi ton.
113

5.3.1.7. Th tc kim nh gi thit thng k
Qua ni dung trnh by trn ta c th xy dng mt th tc kim nh gi thit thng k
bao gm cc bc sau:
a. Pht biu gi thit H0 v i thit H1.
b. T tng th nghin cu lp mu ngu nhin kch thc n .
c. Chn tiu chun kim nh T v xc nh quy lut phn b xc sut ca T vi iu
kin gi thit H0 ng.
d. Vi mc ngha , xc nh min bc b W tt nht ty thuc vo i thit H1.
e. T mu c th tnh gi tr quan st ca tiu chun kim nh Tqs .
f. So snh gi tr quan st ca tiu chun kim nh Tqs vi min bc b W v kt lun.
5.3.2. Kim nh gi thit v k vng ca bin ngu nhin c phn b theo quy lut chun
Gi s bin ngu nhin gc X trong tng th c phn b chun N (; 2 ) , cn kim nh
k vng . Nu c c s gi thit rng k vng bng gi tr 0 ta a ra gi thit thng k
H0 : = 0 .
Ta xt cc trng hp sau:
5.3.2.1. Trng hp bit phng sai
Gi s phng sai 2 ca bin ngu nhin gc X trong tng th c phn b chun
N (; 2 ) bit. T tng th rt ra mt mu ngu nhin kch thc n : W = ( X 1 , X 2 , ... , X n ) .

Xt thng k
T=
( X 0 ) n
(5.45)
Nu gi thit H0 ng, theo cng thc (5.19) th thng k T c phn b chun tc N (0;1) .
Ta xy dng cc min bc b da vo i thit H1.
a. Bi ton 1: H0: = 0 ; H1: 0 . Ta ni y l bi ton kim nh hai pha.
Min bc b
( X 0 ) n
W = T =
; T > U/2 .
(5.46)
b. Bi ton 2: H0: = 0 ; H1: > 0 . y l bi ton kim nh mt pha.

Min bc b
( X 0 ) n
W = T =
; T > U .
c. Bi ton 3: H0: = 0 ; H1: < 0 . y l bi ton kim nh mt pha.
114
(5.47)
Min bc b
( X 0 ) n
W = T =
; T > U .
trong U / 2 , U ln lt l gi tr ti hn mc
(5.48)
v mc ca phn b chun tc N (0;1) .
Lp mu c th w = ( x1 , x 2 , ... , x n ) v tnh gi tr quan st ca tiu chun kim nh
Tqs =
( x 0 ) n
v so snh vi min bc b W kt lun.
5.3.2.2. Trng hp cha bit phng sai, kch thc mu n 30

Trng hp phng sai 2 cha bit: Vi kch thc n ln ( n 30 ) v gi thit H0
ng, tng t mc 5.2.6.2 ta c thng k
T=
( X 0 ) n
S
(5.49)
xp x phn b chun tc N (0;1) . Ta xy dng cc min bc b da vo i thit H1.

a. Bi ton 1: H0: = 0 ; H1: 0 . Ta ni y l bi ton kim nh hai pha.
Min bc b
( X 0 ) n
W = T =
; T > U/2 .
S
(5.50)
b. Bi ton 2: H0: = 0 ; H1: > 0 . y l bi ton kim nh mt pha.
( X 0 ) n
W = T =
; T > U .
S
Min bc b
(5.51)
c. Bi ton 3: H0: = 0 ; H1: < 0 . y l bi ton kim nh mt pha.

Min bc b
(X 0 ) n
W = T =
; T >U .
S
(5.52)
V d 5.11: Mt hng bun mun bit xem phi chng c s khng n nh trung bnh v
lng hng bn c trung bnh trn mt nhn vin bn hng so vi cc nm trc (lng
bng 7,4). Mt mu ngu nhin gm 40 nhn vin bn hng c la chn v tm thy lng hng
trung bnh ca h l x = 6,1 vi lch chun l s = 2,5 . Vi mc ngha = 1% c th ni
rng lng hng bn c trung bnh trn mi u ngi c s thay i khng?
Gii: Gi l lng hng bn c trung bnh trn mi nhn vin bn hng ca hng
bun.
Ta kim nh: Gi thit H0 : = 7,4 ; i thit H1 : 7,4.
Tiu chun kim nh: T =
( X 7,4) n
S
115
= 0,01 U = 2,575
2
Tqs =
( X 7,4) n
Min bc b: W = T =
; T > 2,575 .
S
(6,1 7,4) 40
= 3,289 .
2,5
Vi mu c th ny gi tr quan st ca tiu chun kim nh ri vo min bc b, vy ta c

th kt lun rng s lng hng bn c trung bnh ca mi nhn vin bn hng l c thay i.
V d 5.12: Mt cng ti c mt h thng my tnh c th x l 1200 ha n trong mt gi.
Cng ti mi nhp mt h thng my tnh mi. H thng ny khi chy kim tra trong 40 gi cho
thy s ha n c x l trung bnh trong 1 gi l 1260 vi lch chun 215. Vi mc ngha
5% hy nhn nh xem h thng mi c tt hn h thng c hay khng?
Gii: Gi l s ha n trung bnh m h thng my tnh mi x l c trong 1 gi.
Ta kim nh:
Gi thit H0 : = 1200; i thit H1 : > 1200.
( X 1200) n
S
( X 1200) n
= 0,05 U = 1,64 Min bc b: W = T =
; T > 1,64 .
S
(1260 1200) 40
= 1,76 .
215
Vi mu c th ny gi tr quan st ca tiu chun kim nh ri vo min bc b, vy ta c th
kt lun h thng my tnh mi tt hn h thng c.
Thay gi tr c th ca mu vo cng thc (5.49) ta c Tqs =
5.3.2.3. Trng hp cha bit phng sai, kch thc mu n < 30

Gi s gi thit H0 ng, xt thng k
T=
( X 0 ) n
S
(5.53)
theo cng thc (5.22) thng k T c phn b Student n 1 bc t do. Ta xy dng cc min bc
b da vo i thit H1.
a. Bi ton 1: H0: = 0 ; H1: 0 .
Min bc b:
( X 0 ) n
W = T =
; T > t / 2 (n 1) .
S
ca phn b Student n 1 bc t do.
b. Bi ton 2: H0: = 0 ; H1: > 0 .
116
(5.54)
Min bc b:
( X 0 ) n
W = T =
; T > t (n 1) .
S
(5.55)
trong t (n 1) l gi tr ti hn mc ca phn b Student n 1 bc t do.

c. Bi ton 3: H0: = 0 ; H1: < 0 .
Min bc b:
( X 0 ) n
W = T =
; T > t (n 1) .
S
(5.56)
V d 5.13: Mt cng ty sn xut ht ging tuyn b rng mt loi ging mi ca h c

nng sut trung bnh l 21,5 t/ha. Gieo th ht ging mi ny ti 16 vn th nghim v thu c
kt qu:
19,2; 18,7; 22,4; 20,3; 16,8; 25,1; 17,0; 15,8; 21,0; 18,6; 23,7; 24,1; 23,4; 19,8; 21,7; 18,9.
Da vo kt qu ny hy xc nhn xem qung co ca cng ty c ng khng. Mc ngha
c la chn l = 0,05. Bit rng nng sut ging cy trng l mt bin ngu nhin c phn
b chun N ( ; 2 ) .
Gii: Gi l nng sut trung bnh ca loi ging mi.
Ta cn kim nh gi thit H0: = 21,5; i thit H1: 21,5.
( X 21,5) n
.
S
Tra bng ta tnh c gi tr ti hn mc

2,131. Do min bc b:
= 0,025 ca phn b Student 15 bc t do l

2
( X 21,5) n
W = T =
; T > 2,131 .
S
T mu c th trn tnh c:
x = 20,406 , s = 3,038 Tqs =
(20,406 21,5) 16
= 1,44 .
3,038
V Tqs = 1, 44 < 2,131 nn cha c c s bc b H0. C ngha l vi s liu ny th c

th chp nhn li qung co ca cng ty.
5.3.3. Kim nh gi thit v tn sut
Gi s ta n mt c trng A no m mi c th ca tng th c th c tnh cht
ny hoc khng. Gi p l tn sut c c trng A ca tng th, nh thy trong chng VII
du hiu nghin cu ny l mt bin ngu nhin X c phn b khng mt A( p ) vi k vng
bng p . Nu p cha bit, song c c s gi thit rng gi tr ny bng p 0 . Ta kim nh gi
thit H0: p = p 0 .
117

T tng th rt ra mt mu ngu nhin kch thc n , gi f l tn sut mu (cng thc
(5.13)-(5.15)). Xt thng k
T=
( f p0 ) n
p 0 (1 p0 )
(5.57)
Nu gi thit H0 ng, p dng nh l gii hn trung tm (cng thc (5.24)) th khi n

ln thng k trn xp x phn b chun tc N (0;1) . Trong thc t khi
np 0 > 5
n(1 p 0 ) > 5
(5.58)
th c th xem thng k (5.57) c phn b chun tc N (0;1) . Do vi mc ngha v ty

thuc i thit H1 ta c th xy dng cc min bc b tng ng.
a) H0: p = p 0 ; H1: p p 0 .
( f p0 ) n
; T > U
W = T =
p0 (1 p0 )
(5.59)
b) H0: p = p 0 ; H1: p > p 0 .
( f p0 ) n
W = T =
; T > U
p0 (1 p0 )
(5.60)
c) H0: p = p 0 ; H1: p < p 0 .
( f p0 ) n
W = T =
; T > U
p0 (1 p0 )
(5.61)
Vi mu c th tnh gi tr quan st ca tiu chun kim nh Tqs , so snh vi W v kt lun.

V d 5.14: Mt ng chnh tr trong mt cuc bu c tng thng nc n tuyn b rng
c 45% c tri s b phiu cho ng c vin A ca ng h.
Chn ngu nhin 2000 c tri thm d kin v cho thy c 862 c tri tuyn b s b
phiu cho A.
Vi mc = 5%, hy kim nh xem d on ca ng trn c ng khng.
Gii: Gi p l t l c tri s b phiu cho ng c vin A.
Ta cn kim nh: Gi thit H0: p = 0,45 ; i thit H1: p 0,45.
(Bi v ta khng c c s no cho rng d on ca ng trn l cao hn 0,45 hay thp
hn 0,45).
118
np 0 = 2000 0,45 = 900 > 5

tha mn nn c th chn tiu
n(1 p 0 ) = 2000 0,55 = 1100 > 5

862
chun kim nh theo cng thc (5.57). Thay mu c th vi f =
= 0,431 ta c gi tr
2000
V rng iu kin
quan st ca tiu chun kim nh Tqs =
(0,431 0,45) 2000

0,45 0,55
= 1,708 .
Vi mc ngha = 0,05 U = 1,96. Ta thy Tqs < 1,96. Vy khng c c s

2
bc b H0.
TM TT
Tng th
Ton b tp hp cc phn t ng nht theo mt du hiu nghin cu nh tnh hay nh
lng no c gi l tng th. Vic chn ra t tng th mt tp con no gi l php ly
mu. Tp hp con ny c gi l mt mu.
Mu ngu nhin
Nu trong php ly mu mi c th ca tng th c chn mt cch c lp v c xc
sut c chn nh nhau ta c mt mu ngu nhin.
Mu ngu nhin ca du hiu nghin cu X
Mu ngu nhin kch thc n ca du hiu nghin cu X l mt dy gm n bin ngu
nhin: X 1 , X 2 , ... , X n c lp cng phn b vi X , k hiu W = ( X 1 , X 2 , ... , X n ) .
Bng phn b tn s thc nghim v tn sut thc nghim
Nu mt mu ngu nhin kch thc n ca X nhn gi tr xi vi tn s xut hin ri ,
i = 1, ... , k : x1 <
< x k ; r1 +
+ rk = n . f i =
ri
gi l tn sut ca xi .
n
Khi ta c th m t mu ngu nhin trn qua bng phn b tn s thc nghim v tn

sut thc nghim ca X
X
Tn s
x1
r1
x2
r2
xk
rk
X
Tn sut
x1
f1
x2
f2
xk
fk
Hm phn b thc nghim ca mu

Hm s xc nh nh sau: Fn ( x) =
x j <x
rj
n
; < x < + .
Bng phn b ghp lp

Trong nhng trng hp mu iu tra c kch thc ln, hoc khi cc gi tr c th ca du
hiu X ly gi tr khc nhau song li kh gn nhau, ngi ta thng xc nh mt s cc khong
119
C1 , C 2 , ... , C k sao cho mi gi tr ca du hiu iu tra thuc vo mt khong no . Cc khong

ny lp thnh mt phn hoch ca min gi tr ca X .
Biu din bng biu
Trong mt phng vi h trc to Oxy .
Ni im trn trc honh c to ( xi ,0) vi im c to ( xi , ri ) ; i = 1, k ta c
biu tn s hnh gy.
Ni ln lt im c to ( xi , f i ) vi im c to ( xi +1 , f i +1 ) ; i = 1, k 1 ta
c biu a gic tn sut.

i vi bng phn b ghp lp, ngi ta thng dng t chc biu din: Trn
trc honh ta chia cc khong Ci c rng li . Vi mi khong Ci ta dng hnh ch nht c
chiu cao yi =
ri
f
(i vi t chc tn s), hay yi = i (i vi t chc tn sut).
li
li
Thng k
Mt thng k ca mu l mt hm ca cc bin ngu nhin thnh phn ca mu. Thng k
ca mu ngu nhin W = ( X 1 , X 2 , ... , X n ) c dng: T = T ( X 1 , X 2 , ... , X n )
Trung bnh mu
Trung bnh mu ca mu ngu nhin W = ( X 1 , X 2 , ... , X n ) l: X =
1 n
Xi .
n i =1
Phng sai mu
1 k
ri X i X
n 1 i =1
( )
1 k
n
ri X i2
X
n 1 i =1
n 1
Phng sai mu S 2 : S 2 =
Phng sai mu S 2 : khi du hiu nghin cu X ca tng th c k vng xc

nh EX = .
S =
1 n
( X i )2 .
n i =1
S=
1 k
ri X i X
n 1 i =1
lch tiu chun mu
Tn sut mu
Xt bin ngu nhin gc X c phn b khng mt A( p) . Ly mu ngu nhin kch
thc n : W = ( X 1 , X 2 , ... , X n ) , X 1 , X 2 , ... , X n l cc bin ngu nhin c lp c cng phn b
120
vi X . Tn s xut hin du hiu A ca mu l: r = X 1 + X 2 +
+ X n .Tn sut mu f =
r
.
n
Cch tnh gi tr c th ca mu trung bnh mu v phng sai mu x , s 2

Nu mu ch nhn cc gi tr x1 , x 2 , ... , x k vi tn s tng ng n1 , n2 , ... , nk th gi tr
trung bnh mu v phng sai mu c th c tnh theo cng thc
x=
k
rx
i =1 i i
ri = n ;
s2 =
i =1
1
ri xi x
n 1 i =1
1 k
=
ri xi2
n 1 i =1
2
k
r
x
i =1 i i
Quy lut phn b xc sut ca mt s thng k c trng mu

Trng hp bin ngu nhin gc tun theo quy lut phn b chun
U=
( X ) n
~ N (0;1) .
nS 2
2
X
= i
~ 2 ( n) .
i =1
(n 1) S 2
2
X X
= i
i =1
n
~ 2 (n 1) .
( X ) n
( X ) n
U
=
T=
=
~ T(n 1) .
2
2
S
(n 1) S
(n 1)
2 (n 1)
Trng hp tn sut mu
U=
np > 5
( f p) n
hoc npq > 20 .
~ N (0;1) khi
pq
nq > 5
c lng khng chch

Thng k = T ( X 1 , X 2 , ... , X n ) c gi l c lng khng chch ca nu: E ( ) = .
c lng hiu qu
c lng khng chch c phng sai nh nht so vi mi c lng khng chch khc c
xy dng trn cng mt mu ngu nhin gi l c lng hiu qu.
c lng vng
121

Thng k = T ( X 1 , X 2 , ... , X n ) c gi l c lng vng ca tham s ca bin ngu nhin
gc X nu = T ( X 1 , X 2 , ... , X n ) hi t theo xc sut n khi n .
c lng hp l cc i
Gi s bit quy lut phn b xc sut ca du hiu nghin cu bin ngu nhin gc X
c hm mt f ( x, ) (hoc c th l biu thc xc sut nu X l bin ngu nhin ri rc). Cn
phi c lng tham s no ca X . T tng th rt ra mt mu ngu nhin kch thc n :
Hm mt ng thi c dng ca mu ngu nhin c dng
L( x1 , x 2 , ... , x n , ) = f ( x1 , ) f ( x 2 , ) f ( x n , ) .
Hm L( x1 , x 2 , ... , x n , ) c gi l hm hp l ca tham s .
Khi ta xem x1 , ... , x n l tham s cn l bin v gi s hm hp l L( x1 , ... , x n , ) t cc
i ti = g ( x1 , x 2 , ... , x n ) .
Thng k = g ( X 1 , X 2 , ... , X n ) c gi l c lng hp l cc i ca .
Khong tin cy
Khong [a ; b ] c hai u mt l hai thng k a = a( X 1 , X 2 , ... , X n ) , b = b( X 1 , X 2 , ... , X n ) ph
thuc mu ngu nhin W = ( X 1 , X 2 , ... , X n ) ca bin ngu nhin gc X , gi l khong tin cy
ca tham s vi tin cy nu: P{a b} = .
Khong tin cy ca k vng ca bin ngu nhin phn b theo quy lut chun
Trng hp phng sai 2 bit:

1+
; X + U / 2
X U / 2
, (U ) = 1 2 = 2 .
n
n
Trng hp phng sai 2 cha bit n 30 :
S
S
1+
; X + U / 2
X U / 2
, (U ) = 1 2 = 2 .
n
n
Trng hp phng sai 2 cha bit n < 30 :
S
S
; X + t / 2 (n 1)
X t / 2 (n 1)
,
n
n
ca phn b Student n 1 bc t do.
Khong tin cy cho tn sut p
122
f U / 2
f (1 f )
; f + U / 2
n
nf > 10
f (1 f )
Vi iu kin
n
n(1 f ) > 10
Trong = 1 ; U l gi tr ti hn mc
ca phn b chun tc N (0;1) .
Gii thit thng k

Gi thit thng k l gi thit v dng phn b xc sut ca bin ngu nhin gc ca tng
th, cc tham s c trng hoc tnh cht ca cc bin ngu nhin ny. Gi thit thng k l nhng
iu ta nghi ng mun bc b, c pht biu di dng H0. Cnh tranh vi gi thit ny l i
thit H1, theo ngha rng nu bc b H0 th chp nhn H1 v ngc li.
Th tc kim nh gi thit thng k
Mt th tc kim nh gi thit thng k bao gm cc bc sau:
a) Pht biu gi thit H0 v i thit H1.
b) T tng th nghin cu lp mu ngu nhin kch thc n .
c) Chn tiu chun kim nh T v xc nh quy lut phn b xc sut ca T vi iu kin
gi thit H0 ng.
d) Vi mc ngha , xc nh min bc b W tt nht ty thuc vo i thit H1.
e) T mu c th tnh gi tr quan st ca tiu chun kim nh Tqs .
So snh gi tr quan st ca tiu chun kim nh Tqs vi min bc b W v kt lun.
Kim nh gi thit v k vng ca bin ngu nhin c phn b theo quy lut chun
1) Trng hp bit phng sai
Tiu chun kim nh : T =
( X 0 ) n
.
a. Bi ton 1: H0: = 0 ; H1: 0 . Min bc b W = {T > U / 2 }.

b. Bi ton 2: H0: = 0 ; H1: > 0 . Min bc b
W = { T > U }.
c. Bi ton 3: H0: = 0 ; H1: < 0 . Min bc b
W = { T > U } .
2) Trng hp cha bit phng sai n 30

( X 0 ) n
.
S
a. Bi ton 1: H0: = 0 ; H1: 0 . Min bc b W = {T > U / 2 }.

b. Bi ton 2: H0: = 0 ; H1: > 0 . Min bc b
W = { T > U }.
c. Bi ton 3: H0: = 0 ; H1: < 0 . Min bc b
W = { T > U } .
123

3) Trng hp cha bit phng sai n < 30
( X 0 ) n
.
S
a) Bi ton 1: H0: = 0 ; H1: 0 . Min bc b W = { T > t / 2 (n 1)} .

b) Bi ton 2: H0: = 0 ; H1: > 0 . Min bc b W = { T > t (n 1)} .
c) Bi ton 3: H0: = 0 ; H1: < 0 . Min bc b W = { T > t (n 1)} .
Kim nh gi thit v tn sut
np 0 > 5
vi iu kin
. f l tn sut mu.
(
1
)
>
5
n
p
p0 (1 p0 )
0
( f p0 ) n
a. H0: p = p0 ; H1: p p0 . W = { T > U / 2 }.

b. H0: p = p0 ; H1: p > p0 . W = { T > U }.
c. H0: p = p0 ; H1: p < p0 . W = { T > U }.
CU HI N TP V BI TP
5.1 Mu ngu nhin kch thc n v du hiu nghin cu X l mt dy gm n bin ngu
nhin: X 1 , X 2 , ... , X n c lp cng phn b vi X .
ng
Sai
5.2 Mt thng k ca mu ngu nhin l con s c th v du hiu nghin cu.

ng
Sai
5.3 Trung bnh mu ca du hiu nghin cu c phn b chun cng c phn b chun.
ng
Sai
5.4 Mt thng k ca mu l mt hm ca cc bin ngu nhin thnh phn ca mu do cng l

mt bin ngu nhin .
ng
Sai
5.5 Trung bnh mu l c lng vng v hiu qu ca k vng ca bin ngu nhin gc.
ng
Sai
5.6 C th tm c c lng khng chch ca c phng sai nh hn i lng

1
.
2
(ln f ( x, ) )
nE
ng
Sai
124

5.7 Tng ca hai c lng khng chch l mt c lng khng chch.
ng
Sai
5.8 Phng sai mu hiu chnh S 2 l c lng vng khng chch ca phng sai ca bin
ngu nhin gc.
ng
Sai
5.9 Hai u mt ca khong tin cy l hai thng k ca mu.

ng
Sai
5.10 Mun tm khong tin cy cho tham s ca bin ngu nhin gc c phn b chun
N (; 2 ) th kch thc mu n phi ln hn 30.

ng
Sai
5.11 Gi thit thng k l gi thit do nh thng k t ra cho mu ngu nhin.

ng
Sai
5.12 Bc b gi thit dn n chp nhn i thit v ngc li do i thit l ph nh ca gi

thit.
ng
Sai
5.13 Qui tc kim nh da trn nguyn l xc sut nh v php chng minh phn chng.
ng
Sai
5.14 Sai lm loi 1 l sai lm gp phi khi thc t gi thit ng nhng ta bc b.

ng
Sai
5.15 Sai lm loi 2 lun lun ln hn sai lm loi 1.

ng
Sai
5.16 Min bc b l min c xc sut rt b nn ta c th b qua trong mi php kim nh.

ng
Sai
5.17 Khi xy dng tiu chun kim nh T ta lun gi s rng gi thit H0 sai v gi thit H0 l
iu ta nghi ng mun bc b.
ng
Sai
5.18 Kim nh hai pha l kim nh i vi nhng tham s c th nhn gi tr m dng bt k,

cn kim nh mt pha khi tham s cn kim nh ch nhn gi tr dng hoc m.
ng
Sai
5.19 T tng th c du hiu nghin cu X c bng phn b xc sut sau
0,5
0,5
125

lp mu ngu nhin kch thc n = 10 . Tnh xc sut trung bnh mu ca mu ngu nhin ny
nhn gi tr 0,5.
5.20 Gi s bin ngu nhin gc c phn b chun N (20;1) . Chn mu ngu nhin kch thc
n = 100 . Hy tnh xc sut trung bnh mu X nm trong khong:
19,8 < X < 20,2 .

5.21 Mt mu c th ca bin ngu nhin X nh sau:
2 ; 3 ; 2 ; 4 ; 1 ; 4 ; 2 ; 2 ; 3 ; 1 ( n = 10 ).
a) Lp bng phn b tn sut.
b) Xy dng hm phn b thc nghim.
Tnh
x , s2 , s .
5.22 Trong t vn ng bu c tng thng mt nc n, ngi ta phng vn ngu nhin 2000

c tri th c bit c 1082 ngi trong s s b phiu cho ng c vin A. Vi tin cy
98% ti thiu ng c vin A s chim c bao nhiu % s phiu bu? Cho bit phn v
mc 0,975 ca phn b chun tc N(0;1) l 1,96.
5.23 xc nh sn lng khai thc in thoi ca n v mnh, mt n v tin hnh thng
k ngu nhin 35 ngy v thu c kt qu sau vi n v 100.000 pht/ngy:
0,84 0,96 1,02 1,08 0,88 0,80 0,91 0,97 1,07 0,98 1,04 1,13 0,87 0,82 1,01
0,93 1,03 1,10 0,97 1,05 0,83 0,76 0,95 1,15 1,00 1,05 1,14 0,89 0,81
0,95 1,20 1,16 1,24 0,79 0,77.
Tm khong tin cy 95% cho sn lng in thoi trung bnh mi ngy.
5.24 Mun c lng s c trong h, ngi ta bt 2000 con c trong h nh du ri th li xung
h. Sau bt li 400 con v thy c 53 con c du. Hy c lng s c trong h vi tin
cy l 0,95.
5.25 xc nh chiu cao trung bnh ca cc cy con trong mt vn m ngi ta tin hnh o
ngu nhin 40 cy. Kt qu o c nh sau:
Khong chiu cao (cm) 16,5-17 17-17,5 17,5-18 18-18,5 18,5-19 19-19,5
S cy tng ng
11
12
a) Tm khong tin cy 90% cho chiu cao trung bnh ca vn cy con.

b) Nu mun khong c lng c chnh xc = 0,1 th cn ly mu bao nhiu cy.
5.26 Trng lng ca mt loi sn phm A l mt bin ngu nhin c phn b theo quy lut chun
vi lch chun l 1 gam. Cn th 27 bao loi ny ta thu c kt qu:
Trng lng(gam) 47,5 - 48,5 48,5 - 49,5 49,5 - 50,5 50,5 - 51,5 51,5 - 52,5
S bao tng ng
15
a) Tm khong tin cy 95% ca trng lng trung bnh ca loi sn phm trn.
126

b) Nu mun chnh xc = 0,1 th kch thc mu cn thit l bao nhiu.
5.27 Trng lng ng bao ca mt loi sn phm X l bin ngu nhin c phn b theo quy lut
chun vi trng lng trung bnh theo quy nh l 100kg. Nghi ng sn phm b ng thiu,
ngi ta cn th 29 bao loi ny ta thu c kt qu:
Trng lng (kg)
98,0 -98,5
S bao tng ng
98,5 99,0
99,0 - 99,5 99,5 - 100
10
100 -100,5 100,5-101
Vi mc ngha = 0, 025 hy kt lun v iu nghi ng ni trn.

5.28 nh mc thi gian hon thnh sn phm l 14 pht. Liu c cn thay i nh mc khng,
nu theo di thi gian hon thnh sn phm 250 cng nhn ta thu c kt qu nh sau:
X (pht)
10 - 12
12 - 14
14 - 16
16 - 18
18 - 20
20
60
100
40
30
S cng nhn
Vi mc ngha = 0, 05 hy kt lun v nh ni trn.

5.29 Mc hao ph xng ca mt loi t chy t A n B l mt bin ngu nhin c quy lut
chun vi k vng 50 lt. on ng c sa cha li. Ngi ta cho rng mc hao ph xng
trung bnh gim xung. Quan st 28 t cng loi thu c
X hao ph (lt)
S t tng ng
48,5 - 49,0
49,0 - 49,5
49,5 - 50,0
50,0 - 50,5
50,5-51
10
Vi mc ngha = 0, 025 hy kt lun v iu nghi ng ni trn.

5.30 Mt cng ty c mt h thng my tnh c th x l 1300 ho n trong 1 gi. Cng ty mi
nhp mt h thng my tnh mi, h thng ny chy kim tra trong 40 gi cho thy s ho n
x l trung bnh trong 1 gi l 1378 vi lch tiu chun 215. Vi mc ngha 2,5% hy
nhn nh xem h thng mi c tt hn h thng c hay khng?
127
Chng 6: Qu trnh ngu nhin chui Markov
CHNG VI: QU TRNH NGU NHIN

CHUI MARKOV
GII THIU
Hu ht cc hin tng xy ra trong t nhin v x hi u c tnh cht ngu nhin, iu
phn nh cc mi rng buc phc tp m ta khng bit trc c. Trong cc chng trc chng
ta tm hiu khi nim bin ngu nhin, vc t ngu nhin, l cc bin nhn cc gi tr no
ph thuc vo cc yu t ngu nhin. Khi h cc bin ngu nhin ph thuc vo thi gian ta c
qu trnh ngu nhin.
Cc tn hiu truyn dn v nhiu ca mt h thng vin thng, qu trnh sp hng mt
tng i... l cc qu trnh ngu nhin. Qu trnh ngu nhin c nhiu ng dng trong vin thng
l qu trnh c tnh Markov (memoryless) v qu trnh dng.
Chui Markov l mt qu trnh Markov c khng gian trng thi ri rc, thi gian ri rc v
thun nht. Chui Markov thng gp trong bi ton chuyn mch ca h thng vin thng.
Qu trnh Poisson l mt v d v chui Markov vi thi gian lin tc. Qu trnh Poisson
X (t ) m t qu trnh m s ln xut hin mt bin c A no cho n thi im t . Qu trnh
Poisson c ng dng nhiu trong vin thng, lin quan n bi ton truyn tn hiu, cc h phc
v, bi ton chuyn mch ... Nu s cuc gi n mt tng i l mt qu trnh Poisson, mi cuc
gi chim dng thit b trong mt khong thi gian no , gi s cc thi gian ny l cc bin
ngu nhin c lp cng phn b, khi tng s gi gi l mt qu trnh Poisson phc hp. Qu
trnh Poisson phc hp v qu trnh Poisson phn loi gip ta tnh c sn lng trung bnh khi
khai thc dch v vin thng.
Tn hiu vin thng, nhiu khng c tnh Markov. Cc qu trnh ny qu kh ca n c nh
hng ln n s tin trin ca qu trnh trong tng li. Tuy nhin hm trung bnh khng i v
hm tng quan thun nht theo thi gian, qu trnh dng. Khi cc qu trnh dng l cc tn
hiu hoc nhiu th bin i Fourier ca hm tng quan ca qu trnh l mt ph cng sut
ca tn hiu hoc nhiu.
Mt trong nhng bi ton quan trng ca l thuyt chuyn mch l vn xung t thng
tin, nghn mch hoc rt cuc gi. L thuyt qu trnh sp hng (queueing process) xc nh v
tm cc phng n ti u h thng phc v tt nht.
Trong chng ny ta nghin cu khi nim qu trnh ngu nhin v chui Markov, qu trnh
Poisson, qu trnh dng v l thuyt sp hng s c kho st trong gio trnh ton chuyn
ngnh.
hc tt chng ny hc vin cn nm vng khi nim xc sut, xc sut c iu kin,
bin ngu nhin v kin thc i s tuyn tnh: Ma trn, h phng trnh tuyn tnh.
128
NI DUNG
6.1. KHI NIM V PHN LOI QU TRNH NGU NHIN
6.1.1. Khi nim qu trnh ngu nhin
Cc tn hiu ca cc h thng thng tin l cc tn hiu ngu nhin v ngoi thnh phn mang
tin cn c s tc ng ca giao thoa ngu nhin v nhiu ca thit b.
Gi s mt tn hiu no m ti mi thi im t ch xy ra ng vi cc bin c
{Ei , i N } ca khng gian mu. Tn hiu ny nhn gi tr l v(t , Ei ) ti thi im t v khi bin
c Ei xy ra. Nh vy v(t , Ei ) l mt mu ca qu trnh ngu nhin v(t ) . Qu trnh ngu nhin
v(t ) va ph thuc thi gian t , va ph thuc yu t ngu nhin Ei .

v(t , E1 )
t1
v(t , E 2 )
t1
Qu trnh ngu nhin v(t )
t2
t2
t2
v(t , E3 )
t1
v(t , E 4 )
t1
{v(t1 , Ei ), i N }
t2
{v(t 2 , Ei ), i N }
Mt cch tng qut mt qu trnh ngu nhin l mt h cc bin ngu nhin

{X (t , ); t I } . Cc qu trnh ny va ph thuc vo thi gian t v khi c nh tham s t th
X (t , ) l bin ngu nhin theo . Tp ch s I thng biu din tham s thi gian.
Hu ht cc qu trnh xy ra trong t nhin v x hi u l qu trnh ngu nhin. Cc tn
hiu video, tn hiu thoi, d liu my tnh, nhiu in trong cc thit b in, s khch hng n
mt im phc v, ch s chng khon trong th trng chng khon l cc qu trnh ngu
nhin.
n gin trong cch vit ngi ta k hiu qu trnh ngu nhin {X (t ); t I } thay cho
{X (t , ); t I } .
129

6.1.2. Phn loi qu trnh ngu nhin
Cc yu t chnh phn bit cc qu trnh ngu nhin l khng gian trng thi, tp ch s
I v quan h c lp gia cc bin ngu nhin X (t ) . V vy ta c th phn loi qu trnh ngu
nhin theo:
6.1.2.1. Tp trng thi E
Ta k hiu E l tp cc gi tr ca X (t ) v gi l khng gian trng thi ca qu trnh.
Nu E l tp m c th {X (t ); t I } gi l qu trnh c trng thi ri rc.
Nu E l 1 khong ca tp s thc th {X (t ); t I } l qu trnh thc.
Nu E tp con ca tp s phc th
Nu E = k th {X (t ); t I } l qu trnh k-vc t.
{X (t ); t I } l qu trnh phc.
6.1.2.2. Tp cc ch s I
Nu I th qu trnh
{X (t ); t I }
c gi l qu trnh c thi gian ri rc.
Trng hp ny ta k hiu x(n) thay cho x(t ) .

Nu I = [0; ) hoc I = th {X (t ); t I } c gi l qu trnh c thi gian lin tc.
6.1.2.3. Quan h c lp
Qu trnh {X (t ); t I } c gi l:
a) Qu trnh c gia s c lp: Nu vi mi cch chn t1 < t 2 < .... < t n th cc bin ngu
nhin sau c lp
X (t 2 ) X (t1 ), X (t 3 ) X (t 2 ), .... , X (t n ) X (t n 1 ) .
(6.1)
c bit vi qu trnh ri rc { X (n) } th tnh cht gia s c lp dn n dy cc bin ngu

nhin Z 0 = X (0) , Z i = X (i ) X (i 1) ; i = 1, 2, ... l c lp. Ngoi ra nu ta bit lut phn b
ca tng bin ngu nhin Z 0 , Z1 , ... th ta bit c lut phn b ca mi X (i ) , i = 0 , 1, ... .
Tht vy, iu ny c suy t cng thc (3.21)-(3.24) v
X (i ) = Z 0 + Z1 + ... + Z i .
b) Qu trnh Martingal: Nu vi mi cch chn t1 < t 2 < .... < t n +1 v vi mi cch chn
a1 , a2 ,...., an th
E X (tn+1 ) X (t1 ) = a1 ,..., X (tn ) = an = an .
(6.2)
Martingal c th xem nh l m hnh m t tr chi may ri, trong X (t ) l s tin ca

ngi chi thi im t . Tnh cht Martingal ni rng s tin trung bnh ca ngi chi s c
130

thi im t n +1 bng s tin anh ta c thi im t n v khng ph thuc vo nhng g anh ta c
trc trong qu kh.
Nu
{X (t ); t 0}
l qu trnh gia s c lp vi k vng bng 0 th
{X (t ); t 0}
Martingal vi thi gian lin tc.

c) Qu trnh Markov: Nu vi mi cch chn t1 < t 2 < .... < t n v vi mi cch chn
a1 , a2 ,...., an th vi mi t , vi mi a < b ,
P{a < X (t ) b X (t1 ) = a1 ,..., X (t n ) = a n } = P{a < X (t ) b X (t n ) = a n }.
(6.3)
Ngha l qui lut xc sut trong tng lai ch ph thuc hin ti v c lp vi qu kh. Ni
cch khc qu trnh Markov m t cc h khng c tr nh (memoryless).
Vi mi t > s; vi mi tp gi tr A v gi tr a ta k hiu
p ( s, a; t , A) = P{X (t ) A X ( s ) = a}
(6.4)
v gi l hm xc sut chuyn t thi im s n thi im t .

Nh vy cng thc (6.3) c vit li
P{a < X (t ) b X (t1 ) = a1 ,..., X (t n ) = a n } = p (t n , a n ; t , A) , trong A = (a; b] .

d) Qu trnh dng (stationary)
Qu trnh {X (t ); t I } , I = , + , , c gi l:
Dng theo ngha cht (strictly stationary): Nu h > 0, t1 , t 2 ,...., t n I th hm phn b
ng thi ca ( X (t1 + h), X (t 2 + h),..., X (t n + h) ) v ( X (t1 ), X (t 2 ),..., X (t n ) ) l nh nhau.

Ni ring mi X (t ) c cng phn b.
Dng theo ngha rng hay dng hip phng sai (wide sense stationary or covariance
stationary): Nu
i) EX (t ) = m =const
ii) Vi mi t , cov( X (t ), X (t + ) ) = E[X (t ) m, X (t + ) m] ch ph thuc .
t
K x () = cov( X (t ), X (t + ) )
(6.5)
v gi l hm t tng quan ca qu trnh {X (t ); t I } .

6.2. CHUI MARKOV
Chui Markov l qu trnh Markov {X (t ); t I } c khng gian trng thi E m c.
Tu theo tp ch s I = {0,1,2,...} hoc I = (0; ) ta c tng ng chui Markov vi thi gian
ri rc hoc lin tc.
Vi chui Markov cng thc xc sut chuyn (6.4) c vit c th
131
p ( s, i; t , j ) = P{X (t ) = j X ( s ) = i}, t > s .
(6.6)
Nu xc sut chuyn ch ph thuc vo t s ngha l
p( s, i; t , j ) = p( s + h, i; t + h, j )
(6.7)
vi mi h , th ta ni qu trnh l thun nht theo thi gian.

6.2.1. Chui Markov vi thi gian ri rc thun nht
nh ngha 6.1. Qu trnh {X ( n), n = 0,1,2,...} vi thi gian ri rc c gi l chui
Markov thi gian ri rc thun nht nu
i) Khng gian trng thi E ca mi X (n) l tp m c.
ii) Hm xc sut chuyn l thun nht theo thi gian, ngha l tho mn (6.7).
Ta ni tt chui Markov thay cho chui Markov thi gian ri rc thun nht.
6.2.2. Ma trn xc sut chuyn
Gi s {X (n), n = 0,1,2,...} l chui Markov thi gian ri rc c khng gian trng thi E .
Cc phn t ca
E c k hiu i, j, k ...
Vi mi i, j E ; t
pij = P{X (n + 1) = j X (n) = i}
(6.8)
khng ph thuc vo n . l xc sut t trng thi i sau mt bc s chuyn thnh trng

thi j .
t
pij( k ) = P{X (n + k ) = j X (n) = i} = P{X (k ) = j X (0) = i} .
(6.9)
nh ngha 6.1: Ma trn vung P = pij gi l ma trn xc sut chuyn sau 1 bc.
Ma trn vung P ( k ) = pij( k ) gi l ma trn xc sut chuyn sau k bc.
K hiu P (0) = I , P (1) = P, I l ma trn n v.
nh l 6.1: Vi mi n 0 , ta c phng trnh Chapman- Kolmogorov:
P ( n +1) = PP ( n) = P ( n) P
(6.10)
T suy ra
P ( n) = P n .
Chng minh: 1) p dng cng thc xc xut y ta c
132
(6.11)
pij ( n+1) = P{ X (n + 1) = j X (0) = i}

=
P{ X (n + 1) =
j X (0) = i , X (1) = k }P{ X (1) = k X (0) = i}
kE
P{ X (n + 1) = j
X (1) = k }P{ X (1) = k X (0) = i} =
k E
kE
pik pkj (n)
P ( n +1) = PP ( n ) .
Ta cng c:
pij ( n+1) = P{ X (n + 1) = j X (0) = i}
P{ X (n + 1) =
j X (0) = i , X (n) = k }P{ X (n) = k X (0) = i}
P{ X (n + 1) =
j X (n) = k }P{ X (n) = k X (0) = i} =
kE
k E
kE
pik (n) pkj
P ( n +1) = P ( n ) P .
2) T 1) suy ra P ( 2) = PP , quy np ta c P ( n ) = P n .
t
p (jn) = P{X (n) = j}, n = 0,1,2,... .
(6.12)
Ma trn hng ( n ) = p (jn ) gi l phn b ca h ti thi im n .

Khi n = 0 , ma trn = (0) c gi l phn b ban u.
nh l 6.2: Vi mi n 0 , m 0 :
(n) = P (n) ;
(6.13)
( n +1) = ( n) P .
(6.14)
( n + m) = ( n) P ( m) .
(6.15)
Chng minh: T nh l 6.1 ta suy ra 3 iu trn l tng ng. V vy chng minh

nh l 6.2 ta ch cn chng minh (6.15).
p j ( n+ m) = P{ X (n + m) = j } =
=
pi (n) pij (m)
P{ X (n) = i }P{ X (n + m) =
j X (n) = i}
kE
iE
Vy chui Markov ri rc thun nht hon ton c xc nh bi b ba ( X (n), , P ) trong

X (n) l dy cc bin ngu nhin ri rc.
133

V d 6.1: n trm thu pht hai tn hiu 0, 1 dng knh i xng nh phn vi xc sut li
1 p
x0 = 0
p:
y0 = 0
p
p
x1 = 1
y1 = 1
1 p
p
1 p
1 p
0
p
y l 1 m hnh chui Markov c khng gian trng thi E = {0,1} , thi gian I = {1,2,..., n}
c ma trn xc sut chuyn
p
1 p
P=
p 1 p
6.2.3. Mt s m hnh chui Markov quan trng
6.2.3.1. M hnh phc v m ng
Xt m hnh phc v m ng (l thuyt sp hng). Khch n sp hng ch phc v theo
nguyn tc FIFO (first in first out) v trong mi chu k ca hng ch phc v mt khch. S
khch n trong chu k th n l bin ngu nhin n . Gi s 1 , 2 ,... l cc bin ngu nhin c
lp cng phn b vi bin ngu nhin c phn b xc sut.
P{ = k } = a k ; k = 0,1,2,... ; ak > 0;
ak = 1 .
(6.16)
Trng thi ca h (ca hng) ti thi im u ca mi chu k l s khch xp hng ch

phc v. Nu hin ti h trng thi i v sau 1 chu k h ri vo trng thi j th
i 1 +
j=
nu i 1,
nu i = 0.
134
(6.17)

K hiu X (n) l s khch hng ti thi im u ca chu k th n th
X (n + 1) = ( X (n) 1)+ + n , trong X + = max(0, X ) ,

T 6.16-6.17 suy ra {X (n); n = 0,1,...} l chui Markov thun nht vi ma trn xc sut
chuyn
a 0
a 0
P=0
a1
a2
a1
a2
a0
a1
a0
a3
a3
a 2
a1
(6.18)
6.2.3.2. M hnh kim k (Inventory Model)

Gi thit phi d tr trong kho mt loi hng no p ng nhu cu lin tc ca khch
hng. Hng c nhp kho ti cui mi chu k n = 0,1,2,... Gi s tng s lng hng cn phi
p ng nhu cu trong chu k n l bin ngu nhin n c phn b c lp vi chu k thi gian.
Ngha l dy { n } c lp c cng phn b vi .
P{ = k } = a k ; a k > 0 v
ak = 1 .
(6.19)
Mc hng d tr c kim k ti cui mi chu k. Cch nhp hng cn c vo 2 ch s

tiu chun s v S ( s < S ) nh sau: Nu cui mi chu k lng hng d tr s th ngay tc
khc nhp hng c s hng d tr bng S ; Nu hng hin c > s th khng cn nhp hng.
K hiu X (n) l lng hng hin c ti cui chu k n v trc khi nhp hng, nh vy
X (n) n+1
X (n + 1) =
S n+1
Cc trng thi ca qu trnh
nu s < X (n) S ,
nu
X (n) s.
(6.20)
{ X (n)} l cc s lng hng d tr:

S , S 1, ...,1, 0, 1, 2, ...
trong gi tr m l nhu cu cha c phc v m s c p ng ngay sau khi nhp hng
P{ n+1 = i j } nu s < i S ,
pij = P{ X (n + 1) = j X (n) = i} =
P{ n+1 = S j } nu i s.
(6.21)
V d 6.2. Xt m hnh kim k ph tng thay th, trong yu cu c th l 0, 1 hoc 2

n v ph tng cn thay th trong mt chu k bt k vi phn b xc sut nh sau
P{ = 0 } = 0,5 ; P{ = 1 } = 0,4 ; P{ = 2 } = 0,1

v gi s s = 0 ; S = 2 .
135

Khng gian trng thi s l E = { 1, 0,1, 2 }.
p 1, 1 = P{ X (n + 1) = 1 X (n) = 1 } = P () = 0 ,
Ta c:
p 1,0 = P{ X (n + 1) = 0 X (n) = 1 } = P ( = 2) = 0,1 ,

p 1,1 = P{ X (n + 1) = 1 X (n) = 1 } = P ( = 1) = 0,4 ,
...........................
Ma trn xc sut chuyn:
0
P=
0,1
0,1 0,4 0,5
0,1 0,4 0,5
0,4 0,5 0
0,1 0,4 0,5
6.2.4. Phn b dng, phn b gii hn, phn b ergodic

nh ngha 6.3. * = [1 , 2 , ...] c gi l phn b dng nu tho mn 2 iu kin:
1)
j = 1;
2) * = * P .
(6.22)
T 2) suy ra * = * P = * P 2 = ... = * P n ; n . Do nu ly * lm phn b u

ca chui Markov th *(n ) = * , n .
nh ngha 6.4: Ta ni rng chui Markov c phn b gii hn l [ 1 , 2 , ... ] nu tho
mn 2 iu kin:
1) Vi mi j tn ti gii hn lim pij ( n ) = j khng ph thuc i ,
n
2)
j =1 ,
j 0,
(6.23)
(6.24)
Nu iu kin 2) c thay bi
2')
j =1 ,
j >0
(6.25)
th chui Markov c gi l c tnh ergodic cn [ 1 , 2 , ... ] l phn b ergodic.

nh l 6.3: Nu tn ti phn b gii hn th l phn b dng duy nht.
Chng minh: Gi s [ 1 , 2 , ... ] l phn b gii hn th vi mi j
j = lim pij ( n +1) = lim pik ( n) pkj = k pkj
n k
n
k
136
[1 , 2 , ...] = [1 , 2 , ...]P . Do [ 1 , 2 , ... ] l mt phn b dng.
Ngc li gi s [1 , 2 , ...] l mt phn b dng bt k ca chui Markov ny th
j = k pkj = k pkj ( 2) = .... = k pkj

k
(n)
j = lim k pkj ( n) = k j = j .
n k
k
Ngha l phn b gii hn l phn b dng duy nht.

nh l 6.4: Nu chui Markov c khng gian trng thi hu hn th chui ny l ergodic
khi v ch khi tn ti n0 sao cho min pij ( n0 ) > 0 .
i, j
Ch : T nh l 6.3 v 6.4 ta thy rng nu chui Markov vi ma trn xc sut chuyn
[ ]
P = pij tn ti n0 sao cho min pij ( n0 ) > 0 th chui ny l ergodic. Phn b ergodic cng l
i, j
phn b dng duy nht, l nghim ca h phng trnh:
x1 x1

t
x1 , x2, ... = x1 , x2, ... P
P x2 = x2
hay

x j 0, x j = 1.
j
x j 0, x j = 1.
(6.26)
V d 6.3: Cho chui Markov c ma trn xc sut chuyn
a
1 a
P=
, 0 < a, b < 1
b 1 b
l chui Markov c tnh ergodic vi phn b ergodic l nghim ca h phng trnh
b x1 x1
1 a
x1 = a + b
ax1 + bx2 = 0
a 1 b x2 x2
x1 + x2 = 1
x = a
2 a + b
lim P ( n)
= a + b
b
a + b
a
a + b
a
a + b
V d 6.4: Trong mt bi bo vit nm 1913 A. A. Markov chn 1 dy gm 20.000 ch

ci trong trng ca Evghenhi Onheghin ca A. X. Puskin v thy rng cc ch ci ny chuyn i
lin tip theo hai trng thi nguyn m (Na) v ph m (Pa) vi ma trn xc sut chuyn l
137
0,128 0,872 Na
P=
0,663 0,337 Pa
Na
Pa
Phn b gii hn (cng l phn b dng) ca chui Markov ny l (0,423; 0,568). Vy c
khong 42,3% nguyn m v 56,8% ph m trong tc phm trn.
6.3. PHN LOI TRNG THI CHUI MARKOV
nh l 6.4 cho ta du hiu nhn bit mt chui Markov hu hn trng thi tn ti phn b
ergodic. Trong trng hp tng qut, bng cch phn tch trng thi ca chui Markov ta s tm
iu kin tn ti phn b gii hn tha mn (6.23)-(6.24).
6.3.1. Cc trng thi lin thng v s phn lp
nh ngha 6.5: Ta ni rng trng thi j t c t trng thi i nu tn ti n 0 sao
(n)
cho pij > 0 (xc sut sau n bc chuyn t trng thi i sang trng thi j ln hn 0). K
hiu i j .
( 0)
Quy c pii
= 1 v pij(0) = 0 khi i j .
Hai trng thi i v j c gi l lin thng vi nhau nu i j v j i , lc ta k

hiu i j .
C th chng minh c rng l mt quan h tng ng trn tp cc trng thi. Do
ta c th phn hoch khng gian trng thi thnh cc lp tng ng. Cc lp tng ng
ny ri nhau, hai trng thi bt k cng mt lp th lin thng vi nhau, cn hai trng thi thuc
hai lp khc nhau khng th lin thng vi nhau.
nh ngha 6.6: Chui Markov c gi l ti gin nu hai trng thi bt k ca khng
gian trng thi lin thng vi nhau.
Nh vy chui Markov ti gin ch c mt lp tng ng.
Gi s khng gian trng thi c tch thnh cc lp tng ng E = E1 E 2
Trong nhiu trng hp c th xem mi E k ( k = 1, 2, ... ) l khng gian trng thi ca chui
Markov ti gin. V th E1 , E 2 , ... c gi l cc lp ti gin ca chui.
V d 6.5: Cho chui Markov vi ma trn xc sut chuyn
1 / 3 2 / 3 0
1 / 4 3 / 4 0
P= 0
0
0
0
0 1/ 2
0
0
0
0
0
1
0
1
138
0
P1
0 =
0
1 / 2
P2
2/3
1/ 2
1/ 3
3/ 4
3
1/ 2
1/ 4
Khng gian trng thi E = {1, 2, 3, 4, 5} phn thnh hai lp E1 = {1, 2} , E 2 = {3, 4, 5} v c
th xem E1 , E 2 l khng gian trng thi ca chui Markov vi ma trn xc sut chuyn tng
ng l P1 v P2 .
6.3.2. Chu k ca trng thi
nh ngha 6.7: c chung ln nht ca tt c cc s t nhin n 1 tha mn iu kin
pii( n)
> 0 c gi l chu k ca trng thi i k hiu d (i ) . Nu pii( n) = 0 i vi mi n 1 th
t d (i ) = 0 .
nh l 6.7: Nu i j th d (i ) = d ( j ) . Do cc trng thi thuc cng mt lp c cng
chu k.
i vi chui Markov ti gin mi trng thi u c cng chu k ta gi d l chu k chung
c mi trng thi ca chui.
Nu d = 1 th ma trn xc sut chuyn P ch c 1 khi.
Nu d > 1 th tp trng thi E tch thnh d lp con: C 0 , C1 , ... , C d 1 . Trong

trng hp ny sau mt bc h xut pht t C 0 s chuyn sang C1 ; xut pht t
C1 s chuyn sang C 2 ; v.v Ma trn xc sut chuyn P c dng khi nh sau.
C0
C d 1
C1
C0
C1
(6.27)
C d 1
6.3.3. Trng thi hi quy v trng thi khng hi quy
Vi mi trng thi i ta t:
139
f ij( n) = P{X n = j , X 1 j , ... X n1 j X 0 = i}; j E .

(n )
Nh vy f ij
(n )
c bit f ii
(6.28)
l xc sut h xut pht t i ln u tin chuyn sang j ti bc th n .
l xc sut h xut pht t i ln u tin quay v i ti bc th n .
T tnh Markov v cng thc xc sut y ta c:
pij( n) =
( 0)
trong ta quy c f ij
f ij(k ) p (jjnk ) , n 1;
k =0
f ij(1) = pij .
(6.29)
= 0 vi mi i, j .
nh ngha 6.7: t
f ij =
n =0
f ij( n) , f ii =
f ii(n) .
(6.30)
n =0
Nu f ii = 1 th i c gi hi l trng thi quy.
Nu f ii < 1 th i c gi l trng thi khng hi quy.
Nh vy trng thi i hi quy khi v ch khi h xut pht t i , vi xc sut 1 h li tr v i

ti thi im hu hn no .
( )
(n )
Trng hp trng thi i hi quy f ii = 1 , theo cng thc (6.30) th f ii

lp thnh phn
b xc sut. Do ta c th tnh gi tr trung bnh, l thi gian trung bnh h tr li i .
i =
nf ii(n)
(6.31)
n =0
nh ngha 6.9: Gi s i l trng thi hi quy. Ta ni:
i l trng thi hi quy dng nu i < .
i l trng thi hi quy khng nu i = .
6.3.4. Tiu chun hi quy v khng hi quy
nh l 6.8: 1) Trng thi i l hi quy khi v ch khi
pii(n) = .
n =1
2) Trng thi i l khng hi quy khi v ch khi
pii(n) < .
n =1
3) Nu i j v i hi quy th j i v j cng hi quy.

4) Nu i j v j hi quy th f ij = 1 .
140

6.3.5. nh l gii hn c bn ca chui Markov
nh l 6.9: Gi s j l trng thi hi quy, chu k d ( j ) = 1 . Khi :
1. Nu i v j lin thng th
lim
pij( n)
= j
0
i vi j l trng thi d ong
(6.32)
i vi j l trng thi khng
2. Nu i v j khng lin thng th
lim pij( n)
f ij
= j
i vi j l trng thi d ong
(6.33)
i vi j l trng thi khng
nh l 6.10: Gi s j l trng thi hi quy, chu k d ( j ) = d > 1 . Khi :

1. Nu i v j lin thng; i thuc vo lp con C r cn j thuc vo lp C r + a th
lim pij( nd + a ) =
d
, ( a = 0,1, ... , d 1 )
j
(6.34)
2. Nu i v j khng lin thng th
d
lim pij( nd + a ) = f ij( rd + a )
, ( a = 0,1, ... , d 1 )
n
r =0
j
(6.35)
6.3.6. S tn ti phn b dng

nh l 6.11: iu kin cn v tn ti phn b gii hn l khng gian trng thi E c
ng mt lp hi quy dng C , chu k d (C) = 1 sao cho f ij = 1; j C , i E .
Khi phn b gii hn cng l phn b dng duy nht c j =
nh l 6.12: Gi s
1
.
j
{X (n)} l mt chui Markov c khng gian trng thi hu hn. Khi
cc iu sau l tng ng:

(i)
{X (n)} ti gin c chu k 1.
(ii) {X (n)} ti gin c chu k 1 v tt c cc trng thi l hi quy dng.

(iii)
{X (n)} c tnh ergodic, ngha l tn ti phn b ergodic.

( n)
(iv) Tn ti n0 sao cho min pij

i, j
> 0 vi mi n n0 (xem nh l 6.4).
6.4. DI NG NGU NHIN TRN NG THNG
141

6.4.1. Di ng ngu nhin trn ng thng khng c trng thi hp th
Gi s { n }n =1 l dy cc bin ngu nhin c lp c cng phn b khng mt A( p) :
n , ( n = 1, 2,... ) . Khi { X n }n =1 lp thnh chui Markov vi ma trn xc
t X n = 1 + 2 +
sut chuyn l
p vi j = i + 1
P = pij trong pij = 1 p vi j = i 1 ; 0 < p < 1

0 vi j i 1
(6.36)
Khng gian trng thi ca chui ny l E = {0, 1, 2,...}
1 p
1 p
1 p
1 p
1 p
Chui ny dng m t di ng ngu nhin trn ng thng ca ht vt cht no : Sau

mi chu k ht dch chuyn sang phi vi xc sut p hoc dch sang tri vi xc sut 1 p .
Di ng ngu nhin trn ng thng l chui Markov ti gin, c chu k d = 2 chui
khng tn ti phn b dng, khng c tnh ergodic.
6.4.2. Di ng ngu nhin trn ng thng c mt trng thi hp th
l di ng ca ht vt cht vi khng gian trng thi E = {0,1, 2,...} v ma trn xc
sut chuyn l P = pij , trong
p vi j = i + 1, i 0,
p00 = 1, pij = 1 p vi j = i 1, i 0, ; 0 < p < 1

0 vi j i 1, i 0,
1
1
1 p
2
1 p
1 p
142
1 p
(6.37)

Lc ny {0} lp thnh lp hi quy dng duy nht vi chu k d = 1 : E = {0} {1, 2,...} .
Tt c cc trng thi 1, 2,... l khng hi quy. V vy theo nh l 6.11 tn ti phn b dng duy
nht, l
1 vi j = 0,
0 vi j 0.
j =
(6.38)
Hn na c th chng minh c rng i vi mi i 1 th

(n)
i0
lim p
( q / p )i
=
1
nu p > q,
(6.39)
nu p q; q = 1 p.
V vy:
Khi p > q th lim pi(0n ) = ( q / p ) ph thuc vo i , do khng tn ti phn b gii hn.
i
1 vi j = 0,
Khi p q th tn ti phn b gii hn, l j =
0 vi j 0.
6.4.3. Di ng ngu nhin trn ng thng c hai trng thi hp th
l m hnh di ng nh hnh v
1
2
1 p
N 1
1 p
1 p
Trong trng hp ny c hai lp hi quy dng l {0} v { N } . Cc trng thi cn li khng

hi quy:
E = {0} { N } {1, 2,..., N 1} .

Di ng s ngng li khi ht ri vo trng thi 0 hoc trng thi N .
Do tn ti v s phn b dng = [ 0 , 1 ,..., N ] , trong
0 = a, N = 1 a, 1 = 2 = ... = N 1 = 0 , vi 0 a 1 .
Khng tn ti phn b gii hn. Hn na c th chng minh c rng:
143
(6.40)
lim pi(0n )
( q / p )i ( q / p ) N
nu p q,
1 ( q / p )N
=
i
nu p = q = 1/ 2.
1
N
lim piN( n ) = 1 lim pi(0n ) ,
lim pij( n ) = 0 ( j = 1, 2,..., N 1 ).
6.4.4. Di ng ngu nhin trn ng thng c mt trng thi phn hi

l chui Markov c dng nh hnh v
1
1 p
1 p
1 p
1 p
1 p
0<p<1
Chui ti gin, c chu k d = 2 .

Khi p > q , ht c xu hng i sang phi, chui khng tn ti phn b gii hn v phn b dng.
Khi p = q = 1/ 2 , tt c cc trng thi l hi quy khng. Khng tn ti phn b dng.
Khi p < q , tt c cc trng thi l hi quy dng. Tn ti phn b dng duy nht.
q p
q p
q p p
x0 =
, x1 =
,..., x j =

2
2q
2q
2q 2 q
j 1
; j 2.
(6.41)
6.4.5. Di ng ngu nhin trn ng thng c hai trng thi phn hi

l chui Markov c dng nh hnh v
1 p
1 p
1 p
144
N 1
0<p<1

Chui ti gin, c hu hn trng thi. Tt c cc trng thi ca chui l hi quy dng, c
chu k d = 2 .
Chui tn ti phn b dng nhng khng tn ti phn b gii hn.
Phn b dng l nghim duy nht ca h phng trnh (6.26)
N
x
=
j xi pij ( j = 0,1,..., N ),
i =0
N
x 0,
xi = 1.
i
i =0
T suy ra
x0 = x1q , xN = xN 1 p ; xi =
( p / q)
i 1
p
1+
j =1 q
N 1
j 1
;(1 i N 1) .
(6.42)
TM TT
Khi nim qu trnh ngu nhin
Qu trnh ngu nhin l mt h cc bin ngu nhin {X (t , ); t I } . Cc qu trnh ny va
ph thuc vo thi gian t v khi c nh tham s t th X (t , ) l bin ngu nhin theo . Tp
ch s I thng biu din tham s thi gian.
Qu trnh Markov
Qu trnh {X (t ); t I } l qu trnh Markov nu vi mi cch chn t1 < t 2 < .... < t n v vi
mi cch chn a1 , a2 ,...., an th
P{a < X (t ) b X (t1 ) = a1 ,..., X (t n ) = a n } = P{a < X (t ) b X (t n ) = a n }

ng vi mi t > tn , vi mi a < b .
Chui Markov
Chui Markov l qu trnh Markov {X (t ); t I } c khng gian trng thi E m c.
Tu theo tp ch s I = {0,1,2,...} hoc I = (0; ) ta c tng ng chui Markov vi thi
gian ri rc hoc lin tc.
Chui Markov vi thi gian ri rc thun nht
Qu trnh {X (n), n = 0,1,2,...} vi thi gian ri rc c gi l chui Markov thi gian ri
rc thun nht nu
i) Khng gian trng thi E ca mi X (n) l tp m c.
ii) Hm xc sut chuyn l thun nht theo thi gian, ngha l tho mn:
p ( s, i; t , j ) = p ( s + h, i; t + h, j )
145

Ta ni tt chui Markov thay cho chui Markov thi gian ri rc thun nht.
Ma trn xc sut chuyn
Vi mi i, j E ; t pij = P{X (n + 1) = j X (n) = i}
pij( k ) = P{X (n + k ) = j X (n) = i} = P{X (k ) = j X (0) = i} .

Ma trn vung P = pij gi l ma trn xc sut chuyn sau 1 bc.
Ma trn vung P ( k ) = pij( k ) gi l ma trn xc sut chuyn sau k bc.
t
p (jn) = P{X (n) = j}, n = 0,1,2,... .
Ma trn hng ( n ) = p (jn ) gi l phn b ca h ti thi im n .

Phn b dng, phn b gii hn, phn b ergodic
* = [1 , 2 , ...] c gi l phn b dng nu tho mn:
j = 1 ; * = *P .
j
Ta ni rng chui Markov c phn b gii hn l [ 1 , 2 , ... ] nu tho mn 2 iu kin:

1) Vi mi j tn ti gii hn lim pij ( n) = j khng ph thuc i ,
n
2)
j =1 ,
j 0,
Nu iu kin 2) c thay bi 2')
j =1 ,
j >0
th chui Markov c gi l c tnh ergodic cn [ 1 , 2 , ... ] l phn b ergodic.
CU HI N TP V BI TP
6.1 Qu trnh ngu nhin X (t , ) l mt hm s ca hai bin (t , ) .
ng
Sai
6.2 Mi qu trnh c gia s c lp l qu trnh Markov.

ng
Sai
6.3 Chui Markov l qu trnh Markov {X (t ); t I } c khng gian trng thi E m c.

ng
Sai
6.4 Ma trn xc sut chuyn sau n bc ca mt chui Markov bng tch n ln ma trn xc sut
chuyn mt bc ca chui Markov ny.
ng
Sai
146

6.5 Nu tn ti phn b gii hn th n l phn b dng duy nht.
ng
Sai
6.6 Mi chui Markov c hu hn trng thi lun tn ti phn b dng duy nht l phn b
ergodic.
ng
Sai
6.7 Cho chui Markov {X n }

n =1 vi khng gian trng thi E = {0, 1, 2} v ma trn xc sut
chuyn
0,1 0,2 0,7
P = 0,9 0,1 0,0
0,1 0,8 0,1

Bit phn b ban u: p 0 = P{X 0 = 0} = 3 ; p1 = P{X 0 = 1} = 4 ; p 2 = P{X 0 = 2} = 3 .
Tnh
P { X 0 = 0, X1 = 2, X 2 = 1} .
6.8 Cho chui Markov {X n }

n =1 vi khng gian trng thi E = {0, 1, 2} v ma trn xc sut
chuyn
0,1 0,2 0,7
P = 0,2 0,2 0,6
0,6 0,1 0,3

a) Tnh ma trn xc sut chuyn 2 bc.
b) Tnh P{X 3 = 1 X 1 = 0}; P{X 3 = 1 X 0 = 0} .
c)
Tm phn b dng.
6.9 Xt bi ton truyn mt bc in gm gm cc tn hiu 0, 1 thng qua knh c nhiu trm v

mi trm nhn sai tn hiu vi xc sut khng i bng (0,1) . Gi s X 0 l tn hiu
truyn i v X n l tn hiu nhn c ti trm n . Cho bit {X n ; n = 0, 1, 2, ...} lp thnh
chui Markov vi ma trn xc sut chuyn
1
P=
.
1

a) Tnh P{X 0 = 0, X 1 = 0, X 2 = 0}.
b) Tnh P{X 0 = 0, X 1 = 0, X 2 = 0} + P{X 0 = 0, X 1 = 1, X 2 = 0}.
c) Tnh P{ X 5 = 0 X 0 = 0}.
147

6.10 Xt m hnh kim k ph tng thay th vi s = 0 v S = 3 l cc mc cn c nhp hng
cng vi n l lng hng khch yu cu trong chu k n . Bit rng
P{ n = 0} = 0,4 ; P{ n = 1} = 0,3 ; P{ n = 2} = 0,3 .

Xc nh xc sut chuyn ca chui Markov {X n } , trong X n l s ph tng cn li
ti cui chu k n .
6.11 Cho chui Markov ergodic vi 2 trng thi c phn b gii hn l [ p, 1 p ] . Hy xc nh
ma trn xc sut chuyn?
6.12 Tm cc lp lin thng trng thi ca chui Markov c khng gian trng thi
E = {0, 1, 2, 3, 4} v ma trn xc sut chuyn
0
0
1 / 2 1 / 2 0
1 / 2 1 / 2 0
0
0
P= 0
0 1/ 2 1/ 2 0 .
0
0 1/ 2 1/ 2 0
1 / 4 1 / 4 0 1 / 4 1 / 4
148
Hng dn bi tp
HNG DN GII BI TP
P N CHNG I
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
1.10
ng
Sai
ng
ng
Sai
ng
Sai
Sai
ng
ng
1.11 a) P = 0,246
b) P = 0,495 .
1.12 Mi khch u c 6 kh nng ra 6 tng cn li ca ta nh. Do s kt cc ng kh

nng c th N = A63 = 216 . Gi A l bin c tt c cng ra tng bn, bin c ny ch c 1
trng hp thun li. Do P ( A) =
1
.
216
L lun tng t trn ta c Pb =

1.13 P =
A5 5
6
1
; Pc = 6 = .
=
216 9
216 36
1
.
720
1.15 Gi A1 v A2 tng ng l bin c ngi th nht v th hai bn trng mc tiu, A l

bin c ch c mt ngi bn trng mc tiu. A = A1 A 2 + A1 A2 . S dng qui tc cng xc sut
trng hp xung khc v qui tc nhn trng hp c lp ta c:
P ( A) = P( A1 A 2 ) + P( A1 A2 ) = P ( A1 ) P( A 2 ) + P( A1 ) P( A2 ) = 0,8 0,1 + 0,2 0,9 = 0,26 .

Tng t ta c: Pb = 0,98 ; Pc = 0,02 .
1.16 Gi A1 l bin c sn phm ly ra thuc loi 1.
Gi A2 l bin c sn phm ly ra thuc loi 2.
Gi
A l bin c sn phm ly ra thuc loi 1 hoc loi 2: A = A1 + A2
V A1 , A2 xung khc do
5
25
P ( A ) = P ( A1 + A2 ) = P ( A1 ) + P ( A2 ) = 0, 4 + 0,5 = 0,9
1.17
5 1 49
P = C30

50 50
1.18
Gi Ai l bin c sn phm qua kim tra cht lng phng th i, i=1,2,3.
= 0, 00027 .
149
Hng dn bi tp
Gi B l bin c ph phm c nhp kho.
( ) ( ) ( )
P ( B ) = P A1 P A2 P A3 = (1 0,8 )(1 0,9 )(1 0,99 ) = 0, 0002 .

1.19
P = 0,11.
1.20 Gi Ai l bin c ln th i ly ra 3 sn phm mi kim tra, ( i = 1, 3 ). Gi A l bin c

sau 3 ln kim tra tt c cc sn phm u c kim tra A = A1 A2 A3 . V cc bin c ph thuc
nn P ( A) = P ( A1 ) P ( A2 A1 ) P ( A3 A1 A2 ) = 1
5 1
5
.
=
21 84 1764
1.21 Gi A l bin c sn phm kim tra l ph phm.

Gi Bi l bin c sn phm ly ra kim tra thuc phn xng th i, i=1,2 3.
P ( B1 ) = 0,36; P ( B2 ) = 0,34; P ( B3 ) = 0,30 . H
{ B1, B2 , B3} y
P ( A B1 ) = 0,12; P ( A B2 ) = 0,10; P ( A B3 ) = 0, 08 .
a. P ( A ) = P ( B1 ) P ( A B1 ) + P ( B2 ) P ( A B2 ) + P ( B3 ) P ( A B3 ) = 0,1012
P ( B1 ) P ( A B1 )
b. P ( B1 A ) =
P ( A)
P ( B2 A ) =
P ( B3 A ) =
P ( B2 ) P ( A B2 )
P ( A)
P ( B3 ) P ( A B3 )
P ( A)
0,36 0,12
= 0, 427
0,1012
=
0,34 0,10
= 0,336
0,1012
0,30 0, 08
= 0, 237
0,1012
1.22 Gi Bi l bin c x th c xt thuc nhm th i, i=1,2,3,4.

Gi A l bin c x th bn trt.
Theo bi ta c: P ( B1 ) =
5
7
4
2
, P ( B2 ) = , P ( B3 ) = , P ( B4 ) =
18
18
18
18
P ( A B1 ) = 0, 2, P ( A B2 ) = 0,3, P ( A B3 ) = 0, 4, P ( A B4 ) = 0,5 .
P ( A ) = P ( B1 ) P ( A B1 ) + P ( B2 ) P ( A B2 ) + P ( B3 ) P ( A B3 ) + P ( B4 ) P ( A B4 )
=
5
7
4
2
57
0, 2 + 0,3 + 0, 4 + 0,5 =
18
18
18
18
180
p dng cng thc Bayer, ta thu c
P ( B1 A ) =
P ( B1 ) P ( A B1 )
P ( A)
5
0, 2
10
18
=
=
,
57
57
180
150
Hng dn bi tp
tng t P ( B2 A ) =
21
16
10
.
, P ( B3 A ) = , P ( B4 A ) =
57
57
57
Vy x th c kh nng nhm th hai nht.

1.23 Gi
B1 l bin c vin n th nht trng mc tiu, P ( B1 ) = 0, 7 .
Gi
B2 l bin c vin n th hai trng mc tiu, P ( B2 ) = 0, 4 .
Hai bin c ny c lp
Xc sut bin c ch c vin n th nht trng mc tiu
) (
P ( A ) = P B1 B2 B2 B1 = P B1 B2 + P B2 B1
= 0, 7 0, 6 + 0, 4 0,3 = 0,54
b.
P B1 B2
P ( B1 A ) P B1 B1 B2 B2 B1
0, 7 0, 6
=
=
=
= 0, 778
P ( B1 A ) =
P ( A)
P ( A)
P ( A)
0,54
1.24 Gi A l bin c sn phm kim tra c kt lun t tiu chun cht lng.
Gi BT l bin c sn phm t tiu chun cht lng.
Gi BH l bin c sn phm khng t tiu chun cht lng.
P ( BT ) = 0,85; P ( BH ) = 0,15
H
{ BT , BH } y
P ( A BT ) = 0,9; P ( A BH ) = 0,95 P ( A BT ) = 0,1; P ( A BH ) = 0, 05 .

a) P ( A ) = P ( BT ) P ( A BT ) + P ( BH ) P ( A BH ) = 0,85 0,9 + 0,15 0, 05 = 0, 7725
b) P ( BH A ) =
P ( BH ) P ( A BH )
P ( A)
0,15 0, 05
= 0, 0097
0, 7725
c) P ABT ABH = P ( ABT ) + P ABH = 0,85 0,9 + 0,15 0,95 = 0,9075 .
P N CHNG II
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
2.10
Sai
Sai
ng
Sai
ng
Sai
Sai
ng
ng
Sai
2.11
2.12
2.13
2.14
2.15
Sai
Sai
ng
ng
Sai
151
Hng dn bi tp
2.16 E ( X ) = 0,3; D ( X ) = 15, 21 .

2.17 x3 = 29,1; p3 = 0, 2 .
2.18 E( X 1 ) = 3,1; E( X 2 ) = 3,4 ; D( X 1 ) = 1,09 ; D( X 2 ) = 1,44 .
E( X 1 + X 2 ) = 6,5 ; D( X 1 + X 2 ) = 2,53 .
2.19 E( X ) = 0,8 ; D( X ) = 0,12 .
2.20 a) D( Z ) = 61 . b) D( Z ) = 41 .
2.21
p1 = 0,4 ; p 2 = 0,1; p3 = 0,5 .
2.22 a) Gi Ai l bin c toa i c ngi ngi ( i = 1,3 ). Gi A l bin c c 3 toa u c ngi

ngi. Khi : A = A1 A2 A3 A = A1 + A2 + A3 .
P( A) = P( A1 ) + P( A 2 ) + P( A3 ) P( A1 A 2 ) P( A1 A3 ) P( A 2 A3 ) + P( A1 A 2 A3 ) =
P( A) =
150
.
243
b)
32
243
80
243
80
243
40
243
10
243
1
243
1
243
10
243
40
243
80
243
80
243
32
243
k=
3
.
64
2.23 E ( X ) = 0 .
4
2.24 a) V
64
2
x ( 4 x ) dx = 3
0
b) P { X < 1} =
0
3 2
13
.
x ( 4 x ) dx =
64
256
152
93
243
Hng dn bi tp
x=4
x =0
3 3
3 4 x5
c) EX =
x ( 4 x ) dx = x
64
64
5
16 12
= 3 4 =
5 5
x =4
3 4
3 4 x5 x 6
1 1 32

= 3 64 =
EX = x ( 4 x ) dx =
64
64 5
6
5 6 5
0
x =0
2
DX = EX ( EX )
2
32 12
16
=
=
.
5 5
25
2.25 a) K hiu Ai l bin c : A bn trng i vin,
Bi l bin c : B bn trng i vin;
i = 0, 1 2. D thy
P ( A0 ) = 0,36 ; P ( A1 ) = 0, 48 ; P ( A2 ) = 0,16 ;
P ( B0 ) = 0, 25 ; P ( B1 ) = 0,5 ; P ( B2 ) = 0, 25.
T P { X = 2} = P ( A0 ) P ( B2 ) = 0, 09
P { X = 1} = P ( A0 ) P ( B1 ) + P ( A1 ) P ( B2 ) = 0,18 + 0,12 = 0,3

P { X = 0} = P ( A0 ) P ( B0 ) + P ( A1 ) P ( B1 ) + P ( A2 ) P ( B2 ) = 0,37
P { X = 1} = P ( A1 ) P ( B0 ) + P ( A2 ) P ( B1 ) = 0, 2
P { X = 2} = P ( A2 ) P ( B0 ) = 0, 04
Vy bng phn b xc sut ca X
2
0, 09
X
P
1
0,3
0
1
2
0,37 0, 2 0, 04
EX = ( 2 ) 0, 09 + ( 1) 0,3 + 0 0,37 + 1 0, 2 + 2 0, 04 = 0, 2
2
EX 2 = ( 2 ) 0, 09 + ( 1) 0,3 + 02 0,37 + 12 0, 2 + 22 0, 04 = 1, 02
2
DX = EX 2 ( EX ) = 1, 02 ( 0, 2 ) = 0,98
b)
P {Y = 0} = 0,37
P {Y = 1} = P { X = 1} + P { X = 1} = 0,5
P {Y = 2} = P { X = 2} + P { X = 2} = 0,13
EY = 0 0,37 + 1 0,5 + 2 0,13 = 0, 76 .

2.26 K hiu Ai l bin c : t th i b hng, i = 1, 2.
153
Hng dn bi tp
D thy P ( A1 ) = 0,1 ; P ( A2 ) = 0, 2
Gi X l s t b hng trong thi gian lm vic
( ) ( )
T P { X = 0} = P A1 P A2 = 0,9 0,8 = 0, 72
( ) ( )
P { X = 1} = P ( A1 ) P A2 + P A1 P ( A2 ) = 0,1 0,8 + 0,9 0, 2 = 0, 26

P { X = 2} = P ( A1 ) P ( A2 ) = 0, 02
X
P
0
0, 72
1
0, 26
2
0, 02
EX = 0 0, 72 + 1 0, 26 + 2 0, 02 = 0,3 .
EX 2 = 02 0, 72 + 12 0, 26 + 22 0, 02 = 0,34 .
2
DX = EX 2 ( EX ) = 0,34 ( 0,3) = 0, 25 .
k > 0
pi > 0
k > 0
k = 1/10 .
2.27 a) iu kin p = 1
k = 1
2
10k + 9k = 1
i i
k = 1/10
b) P { X 5} =
c) EX =
1 1
2
3
; P { X < 3} =
.
+ =
10 10 10
10
1 4 6 12 5
12
1
7
+ + + +
+
+ 7
+ = 3, 66 .
10 10 10 10 100 100
100 10
d) EX 2 =
1 8 18 48 25 72
1
7
+ + + +
+
+ 49
+ = 16,8 .
10 10 10 10 100 100
100 10
2
DX = EX 2 ( EX ) = 16,8 ( 3, 66 ) = 3, 404 .
2.28 a) Gi X l s ph phm gp phi:
EX =
X
P
0
0, 6
1
0, 4
2
6
; DX =
.
5
25
b) Gi l s chnh phm gp phi Y = 2 X :
EY = E ( 2 - X ) = 2
2 8
6
.
= ; DY =
5 5
25
2.29 Gi X l s n c trong nhm c chn
154
Y
P
1
0, 4
2
0, 6
Hng dn bi tp
P { X = 0} =
P { X = 2} =
EX = 0
C63
3
C10
C42C61
3
C10
5
,
30
P { X = 1} =
C14C62
3
C10
15
30
C1C 2 15
9
, P { X = 1} = 4 6 =
3
30
30
C10
5 / 30
15 / 30
9 / 30
1/ 30
5
15
9
1 36 6
+ 1 + 2 + 3 =
= .
30
30
30
30 30 5
2.30 Thng 2 trong 4 vn d hn.

2.31 a) P = 0,238 .
b) P = 0,751 .
2.32 a) X tun theo quy lut nh thc
B (n ; p)
vi n = 5 v p = 0,8 .
b) E X = 4 ; D X = 0,8 . c) ModX = 4 ; P{X = 4} = 0,4096 .

2.33 a) P = 0,9914
b) S sn phm hng trung bnh l 0,5
c) S sn phm hng c kh nng xy ra nhiu nht l 0.
2.34 Gi x l s cu hi hc sinh tr li ng. S im anh ta nhn c l
4 x + (10 x)(2) = 6 x 20
a) Anh ta c 4 im khi tr li ng: 6 x 20 = 4 x = 4 .
4
Vy xc sut anh ta c im 4 l P = C10
()()
1
5
4
5
= 0,088 .
b) Anh ta c im m khi tr li ng: 6 x 20 < 0 x = 0,1, 2,3 .

Vy xc sut anh ta c im m l P =
C104
k =0
()()
1
5
4
5
10k
= 0,879 .
2.35 Gi X l s ln thu c tn hiu trong 5 ln pht c lp th X ~ B ( 5; 0, 7 )

a) Xc sut thu c tn hiu 2 ln
P { X = 2} = C52 0, 7 20,33 = 0,132
b) Xc sut thu c tn hiu nhiu nht 1 ln

c) Xc sut thu c tn hiu
P { X 1} = 0, 031
P { X 1} = 1 P { X = 0} = 1 0, 002 = 0,998
2.36 Khng ng; P = 0,41 .
155
Hng dn bi tp
2.37 a) Gi X l s cuc gi trong khong thi gian 10 giy th X c phn b Poisson tham s
= 1/ 3 . Vy xc sut c t nht mt cuc gi trong khong thi gian 10 giy l
P { X 1} = 1 P { X = 0} = 1 e1/ 3 = 0, 2825 .
b) Gi Y l s cuc gi trong khong thi gian 3 pht th c phn b Poisson tham s
= 6 . Vy xc sut c nhiu nht ba cuc gi trong khong thi gian 3 pht l
P {Y 3} = 0,151 .
c) Gi Z l s cuc gi trong khong thi gian 1 pht th Z c phn b Poisson tham s
= 2 . Xc sut c nhiu nht 1 cuc gi trong khong thi gian 1 pht l P {Z 1} = 0, 406 .
Vy xc sut trong khong thi gian 3 pht lin tip mi pht c nhiu nht 1 cuc gi l
3
P {Z 1} = 0, 4063 = 0, 0067 .
12 10
8 10
2.38 P{8 < X < 12} =

= 0,6826 .
2
2
2.39
P = 0,3 .
2.40 a) 95,44%; b) 4,56%.

2.41 a) 20,33%; b) P = 0,9983 .
n
2
1.
P X < = 2
2.42 E( X ) = ; D( X ) =
P N CHNG III
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
3.10
Sai
ng
ng
ng
Sai
Sai
Sai
ng
ng
Sai
3.11
3.12
Sai
ng
3.13
x1
x2
y1
y2
y3
0,56
0,44
0,26
0,38
0,36
3.14 EX = 7 / 15 ; EY = 0 ;
cov( X , Y ) = 1 / 8 ; X,Y = 0,15 .

3.15
EX = 1 / 5 ; EY = 0 ; X,Y = 0 . X v Y khng c lp v
156
Hng dn bi tp
P{X = 1} = 2 / 15, P{Y = 1} = 5 / 15 v P{X = 1. Y = 1} = 0 .

3.16 Bng phn b xc sut ca bin ngu nhin Z
0,12
0,43
0,03
0,35
0,07
EX = 1,7 ; EY = 1,7 ; EZ = 2,89 .

3.17 Bng phn b xc sut ng thi ca X v Y
0,04
0,12
0,16
0,06
0,02
0,03
0,09
0,12
0,045
0,015
0,02
0,06
0,08
0,03
0,01
0,01
0,03
0,04
0,015
0,005
P{X > Y } = 0,19 .

3.18
X , Y khng c lp v
P{X = 1} = 0,5, P{Y = 1} = 0,45 v P{X = 1. Y = 1} = 0,15 0,5 0,45
P{X = 1Y = 2} = 7 / 11 .
3.19
1/12
1/12
1/12
1/12
1/12
1/12
1/12
1/12
1/12
1/12
1/12
1/12
P{X = 1} = 0,5, P{Y = 1} = 0,45 v P{X = 1. Y = 1} = 0,15 0,5 0,45 .

3.20
23
27
0,357
0,643
Y X = 26
X Y = 27
26
30
41
50
0,1268
0,4225
0,1549
0,2958
157
Hng dn bi tp
3.21
E[Y X = 1] = 5 . EX = 2,93 ; EY = 4,5 ; DX = 4,83 ; DY = 2,25 .

a. = 15 ; EX = 0, 2 ; EY = 0 .
3.22
b. cov ( X , Y ) = 0 ( X , Y ) = 0 .
c. X , Y khng c lp v P { X = 1} =
2
5
nhng P { X = 1, Y = 1} = 0 .
, P {Y = 1} =
15
15
3.23 a) k = 3 ;
b)
c)
3
2
3x 2 nu 0 < x < 1
(1 y ) nu 0 < y < 1
; f Y ( y) = 2
.
f X ( x) =
0
nu ngc li
0
nu ngc li
1
1
1
1
X v Y khng c lp v P X < , Y > = 0 nhng P X < 0 , P Y > 0 .

2
2
2
2
3.24 p dng cng thc (3.14) ta c
2 F e x y
f ( x, y ) =
=
xy 0
nu x > 0, y > 0;
nu ngc li .
p dng cng thc (3.53) ta c
e x
f ( x y) =
0
3.25 a) C =
1
2
nu x > 0,
nu x 0 .
1 1
1
1
b) F ( x, y ) = arctg x + arctg y + ;
2
2
c) F X ( x) = lim F ( x, y ) =
y
1
1
1
1
arctg x + ; FY ( y ) = lim F ( x, y ) = arctg y + ;
2
2
V F ( x, y ) = F X ( x) FY ( y ) nn ta kt lun X v Y c lp.
} {
d) P 1 < X < 3 , 0 < Y < 1 = P 1 < X < 3 P{ 0 < Y < 1} =
ln x
3.26 Hm mt ca X l f X ( x) = x 2
0
nu x 1,
nu x < 1 .
158
1 1 1
.
=
12 4 48
Hng dn bi tp
Hm mt ca Y l f Y ( y ) =
1
2y2
1
2
nu 1 y < ,
nu 0 y 1 .
T hm mt c iu kin ca Y vi iu kin X = x ( x > 1) l
f ( y x) =
f ( x, y )
1
1
=
nu
yx;
f X ( x) 2 y ln x
x
Hm mt c iu kin ca X vi iu kin Y = y ( y > 0) l
f ( x, y )
f ( x y) =
=
f Y ( y)
nu 0 y 1, x y
x2 y
y
nu y 1, y x .
x2
3.27 E (2 X 3Y ) = 2E ( X ) 3E (Y ) = 10 ;
D(2 X 3Y ) = 4D( X ) + 9D(Y ) 12 D( X )D(Y ) X ,Y = 57,6 .
P N CHNG IV
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
ng
ng
Sai
Sai
ng
ng
ng
ng
4.9 Gi X l s my hng trong ca. X c phn b nh thc EX = 0,5 , DX = 1 . p dng bt

ng thc Trbsp ta c
P{ X 0,05 < 2} 1
0,475
22
= 0,88 ; P{ X 0,05 2}
0,475
22
= 0,12 .
12
4.10 t S = X n ; ES = 12 16 = 192 , DS = 12 . Theo bt ng thc Trbsp

n =1
P{S 192 } 1
4.11 t S =
DS
2
10000
X n ; ES = 0 ,
0,99 . Chn a = 157,36 ; b = 226,64 .

DS =
n =1
P{S 500}
DS
500
10000
. Theo bt ng thc Trbsp
12
1
.
300
159
Hng dn bi tp
4.12 Ta bit rng S l bin ngu nhin c phn b nh thc tham s p =
DS =
1
n
. ES =
v
6
6
5n
. Theo bt ng thc Trbsp
36
P S ES < n 1
n
DS
5 31
n
31
= 1
=
P n < S < + n
.
36 36
6
n
6
36
12
12
4.13 t S = X n . Ta cn tm M nh nht P X n M 0,99 .
n=1
n =1
Ta c ES = 192 , DS = 12 . Theo bt ng thc Trbsp
P{S 192 } 1
DS
2
0,99 = 34,64 . Vy M = 192+34,64 = 226,64.
4.14 Tha mn lut s ln Trbsp.

4.17 p dng bt ng thc Trbsp tnh c xc sut P 0,9131
4.18 p dng bt ng thc Trbsp cn kim tra 23.750 chi tit.
4.19 Gi X l s sn phm hng. Ta c X ~
B (250 ; 0,02) .
X s c xp x phn b Poisson
vi = 250 0,02 = 5 . T tra bng ta c:

a) P{X = 2} = 0,0842 ;
b)
P{X 2} = 0,1247
4.20 Gi s X l s ngi chn n t 1. Khi 1000 X l s ngi chn n t 2 . Gi

k l s ch ngi trong nh n. Ta phi chn k nh nht
P{X < k , 1000 X < k } 0,99 P{1000 k < X < k } 0,99 .

Ta xem X c phn b chun vi = 500 , = 250 . Vy ta phi c
k 500
500 k
k 500
k 500

0,99 2
1,99
(2,58) .
250
250
250
250
T k 500 + 2,58 250 = 540,49 . Vy k = 541 .
4.21
a) Gi X l s ngi trng tuyn. Ta c X ~
B (350 ; 0,9) .
X c phn b xp x chun
8
vi = 292,5 , = 5,4 . Vy P{X 300}
= (1,48) = 0,9306 .
5,4
b) Gi s n l s ngi c gi. Phn b ca X xp x phn b chun vi = 0,9n ,
= 0,3 n . Vy
160
Hng dn bi tp
300 0,9n
0,99 = (2,33) 300 0,9n (0,3)(2,33) n .
P{X 300}
0,3 n
Gii bt phng trnh ta c n 319,99 . Vy n = 319 .
P N CHNG V
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
5.9
5.10
ng
Sai
ng
ng
ng
Sai
Sai
ng
ng
Sai
5.11
5.12
5.13
5.14
5.15
5.16
5.17
5.18
Sai
Sai
ng
ng
Sai
Sai
Sai
Sai
5.19 Mu ngu nhin c kch thc 10: W = ( X 1 , X 2 , ... , X 10 ) .
1
1
10
1 10
P X = = P X i = = P X i = 5 . V X c phn b nh thc nn
2
2
i =1
10 i =1
10
5
5
P X i = 5 = P10 (5) = C10
(0,5) 5 (0,5)105 = C10
(0,5)10 .
i =1
5.20 X c phn b chun N (; 2 ) nn X c phn b chun N (;
} {
2
) . Vy
n
n
n
n

= 2
P X < = P < X < + =

. Do
0,2 100
= 2 (2) = 0,9545 .
P X 20 < 0,2 = 2
5.21 Bng phn b tn s
Tn s
Tn sut
1/5
2/5
1/5
1/5
Bng phn b tn sut
Hm phn b thc nghim
161
Hng dn bi tp
x 1
0
1 / 5 1 < x 2
F10 ( x) = 3 / 5 2 < x 3
4 / 5 3 < x 4
1
x>4
5.22
f =
x = 6,8 ; s 2 = 1,15 , s = 1,072 .
nf = 1082 > 10
1082
; iu kin
2000
n(1 f ) = 918 > 10
f (1 f )
f u
1082
918 1082
2,33
= 0,515
2000
2000
Vy ti thiu c 51,5% s phiu bu cho ng c vin A.

5.23 x =
xi = 34,15 = 0,976 .
35
( 34,15)2 = 0, 01687
1
1
2 ( xi )
s =
x
33,8943
i
34
n 1
n
35
s = 0,1299; u
5.24 Tn sut mu f =
s
0,1299
= 1,96
= 0, 043 . Khong tin cy 95%:
35
n
[0,933 ; 1, 019] .
nf = 53 > 10
53
, iu kin
400
n(1 f ) = 347 > 10
Gi p l xc sut bt c con c c nh du, khong tin cy 95% ca p :
f (1 f )
= 1,96
53 347
= 0, 0332
400 400
Khong c lng [ 0, 0993 ; 0,1657 ]

Mt khc p =
2000
, trong N l s c trong h.
N
Vy 0, 0993 <
2000
2000
2000
< 0,1657
<N<
12070 < N < 20141 .
N
0,1657
0, 0993
x 18, 25
ui + 18, 25 = 5 1,8 + 18, 25 = 18, 025
x =5
5.25 t ui = i
40
5
n
2
2
1,8 )
(
52
2 ( ui ) 25
s =
ui n = 39 0, 76 40 = 0, 435
n 1
162
Hng dn bi tp
s
0, 66
= 1, 64
= 0,171
40
n
s = 0, 66; u
[17,854; 18,196] .
a) Khong tin cy 90%:
b) Kch thc mu cn thit n
= xi 50 x =
5.26 t ui
ui
= 1,96
u 2 s 2
2
+ 50 =
= 116,99 chn n = 117

8
+ 50 = 49, 704
27
1
= 0,377
27
[ 49,327 ; 50, 081] .
a) Khong tin cy 95%:
b) Kch thc mu cn thit n
u 2 2
= 384,16 chn n = 385
5.27 Gi l trng lng trung bnh ca mt bao sn phm c ng gi. Ta kim nh gi

thit H 0 : = 100 ; i thit
H1 : < 100
Tiu chun kim nh T =
x 99, 25
t ui = i
5
x = 5
Tqs =
(100 X )
; Min bc b W = {T > 2,086}.
riui = 0, 4 ; riui 2 = 0, 42
0, 4
+ 99, 25 = 99,319 ;
29
s 2 = 25
1
0, 42
0, 42
= 0,37 s = 0, 608
28
29
(100 99,319) 29
= 6,032 W .
0,608
Vy bc b H 0 chp nhn H1 , ngha l sn phm b ng thiu.

5.28 Gi l thi gian trung bnh hon thnh mt sn phm.
Ta kim nh gi thit
H 0 : = 14 ; i thit
Tiu chun kim nh T =
x 15
t ui = i
2
x = 15 ;
s2 = 4
( X 14 )
S
H1 : 14
; Min bc b W = {T > 1,96}.
riui = 0 ; riui 2 = 300

1
0
= 4,819 s = 2,195
300
249
300
163
Hng dn bi tp
Tqs =
(115 14) 300

= 7,89 W .
2,195
Vy bc b H 0 chp nhn H1 , ngha l cn thay i nh mc.

5.29 Gi l mc hao ph xng trung bnh ca t chy t A n B. Ta kim nh gi thit
H 0 : = 50 ; i thit H1 : < 50
Tiu chun kim nh T =
Theo mu ta c x =
s2 =
( 50 X )
; Min bc b W = {T > 2,052}.
1387,5
= 49,5536;
28
1
1387,52 8,1696
= 0,3026 s = 0,55
6876375
=
27
28
27
Tqs =
(50 49,53) 30
= 4,2948 W .
0,55
Vy bc b H 0 chp nhn H1 , ngha l mc hao ph xng c gim xung.

5.30 Gi l s ho n trung bnh h thng my tnh mi x l c trong 1 gi. Ta kim nh
gi thit
H 0 : = 1300 ;
H1 : > 1300
i thit
Tiu chun kim nh T =

T mu c th ta c T =
( X 1300 )
S
(1378 1300 )
215
; Min bc b W = {T > 1,96} .
40
= 2, 294 > 1,96
Vy bc b H 0 chp nhn H1 , ngha l h thng my tnh mi x l tt hn.
P N CHNG VI
6.7
6.1
6.2
6.3
6.4
6.5
6.6
Sai
Sai
ng
ng
ng
Sai
P { X 0 = 0, X1 = 2, X 2 = 1}
= P { X 0 = 0} P { X 1 = 2 X 0 = 0} P { X 2 = 1 X 0 = 0, X1 = 2}
164
Hng dn bi tp
= P { X 0 = 0} P { X 1 = 2 X 0 = 0} P { X 2 = 1 X 1 = 2}
= 0,3 0,7 0,8 = 0,168 .

0, 47 0,13 0,40
2
6.8 a) P = 0,42 0,14 0,44 .
0,26 0,17 0,57
b) P { X 3 = 1 X1 = 0} = P X 2 = 1 X 0 = 0 = 0,13 ;
P{X 3 = 1 X 0 = 0} = P{X 3 = 1, X 2 = 0 X 0 = 0} + P{X 3 = 1, X 2 = 1 X 0 = 0}
+ P{X 3 = 1, X 2 = 2 X 0 = 0} = P{X 2 = 0 X 0 = 0}P{X 3 = 1 X 0 = 0, X 2 = 0}
+ P{X 2 = 1 X 0 = 0}P{X 3 = 1 X 0 = 0, X 2 = 1}+ P{X 2 = 2 X 0 = 0}P{X 3 = 1 X 0 = 0, X 2 = 2}
= P{X 2 = 0 X 0 = 0}P{X 3 = 1 X 2 = 0} + P{X 2 = 1 X 0 = 0}P{X 3 = 1 X 2 = 1}
+ P{X 2 = 2 X 0 = 0}P{X 3 = 1 X 2 = 2} = 0,47 0,2 + 0,13 0,2 + 0,40 0,1 = 0,16 .
c)
Phn b dng [x, y, z ] l nghim ca h phng trnh

[x y z ]P = [x y z ]
.
x, y , z 0 ; x + y + z = 1
Nh vy x, y, z l nghim khng m ca h phng trnh

9 x + 2 y + 6 z = 0
2x 8 y + z = 0
+y +z = 1
x
c nghim x =
6.9 t
50
21
68
, y=
,z=
.
139
139
139
p0 = P { X 0 = 0} .
a) P { X 0 = 0, X 1 = 0, X 2 = 0} = P { X 0 = 0} P { X 1 = 0, X 2 = 0 X 0 = 0}
= P { X 0 = 0} P { X1 = 0 X 0 = 0} P { X 2 = 0 X 0 = 0, X1 = 0} = p0 2 .
b) P { X 0 = 0, X 1 = 0, X 2 = 0} + P { X 0 = 0, X1 = 1, X 2 = 0} = p0 2 + (1 ) 2 .
c) P { X 5 = 0 X 0 = 0} = 16( 1)5 + 40( 1) 4 + 40( 1)3 + 20( 1) 2 + 5( 1) + 1 .
6.10 Khng gian trng thi s l E = {1, 0,1, 2,3} .
165
Hng dn bi tp
P { = 3 j} nu i 0,
Theo cng thc (6.21) ta c pij = P { X (n + 1) = j X (n) = i} =
P { = i j} nu 0 < i 3.
p 1, 1 = P{ X (n + 1) = 1 X (n) = 1 } = P() = 0 ,
p1,0 = P { X (n + 1) = 0 X (n) = 1} = P( = 3) = P() = 0 ,

p1,1 = P { X (n + 1) = 1 X (n) = 1} = P ( = 2) = 0,3 ,
p1,2 = P { X (n + 1) = 2 X (n) = 1} = P( = 1) = 0,3 ,
p1,3 = P { X (n + 1) = 1 X (n) = 1} = P( = 0) = 0, 4 ,
...........................
Ma trn xc sut chuyn:
0 0,3 0,3 0, 4
0
0
0 0,3 0,3 0, 4
P = 0,3 0,3 0, 4 0
0
0 0,3 0,3 0, 4 0
0
0 0,3 0,3 0, 4
6.12 Cc trng thi c chu k 1. C 3 lp lin thng l {0,1} , {2,3} , {4} .
1/ 4
1/ 4
1/2
1/ 4
1/2
1/2
1/2
0
1/2
1/2
1/2
3
1/2
166
1/ 4
Ph lc
PH LC
PH LC I: GI TR HM MT ( x) =
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
0,8
0,9
1,0
1,1
1,2
1,3
1,4
1,5
1,6
1,7
1,8
1,9
2,0
2,1
2,2
2,3
2,4
2,5
2,6
2,7
2,8
2,9
3,0
3,1
3,2
3,3
3,4
3,5
3,6
3,7
3,8
3,9
0
0,3989
3970
3910
3814
3683
3521
3332
3123
2897
2661
0,2420
2179
1942
1714
1497
1295
1109
0940
0790
0656
0,0540
0440
0355
0283
0224
0175
0136
0104
0079
0060
0,0044
0033
0024
0017
0012
0009
0005
0004
0003
0002
1
3989
3965
3902
3802
3668
3503
3312
3101
2874
2637
2396
2155
1919
1691
1476
1276
1092
0925
0775
0644
0529
0431
0347
0277
0219
0171
0132
0101
0077
0058
0043
0032
0023
0017
0012
0008
0005
0004
0003
0002
2
3989
3961
3894
3790
3653
3485
3292
3079
2850
2613
2370
2131
1895
1669
1456
1257
1074
0909
0761
0632
0519
0422
0339
0270
0213
0167
0129
0099
0075
0056
0042
0031
0022
0016
0012
0008
0005
0004
0003
0002
3
3988
3956
3885
3778
3637
3467
3271
3056
2827
2589
2347
2107
1872
1647
1435
1238
1057
0893
0748
0620
0508
0413
0332
0264
0208
0163
0126
0096
0073
0055
0040
0030
0022
0016
0011
00080
0005
0004
0003
0002
4
3986
3951
3876
3765
3621
3448
3251
3034
2803
2565
2320
2083
1849
1626
1415
1219
1040
0878
0734
0608
0498
0404
0325
0258
0203
0158
0122
0093
0071
0053
0039
0029
0021
0015
0011
0008
0005
0004
0003
0002
167
5
3984
3945
3867
3752
3605
3429
3230
3011
2780
2541
2299
2059
1826
1604
1394
1200
1023
0863
0721
0596
0488
0396
0317
0252
0198
0154
0119
0091
0069
0051
0038
0028
0020
0015
0010
0007
0005
0004
0002
0002
1
2
6
3982
3939
3857
3739
3589
3410
3209
2989
2756
2516
2275
2036
1804
1582
1374
1182
1006
0848
0707
0584
0478
0387
0310
0246
0194
0151
0116
0088
0067
0050
0037
0027
0020
0014
0010
0007
0005
0003
0002
0002
x2
2
7
3980
3932
3847
3726
3572
3391
3187
2966
2732
2492
2251
2012
1781
1561
1354
1163
0989
0833
0694
0573
0468
0379
0303
0241
0189
0147
0113
0086
000065
0048
0036
0026
0019
0014
0010
0007
0005
0003
0002
0002
8
3977
3925
3836
3712
3555
3372
3166
2943
2709
2468
2227
1989
1758
1539
1334
1145
0973
0818
0681
0562
0459
0371
0297
0235
0184
0143
0110
0084
0063
0047
0035
0025
0018
0013
0009
0007
0005
0003
0002
0001
9
3973
3918
3825
3697
3538
3352
3144
2920
2685
2444
2203
1965
1736
1518
1315
1127
0957
0804
0669
0551
0449
0363
0290
0229
0180
0139
0107
0081
0061
0046
0034
0025
0018
0013
0009
0006
0004
0003
0002
0001
Ph lc
PH LC II: GI TR HM PHN B CHUN TC

1
e
2
(t ) =
1
2
x2
2 dx
(t )
t
0,0
0,1
0,2
0,3
0,4
0,5
0,6
0,7
0,8
0,9
1,0
1,1
1,2
1,3
1,4
1,5
1,6
1,7
1,8
1,9
2,0
2,1
2,2
2,3
2,4
2,5
2,6
2,7
2,8
2,9
0,5000
5398
5793
6179
6554
0,6915
7257
7580
7881
8159
0,8413
8643
8849
9032
9192
0,9332
9452
9554
9641
9712
0,9773
9821
9861
9893
9918
0,9938
9953
9965
9974
9981
5040
5438
5832
6217
6591
6950
7291
7611
7910
8186
8438
8665
8869
9049
9207
9345
9463
9564
9649
9719
9778
9826
9864
9896
9920
9940
9955
9966
9975
9982
5080
5478
5871
6255
6628
6985
7324
7642
7939
8212
8461
8686
8888
9066
9222
9357
9474
9573
9656
9726
9783
9830
9868
9898
9922
9941
9956
9967
9976
9982
5120
5517
5910
6293
6664
7019
7357
7673
7967
8238
8485
8708
8907
9082
9236
9370
9484
9582
9664
9732
9788
9834
9871
9901
9925
9943
9957
9968
9977
9983
5160
5557
5948
6331
6700
7054
7389
7703
7995
8264
8508
8729
8925
9099
9251
9382
9495
9591
9671
9738
9793
9838
9875
9904
9927
9945
9959
9969
9977
9984
5199
5596
5987
6368
6736
7088
7422
7734
8023
8289
8531
8749
8944
9115
9265
9394
9505
9599
9678
9744
9798
9842
9878
9906
9929
9946
9960
9970
9978
9984
5239
5636
6026
6406
6772
7123
7454
7764
8051
8315
8554
8770
8962
9131
9279
9406
9515
9608
9686
9750
9803
9846
9881
9909
9931
9948
9961
9971
9979
9985
5279
5675
6064
6443
6808
7156
7486
7794
8078
8340
8577
8790
8980
9147
9292
9418
9525
9616
9693
9756
9808
9850
9884
9911
9932
9949
9962
9972
9979
9985
5319
5714
6103
6480
6844
7190
7517
7823
8106
8365
8599
8810
8997
9162
9306
9429
9535
9625
9699
9761
9812
9854
9887
9913
9934
9951
9963
9973
9980
9986
5359
5753
6141
6517
6879
7224
7549
7852
8132
8389
8621
8830
9015
9177
9319
9441
9545
9633
9706
9767
9817
9857
9890
9916
9936
9952
9964
9974
9981
9986
3,0
3,1
3,2
3,3
3,4
3,5
3,6
3,7
3,8
3,9
(t )
0,9987
9990
9993
9995
9996
9997
9998
9999
9999
9999
168
Ph lc
PH LC III: GI TR TI HN CA PHN B STUDENT
t (n)
Bc t do
= 0,05
= 0,025
= 0,01
= 0,005
= 0,001
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
inf
6,314
2,920
2,353
2,132
2,015
1,943
1,895
1,860
1,833
1,812
1,796
1,782
1,771
1,761
1,753
1,746
1,740
1,734
1,729
1,725
1,721
1,717
1,714
1,711
1,708
1,796
1,703
1,701
1,699
1,645
12,706
4,303
3,128
2,776
2,571
2,447
2,365
2,306
2,262
2,228
2,201
2,179
2,160
2,145
2,131
2,120
2,110
2,101
2,093
2,086
2,080
2,074
2,069
2,064
2,060
2,056
2,052
2,048
2,045
1,960
31,821
6,965
4,541
3,747
3,365
3,143
2,998
2,896
2,821
2,764
2,718
2,681
2,650
2,624
2,606
2,583
2,567
2,552
2,539
2,58
2,518
2,508
2,500
2,492
2,485
2,479
2,473
2,467
2,462
2,326
63,657
9,925
5,841
4,604
4,032
3,707
3,499
3,355
3,250
3,169
3,106
3,055
3,012
2,977
2,947
2,921
2,898
2,878
2,861
2,845
2,831
2,819
2,807
2,797
2,787
2,779
2,771
2,763
2,756
2,576
318,309
22,327
10,215
7,173
5,893
5,208
4,705
4,501
4,297
4,144
4,025
3,930
3,852
3,787
3,733
3,686
3,646
3,610
3,579
3,552
3,527
3,505
3,485
3,467
3,450
3,435
3,421
3,408
3,396
3,090
169
Ph lc
PH LC IV: GI TR TI HN CA PHN B KHI BNH PHNG
2 (n)
Bc t do
02,995
02,99
02,97
02,95
02,05
02,025
02,01
02,005
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
0,000
0,010
0,072
0,207
0,412
0,676
0,989
1,344
1,735
2,156
2,603
3,074
3,565
4,075
5,001
5,142
5,697
6,265
6,844
7,343
8,034
8,543
9,260
9,886
10,520
11,160
11,808
12,461
13,121
13,787
0,000
0,020
0,115
0,297
0,554
0,872
1,239
1,646
2,088
2,558
3,053
3,571
4,107
4,660
5,229
5,812
6,408
7,015
7,633
8,260
8,897
9,542
10,196
10,856
11,524
12,198
12,879
13,565
14,256
14,930
0,001
0,051
0,216
0,484
0,831
1,237
1,690
2,180
2,700
3,247
3,816
4,404
5,009
5,629
6,262
6,908
7,564
8,231
8,907
9,591
10,283
10,982
11,689
12,401
13,120
13,844
14,573
15,308
16,047
16,791
0,004
0,103
0,352
0,711
1,145
1,635
2,167
2,733
3,325
3,940
4,575
5,226
5,982
6,571
7,261
7,962
8,672
9,390
10,117
10,851
11,591
12,388
13,091
13,848
14,611
15,379
16,151
16,928
17,708
18,493
3,841
5,991
7,815
9,488
11,070
12,592
14,067
15,507
16,919
18,307
19,675
21,026
22,362
23,685
24,996
26,296
27,587
28,869
30,144
31,410
32,671
33,924
35,172
36,415
37,625
38,885
40,113
41,337
42,557
43,773
5,024
7,378
9,348
11,143
12,832
14,449
16,013
17,535
19,023
20,483
21,920
23,337
24,736
26,119
27,488
28,845
30,191
31,524
32,852
34,170
35,479
36,781
38,076
39,364
40,646
41,923
43,194
44,461
45,722
46,979
6,635
9,210
11,345
13,277
15,086
16,812
18,475
20,090
21,666
23,209
24,725
26,217
27,688
29,141
30,578
32,000
33,409
34,805
36,191
37,566
38,932
30,289
41,638
42,980
44,314
45,642
46,993
48,278
49,588
50,892
7,879
10,597
12,838
14,860
16,750
18,548
20,278
21,955
23,589
25,188
26,757
28,300
28,819
31,319
32,801
34,267
35,718
37,156
38,582
39,997
41,401
42,796
44,181
45,558
46,928
48,290
46,645
50,993
52,336
53,672
170
Ti liu tham kho
TI LIU THAM KHO
[1]. ng Hng Thng, 1997. M u v l thuyt xc sut v cc ng dng. NXB GD.

[2]. ng Hng Thng, Bi tp xc sut, NXB Gio dc 1998.
[3]. ng Hng Thng, Thng k v ng dng, NXB Gio dc,1999.
[4]. Nguyn Cao Vn, Trn Thi Ninh v Nguyn Th H, Bi tp l thuyt xc sut v thng
k ton, NXB Gio dc, H Ni 2002.
[5]. Nguyn Phm Anh Dng, 1999. Cc hm v xc sut ng dng trong vin thng. Trung
Tm o To Bu Chnh Vin Thng 1.
[6]. Nguyn Duy Tin, V Vit Yn, 2000. L thuyt xc sut. NXB GD.
[7]. Nguyn Duy Tin (v tp th), 2000. Cc m hnh xc sut v ng dng, tp 1, 2, 3. NXB
i hc Quc gia H Ni.
[8]. Tng nh Qu, Hng dn gii bi tp xc sut thng k, NXB i Hc Quc Gia H
Ni, 2004.
[9]. Trn Mnh Tun, Xc sut v Thng k, l thuyt v thc hnh tnh ton, NXB i Hc
Quc Gia H Ni, 2004.
[10]. B.V. Gnedenko, The theory of probability, Mir publishers, Moscow 1976.
[11]. D. L. (Paul) Minh, Applied Probability Models, Duxbury, Thomson Learning, 2001.
[12]. J. L. Doob, 1953. Stochastic Processes. Willey and Sons, New York.
[13]. S. Karlin, 1966. A first Course in Stochastic Processes. Academic Press, New York and
London.
[14]. M. Loeve, 1977. Probability Theory, I, II. 4th ed, Springer - Verlag, Berlin and New
York.
171
Mc lc
MC LC
LI NI U .................................................................................................................................................. 1
CHNG I: CC KHI NIM C BN V XC SUT......................................................................... 3
GII THIU....................................................................................................................................... 3
NI DUNG ........................................................................................................................................ 4
1.1. PHP TH V BIN C ............................................................................................................... 4
1.2. NH NGHA XC SUT V CC TNH CHT ....................................................................... 6
1.3. XC SUT C IU KIN ........................................................................................................ 12
1.4. DY PHP TH BERNOULLI.................................................................................................... 15
TM TT ........................................................................................................................................ 17
CU HI N TP V BI TP ................................................................................................... 20
CHNG II: BIN NGU NHIN V CC C TRNG CA CHNG .......................................... 23
PHN GII THIU......................................................................................................................... 23
NI DUNG ...................................................................................................................................... 24
2.1. BIN NGU NHIN..................................................................................................................... 24
2.2. BIN NGU NHIN RI RC.................................................................................................... 25
2.3. BIN NGU NHIN LIN TC.................................................................................................. 29
2.4. CC THAM S C TRNG CA BIN NGU NHIN ....................................................... 38
2.5. HM C TRNG ...................................................................................................................... 46
TM TT ........................................................................................................................................ 47
CU HI N TP V BI TP ................................................................................................... 49
CHNG III: VC T NGU NHIN...................................................................................................... 54
GII THIU..................................................................................................................................... 54
NI DUNG ...................................................................................................................................... 55
3.1. KHI NIM VC T NGU NHIN.......................................................................................... 55
3.2. BNG PHN B XC SUT CA VC T NGU NHIN RI RC HAI CHIU............. 56
3.3. VC T NGU NHIN LIN TC............................................................................................. 60
3.4. TNH C LP CA CC BIN NGU NHIN...................................................................... 61
3.5. HM CA CC BIN NGU NHIN........................................................................................ 62
3.6. CC THAM S C TRNG CA BIN NGU NHIN ....................................................... 66
3.7. PHN B C IU KIN V K VNG C IU KIN...................................................... 68
3.8. PHN B CHUN NHIU CHIU ........................................................................................ 72
TM TT ........................................................................................................................................ 73
CU HI N TP V BI TP ................................................................................................... 76
CHNG IV: LUT S LN V NH L GII HN ........................................................................ 81
172
Mc lc
GII THIU..................................................................................................................................... 81
NI DUNG ...................................................................................................................................... 81
4.1. CC DNG HI T CA DY CC BIN NGU NHIN..................................................... 81
4.2. LUT S LN.............................................................................................................................. 82
4.3. NH L GII HN TRUNG TM ............................................................................................ 85
4.4. XP X PHN B NH THC .................................................................................................... 86
TM TT ........................................................................................................................................ 88
CU HI N TP V BI TP ................................................................................................... 89
CHNG V: THNG K TON HC ..................................................................................................... 92
GII THIU..................................................................................................................................... 92
NI DUNG ...................................................................................................................................... 93
5.1. L THUYT MU ....................................................................................................................... 93
5.2. L THUYT C LNG....................................................................................................... 103
5.3. KIM NH GI THIT THNG K ....................................................................................... 111
TM TT ...................................................................................................................................... 119
CU HI N TP V BI TP ................................................................................................. 124
CHNG VI: QU TRNH NGU NHIN CHUI MARKOV .......................................................... 128
GII THIU................................................................................................................................... 128
NI DUNG .................................................................................................................................... 129
6.1. KHI NIM V PHN LOI QU TRNH NGU NHIN ................................................... 129
6.2. CHUI MARKOV ...................................................................................................................... 131
6.3. PHN LOI TRNG THI CHUI MARKOV ....................................................................... 138
CU HI N TP V BI TP ................................................................................................. 146
HNG DN GII BI TP.................................................................................................................... 149
P N CHNG I..................................................................................................................... 149
P N CHNG II ................................................................................................................... 151
P N CHNG III .................................................................................................................. 156
P N CHNG IV.................................................................................................................. 159
P N CHNG V ................................................................................................................... 161
P N CHNG VI.................................................................................................................. 164
PH LC ...................................................................................................................................................... 167
PH LC I: GI TR HM MT ( x ) =
1
2
x2
2 .................................................... 167
PH LC II: GI TR HM PHN B CHUN TC .............................................................. 168

PH LC III: GI TR TI HN CA PHN B STUDENT................................................. 169
173
Mc lc
PH LC IV: GI TR TI HN CA PHN B KHI BNH PHNG
2 ....................... 170
TI LIU THAM KHO............................................................................................................................ 171

MC LC..................................................................................................................................................... 172
174
XC SUT THNG K
M s : 491XSU210
Chu trch nhim bn tho
TRUNG TM O TO BU CHNH VIN THNG 1

Xac Suat Thong Ke

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HC VIN CNG NGH BU CHNH VIN THNG

HC VIN CNG NGH BU CHNH VIN THNG

mi chng, mi ni dung, ngi c c th t c v hiu c cn k thng qua cch din t

Chng 1: Cc khi nim c bn v xc sut

CHNG I: CC KHI NIM C BN V XC SUT

Cc khi nim php th, bin c.

Quan h gia cc bin c.

Cc nh ngha v xc sut: nh ngha xc sut theo c in, theo thng k.

Dy php th Bernoulli v xc sut nh thc

Khi nm vng cc kin thc v i s tp hp nh hp, giao tp hp, tp con, phn b ca

Chng 1: Cc khi nim c bn v xc sut

c gi l kt qu thun li cho bin c A nu A xy ra khi kt

V d 1.2: Nu gi A l bin c s nt xut hin l chn trong php th tung xc xc v

Chng 1: Cc khi nim c bn v xc sut

t nht mt trong cc bin c Ai xy ra.

c cc bin c Ai cng xy ra.

ii. Tng ca chng l bin c chc chc, ngha l

Chng 1: Cc khi nim c bn v xc sut

G = ABC ABC ABC .

c. Ba bin c A, B, C c lp nhng khng xung khc.

Chng 1: Cc khi nim c bn v xc sut

tho mn hai iu kin sau:

Khng gian mu c mt s hu hn phn t.

Khi ta nh ngha xc sut ca bin c A l

Nu xem bin c A nh l tp con ca khng gian mu th

+ mn cch chn mt trong cc i tng cho.

Chng 1: Cc khi nim c bn v xc sut

V d 1.6: Tung mt con xc xc hai ln. Tm xc sut trong c 1 ln ra 6 nt.

V d 1.8: Mt ngi gi in thoi qun mt hai s cui ca s in thoi v ch nh c

Chng 1: Cc khi nim c bn v xc sut

V d 1.9: Mt cng ty cn tuyn 2 nhn vin. C 6 ngi np n trong c 4 n v 2

c gi l tn sut xut hin ca bin c A trong n php th.

Trn thc t P(A) c tnh xp x bi tn sut f n ( A) khi n ln.

Chng 1: Cc khi nim c bn v xc sut

V d 1.12: Hai ngi bn hn gp nhau mt

Gi A l bin c hai ngi gp nhau th

1.2.6. Cc tnh cht v nh l xc sut

2. Xc sut ca bin c khng th bng 0, xc sut ca bin c chc chn bng 1.

Chng 1: Cc khi nim c bn v xc sut

Tng qut hn, nu {A1 , A2 , ... , An } l dy cc bin c xung khc tng i mt th

T cng thc (1.6) v (1.7) ta c h qu: Nu {A1 , A2 , ... , An } l mt h y th

b. Trng hp tng qut

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

Nu {A1 , A2 , ... , An } l dy cc bin c bt k

P ( A) = P ( A1 ) + P ( A2 ) = 0,25 + 0,55 = 0,8 .

p dng cng thc (1.8) cho h y A, A ta c quy tc xc sut bin c i

Chng 1: Cc khi nim c bn v xc sut

l xc sut ca B vi iu kin A . K hiu P (B A) .

Khi c nh A vi P ( A) > 0 th xc sut c iu kin P (B A) c tt c cc tnh cht

ca xc sut thng thng (cng thc (1.5)-(1.10)) i vi bin c B .

P B A = 1 P(B A), P (B1 B2 A) = P(B1 A) + P(B2 A) P (B1 B2 A) .

Chng 1: Cc khi nim c bn v xc sut

1.3.2. Quy tc nhn xc sut

Nu {A1 , A2 , ... , An } l cc bin c c lp th

P( A1 A2 ... An ) = P( A1 )P( A2 )...P( An ) .

1.3.2.2. Trng hp tng qut:

P ( A1 A2 ... An ) = P ( A1 ) P ( A2 A1 ) P ( A3 A1 A2 ) ... P ( An A1 A2 ... An1 ) .

V d 1.14: Ti I cha 3 bi trng, 7 bi , 15 bi xanh.

Bt , B , B x ln lt l bin c bi c rt t ti II l trng, , xanh.

Chng 1: Cc khi nim c bn v xc sut

1.3.3. Cng thc xc sut y

cng mt php th, ta c

1.3.4. Cng thc Bayes