Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A

-1-
Chng I. PHN L THUYT

Trong chng I ny, chng ti xin nhc li v tr li mt s cu hi l thuyt c
bn lin quan n cc vn thng k ton hc, bao gm:
1. Thng k ton l g? Cc loi thng k?
2. Kim nh gi thuyt thng k l g?
3. c lng tham s thng k l g? Cc loi c lng?
Mt s v d cng s c nu ra minh ha cho cc l thuyt va trnh by.

1. Thng k ton l g?
Trong i sng thc t c mt s cng vic thng gp nh:
1) o mc nc thp nht v cao nht ca mt dng sng ti mt a im no
trong nm.
2) iu tra dn s ca mt quc gia ti mt thi im no .
3) Mt nh sn sut chn ngu nhin mt s sn phm tnh ton v mun kim
tra xem c phi l t l ph phm l 5% hay khng?
4) Ngi k s nng nghip nghin cu mi quan h gia ging, nuc, phn bn,
k thut chm sc,vi nng sut thu hoch ca tng li nng sn.
..
Xut pht t nhu cu x l cc cng vic trn, mt ngnh ton hc mi ra i
v tr thnh mt cng c h tr c lc. l ngnh thng k ton hc. Tng qut, ta
c th nh ngha:
Thng k ton l b mn Ton hc nghin cu qui lut ca cc hin tng ngu
nhin c tnh cht ln da trn c s thu thp v x l s liu, iu tra chn mu,
nghin cu mi lin h gia cc hin tng, d on, nghin cu cc quy lut vn c
ca chng trong iu kin thi gian v khng gian c th.
Thng k ton thng s dng cc phng php ca l thuyt xc sut. Tuy
nhin, trong mt chng mc no bi ton thng k ngc li so vi bi ton l
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-2-
thuyt xc sut. Nu trong l thuyt xc sut ta tm m hnh ca hin tng v tnh
ton cc kh nng thc t ca hin tng th trong thng k ton ta i t cc d liu ca
i lng ngu nhin v tm ra cc phng php t d liu thng k chn m
hnh l thuyt xc sut thch hp.
V d: Trong m hnh nh thc B(n; p), l thuyt xc sut coi s php th n v
xc sut thnh cng p l bit, ta cn tnh xc sut c m ln thnh cng. Nhng
trong bi ton thng k li l trong n php th xut hin m ln thnh cng, cn da
vo m v n tnh xc sut p.
Thng k ton c chia thnh 2 lnh vc:
+ Thng k m t: Bao gm cc phng php thu nhp s liu, m t v
trnh by s liu, tnh ton cc c trng o lng.
+ Thng k suy din: Bao gm cc phng php nh c lng, kim nh,
phn tch mi lin h, d ontrn c s cc thng tin thu nhp t mu.
2. Kim nh gi thuyt thng k l gi?
Trong i sng x hi hng ngy v c bit l trong khoa hc - k thut c nhiu
vn nghin cu m cc nh nghin cu thng pht biu di dng cc gi thuyt.
Mt gi thuyt c nu ra th c th ng nhng cng c th sai. Vn t ra l lm
th no kim nh c chng? V vy, l thuyt kim nh gi thuyt ra i gii
quyt cc bi ton ny.
Gi thuyt thng k ni chung l mt mnh v tng th no . Gi thuyt v
dng phn b xc sut ca bin ngu nhin gc ca tng th hoc cc tham s c
trng, tnh cht ca bin ngu nhin ny. Gi thuyt thng k chnh l nhng iu ta
mun bo v hoc ta nghi ngh mun bc b, c pht biu di dng H
0
. Cnh tranh
vi gi thuyt ny l i thuyt H
1
, theo ngha rng nu bc b H
0
th chp nhn H
1
v
ngc li.
V d: T l khch hng tiu dng thng xuyn mt loi sn phm mt a
phng no l 60%. Sau mt chin dch tip th, ngi ta thy dng nh t l ny
tng ln. Ban lnh o quyt nh iu tra xem qu thc t l ny tng ln hay
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-3-
cha, nu khng s tin hnh qung co trn thng tin i chng. Phng vn ngu
nhin 400 ngi th thy c 250 ngi s dng thng xuyn sn phm . Vi mc
ngha 0, 05 o = , hi t l c tng ln hay cha?
Gii
Vi v d ny, ta gi t l khch hng tiu dng thng xuyn mt loi sn phm
ca cng ty l p. Khi , gi thuyt thng k c th pht biu nh sau:
0 0
1 1
: 0, 6
: 0, 6.
H p p
H p p
= =

= >

kim nh gi thuyt ny, ngi ta khng th no phng vn ton b khch
hng c m thay vo ngi ta chn ngu nhin 400 khch hng iu tra. S n
= 400 khi c gi l c mu ly t tng th khch hng. Mc ngha 0, 05 o = ,
cho ta bit c gi thuyt c kim nh vi tin cy l 95%, tc l xc sut mc
sai lm bc b H
0
trong khi n ng (sai lm loi I) ch l 5%.
Chn thng k lm tiu chun kim nh l:
( )
( ) ( )
0
0 0
250
0, 6
400
400 1, 02.
1 0, 6. 1 0, 6
f p n
Z
p p

= = =


Min bc b c dng: ( ) ( ) ( )
1 0,95
; ; 1, 645; Z Z
o
+ = + = + , trong
0,95
Z l phn
v mc 0,95 ca lut phn phi chun tc N(0; 1).
Suy ra: ( ) 0, 6 1, 645; e + . Do , ta khng bc b c gi thuyt H
0
, tc l coi t
l cha tng ng k. V vy, khuyn co c a ra l hy tin hnh qung co nu
c th.
Nh vy, kim nh gi thit thng k l qu trnh da vo mu c th ly t tng
th nghin cu v cc quy tc hay th tc quyt nh m qua dn n bc b hay
chp nhn gi thuyt ca tng th.
Cc bc ca vic kim nh gi thuyt thng k l:
Thnh lp gi thit
0
H .
V d:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


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0 0
0 0
0 0
:
:
:
H
H
H
u u
u u
u u
=
s
>

Thnh lp i gi thit
1
H .
V d:
1 0
1 0
1 0
:
:
:
H
H
H
u u
u u
u u
=
<
>

Xc nh mc ngha o .
Chn cc tham s thng k thch hp cho vic kim nh cc min bc
b, min chp nhn v gi tr gii hn.
Tnh ton cc gi tr ca cc tham s thng k trong vic kim nh da
trn s liu ca mu ngu nhin.
Ra quyt nh: Nu cc gi tr tnh ton ri vo min bc b
0
H th ra
quyt nh bc b
0
H , ngc li s chp nhn
0
H .
3. c lng tham s thng k l g?
3.1 Bi ton c lng tham s thng k
Gi s tm hiu v bin ngu nhin X, ta lp mt mu (X
1
, X
2
,, X
n
) c ly
t n. Vic nghin cu v lut phn phi ca X thng rt kh nm bt. Hn na,
trong mt s trng hp ta ch cn tm hiu mt tham s c trng no ca X nh
k vng, phng sai, Cc tham s c trng ny ch c th bit chnh xc khi bit
chnh xc lut phn phi ca X. iu ny li gn nh ta khng th lm c. Vy, ch
c th c lng, hay ni mt cch khc l ta tnh gn ng ca cc tham s ny. Mt
cch tng qut, bi ton c lng t ra nh sau:
Cho bin ngu nhin X c hm phn phi l ( ) ; F x u bit dng v ph thuc
vo tham s u cha bit, u eO(tp cc tham s). Da trn mu (X
1
, X
2
,, X
n
) v X,
hy tm mt gi tr gn ng

u ca u .
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


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Bi ton pht biu trn c gi l bi ton c lng im cho tham s u . Mt
hm s

( )
1 2
, ,..,
n
X X X u u = dng c lng u l mt i lng thng k v c
gi l mt c lng im ca u .
Ch : i khi ngi ta quan tm khng phi l mt gi tr chnh xc ca tham s
u , m cn ch ra khong
1 2
u u u s s sao cho vi xc sut gn bng 1 th tham s u ri
vo . Khi , bi ton tr thnh bi ton c lng khong.
Tr li, khi c lng tham s u th c th c nhiu c lng khc nhau cho u .
Vn t ra l chn c lng no ti u nht cho u , tc l c lng c gn nh
nht so vi u . Do , ngi ta xy dng tiu chun nh gi cc c lng. y,
ngi ta quan tm l cc c lng khng chch, c lng vng v c lng hiu
qu ca tham s u .
3.2 Cc loi c lng
3.2.1 c lng khng chch
Thng k

( )
1
,...,
n
X X u c gi l c lng khng chch ca u nu vi mi gi
tr ca tham s u , ta c

( )
. E u u =
Nu

( )
E u u = th

( )
1
,...,
n
X X u c gi l c lng chch ca u .
Nh vy, tnh khng chch ca c lng c ngha l t nht trung bnh ca c
lng cng dn n kt qu mong mun.
3.2.2 c lng vng
Thng k

( )
1
,...,
n
X X u c gi l mt c lng vng ca tham s u nu vi
mi 0 c > cho trc ta c:

lim 1
n
P u u c

(
< =

, (hi t theo xc sut v 1).
Ta bit rng

u u l sai s tuyt i ca c lng. Nh vy, tnh vng ca c

lng c ngha l sai s tuyt i nh hn mt s bt k 0 c > vi xc sut gn bng
1 khi c mu ln.
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


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Thng thng, vic xt tnh vng ca c lng bng nh ngha gp nhiu kh
khn. Do vy, ngi ta thng s dng nh l sau th d dng kho st hn.
A nh l 3.1 Nu

( )
,
n
E u u v

( )
0
n
D u , khi n th

n u l c lng
vng ca u .
Chng minh
0, c > p dng bt ng thc Chebysev cho

n u , ta c:

( )
( )

( )

( )

( ) ( ) ( )

( )
2 2
1 1 .
n n
n n n n
D D
P E P E
u u
u u c u u u u c
c c
s > s >
Cho n , v s dng gi thit ta c:

lim 1. n
n
P u u c

(
< =


Vy,

n u l c lng vng.
3.2.3 c lng hiu qu
Ta bit rng, phng sai dng o phn tn ca bin ngu nhin quanh gi
tr trung bnh. Nh vy, trong c lng th c lng no c phng sai b hn th s
tt hn.
Thng k

( )
1
,...,
n
X X u c gi l c lng hiu qu ca tham s u nu vi
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. Ngha l: Nu

( )
1
, ,
n
G X X l mt
c lng khng chch bt k ca u th

( )

( )
2 2
. E E G u u u s
Bn cnh :

( )

( )
, E E G u u u = = nn:

( )

( )

( )

( )
2 2
, . E D E G D G u u u u = =
V vy, c lng hiu qu cn c gi l c lng khng chch vi phng
sai b nht ca u .
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-7-
Thng thng, nh gi tnh hiu qu ca c lng, ngi ta s dng bt
ng thc Cramer-Rao sau y:
A nh l 3.2 (Bt ng thc Cramer-Rao)
Gi s ( ) ( )
1 2
; , ,..., ;
n
p x p x x x u u = l h hm mt ph thuc tham s u , v

u l
mt c lng khng chch ca u theo mu c lp ( )
1 2
, ,...,
n
x x x , khi :

( )
( ) ( )
1
1 1
, D
J nJ
u
u u
> =
trong , ( ) J u l lng thng tin Fisher v tham s u c xc nh nh sau:
( )
( ) ( )
2
; ;
.
p X p X
J E D
u u
u
u u
c c | | | |
= =
| |
c c
\ . \ .

Cn ( )
1
J u l lng thng tin Fisher ca mt quan st x
k
.
Sau y, ta xt mt v d nh.
V d: Cho bin ngu nhin X vi k vng
2
, EX DX o = = , v mu ngu nhin c
lp ( )
1
, ,
n
X X , khi trung bnh mu l
1
1
.
n
i
i
X X
n
=
=


- Ta c:
( )
1
1
= EX.
n
i
i
n
E X EX
n n

=
= = =

Suy ra trung bnh mu X l c lng khng chch ca k vng .
- Vi mi 0 c > , p dng bt ng thc Chebysev vi bin X ta c:
2
2
1 . P X
n
o
c
c
(
< >


Ta c:
2
2
lim 1 1, 0.
n
n
o
c
c

| |
= >
|
\ .

Suy ra lim 1.
n
P X c

(
< =


Vy, X l mt c lng vng ca .
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-8-
Ta b qua xt tnh hiu qu ca X y. Kho st v n cng nh l kho st chi tit
mt cch c th ca mt s c lng khc nh phng sai mu, phng sai mu iu
chnh, c gi xem bi tp 4, chng II.
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-9-
Chng II. BI TP

Bi tp 1.
Cho

( ) F x l hm phn phi thc nghim. Tnh

( )
( ) , E F x

( )
( ) , D F x

( )
( ) ,
r
E F x
v

( ) ( )
( ) ( )
r
E F x E F x .
Gii
Ta c hm phn phi thc nghim c cho bi cng thc:

( )
{ }
n
k =1
x x
k
1
F x I ,
n
s
=


trong ,
{ }
1 khi

0 khi .
k
k
x x
k
x x
I
x x
s
s
=

>

Gi s xc sut
{ }
k
x x
I
s
nhn gi tr 1 l p.
Khi , d thy
{ }
k
x x
I
s
c lut phn phi Bernoulli ( ) 1; B p . Bng phn b xc sut:
{ }
k
x x
I
s
0 1
{ }
( )
k
x x
P I
s

1 p p
Ta c:
{ }
( )
( )
{ }
( )
( )
2 2 2
0. 1 1.
0 . 1 1 . .
k
k
x x
x x
E I p p p
E I p p p
s
s
= + =
= + =

- Tnh

( )
( ) E F x
{ } { }
( )
( )
^
1 1
1 1 1
( ) ... .
k k
n n
x x x x
i i
E F x E I E I p p p
n n n
s s
= =
| |
| |
= = = + + =
| |
\ .
\ .


- Tnh

( )
( ) D F x
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-10-
{ } { }
( )
{ } { }
( ) ( )
( )
^
2
=1 =1
2
2 2
2 2
=1
1 1
( )
1 1

1
.
k k
k k
n n
x x x x
i i
n
x x x x
i
D F x D I D I
n n
EI EI p p
n n
p p
n
s s
s s
| |
| |
= =
|
|
\ .
\ .
| |
= =
|
\ .

Tnh

( )
( )
r
E F x :
Ta c:
{ } { }
^
=1 =1
1 1
( ) .
k k
r r
r
n n
x x x x r
k k
E F x E I E I
n n
s s
| | | |
| |
= =
|
| |
\ .
\ . \ .


Ta cn tnh:
{ }
1
?
k
r
n
x x
k
E I
s
=
| |
=
|
\ .

t:
{ }
=1
.
k
n
x x
k
Y I
s
=

Khi , v
{ }
k
x x
I
s
c lut phn phi Bernoully, tc l
{ }
( ) 1; , 1,
k
x x
I B p k n
s
= , nn
( ) ; Y B n p .
Suy ra hm c trng ca Y l:
( ) ( ) ( )
=0
1
n
n k
itY itk k k
Y n
k
h t E e e C p p

= =

( )
( ) ( ) ( )
( )
( ) ( )
= 0 =1
=1
1 1
0 1 ,
Y
Y
n n
n k n k
r r r itk k k r r itk k k
n n
k k
n
n k
r r r k k
n
k
h t i k e C p p i k e C p p
h i k C p p

= =
=

trong ,
( )
( )
Y
r
h t l o hm cp r ca ( ),
Y
h t v
2
1 i = .
Mt khc, ta c:
( )
( ) ( )
0 .
r r r
Y
h i E Y =
Do ,
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


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( ) ( )
=1
1 .
n
n k
r r k k
n
k
E Y k C p p

=

Vy:

( )
( )
=1
1
( ) 1 .
n
r
n k
r k k
n r
k
E F x k C p p
n

- Tnh

( ) ( )
( ) ( )
r
E F x E F x
Ta c:

( ) ( )
{ }
=1
1
( ) ( ) .
k
r
n r
x x
k
E F x E F x E I p
n
s
| |
=
|
\ .

t:
{ }
=1
1
,
k
n
x x
k
Z I p
n
s
=

th
1
. Z Y p
n
=
Khi , ta c hm c trng ca Z l:
( ) ( )
( )
( )
1
= 0
= 0
1
1 .
itp
Z Y
Y p
n
t
n
ik
n k
r itp k k
n
n
k
k
n
it p
n k
r k k n
n
k
t
h t h t e h
n
i e e C p p
i e C p p

| |

|

\ .
| |
= =
|
\ .
=
=

( )
( ) ( )
( )
( ) ( )
= 0
= 0
1
0 1 .
Z
Z
r k
n
it p
n k
r r k k n
n
k
r
n
n k
r r k k
n
k
k
h t i p e C p p
n
k
h i p C p p
n
| |

|

\ .

| |
=
|
\ .
| |
=
|
\ .

Mt khc, ta c:
( )
( ) ( )
0 .
r r r
Z
h i E Z =
Do ,
( ) ( )
=0
1 .
r
n
n k
r k k
n
k
k
E Z p C p p
n
| |
=
|
\ .

Vy:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-12-

( ) ( )
( ) ( )
=0
( ) ( ) 1 .
r
n r
n k
r k k
n
k
k
E F x E F x E Z p C p p
n
| |
= =
|
\ .

Bi tp 2
Xy dng qui tc ti u kim nh gi thuyt v tham s ca lut phn phi
chun trong cc trng hp sau:
a)
0 0
: H =

1 1 0
: H = < .
b)
0 0
: H =

1 1 0
: H = = .
Gii
a)
Gi s mu c lp ( )
1 2
, ...,
n
x x x ly t bin ngu nhin
( )
2
; X N o .
Ta cn kim nh gi thuyt v tham s :
0 0
1 1 0
:
: .
H
H


=
= <

- Xy dng qui tc ti u Neyman-Pearson, y ta c:

( ) ( ) ( ) ( )
2
1 1 1 1 2 1 1 2
=1
2
1 1
( ) . ... exp ,
2
(2 )
n
n i n
i n
p x p x p x p x x
o
t o

= =
`
)

( ) ( ) ( ) ( )
( )
( )
2
0 0 1 0 2 0 0 2
=1
2
1 1
. ... exp .
2
2
n
n i n
n
i
p x p x p x p x x
o
t o

= =
`
)

Do , t s hp l:

2 2 1
1 0 1 0 2 2
0
( )
exp ( ) ( ) ,
( ) 2
p x n n
x
p x

o o

=
`
)
(1)
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-13-
trong ,
=1
1
n
i
i
x x
n
=

l trung bnh mu.
T (1), ta suy ra min gi tr
1
0
( )
( )
p x
c
p x
< l min xc nh bi:
1
, x c < vi
1
c no .
Nh vy, tp ti hn c dng:
{ } 1
: . S x x c = <
V ( ) ; , 1,
i
x N i n o = , nn
2
; . x N
n
o

| |
|
\ .

Do ,
x
n

c lut phn phi chun tc N(0,1).

Ta xc nh xc sut sai lm loi I v loi II nh sau:
( )
0 1 0
1 0 0
/ /
x c
P x c H P H
n n

o
o o
| |
|

= < = < |
|
|
\ .

t ( )
0
0;1 ,
x
Z N
n

=

th ta c:
1 0 1 0
0
/ ,
c c
P Z H
n n

o
o o
| | | |
| |

= < = u | |
| |
| |
\ . \ .
(2)
trong , ( ) z u l hm phn phi ca lut phn phi chun tc ( ) 0;1 Z N c cho
bi:
( ) ( )
2
2
1
.
2
z u
P Z z z e du
t

s = u =
}

Tng t, xc sut sai lm loi 2:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-14-
1 1 1 1 1 1
1 1 1 1
( / ) / 1 /
x c x c
P x c H P H P H
n n n n

|
o o o o
| | | |
| |

= > = > = < = | |
| |
| |
\ . \ .


1 1
1 .
c
n

o
| |
|

= u |
|
|
\ .
(3)
K hiu: U

l phn v mc : ( ) . U

u =
T (2), (3) v
1
U U

= , ta suy ra:
1 0 1 1
1
,
c c
U U U
n n
o | |

o o

= = =
1 0
. U U
n
o |

o

+ =
n y, ta xc nh c kch thc mu cn thit dng km nh l:
( )
( )
2
2
1 0
.
U U
n
o |
o

+
=

Tr li, ta xc nh min ti hn nh sau :
0
1 0
.
x
x c U U
n
n
o o
o

< = + <
Vy, min ti hn (min bc b H
0
) :
0 0
1
: : ,
x x
S x U x U
n n
o o

o o




= < = <
` `


) )

trong , U
o
l phn v mc o ca lut phn phi chun tc ( ) 0;1 N .
Ni thm, thng k dng lm tiu chun kim nh gi thuyt trn l:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-15-
0
,
X
Z
n

=
trong ,
1
1
n
i
i
X X
n
=
=

l trung bnh mu v phng sai
2
o l bit.
b)
Gi s mu c lp ( )
1 2
, ...,
n
x x x ly t bin ngu nhin
( )
2
; X N o .
Ta cn kim nh gi thuyt:
0 0
1 1 0
:
: .
H
H


=
= =


- Xy dng qui tc ti u Neyman-Pearson, y ta c:
( ) ( ) ( ) ( )
2
1 1 1 1 2 1 1 2
1
2
1 1
( ) . ... exp ,
2
(2 )
n
n i n
i n
p x p x p x p x x
o
t o
=

= =
`
)

( ) ( ) ( ) ( )
( )
( )
2
0 0 1 0 2 0 0 2
1
2
1 1
. ... exp .
2
2
n
n i n
n
i
p x p x p x p x x
o
t o
=

= =
`
)

Do , t s hp l:
2 2 1
1 0 1 0 2 2
0
( )
exp ( ) ( ) ,
( ) 2
p x n n
x
p x

o o

=
`
)
(4)
trong
1
1
.
n
i
i
x x
n
=
=


Ta nhn thy rng:
1 1 0 0 1 0 1 0
1
2
1 1 0 0 1 0 1 0
, khi , khi
( )

( )
, khi , , khi ,
x c x c
p x
c
p x
x c x c



> < > <
>
< < < <

vi c
1
no .
T , ta suy ra min gi tr
1
0
( )
( )
p x
c
p x
> l min c xc nh bi:
0 2
, x c > vi
2
c

no .
Nh vy, tp ti hn c dng:
{ } 0 2
: . S x x c = >
V ( ) ; , 1,
i
x N i n o = , nn
2
; . x N
n
o

| |
|
\ .

Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-16-
Do ,
x
n

c lut phn phi chun tc N(0,1).

Ta xc nh xc sut sai lm loi I v loi II nh sau:
( )
0
2
0 2 0 0
/ / .
x
c
P x c H P H
n n

o
o o
| |
|

= > = > |
|
|
\ .

t ( )
0
0;1 ,
x
Z N
n

=

th ta c:
2 2
0 0
2 2
0
/ 2 /
2 1 / 2 1 .
c c
P Z H P Z H
n n
c c
P Z H
n n
o
o o
o o
| | | |
| |
= > = > = | |
| |
| |
\ . \ .
| | | |
| |

= s = u | |
` `
| |

| |

\ . \ . ) )

trong , ( ) z u l hm phn phi ca lut phn phi chun tc ( ) 0;1 Z N c cho
bi:
( ) ( )
2
2
1
.
2
z u
P Z z z e du
t

s = u =
}

Suy ra:
2
1 .
2
c
n
o
o
| |
|
u = |
|
|
\ .
(5)
Tng t, xc sut sai lm loi 2:
( )
0 0 2 2 2
0 2 1 1 1
/ / /
x x c c c
P x c H P H P H
n n n n n

|
o o o o o
| | | |
| |

= s = s = s s | |
| |
| |
\ . \ .

Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-17-

1 0 2 1 2 1
1
2 1 0 2 1 0 1
/
.
x c c
P H
n n n
c c x
P
n n n

o o o

o o o
| |
|

= s s |
|
|
\ .
| |
|
+ +
= s s |
|
|
\ .

t ( )
1
' 0;1 .
x
Z N
n

=

Do ,

2 1 0 2 1 0 2 1 0 2 1 0
' .
c c c c
P Z
n n n n

|
o o o o
| | | | | |
| | |
+ + + +
= s s = u u | | |
| | |
| | |
\ . \ . \ .
(6)
K hiu: U

l phn v mc : ( ) . U

u =
Khi , t (5) ta c:
2
1
2
.
c
U
n
o
o
=
T y, cho ta tm c min ti hn nh sau :
0 0 2
0 2
1
2
.
x x c
x c U
n n n
o

o o o

> > >

Vy, min ti hn:
0 0 0
1 1 1
2 2 2
: : < ,
x x x
S x U x U U
n n n
o o o

o o o



= > = v >
` `


) )

trong ,
1
2
U
o

l phn v mc 1
2
o
ca lut phn phi chun tc ( ) 0;1 N .
Ni thm, thng k c chn lm tiu chun kim nh gi thuyt trn l:
0
,
X
Z
n

=
trong , X l trung bnh mu v phng sai
2
o l bit.
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-18-
- By gi, ta xc nh n c mu cn thit trong qui tc ti u khi bit xc sut sai lm
loi I v loi II.
* Trng hp 1:
1 0
> . Khi , ta c:
1 0 2 1 0 2
1
2 2
0 .
c c
U U
n n n
o o

o o o
+ +
< < = =
V ( ) x u l hm ng bin nn:
1 1 0
2
.
2
c
U
n
o
o
o
| |
|
| |
+
u < u = |
|
|
\ .
|
\ .

Do
2
o
rt nh nn ta c th xem:
2 1 0
0.
c
n

o
| |
|
+
u ~ |
|
|
\ .

Thay vo (6), ta c:
2 1 0 2 1 0
.
c c
U
n n
|

|
o o
| |
|
+ +
~ u ~ |
|
|
\ .

0 1 0 1 0 1 2
1
2 2
.
c
U U U U U
n n n n
| o | o |

o o o o

+ ~ + ~ + ~
( )
2
2
2
2
0 1
.
U U
n
o |
o

| |
+
|
\ .
~

* Trng hp 2:
1 0
< . Tng t, ta c:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-19-
1 0 2 1 0 2
1
2 2
2 1 0
2
0
.
2
c c
U U
n n n
c
U
n
o o
o

o o o
o
o

+
< < = =
| |
|
| |
+
u < u = |
|
|
\ .
|
\ .

Do
2
o
rt nh nn ta c th xem:
2 1 0 2 1 0
0 0. (7)
c c
n n

o o
| | | |
| |
+ +
u ~ u ~ | |
| |
| |
\ . \ .

T (6), (7) v ch rng ( ) ( ) 1 x x u = u , ta suy ra:
2 1 0 2 1 0
1
1
c c
U U
n n
| |

|
o o

| |
|
+ +
~ u ~ = |
|
|
\ .

0 1 0 1 0 1 2
1
2 2

c
U U U U U
n n n n
| o | o |

o o o o

+ ~ + ~ + ~

( )
2
2
2
2
0 1
.
U U
n
o |
o

| |
+
|
\ .
~

Tm li: C mu cn thit cho kim nh c xc nh bi:
( )
2
2
2
2
0 1
.
U U
n
o |
o

| |
+
|
\ .
~

Bi tp 3
Xy dng qui tc ti u trong m hnh phn phi chun kim nh gi thit v
tham s
2
. Cho v d.
Gii
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-20-
Gi s mu c lp ( )
1 2
, ...,
n
x x x ly t bin ngu nhin
( )
2
; X N o .
Xt gi thuyt thng k:
2 2
0 0
2 2 2
1 1 0
: 0,
: 0, .
H
H
o o
o o o
= =
= = >

- Xy dng quy tc ti u Neyman-Pearson, y ta c:
( ) ( ) ( ) ( )
( )
2
1 1 1 1 2 1 2
1 1
2
1
1 1
. ... exp ,
2
2
n
n i n
n
i
p x p x p x p x x
o
t o
=

= =
`
)

( ) ( ) ( ) ( )
( )
2
0 0 1 0 2 0 2
1 0
2
0
1 1
. ... exp .
2
2
n
n i n
n
i
p x p x p x p x x
o
t o
=

= =
`
)

Do , t s hp l:
( )
( )
1 2 0
2 2
1
0 1 0 1
1 1 1
exp .
2
n n
i
n
i
p x
x
p x
o
o o o
=
| |

=
` |
\ . )

V
2 2
0 1 2 2
0 1
1 1
0 o o
o o
< > . Th nn:
( )
( )
1 2
1
=1 0

n
i
i
p x
c x c
p x
> >

, vi c
1
no .
Nh vy, tp ti hn c dng:
2
1
=1
: .
n
i
i
S x x c

= >
`
)

Ta bit rng: ( )
2 2
2
=1
1
n
i
i
x n _
o

, vi hm phn phi: ( ) ( )
0
, 0
x
n n
K x k t dt x = >
}
,
trong , ( )
n
k u l hm mt c cho bi:
( )
( )
2 2
2
1
2
0 0
1
. , 0
2
n t
n
n
n
t
k t
t e t

s

=

>

v ( ) x I l hm Gamma c nh ngha l: ( ) ( )
1
0
, 0 .
x t
x t e dt x
+

I = >
}

Ta tnh cc xc sut sai lm loi 1 v loi 2 nh sau:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-21-
2 2 2 1 1
1 0 0 0 2 2 2 2
=1 =1 =1 0 0 0 0
1 1
/ / 1 / .
n n n
i i i
i i i
c c
P x c H P x H P x H o
o o o o
| | | | | |
= > = > = s
| | |
\ . \ . \ .


t ( )
2 2
2
=1 0
1
,
n
i
i
Z x n _
o
=

th ta c:
( )
1
2
0
1 1
0 2 2
0 0 0
1 / 1 1 .
c
n
c c
P Z H k z dz K
o
o
o o
| | | |
= s = =
| |
\ . \ .
}
(1)
Tng t, xc sut sai lm loi 2:
2 2 1 1
1 1 1 2 2 2
1 1 1 1 1
1
/ / .
n n
i i
i i
c c
P x c H P x H K |
o o o
= =
| | | | | |
= < = < =
| | |
\ . \ . \ .

(2)
K hiu:

_ l phn v mc :
( )
.
n
K

_ =
Khi , t (1), (2) v do
1
_ _

= suy ra:
1
1 2
0
,
c
o
_
o

=
v
1
1 2
1
.
c
| |
_ _
o

= =

n y, ta xc nh min ti hn nh sau:
2 2 2
1 0 1 1 2
1 1
0
1
. .
n n
i i
i i
x c x
o o
o _ _
o

= =
> = >


Vy, min ti hn l:
2
1 2
1 0
1
:
n
i
i
S x x
o
_
o

=

= >
`
)

, vi
1 o
_

l phn v mc 1 o ca lut
phn phi
2
( ) n _ (bc t do l n).
Ch : Nu ta xy dng quy tc ti u kim nh phng sai vi trung bnh 0 =
th ta hon ton lm tng t nhng y min ti hn c dng:
( )
2
1 2
=1 0
1
: ,
n
i
i
S x x
o
_
o


= >
`
)

trong ,
1 o
_

l phn v mc 1 o ca lut phn phi
2
( 1) n _ (bc t do l n - 1).
Ni thm, thng k dng lm tiu chun kim nh gi thuyt y l:
( ) ( )

2
2 2
2 2 2
=1 =1 0 0 0
1 1 1 1
.
1
n n
i i
i i
n n
Z X X S
n

o o o

= = =

Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-22-
trong ,

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

l phng sai mu c iu chnh.
V d: Theo s tay dng cho cc phng th nghim luyn kim, sai s bnh phng
trung bnh ca php xc nh Crm bng phng php o in th l
0
0, 017% o = i
vi hm lng Crm l 3%. Vi nghin cu hin ti, ngi ta dng 7 mu v thu c
lch chun iu chnh l 0.022% s =

, hi cao hn mc chun. Vi mc ngha

0,1 o = , hy xc nh xem c s gia tng sai s ngu nhin hy khng ?
Gii
Bi ton c pht biu di gi thuyt thng k nh sau:
2 2 2
0 0
2 2 2
1 1
: 0, 017
: 0, 017 .
H
H
o o
o o
= =
= >

Chn thng k kim nh:

2
2
0
1
.
n
Z S
o

= Thng k ny c lut phn phi ( )

2
1 n _ .
Ta c:

2
2
2 2
0
1 6.0, 022
10, 048.
0, 017
n
Z S
o

= = =
Vi mc ngha 0,1 o = , ta c min bc b H
0
l:
( ) ( ) ( )
1 0,9
; ; 10, 64; , Z Z
o
+ = + = +
trong ,
0,9
Z l phn v mc 0,9 ca lut Chi Bnh Phng bc 6: ( )
2
6 _ .
Ta thy: ( ) 10, 048 10, 64; . e +
Vy, ta khng bc b H
0
v xem nh lch chun cc sai s cha tng.

Bi tp 4
a) Tm c lng hp l cc i ca v
2
o trong phn phi chun.
b) Tm c lng hp l cc i ca trong phn phi Poisson.
Kho st tnh khng chch, tnh vng, v tnh hiu qu ca cc c lng trn.
Gii
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-23-
Cu a.
Gi s mu c lp ( )
1 2
, ,...,
n
X X X c ly t bin ngu nhin X c lut phn phi
chun
( )
2
, N o .
- Ta c:
( )
2
, X N o nn bin ngu nhin X c hm mt :
( )
( )
2
2
2
1
; ; .
2
x
f x e

o
o
o t

=
t:
2
d o = .
Ta c hm hp l cc i:
( ) ( ) ( ) ( )
( )
2
1 1 2
=1
1
,..., ; , . ... exp .
2 2
n
n
k
n n
k
X
L L X X d f X f X f X
d nd

| |
= = =
`
|
\ .

)

( )
( )
( ) ( )
2
1
2
2
=1 =1
1
ln ln 2 ln 2 ln .
2 2 2
n n
k
k
k k
X
n
L n nd n d X
d d

= = +


c lng hp l cc i ca v
2
o l nghim ca h:
( )
( )
=1
2
2
=1
1
0 (1)
1
0. (2)
2 2
n
k
k
n
k
k
lnL
X
d
lnL n
X
d d d

c
= =

= + =

Gii phng trnh (1) ta c:

=1
1
n
k
k
X X
n
= =

.
Thay

X = vo phng trnh (2) ta c:

( )
2
2
=1
1
.
n
k
k
d X X S
n
= =

- Kho st tnh khng chch, tnh vng v tnh hiu qu ca c lng

d :
* Kho st tnh khng chch:
V
( )
2
, , 1,
k
X N k n o = , nn:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-24-
( ) ( )
( )
( )
2
2
2
2 2
=1 =1
, , 1, .
1 1 1
.
k k
n n
k k
k k
E X D X k n
D X D X D X n
n n n n
o
o
o
= = =
| |
= = = =
|
\ .

(3)
V
( ) ( ) ( )
( ) ( )
( ) ( )
( ) ( )( ) ( )
( )
( ) ( )
( ) ( )
2 2
2
=1 =1
2
2
=1
2
2
=1 =1 =1
2 2
2
=1
2
2
=1
1 1
1
2
1 1 1
2
1
2
1
.
n n
k k
k k
n
k k
k
n n n
k k
k k k
n
k
k
n
k
k
S X X X X
n n
X X X X
n
X X X X
n n n
X X X
n
X X
n





(
= = =

(
= +
(

= +
= +
=

Do ,

( ) ( )
( )
=1 =1
1 1 1
.
n n
k k
k k
E E X E X E X n
n n n

| |
= = = = =
|
\ .

(4)

( ) ( ) ( ) ( )
( )
( )
( )
( )
2
2
2
=1
2
2
=1
2
2 2
=1
1
1
1 1 1
.
n
k
k
n
k
k
n
k
k
E d E S E X X
n
E X E X
n
n
D X D X n
n n n n


o
o o
| |
= =
|
\ .
=

= = =

(5)
Suy ra c lng

X = l c lng khng chch ca , cn phng sai mu

2
S l
uc lng chch ca
2
. o
Ch : T (5) cho ta xy dng c mt uc lng khng chch ca phng sai
2
o nh sau:

( )
2
2
=1
1
.
1 1
n
k
k
n
S S X X
n n
= =



Khi ,

S c gi l phng sai mu c iu chnh.

Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-25-
* Kho st tnh vng:
- T (3) v (4), ta c:

( ) ( )

( ) ( )
2
,
.
n
n
E E X
D D X
n

o

= =
= =
(6)
Suy ra

( )
,
n
E v

( )
0,
n
D khi . n
Do , c lng

X = l c lng vng ca .
- By gi, ta kho st tnh vng ca

2
d S = .
T (5) cho ta:

( )
2
, E d o khi . n
Ta bit rng:
( )
( )
2
2
2
=1
1
1
n
k
k
X X n _
o

.
M:
( )
2
2
2 2
=1
1
,
n
k
k
n
S X X
o o
=

nn ( )
2 2
2
1 .
n
S n _
o

Suy ra
( ) ( )
( ) ( ) ( )
( )
2 2
2
2
2 2 4
4 2
1 2 1
2 1
2 1 .
n
D S D n n
n
n
D S n D S
n
_
o
o
o
| |
( = =
|

\ .

= =

Suy ra
( )
2
0, D S khi . n
Vy, c lng

2
d s = l c lng vng ca
2
o .
* Kho st tnh hiu qu:
Ta ch kho st tnh hiu qu ca c lng khng chch

X = .
kho st tnh hiu qu ca c lng

X = , tc l xt xem trong tt c c
lng khng chch ca th

X = c l c lng vi phng sai b nht hay

khng? Ta s dng bt ng thc Cramer-Rao. Trc ht, ta tnh lng thng tin
Fisher v tham s nh sau:
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-26-
( ) ( ) ( )
2
2
2 2 4 2
=1 =1
1 1 1
.
n n
k k
k k
LnL LnL n
J E D D X D X n
d d
o
o o
| | | | c c | |
= = = = = =
| | |
c c
\ . \ . \ .


Do

X = l c lng khng chch nn theo bt ng thc Cramer-Rao, ta c:

( )
( )
2
2
1 1
. D
n
J n
o

o
> = =
Mt khc, theo (6) ta c:

( )
2
. D
n
o
=
Nh vy, r rng

X = l c lng c phng sai b nht trong tt c c lng

khng chch ca .
Vy,

X = l c lng hiu qu ca tham s .

Cu b.
Gi s mu c lp ( )
1 2
, ,...,
n
X X X c ly t bin ngu nhin X c lut phn phi
Poison ( ) P .
- Ta c: ( ) X P nn:
( ) , 0,1, 2,...
!
k
e
P X k k
k

= = =
Do , ta c hm hp l cc i:
( ) ( ) ( ) ( )
1 2
...
1 2 1 1 2 2
1 2
, ,..., ; . ... .
! !... !
n
X X X
n
n n n
n
L L X X X P X x P X x P X x e
X X X

+ + +

= = = = = =
=1 =1
ln . ln ln ! .
n n
i i
i i
L X n X
| | | |
=
| |
\ . \ .
[

Phng trnh hp l cc i:
1
ln 1
0 0.
n
i
i
L
X n

=
c
= =
c

(1)
Gii phng trnh trn, ta c c lng hp l cc i cn tm l:

=1
1
.
n
i
i
X X
n
= =

(2)
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-27-
- Kho st tnh khng chch, tnh vng v tnh hiu qu ca c lng

:
* Kho st tnh khng chch:
V ( ), 1,
i
X P i n = , nn:
( ) ( ) , 1, .
i i
E X D X i n = = = (3)
Do ,
( )
( )
=1 =1
1 1 1
.
n n
i i
i i
E X E X E X n
n n n

| |
= = = =
|
\ .

(4)
Suy ra c lng

X = l c lng khng chch ca .

* Kho st tnh vng:
T (3) v (4), ta c:

( ) ( )

( ) ( ) ( )
2 2
=1 =1
,
1 1 1
.
n
n n
n i i
i i
E E X
D D X D X D X n
n n n n

= =
| |
= = = = =
|
\ .

(5)
Suy ra

( )
,
n
E v

( )
0,
n
D khi . n
Do , c lng

X = l c lng vng ca .
* Kho st tnh hiu qu:
Tng t nh cu a, kho st tnh hiu qu ca c lng

X = , ta s dng
bt ng thc Cramer-Rao. Trc ht, ta cng tnh thng tin Fisher v tham s :
( )
( ) ( )
2 2 2
=1 =1
2
2 2 2
2
2 2 2
=1
2
2
1 1
.
1
.
n n
i i
i i
n
i
i
LnL n n
J E E X n E X
n
n n n
E X E X EX D X
n
n n
n

c | | | | | |
= = =
| | |
c
\ . \ . \ .
| |
= = =
|
\ .
= =

Do

X = l c lng khng chch nn theo bt ng thc Cramer-Rao, ta c:

( )
( )
1 1
. D
n
J n

> = =
Bi thu hoch: Tiu lun Thng k nng cao Nhm 5A


-28-
Mt khc, theo (5) ta c:

( )
. D
n

=
Nh vy,

X = l c lng c phng sai b nht.

Vy,

X = l c lng hiu qu ca tham s .

- Ht -