CƠ SỞ LÝ THUYẾT HÀM NGẪU NHIÊN VÀ ỨNG DỤNG TRONG KHÍ TƯỢNG THỦY VĂN

C S L THUYT HM NGU NHIN V
NG DNG TRONG KH TNG THY VN

Kazakevits D. I.
Bin dch:
Phm Vn Hun, Nguyn Thanh Sn, Phan Vn Tn
NXB i hc Quc gia H Ni 2005
T kho: Tn sut, mt , phn b, xc sut, ngu nhin, thng k, th hin, ph, cu

trc, tng quan, k vng, phng sai, m men, s ng, s gia, nhn, ng nht,
ph hp, ch tiu,
Ti liu trong Th vin in t i hc Khoa hc T nhin c th c s dng cho

mc ch hc tp v nghin cu c nhn. Nghim cm mi hnh thc sao chp, in n
phc v cc mc ch khc nu khng c s chp thun ca nh xut bn v tc
gi.
I HC QUC GIA H NI
TRNG I HC KHOA HC T NHIN
. I. KAZAKEVITS
C S L THUYT HM NGU NHIN

V NG DNG TRONG KH TNG THY VN
Ngi dch:
Phm Vn Hun
Nguyn Thanh Sn
Phan Vn Tn
Hiu nh:
Nguyn Vn Tuyn
NH XUT BN I HC QUC GIA H NI

4
LI GII THIU
L thuyt xc sut v thng k ton hc ni chung v l thuyt hm ngu nhin ni ring l cng c
ton hc quan trng c s dng rt rng ri v hiu qu trong cc ngnh khoa hc kh tng, thy vn
v hi dng hc.
Trong chng trnh o to chuyn ngnh kh tng, thy vn v hi dng hc, vic ng dng
cc phng php thng k v l thuyt cc qu trnh ngu nhin c mt trong nhiu mn hc v th hin
di nhng hnh thc khc nhau. Tuy nhin, cho n nay nc ta cha c mt ti liu ging dy dng
chuyn cho ngnh kh tng thy vn, trong nhng c s ca l thuyt xc sut thng k ton hc c
trnh by y , h thng nhng d hiu i vi trnh ton tng ng ca nhng sinh vin nhm ngnh
ny.
Cun C s l thuyt hm ngu nhin v ng dng trong kh tng thy vn ca . I.
Kazakevits, ngi tng ging dy ton hc cao cp v l thuyt xc sut thng k nhiu nm ti Trng
i hc kh tng thy vn Lningrat, t ra p ng tt nht nhng yu cu trn y. Ngoi ra, tc gi cun
sch ny cng am hiu v c cng tng quan mt s cng trnh ng dng cng c l thuyt hm ngu
nhin trong nghin cu kh tng, thy vn, hi dng hc; ch ra trong nhng vn no v khi no th
cc phng php ny c p dng s hp l v hiu qu, cng nh nhng c th khi thao tc vi cc tp
d liu kh tng thy vn trong khi tnh ton,... Nh vy cun sch va c tnh cht gio khoa va l mt
chuyn kho rt b ch khng nhng cho sinh vin trong hc tp m cn l ti liu tham kho cho nghin
cu sinh v nhng ngi nghin cu. Hi ng khoa hc Khoa Kh tng thy vn v hi dng hc quyt
nh dch nguyn bn cun sch ny lm gio trnh ging dy mn hc L thuyt cc qu trnh ngu
nhin cho sinh vin bc i hc cc ngnh kh tng, thy vn v hi dng hc trong Trng i hc
khoa hc t nhin.
Ni dung ca cun sch lin quan nhiu n nhng kin thc ton trnh cao, do bn dch chc
chn khng trnh khi nhng khim khuyt lin quan n dch thut v in n. Chng ti rt mong nhn
c nhng kin ng gp ca bn c.
Nhng ngi dch
MC LC
MC LC.............................................................................................................. 6
LI NI U ....................................................................................................... 9
PHN 1 - C S L THUYT HM NGU NHIN .......................................... 11
Chng 1. MT S KHI NIM C BN CA L THUYT XC SUT 11
1.1 I LNG NGU NHIN V LUT PHN B ......................................................................... 11
1.2. CC C TRNG S CA I LNG NGU NHIN............................................................ 14
1.3. LUT PHN B POATXNG ......................................................................................................... 17
1.4. LUT PHN B U....................................................................................................................... 18
1.5. LUT PHN B CHUN................................................................................................................. 20
1.6. LUT PHN B RLE V MCXOEN......................................................................................... 23
1.7. H CC I LNG NGU NHIN V LUT PHN B CA CHNG ................................ 25
1.8. CC C TRNG S CA H CC I LNG NGU NHIN ............................................ 30
1.9. CC NH L V C TRNG S............................................................................................... 33
1.10. LUT PHN B CHUN CA H CC I LNG NGU NHIN..................................... 35
1.11. LUT PHN B CA HM CC I S NGU NHIN ......................................................... 38
1.12. HM C TRNG ......................................................................................................................... 44
Chng 2. HM NGU NHIN V CC C TRNG CA CHNG....... 49

2.1. NH NGHA HM NGU NHIN ................................................................................................. 49
2.2. CC QUI LUT PHN B QU TRNH NHU NHIN .............................................................. 50
2.3. CC C TRNG CA QU TRNH NGU NHIN .................................................................. 51
2.4. H CC QU TRNH NGU NHIN. HM TNG QUAN QUAN H .................................... 55
2.5. QU TRNH NGU NHIN DNG................................................................................................. 57
2.6. TNH EGODIC CA QU TRNH NGU NHIN DNG............................................................. 62
2.7. HM CU TRC............................................................................................................................... 64
2.8. GII HN CA QU TRNH NGU NHIN................................................................................. 66
2.9. O HM CA HM NGU NHIN ............................................................................................ 66
2.10. TCH PHN CA HM NGU NHIN ........................................................................................ 70
2.11. CC HM NGU NHIN PHC................................................................................................... 72
2.12. TRNG NGU NHIN V CC C TRNG CA N........................................................ 74
2.13. TRNG NGU NHIN NG NHT V NG HNG..................................................... 76
2.14. TRNG VCT NGU NHIN .................................................................................................. 79
Chng3. PHN TCH IU HO QU TRNH NGU NHIN DNG V

TRNG NGU NHIN NG NHT ............................................................. 81
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3.1. CC QU TRNH DNG C PH RI RC................................................................................. 82

3.2. CC QU TRNH DNG C PH LIN TC............................................................................... 85
3.3. PHN TCH IU HO TRNG NGU NHIN NG NHT ............................................... 93
Chng4. BIN I TUYN TNH QU TRNH NGU NHIN DNG .... 98

4.1. BIN I HM NGU NHIN BNG TON T TUYN TNH................................................ 98
4.2. BIN I TUYN TNH DI DNG PH .................................................................................. 99
4.3 MT PH CA PHP BIN I TUYN TNH QU TRNH NGU NHIN DNG ...... 102
4.4. NGHIM DNG CA PHNG TRNH VI PHN TUYN TNH C H S HNG S ...... 104
Chng 5. NI NGOI SUY V LM TRN HM NGU NHIN .......... 110

5.1. T BI TON............................................................................................................................... 110
5.2. NI, NGOI SUY TUYN TNH TI U V LM TRN HM NGU NHIN CHO TRN
MT S IM HU HN............................................................................................................... 112
5.3. NGOI SUY TUYN TNH TI U V LM TRN QU TRNH NGU NHIN CHO TRN
KHONG V HN........................................................................................................................... 116
5.4. LM TRN QU TRNH NGU NHIN CHO TRN KHONG V HN (,+) ............... 120
5.5. NGOI SUY V LM TRN HM NGU NHIN CHO TRN KHONG (,T) NH S
DNG PHNG PHP CA L THUYT HM BIN PHC................................................... 122
5.6. NGOI SUY V LM TRN QU TRNH NGU NHIN KHI BIU DIN HM TNG
QUAN DI DNG TNG CC HM M .................................................................................. 132
Chng 6. XC NH CC C TRNG CA HM NGU NHIN THEO

S LIU THC NGHIM.................................................................................... 138
6.1 CC C TRNG THNG K CA HM NGU NHIN......................................................... 138
6.2 CC C TRNG THNG K CA CC HM NGU NHIN C TNH EGODIC ............. 140
6.3 CHNH XC XC NH CC C TRNG THNG K CA HM NGU NHIN ...... 142
PHN 2 - MT S BI TON KH TNG V THY VN GII BNG

CC PHNG PHP L THUYT HM NGU NHIN............................... 153
Chng7. NGHIN CU CU TRC THNG K CC TRNG KH
TNG .................................................................................................................. 153
7.1 NHN XT CHUNG V CU TRC CC TRNG KH TNG ........................................... 153
7.2 CU TRC THNG K CA TRNG A TH V ................................................................. 155
7.3. CU TRC THNG K CA TRNG NHIT KHNG KH ........................................... 157
7.4 CU TRC THNG K TRNG GI......................................................................................... 159
7.5 CU TRC THNG K CA TRNG CAO THM TUYT V S TI U HA CNG
TC QUAN TRC THM TUYT.................................................................................................. 161
Chng 8. KHAI TRIN QU TRNH NGU NHIN V TRNG NGU

NHIN THNH CC THNH PHN TRC GIAO T NHIN ..................... 164
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8.1 THIT LP BI TON .................................................................................................................... 164

8.2 MT S KIN THC V L THUYT PHNG TRNH TCH PHN.................................... 167
8.3 TM CC THNH PHN TRC GIAO T NHIN ...................................................................... 169
8.4 BIU DIN CC TRNG KH TNG DI DNG TNG CC THNH PHN TRC
GIAO T NHIN .............................................................................................................................. 177
Chng 9. NHNG V D NGOI SUY TUYN TNH TI U CC QU

TRNH KH TNG THY VN....................................................................... 180
9.1 NGOI SUY TI U DNG CHY SNG THEO PHNG PHP I. M. ALEKHIN............... 180
9.2 PHN TCH PH V NGOI SUY CH S HON LU V HNG........................................ 183
Chng 10. MT S VN M T TRNG TC GI................. 189

10.1 HM TNG QUAN CA TC GI.................................................................................... 189
10.2 KHIUCH TN RI ....................................................................................................................... 193
Chng 11TNH MT PH QU TRNH NGU NHIN DNG. PH

SNG BIN ........................................................................................................... 197
11.1 XC NH MT PH THEO S LIU THC NGHIM ................................................... 197
11.2 PHN TCH PH SNG BIN...................................................................................................... 201
LI NI U
Trong hai chc nm gn y ngi ta thy rng cc cng c ton hc v l thuyt hm ngu nhin c
s dng rng ri trong kh tng hc v thu vn hc. C s ca iu ny l tng xem xt cc gi tr tc
thi ghi c ca cc qu trnh v cc trng khng gian kh tng thu vn nh nhng th hin ring bit
ca mt qu trnh ngu nhin hay mt trng ngu nhin no . Cch tip cn nh vy cho php khng cn
xt nhng c im ca cc gi tr tc thi ring r ca trng kh tng thu vn vi mi ph thuc vo to
khng gian v bin trnh thi gian rt phc tp v khng r nt v chuyn sang nghin cu mt s tnh cht
trung bnh ca tp hp thng k cc th hin ng vi mt tp cc iu kin bn ngoi c th no .
Quan im l thuyt xc sut nghin cu cc hin tng trong kh tng v thu vn hc c s
dng cng c l thuyt hm ngu nhin t ra rt hiu qu trong cc lnh vc: l thuyt ri, xy dng cc
phng php d bo thi tit hn di, phn tch khch quan cc trng kh tng, nh gi tnh i din
ca s liu quan trc, chnh xc ca cc dng c o, gii quyt cc vn hp l ho s phn b mng
li trm kh tng, xy dng cc phng php d bo dng chy sng v cc c trng kh tng thu
vn, cng nh trong nhiu vn khc.
ng gp to ln vo hng ny l cc cng trnh t nn mng ca A.N. Kolmogorov cng nh cc kt
qu nghin cu ca A.M. Obukhov, A.S. Monin, A.M. Iaglom, M.I. Iuin, L.S. Ganin, N.A. Bagrov, O.A.
rozov, E.P. Borisenkov, N.A. Kartvelishvili, I.M. Alekhin v cc nh khoa hc kh tng thu vn hng
u ca nc ta (Lin X c ND).
T dn n phi m rng gio trnh l thuyt xc sut trong cc trng kh tng thu vn v a
ra nhng kho chuyn v c s l thuyt cc hm ngu nhin, v iu ny c thc hin ln u tin
vo nm 1961 ti Trng kh tng thu vn Leningrat.
Cun sch ny c vit trn c s gio trnh v l thuyt hm ngu nhin m tc gi ging dy
trong nhiu nm cho sinh vin chuyn ngnh d bo thi tit bng phng php s tr ca Trng kh
tng thu vn Leningrat, v l gio trnh hc tp cho sinh vin v nghin cu sinh cc trng i hc kh
tng thu vn v cc khoa tng ng trong cc trng i hc tng hp cng nh cho rng ri cc
chuyn gia kh tng thu vn. Cun sch cng c th c s dng nh l ti liu hc tp cho sinh vin
v k s cc chuyn ngnh khc quan tm n l thuyt hm ngu nhin v ng dng ca n.
L do bin son mt cun sch nh vy xut pht t ch hin nay cha c cc ti liu gio khoa v l
thuyt hm ngu nhin p ng mt cch y nhu cu ca cc chuyn gia v sinh vin ngnh kh tng
thu vn. Hn na, s thm nhp ngy cng tng ca l thuyt hm ngu nhin vo kh tng hc v thu vn
hc i hi cc chuyn gia kh tng, thu vn phi nhanh chng v ch ng chim lnh n.
L thuyt cc hm ngu nhin, mt b phn ca l thuyt xc sut, pht trin nhanh chng trong
my thp nin gn y v c ng dng rt rng ri trong nhiu lnh vc khoa hc v k thut. Trc ht
phi k n cc ng dng ca l thuyt hm ngu nhin trong k thut v tuyn, c bit trong l thuyt
iu khin t ng m cc nhu cu ca chng, n lt mnh, li thc y s pht trin ca chnh l thuyt
ny. S ng dng rng ri ca l thuyt hm ngu nhin trong kh tng thu vn mun hn mt cht. Do
hin nay c hai loi gio trnh v l thuyt hm ngu nhin.
Ti liu loi th nht trnh by cht ch l thuyt qu trnh xc sut da trn nn ton hc trnh
cao (th d nh J. Dub "Cc qu trnh xc sut", I. A. Rozanov "Cc qu trnh ngu nhin dng"). Nhng
cun sch ny dng cho cc chuyn gia v ton nn rt kh i vi sinh vin cc trng kh tng thu
vn cng nh i vi cc k s cha c trang b ton hc y . Loi th hai l cc chuyn kho v
sch gio khoa trong trnh by c s l thuyt hm ngu nhin tng ng vi nhu cu ca l thuyt iu
khin t ng v k thut v tuyn. Vic s dng cc sch loi ny i vi cc chuyn gia kh tng thu
vn b kh khn v trong l thuyt hm ngu nhin v cc phng php ca l thuyt iu khin t ng
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hay k thut v tuyn gn cht vi nhau, kh tch bit ra c. Ngoi ra, y cha phn nh c nhng
kha cnh ht sc quan trng khi ng dng l thuyt ny vo kh tng thu vn hc.
Cun sch ny nhm hng ti nhng c gi c kin thc ton c trang b mc gio trnh ton
cao cp dnh cc trng i hc chuyn ngnh kh tng thu vn. Trong khi trnh by, nu buc phi
dng n nhng phng php v khi nim t quen thuc, th chng s c din gii mt cch ngn gn
(v d, mt s dn liu t l thuyt cc phng trnh tch phn, mt vi khi nim ca i s tuyn tnh,
hm delta v.v...).
V mt s chuyn gia kh tng thu vn cha c kin thc v l thuyt xc sut, trong chng 1
s khi qut nhng kin thc c bn ca l thuyt xc sut m sau ny dng n khi trnh by l thuyt
hm ngu nhin. Vic trnh by chi tit cc vn ny c trong cc sch gio khoa v l thuyt xc sut,
chng hn trong cun gio trnh ni ting ca E.S. Ventxel [4]. c gi no quen vi l thuyt xc sut
c th b qua chng ny.
Ni dung trnh by trong sch khng nhm bao qut y l thuyt hm ngu nhin, m ch yu ch
xt nhng kha cnh no ca l thuyt c ng dng rng ri trong kh tng thu vn hc. Ngoi ra, tc gi
ch yu tp trung trnh by sao cho n gin v d hiu, khng b g b bi yu cu v s cht ch ton
din v mt ton hc.
Cun sch gm hai phn. Phn th nht trnh by c s l thuyt hm ngu nhin, trong bn cnh
vic xt cc qu trnh ngu nhin mt chiu, ch nhiu n cc trng ngu nhin khng gian. Phn
th hai xt mt s bi ton kh tng, thu vn c gii bng cc phng php ca l thuyt hm ngu
nhin. Tuy nhin hon ton khng t ra mc tiu tng quan h thng tt c nhng cng trnh nghin cu
gii quyt cc bi ton kh tng thu vn bng phng php l thuyt hm ngu nhin. Nhng tng
quan nh vy v ng dng l thuyt hm ngu nhin trong kh tng thu vn c th tm thy trong nhiu
cng trnh ca cc tc gi trong v ngoi nc [5, 18, 20, 14, 45, 9, 57...].
Trong cun sch ny ch la chn mt s bi ton kh tng v thu vn tiu biu cho php minh
ho s ng dng cc phng php c bn ca l thuyt hm ngu nhin trnh by trong phn u ca
cun sch. V y tp trung ch yu vo cc vn phng php lun.
Tc gi hy vng cun sch s gip ng o cc nh kh tng thu vn lnh hi nhng tng v
phng php c bn ca l thuyt cc hm ngu nhin v ng dng chng vo thc tin ca kh tng thy
vn hc.
Tc gi xin by t lng bit n ti N.A. Bagrov, O.A. rozov v M.I. Iuin, nhng ngi c
nhng gp qu gi v ni dung v cu trc cun sch. Tc gi c bit cm n L.S. Ganin c ton
vn bn tho v nu ra nhiu nhn xt gip tc gi lu khi chun b xut bn.
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PHN 1 - C S L THUYT HM NGU NHIN
Chng 1
MT S KHI NIM C BN CA L THUYT XC SUT
1.1 I LNG NGU NHIN V LUT PHN B
i lng ngu nhin l i lng m khi tin hnh mt lot php th trong cng mt iu kin nh
nhau c th mi ln nhn c gi tr ny hoc gi tr khc hon ton khng bit trc c.
Ngi ta chia i lng ngu nhin thnh hai dng l i lng ngu nhin ri rc v i lng ngu
nhin lin tc. i lng ngu nhin ri rc l i lng ngu nhin m mi gi tr c th ca n c th lit
k ra c, tc l c th nh s th t bng tp s t nhin. Ngc li, i lng ngu nhin lin tc l
i lng ngu nhin m mi gi tr c th ca n ph y mt on ca trc s, v do khng th nh
s c.
V d v i lng ngu nhin ri rc l s im khi gieo con xc xc. i lng ngu nhin ny vi
mi ln th nghim c th nhn mt trong su gi tr: 1, 2, 3, 4, 5 hoc 6.
i lng ngu nhin s c xem l ri rc nu n ch c th nhn hoc gi tr nguyn, hoc gi tr
hu t. Khi tp cc gi tr c th ca i lng ngu nhin l v hn.
i lng ngu nhin lin tc l i lng ngu nhin m trong kt qu th nghim c th nhn bt k
gi tr s thc no trn mt khong hoc mt vi khong no . V d nhit khng kh, p sut khng
kh hoc lch ca chng so vi trung bnh chun nhiu nm, cc thnh phn ca vect vn tc gi c
th coi l i lng ngu nhin lin tc.
Sai s ca cc dng c o c th xem l i lng ngu nhin. Thng thng, cc sai s ny s l i
lng ngu nhin dng lin tc. Ta qui c k hiu cc i lng ngu nhin bng cc ch hoa: A, B, C, X,
Y... cn cc gi tr c th ca chng l cc ch in thng tng ng: a, b, c, x, y...
Gi s i lng ngu nhin ri rc X c th nhn cc gi tr x1, x2,..., xn vi xc sut p1, p2,..., pn.
Khi lit k c mi gi tr m i lng ngu nhin c th c v cho trc xc sut m mi gi tr
ca n nhn, ta hon ton xc nh c i lng ngu nhin .
H thc xc lp mi lin h gia cc gi tr c th ca i lng ngu nhin v xc sut tng ng
ca chng gi l lut phn b ca i lng ngu nhin.
i vi i lng ngu nhin ri rc, lut phn b c th cho di dng bng m mt hng l cc gi
tr c th c ca i lng ngu nhin xi, v mt hng khc l xc sut tng ng pi.
x1
x2
x3
xn
p1
p2
p3
pn
11
Khi s lng cc gi tr c th ca i lng ngu nhin c th l hu hn hoc v hn, cn tng

cc xc sut hng th hai ca bng, ging nh tng cc xc sut ca nhm y cc s kin xung khc,
bng 1.
pi = 1 .
i vi i lng ngu nhin lin tc khng th lp bng tng t nh vy, v khng th lit k c
cc gi tr ca n. Ngoi ra, nh chng ta c th thy sau ny, xc sut cho i lng ngu nhin lin
tc nhn mt gi tr c th bng khng, mc d khi xc sut m n nhn mt gi tr bt k trong khong
v cng b xung quanh gi tr khc khng.
c trng y cho i lng ngu nhin, c loi ri rc ln loi lin tc, ngi ta s dng lut
phn b tch phn, cng cn gi l hm phn b.
Lut phn b tch phn F(x) ca i lng ngu nhin X c nh ngha l xc sut cho i lng
ngu nhin X nhn gi tr nh hn mt s x no :
F ( x ) = P( X < x ) ,
(1.1.1)
y P(X < x ) l k hiu xc sut ca s kin X<x.

Nu xem i lng ngu nhin X nh l v tr ca im trn trc s, th gi tr ca hm F(x) c ngha
l xc sut im ny nm bn tri im x. S l gii hnh hc nh vy lm r cc tnh cht sau y ca
hm phn b:
1) F(x) l hm khng gim theo i s, ngha l vi x2 > x1 th F(x2) F(x1);
2) F() = 0 l xc sut ca s kin bt kh;
3) F(+) = 1 l xc sut ca s kin tt yu.
i vi i lng ngu nhin ri rc, gi tr hm phn b F(x) l tng xc sut pi ca mi gi tr c
th xi nh hn x, tc l:
F( x ) =
P( X = xi )
(1.1.2)
xi < x
T thy rng, th hm phn b ca i lng ngu nhin ri rc l ng bc thang c cc im

gin on ti xi, v gi tr t bin cc im bng pi = P(X=xi).
Trn hnh 1.1 biu din th hm phn b i lng ngu nhin l s im xut hin khi gieo con
xc xc. Trong trng hp ny mi mt gi tr trong s cc gi tr t 1 n 6 tng ng vi cng xc sut
p=1/6.
th hm phn b ca i lng ngu nhin lin tc m cc gi tr c th ca n lp y mt
khong [a,b] no thng l mt ng cong lin tc tng t 0 n 1 (hnh 1.2).
Hnh 1.1
Hnh 1.2
Tuy nhin, c th a ra nhng v d v i lng ngu nhin m gi tr c th ca n lp y hon

ton mt khong no , nhng th hm phn b li c im gin on. i lng ngu nhin nh vy
gi l i lng ngu nhin dng hn hp. i lng ngu nhin dng hn hp trn thc t him khi gp.
12
Sau ny ta s gi i lng ngu nhin m hm phn b ca n lin tc v kh vi l i lng ngu

nhin lin tc.
Khi bit hm phn b c th xc nh c xc sut i lng ngu nhin nhn gi tr trong
khong cho trc.
Ta hy xc nh xc sut P(a X<b) l xc sut m i lng ngu nhin X nhn gi tr ln hn hoc
bng a v nh hn b.
Xc sut P(X<b) cho i lng ngu nhin nhn gi tr nh hn b c th coi nh tng xc sut ca
hai s kin xung khc
P(X < b) = P(X < a) + P(a X < b ) .
(1.1.3)
T :
P(a X b ) = P( X < b ) - P( X < a) = F(b) F (a )
(1.1.4)
Nh vy, xc sut m i lng ngu nhin nhn gi tr trong khong cho trc, hoc nh ngi ta
thng ni l xc sut m i lng ngu nhin ri vo khong cho trc, bng s gia ca hm phn b
trn khong .
By gi ta xt i lng ngu nhin lin tc X v thu hp khong, cho b tin n a. Khi , do tnh
lin tc ca hm phn b, F(b) s tin n F(a). Nh vy, khi ly gii hn ng thc (1.1.4), v tri cho
xc sut i lng ngu nhin X nhn gi tr a, cn v phi dn n 0. R rng, i vi i lng ngu
nhin lin tc, xc sut nhn mt gi tr c th bt k no bng 0.
i vi i lng ngu nhin lin tc c th vit cng thc (1.1.4) tnh xc sut ri vo mt
khong ca i lng ngu nhin di dng
P(a < X < b) = F(a) F(b) .
(1.1.5)
i vi i lng ngu nhin lin tc, hm phn b ca n lin tc v kh vi nn c th s dng o
hm ca hm phn b vi t cch l lut phn b, c k hiu bng f(x)
F ( x + x ) F ( x )
f ( x ) = F' ( x ) = lim
(1.1.6)
x 0
x
v gi c l lut phn b vi phn hay mt phn b.
Mt phn b l o hm ca hm khng gim ca F(x) nn n l hm khng m, tc l f(x) 0 vi
mi x.
Biu din hm phn b F(x) qua mt phn b f(x) ri ly tch phn ng thc (1.1.6) trong khong
t n x, ta nhn c
x
f ( x )dx = F(x) F ( )
(1.1.7)
V F() = 0, nn:
F( x ) =
f ( x )dx
(1.1.8)
T cc cng thc (1.1.6) v (1.1.8) ta thy rng hm phn b v mt phn b biu din c qua
nhau v do i vi i lng ngu nhin lin tc ch cn mt trong hai hm phn b hoc hm mt l
c trng cho n.
Ta hy biu din xc sut ri vo khong cho trc (a,b) ca i lng ngu nhin qua mt phn
b.
S dng (1.1.5) v (1.1.8), ta c:
13
P( a < X < b ) = F ( b ) F ( a ) =
f ( x )dx
f ( x )dx = f ( x )dx
(1.1.9)
T thy rng, xc sut ri trong khong (a,b) cho trc ca i lng ngu nhin bng din tch
hnh thang cong gii hn bi th hm f(x) (c gi l ng cong phn b), trc 0x v cc ng thng
x = a, x = b (hnh 1.3).
Gi s trong (1.1.9) t a = v b = +, ta nhn c:
P( < X < + ) = 1 =
f ( x )dx
(1.1.10)
tc l tng din tch nm di ng cong phn b bng 1.
tch phn xc nh trong (1.1.10) hi t, iu kin cn l lim f ( x ) = 0 v lim f (x ) = 0 , c

x
x +
ngha l trong trng hp i lng ngu nhin X c th nhn cc gi tr trong khong v hn th trc 0x
phi l tim cn ca ng cong phn b v c hai hng.
Ta ly mt im x tu v mt on phn t dx k cn n (xem hnh 1.3). i lng f(x)dx gi l xc
sut phn t, vi chnh xc n v cng b bc cao hn, n xc nh xc sut ri ca i lng ngu
nhin trn on phn t .
1.2. CC C TRNG S CA I LNG NGU NHIN

Lut phn b ca i lng ngu nhin l c trng y nht ca n. Tuy nhin, khng phi lc
no cng c th xc nh c lut phn b, thng thng ngi ta ch s dng mt s c trng s biu
th nhng nt c bn ca ng cong phn b ca i lng ngu nhin. l cc mmen phn b vi bc
khc nhau.
Mmen gc bc k ca i lng ngu nhin ri rc X l mk[X] c dng tng:
mk [X ] = xik pi
(1.2.1)
vi xi l cc gi tr c th ca i lng ngu nhin, cn pi l xc sut tng ng ca chng.

i vi i lng ngu nhin lin tc, php ly tng theo cc gi tr ri rc xi c thay bng php
ly tch phn theo ton b cc gi tr ca i s lin tc x. Khi xc sut pi c thay bng xc sut phn
t f(x)dx.
Nh vy, i vi i lng ngu nhin lin tc:
mk [X ] =
f ( x )dx
(1.2.2)
Mmen gc bc nht m1[X ] l k vng ton hc ca i lng ngu nhin X v c k hiu l
M [ X ] hoc mx.
i vi i lng ngu nhin ri rc:
M [ X ] = xi pi
(1.2.3)
i vi i lng ngu nhin lin tc:
M [X ] =
x f ( x )dx
(1.2.4)
Mmen gc bc k l k vng ton hc ca i lng ngu nhin lu tha k, tc l:

14
[ ]
mk [ X ] = M X k
(1.2.5)
lch ca i lng ngu nhin X khi k vng ton hc ca n c gi l i lng ngu nhin
o
qui tm v k hiu bi X
o
X = X mx
(1.2.6)
Mmen trung tm bc k ca i lng ngu nhin X l k[X], l mmen gc bc k ca i lng ngu

nhin qui tm:
o k
o
k [X ] = mk X = M X = M ( X m x )k

(1.2.7)
Mmen trung tm bc k l k vng ton hc ca i lng ngu nhin qui tm lu tha k.

M [ X ] = ( xi mx )k pi
(1.2.8)
k [X ] =
( x mx )
f ( x )dx
(1.2.9)
Mmen trung tm bc nht lun lun bng khng. Tht vy, i vi i lng ngu nhin lin tc:
1[X ] = M [ X mx ] = ( x mx ) f ( x )dx =
xf ( x )dx mx
f ( x )dx = mx mx = 0
1 [ X ] = ( xi m x ) pi = xi pi m x pi = m x m x = 0
i
Cc mmen gc l cc mmen ca ng cong phn b so vi trc tung. Mmen trung tm l mmen

ca ng cong phn b so vi trc i qua trng tm ca ng cong .
Mmen trung tm bc hai c gi l phng sai ca i lng ngu nhin v k hiu l D[X] hay
Dx.
Dx = 2 [X ] = M ( X mx )2
(1.2.10)
Phng sai l k vng ton hc ca bnh phng lch ca i lng ngu nhin khi k vng ton
hc ca n.
D[X ] = ( xi mx )2 pi
(1.2.11)
D[ X ] =
( x mx )
f ( x )dx
(1.2.12)
15
Phng sai ca i lng ngu nhin c trng cho s phn tn, tn mn ca i lng ngu nhin
xung quanh k vng ton hc. Phng sai c th nguyn l bnh phng th nguyn ca i lng ngu
nhin. c c c trng phn tn cng th nguyn vi i lng ngu nhin ngi ta s dng lch
bnh phng trung bnh, bng cn bc hai ca phng sai v c k hiu l [ X ] hoc x
x = Dx
Mmen trung tm bc ba dng c trng cho tnh bt i xng ca phn b. Nu ng cong phn
b l i xng i vi k vng ton hc th mi mmen trung tm bc l bng khng. Thc vy, v d i
vi i lng ngu nhin lin tc, t (1.2.9) ta c:
2 k +1[ X ] = ( x mx )2 k +1 f ( x )dx .
Thay bin y = x mx trong tch phn, khi :
2k +1[X ] =
yf ( y + mx )dy =
yf ( y + mx )dy + yf ( y + mx )dy .
Trong tch phn u tin, khi thay y = z, ta c:
2k +1[X ] = zf ( mx z )dz + yf ( y + mx )dy =
= xf ( mx x )dx + xf ( x + mx )dx = 0
v hm f(x) i xng i vi mx:
f (mx + x ) = f (mx x )
c trng cho tnh bt i xng, ngi ta chn mt mmen u tin trong s nhng mmen trung
tm bc l khc khng, tc l 3. Ngoi ra, c mt i lng v th nguyn c trng cho tnh bt i
xng ca phn b, ngi ta dng i lng:
S=
3
,
3
(1.2.13)
gi l h s bt i xng.
Mmen trung tm bc bn c trng cho s nhn ca nh, s dc ng ca ng cong phn b, c
trng gi l nhn v c xc nh theo cng thc:
E=
4
3.
4
(1.2.14)
i vi loi phn b thng gp l phn b chun, nh s thy trong mc 1.5, 4/4=3, c ngha l
E=0.
i vi cc ng cong phn b nhn hn ng cong phn b chun th E>0; cn t hn th E<0
(hnh 1.4).
16
Hnh 1.4
Hnh 1.3
Gia mmen gc v mmen trung tm c quan h sau:
2 = m2 m12 ,
3 = m3 3m1m2 + 2m13 ,
4 = m4 4m3m1 + 6m2 m12 3m14 .
(1.2.15)
Biu thc th nht thun tin cho vic tnh phng sai, cc biu thc th hai v ba thun tin khi tnh
bt i xng v nhn ca phn b.
Chng hn, ta s chng minh ng thc th nht trong (1.2.15) i vi i lng ngu nhin lin tc:
+
2 = ( x mx )2 f ( x )dx =
+ mx2
2
x f ( x )dx 2mx
xf ( x )dx +
f ( x )dx = m2 2mx + mx = m2 m1 .
2
Ta hy xt cc lut phn b v cc c trng s ca chng thng gp nht trong thc t.
1.3. LUT PHN B POATXNG

Mt trong nhng lut phn b ph bin nht ca i lng ngu nhin ri rc l lut phn b
Poatxng.
V phng din ton hc, lut Poatxng c biu din bi:
P( X = m ) = e a
am
,
m!
(1.3.1)
y P(X=m) l xc sut m i lng ngu nhin X nhn gi tr bng s nguyn m. C th din gii v
i lng ngu nhin X tun theo lut phn b Poatxng nh sau:
Gi s theo thi gian, mt s kin A no xy ra nhiu ln. Ta s xem s ln xut hin s kin ny
trong sut khong thi gian cho trc [t0, t0+T] nh l mt i lng ngu nhin.
i lng ngu nhin ny s tun theo lut phn b Poatxng khi cc iu kin sau y c thc
hin:
1. Xc sut ri ca s s kin cho trc vo khong thi gian ang xt ph thuc vo s s kin v
di ca khong thi gian T, nhng khng ph thuc vo im u to ca n. iu c ngha l cc s
kin phn b theo thi gian vi mt trung bnh nh nhau, tc l k vng ton hc ca s s kin trong
mt n v thi gian bng hng s.
17
2. Xc sut ca s ln xut hin s kin cho trong khong [to, to+T] khng ph thuc vo s ln v
thi im xut hin s kin trc thi im to, iu c ngha l c s c lp tng h gia s ln xut
hin s kin trong cc khong thi gian khng giao nhau.
3. Xc sut xut hin hai hay nhiu s kin trong khong thi gian yu t [t, t+t] rt b so vi xc
sut xut hin mt s kin trong .
Ta xc nh k vng ton hc v phng sai i lng ngu nhin X phn b theo lut Poatxng.
Theo (1.2.3) k vng ton hc c xc nh di dng:
mx =
mpm =
m=0
me a
m=0
am
a m 1
= ae a
m!
m =1( m 1 )!
(1.3.2)
Chui s trong (1.3.2) l chui Macloren i vi hm ea, do :
mx = ae a e a = a .
(1.3.3)
Nh vy, tham s a trong cng thc (1.3.1) l k vng ton hc ca i lng ngu nhin tun theo
lut Poatxng.
Theo (1.2.15), phng sai ca i lng ngu nhin X c xc nh di dng:
Dx =
= ae a m
m =1
m 2 p m a 2 =
m=0
m 2e a
m=0
am
a2 =
m!
a m 1
a m 1
a 2 = ae a [( m 1 ) + 1]
a2 =
( m 1 )!
( m 1 )!
m =1
a m 1
a m 1 2
= ae a ( m 1 )
+
a
( m 1 )! m =1( m 1 )!
m =1
(1.3.4)
Mi thnh phn trong tng v hn (1.3.4) l chui Macloren i vi hm ea, n c th c vit di
dng
ak
, t (1.3.4) tr thnh:
k =0 k !
Dx = ae a ae a + e a a 2 = a .
(1.3.5)
Do , phng sai ca i lng ngu nhin phn b theo lut Poatxng bng chnh k vng ton hc
ca n.
1.4. LUT PHN B U

i lng ngu nhin lin tc c gi l c phn b u nu mi gi tr c th ca n nm trong mt
khong no v mt phn b trn khong y khng i.
Mt phn b u c cho bi cng thc:
f ( x ) = b a
0
khi a < x < b

khi x < a hoc x > b
(1.4.1)
ng cong phn b c dng nh trn hnh 1.5.

Hm f(x) c cc tnh cht ca mt phn b. Tht vy, f(x) 0 vi mi x, v:
Ta xc nh hm phn b F(x):
18
dx
=1.
ba
a
f ( x )dx =
F( x ) =
0 khi x < a
x a
f ( x )dx =
khi a < x < b
b a
1 khi x > b
(1.4.2)
th hm phn b c biu din trn hnh 1.6.

Ta xc nh cc c trng s ca phn b u. K vng ton hc bng
1
a+b
mx = xf ( x )dx =
xdx =
.
baa
2
(1.4.3)
Mmen trung tm bc k bng:

b
1
a+b k
(x
) dx .
2
ba a
k =
Thay bin x
(1.4.4)
a+b
= t trong tch phn (1.4.4) ta nhn c:
2
k =
1
ba
ba
2
dt
(1.4.5)
ba
T nhn thy rng, tt c cc mmen trung tm bc l bng khng: 2l-1 = 0, l =1,2,... ging nh
tch phn ca hm l trong khong i xng.
Mmen trung tm bc chn bng:
2l =
2
ba
ba
2
2l
t dt =
0
( b a )2l
, l = 1, 2 ,...
22l ( 2l 1 )
(1.4.6)
Vi l = 1 ta nhn c gi tr ca phng sai:
Dx = 2 =
( b a )2
.
12
(1.4.7)
Hnh 1.6
Hnh 1.5
T lch bnh phng trung bnh l:
x = Dx =
ba
2 3
(1.4.8)
bt i xng ca phn b S=0, v 3=0. nhn ca phn b bng
19
E=
4
( b a )4 .144
3
=
3 = 1,2
4
80( b a )4
(1.4.9)
1.5. LUT PHN B CHUN

Trn thc t thng gp nht l cc i lng ngu nhin m mt phn b ca chng c dng:
1
f(x)=
e
2
( x a )2
2 2
(1.5.1)
Lut phn b c trng bi (1.5.1) rt ph bin, nn c gi l lut phn b chun, cn i lng

ngu nhin c mt phn b c gi l i lng ngu nhin phn b chun.
Trong nhiu hin tng t nhin v k thut, mt qu trnh ang xt l kt qu tc ng tng hp ca
hng lot cc nhn t ngu nhin. Khi , i lng ngu nhin c trng bng s ca qu trnh ang xt l
tng ca mt chui cc i lng ngu nhin m mi i lng ngu nhin trong chui tun theo mt lut
phn b no . Nu i lng ngu nhin l tng ca mt s ln cc i lng ngu nhin c lp hoc
ph thuc yu, v mi i lng ngu nhin thnh phn ng gp mt t trng khng ln lm so vi tng
chung, th lut phn b ca i lng ngu nhin tng l chun hoc gn chun, khng ph thuc vo phn
b ca cc i lng ngu nhin thnh phn.
iu ny rt ra t nh l ni ting ca Liapunov: nu i lng ngu nhin X l tng ca cc i
n
lng ngu nhin c lp X1, X2,..., Xn, X = X i v tho mn iu kin:

i =1
n
lim
3 [ X i ]
i =1
3 [ X ]
=0,
(1.5.2)
th khi n, lut phn b ca i lng ngu nhin X tin n lut chun.

iu kin (1.5.2) phn nh s tin dn n khng ca t s gia tng cc mmen trung tm tuyt i
bc ba 3 X i ca cc i lng ngu nhin Xi v lp phng lch bnh phng trung bnh ca i
[ ]
lng ngu nhin tng cng X khi tng dn s cc s hng, v c trng cho s nh tng i ca tng s
hng ngu nhin trong tng chung.
ng cong phn b ca lut phn b chun trn hnh 1.7 c tn l lt ct le, hay ng cong
1
Gaux. ng cong phn b ny i xng qua ng thng x=a v c cc i bng
ti im x =
2
a.
xc nh ngha ca cc tham s a v , ta tnh k vng ton hc v phng sai ca i lng
ngu nhin X c phn b chun:
mx =
1
2
xe
( x a )2
2 2
dx
(1.5.3)
i bin trong tch phn (1.5.3):
xa
=t
2
(1.5.4)
ta c:
mx =
20
1
2
( 2t + a )e t dt =
te t dt +
t 2
dt (1.5.5)
Tch phn th nht trong (1.5.5) bng khng v l tch phn ca hm l trn min gii hn i
xng, tch phn th hai l tch phn Poatxng bit, bng . T mx=a, tc l tham s a trong hm
(1.5.1) l k vng ton hc ca i lng ngu nhin.
Tip theo:
1
Dx =
2
(x a ) e
2
( x a )2
2 2
dx ,
(1.5.6)
S dng php i bin (1.5.4) trong tch phn (1.5.6) ta c:
Dx =
2 2
2 t 2
dt .
(1.5.7)
Ly tch phn tng phn (1.5.7) ta c:
Dx = 2
(1.5.8)
Do , tham s l lch bnh phng trung bnh ca i lng ngu nhin. Tham s a ch v tr
tm i xng ca ng cong phn b, thay i a c ngha l dch chuyn tm ny dc theo trc 0x. Tham
1
s xc nh tung nh ng cong phn b, bng
. Tr s cng nh th nh cng cao, tc l
2
ng cong phn b cng nhn.
Nh vy, mt xc sut ca lut phn b chun c xc nh bi hai tham s l k vng ton hc
ca i lng ngu nhin v lch bnh phng trung bnh hoc phng sai ca n.
Ta tnh mmen trung tm ca phn b chun:
1
k =
2
(x a )
( x a )2
2 2
dx ,
(1.5.9)
S dng php i bin (1.5.4) vo tch phn ta nhn c:
k =
( 2 )
k +
V:
(k 1)(
k 2 =
( 2 )
k +
dt ,
(1.5.10)
k 2 t 2
dt ,
(1.5.11)
k 2 +
k t 2
Ly tch phn tng phn ta c:
k =
k 2 t 2
dt ,
(1.5.12)
nn ta nhn c cng thc truy hi:
k = (k 1) 2 k 2 ,
(1.5.13)
V o=1 v 1=0 i vi bt k i lng ngu nhin no, nn tt c cc mmen trung tm bc l ca

phn b chun bng khng. i vi cc mmen trung tm bc chn ta c:
2 = 2 ; 4 = 3 4 ; ... 2l = (2l 1)! ! 2l

T thy rng, i vi phn b chun, bt i xng v nhn bng khng:
21
= 0 , E = 44 3 = 0 ,
3
S=
Ta hy tnh xc sut ri vo khong (,) ca i lng ngu nhin phn b chun. Theo (1.1.5) ta c
(x a )
2
e 2
P( < X < ) =
dx
(1.5.14)
Thay (1.5.4) vo ta c:
a
P( < X < ) =
e t dt
(1.5.15)
a
2
Hm
x
2
2
e t dx
(x ) =
(1.5.16)
c gi l hm Laplas.
T ng thc (1.5.15) c th biu din xc sut ri vo khong (;) qua hm Laplas:
1 2
P( < X < ) =
2
e t dt
et
dt =
1 a
a

2 2
2
(1.5.17)
Hm Laplas c cc tnh cht sau:

1. (0 ) = 0 ;
2. ( ) =
2
2
e t dt = 1 ;
3. ( x ) = (x ) .
Thc vy:
( x ) =
t 2
dt
Thay t = u ta c:
x
2
u 2
( x ) =
e
du = (x )
0
Nu tnh xc sut ri trong khong i xng qua k vng ton hc (a-h, a+h), th
P(a h < X < a + h ) =
22
1 a+ha
a h a

=
2 2
2
1 h
h
2 2
2
2
(1.5.18)
Hm phn b ca i lng ngu nhin X phn b chun c xc nh di dng:

x (x a )
2
e 2
1
F (x ) =
2
dx =
xa
t 2
dt +
e t dt =
1
x a
1 +
2
2
(1.5.19)
th ca F(x) c biu din trn hnh 1.8. im x = tng ng vi F(x) = 1/2.
1.6. LUT PHN B RLE V MCXOEN

i lng ngu nhin X c gi l tun theo lut phn b Rle nu hm mt phn b c dng:
x2
x
2 2
f (x ) = 2 e
khi x 0
(1.6.1)
khi x < 0
Trong mc 1.11 s ch ra rng modul ca vect ngu nhin phn b chun hai chiu c cc lch
bnh phng trung bnh ca cc thnh phn bng nhau v cc k vng bng khng l i lng ngu nhin
c lut phn b Rle. th hm (1.6.1) c dng nh trn hnh 1.9. Theo (1.1.8), hm phn b (hnh 1.10)
bng:
x2
F (x ) = 1 e 2
0
khi x 0
khi x < 0
(1.6.2)
Ta hy xc nh c trng s ca phn b Rle:
mx =
1
x 2e
2
0
x2
2 2 dx
(1.6.3)
Sau khi ly tch phn tng phn ta nhn c:
mx = xe
x2
2 2
2
x
2
+ e 2 dx
(1.6.4)
S hng th nht trong (1.6.4) bng 0, s hng th hai sau khi thay bin x = 2t s dn n tch
phn Poatxng. T :
mx = 2 e t dt =
0
(1.6.5)
Theo (1.2.12), phng sai bng:
1
Dx = 2
x2
2
2
x 2 xe 2 dx = 2 2
(1.6.6)
23
Tng t, nu s dng cc ng thc th hai v th ba trong (1.2.15) v sau khi tnh cc tch phn
tng ng ta nhn c gi tr ca mmen trung tm bc ba v bc bn ca phn b:
(1.6.7)
3 2 4
4 = 8
(1.6.8)
3 = ( 3)
T (1.2.13) v (1.2.14) ta nhn c gi tr ca bt i xng v nhn i vi phn b Rle:
2
S=
=2
0,63
3
4 4
3
2
2
( 3)
E=
(32 3 )
(4 )
2
3 0 ,3
(1.6.9)
(1.6.10)
Hnh 1.7
Hnh 1.8
Hnh 1.10
Hnh 1.9
T y thy rng ng cong phn b Rle khng i xng qua k vng ton hc. im cc i gi
l mode ca phn b, nm pha tri k vng ton hc. Gi tr m ca nhn ch ra rng ng cong phn
b Rle c nh bng phng hn so vi phn b chun tng ng (khi cng gi tr ).
Nu vect ngu nhin ba chiu tun theo lut phn b chun c cc lch bnh phng trung bnh
ca cc thnh phn bng nhau cn k vng ton hc bng khng, th c th ch ra rng modul ca vect y
l mt i lng ngu nhin c mt phn b bng:
2
x
f (x ) = 2
x2
2 2 2
e
khi x 0
(1.6.11)
khi x < 0
Hm f(x) nh trn c gi l lut phn b Mcxoen. V d, phn b ca vn tc cc phn t kh tun

theo lut Mcxoen. th hm (1.6.11) c biu din trn hnh 1.11.
Ging nh phn b Rle, phn b Mcxoen cng c xc nh bi mt tham s .
24
Tng t nh lm i vi phn b Rle, c th nhn cc biu thc sau i vi hm phn b v c

trng s ca phn b Mcxoen:

x2
x x 2 2
2 e
F (x ) =
mx = 2
khi x 0
(1.6.12)
khi x < 0
Dx = 3 2
(1.6.13)
(1.6.14)
1.7. H CC I LNG NGU NHIN V LUT PHN B CA CHNG

Khi gii quyt nhiu bi ton ngi ta thng gp tnh hung l kt qu th nghim c m t khng
phi ch bi mt, m l mt s i lng ngu nhin. V d, hnh th synop ph thuc vo nhiu i lng
ngu nhin nh nhit khng kh, p sut, m...
Trong cc trng hp ny ta s ni rng c mt h cc i lng ngu nhin. Cc tnh cht ca h i
lng ngu nhin khng c m t ht bi nhng tnh cht ca cc i lng ngu nhin ring r, chng
cn bao hm c nhng mi quan h tng h gia cc i lng ngu nhin ca h.
Chng ta s xem h hai i lng ngu nhin nh l cc ta ca im ngu nhin trn mt phng,
cn h ba i lng ngu nhin nh l ta ca im ngu nhin trong khng gian ba chiu. Mt cch
tng t, h n i lng ngu nhin s c xem nh ta ca im ngu nhin trong khng gian n
chiu.
Cng c th xt h i lng ngu nhin nh cc thnh phn ca vect ngu nhin trn mt phng,
trong khng gian ba chiu hoc n chiu. Tng ng vi iu ny, cc gi tr ngu nhin xi, yi ca h cc i
lng ngu nhin X v Y s c biu din hoc di dng cc im Ni,j c cc to (xi, yi), hoc di
dng bn knh vct ri,j ca cc im (hnh 1.12).
Ta xt cc lut phn b ca h hai i lng ngu nhin.
Hm phn b ca h hai i lng ngu nhin X v Y l xc sut thc hin ng thi cc bt ng
thc X<x, Y<y
F (x , y ) = P( X < x ,Y < y )
(1.7.1)
V mt hnh hc, F(x,y) l xc sut ri ca im ngu nhin (X,Y) vo mt hnh vung khng gii hn
nm gc tri bn di c nh l im (x,y) (hnh 1.13).
Hm phn b c cc tnh cht sau y:
1. F(x,y) l hm khng gim, ngha l nu x 2 > x1 th F(x2 , y) F (x1 , y ) , cn nu y2 > y1 th
F(x, y2 ) F ( x , y1 ) .
25
Hnh 1.11
Hnh 1.12
Thc vy, chng hn khi dch chuyn bin phi ca hnh vung (tng x) ta khng th gim xc sut
ri vo n.
2. V cc s kin X< v Y< l nhng s kin bt kh, nn
F ( , y ) = F (x , ) = F ( , ) = 0 .
3. V cc s kin X<+, Y<+ l nhng s kin chc chn, nn
F (x ,+ ) = P( X < x ,Y < + ) = P( X < x ) = F1 (x ) ,
vi F1(x) l hm phn b ca i lng ngu nhin X.

Mt cch tng t:
F (+ , y ) = F2 ( y ) ,
vi F2(y) hm phn b ca i lng ngu nhin Y.
4. F (+ ,+ ) = 1 .
Ta hy xc nh xc sut ri ca im ngu nhin vo mt hnh ch nht c cc cnh song song vi

cc trc to .
Hnh 1.13
Hnh 1.14
Xt hnh ch nht R gii hn bi cc ng thng x=, x=, y=, y= . Cc bin tri v bin di
thuc hnh ch nht, cn cc bin phi v bin trn th khng.
S kin im ngu nhin N(X,Y) ri vo trong hnh ch nht R, tc N R, tng ng vi vic cc
s kin X , Y ng thi xy ra.
Xc sut ri vo trong hnh ch nht R bng xc sut ri vo trong hnh vung c nh (, ) tr i
xc sut ri vo hnh vung c nh (,), tr i xc sut ri vo hnh vung nh (, ), cng vi xc sut
ri vo hnh vung nh (, ), ngha l
P( N R ) = F ( , ) F ( , ) F ( , ) + F ( , )
(1.7.2)
Sau y, ta a vo khi nim mt phn b ca h hai i lng ngu nhin.

26
Gi s c h hai i lng ngu nhin lin tc X v Y. Ly trn mt phng im (x,y) v mt hnh ch

nht nh R k st n c cc cnh l x v y.
Xc sut ri ca im ngu nhin N(X,Y) vo trong hnh vung R theo (1.7.2) bng:
P(N R ) = F (x + x , y + y ) F (x , y + y ) F (x + x , y ) + F (x , y )
(1.7.3)
Chia xc sut ny cho din tch hnh ch nht x.y v ly gii hn khi x0 v y0, ta nhn
c mt xc sut ti im (x,y).
Gi thit rng hm F(x,y) kh vi hai ln, khi :
F ( x + x , y + y ) F ( x , y + y ) F ( x + x , y ) + F ( x , y )
=
x 0
xy
lim
y 0
1
F ( x + x , y + y ) F ( x , y + y ) F ( x + x , y ) F ( x , y )
lim
y 0 y x 0
x
x
lim
F ( x , y + y ) F ( x , y )
2F( x, y )
x
x
= lim
=
y 0
y
xy
(1.7.4)
Hm
f (x , y ) =
2F( x, y )
xy
(1.7.5)
c gi l mt phn b ca h. V mt hnh hc, c th biu din hm hai bin f(x, y) ny nh l mt

mt trong khng gian v c gi l mt phn b. Hm f(x, y) khng m v n l gii hn ca t s gia
hai i lng khng m l xc sut ri vo hnh ch nht v din tch hnh ch nht. Biu thc
f(x, y)dxdy c gi l yu t xc sut ca h hai i lng ngu nhin. Yu t xc sut l xc sut ri
vo trong hnh ch nht yu t R tip gip im (x,y).
Xc sut ri ca im N(X,Y) vo mt min D bt k c xc nh di dng tch phn hai lp:
P(N D ) =
f ( x , y )dxdy
(1.7.6)
(D)
Trong trng hp nu min D l hnh ch nht R, th:
P(N R ) = f ( x , y )dxdy
(1.7.7)
Khi s dng cng thc (1.7.7), ta c th biu din hm phn b F(x,y) qua mt phn b f(x,y)
F (x , y ) =
f ( x , y )dxdy
(1.7.8)
V xc sut ri trn ton mt bng 1, nn:

+ +
f ( x , y )dxdy = 1
(1.7.9)
V mt hnh hc, xc sut ri vo trong min D l th tch hnh lng tr c gii hn bi min D
pha di, cn pha trn l mt phn b (hnh 1.15)
27
+ +
tch phn xc nh
f ( x , y )dxdy = 1 hi t, th iu kin cn l mt phn b phi tim cn ti
mt x0y theo mi hng.

Khi bit hm phn b ca h hai i lng ngu nhin, c th xc nh hm phn b ca mi i
lng ngu nhin trong :
F1 (x) = F(x,+ )
(1.7.10)
F2 ( y) = F( + , y )
(1.7.11)
Ta hy biu din mt phn b ca tng i lng ngu nhin qua mt phn b ca h:

x +
F1 (x) = F(x,+ ) =
f ( x , y )dxdy
(1.7.12)
Nhng mt phn b l o hm ca hm phn b, khi
f1 ( x ) = F1 ( x ) =
f ( x , y )dy
(1.7.13)
f 2 ( y ) = F2 ( y ) =
f ( x , y )dx
(1.7.14)
Lut phn b ca mt i lng ngu nhin ca h vi iu kin i lng ngu nhin th hai nhn
mt gi tr xc nh gi l lut phn b c iu kin.
Lut phn b c iu kin s c k hiu di dng:
f(x/y) lut phn b i lng ngu nhin X vi iu kin Y=y
f(y/x) lut phn b i lng ngu nhin Y vi iu kin X=x.

Xc sut ri trong hnh ch nht yu t R, bng f(x, y)dxdy , c th biu din nh l tch xc sut
ri vo di I, bng f1 (x)dx v xc sut ri vo di II, bng f(x/y)dy , vi iu kin xy ra s kin ri
vo di I (hnh 1.16).
T :
f(x, y)dxdy = f1 (x)dx f(y/x)dy
(1.7.15)
Gin c cho dxdy, ta c:
f(x, y) = f1 (x)f(y/x)
(1.7.16)
Tng t c th thu c ng thc:
f(x, y) = f 2 (y)f(x/y)
Hnh 1.15
(1.7.17)
Hnh 1.16
T c th biu din lut phn b c iu kin qua mt phn b ca h di dng:
28
f ( x, y )
=
f2( y )
f (x / y ) =
f ( x, y )
+
(1.7.18)
f ( x , y )dx
f ( x, y )
=
f1( x )
f ( y / x) =
f ( x, y )
+
(1.7.19)
f ( x , y )dy
Cc i lng ngu nhin X v Y c gi l c lp nu lut phn b ca mt trong chng khng

ph thuc vo vic i lng ngu nhin kia nhn gi tr no.
i vi cc i lng ngu nhin c lp:
f(x/y) = f1 (x)
(1.7.20)
f(y/x) = f 2 (y)
(1.7.21)
Nu X khng ph thuc Y, th Y cng khng ph thuc X.

Tht vy, t cc ng thc (1.7.16) v (1.7.17) ta thy rng nu f(x/y) = f1 (x) th f(y/x) = f 2 (y) .
Ta c nh l sau:
cc i lng ngu nhin X v Y c lp, iu kin cn v l ng thc sau c thc hin:
f(x, y) = f1 (x) f 2 (y) ,
(1.7.22)
tc l mt phn b ca h bng tch mt phn b ca cc i lng ngu nhin thnh phn ca h.

Mt cch tng t, c th xc nh c lut phn b ca h n i lng ngu nhin.
Hm phn b ca h n i lng ngu nhin X1, X2,..., Xn l xc sut thc hin ng thi n bt
ng thc Xi<xi, i= 1,2,...,n.
F(x1 , x2 ,..., xn ) = P(X1 < x1 , X 2 < x2 ,..., X n < xn )
(1.7.23)
Nu tn ti o hm ring hn hp ca hm F(x1,x2,...,xn) c ly ln lt theo tng i s:
f (x1 , x2 ,..., xn ) =
n F ( x1 , x2 ,..., xn )
x1x2 ...xn
(1.7.24)
th n c gi l mt phn b ca h cc i lng ngu nhin lin tc (X1, X2,..., Xn).

Ta s nhn c hm phn b ca mi i lng ngu nhin ca h, nu trong hm phn b ca h ta t
tt c cc bin cn li bng +.
F1 (x1 ) = F (x1 ,+ ,...,+ )
(1.7.25)
Hm phn b ca h con (X1, X2,...,Xk) nhn c t h c dng:
F1,2 ,..,k (x1 , x2 ,..., xk ) = F (x1 , x2 ,..., xk ,+ ,...,+ )
(1.7.26)
Mt phn b ca mi i lng ca h nhn c bng cch tch phn mt ca h trong khong

v hn theo cc bin cn li.
f1 (x1 ) =
... f ( x1 , x2 ,..., xn )dx2 ...dxn
(1.7.27)
Mt phn b ca h con (X1, X2,...,Xk) c xc nh di dng:
f1,2 ,...,k (x1 , x2 ,..., xk ) =
... f ( x1 , x2 ,..., xn )dxk +1 ...dxn
(1.7.28)
Lut phn b c iu kin ca h con (X1, X2,...,Xk) l lut phn b c tnh vi iu kin cc i
lng cn li (Xk+1,..., Xn) nhn cc gi tr xc nh xk+1, ..., xn:
29
f ( x1 , x2 ,..., xn )
f k +1,....,n ( xk +1 ,..., xn )
f ( x1 , x2 ,..., xk / xk +1 ,..., xn ) =
(1.7.29)
Cc i lng ngu nhin X1, X2,...,Xn c gi l c lp nu lut phn b ca mi h con khng ph

thuc vo vic cc i lng ngu nhin cn li nhn gi tr no.
i vi cc i lng ngu nhin c lp:
f ( x1 , x2 ,..., xn ) = f1( x1 ) f 2 ( x2 )... f n ( xn )
(1.7.30)
Hm phn b ca h c biu din qua mt phn b di dng:

xn
x1 x 2
F (x1 , x2 ,..., xn ) =
... f ( x1 , x2 ,..., xn )dx1dx2 ...dxn
(1.7.31)
Xc sut ri ca im ngu nhin N(X1, X2,...,Xn) trong gii hn min Dn chiu c xc nh di

dng:
P(N D ) = ... f ( x1 , x2 ,..., xn )dx1dx2 ...dxn
(1.7.32)
(D)
1.8. CC C TRNG S CA H CC I LNG NGU NHIN

k
Mmen gc mk ,s bc k+s ca h hai i lng ngu nhin (X,Y) l k vng ton hc ca tch X v
Ys:
mk ,s = M X k Y s
(1.8.1)
o
Mmen trung tm k ,s , bc k+s l k vng ton hc ca tch X k . Y s . y X v Y l cc i

lng ngu nhin qui tm.
k ,s
ok os
= M X .Y
(1.8.2)
i vi cc i lng ngu nhin ri rc ta c:
mk ,s = xik y sj pi , j
i
(1.8.3)
k ,s = (xi mx )k y j m y s pi , j
(1.8.4)
trong pi, j = P X = xi , Y = y j .
i vi cc i lng ngu nhin lin tc:
mk ,s =
+ +
k s
y f ( x , y )dxdy
(1.8.5)
k ,s =
+ +
k
s
(x mx ) (y m y ) f ( x , y )dxdy
(1.8.6)
S k+s c gi l bc ca mmen. Cng ging nh i vi mt i lng ngu nhin, cc mmen

ca h i lng ngu nhin khng phi l nhng c trng bao qut y , tuy nhin chng xc nh mt
lot cc tnh cht quan trng ca h.
30
Cc mmen bc nht m1,0 v m0,1 l k vng ton hc ca cc i lng ngu nhin thnh phn ca
h.
[ ]
= M [X Y ] = M [Y ] = m
m1,0 = M XY o = M [X ] = mx
m0 ,1
(1.8.7)
(1.8.8)
V mt hnh hc, y l cc to ca im trung bnh m cc im ngu nhin N(X,Y) phn tn

xung quanh n.
Ta hy xt cc mmen trung tm bc hai ca h:
o o
o
2 ,0 = M X 2 Y o = M X 2 = D[X ]

0 ,2
(1.8.9)
o o o2
o2
= M X Y = M Y = D[Y ]
(1.8.10)
y l phng sai ca cc i lng ngu nhin, chng c trng cho s phn tn ca cc im ngu
nhin theo hng cc trc to .
Mmen trung tm hn hp bc hai c gi l mmen tng quan hay mmen lin h ca cc i
lng ngu nhin v bng:
o o
1,1 = M X 1 Y 1 = M ( X mx ) Y m y = Rxy
)]
i vi cc i lng ngu nhin ri rc:
Rxy = ( xi mx ) y j m y pi , j
i
(1.8.11)
(1.8.12)
Rxy =
+ +
(x mx ) (y m y ) f ( x , y )dxdy
(1.8.13)
i vi cc i lng ngu nhin c lp th Rx,y = 0 .

Thc vy, t (1.7.22):
Rxy =
( x mx )( y m y ) f1( x ) f 2 ( y )dxdy =
( x mx ) f1( x )dx ( y m y ) f 2 ( y )dy = 1[X ] 1[Y ] = 0
T thy rng, nu Rx,y 0 , th X v Y l nhng i lng ph thuc.

i lng:
rxy =
Rxy
x y
(1.8.14)
c gi l h s tng quan ca cc i lng ngu nhin X v Y.

i vi cc i lng ngu nhin c lp th rxy = 0 . iu ngc li s khng ng, tc l
rxy = 0 l iu kin cn X v Y c lp, nhng cha phi l iu kin .

31
Cc i lng ngu nhin X v Y c rxy = 0 c gi l cc i lng ngu nhin khng tng quan
vi nhau.
T tnh c lp ca i lng ngu nhin suy ra tnh khng tng quan ca chng.
Vi t cch l cc c trng s ca h, t n i lng ngu nhin X1, X2,..., Xn ta nhn c n k vng
ton hc mxi , i = 1,2,...,n ca cc i lng ngu nhin ban u, n phng sai Dxi ca chng v n(n1)
mmen tng quan Rxi x j :
[(
)(
R x i x j = M X i m xi X j m x j
)]
(1.8.15)
Phng sai Dxi c th c xem nh mmen tng quan ca i lng ngu nhin Xi vi chnh n,
c ngha l:
[(
D xi = R xi xi = M X i m x i
)2 ]
(1.8.16)
thun tin ta sp xp cc mmen tng quan di dng ma trn vung v gi l ma trn tng
quan ca h cc i lng ngu nhin (X1, X2,..., Xn).
R11
R21
...
R
n1
R12
R22
...
Rn 2
... R1n
... R2 n
= Rij
... ...
... Rnn
(1.8.17)
T nh ngha mmen tng quan ta thy rng:
o o
o o
Rij = Rxi x j = M X i X j = M X j X i = Rx j xi = R ji
(1.8.18)
V vy c th ch cn in mt na trn ca ma trn tng quan tnh t ng cho chnh.
R11
Rij =
R12
R22
... R1n
... R2n
... ...
Rnn
(1.8.19)
Trong trng hp khi cc i lng ngu nhin X1, X2,..., Xn khng tng quan, ma trn tng quan
c dng:
R11
Rij =
0
R22
...
...
...
0
...
Rnn
(1.8.20)
Ma trn nh vy gi l ma trn ng cho.

Thay cho cc mmen tng quan ngi ta thng s dng cc h s tng quan
rij = rxi x j =
R xi x j
xi x j
(1.8.21)
v chng lp thnh ma trn tng quan chun ho m cc phn t trn ng cho chnh ca n bng n
v, rxi x j = 1
32
1 r12
rij =
... r1n
... r2n
... ...
(1.8.22)
1.9. CC NH L V C TRNG S
i vi cc c trng s ca i lng ngu nhin, nhng nh l sau y l ng:
1. K vng ton hc ca i lng khng ngu nhin bng chnh n.
i lng khng ngu nhin c c th c coi nh mt i lng ngu nhin c mt gi tr c th c,
m i lng ngu nhin nhn n vi xc sut bng 1.
T :
M [c] = c.1 = c
(1.9.1)
2. Phng sai ca i lng khng ngu nhin bng khng.
] [
D[c] = M (c - mc )2 = M (c - c)2 = 0
(1.9.2)
3. Nu c l i lng khng ngu nhin, th:
M [cX ] = cM [X ] ,
(1.9.3)
D[cX ] = c 2 D[X ] ,
(1.9.4)
tc l c th a i lng khng ngu nhin ra ngoi du k vng ton hc v c th a i lng khng

ngu nhin ra ngoi du phng sai nhng sau ly bnh phng ca n.
Ta tin hnh php chng minh i vi i lng ngu nhin lin tc.
M [cX ] =
cxf ( x )dx = c xf ( x )dx = cM [X ],
] [
D[cX ] = M (cX mcx )2 = M (cX cmx )2 = c 2 M ( X mx )2 = c 2 D[ X ]

Ly cn bc hai c hai v (1.9.4), i vi lch bnh phng trung bnh ta nhn c:
[cX ] = c[X ]
(1.9.5)
tc l c th a i lng khng ngu nhin ra ngoi du lch bnh phng trung bnh.
4. K vng ton hc ca tng mt s cc i lng ngu nhin bng tng cc k vng ton hc ca chng.
nh l ny c gi l nh l cng ca k vng ton hc.
Ta s chng minh n cho trng hp hai i lng ngu nhin lin tc:
M [X + Y ] =
+ +
( x + y ) f ( x , y )dxdy =
+ +
+ +
xf ( x , y )dxdy + yf ( x , y )dxdy =
f ( x , y )dxdy +
f ( x , y )dxdy =
y
xf1( x )dx +
yf 2 ( y )dy = M [X ] + M [Y ]
(1.9.6)
33
5. Phng sai ca tng hai i lng ngu nhin bng tng cc phng sai ca chng cng vi hai ln
mmen tng quan.
D[ X + Y ] = D[X ] + D[Y ] + 2 Rxy
(1.9.7)
Ta k hiu:
o
X + Y = Z , Z = X + Y = ( X mx ) + ( Y m y ) ,
(1.9.8)
khi :
o o 2
o
D[X + Y ] = M Z 2 = M X + Y =
o2
o2
o o
= M X + M Y + 2 M X Y = D[X ] + D[Y ] + 2 Rxy

Cng c th chng minh cng thc:
D[ X Y ] = D[X ] + D[Y ] 2 Rxy
(1.9.9)
Tng t, khi s dng cng thc i vi bnh phng ca tng nhiu s hng, ta nhn c cng
thc tnh phng sai ca tng n i lng ngu nhin.
n
n
D X i = D [ X i ] + 2 R xi x j
i< j
i =1 i =1
(1.9.10)
V D[ X i ] = Rxi xi nn c th vit cng thc ny di dng:
n
n n
D X i = R xi x j
i =1 i =1 j =1
(1.9.11)
i vi cc i lng ngu nhin khng tng quan, Rxi x j = 0 khi ij nn cng thc c vit li
nh sau:
n
n
D X i = D[ X i ] ,
i =1 i =1
(1.9.12)
tc l phng sai ca tng cc i lng ngu nhin khng tng quan bng tng cc phng sai ca
chng. nh l ny c gi l nh l cng phng sai.
6. i vi k vng ton hc ca tch cc i lng ngu nhin, cng thc sau l ng:
M [XY ] = M [X ].M [Y ] + Rxy .
(1.9.13)
Mmen tng quan c th c biu din di dng:
)]
Rxy = M ( X - mx ) Y m y =
= M [XY ] mx M [Y ] m y M [ X ] + mx m y =
= M [XY ] M [ X ].M [Y ]
(1.9.14)
t suy ra cng thc (1.9.13).

i vi cc i lng ngu nhin khng tng quan th Rxy = 0 , do , t (1.9.13) ta nhn c
nh l tch k vng ton hc
M [XY ] = M [X ].M [Y ] .
34
(1.9.15)
Tng qut ho nh l ny cho n i lng ngu nhin ch ng khi chng l cc i lng ngu
nhin c lp.
1.10. LUT PHN B CHUN CA H CC I LNG NGU NHIN

Xt h hai i lng ngu nhin vect ngu nhin hai chiu (X,Y).
Ngi ta ni rng h ny c lut phn b chun nu mt phn b c dng:
f (x , y ) =
exp
2
2 1 r
2 x y 1 r 2
( x m )2 2r( x mx )( y m y ) y m y
x
+
x y
2y
2x
)2
(1.10.1)
V c th xem (X,Y) nh l mt im ngu nhin trn mt phng, nn lut ny c gi l lut phn

b chun trn mt phng. Hm (1.10.1) ph thuc vo 5 tham s: mx, my, x, y, r.
Ta hy lm sng t ngha ca cc tham s . Ta s ch ra rng mx v my l cc k vng ton hc
M [ X ] v M [Y ] ca cc i lng ngu nhin X v Y, x v y l lch bnh phng trung bnh ca
chng, cn r l h s tng quan ca cc i lng ngu nhin X v Y, tc l r = rxy.
Mun vy, ta tm mt phn b ca tng i lng ngu nhin ca h.
f1 (x ) =
f ( x , y )dy =
1
2 x y 1 r
exp 2(1 r 2 )
(x m )2 2r( x mx )( y m y ) y m y
x
+
2
x y
2y
x
)2 dy
(1.10.2)
Thc hin php i bin sau cho tch phn (1.10.2):
y my
x mx
=u,
=v
2 x
2 y
(1.10.3)
ta nhn c:
f1 (x ) =
1
2 x 1 r
exp 1 r 2 (u
2ruv + v 2 dv
(1.10.4)
Sau khi a vo cc k hiu:
A=
1
ru
u2
,
B
=
,
C
=
1 r2
1 r2
1 r2
(1.10.5)
ta a tch phn (1.10.4) v tch phn bit:

+
( Av 2 2 Bv C )
dv =

e
A
AC B 2
A
(1.10.6)
Kt qu nhn c l:
f1 ( x ) =
1
e
2 x
( x m x )2
2 2x
(1.10.7)
T (1.10.7) ta thy rng i lng ngu nhin X tun theo lut phn b chun, hn na:
35
mx = M [ X ], x = D[X ]
(1.10.8)
Tng t i vi f2(y) ta c:
f2 ( y ) =
1
e
2 y
( y m y )2
2 2y
(1.10.9)
Tnh mmen tng quan Rxy:
Rxy =
+ +
( x mx )( y m y ) f ( x , y )dxdy =
1
2 x y 1 r 2
+ +
( x mx )( y m y ) exp 2(1 r 2 )
(x m )2 2r( x m x )( y m y ) y m y
x
+
2
x y
2y
x
)2 dxdy
(1.10.10)
Ly tch phn biu thc (1.10.10) ta nhn c:
Rxy = r x y
(1.10.11)
T thy rng r chnh l h s tng quan rxy.

Nh vy, mt phn b chun ca h hai i lng ngu nhin X v Y hon ton c xc nh bi
cc k vng ton hc mx v my ca cc i lng ngu nhin cho v ma trn tng quan
Dx
Rij =
Rxy
D y
(1.10.12)
Nh vy, i vi phn b chun, cc c trng s k vng ton hc v ma trn tng quan l cc

c trng y ca h.
Nu cc i lng ngu nhin ca h c phn b chun (X,Y) khng tng quan vi nhau, tc l r =
rxy = 0, th
f (x , y ) =
1
2 x y
( x m )2 y m 2
y
x +
2
2 2
2
x
y
e
= f1 ( x ). f 2 ( y )
(1.10.13)
v y l iu kin c lp ca h.
Nh vy, t tnh khng tng quan ca cc i lng ngu nhin ca h c phn b chun ta suy ra
tnh c lp ca chng. i vi cc i lng ngu nhin c phn b chun, iu kin khng tng quan
v iu kin c lp l tng ng nhau.
Ta xt mt c xc nh bi mt phn b chun:
f (x , y ) =
1
2 x y
( x m )2 y m 2
y
x +
2
2 2
2
x
y
e
(1.10.14)
cho trng hp cc i lng ngu nhin X v Y c lp. Mt ny c dng i m nh nm ti im

(mx,my) (hnh 1.17).
Ct mt phn b ny bi cc mt phng song song vi mt x0y, ta nhn c cc elip.
36
Thc vy, khi cho f (x , y ) = 2 = const , ta c:
(x mx )2 + (y m y )2
2 2x
= 2
2 2y
(1.10.15)
Phng trnh (1.10.15) l phng trnh hnh chiu ca elip trn mt x0y. l h cc elip ng dng
c tm ti im (mx, my), c cc trc i xng l cc ng thng song song vi cc trc 0x v 0y. Ti mi
im ca mi elip nh vy, mt phn b khng i, nn chng c gi l cc elip mt phn b u
hay l elip phn tn.
C th ch ra rng, s nhn c mt bc tranh tng t ngay c i vi phn b chun trong trng
hp tng qut, khi m r0, nhng trong trng hp ny cc trc i xng ca elip khng song song vi
cc trc to .
Cc trc i xng ny c gi l cc trc phn tn chnh. Bng cch chuyn gc to ti im (mx,
my) v quay cc trc to cho n khi trng vi cc trc phn tn chnh c th dn lut phn b chun vi
r0 v dng chnh tc.
f ( ,) =
1
e
2
2 2 2 2

(1.10.16)
trong , c gi l lch bnh phng trung bnh chnh.

Nh vy, chng ta thay th vect ngu nhin phn b chun c cc thnh phn (X,Y) ph thuc ln
nhau bi vect phn b chun khc (,) m cc thnh phn ca n c lp vi nhau.
Thng thng, khi xt lut phn b chun trn mt phng, ta c gng chn trc cc trc to 0x v
0y sao cho chng trng vi cc trc phn tn chnh.
Khi , xc sut ri vo hnh ch nht R (hnh 1.14) c cc cnh song song vi trc phn tn chnh
c xc nh theo cng thc (1.7.6) v s bng:
P(N R ) =
1
2 x y
1
e
2 x
( x m x )2
2 2x
( x m )2 y m 2
y
x +
2
2 2
2
x
y
dxdy
e
dx
1
e
2 y
m x m y
1 m x

2 . 2
4 2 x

x
y
(y m y )2
2 2y
dy =
m y
2 y
(1.10.17)
By gi ta xt h n i lng ngu nhin (X1, X2, ... Xn). H ny c gi l c phn b chun nu

nh mt phn b ca n c dng:
f ( x1 , x2 ,..., xn ) =
1
1 2 ... n
(2)
x m x m
1 n n
Dik i i . k k
2 D i =1k =1
i
k
(1.10.18)
trong D l nh thc ca ma trn tng quan chun ho:
37
1 rx1 x2
... rx1 xn
rxi xk =
... rx2 xn
...
(1.10.19)
...
1
Dik l phn ph i s ca phn t rxi x k trong nh thc D.

T (1.10.18) thy rng, mt phn b n chiu i vi lut chun ph thuc vo n k vng ton hc,
n( n 1 )
h s tng quan.
n lch bnh phng trung bnh (phng sai) v
2
Nu cc i lng ngu nhin X1, X2, ... , Xn c lp th mt phn b bng:
f ( x1 , x2 ,..., xn ) = f1( x1 ) f 2 ( x2 )... f n ( xn ) =

=
(2)
n/2
1 2 ... n
1 n xi mi
2 i =1 i
(1.10.20)
Cng thc ny nhn c t cng thc tng qut (1.10.18) khi rxi xk = 0 trong trng hp i k v
rxi xk = 1 vi i = k. Khi D=1, Dik=0 khi i k, Dik=1 khi i = k.

Trng hp ring, khi n = 3 ta nhn c lut phn b chun trong khng gian.
Trong trng hp ny ma trn tng quan c dng:
rxi xk =
1 rx1 x2
1
rx1 x3
rx 2 x3
(1.10.21)
1
Mt phn b chun ba chiu ph thuc vo 9 tham s m1, m2, m3, 1, 2, 3, rx1x2 ,rx1x3 ,rx2 x3 . i
vi phn b chun 3 chiu, thay cho elp phn tn l elipxit phn tn. Khi hng cc trc to theo cc
trc chnh ca elipxit phn tn ta nhn c h thng cc phn b ca ba i lng ngu nhin c lp
(,,).
Trong trng hp ny mt phn b s c dng:
f ( , , ) =
(2)
3/ 2
1 2 2 2

+
+
2
2 2
2
(1.10.22)
trong , , l cc lch bnh phng trung bnh chnh.
1.11. LUT PHN B CA HM CC I S NGU NHIN

1) Lut phn b ca hm mt i s ngu nhin
Gi s c i lng ngu nhin lin tc X c mt phn b f(x) v mt i lng ngu nhin khc Y,
lin h vi n bi s ph thuc hm
Y = ( X ) ,
(1.11.1)
vi l hm lin tc, kh vi.

Yu cu tm mt phn b ca i lng ngu nhin Y.
Trc ht, ta gi thit rng hm y = ( x ) n iu, khi n c hm ngc duy nht: x = ( y ) .
Thm vo , t iu kin:
38
xo < X xo + dx .
chc chn suy ra rng y0<Yy0+dy v ngc li. y y0= (x0)
Hnh 1.18
Hnh 1.17
Do xc sut ca cc bt ng thc bng nhau:
P( xo < X xo + dx ) = P( yo < Y yo + dy )
(1.11.2)
Gi s mt phn b ca i lng Y l g(y), khi t cc th f(x) v g(y) (hnh 1.18 a v b) ta

nhn thy rng xc sut
P( xo < X xo + dx ) = S x
(1.11.3)
bng din tch pha di ng cong y = f(x), cn xc sut
P( yo < Y yo + dy ) = S y
(1.11.4)
l din tch pha di ng cong x = g(y)

Vi dx, dy nh ta c:
S x = f (x )dx , S y = g ( y )dy ,
(1.11.5)
f(x)dx = g(y)dy
(1.11.6)
khi
v do vy:
g ( y ) = f (x )
1
= f [( y )].' ( y )
dy / dx
(1.11.7)
V f(x)0, g(y)0, nn trong cng thc ny cn ly gi tr tuyt i ( y )
g ( y ) = f [( y )]( y ) .
(1.11.8)
Nu hm y = ( x ) khng n iu th hm ngc x = ( y ) c th a tr, tc l c mt vi
nhnh: x1 = 1 ( y ), x 2 = 2 ( y ),..., xn = n ( y ) .
Khi t s kin:
yo < Y yo + dy ,
(1.11.9)
dn n mt trong cc kh nng xung khc tng h:
x1o < X < x1o + dx1 hoc x2o < X < x2o + dx2 ...
xno < X < xno + dxn
hoc
(1.11.10)
Khi theo nh l cng xc sut ta c:
) (
P( yo < Y yo + dy ) = P x1o < X < x1o + dx1 + P x2o < X < x2o + dx2 + ... +
P xno < X < xno + dxn
hoc
g(y)dy = f (x1 )dx1 + f (x 2 )dx 2 + ... + f ( xn )dxn
(1.11.11)
(1.11.12)
39
Trong trng hp khi x = ( y ) l hm a tr, ta nhn c cng thc i vi g(y):
dx1
dx
dx
+ f ( x2 ) 2 + ... + f ( xn ) n ,
dy
dy
dy
(1.11.13)
g ( y ) = f [1 ( y )]. 1' ( y ) + f [ 2 ( y )]. '2 ( y ) + ... + f [ n ( y )]. 'n ( y )
(1.11.14)
g ( y ) = f ( x1 )
tc l:
Cc v d:
1. Gi s X v Y c quan h ph thuc tuyn tnh:
Y = aX + b
(1.11.15)
Trong trng hp ny hm ngc l n tr
X = (Y ) =
1
(Y b )
a
(1.11.16)
o hm hm ngc bng:
' ( y ) =
1
a
(1.11.17)
T , th (1.11.16) v (1.11.17) vo cng thc (1.11.8) i vi g(y) ta nhn c
g(y) =
1 y b
f
a a
(1.11.18)
Nh vy, khi bin i tuyn tnh i lng ngu nhin, ng cong phn b ca n dch chuyn mt
lng b v thay i t l dc theo trc to l a ln.
Khi , ta nhn c quy lut phn b ca hm tuyn tnh ca i s tun theo phn b chun (1.5.1)
di dng
g(y) =
1
e
a 2 x
y b
mx
2 2x
1
e
2 a x
[ y ( am x + b )]2
2 a 2 2x
(1.11.19)
y l quy lut phn b chun vi cc tham s
y = a x ,
m y = am x + b
2. Gi s cc i lng ngu nhin X v Y lin h vi nhau bi s ph thuc bc hai Y = X 2 .
Trong trng hp ny mi mt gi tr ca Y (Y lun dng) tng ng vi hai gi tr ca i lng
ngu nhin X:
X 1 = 1 (Y ) = Y , X 2 = 2 (Y ) = Y
Hm ngc l hm hai tr, cho nn theo (1.11.14) ta c:
g ( y ) = f (x1 ) 1 ( y ) + f ( x2 ) 2 ( y )
(1.11.20)
V:
1 ( y ) =
nn
40
1
2 y
,2 ( y ) =
1
2 y
(1.11.21)
[ ( y )+ f ( y )] khi y > 0
1
f
g(y) = 2 y
0
(1.11.22)
khi y < 0
c bit, khi i s X tun theo lut phn b chun (1.5.1) th mt phn b ca i lng ngu
nhin Y s c dng:
g ( y ) = 2 2y x
(

e
y mx
2 2x
)2
+e
y mx
2 2x
)2
khi y > 0
(1.11.23)
khi y < 0
Nu k vng ton hc bng khng, mx = 0 th:

y
1
2 2x
khi y > 0
g ( y ) = 2y e
x
khi y < 0
0
(1.11.24)
2) Lut phn b ca hm hai i s ngu nhin

Gi s c h hai i lng ngu nhin lin tc (X,Y) c mt phn b f(x,y). V gi s i lng
ngu nhin Z, lin h vi X v Y bi mi ph thuc hm
Z = ( X ,Y ) .
Yu cu tm quy lut phn b ca i lng ngu nhin Z.
Ta xy dng th hm z = (x , y ) . y l mt mt no trong khng gian (hnh 1.19).
Ta xc nh hm phn b ca i lng Z
G (z ) = P (Z < z ) = P[( X ,Y ) < z ] .
(1.11.25)
Bt ng thc (X,Y) < z s c tho mn vi mi im ca mt z = (x,y) nm di mt phng Q

song song vi mt x0y, v cch n mt khong bng z.
Mt phng ny ct mt z = (x,y) theo mt ng cong L no . Chiu ng cong L ny ln mt
phng x0y, n gii hn mt min D no .
Hnh 1.19
Xc sut cho (X,Y) < z bng xc sut ri ca im (X,Y) vo trong min D trn mt phng x0y
c xc nh bi bt ng thc (x,y) < z. Xc sut ny c biu din bi tch phn hai lp theo min D.
f ( x , y )dxdy
(D)
Nh vy, hm phn b ca i lng ngu nhin Z c dng:
G (z ) =
f ( x , y )dxdy
(1.11.26)
( ( x , y )< z )
41
nhn c mt phn b g(z) cn tm o hm ca hm (1.11.26) theo z
g( z ) = G (z )
(1.11.27)
R rng, min phn tch [(x,y)<z] c th l min a lin thuc mt phng x0y, trong bt ng
thc (x,y)<z c thc hin.
V d: Xt hm phn b ca modul vect phn b chun hai chiu m hnh chiu ca n ln cc trc
to X v Y l cc i lng ngu nhin c lp c k vng ton hc bng mx v my, v phng sai u
bng x.
i lng ngu nhin cn tm Z s lin h vi cc i lng ngu nhin X v Y bi mi ph thuc
hm:
X 2 +Y2
Z=
(1.11.28)
i lng ngu nhin Z khng m, v vy mt phn b ca n s bng khng khi z<0.

V X v Y l cc i lng ngu nhin c lp c phn b chun nn mt phn b chung f(x,y) c
dng (1.11.14).
Theo (1.11.26) ta nhn c hm phn b ca i lng ngu nhin Z di dng:
[(x mx )
1
2 2
e
22
1
G(z ) =
2
( x + y <z )
+ y m y 2
dxdy
(1.11.29)
Min tch phn l min trong hnh trn tm gc to v bn knh bng z.

Ta chuyn tch phn hai lp v to cc bng cch s dng cc cng thc
x = cos , y = sin , dxdy = dd
(1.11.30)
Khi ta nhn c:
1
G(z ) =
22
2 z 1 ( z cos m x )2 + z sin m y 2
2
e 2
dd
(1.11.31)
00
Ly vi phn biu thc ny theo z ta nhn c mt phn b ca i lng ngu nhin Z.
2 1 [( z cosmx )2 + (z sin m y )2 ]
2
1
e 2
d
2
g(z ) = 2
0
khi z > 0
(1.11.32)
khi z < 0
Ta hy bin i hm di du tch phn:
(z cos mx )2 + (z sin m y )2 =
= z 2 2 z mx cos + m y sin + mx2 + m 2y
(1.11.33)
K hiu:
mx2 + m 2y = m 2 ,
my
mx
= cos ,
= sin
m
m
(1.11.34)
khi
= arctg
nh vy ta nhn c
42
my
mx
(1.11.35)
(z cos mx )2 + (z sin m y )2 = z 2 + m 2 2 zm cos( )
(1.11.36)
Th (1.11.36) vo (1.11.32) ta nhn c:
z
g (z ) =
e
22
z 2 + m 2 2 zm cos( )
2 2
2
e
d
khi z > 0
(1.11.37)
Lm php thay th
=u
(1.11.38)
ta nhn c
g (z ) =
z
e
22
z 2 + m 2 2
zm
cos u
2
2 2
e
du
khi z > 0
(1.11.39)
Tch phn trong cng thc (1.11.39)
1
2
izm
2 i
cos u
2
e
du
imz
mz
l hm Bessel loi I bc 0 i s o J o 2 hoc hm Bessel loi II i s thc I o 2 .

Nh vy, ta c
z 2 +m2
z
2
mz
e I o 2 khi z > 0
g (z ) =
2
2

0
khi z < 0
(1.11.40)
Hm nhn c gi l hm Rle suy rng. Cc c trng s ca n, nh k vng ton hc v phng

sai, c xc nh c theo cc cng thc:
m2

m 2 m 2 m 2 m 2 2
mz =
1 + 2 I o 2 + 2 I1 2 e 4
2 2 4 2 4
(1.11.41)
Dz = 2 2 + m 2 mz2
(1.11.42)
i vi trng hp k vng ton hc bng 0, mx = my =0, biu thc (1.11.29) c vit li di dng
G (z ) =
2
( x + y <z )
1
e
22
x2 + y2
2 2
dxdy =
1
=
22
2
z2
2z
2
2
e 2 dd = 1 e 2
(1.11.43).
00
T , theo (1.11.27), ta nhn c mt phn b g(z) di dng:

z2
z
2 2
g (z ) = 2 e
khi z > 0
(1.11.44)
khi z < 0
y l quy lut phn b Rle c xt mc 1.6.

43
1.12. HM C TRNG
Hm c trng g(t) ca i lng ngu nhin X l k vng ton hc ca i lng ngu nhin phc
e
itX
[ ]
g (t ) = M eitX ,
(1.12.1)
y, i = 1 .
Nu X l i lng ngu nhin ri rc th
n
g (t ) = eitx k pk
(1.12.2)
k =1
Nu X l i lng ngu nhin lin tc th
g (t ) =
itx
f ( x )dx
(1.12.3)
Cng thc (1.12.3) bin i hm f(x) i s x thnh hm g(t) i s t l php bin i Fourier hm
f(x).
Nh vy, hm c trng ca i lng ngu nhin lin tc l php bin i Fourier hm mt phn
b ca n.
Cc tnh cht ca hm c trng
1. Nu gx(t) l hm c trng ca i lng ngu nhin X, th hm c trng ca i lng ngu nhin
bng
Thc vy,
Y = aX
(1.12.4)
g y (t ) = g x (at )
(1.12.5)
[ ] [
g y (t ) = M eitY = M ei (at ) X = g x (at )
(1.12.6)
2. Hm c trng ca tng cc i lng ngu nhin c lp bng tch cc hm c trng ca tng

hng t.
Nu X1, X2, ..., Xn l cc i lng ngu nhin c lp c cc hm c trng:
g x1 ( t ), g x2 ( t ),..., g xn ( t )
(1.12.7)
v gi s
n
X = Xk
(1.12.8)
k =1
Ta s chng minh rng:

n
g x (t ) = g xk ( t )
(1.12.9)
k =1
Tht vy, khi s dng nh l tch k vng ton hc i vi cc i lng ngu nhin c lp, ta nhn
c:
it n X
n
n
n
k
g x ( t ) = M e k =1 = M eitX k = M eitX k = g xk ( t )
k =1
k =1
k =1
[ ]
44
(1.12.10)
3. Gi tr ca hm c trng bng n v khi t=0:
g (0) =
f ( x )dx = 1 .
V hm c trng g(t) ca i lng ngu nhin lin tc l bin i ngc Fourier ca mt phn b
f(x) nn, nh bit t l thuyt bin i Fourier, c th nhn c mt phn b f(x) nh l bin i
Fourier trc tip hm g(t)
f (x ) =
1
e itx g ( t )dt
Nh vy, khi bit mt phn b f(x) ta c th xc nh duy nht mt hm c trng, ngc li, nu
bit hm c trng, c th xc nh mt cch duy nht mt phn b.
Khi trong nhiu trng hp, s dng hm c trng thun li hn so vi mt phn b.
Mi lin h gia hm c trng v mmen ca i lng ngu nhin
Khi bit hm c trng g(t), d dng xc nh c cc mmen phn b ca i lng ngu nhin.
Ta khai trin hm eitX thnh chui Macloren
eitX =
(it )k
k =0
k!
Xk
(1.12.11)
Thay (1.12.11) vo (1.12.1) ta nhn c chui:
(it )k k (it )k
g (t ) = M
X =
M Xk
k
!
k
!
k = 0
k = 0
[ ]
(1.12.12)
[ ]
Nhng M X K l mmen gc bc k (mK) ca i lng ngu nhin X. T ta nhn c khai trin

chui hm c trng
g (t ) =
i k mk k
t
k =0 k!
(1.12.13)
Nh vy, c th tm c tt c cc mmen gc ca i lng ngu nhin bng cch khai trin hm

c trng thnh chui Macloren i vi tham s t.
Ta biu din hm c trng theo cng thc khai trin tng qut thnh chui Macloren:
g (t ) =
1 d k g( t )
tk
k
dt
k =0
t =0
k!
(1.12.14)
S snh (1.12.13) v (1.12.14) ta nhn c biu thc i vi mmen ca i lng ngu nhin:
mk =
1 d k g( t )
i k dt k t = 0
(1.12.15)
Mt cch tng t, c th biu din cc mmen trung tm ca i lng ngu nhin qua hm c
trng.
Khi biu din i lng ngu nhin X di dng:
o
X = X + mx
(1.12.16)
vi X l i lng ngu nhin qui tm, ta nhn c:

45
[ ]
g (t ) = M eitX
it Xo + m
o
x
o

= M eitm x eit X = eitm x M eit X
= M e
(1.12.17)
Khai trin eit X thnh chui Macloren, ta c
(it )k o k (it )k o k (it )k

o
M eit X = M
X =
M X =
k
k = 0 k !
k = 0 k !
k = 0 k !
(1.12.18)
Th (1.12.18) vo (1.12.17) ta nhn c
g (t )e itm x =
k =0
(it )k
k!
(1.12.19)
Do , khi khai trin Macloren hm g (t )e itm x ta nhn c tt c cc mmen trung tm ca i

lng ngu nhin.
Khai trin g (t )e itm x theo cng thc khai trin tng qut chui Macloren:
g (t )e itm x =
1 d k e itm x g ( t )
dt k
k =0 k!
n
tk
(1.12.20)
t =0
So snh (1.12.19) v (1.12.20), ta nhn c:
k =
1 d k e itm x g ( t )
ik
dt k
(1.12.21)
t =0
V d: Nh hm c trng ta s tm c cc mmen ca phn b chun.

Gi s i lng ngu nhin X tun theo quy lut phn b chun (1.5.1). Ta s tm hm c trng ca
n.
g (t ) =
1
2 x
itx
( x m x )2
2 2x
dx =
1
2 x
x2
2 2x
+ itx +
xm x
2x
m x2
2 2x
dx (1.12.22)
C th a tch phn (1.12.22) v tch phn bit:

+
Ax + 2 Bx C
dx =

e
A
AC B 2
A
(1.12.23)
k hiu
A=
it 2x + mx
mx2
1
,
B
,
C
=
=
2 2x
2 2x
2 2x
(1.12.24)
Khi
g (t ) = e
itm x
t 2 2x
2
Theo (1.12.15), mmen gc bc nht bng:
46
(1.12.25)
m1 =
im
1 dg ( t )
= x e0 = mx
i dt t = 0
i
(1.12.26)
Ta tm cc mmen trung tm ca phn b:
e itm x g (t ) = e itm x e
itm x
t 2 2x
2
=e
t 2 2x
2
(1.12.27)
Khai trin hm ny thnh chui Macloren, nhn c:
e itm x g (t ) =
2k
i 2k 2x k 2k
t
k
k =0 2 k!
( 1)k 2kxk! t 2k =
k =0
(1.12.28)
T c:
2k 1 = 0
(1.12.29)
i 2k
i 2k 2k
2k = k x
( 2k )!
2 k!
(1.12.30)
hay
2k =
( 2k )! 2 k
x , (k=1,2,...)
2k k!
(1.12.31)
c bit, 2 = 2x , 4 = 3 4x
Cc cng thc nhn c l cc cng thc tnh trc tip mmen ca phn b chun mc 1.5.
Tuy nhin phng php s dng hm c trng n gin hn nhiu.
Hm c trng ca vc t ngu nhin
Hm c trng ca h n i lng ngu nhin (X1, X2 ... Xn) hoc vect ngu nhin n chiu l hm n
tham s t1, t2,, tn, c xc nh bi cng thc:
i nt X
k k
g( t1 ,t2 ,...,tn ) = M e k =1
(1.12.32)
i vi h cc i lng ngu nhin lin tc, y l php bin i Fourier n chiu ca mt phn b
f(x1,x2 .... xn)
g ( t1 ,t2 ,...,tn ) =
... ei( t1 x1 + ...+ t n xn ) f ( x1 , x2 ,..., xn )dx1dx2 ...dxn
(1.12.33)
Tng t nh trng hp mt chiu, mt phn b f(x1,x2 .... xn) l bin i Fourier n ln i vi

hm c trng g(t1, t2,, tn)
f ( x1 , x2 ,..., xn ) =
(2)n
... e i( t1 x1 + ...+ t n xn ) g ( t1 ,t2 ,...,tn )dt1dt2 ...dtn (1.12.34)
i vi h cc i lng ngu nhin phn b chun (X1, X2,..., Xn) c mt phn b (1.10.20), hm
c trng g ( t1 ,t 2 ,...,t n ) c tnh theo cng thc (1.12.33) c dng
g ( t1 ,t2 ,...,tn ) = e
n
1 n
R jk t j t k + i m j t j
2 j ,k =1
j =1
(1.12.35)
47
trong mj l k vng ton hc ca i lng ngu nhin Xj , Rjk l mmen tng quan ca cc i lng
ngu nhin Xj v Xk.
Nu cc i lng ngu nhin X1, X2,..., Xn c lp vi nhau th hm c trng n chiu ca chng
bng tch cc hm c trng ca tng i lng ngu nhin trong .
n
g ( t1 ,t2 ,...,tn ) = g xk ( tk )
(1.12.36)
k =1
Nh hm c trng nhiu chiu c th xc nh c mmen hn hp ca phn b ca h cc i

lng ngu nhin (vect ngu nhin) theo cng thc
mk1 ,k 2 ,...,k n ( x1 , x2 ,..., xn ) =

= i ( k1 + k 2 + ...+ k n )
48
k1 + ...+ k n g( t1 ,...,tn )
t1k1 ...tnk n
(1.12.37)
t1 = ...= t n = 0
Chng 2
HM NGU NHIN V CC C TRNG CA CHNG
2.1. NH NGHA HM NGU NHIN
i lng ngu nhin l i lng m khi tin hnh mt lot cc php th trong cng nhng iu
kin nh nhau c th mi ln nhn c gi tr ny hay gi tr khc khng bit trc c c th.
Gi thit rng, kt qu th nghim khng phi l mt s m l mt hm no ca mt hay nhiu i
s. Mt hm m kt qu ca mi ln th nghim c tin hnh trong nhng iu kin nh nhau, c th c
cc dng khc nhau, khng bit trc c c th, c gi l hm ngu nhin. Khi hm khng ngu
nhin thu c do kt qu ca mi th nghim c gi l th hin ca hm ngu nhin. Mi ln lp li th
nghim ta li nhn c mt th hin mi. Nh vy c th xem hm ngu nhin nh l tp tt c cc th
hin ca n. Cch tip cn thng k nh vy rt thun li khi nghin cu nhiu qu trnh vt l, k thut,
sinh hc v.v... c bit, khi nim hm ngu nhin phn nh rt tt thc cht ca cc qu trnh kh tng
thu vn.
Tnh cht c trng ca kh quyn l chuyn ng ri nhiu lon gy nn s bin ng mnh ca cc
yu t kh tng c theo thi gian ln khng gian. Cc xung ri mnh xy ra c trong cc qu trnh qui m
ln cng nh trong cc chuyn ng qui m nh. S tn ti ca ri dn ti nhng iu kin ban u khng
cn quy nh mt cch y din bin ca qu trnh, do cc th nghim tin hnh trong cng nhng
iu kin bn ngoi nh nhau s dn n cc kt qu khc nhau.
Gi s vo cng mt ngy, mt gi ca mi nm trong mt khong thi gian no , ta o nhit
khng kh ti mt im cho trc trong kh quyn. Vi mi ln o nh vy ta nhn c nhit nh l
hm ca thi gian T(t). Cc hm nhn c khi lp li th nghim s khc nhau. Mi hm Ti(t) nhn c
th nghim i c th c xem nh mt th hin ring, cn tp tt c cc hm thu c cho chng ta tp hp
cc th hin quan trc ca hm ngu nhin.
Tng t, cc yu t kh tng khc nh p sut, cc thnh phn ca vect vn tc gi, v.v... cng c
th c xem nh l cc hm ngu nhin ca thi gian v to khng gian.
Trn hnh 2.1 biu din cc ng cong ph thuc vo thi gian ca thnh phn v hng ca vect
gi nhn c t cc s liu quan trc thm khng.
Tng ng cong trn hnh 2.1 l mt th hin ca hm ngu nhin. Nu c nh thi im t=to v
vch mt ng thng vung gc vi trc honh, th n s ct mi th hin ti mt im. Cc im giao l
cc gi tr ca mt i lng ngu nhin m ngi ta gi l lt ct ca hm ngu nhin ng vi gi tr ca
i s t=to.
Xut pht t c th a ra mt nh ngha khc v hm ngu nhin: Hm ngu nhin ca i s t l
hm X(t) m gi tr ca n ti mi tr s ca i s t=to (mi mt lt ct tng ng vi t=to) l mt i
lng ngu nhin.
Hnh 2.1
49
Ta s k hiu hm ngu nhin bng cc ch ci ln km theo i s X (t ),Y (t ),..., cn cc th hin
ca n l cc ch ci nh x1 (t ), x2 (t ),..., xn ( t ) , vi cc ch s nu r ln th nghim m th hin trn nhn

c. Lt ct ca hm ngu nhin ti gi tr i s to c k hiu l X (to ) .
i s t c th nhn mt gi tr thc bt k trong khong hu hn hoc v hn cho, hoc ch l cc

gi tr ri rc nht nh. Trong trng hp th nht, X(t) c gi l qu trnh ngu nhin, cn trong trng
hp th hai n c gi l dy ngu nhin.
Thut ng hm ngu nhin bao hm c hai khi nim trn. i s ca hm ngu nhin khng nht
thit phi l thi gian. Chng hn, c th xt nhit khng kh nh l hm ngu nhin ca cao. Hm
ngu nhin c th ph thuc khng ch vo mt bin m c th ph thuc vo vi bin. Hm ngu nhin
ca vi i s gi l trng ngu nhin.
V d, trong kh tng hc ngi ta xt trng nhit , trng gi, trng p sut, tc l nhit , p
sut hay vect gi c xem nh l hm ngu nhin ca 4 i s: 3 to khng gian v 1 ta thi
gian. Khi trng ngu nhin c th v hng nh trong cc trng hp trng nhit v trng p
sut hoc trng vc t nh trng gi, khi m mi th hin ca n l mt hm vect.
Cc qu trnh kh tng thu vn l cc hm ca i s lin tc, v vy chng ta s khng cp n
l thuyt ca chui ngu nhin, m ch xt cc qu trnh ngu nhin ca mt i s lin tc v cc trng
ngu nhin nh l hm ngu nhin ca mt vi i s lin tc. Khi ta s gi qu trnh mt chiu l hm
ngu nhin hay qu trnh ngu nhin, khng phn bit gia cc thut ng .
2.2. CC QUI LUT PHN B QU TRNH NHU NHIN

Nh ta thy trc y, i lng ngu nhin c hon ton xc nh nu bit hm phn b ca n
F (x ) = P( X < x )
(2.2.1)
H cc i lng ngu nhin c xc nh nu bit hm phn b ca n
F (x1 , x2 ,..., xn ) = P( X 1 < x1 , X 2 < x2 ,..., X n < xn )
(2.2.2)
Qu trnh ngu nhin X (t ) c th c xt nh l tp hp tt c cc lt ct ca n m mi mt lt ct

l mt i lng ngu nhin. Khi c nh cc gi tr ca i s t1, t2,..., tn chng ta nhn c n lt ct ca
qu trnh nhu nhin.
X 1 = X (t1 ), X 2 = X (t2 ),..., X n = X (tn )
Khi , mt cch gn ng, qu trnh ngu nhin c th c c trng bi hm phn b ca h cc

i lng ngu nhin nhn c.
Fn ( x1 , x2 ,..., xn ) = P ( X 1 < x1 , X 2 < x2 ,..., X n < xn )
(2.2.3)
R rng, hm phn b ny s c trng cho qu trnh ngu nhin cng y hn, nu cc gi tr ca

i s ti cng phn b gn nhau, s lt ct n c c cng ln.
Xut pht t , qu trnh ngu nhin X (t ) c coi nh cho trc nu i vi mi gi tr t, hm
phn b ca i lng ngu nhin X (t ) c xc nh
F1 (x ,t ) = P[ X (t ) < x ] ,
(2.2.4)
v i vi mi cp hai gi tr t1 v t2 ca i s t, hm phn b ca h cc i lng ngu nhin

X 1 = X (t1 ), X 2 = X (t2 ) c xc nh
F2 (x1 , x2 ; t1 ,t2 ) = P( X 1 < x1 , X 2 < x2 )
(2.2.5)
Ni chung, vi mi n gi tr bt k t1, t2,..., tn ca i s t, hm phn b n chiu ca h cc i lng ngu

nhin X 1 = X (t1 ) , X 2 = X (t2 ) ,, X n = X (tn ) c xc nh
Fn (x1 , x2 ,..., xn ; t1 ,t2 ,tn ) = P( X1 < x1 , X 2 < x2 ,..., X n < xn )
50
(2.2.6)
Hm F1 (x; t ) c gi l hm phn b mt chiu ca qu trnh ngu nhin, n c trng cho qui lut
phn b ca mi mt lt ct ca n, nhng khng gii p c vn v s ph thuc ln nhau gia cc
lt ct khc nhau.
Hm F2 ( x1 , x2 ; t1 ,t2 ) c gi l hm phn b hai chiu ca qu trnh ngu nhin, n cng khng
phi l c trng bao qut ca qu trnh ngu nhin.
c trng y qu trnh ngu nhin cn phi cho tt c cc hm phn b nhiu chiu.
i vi cc hm ngu nhin lin tc, mi lt ct ca n l mt i lng ngu nhin lin tc, c th
s dng qui lut phn b vi phn nhiu chiu c trng cho hm ngu nhin. Nu F1 (x; t ) c o hm
ring theo x
F1( x; t )
= f1 ( x; t )
(2.2.7)
x
th n c gi l mt phn b mt chiu hay qui lut phn b vi phn mt chiu ca hm ngu nhin.
Qui lut phn b vi phn mt chiu f1 (x; t ) l qui lut phn b vi phn ca i lng ngu nhin - lt
ct ca hm ngu nhin ng vi gi tr t cho trc.
Qui lut phn b vi phn nhiu chiu ca hm ngu nhin cng c xc nh mt cch tng t.
Nu tn ti o hm ring hn hp ca hm phn b n chiu
n Fn ( x1 , x2 ,..., xn ; t1 ,t2 ,...,tn )

= f n ( x1 , x2 ,..., xn ; t1 ,t2 ,...,tn ) , (2.2.8)
x1x2 ...xn
th n c gi l mt phn b n chiu ca qu trnh ngu nhin.
Hm phn b v mt phn b cn tho mn iu kin i xng, tc l cn phi nh nhau vi mi
cch chn cc gi tr ca i s t1,...,tn.
Vi mi hon v i1, i2,...,in t cc s 1, 2,..., n, cc h thc sau y phi c thc hin:
Fn ( xi1 , xi2 ,..., xin ; ti1 ,ti2 ,...,tin ) = Fn ( x1 , x2 ,..., xn ; t1 ,t2 ,...,tn )
(2.2.9)
f n ( xi1 , xi2 ,..., xin ; ti1 ,ti2 ,...,tin ) = f n ( x1 , x2 ,..., xn ; t1 ,t2 ,...,tn ) (2.2.10)
Nh ch ra trong mc 1.7, t hm phn b v mt phn b ca h n i lng ngu nhin c th
nhn c hm phn b ca mi h con ca n. V vy, nu bit hm phn b hoc mt phn b n
chiu th cng chnh l cho trc tt c cc hm phn b v mt phn b bc thp hn.
c trng hm ngu nhin bng vic cho trc cc qui lut phn b nhiu chiu, phn ln trong ng
dng thc tin, l khng th, do tnh phc tp ca vic xc nh thc nghim cc qui lut phn b nhiu
chiu, cng nh do s cng knh, kh khn khi s dng gii cc bi ton ng dng.
V vy, thay cho cc qui lut phn b nhiu chiu, trong a s trng hp ngi ta gii hn bng cch
cho nhng c trng ring ca cc qui lut ny, tng t nh trong l thuyt i lng ngu nhin, thay
cho qui lut phn b ngi ta s dng cc c trng s ca chng.
2.3. CC C TRNG CA QU TRNH NGU NHIN

c trng cho qu trnh ngu nhin, cng nh cc i lng ngu nhin, ngi ta s dng cc
mmen phn b.
Mmen bc i1 + i2 + ... + in ca qu trnh ngu nhin l k vng ton hc ca tch cc lu tha tng
ng ca cc lt ct khc nhau ca qu trnh ngu nhin
mi1 ,i2 ,...,in ( t1 ,t2 ,...,t n ) = M
{[X ( t )]
1
i1
[X ( t2 )] i2 ...[X ( tn )] in }
(2.3.1)
Mmen bc nht:
51
m1 (t ) = M [X (t )] = mx (t )
(2.3.2)
l k vng ton hc ca qu trnh ngu nhin.
K vng ton hc ca qu trnh ngu nhin l mt hm khng ngu nhin mx (t ) m gi tr ca n vi
mi t bng k vng ton hc ca lt ct tng ng.
K vng ton hc mx (t ) hon ton xc nh bi quy lut phn b bc nht

+
mx ( t ) =
xf1( x; t )dx
(2.3.3)
Mmen gc bc hai c th c hai dng: mmen bc hai i vi cng mt lt ct ca qu trnh ngu

nhin
m2 ,0 ( t ) = M
{[X ( t )] }
2
(2.3.4)
v mmen hn hp bc hai i vi hai lt ct khc nhau
m1,1( t1 ,t2 ) = M [ X ( t1 ) X ( t2 )]
(2.3.5)
Mmen m2,0 ph thuc vo mt gi tr i s t, mmen hn hp m1,1 ph thuc vo hai gi tr t1 v

t2 ca i s t.
Bn cnh cc mmen gc, ngi ta cn xt cc mmen trung tm ca qu trnh ngu nhin.
Hiu gia qu trnh ngu nhin v k vng ca n
o
X ( t ) = X (t ) mx (t )
(2.3.6)
c gi l qu trnh ngu nhin qui tm.

Mmen trung tm ca qu trnh ngu nhin X (t ) l mmen gc bc tng ng ca qu trnh nhu
o
nhin qui tm X ( t )
Mmen trung tm bc nht bng khng
o
1 (t ) = M X (t ) = M [X (t ) mx (t )] = mx (t ) mx (t ) = 0 .
Mmen trung tm bc hai c dng:
o 2
2 ,0 ( t ) = M X ( t ) = M [X ( t ) mx ( t )]2

(2.3.7)
o
o
1,1( t1 ,t2 ) = M X ( t1 ) X ( t2 ) =
= M { [X ( t1 ) mx ( t1 )][X ( t2 ) mx ( t2 )] }
(2.3.8)
Mmen trung tm 2 ,0 ( t ) l hm ca i s t, vi mi gi tr t c nh, n l phng sai ca lt ct

tng ng ca qu trnh ngu nhin. Hm khng ngu nhin ca i s t ny
Dx (t ) = M
{[X ( t ) m ( t )] }
x
(2.3.9)
c gi l phng sai ca qu trnh ngu nhin.

Mmen trung tm 1,1( t1 ,t2 ) l hm ca hai i s t1 v t2, vi mi cp hai gi tr t1 v t2 , l
mmen quan h hay mmen tng quan gia cc lt ct tng ng ca qu trnh ngu nhin.
52
Hm khng ngu nhin ca hai i s t1 v t2
Rx ( t1 ,t2 ) = M { [X ( t1 ) mx ( t1 )][X ( t2 ) mx ( t2 )] }
(2.3.10)
c gi l hm tng quan ca qu trnh ngu nhin X(t).
R rng, khi t1 = t2 = t th Rx (t ,t ) = Dx (t ) , tc l vi cc gi tr ca i s nh nhau th hm tng

quan tr thnh phng sai.
Khi s dng qui lut phn b vi phn hai chiu ca hm ngu nhin, c th vit li hm tng quan
Rx ( t1 ,t2 ) :
+ +
Rx ( t1 ,t2 ) =
[x1 mx ( t1 )][x2 mx ( t2 )] f 2 ( x1 , x2 ; t1 ,t2 )dx1dx2
(2.3.11)
T nh ngha hm tng quan Rx ( t1 ,t2 ) thy rng, n i xng i vi cc i s
Rx ( t1 ,t2 ) = Rx ( t2 ,t1 )
(2.3.12)
Thay cho hm tng quan, c th s dng hm tng quan chun ho rx ( t1 ,t2 ) c xc nh di

dng
rx ( t1 ,t2 ) =
Rx ( t1 ,t2 )
,
x ( t1 ) x ( t2 )
(2.3.13)
trong x (t ) = Dx ( t ) c gi l lch bnh phng trung bnh ca hm ngu nhin.

Vi mi cp gi tr t1 v t2, hm tng quan chun ho rx ( t1 ,t2 ) l h s tng quan ca hai lt ct
tng ng ca hm ngu nhin.
Cho trc mmen bc nht v bc hai, tc l k vng ton hc v hm tng quan ca qu trnh ngu
nhin, m khng cho cc c trng y ca n, cng xc nh c hng lot tnh cht ca qu trnh
ngu nhin.
Ti mi gi tr c nh ca i s t, k vng ton hc mx (t ) xc nh tm phn b ca mi lt ct ca
qu trnh ngu nhin.

Hm tng quan Rx ( t1 ,t2 ) , tr thnh phng sai khi cc gi tr ca i s nh nhau t1 = t2 = t, c
trng cho tnh tn mt ca cc gi tr ngu nhin ca lt ct cho xung quanh tm phn phi.
Vi cc gi tr t1 v t2 khc nhau, hm tng quan c trng cho mc ph thuc tuyn tnh gia
mi cp cc lt ct ca qu trnh ngu nhin.
Do , khi gii quyt nhiu bi ton ng dng, ch cn bit hai mmen ny - k vng ton hc v hm
tng quan ca qu trnh ngu nhin, l .
Phn l thuyt hm ngu nhin da trn cc c trng ny c gi l l thuyt tng quan ca hm
ngu nhin.
i vi cc qu trnh ngu nhin phn b chun thng gp trong thc t, k vng ton hc v hm
tng quan l cc c trng bao qut ca qu trnh ngu nhin.
Qu trnh ngu nhin c gi l c phn b chun nu mi h cc lt ct X (t1 ), X (t2 ),..., X (tn ) ca
n u tun theo quy lut phn b chun ca h cc i lng ngu nhin.

Mt phn b ca h cc i lng ngu nhin phn b chun c xc nh duy nht bi cc k
vng ton hc v ma trn tng quan ca h i lng ngu nhin (xem mc 1.10).
V k vng ton hc ca cc lt ct ca qu trnh ngu nhin l tr s ca k vng ton hc mx (t ) ti
cc gi tr c nh ca i s t cn cc phn t ca ma trn tng quan l gi tr hm tng quan Rx ( t1 ,t2 )

53
khi c nh cp hai i s ca n, nn k vng ton hc v hm tng quan ca qu trnh ngu nhin hon
ton xc nh mi mt phn b n chiu ca qu trnh ngu nhin phn b chun.
Ngy nay, l thuyt hm ngu nhin c xy dng kh y v nh n c th gii quyt
hng lot bi ton ng dng quan trng. L thuyt tng quan cho php xc nh cu trc thng k ca cc
qu trnh v cc trng kh tng, thu vn, gii quyt cc bi ton d bo nhng qu trnh ny v nhiu
bi ton khc.
Trong thng k ton hc, khi xc nh k vng ton hc v cc mmen tng quan ca cc i lng
ngu nhin theo s liu thc nghim, theo nh lut s ln, thay cho cc gi tr ca chng l trung bnh
theo mi gi tr ca i lng ngu nhin
mx = M [ X ] =
Rxy = M ( X mx )( Y m y ) =
1 n
xi
n i =1
(2.3.14),
1 n
( xi mx )( yi m y ) (2.3.15)
n 1 i =1
y, n l s tr s ca i lng ngu nhin.

Vic ly trung bnh tng t theo tp hp tt c cc th hin c tin hnh khi xc nh k vng
ton hc v hm tng quan ca hm ngu nhin:
mx (t ) =
Rx ( t1 ,t2 ) =
1 n
xi ( t )
n i =1
(2.3.16),
1 n
[xi ( t1 ) mx ( t1 )][xi ( t2 ) mx ( t2 )]
n 1 i =1
(2.3.17)
trong , n l s lng cc th hin.

T , xc nh cc c trng ca hm ngu nhin, thay cho ton t ly k vng ton hc, trong
cc ti liu thng s dng ton t trung bnh ho c k hiu bi
mx (t ) = X ( t )
][
(2.3.18)
Rx ( t1 ,t2 ) = X ( t1 ) X ( t1 ) X ( t2 ) X ( t2 )
(2.3.19)
y, ng gch ngang pha trn mi i lng l k hiu ly trung bnh i lng ny theo tp hp tt
c cc th hin ca hm ngu nhin.
Ta hy xt xem cc c trng ca qu trnh ngu nhin thay i nh th no khi thm vo n mt
hm khng ngu nhin.
Gi s
Y (t ) = X (t ) + (t )
(2.3.20)
trong (t ) l hm khng ngu nhin.

Theo nh l cng k vng ton hc:
m y (t ) = mx (t ) + (t )
(2.3.21)
Ta hy xc nh hm tng quan ca qu trnh ngu nhin Y (t )
{[
][
]}
R y ( t1 ,t2 ) = M Y ( t1 ) m y ( t1 ) Y ( t2 ) m y ( t2 ) =
=M
54
{ [X ( t1 ) + ( t1 ) m y ( t1 ) ( t1 )][X ( t2 ) + ( t2 ) m y ( t2 ) ( t2 )] }=
(2.3.21)
= M { [X ( t1 ) m y ( t1 )][X ( t2 ) m y ( t2 )] } = Rx ( t1 ,t2 )
nh vy, r rng khi thm vo mt hng t khng ngu nhin, hm tng quan ca qu trnh ngu nhin
khng thay i.
S dng tnh cht ny, thng thng, thay cho chnh qu trnh ngu nhin ngi ta xt qu trnh ngu
nhin qui tm.
Khi nghin cu cc qu trnh kh tng thu vn, k vng ton hc nhn c bng cch trung bnh
ho theo mi th hin ca qu trnh ngu nhin, l chun kh hu ca qu trnh cho. c th l chun
trung bnh ngy, thng hoc nhiu nm, v.v., ph thuc vo tnh cht ca qu trnh nghin cu. S thay i
ca qu trnh c c trng bi lch ca th hin ca qu trnh so vi chun v gi l d thng.
iu quan tm ln nht khi nghin cu thng k cc qu trnh ngu nhin l c trng ca cc d
thng ny. Chng hn, trong d bo ta quan tm n lch ca yu t cn xt so vi chun, tc l yu t
s ln hn hay nh hn chun kh hu.
T , thng thng ngi ta xt cc qu trnh ngu nhin qui tm vi k vng ton hc bng 0. Khi
hm tng quan ca qu trnh qui tm trng vi hm tng quan ca qu trnh ban u.
2.4. H CC QU TRNH NGU NHIN. HM TNG QUAN QUAN H

Thng thng ta xt ng thi mt vi qu trnh ngu nhin. Khi , ngoi cc c trng ca mi qu
trnh ngu nhin, ch yu cn xem xt mi quan h gia cc qu trnh khc nhau.
Chng hn, khi nghin cu cc hin tng thi tit i hi phi xt ng thi mt lot cc qu trnh
ngu nhin, nh s thay i ca nhit khng kh, p sut, m, v.v...
Tng t nh h cc i lng ngu nhin, c th xt h n qu trnh ngu nhin nh l vect ngu
nhin n chiu ph thuc vo i s t, m mi mt qu trnh ngu nhin c xem l hnh chiu ca vect
ny trn trc to cho.
Do s cng knh v khng c kh nng ng dng thc t nn cc qui lut phn b nhiu chiu ca h
cc qu trnh ngu nhin s khng c m t, chng ta s gii hn hai mmen u tin m chng c
s dng trong l thuyt tng quan.
Mmen gc bc nht trng vi k vng ton hc cc qu trnh ngu nhin tng ng.
Mmen trung tm bc hai c th c hai dng. Dng th nht, c th xt mmen trung tm bc hai i
vi hai lt ct ca cng mt qu trnh ngu nhin, n s l hm tng quan ca mi qu trnh ngu nhin
ca h.
Dng th hai, c th xt mmen trung tm bc hai i vi mt lt ct tng ng vi gi tr i s t1
ca mt qu trnh ngu nhin ca h, cn lt ct ca qu trnh th hai tng ng vi gi tr i s t2.
Mmen trung tm ny c gi l hm tng quan quan h gia hai qu trnh ngu nhin cho.
Ngi ta cng cn dng tn khc, l hm tng quan ln nhau.
Xt h hai qu trnh ngu nhin X (t ) v Y (t ) . Trong l thuyt tng quan cc c trng ca n s l:
K vng ton hc mx (t ) v m y (t ) , hm tng quan Rx(t1,t2) v Ry(t1,t2), v hm tng quan quan h
Rxy (t1 ,t2 ) = M
{ [X ( t1 ) mx ( t1 )] [Y ( t2 ) m y ( t2 )] }
(2.4.1)
Hm tng quan quan h (2.4.1) c trng cho mc ph thuc tuyn tnh gia cc lt ct X (t1 ) v
Y (t2 ) . Khi t1 = t2, hm tng quan quan h s c trng cho mc ph thuc tuyn tnh ca cc lt ct
tng ng vi cng mt gi tr i s ca cc qu trnh ngu nhin X (t ) v Y (t ) .
Hm tng quan ca mi qu trnh ngu nhin c trng cho mc quan h gia cc lt ct ca
cng mt qu trnh, i khi cn c gi l hm t tng quan.
55
Hm tng quan quan h Rxy (t1 ,t2 ) khng i xng i vi cc i s ca chng, tuy nhin n c
tnh cht l khng thay i khi chuyn v ng thi c i s v ch s.
Thc vy, t (2.4.1) r rng:
Rxy (t1 ,t2 ) = R yx (t2 ,t1 )
(2.4.2)
D rng chng minh c rng hm tng quan quan h khng thay i khi thm vo mi hm ngu
nhin cc hng t khng ngu nhin, cho nn c th tnh n khi s dng hm ngu nhin qui tm.
Khi c nh cc gi tr i s t1 v t2 th Rxy (t1 ,t2 ) l mmen quan h gia hai i lng ngu nhin
X (t1 ) v Y (t2 ) , v vy
Rxy ( t1 ,t2 ) x ( t1 ) y ( t2 )
(2.4.3)
Thay cho hm tng quan quan h ta xt i lng v th nguyn, gi l hm tng quan quan h
chun ho.
rxy ( t1 ,t2 ) =
Rxy ( t1 ,t2 )
(2.4.4)
x ( t1 ) y ( t2 )
Theo (2.4.3)
rxy ( t1 ,t 2 ) 1
(2.4.5)
Khi c nh cc gi tr t1 v t2, hm tng quan quan h chun ho rxy ( t1 ,t2 ) l h s tng quan ca
cc i lng ngu nhin X (t1 ) v Y (t2 ) .
Nu hm tng quan quan h ng nht bng khng th cc qu trnh ngu nhin c gi l khng
lin h hay khng tng quan.
Cng nh i vi i lng ngu nhin, iu kin khng tng quan l iu kin cn nhng khng
phi l iu kin cc qu trnh ngu nhin c lp. N ch c trng cho s khng ph thuc tuyn
tnh gia chng.
Nu c h n qu trnh ngu nhin X 1 (t ), X 2 (t ),..., X n (t ) th, c trng cho h ny, trong l thuyt
n( n 1)
hm
2
tng quan quan h Rxi x j ( t1 ,t2 ) . Do (2.4.2), ch cn cho cc hm tng quan quan h i vi cc cp ch
tng quan cn phi cho n k vng ton hc mxi ( t ) , n hm tng quan Rxi ( t1 ,t2 ) v
s xi, xj, vi i < j l , v
Rxi x j ( t1 ,t2 ) = Rx j xi ( t2 ,t1 )
(2.4.6)
Xt trng hp khi qu trnh ngu nhin Z (t ) l tng ca hai qu trnh ngu nhin khc X (t ) v
Y (t ) ,
Z (t ) = X (t ) + Y (t )
(2.4.7)
Ta tm k vng v hm tng quan ca qu trnh ngu nhin Z (t ) .

Vi mi gi tr t c nh, theo tnh cht k vng ca tng cc i lng ngu nhin, ta nhn c
mz (t ) = mx (t ) + m y (t )
(2.4.8)
Tnh hm tng quan Rz (t1 ,t2 )
Z ( t ) = Z ( t ) mz ( t ) = [ X ( t ) mx ( t )] + Y ( t ) m y ( t ) = X ( t ) + Y ( t ) . (2.4.9)
T
56
o
o
o
o
o
Rz ( t1 ,t2 ) = M Z ( t1 ) Z ( t2 ) = M X ( t1 ) + Y ( t1 ) X ( t2 ) + Y ( t2 ) =
o
o
o
o
o
= M X ( t1 ) X ( t2 ) + M Y ( t1 )Y ( t 2 ) + M X ( t1 )Y ( t 2 ) + M Y ( t1 ) X ( t 2 )
= Rx ( t1 ,t 2 ) + R y ( t1 ,t2 ) + Rxy ( t1 ,t2 ) + R yx ( t1 ,t 2 )
(2.4.10)
Nh vy, xc nh k vng ton hc ca tng hai qu trnh ngu nhin cn bit k vng ton hc
ca c hai qu trnh.
xc nh hm tng quan ca tng hai qu trnh ngu nhin cn bit hm tng quan ca mi qu
trnh thnh phn v hm tng quan quan h ca cc qu trnh . Trong trng hp khi cc qu trnh ngu
nhin X (t ) v Y (t ) khng lin h, Rxy ( t1 ,t2 ) = 0 , R yx ( t1 ,t2 ) = 0 th (2.4.10) c dng
Rz ( t1 ,t2 ) = Rx ( t1 ,t2 ) + R y ( t1 ,t2 )
(2.4.11)
Cc cng thc ny c th c tng qut ho cho trng hp tng ca n hng t

n
Z (t ) = X i ( t )
(2.4.12)
i =1
khi
n
m z ( t ) = m xi ( t )
(2.4.13)
i =1
i =1
i< j
Rz ( t1 ,t2 ) = Rxi ( t1 ,t2 ) + Rxi x j ( t1 ,t2 )
(2.4.14)
Trong trng hp tt c cc qu trnh ngu nhin i mt khng lin h ta c

n
Rz ( t1 ,t2 ) = Rxi ( t1 ,t2 ) .
(2.4.15)
i =1
Khi cng hm ngu nhin X (t ) vi i lng ngu nhin Y, ta c th xt i lng ngu nhin ny
nh l hm ngu nhin khng thay i theo i s t.
Trong trng hp ny m y (t ) = m y , cn R y ( t1 ,t2 ) = R y ( t ,t ) = D y . Khi cng thc (2.4.8) c
vit li di dng
mz (t ) = mx (t ) + m y .
(2.4.16)
Khi hm ngu nhin X (t ) khng lin h vi i lng ngu nhin Y, cng thc (2.4.10) c vit li
di dng
Rz ( t1 ,t2 ) = Rx ( t1 ,t2 ) + D y ,
(2.4.17)
2.5. QU TRNH NGU NHIN DNG

Cc qu trnh ngu nhin m nhng tnh cht thng k ca chng trn thc t khng thay i theo i
s l nhng qu trnh n gin nht cho vic nghin cu v m t thng k. Cc qu trnh nh vy c
gi l dng.
Thut ng dng xut hin khi nghin cu cc hm ngu nhin thi gian v c trng cho cc tnh
cht ca chng khng thay i theo thi gian. i vi cc qu trnh ngu nhin m i s ca chng khng
phi thi gian m l bin khc, chng hn, khong cch, thut ng ng nht l t nhin hn. Tuy nhin,
57
thut ng dng c tha nhn i vi hm ngu nhin mt bin khng ph thuc vo tnh cht ca bin
ny.
Thut ng ng nht c p dng cho trng ngu nhin, khi c trng cho tnh cht ng nht ca
chng trong khng gian, cn tnh dng ca trng c hiu l cc tnh cht thng k ca n khng thay
i theo thi gian. Ta s nh ngha chnh xc hn khi nim dng.
Qu trnh ngu nhin X (t ) c gi l dng nu tt c cc qui lut phn b hu hn chiu ca n
khng thay i khi thm vo mi gi tr ca i s vi cng mt s, tc l nu tt c chng ch ph thuc

vo s sp xp cc gi tr ca i s vi nhau m khng ph thuc vo chnh cc gi tr ny.
Nh vy, qu trnh ngu nhin X (t ) l dng nu vi mi n v mi to, ng thc sau y c thc
hin
f n ( x1 , x2 ,..., xn ; t1 ,t2 ,...,tn ) =

= f n ( x1 , x2 ,..., xn ; t1 + to ,t2 + to ,...,tn + to )
(2.5.1)
Do , mt phn b l bt bin i vi php dch chuyn gc tnh ca i s t.
C th, i vi mt phn b mt chiu f1 (x; t ) ca qu trnh ngu nhin dng, khi t to = t ta
nhn c
f1 (x; t ) = f1 ( x; t t ) = f (x;0) = f1 (x )
(2.5.2)
tc l mt phn b mt chiu khng ph thuc vo t, n nh nhau i vi mi lt ct ca qu trnh ngu

nhin.
Khi to = t1 mt phn b hai chiu c a v di dng
f 2 (x1 , x2 ; t1 ,t2 ) = f 2 (x1 , x2 ;0,t 2 t1 ) =
= f 2 ( x1 , x2 ; t 2 t1 ) = f 2 (x1 , x2 ; )
(2.5.3)
tc l mt phn b hai chiu ph thuc vo khng phi c hai i s t1, t2 m ch ph thuc vo mt i

s l hiu ca chng = t2 t1. T , theo (2.5.2), i vi qu trnh ngu nhin dng ta nhn c
mx (t ) =
xf1( x )dx = mx = const
(2.5.4)
ngha l k vng ton hc ca qu trnh ngu nhin dng khng ph thuc vo i s t v l mt i lng
khng i.
Theo (2.5.3) v (2.5.4),
+ +
Rx ( t1 ,t2 ) =
( x1 mx )( x2 mx ) f 2 ( x1 , x2 ; )dx1dx2 = Rx ( )
(2.5.5)
Nh vy, hm tng quan ca qu trnh ngu nhin dng l hm ch ca mt i s = t2 t1.

Cc iu kin (2.5.4) v (2.5.5) c thc hin i vi mi qu trnh dng, nh vy l nhng iu
kin cn ca tnh dng. Tuy nhin, chng khng phi l iu kin i vi qu trnh dng, c ngha l
iu kin cha m bo thc hin iu kin (2.5.1) khi n 3.
Trong l thuyt tng quan ca hm ngu nhin, ngi ta khng s dng qui lut phn b nhiu
chiu m ch s dng hai mmen phn b u tin, khi vic thc hin cc iu kin (2.5.4) v (2.5.5) l
iu ht sc ct yu, n lm n gin ho rt nhiu vic m t cc qu trnh ngu nhin v gii quyt c
nhiu bi ton.
V vy, trong l thuyt tng quan, ngi ta tch ra lp cc qu trnh ngu nhin m cc iu kin
(2.5.4) v (2.5.5) c tho mn, tc l i vi chng k vng ton hc l i lng khng i, cn hm
tng quan l hm ch ca mt i s.
58
Cc qu trnh nh vy c gi l dng theo ngha rng. Sau ny, khi nghin cu l thuyt tng
quan hm ngu nhin, nu ni n tnh dng ta s hm l dng theo ngha rng.
i vi cc qu trnh ngu nhin c phn b chun, tnh dng theo ngha rng tng ng vi tnh
dng theo ngha hp, v tt c cc mt phn b n chiu trong trng hp ny hon ton c xc nh
bi k vng ton hc v hm tng quan ca qu trnh ngu nhin. V do , s khng ph thuc ca k
vng v hm tng quan vo vic chn gc tnh ca i s t dn n tnh bt bin ca mt phn b n
chiu ca qu trnh ngu nhin c phn b chun.
T tnh cht i xng ca hm tng quan (2.3.12) suy ra
Rx ( ) = Rx ( )
(2.5.6)
tc l hm tng quan ca qu trnh ngu nhin dng l hm chn. T cng c th ni hm tng quan
ch ph thuc vo gi tr tuyt i ca hiu t2 t1, tc l xem = t2 t1 .
i vi qu trnh ngu nhin dng X (t ) , phng sai
Dx (t ) = Rx (t ,t ) = Rx (0 ) ,
(2.5.7)
tc phng sai cng l mt i lng khng i, khng ph thuc vo i s t. N nhn c t hm

tng quan Rx ( ) khi = 0.
Theo (2.3.12), hm tng quan chun ho ca qu trnh dng c xc nh di dng
rx ( ) =
Rx ( ) R x ( )
=
Dx
Rx ( 0 )
(2.5.8)
Rx ( 0 )
=1
Rx ( 0 )
(2.5.9)
c bit
rx ( 0 ) =
Ta hy xt h cc qu trnh ngu nhin X 1 (t ), X 2 (t ),..., X n (t ) . H ny c gi l dng theo ngha
rng nu mi mt qu trnh ngu nhin X i (t ) l dng theo ngha rng, ngoi ra, cc hm tng quan quan
h Rxi x j ( t1 ,t2 ) l hm ch ca mt i s = t2 t1, tc l
Rxi x j ( t1 ,t2 ) = Rxi x j ( ) .
(2.5.10)
H nh vy cng cn c gi l dng v lin h dng.

i vi h nh vy, t tnh cht ca hm tng quan quan h (2.4.2) ta c
R xi x j ( ) = R xi x j ( )
(2.5.11)
T nhng iu trnh by ta thy rng, tnh dng ca hm ngu nhin lm n gin i mt cch
ng k vic m t thng k n. Trong khun kh l thuyt tng quan iu cho php vch ra cc
phng php ton hc kh hu hiu gii quyt cc vn bin i hm ngu nhin dng v d bo
chng,...
i vi cc hm khng dng, vic gii quyt cc vn gp rt nhiu kh khn. V vy, trc khi
xt bt k mt hm ngu nhin no xy ra trong thc t, ta phi xt trn quan im c th cho rng n l
dng.
i vi cc qu trnh xy ra trong kh quyn v thu quyn, gi thit v tnh dng ca chng c
tho mn tng i tt trong khong thi gian hoc khong cch khng ln. Khi tng khong thay i ca
i s, tnh dng b ph hu. Khi , do bin trnh ngy (nm) ca cc yu t kh tng v cc nhn t h
thng khc, m dn n vic k vng ton hc thay i theo s thay i ca i s. V vy nhiu khi tnh
59
dng theo ngha hm tng quan khng ph thuc vo gc tnh ton, trn thc t, vn c bo ton, nu
khng chnh xc th cng l xp x cho php no .
Trong trng hp ny, thay cho chnh qu trnh ngu nhin, hp l hn ta xt qu trnh ngu nhin
qui tm, tc l lch ca n khi k vng ton hc
o
X ( t ) = X ( t ) mx ( t )
Khi , c th xem qu trnh ngu nhin qui tm l dng vi k vng ton hc khng i bng 0.
Hm tng quan ca qu trnh ngu nhin qui tm v qu trnh ngu nhin ban u trng nhau nh ch
ra trong mc 2.3.
Khi nghin cu cu trc thng k cc qu trnh kh quyn v thu quyn, thng thng nht l cc
qu trnh ngu nhin dng c hm tng quan c xp x bi cc dng hm sau y:
1) R( ) = 2 e
, > 0
(hnh 2.2)
2) R( ) = 2e , > 0
(hnh 2.3)
3) R( ) = 2e
cos , > 0
(hnh 2.4)
4) R( ) = 2e cos , > 0
2
5) R( ) = 2e
(hnh 2.5)
cos + sin , > 0, > 0
2

1
6) R() = o
(hnh 2.6)
khi o
(hnh 2.7)
khi > o
Cc hnh sau biu din th cc hm tng quan i vi > 0. Do tnh chn ca cc hm ny, ta s
c tng ng cc ng cong i xng i vi trc tung.
T cc hnh 2.2, 2.3, 2.7 ta thy rng gi tr ca hm tng quan gim khi tng, tc l mi lin h
tng quan gia cc lt ct ca hm ngu nhin gim theo s tng ca khong cch gia chng.
Cc ng cong trn hnh 2.4 v 2.5 c dng dao ng iu ho vi bin gim dn. Dng cc
ng cong ny ni ln tnh c chu k trong cu trc ca hm ngu nhin. Vic nhn c cc gi tr m
ca R( ) trn khong bin i ca ch ra mi quan h nghch bin gia cc lt ct ca hm ngu nhin,
tc l lch khi k vng ton hc lt ct ny dng tng ng vi lch m lt ct khc.
Hnh 2.2
60
Hnh 2.3
Hnh 2.4
Hnh 2.5
Hnh 2.6
Hnh 2.7
Hnh 2.8
i vi tt c cc trng hp nu, hm tng quan dn ti khng khi dn ti v hn. Thc t,

tnh cht ny thng c tho mn i vi tt c cc hm ngu nhin thng gp trong kh tng thu
vn.
Ngoi tr trng hp khi m trong cu trc ca hm ngu nhin c thnh phn l mt i lng ngu
nhin khng i. Trong trng hp ny hm tng quan s cha mt hng t l hng s, bng phng sai
ca i lng ngu nhin ny. Khi th R( ) s dn n phng sai ny. V d nh, i vi trng
hp 3 th s c dng nh trn hnh 2.8.
Mt vn xut hin l, c phi mi hm chn u c th l hm tng quan ca qu trnh ngu
nhin dng hay khng ?
Hm f (t ) m i vi n bt ng thc sau y ng i vi mi n s thc a1 , a2 ,..., an v mi gi tr
ca i s t1 ,t 2 ,...,t n c gi l xc nh dng:
n
ai a j f ( ti t j ) 0
(2.5.12)
i =1 j =1
Ta xt tng kiu nh vy i vi hm tng quan Rx ( )

n n
o
o
a
a
R
(
t
t
)
=
M
X
(
t
)
X
i j x i j i ( t j ) ai a j =
i =1 j =1
i =1 j =1
n
2
n
o

= M ai X ( ti ) 0

i =1
(2.5.13)
61
Tng (2.5.13) khng m ging nh k vng ton hc ca i lng khng m. Do , hm tng

quan l xc nh dng. T thy rng, mt hm ch c th l hm tng quan ca qu trnh ngu nhin
dng khi n xc nh dng.
iu ngc li cng ng v mi hm xc nh dng l hm tng quan i vi mt qu trnh ngu
nhin dng no .
C th ch ra rng, tt c cc hm c xt trn cc hnh 2.22.7 u xc nh dng.
i vi hm t tng quan, nh chng ta thy, gi tr cc i bng phng sai ca qu trnh ngu
nhin t c khi = 0.
i vi hm tng quan quan h ca hai qu trnh ngu nhin, iu khng phi lun lun xy ra.
Thc vy, nh hng ca mt qu trnh ln qu trnh khc c th xy ra vi tr no . Chng hn, s
nung nng tng bnh lu do bc x mt tri ch xy ra sau mt thi gian no . Trong trng hp ny,
gi tr ca mmen quan h gia cc lt ct ca cc qu trnh ny sau khong thi gian , ln hn so vi
mmen quan h gia cc lt ct ti cng thi im ca cc qu trnh . S tr ny c th l nguyn nhn
ca tnh khng i xng ca hm tng quan quan h i vi i s , tc l
Rxy ( ) Rxy ( ) .
2.6. TNH EGODIC CA QU TRNH NGU NHIN DNG

Cho n nay chng ta xc nh c cc c trng ca hm ngu nhin, nh k vng ton hc v
hm tng quan, bng cch ly trung bnh theo tp hp tt c cc th hin. Tuy nhin c th c phng
php ly trung bnh khc nu chng ta c mt th hin vi di ln. Nu mi lin h gia cc lt ct
khc nhau ca qu trnh ngu nhin gim nhanh th c th xem cc phn ca th hin khng ph thuc ln
nhau v c th xt chng nh l tp hp cc th hin. ng nhin, ch c th xt phng php ny i vi
hm ngu nhin dng, v i vi hm khng dng cc tnh cht thng k thay i theo i s, v cc on
ring bit ca th hin khng th xem l nhng th hin khc nhau nh kt qu ca cc ln th nghim
trong cng nhng iu kin nh nhau.
i vi qu trnh ngu nhin dng, k vng ton hc (gi tr trung bnh) khng ph thuc vo i s,
v vy c th xc nh gi tr ca n nh l trung bnh s hc ca tt c cc gi tr ca th hin cho m
khng cn chia th hin thnh cc phn ring bit. Trong trng hp ny k vng ton hc c xc nh
bi cng thc
mx =
1
x( t )dt
T 0
(2.6.1)
trong T l khong ly trung bnh.
Tng t, hm tng quan Rx ( ) cng c xc nh nh l trung bnh s hc ca tch
[x( t ) mx ][x( t + ) mx ]
theo tt c cc gi tr ca th hin cho bng cng thc
Rx ( ) =
1
T
[x( t ) mx ][x( t + ) mx ]dt
(2.6.2)
Mt vn xut hin l cc gi tr ny c tim cn vi gi tr tng ng nhn c bng cch ly

trung bnh trn ton tp hp hay khng ? Cu tr li l iu s xy ra khng phi i vi mi hm dng.
Ngi ta ni rng, hm ngu nhin c tnh egodic l hm m i vi n, cc c trng nhn c
bng cch ly trung bnh theo mt th hin c th tin dn n cc c trng tng ng nhn c bng
vic ly trung bnh theo tp tt c cc th hin vi xc sut tu gn bng n v khi tng khong ly trung
62
bnh T. Cc hm ngu nhin c tnh egodic l cc hm m mi th hin ca chng c cng mt s tnh cht
thng k. Nu cc th hin ring bit c nhng c tnh ca mnh, v d nh dao ng xung quanh cc gi
tr trung bnh khc nhau, th gi tr trung bnh nhn c theo mt th hin c th khc nhiu so vi trung
bnh theo tp hp tt c cc th hin.
iu kin ton hc ca tnh egodic ca hm ngu nhin dng c pht biu.
C th l hm tng quan Rx ( ) tin n khng khi tin n v hn i vi k vng ton hc l
iu kin cho tnh egodic. iu kin ny thng tho mn i vi mi hm ngu nhin gp trong thc
t. Tuy nhin, n s khng c thc hin nu trong thnh phn ca hm ngu nhin c cha mt i
lng ngu nhin no nh l mt hng s cng.
Thc vy, gi s hm ngu nhin Z (t ) l tng ca qu trnh ngu nhin dng X (t ) v mt i lng
ngu nhin c k vng ton hc bng 0 khng lin h vi n. Khi , theo (2.4.17), xy ra ng thc sau:
Rx ( ) = Rx ( ) + D y ,
v Rz ( ) s khng tin ti 0, m tin ti mt s dng D y no khi , thm ch c khi iu kin
lim Rx ( ) = 0 c tho mn.
Trong trng hp ny, theo (2.4.16), ta c
mz (t ) = mx (t ) + m y = m x (t ) .
(2.6.3)
Mi mt th hin zi (t ) , ti mi gi tr i s t, s cha mt hng s cng bng gi tr yi ca i lng

ngu nhin Y , tc l
zi ( t ) = xi ( t ) + yi
(2.6.4)
v vy, gi tr trung bnh nhn c bng vic ly trung bnh theo th hin ny bng
mz = mx + yi
(2.6.5)
s khc vi gi tr thc mz mt i lng yi.

Khi xc nh cc c trng ca qu trnh ngu nhin c tnh egodic theo mt th hin th di ca
khong ly trung bnh ht sc quan trng. V cc c trng nhn c bng vic trung bnh ho theo mt
th hin gn nh trng vi cc c trng thng k thc ca chng ch khi khong ly trung bnh tng ln
v hn, nn khi ch quan trc trong mt khong nh ca i s thay i, c th s nhn c cc c trng
cn tm vi sai s ln khng cho php.
Taylor [33] ch ra rng, i vi phng sai ca hiu gia gi tr thc ca k vng ton hc ca qu
trnh ngu nhin X (t ) c dng ni v gi tr nhn c bng cch ly trung bnh theo mt th hin vi
T ln, cng thc xp x sau y l ng
D2
T1
Rx ( 0 ) ,
T
(2.6.6)
trong T l khong ly trung bnh, cn T1 l i lng, gi l thi gian tng quan, c xc nh theo
cng thc
T1 =
1
Rx ( )d .
Rx ( 0 ) 0
(2.6.7)
Nh vy, xc nh chc chn cc c trng cn tm, cn phi ly khong trung bnh ho ln hn

nhiu ln so vi thi gian tng quan T1.
63
iu kin egodic i vi hm tng quan c pht biu phc tp hn. Trn thc t, thng thng
khng kim tra c s tho mn ca chng, v vy ngi ta thng phn on tnh egodic xut pht t
bn cht vt l ca qu trnh.
Tnh egodic c ngha thc t ln, v nh n vic xc nh cc c trng thng k khng i hi phi
c s th hin ln. Khi nghin cu cu trc thng k cc yu t kh tng, hon ton khng phi lc no
cng c th thc hin c vic lp li cc th nghim nhiu ln trong nhng iu kin nh nhau.
Cn mt iu phc tp na trong thu vn, v d nh s liu dng chy nm ca sng c th ch l
mt th hin.
Nu c mt vi th hin di nh nhau, l kt qu ca cc ln th nghim trong cng mt iu kin,
th khi s dng tnh egodic, c th nhn c cc c trng thng k bng cch ly trung bnh theo mi th
hin, v sau ly gi tr trung bnh s hc ca chng s c gi tr cn tm. Nu di cc th hin khc
nhau th cn phi tin hnh ly trung bnh c trng s i vi mi th hin.
2.7. HM CU TRC
c trng cho qu trnh ngu nhin dng, bn cnh hm tng quan ngi ta cn xt hm cu trc
B() m n c xc nh bi k vng ton hc ca bnh phng hiu cc lt ct ca qu trnh ngu nhin
tng ng vi cc gi tr ca i s t v t+
Bx ( ) = M
{[X ( t + ) X ( t )] }
2
(2.7.1)
T nh ngha thy rng, hm cu trc khng m, Bx ( ) 0 .

C th biu din hm cu trc qua hm tng quan
{
}
= M {[X ( t + ) m ] }+ M { [X ( t ) m ] }
Bx () = M [( X ( t + ) mx ) ( X ( t ) mx )]2 =
x
2 M { [X ( t + ) mx ][X ( t ) mx ] } =
= 2[Rx (0) Rx ( )] .(2.7.2)
T (2.7.2) v tnh cht ca hm tng quan ta nhn c:

Bx (0) = 0 ,
Bx ( ) = Bx ()
(2.7.3)
(2.7.4)
tc l hm cu trc ca qu trnh ngu nhin dng l hm chn.

i vi qu trnh ngu nhin, nu tho mn iu kin
lim Rx ( ) = 0
(2.7.5)
th t (2.7.2) ta c
lim Bx ( ) = 2 Rx ( 0 ) = 2 2x
K hiu lim Bx ( ) = Bx ( ) , khi (2.7.5) tho mn ta vit li (2.7.2) di dng
Bx ( ) = Bx ( ) 2 Rx ( ) ,
t c th biu din hm tng quan qua hm cu trc
1
Rx ( ) = [Bx ( ) Bx ( )]
2
(2.7.6)
(2.7.7)
Nh vy vi iu kin (2.7.5), m trn thc t n thng tho mn, khi bit hm cu trc trn khong
v hn ca i s, ta c th xc nh c hm tng quan theo hm cu trc.
64
Thc t ta khng bao gi c bn ghi th hin ca qu trnh ngu nhin trn khong v hn. Tuy nhin
trong nhiu trng hp, hm cu trc t kh nhanh n gi tr m khi tng hn na khong , gi tr ny
thay i cng khng ng k.
Gi tr c xem l Bx ( ) , i khi n c gi l gi tr bo ho ca hm cu trc. Gia hm
cu trc v hm tng quan xy ra h thc
Rx ( ) +
1
Bx ( ) = 2x
2
(2.7.8)
Trn hnh 2.9 minh ho h thc ny i vi qu trnh ngu nhin dng c hm tng quan (hnh 2.2)
l
Rx ( ) = 2 e
V hm cu trc c biu din qua hm tng quan nn i vi qu trnh ngu nhin dng c tnh
egodic, hm cu trc cng c th c xc nh theo mt th hin c di ln bng cng thc:
Bx ( ) =
1
T
[x( t + ) x( t )] dt
2
(2.7.9)
Nu hm ngu nhin l dng v c s th hin ln m bo m t c cc tnh cht ca n mt

cch chc chn trn tt c cc khong bin i ca i s, th c th xc nh hm tng quan trc tip
theo cc s liu thc nghim.
Tuy nhin trong nhiu trng hp, tt hn c nn s dng hm cu trc.
Hnh 2.9
Tnh dng ca cc qu trnh kh tng thc thng mang tnh cht a phng, n ch c bo ton
trn khong thay i khng ln lm ca i s.
Khi nghin cu cu trc qui m va, v c bit l qui m ln, ca cc qu trnh ny, tnh dng (ng
nht) ca chng ch c th c chp nhn vi mc gn ng nht nh. Khi , k vng ton hc ca
hm ngu nhin khng phi l hng s. Vic xc nh hm tng quan i vi cc qu trnh nh vy c th
mc phi sai s ln khi gi tr ca i s nh.
Nhng bin i chm chp ca chnh qu trnh khng nh hng n hm cu trc khi ln ca
hiu cc gi tr i s t nh. V vy, tnh khng ng nht ca cc nhiu ng sng di khng nh hng r
rt n chnh xc ca vic tnh B( ) khi gi tr nh. Ni chung, nhng sai s h thng, m chng bo
ton gi tr ca mnh trong sut chu k di ln hn , khng nh hng n i lng Bx ( ) , v chng b

kh b khi tnh hiu x(t+) x(t).
Nu khng s dng trung bnh thng k thc m s dng trung bnh theo th hin, tc l li xy ra sai
s h thng, th vic s dng hm cu trc s tt hn khi x l theo mt th hin. Hm cu trc c tnh
theo cc th hin ring bit khng cha sai s h thng ny v khi tnh ton ngi ta khng dng gi tr
65
trung bnh theo th hin. y l trng hp vic chnh l c tin hnh theo tp hp thng k trn mt s
cc th hin khng ln lm.
Nh vy trong nhiu trng hp, vic s dng hm cu trc cho php lm gim nh hng ca tnh
khng ng nht ca qu trnh v sai s h thng n chnh xc ca cc c trng ca hm ngu nhin
c tnh ton theo s liu thc nghim.
Tuy nhin, nhng u vit ca hm cu trc l ng k ch khi gi tr ca tham s nh. Khi tnh hm
tng quan qua hm cu trc, trc ht chnh xc khng tng ln, v tt c sai s nm trong gi tr bo
ho ca hm cu trc.
2.8. GII HN CA QU TRNH NGU NHIN

Ta nh ngha khi nim gii hn ca qu trnh ngu nhin X (t ) khi i s t dn ti gi tr to no .
Nu f ( t ) l hm khng ngu nhin th, nh bit, s A c gi l gii hn ca hm f ( t ) khi
t to , nu vi mi > 0 tn ti mt s > 0 sao cho vi mi t m t to < , th bt ng thc

f ( t ) A < tho mn. iu ny c ngha rng i vi mi t gn to , nhng gi tr tng ng ca
f ( t ) s gn vi A tu .
i vi hm ngu nhin, mt i lng ngu nhin no m chui cc lt ct ca hm ngu nhin
s hi t ti khi t tin ti to , s l gii hn. Khi c th ni v s tin dn ca mt i lng ngu
nhin n mt i lng ngu nhin khc ch l v trung bnh theo tt c cc gi tr ca chng.
Ta s xem rng i lng ngu nhin Y l gii hn ca hm ngu nhin X (t ) khi t to nu gii hn
ca k vng ton hc ca bnh phng hiu ca chng tin ti khng
lim M
t t o
{[X ( t ) Y ] }= 0
2
(2.8.1)
y gii hn cng c hiu theo ngha thng thng, v k vng ton hc l hm khng ngu
nhin. Nh vy, ta s gi i lng ngu nhin Y l gii hn ca hm ngu nhin X (t ) khi t tin ti to nu
vi mi > 0 tm c mt > 0 sao cho vi mi gi tr t m t to < , bt ng thc
{[X ( t ) Y ] }< tho mn. Vy ngi ta gi gii hn va nh ngha l gii hn theo ngha bnh
2
phng trung bnh.

Nhiu khi phn bit gii hn ca hm ngu nhin, c hiu l gii hn bnh phng trung bnh,
vi gii hn thng thng ca hm khng ngu nhin, ngi ta k hiu l.i.m. X ( t ) . Sau ny chng ta s
t t o
s dng k hiu lim thng thng, nhng hiu theo ngha nu trn.
Ta s gi hm ngu nhin X (t ) l lin tc ti im t0 nu gii hn ca n khi t to l lt ct
X ( to ) , ngha l lim X ( t ) = X ( to ) , tng ng vi vic xy ra ng thc

t t o
lim M
t t o
{[X ( t ) X ( t )] }= 0
o
(2.8.2)
2.9. O HM CA HM NGU NHIN

Ta ni rng qu trnh ngu nhin X (t ) kh vi ti im to nu tn ti mt i lng ngu nhin
Y ( to ) sao cho
lim
t 0
66
X ( to + t ) X ( to )
= Y ( to )
t
(2.9.1)
Theo nh ngha gii hn ca hm ngu nhin, iu ny c ngha l vi mi > 0 s tm c mt

> 0 sao cho vi t < , bt ng thc sau tho mn:
2
X ( t + t ) X ( t )

o
o
M
= Y ( to ) <
t

(2.9.2)
i lng ngu nhin Y ( to ) gi l o hm ca qu trnh ngu nhin X (t ) ti im t0 v c k

hiu bng
Y ( to ) =
dX ( t )
dt
t =to
(2.9.3)
Nu qu trnh ngu nhin kh vi ti mi gi tr t ca khong no , th o hm Y ( t ) =
dX ( t )
cng
dt
s l qu trnh ngu nhin ca i s t.

nh ngha ny v o hm ca hm ngu nhin tng t nh nh ngha v o hm ca hm khng
ngu nhin, ch khc l gii hn c hiu nh gii hn bnh phng trung bnh.
Gi s hm ngu nhin X (t ) c k vng ton hc mx ( t ) v hm tng quan Rx ( t1 ,t2 ) . Ta s xc
nh k vng ton hc m y ( t ) v hm tng quan R y ( t1 ,t2 ) ca o hm Y ( t ) =
dX ( t )
:
dt
X ( t + t ) X ( t )
m y ( t ) = M [Y ( t )] = M lim
=
t
t 0
mx ( t + t ) mx ( t ) dmx ( t )
X ( t + t ) X ( t )
=
.
= lim M
= lim
t
t 0
0
t
dt
t
(3.9.4)
Nh vy, k vng ton hc ca o hm ca hm ngu nhin bng o hm ca k vng ton hc ca

hm ngu nhin .
Ta xc nh R y ( t1 ,t2 ) :
o
o
R y ( t1 ,t 2 ) = M Y ( t1 ) Y ( t 2 ) ;
(2.9.5)
Y( t ) = Y( t ) my ( t ) =
m ( t + t ) m x ( t )
X ( t + t ) X ( t )
lim x
=
t 0
t
t
= lim
t 0
= lim
t 0
[X ( t + t ) mx ( t + t )] [X ( t ) mx ( t )] =
X ( t + t ) X ( t ) d X ( t )
= lim
=
t 0
dt
t
(2.9.6)
Th (2.9.6) vo (2.9.5), ta nhn c

o
o
o
o
X ( t1 + t1 ) X ( t1 )
X ( t 2 + t 2 ) X ( t 2 )
R y ( t1 ,t2 ) = M lim
lim
=
t 2 0
t1
t2
t1 0
= lim
t1 0
t 2 0
1
{ [Rx ( t1 + t1 ,t2 + t2 ) Rx ( t1 + t1 ,t2 )]
t1t2
67
[Rx ( t1 ,t2 + t2 ) Rx ( t1 ,t2 )] } =
1 Rx ( t1 + t1 ,t2 ) Rx ( t1 ,t2 ) 2 Rx ( t1 ,t2 )

(2.9.7)
t1 0 t1
t1t2
t2
t2
= lim
Nh vy, hm tng quan ca o hm ca hm ngu nhin bng o hm hn hp cp hai ca hm

tng quan ca chnh hm ngu nhin.
Ta s xt php tnh o hm i vi qu trnh ngu nhin dng X (t ) . Trong trng hp ny k vng
ton hc mx l hng s, do
dmx
= 0,
dt
(2.9.8)
tc l k vng ton hc ca o hm ca qu trnh ngu nhin dng bng khng.

Hm tng quan l hm mt i s Rx ( ), = t2 t1 , t
R y ( t1 ,t2 ) =
2 Rx ( ) Rx ( )
=
=
t1t2
t2 t1
dRx ( )
d 2 Rx ( )
,
=
t2 d
d 2
(2.9.9)
tc l hm tng quan ca o hm ca qu trnh ngu nhin dng bng o hm cp hai ly ngc du

ca hm tng quan mt i s ca chnh qu trnh ngu nhin .
T thy rng hm tng quan ca o hm ca qu trnh ngu nhin dng cng ch ph thuc vo
mt i s , tc l R y ( t1 ,t2 ) = R y ( ) , nh vy, o hm ca hm ngu nhin dng cng l hm dng.
Chng ta xc nh nhng c trng ca o hm ca hm ngu nhin trong iu kin gi nh n
kh vi.
C th ch ra rng iu kin cn v hm ngu nhin kh vi l tn ti o hm ca k vng ton
hc v o hm ring hn hp cp hai ca hm tng quan ca n ti t1 = t2 (tn ti o hm cp hai ca
hm tng quan ti = 0 i vi hm ngu nhin dng ) [21]. T , suy ra khng phi mi hm ngu
nhin u kh vi.
V d, hm ngu nhin c hm tng quan dng
Rx ( ) = 2 e
, >0
(2.9.10)
l hm khng kh vi.
Thc vy,
2e khi > 0,
Rx ( ) =
2e khi < 0.
(2.9.11)
Ta thy rng ti im = 0 o hm Rx ( ) b gin on, v o hm bn phi im ny bng
2 , cn o hm bn tri bng 2 . Do , o hm cp hai R'x' ( ) ti im = 0 khng tn ti.

Ta s tm cc c trng ca o hm ca mt s qu trnh ngu nhin dng.
Gi s qu trnh ngu nhin c hm tng quan c dng
1.
Rx ( ) = 2e , > 0
Hm tng quan ca o hm ca qu trnh ngu nhin ny bng

68
(2.9.12)
R y ( ) = 2 2( 1 2 2 )e
(2.9.13)
Ti = 0 ta c
R y ( 0 ) = 2 2
(2.9.14)
Vy qu trnh ngu nhin X(t) l kh vi.

Phng sai ca o hm Y(t) khi ph thuc khng nhng vo phng sai ca qu trnh ngu nhin
X(t), m cn vo h s c trng cho mc gim hm tng quan Rx ( ) khi i s tng.
Rx ( ) = 2 e
2.
cos , > 0;
(2.9.15)
Trong trng hp ny o hm ca hm tng quan b gin on ti = 0 v do o hm cp hai

khng tn ti.
Do qu trnh ngu nhin X(t) c hm tng quan dng nh vy khng kh vi.
2
Rx ( ) = 2e cos , > 0;
3.
(2.9.16)
2
R'x ( ) = 2 ( 2 cos + sin )e ,
(2.9.17)
R y ( ) = R'x' ( ) = 2 ( 2 + 2 4 2 2 ) cos 4 sin e (2.9.18)

Ti = 0 ta c
R y ( 0 ) = 2 ( 2 + 2 ).
(2.9.19)
Qu trnh ngu nhin X(t) kh vi, phng sai ca o hm ca qu trnh ny ph thuc khng ch vo
phng sai ca X(t), m cn vo cc h s v quy nh dng hm tng quan Rx ( ) .
4.
Rx ( ) = 2 e
cos + sin , > 0, > 0;
e cos + sin
Rx ( ) =
2e cos sin
(2.9.20)
khi > 0,
(2.9.21)
khi < 0.
R y ( ) = R'x' ( ) =
2 2 + 2
( cos sin )e khi > 0,
=
2
2
2 +
( cos + sin )e khi > 0.
(2.9.22)
C th vit R y ( ) di dng mt biu thc
R y ( ) = 2
2 + 2
e
( cos sin ) .
Khi = 0 th D y = R y ( 0 ) = 2 ( 2 + 2 ).
(2.9.23)
(2.9.24)
Vy hm ngu nhin X (t ) c hm tng quan dng nh trn l hm kh vi.

69
Chng ta s xc nh tip hm tng quan quan h Rxy ( t1 ,t2 ) gia hm ngu nhin X (t ) v o
hm ca n Y ( t ) =
dX ( t )
.
dt
Theo (2.4.1) ta c
Rxy ( t1 ,t2 ) = M
{ [X ( t1 ) mx ( t1 )] [Y ( t2 ) m y ( t2 )] }=
d
[X ( t2 ) mx ( t2 )].
= M [X ( t1 ) mx ( t1 )]
dt 2
(2.9.25)
i ch php tnh ly vi phn v php ly k vng ton hc v k hiu o hm bng o hm ring

theo bin t2 , v bin t1 c xem nh i lng khng i, c th vit
Rxy ( t1 ,t2 ) =
=
M { [ X ( t1 ) mx ( t1 )] [X ( t2 ) mx ( t2 )] } =
t2
Rx ( t1 ,t2 ).
t2
(2.9.26)
c bit i vi hm ngu nhin dng X (t )
dR ( )
Rx ( t1 ,t2 ) =
Rx .( t2 t1 ) = x
,
t2
d
t2
(2.9.27)
trong = t2 t1 .
T thy rng hm tng quan quan h gia hm ngu nhin dng v o hm ca n l hm mt
i s , tc l hm ngu nhin dng v o hm ca n l nhng hm lin h dng.
Hm tng quan quan h gia hm ngu nhin dng v o hm ca n bng o hm ca hm tng
quan ca chnh hm ngu nhin.
2.10. TCH PHN CA HM NGU NHIN

Gi s qu trnh ngu nhin X (t ) c cho trn on [a ,b] . Chia on ny thnh n phn bi cc
im a = t0 ,t1 , ...,tn = b v lp tng
X ( tk )tk , trong
k =1
X ( tk ) l lt ct ca qu trnh ngu nhin ti
t = tk , cn tk = tk tk 1 .
Tng t nh nh ngha tch phn ca hm khng ngu nhin, ta s gi gii hn bnh phng trung
bnh ca tng tch phn ny khi i lng , l hiu ln nht trong s cc hiu tk , tin ti khng, l tch
phn xc nh ca hm ngu nhin X (t ) trn on [a ,b] v k hiu bng
b
X ( tk )tk
0
X ( t )dt = lim
(2.10.1)
k =1
Tch phn xc nh ca hm ngu nhin, ging nh gii hn ca tng cc i lng ngu nhin, l
mt i lng ngu nhin. Nu gii hn ny tn ti v khng ph thuc vo cch thc chia on [a ,b] bi
cc im tk , th hm ngu nhin X (t ) gi l kh tch trn on [a ,b] .
C th chng minh rng mun cho tn ti tch phn nu ch cn tn ti tch phn ca k vng ton
hc ca hm ngu nhin X (t ) v tch phn hai lp ca hm tng quan ca n [21].
By gi ta xt tch phn vi cn trn bin thin ca hm ngu nhin X (t )
70
Y ( t ) = X ( )d
(2.10.2)
Tch phn ny l mt hm ngu nhin Y ( t ) mi. Chng ta s xc nh k vng ton hc m y ( t ) v
hm tng quan R y ( t1 ,t2 ) ca hm ngu nhin Y ( t ) khi xem rng cc c trng tng ng ca X (t )
c cho trc:
n
n
m y ( t ) = M lim X ( k ) k = lim mx ( k ) k . (2.10.3)

t k 0 k =1
t k 0 k =1
Tng cui cng l tng tch phn i vi hm khng ngu nhin mx ( ) , do
t
m y ( t ) = mx ( )d
(2.10.4)
V
t o
o
Y ( t ) = Y ( t ) m y ( t ) = X ( ) + mx ( ) dt m y ( t ) =
o
t o
t o
= X ( )d + m y ( t ) m y ( t ) = X ( )d ,
(2.10.5)
nn
t2 o
t1 o
o
o
R y ( t1 ,t2 ) = M Y ( t1 )Y ( t2 ) = M X ( )d X ( )d =
0
t1 t 2 o
o
= M X ( 1 ) X ( 2 )d1d 2 =
0 0
t1 t 2
t t
1 2
o
o
= M X ( 1 ) X ( 2 )d1d 2 = Rx ( 1 , 2 )d1d 2 .
0 0
0 0
(2.10.6)
Nh vy, k vng ton hc ca tch phn ca qu trnh ngu nhin bng tch phn ca k vng ton
hc ca chnh qu trnh . Hm tng quan ca tch phn ca qu trnh ngu nhin bng tch phn hai lp
ca hm tng quan ca chnh qu trnh ly theo c hai i s.
Nu X ( t ) l mt hm ngu nhin dng th mx ( t ) = m x = const, Rx ( t1 ,t 2 ) = Rx ( t2 t1 ) .
Khi
t
m y ( t ) = m x d = m x t ,
(2.10.7)
tc k vng ton hc m y ( t ) ph thuc vo t.

t1 t 2
R y ( t1 ,t2 ) = Rx ( 2 1 )d1d2
(2.10.8)
0 0
Biu thc v phi trong (2.10.8) ph thuc ring bit vo c t1 v t2 , ch khng phi ch ph thuc
vo hiu hai gi tr .
Do tch phn ca hm ngu nhin dng khng c tnh cht dng.
71
Ngi ta cn xem xt tch phn ca qu trnh ngu nhin X ( t ) dng

b
Y ( t ) = ( t , ) X ( )dt ,
(2.10.9)
trong ( t , ) l hm khng ngu nhin.

Tch phn ny c cng xc nh nh l gii hn bnh phng trung bnh ca tng tch phn
lim
( t , k ) X ( k )k = Y ( t )
(2.10.10)
k 0 k =1
v c gi l tch phn ca hm ngu nhin vi hm trng lng ( t , ) .

Cng hon ton nh vy i vi tch phn cn trn bin thin, ta s tm m y ( t ) v R y ( t1 ,t 2 ) :
b
m y ( t ) = ( t , )mx ( )d
(2.10.11)
bb
R y ( t1 ,t2 ) = ( t1 , 1 )( t2 , 2 )Rx ( 1 , 2 )d1d 2
(2.10.12)
aa
2.11. CC HM NGU NHIN PHC

n gin ho vic tnh ton, trong phn trnh by tip theo s s dng cc hm ngu nhin phc
xem xt cc hm ngu nhin thc m t trc n gi chng ta phn tch, v trong thc t cng ch c
cc hm ngu nhin thc. Hm ngu nhin thc c xem nh trng hp ring ca hm ngu nhin phc.
Ta s gi hm c dng di y l hm ngu nhin phc
Z ( t ) = X ( t ) + iY ( t )
(2.11.1)
trong X ( t ) v Y ( t ) l nhng hm ngu nhin thc.

Hm ngu nhin thc y c xem nh trng hp ring ca hm phc vi Y ( t ) = 0 .
Ta s xc nh cc c trng ca hm ngu nhin phc bao gm k vng ton hc, phng sai, hm
tng quan sao cho i vi nhng hm ngu nhin thc (khi Y ( t ) = 0 ), nhng c trng ny trng vi
nhng c trng a ra trc y. Ta s gi hm khng ngu nhin mz ( t ) nh ngha di y l k
vng ton hc ca hm ngu nhin phc
mz ( t ) = mx ( t ) + im y ( t )
(2.11.2)
Phng sai ca hm ngu nhin phc Dz ( t ) l k vng ton hc ca bnh phng modul lch ca
hm ngu nhin so vi k vng ton hc ca n:
Dz ( t ) = M Z ( t ) m z ( t )
V
(2.11.3)
(2..11.4)
(2.11.5)
Z ( t ) mz ( t ) = [X ( t ) mx ( t )] + i Y ( t ) m y ( t )
nn
Z ( t ) mz ( t ) = [X ( t ) mx ( t )]2 + Y ( t ) m y ( t ) 2
2
Khi
Dz ( t ) = M
72
{[X ( t ) m ( t )] }+
x
{[
]}
+ M Y ( t ) m y ( t ) 2 = Dx ( t ) + D y ( t )
(2.11.6)
T y thy rng phng sai ca hm ngu nhin phc l mt hm thc.

i vi hm thc th D y ( t ) = 0 , do
D z ( t ) = Dx ( t ) .
Hm tng quan ca hm ngu nhin phc l hm khng ngu nhin dng
]}
Rz ( t1 ,t2 ) = M [Z ( t1 ) mz ( t1 )] Z * ( t2 ) m*z ( t2 )
(2.11.7)
Du (*) c ngha l ly i lng lin hip phc.

Khi t1 = t2 = t , hm tng quan tr thnh phng sai
{
[
= M {[Z ( t ) m ( t )] }= D ( t )
]}
Rz ( t ,t ) = M [Z ( t ) mz ( t )]. Z * ( t ) m*z ( t ) =
2
(2.11.8)
Hm tng quan ca hm ngu nhin phc c th c biu th qua nhng c trng ca cc phn
thc v phn o ca n. Nu k hiu
o
X ( t ) = X ( t ) mx ( t )
o
Y ( t ) = Y ( t ) my ( t )
ta c
o
o
o
o
Rz ( t1 ,t2 ) = M X ( t1 ) + i Y ( t1 ) X ( t2 ) i Y ( t2 ) =
o
o
o
= M X ( t1 ) X ( t2 ) + M Y ( t1 )Y ( t2 ) +
o
o
o
o
+ i M Y ( t1 ) X ( t2 ) M X ( t1 )Y ( t2 ) =
= Rx ( t1 ,t2 ) + Ry ( t1 ,t2 ) + i Ryx ( t1 ,t2 ) Rxy ( t1 ,t2 )
(2.11.9)
trong Rxy ( t1 ,t2 ) l hm tng quan quan h ca cc hm ngu nhin X ( t ) v Y ( t ) .

Nu cc phn thc v o ca hm ngu nhin phc khng tng quan ln nhau, tc l
Rxy ( t1 ,t2 ) = 0 , th
Rz ( t1 ,t2 ) = Rx ( t1 ,t2 ) + R y ( t1 ,t2 )
(2.11.10)
Nu phn thc v phn o ca hm ngu nhin phc l cc hm ngu nhin dng v lin h dng, th
mz ( t ) = mz v Dz ( t ) = Dz l nhng i lng khng i, cn Rz ( t1 ,t2 ) = Rz ( t2 t1 ) ch ph thuc vo
mt tham s = t2 t1 .
Ta s gi hm ngu nhin phc Z ( t ) vi nhng tnh cht mz = const v Rz ( t1 ,t2 ) = Rz ( ) l hm
ngu nhin dng theo ngha rng.
i vi hm tng quan Rz ( t1 ,t2 ) , tnh cht sau c tho mn
Rz ( t1 ,t2 ) = R*z ( t2 ,t1 )
(2.11.11)
tc l vic hon v cc i s trong hm tng quan s cho biu thc lin hp phc vi biu thc ban u.
c bit, i vi hm phc dng, ng thc sau c tho mn
73
Rz ( ) = R*z ( ) ,
i vi hm thc, ng thc ny biu th tnh chn
Rz ( ) = R z ( ) .
Hm tng quan quan h Rz
nh di dng
1 z2
( t1 ,t2 ) ca h hai hm ngu nhin phc Z1( t ) v Z 2 ( t ) c xc
][
{[
]}
Rz1 z 2 ( t1 ,t2 ) = M Z1( t1 ) mz1 ( t1 ) Z *2 ( t2 ) m*z2 ( t2 )

i vi hm Rz
1 z2
(2.11.12)
( t1 ,t 2 ) , h thc sau tho mn

Rz1 z 2 ( t1 ,t2 ) = R*z q z 2 ( t2 ,t1 )
(2.11.13)
H cc hm ngu nhin phc Z1( t ) v Z 2 ( t ) c gi l h dng theo ngha rng nu nh ngoi

tnh dng theo cng ngha ca tng hm, h cn tho mn
Rz1 z 2 ( t1 ,t2 ) = Rz1 z 2 ( t2 t1 ) = Rz1 z 2 ( )
(2.11.14)
Vi nhng hm nh vy s tho mn h thc Rz1 z 2 ( ) = R*z 2 z1 ( ) , v biu thc ny, i vi cc hm

thc, s c dng
Rz1 z 2 ( ) = Rz 2 z1 ( ) .
2.12. TRNG NGU NHIN V CC C TRNG CA N

Bn cnh nhng qu trnh ngu nhin xt trn y l nhng hm ngu nhin mt i s, trong kh
tng thy vn rt hay gp nhng hm ngu nhin ca mt s bin c lp m ngi ta gi l nhng
trng ngu nhin.
Ta s xt trng ngu nhin U ( x , y , z ,t ) , trong x, y, z l nhng to ca im khng gian, cn t
l thi gian.
r
C th xem x, y, z, t nh cc to ca mt vect bn chiu no ( x , y , z ,t ) v k hiu trng
ngu nhin mt cch n gin di dng U ( ) .

Tng t nh i vi cc qu trnh ngu nhin, trng ngu nhin c th c xem nh tp hp tt
c cc th hin ca n, hay nh tp hp tt c cc lt ct ca n, khi hiu lt ct ca trng ngu nhin l
mt i lng ngu nhin nhn c ti nhng tr s xc nh ca tt c cc i s, tc l vi gi tr xc
r
nh ca vect .
Th hin ca trng ngu nhin, kt qu nhn c ca mt ln th nghim, s l mt hm khng
r
ngu nhin. Khi , bng cch thay th n gin t thnh , tt c cc cng thc i vi cc hm phn b n
chiu, cc mmen gc v mmen trung tm xt mc 2.2 v 2.3 i vi cc qu trnh ngu nhin s
c m rng sang cho cc trng ngu nhin.
r
Ta s gi hm phn b n chiu ca trng ngu nhin U ( x , y , z ,t ) = U ( ) l hm phn b ca h
cc i lng ngu nhin U1 = U ( 1 ), U 2 = U ( 2 ), ..., U n = U ( n ), tc l

r r
r
Fn ( u1 ,u2 , ..,un ; 1 ,2 , ..., n ) =
(2.12.1)
= P( U1 < u1 ,U 2 < u2 , ...,U n < un )
c trng y cho trng ngu nhin, cn bit tt c cc hm phn b n chiu ca n.
r r
Nu tn ti o hm ring hn hp ca cc hm phn b Fn ( u1 ,u2 , ..,un ; 1 ,2 , ...,n ) , th chng

r r
r
c gi l mt phn b n chiu ca trng ngu nhin f n ( u1 ,u2 , ..,un ; 1 , 2 , ..., n )
74
r r
r
r r
r
n Fn ( u1 ,u2 , ...,un ; 1 , 2 , ..., n )
f n ( u1 ,u2 , .., un ; 1 , 2 , ..., n ) =
u1u2 ...un
(2.12.2)
Cng nh i vi cc qu trnh ngu nhin, trong thc t him khi xc nh c cc hm phn b

hoc mt phn b n chiu, v vy c trng cho cc trng ngu nhin ch yu, ngi ta s dng cc
mmen phn b.
Ta s gi k vng ton hc ca tch n lu tha tng ng vi cc lt ct ca trng ngu nhin ti n
r
im trong min khngthi gian l mmen gc n im ca trng ngu nhin U ( ) = U ( x , y , z ,t ) bc
i1 + i2 + ... + in
r
r
r
r r
r
mi1 , i2 , ..., in ( 1 , 2 , ..., n ) = M [U ( 1 )] i1 .[U ( 2 )] i2 ...[U ( n )] in
Mmen bc nht
r
r
r
m1( ) = M [U ( )] = mu ( )
(2.12.3)
(2.12.4)
c gi l k vng ton hc ca trng ngu nhin.

lch ca trng ngu nhin so vi k vng ton hc ca n c gi l trng ngu nhin quy
tm
o r
r
r
U ( ) = U ( ) mu ( )
(2.12.5)
o r
Cc mmen gc ca trng ngu nhin quy tm U ( ) c gi l cc mmen trung tm ca trng
r
U( )
o r i1 o r i2 o r in
r r
r
i1 , i2 , ..., in ( 1 , 2 , ..., n ) = M U ( 1 ) .U ( 2 ) ...U ( n ) (2.12.6)

Mmen trung tm mt im bc hai
r
r
r
r
2 ( ) = M [U ( ) mu ( )]2 = Du ( )
(2.12.7)
c gi l phng sai ca trng ngu nhin.

K vng ton hc v phng sai ca trng ngu nhin l nhng hm khng ngu nhin ca cc to
im ca min khng thi gian:
r
mu ( ) = mu ( x , y , z ,t ),
r
Du ( ) = Du ( x , y , z ,t ).
Mmen trung tm hai im bc hai
r r
r
r
r
r
1,1( 1 , 2 ) = M { [U ( 1 ) mu ( 1 )] [U ( 2 ) mu ( 2 )] } =
r r
= Ru ( 1 , 2 )
(2.12.8)
c gi l hm tng quan ca trng ngu nhin.
r r
Hm tng quan Ru (1 , 2 ) cng l hm ca to 2 im ca min khngthi gian
r r
Ru ( 1 , 2 ) = Ru ( x1 , y1 , z1 ,t1 ; x2 , y2 , z2 ,t2 )
Hm tng quan ca trng ngu nhin c tt c nhng tnh cht nh hm tng quan ca qu trnh
ngu nhin. V d nh, hm tng quan ca trng ngu nhin cng tho mn tnh cht i xng
r r
r r
Ru ( 1 ,2 ) = Ru ( 2 ,1 ) .
75
Khi gi tr ca cc i s vect nh nhau 1 = 2 = , hm tng quan bin thnh phng sai ca

trng ngu nhin
r r
r
Ru ( , ) = Du ( )
(2.12.9)
Ngi ta cng xt hm tng quan chun ho ca trng ngu nhin
r r
Ru ( 1 , 2 )
(2.12.10)
r
r
Du ( 1 ) Du ( 2 )
r
r
m i vi mi mt cp im c nh 1 v 2 , n l h s tng quan gia cc lt ct ca trng ngu
r r
ru ( 1 , 2 ) =
nhin ng vi cc im .
Nhng mmen xt gi l mmen khng thi gian. Hm tng quan khng thi gian c th c
trng cho s lin h gia cc gi tr ca trng ngu nhin hai im khc nhau ca khng gian v ti
nhng thi im khc nhau. Ngoi nhng mmen khng thi gian, ngi ta cn xt cc mmen thi gian
v mmen khng gian ring bit.
Khi xc nh cc mmen thi gian, cc to im khng gian ca trng c xem l c nh v
ch nghin cu s bin thin ca trng theo thi gian ti im c nh cho ca khng gian. Trong
trng hp ny chng ta cp ti qu trnh ngu nhin.
Khi xt cc mmen khng gian, ngi ta c nh im thi gian v nghin cu trng ngu nhin ti
thi im cho. Trong trng hp ny trng ngu nhin l hm ngu nhin ca to cc im khng
gian.
V cc qu trnh ngu nhin c xt trn, by gi ta ch nghin cu chi tit hn v cc trng
ngu nhin khng gian.
2.13. TRNG NGU NHIN NG NHT V NG HNG

Khi nghin cu cc qu trnh ngu nhin ta thy rng iu kin dng l mt iu kin rt quan
trng, lm gim nh vic m t qu trnh ngu nhin.
i vi cc trng khng gian, nhng iu kin tng t l iu kin ng nht v ng hng.
Trng ngu nhin gi l ng nht nu tt c cc quy lut phn b n chiu khng thay i khi dch
r r
r
chuyn h im 1 ,2 , ...,n theo cng mt vect, tc l, nu cc hm phn b (mt phn b) khng
r r
thay i khi thay th cc lt ct tng ng vi cc im 1 , 2 , ..., n bng nhng lt ct tng ng vi cc
r r
im 1 + 0 ,2 + 0 , ...,n + 0 , vi mi vect 0 bt k.
i vi trng ngu nhin ng nht
r
r r
f1( u1 ; 1 ) = f1( u1 ; 1 + 0 )
r r
r r r
r
f 2 ( u1 ,u2 ; 1 ,2 ) = f 2 ( u1 ,u2 ; 1 + 0 , 2 + 0 )
r
r
Khi t 0 = 1 ta nhn c
r
f1( u1 ; 1 ) = f1( u1 ; 0 ) = f1( u1 )
r r
r r
f 2 ( u1 ,u2 ; 1 ,2 ) = f 2 ( u1 ,u2 ; 2 1 )
(2.13.1)
(2.13.2)
(2.13.3)
(2.13.4)
V v
r
mu ( ) =
r
uf1( u ; )du =
uf1( u )du = mu = const
(2.13.5)
r r
r
r
r r
Ru ( 1 , 2 ) = [u1 mu ( 1 )] [u2 mu ( 2 )] f 2 ( u1 ,u2 ; 1 , 2 )du1du2 =
76

r
r
= ( u1 mu ) (u2 - mu ) f ( u1 ,u2 ; 2 1 )du1du2 =
r
r r
= Ru ( 2 1 ) = Ru ( l ),
r r
r
l = 2 1 ,
(2.13.6)
nn i vi trng ngu nhin ng nht, k vng ton hc l mt i lng khng i mu , khng ph

r
r r
thuc vo cc to im ca trng, cn hm tng quan Ru ( 1 , 2 ) = Ru ( l ) ch ph thuc vo hiu
r r r
cc vect l = 2 1 .
C th gi iu kin ng nht nu ca trng ngu nhin, tng t vi iu kin dng, l tnh
ng nht nghim ngt. Trng ngu nhin m k vng ton hc l i lng khng i v hm tng
r
quan ch ph thuc vo mt i s vect hiu cc vect l , c gi l trng ng nht theo ngha
rng.
Trng ngu nhin ng nht c gi l ng hng nu tt c cc quy lut phn b n chiu khng
r
r
r
thay i i vi mi php quay h im N1( 1 ), N 2 ( 2 ),..., N n ( n ) xung quanh mt trc bt k i qua
gc to v khi phn x gng nhng im so vi mt mt phng bt k i qua gc to .
Nh vy, i vi trng ng nht v ng hng, nhng mt phn b n chiu
r r
r
f n ( u1 ,u2 ,...,un ; 1 , 2 ,..., n ) khng thay i khi dch chuyn song song, quay v phn x gng h im
r r
r
r
r
N1( 1 ), N 2 ( 2 ),..., N n ( n ) . Khi , hm tng quan Ru ( 1 ,2 ) phi c cng mt gi tr i vi cp
r
r
r
r
im bt k N1( 1 ) v N 2 ( 2 ) m i vi chng modul ca hiu l = 2 1 nh nhau, v nhng cp
im nh vy lun lun c th c chp vo vi nhau nh php dch chuyn song song, quay v phn x
gng.
Do , hm tng quan ca trng ng nht v ng hng l hm ca mt i s v hng
r
r
r
r
l = 2 1 , l khong cch gia cc im N1( 1 ) v N 2 ( 2 ) . i khi ngi ta chp nhn iu kin
ny lm nh ngha cho tnh ng hng ca trng.
Nh vy i vi trng ng nht v ng hng, k vng ton hc l i lng khng i
r
r r
mu ( ) = mu , cn hm tng quan Ru ( 1 , 2 ) = Ru ( l ) l hm ca mt i s v hng l, l khong cch
gia hai im, trong
r
r
l = 2 1 = ( x2 x1 )2 + ( y2 y1 )2 + ( z2 z1 )2
(2.13.7)
Bn cnh nhng trng ngu nhin ng nht trong ton khng gian ba chiu, c th xt cc trng
ch ng nht trn mt ng thng hay trong mt mt phng no , m i vi chng tt c nhng mt
phn b n chiu khng thay i khi dch chuyn song song ton b n im i mt khong bng ln
r
vect 0 song song vi ng thng hay mt phng cho.
Tng t, c th xt cc trng ng hng khng phi trong ton khng gian ba chiu m ch trong
mt mt phng no .
Nhiu cng trnh nghin cu v cu trc cc trng kh tng ch ra s bin i khc bit ng k
ca cc yu t kh tng theo phng ngang v phng thng ng.
V vy, khi nghin cu cu trc thng k cc trng kh tng quy m va v ln, gi thit v s gn
ng nht v ng hng ch c th chp nhn c i vi trng hai chiu theo phng ngang. Khi ,
gi thit rng ch c trng ngu nhin quy tm, tc trng lch ca yu t kh tng ang xt so vi k
vng ton hc ca n, l ng nht cn khng th xem chnh k vng ton hc l khng i.
Ging nh i vi qu trnh ngu nhin dng, nu trng ngu nhin ng nht v ng hng c
tnh egodic th k vng ton hc v hm tng quan ca n c th tm c bng cch ly trung bnh theo
mt th hin cho trn min khng gian ln.
77
Trong trng hp ny, k vng ton hc xc nh theo cng thc
mu =
1
u( x , y , z )dxdydz
v (
D)
(2.13.8)
trong D l min khng gian trn thc hin ly trung bnh, v l th tch ca min .
i vi trng phng
mu =
1
u( x , y )dxdy
S (
D)
(2.13.9)
trong S l din tch min phng D.

C th vit nhng cng thc tng t nhn hm tng quan Ru ( l ) bng cch ly trung bnh theo
mt th hin
Ru ( l ) =
1
[u( x , y , z ) mu ][u( x + , y + , z + ) mu ]dxdydz (2.13.10)
v1 (
D )
1
Min D1 y phi c chn sao cho cc im ( x + , y + , z + ) khng c vt ra khi min

D (v1 l th tch min D1).
Ngi ta ni trng ng nht ng hng c tnh egodic, nu k vng ton hc v hm tng quan,
nhn c bng cch ly trung bnh theo mt th hin nh cc cng thc (2.13.8), (2.13.10), c th tin
gn ti nhng c trng tng ng nhn c bng php ly trung bnh theo tp hp tt c cc th hin,
khi tng v hn ng knh min, vi xc sut tu gn n n v. Trong thc t thng khng th thc
hin ly trung bnh theo khng gian cc trng ngu nhin kh tng, v cc th hin ch c ghi mt s
nh cc im ri rc.
c trng cho trng ng nht ng hng, bn cnh hm tng quan, cn s dng hm cu trc
Bu ( l )
r r
r
Bu ( l ) = M U ( + l ) U ( ) 2
(2.13.11)
{[
]}
Ging nh i vi qu trnh ngu nhin, hm cu trc ca trng ngu nhin c xc nh n tr

qua hm tng quan di dng
Bu ( l ) = 2[Ru ( 0 ) Ru ( l )]
(2.13.12)
r
i vi trng ng nht ng hng hm cu trc l hm ca mt i s v hng l = l .
Nu lim Ru ( l ) = 0 , c th biu din hm tng quan qua hm cu trc di dng
l
Ru ( l ) =
1
[Bu ( ) Bu ( l )]
2
(2.13.13)
Cng nh trong trng hp qu trnh ngu nhin dng hon ton, i vi trng ngu nhin ng
nht hon ton, vic s dng hm tng quan hay hm cu trc khng c g khc bit.
Tuy nhin, c trng cho trng ngu nhin m tnh ng nht ch l gn ng, i khi s dng
hm cu trc s tt hn, nh nhn xt mc 2.7.
c bit, iu ny xy ra khi kho st cu trc khng gian quy m va v ln ca cc trng kh
tng, khi m nhng khc bit v dng nng lng mt tri n, tnh cht chuyn ng trn i dng v
lc a v nhng nhn t khc ph hu tnh ng nht ca trng.
78
Tuy nhin, khi cn lu rng, khng phi bao gi cng nhn c cc gi tr ca hm cu trc
Bu ( l ) theo s liu thc nghim ti nhng khong l kh ln c th chp nhn lm gi tr bo ho ca
hm cu trc Bu ( ) .
2.14. TRNG VCT NGU NHIN

By gi ta xt trng ngu nhin vect khng gian, c cho bi i lng ngu nhin vect:
r
r r
U ( x , y , z ) = U ( ).
r r r r r r
r r
Ta chn h to cc v k hiu X ( ) , Y ( ) , Z ( ) l cc hnh chiu ca U ( ) trn cc trc to
tng ng. Khi trng ngu nhin vect c th c xt nh l h ba trng ngu nhin v hng.
r r
Bng cch nh vy, qui lut phn b ca trng vect ngu nhin U ( ) s l hm phn b ba chiu
ca ba trng ngu nhin v hng.
r r
Trng vect U ( ) c gi l ng nht v ng hng nu tt c mt phn b 3n chiu ca n
l bt bin i vi php dch chuyn song song h cc im N1 (1 ), N 2 (2 ),..., N n (n ) cng nh khi quay
v phn x gng, chng km theo vic quay ng thi v phn x gng h to trong cc thnh
phn vect c ly.
( )
Trong nh ngha ny ta gi thit rng, tt c h cc im N i i c quay hoc phn x gng

r
cng vi mt h to c nh cha chng. Khi , mi hnh chiu ca vect i trong h to c v mi
trng nhau.
V mt hnh hc, iu kin ng nht v ng hng ca trng vect c ngha l nu h to lin
kt cht vi h thng cc im N1, N2,..., Nn, th mt phn b 3n chiu ca hnh chiu ca trng trn
cc trc ca h to ny khng thay i i vi mi s dch chuyn, quay, v phn x gng ca h ny.
r r
i vi trng vect ng nht, ng hng, k vng ton hc ca vect U ( ) bng 0,
[ ( )]
M U =0.
[ ( )] l mt vect khng i, cn i vi trng ng
Thc vy, i vi trng ng nht, M U
hng, vect ny cng khng thay i khi quay, tc l n nht nh phi bng 0.
Tnh ng nht v tnh ng hng ca trng vect t nhng iu kin xc nh ln cc hm tng
r r
quan ca hnh chiu vect U ( ) trn cc trc to v ln hm tng quan quan h gia cc hnh chiu
khc nhau ca n.
r r
r
r
r
Gi s X ( ) , Y ( ) , Z ( ) l cc hnh chiu ca vect U ( ) trn cc trc to ca h ta x0yz
no .
Khi c th c trng trng vect bi ba hm tng quan:
r r
r r
r r
Rx ( 1 , 2 ), R y ( 1 , 2 ), Rz ( 1 , 2 ) ,
v ba hm tng quan quan h:
r r
r r
r r
Rxy ( 1 , 2 ), Rxz ( 1 ,2 ), R yz ( 1 , 2 ).
i vi trng ng nht v ng hng, tt c cc hm ny l hm ch ca mt i s v hng
r r
l = 2 1 , l khong cch gia cc im N1 1 v N 2 2 .
( )
( )
Ta chn h to x0yz nh sau: t gc to vo im N1, trc 0x hng dc theo vect N1N2, hai
trc cn li 0y v 0z nm trong mt phng vung gc vi n (hnh 2.10 ).
Cc hm tng quan v hm tng quan quan h i vi trng ng nht ng hng khng thay
i vi mi php quay h to .
79
Ta quay h to 1800 quanh trc N1x, khi hng ca cc trc N1y v N1z b thay i sang hng
ngc li, t ta nhn c:
Rxy ( l ) = Rxy ( l ),
Rxz ( l ) = Rxz ( l ),
(2.14.1)
Rxy ( l ) = Rxz ( l ) = 0.
(2.14.2)
c ngha l:
Nh php phn x gng i vi mt xN1z ta c th chuyn trc N1y v N1z v N1z v N1y, khi :
R yz ( l ) = R yz ( l ),
(2.14.3)
R yz ( l ) = 0.
(2.14.4)
tc l:
Nh php quay quanh trc N1x, c th chuyn N1y sang N1z, khi :
R y ( l ) = Rz ( l ).
(2.14.5)
T thy rng trong h to c chn, cc hm tng quan quan h bng 0, cn hm t tng

quan tho mn iu kin (2.14.5). Nh vy, c th c trng cho trng vect ng nht ng hng bi
hai hm tng quan:
r
r
Rx ( l ) = M [X (1 )X (2 )] = G( l ),
(2.14.6)
r
r
R y ( l ) = M [Y (1 )Y ( 2 )] = F ( l ),
(2.14.7)
r
r r
y X l hnh chiu ca trng vect U ( ) theo hng vect l = N1 N 2 , cn Y l hnh chiu ca
r
trng ny theo mt hng no vung gc vi vect l .Hm Rx (l ) thng c k hiu bi G (l ) v
gi l hm tng quan dc ca trng vect, cn hm R y (l ) c k hiu bi F (l ) v gi l hm tng
()
()
quan ngang. i vi trng vect ngu nhin ngi ta cng a vo khi nim hm cu trc dc v ngang.
Hm cu trc dc B (l ) l k vng ton hc ca bnh phng hiu cc gi tr hnh chiu ca trng vect
( )
B ( l ) = M { [X ( ) X ( )] }.
( )
ng nht ng hng ti cc im N1 1 v N 2 2 theo hng vect N1N2.
(2.14.8)
Hm cu trc ngang Bn (l ) l k vng ton hc ca bnh phng hiu cc gi tr hnh chiu ca

trng ti cc im N1 v N2 trn mt vung gc vi vect N1N2.
Bn ( l ) = M [Y ( 2 ) Y (1 )]2 .
Hnh 2.10
80
(2.14.9)
Chng 3
PHN TCH IU HO QU TRNH NGU NHIN DNG V TRNG
NGU NHIN NG NHT
i vi hm khng ngu nhin, phn tch iu ho c ng dng ht sc rng ri. Phn tch iu
ho l biu din cc hm tun hon di dng chui Fourier, cn hm khng tun hon c biu din
di dng tch phn Fourier.
Ta bit rng nu mt hm tun hon f(t) c chu k 2T tho mn iu kin Diricle th c th khai trin
n thnh chui Fourier dng phc:
Ck e
f (t )=
k
t
T ,
(3.0.1)
k =
trong cc h s Fourier Ck c xc nh theo cng thc:
1
Ck =
2T
f ( t )e
k
t
T dt .
(3.0.2)
Cng thc (3.0.1) cho php biu din hm f (t ) di dng tng v hn cc dao ng iu ho vi tn
k
v bin Ck .
T
Dy s phc Ck c gi l dy ph hay ph ca hm f (t ) . Cc s phc Ck c th c biu din
s k =
di dng:
Ck = Ck ei k .
(3.0.2)
Dy s thc Ck c gi l ph bin ca hm f (t ) , cn dy s k l ph pha ca n.

Ph ch ra rng, trong hm cho c nhng dao ng loi no, tc l cu trc bn trong ca n ra
k
, nn hm dng (3.0.1)
sao. V trong trng hp ang xt, cc tn s nhn nhng gi tr ri rc k =
T
c gi l hm c ph ri rc.
Tng t, nu hm khng chu k f (t ) c cho trn ton trc s thc tho mn iu kin Diricle v
kh tch tuyt i, tc l i vi n tch phn
f ( t )dt
tn ti, th c th biu din n di dng tch phn
Fourier:
f (t )=
F ( )e
it
d.
(3.0.3)
y:
F( ) =
1
f ( t )e it dt .
(3.0.4)
Cc cng thc (3.0.3) v (3.0.4) c gi l cng thc bin i Fourier. Cng thc (3.0.4) gi l cng
thc bin i Fourier trc tip, cn (3.0.3) l cng thc bin i Fourier ngc.
Trong cng thc (3.0.3), tng (3.0.1) theo cc gi tr ri rc ca tn s c thay th bi tch phn
theo mi tn s, cn cc h s khng i Ck c thay bi hm F () ca i s lin tc .
81
ngha ca hm F () l ch, hng t F ()eit d trong tch phn (3.0.3) trng vi khong tn s
nh (, + d), tc F ()d l bin tng ng vi khong tn s cho. Do , F () l mt bin
. Hm F () c gi l mt ph ca hm f (t ) , cn hm dng (3.0.3) l hm c ph lin tc.
Nh vy, chng ta thy rng tng ng vi hm c ph ri rc l dy ph cc s phc Ck ca n;
tng ng vi hm f (t ) c ph lin tc l mt hm khc, l mt ph F ( ) ca n.
T cc cng thc (3.0.1), (3.0.2) hay (3.0.3), (3.0.4) suy ra rng khi cho hm f (t ) , chng ta c th
xc nh mt cch duy nht ph (mt ph) ca n, v ngc li, nu cho ph (mt ph) ta c th xc
nh duy nht mt hm f (t ) .
Trong nhiu trng hp, v d nh khi gii cc phng trnh vi phn tuyn tnh, thun tin hn,
ngi ta s dng mt ph ca hm ang xt thay cho chnh hm .
Ta hy xt vic ng dng cng c khai trin ph i vi cc hm ngu nhin dng v cc trng
ng nht v ng hng.
3.1. CC QU TRNH DNG C PH RI RC

Gi s rng c th biu din qu trnh ngu nhin dng X (t ) trn khong [T, T] di dng chui v
hn cc dao ng iu ho vi cc tn s khc nhau k =
X(t ) =
k
v cc bin ngu nhin X k .
T
X k e i k t .
(3.1.1)
k =
Ta s xem rng, k vng ton hc ca qu trnh ngu nhin bng 0, mx = 0 . Nu khng nh vy ta s

xt qu trnh ngu nhin qui tm. Khi hin nhin rng, k vng ton hc ca tt c cc i lng ngu
nhin X k phi bng 0.
Ta hy lm sng t cc i lng ngu nhin X k cn tho mn iu kin no cho hm ngu nhin
X (t ) c dng (3.1.1) l dng theo ngha rng, tc l cho hm tng quan Rx (t + ,t ) ca n ch ph

thuc vo mt i s v khng ph thuc vo t.
Theo nh ngha hm tng quan ca mt hm ngu nhin phc (2.11.7) ta c:
Rx ( t + ,t ) = M [X ( t + ) X * ( t )]
(3.1.2)
Theo (3.1.1), c th vit:
X ( t + ) = X k ei k (t + ) .
(3.1.3)
X * ( t ) = X *l e ilk t .
(3.1.4)
t (3.1.3) v (3.1.4) vo (3.1.1) ta nhn c:
Rx ( t + ,t ) = M X k eik (t + ) X *l e i k t =
k
= M X k X *l ei[k (t + ) l t ] =
k l
= M [ X k X *l ]ei[k (t + ) l t ]
k
82
(3.1.5)
cho hm tng quan Rx ( t + ,t ) khng ph thuc vo t, nht thit tng kp trong v phi ca
(3.1.5) cha cc s hng ca biu thc e i[k (t + )l t ] khng ph thuc vo t, tc khi k = l. Do , cho
hm ngu nhin X (t ) l dng th iu kin sau y cn phi c thc hin:
M [X k X *l ] = 0 khi k l.
(3.1.6)
iu kin (3.1.6) c ngha l cc i lng ngu nhin X k phi i mt khng tng quan vi nhau.
Vi iu kin (3.1.6), cng thc (3.1.5) c vit di dng:
Rx ( ) = M [X k X *k ]eik .
(3.1.7)
Cc i lng M [X k X *k ] l phng sai ca i lng ngu nhin X. K hiu chng bng Dk , khi
ta nhn c:
Rx ( ) =
Dk eik .
(3.1.8)
k =
tn ti hm tng quan th chui (3.1.8) phi hi t, tc l chui:
k =
Dk .
Dk eik =
(3.1.9)
k =
hi t.
Ta gi thit rng, c th khai trin qu trnh ngu nhin dng thnh chui (3.1.1) m khng ni g n
iu kin khai trin ny. Khi ta nhn c cc bin ngu nhin Xk l nhng i lng ngu nhin
khng tng quan vi nhau, cn hm tng quan c xc nh di dng chui (3.1.8).
Nh ton hc X vit E. E. Sluskii chng minh rng, mi qu trnh ngu nhin dng c hm tng
quan dng (3.1.8) c th c biu din di dng (3.1.1) v ngc li.
i vi qu trnh ngu nhin dng, ph l phn b phng sai ca bin ngu nhin theo cc tn s
k .
V chui (3.1.9) phi hi t, cho nn s hng tng qut ca n phi dn n 0, tc l khi tng tn s
k th gi tr phng sai tng ng phi tin n 0.
Ph ca qu trnh ngu nhin c th c biu th di dng th, vi trc honh t cc gi tr bin

, cn trc tung l phng sai tng ng ca chng (hnh 3.1).
Hnh 3.1
Cc hm ngu nhin dng dng (3.1.1) c gi l cc qu trnh ngu nhin c ph ri rc.

Phng sai qu ca trnh ngu nhin Dx nhn c bng cch t = 0 vo cng thc (3.1.8).
Dx = Rx (0 ) =
Dk .
(3.1.10)
k =
Do , phng sai ca hm ngu nhin bng tng ca chui to thnh t tt c cc tung ph.
Qu trnh ngu nhin dng dng (3.1.1) c th phc, cng c th thc. Qu trnh (3.1.1) l thc nu
mi k trong tng (3.1.1) tng ng vi mt cp hai s hng phc X k ei k v X k e i k .
83
Khi
(X k eik + X k eik ).
(3.1.11)
Ak
B
A
B
i k ,X *k = k + i k
2
2
2
2
(3.1.12)
X (t ) =
k =0
Nu vit X k di dng:
Xk =
ta nhn c:
B
A
X k eik + X k e ik = k i k (cos k t + i sin k t ) +
2
2
B
A
+ k + i k (cos k t i sin k t ) = Ak cos k t + Bk sin k t
2
2
(3.1.13)
t (3.1.13) vo (3.1.11) ta c qu trnh ngu nhin dng thc:
X (t ) =
( Ak cos k t + Bk sin k t )
(3.1.14)
k =0
trong Ak v Bk l cc i lng ngu nhin thc c k vng ton hc bng khng.

Trng hp ring, khi p dng iu kin (3.1.6) cho hai hng t khc nhau X k ei k v X *k e i k , ta
nhn c:
( )
*
M X k X *k = M [ X k X k ] = 0
(3.1.15)
T ta c:
2
A
Bk
k
M [X k X k ] = M
i
=
2
2
1
= M Ak2 M Bk2 2iM [Ak Bk ] = 0
4
ng nht bng khng c phn thc v phn o, ta nhn c:
{ [ ] [ ]
[ ] [ ]
M Ak2 = M Bk2 = d k
M [Ak Bk ] = 0
(3.1.16)
(3.1.17)
(3.1.18)
tc l cc i lng ngu nhin Ak v Bk khng tng quan vi nhau v c cng phng sai. T ng
thc (3.1.6) ta nhn c tnh khng tng quan i mt ca cc i lng Ak , Al , Bk , Bl khi k l.
Ta biu din Dk qua d k
A
B A
B
Dk = M [X k X *k ] = M k i k k i k =
2 2
2
2
d
1
(3.1.19)
= M Ak2 + M Bk2 = k
4
2
Khi cng thc i vi hm tng quan (3.1.8) c vit li di dng:
{ [ ] [ ]}
Rx ( ) =
tc l
84
Dk eik + eik =
k =0
dk
2 cos k
k =0 2
(3.1.20)
Rx ( ) =
d k cos k
(3.1.21)
k =0
i vi qu trnh ngu nhin thc, cc tn s k v k tng ng vi cng bin Dk , do vy,

ph ca qu trnh ngu nhin thc i xng qua trc tung (hnh 3.1) v c th ch cn xy dng n cho
nhng gi tr tn s dng.
3.2. CC QU TRNH DNG C PH LIN TC

Khng phi mi qu trnh dng u l qu trnh c ph ri rc. Tuy nhin c th ch ra rng bt k
qu trnh dng no cng c th c biu din nh l gii hn ca dy cc qu trnh c ph ri rc dng
(3.1.1).
Ta xt hm ngu nhin () , khi xem rng trong khong tn s k = k k 1 , s gia ca n
(k ) = (k ) (k 1 )
(3.2.1)
bng tng cc bin ngu nhin X k trong khong ny.

Mt cch gn ng, coi tn s trong khong k khng i v bng k , trn c s (3.1.1) ta c th
vit ng thc gn ng:
X (t ) eik t (k ),
(3.2.2)
y tng c ly theo mi khong tn s k .

By gi ta s tng v hn s tn s k trong (3.2.2), gim v hn hiu gia chng. Ly gii hn ta
nhn c
X (t ) =
i t
d (),
(3.2.3)
trong , v phi l tch phn Fourier Stiltex, v di du tch phn khng phi l s gia ca i s nh
trong tch phn Riman, m l s gia ca hm d() .
Biu din qu trnh ngu nhin dng X (t ) di dng tch phn Stiltex theo cng thc (3.2.3) c
gi l khai trin ph ca n.
Ta xc nh hm tng quan ca qu trnh ngu nhin biu din theo cng thc (3.2.3).
i vi qu trnh ngu nhin dng (3.1.1), hm tng quan c xc nh bi cng thc (3.1.8).
Cng thc ny biu din hm khng ngu nhin Rx ( ) di dng chui Fourier. Khi , nu khai trin
(3.1.1) ca qu trnh ngu nhin X (t ) c tin hnh trn khong bin i [T, T] ca i s t, th khong
bin i ca i s = t2 t1 s l on [2T, 2T].
Do , cng thc (3.1.8) l khai trin hm tng quan Rx ( ) trong khong [2T, 2T].
Khi , cc h s Fourier Dk ca khai trin ny c xc nh theo cng thc:
Dk =
1
4T
2T
Rx ()e
i k
d ,
k =
2T
k
2T
(3.2.4)
K hiu hiu gia hai tn s ln cn l k th
k (k 1)
.
=
2T
2T
2T
Khi cng thc (3.1.8) c th vit di dng:
k = k k 1 =
(3.2.5)
85
2T
Dk eik t k .
k =
Rx ( ) =
(3.2.6)
Ta a vo hm
S xT () =
2T
1
Rx ( )e ik t d.
2 2T
(3.2.7)
Ch s T ni ln rng, hm ph thuc vo khong T. Theo (3.2.4) v (3.2.5) ta c

D
S xT (k ) = k .
(3.2.8)
k
iu chng t S xT (k ) l mt trung bnh ca phng sai trn on k .
Th (3.2.8) vo (3.2.6), ta c
Rx () =
S xT (k )eik t k .
(3.2.9)
k =
Nu T, cn k 0 th khi ly gii hn, tng tch phn (3.2.9) s tr thnh tch phn
Rx ( ) =
S x ()e
i k t
d.
(3.2.10)
Cng thc (3.2.10) l khai trin hm tng quan thnh tch phn Fourier. Khai trin nh vy c th
thc hin c nu tch phn tuyt i ca hm Rx () tho mn iu kin
Rx () d < .
(3.2.11)
Khi , chuyn qua gii hn, cng thc (3.2.7) s c dng
S x () =
1
Rx ( )e it d.
2
(3.2.12)
Hm S x () l gii hn ca mt phng sai trung bnh S xT (k ) khi k dn n 0, tc l biu
th mt phng sai ca hm ngu nhin X (t ) khi cho trc tn s . Hm ny c gi l mt ph

ca hm ngu nhin dng X (t ) . Mt ph l hm khng m ca tn s.
Cc cng thc (3.2.10) v (3.2.12) ch ra rng hm tng quan Rx () v mt ph S x () l bin

i Fourier ln nhau. Do , bin i Fourier i vi hm tng quan ca qu trnh ngu nhin dng phi
l hm khng m vi mi gi tr tn s .
Nm 1934, A. Ia. Khintrin chng minh rng mi mt hm, l bin i ngc Fourier t mt hm
khng m, l hm tng quan ca mt qu trnh ngu nhin dng no .
Khi t = 0 vo cng thc (3.2.10), ta nhn c biu thc i vi phng sai ca hm ngu nhin.
Dx = Rx (0 ) =
S x ()d.
(3.2.13)
T thy rng, nu hm ngu nhin X (t ) c phng sai hu hn, th hm S x () l kh tch. Hm
Fx () =
S x ()d.
86
(3.2.14)
c gi l hm ph hay ph tch phn ca hm ngu nhin dng.

Ti nhng gi tr no , mt ph c th tr nn v hn nhng vn cn kh tch ln cn cc
gi tr ny.
T cc cng thc (3.2.10) v (3.2.12) ta thy rng, khi bit hm tng quan c th tm c mt
ph v ngc li. Tuy nhin, nh ta s thy sau ny, trong nhiu trng hp, s dng mt ph s thun
tin hn.
Thay cho mt ph S x () ngi ta thng xt mt ph chun ho s x ()
s x () =
S x ()
S x ()d
S x ()
.
Dx
(3.2.15)
Hm tng quan chun ho v mt ph chun ho cng l bin i Fourier ln nhau v c xc

nh bi cc cng thc:
rx ( ) =
sx ()e
it
d.
(3.2.16)
s x () =
1
rx ( )e it d.
2
(3.2.17)
Theo cng thc (3.2.12) ta c
S x ( ) =
1
Rx ( )ei d.
2
(3.2.18)
i vi qu trnh ngu nhin thc, khi cho =' v n tnh chn ca Rx ( ) , ta nhn c
S x ( ) =
=
1
Rx ( ' )e i' d' =
2 +
1
Rx (' )e i' d' = S x ().
2
(3.2.19)
T thy rng i vi qu trnh ngu nhin thc, S x () cng l hm chn, tnh thc ca n suy ra
t tnh thc ca Rx () .
Do tnh chn ca Rx () v S x () , i vi qu trnh ngu nhin thc c th vit
Rx ( ) = 2 S x () cos d.
(3.2.20)
S x () =
1
Rx ( ) cos d.
0
(3.2.21)
Ta c th vit cc cng thc tng t i vi hm tng quan chun ho rx () v mt ph chun
ho s x () ca qu trnh ngu nhin thc
rx ( ) = 2 s x () cos d.
(3.2.22)
87
s x () =
1
rx ( ) cos d.
0
(3.2.23)
i vi qu trnh ngu nhin c ph ri rc, ph gin on ca phng sai c thay th bng ph

lin tc vi mt phng sai S x () . Hm S x () c th c biu din bng th (hnh 3.2).
Dx = Rx (0) = 2 S x ()d.
(3.2.24)
nn phng sai bng hai ln din tch gii hn bi ng cong S x () c xy dng i vi 0, hoc
bng din tch gii hn bi ng cong S x () c xy dng trn ton khong (, +).
Nu xy dng th mt ph chun ho th din tch nm di n bng 1 bi v:
rx (0) =
sx ()d = 1.
(3.2.25)
Hnh 3.2
i vi h cc qu trnh ngu nhin dng v lin h dng X 1 (t ), X 2 (t ),..., X n (t ) , ngoi mt ph
ca mi qu trnh S xi () , ngi ta cn xt mt ph quan h S xi x j () , l bin i Fourier ln nhau vi
cc hm tng quan quan h tng ng Rxi x j ( ) .
Rxi x j ( ) =
S xi x j ()e
d.
(3.2.26)
1
S xi x j () =
Rxi x j ( )e i d.
(3.2.27)
Ta s xc nh cc mt ph ca cc qu trnh ngu nhin dng xt trong mc 2.5.

1. Gi s qu trnh ngu nhin dng X (t ) c hm tng quan chun ho
Rx ( ) = e
, > 0 .
(3.2.28)
Theo (3.2.17), khi mt ph chun ho c xc nh di dng
s x () =
=
1
1 ( i)
i
( + i )
e
e
d
e
d
e
d
2
2
1 1
1
+
=
2
2 i + i + 2
y l mt hm chn, t gi tr cc i bng
(3.2.29)
1
khi tn s = 0 .
Ta hy xt s ph thuc vo tham s ca hm tng quan v mt ph tng ng vi n.
Trn hnh 3.3a, b biu din cc th r ( ) v s () tng ng vi cc gi tr = 0,5; 1; 3.

88
T hnh 3.3a thy rng, khi tng tham s , hm tng quan gim nhanh hn, tc l vi cng mt
khong , mi quan h tng quan gia cc lt ct X (t ) v X (t + ) ca hm ngu nhin gim khi tng.
Trong mc 2.6, ta gi i lng T1 trong cng thc (2.6.7) l thi gian tng quan. i vi trng
hp ang xt
T1 ( ) = e d =
0
(3.2.30)
tc l i lng 1/ l thi gian tng quan, c trng cho tc tt dn ca mi lin h tng quan.
Vic so snh cc ng cong trn hnh 3.3b ch ra rng, vi cc gi tr b, mt ph gim nhanh
khi tng tn s , tc l cc tn s nh c gi tr chim u th trong ph ca qu trnh ngu nhin. Khi
tng, mt ph thay i u n hn, gim chm hn khi tn s tng. i vi cc gi tr ln, khi tng
, mt ph gim rt chm, hu nh khng i v bng s (0) trn mt di tn s kh ln.
Qu trnh ngu nhin m mt ph ca n khng i trong mi di tn s s x () = s x (0 ) = const ,
c gi l n trng, tng t vi nh sng trng, m thnh phn ph dng nh ng nht. V mt
vt l, qu trnh nh vy l khng c thc, v phng sai Dx =
S x ()d ca n tr thnh v hn.
Hnh 3.3
Tuy nhin, c th xt n nh l trng hp ti hn ca qu trnh ngu nhin thc c dng ang xt

khi cho dn ti v hn. Thng thng, mt cch gn ng, qu trnh ngu nhin m mt ph ca n
thay i t trn mt di tn s ln c xem nh n trng khi b qua cc tn s ln.
r ( ) = e , > 0
2
2.
(3.2.31)
Khi
2 0
1
1 4
2 i
2 d.
s () =
e
e
d
=
e
e
2
2
(3.2.32)
Bng php i bin, tch phn cui cng c a v tch phn Poatxng, bng
. T
1
s () =
e 4
2
(3.2.33)
Trn hnh 3.4 a,b biu din cc th r ( ) v s () i vi = 0,5; 1 v 3.

T hnh 3.4 thy rng, tnh cht ph thuc ca r () v s () v mt nh tnh cng ging nh trong
v d trc, ch c dng ng cong b thay i.
3.
r ( ) = e
cos , > 0 .
(3.2.34)
89
Biu din cos qua hm m theo cng thc Euler
cos =
1 i
e + e i
2
(3.2.35)
Khi
s () =
1 1
i
e
e + e i e i d =
2 2
1 1
1
i ( )
i ( + )
e
e
d +
e
e
d .
=
2 2
2
3.2.36)
Tng t nh (3.2.29), ta nhn c
s () =
=
2
2
2
2 + ( )
+ ( + )2
] [
2 + 2 + 2
2 + 2 + 2
=
2 2 2 2 + 4 22 2 + 2 + 2 2 42 2
(3.2.37)
Trong trng hp ny, hm tng quan v mt ph c xc nh bi hai tham s v . Tham

s xc nh mc suy gim nhanh ca bin dao ng ca hm tng quan, tham s xc nh chu
k ca qu trnh dao ng .
Ta s lm sng t tnh cht ph thuc ca hm tng quan v mt ph tng ng ca n vo mi
quan h ca cc tham s .
Trn hnh 3.5 a,b biu din th cc hm r ( ) v s () cho 3 trng hp:
1) = 0,5; = 2 (ng cong I);
2) = 1; = 1 (ng cong II);
3) = 2; = 0,5 (ng cong III).
Hnh 3.4
T hnh 3.5 thy rng, khi gi tr ca t s / b (ng cong I, /=0,25), th hm tng quan
gn vi dao ng iu ho tn s . Trong trng hp ny, mt ph c cc i biu hin r khi = ,
trong ph ca qu trnh ngu nhin c cc tn s chim u th gn vi tn s .
90
Hnh 3.5
I) =0,5, =2; II) =1, =1; III) =2, =0,5
Vic tng / lm y nhanh s tt dn ca hm tng quan, cc i ca mt ph tr nn t r nt

hn. Vi cc gi tr / ln (ng cong III, /=4), hm tng quan trn thc t ch khc 0 ti nhng tr
s khng ln. Trong trng hp ny, khi tng tn s , mt ph thay i chm, gn vi gi tr ban u
s(0 ) trn mt di tn s ln.
r ( ) = e cos , > 0
2
4.
(3.2.38)
Thay cos theo (3.2.35), ta c
s () =
2
1 1
1
2 + i ( )
e
d
e i (+ ) dt
2 2
2
(3.2.39)
S dng v d 2, ta nhn c
( + )2
( )2
1 4
s () =
e
+ e 4
(3.2.40)
Trn hnh 3.6 a,b biu din cc th r () v s () vi cc gi tr v nh trn hnh 3.5.

Tnh cht ph thuc ca hm tng quan v mt ph vo cc tham s, v nh tnh, ging nh v
d 3.
r ( ) = e
5.
cos + sin , > 0 , > 0
(3.2.41)
Khi thay sin bng hm m theo cng thc Euler
sin =
1 i
i
e
e
2i
(3.2.42)
ta nhn c
s () =
1

e
cos d +
2
1
1
i ( i ) i
i (+ i ) i
e
d
e
d
2i 2
2
(3.2.43)
Hng th nht l s () trong v d 3, cc hng trong ngoc nhn l s () trong v d 1, nhn c khi
thay tng ng bng i v +i. T ta c
91
s () =
2 + 2 + 2
+
2 + 2 + 2 2 4 2 2
+
2
=
2i + ( i )2 2 + ( + i )2
=
2 + 2
2
2
2
2
2
2
+ + 4
(3.2.44)
th cc hm r ( ) v s () c dn ra trn hnh 3.7a,b i vi cc gi tr , nh trn hnh 3.5.

6.
1
r ( ) = 0
0 0
(3.2.45)
Coi qu trnh ngu nhin l thc, ta c th tnh mt ph theo cng thc (3.2.23).
1
s () =
1 0 cos d
(3.2.46)
S dng cng thc tch phn theo tng phn, ta nhn c
s () =
1
(1 cos 0 )
2 0
(3.2.47)
Gi tr s(0 ) cn c xt nh l gii hn ca s () khi tin dn ti 0.
1
(1 cos 0 ) = 0
2
0
2
0
s (0 ) = lim
(3.2.48)
Trn hnh 3.8 a,b biu din th cc hm r () v s () vi cc gi tr ca tham s 0 = 1, 2, 3.

T hnh 3.8 thy rng, s thay i ca mt ph theo tn s l mt qu trnh dao ng: s () nhn
cc gi tr cc tiu
s () = 0 vi =
2k
, k = 1,2 ...
0
v t cc gi tr cc i gim theo s tng ca tn s .
Hnh 3.6
I) =0,5, =2; II) =1, =1; III) =2, =0,5
Khi tng tham s 0, cc gi tr cc i tng i ca mt ph cng tng v th hin u th r nt

hn trong ph ca qu trnh ngu nhin ti cc tn s ri rc ring bit, nht l khi tn s = 0.
92
Trong tt c cc trng hp xt, cc mt ph s () l nhng hm khng m vi mi gi tr tn
s . Do , theo nh l Khintrin, hm r () , bin i ngc Fourier ca chng, tht s l hm tng quan

ca cc qu trnh ngu nhin dng.
7. Xt hm:
2
1
r ( ) = 02
khi 0
(3.2.49)
khi > 0
Ta s lm sng t xem n c th l hm tng quan ca mt qu trnh ngu nhin dng no khng.

Ta tm mt ph i vi n theo cng thc (3.2.14).
s () =
2
1 2 cos d
0
0
(3.2.50)
S dng hai ln cng thc tch phn tng phn, ta c:
s () =
1 1
sin 0 0 cos 0
2 2
0
(3.2.51)
th cc hm r ( ) v s () dn ra trn hnh 3.9a,b.

Trong trng hp ny, mt ph khng phi l hm khng m vi mi , do r ( ) khng th l
hm tng quan ca qu trnh ngu nhin dng.
Hnh 3.7
I) =0,5, =2; II) =1, =1; III) =2, =0,5
3.3. PHN TCH IU HO TRNG NGU NHIN NG NHT

Tng t nh qu trnh ngu nhin dng, c th biu din trng ngu nhin ng nht
U ( ) = U (x , y , z ) di dng tch phn Fourier - Stiltex
r
r
U ( ) = ei( k )d( k )
(3.3.1)
rr
y cc sng phng e i( k ) ng vai tr dao ng iu ho, trong k . l tch v hng ca
r
r
r
vect k v vect . Tch phn c tri trn ton khng gian ca vect sng k .
r
Gi thit rng, k vng ton hc ca trng bng khng, cn hm tng quan Ru l gim kh nhanh
()
trn khong v hn sao cho
93
Ru ( l ) dl
<
(3.3.2)
v bng cch lp lun tng t nh xt trong mc 3.2 cho trng hp ba chiu, ta c th vit hm tng
quan di dng
()
r
r r
Ru l = ei( kl ) Su ( k )dk
(3.3.3)
()
r
r
trong dk l yu t th tch trong khng gian sng, cn hm Su k c gi l mt ph ba chiu, n
phi l mt hm khng m.
Hnh 3.9
Hnh 3.8
Hm tng quan l bin i ngc Fourier ba chiu ca mt ph. T , ging nh php bin i
Fourier i vi hm tng quan, c th xc nh mt ph theo cng thc
()
r
r r
1
i( kl )
Su k = 3 e
Ru ( l )dl
(3.3.4)
8
r
Trong trng hp U () l trng ng nht ng hng, hm tng quan l hm ca i s v
r
r
hng l = 2 1 . Khi d dng tnh c tch phn trong cng thc (3.3.4) khi chuyn v to cu.
rr
Ta biu din tch v hng k .l di dng
rr
r^ r
k .l = kl cos k .l

(3.3.5)
r
r
Hng h to cu sao cho gc gia cc vect k v l trng vi mt to cu gc . Khi
()
Su k =
=
1
8 3
r r
1
i( kl )
e
R
(
l
)dl =
u
8 3
ikl cos
Ru ( l )l 2 sin dddl
(3.3.6)
0 00
Bng php thay bin cos = t trong tch phn hai lp ta nhn c
2
00
ikl cos
sin dd = 2 e ikl cos sin d =
e
1
= 2 e iklt dt =
1
94
4
sin( kl ) .
kl
(3.3.7)
t (3.3.7) vo (3.3.6) ta c
r
1
Su ( k ) = 2
2
sin( kl )
Ru ( l )l 2 dl
kl
0
(3.3.8)
T thy rng, mt ph ca trng ng nht ng hng l hm ca mt i s v hng k.
sin( kl )
Ru ( l )l 2 dl
kl
0
1
Su ( k ) = 2
2
(3.3.9)
i vi trng ng nht ng hng, khi s dng phng php tng t tnh tch phn (3.3.3), ta
nhn c
sin( kl )
Su ( k )k 2 dk
kl
0
Ru ( l ) = 4
(3.3.10)
V mt ph phi l hm khng m, nn cc hm tng quan Ru (l ) ca trng ng nht ng

hng ch c th l nhng hm sao cho tch phn (3.3.9) khng m vi mi k0.
i vi trng ng nht ng hng trn mt phng, cc cng thc cho hm tng quan Ru (l ) v
mt ph Su (l ) c biu th nh nhng php bin i Fourier ln nhau theo cc cng thc
r
Ru ( l ) = ei( kl ) Su ( k )dk
Su ( k ) =
r
1
i( kl )
e
Ru ( l )dl
2
4
(3.3.11)
(3.3.12)
r
r
y, dk v dl l cc yu t din tch.
r
Khi chuyn v to cc v hng trc cc theo vect k , ta nhn c
rr
k .l = kl cos ,
(3.3.13)
Su ( k ) =
1
4 2
ikl cos
Ru ( l )ldld
(3.3.14)
00
V
2
1
e ikl cos d = J o ( kl )
2 0
(3.3.15)
l hm Bessel loi I bc 0, nn (3.3.14) c vit di dng
Su ( k ) =
y, l =
1
J o ( kl )Ru ( l )ldl
2 0
(3.3.16)
(x2 x1 )2 + ( y2 y1 )2 .
Tng t, ta nhn dc
Ru ( l ) = 2 J o ( kl )Su ( k )kdk .
(3.3.17)
cho hm Ru (l ) l hm tng quan ca trng ng nht ng hng trn mt phng th tch phn
(3.3.16) cn phi khng m vi mi k 0.
95
Ta hy xt mt vi v d tnh mt ph.
1. Gi s hm tng quan ca trng ng nht ng hng ba chiu c dng
R(l ) = 2 e
,>0
(3.3.18)
Khi mt ph c xc nh theo cng thc (3.3.9)
S (k ) =
2
e l l sin( kl )dl .
2
2 k 0
(3.3.19)
Ta xt tch phn
J = e l l sin( kl )dl
(3.3.20)
S dng phng php tch phn tng phn, ta c
J=
k
1 l
e l sin( kl )dl + e l l cos( kl )dl
0
0
(3.3.21)
S dng phng php tng t cho tch phn
J1 = e l l cos( kl )dl
(3.3.22)
ta c
J1 =
k
1 l
e l cos( kl )dl e l l sin( kl )dl
0
0
(3.3.23)
t (3.3.23) vo (3.3.21) ta c
J=
k 2 l
k2
1 l
+
e
sin(
kl
)
dl
e
cos(
kl
)
dl
J.
0
2 0
2
(3.3.24)
J=
e l sin( kl ) + cos( kl ) dl
2
2
k + 0
(3.3.25)
S dng hai ln phng php tch phn tng phn cho (3.3.25), ta nhn c
J=
(k
2k
2
(3.3.26)
2 2
t (3.3.26) vo (3.3.19) cui cng ta c
S (k ) =
k 2 + 2
(3.3.27)
Mt ph (3.3.27) khng m vi mi gi tr ca k, do hm (3.3.18) c th l hm tng quan ca

trng ngu nhin ba chiu. th ca mt ph (3.3.27) c biu din trn hnh 3.10).
2.
R(l) = 2e l , > 0 .
Mt ph trong trng hp ny c xc nh di dng
96
(3.3.28)
k2
2
2
2
S (k ) = 2 e l l sin( kl )dl =
e 4
3/ 2
2 k 0
8( )
(3.3.29)
Hm (3.3.29) cng l hm khng m vi mi k, do hm (3.3.28) c th l hm tng quan ca

trng ngu nhin ba chiu. th mt ph (3.3.29) c biu din trn hnh 3.11.
3. i vi hm
R(l ) = 2e
cos l , > 0 , > 0
(3.3.30)
mt ph bng
S (k ) =
2
e l cos l sin( kl )ldl =
2
2 k 0
2 k 4 + 2k 2b 2 + ( 2a b 2 )b 2
2
2
k 4 + 2ak 2 + b 4
(3.3.31)
trong a = 2 2 ,b = 2 + 2 .
th S(k) c biu din trn hnh 3.12.
Hnh 3.10
Hnh 3.11
I) =0.5, =2; II) =1, =1;
III) =2, =0.5
Hnh 3.12
I) =0.5, =2; II) =1, =1;
III) =2, =0.5
Trong trng hp ny, S (k ) 0 vi mi k0 ch khi bt ng thc 2 > 3 2 hay > 3 c

tho mn, v do , ch khi > 3 th hm Ru(l) mi c th l hm tng quan ca trng ngu nhin ba
chiu.
Nh nu trong mc 3.2, hm R( ) = 2e
cos vi mi >0 v >0 c th l hm tng
quan ca qu trnh ngu nhin dng (trng ng nht). Hm tng quan ca trng ngu nhin ng nht
ng hng ba chiu (hoc hai chiu) R (l ) khi thay th l = lun lun c th l hm tng quan ca qu
trnh ngu nhin dng (trng ng nht mt chiu), v ti tt c mi im ca ng thng y = z = 0,
trng ng nht ng hng ba chiu l trng ng nht mt chiu.
Nh nu v d cui cng, iu ngc li s khng xy ra, tc l nu hm R ( ) l hm tng
quan ca trng ng nht mt chiu th khng th suy ra c rng, mt hm, l hm ca khong cch
gia cc im, c th l hm tng quan ca trng hai hoc ba chiu.
97
Chng 4
BIN I TUYN TNH QU TRNH NGU NHIN DNG
4.1. BIN I HM NGU NHIN BNG TON T TUYN TNH
Gi s hm (t ) nhn c t hm f (t ) bng cch thc hin mt s php ton no v L l k
hiu qui c cc php ton ny, tc l L l qui tc, theo hm f (t ) bin i thnh (t ) . Trong ton hc,
ngi ta gi qui tc, theo n mt tp hm c nh x sang mt tp hp hm khc, l ton t. Ta s ni

rng, hm (t ) l kt qu tc dng ton t L ln hm f (t ) , tc l
(t ) = L{ f (t )} .
(4.1.1)
Trong k thut v tuyn v cc ng dng k thut khc, ngi ta thng gi hm f (t ) l tc dng li
vo, hm (t ) l tn hiu ra, cn L l ton t ca h lm bin i tc dng li vo. Ton t L c gi l

tuyn tnh, nu n tho mn hai iu kin sau:
1.
L{cf (x )} = cL{ f (x )}
(4.1.2)
tc l kt qu tc dng ton t ln tch ca hm f (t ) v mt tha s khng i c bng tch ca tha s

vi kt qu tc dng ton t ln f (t ) .
2.
L{ f1 (t ) + f 2 (t )} = L{ f1 (t )} + L{ f 2 (t )}
(4.1.3)
tc l kt qu tc dng ton t ln tng hai hm bng tng kt qu tc dng ton t ln mi hm ring bit.
Ton t khng tho mn cc iu kin trn gi l ton t phi tuyn.
V d, ton t vi phn l ton t tuyn tnh v n tho mn cc ng thc
d
{cf1 (t )} = c d { f1 (t )}
dt
dt
v
d
{ f1 (t ) + f 2 (t )} = d { f1 (t )} + d { f 2 (t )} .
dt
dt
dt
Ton t ly tch phn l ton t tuyn tnh. Ton t nhn c khi tc dng lin tip mt s ton t
tuyn tnh cng l ton t tuyn tnh. Ton t ly k vng ton hc ca hm ngu nhin l ton t tuyn
tnh.
V d v ton t phi tuyn l php ton nng ln lu tha, ton t ly phng sai hm ngu nhin.
Nu hm ngu nhin Y (t ) l kt qu tc dng ca mt ton t tuyn tnh L bt k ln hm ngu nhin
X (t ) c k vng ton hc mx (t ) v hm tng quan Rx (t1 ,t2 ) , tc l

th
Y (t ) = L{X (t )}
(4.1.4)
m y (t ) = L{mx (t )}
(4.1.5)
R y (t1 ,t2 ) = L(t1 )L(t 2 ){Rx (t1 ,t2 )}
(4.1.6)
ngha l m y (t ) nhn c bng cch tc dng ton t L ln mx (t ) , R y (t1 ,t2 ) nhn c bng cch tc
dng hai ln ton t L ln hm Rx (t1 ,t2 ) , u tin theo i s th nht t1, sau theo i s th hai t2.
Thc vy,
98
m y (t ) = M [L{X (t )}]
(4.1.7)
Ton t L tc dng ln bin t, ton t tm k vng ton hc tin hnh ly trung bnh tung ca hm
ngu nhin (khi c nh t) theo tp hp tt c cc gi tr c th ca i lng ngu nhin X (t ) , cng l
ton t tuyn tnh. V vy, c th i ch trt t tc dng ca cc ton t M v L cho nhau, tc l
m y (t ) = L{M [X (t )]} = L{mx (t )} , v iu chng minh cho ng thc (4.1.5).
Tip theo
[(
{[
][
]}
R y (t1 ,t2 ) = M Y (t1 ) m y (t1 ) Y (t2 ) m y (t2 ) =
)(
)]
= M L(t1 ){X (t1 )} L(t1 ){mx (t1 )} L(t 2 ){X (t2 )} L(t 21 ){mx (t2 )} =
= M L(t1 )L(t 2 ){ [X (t1 ) mx (t1 )] [ X (t2 ) mx (t2 )] } =

= L(t1 )L(t 2 ){M [ [ X (t1 ) mx (t1 )] [ X (t2 ) mx (t2 )] ] } =
= L(t1 )L(t 2 ){ Rx (t1 ,t2 ) } .
Cc cng thc trnh by trong chng 2 i vi k vng ton hc v hm tng quan ca o hm
v tch phn ca hm ngu nhin l cc trng hp ring ca (4.1.5) v (4.1.6).
Vic bit Dx (t ) l cha nhn c phng sai D y (t ) ca qu trnh ngu nhin Y (t ) . Trc ht
cn phi tm hm tng quan R y (t1 ,t2 ) theo cng thc (4.1.6), sau th vo n t1 = t2 = t.
tm cc c trng ca hm ngu nhin, l kt qu tc dng ton t phi tuyn ln hm ngu

nhin X (t ) , th bit mx (t ) v Rx (t1 ,t2 ) cng cha , v trong trng hp ny, qui lut phn b ca hm
X (t ) ng mt vai tr quan trng. i vi cc ton t phi tuyn, c th nhn c nhng kt qu tng
i n gin nhng ch trong mt s trng hp ring.

Trong trng hp tc dng ton t tuyn tnh ln hm X (t ) c qui lut phn b chun, hm ngu
nhin Y (t ) = L{X (t )} cng tun theo qui lut phn b chun, bi v do tnh cht tuyn tnh ca ton t L,
hm Y (t ) c th ch nhn c nh t hp tuyn tnh ca mt s hu hn hoc v hn cc tung ca

hm X (t ) . Nhng t l thuyt xc sut ta bit rng, t hp tuyn tnh cc i lng ngu nhin phn b
chun ph thuc hoc c lp u tun theo qui lut phn b chun.

Do vy, trong trng hp X (t ) l hm ngu nhin tun theo qui lut phn b chun, th Y (t ) cng
tun theo qui lut phn b chun v cc c trng m y (t ) , R y (t1 ,t2 ) tm c hon ton xc nh n.
Nu X(t) khng phi l hm ngu nhin phn b chun, th Y(t) cng s khng c cng qui lut phn
b vi X(t). Qui lut phn b chun cng s khng c bo ton nu ton t L khng tuyn tnh.
4.2. BIN I TUYN TNH DI DNG PH

Ta hy biu din php bin i tuyn tnh di dng ph. Mun vy, ta s dng khi nim hm delta
Dirac, mt hm c s dng rng ri trong ton hc.
Hm delta (t ) l hm c cc tnh cht sau:
1)
0
(t ) =
t0
t =0
(4.2.1)
tc l (t ) bng khng vi mi gi tr t khc khng, cn ti im t = 0 th tng ln v hn.

2) Tch phn hm delta trn ton min v hn bng n v
(t ) dt = 1
(4.2.2)
99
Hm delta khng phi l hm theo ngha thng thng, m l mt hm tng trng no . Theo
ngha chnh xc, hm c cc tnh cht (4.2.1) v (4.2.2) khng tn ti. Tuy nhin c th xt hm (t) theo
mt ngha no ging nh gii hn ca hm thng thng.
Ta ly hm Gauss lm v d
f (t ) =
1
e
2
t2
2 2
i vi hm ny, h thc (4.2.2) c tho mn.
Hnh 4.1
Ta s gim i lng xung, khi th ca hm s nhn hn (trong nguyn bn vit l th

1
gin ra ND) (hnh 4.1), gi tr cc i f (0 ) =
s tng, cn min gi tr khc khng ca hm thu
2
hp li. Ly gii hn khi 0, ta nhn c hm c tnh cht ca hm delta.
S dng khi nim gii hn ny c th biu din hm delta di dng tch phn. Tng ng vi mc
1.12, mt phn b ca i lng ngu nhin phn b chun c th c biu din nh l php bin i
ngc Fourier hm c trng ca n. Theo (1.12.25), hm ny c dng g () = e
2 2
2
. Do tnh chn ca
hm ny nn ta c ng thc
1
e
2
t2
2
1
=
e it e
2 2
2 d
(4.2.3)
Ly gii hn hai v ng thc (4.2.3) khi 0 ta nhn c biu din tch phn hm delta
( t ) =
1
e it d
2
(4.2.4)
Nu xt hm delta ca i s t , vi l mt s xc nh, th
0
(t ) =
t
t=
(4.2.5)
(t ) dt = 1
(4.2.6)
i vi mi hm f (t ) bt k lin tc ti t = , ta c ng thc
f () (t ) d = f (t )
(4.2.7)
iu ny c suy ra mt cch n gin nh sau, mc d khng tht cht ch: V (t ) khc 0 ch
khi t = , nn tch phn (4.2.7) khc 0 ch trong khong [t ,t + ] , vi > 0 b tu . T :

100
f ( )(t )d =
t +
f ()(t )d
t +
= f (t ) (t )d = f (t ) (t )d = f (t )
K hiu g (t , ) l kt qu tc dng ton t tuyn tnh L no ln hm delta (t ) ti im c
nh
g (t , ) = L{(t )}.
(4.2.8)
Nh hm g (t , ) ny, ta s biu th kt qu tc dng ton t L cho ln hm f (t ) bt k cho trn

on [a,b].
Tc dng ton t tuyn tnh L ln hai v ng thc (4.2.7), ta c
b
L{ f (t )} = g (t , ) f () d
(4.2.9)
Nh vy, hm (t ) = L{ f (t )} , l kt qu tc dng ton t tuyn tnh L ln hm f (t ) , c th c biu

din di dng
b
(t ) = g (t , ) f ( ) d
(4.2.10)
Hm g (t , ) , l kt qu tc dng ton t L ln hm delta (t ) , c gi l hm trng lng.

(Trong k thut v tuyn ngi ta gi n l hm chuyn xung).
Nu hm f (t ) c cho trong khong v hn (, +) th c th vit
(t ) =
g (t , ) f () d
(4.2.11)
Trong trng hp ring, nu ton t L l dng th hm trng lng ch ph thuc vo hiu t . Khi
c th vit
(t ) =
g (t ) f () d
(4.2.12)
Tch phn (4.2.12) c gi l tch phn chp ca hm f (t ) v g (t ) .

K hiu S f () v S () l bin i Fourier (mt ph) tng ng ca cc hm f (t ) v (t ) . Khi
ta c:
f (t ) =
S f () e
it
(4.2.13)
(4.2.14)
(t ) =
S () e
it
t cc biu thc trn vo (4.2.12), ta nhn c
it
S () e d =
i
(
)
g
t
S f () e d d
(4.2.15)
Thay i th t ly tch phn trong tch phn hai lp v lm php i bin t =1, ta c
101
it
S () e d =
i
it
(
)
S
e
g (1 )e 1 d1 d
f

(4.2.16)
K hiu G () l bin i Fourier (mt ph) ca hm trng lng g (t )
G () =
1
g (t ) e it dt
2
(4.2.17)
Tch phn trong mc vung (4.2.16) bng 2G(), t c th vit
[S () S f () .2G() ] e
it
d = 0
(4.2.18)
iu ny chng t rng, bin i ngc Fourier hm S ( ) S
( ) . 2 G ( )
bng 0, v do
ng thc sau cn c tho mn
S () = S f () .2G () .
Hm
L() = 2G () =
g (t ) e
it
dt
(4.2.19)
(4.2.20)
c gi l hm truyn ca ton t tuyn tnh L. T c th vit (4.2.19) di dng
S () = S f ()L()
(4.2.21)
Nh vy, mt ph S () , kt qu ca vic tc dng ton t tuyn tnh L ln hm f (t ) , bng tch
mt ph S f () ca hm f (t ) v hm truyn L() ca ton t.
4.3 MT PH CA PHP BIN I TUYN TNH QU TRNH NGU

NHIN DNG
By gi ta xt qu trnh ngu nhin dng X (t ) c k vng ton hc bng 0 v hm tng quan Rx (t )
cho trc. V gi s mt qu trnh ngu nhin Y (t ) khc l kt qu tc dng ton t tuyn tnh dng L ln
qu trnh ngu nhin X (t )
Y (t ) = L{X (t )}.
(4.3.1)
Khi ta c th biu din qu trnh ngu nhin Y (t ) di dng
Y (t ) =
vi g (t ) l hm trng lng.
g (t )X ()d
(4.3.2)
Tht vy, mi th hin yi (t ) ca qu trnh ngu nhin Y (t ) , kt qu tc dng ton t L ln hm
khng ngu nhin xi (t ) , l th hin tng ng ca qu trnh ngu nhin X (t ) , v do i vi chng h

thc (4.3.2) l ng, khi n cng ng i vi tp tt c cc th hin.
Trong trng hp ton t tuyn tnh L c cho di hnh thc mt b bin i thc no , th
nguyn tc cn tho mn l kh nng thc hin c v mt vt l, m theo phn ng ca b bin i
ln tc dng li vo khng th xut hin trc khi bt u c tc ng xy ra, tc l hm trng lng
g (t ) cn phi ng nht bng 0 khi t < .
Xut pht t , i vi b bin i thc, cng thc (4.3.2) cn phi vit di dng
102
Y (t ) =
g (t )X ()d
(4.3.3)
Thc hin php i bin t =1, ta c
Y (t ) = g ( )X (t )d
(4.3.4)
vi g (t ) = 0 khi t < 0.
Ta xc nh hm tng quan qu trnh ngu nhin Y (t ) .
Ry (t1 ,t2 ) = M [Y (t1 )Y (t2 )] =

= M g (1 )X (t1 1 )d1 g ( 2 )X (t2 2 )d 2

0
0
= g (1 ) g ( 2 )M [X (t1 1 )X (t2 2 )]d 2 d1 =
0
0
= g (1 ) g ( 2 )Rx (t2 t1 2 + 1 ) d 2 d1
0
(4.3.5)
T thy rng, hm tng quan Ry (t1 ,t2 ) ch ph thuc vo hiu t2 t1 =, tc l Y (t ) l qu trnh

ngu nhin dng theo ngha rng.
Rx ( ) = g (1 ) g ( 2 )Rx ( 2 + 1 ) d 2 d1
(4.3.6)
Ta xc nh mt ph ca qu trnh ngu nhin Y (t )
Sy () =
=
1
R y ( )e i d =
1
e i g (1 ) g ( 2 )Rx ( 2 + 1 ) d 2 d1 d
2
0
0
(4.3.7)
Thay i th t tch phn trong tch phn ba lp v lm php i bin 2 + 1 = t, ta nhn c

tch ca ba tch phn mt lp
Sy () =
1
g (1 )ei1 d1 g ( 2 )e i 2 d 2 Rx (t )e it dt .
2 0
0
(4.3.8)
Khi tha s
Tch phn
1
Rx (t )e it dt = S x () l mt ph qu trnh ngu nhin X (t ) .
2
g (2 )e
i 2
d 2 = L() l hm truyn ca ton t L.
V hm trng lng ch nhn cc gi tr thc, nn tch phn
g (1 )e
i1
d1 = L * () l i lng
lin hp phc ca hm truyn. Nh vy, cng thc (4.3.8) c th vit di dng:

103
Sy () = L()L * ()Sx ()
(4.3.9)
Sy () = L() Sx ()
(4.3.10)
hay
2
Do vy, mt ph ca kt qu bin i qu trnh ngu nhin dng X (t ) nh ton t tuyn tnh dng
L bng tch mt ph ca qu trnh ngu nhin v bnh phng modul hm truyn ca ton t.
4.4. NGHIM DNG CA PHNG TRNH VI PHN TUYN TNH C H S

HNG S
lm v d cho ton t tuyn tnh ta xt phng trnh vi phn tuyn tnh c h s hng s
an
= bm
d n y (t )
d n 1 y (t )
dy (t )
+
a
+ ..... + a1
+ a0 y (t ) =
1
n
n 1
n
dt
dt
dt
d m x(t )
d m 1 x(t )
dx(t )
+
b
+ ..... + b1
+ b0 x(t )
m 1
m 1
m
dx
dt
dt
(4.4.1)
Nh bit t l thuyt phng trnh vi phn tuyn tnh c v phi, nghim tng qut ca phng
trnh (4.4.1) bng tng ca nghim tng qut y( t ) ca phng trnh thun nht tng ng v mt nghim
ring bt k ca phng trnh khng thun nht. Nghim y( t ) xc nh dao ng t do hay dao ng
ring ca qu trnh ang xt, khng ph thuc vo hm x(t ) . Trn thc t thng gp nhng qu trnh n
nh, trong dao ng t do tt dn theo thi gian.
Nu xt mt thi im kh xa so vi thi im ban u, khi cc dao ng t do trn thc t khng
cn tn ti, ta c th t y( t ) = 0. Khi , bi ton dn ti vic tm dao ng cng bc y (t ) gy nn bi
x(t ) . Ngi ta gi qu trnh nh vy l n nh phn bit vi qu trnh chuyn tip m cn tn ti
dao ng t do.
Ta k hiu ton t vi phn bng ch ci p, tc l
p=
d 2 d2
dn
, p = 2 , ....., p n = n .
dt
dt
dt
(4.4.2)
Khi c th vit phng trnh (4.4.1) di dng k hiu
(a p
= (b p
n
)
+ ... + b p + b )x(t )
+ an 1 p n 1 + ... + a1 p + ao y (t ) =
+ bm 1 p m 1
(4.4.3)
an p n + an 1 p n 1 + ... + a1 p + ao = An ( p )
bm p m + bm 1 p m 1 + ... + b1 p + bo = Bm ( p )
(4.4.4)
ta c th vit (4.4.3) di dng k hiu gn hn
y (t ) =
Bm ( p )
x(t )
An ( p )
(4.4.5)
Bm ( p )
l ton t phng trnh vi phn (4.4.1) c vit di dng k hiu. C th ni
An ( p )
rng hm y (t ) l kt qu tc dng ton t ln hm x(t ) . V phng trnh vi phn tuyn tnh c h s
khng i tho mn nguyn l chng cht, tc l nu x(t ) l tng ca mt s hm th nghim y (t ) bng
Biu thc
104
tng cc nghim ca mi hng t ring r, nn ton t ang xt l tuyn tnh. V khi , t nhng iu
trnh by mc 4.2, c th tm nghim y (t ) , kt qu ca vic tc dng ton t tuyn tnh (4.4.5) ln hm
x(t ) , theo cng thc (4.2.12) di dng:
y (t ) =
g (t ) x() d ,
(4.4.6)
nu bit trc hm trng lng g (t ) , l nghim ca phng trnh vi phn (4.4.1), trong hm delta
(t ) ng vai tr l x(t ) .
Nh vy, tm nghim y (t ) ca phng trnh (4.4.1) cn tm nghim ca phng trnh:
g (t ) =
Bm ( p )
(t )
An ( p )
(4.4.7)
i vi mi gi tr t khi c nh v t hm g (t ) tm c vo (4.4.6).
Thun tin hn s tm nghim y(t ) di dng ph khi s dng cng thc lin h (4.2.21) gia mt
ph ca cc hm x(t ) v y (t ) . Khi cn phi tm hm truyn L() ca ton t
Bm ( p )
.
An ( p )
tm hm truyn L() , ta xem x(t ) l dao ng iu ho
x(t ) = eit
(4.4.8)
Khi , theo (4.4.6), nghim y (t ) c vit di dng
y (t ) =
i
g (t )e d =
= eit
g ()e
g ()e
i(t )
d =
d = eit L()
(4.4.9)
Ta thay (4.4.8) v (4.4.9) vo (4.4.1).

V :
d k i t
e = (i)k eit
k
dt
(4.4.10)
d k it
e L() = (i)k L()eit
dt k
(4.4.11)
nn ta c :
[a (i) + a (i) + ... + a (i) + a ]L() e

= [b (i) + b (i)
+ ... + b (i) + b ] e
n
n 1
n 1
m 1
m 1
it
it
=
(4.4.12)
T ta nhn c biu thc i vi hm truyn
L() =
bm (i)m + bm 1 (i)m 1 + ... + b1 (i) + b0

an (i)n + an 1 (i)n 1 + ... + a1 (i) + a0
(4.4.13)
Khi s dng k hiu (4.4.4) c th vit
L() =
Bm (i)
An (i)
(4.4.14)
105
Nh vy, xc nh hm truyn, thay cho ton t vi phn p, cn phi t vo ton t phng trnh vi
phn i lng i.
Khi thay biu thc tm c ca hm truyn vo (4.2.21), ta nhn c biu thc i vi mt ph
S y () ca nghim phng trnh vi phn
S y () =
Bm (i)
S x ()
An (i)
(4.4.15)
trong S x () l mt ph ca hm x(t ) .
By gi ta xt trng hp khi x(t ) trong phng trnh (4.1.4) l qu trnh ngu nhin dng X (t ) c
k vng ton hc bng 0 v hm tng quan l Rx ( ) . Ta s xc nh hm tng quan ca qu trnh ngu

nhin Y (t ) l nghim ca phng trnh (4.4.1).
Bm ( p )
ln hm ngu nhin dng X (t ) , nn t nhng
An ( p )
iu trnh by trong mc 4.3, Y (t ) cng l hm ngu nhin dng. Khi , gia mt ph ca cc hm
ngu nhin X (t ) v Y (t ) , xy ra h thc (4.3.10).
V Y(t) l kt qu tc dng ton t tuyn tnh
t gi tr tm c ca hm truyn ca phng trnh vi phn (4.4.14) vo (4.3.10) ta c

2
B (i)
S y () = m
S x () .
An (i)
(4.4.16)
Khi bit mt ph S y () , ta c th tm c hm tng quan R y ( ) ca hm ngu nhin Y (t )

theo cng thc
R y ( ) =
S y ()e
(4.4.17)
Cc v d :
1. Vi nhng gi thit nht nh, chuyn ng mt chiu (hnh chiu trn trc cho trc) trong mt
phng ngang ca phn t trong dng kh c th c m t bi phng trnh
dv(t )
+ bv(t ) = F (t )
dt
(4.4.18)
y v(t ) l hnh chiu ca xung vn tc phn t trn trc cho, cn F (t ) l hnh chiu ca lc tc
ng ln phn t do nh hng ca ri kh quyn, thnh phn bv(t ) c trng cho lc ma st.
Nu chia (4.4.18) cho khi lng phn t m, th phng trnh c vit di dng
dv(t )
+ v(t ) = F1 (t )
dt
(4.4.19)
Phng trnh (4.4.19) l phng trnh Lanjeven.

Ta s cho rng lc F1 (t ) l hm ngu nhin dng ca thi gian m mt ph ca n S f () c th
nhn gi tr hng s, tc l "n trng".
S f () = c = const
106
(4.4.20)
Nh ta ch ra (xem mc 3.2, v d 1), mt ph khng th hng s trn ton di tn s, v nu

vy phng sai ca qu trnh ngu nhin tr nn v hn. Gi thit rng mt ph c dng ng cong
(hnh 4.2) t thay i trong mt khong [T, T] no v mt cch gn ng c th xem n l hng s.
Khi tn s tin n v hn, S () tin n 0 rt nhanh, m bo tnh hi t ca tch phn
S ()d .
Hnh 4.2
Ta tm hm tng quan ca qu trnh ngu nhin V (t ) , l nghim ca phng trnh (4.4.9) ch

n nh.
Mun vy, ta xc nh hm truyn ca phng trnh (4.4.9) khi vit n di dng k hiu
V (t ) =
1
F1 (t ) .
p+
(4.4.21)
i vi phng trnh (4.4.21), hm truyn c vit di dng
L() =
1
.
i +
(4.4.22)
T ta nhn c mt ph Sv() ca nghim V(t) di dng

2
1
S v () =
S f ()
i +
(4.4.23)
hay
c
.
(4.4.24)
+ 2
T cng thc (4.4.24) thy rng, Sv () gim khi tng, v di tn s ln, tr s S f () khc
S v () =
gi tr c m ta tha nhn, iu ny khng quan trng.
Khi bit mt ph Sv () ta c th tm c hm tng quan Rv ( ) .

Trong v d 1, mc 3.2 ta thy rng mt ph
S () =
2
2 + 2
tng ng vi hm tng quan
R( ) = 2e
So snh vi (4.4.24) ta thy
c
2
2
, ta nhn c hm tng quan ca nghim
= c , t =
phng trnh (4.4.19) di dng

107
Rv ( ) =
c
e
(4.4.25)
Trong mc 2.9, ta chng t rng qu trnh ngu nhin c hm tng quan dng (4.4.25) l khng
kh vi cho nn cn lm chnh xc ngha ca phng trnh (4.4.19). Tnh khng kh vi ca qu trnh V (t )
l h qu ca vic do ta nhn F (t ) l "n trng" c mt ph khng i.
Trong trng hp ny, cch gii chnh xc hn l xt nghim phng trnh (4.4.19) nh l gii hn
ca mt dy nghim no ca phng trnh ny vi v phi dng m mt ph ca chng tin n mt
hng s.
2. Ta xt nghim dng ca phng trnh vi phn
d 2 y (t )
dy (t ) 2
+ 2
+ k y (t ) = F (t )
2
dt
dt
(4.4.26)
Phng trnh dng (4.4.26) m t nhiu qu trnh dao ng vt l. c bit, phng trnh (4.4.26) m
t chuyn ng Brown ca cc phn t. Trong trng hp ny y (t ) l ta phn t ti thi im t;
dy
l ma st nht, gy nn s cn tr chuyn ng ca phn t, >0; k 2 y lc n hi; F (t ) lc
dt
xo trn c xc nh bi s dao ng ca s lng cc va chm phn t.
Gi s rng, lc F (t ) l qu trnh ngu nhin dng c mt ph khng i S f () = c . Theo
2
(4.4.14), hm truyn ca phng trnh (4.4.26) c dng
L() =
(i)
+ 2 i + k
1
k + 2i
2
(4.4.27)
Theo (4.4.16), mt ph ca qu trnh ngu nhin dng Y (t ) , nghim ca phng trnh (4.4.26),
c xc nh di dng
S y () =
1
2
k + 2i
c=
(k
2 2
+ (2)2
(4.4.28)
Bng cch k hiu
k 2 = 2 + 2 , c =
2 2 k 2
(4.4.29)
c th vit biu thc (4.4.28) di dng
Sy( ) =
2 + 2
2 2
2 2 2 2 + 4 2 2
(4.4.30)
Mt ph ny (nh ch ra trong mc 3.2, v d 5) tng ng vi hm tng quan
R y ( ) = 2e
cos + sin .
(4.4.31)
T (4.4.29), biu din v qua cc h s ca phng trnh
= k 2 2 , 2 =
ta vit hm tng quan (4.4.31) di dng
108
c
,
2 k 2
(4.4.32)
R y ( ) =
c
e
cos k 2 2 +
sin k 2 2
2
2
2
2 k
k
(4.4.33)
Qu trnh ngu nhin Y (t ) c hm tng quan dng (4.4.31) l kh vi. Tuy nhin c th ch ra rng
n khng tn ti o hm bc hai. V vy, cn xt nghim ca phng trnh (4.4.26) theo cch nh ch
ra i vi phng trnh (4.4.19).
109
Chng 5
NI NGOI SUY V LM TRN HM NGU NHIN
5.1. T BI TON
Ta hy xt mt vi bi ton thng gp trong kh tng thu vn.
1. Ngoi suy
Gi s c mt th hin x(t) ca qu trnh ngu nhin X(t) trn khong bin i no ca tham s
[a,t] xy ra trc thi im t. Gi thit rng bit cc c trng ca qu trnh ngu nhin X(t) gm k
vng ton hc v hm tng quan ca n. Yu cu d bo gi tr x(t+T) ca th hin ny ti thi im tip
theo t+T no , T>0. Ngi ta gi i lng T l lng ngm n.
Bi ton ny c gi l bi ton ngoi suy qu trnh ngu nhin. Do gi thit rng th hin x(t) c
xc nh chnh xc, khng c sai s o, nn bi ton ny c gi l bi ton ngoi suy thun tu.
2. Lm trn
Gi s th hin x(t) ca qu trnh ngu nhin X(t) c xc nh nh kt qu thc nghim, trn
khong bin i [a,t] ca tham s t, vi sai s y(t) l th hin ca qu trnh ngu nhin Y(t), tc l do thc
nghim ta nhn c th hin z(t) = x(t) + y(t), vi x(t) l gi tr thc ca th hin, y(t) l sai s o. Gi
thit rng bit cc c trng ca cc qu trnh ngu nhin X(t) v Y(t), nh k vng ton hc, hm tng
quan v hm tng quan quan h. Yu cu xc nh gi tr thc ca th hin x(t) ti thi im t no , c
ngha l tch n ra khi sai s o.
Bi ton ny gi l bi ton lm trn (lc) qu trnh ngu nhin. N xut hin, chng hn, khi tch cc
tn hiu hu ch trn nn nhiu trong k thut v tuyn, trong ngi ta gi gi tr thc l cc tn hiu
hu ch, cn sai s lm mo tn hiu c gi l nhiu hay n.
Trong kh tng thu vn, bi ton ny ny sinh v c bn ging nh bi ton loi b sai s o khi
chnh l cc s liu thc nghim. Khi , c s khc nhau c bn gia bi ton lm trn s liu thc
nghim v bi ton tch tn hiu trong k thut v tuyn. Trong k thut v tuyn, v ni chung, trong l
thuyt h iu khin t ng, ngi ta gi thit rng, nu tn hiu i qua mt thit b c s dng lm
trn tn hiu th thi im t no , ch c nhng gi tr ca tn hiu trc thi im ny i qua, m
khng th tnh n nhng gi tr v sau ca n. Vn ch ci gi l nguyn l nhn qu v mt vt l
ca h. Khi , nhn c gi tr x(t) phi tin hnh lm trn th hin z(t) trn khong [a,t] no xy
ra trc thi im ny.
Khi lm trn cc s liu thc nghim bng cch tin hnh tnh ton thun tu, khng s dng cc
thit b vt l, chng ta s khng b ph thuc vo cc iu kin ny v c th s dng tt c cc gi tr ca
th hin z(t) c lm trn, tc l gi tr cn tm x(t) ti thi im t c th c xc nh bng cch lm
trn cc gi tr ca th hin z(t) trn ton on [a,b].
3. Ngoi suy c lm trn
Bi ton ngoi suy gn lin cht ch vi vic lm trn v trn thc t, ta lun lun nhn c th hin
ca qu trnh ngu nhin m ta quan tm c cha c sai s o trong . Khi , bi ton ngoi suy qu
trnh ngu nhin l ch vi th hin c trn on [a,t]
z(t) = x(t) + y(t)

phi d bo c gi tr ca th hin x(t) ti thi im t + T, T > 0 . Bi ton ny c gi l bi ton
ngoi suy c lm trn. Khi T < 0 th bi ton gi l ni suy c lm trn.
Trn thc t, bi ton ni suy thng xut hin trong cc trng hp gi tr thc nghim ca th hin
z(t) ca qu trnh ngu nhin c cho thnh mt chui nhng gi tr ri rc ca i s
110
t1 , t2 ,..., tn trong khong [a,b] no , v yu cu xc nh gi tr ca th hin x(t) ti cc thi im

trong khong ny. Khi khng c sai s o y(t) , n c gi l bi ton ni suy thun tu, khi c sai s o
th l bi ton ni suy c lm trn.
Khi ni suy cc s liu thc nghim bng cch tin hnh tnh ton thun tu, ta cng c th s dng
tt c cc gi tr cho ca th hin z(t) , c trc v sau thi im t.
C th xt cc bi ton ni, ngoi suy v lm trn nh mt bi ton chung, xc nh gi tr thc ca
th hin x(t) ti gi tr tham s to no theo cc gi tr bit ca th hin z(t) = x(t) + y(t) trn khong
[a,b] no .
Pht biu ton hc ca bi ton ngoi suy (ni suy) v lm trn nh sau. Cho bit th hin
z(t) = x(t) + y(t)
(5.1.1)
trn khong bin i ca tham s [a,b] no , x(t ) v y (t ) l th hin ca cc qu trnh ngu nhin X (t )
v Y (t ) c cc k vng ton hc, hm tng quan, hm tng quan quan h cho trc. Ta s cho rng, k
vng ton hc mx (t ) v m y (t ) bng 0. (Trong trng hp ngc li ta s xt cc qu trnh ngu nhin qui
tm tng ng).
Yu cu xc nh gi tr x(to ) cu th hin x(t ) ti thi im t0. i vi trng hp ngoi suy
to = b + T , vi T > 0 .
Tng t, t0 = b cho trng hp lm trn.
V ta ang xt hm ngu nhin nn iu ta quan tm l tm phng php gii bi ton sao cho nhn
c kt qu tt nht t tp hp tt c cc th hin theo ngha no , tc l tm mt ton t sao cho khi tc
dng ln tp cc th hin z (t ) s cho gi tr tt nht ca th hin x(to ) theo ngha no .
Nu k hiu ton t cn tm l L, ta c th vit
hay
X(to ) = L{Z (t )}
(5.1.2)
X(to ) = L{X (t ) + Y (t )}
(5.1.3)
Trc ht, cn xc nh tiu chun cht lng ca nghim bi ton t ra l g. Trong khun kh l
thuyt xc sut ch c th nh gi cht lng ca ton t trn phng din thng k trung bnh theo ton
b tp th hin c th ca hm ngu nhin.
K hiu l hiu gia gi tr thc X(to) v gi tr nhn c theo cng thc (5.1.2),
= X (to ) L{Z (t )}
(5.1.4)
C th gi ton t L l tt nht nu n lm cho gi tr trung bnh ca mt hm c chn no ca

hiu tr nn cc tiu, v d nh k vng ton hc ca modul hiu.
Thun tin hn, t quan im ton hc, tiu chun cht lng l lm cc tiu k vng ton hc ca
bnh phng hiu
[ ] {[X (t ) L{Z (t )}] }
M 2 = M
(5.1.5)
Ta s gi ton t L l ti u nu n lm cho biu thc (5.1.5) tr thnh cc tiu, v cng thc (5.1.2)
tng ng vi n l cng thc ngoi suy (ni suy) hoc lm trn ti u.
Trn thc t hin nay, ta tha nhn li gii ca bi ton nu khi c nhng gii hn sau m chng ta
s cn tip tc xt sau ny:
1) Ton t L l tuyn tnh v dng, tc khng ph thuc vo i s t;
2) Cc qu trnh ngu nhin X (t ) v Y (t ) l dng v lin h dng;
111
Vi cc gi thit nu, bi ton ang xt c gi l bi ton ni, ngoi suy v lm trn tuyn tnh
ti u qu trnh ngu nhin dng. Ln u tin bi ton ny c A. N. Komogorov [10] xut v gii
quyt. T tng c pht trin tip trong cng trnh ca N. Viner [32].
Phng php gii bi ton nu ph thuc vo khong m trn th hin z (t ) c cho l v hn
hay hu hn.
Ta s xt tng trng hp ring bit, trong , i vi trng hp khong hu hn, ta s xem rng th
hin c cho ti mt s hu hn cc gi tr ri rc ca tham s t. iu ny thng xuyn xy ra trong thc
t o c kh tng thu vn.
5.2. NI, NGOI SUY TUYN TNH TI U V LM TRN HM NGU

NHIN CHO TRN MT S IM HU HN
Ta bt u xt t trng hp khi bit ch mt s hu hn gi tr ca th hin cu qu trnh ngu
nhin dng, tc l bit cc gi tr ca th hin z(t) ti cc thi im t1, t2,..., tn ( t1 < t2 < ... < tn ).
Nu xem cc gi tr ny l kt qu o c c cha sai s, ta c th vit
z(tk ) = x(tk ) + y(tk ), k = 1,2,..., n.
(5.2.1)
y x(tk) l gi tr thc ca th hin ti thi im tk cn y(tk) l sai s o. Ta s xem cc qu trnh

ngu nhin X(t) v Y(t) l dng v lin h dng, cn cc c trng ca chng, nh k vng ton hc, hm
tng quan v hm tng quan quan h l bit.
Khng lm mt tnh tng qut, c th cho k vng ton hc bng 0 khi chuyn v xt cc hm qui
tm tng ng.
C th vit gi tr cn tm x(t0), kt qu ca vic tc dng ton t tuyn tnh ln tt c cc gi tr z(tk),
di dng t hp tuyn tnh
n
x(t0 ) = k z (tk )
(5.2.2)
k =1
trong k l cc h s hng s.
Bi ton dn n vic tm gi tr ca cc h s 1, 2,..., n sao cho i lng
n2
(1 , 2 ..., n ) = M X (t0 ) k Z (tk )

k =1

(5.2.3)
nhn gi tr nh nht.
Nh bit, iu kin cn cc tiu hm n bin l cc o hm ring theo tng bin phi bng
khng.
T suy ra rng 1, 2,..., n phi l nghim ca h phng trnh
2n (1 , 2 ..., n )
= 0, k = 1,2,..., n.
k
Ta bin i biu thc (5.2.3)
2n
(1 ,2 ...,n ) = M X (t0 ) k [X (tk ) + Y (tk )] =

k =1

= M X 2 (t0 ) 2 k {M [ X (to )X (tk )] + M [ X (to )Y (tk )]} +

112
k =1
(5.2.4)
{ [
( )]
( ) ]+
+ k j M X (tk )X t j + M X (tk )Y t j
k =1 j =1
( )]
( )] }=
+ M Y (tk )X t j + M Y (tk )Y t j
= Rx (0) 2 k Rx (to tk ) + Rxy (to tk ) +

k =1
[ (
+ k j Rx t j t k + R y t j t k +
k =1 j =1
+ Rxy t j tk + R yx t j tk
)]
(5.2.5)
Ly o hm ring v phi (5.2.5) theo k v ng nht bng 0, ta nhn c h phng trnh:
Rx (to t k ) + Rxy (to tk ) +
[ (
)]
+ j Rx t j tk + R y t j tk + Rxy t j t k + R yx t j t k = 0 ,
j =1
(5.2.6)
k = 1,2 ,..., n.
i du, ta nhn c h xc nh cc h s k
Rx (to tk ) + Rxy (to t k )
[ (
)]
j Rx t j t k + R y t j t k + Rxy t j tk + R yx t j t k = 0 ,
j =1
(5.2.7)
k = 1,2 ,..., n.
iu kin (5.2.7) l iu kin cn hm 2n (1 , 2 ,..., n ) t cc tr. C th chng minh rng vi
cc gi tr 1 , 2 ,..., n l nghim ca h (5.2.7) th hm (5.2.3) tht s t gi tr nh nht, c ngha l
iu kin (5.2.7) cng l iu kin .
Nh vy v nguyn tc, bi ton ni, ngoi suy tuyn tnh hoc lm trn trong trng hp ang xt
c a v vic gii h phng trnh (5.2.7) tm cc gi tr 1 , 2 ,..., n v t vo cng thc (5.2.2).
tnh c sai s bnh phng trung bnh 2n ( 1 , 2 ,..., n ) ca php ni, ngoi suy ti u hay
lm trn, khi tm c cc gi tr 1 , 2 ,..., n ta nhn tng hng t ca (5.2.7) vi k v cng cc kt
qu li, ta c
k j [Rx ( t j tk ) + R y ( t j tk ) + Rxy ( t j tk ) + R yx ( t j tk )] =
n
k =1 j =1
= k Rx (t0 tk ) + Rxy (t0 tk )

k =1
(5.2.8)
Th vo (5.2.5) ta nhn c
n
2n (1 , 2 ..., n ) = Rx (0 ) k Rx (t0 tk ) + Rxy (t0 tk )

k =1
(5.2.9)
Khi s gi tr quan trc ca th hin z (t ) ln, tc l khi s im n ln, bi ton dn n vic gii h
(5.2.7) vi s phng trnh ln, iu tr nn rt kh khn, thm ch ngay c khi s dng my tnh in
t. Trong trng hp ny, thng thng thun tin hn, mt cch gn ng xem rng th hin z (t )
113
c cho ti mi gi tr ca i s t xy ra trc thi im t0 v s dng phng php c trnh by trong

mc 5.3.
Ta xt cc trng hp ring ca bi ton tng qut nu.
1. Khng c sai s o. Ni ngoi suy thun tu :
Trong trng hp ring, khi z (tk ) = x(tk ) l cc gi tr chnh xc ca th hin x(t ) c xc nh
khng cha sai s, tc l khi y (tk ) 0 , v do
R y ( ) Rxy ( ) 0
(5.2.10)
h (5.2.7) c vit di dng

n
Rx ( t 0 t k ) j Rx ( t j t k ) = 0 ,
k = 1,2,...n
(5.2.11)
j =1
V hm tng quan l xc nh dng nn nh thc ca h (5.2.11) khc khng, v do h lun

lun c nghim. Sai s bnh phng trung bnh ca php ngoi suy ti u trong trng hp ny c xc
nh bng cch t cc gi tr 1, 2, ..., n tm c vo cng thc :
n
2n ( 1 , 2 ,.... n ) = Rx ( 0 ) k Rx ( t0 tk ),
(5.2.12)
k =1
Cng thc ny cng nhn c t (5.2.9) khi cho Rxy ( ) 0 .

S dng (5.2.8) v iu kin (5.2.10), ta c th nhn c biu thc sai s bnh phng trung bnh
di dng khc
n
n2 ( 1 , 2 ,.... n ) = Rx ( 0 ) k j Rx ( t j tk ).
(5.2.13)
k =1 j =1
V hm tng quan Rx ( ) l xc nh dng nn dng ton phng trong biu thc (5.2.13) khng
m
n
k j Rx ( t j t k ) 0
(5.2.14)
k =1 j =1
Do , sai s bnh phng trung bnh ca php ngoi suy ti u khng vt qu phng sai ca hm
ngu nhin X (t ) .
lm thc o sai s ni, ngoi suy, thun tin hn l s dng i lng v th nguyn n , bng t
s ca sai s trung bnh bnh phng 2n v phng sai ca hm ngu nhin Dx = Rx (0) ,
n =
n
2n
= 1 k rx ( t0 tk ),
Dx
k =1
(5.2.15)
trong rx (t ) l hm tng quan chun ho ca hm ngu nhin X (t ) . Cc h s k nhn c theo

phng php ni, ngoi suy ti u l cc trng s th hin phn ng gp ca cc gi tr x(tk ) vo tng
(5.2.2).
Cc trng s ny ph thuc vo mc quan h gia cc gi tr x(tk ) vi nhau v mc quan h
ca chng vi gi tr c xp x x(to ) .
Ta xt mt vi trng hp gii hn.
114
a) Gi s lt ct X (to ) ca qu trnh ngu nhin, trn thc t, khng lin h vi cc lt ct ca n ti

cc thi im tk, tc l c th xem
R x ( t 0 t k ) = 0.
(5.2.16)
Khi ngoi suy, iu s xy ra trong trng hp nu lng ngm n T c chn ln n mc sao

cho lt ct ca qu trnh ngu nhin ti thi im t0 = tn + T khng lin h vi cc lt ct ca n ti cc thi
im tk. Trong trng hp ny h (5.2.11) c vit di dng
n
j Rx ( t j t k ) = 0 ,
k = 1,2 ,....n.
(5.2.17)
j =0
V nh thc ca h thun nht ny khc 0, nn n ch c nghim bng 0 l 1 = 2 = ... = n = 0 ,

tc l trong trng hp ny, phng php ngoi suy ti u cho gi tr bng k vng ton hc ca hm ngu
nhin mx = 0 . Khi theo (5.2.13), sai s bnh phng trung bnh ca php ngoi suy 2n bng phng
sai hm ngu nhin.
b) Gi s lt ct ca hm ngu nhin ti cc thi im tk v tj khng quan h vi nhau, nhng c quan
h vi lt ct ti thi im t0.
Khi ni suy, trng hp ny c th tng ng vi trng hp cc lt ct lin k nhau X (tk 1 ) v

(
X tk ) ca qu trnh ngu nhin khi hiu tk tk 1 ln, trn thc t 2 lt ct lin k nhau khng quan h vi
nhau, nhng c quan h vi gi tr ni suy X (t0 ) , y tk 1 < t0 < tk . Khi h (5.2.11) c vit di
dng
k Rk ( 0 ) = Rx ( t0 t k ),
k = 1,2 ,....n.
(5.2.18)
k =
Rx ( t 0 t k )
= rx ( t0 t k ),
Rx ( 0 )
(5.2.19)
tc l cc trng s k bng h s tng quan gia cc lt ct ca hm ngu nhin ti cc thi im t0 v tk.

Trng s ca gi tr x(tk) cng ln th x(tk) cng lin h cht ch vi gi tr x(to).
2. C sai s o, nhng sai s khng tng quan vi nhau v khng quan h vi gi tr thc ca i
lng c o:
Ta xt mt trng hp quan trng trong thc t, khi sai s o Y(t) ti cc gi tr khc nhau ca i s t
khng tng quan vi nhau, tc Ry() 0 khi 0, v cc sai s ny khng tng quan vi cc gi tr thc
ca i lng c o, tc hm tng quan quan h Rxy()0 vi mi . Trong trng hp ny, cng thc
(5.2.5) i vi sai s bnh phng trung bnh ca php ngoi suy n2 c vit di dng
n
n2 ( 1 , 2 , 3 ... n ) = Rx ( 0 ) 2 k Rx ( t0 tk ) +
k =1
+ k j Rx ( t j tk ) + 2k R y ( 0 ).
k =1 j =1
(5.2.20)
k =1
Khi h (5.2.7) xc nh cc h s k c dng

n
Rx ( t 0 t k ) j Rx ( t j t k ) k R y ( 0 ) = 0 ,
k=1,2,...,n
(5.2.21)
j =1
Nhn cc hng t ca (5.1.21) vi k v cng cc kt qu li, ta c
115
k Rx ( t0 tk ) = k j Rx ( t j tk ) + Ry ( 0 ) k2 .
k =1
k =1 j =1
(5.2.22)
k =1
Th (5.2.22) vo (5.2.20), ta nhn c cng thc i vi sai s bnh phng trung bnh ca php
ni, ngoi suy ti u
n
2n ( 1 , 2 ,... n ) = Rx ( 0 ) k Rx ( t0 tk ).
(5.2.23)
k =1
hay
n
n2 ( 1 , 2 ,... n ) = Rx ( 0 ) k j Rx ( t j tk ) R y ( 0 ) k2 .
k =1 j =1
(5.2.24)
k =1
Cng thc (5.2.23) trng vi dng cng thc (5.2.12) cho trng hp khng c sai s o. N khng
ch r nh hng ca sai s o n i lng sai s 2n , tuy nhin nh hng ny l c, v cc h s k xc
nh t h (5.2.21) ph thuc vo phng sai ca sai s o D y = R y (0 ) .
Trong cng thc (5.2.24), nh hng ca sai s o c th hin qua c nh hng ca n n cc h

s k cng nh biu hin mt cch trc tip qua cc hng t cui cng.
C th chng minh rng, sai s bnh phng trung bnh ca php ngoi suy 2n tng ln khi phng
sai sai s Dy tng, cn cc trng s k thay i sao cho tng bnh phng ca chng gim, tc l sai s o
s lm gim chnh xc ca php ni, ngoi suy ti u.
Tuy nhin khi ni, ngoi suy ti u c lm trn, tc l khi xc nh cc trng s k c tnh n sai s
o theo cng thc (5.2.21), i lng sai s 2n nhn c s b hn so vi khi ta tin hnh ni ngoi suy
thun tu theo cng thc (5.2.11) v b qua vic tnh n sai s o.
5.3. NGOI SUY TUYN TNH TI U V LM TRN QU TRNH NGU

NHIN CHO TRN KHONG V HN
Gi s cc gi tr th hin z(t) ca qu trnh ngu nhin X(t) , c xc nh vi sai s ngu nhin
y(t) cng l th hin ca qu trnh ngu nhin Y(t) , c bit trc trn khong v hn xy ra trc
gi tr cho ca i s, tc l th hin z(t) = x(t) + y(t) cho trc trn khong ( , t ) .
Trn thc t iu ny c ngha l th hin z(t) c cho trn mt khong bin i ln ca i s,

ln hn khong m trn mi lin h tng quan gia cc lt ct ca qu trnh ngu nhin hon ton
li tt.
Ging nh trc y, ta xem cc qu trnh ngu nhin X(t) v Y(t) l dng v lin h dng, c k
vng ton hc bng 0, cho trc cc hm tng quan Rx(), Ry() v cc hm tng quan quan h Rxy(),
Ryx().
Yu cu xc nh gi tr x(t+T) sao cho k vng ton hc ca bnh phng hiu 2 gia cc gi tr
thc v gi tr d bo tr nn cc tiu.
Tng ng vi nhng iu trnh by trong mc 4.2, c th biu din gi tr cn tm x(t+T) l kt
qu tc dng ton t tuyn tnh ln hm z(t) (5.1.2), di dng
x(t + T ) = g ( ) z (t ) d = g ( ) [x(t ) + y (t )] d
(5.3.1)
Bi ton dn n vic la chn hm trng lng g(t) cho i lng 2 sau y t cc tiu:
116
= M X (t + T ) g ( ) Z (t ) d

(5.3.2)
Trong , hm trng lng ph thuc lng ngm n T.

Ta bin i (5.3.2)
2 = M X 2 (t + T ) 2 g ( )M [ X (t + T )Z (t )]d +
0
+ g (1 )d1 g ( 2 )M [Z (t 1 )Z (t 2 )]d 2 =
= Rx (0 ) 2 g ( )Rxz (T + )d + g (1 )d1 g ( 2 )Rz ( 2 1 )d 2 (5.3.3)

Trong
Rxz ( ) = M [X (t + )Z (t )] = M {X (t + ) [X (t ) + Y (t )] } =
= Rx ( ) + Rxy ( )
(5.3.4)
Rz ( ) = M [Z (t + )Z (t )] = M { [X (t + ) + Y (t + )] [X (t ) + Y (t )]} =
= Rx ( ) + Rxy ( ) + R yx ( ) + R y ( )
(5.3.5)
Ta hy xc lp iu kin cn v m hm trng lng g(t) phi tho mn cho 2 t cc tiu.

Gi s hm g(t) lm cho 2 t cc tiu, khi nu trong (5.3.3) thay cho g(t) l hm
g1 (t ) = g (t ) + a(t )
(5.3.6)
trong a l mt s thc bt k, cn (t ) l mt hm tu , th i lng 2 ch c th tng ln.

Do vy, khi 2 c xt nh l hm ca i s a, t cc tiu khi a = 0, tc o hm ca n theo
a phi bng 0 khi a = 0.
Thay (5.3.6) vo (5.3.3) ta c
2 (a ) = Rx (0) 2 [g ( ) + a( )]Rxz (T + )d +
0
+ d1 [g (1 ) + a(1 )] [g ( 2 ) + a( 2 )]Rz ( 2 1 )d 2 =
= Rx (0) 2 [g ( ) + a( )]Rxz (T + )d +
0
+ d1 [g (1 )g ( 2 ) + a( 2 )g (1 ) + a(1 )g ( 2 ) +
+ a 2(1 )(2 ) Rz (1 2 )d2
(5.3.7)
Khi ly vi phn di du tch phn (5.3.7) theo tham s a, ta nhn c
117
d 2 (a )
= 2 ( )Rxz (T + )d + ( 2 )d 2 g (1 )Rz ( 2 1 )d1 +
da
0
0
0
+ (1 )d1 g ( 2 )Rz ( 2 1 )d 2 =0
0
(5.3.8)
Thay 1 bng 2 , cn 2 bng 1 vo tch phn cui cng, do tnh chn ca hm tng quan nn
ng thc (5.3.8) c vit di dng
2 ( )Rxz (T + )d + 2 ( 2 )d2 g (1 )Rz ( 2 1 )d1 =0
(5.3.9)
hay
(
)
(
)
R
T
+
xz
g ()Rz (t )d dt = 0
0
0
(5.3.10)
V ng thc (5.3.10) ng vi mi hm (t), nn ng thc sau cn tho mn
Rxz (T + ) g ( )Rz (t )d = 0 , vi mi t 0
(5.3.11)
Nh vy iu kin (5.3.11) l iu kin cn cho 2 t cc tiu. Ta chng minh rng iu kin ny

cng l . Mun vy ta vit (5.3.7) di dng
2 ( a ) = Rx ( 0 ) 2 g ( )Rxz ( T )d +
0
+ g ( 1 )g ( 2 )R z ( 2 1 )d1d 2 +
00
+ 2a ( t ) Rxz ( T + ) + g ( )Rz ( t )ddt +

0
0
+a
( 1 )( 2 )Rz ( 2 1 )d1d2 .
(5.3.12)
00
Theo (5.3.3), ba hng t u tin trong (5.3.12) l gi tr 2(0), hng th t s bng 0 khi iu kin
(5.3.11) c thc hin, tch phn hai lp cui cng c th vit di dng:
a ( 1 )( 2 )Rz ( 2 1 )d1d 2 = a M ( )Z ( t )d (5.3.13)
00
2
T thy rng, v phi (5.3.13) l mt s khng m, c th k hiu bng A2. Do , khi iu kin
(5.3.11) c thc hin, ng thc (5.3.12) c vit di dng
2 ( a ) = 2 ( 0 ) + A2
(5.3.14)
tc l k vng ton hc ca bnh phng sai s 2 ch c th tng ln khi thay hm trng lng g(t) , tho
mn iu kin (5.3.11), bi mt hm bt k khc. Do vy, nu hm trng lng g(t) tho mn iu kin
(5.3.11), th 2 thc s t cc tiu.
118
Nh vy, bi ton tm hm trng lng g(t) m bo 2 cc tiu tng ng vi bi ton tm hm

trng lng g(t) l nghim ca phng trnh tch phn (5.3.11). Phng trnh tch phn ny c gi l
phng trnh WinerHopf, cc tc gi ln u tin kho st phng trnh dng ny.
Hm trng lng g(t) , nghim ca phng trnh WinerHopf, c gi l hm trng lng ti u,
cn cng thc (5.3.1), khi thay hm trng lng ti u g(t) vo, c gi l cng thc ngoi suy ti u c
lm trn.
Khi T=0 ta nhn c cng thc lm trn ti u. Ta s xc nh sai s bnh phng trung bnh 2 ca
php ngoi suy ti u.
Vit (5.3.3) di dng
= Rx ( 0 ) 2 Rxz ( T + ) g ( )Rz ( t )d
0
0
g ( t )dt g ( 1 ) g ( 2 )Rz ( 2 1 )d1d 2
(5.3.15)
00
i vi hm trng lng ti u, do (5.3.11), hng th hai trit tiu, t
2 = Rx ( 0 ) g ( 1 )g ( 2 )R( 2 2 )d1d 2 .
(5.3.16)
00
Ta bin i tch phn hai lp trong (5.3.16), mun vy ta k hiu mt ph ca qu trnh ngu nhin
Z(t) l Sz(), khi hm tng quan Rz(21) c th vit di dng
Rz ( 2 1 ) =
i( 2 1 )
S z ( )d
(5.3.17)
Khi
g( 1 )g( 2 )Rz ( 2 1 )d1d2 =

00
00
= g( 1 )g( 2 ) ei( 2 1 ) S z ( )d d1 d2 =
=
i
i 2
1 g ( )d
e
e
g
(
)
d
S z ( )d.
1
1
2
2

0

0
(5.3.18)
Theo (4.2.22), tch phn
g( )e
d = L( )
(5.3.19)
l hm truyn tng ng vi hm trng lng g(t) , ta s gi n l hm truyn ti u.

Tng t, tch phn
g( )e
d = L * ( )
(5.3.20)
l lin hp phc ca hm truyn ti u. T , (5.3.18) c vit di dng

119
g( 1 )g( 2 )Rz ( 2 1 )d1d2 =
L( )
S z ( )d.
(5.3.21)
Th (5.3.21) vo (5.3.16) ta nhn c cng thc i vi sai s bnh phng trung bnh ca php
ngoi suy ti u
2 = Rx ( 0 )
L( ) S z ( )d =
[S x ( ) L( )
S z ( ) d ,
(5.3.22)
trong Sx() l mt ph qu trnh ngu nhin X(t). Theo (5.3.5) v do tnh cht tuyn tnh ca php
bin i Fourier, mt ph Sz() c biu din qua cc mt ph Sx(), Sy() ca cc qu trnh ngu
nhin X(t), Y(t) v mt ph quan h Sxy() ca chng di dng
S z ( ) = S x ( ) + S xy ( ) + S yx ( ) + S y ( )
(5.3.23)
Tng t theo (5.3.4), mt ph quan h Sxz c biu din di dng
S xz = S x ( ) + S xy ( )
(5.3.24)
Cc phng php gii phng trnh WinerHopf (5.3.11) c trnh by trong cc mc 5.4, 5.5 v
5.6.
n gin nht, phng trnh ny c gii cho trng hp th hin ca qu trnh ngu nhin z(t)
c cho ti mi gi tr t, tc l cho trn ton khong v hn (, +). Nghim phng trnh (5.3.11) i
vi trng hp ny c dn ra trong mc 5.4.
Trng hp ngoi suy hay lm trn th hin z(t) ch vi cc gi tr ca i s t xy ra trc thi im
t dn ti phng trnh (5.3.11) ch c tho mn vi cc gi tr khng m ca i s. Khi t<0, hm trng
lng g(t) nht thit phi bng 0.
Ta xt hai phng php gii phng trnh (5.3.11) i vi trng hp thng gp nht trong thc t,
khi cc hm tng quan Rx(), Ry() v hm tng quan quan h Rxy() c mt ph hu t.
Phng php th nht da trn c s s dng l thuyt hm bin phc c trnh by mc 5.5.
Phng php gii th hai (xem 5.6) da trn c s biu din hm tng quan c ph hu t di dng tng
cc s m.
Trong trng hp tng qut, khi mt ph khng phi l cc hm hu t ca tn s , li gii s rt
phc tp v ta s khng xem xt y.
Trn thc t, ngi ta xp x hm tng quan nhn c theo cc s liu thc nghim bng cc biu
thc gii tch. Khi , nu s dng chng vo mc ch ngoi suy ti u hay lm trn th nn chn biu
thc xp x hm c ph hu t hoc hm tng quan c xp x gn ng vi hm c ph hu t, chng
hn, biu din chng di dng tng cc s m.
5.4. LM TRN QU TRNH NGU NHIN CHO TRN KHONG V HN

(,+)
Khi lm trn qu trnh ngu nhin m th hin ca n c cho trn khong (,+), th gi tr lm
trn c tm di dng
x(t ) =
g( )z( t )d .
(5.4.1)
Trong trng hp ny, tch phn biu thc di du tch phn trong (5.3.10) c ly trn ton
khong (,+), v do , phng trnh (5.3.11) cn tho mn vi mi gi tr ca i s t. Khi T=0 v
phng trnh (5.3.11) c vit di dng
120
g( )Rz ( t )d = Rxz ( t )
(5.4.2)
Ta biu din Rz(t) v Rxz(t) qua mt ph Sz() v mt ph quan h Sxz():

+
Rz ( t ) =
i( t )
S z ( )d
(5.4.3)
Rxz ( t ) =
i t
S xz ( )d
(5.4.4)
Thay (5.4.3) v (5.4.4) vo (5.4.2) ta nhn c

+
+ i( t )
g
(
)
e
S
(
)
d
=
eit S xz ( )d
(5.4.5)
Thay i th t tch phn trong tch phn hai lp, vit li (5.4.5) di dng
+
i t
i
g ( )dd = 0
S xz ( ) S z ( ) e
(5.4.6)
n biu thc (4.2.20) i vi hm truyn L(), ta c

+
it
e [S xz ( ) S z ( )L( )]d = 0
(5.4.7)
iu chng t rng, php bin i Fourier hm S xz ( ) S z ( )L( ) ng nht bng khng, do

ng thc sau c tho mn
S xz ( ) S z ( )L( ) = 0
(5.4.8)
Nh vy, hm truyn ti u L() c xc nh di dng
L( ) =
S xz ( )
Sz( )
(5.4.9)
Biu din Sxz() v Sz() qua mt ph ca cc qu trnh ngu nhin X(t), Y(t) v mt ph quan
h ca chng theo (5.3.24) v (5.3.23) ta vit (5.4.9) di dng
L( ) =
S x ( ) + S xy ( )
S x ( ) + S xy ( ) + S yx ( ) + S y ( )
(5.4.10)
Khi bit hm truyn ti u L(), theo (4.2.20) ta s tm c hm trng lng ti u g(t) nh l bin
i Fourier ca L() chia cho 2
g (t ) =
1
eit L( )d
2
(5.4.11)
t hm trng lng ti u tm c vo (5.4.1), ta nhn c cng thc lm trn ti u.

Trn thc t, thng gp nhng trng hp c th xem sai s o khng tng quan vi gi tr thc
ca i lng c o. Trong trng hp ny Rxy() = Ryx() 0, do Sxy() = Syx() 0, v cc cng
thc (5.3.23), (5.3.24) c vit di dng
Sxy() = Sx()
(5.4.12)
Sz() = Sx() + Sy()
(5.4.13)
Khi , cng thc (5.4.10) xc nh hm truyn c vit nh sau

121
L( ) =
Sx( )
Sx( ) + S y( )
(5.4.14)
Trong trng hp ny, khi thay (5.4.13) v (5.4.14) vo (5.3.22), ta nhn c sai s bnh phng
trung bnh ca php lm trn ti u
2 =
S x ( )S y ( )
Sx( ) + S y ( )
(5.4.15)
T thy rng, ch c th tch hon ton hm ngu nhin X(t) ra khi sai s o Y(t) khi Sx()Sy() =
0, tc l khi ph ca chng khng b ph ln nhau.
5.5. NGOI SUY V LM TRN HM NGU NHIN CHO TRN KHONG

(,T) NH S DNG PHNG PHP CA L THUYT HM BIN PHC
Ta biu din hm tng quan Rxz(t+) v Rz(t) qua cc mt ph tng ng khi a vo phng
trnh (5.3.11)
Rxz ( t + ) =
i( t + )
S xz ( )d
(5.5.1)
i( t )
S z ( )d
(5.5.2)
Rz ( t ) =
Ta biu din hm trng lng g() qua hm truyn L()
g ( ) =
1
ei L( )d .
2
(5.5.3)
t (5.5.1), (5.5.2), (5.5.3) vo (5.3.11) ta c

+
+
1 i
i( t )
e
L
(
)
d
e
S
(
)
d
d
z
2 0
i( t + T )
S xz ( )d = 0, khi t 0
(5.5.4)
Khi thay i th t tch phn ta vit (5.5.4) di dng
1 +
i ( )
i1t
1 d d
e
L
(
)
S
(
)
e
1
1
z
2

ei( t +T ) S xz ( ) d = 0, khi t 0
(5.5.5)
Theo tnh cht ca hm Delta (4.2.4) ta c
1
ei( 1 ) d = ( 1 )
2 0
(5.5.6)
Khi , theo tnh cht ca hm Delta (4.2.7), tch phn bn trong ca (5.5.5) bng
+
i1t
L( )S z ( 1 )( 1 )d1 = eit L( )S z ( )
Nh vy, (5.5.5) c dng

122
(5.5.7)
it
[L( )S ( ) e
z
iT
S xz ( ) d = 0 , khi t 0
(5.5.8)
Ta s xt v tri ca (5.5.8) nh mt hm f(t) no
f (t ) =
it
[L( )S ( ) e
z
iT
S xz ( ) d
(5.5.9)
Hm ny l bin i ngc Fourier ca hm :
F () = L()S z ( ) eiT S xz ( )
(5.5.10)
Do , F() l bin i Fourier ca hm f(t). Theo (5.5.8), hm f(t) ny ng nht bng khng khi t
0.
Trong l thuyt bin i Fourier, nh l sau y c chng minh:
Gi s f(t) l mt hm kh tch, ng nht bng khng trn khong (0,+) v c bin i Fourier
F () =
1
e it f ( t )dt .
2
Khi F() l gi tr trn trc thc ca hm gii tch bin phc b chn F() trong na mt phng
pha trn, vi
= + i
Nu hm F() l hm gii tch bin phc b chn na mt phng pha trn th bin i ngc
Fourier gi tr F() ca n trn trc thc bng khng trn khong (0,), f(t) = 0.
Nu thay khong (0,) bng khong (,0) v thay na mt phng pha trn bng na mt phng
pha di ta s nhn c mt nh l tng t.
Theo nh l ny, hm (5.5.10) l gi tr trn trc thc ca hm gii tch F() b chn na mt phng
pha trn.
Trong a s cc bi ton ng dng, cc qu trnh ngu nhin l nhng qu trnh c ph hu t, tc l
mt ph ca chng l hm phn thc hu t ca tn s . Hm phn thc hu t chn bin thc c
th biu din di dng tch ca hai hm S1() v S2(), trong hm th nht S1() l gi tr trn trc
thc ca hm bin phc gii tch, b chn khng c khng im na mt phng pha trn
=+
i, cn S2() l gi tr trn trc thc ca hm bin phc gii tch, b chn v khng c khng im na
mt phng di.
Thc vy, gi s
S () =
P( )
Q( )
trong P( ) v Q( ) l cc a thc c h s thc ca .

Ta khai trin t thc v mu thc thnh cc nhn t tuyn tnh. Ta gp cc nhn t ca t thc v
mu thc m chng s bng khng na mt phng di vo mt hm S1 () , v gp tt c cc nhn t
cn li ca t thc v mu thc thnh S 2 () v do S () l hm chn, cn cc h s ca a thc P( ) v
Q( ) l thc nn cc nhn t to thnh S 2 () l cc i lng lin hp phc ca cc nhn t trong

S1 () , tc l chng ch bin thnh khng na mt phng trn. Tng ng vi iu ta biu din hm
ph di dng
S z () = S1 () S 2 () ,
(5.5.11)
123
trong S1 () khng c khng im v cc im na mt phng trn, S 2 () khng c khng im v

cc im na mt phng di. t (5.5.11) vo (5.5.10)
F () = L()S1 ()S 2 () eiT S xz ( )
(5.5.12)
S ()
F( )
= L( )S 2 ( ) eiT xz
S1( )
S1( )
(5.5.13)
v chia cho S1 () ta c
F ()
gii tch v b chn na mt phng pha trn, v trn hm F() l gii tch v b
S1 ()
chn, cn S1 () khng c khng im v cc im.
Hm
Do , theo phn hai ca nh l, bin i ngc Fourier ca hm ny bng khng trn khong (0,),
tc l do (5.5.13) ta c
F ( ) it
iT S ( ) it
S1( ) e d = L( )S2 ( ) e Sxz1( ) e d = 0,khi t 0 (5.5.14)
T ta nhn c
L( )S2 ( )e
it
d =
S xz ( ) i( t +T )
e
d,khi t 0
S ()
1
(5.5.15)
Hm L() ging nh hm truyn ca h kh d thc, m ta gi thit n n nh, c th c nghim ca

mu thc ch trong na mt phng trn, do n khng c cc im trong na mt phng di.
Nh vy, hm L()S 2 () gii tch, b chn na mt phng di, do nh nh l dn, bin i
ngc Fourier ca n bng khng
( t ) =
L( )S2 ( )e
i t
d = 0 ,khi t < 0
(5.5.16)
Khi , nu ly bin i Fourier ca hm (t) ta nhn c
L()S 2 () =
1
( t )e it dt =
2
1
e it L( 1 )S 2 ( 1 )ei1t d1dt
=
(5.5.17)
Nhng theo cng thc (5.5.15), khi t 0, tch phn bn trong ca (5.5.17) c th thay th bi v phi
ca (5.5.15)
2L()S 2 () =
e i t
S xz ( 1 ) i1 ( t +T )
e
d1dt
S
(
)
1
1
(5.5.18)
T ta nhn c cng thc i vi hm truyn ti u
L() =
S ( )
1
e it xz 1 ei1 ( t +T )d1dt
S ( 1 )
2S 2 ( )
1
(5.5.19)
Khi bit hm truyn L() , ta tm c hm trng lng g (t ) nh l bin i ngc Fourier ca
L() theo (5.4.12) chia cho 2.

124
Tng ng vi nhng iu trnh by, xc nh hm truyn ti u L() trong trng hp mt

ph hu t cn phi lm nh sau :
1. Xc nh cc mt ph S xz () v S z () .
2. Biu din S z () di dng tch ca hai hm S1 () v S 2 () ( S z () = S1 ()S 2 () ), trong
S1 () khng c khng im v im k d trong na mt phng trn, cn S 2 () khng c khng im v

im k d trong na mt phng di.
P( )
, phi khai trin t thc v mu thc thnh cc nhn t
Q( )
tuyn tnh. Gp cc nhn t ca t thc v mu thc m chng bin thnh khng na mt phng di
vo hm S1 () , cn nhng nhn t cn li gp vo S 2 () .
Mun vy, trong mt ph S z () =
3. Xc nh hm truyn theo cng thc (5.5.19). Khi tnh theo cng thc (5.5.19), thun tin ta s
dng cc cng thc:
Nu b > 0 th
in
t n 1ei( a + ib )t khi t > 0 ,

1
eit d
=
1
(
n
)!
2 [ ( a + ib )]n
khi t < 0
0
(5.5.20)
Nu b < 0 th
in
t n 1ei( a + ib )t khi t < 0 ,

1
eit d
=
1
(
n
)!
2 [ ( a + ib )]n
khi t > 0
0
(5.5.21)
A.M. Iaglom [28] chng minh c rng trong nhiu trng hp c th tm hm truyn ti u
L() khng cn tin hnh tnh theo cng thc (5.5.19) m s dng tnh cht dng ca hm a vo ng
thc (5.5.10).
Trn y ta xc nh rng :
1. Hm F () l hm gii tch, b chn trong na mt phng trn,
2. Hm L() khng c khng im v cc im na mt phng di,
3. Nh thy t cng thc (5.3.22), tch phn khng k d sau phi hi t
L( )
S z ( )d
(5.5.22)
Nh ta s ch ra trong cc v d, khi s dng iu kin th ba ny c th tm c hm truyn ti u.

Cc v d
1. Ta xt trng hp ngoi suy thun tu khi trn khong (,t) c mt th hin ca qu trnh ngu
nhin X(t) m hm tng quan c dng
Rx ( ) = De
(5.5.23)
Trong trng hp ny khng c sai s o v theo (5.3.4)
Rz () = Rxz () = Rx () .
Mt ph S x () tng ng vi hm tng quan (5.5.23), nh ch ra trong mc 3.2, v d 1, c

dng
125
Sx( ) =
D
( 2 + 2 )
(5.5.24)
Do ,
S z () = S xz () = S x ( ) =
D
( 2 + 2 )
(5.5.25)
Cng thc (5.5.10) c vit li di dng
F () = L( ) eiT
] ( D+
2
D
L( ) eiT
( i )( + i )
(5.5.26)
Theo iu kin 1, hm F () phi gii tch trong na mt phng trn. Nhng mu thc v phi
(5.5.26) c khng im ti = i na mt phng trn, do , t thc ca v phi cng phi c khng
im ti = i, khng im ny c rt gn vi khng im ca mu thc.
Nh vy, cn tho mn iu kin
L( i ) ei( i )T = 0,
(5.5.27)
L( ) = e T
(5.5.28)
T
T iu kin 1 v 2 suy ra rng hm L() ni chung khng th c im k d hu hn. Thc vy,
hm F () gii tch trong na mt phng trn, tc l v phi ca (5.5.26), cng c ngha l hm L() phi
gii tch na mt phng trn. Cn t iu kin 2 suy ra rng, L() cng khng c im k d na mt
phng di.
thc hin iu kin 3, cn t hm L() bng hng s. Khi , tch phn khng k d (5.5.22) hi
L( ) S z ( )d = L( )
S z ( )d = L( )
(5.5.29)
Nh vy, c th ly hm truyn ti u l
L() = e T = const ,
(5.5.30)
Theo (5.4.12), hm trng lng g(t) tng ng vi hm truyn ny c xc nh di dng
g (t ) =
1
1
eit L( )d = e T
eit d = e T (t )
2
2
(5.5.31)
Khi , theo tnh cht ca hm Delta (4.2.7), cng thc ngoi suy ti u (5.3.1) c vit di dng
x(t + T ) = e T x( t )( )d = e T x(t )
(5.5.32)
T thy rng, trong trng hp ngoi suy thun tu qu trnh ngu nhin c hm tng quan dng
(5.5.23), d bo ti u th hin ti thi im t+T, ch cn bit gi tr ca n ti thi im t. Vic bit gi
tr ca th hin tt c cc thi im trc khng th lm cho d bo tt hn. Nu tng gi tr ca lng
ngm n T th i lng e T b gim i v s dn ti khng khi T.
Nh vy, khi T, gi tr on trc ti u x(t + T) s tin ti k vng ton hc ca qu trnh ngu
nhin v bng khng.
Theo (5.3.22), sai s bnh phng trung bnh ca d bo 2 c xc nh di dng
126
2 = D e 2 T
S x ( )d = D( 1 e
2 T
(5.5.33)
T thy rng sai s d bo tng ln khi tng lng ngm n T.

Khi s dng cng thc (5.5.19), ta nhn c chnh gi tr ca hm truyn ti u.
Trong trng hp ny, khi phn tch mt ph Sz() = Sx() thnh cc nhn t tuyn tnh ta c
S z () =
1
D
( i )( + i )
(5.5.34)
Nhn t ca mu thc + i c nghim = i nm na mt phng pha di, nhn t

i c nghim = i nm na mt phng pha trn. V vy, ta ly hm S1 () l
S1 () =
1
,
( + i )
(5.5.35)
S 2 () =
D
( i )
(5.5.36)
v ly S 2 () l
Thay cc hm S1 () v S 2 () chn vo (5.5.19) ta nhn c
L() =
i i t
1
e
ei1 ( t +T )d1dt .
2
i
2 0
1
(5.5.37)
Theo (5.5.20), ta c
1
1
ie ( t +T )
i1 ( t +T )
e
d
=
1
2 1 i
0
khi t + T > 0
(5.5.38)
khi t + T < 0
L() = ( + i)e
( + i )t
dt = e T .
(5.5.39)
2. Ta xt trng hp ngoi suy thun tu th hin x(t ) cho trn khong (, t) khi qu trnh ngu
nhin X(t) c hm tng quan
Rx ( ) = De
cos
(5.5.40)
Hm tng quan ny, nh ch ra trong mc 3.2, v d 3, tng ng vi mt ph
S x () =
=
D
2 + 2 + 2
=
( 2 2 2 )2 + 4 2 2
2 + 2 + 2
D
[ + ( + i )][ ( + i )][ + ( i )][ ( i )]
(5.5.41)
Cng thc (5.5.10) c vit li di dng
F () =
D
L( ) eiT ( 2 + 2 + 2 )
[ + ( + i )][ ( + i )][ + ( i )][ ( i )]
(5.5.42)
127
Mu thc ca v phi (5.5.42) c khng im na mt phng trn ti = + i v = + i .

V biu thc 2 + 2 + 2 ti cc khng im ny khc khng nn ti cc gi tr ny ca , hm
L() eiT cn phi bng khng. T ta c
L( + i ) = ei( + i )T = e ( i )T ,
(5.5.43)
L( + i ) = ei( + i )T = e ( + i )T ,
(5.5.44)
Hm F () c khng im ti i 2 + 2 , trong im i 2 + 2 nm na mt phng trn,

do hm L() ch c th c cc im n ti = i 2 + 2 , c ngha l hm L() i 2 + 2
cn phi nguyn, tc l n khng th c im k d hu hn.

thc hin iu kin 3, cn phi cho hm ny l hm tuyn tnh, tc l t
L() i 2 + 2 = A + B ,
(5.5.45)
L() =
A + B
i 2 + 2
(5.5.46)
S dng iu kin (5.5.43) v (5.5.44), ta nhn c h xc nh cc h s A v B:
e T + i 2 + 2 eiT = A( + i ) + B
e T + i 2 + 2 e iT = A( + i ) + B
(5.5.47)
Khi gii h ny ta c:
2 + 2
A = cos T +
sin T e T ,
(5.5.48)
2 + 2
B = i 2 + 2
sin T cos T e T ,
(5.5.49)
Khi tm c cc gi tr A v B, hp l hn ta biu din hm truyn ti u (5.5.46) di dng
L() = A
A 2 + 2 iB
i + 2 + 2
= cos T +
2 + 2
sin T e T
2 + 2 2 + 2
sin T . e T
2
2
i + +
Theo (5.4.12), ta tm c hm trng lng ti u
2 + 2
1
e i t d
g (t ) = cos T
sin T e T
128
(5.5.50)
2( 2 + 2 2 + 2 )
d
1
sin T .e T
e i t
2
i + 2 + 2
(5.5.51)
Theo tnh cht ca hm Delta (4.2.4)
1
eit d = ( t )
2
(5.5.52)
Tch phn trong s hng th hai ca (5.5.51) bng
d
i
d
1
eit
eit
=
=
2
2
2
2
i + +
i 2 + 2

= e
0
2 + 2
khi t 0
khi t < 0
(5.5.53)
Th (5.5.52) v (5.5.53) vo (5.5.51), ta nhn c hm trng lng ti u vi t 0
2 + 2
g (t ) = cos T
sin T e T (t )
2( 2 + 2 2 + 2 )
sin T .e T e
2 + 2 t
(5.5.54)
Khi , tng ng vi (5.3.1), cng thc ngoi suy ti u c vit di dng
2 + 2
x(t + T ) = cos T
sin T e T x(t )
2( 2 + 2 2 + 2 )
sin T .e T x( t )e
2 + 2
(5.5.55)
Cng thc (5.5.55) chng t rng, gi tr d bo x(t+T) khng ch ph thuc vo cc gi tr cui cng
ca th hin x(t) bit, m cn ph thuc vo gi tr ca n ti tt c cc tr s cho trc ca i s theo
tin hnh ly tch phn.
Theo (5.3.22), sai s bnh phng trung bnh trong trng hp xt c xc nh di dng
2
2
2
2 = 1 e 2T cos T
sin T
(5.5.56)
3. Ta xt trng hp ngoi suy thun tu, khi m qu trnh ngu nhin X(t) c hm tng quan
Rx ( ) = De
cos + sin
(5.5.57)
Tng ng vi hm tng quan ny l hm mt ph
S x () =
2 + 2
2 D
2 + 2 2 2 + 4 2 2
(5.5.58)
129
Trong trng hp ny, cng thc (5.5.10) c vit di dng
2 D
L( ) eiT
[ + ( + i )][ ( + i )]
F () =
( 2 + 2 )
[ + ( i )][ ( i )]
(5.5.59)
Tin hnh lp lun nh trong v d 2, ta nhn c hm truyn ti u di dng
i sin T T
L() = cos T + sin T e T +
e
(5.5.60)
Theo (5.4.12), ta tm c hm trng lng ti u
g (t ) = cos T + sin T
e T
sin T .e T 1
1
i t
e
d
+
i eit d
2
2
(5.5.61)
Tch phn
1
ieit d = ' (t )
2
(5.5.62)
l o hm ca hm Delta. T , ta c th vit hm trng lng ti u di dng
sin T .e T
g (t ) = cos T + sin T e T ( t ) +
( t )
(5.5.63)
Thay hm trng lng tm c vo (5.3.1) ta nhn c cng thc ngoi suy ti u
sin T .e T
x(t + T ) = cos T + sin T e T x( t ) +
x( t ) (5.5.64)
x( t )( )d = x( t )
(5.5.65)
T cng thc (5.5.64) thy rng, gi tr ngoi suy x(t+T) ph thuc vo chnh gi tr ca th hin x(t)
ti thi im t cng nh ph thuc c vo o hm x(t) ca n ti thi im ny.
Sai s bnh phng trung bnh ca php ngoi suy trong trng hp va xt c xc nh di dng
2
2 = D 1 e 2T cos T + sin T
(5.5.66)
4. Xt trng hp ngoi suy c lm trn khi cho th hin z(t) = x(t) + y(t) trn khong (, t) vi sai
s o y(t).
Ta s xem rng cc qu trnh ngu nhin X(t) v Y(t) khng tng quan ln nhau v c cc hm tng
quan
Rx ( ) = D1e
130
(5.5.67)
R y ( ) = D2e
(5.5.68)
Cc mt ph tng ng vi chng c m t bi cc cng thc
S x () =
D11
c
= 2 1 2
2
2
+ 1
+ 1
(5.5.69)
S y () =
D2 2
c
= 2 2 2
2
2
+ 2
+ 2
(5.5.70)
Tng ng vi (5.3.23) v (5.3.24) ta tm c mt ph S x () v mt ph quan h S xz () :
S xz () = S x ()
S z () = S x () + S y () =
c3 2 + 2
2 + 12 2 + 22
)(
(5.5.71)
(5.5.72)
trong
c3 =
1
(D11 + D2 2 ) , 2 = D1 2 + D21 1 2
D11 + D2 2
(5.5.73)
Cng thc (5.5.10) c vit di dng
F () =
L( )c3 ( 2 + 2 ) eiT c1( + i 2 )( i 2 )

( + i1 )( i1 )( + i 2 )( i 2 )
(5.5.74)
Mu thc ca v phi trong (5.5.74) c khng im na mt phng trn ti = i1 v = i2. V

hm F () gii tch na mt phng trn nn t thc cng phi c khng im ti cc im ny chng
c th c rt gn vi cc khng im ca mu thc.
Do , cn tho mn cc ng thc
c3 L( i1 )( 2 12 ) = c1e 1T ( 22 12 ) ,
L( i 2 )( 2 22 ) = 0
(5.5.75)
T ta c
L( i1 ) =
c1 22 12 1T
e
c3 2 12
L(i 2 ) = 0 ,
khi 2 .
(5.5.76)
(5.5.77)
Hm L() gii tch na mt phng di, cn na mt phng trn, n ch c th c cc cc im
m chng khng phi l cc im ca hm F () , tc l vi chng, hm L() 2 + 2 khng th c cc
im. im = i l im duy nht nh vy, tc l L() c th c cc im = i, do hm
L()( i ) l nguyn. tho mn iu kin 3 ta gi thit n l hm tuyn tnh
L()( i) = A + B ,
(5.5.78)
L() =
A + B
i
(5.5.79)
Thay (5.5.76) v (5.5.77) vo (5.5.78) ta xc nh c cc h s A v B t h phng trnh
Ai 2 + B = 0
131
c1 22 12 1T Ai1 + B
e
=
c3 2 12
i( 1 )
(5.5.80)
A=
c1 1 + 2 1T
e
,
c3 1 +
B = i 2
c1 1 + 2 1T
e
c3 1 +
(5.5.81)
Thay (5.5.81) vo (5.5.79) ta nhn c hm truyn ti u
L() =
c1 1 + 2 2 + i 1T
e
c3 1 + + i
(5.5.82)
Theo (5.4.12), ta tm c hm trng lng ti u di dng
g (t ) =
=
c1 1 + 2 1T 1
+ i
e
eit 2
d =
c3 1 +
2
+ i
c1 1 + 2 1T
e
( t ) + ( 2 )e t .
c3 1 +
(5.5.83)
Cng thc ngoi suy ti u c lm trn s c dng
x(t + T ) =
D11
1 + 2 1T
e
x
(
t
)
(
)
e t x( t )d
+
D11 + D2 2 1 +
(5.5.84)
Sai s bnh phng trung bnh ca php ngoi suy c lm trn trong trng hp trn c xc nh
nh sau:
D11( 1 + 2 )2
1T
2 = D1 1
e
2
( D11 + D2 2 )( 1 + )
(5.5.85)
5.6. NGOI SUY V LM TRN QU TRNH NGU NHIN KHI BIU DIN
HM TNG QUAN DI DNG TNG CC HM M
i vi cc qu trnh ngu nhin m hm t tng quan v hm tng quan quan h ca chng c th
biu din di dng tng cc hm m th phng php gii phng trnh VinerHopf [17] c th khng
i hi phi s dng l thuyt hm bin phc.
Cc hm ngu nhin, m hm tng quan ca chng c biu din di dng tng cc hm m, l
nhng hm c mt ph hu t.
Thc vy, nu
Rx (t ) = Dk e
th mt ph c dng
2
S x () = Rx ( ) cos d =
0
132
(5.6.1)
2
2
D
Dk e k cos d = 2 k k 2
k
k + k
0
(5.6.2)
C th ch ra rng, mi hm tng quan c th c xp x, vi chnh xc tu , bng mt chui

c cc thnh phn l cc hm m.
C th, hm tng quan c biu din qua cc hm m l tng c dng
R ( ) = Dk e
cos k =
Dk ( k + i k )
( i )
e
+e k k
2
(5.6.3)
Gi s tt c cc hm tng quan a vo phng trnh Viner Hopf c biu din di dng tng
cc hm m:
Rx ( ) = Si e
(5.6.4)
(5.6.5)
Ry ( ) = Ni e
H i e i ,
i
Rxy ( ) =

Gi e i ,
i
>0
Gi e i ,
i
R yx ( ) =
H i e i ,
i
>0
(5.6.6)
<0
(5.6.7)
<0
Thay (5.6.4) - (5.6.7) vo cng thc (5.3.4), (5.3.5) ta c
Rxz ( ) = Si e i + N i e i ,
i
Rz ( ) = Si e i + Gi e
i
(5.6.8)
+ Hie
+ Ni e
. (5.6.9)
Trong cng thc (5.6.8) ta ch xt 0 v phng trnh Viner Hopf ch c xt i vi cc gi tr

khng m ca t.
C th vit li cc cng thc (5.6.8) v (5.6.9) khi hp hai tng vo mt
p
Rxz ( ) = Ck e ck , 0 ;
(5.6.10)
k =1
Rz ( ) = C k e
k =1
ck
+ B je
b j
(5.6.11)
j =1
y p v m l s cc hng chung trong tng kt hp tng ng.

Ta s tm hm trng lng g(t) di dng
N
g( t ) = As e a s t + A( t ),
(5.6.12)
s =1
trong (t) l hm Delta.

S N v c cc h s As v as c xc nh t phng trnh VinerHopf (5.3.11).
133
Thay (5.6.10), (5.6.11) v (5.6.12) vo phng trnh (5.3.11) v yu cu sao cho n tho mn ng
nht ti mi gi tr khng m ca i s t:
p
Ck e
c k ( t +T )
k =1
m
N
p
b t
c t
as
= As e
+ A( ) Ck e k
+ B je j
d =
j =1
k =1
0 s =1
As Ck e
0 s =1
ck t a s
k =1
+ A Ck e
ck t
0 k =1
0 s =1
j =1
d + As B j e
m
( )d + A B j e
b j t as
b j t
d +
( )d =
0 j =1
= J1 + J 2 + J 3 + J 4 ,
(5.6.13)
p
N
t
J1 = As Ck e [a s + ck ( t )]d + e [a s + ck ( t )]d =
s =1
k =1
t
0
p
1
1
1
A
s Ck c a eck t e( as ck )t eck t c a eck t c + a e( ck + as )t
s
k
s
k
s
k
s =1
k =1
N
p
1
2c
A
s Ck c a eck t a 2 kc 2 e as t
s
s =1
k =1
s
k
k
(5.6.14)
Bng cch tng t, khi tnh J 2 ta c

N
m B
2 B j b j a s t
b t
j
J 2 = As
e j 2
e
as b 2j
s =1
j =1 as b j
(5.6.15)
Ta tnh J 3
p
k =1
J 3 = A Ck e
ck t
( )d =
p
t c t
= A Ck e k
( )d + e ck ( t )( )d
k =1
t
0
(5.6.16)
Tch phn th hai trong (5.6.16) bng khng v (t) = 0 khi 0. Trong tch phn th nht, thc
hin php i bin t = z, trn c s tnh cht ca hm Delta (4.2.7), ta c
p
k =1
J 3 = A Ck e ck z ( t z )dz =
p
k =1
k =1
= A Ck e ck z ( t z )dz = A Ck e ck t
(5.6.17)
Bng cch tnh tng t i vi J 4 , ta c

m
J 4 = A B j e
b j t
j =1
t (5.6.14)(5.6.18) vo (5.6.13) ta nhn c

134
(5.6.18)
Ck e
ck ( t +T )
k =1
p C e ck t 2C c e a s t
= As k
k2 k 2
as ck
k =1 ck as
s =1
N
B e b j t 2 B b e as t
j
j j
+
a b a 2 b2
j
j =1
s
j
s
m
p
m
+ A C e ck t + B e b j t .
j
k
j =1
k =1
(5.6.19)
ng thc (5.6.19) cn phi c tho mn ng nht vi mi gi tr t dng. Mun vy, cc iu

kin sau y phi c thc hin
1. Cc h s trong e a s t v phi cn phi bng khng. T
p
C c
B jb j
a 2 k ck 2 + a 2 b 2 = 0, s = 1,2,..., N.
k =1 s
j =1 s
(5.6.20)
Ta nhn c h N phng trnh xc nh a1, a2,..., aN. Do , c th tm cc ch s m a vo

trong ng thc (5.6.12) nh l nghim ca hm
p
m B b
Ck ck
j j
+
z 2 b2
2
2
z
c
j =1
k =1
j
k
P(z ) =
(5.6.21)
Trong ch ly cc nghim c phn thc dng. Trong trng hp tng qut, s cc nghim nh
vy s l m+p1, do N trong cng thc (5.6.12) c th ly bng m+p1.
2. Cc h s trong e
b j t
v phi cn phi bng khng, cn cc h s trong e c k t v phi cn phi
bng Ck e ck T . T , sau khi xc nh as theo cng thc (5.6.21), ta nhn c h phng trnh xc
nh A1, A2,...,Am+p1.
s =1
N
As
ck T
a c + A = e ,k = 1,2,..., p
k
s =1 s
As
+ A = 0 , j = 1,2 ,..., m
s bj
(5.6.22)
Tt c nhng iu trnh by c th dng c khi m hm P(z) khng c nghim bi. Trong

trng hp c nghim bi, cn phi bin i biu thc (5.6.12), v trong trng hp ngc li, h (5.6.22)
s khng tng thch. Chng hn, nu al l nghim bi hai ca hm (5.6.21), tc l al=al+1, th hai thnh
phn tng ng vi n trong biu thc (5.6.12) cn thay bng ( Al + Al +1)e al .

Khi phng trnh th l ca (5.6.20) c vit di dng
p
k =1
Ck ck
al2
2
ck2
j =1
B jb j
al2
2
b 2j
=0,
(5.6.23)
cn nhng phng trnh cn li c gi nguyn khng thay i. Khi , thnh phn ca tng c h s Al
trong cc phng trnh (5.6.22) c vit di dng
Al
(al ck )
hay
Al
(al b j )2
Phng php xt y bao gm nh sau:

1) Cc hm tng quan c xp x bi cc cng thc (5.6.10) v (5.6.11),
2) Thnh lp hm P(z) theo cng thc (5.6.21) v tm nghim c phn thc dng as ca n,
135
3) Lp h phng trnh (5.6.22), gii h ny ta nhn c cc h s As v A,

4) Tm hm trng lng g(t) theo cng thc (5.6.12),
5) Theo cng thc (5.3.1) tm gi tr cha bit x (t + T).
Khi , phng sai sai s ca php xp x, c xc nh theo cng thc (5.3.3) sau khi thay th
(5.6.10), (5.6.11), (5.6.12) vo v thc hin vic tnh tch phn, c vit di dng
N
p
Ck
e ck T A Ck e c k T
k =1 a s + ck
k =1
2 = Rx (0 ) As
s =1
(5.6.24)
Cc v d
1. Ta xt trng hp ngm n thun tu khi c th hin x(t) trn khong (, t) ca qu trnh ngu
nhin X(t) c hm tng quan
Rx ( ) = De
(5.6.25)
Trong trng hp ny, theo (5.3.4) v (5.3.5)
Rxz ( ) = Rz () = Rx ( ) = De
(5.6.26)
Khi phng trnh VinerHopf c vit di dng
Rx (t + T ) = g ( )Rx ( t )d,
t0
(5.6.27)
Theo (5.6.12), hm trng lng g(t) s c tm di dng

N
g (t ) = As e a s t + A( t )
(5.6.28)
s =1
V tng trong cc ng thc (5.6.10) v (5.6.11) ch c mt hng t, tc l p = 1, m = 0, nn hm

(5.6.21), m n c th c s nghim khng ln hn p+m1, s khng c nghim, tc l N=0. Khi hm
trng lng c vit di dng
g(t) = A(t ) .
(5.6.29)
T ng thc (5.6.22) ta c
A = e T
(5.6.30)
T , hm trng lng ti u c dng
g (t ) = e T (t )
(5.6.31)
Khi , theo (5.6.24), phng sai sai s ca d bo, c xc nh di dng
2 = Rx (0) e T De T = D 1 e 2T
(5.6.32)
Ta nhn c chnh kt qu nh trong v d 1 mc 5.5.

2. Xt trng hp ngm n thun tu khi qu trnh ngu nhin X(t) c hm tng quan
Rx ( ) = De
cos .
(5.6.33)
Ta vit Rx ( ) di dng
Rx ( ) =
Trong trng hp ny
136
D ( i ) ( + i )
e
+e
2
(5.6.34)
Rxz ( ) = Rz ( ) =
D ( i ) ( + i )
e
+e
2
(5.6.35)
l tng ca hai hng t, tc p=2, m=0. Khi N=p+m1=1, cn hm trng lng s c dng
g (t ) = A1e a1t + A( t )
(5.6.36)
Hm (5.6.21) c vit di dng
P(z ) =
D
i
+ i
+ 2
2
=
2
2
2 z ( i)
z ( + i )
z 2 ( 2 + 2 )2
= D 2
2
2
2
2
2 2
z 2 z ( ) + ( + )
(5.6.37)
Hm ny c nghim dng duy nht z = 2 + 2 , t cho php tm a1 trong biu thc hm trng
lng.
xc nh cc h s A1 v A ta s dng h (5.6.22) di dng
+ A = e ( i )T ,
+ ( i )
A1
( + i )T
+ A=e
2 + 2 ( + i )
A1
(5.6.38)
Gii h ny ta c
2 2 + 2 2 + 2
e T sin T
A1 =
(5.6.39)
2 + 2
A = e T cos T +
sin T
(5.6.40)
Cui cng hm trng lng c dng
2 2 + 2 2 2

sin Te
g (t ) =
2 + 2 T
2 + 2
sin T ( t )e T
+ cos T +
(5.6.41)
Kt qu nhn c ny chnh l kt qu trong v d 2 mc 5.5.
137
Chng 6
XC NH CC C TRNG CA HM NGU NHIN THEO S LIU
THC NGHIM
6.1 CC C TRNG THNG K CA HM NGU NHIN
chng 2, chng ta thy rng trong l thuyt tng quan, ngi ta ly k vng ton hc v hm
tng quan lm c trng ca hm ngu nhin. Ta s xt phng php xc nh cc c trng ny theo s
liu thc nghim. Trong cn nh rng, khi s dng cc s liu thc nghim, ta khng bao gi gi thit
c tp hp tt c cc th hin c th ca hm ngu nhin, m ch c mt s hu hn cc th hin, l mt
phn no trong tp tng th.
V vy, cc c trng ca hm ngu nhin c xc nh theo tp mu ny mang tnh cht ngu nhin
v c th khc vi nhng c trng thc xc nh theo ton b tp tng th cc th hin. Nhng c trng
nhn c theo s liu thc nghim gi l nhng c trng thng k hay c lng thng k. Khc vi gi
tr thc ca k vng ton hc m( t ) v hm tng quan R( t1 ,t2 ) , ta s k hiu cc c trng thng k
~
~( t ), R
tng ng di dng m
( t ,t ) .
1 2
C th xt hm ngu nhin nh tp hp tt c cc lt ct ca n. Xut pht t , c th a vic xc

nh cc c trng thng k ca hm ngu nhin v vic xc nh cc c trng tng ng ca h cc i
lng ngu nhin.
Gi s do kt qu thc nghim ta nhn c n th hin X i ( t ) ( i = 1, 2, ..., n ) ca qu trnh ngu
nhin X ( t ) trn khong t0 t t0 + T (hnh 6.1).
Ta s chia khong ny thnh m phn bng nhau bi cc im t0 , t1 , ..., t m 1 , t0 + T . i vi mi gi
tr ca i s t j ( j = 1, 2 , ..., m ) ta nhn c mt lt ct ca qu trnh ngu nhin X j = X ( t j ) l mt
i lng ngu nhin, tc l ta nhn c h m i lng ngu nhin. V thay cho cc c trng thng k
ca qu trnh ngu nhin ta s xt nhng c trng tng ng ca h cc i lng ngu nhin ny.
Theo mc 1.8, nhng c trng l: k vng ton hc ca cc i lng ngu nhin
~ X =m
~ (t )
m
[ j]
(6.1.1)
l nhng gi tr thng k ca k vng ton hc ca qu trnh ngu nhin ti cc gi tr ri rc ca i s tj,

v ma trn tng quan
~
~
~
R11 R12 ... R1m
~
~
R22 ... R2m

~
R j ,l =
(6.1.2)
.
... ...
Rmm
Cc phn t ca ma trn tng quan (6.1.2) l mmen tng quan thng k gia cc lt ct ca qu trnh
ngu nhin, ng vi cc gi tr ca i s t j v tl , tc l cc gi tr thng k ca hm tng quan ca qu trnh
ngu nhin ti nhng gi tr ri rc ca i s t j v tl
~
~
R j ,l = Rx ( t j , tl ) .
Theo lun im ca thng k ton hc (chng hn, xem [8]), ngi ta xem trung bnh s hc ca n gi
tr hin c ca i lng ngu nhin l gi tr thng k ca k vng ton hc
138
n
~ ( t ) = 1 x ( t ), j = 1, 2, ..., m .
m
x j
i j
n i =1
(6.1.3)
Tng t, cc gi tr thng k ca mmen tng quan c xc nh theo cng thc
1 n
~
R x ( t j , tl ) =
xi ( t j ) m~x ( t j ) [xi ( tl ) m~x ( tl )]
n 1 i =1
(6.1.4)
c bit khi j = l , mmen tng quan l gi tr thng k ca phng sai ti lt ct tng ng
1 n
~
~
Dx ( t j ) = Rx ( t j , t j ) =
(6.1.5)
xi ( t j ) m~x ( t j ) 2 .
n 1 i =1
r =~
r ( t , t ) , l nhng gi tr thng k ca hm tng
Cc gi tr thng k ca h s tng quan ~
j ,l
quan chun ho ~
rx ( t j , tl ) ti nhng gi tr i s t j , tl , c xc nh theo cng thc
~
R x ( t j , tl )
~
rx ( t j , tl ) = ~
~ (t ) ,
x( t j )
x l
(6.1.6)
~
~ (t )= D
trong
x
x( t ) .
Phng php va xt trn y, ly tr s trung bnh s hc theo tt c cc th hin c c lm gi tr
thng k ca k vng ton hc ca i lng ngu nhin, da trn c s s dng quy lut s ln. Quy lut
ny pht biu rng, khi s lng cc th nghim l ln, vi xc sut gn bng n v, c th cho rng
lch ca gi tr trung bnh so vi k vng ton hc l nh. y gi thit rng, cc th nghim l c lp
v c tin hnh trong nhng iu kin nh nhau. Cc th nghim c coi l tin hnh trong nhng iu
kin nh nhau nu khi thc hin chng c tnh ti tp hp tt c nhng tc ng m iu kin ban u v
nhng mi lin h c gi nguyn khng i. Cc th nghim c coi l c lp nu kt qu ca mi th
nghim khng ph thuc vo kt qu ca nhng ln th nghim khc. Di gc ton hc, tnh c lp
ca cc ln th nghim khc nhau tng ng vi s c lp ca lut phn b ca hm ngu nhin trong
cc th nghim , cn s tn ti nhng iu kin bn ngoi ging nhau khi tin hnh th nghim tng
ng vi vic cc quy lut phn b ca hm ngu nhin nh nhau trong tt c cc ln th nghim.
H phng php va xt cng c ng dng xc nh cc c trng thng k ca trng ngu
nhin.
r
r
Gi s c n th hin ui ( ) ( i = 1, 2, ..., n ) ca trng ngu nhin U ( ) trong min khng gian D
no . Ta chia min D thnh m phn bi mt tp hp cc mt phng song song vi cc mt phng to
r
v phn b cch u nhau. K hiu j l bn knh vect ca im N j , l nh ca cc khi lp phng
r
m min D c chia thnh. Khi ng vi mi gi tr ca i s j l mt i lng ngu nhin
r
U ( j ) lt ct ca trng ngu nhin ti im N j . Tt c cc cng thc xc nh cc c trng thng k
r
ca trng ngu nhin U ( ) c nhn t cc cng thc tng ng ca qu trnh ngu nhin X ( t ) (6.1.3)
(6.1.6) bng cch thay th ch s x thnh ch s u , cn i s v hng t c thay bng i s vect .

Phng php x l theo tp hp cc th hin ca hm ngu nhin va xt i hi s lng ln cc th hin,
bi v nh bit t thng k ton hc, chnh xc ca cc c trng thng k nhn c gim nhanh khi
gim s lng th hin.
Vi s lng th hin ln, vic tnh ton theo cng thc (6.1.3) v c bit theo cng thc (6.1.4) rt
kh khn. Cng vic ny c th c thc hin mt cch hiu qu nh my tnh in t. Ngy nay ngi ta
lp cc chng trnh xc nh k vng ton hc v ma trn tng quan cho nhiu loi my tnh khc
nhau, nh thc hin c vic x l cc thng tin kh tng thy vn.
Thng thng trong thc t, vic o c cc yu t kh tng thy vn c tin hnh khng lin tc
139
i vi tt c cc gi tr ca i s, m ch ti nhng gi tr ri rc ca n. Nh vy, khi xc nh cc c

trng ca hm ngu nhin theo s liu thc nghim quan trc kh tng thy vn, chng ta c mt h cc
lt ct i vi nhng gi tr c th cho ca i s, v chng ta ch c th thao tc vi h .
Trong trng hp qu trnh ngu nhin dng hay trng ng nht ng hng, k vng ton hc
khng ph thuc vo i s ca hm ngu nhin, cn hm tng quan l hm ch ca mt i s v hng
modul ca hiu cc i s. Khi , vic tnh ton n gin hn nhiu, thay v ma trn tng quan (6.1.2)
ch cn tnh nhng phn t hng u tin ca n, chnh l cc mmen tng quan gia cc lt ct nm
cch nhau nhng khong khc nhau ca hm ngu nhin.
6.2 CC C TRNG THNG K CA CC HM NGU NHIN C TNH

EGODIC
i vi qu trnh ngu nhin dng hay trng ng nht ng hng c tnh egoic, vic ly trung
bnh theo tp cc th hin (xem chng 2) c th thay bng vic ly trung bnh theo mt th hin cho trn
khong bin thin ln ca i s.
Ta xt cc phng php xc nh cc c trng thng k ca hm ngu nhin trong trng hp ny.
Gi s c th hin x( t ) ca qu trnh ngu nhin dng egoic X ( t ) cho trn khong [0 , T ] .
Nh trnh by trong mc 2.6, cc gi tr ca k vng ton hc v hm tng quan ca qu trnh

ngu nhin c xc nh theo cc cng thc (2.6.1) v (2.6.2).
Trong cng thc (2.6.2) c mt gi tr thc ca k vng ton hc mx ca qu trnh ngu nhin. Song
trong a s trng hp, gi tr ny cha c bit v do , thay cho gi tr thc buc phi s dng gi tr
~ .
thng k ca k vng ton hc m
x
Trn thc t, chng ta thng khng c biu thc gii tch ca th hin x( t ) m ch c th biu
din n, nhn c bng cc dng c t ghi, hoc thng thng nht l bng cc gi tr ca n ti nhng tr
s ri rc ca i s t .
Khi , trong cc cng thc (2.6.1) v (2.6.2), cc tch phn c thay th gn ng bng cc tng
tch phn.
Gi s c bng ghi lin tc ca th hin x( t ) (hnh 6.2), ta chia khong [0, T ] thnh n phn bng
nhau c di t v k hiu im cui ca tng on l t j = jt ( j = 1, 2 , ..., n ) .
Hnh 6.1
Hnh 6.2
V T = nt , nn cc cng thc (2.6.1) v (2.6.2) c th vit di dng

n
~ = 1 x( jt ) ,
m
x
n j =1
~
Rx ( k ) =
trong k = kt ( k = 1, 2 , ..., m ) .
140
1
nk
(6.2.1)
nk
[x( jt ) m~x ] [x[( j + k )t ] m~x ] ,

j =1
(6.2.2)
Nu bng ghi th hin khng lin tc m l ri rc th t j ly bng nhng gi tr ca i s ti ghi

gi tr ca th hin x( t ) .
~
~ v hm tng quan R
Vic xc nh gi tr thng k ca k vng ton hc m
u
u ( l ) ca trng ng
r
nht ng hng U ( ) theo mt th hin cho trong min khng gian D cng c tin hnh bng cch
tng t.
H phng php va xt cng hon ton c p dng xc nh hm cu trc ca qu trnh dng
egoic hay trng ngu nhin ng nht ng hng. Cng thc xc nh gi tr thng k ca hm cu
trc theo mt th hin ca hm ngu nhin X ( t ) cho trn on [0, T ] c dng
Bx ( ) =
1
T
[x( t + ) x( t )] dt .
2
(6.2.3)
Khi thay th tch phn trong (6.2.3) bng tng tch phn, ging nh i vi hm tng quan, ta c
cng thc
~
Bx ( k ) =
1
nk
nk
[x( t j + k ) x( t j )]2 .
(6.2.4)
j =1
Nu khng ch c mt th hin m l mt s cc th hin ca n nhn c trong nhng iu kin

nh nhau th vic x l c tin hnh theo phng php trn i vi tng th hin, sau ly trung bnh
cc c trng tnh c. Trong trng hp ny, cn nh rng gi tr trung bnh ca hm cu trc, nhn
c bng cch ly trung bnh theo mt b n th hin di hu hn T, s tin ti gi tr thc khi cho
n.
Cn i vi hm tng quan, do khi tnh n khng s dng gi tr thc m dng gi tr thng k
ca k vng ton hc ca hm ngu nhin, nn gi tr trung bnh ca n vn b sai lch, thm ch c khi
cho n .
Thc vy, i vi hm cu trc ta c
1 T
~
2
[
]
M Bx ( ) = M
X
(
t
)
X
(
t
)
dt
+
T 0
1
T
2
M [X ( t + ) X ( t )] dt =
0
1
T
Bx ( )dt = Bx ( ) ,
(6.2.5)
tc l k vng ton hc ca hm cu trc thng k bng gi tr thc ca n.

Nu cc gi tr thng k ca hm tng quan c xc nh theo tng th hin di T c s dng
gi tr thng k ca k vng ton hc ca hm ngu nhin, th
1 T
~
[X ( t ) m~x ][X ( t + ) m~x ] dt =
M Rx ( ) = M
T 0
=
=
1
T
1
T
M { [X ( t ) mx ][X ( t + ) mx ] }dt =
~
1
T
M { [X ( t ) mx ][X ( t + ) mx ] }dt
0
M { [mx mx ][X ( t + ) mx ] }dt

~
141
1
T
M { [mx mx ][X ( t ) mx ] }dt +

~
M [ (mx mx )
1
T
]dt .
(6.2.6)
Hng th nht trong (6.2.6) bng gi tr thc ca hm tng quan Rx ( ) . Th cc gi tr thng k

~
mx vo nhng s hng cn li ca (6.2.6), sau mt s bin i ta nhn c biu thc
~
M Rx ( ) = Rx ( )
2
1
1 [Rx ( 1 ) + TRx ( 1 )] d1 +
( T )T 0
1
( T + 21 ) [Rx ( 1 ) + Rx ( 1 )] d1
( T )T 0
(6.2.7)
T thy rng, k vng ton hc ca gi tr thng k ca hm tng quan, m gi tr trung bnh ca

n ly theo tt c cc th hin s tin ti khi n , khng trng vi gi tr thc ca hm tng quan.
Khi 0 , t (6.2.7) ta nhn c cng thc cho k vng ton hc ca phng sai thng k ca hm
ngu nhin khi tnh gi tr ca n bng cch ly trung bnh theo tng th hin di T c s dng gi tr
thng k ca k vng ton hc
[ ]
2
~
~
M R x ( 0 ) = M D x = D x 2 ( T ) R x ( ) d .
T 0
(6.2.8)
T (6.2.8) thy rng, thm ch khi s th hin ly trung bnh cc gi tr thng k ca phng sai
tin ti v hn v khi khong ghi th hin T hu hn th phng sai trung bnh vn s khc bit vi gi tr
thc ca phng sai mt i lng ph thuc vo T v bng
2
( T )Rx ( )d .
T2 0
(6.2.9)
Bng vic x l s liu thc nghim nh trn, ta nhn c cc gi tr thng k ca hm tng quan
ti nhng tr s ri rc ca i s. c th s dng tip hm tng quan khi nghin cu thng k cc qu
trnh v cc trng kh tng thy vn, thun tin hn nn s dng biu thc gii tch ca hm tng quan
nh l hm ca i s lin tc. C th nhn c hm nh vy bng cch xp x cc gi tr tnh c bi
cc biu thc gii tch khi s dng cc phng php ton hc quen thuc. Khi chn biu thc gii tch
xp x hm tng quan cn nh rng iu kin cn v tnh dng ca qu trnh ngu nhin hay tnh ng
nht ca trng ngu nhin l iu kin khng m ca ph. V vy ch c th chn nhng hm no c ph
khng m lm hm xp x.
Trong chng 3 xt chi tit mt s hm v ch ra nhng hm no c th dng lm hm tng
quan ca qu trnh ngu nhin dng hay trng ngu nhin ng nht. D nhin nhng hm ny cha bao
qut c tt c cc hm c ph khng m m chng c th l hm tng quan, song nh nhiu nghin cu
ch ra, nhng hm thng cho kt qu kh ph hp vi s liu thc nghim khi xp x gi tr thng
k ca hm tng quan ca cc qu trnh v trng kh tng thy vn.
Khi chn cc biu thc xp x, nn dng th cc mmen tng quan nhn c v xem xt tnh
cht ph thuc ca n vo i s, so snh th ny vi th cc hm tng quan xt chng 3.
Nhng ch dn t m v cc phng php xp x v chnh xc ca chng c xt trong cc sch
chuyn kho v chng ta s dng vn ny y.
6.3 CHNH XC XC NH CC C TRNG THNG K CA HM

NGU NHIN
Do nhiu nguyn nhn lm nh hng ti chnh xc, cc c trng thng k ca hm ngu nhin
142
xc nh theo s liu thc nghim l nhng c trng gn ng v c th khc nhiu so vi gi tr thc ca

k vng ton hc v hm tng quan. Ta s xt nh hng ca nhng nhn t khc nhau ti chnh xc
ca vic xc nh cc c trng thng k.
n gin cho vic tnh ton, ta s tin hnh nghin cu chnh xc i vi qu trnh ngu nhin.
Vi trng ngu nhin, tnh cht nghin cu v cc kt lun s tng t.
1. nh hng ca sai s trong s liu ban u
Cc s liu thc nghim c s dng khi x l khng trnh khi c cha nhng sai s ph thuc
vo chnh xc ca phng php quan trc v cc dng c o.
Ta s cho rng sai s o l mt qu trnh ngu nhin Y ( t ) c k vng ton hc m y ( t ) v hm tng
quan R y ( t1 ,t2 ) .
Khi mi th hin zi ( t ) ca qu trnh ngu nhin X ( t ) nhn c do th nghim s l tng ca
gi tr thc ca th hin xi ( t ) v sai s o yi ( t )
zi ( t ) = xi ( t ) + yi ( t ) .
(6.3.1)
~ ( t ) s bng
Trong trng hp ny, tng ng vi (6.1.3), gi tr thng k ca k vng ton hc m
z
n
~ (t )= 1
~ (t )+ m
~ (t ).
m
xi ( t j ) + yi ( t j ) = m
z j
x j
y j
n i =1
(6.3.2)
V trong trng hp ang xt, ta ch quan tm ti nh hng ca sai s o nn ta s coi s th hin

ln sao cho cc c trng thng k ca qu trnh c xt khng khc bit so vi gi tr thc tng ng.
Khi c th vit (6.3.2) di dng
~ (t ) = m (t ) + m (t ),
m
(6.3.3)
z
tc l sai s ca gi tr thng k ca k vng ton hc bng k vng ton hc ca sai s o.

Theo (6.1.4), ta s xc nh gi tr thng k ca hm tng quan di dng
1 n
~
R z ( t j , tl ) =
zi ( t j ) m~z ( t j ) [zi ( tl ) m~z ( tl )] =
n 1 i =1
1 n
xi ( t j ) + yi ( t j ) mx ( t j ) m y ( t j )
n 1 i =1
xi ( tl ) + yi ( tl ) m x ( tl ) m y ( tl ) =
= Rx ( t j ,tl ) + R y ( t j ,tl ) + Rxy ( t j ,tl ) + R yx ( t j ,tl )
(6.3.4)
Trong thc t quan trc kh tng thy vn, thng thng ngi ta tha nhn rng sai s o khng
lin quan vi gi tr thc ca i lng c o v cc sai s ng vi nhng gi tr khc nhau ca i s
khng lin h vi nhau, tc l
Rxy ( t j ,tl ) = R yx ( t j ,tl ) = 0,
(6.3.5)
0
R y ( t j , tl ) = 2
y ( t j )
khi j l ,
khi j = l .
(6.3.6)
Khi cng thc (6.3.5) c vit di dng
Rx ( t j ,tl )
~
R z ( t j , tl ) = 2
2
x ( t j ) + y ( t j )
khi j l ,
k hi j = l .
(6.3.7)
143
T cng thc (6.3.7) suy ra rng, trong trng hp ang xt, sai s o khng nh hng ti gi tr
thng k ca hm tng quan ca qu trnh ngu nhin khi t j tl , nhng lm tng gi tr thng k ca
~ ( t ) , nhn c t (6.3.7) khi t = t , ln mt lng bng phng sai ca sai s o
phng sai
z
y( t j ).
Khi , theo (6.1.6), gi tr thng k ca hm tng quan chun ho c xc nh nh sau
~
Rx ( t j ,tl )
Rz ( t j ,tl )
~
rz ( t j ,tl ) = ~
.
=
~ (t )
z ( t j )
z l
2x ( t j ) + 2y ( t j ) 2x ( tl ) + 2y ( tl )
(6.3.8)
T (6.3.8) thy rng, sai s o lm gim gi tr thng k ca hm tng quan chun ho.
i vi cc qu trnh ngu nhin dng X ( t ), Y ( t ) , hm tng quan ph thuc vo mt tham s
= tl t j , cn cc phng sai 2x , 2y l nhng i lng khng i, khi (6.3.8) c vit thnh

dng
R ()
~
rz ( ) = 2x 2 .
x + y
(6.3.9)
Chia t thc v mu thc ca (6.3.9) cho 2x , ta c
~
rz ( ) = rx ( )
trong rx ( ) l gi tr thc ca hm tng quan chun ho, cn =
2y
2x
1
,
1+
(6.3.10)
rz ( )
Khi 0 , hm tng quan chun ho tin ti n v, do ~
1
, v iu ny cho php
1+
xc nh i lng .
rz ( ) , bt u t gi tr = 0 v ngoi suy n n im = 0 . Nu 0 nh
Ta s dng th hm ~
th c th tin hnh ngoi suy bng phng php th. Ngoi ra, cng c th thc hin iu bng cch
xp x hm ~
rz ( ) bng biu thc gii tch, sau tnh gi tr ca biu thc ny ti = 0 . S dng ng
thc (6.3.10), ta xc nh c i lng
1
.
1+ = ~
rz ( 0 )
(6.3.11)
By gi nhng gi tr b h thp ca hm tng quan chun ho thng k c th c hiu chnh li

khi nhn chng vi i lng 1 + va tm c.
~ 2 chia cho
hiu chnh gi tr b tng ca phng sai thng k, cn phi ly gi tr nhn c ca
z
1 + theo cng thc
2x =
Gi tr thng k ca hm cu trc Bz ( ) c xc nh
1 n
~
Bz ( ) =
[zi ( t + ) zi ( )] 2 =
n 1 i =1
=
144
1 n
[xi ( t + ) + yi ( t + ) xi ( t ) yi ( t )]2 =
n 1 i =1
~2
z
.
1+
(6.3.12)
= Bx ( ) + B y ( ) + 2 Rxy ( 0 ) + Rxy ( 0 ) Rxy ( ) R yx ( ) .
(6.3.13)
Cng da trn gi thit v tnh khng tng quan gia sai s o v cc i lng c o v tnh
khng tng quan vi nhau gia sai s ti nhng thi im t khc nhau, ta nhn c
~
Bz ( ) = Bx ( ) + 2 2y .
(6.3.14)
Nh vy gi tr thng k ca hm cu trc b tng ln mt lng bng hai ln phng sai ca sai s.
~
V Bx ( 0 ) = 0 nn Bz ( 0 ) = 2 2y . T y c th tm c i lng 2 2y bng cch ngoi suy th
~
hm cu trc Bz ( ) n im = 0 . Sau khi xc nh c 2y , c th hiu chnh cc gi tr nhn c
ca hm cu trc bng cch tr chng cho 2 2y .
Hm cu trc chun ho c xc nh theo cng thc
bz ( ) =
Bz ( )
B ()
.
= z
Bz ( ) 2 Rz ( 0 )
(6.3.15)
Do , gi tr thng k ca hm cu trc chun ho c xc nh theo cng thc
Bx ( ) + 2 2y 2 2xbx ( ) + 2 2y bx ( ) +
~
.
=
=
bz ( ) =
1+
2 2x + 2 2y
2 2x + 2 2y
(6.3.16)
Cng thc ny c trng cho s sai lch ca hm cu trc gy nn bi sai s o.

Chng ta xt nh hng ca sai s o trong s liu ban u n chnh xc ca cc c trng
thng k tnh c bng phng php ly trung bnh theo tp hp cc th hin. Cc sai s o cng nh
hng ng nh vy n chnh xc ca cc c trng thng k ca hm ngu nhin dng egoic khi
nhng c trng ny c xc nh bng cch ly trung bnh theo mt th hin vi di ln.
2. nh hng ca s hn ch s lng cc th hin
Khi xc nh cc c trng thng k ca hm ngu nhin bng cch ly trung bnh theo tp cc th
hin, chng ta ch c mt s lng hn ch cc th hin, thng l khng ln.
Nh bit trong thng k ton hc, chnh xc ca vic xc nh cc i lng ny ph thuc vo
s lng th hin. i vi nhng i lng ngu nhin phn b gn chun, sai s bnh phng trung bnh
r ca h s tng quan c xc nh theo cng thc
r =
1 r2
,
n 1
(6.3.17)
trong r l gi tr thc ca h s tng quan, n l s lng cc quan trc c lp. T cng thc ny ta
thy rng, i lng r ph thuc ng k vo gi tr ca h s tng quan.
K hiu
r
1 r2
=
,
r
r n 1
(6.3.18)
ta nhn c:
- vi r = 0 ,9 th =
- vi r = 0 ,5
th =
0 ,2
n 1
1,5
n 1
,
,
145
- vi r = 0 ,1
th =
9 ,9
n 1
iu ny cho thy, gi tr thng k ca cc h s tng quan i vi cc cp lt ct ca hm ngu

nhin lin h cht ch vi nhau l tin cy hn so vi trng hp cc lt ct lin h yu.
i vi nhng qu trnh ngu nhin gp trong kh tng thy vn, mi lin h tng quan thng gim
kh nhanh khi tham s tng.
Nh vy, cc gi tr R( ) nhn c theo s liu thc nghim s chnh xc hn vi nhng tr s
nh v t tin cy khi ln. Xut pht t , khi xp x cc gi tr nhn c ca hm tng quan R( )
bng biu thc gii tch cn phi t c s ph hp tt gia cc gi tr thc nghim v gi tr lm trn ti
nhng khng ln, nu cho rng s sai lch ti nhng tr s ln ch yu l do ngu nhin.
i vi nhng hm ngu nhin dng, cc gi tr ca hm tng quan c th c chnh xc ho bng
cch tnh chng cho nhng tr s ging nhau ly trn nhng on khc nhau ca khong bin thin ca
i s t , v sau ly trung bnh chng. Trong trng hp ny sai s bnh phng trung bnh ca chng
s gim. Mc gim ca sai s ny cng ng k nu cc lt ct ca hm ngu nhin trn nhng on ca
khong bin thin t , m trn ta tnh cc tr s r( ) ly trung bnh, cng t lin h vi nhau.
Khi n iu , cn lp li vic tnh ton r( ) qua cc khong bin thin ln ca tham s t
sao cho mi lin h tng quan gia cc lt ct trong nhng khong tr nn khng ng k.
Nu cc h s tng quan tham gia vo php ly trung bnh c tnh trn nhng on thc t c lp
vi nhau, th nh bit, sai s bnh phng trung bnh r s gim i k ln, vi k l s gi tr r( )
em ly trung bnh. By gi ta s xt sai s xut hin khi xc nh cc c trng thng k bng cch ly
trung bnh theo mt th hin.
3. nh hng ca s hn ch khong ghi th hin
Khi xc nh cc c trng thng k ca hm ngu nhin dng c tnh egoic bng cch ly trung
bnh theo mt th hin s xut hin sai s do chng ta ch c mt bn ghi th hin trn mt khong bin
thin hu hn no ca i s m khng phi trn ton b khong v hn.
Khi , mi c trng thng k s l mt i lng ngu nhin v ta quan tm ti mc sai lch c
th ca i lng ny khi gi tr thc ca n. V vy, ng nhin ta s ly bnh phng trung bnh
lch ca cc gi tr c th ca c trng thng k so vi gi tr thc lm thc o chnh xc ca c
trng thng k ny.
Gi s gi tr thc ca c trng l a, cn gi tr thng k ca n nhn c bng vic ly trung bnh
~
theo mt th hin l mt trong nhng gi tr c th ca i lng ngu nhin A , khi lm thc o
chnh xc ngi ta dng i lng
2
~
= M Aa .
(6.3.19)
~ bng cch ly trung bnh theo mt th hin ca

Khi xc nh gi tr thng k ca k vng ton hc m
x
hm ngu nhin X ( t ) cho trn khong [0 , T ] , theo (2.6.1) th i lng (6.3.19) s c xc nh di dng
2m
146
2
T

1
= M X ( t )dt mx =

T 0

1 T T
= M 2 [X ( t1 ) dt mx ][X ( t2 )dt mx ] dt1dt2 =
T 0 0
=
1
T2
TT
Rx ( t2 t1 )dt1dt2 ,
(6.3.20)
00
trong mx l gi tr thc ca k vng ton hc ca hm ngu nhin X ( t ) , cn Rx ( t2 t1 ) = Rx ( ) l

hm tng quan ca n. Ta bin i tch phn hai lp trong (6.3.20)
TT
T T
J = Rx ( t2 t1 )dt1dt2 = Rx ( t2 t1 )dt2 dt1 .
00
0
0
(6.3.21)
Thay bin t2 t1 = tch phn bn trong

T T t1
J = Rx ( )d dt
0
t1
(6.3.22)
v ly tch phn tng phn, ta c

T
J = T Rx ( )d Rx ( )d tRx ( T t )dt .
(6.3.23)
Sau khi thay T t = trong tch phn cui cng ca (6.3.23)

T
J = 2 ( T )Rx ( )d .
(6.3.24)
Th (6.3.24) vo (6.3.20), cui cng ta c
2m =
2
1 Rx ( )d .
T 0 T
(6.3.25)
T (6.3.25) thy rng lch bnh phng trung bnh m , c trng cho chnh xc ca vic xc
nh gi tr thng k ca k vng ton hc, ph thuc vo khong ly trung bnh T v ph thuc vo dng
ca hm tng quan Rx ( ) .
V d, i vi hm ngu nhin X (t ) c hm tng quan
R x ( ) = Dx e
2m =

2 Dx
2 Dx
1 e d =
T 0 T
T
(6.3.26)
T
1 T 1 e
.
(6.3.27)
T thy rng, i lng 2m ph thuc vo tch T . Vi nhng gi tr T ln, cng thc xp x

sau y s ng
2m
2 Dx
T
(6.3.28)
hay
m
2
.
T
Dx
(6.3.29)
Cng thc (6.3.29) cho thy rng, t trng tng i ca lch bnh phng trung bnh ca sai s, xc
nh gi tr thng k ca k vng ton hc ca hm ngu nhin X ( t ) so vi lch bnh phng trung bnh
147
ca n x = Dx , t l nghch vi cn bc hai ca khong ly trung bnh T . T (6.3.29), vi tr s

cho, c th tm c di cn thit ca khong T khi cho trc sai s tng i cho php
m
.
x
~
Khi xc nh gi tr thng k ca hm tng quan Rx ( ) bng cch ly trung bnh theo mt th
hin ca hm ngu nhin X ( t ) cho trn khong [0 , T ] , theo (2.6.2), i lng (6.3.19) s c xc nh
di dng
{[
] 2 }=
~
2R ( ) = M Rx ( ) Rx ( )
=M
1 T
[X ( t ) mx ][X ( t + ) mx ]dt Rx ( )
T 0
(6.3.30)
i vi trng hp hm ngu nhin dng phn phi chun, bng cch bin i biu thc (6.3.30), v
d nh trong [16] thc hin, c th nhn c cng thc gn ng tnh 2R ( )
2R ( )
2
Rx2 ( 1 ) + Rx ( 1 + )Rx ( 1 ) d1 .
T 0
(6.3.31)
Cng thc ny ng i vi nhng gi tr T ln v vi nhng gi tr m ti R( ) cn c gi tr

ng k.
S dng cng thc (6.3.31) c th nhn c gi tr 2R ( ) i vi hm ngu nhin c hm tng
quan (6.3.26) di dng
2R ( )
Dx
1 + ( 1 + 2 ) e 2 .
( T )
(6.3.32)
c bit vi = 0 , ta c cng thc gn ng i vi lch bnh phng trung bnh ca phng

sai thng k
2D
Dx
.
T
(6.3.33)
T thy rng t s gia D v lch bnh phng trung bnh x ca hm ngu nhin t l
nghch vi cn bc hai ca khong ly trung bnh T.
4. nh hng ca php thay th tch phn bng tng tch phn
Nh ch ra trn, khi xc nh cc c trng thng k ca hm ngu nhin bng cch ly trung
bnh theo mt th hin s xut hin sai s do tch phn xc nh trong cc cng thc (2.6.1) v (2.6.2) b
thay th bng tng tch phn (6.2.1) v (6.2.2).
Theo (6.3.19), lch bnh phng trung bnh m , c trng cho chnh xc ca vic xc nh k
vng ton hc thng k, c xc nh di dng
2
m
2
n

1
= M X ( t j ) mx =

n j =1
n
1
= 2 M X ( t j
n
j =1
148
2mx
M [X ( t j )]+ mx2 =
n
j =1
=
=
1
n2
M [X ( t j ) X ( tk )]
1
n2
M { [X ( t j ) mx ][X ( tk ) mx ] }=
j =1 k =1
n
2mx
nmx + mx2 =
n
j =1 k =1
1
n2
Rx ( t k t j ) .
(6.3.34)
j =1 k =1
Khi phn chia khong ly trung bnh T ra lm n phn bng nhau th t k = k
T
= ( k j ) ,
n
(6.3.35)
Rx [( k j ) ].
(6.3.36)
tk t j = ( k j )
trong =
T
T
, t j = j , do
n
n
T
.
n
S dng (6.3.35), c th vit (6.3.34) di dng

2
m
=
1
n2
j =1 k =1
Theo cng thc ny, khi bit hm tng quan ca qu trnh ngu nhin Rx ( ) , c th c lng
c i lng m ng vi bc chia chn, hoc nu cho trc i lng m cho php c th chn
c bc chia tng ng vi n.
C th, i vi hm tng quan (6.3.26) i lng 2m tnh theo cng thc (6.3.36) s bng [16]
2 1
22 e 2
2
m
= Dx +
1 e T
T T e 1 T 2 e 2 1 2
) .
(6.3.37)
T y thy rng, lch bnh phng trung bnh ca gi tr thng k ca k vng ton hc so vi
gi tr thc ca n ph thuc vo khong ly trung bnh T v bc chia ca khong khi thay th tch
phn xc nh bng tng tch phn.
Trong cng thc (6.3.37), khi gim v hn bc chia, tc l khi 0 ( n ) :
= 0,
0 T
lim
22 e
2
2 1
2
=
,
lim
= 2 2.
0 T e
1 0 T e 1 T
lim
T
2
=
lim m
Dx
T
T
1 T 1 e
.
(6.3.38)
T (6.3.38) thy rng, khi gi tr bc chia nh, i lng m s gim khi T tng.
Vi nhng gi tr nh v T ln, ta c cng thc gn ng
Dx
.
T
(6.3.39)
Tng ng vi (6.3.19) v (6.2.2), lch bnh phng trung bnh ca gi tr thng k ca hm tng
quan so vi gi tr thc ca n do vic thay th tch phn bng tng tch phn c xc nh theo cng thc
2
~
2R = M Rx ( ) Rx ( ) =
{[
]}
149

1
M
n k
nk
X ( t j ) mx X ( t j + k ) m x Rx ( )
n
[
j =1
(6.3.40)
Khi s dng phng php n gin ho chnh biu thc (6.3.40) v c cho biu thc (6.3.30) m
(6.3.40) ch khc vi n ch tch phn trong c thay bng tng tch phn, c th nhn c cng
thc gn ng i vi hm ngu nhin phn b chun
2R
1 2
2 T
R x ( 0 ) + Rx k +
nk
n
n
T
T T
T
T
+ 2 Rx2 j + Rx2 j + k Rx j + k .
n n
n
n
n
j =1
(6.3.41)
Cng thc ny ng i vi khong ly trung bnh T kh ln v vi nhng tr s ca k m hm

T
tng quan Rx k vn cn t gi tr ng k.
n
i vi qu trnh ngu nhin c hm tng quan (6.3.26), i lng 2R , tnh theo cng thc
(6.3.41), bng [16]
2R
Dx2 1 + e 2
1 + e 2 k + 2ke 2k .
2
n k 1 e
(6.3.42)
c bit khi k = 0 , ta nhn c cng thc gn ng i vi lch bnh phng trung bnh ca
phng sai thng k
D Dx
2 1 + e 2
.
n 1 e 2
(6.3.43)
C th nhn c cc cng thc tng t i vi lch bnh phng trung bnh 2B , xut hin do
s hn ch khong ly trung bnh T ca th hin cng nh do vic thay th tch phn bng tng tch phn,
ca gi tr thng k hm cu trc so vi gi tr thc ca n. Cc cng thc ny v nhng c lng tng
ng i vi qu trnh ngu nhin c hm tng quan (6.3.26) c trnh by, chng hn, trong cng trnh
[1].
V d
Ta s minh ha h phng php trnh by bng v d chnh l thng k s liu gi cao khng trn
mc 250 mb, c quan trc bng bng thm khng trong thi k t thng 9/1957 n thng 4/1959
Avakuni (Nht Bn). Trng vect vn tc gi trn mc ny c xem l trng ngu nhin vect phng.
C tt c 86 ln th bng c tin hnh, tc l c 86 th hin ca trng ngu nhin. di thi
gian cc ln th bng khc nhau, di nht l 92 gi. i lng vect vn tc gi c ghi vi thi on 6
gi mt, tc l c 15 lt ct ca trng ngu nhin.
r
Ti thi im ban u my thm khng v tr im N o ( o ) ca mt phng, sau thi gian t n dch
chuyn n im N ( ) , tc l ta s xt trng ngu nhin trong min khngthi gian. Do cc c

trng thng k ca n, nh k vng ton hc v hm tng quan, l hm ca to khng gian v thi
gian.
Nhiu cng trnh nghin cu trng gi chng t rng, trong gii hn ca khong cch v khong
thi gian xy ra trng hp trn y, trng gi trong mt phng ngang thc t c th xem l ng nht
v ng hng vi chnh xc chp nhn c. V vy (xem mc 2.14), c th c trng n bng hai
150
hm tng quan: hm tng quan dc G( 1 ) v hm tng quan ngang F ( 1 ) . i vi trng gi c th

r
ly thnh phn v hng ca vect gi, m ta k hiu l U ( ) , lm thnh phn dc, cn thnh phn kinh
r
hng V ( ) ca n lm thnh phn ngang.
Nh vy, bi ton c a v vic tm k vng ton hc v hm tng quan ca cc thnh phn
kinh hng v v hng ca vect gi.
mi th hin, thnh phn kinh hng v v hng c tnh cho tt c cc thi im ghi vect gi,
tc l vi thi khong 6 gi.
V qu trnh dch chuyn ca bng thm khng qua cc khong thi gian ny khng c ghi li, nn
chng ta qui c s ch xt thi gian nh l mt tham s, mc d trn thc t cc hm tng quan thng k
l hm ca hai tham s khong thi gian = t2 t1 v tng ng vi n l khong cch gia cc im
r r
l = 2 1 , tc l chng l hm tng quan khng thi gian.
c khi nim trc quan v tnh cht ca hm ngu nhin ang xt, trn hnh 6.3 biu din mt vi
th hin ca thnh phn gi v hng. Trn hnh, cc gi tr ri rc ca tng th hin c ni li bng
cc ng lin nt.
Dng ca cc ng cong khng mu thun vi gi thit v tnh ng nht v egoic ca hm ngu
nhin c xt. Chng c dng dao ng ngu nhin xung quanh gi tr trung bnh chung, hn na c bin
trung bnh v c im ca cc dao ng ny khng biu hin s bin i ng k theo thi gian. Ngoi
ra, iu khng nh dng hm tng quan nhn c khi x l.
Nhng tnh ton do G. A. Degtiapenko thc hin trn my tnh in t Uran. Trong chng
trnh c lp c tnh n di khc nhau ca cc th hin ring bit.
K vng ton hc v phng sai c tnh cho tng gi tr tham s t theo cc cng thc (6.1.3),
(6.1.5) bng cch ly trung bnh theo s cc lt ct thc c ca th hin.
~ v lch bnh phng trung bnh
~ i vi
Trong bng 6.1 dn ra gi tr k vng ton hc m
u
u
~
tng lt ct ca thnh phn v hng. T bng thy rng, m khng phi l i lng khng i m c tnh
u
~ cng
chu k no , tc l tnh dng ch c th c chp nhn vi gn ng nht nh. Cc gi tr
u
khc nhau i cht.
Hnh 6.3
loi b sai s mt cch chnh xc hn, y tnh cc hm cu trc v hm tng quan tch bit
nhau theo s liu thc nghim.
Tt c cc th hin (cc ln th bng) c chia thnh ba nhm theo gi tr ca tc gi: I 50
km/h; II 50100 km/h v III trn 100 km/h.
Cc hm cu trc v hm tng quan c xc nh ring bit cho tng th hin theo cc cng thc
(6.2.17) v (6.2.6), sau ly trung bnh theo tt c cc th hin ca tng nhm.
151
Bng 6.1
t (gi)
12
18
24
30
36
42
48
~ (m/s)
m
u
2,0
2,7
-2,2
-2,2
3,0
1,7
-2,6
-1,5
~ (m/s)
16
15
13
15
14
13
11
12
t (gi)
54
60
66
72
78
84
90
~ (m/s)
m
u
2,4
2,0
-2,6
-2,2
-0,8
0,4
0,3
13
13
11
11
~ (m/s)
Trn hnh 6.4 a ra hm cu trc trung bnh ho ca thnh phn v hng. T hnh v thy rng,
gi tr ln nht ca cc hm cu trc t c ti = 30 gi. Tip theo ta thy hm cu trc gim. S
gim ny c gii thch bi s hin din ca tnh chu k trong cu trc ca hm ngu nhin.
T hnh 6.4 cng thy rng, cc gi tr ca hm cu trc nhn c b sai lch. Nu ko di chng n
~
im = 0 th gi tr nhn c s khc khng. Nhng tr s ngoi suy B ( 0 ) ny c gi tr bng hai ln
phng sai sai s trong s liu ban u v chng phi c tr b khi cc gi tr ca hm cu trc. Chnh
nhng gi tr ny c s dng chnh l cc hm tng quan thu c. Khi , gi thit rng ti cc gi
tr nh, hm cu trc chnh xc hn.
Hnh 6.4
Hnh 6.5
Cc hm tng quan ca thnh phn v hng c biu din trn hnh 6.5. T hnh v thy rng, cc
~
hm tng quan Ru ( ) dn ti 0 khi , iu xc nhn gi thit v tnh egoic ca hm ngu nhin.
Cc th ca hm tng quan tng ng vi nhm th nht v nhm th hai ca nhng ln th
bng (khi tc gi nh hn 100 km/h), lm gi nh ti th hm
2
R( ) = 2e .
th ca hm tng quan i vi tc gi trn 100 km/h lm gi nh n th hm
R( ) = 2e cos .
152
PHN 2 - MT S BI TON KH TNG V

THY VN GII BNG CC PHNG PHP L
THUYT HM NGU NHIN
Chng 7
NGHIN CU CU TRC THNG K CC TRNG KH TNG
7.1 NHN XT CHUNG V CU TRC CC TRNG KH TNG
c im ca kh quyn l tnh cht chuyn ng ri hn lon. Cc trng yu t kh tng rt linh
ng. S ph thuc ca cc gi tr tc thi ca trng vo ta khng gian v thi gian rt phc tp. Hn
na, nhng gi tr , khi quan trc trong cng nhng iu kin nh nhau, mi ln chng li mt khc. Do
, khng th m t cc trng ny theo kiu cho nhng gi tr tc thi ti tng im khng gian v ti
tng thi im.
nghin cu cu trc cc trng yu t kh tng th quan im l thuyt xc sut l hp l. Theo
quan im ny, mi trng c xem nh mt trng ngu nhin v m t n s s dng cc phng
php ca l thuyt hm ngu nhin.
C s ca quan im ny l khng xem xt nhng c im ca cc gi tr tc thi ring l, m kho
st mt s tnh cht trung bnh ca tp hp thng k cc th hin ca trng ng vi mt tp nhng iu
kin bn ngoi nht nh no .
Nh ta thy chng 6, khi xc nh bng thc nghim cc c trng thng k ca trng ngu
nhin, gi thit c a ra l tn ti mt tp hp th hin no ca n ng vi nhng iu kin th
nghim nh nhau, hoc tn ti mt th hin ca trng trong min khng gian, thi gian ln i vi
trng hp trng ng nht c tnh egodic.
Ta s xt vn thu nhn tp hp thng k cc th hin i vi cc trng kh tng.
V nguyn tc, cc trng kh tng khng bao gi lp li vi cng nhng iu kin bn ngoi.
Trong kh nng ca mnh, nh kh tng khng bao gi c c mt tp hp thng k cc hnh tinh hon
ton tng t Tri t, v vy, ni mt cch chnh xc, cc trng kh tng c th c gi l cc trng
ngu nhin theo ngha ca l thuyt hm ngu nhin ch l quy c.
Trong kh tng hc, mt qu trnh thng nht thng c chia lm nhiu phn, v chnh cc phn
ny c quy c chp nhn l cc th hin khc nhau, tc l, ngi ta s dng nhng quan trc c tin
hnh nhng min khng gian khc nhau hoc ti nhng thi im khc nhau vi t cch l cc th hin
ca trng ngu nhin. Khi , ngi ta chp nhn nhng quan trc tng c thc hin nhng min
khng gian hay trong nhng khong thi gian tng t nhau theo mt ngha no nh l cc th hin
tng ng vi nhng iu kin bn ngoi nh nhau, nhng quan trc ny c th c s dng x l
thng k.
Trong l thuyt hm ngu nhin, ta gi nhng tnh hung, trong , cc quy lut phn b ca trng
ngu nhin c bo ton, l nhng tnh hung tng ng vi nhng iu kin bn ngoi nh nhau. Trn
153
thc t, thng khng bit trc cc quy lut phn b . V vy, s la chn cc tnh hung tng t
c tin hnh da theo kinh nghim hng ngy ca nh kh tng v cc kt qu nghin cu trc .
Trong tng trng hp c th, kin thc nhn c v cu trc ca trng c xt ph thuc vo
vic chn cc tnh hung tng t ly trung bnh ra sao. Mt yu cu khc i vi tp cc th hin l
tnh c lp ca cc th hin ring bit. Nu cc th hin lin quan cht ch vi nhau, th tt c chng s
cha rt t thng tin mi so vi mi mt th hin trong chng, v do , tng s lng th hin trong
trng hp ny khng lm chnh xc thm mt cch ng k cc c trng thng k.
Xut pht t nhng i hi trn v bn cht vt l ca cc qu trnh kh tng, c th nu ra mt s
im c bn cn phi tnh n khi gp cc s liu thc nghim vo mt tp hp thng k.
Khi chn cc thi im ng vi nhng tnh hung tng t, phi xut pht t s tn ti bin trnh
ngy v nm ca cc yu t kh tng. S hin din ca bin trnh ngy dn n c th xem cc thi im
ng vi mt thi gian nht nh trong ngy l tng t. Do c bin trnh nm, khng th coi nhng thi
im ng vi cc ma khc nhau trong nm l nhng tnh hung tng t. Ni ng ra, ch c th coi
nhng th hin nhn c trong cng mt ngy, mt gi ca tng nm l tng t. Tuy nhin thc t iu
ny bt li, v khi ta s ch c th lm vic vi mt tp rt nh cc th hin, vic ly trung bnh theo tp
ny s khng m bo cho vic nhn cc c trng thng k tin cy. Do , trong thc t, ngi ta
thng nhm tt c nhng th hin khng phi ng vi mt ngy, m ng vi mt khong no ca nm,
v d mt thng hay mt ma, vo lm mt tp, tc l nhm vo mt tp tt c nhng th hin c c nh
quan trc trong nhiu nm, ng vi thi gian nht nh ca ngy v ma kho st. Mun cho cc th hin
c lp, phi chn khong thi gian gia cc quan trc ln. V d, c bit rng trong mt ngy p
sut khng kh bin i t, vy c s ph thuc ng k gia cc tr s ca n ti nhng thi im khc
nhau trong ngy. Mi ph thuc ny duy tr r rt c trong hai ngy tip sau, do khi chn tp th hin
ca trng p sut thng ngi ta s dng nhng quan trc cch nhau khng t hn ba ngy.
Ngoi vic tnh ti bin trnh ngy v nm, khi gp cc th hin vo thnh mt tp thng k, c th
tin hnh phn loi b sung cc s liu thc nghim theo mt s du hiu c bit. Chng hn, khi nghin
cu trng gi, ngi ta phn chia cc th hin tng ng vi nhng iu kin hon lu khc nhau, v d
nh tch ring nhng dng xit, hoc phn lp cc th hin theo ln tc gi v.v... Ngay c trong
nghin cu trng p sut (a th v), i khi ngi ta cng tin hnh phn chia theo dng hon lu.
Khi gp cc tp khng gian tng t, tc cc th hin nhn c nhng im a l khc nhau,
ngi ta xut pht t ch nhng im phi thuc cc vng kh hu ging nhau.
Khi nghin cu cu trc khng gian cc trng kh tng, vn ht sc quan trng l phi tun
th nhng iu kin ng nht ng hng ca trng. iu ny gy nn nhng hn ch nht nh v
rng khng gian ca trng c nghin cu. A.N. Kolmogorov [11] ch ra rng, trong dng ri
thc, m ni chung l khng ng nht v khng ng hng, c th tch ra mt phm vi, trong tnh
ng nht, ng hng ca cc trng kh tng c tho mn mt cch gn ng. Nhng trng nh
vy gi l ng nht v ng hng a phng.
Ty thuc vo quy m ca cc trng c kho st, trong kh tng hc, ngi ta chia ra cc cu
trc qui m vi m, qui m va v qui m v m.
Cu trc vi m m t c im ca trng trong khong t vi phn milimt n vi trm mt. Trong
khong ny tnh ng nht v ng hng a phng tho mn theo c ba chiu.
Cu trc thng k qui m va m t nhng c im ca trng trong khong t mt kilmt n
hng chc kilmt. Trong khong ny biu l r s khc nhau gia cc phng thng ng v phng
ngang. Tnh ng nht v ng hng ch tho mn mt cch gn ng theo phng ngang.
Cu trc thng k v m m t s thay i v nhng mi lin h tng h khi qui m khng gian c
hng trm kilmt hoc ln hn. Cc qu trnh v m lin quan ti nhng qu trnh vn ng kh quyn
154
mang tnh cht synop v thm ch c tnh cht ton cu, bn cht vt l ca chng cn bn khc vi nhng
thng ging ri hn lon quy m nh.
Trong nhiu trng hp vic xem xt cc qu trnh v m nh cc qu trnh ngu nhin v m t
chng tng t vi cc qu trnh quy m nh vn t ra thun tin. Khi trao i ri v m c xt ging
nh mt loi ca qu trnh qui m nh. Tuy nhin, s tng t ny c tnh cht hnh thc. Trong phm vi
ny cc iu kin ng nht ng hng ch c tho mn mt cch gn ng rt th trong mt phng
ngang. Trong phm vi ri qui m va v v m, ta ch c th ni v tnh ng nht ng hng i vi
lch ca cc yu t kh tng so vi chun kh hu, v bn thn cc chun kh hu trong nhng quy m
c th khc nhau ng k. y, thc t khng hy vng s dng c tnh egodic, m nh thy trong
chng 2, tnh cht ny cho php xc nh cc c trng thng k da trn mt th hin di, lm gim
nh ng k vic kho st trng ng nht. Thc vy, k vng ton hc ca trng kh tng ph thuc
vo to , do tnh cc k vng ton hc khng th dng mt th hin, m phi c nhiu th hin.
Ngoi ra, khi nghin cu thc nghim cu trc cc trng kh tng quy m ln, ngi ta s dng nhng
s liu quan trc ti cc trm kh tng v gp li thnh mt tp thng k, s lng cc trm ny trong mt
vng khng gian thng khng nhiu, tc l chng ta ch c nhng gi tr ca th hin ti mt s t cc
im gin on, v do , vic ly trung bnh da theo mt th hin s khng hiu qu.
Nghin cu cu trc trng l xc nh cc c trng thng k ca n, nh k vng ton hc, hm tng
quan hay hm cu trc. l nhng c trng cn thit khi gii quyt nhiu bi ton khc nhau.
Trn c s nhng s liu ny, ngi ta tin hnh phn tch khch quan v lm trn cc trng kh
tng cho mc ch d bo thi tit, tin hnh ti u ho s phn b mng li trm kh tng, nh gi
cc thnh phn khc nhau trong cc phng trnh ng lc hc kh quyn, gii quyt cc vn ngoi suy
s liu kh tng v.v...
Do nhu cu hiu bit ngy cng tng v cu trc thng k trng cc yu t kh tng, trong nhng
nm gn y c hng lot cng trnh v x l thc nghim khi lng s cc ti liu quan trc kh
tng tch lu, v nhng ti liu c dng trong chng ny.
Trong nhng cng trnh nghin cu u tin, tt c cng vic tnh ton u c thc hin bng tay,
iu ny ng nhin hn ch khi lng ti liu a vo x l v khng cho php nhn c nhng kt
qu tin cy. T nm 1963 ngi ta bt u s dng rng ri my tnh in t trong cng tc ny. Trong
, phng php s dng my tnh v lp chng trnh nghin cu cu trc thng k ca cc trng kh
tng khng gian do L.X. Gandin v cc tc gi khc xut [42, 44] ng vai tr quan trng.
7.2 CU TRC THNG K CA TRNG A TH V

Cc vn nghin cu thc nghim cu trc trng a th v c cp trong nhiu cng trnh
[41-44, 46, 50, 75, 78-80, 86].
Vic xc nh cu trc thng k trng kh tng (xem mc 7.1) cn phi bt u t phn tch ti liu
thc nghim hin c v qui cc th hin ng vi nhng tnh hung tng t v mt tp thng k.
Khi nghin cu trng p sut, ngi ta coi cc im trn a cu c cng v v ch khc nhau v
kinh l nhng im tng ng vi nhng tnh hung tng t.
Cc cng trnh nghin cu [41] ch ra rng, nhng v trung bnh, iu kin ng nht v ng
hng i vi hm cu trc ca trng a th v c tho mn kh tt. Tuy nhin, phng sai ca trng
vn c nhng bin thin theo kinh . Thng thng, s ph thuc ca cc c trng thng k vo kinh
khng c ch , ngha l trng c coi l ng nht theo kinh . Khi , t nhng lp lun, ngi ta
cho rng s ph thuc vo kinh khng mnh lm. Hn na, gi thit v s ng nht theo kinh lm
gim nh rt nhiu cng vic x l thng k, v c th coi tt c cc trm quan trc nm gn mt v tuyn l
tng ng vi cc tnh hung tng t v nh tng ng k s lng th hin ly trung bnh.
155
Trong iu kin nh vy, ng nhin cc c trng nhn c s l nhng i lng trung bnh theo
kinh . Trong cng trnh [78] s dng ti liu quan trc ca 20 trm kh tng thuc lnh th u
nm gn dc theo v tuyn 55N trong bn ma ng cc nm 19551959. Khong cch nh nht gia cc
trm bng 210 km v ln nht gn 5500 km. S liu c ly t cc bn phn tch vo k 3 gi v cch
nhau ba ngy mt.
Trong cng trnh [43] s dng s liu quan trc ti cc trm kh tng cc v trung bnh trn
lnh th chu u v mt phn Ty Xibiri. y, pht hin s ph thuc ca cc c trng thng k ca
trng vo dng hon lu, ngi ta phn d liu thc nghim thnh nhng tp thng k ring bit ng
vi cc dng hon lu khc nhau (dng pha ty, dng kinh tuyn v dng pha ng) theo s phn loi
hon lu chung ca G. Ia. Vangengheim.
Ngi ta xc nh c rng, gi tr trung bnh (chun) ca cao H khc bit ng k i vi
nhng dng hon lu khc nhau. S khc bit gia cc hm cu trc i vi cc dng hon lu khc nhau
t ra khng ln lm v c th b qua, tc l cc hm cu trc nhn c theo nhng dng hon lu khc
nhau c th em ly trung bnh v s dng mt hm cu trc duy nht cho tt c cc dng hon lu. Hm
cu trc cao mc 500 mb c trung bnh ho theo tt c cc kiu hon lu trong [43] c biu din
trn hnh 7.1 (ng lin nt).
T th ca hm cu trc thng k nhn c khng th xc nh mt cch tin cy tr s bo ho
B H () ca hm cu trc. Mt phng php gin tip c lng tr s hm cu trc ti v cng l phng
php xp x gi tr thng k ca n nh mi ph thuc gii tch.
Hnh 7.1
Ngi ta xt mt s quan h ph thuc gii tch nh vy v thy rng ph hp hn c vi hm cu

trc thng k (xem hnh 7.1, ng gch ni) l mi quan h ph thuc sau
1,3
BH ( l ) = 400 1 e 0 ,188l cos 0 ,54l .
(7.2.1)
Nh hm cu trc xp x (7.2.1) xc nh c hm tng quan tng ng

1,3
RH ( l ) = 200 e 0 ,188l
cos 0,54 l .
(7.2.2)
Trong cng trnh [78] tnh trc tip cc hm tng quan cao trng a th v theo s liu thc
nghim.
y, s khc bit ca h phng php dng trong [78] so vi cc cng trnh trc l trong cng
trnh ny, trng a th v c xem xt khng phi nh mt trng phng m nh mt trng khng
gian. V trng a th v ba chiu c th xem l ng hng mt cch gn ng ch theo phng ngang
nn cc hm tng quan ca trng ny s ph thuc vo ba bin khong cch ngang l gia cc im
quan trc v hai cao (hoc hai p sut p1 v p2 ).
V trong kh tng hc s dng nhiu mt ng p c nh, nn bin p c gn mt lot cc tr s
gin on, v hm ba bin R(l , p1 , p2 ) c quy v mt s hm mt bin Rij ( l ) = R l , pi , p j no
ca l v cc hm ny c xc nh theo cc s liu thc nghim. Nm mt ng p (1000, 850, 700,

156
500 v 300 mb) c chn v tnh 15 hm tng quan Rij ( l ) . Khi i = j s nhn c cc hm t
tng quan ca trng a th v H ( pi ) , khi i j cc hm tng quan quan h gia hai trng H ( pi )
v H ( p j ) .
Nhng gi tr thng k tnh c ca cc hm t tng quan c xp x bng cc biu thc gii tch
dng
RH ( l ) = De l cos l ;
(7.2.3)
RH ( l ) = De l J 0 ( l ) .
(7.2.4)
Trong chng 3 ta thy rng hm (7.2.3) ch c ph mt chiu khng m ti mi ni, cn mt

ph hai v ba chiu ca n khng m khng phi ti tt c mi gi tr ca cc h s v , m ch khi
gia chng c mi quan h nht nh, nhng quan h ny khng tho mn vi nhng hm tng quan
thng k nhn c. V vy, ni ng ra, hm (7.2.3) khng th dng lm hm hm tng quan ca trng
ng nht hai chiu. C th ch ra rng mt ph hai chiu ca hm (7.2.4) l hm dng hon ton, tc
l hm ny c th dng lm hm tng quan ca trng. Tuy nhin, trong cng trnh ny s dng cc
hm dng (7.2.3) xp x khi tnh n s phc tp ca vic s dng mi ph thuc (7.2.4) v lun lun
c th chn c cc tham s ca hm (7.2.4) sao cho th ca n gn nh trng vi th ca hm
(7.2.3) (khi l khng qu ln).
V d, i vi H 500 nhn c hm tng quan
RH ( l ) = 235 e 0 ,29l cos 0,70 l .
(7.2.5)
Nhng gi tr thng k ca cc hm tng quan quan h cng c xp x bng mi lin h (7.2.3).

Vic chn cc hm (7.2.3) xp x l do cc hm tng quan quan h thng k nhn c c dng rt
ging vi cc hm t tng quan.
Trn hnh 7.2 biu din cc hm t tng quan chun ho v cc hm tng quan quan h chun ho
c xp x bng mi ph thuc (7.2.3) tng ng vi cao ca cc mt ng p 850, 500 v 300 mb.
Gi tr hm tng quan chun ho ca trng a th v H 500 mt s tc gi trn hnh 7.3.
S khc nhau ca cc hm tng quan nhn c c th gii thch bi c im ca s liu thc
nghim s dng, tc l bi s khc nhau ca cc vng a l v ma quan trc cng nh s hn ch v
s lng cc th hin v tnh khng ng nht ca trng.
S sai khc c bit r nt khi khong cch l ln, ti s cp trm c dng x l t nht, cn
tnh bt ng nht th hin mnh nht.
7.3. CU TRC THNG K CA TRNG NHIT KHNG KH

Nhng s liu thc nghim y v khch quan nht v cu trc v m trng nhit khng kh c trong
cc cng trnh [37, 38, 62].
Hnh 7.2
Hnh 7.3
157
y, ging nh trng a th v, trng lch nhit khng kh so vi chun c xem l ng

nht v ng hng trong mt phng ngang hoc trn mt mt ng p cho. Do , cc hm tng quan
v hm cu trc trn mt cho c xem nh hm ca mt i s, l khong cch ngang gia cc im
quan trc. Ngoi cc hm t tng quan v hm cu trc, i vi mi mt ng p chun, cu trc khng
gian cn c c trng bi cc hm tng quan v hm cu trc quan h i vi tng cp mt ng p.
Trong cc cng trnh [37, 38], d liu ban u xc nh cc hm cu trc v hm tng quan ba
chiu ca lch nhit khng kh so vi chun l s liu nhit thm khng c thu thp trong thi
gian 19571959 trn lnh th Bc M theo k hoch ca Nm Vt l a cu Quc t.
Vic tnh ton c thc hin theo cc ma, i vi mi ma trong s bn ma, s dng 60 th hin.
lm gim mi lin h thng k gia cc th hin, chng c chn cch nhau ba ngy m.
Mi th hin bao gm kt qu thm khng ti 60 trm.
Khong cch xa nht gia cc trm bng 7500 km. Ngi ta tnh cc hm cu trc v hm tng
quan cho cc mt ng p 1000, 850, 700, 500, 400, 300, 200 v 100 mb cng nh cc hm cu trc v
hm tng quan quan h i vi tng cp mt ng p ny.
Vic tnh ton c thc hin theo phng php trnh by trong [42].
Trong cng trnh [62], s liu ban u c s dng l nhng quan trc ti 50 trm kh tng. Mt s
trm nm trn vng Trung u, s cn li phn lnh th chu u ca Lin X. Khong cch gia hai
vng nh hn mt cht so vi b rng ca mi vng.
iu bo m s cc trm hai vng c s phn b u theo khong cch. Tnh trung bnh, mi
ma s dng s liu ca 60 tnh hung trong thi gian t 1959 n 1961. Khong thi gian gia cc k
lin tip khng t hn hai ngy m. Cc hm t tng quan c tnh cho ba mc, l mt t, 850 v 700
mb. loi tr sai s o c, tin hnh ngoi suy v 0 bng phng php th cc hm tng quan v
hm cu trc nhn c v s dng chng theo phng php xt trong chng 6.
Trn hnh 7.4 biu din cc hm t tng quan chun ho ca nhit khng kh cc mc khc
nhau cho ma ng [38]. Trn hnh 7.5 l cc hm t tng quan chun ho nhn c theo b s liu nh
trn cho ma h [37].
Hnh 7.4
Hnh 7.5
T cc hnh thy rng, c s khc nhau gia cc hm t tng quan chun ho ca nhit khng
kh cc mc khc nhau, mc d s khc nhau ny khng nhiu lm v v bn cht cc ng cong c nt
ging nhau. Gia cc ma cng c nhng khc bit.
Trong bng 7.1 biu din cc gi tr phng sai tng ng ca lch nhit trn cc mc [38].
So snh cc hm tng quan chun ho nhn c trong cc cng trnh [62] v [38] cho thy rng
trn cng mt mc, chng gn trng nhau, c bit nhng khong cch di 10001500 km.
Trong khi phng sai trong cc trng hp ang xt rt khc nhau. V d, phng sai nhit
mc 700 mb i vi chu u bng 24 ()2 , cn i vi chu M l 34 ()2.
158
Bng 7.1
Mc, mb
D ()2
Ma ng
1000
850
700
500
400
300
200
100
Ma h
49
45
32
23
20
13
30
18
7
14
8
7
8
8
14
7
S lin h gia cc gi tr ca nhit cc mc khc nhau ca cng mt trm c c trng bng

cc tr s ca hm tng quan quan h ngoi suy v 0. Chng c trnh by trong bng 7.2 [38].
T bng 7.2 thy rng, s lin h cht ch nht gia cc gi tr nhit cc mc k cn quan st
c trong tng i lu. Nhit cc lp trong tng i lu v tng bnh lu c tng quan dng. Khi
tnh tng quan gia cc s liu tng i lu vi s liu trong tng bnh lu, cc h s tng quan tr nn
m v tng v tr tuyt i khi cc mt ng p cch xa dn i lu hn.
Cng trnh [62] nhn c cc biu thc xp x gii tch ca cc hm t tng quan thng k trn
cc mt ng p:
- 700 mb:
RT ( l ) = De 0 ,747 l
0 ,96
J 0 ( 0,96l ) ,
(7.3.1)
J 0 ( 0 ,83l ) .
(7.3.2)
- 850 mb:
RT ( l ) = De 0 ,553l
0 ,97
- mt t:
RT ( l ) = De 0 ,825l
0 ,92
(7.3.3)
y J 0 ( l) l hm Bessel bc khng, l biu din bng 103 km.

Bng 7.2
Mc, mb
1000
1000
850
700
500
400
300
200
100
0,67
0,36
0,47
0,45
0,34
-0,27
-0,14
0,47
0,68
0,57
0,29
-0,45
-0,45
0,48
0,43
0,28
-0,31
-0,29
0,94
0,53
-0,56
-0,61
0,67
-0,55
-0,70
-0,02
-0,46
850
0,67
700
0,56
0,74
500
0,51
0,55
0,72
400
0,49
0,53
0,68
0,99
300
0,21
0,43
0,54
0,75
-0,80
200
-0,21
-0,11
-0,14
-0,23
-0,23
-0,08
100
-0,36
-0,49
-0,64
-0,66
-0,68
-0,65
0,51
0,26
7.4 CU TRC THNG K TRNG GI

Nhng quy lut cu trc trng gi c trong mt lot cng trnh nghin cu l thuyt v thc
159
nghim. Cc cng trnh ca A. N. Kolmogorov [11] v A. M. Obukhov [69] l nhng cng trnh nn tng
theo hng ny. Trong cc cng trnh , i vi trng ng nht v ng hng a phng, bng l
thuyt, chng minh c rng hm cu trc ca xung tc gi c m t bng cng thc
Bu ( l ) = Al
(7.4.1)
trong A l h s t l.
Quan h ny c gi l qui lut 2/3. Kt qu x l thc nghim cc s liu thm khng gi do M.
B. Zavarina [52] v E. X. Xelezneva [74], v sau ny do cc tc gi khc [43, 56, 71, 83] thc hin
khng nh s ng n ca qui lut 2/3 trong kh quyn thc mt vng khng gian nht nh.
S hn ch v quy m khng gian, trong tho mn qui lut 2/3, l iu t nhin v trng gi
lon lu thc c th xem l ng nht v ng hng ch i vi nhng phm vi khng gian nh. Khi
tng dn quy m th tnh bt ng hng bt u xut hin, th hin s mt cn i theo phng ngang
v phng thng ng ca chuyn ng kh quyn thc quy m ln. M. Iu. Iuin [84] phn tch nhng
iu kin p dng ca qui lut 2/3 v cho bit rng ngoi vng tc ng ca quy lut ny, hm cu trc
ca xung gi c m t bi h thc
Bu ( l ) = Cl ,
(7.4.2)
trong C l h s t l, tc l hm cu trc ca cc xung gi t l thun vi khong cch.

Tng quan (7.4.2) c tn l qui lut bc nht.
Cc kt qu x l thc nghim khng nh rng trong kh quyn thc, qui lut bc nht c
tho mn tng i tt trong phm vi khong cch l = 500 1400 km. Cn i vi cc iu kin ri v
m, tnh phc tp ca cc qu trnh din ra trong lm cho vic nghin cu l thuyt v cu trc ca cc
trng kh tng v m gp kh khn. tm hiu cu trc ca trng gi trong iu kin ri v m, tc l
vi nhng khong cch vi nghn kilmt, ngi ta tin hnh x l thng k cc s liu gi thm khng.
Trong cng trnh [56] s dng ngun d liu thc nghim phong ph. Trng gi theo phng
ngang trn mc 500 mb c kho st. Trng ny c coi l ng nht v ng hng. Nh my tnh
in t, da theo phng php c xut trong [42], tnh cc hm tng quan v hm cu trc i vi
lch khi chun ca thnh phn v hng U v thnh phn kinh hng V ca vect gi.
i vi trng ng nht v ng hng, iu kin cn phi tho mn l phng sai khng ph thuc
vo hng v khng i ti tt c cc im ca trng, tc l tho mn lut phn b hnh trn, trong c
iu kin Du = Dv . Nu tnh n chnh xc khng cao ca vic o gi, thng thng ngi ta cho rng
lut phn b c coi l hnh trn khi
Du
bin thin trong phm vi 0,8 1,2.
Dv
Khi tin hnh tnh ton th iu kin ny c ch tho mn vng nc Anh v bn o

Scaninavia, ni thng c dng chy xit i qua, cc gi tr nhn c nm trong khong 0,71,3.
Da vo kt qu tnh, dng th ca cc hm tng quan v hm cu trc. Sai s trong d liu ban
u c kh b bng cch ngoi suy cc hm ny v khng v tr i cc sai s nhn c.
Trn cc hnh 7.6 v 7.7 biu din th cc hm tng quan chun ho ca thnh phn gi v hng
v kinh hng ti mc 500mb cho ma ng v ma h.
T cc hnh thy rng nhng khong cch di 10001300 km qui lut bc nht ca Iuin tho
mn tng i tt. Vi nhng khong cch ln hn, qui lut ny b vi phm, th cc hm tng quan c
c tnh dao ng vi bin gim dn, iu ny ni ln s hin din ca yu t chu k trong cc qu trnh
kh quyn v m.
Trong mc 2.14 ch ra rng, cc c trng ca trng vect ng nht l cc hm tng quan dc
v ngang. Cn lu rng hm tng quan ca cc thnh phn v hng v kinh hng nhn c trong
160
cng trnh nhn chung khng phi l nhng c trng . i vi nhng khong cch l khng ln, cc
cp trm thuc cng mt nhm trm, cc hng gia chng khc nhau, v cc hm tng quan ca cc
thnh phn U v V nhn c l trung bnh theo tt c cc hng. i vi nhng khong cch l ln,
cc trm ca tng cp trm v c bn thuc cc nhm khc nhau, tc l hng gia chng gn vi hng
ca thnh phn v tuyn, do , hm tng quan ca thnh phn U gn vi hm tng quan dc ca
trng, cn hm tng quan ca thnh phn V gn vi hm tng quan ngang.
Hnh 7.6
Hnh 7.7
7.5 CU TRC THNG K CA TRNG CAO THM TUYT V S TI

U HA CNG TC QUAN TRC THM TUYT
p ng yu cu ca cc ngnh kinh t quc dn, trn mng li trm kh tng thy vn ang tin
hnh nhiu quan trc v thm tuyt i hi cng sc ca nhiu ngi quan trc. Khi xut hin vn quan
trng v phn b hp l cc trm quan trc trn lnh th.
cao thm tuyt c th rt khc nhau gia cc im ch cch nhau mt khong khng ln. S khc
nhau v phn b cao thm tuyt trn lnh th gy nn bi s phn b khng ng u ca tc gi trong
lp st t, a hnh v iu kin a phng, hng sn v dc, tnh cht mt m v nhng c im
ca ch kh tng.
Nhng nhn t trn kt hp vi nhau to nn mt bc tranh phn b tuyt ht sc phc tp. Do ,
cc s liu v cao thm tuyt mt im ring bit khng c ngha my, m cn phi bit nhng i
lng trung bnh trn mt din tch no . Nu xem xt cao thm tuyt nh l mt trng ngu nhin
hai chiu H ( x , y ) th vic ly trung bnh nh vy c th c tin hnh mt cch thun tin. Khi ngi
ta coi trng ny l ng nht, ng hng v c tnh egoic.
Bi ton t ra l t nhng s liu o ti mt s im quan trc tuyt trn tuyn c chiu di hn ch,
xc nh gi tr trung bnh ca cao thm tuyt trong mt vng rng hn mt cch ng k. n gin
ta s xt trng hp gi tr cn tm c th nhn c bng cch ly trung bnh cc s liu o trn mt tuyn
thng.
Gi s trn on [0, L] phn b u n im x1 = 0, x2 , ..., xn = L , ti cc im ny tin hnh o
cao thm tuyt h( xi ) v t cc s liu o xc nh c gi tr trung bnh s hc h , v n c chp nhn

lm cao trung bnh ca thm tuyt ti vng nghin cu.
Khi bi ton v chnh xc ca vic xc nh gi tr thc ca i lng cn tm hon ton tng t
nh bi ton v chnh xc ca vic xc nh gi tr thng k ca k vng ton hc hm ngu nhin theo
chui ri rc cc gi tr ca n xt trong cc im 3 v 4 mc 6.3.
Nh ch ra trong mc 6.3, y xut hin hai loi sai s sai s do s hn ch ca khong [0, L]
trn ghi th hin v sai s do thay th vic ly trung bnh tch phn theo ton khong [0 , L ] bng vic
ly trung bnh theo n im ri rc xi ( i = 1, 2 , ..., n ) . Sai s bnh phng trung bnh 2 xut hin do hn
ch di khong ghi th hin (xem mc 6.3 im 3) c xc nh bng cng thc (6.3.25), trong trng
161
hp ny c vit di dng
12
2
l
= 1 RH ( l )dl .
L l L
(7.5.1)
y RH ( l ) l hm tng quan ca cao thm tuyt.

Sai s bnh phng trung bnh 22 xut hin do thay th vic ly trung bnh tch phn bng gi tr
trung bnh s hc ti n im xi cch u nhau mt khong theo (6.3.36) c vit nh sau
22 =
2
n2
RH ( k j ). .
(7.5.2)
j =1 k =1
y cng c th s dng hm cu trc BH ( l ) , nu trc ht bin i cc cng thc (7.5.1) v

(7.5.2) nh (2.7.7):
L
12 =
BH ( ) 1
l
1 BH ( l )dl ,
L 0 L
2
22 =
BH ( ) 2
2
2
n
(7.5.3)
RH ( k j ).
(7.5.4)
j =1 k =1
Nu c hm tng quan hoc hm cu trc v tin hnh tnh ton theo cc cng thc trn, c th nhn
c mi ph thuc ca cc i lng 1 , 2 vo di khong v s lng im o, v theo tm s
lng im ti u, khong cch ti u gia cc im.
Cch tip cn nh vy gii bi ton ti u ho mng li quan trc tuyt c xut trong
cng trnh ca D.L. Laikhtman v R.L. Kagan [59]. thc hin phng php tnh ton ny i hi phi
c s liu v cu trc trng cao thm tuyt. Nhng s liu ny nhn c trong cc cng trnh nghin
cu chuyn v x l thng k ti liu thc nghim hin c theo cc vng khc nhau [51, 63, 76, 81].
Trong cng trnh [51] xc nh hm cu trc khng gian BH ( l ) ca cao thm tuyt. D liu
ban u l nhng s liu o cao tuyt thc hin ngy 5/7/1957 vng trm Dubrovskaja (gn 3000 s
o cao thm tuyt). Ton vng c ph bi cc tuyn o song song cch nhau 200 m. Tt c c 17
tuyn o di khc nhau t 1 n 2 km. Trn cc tuyn, cao thm tuyt c o cch nhau 10 m.
Kt qu tnh cho thy rng gi tr ca cc hm cu trc trn mi tuyn ring bit rt khc nhau.
S tn mn ca cc hm cu trc nhn c c l c trng cho tnh cht bt ng nht ca phn b
cao thm tuyt, mt khc s tn mn gy nn bi sai s o v s lng im o nh.
c c trng tin cy hn v cu trc ca trng ang xt, tt c cc hm cu trc nhn c
c ly trung bnh, v sau hm cu trc trung bnh c lm trn. Hm cu trc trung bnh lm trn
BH ( l ) c dn ra trn hnh 7.8. Hm cu trc nhn c c m t tng i tt bi cng thc
BH ( l ) = 58,7 40 ,8e 0 ,158l
23
(7.5.5)
Trong cng trnh [76] xc nh cc hm cu trc khng gian ca cao thm tuyt cc vng a
l khc nhau.
Cc ti liu trc c tuyt c tin hnh cc vng khc nhau ca Lin X sau y, c x l:
1) Nhng t kho st trc c tuyt ca Vin thy vn Nh nc tnh Tselinograd ti ba vng vng
lu vc sng Kzlsu, thung lng sng Karakol v vng trm Kolutan cui thng 3 nm 1956;
2) Trc c tuyt ca Phng th nghim nghin cu khoa hc thy vn Valai lu vc sng
Polomet, thng 2 nm 1953;
162
3) Tuyn trc c tuyt theo tuyn ti trm Oksochi trn lu vc cc sng Grienki, ma ng
19551956 v 19561957;
4) Trc c tuyt theo tuyn gn lng Koltushi (tnh Leningrad)
Cc hm cu trc nhn c theo s liu cc trm Karakul (1), Kzlsu (2), Valai (3), Oksochi (4),
Koltushi (5), Kolutan (6) biu din trn hnh 7.9.
Hnh 7.8
Hnh 7.9
Vic phn tch hnh 7.9 cho thy s bin ng ca cao thm tuyt nhng vng khc nhau rt ln.
Phn tch ca T.S. Triphonova [76] v mi ph thuc ca cc hm cu trc vo nhng iu kin c trng
vng trc c tuyt cho php kt lun rng bin ng ca cao thm tuyt trn lnh th c quy nh
trc ht bi a hnh v tnh cht ca mt m.
Trong cng trnh [59] dn ra nhng kt qu tnh sai s 1 v 2 khi thay th hm cu trc (7.5.5)
vo cc cng thc (7.5.3) v (7.5.4).
Trn hnh 7.10 biu din sai s bnh phng trung bnh 1 ca vic xc nh cao trung bnh ca
thm tuyt gy nn bi s hn ch ca di tuyn trc c tuyt L . Trn hnh 7.11 biu din sai s bnh
phng trung bnh 2 gy nn bi s hn ch ca s lng im o trn tuyn o.
Nu cho trc chnh xc ca vic xc nh cao trung bnh ca thm tuyt, theo hnh 7.10 c th
xc nh c di cn thit ca tuyn trc c tuyt. Vi di tuyn nh hn th chnh xc cho
cng khng th t c bng cch tng s lng quan trc.
Mt cch tng t, c th xc nh trn hnh 7.11 s im o cn thit n. Vi s im o nh hn th
chnh xc cho trc khng th t c bng cch tng di tuyn trc c tuyt. Nu ch ti nhng
khc bit ng k ca cc hm cu trc cao thm tuyt nhng vng khc nhau pht hin trong cng
trnh [76], th thy rng ch c th nh ra nhng ch dn c th v vic chn ti u di tuyn o tuyt v
khong cch gia cc im o ng vi tng vng a l cn c vo nhng dn liu v cu trc thng k
ca cao thm tuyt vng cho.
Hnh 7.10
Hnh 7.11
163
Chng 8
KHAI TRIN QU TRNH NGU NHIN V TRNG NGU NHIN
THNH CC THNH PHN TRC GIAO T NHIN
8.1 THIT LP BI TON
Trong ton hc, phng php khai trin cc hm thnh chui theo mt h hm trc giao chun ho no
c s dng rng ri. H hm 1( t ) , 2 ( t ) ,..., n ( t ), ... c gi l trc giao chun ho (trc chun)
trn khong [a ,b] (hu hn hoc v hn), nu tho mn h thc
b
0 khi i k ,
khi i = k .
i ( t ) k ( t ) d t = 1
a
(8.1.1)
H hm {k ( t )} c gi l y nu nh mt hm f ( t ) bt k cho trn khong [a ,b] , c th

khai trin thnh chui Fourier theo n
f ( t ) = ak k ( t ).
(8.1.2)
k =1
Cc hng s ak gi l cc h s Fourier v t (8.1.1), (8.1.2) chng c xc nh theo cng thc

b
ak = f ( t )k ( t )dt ,
(8.1.3)
Tng n s hng u tin ca chui (9.1.2)

n
f n ( t ) = ak k ( t ).
(8.1.4)
k =1
c gi l a thc Fourier ca hm f ( t ) . By gi, mt cch gn ng, nu ta thay th hm f ( t ) bng

tng (8.1.4) th vi mi gi tr ca i s t xut hin sai s n ( t ) bng
n ( t ) = f ( t ) f n ( t ).
(8.1.5)
Ngi ta gi i lng n l sai s bnh phng trung bnh ca php xp x hm f ( t ) bng tng
(8.1.4) trn khong [a ,b]
n =
[ f ( t ) f n ( t )]
dt
(8.1.6)
T cc a thc dng
n
Ck k ( t ) ,
k =1
lch bnh phng trung bnh nh nht ca hm f ( t ) s cho mt a thc Fourier, tc l mt a thc m
cc h s Ck l cc h s Fourier ak . Khi i lng 2n bng
b
k =1
n2 = f 2 ( t )dt ak2 .
Thc vy,
164
(8.1.7)
2n
= f ( t ) Ck k ( t ) dt =
k =1
k =1
= f 2 ( t )dt 2 Ck f ( t )k ( t )dt + Ck Ci k ( t )i ( t )dt =

k =1 i =1
k =1
k =1
= f 2 ( t )dt ( Ck ak )2 ak2 .
(8.1.8)
V phi ca (8.1.8) nhn gi tr nh nht bng (8.1.7) khi
( Ck ak )2 = 0 , tc l khi Ck = ak .
k =1
i lng
2n
khng m, v vy ta c bt ng thc
n
k =1
ak2 f 2 ( t )dt .
b
T thy rng, i vi cc hm c bnh phng kh tch, tc l khi
(8.1.9)
2
( t )dt l mt s hu hn,
th chui
ak2
hi t, hn na, bt ng thc sau xy ra
k =1
k =1
ak2 f 2 ( t )dt
(8.1.10)
v n c gi l bt ng thc Bessel.
Nu h hm { k ( t )} l y th i vi mt hm bt k f ( t ) ly c tng bnh phng s c
ng thc
k =1
ak2
= f 2 ( t )dt
(8.1.11)
v c gi l phng trnh khp kn.

Ngi ta ng dng vic khai trin cc hm theo nhng h hm trc chun khc nhau: khai trin thnh
chui Fourier theo h hm lng gic, khai trin thnh chui FourierBessel theo h hm Bessel, khai trin
theo cc a thc trc giao Trebsev, Ermit v cc h hm khc.
Phng php khai trin theo h cc hm trc chun cng c th p dng vo cc hm ngu nhin.
Gi s X ( t ) l mt hm ngu nhin xc nh trn khong [a ,b] c k vng ton hc bng khng,
mx ( t ) = 0 , v hm tng quan cho trc Rx ( t1 ,t2 ) , t1 , t2 [a ,b] v {k ( t )} l h hm trc chun y

. Khi ta biu din hm ngu nhin X ( t ) di dng chui Fourier
X ( t ) = Ak k ( t )
(8.1.12)
k =1
Cc h s Fourier Ak c xc nh di dng
b
Ak = X ( t )k ( t )dt
(8.1.13)
l nhng i lng ngu nhin.

165
Ta k hiu
n
X n ( t ) = Ak k ( t )
(8.1.14)
k =1
l tng ca n s hng u tin ca khai trin (8.1.12) v ta s xp x hm ngu nhin X ( t ) bng tng
X n ( t ) . Khi , sai s bnh phng trung bnh ca php xp x

b
[x( t ) X n ( t )]
n =
dt
(8.1.15)
s l mt i lng ngu nhin.

lm thc o chnh xc ca php xp x, ta s dng k vng ton hc ca bnh phng i
lng ngu nhin n
[ ]
n2 = M 2n .
(8.1.16)
i lng 2n biu th phng sai sai s ca php xp x i lng ngu nhin, n ph thuc vo vic
chn h hm { k ( t )} v s lng hm n ca chng. Khi , c th khng cho trc h hm { k ( t )} m

xc nh h ny xut pht t yu cu tho mn mt iu kin t nhin no . Chng hn, c th xc nh mt
h nh vy t mt s n hm 1( t ), 2 ( t ), ..., n ( t ) cho trc sao cho i lng 2n trong (8.1.16) tr thnh
cc tiu. Nhng hm 1( t ), 2 ( t ), ..., n ( t ) nh vy c gi l nhng hm trc giao t nhin. i vi h
hm c chn nh trn, vic biu din hm ngu nhin X ( t ) di dng tng n s hng
n
X ( t ) Ak k ( t )
(8.1.17)
k =1
c gi l khai trin hm thnh tng cc thnh phn trc giao t nhin.

Nhng vn l thuyt ca vic khai trin theo cc thnh phn trc giao t nhin v cc tnh cht ca
php khai trin nh vy c xt trong cc cng trnh ca Kh. Khoteling [92], A. M. Obukhov [67, 68],
N. A. Bagrov [35, 36], V. S. Pugatrev [21].
T ng thc (8.1.7), c th vit biu thc (8.1.15) di dng
b
k =1
2n = X 2 ( t ) Ak2 .
(8.1.18)
S dng (8.1.13) ta nhn c
2n
= X ( t )dt X ( t )k ( t )dt =
k =1
a
a
b
n bb
k =1 a a
= X 2 ( t )dt X ( t1 ) X ( t2 )k ( t1 )k ( t2 ) dt1dt2
(8.1.19)
Th gi tr ny ca 2n vo (8.1.16) ta nhn c
b
n bb
k =1 a a
2n = Rx ( t )dt Rx ( t1 ,t2 )k ( t1 )k ( t2 ) dt1dt2 .
(8.1.20)
Bi ton quy v tm cc hm 1( t ), 2 ( t ), ..., n ( t ) sao cho biu thc (8.1.20) tr thnh cc tiu,
hay ni cch khc, sao cho tng
166
n bb
Rx ( t1 ,t2 )k ( t1 )k ( t2 )dt1dt2
(8.1.21)
k =1 a a
tr thnh cc i.
8.2 MT S KIN THC V L THUYT PHNG TRNH TCH PHN

tm h hm trc chun lm cho (8.1.21) cc i, ta s dng nhng kt qu bit t l thuyt
phng trnh tch phn vi nhn i xng m chng ta s lit k di y v b qua vic chng minh.
Trnh by chi tit v l thuyt ny c th tm thy trong mt s ti liu, v d nh trong [66, 24].
Xt phng trnh tch phn thun nht
b
K ( x , s )( s )ds = ( x ) ,
(8.2.1)
trong hm K ( x , s ) l hm hai bin thc cho trong hnh ch nht a x b , a s b; l mt s no
; ( x ) l hm cn tm cho trn khong [a ,b] .
Ta s xem cc hm K ( x , s ) v ( x ) gii ni v c mt s hu hn im gin on, ti tch phn

trong (8.2.1) tn ti.
Hm K ( x , s ) gi l nhn ca phng trnh tch phn. Nu tho mn h thc
K( x, s ) = K* ( s, x ) ,
(8.2.2)
K ( x, s ) = K( s, x ) ,
(8.2.3)
i vi nhn thc, hoc tng ng vi ng thc

th nhn c gi l i xng.
Cc gi tr ca tham s , ti phng trnh tch phn (8.2.1) c nghim khng ng nht bng
khng, c gi l gi tr ring ca nhn K ( x , s ) hay ca phng trnh (8.2.1). Nu = 0 l gi tr
ring ca phng trnh (8.2.1) v 0 ( x ) l nghim ca phng trnh ny khi = 0 , tc l
b
K ( x , s ) 0 ( s ) d s = 0 0 ( x ) ,
(8.2.4)
th hm 0 ( x ) c gi l hm ring ng vi gi tr ring 0 ca nhn K ( x , s ) hay ca phng trnh

tch phn.
C th ch ra rng tt c cc gi tr ring ca nhn i xng l nhng s thc, v tt c cc hm
ring cng c th coi l nhng hm thc.
Cc hm ring ca nhn i xng, ng vi nhng gi tr ring khc nhau, trc giao vi nhau. C th
lm cho cc hm ring tr thnh cc hm chun ho.
Ta quy c lit k dy cc gi tr ring theo th t gi tr tuyt i gim dn. Nh vy, nu
1 , 2 , ..., n , ... (vi 1 2 ... n ... )
(8.2.5)
l dy cc gi tr ring ca mt nhn i xng no , th tng ng vi dy ny l h trc giao cc hm

ring
1( x ), 2 ( x ), ..., n ( x ) ...
(8.2.6)
Trong trng hp ny nh l GilbertSmidth khng nh rng, c th biu din hm f ( x ) bt k

qua nhn K ( x , s ) di dng
167
f ( x ) = K ( x , s )h( s )ds ,
(8.2.7)
trong h( s ) l mt hm gii ni no c s hu hn im gin on v khai trin c thnh chui

Fourier hi t tuyt i v u theo cc hm ring ca nhn. Do nu vit chui Fourier ca hm h( x )
theo cc hm ring (8.2.6) ca nhn K ( x , s ) di dng
h( x ) ~
hk k ( x ) ,
(8.2.8)
k =1
th hm f ( x ) (8.2.7) c khai trin thnh chui
f ( x ) = k hk k ( x ) ,
(8.2.9)
k =1
trong k l gi tr ring, cn k ( x) l hm ring ca nhn K ( x , s ) .

Gi s p( x ) v q( x ) l hai hm gii ni c s hu hn im gin on trn khong [a, b] . Lp tch
phn kp
bb
K ( x , s ) p( x )q( s )dxds
(8.2.10)
aa
p dng nh l Gilbert-Smidth, ta c
b
k =1
K ( x , s )q( s )ds = k qk k ( x ) ,
(8.2.11)
trong qk l cc h s Fourier ca hm q( x ) khi khai trin thnh chui Fourier theo cc hm ring (8.2.6),
v chui v phi hi t u.
Nhn hai v ca (8.2.11) vi p( x ) , ly tch phn theo x v k hiu pk l nhng h s Fourier ca
hm p( x ) khi khai trin n thnh chui theo cc hm ring (8.2.6), ta nhn c biu din ca tch phn
(8.2.10) di y:
bb
aa
k =1
K ( x , s ) p( x )q( s )dxds = k pk qk .
(8.2.12)
c bit khi p( x ) q( x ) , ta c
bb
aa
k =1
K ( x , s ) p( x )p( s )dxds = k pk .
2
(8.2.13)
Ta s xt nhng tnh cht cc tr ca cc hm ring ca nhn i xng. Khi sp xp cc gi tr ring

theo th t gim dn ca gi tr tuyt i ca chng, theo (8.2.13) ta c
bb
aa
k =1
2
K ( x , s ) p( x )q( s )dxds 1 pk .
(8.2.14)
Theo phng trnh khp kn (8.1.11),

b
k =1
2
2
p ( x )dx = pk .
i vi hm chun ho p( x ) , tch phn trong v tri (8.2.15) bng n v, do

168
(8.2.15)
pk2 = 1.
(8.2.16)
k =1
T , i vi hm chun ho p( x ) bt ng thc (8.2.14) c vit di dng

bb
K ( x , s ) p( x )q( s )dxds 1 .
(8.2.17)
aa
Trong (8.2.17) ng thc s xy ra khi p( x ) = 1( x ), tc l khi hm p( x ) trng vi hm ring
1( x ).
Thc vy, sau khi nhn hai v ng thc
1 , 2 , ..., n , ... ( 1 2 ... n ...)
(8.2.18)
vi 1( x ) v ly tch phn theo x, do tnh chun ho ca hm 1( x ) , ta nhn c:

bb
aa
2
K ( x , s )1( x )1( s )dxds = 1 1 ( x )dx = 1 .
(8.2.19)
Nh vy, nh l sau y l ng: Trn tp hp cc hm chun ho p( x ) , tch phn

bb
K ( x , s ) p( x ) p( s )dxds c cc i bng
1 khi p( x ) = 1( x ) .
aa
By gi, xt tp hp cc hm chun ho p ( x) trc giao vi m 1 hm ring u tin ca (8.2.6) ca

nhn K ( x , s ) . Khi trong (8.2.13), m 1 h s Fourier u tin pk ca biu thc khai trin hm p( x)
thnh chui Fourier theo cc hm (8.2.6) s bng khng. Khi (8.2.13) c vit di dng
bb
K ( x , s ) p( x ) p( s )dxds =
aa
k pk2 .
(8.2.20)
k =m
T
bb
K ( x , s ) p( x ) p( s )dxds m
(8.2.21)
aa
Trong (8.2.21) ng thc t c khi p( x ) = m ( x ) , tc l nh l sau y ng:

Trn tp hp cc hm chun tc p( x ) trc giao vi m 1 hm ring u tin ca nhn K ( x , s ) ,
bb
tch phn
K ( x , s ) p( x ) p( s )dxds
c cc i bng m , cc i ny t c khi p( x ) = m ( x ) .
aa
8.3 TM CC THNH PHN TRC GIAO T NHIN

By gi tr li bi ton tm h cc hm { k ( x )} lm cho tng (8.1.21) tr thnh cc i. Ta thy
rng trn c s l thuyt trnh by trong mc 8.2, mi s hng th k ca n c cc i bng k khi
chn hm ring ca hm tng quan Rx ( t1 ,t2 ) ng vi gi tr ring k lm hm k ( t ) . Nh vy, vi t
cch l cc hm trc giao t nhin ca php khai trin hm ngu nhin X ( t ) , (8.1.17) phi ly n hm
ring u tin ca hm tng quan Rx ( t1 ,t2 ) tng ng vi n gi tr ring ca hm tng quan ny c
sp xp theo th t gim dn gi tr tuyt i.
Khi phng sai sai s ca php xp x 2n c xc nh theo cng thc
169
k =1
2n = Rx ( t ,t )dt k .
(8.3.1)
T ng thc
bb
k = Rx ( t1 ,t2 )k ( t1 )k ( t2 )dt1dt2 =
aa
2
b

= M X ( t )k ( t )dt = D[Ak ]

a
(8.3.2)
thy rng, cc gi tr ring ca hm tng quan l phng sai ca cc h s Ak tng ng ca khai trin
hm ngu nhin theo h cc hm ring { k ( t )} . Do , cc gi tr ring ca hm tng quan thc s l
nhng s dng, v du gi tr tuyt i trong (8.3.1) c th b i.

H phng php trnh by hon ton c th p dng c cho khai trin trng ngu nhin thnh cc
r
thnh phn trc giao t nhin. Trong trng hp ny, tt c cc hm c xt nh hm ca im N ( )
r
cho trn min gii hn no vi s chiu cho. Chng hn, gi s U ( ) = U ( x , y , z ) l trng khng
r r
gian ngu nhin xc nh trong min D , c k vng ton hc bng khng v hm tng quan Ru ( 1 ,2 ) .
r
Ta biu din trng ngu nhin U ( ) di dng tng
n
r
r
U ( ) Ak k ( ) ,
(8.3.3)
k =1
r
trong { k ( )} l h hm trc chun y trong min D , tc l i vi n iu kin sau c thc
hin
1 khi i = k ,
khi i k .
i ( x , y , z ) k ( x , y , z )dxdydz = 0
(D)
(8.3.4)
Cc h s Fourier Ak l nhng i lng ngu nhin c xc nh theo cng thc
Ak = U ( x , y , z ) k ( x , y , z )dxdydz .
(8.3.5)
(D)
Trong trng hp ny, bi ton xp x trng ngu nhin bi tng cc thnh phn trc giao t nhin
r
r
r
(8.3.3) c quy v vic tm cc hm 1( ), 2 ( ), ..., n ( ) lm cc i tng
k ( ,, )ddd (8.3.6)
R
(
x
,
y
,
z
;
(
x
,
y
,
z
)
dxdydz
u
k
k =1( D )
(
D
)
Khi xem xt l thuyt trnh by trong mc 8.2, p dng cho phng trnh tch phn
K ( x , y , z ; ,, )( ,, )ddd = ( x , y , z ) ,
n
(8.3.7)
(D)
r
ta nhn c nhng hm trc giao t nhin ca khai trin trng ngu nhin U ( ) (8.3.3) l n hm ring
r r
u tin ca hm tng quan Ru ( 1 , 2 ) tng ng vi n gi tr ring u tin ca phng trnh (8.3.7)
c sp xp theo th t khng tng gi tr ca chng. Khi phng sai sai s ca php xp x 2n c
xc nh theo cng thc
n
n2 = Ru ( x , y , z ; x , y , z )dxdydz k .
(D)
170
k =1
(8.3.8)
T nhng cng thc i vi phng sai sai s ca php xp x (8.3.1) hay (8.3.8) thy rng, chnh
xc tng ln khi tng s cc thnh phn trc giao t nhin m hm ngu nhin khai trin theo chng. Tuy
nhin cc s 1 , 2 , ..., n phn b theo th t gim dn, do s th t ca thnh phn trong cng thc
(8.1.14) hay (8.3.3) cng ln th, v trung bnh, t trng ca thnh phn cng nh. Nu cc gi tr ring
gim kh nhanh, th iu cho php nhn nhng kt qu gn ng khi ch cn ch ti mt s khng ln
cc thnh phn. u im c bn ca php khai trin theo cc thnh phn trc giao t nhin l ch n tp
trung ti a thng tin v hm ngu nhin vo mt s khng nhiu cc s hng.
Khi nh gi chnh xc ca php xp x (8.1.17) bi mt s n cc thnh phn trc giao t nhin
chn, c th s dng phng sai tng i ca sai s xp x
M [ X ( t ) X n ( t )] 2 dt
.
2n = a
b 2
M X ( t )dt
a
(8.3.9)
Theo (8.3.1), vi gi tr cc tiu ca 2n ta nhn c

b
n2 =
Rx ( t ,t )dt k
a
k =1
(8.3.10)
Rx ( t ,t )dt
a
Sau khi dng th ph thuc ca i lng n vo s n, c th c lng s cc s hng khai trin

cn thit tu theo chnh xc cho ca php xp x.
By gi ta xt trng hp khi khng c bn ghi lin tc ca hm ngu nhin m

ch c cc lt ct ca n nhng im ri rc. iu ny thng xy ra khi nghin cu
thc nghim cc hm ngu nhin.
Gi s hm ngu nhin X ( t ) c k vng ton hc bng khng, c cho ti mt s hu hn im
t1 , t2 , ..., tm ; { k ( t )} l h hm bt k, cng c cho ti cc im t1 , t2 , ..., tm . Ta s xem hm ngu

nhin X ( t ) nh mt vect m chiu X ( X 1 , X 2 , ..., X m ) m mi thnh phn ca n l mt lt ct ca hm
ngu nhin X1 = X ( t1 ) , X 2 = X ( t2 ) ,..., X m = X ( tm ) .
Ta cng xem cc hm k ( t ) nh nhng vect m chiu
r
k ( 1k , 2k , ..., km )
m cc thnh phn ca chng l nhng gi tr ca hm k (t ) ti cc im ti , tc l:
1k = k ( t1 ), k2 = k ( t2 ), ..., km = k ( tm ) .
r
r
Ta s coi cc vect k l trc giao v chun ho (trc chun). Hai vect a ( a1 , a2 ,..., am ) v
r
b ( b1 ,b2 ,...,bm ) c gi l trc giao nu tch v hng ca chng bng khng,
r r m
a b = ai bi = 0 .
(8.3.11)
i =1
r
Vect a c gi l chun ho nu di ca n bng n v
171
r
a=
ai2 = 1 .
(8.3.12)
i =1
{ }
r
iu kin trc chun ca cc vect k c vit di dng
1 khi k = l ,
khi k l .
ik li = 0
i =1
(8.3.13)
{ }
r
r
Ta biu din vect ngu nhin X di dng t hp tuyn tnh ca cc vect k
n
r
r
X Ak k ,
(8.3.14)
k =1
trong cc h s Ak l nhng t hp tuyn tnh ca cc thnh phn ca vect ngu nhin

m
Ak = X j kj .
(8.3.15)
j =1
ng thc vect (8.3.14) vit cho cc thnh phn vect s dn ti h cc ng thc

n
X i Ak ik , i = 1, 2 , ..., m .
(8.3.16)
k =1
r
Phng sai sai s ca php xp x vect ngu nhin X bi tng (8.3.14) c xc nh di dng
n2
2
m
n
k
= M X i Ak i =
k =1

i =1
n
n n
m

= M X i2 2 X i Ak ik + Ak Al ik li =
i =1
k =1
k =1 l =1

n m m
n n
m
m
= M X i2 2 X i X j ik lj + Ak Al ik li (8.3.17)
i =1
k =1 i =1 j =1
k =1 l =1
i =1
Do (8.3.13), tng cui cng trong ng thc (8.3.17) bng

n
n m m
i =1
k =1
k =1 i =1 j =1
Ak Al ik li = Ak Ak = X i X j ik kj .
k =1 l =1
(8.3.18)
T ta nhn c
m
n m m
i =1
k =1 i =1 j =1
n2 = Rii Rij ik kj ,
(8.3.19)
trong Rij l mmen tng quan gia cc lt ct X i = X ( ti ) v X j = X ( t j ) ca hm ngu nhin, tc

r
l cc phn t ca ma trn tng quan Rij ca vect ngu nhin X .
{ }
r
Ta s tm mt h cc vect trc chun k sao cho i lng 2n nhn gi tr nh nht, hay ni cch
khc, tng ba lp trong (8.3.19) nhn gi tr ln nht.
r
Nhng vect nh vy gi l cc vect trc giao t nhin ca vect ngu nhin X , cn php khai
r
trin (8.3.14) vi cch chn cc vect k nh vy gi l khai trin vect ngu nhin thnh cc thnh
{ }
phn trc giao t nhin.

172
V hm tng quan ca qu trnh ngu nhin l hm xc nh dng, nn mi s hng

m m
bk = Rij ik kj
i =1 j =1
khng m, do , bi ton quy v vic xc nh nhng vect trc chun
(8.3.20)
{ r } sao cho mi s hng b

k
nhn gi tr ln nht.
Ta s xt h phng trnh
m
Rij j = i ,
i = 1, 2 , ..., m .
(8.3.21)
j =1
ti
h
(8.3.21)
c
nghim
Nhng
gi
tr
ca
tham
s
r
( 1 , 2 , ..., m ) khc vect khng, c gi l cc gi tr ring hay gi tr ring ca ma trn cc h s
r
Rij ca h ny, cn cc nghim k nhn c ng vi gi tr ring cho k c gi l nhng vect
ring ca ma trn
Rij .
H (8.3.21) tng t (analog) nh phng trnh tch phn (8.2.1) c xt i vi trng hp th

hin ca qu trnh ngu nhin c ghi lin tc, ma trn tng quan Rij ca h (8.3.21), nh bit, l
ma trn i xng, tng t nh nhn i xng ca phng trnh tch phn.
Nhng vect ring ca ma trn thc i xng tng ng vi nhng gi tr ring khc nhau s trc
giao vi nhau.
r
r
Thc vy, ta xt vect ring k v l tng ng vi cc gi tr ring k v l , k l , ta c
m
Rij kj = k ik ,
i = 1, 2 , ..., m ,
(8.3.22)
i = 1, 2 , ..., m .
(8.3.23)
j =1
m
Rij lj = l li ,
j =1
Nhn hai v ca cc ng thc trong (8.3.22) vi li ri cng li v nhn tng ng thc trong
(8.3.23) vi ik v cng cng li:
m m
i =1 j =1
i =1
m m
i =1 j =1
i =1
Rij kj li = k ik li ,
Rij lj ik = l ik li .
(8.3.24)
(8.3.25)
Tr (8.3.25) cho (8.3.24) ta nhn c

m
( k l ) ik li = 0 .
(8.3.26)
i =1
m
r
r
V k l 0 nn ik li = 0 , tc l vect k v l trc giao.
i =1
Ta tnh phng sai ca cc t hp tuyn tnh (8.3.15)
173
2
m

k
D[Ak ] = M X j j =

j =1
m m
m m
= M X i X j ik kj = Rij ik kj
(8.3.27)
i =1 j =1
i =1 j =1
r
Nu k l mt gi tr ring ca ma trn tng quan, cn k ( 1k , k2 ,..., km ) l vect ring tng
ng vi n, ta c th vit (8.3.27) di dng
m
i =1
j =1
i =1
D[Ak ] = ik Rij kj = k ik ik = k .
(8.3.28)
T thy rng cc gi tr ring ca ma trn tng quan l phng sai ca cc t hp tuyn tnh Ak .
iu ny ch ra rng cc gi tr ring ca ma trn tng quan l nhng s khng m.
Ta sp xp cc gi tr ring ca ma trn tng quan theo th t gim dn 1 2 3 ... , v gi s
r1 r 2 r 3
, , , ... l nhng vect ring tng ng vi chng.
C mt nh l sau y v tnh cht cc tr ca cc gi tr ring v cc vect ring ca ma trn i
xng, tng t tnh cht cc tr ca cc gi tr ring v hm ring ca nhn i xng ca phng trnh tch
phn.
r
nh l: Trn tp hp cc vect chun tc ( 1 ,2 ,...,m ) tng
m m
Rij i j
(8.3.29)
i =1 j
r
c cc i bng gi tr ring ln nht 1 ca ma trn Rij . Cc i ny t c khi vect bng vect
r
ring 1 ng vi gi tr ring 1 .
r r
r
Trn tp hp cc vect trc giao chun ho vi n 1 vect ring u tin 1 , 2 , ..., n 1 ca ma trn
r r
Rij , tng (8.3.29) c cc i bng gi tr ring n t c khi = n .
r r
r
Chng minh: Gi s 1 , 2 , ..., m l nhng vect ring c lp tuyn tnh ca ma trn Rij , khi
r
vect c th biu din di dng t hp tuyn tnh ca chng
r
r
r
r
= c11 + c22 + ... + cm m .
(8.3.30)
Th (8.3.30) vo (8.3.29), do tnh cht trc giao ca cc vect ring, ta nhn c
m m
m m
m m
m m
i =1 j =1
i =1 j =1
k =1 l =1
k =1
i =1 j =1
Rij i j = Rij ck cl ik lj = ck2 Rij ik kj (8.3.31)

r
S dng (8.3.21) v iu kin chun ho ca cc vect , ta c
Rij i j = ck2 k [ik ] = k ck2 1 ck2 = 1

m m
i =1 j =1
k =1
i =1
k =1
k =1
(8.3.32)
r r
Tng (8.3.29) s c gi tr cc i bng 1 khi = 1 , v trong trng hp ny
c1 = 1, c2 = ... =cm = 0 .
r r
r
r
By gi gi s vect trc giao vi cc vect ring 1 , 2 , ..., n 1 , khi trong khai trin (8.3.30)
c1 = c2 = ... = cn 1 = 0 v t (8.3.32) ta nhn c
174
m m
i =1 j =1
k =n
Rij i j = k ck2 n .
r r
ng thc trong (8.3.33) t c khi = n .
(8.3.33)
{ }
r
Nu ly cc vect ring ca ma trn tng quan Rij lm h cc vect k trong khai trin (8.3.14)
r
ca vect ngu nhin X th phng sai ca sai s xp x 2n s c xc nh di dng
n
i =1
k =1
2n = Rii k ,
(8.3.34)
trong k l cc gi tr ring ca ma trn tng quan.

Nh vy, vi t cch l nhng vect trc giao t nhin, khi khai trin vect ngu nhin thnh tng
ca n thnh phn trc giao t nhin cn phi ly n vect ring ca ma trn tng quan ng vi n gi tr
ring u tin ca n.
r
Khi chn cc vect ring ca ma trn tng quan lm cc vect k , cc h s khai trin Ak trong
{ }
(8.3.14) i mt khng tng quan.

Thc vy,
m m
M [Ak Al ] = M X i X j ik lj =
i =1 j
i =1
j =1
i =1
= ik Rij li = l ik li = 0 khi k l
(8.3.35)
V cc gi tr ring k ca ma trn tng quan l phng sai ca cc h s khai trin vect ngu
nhin theo cc vect ring ca ma trn tng quan nn bi ton khai trin vect ngu nhin thnh tng cc
thnh phn trc giao t nhin c th t ra nh sau. Chng hn, gi s c m gi tr ca yu t kh tng
x1 , x2 , ..., xm . y c th l nhng gi tr ti m mc khc nhau hay ti m im khc nhau trn mt mt ng
p, hay nhng gi tr ti mt im, nhng nhng thi im khc nhau. Cc vect trc chun
r
k ( 1k , 2k , ..., km ) , tc l nhng t hp tuyn tnh ca cc gi tr ca yu t kh tng xi , i = 1, 2, ..., m
dng
m
Ak = xi ik
(8.3.36)
i =1
c tm sao cho phng sai ca nhng t hp tuyn tnh ny

2
m
m m
k
D[ Ak ] = M xi i = Rij ik kj
i =1 j =1
i =1
(8.3.37)
t cc i.
r
Mi vect k nh vy l mt vect ring ca ma trn tng quan
Rij . Gi tr ring ca ma trn
Rij tng ng vi vect bng phng sai ca t hp tuyn tnh Ak .

ngha ca khai trin hm ngu nhin thnh tng cc thnh phn trc giao t nhin l ch, t mt
s lng ln nhng s liu thc nghim, trc ht tch ra t hp tuyn tnh A1 , c bin thin (phng
r
sai) ln nht. T hp tuyn tnh ny tng ng vi vect ring 1 ng vi gi tr ring ln nht trong cc
175
gi tr ring ca ma trn tng quan. Tip theo, xt n nhng t hp tuyn tnh Ak , khng tng quan
vi A1 , v chn ly t hp A2 trong s chng c bin thin ln nht, v.v... Sau khi chn c mt s
khng ln nhng t hp nh th, bin thin ca tt c cc t hp tuyn tnh cn li tr nn nh. V vy,
khi mong mun m t phn ln bin thin c trng ca tp hp cc gi tr x1 , x2 , ..., xm , chng ta c
th s dng khng phi tt c cc t hp tuyn tnh Ak , m ch mt s t hp ng vi nhng gi tr ring
k ln nht.
Khi , nh gi sai s mc phi, c th s dng phng sai tng i ca sai s
2
m
n
k
M X i Ak i
k =1

i =1
n2 =
m
M X i2
i =1
(8.3.38)
cho phng sai cc tiu ph hp vi (8.3.34) v nu tnh n ng thc bit

m
i =1
k =1
Rii = k
(8.3.39)
sai s ny s c vit di dng

n
2n
= 1
k =1
m
(8.3.40)
k =1
i lng
n
dn =
k =1
m
(8.3.41)
k =1
c trng cho phn ca n thnh phn t nhin trong phng sai tng.
Nh vy, so vi khai trin hm ngu nhin theo nhng h hm hay vect trc chun bt k no khc,
php khai trin hm ngu nhin theo cc thnh phn trc giao t nhin m bo s gim phng sai nhanh
nht t thnh phn ny n thnh phn khc.
Bi ton tm cc gi tr ring v cc vect ring ca ma trn l mt trong nhng bi ton c bn ca
i s tuyn tnh. Nu chuyn cc s hng t v phi sang v tri, c th vit li h (8.3.21) di dng
( R11 )1 + R122 + ... + R1m m = 0 ,

R211 + ( R22 )2 + ... + R2 m m = 0 ,
.................... .................... .......... ...

Rm11 + Rm 22 + ... + ( Rmm )m = 0.
(8.3.42)
H cc phng trnh thun nht (8.3.42) s c nghim khc vect khng ch trong trng hp nh
thc ca h bng khng, tc l ta c phng trnh
176
R11
R21
R12
...
R22
...
R1m
R2 m
...
...
...
...
Rm1
Rm 2
...
= 0.
(8.3.43)
Rmm
Phng trnh ny c gi l phng trnh c trng ca ma trn cc h s
Rij hay phng trnh
trng lng. Khai trin nh thc (8.3.43), ta c th vit n di dng mt phng trnh i s i vi
m p1m 1 p2m 2 ... pm 1 pm = 0

Nh vy, nhng gi tr ring ca ma trn
(8.3.44).
Rij l cc nghim ca phng trnh bc m (8.3.44), v do
, ni chung c m gi tr ring 1 , 2 , ..., m , c th sp xp theo th t gim dn. xc nh vect

r
ring 1( 11 , 12 , ..., 1m ) , tng ng vi gi tr ring ln nht 1 , l vect trc giao t nhin th nht
trong khai trin vect ngu nhin (8.3.14), cn phi t = 1 vo h (8.3.42) v tm nghim ca h ny.
r r
r
Mi vect trc giao t nhin tip theo 2 , 3 , ..., n s c tm bng cch gii h (8.3.42) vi
= 2 , 3 ,..., n .
Nhng h s ca phng trnh c trng (8.3.44) l tng ca tt c cc nh thc con ca ma trn
Rij bc i da trn ng cho chnh. Tnh trc tip cc h s Pi l cng vic nng n v i hi rt
nhiu thao tc.
Trong i s tuyn tnh xy dng nhiu phng php n gin ho vic gii bi ton xc nh
cc gi tr ring v cc vect ring ca ma trn. Vn ny c trnh by chi tit trong [77]. Phn ln cc
phng php bao gm vic tnh trc cc h s ca phng trnh c trng, b qua vic tnh nhiu nh
thc con. Sau cc gi tr ring c tnh bng mt phng php no tnh gn ng cc nghim
ca a thc.
Khi khai trin vect ngu nhin thnh tng cc thnh phn trc giao t nhin, nh chng ta thy
trn y, thng ngi ta gii hn mt s thnh phn u tin, tc l ch s dng mt s vect ring ca
ma trn tng quan tng ng vi nhng gi tr ring ln nht ca n. Bi ton tm mt hoc mt s gi tr
ring ca ma trn v cc vect ring tng ng vi chng trong i s tuyn tnh c tn l bi ton gi tr
ring b phn phn bit vi bi ton y khi i hi xc nh tt c cc gi tr ring v cc vect
ring ca ma trn. gii bi ton b phn th cc phng php lp l rt hiu qu, trong cc gi tr
ring c nhn nh l gii hn ca nhng chui s no , v cc thnh phn vect ring tng ng vi
chng cng nh vy. Trong cc phng php lp, cc gi tr ring thng c tnh trc tip m khng cn
tnh trc cc h s ca phng trnh c trng, iu lm n gin bi ton. Cc phng php lp thch
hp hn c i vi vic gii trn my tnh in t, do chng rt quan trng.
8.4 BIU DIN CC TRNG KH TNG DI DNG TNG CC THNH

PHN TRC GIAO T NHIN
Phng php khai trin hm ngu nhin thnh cc thnh phn trc giao t nhin cho php tch ra
nhng c im c bn nht v loi b nhng chi tit nh t mt s lng ln s liu thc nghim; phng
php ny c ng dng rng ri m t cu trc thng k cc trng kh tng trong cc cng trnh
ca N. A. Bagrov [35,36], A. M. Obukhov [67], M.I. Iuin [87], L. V. Rukoves [73], G. . Kuashkin
[58], A. V. Mesherskaija v N. I. Iakovleva [64,65,89,90] v cc tc gi khc.
lm v d, chng ta xem xt khai trin profile thng ng trng a th v theo cc thnh phn
trc giao t nhin c thc hin trong cng trnh ca L. V. Rukhoves. S liu thc nghim ban u c
s dng l cc gi tr a th v trn 6 mt ng p (1000, 850, 700, 500, 300 v 200 mb) qua 3 gi mt v
177
chng c chia thnh bn tp: tp th nht bao qut thi k 10 ngy, t 23/1 n 1/2/1959, tp th hai
10 ngy, t 15 n 24/4/1959, tp th ba 11 ngy, t 6 n 16/7/1959, tp th t 10 ngy, t 20 n
29/10/1959.
Vic chn mt vi tp nh vy nhm kho st vn v n nh ca php khai trin. Nu cc thnh
phn trc giao t nhin nhn c theo mt tp mt tnh n nh khi chuyn sang nhng tp khc, th vic
ng dng khai trin nh vy vo thc t tr thnh t hiu qu v khng u vit so vi php khai trin theo cc
h hm trc giao khc.
S liu c ly ti cc im nt ca li u trn lnh th chu u. Mi ma c khng t hn 990 gi
tr bin i ngy m ca a th v, mc d nh trong [73], khng phi tt c cc gi tr u c lp.
nghin cu s ph thuc ca cc hm trc giao t nhin vo v , ton b lnh th c chia thnh ba vng
theo v . Theo s liu ca tp th ba, tp c nhiu gi tr nht, tnh cc ma trn tng quan Rij cho
tng vng trong s ba vng, nhng ma trn tng quan ny m t mi lin h ca bin i ngy m ca a
th v gia cc mc trn ton b 6 mt ng p. V xt cc s liu trn 6 mc chun, nn ma trn tng quan
Rij l ma trn bc 6.
Vic tnh cc gi tr ring v vect ring c thc hin theo phng php Jacobi, tc l a ma trn
v dng ng cho nh php quay n gin [77]. Vic tnh s bin i ngy m, ma trn tng quan,
cc gi tr ring v vect ring c thc hin trn my tnh in t.
Gi tr cc vect ring ca ma trn tng quan cho ba vng (1, 2, 3), ly t [73], c biu din trn
hnh 8.1. Do bin ng ca a th v tng theo v m cc ma trn tng quan ca cc vng khc bit
nhau mt cch ng k. Nhng, nh ta thy trn hnh 8.1, cc vect ring ca nhng ma trn kh gn
nhau.
Hnh 8.1
nhn nh tnh cht n nh ca cc vect ring, trn hnh 8.2 a ra cc gi tr ca chng cho mi
tp trong bn tp ca mt vng. T hnh 8.2 thy rng, i vi cc ma khc nhau, hnh dng cc vect ring
gn ging nhau, c bit i vi hai vect ring u tin.
Trong bng 8.1 a ra gi tr cc gi tr ring ca ma trn tng quan i vi tng tp v cc i
lng
178
dn =
k =1
m
(8.4.1)
k =1
c trng cho phn ng gp ca n thnh phn trc giao t nhin vo phng sai ca khai trin (8.3.14)
vi n = 1, 2 , ..., 6 , tc l khi hn ch bi mt, hai, ba, v.v... s hng trong tng (8.3.14).
Hnh 8.2
Bng 8.1
Tp
1
1
2
3
4
5
6
dn %
dn %
dn %
dn %
559,8
93,4
22,5
10,6
3,6
2,1
80,9
94,4
97,6
99,2
99,7
100
195,2
59,4
18,5
11,0
8,7
2,1
66,2
86,3
92,6
96,3
99,3
100
184,7
40,8
14,2
5,5
4,2
1,9
73,5
89,7
95,3
97,5
99,2
100
625,2
115,5
21,0
10,7
5,1
2,4
50,2
95,0
97,7
99,0
99,7
100
T bng thy rng hai thnh phn trc giao t nhin u tin tp trung khong 90% phng sai tng
cng, tc l khai trin theo cc thnh phn trc giao t nhin c tc hi t cao.
179
Chng 9
NHNG V D NGOI SUY TUYN TNH TI U CC QU TRNH KH
TNG THY VN
9.1 NGOI SUY TI U DNG CHY SNG THEO PHNG PHP I. M.
ALEKHIN
I. M. Alekhin ng dng l thuyt ngoi suy tuyn tnh ti u cc qu trnh ngu nhin dng d
bo dng chy sng ngi [34]. Tc gi xem lch ca dng chy nm so vi chun nh mt hm ngu
nhin dng ca thi gian cho ti nhng gi tr nguyn ca i s.
c th d bo qu trnh ngu nhin ti thi im t + T , T > 0 theo cc s liu quan trc trn
khong o ca i s trc thi im t , th s tn ti mi ph thuc tng quan ng k gia cc lt ct
ca qu trnh ngu nhin l cn thit. C th nhn nh v s tn ti mi ph thuc ny, chng hn, bng
th hm tng quan. Trong [34] tnh cc hm tng quan chun ho r( ) ca lch dng chy
nm so vi chun cho 6 con sng phn b trn lnh th chu u ca Lin X. S liu ban u tnh l s
liu lu lng nc trung bnh nm trong 5070 nm ly t "Ti liu ch sng ngi Lin X" v cc
nin lch thy vn. Nhng v d v cc hm tng quan tnh c biu din trn hnh 9.1. (Nhng
ng lin nt nhn c bng cch lm trn theo phng php bnh phng ti thiu). T hnh 9.1, rt ra
kt lun v nguyn tc c th d bo dng chy sng, v tng quan lu lng trung bnh nm trong su
trng hp xem xt t ra kh cao trong mt di rng ca khong . iu ny, theo Iu. M. Alokhin, c
quyt nh bi hai nguyn nhn: s iu chnh dng chy nm to nn mi lin h tng quan vi nhng
khng ln (khng ln hn 23 nm), v tnh chu k ca dng chy to nn s tng quan bin thin c
tnh tun hon v lm cho tng quan tt dn chm trong di rng. Trong cng trnh [34] kho st
ngoi suy "thun tu" (khng lm trn) dng chy nm ca cc con sng vi thi hn d bo T = 1, 2, 3 v
5 nm. Trong cc tnh ton c thc hin bng hai phng php: gii trc tip h phng trnh i s
(5.2.11) (xem mc 5.2) v s dng l thuyt KolmogorovWiner (xem mc 5.3 v 5.5).
Hnh 9.1
1. D bo dng chy sng bng cch gii trc tip h phng trnh i s
Bi ton d bo dng chy sng c t ra nh sau. C s liu lch dng chy nm so vi chun
q( t ), q( t 1 ), ..., q( t n ) ghi c trong n nm m nm cui cng c k hiu l t . Gi tr d bo
q( t + T ) , vi T thi hn d bo, s c tm di dng t hp tuyn tnh ca m s trong s cc s liu
ny
180
q( t + T ) =
k q( t k ) .
(9.1.1)
k =0
Cc h s k i vi tng gi tr T cho, c xc nh t iu kin cc tiu phng sai sai s

ngoi suy nh trnh by trong mc 5.2, l nghim ca h phng trnh
m
Rq ( T + j ) = k Rq ( k j ), j = 1, 2, ..., m ,
(9.1.2)
k =1
trong Rq ( ) l hm tng quan ca lch dng chy nm. S hng t m trong tng (9.1.1) cn c
chn sao cho cc mmen tng quan Rq ( k j ) xc nh theo s liu quan trc ti n im phi tin
cy. Trong [34], h phng trnh (9.1.2) c gii bng phng php Gauss [77].
Chng ta s xem xt kt qu tnh cho sng Volga ti Kubshev. Chui ban u ca lu lng trung bnh
nm ly bng cc lch so vi chun trong thi k 18821935. S hng t trong tng (9.1.1) bng 21.
Trong bng 9.1 ch ra gi tr ca cc h s ngoi suy ti u k ng vi thi hn d bo T = 1, 2 , 3 v
5 nm.
nh gi cht lng d bo ti u, trn hnh 9.2 a ra nhng gi tr thc ca dng chy nm
(ng lin nt) v nhng gi tr d bo theo cng thc (9.1.1) vi cc h s bng 9.1.
T hnh 9.2 thy rng, s liu d bo nhn c theo phng php ngoi suy ti u kh ph hp vi
nhng gi tr thc ca dng chy nm.
Bng 9.1
0,56 0,53 0,42 0,22 0,03 0,08 0,28

0,22 0,19 0,07 0,28 0,05 0,17 0,02
0,19 0,11 0,55 0,16 0,38 0,08 0,20
0,85 0,06 0,52 0,53 0,01 0,28 0,18
1
2
3
5
1
2
3
5
0,03 0,24
0,25 0,19
0,23 0,00
0,25 0,02
10
0,18
0,13
0,14
0,34
0,00
0,19
0,13
0,58
k
11
12
13
14
15
16
17
18
19
20
0,22
0,08
0,35
0,01
0,03 0,35 0,17 0,29 0,22 0,48 0,08 0,21 0,00

0,34 0,14 0,17 0,08 0,36 0,07 0,15 0,16 0,33
0,20 0,23 0,31 0,26 0,17 0,00 0,28 0,15 0,30
0,28 0,44 0,07 0,00 0,49 0,42 0,52 0,32 0,04
Cc h s tng quan gia gi tr thc v d bo bng:

0 ,84 0 ,03 vi T = 1 nm,
0 ,84 0 ,03 vi T = 2 nm,

0 ,84 0 ,03 vi T = 3 nm,
0 ,80 0 ,03 vi T = 5 nm.

Thnh cng ca vic a s liu nhiu nm vo d bo cng th hin r nu chng ta nh li rng cc
h s tng quan gia lu lng trung bnh nm ca sng Volga (ti Kubshev) vi = 2 , 3 v 5 nm
bng r( 2 ) = 0 ,06 , r( 3 ) = 0 ,05 , r( 5 ) = 0.23 (xem hnh 9.1). Kt qu d bo cho 5 con sng khc cng
rt kh quan.
181
Hnh 9.2
2. D bo dng chy sng khi s dng l thuyt Kolmogorov Winer
Gi thit rng lch dng chy nm so vi chun l qu trnh ngu nhin dng v khong thi gian
cho qu trnh ny kh ln, tc l th hin ca qu trnh c th xem l c cho trn ton khong trc thi
im hin ti.
Theo l thuyt KolmogorovWiner gi tr d bo q( t + T ) c tm theo cng thc (9.1.1), trong
cc h s k c xc nh bng cch gii phng trnh WinerHopf theo phng php trnh by
trong mc 5.5.
Phng php tnh ton nh sau:
1) Tm hm tng quan Rq ( ) theo chui cc quan trc q( t ) , q( t 1 ) ,..., q( t n ) ,
2) Tm mt ph S q ( ) theo hm tng quan Rq ( ) ,
3) Xc nh hm truyn ti u theo cng thc (5.5.19),
4) Xc nh cc h s k nh l gi tr ca hm trng lng ti u (5.4.11) khi thay th t bi t k
trong cng thc ny,
5) Xc nh gi tr cn tm q( t + T ) theo cng thc (9.1.1).
Trong chng 5, chng ta xt phng php xc nh hm trng lng ti u khi cho hm tng
quan ca qu trnh ngu nhin di dng gii tch. Khi , gi thit rng nhng gi tr thng k ca hm
tng quan tnh theo s liu thc nghim c xp x bng biu thc gii tch.
Trong [34], nhng gi tr thng k ca hm tng quan c xp x bng ng gp khc, , tch
phn trong cc cng thc xc nh mt ph, hm truyn v hm trng lng c thay th gn ng
bng tng tch phn tng ng khi tnh ton.
Bng 9.2
0,40
0,00
k
k
182
11
0,00 0,30 0,53
12
13
14
15
0,25
0,21
0,10
16
17
10
0,21 0,14 0,11
18
19
20
0,14 0,05 0,47 0,06 0,30 0,10 0,06 0,10 0,14 0,11
Trong bng 9.2 a ra nhng gi tr nhn c ca cc h s k i vi sng Volga vi thi gian d

bo l mt nm.
S dng cc h s k trong bng 9.2, theo cng thc (9.1.1) d bo dng chy sng Volga ti
Kubshev vi thi hn d bo 1 nm cho thi k 19021935. Trn hnh 9.3 biu din nhng s liu
tnh ton d bo (ng gch ni) v gi tr quan trc thc ca lch dng chy so vi chun trong nhng
nm (ng lin nt). T hnh v thy rng, s liu tnh phn nh ng bin trnh ca gi tr thc v kh
ph hp vi chng. H s tng quan ca dng chy thc v d bo bng 0 ,86 0 ,03 . So snh cc kt qu
ny vi nhng nh gi d bo nhn c bng con ng gii trc tip h phng trnh (9.1.2) (xem mc 1)
thy rng chnh xc ca chng xp x nh nhau.
Hnh 9.3
9.2 PHN TCH PH V NGOI SUY CH S HON LU V HNG

Khi nghin cu cc qu trnh kh quyn quy m ln, cn bit quy lut ca mt xch ch yu trong
hon lu chung ca kh quyn, l hon lu v hng, tc l s vn chuyn khng kh t pha ty sang
pha ng gy nn bi dng nhit ti t mt tri v s quay ca Tri t quanh trc.
Khi tm hiu cc quy lut hon lu, thng thng ngi ta s dng mt s c trng tch phn ca
cc qu trnh v m. Ph bin nht trong cc c trng l ch s hon lu v hng.
Ch s hon lu v hng J c nh ngha nh l mt i lng khng th nguyn, bng t s tc
gc quay ca kh quyn v tc gc quay ca tri t
i lng lin h vi tc di ca chuyn ng kh quyn bi h thc

J=
(9.2.1)
v = ( z )r0 cos ,
(9.2.2)
trong v l tc ca dng v hng, r0 bn knh trung bnh ca Tri t, l v a l, z

cao trn mc nc bin.
Do tm quan trng ca s hiu bit v nhng quy lut bin i theo thi gian ca ch s hon lu v
hng, c bit cho mc ch hon thin phng php d bo thi tit hn di, trong nhiu cng trnh
nghin cu cu trc thng k ca ch s hon lu v hng v th nghim d bo n bng phng php
thng k.
183
Hnh 9.4
Trong cc cng trnh [49, 53, 54, 61, 82] tin hnh x l thng k mt s lng kh ln ti liu
thc nghim v tnh cc hm tng quan, mt ph ca ch s hon lu v hng.
Trn hnh 9.4 biu din cc hm tng quan thi gian ca ch s hon lu v hng theo [49] i vi
cc cao ca cc mt ng p 1000, 700, 500, 300, 200 v 100mb.
Cc hm tng quan c tnh theo gi tr ngy ca i lng ch s hon lu v hng trong nhng
nm quan trc sau y:
Mc, mb
1000
700, 500
300, 200
Nm
19551960
19491960
19541956
19581960
100
19581960
Trn hnh 9.4 nhn thy s ph hp tt gia nhng hm tng quan cc mc 700500 mb, v gn
i lu hn (200300 mb). iu ny cho php s dng cc hm tng quan ly trung bnh cho tng lp.
Trn hnh thy r rng, thot u cc hm tng quan gim kh nhanh, sau c tnh cht dao ng ngu
nhin. Trong , nhn thy nhng dao ng ny biu hin tnh tun hon vi chu k trung bnh kh gn
nhau tt c cc ng cong.
biu th r hn tnh tun hon ca cc hm tng quan nhn c, ngi ta tnh cc mt
ph S j ( ) theo cng thc
n
S j ( ) = R j ( 0 ) + 2 R j ( ) cos ,
i =1
2
, T l chu k.
T
Nhng tnh ton c thc hin vi T = 1, 2 , ..., 240 ngy.
y =
th mt ph i vi cc mc 1000, 500 v 200 mb t [49] c biu din trn hnh 9.5.
184
Hnh 9.5
S tn ti mt lot cc cc i th hin kh r trn cc th mt ph (ng vi

T = 12 14 , 20 21 ... ngy) chng t v tnh tun hon trong s bin i theo thi gian ca ch s hon
lu v hng.
lm r mc lin h ca hon lu trn cc mt ng p khc nhau trong [82] tnh cc hm
tng quan quan h chun ho rij ( ) gia cc gi tr ca ch s hon lu v hng trn cc mc khc
nhau. th ca cc hm c biu din trn hnh 9.6.
Nhng gi tr ln nht ca cc hm tng quan quan h chun ho nhn c cho cc gi tr trn hai
mc ng vi cng mt thi im, tc l khi = 0. Khi , i lng rij ( 0 ) c cc tr s ln nht trong
tng i lu gia ( r500 ,700 ( 0 ) = 0 ,97 ), cc lp i lu hn c mc lin h nh nht
( r300 ,200 ( 0 ) = 0 ,87 ). Khi khong cch gia cc mc tng dn th mi lin h ca hon lu v hng yu i.
Trong cc cng trnh [53, 54] nghin cu cu trc thng k gi tr trung bnh thng ca ch s hon
lu v hng. T nhng gi tr ca ch s hon lu v hng trung bnh thng ti mc 500 mb trong 15
nm (19491963), tnh hm tng quan chun ho thi gian r( ) ca ch s hon lu v hng. Kt
qu c biu din trn hnh 9.7. c im ca ng cong trn hnh ny tng t c im ca cc hm
tng quan i vi gi tr ngy ca ch s hon lu v hng. y cng th hin r nhng dao ng sng
ngu nhin. Chu k trung bnh ca cc dao ng bng 69 thng. S hin din ca tnh tun hon ny cng
c khng nh trn th mt ph gi tr trung bnh thng ca ch s hon lu v hng [54], c
trnh by trn hnh 9.8.
Mi lin h tng quan ng k theo thi gian ca cc gi tr ngy ln cc gi tr trung bnh thng ca
ch s hon lu v hng chng t tnh ng n ca vic t bi ton d bo thng k ch s hon lu v
hng. Vic th nghim gii quyt bi ton ny c nu ra trong cc cng trnh [53, 54, 82].
Trong cng trnh [82] gii bi ton ngoi suy tuyn tnh gi tr ngy ca ch s hon lu v hng
trn mt ng p 700 mb, ti mi lin h tng quan t ra n nh nht.
Gi tr d bo J ( t + m ) vi thi hn d bo m ngy c tm theo chui n gi tr ca n trc
thi im t theo cng thc
n 1
J ( t + m ) = Ai J ( t i ) .
(9.2.3)
i =0
185
Bi ton v ngoi suy tuyn tnh thun tu qu trnh ngu nhin dng cho ti mt s im hu hn
c gii theo phng php trnh by trong mc 5.2. Cc h s Ai c xc nh bng cch gii h
phng trnh dng (5.2.11).
Nhng gi tr ca cc h s Ai vi n = 30 v thi hn d bo m bng 1, 3 v 7 ngy c biu din
trn hnh 9.9. T hnh ny thy rng, nh hng mnh nht n i lng c d bo l cc gi tr lin
trc n, sau khi 2 < i < 20 , nh hng ca qu kh gim nhanh, cui cng vi i = 21 25 , s nh
hng ny li tng mnh ln. S phn b trng lng nh vy d nhin ph hp vi s phn b cc cc i
ca mt ph (xem hnh 9.5).
Hnh 9.6
nh gi s ph hp gia cc gi tr nhn c bng cch ngoi suy tuyn tnh v cc gi tr thc

ca ch s hon lu v hng xc nh sai s tuyt i trung bnh ca php ngoi suy = J J ,
trong J l gi tr ngoi suy, J gi tr thc ca ch s hon lu v hng.
Gi tr nh nht ca sai s nhn c khi m nh, tc l khi ch s dng gi tr ca nhng ngy lin
trc gn nht. Khi s dng s lng ln cc s hng trong cng thc ngoi suy ti u th chnh xc
khng nhng khng tng ln, m thm ch gim mnh.
Thot nhn c th tng rng cng nhiu h s Ai c s dng trong cng thc ngoi suy ti u th
cng nhiu thng tin c a vo nhn gi tr d bo, v gi tr d bo cng c xc nh mt cch
chnh xc. Thc t th khng phi nh vy. Cc hm tng quan thc nghim dng xc nh cc h s
Ai khng phi l chnh xc v chng nhn c da theo tp mu khng ln lm cc th hin. Ngoi ra,
chnh xc ca chng cn b gim v mt s th hin ring bit ph thuc ln nhau.
186
Hnh 9.7
Hnh 9.8
Khi s lng cc phng trnh ca h (5.2.11) ln, chnh xc ca vic xc nh cc h s Ai c

th b gim cn v tnh cn c thp ca h ny hay tnh khng n nh ca n.
V vy, s lng cc h s Ai c tnh ti khi d bo phi chn nh so vi dung lng mu. A.
M. Iaglom [88] cho rng khi dung lng mu khong vi trm gi tr, s h s Ai khng c vt qu
mt vi n v.
ct gim s s hng trong cng thc ngoi suy ti u v chn mt s khng ln cc s hng c t
trng ln nht trong d bo, thng thng phng php c gi l phng php lc t ra rt hiu qu.
Phng php ny nh sau. Gi s c n gi tr ca th hin ca qu trnh ngu nhin U ( t ) ti nhng thi
im trc thi im t : u( t ), u( t 1 ), ..., u( t n + 1 ) . Gi tr d bo ca th hin thi im t + m
c tm theo cng thc
k
u( t + m ) = A j v j
(9.2.4)
j =1
vi s cc s hng k khng ln.

Khi vi t cch l gi tr ca v1 ngi ta chn ra trong s cc gi tr u( t i ) mt gi tr tng ng
vi tr s ln nht ca h s tng quan ca v1 vi i lng cn d bo. Sau , vi t cch l v2 ngi
ta ly t trong s cc gi tr cn li mt gi tr c phn ng gp ln nht vo h s tng quan ca cp
( v1 , v2 ) vi i lng cn d bo, tip theo ly t trong cc gi tr cn li mt gi tr v3 c phn ng gp
ln nht vo h s tng quan ca ba i lng ( v1 , v2 , v3 ) vi i lng cn d bo v.v...
Thng thng, sau mt vi bc th phn b sung vo h s tng quan ch cn l rt nh v th tc
c th kt thc; s s hng c chn khi s khng ln lm. Tuy nhin, khi s dng phng php ny,
trong trng hp c nhiu i lng ban u, cng c nguy c ngu nhin nhn c nhng h s tng
quan tng i ln ca cc gi tr c chn vk do s khng chnh xc ca vic xc nh cc h s tng
quan thc nghim. Khi d bo theo phng php ny cng c th tr nn khng hiu qu.
187
Hnh 9.9
Trong cng trnh [53], d bo ch s hon lu v hng trung bnh thng s dng l thuyt
ngoi suy tuyn tnh cc qu trnh ngu nhin dng trnh by trong cc mc 5.3 v 5.5.
Vi mc ch , hm tng quan ca ch s hon lu v hng trung bnh thng xc nh theo s
liu thc nghim c xp x bng biu thc gii tch
R( ) = e
2 ,465
+e
0 ,01
( 0,135 sin 1 + 0,51 sin 2 ) .
(9.2.5)
Theo cng thc (3.2.12), mt ph tng ng S ( ) c xc nh di dng
S( ) =
( 2 0 ,616 )2 ( 2 8,834 )2
2
][
][
( 1 i1 )2 2 + ( 1 i1 )2 2 ( 1 i 2 )2
1
,
+ ( 1 i 2 )2 ( 2 + 22 )
(9.2.6)
trong 1 = 0,01; 2 = 2 ,465.

Sau , theo phng php c trnh by trong mc 5.5, tc gi tm hm truyn ti u theo cng
thc (5.5.19), v tip theo l tm cng thc ngoi suy tuyn tnh ti u biu th gi tr d bo ca i lng
cn tm ti thi im t + T qua gi tr ca n v gi tr ca o hm cc bc ca n ti thi im t .
Nu ch gii hn hai o hm u tin th nhn c nhng cng thc ngoi suy tuyn tnh ti u
gn ng cho ch s hon lu v hng vi thi hn d bo mt v hai thng di dng
J ( t + 1 ) = 0,0673 J ( t ) + 0 ,0027 J ( t ) 0,8143 J ( t ) ,
(9.2.7)
J ( t + 2 ) = 0 ,0057 J ( t ) + 0 ,0002 J ( t ) 0,0690 J ( t ) .
(9.2.8)
Khi tnh cc o hm s dng cc cng thc ni suy Newton:

J J = J ( t ) J ( t 1 ),
J 2 J = J ( t ) 2 J ( t 1 ) + J ( t 2 ).
(9.2.9)
Kt qu d bo J vi thi hn d bo mt thng theo cng thc (9.2.7) kh ph hp vi cc gi tr

thc. D bo i lng J ( t + 2 ) khng cho kt qu kh quan.
188
Chng 10
MT S VN M T TRNG TC GI
10.1 HM TNG QUAN CA TC GI
Trong chng 4 ch ra rng xc nh k vng ton hc v hm tng quan ca bin i tuyn
tnh hm ngu nhin dng no ch cn bit k vng ton hc v hm tng quan ca hm ngu nhin
c bin i. Nhng trong thc t, thng xy ra cc trng hp mi lin h gia cc hm ngu nhin
thc s khng tuyn tnh. Khi , nhn c cc c trng ca hm ngu nhin l kt qu ca php bin
i phi tuyn, th bit k vng ton hc v hm tng quan ca hm ngu nhin c bin i l cha ,
m cn bit cc mmen bc cao hoc cc hm phn b nhiu chiu ca n. Tuy nhin trong nhiu trng
hp, bng cch s dng nhng th thut nhn to c th biu din gn ng k vng ton hc v hm
tng quan ca kt qu bin i phi tuyn qua nhng c trng tng ng ca hm ngu nhin c bin
i.
lm v d cho bin i phi tuyn qu trnh ngu nhin dng, ta xt phng php gn ng xc
nh hm tng quan ca modul vn tc gi nu bit trc k vng ton hc v hm tng quan ca cc
thnh phn ca vect ny. Thng thng, vect gi c xem nh vect ngu nhin hai chiu m cc
thnh phn U x ( t ) v U y ( t ) ca n l nhng hm ngu nhin khng c lp vi nhau, ti mi gi tr t
chng tun theo qui lut phn b chun c phng sai bng nhau.
C th xc nh c hm tng quan ca modul vect gi, nu bit quy lut phn b hai chiu
f ( u1 ,u2 ) , tc l mt phn b ng thi cc tc gi U1 v U 2 ly nhng thi im khc nhau
hay ti nhng im khc nhau trong khng gian. Phng php ny c A. S. Martrenko xem xt trong
r
cng trnh [60], trong , trn c s xc nh l thuyt mt phn b ng thi ca cc modul U ( t1 ) v
r
r
r
U ( t2 ) , xc lp mi lin h gia cc hm tng quan ca trng vect U ( t ) v trng v hng U ( t ) .
Vi mt s gi thit no , nhn c nhng cng thc tng i n gin, v thc t ng dng c
tnh cc h s tng quan cho trng hp tc gi trung bnh gn bng khng. Nhng thc ra, nh
nu trong cng trnh [60], trong nhiu trng hp tc gi trung bnh M [U ] = m khc khng, v gi tr
ca chng c th vt qu phng sai 2 mt cch ng k. V d, trong cc iu kin in hnh i vi
m2
= 2 ,4 12. Biu thc i vi mt phn b ng thi ca tc , nhn c trong
2
cc iu kin , rt cng knh v trn thc t khng cho php nhn c nhng cng thc kh d tnh
cc h s tng quan.
Chng ta s xy dng cc cng thc xc nh hm tng quan tc gi cho trng hp gi tr
trung bnh ca tc gi ln hn ng k so vi lch bnh phng trung bnh ca chng. Phng php
ny da trn c s s dng hm c trng ca h cc i lng ngu nhin c dng n gin i vi
trng hp cc i lng ngu nhin phn b chun.
Bi ton c pht biu nh sau.
Xt vect ngu nhin hai chiu
U ( t ) = U x ( t )i + U y ( t ) j
(10.1.1)
dng chy xit th
m cc thnh phn U x ( t ) v U y ( t ) ca n l nhng hm ngu nhin dng, phn b chun, c k vng

ton hc mx v m y , cc phng sai Dx = D y = 2 v cc hm tng quan Rx ( ) v R y ( ) .
Cc thnh phn ca vect c coi l khng ph thuc ln nhau, tc l hm tng quan quan h ca
chng bng khng.
Yu cu xc nh hm tng quan Ru ( ) ca modul vect ngu nhin
189
U ( t ) = U x2 ( t ) + U y2 ( t )
(10.1.2)
Mun vy, u tin ta xc nh hm tng quan ca bnh phng modul
Z ( t ) = U x2 ( t ) + U y2 ( t )
(10.1.3)
Hin nhin, hm ngu nhin Z (t ) khng phn b chun, tuy vy tnh dng ca n c gi nguyn.
Ta xc nh hm tng quan Rz ( )
Rz ( ) = M { [Z ( t ) mz ][Z ( t + ) mz ] } = M [Z ( t )Z ( t + )] mz2 =
] [
= M U x2 ( t )U x2 ( t + ) + M U x2 ( t )U y2 ( t + ) +
] [
+ M U y2 ( t )U x2 ( t + ) + M U y2 ( t )U y2 ( t + ) m z2 ,
trong
[ ] [ ]
mz = M U x2 + M U y2 = ( 2 + m x2 ) + ( 2 + m 2y ) = 2 2 + mx2 + m 2y
(10.1.4)
(10.1.5)
Ta xt h bn i lng ngu nhin phn b chun

U1 = U x ( t ), U 2 = U x ( t + ), U 3 = U y ( t ), U 4 = U y ( t + ) .
Hm c trng ca h ny, nh bit (xem mc 1.12), c dng
4
1 4
E( u1 ,u2 ,u3 ,u4 ) = exp Rk , j uk u j + i mk uk ,

(10.1.6)
2 k , j =1
k =1
trong mk l cc k vng ton hc ca cc i lng ngu nhin U k , Rk , j l mmen quan h ca cc i
Rk , j
lng ngu nhin U k v U j , l nhng phn t ca ma trn tng quan
Rk , j = M ( U k mk )( U j m j )
i vi h cc i lng ngu nhin ang xt, ta c:
R11 = R22 = R33 = R44 = 2 ;

R12 = Rx ( ), R34 = R y ( ) ;
m1 = m2 = mx , m3 = m4 = m y .
(10.1.7)
V cc hm ngu nhin U x ( t ) v U y ( t ) khng ph thuc ln nhau, nn
R13 = R23 = R14 = R24 = 0.

Nh vy ma trn tng quan c dng
Rk , j
Rx ( )
2
0
0
2
0
0
.
Ry ( )
2
(10.1.8)
Cc k vng ton hc v phi cng thc (10.1.4) thc cht l nhng mmen gc bc bn ca h cc
i lng ngu nhin ang xt. Nhng mmen ny c th tm c bng cch ly vi phn hm c trng
ca h
] [
M U x2 ( t )U x2 ( t + ) = M U12U 22 =
=
190
1 4 E( u1 ,u2 ,u3 ,u4 )

u12u22
i4
u1 = u 2 = u3 = u 4 = 0
2
= 2 R12
+ R11R12 + m12 R22 + m22 R11 + 4m1m2 R12 + m12 m22 =
= 2 Rx2 ( ) + 4 + 2mx2 2 + 4m x2 Rx ( ) + mx4
(10.1.9)
Sau khi tnh bng cch tng t nhng gi tr cn li ca cc k vng ton hc v th chng vo cng
thc (10.1.4), ta c
] [
Rz ( ) = 2 Rx2 ( ) + R y2 ( ) + 4 m x2 Rx ( ) + m 2y R y ( )
(10.1.10)
xc nh hm tng quan ca hm ngu nhin U ( t ) , khi bit hm tng quan ca bnh phng
ca n Z ( t ) , cn c quy lut phn b ca U ( t ) ti tng gi tr t .
Nh bit (xem mc 1.11), lut phn b ca modul ca vect hai chiu U = U x2 + U y2 , m cc
thnh phn ca n l nhng i lng ngu nhin c lp, phn b chun, c cng phng sai 2 nhng
khc k vng ton hc M [U x ] = mx , M U y = m y , s l hm Releich tng qut
[ ]
u 2 +m2
2
mu
u
f ( u ) = 2 e 2 I 0 2

khi u > 0,
(10.1.11)
khi u < 0.
mu
Trong cng thc ny, m = mx2 + m 2y l gi tr trung bnh ca modul vect U ; I 0 2 hm

m
>> 1 , c th thay hm Bessel bng biu thc tim cn ca n
Bessel bc khng. Khi
I0( )
1
e
+ ....
1 +
2 8
(10.1.12)
Khi c th vit
u
f (u )= 2 e
Gii hn hai s hng ca chui, ta nhn c
f (u )
u 2 +m2
2 2
1
e
2
e
2um
( u m )2
2 2
um
+ ...
1 +
um
8
1 + u
8um m
(10.1.13)
(10.1.14)
2 u
m
>> 1 , vi chnh xc n nhn t 1 +
, hm Rle
8um m
tng qut c th thay bng lut phn b chun

T cng thc ny thy rng khi
f (u )=
1
e
2
( u m )2
2 2
khi u > 0
Hm Releich tng qut (10.1.11) c tnh bt i xng th hin r vi nhng tr s nh ca
(10.1.15)
m
, khi
m
m
m
, tnh bt i xng gim. Khi
= 2 , h s bt i xng bng 0.24, khi
= 3 , h s bt i xng
ch bng 0.07.
nng chnh xc, ta s xp x hm Rle tng qut (10.1.11) bng lut phn b chun, khng phi
theo cng thc (10.1.15) m di dng
tng
191
( u m ) 2
1
2 2
(10.1.16)
f (u )=
e
khi u > 0
2
sau khi chp nhn nhng gi tr tng ng ca k vng ton hc v phng sai phn b (10.1.11) lm k
vng ton hc m v phng sai 2 ca n.
Nh bit (xem mc 1.11), i vi phn b (10.1.11), k vng ton hc v phng sai c dng
M [u ] = m =

m2
=
1 +
2
2 2
m2
I0
4 2

m2
m2
+
I
2 2 1 4 2
D[u ] = 2 = 2 2 + m 2 m2 .
m2
4 2
(10.1.17)
(10.1.18)
Trn hnh 10.1 biu din cc ng cong phn b tnh theo cc cng thc (10.1.11) (ng cong 1),
m
(10.1.15) (ng cong 2) v (10.1.16) (ng cong 3) vi nhng gi tr
= 0, 1, 2, 3, 5 . Trn trc honh
t cc gi tr u, n v bng , trn trc tung t f ( u ) .
m
2 , sai s ca php xp x phn b (10.1.11) bng phn b chun
(10.1.16) l rt nh. Php xp x bng phn b (10.1.15) cho kt qu km hn.

By gi ta s coi hm ngu nhin U ( t ) ti mi gi tr t tun theo qui lut phn b chun (10.1.16)
vi k vng ton hc m v lch bnh phng trung bnh c xc nh theo cc cng thc
(10.1.17), (10.1.18).
Phn tch hnh v thy rng khi
Hnh 10.1
Trc y, chng ta nhn c hm tng quan cho hm ngu nhin Z ( t ) = U 2 ( t ) . By gi chng

ta thit lp mi lin h gia cc hm tng quan Rz ( ) v Ru ( ) . Hm tng quan Rz ( ) s xc nh
theo cng thc
{[
] ] [U ( t + ) M [U (t + )] ] }
+ m )] [U ( t + ) ( + m )] }=
= M [U ( t )U ( t + )] ( + m ) .
Rz ( ) = M U 2 ( t ) M U 2 ( t )
{[
= M U 2 ( t ) ( 2
2 2
(10.1.19)
K hiu U ( t ) = U1 , U ( t + ) = U 2 . V U1 v U 2 l nhng i lng ngu nhin phn b chun, nn

hm c trng ca h hai i lng ngu nhin ny s c dng
192
E( u1 ,u2 ) = exp ( R11u12 + 2 R12u1u2 + R22u22 ) + i( m1u1 + m2u2 ) (10.1.20)

2
trong
m1 = m2 = m,
R11 = R22 = 2 ,
R12 = M [( U1 m1 )( U 2 m2 )] = Ru ( ) .
(10.1.21)
Ru ( ) l hm tng quan cn tm ca hm ngu nhin U ( t ) .
Ta tnh i lng M U 2 ( t )U 2 ( t + ) trong cng thc (10.1.19)
] [
M U 2 ( t )U 2 ( t + ) = M U12U 22 =
1 4 E( u1 ,u2 )
u12u22
i4
u1 = u 2 = 0 =
= 2 Ru2 ( ) 4m2 Ru ( t ) ( m2 + 2 ) .
Th (10.1.22) vo (10.1.19), nhn c
Rz ( ) = 2 Ru2 ( ) + 4m2 Ru ( ) = 2 Ru ( ) + m2
(10.1.22)
2
2m4 .
(10.1.23)
1
2
Ru ( ) =
Rz ( ) 2m4 m2 .
(10.1.24)
Thay v Rz ( ) ta th biu thc ca n theo (10.1.10), cui cng ta c
Ru ( ) = Rx2 ( ) + R y2 ( ) 2 m x2 Rx ( ) m 2y R y ( ) m2
(10.1.25)
Hm ny c kh nng xc nh hm tng quan ca tc gi theo gi tr ca hm tng quan ca

m
2.
cc thnh phn vect gi, thun tin cho vic tnh ton vi mi tr s
10.2 KHIUCH TN RI
Gi thit rng ti im no ca dng ri cht lng hay cht kh c mt tp cht xm nhp, chng hn
mt s ln cc ht rn nh thuc nhum. Nh s vn chuyn bi cc lung xo trn hn lon ca dng ri,
cht ny lan truyn nhanh v nhum mu mt th tch ln. Hin tng ny gi l khuch tn ri. S khuch
tn ri rt ph bin trong t nhin. N quyt nh s lan truyn trong kh quyn nhng con vi khun v siu vi
trng, phn hoa, lm nhim khng kh bng khi v cc cht kh do cng nghip v giao thng pht ra, vn
chuyn hi m t mt t, phn tn cc vt th ni trn mt thy vc...
Ti liu nghin cu vn khuch tn ri rt phong ph. Trnh by chi tit v l thuyt khuch tn ri c
trong cun chuyn kho ca A. S. Monin v A. M. Iaglom [18]. y, chng ta ch xt tm tt phng php
m t khuch tn ri trong trng ri ng nht dng. m t ri mt cch thun tin s s dng phng
php Lagrng. Phng php ny theo di chuyn ng ca mt phn t xc nh ca cht lng hay kh trong
dng bt u t mt thi im ban u no .
Gi s ti thi im ban u t0 = 0 , phn t nm gc ca h to c nh, cn ti thi im t n
r
nm im X c to ( x1 , x2 , x3 ).
r
Hm vect X ( t ), c xem nh hm ngu nhin ca thi gian, c th dng c trng cho ri.
Mi ph thuc vo thi gian ca bn knh vect qu o ca mi phn t chuyn ng trong dng
nhn c nh th nghim l mt th hin ca hm ngu nhin ny. K hiu
193
r
r
dX ( t )
V( t ) =
(10.2.1)
dt
l vn tc Lagrng ca cc phn t, ta s xem vn tc ny nh mt hm vect ngu nhin ng nht dng.
Khi c th vit
t r
r
X ( t ) = V ( s )ds .
(10.2.2)
0
r
Xem vn tc trung bnh (ly trung bnh theo tp hp tt c cc phn t) bng khng, M V ( t ) = 0 .
r
r
Khi , k vng ton hc ca hm ngu nhin X ( t ) bng khng, M X ( t ) = 0 .
Trong trng hp ny, phng sai ca s phn tn cc phn t 2xi ( t ) dc theo trc to i c th
xc nh theo cng thc
2xi
a vo hm
ri ( ) =
2
t
i t
= M Vi ( s )ds = M [Vi ( s1 )Vi ( s2 )]ds1ds2 .

0 0
0
M [Vi ( t )Vi ( t + )]
(10.2.3)
(10.2.4)
v2i
gi l h s ri Lagrng. chnh l hm tng quan chun ho ca thnh phn Vi ca vect vn tc

Lagrng dc trc to i . Khi , c th vit (10.2.3) di dng
t t
2xi = v2i ri ( s2 s1 )ds1ds2 .
(10.2.5)
00
Do tnh chn ca cc hm ri ( ), biu thc (10.2.5) c th a v dng

t
2xi ( t ) = 2v2i ( t )ri ( )d .
(10.2.6)
Sau mt s bin i, ta nhn c
2xi ( t
)=
2 v2i
dt ri ( )d .
0
(10.2.7)
Cng thc (10.2.7), biu th s tn mn ca cc phn t qua h s ri Lagrng, nhn c ln u tin

bi Taylor [33]. c trng cho khuch tn ri, bn cnh phng sai 2xi ( t ) , ngi ta cn dng mt i
lng khc gi l h s khuch tn ri Di ( t )
Di ( t ) =
2
1 d x i ( t )
.
2
dt
(10.2.8)
H s ny c trng cho tc bin i phng sai phn tn ca cc phn t trong dng ri. Tng
ng vi (10.2.7), ta c th biu din h s khuch tn ri qua h s ri Lagrng
t
Di ( t ) = v2i ri ( )d .
(10.2.9)
Nh vy, xc nh phng sai phn tn ca cc phn t trong dng ri ng nht dng hay h s
khuch tn ri, cn bit hm tng quan chun ca cc vn tc Lagrng.
Taylor ch ra hai trng hp tim cn, khi s ph thuc vo dng ca hm tng quan ri ( ) ca
194
tn mn v h s khuch tn ri khng ng k.
1. Gi s h s ri Lagrng ri ( ) tin ti khng khi , v hn na tch phn khng k d, gi
l quy m ri Lagrng hay thi gian tng quan
Ti = ri ( )d
(10.2.10)
cng hi t nhanh nh vy. Gi thit rng c tch phn
ri ( )d cng hu hn. Khi vi nhng gi tr t

0
ln ( t Ti ) , (10.2.6) c th c thay bng h thc xp x
2xi ( t ) 2v2i tTi 2v2i ri ( )d .
(10.2.11)
Vi nhng gi tr ln ca thi gian t th s hng th nht s ng vai tr chnh trong v phi, v vy,
ta c th vit gn ng
2xi ( t ) 2v2i Ti t .
(10.2.12)
iu ny cho thy rng, phng sai phn tn ca cc phn t sau thi gian di t t l vi thi gian
khuch tn. Kt qu ny trng hp vi nh lut quen thuc ca Anhstanh v chuyn ng Braon.
2. Vi thi gian khuch tn nh t 0 , nu gi thit tn ti cc o hm hu hn ca h s ri
Lagrng th h s ri Lagrng c th khai trin thnh chui ln cn im = 0 , v do tnh chn ca hm
tng quan, chui ch cha cc lu tha chn. Gii hn bi nhng s hng khng cao hn bc hai, ta nhn
c cng thc xp x
1
ri ( ) 1 + ri( 0 ) 2 .
(10.2.13)
2
Th (10.2.13) vo (10.2.6), ta c
2xi ( t ) v2i t 2 1 + ri( 0 )t 2 .

12
(10.2.14)
2xi ( t ) v2i t 2 .
(10.2.15)
Khi t 0 ta c biu thc gn ng
Nh vy, vi thi gian khuch tn rt nh, phng sai phn tn ca cc phn t t l vi bnh phng
thi gian.
Vi nhng tr s thi gian khuch tn nm gia nhng trng hp bin y th phng sai phn tn ca
cc phn t ph thuc nhiu vo dng hm ri ( ) . Xc nh bng thc nghim hm tng quan ca cc vn
tc Lagrng rt kh, v vy ngi ta thng xp x ri ( ) bng nhng hm gii tch n gin no cn c
vo nhng lp lun vt l.
Trong kh tng hc, ngi ta hay s dng phng php xc nh hm tng quan ca cc vn tc
Lagrng thng qua cc s liu nhn c bng cch th chui qu cu m tiu treo cch u nhau hay bng
thm khng t do c trng lng c chn sao cho chng c th tri trong khng kh dc theo mt mt
ng p no . Khi nn nh rng nhng c trng thc nghim v ri kh quyn nhn c bng
phng php ny khng chnh xc lm.
Chng ta xt phng php ny trong chng 6, trong mt v d tnh cc hm tng quan
Ru ( ) ca thnh phn v hng ca cc vn tc Lagrng theo nhng s liu quan trc bng bng thm
khng (xem hnh 6.5). nhn c h s ri Lagrng ru ( ) , tc nhng hm tng quan chun ho
tng ng, phi chia cc gi tr trn hnh 6.5 cho cc phng sai u2 .
195
Hnh 10.2
Theo cng thc (10.2.9), y c th biu din di dng

t
Du ( t ) = Ru ( )d .
(10.2.16)
Cc gi tr ca h s khuch tn ri ca thnh phn v hng c tnh v biu din trn hnh 10.2.
Phn tch hnh ny cho thy rng, theo thi gian h s khuch tn ri tng ln, t n cc i sau 30
gi, sau dn tin n gi tr gii hn
D( ) = Ru ( )d .
0
Trn thc t n t c ch khong = 54 60 gi.
196
Chng 11
TNH MT PH QU TRNH NGU NHIN DNG. PH SNG BIN
11.1 XC NH MT PH THEO S LIU THC NGHIM
Trong chng 3 chng ta thy mt ph S ( ) ca qu trnh ngu nhin dng l bin i
Fourier hm tng quan R( ) ca n v c th c xc nh theo cng thc (3.2.12). Khi , cn bit s
bin i ca hm tng quan thc trn ton khong v hn ca i s.
Khi xc nh nhng c trng thng k ca qu trnh ngu nhin X ( t ) theo s liu thc nghim,
chng ta s dng cc th hin ca qu trnh ngu nhin c ghi trn mt khong hu hn T no theo
~
s bin thin ca i s t . Khi , ta c th xc nh gi tr thng k ca hm tng quan R ( ) trn
khong [ T ,T ] . c bit, khi xc nh hm tng quan ca qu trnh ngu nhin dng c tnh egodic
theo mt th hin x( t ) c di T , gi tr thng k ca n c xc nh theo cng thc (2.6.2).
Nh thy trong chng 6, do nhiu nguyn nhn, gi tr thng k ca hm tng quan l mt hm

~
ngu nhin no , v gi tr tnh c ca n, R ( ) , c th khc nhiu so vi gi tr thc ca hm tng
quan R( ) v phng sai sai s tng ng k khi i s tng.
V vy, vic s dng trc tip cng thc (3.2.12) v thay hm tng quan thc trong bng gi tr
thng k ca n, thay khong tch phn v hn bng khong hu hn, tc l cng thc
T
1
~
~
S() =
e i R ( )d ,
2 T
l khng hp l, v khng tnh n nhng tr s ca hm tng quan khi > T v nhng khc bit ng k
~
ca hm R ( ) so vi gi tr thc ca hm tng quan, c bit ti nhng gi tr gn cc cn ca khong
~
tch phn, c th dn n gi tr S ( ) tm c s rt khc vi gi tr thc ca mt ph.
Mt vn ny sinh l, lm th no xc nh gi tr ph hp nht ca mt ph ca qu trnh ngu
nhin ang xt trong khi khng c hm tng quan thc, m ch s dng gi tr thng k ca n.
~
Ta xt hm R ( ) , bng gi tr thc ca hm tng quan R( ) khi m v bng 0 khi > m .
Hm ny c th xem nh tch ca hm R( ) vi hm ( )
~
R ( ) = ( )R( ) ,
(11.1.1)
trong
1 khi m ,
( ) =
0 khi > m .
(11.1.2)
~
Hm R ( ) c cho trn khp trc s thc. Ta s tm bin i Fourier ca n v xem l gi tr
~
~
gn ng S ( ) ca mt ph S ( ) , tc l tnh S ( ) theo cng thc
1
1
~
~
S() =
e i R ( )d =
e i( )R( )d .
2
2
(11.1.3)
Ta k hiu S ( ) l mt ph thc ca qu trnh ngu nhin, tc l bin i Fourier ca hm tng

quan thc R( ) , k hiu Q( ) l bin i Fourier, tc l ph, ca hm ( )
197
Q( ) =
1
e i( )d .
2
(11.1.4)
~
Theo (11.1.3), tch ( )R( ) l bin i Fourier ca hm S ( )
( )R( ) =
i ~
S ( )d .
(11.1.5)
Mt khc, ta c
( )R( ) =
i1
S ( 1 )d1 e i 2 Q( 2 )d2 =
i( + )
2
2 Q( )d d .
S
(
)
e
1
1
2
2
Khi thay th 1 + 2 = tch phn bn trong v i th t ly tch phn, ta c
( )R( ) =
i
e
S ( 1 )Q( 1 )d1 d .
(11.1.6)
So snh (11.1.5) v (11.1.6) ta nhn c mi lin h gia mt ph thc S ( ) v gi tr gn ng

ca n (11.1.3)
~
S() =
S ( 1 )Q( 1 )d1 .
(11.1.7)
~
T thy rng, S ( ) chnh l gi tr ca mt ph thc S ( ) c ly trung bnh theo ton
khong tn vi hm trng lng Q( 1 ) .
i vi hm ( ) dng (11.1.2), ph Q( ) ca n c xc nh di dng
sin m
1 m i
.
Q( ) =
e
d =
(11.1.8)
Nh vy, bng cch s dng tch (11.1.1) lm gi tr thng k ca hm tng quan trong khi xc nh
mt ph, chng ta nhn c khng phi mt ph thc S ( ) , m gi tr ca n c lm trn nh
hm trng lng l ph ca hm ( ) . Khi phng php lm trn c xc nh bng cch chn hm
( ) . T ny sinh tng la chn hm ( ) sao cho php lm trn (11.1.7) l tt nht, tc l n cho
~
gi tr S ( ) gn nht vi gi tr thc S ( ) .
Nh vy bi ton xc nh mt ph c th pht biu di dng sau: Gi s c gi tr thng k ca
~
~
hm tng quan R ( ) ti T , ta s tm gi tr thng k ca mt ph S ( ) theo cng thc
1 m i
~
~
S() =
e
( )R ( )d
2
(11.1.9)
vi iu kin phi chn hm ( ) v gi tr m sao cho tho mn mt ch tiu ti u no . Hm ( )

c gi l hm trng lng lm trn, cn gi tr m gi l im ct ca hm tng quan.
ngha ca hm ( ) l nh n, ngi ta lm trn gi tr thng k ca hm tng quan t xc
nh mt ph. Nh ta thy, vic chn hm lm trn ( ) tng ng vi s lm trn ph thc ca
198
qu trnh ngu nhin dng (11.1.7) vi hm trng lng l ph ca hm ( ) .

~
lm tiu chun nh gi i lng S ( ) v chn hm lm trn ti u ( ) c th ly sai s bnh
~
phng trung bnh S ( ) , xc nh theo cng thc
{[
] 2 }= 2 [S~( )]+ b2 [S~( )]
~
~
2 S ( ) = M S ( ) S ( )
(11.1.10)
Trong cng thc ny i lng

2
~
~
~
~
~
2 S ( ) = M S ( ) M S ( )
= 2 S ( ) b2 S ( )
(11.1.11)
~
l phng sai ca cc gi tr S ( ) , c trng cho s tn mn ca cc gi tr thng k ca mt ph xung
{[
]]
] [
quanh k vng ton hc ca n.

i lng
~
~
b2 S ( ) = M S ( ) S( )
(11.1.12)
~
c gi l chch v c trng cho s lch ca k vng ton hc ca cc tr s thng k S ( ) khi gi
~
tr thc S ( ) . chch c trng cho s hin din ca sai s h thng, v n m cc gi tr S ( ) s tp
~
trung khng phi gn gi tr thc S ( ) , m gn mt gi tr M S ( ) no .
~
Tiu chun khc, nh c th nh gi chnh xc ca vic xc nh i lng S ( ) v chn
hm lm trn ti u ( ) , l sai s bnh phng trung bnh tch phn
2
~
S ( ) S ( ) d .
~
J [S ( )] = M
(11.1.13)
Bi ton chn hm lm trn ti u l lm sao vi gi tr di khong T cho, phi chn mt hm

( ) lm cho ln ca tiu chun nh gi chn tr thnh cc tiu. Nghim ca bi ton ny ph
thuc nhiu vo dng ca hm tng quan thc R( ) .
Trong cng trnh ca E. Parzen [70] nhn c nghim bi ton ny ng vi tiu chun (11.1.13) cho
hai dng hm tng quan R( ) .
Dng th nht gm lp cc hm tng quan gim theo quy lut hm m vi h s > 0, tc nhng
hm tho mn bt ng thc R( ) R0e
, trong R0 l mt hng s no .
Ngi ta chng minh c rng i vi nhng hm tng quan nh vy, cc hm lm trn sau l
ti u:
( ) =
1 u
1
, ( ) =
1+ u
0
khi u 1
khi u > 1
, ( ) =
sin u
,
u

u =
,
m
v mt s hm khc na.
Dng th hai cc hm tng quan m Parzen xt l lp cc hm gim theo kiu i s, tc nhng hm
c dng r trong r < 1 vi nhng gi tr ln. i vi cc hm dng ny, nhng hm trng lng
ti u lm cho sai s bnh phng trung bnh tch phn cc tiu c th l nhng hm dng
1
,
1 + Bu 2 r
trong hng s B c biu din qua hm tng quan thc R( ) .
( ) =
Lomnhisky v Zaremba [96] chng minh rng hm trng lng ti u ( ) lm cho sai s bnh
phng trung bnh tch phn (11.1.13) cc tiu, c dng
199
( ) =
R2( )
.
~
R 2 ( ) + D R( )
(11.1.14)
iu ny cho thy rng, hm lm trn ti u ( ) ph thuc vo hm tng quan thc ca qu trnh

ngu nhin c kho st v do , khng tn ti mt hm lm trn duy nht p dng cho tt c cc qu
trnh ngu nhin.
Ngoi ra, v khi xc nh thc nghim cc c trng thng k ca qu trnh ngu nhin, ta cha bit
hm tng quan thc, cn gi tr thng k ca n ch l c lng gn ng, nn ta khng th s dng trc
tip cc cng thc dn xc nh hm ( ) . Nhng cng thc ny ch c th s dng nh l cng
thc nh hng khi chn dng c th ca hm lm trn trong cng thc (11.1.9).
Hin nay cc tc gi khc nhau xng nhiu dng hm lm trn ring bit c nhng tnh cht khc
nhau, m t chi tit v cc hm ny c trnh by trong cc cng trnh [2, 25, 70, 9197].
Ph dng nht trong s l nhng hm sau:
1. Hm Bartlette
1 khi m ,
( ) =
0 khi > m .
(11.1.15)
2. Hm Bartlette bin dng
1
( ) = m
0
khi m ,
(11.1.16)
khi > m .
3. Hm Tiukey
1 2a + 2a cos
( ) =
m
khi m ,
(11.1.17)
khi > m .
Tiukey ngh ly h s a = 0 ,23 m khng ch r l do chn tr s . Parzen cho bit rng tr s

a = 0 ,25 l ti u di gc tiu chun (11.1.13).
4. Hm Hanning

khi m ,
0 ,51 cos
( ) =
m
0
khi > m .
(11.1.18)
5. Hm Parzen
q
1
( ) = m

vi q > 1, c bit Parzen xt hm ny vi q = 2.

6. Parzen cng nghin cu hm dng
200
khi m ,
khi > m .
(11.1.19)
q

( ) = 1 +

m
khi m ,
(11.1.20)
khi > m ,
i vi nhng tr s q = 1 v q = 2.
7. Hm Hemming
khi m ,
0 ,54 + 0,46 cos
( ) =
(11.1.21)
m
0
khi > m .
Tt c nhng hm trnh by l tt nht theo quan im ti u ho mt tnh cht no trong s cc

tnh cht ca gi tr thng k ca mt ph.
Khi xc nh gi tr thng k ca mt ph theo cng thc (11.1.9) vi hm lm trn ( ) chn,
gi tr nhn c s ph thuc nhiu vo vic chn i lng m .
Khi chn im ct m ca hm tng quan, cn tnh n hai loi sai s: chch ca c lng mt
ph, xut hin khi cc gi tr ca i lng m nh, v tnh bin ng ng k do tp mu ca cc gi
~
tr S ( ) ti nhng m ln.
Thc vy, trong cng thc (11.1.9), ti nhng tr s nh ca m , ta s dng gi tr thng k ca hm
tng quan, n khng khc nhiu lm so vi gi tr thc, tuy nhin ta gi thit n bng 0 vi nhng gi tr
> m , m ti hm tng quan c th rt khc khng. Chnh v vy chng ta mc sai s h thng
gy nn chch ca c lng. Tng m dn ti lm gim sai s h thng ny, nhng khi trong cng
~
thc (11.1.9), vi nhng ln, gi tr thng k R ( ) chng ta s dng c th khc xa so vi gi tr thc
~
R( ) . V l do , phng sai ca c lng S ( ) tng ln, c bit l khi khong ghi th hin T ca
qu trnh ngu nhin khng ln.
Nh vy, chn i lng m lm cc tiu c chch ln phng sai ca c lng mt ph th
cn phi tho mn hai i hi mu thun nhau.
nh hng ca i lng m n dng ca gi tr thng k mt ph biu l nh sau: Ti nhng
~
gi tr m nh trn th S ( ) , cc nh mt ph s b lm trn. Khi tng dn gi tr ca m , nhng
nh dn l r ra, nhng khi tip tc tng m , do s khc nhau gia gi tr thng k v gi tr thc ca
~
~
hm tng quan, th S ( ) s khng phn nh c im ca hm S ( ) m s tin dn ti th hin ca
~
qu trnh ngu nhin m t R ( ) c xc nh.
11.2 PHN TCH PH SNG BIN

L thuyt ph cc qu trnh ngu nhin dng hin nay c s dng rng ri khi phn tch sng bin.
y, ngi ta xem nhng dao ng mc bin ti im xc nh nh l hm ngu nhin ca thi gian. Nhng
kho st thc nghim v sng bin cho thy: hm ngu nhin Z ( t ) m t nhng dao ng thng ng ca
mt nc theo thi gian ti mt im c nh so vi mc trung bnh, mt mc gn ng no , c th
xem nh qu trnh ngu nhin ta dng, c tnh egoic.
Gi nh rng mi th hin c th chia thnh nhng on dng, trong phm vi cc c trng xc
sut gi nguyn khng i, cn khi chuyn t mt on dng ny sang on dng khc th cc c trng
xc sut bin i nhy vt. Tnh ta dng ca sng thc cng nh nhng kh khn k thut trong khi thc
hin nhng t o sng di hn dn ti ch xc nh cc c trng thng k buc phi s dng mt
201
hoc mt s khng nhiu cc th hin vi di hn ch.
~
Tng ng vi gi thit v tnh egoic, gi tr thng k ca hm tng quan R ( ) theo mt th hin
di T c xc nh theo cng thc (6.2.2).

S phn tch cc bng ghi sng gi n nh i dng, cc bin v h nc cho thy rng cc
hm tng quan ca sng gi c th xp x bng biu thc dng
Rz ( ) = De
cos
(11.2.1)
cos cos B ,
(11.2.2)
hay
Rz ( ) = De
trong D phng sai ca qu trnh, tn s cc dao ng thng ging, B tn s nhm, h

s suy gim ni nhm ca ng bao hm tng quan, h s suy gim lin nhm ca ng bao hm
tng quan.
Ta s xt phng php xc nh mt ph bng v d nghin cu ph sng bin. y, chng ta s
da vo cng trnh [72]. Vi kiu hm tng quan chn, mt ph c xc nh theo cng thc
(11.1.9). phn tch nh hng ca i lng m , trc tin ta chn hm lm trn ( ) l hm Bartlette
(11.1.15). Khi , cng thc (11.1.9) i vi qu trnh ngu nhin thc Z (t ) c th vit li di dng
~
1
Sz( ) =
Rz ( ) cos d .
(11.2.3)
Th hm tng quan (11.2.1) vo (11.2.3) v ly tch phn, ta nhn c
1
1
~
D
Sz( ) =
+ 2
+
2
2
2
2 + ( + )
+( )
+
De cos( + ) m + ( + ) sin( + ) m
+
2
2 + ( + )2
+
cos( ) m + ( ) sin( ) m
2 + ( )2
(11.2.4)
Nh ch ra trong chng 3, s hng th nht ca (11.2.4) l mt ph thc, ng vi hm tng

~
quan (11.2.1). Do , s hng th hai biu th chch h thng ca i lng S ( ) . chch ny, nh
thy t (11.2.4), gim dn khi m tng.
Nh vy, nu hm tng quan xc nh khng c sai s th m phi c gi tr sao cho biu thc trong
~
du ngoc nhn ca cng thc (11.2.4) khng nh hng ng k n i lng S ( ) .
nh hng ny ca i lng m c phn nh trn hnh 11.1, biu din cc th mt ph
tnh theo cng thc (11.2.4) vi D = 1 ; = 0 ,1 ; = 0 ,644 v cc gi tr m = 7 ,3 giy (ng lin nt)
v m = 1000 giy (ng gch ni).
lm r tnh bin ng do tp mu ca cc gi tr thng k ca mt ph do thay th hm tng
~
quan thc R( ) trong cng thc (11.2.3) bng gi tr thng k ca n R ( ) , trn hnh 11.2 biu din cc
~
~
gi tr S ( ) nhn c theo chui cc tr s R ( ) tnh theo nhng on th hin di 20 pht ca sng
bin n nh. i lng m c chp nhn ly bng 112 giy.
202
Hnh 11.1
Hnh 11.2
Hnh 11.3
~
Trn hnh 11.2 thy r cc th hm S ( ) rt khc nhau. S tn mn ny l do chn gi tr
~
m ln m vi gi tr , s tn mn ca cc gi tr thng k ca hm tng quan R ( ) biu l rt mnh.
Cc hnh 11.1 v 11.2 cho thy rng khi chn gi tr m cn phi: mt mt ly ln khng xy ra
s chch, mt khc n phi nm trong min cc gi tr ca i s , ti cha biu l r s tn mn ca
cc gi tr thng k ca hm tng quan. iu kin th hai i hi mu thun ny phi c thc hin
bng cch thay i cc tham s T v m nu khong dng ca qu trnh ngu nhin ln. Cn nu nh
khong dng ca qu trnh khng cho php tng ng k di th hin, trn xc nh cc c trng
thng k, th lc vic chn hm lm trn ( ) c vai tr quan trng. Trn hnh 11.3 biu din cc gi
~
tr mt ph sng gi S ( ) tnh theo cng thc (11.1.9) vi hm trng lng Hemming (11.1.21)
(ng cong 1), v vi hm trng lng Bartlette (11.1.15) (ng cong 2).
di th hin ca bng ghi sng T bng 30 pht. ng cong 1 tnh vi gi tr ca m ln
~
( m = 0 ,1 T ), tng ng vi s tn mn ng k ca i lng R ( ) , ng cong 2 vi m nh, thuc
~
min tin cy ca i lng R ( ) . Nh ta thy t hnh 11.3, ng cong 2 cho nhng gi tr lm trn ca
mt ph.
203

CƠ SỞ LÝ THUYẾT HÀM NGẪU NHIÊN VÀ ỨNG DỤNG TRONG KHÍ TƯỢNG THỦY VĂN

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C S L THUYT HM NGU NHIN V

NG DNG TRONG KH TNG THY VN

NXB i hc Quc gia H Ni 2005

T kho: Tn sut, mt , phn b, xc sut, ngu nhin, thng k, th hin, ph, cu

Ti liu trong Th vin in t i hc Khoa hc T nhin c th c s dng cho

C S L THUYT HM NGU NHIN

NH XUT BN I HC QUC GIA H NI

Chng 2. HM NGU NHIN V CC C TRNG CA CHNG....... 49

Chng3. PHN TCH IU HO QU TRNH NGU NHIN DNG V

3.1. CC QU TRNH DNG C PH RI RC................................................................................. 82

Chng4. BIN I TUYN TNH QU TRNH NGU NHIN DNG .... 98

Chng 5. NI NGOI SUY V LM TRN HM NGU NHIN .......... 110

Chng 6. XC NH CC C TRNG CA HM NGU NHIN THEO

PHN 2 - MT S BI TON KH TNG V THY VN GII BNG

Chng 8. KHAI TRIN QU TRNH NGU NHIN V TRNG NGU

8.1 THIT LP BI TON .................................................................................................................... 164

Chng 9. NHNG V D NGOI SUY TUYN TNH TI U CC QU

Chng 10. MT S VN M T TRNG TC GI................. 189

Chng 11TNH MT PH QU TRNH NGU NHIN DNG. PH

PHN 1 - C S L THUYT HM NGU NHIN

Khi s lng cc gi tr c th ca i lng ngu nhin c th l hu hn hoc v hn, cn tng

y P(X < x ) l k hiu xc sut ca s kin X<x.

T thy rng, th hm phn b ca i lng ngu nhin ri rc l ng bc thang c cc im

Tuy nhin, c th a ra nhng v d v i lng ngu nhin m gi tr c th ca n lp y hon

Sau ny ta s gi i lng ngu nhin m hm phn b ca n lin tc v kh vi l i lng ngu

P(a X b ) = P( X < b ) - P( X < a) = F(b) F (a )

tc l tng din tch nm di ng cong phn b bng 1.

tch phn xc nh trong (1.1.10) hi t, iu kin cn l lim f ( x ) = 0 v lim f (x ) = 0 , c

1.2. CC C TRNG S CA I LNG NGU NHIN

vi xi l cc gi tr c th ca i lng ngu nhin, cn pi l xc sut tng ng ca chng.

Mmen gc bc nht m1[X ] l k vng ton hc ca i lng ngu nhin X v c k hiu l

i vi i lng ngu nhin ri rc:

i vi i lng ngu nhin lin tc:

Mmen gc bc k l k vng ton hc ca i lng ngu nhin lu tha k, tc l:

Mmen trung tm bc k ca i lng ngu nhin X l k[X], l mmen gc bc k ca i lng ngu

Mmen trung tm bc k l k vng ton hc ca i lng ngu nhin qui tm lu tha k.

i vi i lng ngu nhin lin tc:

i vi i lng ngu nhin ri rc:

Cc mmen gc l cc mmen ca ng cong phn b so vi trc tung. Mmen trung tm l mmen

i vi i lng ngu nhin lin tc:

Thay bin y = x mx trong tch phn, khi :

Trong tch phn u tin, khi thay y = z, ta c:

2k +1[X ] = zf ( mx z )dz + yf ( y + mx )dy =

Gia mmen gc v mmen trung tm c quan h sau:

Ta hy xt cc lut phn b v cc c trng s ca chng thng gp nht trong thc t.

1.3. LUT PHN B POATXNG

Chui s trong (1.3.2) l chui Macloren i vi hm ea, do :

Mi thnh phn trong tng v hn (1.3.4) l chui Macloren i vi hm ea, n c th c vit di

1.4. LUT PHN B U

khi a < x < b

ng cong phn b c dng nh trn hnh 1.5.

th hm phn b c biu din trn hnh 1.6.

Mmen trung tm bc k bng:

Vi l = 1 ta nhn c gi tr ca phng sai:

T lch bnh phng trung bnh l:

bt i xng ca phn b S=0, v 3=0. nhn ca phn b bng

1.5. LUT PHN B CHUN

Lut phn b c trng bi (1.5.1) rt ph bin, nn c gi l lut phn b chun, cn i lng

lng ngu nhin c lp X1, X2,..., Xn, X = X i v tho mn iu kin:

th khi n, lut phn b ca i lng ngu nhin X tin n lut chun.

i bin trong tch phn (1.5.3):

S dng php i bin (1.5.4) trong tch phn (1.5.6) ta c:

Ly tch phn tng phn (1.5.7) ta c: