Professional Documents
Culture Documents
I HC QUC GIA H NI
TRNG I HC KHOA HC T NHIN
. I. KAZAKEVITS
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
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
9
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.
10
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
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)
F( x ) =
P( X = xi )
(1.1.2)
xi < x
Hnh 1.1
Hnh 1.2
(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)
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 .
mk [X ] = xik pi
(1.2.1)
mk [X ] =
f ( x )dx
(1.2.2)
M [ X ] hoc mx.
M [ X ] = xi pi
(1.2.3)
M [X ] =
x f ( x )dx
(1.2.4)
[ ]
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)
o k
o
k [X ] = mk X = M X = M ( X m x )k
(1.2.7)
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
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.
i vi i lng ngu nhin ri rc:
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 .
2k +1[X ] =
yf ( y + mx )dy =
yf ( y + mx )dy + 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
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
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)
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)
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.
f ( x ) = b a
0
(1.4.1)
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)
1
a+b
mx = xf ( x )dx =
xdx =
.
baa
2
(1.4.3)
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)
Dx = 2 =
( b a )2
.
12
(1.4.7)
Hnh 1.6
Hnh 1.5
x = Dx =
ba
2 3
(1.4.8)
19
E=
4
( b a )4 .144
3
=
3 = 1,2
4
80( b a )4
(1.4.9)
1
f(x)=
e
2
( x a )2
2 2
(1.5.1)
n
lim
3 [ X i ]
i =1
3 [ X ]
=0,
(1.5.2)
[ ]
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)
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)
Dx =
2 2
2 t 2
dt .
(1.5.7)
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)
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
k =
k 2 t 2
dt ,
(1.5.12)
k = (k 1) 2 k 2 ,
(1.5.13)
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)
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
22
1 a+ha
a h a
=
2 2
2
1 h
h
2 2
2
2
(1.5.18)
1
F (x ) =
2
dx =
xa
t 2
dt +
e t dt =
1
x a
1 +
2
2
(1.5.19)
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)
mx =
1
x 2e
2
0
x2
2 2 dx
(1.6.3)
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)
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)
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
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)
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:
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 .
F (+ , y ) = F2 ( y ) ,
vi F2(y) hm phn b ca i lng ngu nhin Y.
4. F (+ ,+ ) = 1 .
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)
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)
P(N D ) =
f ( x , y )dxdy
(1.7.6)
(D)
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)
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
F1 (x) = F(x,+ )
(1.7.10)
F2 ( y) = F( + , y )
(1.7.11)
F1 (x) = F(x,+ ) =
f ( x , y )dxdy
(1.7.12)
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:
(1.7.15)
f(x, y) = f1 (x)f(y/x)
(1.7.16)
f(x, y) = f 2 (y)f(x/y)
Hnh 1.15
(1.7.17)
Hnh 1.16
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
f(x/y) = f1 (x)
(1.7.20)
f(y/x) = f 2 (y)
(1.7.21)
(1.7.22)
(1.7.23)
f (x1 , x2 ,..., xn ) =
n F ( x1 , x2 ,..., xn )
x1x2 ...xn
(1.7.24)
(1.7.26)
f1 (x1 ) =
(1.7.27)
(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)
(1.7.30)
x1 x 2
F (x1 , x2 ,..., xn ) =
(1.7.31)
(1.7.32)
(D)
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
k ,s
ok os
= M X .Y
(1.8.2)
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)
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)
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
)]
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)
Rxy =
( x mx )( y m y ) f1( x ) f 2 ( y )dxdy =
rxy =
Rxy
x y
(1.8.14)
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)
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)
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)
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)
] [
D[c] = M (c - mc )2 = M (c - c)2 = 0
(1.9.2)
M [cX ] = cM [X ] ,
(1.9.3)
D[cX ] = c 2 D[X ] ,
(1.9.4)
M [cX ] =
] [
[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.
(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
(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)
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:
(1.9.13)
)]
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)
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.
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)
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)
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)
A=
1
ru
u2
,
B
=
,
C
=
1 r2
1 r2
1 r2
(1.10.5)
( 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)
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)
Rxy = r x y
(1.10.11)
Dx
Rij =
Rxy
D y
(1.10.12)
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)
36
(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)
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)
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)
37
1 rx1 x2
... rx1 xn
rxi xk =
... rx2 xn
...
(1.10.19)
...
1
(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 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)
Y = ( X ) ,
(1.11.1)
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
P( xo < X xo + dx ) = P( yo < Y yo + dy )
(1.11.2)
P( xo < X xo + dx ) = S x
(1.11.3)
P( yo < Y yo + dy ) = S y
(1.11.4)
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)
g ( y ) = f [( y )]( y ) .
(1.11.8)
nhnh: x1 = 1 ( y ), x 2 = 2 ( y ),..., xn = n ( y ) .
Khi t s kin:
yo < Y yo + dy ,
(1.11.9)
x1o < X < x1o + dx1 hoc x2o < X < x2o + dx2 ...
hoc
(1.11.10)
) (
P( yo < Y yo + dy ) = P x1o < X < x1o + dx1 + P x2o < X < x2o + dx2 + ... +
hoc
(1.11.11)
(1.11.12)
39
dx1
dx
dx
+ f ( x2 ) 2 + ... + f ( xn ) n ,
dy
dy
dy
(1.11.13)
(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)
X = (Y ) =
1
(Y b )
a
(1.11.16)
o hm hm ngc bng:
' ( y ) =
1
a
(1.11.17)
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 = 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
1
2 2x
khi y > 0
g ( y ) = 2y e
x
khi y < 0
0
(1.11.24)
Z = ( X ,Y ) .
Ta xc nh hm phn b ca i lng Z
(1.11.25)
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)
G (z ) =
f ( x , y )dxdy
(1.11.26)
( ( x , y )< z )
41
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)
[(x mx )
1
2 2
e
22
1
G(z ) =
2
( x + y <z )
+ y m y 2
dxdy
(1.11.29)
(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
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
(z cos mx )2 + (z sin m y )2 =
(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)
(1.11.36)
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)
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)
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
z
2 2
g (z ) = 2 e
khi z > 0
(1.11.44)
khi z < 0
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
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)
[ ] [
(1.12.6)
g x1 ( t ), g x2 ( t ),..., g xn ( t )
(1.12.7)
v gi s
n
X = Xk
(1.12.8)
k =1
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)
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)
(it )k k (it )k
g (t ) = M
X =
M Xk
k
!
k
!
k = 0
k = 0
[ ]
(1.12.12)
[ ]
g (t ) =
i k mk k
t
k =0 k!
(1.12.13)
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)
[ ]
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)
(1.12.18)
g (t )e itm x =
k =0
(it )k
k!
(1.12.19)
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
k =
1 d k e itm x g ( t )
ik
dt k
(1.12.21)
t =0
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)
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
46
(1.12.25)
m1 =
im
1 dg ( t )
= x e0 = mx
i dt t = 0
i
(1.12.26)
e itm x g (t ) = e itm x e
itm x
t 2 2x
2
=e
t 2 2x
2
(1.12.27)
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 ) =
(1.12.33)
(2)n
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
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
F (x ) = P( X < x )
(2.2.1)
(2.2.2)
(2.2.3)
F1 (x ,t ) = P[ X (t ) < x ] ,
(2.2.4)
(2.2.5)
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
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.
{[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)
mx ( t ) =
xf1( x; t )dx
(2.3.3)
m2 ,0 ( t ) = M
{[X ( t )] }
2
(2.3.4)
m1,1( t1 ,t2 ) = M [ X ( t1 ) X ( t2 )]
(2.3.5)
X ( t ) = X (t ) mx (t )
(2.3.6)
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 .
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)
Dx (t ) = M
{[X ( t ) m ( t )] }
x
(2.3.9)
Rx ( t1 ,t2 ) = M { [X ( t1 ) mx ( t1 )][X ( t2 ) mx ( t2 )] }
(2.3.10)
Rx ( t1 ,t2 ) =
(2.3.11)
Rx ( t1 ,t2 ) = Rx ( t2 ,t1 )
(2.3.12)
rx ( t1 ,t2 ) =
Rx ( t1 ,t2 )
,
x ( t1 ) x ( t2 )
(2.3.13)
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
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)
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)
m y (t ) = mx (t ) + (t )
(2.3.21)
{[
][
]}
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.
{ [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:
(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
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
(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)
mz (t ) = mx (t ) + m y (t )
(2.4.8)
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 )
(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
(2.4.11)
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
(2.4.14)
(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.
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)
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
hin
(2.5.1)
nhn c
f1 (x; t ) = f1 ( x; t t ) = f (x;0) = f1 (x )
(2.5.2)
= f 2 ( x1 , x2 ; t 2 t1 ) = f 2 (x1 , x2 ; )
(2.5.3)
mx (t ) =
(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)
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)
rx ( ) =
Rx ( ) R x ( )
=
Dx
Rx ( 0 )
(2.5.8)
Rx ( 0 )
=1
Rx ( 0 )
(2.5.9)
c bit
rx ( 0 ) =
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
(2.5.10)
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)
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
ai a j f ( ti t j ) 0
(2.5.12)
i =1 j =1
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
Rxy ( ) Rxy ( ) .
mx =
1
x( t )dt
T 0
(2.6.1)
[x( t ) mx ][x( t + ) mx ]
Rx ( ) =
1
T
(2.6.2)
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.
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 ,
mz (t ) = mx (t ) + m y = m x (t ) .
(2.6.3)
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)
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)
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)
{
}
= 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 ] } =
Bx ( ) = Bx ()
(2.7.3)
(2.7.4)
(2.7.5)
th t (2.7.2) ta c
lim Bx ( ) = 2 Rx ( 0 ) = 2 2x
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)
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
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.
Ta s xem rng i lng ngu nhin Y l gii hn ca hm ngu nhin X (t ) khi t to nu gii hn
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
s dng k hiu lim thng thng, nhng hiu theo ngha nu trn.
lim M
t t o
{[X ( t ) X ( t )] }= 0
o
(2.8.2)
Y ( to ) sao cho
lim
t 0
66
X ( to + t ) X ( to )
= Y ( to )
t
(2.9.1)
(2.9.2)
Y ( to ) =
dX ( t )
dt
t =to
(2.9.3)
dX ( t )
cng
dt
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)
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)
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
t1 0 t1
t1t2
t2
t2
= lim
ton hc mx l hng s, do
dmx
= 0,
dt
(2.9.8)
R y ( t1 ,t2 ) =
2 Rx ( ) Rx ( )
=
=
t1t2
t2 t1
dRx ( )
d 2 Rx ( )
,
=
t2 d
d 2
(2.9.9)
Rx ( ) = 2 e
, >0
(2.9.10)
l hm khng kh vi.
Thc vy,
2e khi > 0,
Rx ( ) =
2e khi < 0.
(2.9.11)
Rx ( ) = 2e , > 0
(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)
Rx ( ) = 2 e
2.
cos , > 0;
(2.9.15)
Rx ( ) = 2e cos , > 0;
3.
(2.9.16)
2
(2.9.17)
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
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)
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)
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)
Rxy ( t1 ,t2 ) =
=
M { [ X ( t1 ) mx ( t1 )] [X ( t2 ) mx ( t2 )] } =
t2
Rx ( t1 ,t2 ).
t2
(2.9.26)
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.
X ( tk )tk , trong
k =1
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
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)
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 ) = 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)
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
Y ( t ) = ( t , ) X ( )dt ,
(2.10.9)
lim
( t , k ) X ( k )k = Y ( t )
(2.10.10)
k 0 k =1
m y ( t ) = ( t , )mx ( )d
(2.10.11)
bb
(2.10.12)
aa
(2.11.1)
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)
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)
{
[
= 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 ) =
(2.11.9)
(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
(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
][
{[
]}
1 z2
(2.11.12)
(2.11.13)
(2.11.14)
Rz1 z 2 ( ) = Rz 2 z1 ( ) .
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
r r
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)
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)
(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)
r
r
r
r
2 ( ) = M [U ( ) mu ( )]2 = Du ( )
(2.12.7)
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)
r r
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
r r
r
Ru ( , ) = Du ( )
(2.12.9)
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.
r r
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 =
(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)
(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
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)
Ru ( l ) =
1
[u( x , y , z ) mu ][u( x + , y + , z + ) mu ]dxdydz (2.13.10)
v1 (
D )
1
{[
]}
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 ( ) .
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.
( )
[ ( )]
M U =0.
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)
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 ( )] }.
( )
(2.14.8)
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 =
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)
f ( t )dt
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
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.
X(t ) =
k
v cc bin ngu nhin X k .
T
X k e i k t .
(3.1.1)
k =
Rx ( t + ,t ) = M [X ( t + ) X * ( t )]
(3.1.2)
X ( t + ) = X k ei k (t + ) .
(3.1.3)
X * ( t ) = X *l e ilk t .
(3.1.4)
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 =
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
Hnh 3.1
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)
X (t ) =
( Ak cos k t + Bk sin k t )
(3.1.14)
k =0
( )
*
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
(k ) = (k ) (k 1 )
(3.2.1)
X (t ) eik t (k ),
(3.2.2)
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 (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)
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)
S x () =
1
Rx ( )e it d.
2
(3.2.12)
Dx = Rx (0 ) =
S x ()d.
(3.2.13)
Fx () =
S x ()d.
86
(3.2.14)
s x () =
S x ()
S x ()d
S x ()
.
Dx
(3.2.15)
rx ( ) =
sx ()e
it
d.
(3.2.16)
s x () =
1
rx ( )e it d.
2
(3.2.17)
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 () .
Rx ( ) = 2 S x () cos d.
(3.2.20)
S x () =
1
Rx ( ) cos d.
0
(3.2.21)
rx ( ) = 2 s x () cos d.
(3.2.22)
87
s x () =
1
rx ( ) cos d.
0
(3.2.23)
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
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)
Rx ( ) = e
, > 0 .
(3.2.28)
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 .
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 =
Hnh 3.3
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)
r ( ) = e
cos , > 0 .
(3.2.34)
89
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)
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)
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
r ( ) = e cos , > 0
2
4.
(3.2.38)
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)
r ( ) = e
5.
(3.2.41)
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)
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 () =
1
(1 cos 0 )
2 0
(3.2.47)
1
(1 cos 0 ) = 0
2
0
2
0
s (0 ) = lim
(3.2.48)
s () = 0 vi =
2k
, k = 1,2 ...
0
Hnh 3.6
I) =0,5, =2; II) =1, =1; III) =2, =0,5
92
2
1
r ( ) = 02
khi 0
(3.2.49)
khi > 0
s () =
2
1 2 cos d
0
0
(3.2.50)
s () =
1 1
sin 0 0 cos 0
2 2
0
(3.2.51)
Hnh 3.7
I) =0,5, =2; II) =1, =1; III) =2, =0,5
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
()
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)
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)
i vi trng ng nht ng hng trn mt phng, cc cng thc cho hm tng quan Ru (l ) v
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)
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)
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)
J=
k
1 l
e l sin( kl )dl + e l l cos( kl )dl
0
0
(3.3.21)
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
S (k ) =
k 2 + 2
(3.3.27)
R(l) = 2e l , > 0 .
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)
R(l ) = 2e
(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
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,
(t ) = L{ f (t )} .
(4.1.1)
L{cf (x )} = cL{ f (x )}
(4.1.2)
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.
Y (t ) = L{X (t )}
(4.1.4)
m y (t ) = L{mx (t )}
(4.1.5)
(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
[(
{[
][
]}
)(
)]
= M L(t1 ){X (t1 )} L(t1 ){mx (t1 )} L(t 2 ){X (t2 )} L(t 21 ){mx (t2 )} =
cn phi tm hm tng quan R y (t1 ,t2 ) theo cng thc (4.1.6), sau th vo n t1 = t2 = t.
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,
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.
1)
0
(t ) =
t0
t =0
(4.2.1)
(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
Hnh 4.1
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)
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)
L{ f (t )} = g (t , ) f () d
(4.2.9)
(t ) = g (t , ) f ( ) d
(4.2.10)
(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)
f (t ) =
S f () e
it
(4.2.13)
(4.2.14)
(t ) =
S () e
it
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)
G () =
1
g (t ) e it dt
2
(4.2.17)
[S () S f () .2G() ] e
it
d = 0
(4.2.18)
( ) . 2 G ( )
bng 0, v do
S () = S f () .2G () .
Hm
L() = 2G () =
g (t ) e
it
dt
(4.2.19)
(4.2.20)
S () = S f ()L()
(4.2.21)
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)
Y (t ) =
vi g (t ) l hm trng lng.
g (t )X ()d
(4.3.2)
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)
Y (t ) = g ( )X (t )d
(4.3.4)
vi g (t ) = 0 khi t < 0.
0
0
= g (1 ) g ( 2 )Rx (t2 t1 2 + 1 ) d 2 d1
0
(4.3.5)
Rx ( ) = g (1 ) g ( 2 )Rx ( 2 + 1 ) d 2 d1
(4.3.6)
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)
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
g (1 )e
i1
d1 = L * () l i lng
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.
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
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)
(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)
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
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 ) .
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 )
x(t ) = eit
(4.4.8)
y (t ) =
i
g (t )e d =
= eit
g ()e
g ()e
i(t )
d =
d = eit L()
(4.4.9)
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 :
n 1
n 1
m 1
m 1
it
it
=
(4.4.12)
L() =
(4.4.13)
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
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
B (i)
S y () = m
S x () .
An (i)
(4.4.16)
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)
S f () = c = const
106
(4.4.20)
S ()d .
Hnh 4.2
V (t ) =
1
F1 (t ) .
p+
(4.4.21)
L() =
1
.
i +
(4.4.22)
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 () =
S () =
2
2 + 2
R( ) = 2e
So snh vi (4.4.24) ta thy
c
2
2
, ta nhn c hm tng quan ca nghim
= c , t =
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 )
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
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)
k 2 = 2 + 2 , c =
2 2 k 2
(4.4.29)
Sy( ) =
2 + 2
2 2
2 2 2 2 + 4 2 2
(4.4.30)
R y ( ) = 2e
cos + sin .
(4.4.31)
= 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]
(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).
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)
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;
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.
(5.2.1)
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
(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
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
[ (
+ 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)
[ (
)]
+ 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
[ (
)]
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
(5.2.8)
Th vo (5.2.5) ta nhn c
n
(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
R y ( ) Rxy ( ) 0
(5.2.10)
Rx ( t 0 t k ) j Rx ( t j t k ) = 0 ,
k = 1,2,...n
(5.2.11)
j =1
2n ( 1 , 2 ,.... n ) = Rx ( 0 ) k Rx ( t0 tk ),
(5.2.12)
k =1
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)
(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 ) .
114
R x ( t 0 t k ) = 0.
(5.2.16)
j Rx ( t j t k ) = 0 ,
k = 1,2 ,....n.
(5.2.17)
j =0
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)
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
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
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
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)
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 =
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)
g1 (t ) = g (t ) + a(t )
(5.3.6)
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 ) +
(5.3.7)
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
(5.3.9)
hay
(
)
(
)
R
T
+
xz
g ()Rz (t )d dt = 0
0
0
(5.3.10)
Rxz (T + ) g ( )Rz (t )d = 0 , vi mi t 0
(5.3.11)
2 ( a ) = Rx ( 0 ) 2 g ( )Rxz ( T )d +
0
+ g ( 1 )g ( 2 )R z ( 2 1 )d1d 2 +
00
+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:
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
= Rx ( 0 ) 2 Rxz ( T + ) g ( )Rz ( t )d
0
0
(5.3.15)
00
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
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)
g( )e
d = L( )
(5.3.19)
g( )e
d = L * ( )
(5.3.20)
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)
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.
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)
Rz ( t ) =
i( t )
S z ( )d
(5.4.3)
Rxz ( t ) =
i t
S xz ( )d
(5.4.4)
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)
it
e [S xz ( ) S z ( )L( )]d = 0
(5.4.7)
S xz ( ) S z ( )L( ) = 0
(5.4.8)
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)
(5.4.12)
(5.4.13)
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.
Rxz ( t + ) =
i( t + )
S xz ( )d
(5.5.1)
i( t )
S z ( )d
(5.5.2)
Rz ( t ) =
g ( ) =
1
ei L( )d .
2
(5.5.3)
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)
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)
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 ( )
(5.5.7)
it
[L( )S ( ) e
z
iT
S xz ( ) d = 0 , khi t 0
(5.5.8)
f (t ) =
it
[L( )S ( ) e
z
iT
S xz ( ) d
(5.5.9)
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( )
ph di dng
S z () = S1 () S 2 () ,
(5.5.11)
123
(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)
( t ) =
L( )S2 ( )e
i t
d = 0 ,khi t < 0
(5.5.16)
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)
L() =
S ( )
1
e it xz 1 ei1 ( t +T )d1dt
S ( 1 )
2S 2 ( )
1
(5.5.19)
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
=
1
(
n
)!
2 [ ( a + ib )]n
khi t < 0
0
(5.5.20)
Nu b < 0 th
in
=
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)
Rx ( ) = De
(5.5.23)
Rz () = Rxz () = Rx () .
Sx( ) =
D
( 2 + 2 )
(5.5.24)
Do ,
S z () = S xz () = S x ( ) =
D
( 2 + 2 )
(5.5.25)
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)
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)
S z () =
1
D
( i )( + i )
(5.5.34)
S1 () =
1
,
( + i )
(5.5.35)
S 2 () =
D
( i )
(5.5.36)
v ly S 2 () l
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)
S x () =
=
D
2 + 2 + 2
=
( 2 2 2 )2 + 4 2 2
2 + 2 + 2
D
[ + ( + i )][ ( + i )][ + ( i )][ ( i )]
(5.5.41)
F () =
D
L( ) eiT ( 2 + 2 + 2 )
[ + ( + i )][ ( + i )][ + ( i )][ ( i )]
(5.5.42)
127
L( + i ) = ei( + i )T = e ( i )T ,
(5.5.43)
L( + i ) = ei( + i )T = e ( + i )T ,
(5.5.44)
L() i 2 + 2 = A + B ,
(5.5.45)
L() =
A + B
i 2 + 2
(5.5.46)
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)
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 + +
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)
1
eit d = ( t )
2
(5.5.52)
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)
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)
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)
S x () =
2 + 2
2 D
2 + 2 2 2 + 4 2 2
(5.5.58)
129
2 D
L( ) eiT
[ + ( + i )][ ( + i )]
F () =
( 2 + 2 )
[ + ( i )][ ( i )]
(5.5.59)
i sin T T
L() = cos T + sin T e T +
e
(5.5.60)
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)
sin T .e T
g (t ) = cos T + sin T e T ( t ) +
( t )
(5.5.63)
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)
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)
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)
F () =
(5.5.74)
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)
L()( i) = A + B ,
(5.5.78)
L() =
A + B
i
(5.5.79)
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)
L() =
c1 1 + 2 2 + i 1T
e
c3 1 + + i
(5.5.82)
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)
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)
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
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)
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
g( t ) = As e a s t + A( t ),
(5.6.12)
s =1
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)
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)
J 4 = A B j e
b j t
j =1
(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)
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)
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
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)
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
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)
Rxz ( ) = Rz () = Rx ( ) = De
(5.6.26)
Rx (t + T ) = g ( )Rx ( t )d,
t0
(5.6.27)
g (t ) = As e a s t + A( t )
(5.6.28)
s =1
g(t) = A(t ) .
(5.6.29)
T ng thc (5.6.22) ta c
A = e T
(5.6.30)
g (t ) = e T (t )
(5.6.31)
2 = Rx (0) e T De T = D 1 e 2T
(5.6.32)
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)
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)
2 2 + 2 2 2
sin Te
g (t ) =
2 + 2 T
2 + 2
sin T ( t )e T
+ cos T +
(5.6.41)
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
[ j]
(6.1.1)
~
~
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)
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)
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)
Hnh 6.1
Hnh 6.2
x
n j =1
~
Rx ( k ) =
trong k = kt ( k = 1, 2 , ..., m ) .
140
1
nk
(6.2.1)
nk
(6.2.2)
~
~ 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
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)
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
141
1
T
M [ (mx mx )
1
T
]dt .
(6.2.6)
~
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)
[ ]
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.
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)
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)
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
R ()
~
rz ( ) = 2x 2 .
x + y
(6.3.9)
~
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)
~ 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)
(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)
Bx ( ) + 2 2y 2 2xbx ( ) + 2 2y bx ( ) +
~
.
=
=
bz ( ) =
1+
2 2x + 2 2y
2 2x + 2 2y
(6.3.16)
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
2
~
= M Aa .
(6.3.19)
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
00
0
0
(6.3.21)
J = Rx ( )d dt
0
t1
(6.3.22)
J = T Rx ( )d Rx ( )d tRx ( T t )dt .
(6.3.23)
J = 2 ( T )Rx ( )d .
(6.3.24)
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)
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
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)
2R ( )
Dx
1 + ( 1 + 2 ) e 2 .
( T )
(6.3.32)
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
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
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)
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
~ 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
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.
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
(7.2.1)
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
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)
(7.2.5)
Hnh 7.2
Hnh 7.3
157
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
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)
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
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)
Du
bin thin trong phm vi 0,8 1,2.
Dv
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
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)
22 =
2
n2
RH ( k j ). .
(7.5.2)
j =1 k =1
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
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)
f ( t ) = ak k ( t ).
(8.1.2)
k =1
ak = f ( t )k ( t )dt ,
(8.1.3)
f n ( t ) = ak k ( t ).
(8.1.4)
k =1
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
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
k =1
k =1
= f 2 ( t )dt ( Ck ak )2 ak2 .
(8.1.8)
( 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
(8.1.9)
2
( t )dt l mt s hu hn,
th chui
ak2
k =1
k =1
ak2 f 2 ( t )dt
(8.1.10)
v n c gi l bt ng thc Bessel.
ng thc
k =1
ak2
= f 2 ( t )dt
(8.1.11)
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)
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( t ) X n ( t )]
n =
dt
(8.1.15)
[ ]
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
X ( t ) Ak k ( t )
(8.1.17)
k =1
k =1
2n = X 2 ( t ) Ak2 .
(8.1.18)
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
(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.
K ( x , s )( s )ds = ( x ) ,
(8.2.1)
K( x, s ) = K* ( s, x ) ,
(8.2.2)
K ( x, s ) = K( s, x ) ,
(8.2.3)
K ( x , s ) 0 ( s ) d s = 0 0 ( x ) ,
(8.2.4)
(8.2.5)
1( x ), 2 ( x ), ..., n ( x ) ...
(8.2.6)
167
f ( x ) = K ( x , s )h( s )ds ,
(8.2.7)
h( x ) ~
hk k ( x ) ,
(8.2.8)
k =1
f ( x ) = k hk k ( x ) ,
(8.2.9)
k =1
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)
aa
k =1
2
K ( x , s ) p( x )q( s )dxds 1 pk .
(8.2.14)
k =1
2
2
p ( x )dx = pk .
(8.2.15)
pk2 = 1.
(8.2.16)
k =1
K ( x , s ) p( x )q( s )dxds 1 .
(8.2.17)
aa
1( x ).
Thc vy, sau khi nhn hai v ng thc
(8.2.18)
aa
2
K ( x , s )1( x )1( s )dxds = 1 1 ( x )dx = 1 .
(8.2.19)
K ( x , s ) p( x ) p( s )dxds c cc i bng
1 khi p( x ) = 1( x ) .
aa
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
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
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
(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)
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)
n2 =
Rx ( t ,t )dt k
a
k =1
(8.3.10)
Rx ( t ,t )dt
a
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
Ak = X j kj .
(8.3.15)
j =1
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
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)
{ }
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
{ }
bk = Rij ik kj
i =1 j =1
(8.3.20)
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 .
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)
( 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
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
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)
{ }
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
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
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)
i =1
k =1
Rii = k
(8.3.39)
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
(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
trng lng. Khai trin nh thc (8.3.43), ta c th vit n di dng mt phng trnh i s i vi
(8.3.44).
= 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.
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
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
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
181
Hnh 9.2
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
12
13
14
15
0,25
0,21
0,10
16
17
10
18
19
20
0,14 0,05 0,47 0,06 0,30 0,10 0,06 0,10 0,14 0,11
Hnh 9.3
(9.2.1)
v = ( z )r0 cos ,
(9.2.2)
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 =
184
Hnh 9.5
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
186
Hnh 9.7
Hnh 9.8
u( t + m ) = A j v j
(9.2.4)
j =1
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
(9.2.5)
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)
(9.2.8)
J 2 J = J ( t ) 2 J ( t 1 ) + J ( t 2 ).
(9.2.9)
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
U ( t ) = U x2 ( t ) + U y2 ( t )
(10.1.2)
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)
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
Rk , j = M ( U k mk )( U j m j )
i vi h cc i lng ngu nhin ang xt, ta c:
(10.1.7)
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
u1 = u 2 = u3 = u 4 = 0
2
= 2 R12
+ R11R12 + m12 R22 + m22 R11 + 4m1m2 R12 + m12 m22 =
(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
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
f (u )=
1
e
2
( u m )2
2 2
khi u > 0
(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
m
2 , sai s ca php xp x phn b (10.1.11) bng phn b chun
Hnh 10.1
{[
] ] [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)
trong
m1 = m2 = m,
R11 = R22 = 2 ,
R12 = M [( U1 m1 )( U 2 m2 )] = Ru ( ) .
(10.1.21)
] [
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)
Ru ( ) = Rx2 ( ) + R y2 ( ) 2 m x2 Rx ( ) m 2y R y ( ) m2
(10.1.25)
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 ( t )Vi ( t + )]
(10.2.3)
(10.2.4)
v2i
(10.2.5)
00
(10.2.6)
2xi ( t
)=
2 v2i
dt ri ( )d .
0
(10.2.7)
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)
(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
(10.2.14)
2xi ( t ) v2i t 2 .
(10.2.15)
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
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
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).
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)
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
( )R( ) =
i
e
S ( 1 )Q( 1 )d1 d .
(11.1.6)
~
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)
{[
~
~
2 S ( ) = M S ( ) S ( )
(11.1.10)
{[
]]
] [
~
~
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)
, 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)
1 khi m ,
( ) =
0 khi > m .
(11.1.15)
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 .
khi m ,
0 ,51 cos
( ) =
m
0
khi > m .
(11.1.18)
5. Hm Parzen
q
1
( ) = m
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 .
~
Tng ng vi gi thit v tnh egoic, gi tr thng k ca hm tng quan R ( ) theo mt th hin
Rz ( ) = De
cos
(11.2.1)
cos cos B ,
(11.2.2)
hay
Rz ( ) = De
~
1
Sz( ) =
Rz ( ) cos d .
(11.2.3)
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)
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