MC LC

Trang ph ba
Li cm n
Mc lc
Li gii thiu
CHNG 1 : CC KHI NIM................................................................................. 1
1. 1 Vc t ngu nhin nhiu chiu ........................................................................... 1
1. 1. 1 Vc t ngu nhin nhiu chiu .................................................................... 1
1. 1. 1. 1 nh ngha .......................................................................................... 1
1. 1. 1. 2 Hm phn phi xc sut ..................................................................... 1
1. 1. 1. 3 Phn phi xc sut .............................................................................. 1
1. 1. 2 Vector trung bnh vector k vng............................................................. 2
1. 2 Ma trn hip phng sai..................................................................................... 5
1. 2. 1 Ma trn hip phng sai mu ...................................................................... 5
1. 2. 2 Ma trn hip phng sai tng th ................................................................ 6
1. 2. 3 Ma trn tng quan ..................................................................................... 7
1. 2. 4 Vector trung bnh - ma trn hip phng sai cho nhiu nhm con ca cc
bin ............................................................................................................ 10
1. 2. 4. 1 Hai nhm .......................................................................................... 10
1. 2. 4. 2 Ba hoc nhiu cc nhm hn............................................................ 14
1. 3 S kt hp tuyn tnh gia cc bin ................................................................. 15
1. 3. 1 Tnh cht ca mu...................................................................................... 15
1. 3. 2 Tnh cht ca tng th ............................................................................... 22
1. 4 Hm mt ca mt i lng ngu nhin nhiu chiu.................................. 24
1. 4. 1 nh ngha ................................................................................................. 24

1.4.2 Tnh cht................................................................................................24

1. 5 Phn phi i lng ngu nhin nhiu chiu ................................................... 24
1. 5. 1 nh ngha ................................................................................................. 24
1. 5. 2 Tnh cht .................................................................................................... 25

1. 6 Phn phi chun nhiu chiu............................................................................ 26

1. 6. 1 Hm mt phn phi chun mt bin..................................................... 27
1. 6. 2 Hm mt ca phn phi chun nhiu chiu.......................................... 28
1. 6. 3 Tng qut ha phng sai tng th ........................................................... 28
1. 6. 4 Tnh cht phn phi chun ca bin ngu nhin nhiu chiu.................... 30
1. 6. 5 c lng trong phn b chun nhiu chiu ............................................ 36
1. 6. 5. 1 c lng hp l ti a (MLE) ....................................................... 36
1. 6. 5. 2 Phn phi ca y v S ...................................................................... 38
CHNG 2 : C LNG KHNG CHCH TUYN TNH............................ 40
2. 1 M hnh thng k tuyn tnh tng qut hng y ........................................ 40
2. 2 c lng khng chch cho m hnh thng k tuyn tnh tng qut hng y
...................................................................................................................... 42
2. 2. 1 nh l 2.1 (Gauss Markov).................................................................... 42
2. 2. 2 B 2.1.................................................................................................... 43
2. 2. 3 H qu 2.1.................................................................................................. 44
2. 3 M hnh thng k tuyn tnh vi hng khng y ...................................... 46
2. 4 c lng khng chch cho m hnh thng k tuyn tnh hng khng y ..
.......................................................................................................................... 46
2. 4. 1 nh l 2.2 .................................................................................................. 46
2. 4. 2 B 2.2................................................................................................... 47
2. 4. 3 nh l 2.3 ( Gauss Markov ).................................................................. 48
2. 4. 4 c lng bnh phng b nht m rng ................................................. 49
2. 4. 5 T hp tuyn tnh tt nht ca thng k th t ......................................... 52
2. 5 ng dng trong m hnh c lng tham s hi quy nhiu chiu .................. 59
2. 5. 1 Hm hi quy tng th (PRF)...................................................................... 59
2. 5. 2 Dng ma trn ca hm hi quy.................................................................. 60
2. 5. 2. 1 Hm hi quy tng th PRF ............................................................... 60
2. 5. 2. 2 Hm hi quy mu SRF ..................................................................... 60
2. 5. 3 c lng bnh phng b nht thng thng (OLS) .............................. 61
2. 5. 3. 1 Gii thiu .......................................................................................... 61

2. 5. 3. 2 iu kin cn .................................................................................... 62
2. 5. 3. 3 Nghim h phng trnh chun ........................................................ 67
2. 5. 3. 4 iu kin ..................................................................................... 69
2. 6 Xy dng thut ton hi quy cho lp trnh trn my tnh................................. 72
2. 6. 1 Bi ton xy dng phng trnh siu phng hi qui. ................................ 72
2. 6. 2 Bi ton tnh h s tng quan ring ........................................................ 72
2. 6. 3 Bi ton hi quy tng bc ....................................................................... 73
2. 6. 4 M t phng php tnh ton..................................................................... 74
2. 6. 4. 1 Cc k hiu s dng ......................................................................... 74
2. 6. 4. 2 Phng php tnh ton...................................................................... 74
2. 6. 5 Xy dng hm tnh nh thc ca ma trn (sau s dng hm ny tnh
nh thc ca ma trn covarian L_Da) ...................................................... 75
2. 6. 5. 1 Phn 1 ............................................................................................... 75
2. 6. 5. 2 Phn 2 ............................................................................................... 76
2. 6. 5. 3 Xy dng hm tnh nh thc ca ma trn khi b i 1 hng 1 ct .......
.......................................................................................................... 77
2. 6. 6 Bi ton v tng quan ring..................................................................... 78
2. 6. 7 Bi ton v hi quy tng bc................................................................... 78
2. 6. 8 Lu thut ton ca ba bi ton nu trn................................................ 79
CHNG 3 : KIM NH GI THIT TRN VECT K VNG................... 82
3. 1 Mu thun gia kim nh nhiu chiu v mt chiu ...................................... 82
3. 2 Kim nh trn vi bit ...................................................................... 83
3. 2. 1 Nhc li kim nh n bin gi thit H 0 : = 0 vi bit........... 83
3. 2. 2 Kim nh nhiu chiu cho gi thit : H 0 : = 0 vi bit ........... 84
3. 3 Kim nh gi thit trn khi cha bit .................................................... 89
3. 3. 1 Nhc li kim nh n bin cho gi thit H 0 : = 0 khi cha bit ...
................................................................................................................... 89
3. 3. 2 T ca Hotelling kim nh gi thit H 0 : = 0 vi cha bit ....... 90
2

3. 4 So snh hai vetor trung bnh ............................................................................ 95

3. 4. 1 Nhc li hai mu mt chiu vi kim nh t Test ................................ 95

3. 4. 2 Kim nh T Test vi hai mu nhiu chiu ...................................... 96
2

3. 5 Kim nh trn tng bin ring l vi iu kin bc b gi thit H 0 bi

T 2 test ........................................................................................................ 100

2

3. 6 Thao tc tnh ton ca T - Thu c T t hi quy nhiu chiu............... 106

3. 7 Kim nh cc cp quan st ............................................................................ 108
3. 7. 1 Trng hp mt chiu ............................................................................. 108
3. 7. 2 Trng hp nhiu chiu .......................................................................... 110
3. 8 Kim nh thm thng tin............................................................................... 113
3. 9 Phn tch hnh th ........................................................................................... 118
3. 9. 1 Phn tch hnh th mt mu ..................................................................... 118
3. 9. 2 Phn tch hnh th hai mu ...................................................................... 121
CHNG 4: KIM NH GI THIT TRN MA TRN HIP PHNG SAI
...................................................................................................................................... 130
4. 1 Gii thiu........................................................................................................ 130
4. 2 Kim nh m hnh d kin cho ............................................................... 130
4. 2. 1 Kim nh gi thit H0: = 0 ............................................................. 130
4. 2. 2 Kim nh tnh cu .................................................................................. 132
4. 2. 3 Kim nh H 0 : = 2 (1 ) I+ J ............................................... 135
4. 3 So snh cc kim nh ma trn phng sai .................................................... 138
4. 3. 1 Kim inh phng sai bng nhau ............................................................ 139
4. 3. 2 Kim nh bng nhau cc ma trn hip phng sai nhiu chiu ............. 140
4. 4 Kim nh tnh c lp ................................................................................... 145
4. 4. 1 c lp ca hai vector con ...................................................................... 145
4. 4. 2 S c lp ca nhiu vectors con ............................................................ 147
4. 4. 3 Kim nh c lp cho tt c cc bin ..................................................... 151
Ti liu tham kho
Ph lc

Li Gii Thiu
c lng v kim nh l cc bi ton c ngha ln trong thng k. T mu
ngu nhin kho st c ta c th a ra nhng nhn nh st vi tng th c c
nhng d on tng i chnh xc v mt hin tng ca x hi hay cc bin ng
trong tng lai nc ta hin nay, phn tch thng k nhiu chiu cha c quan
tm mt cch ng k trong cc trng i hc v cao ng. c lng v kim nh
li l bi ton c ngha quan trng trong vic phn tch hi quy v phng sai nhiu
chiu. Bt ngun t nhng suy ngh trn, vi s hng dn ca Thy v s nghin cu
ca bn thn, tc gi xin c gii thiu lun vn thc s ca mnh vi ti :
c Lng v Kim nh Trong Thng K Nhiu Chiu.
Ni dung ch yu ca lun vn ny nhm gii thiu :
Hm g ( F ) no i vi n c c lng tuyn tnh khng chch. Tm trong lp
tt c cc c lng tuyn tnh khng chch ca g ( F ) c lng c phng sai
b u nht. T ng dng trong m hnh c lng tham s hi quy v xy
dng cc thut ton cho bi ton tm siu phng hi quy.
Cc kim nh gi thit ch yu l trn vector k vng v ma trn hip phng sai.
Phn tch lm ni r u im ca vic s dng kim nh nhiu bin trong
thng k nhiu chiu thay v s dng kim nh mt bin thng thng.
Da vo ni dung c bn trn lun vn gm bn chng vi b cc nh sau
Chng 1 : CC KHI NIM
Chng ny nhm gii thiu s lc v cc khi nim, thuc tnh ca bin ngu
nhin nhiu chiu. Gii thiu r v cc tnh cht ca phn phi chun nhiu chiu. y
l phn phi quan trng trong bi ton c lng v kim nh.
Chng 2 : C LNG KHNG CHCH TUYN TNH
Gii thiu cc nh l (Gauss Markov) v b dng gii quyt bi ton
c lng cho m hnh thng k tuyn tnh vi hng y v hng khng y .
T l thuyt c c ta xy dng m hnh ng dng c lng tham s hi
quy bng phng php bnh phng b nht. Sau l ng dng xy dng thut

ton tm phng trnh siu phng hi quy. Cui chng l s thut ton tm phung
trnh siu phng hi quy v hi quy tng bc.
Chng 3 : KIM NH GI THIT TRN VECT K VNG
Ta tm thy t chng ny cc kim nh gi thit H 0 : = 0 cho trng hp ma
trn hip phng sai bit hoc cha bit. Bi ton kim nh gi thit

H o : 1 = 2 vi i thit H1 : 1 2 tc l so snh hai vector trung bnh ca hai

mu ngu nhin nhiu chiu cng c trnh by chng ny. Hoc l bi ton kim
nh cc cp quan st t ghp ni hai mu nhiu chiu cng c tho lun kh k
trong chng ny
u im ca chng ny l cc phn u c xy dng t m hnh n chiu v
pht trin thnh m hnh a chiu, gip ngi c c th so snh u im ca kim
nh nhiu chiu so vi dng kim nh mt bin cho bi ton kim nh nhiu chiu.
ng thi cc v d c trnh by c th vi kt qu r rng lm sng t hn phn l
thuyt c trnh by.
Chng 4 : KIM NH GI THIT TRN MA TRN HIP PHNG SAI
Trong chng ny , bao gm ba loi hnh c bn ca kim nh gi thit : (1) m
hnh d kin ca ma trn hip phng sai, (2) hai hoc nhiu ma trn phng sai bng
nhau, v (3) chc chn thnh phn ca ma trn phng sai l 0, ko theo tnh c lp
tng ng ca cc bin ngu nhin (chun nhiu chiu). Trong hu ht trng hp,
chng ta s dng xp x t s hp l. Kt qu thng k kim nh thng lin quan n
t s xc nh ca cc ma trn hip phng sai mu vi gi thit khng v vi i
thit khc khng.
u im ca chng ny l bn cnh phn trnh by l thuyt u c km theo cc
v d rt c th vi cc kt qu rt r rng v c lin thng vi cc kt qu ca chng
1 v 3. iu ny gip chng ta c ci nhn r lin h gia cc bi ton kim nh vi
phng sai v cu trc ca ma trn hip phng sai.
Nhm gip lun vn cht ch hn v l lun , cui lun vn l ph lc cc bng tra
ca phn phi nh : phn phi chun, phn phi chi bnh phng, phn phi Student,
phn phi Fisher

Chng 1

CHNG 1 : CC KHI NIM

1. 1 Vc t ngu nhin nhiu chiu :
1. 1. 1 Vc t ngu nhin nhiu chiu
X = (X1 , X 2 ,..., X n ) : (, F, P) R n

X l hm o c, tc l nghch nh ca mi hnh hp u l tp thuc F .

1. 1. 1. 1 nh ngha
Th t trong R n : vi a = (a1 ,a 2 ,...a n ), b = (b1 , b 2 ,...b n ) R n , ta ni a b
nu i = 1, 2,..., n : a i bi
Hnh hp trong R n :
[a, b] = {x = (x1 , x 2 ,..., x n ) : a x b}

(a, b] = {x = (x1 , x 2 ,..., x n ) : a k < x k b k k = 1, 2,..., n}

1. 1. 1. 2 Hm phn phi xc sut

FX ( x ) := P { : X () < x } x

L hm n iu khng gim : x y FX (x) FX (y)

Lin tc phi, c gii hn tri :

x k x 0 FX (x k ) FX (x 0 ) ; x k x 0 FX (x k ) c FX (x 0 )

Tin ti 0 khi x j vi mt ch s j no

Tin ti 1 khi x +
1. 1. 1. 3 Phn phi xc sut

PX ((a, b]) :=

m j
n
jn

(1)

FX (b1m1 a11m1 ,..., b nmn a1nmn ) 0 a, b : a b

m{0,1}n

T nh ngha trn ta c th ni rng ra mt o XS trn R n

FX ( R n ) = 1

PX () = 0,

PX (R n A) = 1 PX (A)

A B ( R n )

__________________________________________________________________

PX (A B) = PX (A) + PX (B)

k =1

k =1

PX ( A k ) = PX (A k )

Chng 1

A, B B ( R n ), A B =

A1 , A 2 ,... B (R n ), A i A k = i k

* H qu :
Trong nghin cu cc i lng ngu nhin nhiu chiu, c th dng cc
o xc sut trn R n (phn phi XS ca LNNNC) thay cho o xc sut P trn
.
1. 1. 2 Vector trung bnh vector k vng :

Cho y l biu din ca mt vector ngu nhin p bin o c trn n v mu.

Nu n vectors ring l c quan st trong mu : y1 ,y 2 ,...,y n , th :

y1

y2
yi =


yp
Vector trung bnh mu y c th c th c tm tng t nh n vector c
quan st hoc c tnh bi trung bnh ca mi mt p bin ring l :

y1

n
y
1
y = yi = 2
n i =1

y
p
y c th nh : y 2 =

i=1 yi 2
n

(1.1)

n . Do y1 l trung bnh ca n quan st trn

bin u tin, y 2 l trung bnh ca bin th hai v c nh th.

Tt c n vector c quan st y1 , y 2 ,...,y n c th c chuyn v n vector
dng v c lit k trong ma trn Y nh sau

__________________________________________________________________

Chng 1

Cc bin
Cc bin

n
n v
v dng
dng

y n thng l ln hn p. D liu c sp xp theo dng bng bng vic truy

nhp vo cc vector quan st theo hng ch khng phi l theo ct. Ch rng ch
s di u tin i tng ng vi cc n v dng v ch s th hai j ch n cc
bin. Quy c ny s c mc nh cho bt k cc trnh by tng t .
C th b sung mt cch th 2 tnh y , ta c th c c y t Y . Ta tnh
tng n d liu vo t mi ct ca Y v chia cho n. iu ny c th c biu din
t hng dn sau :

j a1 j

a2 j
j' A = ai1 , ai 2 ,..., ai p , Aj = j
i
i
i

j an j

Vy nn ta c :
'

y =

1 '
jY
n

(1.3)

y j' l vector dng ca :

1

1
j=


1

__________________________________________________________________

Chng 1

Mt minh ha th hai ca j'Y l :

y12

y22 n

(1,1,...,1) = yi 2
i =1

y2 n
'

Ta c th bin i y thu c :

1
y = Y' j
n

(1.4)

By gi ta cp n tng th. Trung bnh ca y trn tt c cc gi tr c th

c trong tng th c gi l vector k vng l thuyt hoc l gi tr k vng ca y.
N c nh ngha nh l vector ca gi tr k vng ca mi mt bin.

y1 E ( y1 ) 1


E
y
y
(
)

2
2
2
E (y) = E =
= =

y
p E y p p

(1.5)

( )

y j l k vng l thuyt ca bin th j.

iu ny cho thy rng gi tr k vng ca mi mt y j trong y l j ,

( )

chnh l E y j = j , do gi tr k vng ca y (trn tt c cc gi tr ca mu) l

( )
( ) =

y1 E y1

y E y2
E y = E 2 =

y
p E yp

()

( )

2
=


p

(1.6)

Thnh ra y l mt c lng khng chch ca . Ta nhn mnh li, y s

khng bao gi bng ti

__________________________________________________________________

Chng 1

1. 2 Ma trn hip phng sai :

1. 2. 1 Ma trn hip phng sai mu :

( )

Ma trn hip phng sai mu S = s jk l ma trn ca cc phng sai v hip

phng sai mu vi p bin

( )

S = s jk

s11 s12

s21 s22
=

s p1 s p 2

s1 p

s2 p

s pp

(1.7)

Trong S, phng sai mu ca p bin nm trn ng cho ma trn. Tt c cc

hip phng sai xut hin ngoi ng cho chnh ca ma trn. Vi j dng (ct)
bao gm cc hip phng sai ca y j vi p - 1 bin khc.
Ta a ra hai cch tip cn thu c S. u tin l cc php tnh ring l
ca s jk . Phng sai mu ca phng sai ca bin j, s jj = s 2j c tnh bi cng
thc :

( y y)
=
n

s jj = s 2

i =1

Hoc l :

(1.8)

n 1

2
y
ny

i
= i =1
n

(1.9)

n 1

Nu dng ct j ca Y th :

1 n
s jj = s =
yij y j
n 1 i =1
2
j

2
1
2
yij n y j
n 1 i

(1.10)

(1.11)

y y j l trung bnh ca j cc bin.

Hip phng sai ca j x k cc bin, s jk c tnh bi :

__________________________________________________________________

Chng 1

sxy

( xi x )( yi y )
= i =1

(1.12)

sxy

xi yi nx y
= i =1

(1.13)

n 1

Hoc
n

n 1

Nu dng j v k ct ca Y th :

s jk =
=

1 n
yij y j
n 1 i =1

)( y

ik

yk

1
yij yik n y j y k

n 1 i

(1.14)

(1.15)

1. 2. 2 Ma trn hip phng sai tng th

Nu y l mt vector ngu nhin c ly t bt k mt gi tr no ca tng th

nhiu chiu , ma trn hip phng sai ca tng th c nh ngha l

11 12

21 22
= cov ( y ) =

p1 p 2

1 p

2p

pp

(1.16)

Ma trn hip phng sai tng th trn cng c th c tm nh sau :

= E ( y )( y )

'

(1.17)

Ma trn ( p x p) l ma trn ngu nhin. Gi tr c k vng ca mt ma

trn ngu nhin c xc nh nh l mt ma trn nhng gi tr c k vng ca
s tng ng cc phn t. Ta s thy c s xy dng ma trn phng sai hip
phng sai mu ca p chiu nh sau :

__________________________________________________________________

Chng 1

y1 1

y2 2
'

= E ( y )( y ) = E
y 1 , y2 2 ,..., y p p

p
p

y1 1 )
(

y y
(
2 )( 1
1)
= E 2

y (y )
1
1
p
p

( y1 1 )( y2 2 )

E ( y1 1 )

E y y
( 2 2 )( 1 1 )

E y p p ( y1 1 )

E ( y1 1 )( y2 2 )

11 12

21 22
=

p1 p 2

( y2 2 )

(y

p p

)( y

( y1 1 ) ( y p p )
( y1 1 ) ( y p p )

(y

2 2 )

E ( y2 2 )
E yp p

)( y

(
(

)
)

E ( y1 1 ) y p p

E ( y1 1 ) y p p

E yp p

p p

2 )

1 p

2p

pp

( )

V = E s jk = jk vi mi j v k nn ma trn hip phng sai mu S l mt

c lng khng chch ca :

E (S ) =

(1.18)

1. 2. 3 Ma trn tng quan :

Tng quan mu gia (j x k ) cc bin c nh ngha bi :

rjk =

s jk
s jj skk

s jk
s j sk

(1.19)

Ma trn tng quan mu l tng t ma trn hip phng sai vi s tng

quan trong khng gian ca cc phng sai.

__________________________________________________________________

( )

R = rjk

Chng 1

1 12

21 1
=

p1 p 2

1 p

2p

(1.20)

V d dng th 2, bao gm tng quan ca y2 vi mi thnh phn ca y

(bao gm c tng quan ca y2 vi chnh n, l 1). D nhin ma trn tng quan l
ma trn i xng, v rjk = rkj . Ma trn tng quan c th thu c t ma trn hip
phng sai, v ngc li,

Ds = diag

s11 , s22 ,..., s pp

= diag s1 , s2 ,..., s p
s

0
=

s
0

(1.21)

Ta c :

R = Ds 1SDs 1

(1.22)

S = Ds RDs

(1.23)

Tng t ma trn tng quan tng th v c nh ngha l :

( )

P = jk

1 12

21 1
=

p1 p 2

1 p

2 p

(1.24)

y :

jk =

jk
j k

__________________________________________________________________

Chng 1

V d 1.1 : Cho bng d liu sau, vi ba bin c o (mu th l 100g )ti mi

a im khc nhau y1=calcium trong t, y2=lng calcium c chuyn i,

y3=calcium c trong cy ci xanh.
a im

Bng 1.1 : Lng calcium trong t v trong cy ci xanh

tnh c ma trn phng sai mu cho ct d liu calcium ca bng. Ta

tnh tng bnh phng ca mi mt ct v tng cc kt qu mi cp ca ct, ta minh
ha php tnh ca s13 :

T cc cng thc trn ta d dng tnh c :

y1 = 28.1 v y 3 = 3.089
T cng thc (1.14) v (1.15), ta c :

Tip tc vi s tng t ta c c ma trn hip phng sai l :

c c ma trn tng quan vi d liu trn ta c th tnh ton ring l

bng cch dng cng thc ( 1.19) . Hoc c th dng trc tip t th thut ma trn :

__________________________________________________________________

10

Chng 1

R = Ds 1SDs 1
Ma trn ng cho chnh Ds c th tm bng cch ly cn bc hai trn cc
ng cho chnh ca ma trn S :

T ta c :

1. 2. 4 Vector trung bnh - ma trn hip phng sai cho nhiu nhm con
ca cc bin :
1. 2. 4. 1 Hai nhm :

Nhiu khi mt kho st no quan tm n hai dng khc nhau ca bin, c

hai cng c o trn mt n v mu. Mt s hnh vi c quan st trong lp hc
dnh cho sinh vin, v trong cng mt khong thi gian nht nh (cc n v c
bn thc nghim) mt s hnh vi ca gio vin cng c quan st. Kho st mun
nghin cu mi lin h cc bin ca hc sinh v cc bin ca gio vin.
Ta s biu din hai nhm vector bi y v x vi p bin trong y v q bin trong
x. V vy, mi mt vector quan st trong mu l c phn chia l :

yi1


y i yip
= , i = 1, 2,..., n
xi xi1


xp

S yy S yx
S=
S xy S xx

(1.25)

(1.26)

__________________________________________________________________

11

Chng 1

y S yy l (p x p), S yx l ( p x q ) , S xy l ( q x p) v S xx l (q x q). Cng cn

ch rng v tnh cht i xng ca S nn

S xy = S' yx

(1.27)

S yy S yx
S= '

S yx S xx

(1.28)

Vy nn, ta c th vit :

minh ha ta cho p = 2 v q = 3, ta c :

Cc mu trong mi S yy ,S yx ,S xy v S xx c biu din r rng trong minh

ha ny. V d dng u ca S yx l hip phng sai ca y1 vi mi x1 , x2 , x3 . Dng
th hai l biu din hip phng sai ca y2 vi ba bin ca x. Mt khc ta cng c
dng u ca S xy l cc hip phng sai ca x1 vi y1 v y2 v c th Nh
vy : S xy = S' yx
Tng t, i vi tng th kt qu ca vic phn chia cc vector ngu nhin l :

y E (y) y
E =
=
x E ( x ) x

(1.29)

yy yx
y
cov = =
xy xx
x

(1.30)

__________________________________________________________________

12

Chng 1

y xy = ' yx . Ma trn con yy l ma trn hip phng sai ( p x p) cha

phng sai ca y1 , y2 ,..., y p trn ng cho chnh v hip phng sai ca mi y j
v yk nm ngoi ng cho. Tng t nh vy, xx l ma trn hip phng sai
( q x q ) ca x1 , x2 ,..., xk . Ma trn yx l ( p x q ) v bao gm hip phng sai ca
mi y j vi mi xk . Ma trn hip phng sai yx th cng c biu din bi

cov ( y,x ) tc l :

cov ( y,x ) = yx

(1.31)

y
x

Cn ch s khc nhau trong ngha gia cov = trong cng thc

y
x

(1.30) v cov ( y,x ) = yx trong cng thc (1.31). cov bao gm mt vector
n cha p+q bin, v cov ( y,x ) th bao gm hai vector.
Nu x v y l c lp th yx = 0 . iu ny c ngha l mi mt bin y j
u

khng

tng

quan

vi

mi

xk

th

nn

y jxk = 0

cho

j = 1, 2,..., p; k = 1, 2,..., q .
V d 1.2:

Reaven v Miller (1979; Andrews v Herzberg 1985,

pp. 215-219) o lng nm bin so snh gia ngi bnh thng v ca bnh nhn
i tho ng . Trong Bng 1.2 ta ch xt mt phn d liu cho ngi bnh
thng. Ba bin chnh c quan tm l :

x1 = lng ng khng c dung np

x2 = isulin dng cn bng lng ng c ung
x3 = khng isulin
Thm hai b sung cc bin nh cng c quan tm l :

y1 = quan h trng lng

y2 =Lu lng ng huyt

__________________________________________________________________

13

Chng 1

S ngi
bnh

Bng 1.2 : Quan h gia nng Insulin vi cn nng v lng ng trong mu

__________________________________________________________________

14

Chng 1

Vector trung bnh c phn chia theo cng thc l :

Ma trn hip phng sai c phn chia nh trong phn tch trn s l :

Lu l ma trn S yy v S xx l cc ma trn vung, v S xy l ma trn chuyn

v ca S yx
1. 2. 4. 2 Ba hoc nhiu cc nhm hn :

Trong mt s tnh hung ba hay nhiu hn cc nhm rt c quan tm. Nu

vector y quan st c phn chia nh sau :

y1

y
y = 2,


yk
y y1 c p1 cc bin, y 2 c p2 ,,v y k c pk cc bin vi :

p = p1 + p2 + ... + pk
Vector trung bnh mu v ma trn hip phng sai c cho bi :

y1

y
y = 2

y
k

(1.32)

__________________________________________________________________

15

Chng 1

S11 S12

S 21 S 22
S ==

S p1 S p 2

V d nh ma trn con S 2 k

( p2 x pk )

S1 p

S2 p

S pp

(1.33)

bao gm phng sai v hip phng

sai ca cc bin trong y 2 vi cc bin trong y k .

Tng ng vi tng th ta c kt qu nh sau :

= 2 ,


k
11 12

22
= 21

k1 k 2

(1.34)

1k

2k

kk

(1.35)

1. 3 S kt hp tuyn tnh gia cc bin

1. 3. 1 Tnh cht ca mu :

Ta thng quan tm n s kt hp tuyn tnh gia cc bin y1 , y2 ,..., y p .Trong

phn ny chng ta s kho st trung bnh, phng sai v hip phng sai ca s kt
hp tuyn tnh.
Cho a1 , a2 ,..., a p l cc l h s v c xem nh l s kt hp tuyn tnh ca
cc yu t ca vector y,

z = a1 y1 + a2 y2 + ... + a p y p = a'y

(1.36)

__________________________________________________________________

16

Chng 1

y a' = a1 , a2 ,..., a p . Nu cng mt h s ca vector a c p dng cho

mi y i trong mu , ta c :

z i = a1 yi1 + a2 yi 2 + ... + a p yip = a'y i , i = 1, 2,...., p

(1.37)

Trung bnh mu ca z c th c tm thy bi trung bnh cng ca n gi tr

z1 = a'y1 , z2 = a'y 2 ,, zn = a'y n hoc l nh mt kt hp tuyn tnh ca y cc

vector trung bnh mu ca y1 ,y 2 ,...,y n .

1 n
z = zi = a'y
n i =1

(1.38)

Kt qu trn y l tng t nh kt qu trng hp n bin z = a y y

zi = ayi , i = 1,..., n
Tng t nh vy, phng sai mu ca zi = a' yi , i = 1,..., n c th c tm
nh l phng sai mu ca z1 , z2 ,..., zn hoc trc tip t a v S , y S l ma trn
hip phng sai ca y1 , y 2 ,...,y n

i=1(
n

sz2 =

zi z

n 1

= a'Sa

(1.39)

Ch rng sz2 = a'Sa l m hnh nhiu bin t kt qu n bin sz2 = a 2 s 2

y zi = a' yi , i = 1,..., n v s 2 l phng sai ca y1 , y2 ,..., yn
V phng sai l lun khng m, ta c sz2 > 0 v thnh ra a'Sa > 0 cho mi a.
Do t nht S l na xc nh dng. Nu cc bin l lin tc v khng quan h
tuyn tnh, v nu n-1> p (do S hng y ) th S c xc nh dng ( vi xc
xut l 1 )
Nu ta xc nh mt kt hp tuyn tnh khc w = b'y = b1 y1 + b2 y2 + ... + bp y p

y b' = b1 , b2 ,..., bp l vector h s ( hng s ) khc a' . V th hip phng sai

ca z v w c cho bi :

__________________________________________________________________

17

Chng 1

( zi z )( wi w) = a'Sb
= i =1
n

szw

n 1

(1.40)

Tng quan mu gia w v z sn sng nhn c l :

rzw =

szw
2 2
z w

s s

a'Sb

(a Sa )(b Sb )
'

'

(1.41)

Gi ta s biu din lun hai vector h s ( hng s ) a v b l a1 v a2 to

iu kin thun li v sau khi m rng nhiu hn hai vectors nh vy. Cho :

a1,
A= ,
a
2
v nh ngha:

a1' y z1
z = ' =
a y z2
2
V sau ta c th c nhn t y t biu din ca biu thc :

a1'
z = , y = Ay
a
2
Nu ta c lng hai chiu t z i cho mi p bin y i trong mu. Chng ta
nhn c z i = Ay i , i = 1, 2,..., n v gi tr trung bnh ca z trn mu c th c
tm thy t y :
'
z1 a1 y
z = =

'

z
2 a2 y

(1.42)

a1'
z == ' y = Ay
a
2

(1.43)

Ta c th dng (1.39) v (1.40) xy dng ma trn hip phng sai mu cho z :

__________________________________________________________________

18

sz2
1
Sz =
sz z
2 1

Chng 1

s z 1 z 2 a ' Sa
= 1 1
sz22 a'2 Sa1

a1' Sa 2

a'2 Sa 2

(1.44)

Bi v :

a1' Sa1
ASA = '
a Sa
2 1
'

a1' Sa 2

a'2 Sa 2

Yu t ny a n :

a1'
S z = ' S ( a1 , a 2 ) = ASA'
a
2

(1.45)

Kt qu hai bin trn c th sn sng m rng nhiu hn hai kt hp

tuyn tnh. Nu chng ta c k php bin i tuyn tnh, chng ta c th biu din
nh sau :

z1 = a11 y1 + a12 y2 + ... + a1 p y p = a1' y

z2 = a21 y1 + a22 y2 + ... + a2 p y p = a'2 y
zk = ak1 y1 + ak 2 y2 + ... + akp y p = a'k y
Hoc bng k hiu ma trn l :
'
'
z1 a1y a1
' '
z
a y a
z = 2 = 2 = 2 y = Ay

' '
zk a k y a k

y z l ( k x 1 ) chiu, A l ( k x p ) chiu, v y l ( p x 1 ) chiu ( chng ta quy

c l k p ). Nu z i = Ay i l nh tr cho tt c cc y i , i = 1,..., n iu ny cho
bi (1.38) Vectror trung bnh mu ca z l :

__________________________________________________________________

19

Chng 1

a1' y a1'
' '
a y a
z = 2 = 2 y = Ay

'
a y a'
k k

(1.46)

M rng t biu din (1.44) ta c ma trn hip phng sai mu ca z tr thnh :

a1' Sa1
'
a Sa
Sz = 2 1

a' Sa
k 1

(
(

a1' Sa 1 , Sa 2 ,

a' Sa , Sa ,
1
2
= 2

a'k Sa 1 , Sa1 ,

a1'
'
a
= 2 S a1 , a 2 ,

a'
k

a1' Sa k

a'2Sa k

'
a k Sa k

a1' Sa 2
a'2Sa 2
a'k Sa1

)
)

Sa k a'
1
Sa k a'2
= Sa1 , Sa 2 ,

'
Sa k a k

(1.47)

,Sa k

,a k = ASA'

(1.48)

Ch rng t (1.47) v (1.48) ta c :

tr ASA' = a 'iSa i

(1.49)

i =1

bin i tuyn tnh yu hn l :

z i = Ay i + b,

i = 1, 2,..., n

(1.50)

Vector trung bnh v hip phng sai mu c cho bi :

z = Ay + b

(1.51)

S z = ASA'

(1.52)

__________________________________________________________________

20

Chng 1

V d 1.3: Timn (1975, p. 233; 1980, p. 47) bo co v kt qu ca mt th

nghim y ch l tm kim tr li p t nm v tr trong mt ch . Cc

bin l thi gian p ng cho j p t y j

j = 1, 2,..., 5 . D liu c cho trong

Bng 1.3 sau:

S ch

Bng 1.3: Thi gian p ng cho nm p t ca mt ch

Nhng bin ny c quy c ( o trn cng mt n v tng t nh trung

bnh v phng sai ) v cc nh nghin cu c th mun kim tra mt s kt hp
tuyn tnh n gin. Xem xt cc kt hp tuyn tnh sau y l mc ch minh
ha :

Nu z l c tnh cho mi ca 11 quan st, chng ta c c

z1 = 288, z2 = 155,...., z11 = 146 vi trung bnh

z = 197.0

phng

sai

sz2 = 2084.0 . Ta cng c cng mt kt qu nh vy nu dng cng thc (1.38) v

(1.39) th vector trung bnh mu v ma trn hip phng sai cho d liu trn l :

__________________________________________________________________

21

Chng 1

K , v (1.38) nn ta c :

v t (1.39) :

By gi ta s nu ra mt t hp tuyn tnh th hai :

Trung bnh mu v phng sai ca w l :

w = b' y = 44.45 v sw2 = b'Sb = 605.67

Ma trn hip phng sai mu ca z v w c tnh bi (1.40) l :

sz w = a'Sb = 40.2
Tip tc dng cng thc (1.41)ta tm c tng quan ca z v w l :

By gi chng ta xt ba hm tuyn tnh :

Ta cng c th biu diu di dng ma trn nh sau :

__________________________________________________________________

22

Chng 1

hoc :

Vector trung bnh mu cho bi (1.46) l :

Ma trn hip phng sai mu c cho bi : S z = ASA' l :

Ma trn hip phng sai S z c th bin i n mt ma trn tng quan bi

cng thc (1.22):

y :

L nhn c t cn bc hai cc phn t trn ng cho chnh ca S z .

1. 3. 2 Tnh cht ca tng th :

Cc kt qu v s kt hp tuyn tnh trn c bn sao trong tng th. Cho

z = a'y y a l mt vector h s (hng s ). Trung bnh mu ca z s l:

__________________________________________________________________

23

Chng 1

( )

E ( z ) = E a'y = a' E ( y ) = a'

(1.53)

V phng sai ca tng th l :

z2 = var ( a'y ) = a' a

(1.54)

Cho w = b'y y b l vector h s (hng s) khc a. Hip phng sai tng

th ca z = a'y v w = b'y l :

cov ( z , w ) = z w = a' b

(1.55)

T cng thc tng quan ca x v y:

xy = corr ( x, y ) =

E ( x x )( y y )
xy
=
2
2
x y
E ( x x ) E ( y y )

Ta c tng quan tng th ca z v w l :

zw = corr ( a y,b y ) = zw =
z w
'

'

a' b

(a a )( b b )
'

'

(1.56)

Nu Ay l biu din cho nhiu kt hp tuyn tnh, vector trung bnh mu v

ma trn hip phng sai cho bi :

E ( Ay ) = AE ( y ) = A
cov ( Ay ) = A A'

(1.57)
(1.58)

Php bin i tuyn tnh tng qut hn z = Ay + b c vector trung bnh mu

v ma trn hip phng sai l :

E ( Ay + b ) = AE ( y ) + b = A + b

cov ( Ay + b ) = A A'

(1.59)
(1.60)

__________________________________________________________________

24

Chng 1

1. 4 Hm mt ca mt i lng ngu nhin nhiu chiu

1. 4. 1 nh ngha

Ta ni rng i lng ngu nhin nhiu chiu X l lin tc nu tn ti mt

hm s f : R n = (, ) n R + := [0, ) sao cho
xn

FX (x) =

x2

x1

f ( t )d t = ... f (t , t
1

,..., t n )dt1dt 2 ...dt n

x = (x1 , x 2 ,..., x n ) R n

Lc hm f c gi l hm mt (XS) ca vc t NN X .

1. 4. 2 Tnh cht
b

bn

b 2 b1

i) PX ((a, b]) = f ( t )d t = ...

a

an

f (t , t
1

,..., t n )dt1dt 2 ...dt n

a,b R n

a 2 a1

ii) E(X) = t .f ( t )d t

iii) Var(X) = ( t E(X)).( t E(X))T .f ( t )d t

1. 5 Phn phi i lng ngu nhin nhiu chiu :

1. 5. 1 nh ngha

Cho X = (X1 , X 2 ,..., X n ) l mt i lng ngu nhin nhiu chiu. V hm

mt xc sut kt hp ca chng l fX(X1, X2, , Xn). Tng t nh trc y,
chng l c lp nu hm mt xc sut chung l tch ca mi hm mt xc
sut ring l. V vy, chng ta c
fX(X1, X2, , Xn) = fX1(X1) . fX2(X2) . . . fXn(Xn)
Trong trng hp c bit khi mi gi tr x c phn phi ging nhau v c lp
ln nhau, chng ta c
fX(X1, X2, , Xn) = fX(X1) . fX(X2) . . . fX(Xn)
Trong fX(x) l hm phn phi chung ca mi gi tr x.

__________________________________________________________________

25

Chng 1

1. 5. 2 Tnh cht :

a. Nu a1, a2, , an l hng s hoc khng ngu nhin th

E[a1X1 + a2X2 + . . . + anXn] = a1E(X1) + a2E(X2) + . . . + anE(Xn).
Gi tr k vng ca mt t hp tuyn tnh cc s hng bng t hp tuyn
tnh ca mi gi tr k vng ring l.
b. Nu mi Xi u c gi tr trung bnh bng nhau th E(Xi) = , chng ta c
E (a i .X i ) = a i

c bit, nu tt c h s ai u bng nhau v bng (1/n) th chng ta c:

x
E i = E (X ) =
n

Gi tr k vng ca gi tr trung bnh ca cc bin ngu nhin c phn

phi ging nhau s bng gi tr trung bnh chung ca chng.
c. Var (a i .Xi ) = i a i2 .Var ( x i ) + a i .a j cov ( Xi .X j )
i j

trong cc h s ai c gi thit l hng s hoc khng ngu nhin.

d. Nu tt c cc bin X1, X2, , Xn u c lp th mi cp tng quan ij
v hip phng sai s bng 0 hay Cov(xi, xj) = 0 = ij vi mi i j.
e. T (c) v (d) ta c th rt ra kt lun rng khi bin x c lp th

Var (a i .X i ) = i a i2 .Var ( x i )
v s hng hip phng sai s khng tn ti na.
Do , phng sai ca tng cc bin ngu nhin c lp s bng tng cc
phng sai. c bit, nu tt c cc gi tr phng sai u bng nhau,
ngha l Var (X i ) = 2 vi mi i th

__________________________________________________________________

26

Chng 1

Var (a i .X i ) = 2a i2

f. Nu tt c cc X1, X2, . . ., Xn u l bin ngu nhin c lp ngha l tp

bin X i c phn phi chun vi gi tr trung bnh i v phng sai i2 hay
c th hin bng k hiu X i ~ N(i, i2 ) th t hp tuyn tnh ca tp
bin x cho trc c dng
a1X1 + a2X2 + . . . + anXn
cng s c dng phn phi chun vi gi tr trung bnh l
a1 1 + a2 2 + . . . + an n
v gi tr phng sai l a1212 + a 2222 + .... + a 2n 2n .
Trong k hiu php ly tng, chng ta c th vit nh sau
U = (a i X i ) ~ N (a i i ), (a12i2 )

g. Nu tt c cc X1, X2, . . ., Xn u c lp v c phn phi ging nhau tun

theo phn phi chun N(, 2 ) th gi tr trung bnh ca chng l
1
X = X i s c dng phn phi chun vi gi tr trung bnh bng v
n

phng sai bng

n (X )

2
2
, ngha l X ~ N , . Tng t, chng ta c z =
n
n

~ N(0, 1).

1. 6 Phn phi chun nhiu chiu :

a s kim nh ca bin ngu nhin mt chiu v cc khong tin cy da trn

phn phi chun n chiu. Tng t nh vy, phn ln cc phng php ngu
nhin a chiu c phn phi chun nhiu chiu nh chnh nn tng c s ca n.
C nhiu ng dng hu ch cho phn phi chun nhiu chiu. Phn phi c
th c m t bng cch s dng : trung bnh, phng sai v hip phng sai.

__________________________________________________________________

27

Chng 1

th ca bin ngu nhin hai chiu c xu hng biu th tuyn tnh. Hm tuyn tnh
ca bin ngu nhin nhiu chiu c phn b chun thng l chun tc. Nh trong
trng hp mt chiu biu hin thun li ca hm mt l mn chnh n lm
ngun gc cho nhiu tnh cht v cc kim nh thng k. Thm ch khi d liu
khng phi l chun tc nhiu chiu th chun tc nhiu chiu c th x l bng cc
xp x c li. c bit l trong nhng kt lun lin quan n vector trung bnh mu,
thng c xp x chun tc nhiu chiu bi nh l gii hn trung tm.
Khi hm mt chun nhiu bin c m rng t hm mt chun mt
chiu n c tha hng nhiu tnh cht c trng. Ta s nhc li hm mt ca
phn phi chun mt bin trong mc 1.6.1 v sau s m rng m t hm mt
phn phi chun ca bin ngu nhin nhiu chiu trong mc 1.6.2. Cc mc cn
li ca chng dnh cho vic nghin cu m rng cc tnh cht ca phn phi
chun nhiu chiu.
1. 6. 1 Hm mt phn phi chun mt bin :

Nu mt bin ngu nhin y, vi trung bnh v phng sai 2 , c phn phi

chun th hm mt ca n c cho bi cng thc :

f ( y) =

1
2

2
y
e( )

2 2

, < y<

(1.61)

Khi bin y c hm mt (1.61), ta ni rng y c phn phi chun N ( , 2 ) .

Hm s ny thng c biu din minh ha bi th hnh qu chung trong hnh
1.1 khi cho = 10 v = 2.5

Hnh 1.1 : th hm mt phn phi chun

__________________________________________________________________

28

1. 6. 2

Chng 1

Hm mt ca phn phi chun nhiu chiu

Nu bin y c phn phi chun nhiu chiu vi vector trung bnh v ma

trn hip phng sai , hm mt c cho bi :

f (y) =

1
2

12

( y ) 1 ( y ) 2
'

(1.62)

y p l s lng cc bin trong y c mt (1.62) ta ni y c phn phi

N p ( , ) hoc n gin y l N p ( , ) .

( ) ( y ) trong s m ca hm mt phn

S hng ( y ) 2 = ( y ) 2
2

phi chun mt chiu l bnh phng khong cch t y n , n v lch

chun . Tng t nh vy s hng ( y ) 1 ( y ) trong s m ca hm mt
ca phn phi chun nhiu chiu l bnh phng khong cch suy rng t y n
hoc khong cch Manhalanobis

2 = ( y ) 1 ( y )
'

(1.63)

Khong cch ng bin vi s lng ca p bin.

1

H s ca hm m (1.62) , 2 xut hin nh s tng t ca 2 trong (1.61).

1. 6. 3 Tng qut ha phng sai tng th :

Ta bit rng S nh l mt tng qut ha phng sai mu. Tng t l

tng qut ha phng sai tng th. Nu 2 l b trong phn phi chun mt bin,
th gi tr y tp trung gn trung bnh . Tng t gi tr nh ca trong trng hp
nhiu chiu chng t rng y , s tp trung gn trong khng gian p chiu hoc l cc
a cng tuyn tnh gia cc bin.

__________________________________________________________________

29

Chng 1

S hng a cng tuyn tnh ch ra tng quan cao gia cc bin. Trong
trng hp c li s bc t hn p.

(a)

nh

(b)

ln

Hnh 1.2 : Mt ca phn phi chun hai chiu

Trong s hin din ca a cng tuyn tnh mt hoc nhiu hn gi tr ring ca

ma trn s gn 0 v s nh nh vy l kt qu ca cc gi tr ring.
Hnh 4.2 cho thy rng, trong trng hp hai chiu, mt php so snh ca mt phn
b vi nh v mt phn b vi ln hn. Mt cch khc biu din mt
tp trung cc im trong phn phi chun hai chiu l biu ng vin. Hnh 4.3
biu din biu ng vin cho phn phi hai chiu hnh 4.2 . Mi mt ellipse
bao hm mt t l khc nhau gia cc vector y c quan st.. Mt ct ca mt
chun hai bin mt vng ca ellipse l ni bao gm cc t l cc quan st.

(a)

nh

(b)

ln

Hnh 1.3: Biu ng vin cho cc phn phi trong hnh 1.2

__________________________________________________________________

30

Chng 1

c Hnh 1.2 v 1.3, nh xut hin hnh bn tri v ln hn xut hin

hnh bn phi. Trong Hnh 1.3a c s tng quan cht hn gia y1 v y2. Trong
Hnh 1.3b phng sai ln hn. Trong thc t cho mt p bin bt k, Nu gim s
tng quan gia cc bin hoc l tng phng sai th dn ti mt ln hn.

Hnh 1.4 : th hm mt phn phi chun hai chiu

1. 6. 4 Tnh cht phn phi chun ca bin ngu nhin nhiu chiu :

Di y l mt s tnh cht ca vector ngu nhin y (p x 1) c phn phi

chun

N p ( , ) :

1 Tnh chun tc ca kt hp tuyn tnh cc bin trong y :

(a). Nu a l mt vector h s

( hng s ),th hm tuyn tnh

a'y = a1 y1 + a2 y2 + ... + a p y p l chun n bin :

Nu y l

N p ( , ) th a'y l N p ( a',a' a )

__________________________________________________________________

31

Chng 1

Trung bnh v phng sai ca a'y c cho bi cng thc (1.53) v (1.54).

( )

Nh vy th E a'y = a' v cov ( Ay ) = A A' cho bt k mt vector ngu

nhin y. By gi chng ta c thm thuc tnh a'y c phn phi chun nu y c
phn phi

N p ( , )

(b). Nu A l ma trn h s (q x p) c hng l q. y q p , q dng kt hp

tuyn tnh trong Ay c phn phi chun nhiu chiu :
Nu y c phn phi

N p ( , ) th Ay c phn phi N p ( A, A' A )

y mt ln na nhc li E ( Ay ) = A v cov ( Ay ) = A A' nhng by

gi c thm cc tnh nng ca q bin trong Ay vi phn phi chun nhiu
chiu.
2 Bin c chun ha :
Chun ha vector z c th t c bng hai cch sau :

z = (T)

(y )

(1.64)

y = T'T l ch s c dng bi phng php Cholesky hoc :

z = 1 2

) (y )
1

(1.65)

y 1 2 l cn bc hai ca ma trn i xng ca c xc nh bi

A1 2 = CD1 2C' . Nh vy m = 1 2 1 2 . Trong c hai cng thc (1.64) v

(1.65) vector ca bin ngu nhin c chun ha c tt c trung bnh bng 0
v phng sai bng 1 v tt c cc h s tng quan bng 0. Trong c hai trng
hp t (1b) ta thy z c phn phi chun nhiu chiu :
Vy nu y l

N p ( , ) th z l N p ( 0, I )

3 Phn phi chi ( khi )- bnh phng:

__________________________________________________________________

32

Chng 1

Mt bin ngu nhin chi-bnh phng vi p bc t do c xc nh nh l

tng bnh phng p bin ngu nhin chun c lp. V vy, nu z l vector
c chun ha xc nh nh trong (1.64) v (1.65) th

j=1 z 2j = z'z c phn

p

phi 2 vi p bc t do, k hiu l 2p hoc 2 ( p ) . T mt trong hai cng

thc (1.64) v (1.65) ta c c z 'z = ( y ) 1 ( y ) . Do ,
'

Nu y c phn phi

N p ( , ) th ( y )' 1 ( y ) c phn phi 2p . (1.66)

4 Tnh chun tc ca phn phi bin duyn :

(a). Bt k mt nhm con no ca y u c phn phi chun nhiu chiu, vi vector
trung bnh tng ng vi vector con ca v ma trn hip phng sai tng
ng vi ma trn con ca . minh ha iu ny, cho vector

y1 = ( y1 , y2 ,..., yr ) l vector con ny cha r phn t u ca y v

'

y 2 = ( yr +1 ,..., y p ) bao gm p r phn t cn li. Nh vy y, v c

'

phn chia nh sau :

12
y

y = 1 , = 1 , = 11

y2
2
21 22
y y1 v 1 l ( r x 1) v 11 l ( r x r ). Nh vy y1 l c phn b chun
nhiu chiu.
Vy nu y l

N p ( , ) th y1 l N r ( 1 , 11 )

Cng cn nhc li l ta c E ( y1 ) = 1 v cov ( y1 ) = 11 c nh cho bt k

mt vector ngu nhin no c phn chia theo cch ny. Nu y l ngu nhin
p bin phn b chun th y1 l r bin phn b chun.

__________________________________________________________________

33

Chng 1

(b). Mt trng hp c bit ca cc kt qu trc, vi mi y j trong y c phn

phi chun n :
Nu y l

N p ( , ) th y j l N ( j , jj ) , j = 1,2,..., p

Cch o vn ny khng thc s ng. Nu mt ca mi mt y j trong y

l phn b chun th khng nht thit y phi l phn b chun nhiu chiu theo
nh trn.
Trong ba tnh cht tip theo, ta cho mt vector c quan st v phn chia
thnh hai vector ph c k hiu bi y v x , y y l (p x 1)v x l (q x 1).
Hoc, ngoi ra, cho php x l i din cho mt s b sung cng xt vi cc
bin trong y. T kt qu trc ta c :

y y
y yy yx
E = , cov =

x x
x xy xx
Trong tnh cht 5, 6, 7, chng ta gi thit rng :

y yy yx
y
l
N

,
p + q
x

x xy xx
5 Tnh c lp :
(a). Nu Vector con y v x l c lp th yx = 0
(b). Hai bin ring l y j v yk c lp nu jk = 0 . Ch rng iu ny khng
thc s ng cho cc bin ngu nhin khng c phn b chun.
6 Phn b c iu kin :
Nu y v x khng c lp, tc l yx 0 phn phi c iu kin ca y i vi
x, f ( y x ) l phn b chun nhiu chiu vi :

E ( y x ) = y + yx xx1 ( x x )

(1.67)

cov ( y x ) = yy yx xx1 xy

(1.68)

__________________________________________________________________

34

Chng 1

Ch rng E ( y x ) l mt vector ca cc hm tuyn tnh ca x, trong khi

cov ( y x ) l mt ma trn khng ph thuc vo x. Xu hng tuyn tnh trong

cng thc (1.67) c nh cho bt k cc cp bin. Nh vy ta c th dng cng
thc trn kim tra tnh chun tc, kim tra th phn tn hai chiu ca tt c
cc cp bin v cng xem xt bt k mt xu hng phi tuyn no. Trong cng
thc (1.67) ta c c s iu chnh trong vic dng phng sai v tng quan
o s lin h gia hai bin ngu nhin c phn b chun. Nh trnh by
phn trc hip phng sai v tng quan ch tt cho vic o mi lin h ca
cc bin c xu hng tuyn tnh v thc t s khng ph hp cho bin ngu
nhin phi chun vi mi lin h phi tuyn. Ma trn yx xx1 trong cng thc
(1.67) c gi l ma trn ca cc h s hi quy (matrix of regression
coefficients) bi v n lin h t E ( y x ) n x.

7 Phn phi ca tng ca hai vector ph :

Nu y v x c cng c (p x 1) v c lp th :

y + x l N p ( d + d , yy + xx )

(1.69)

y x l N p ( d d , yy + xx )

(1.70)

Trong phn cn li ca mc ny, ta s minh ha trng hp c bit ca tnh

cht 6 ca phn b chun hai bin. Cho

y
u=
x
C phn phi chun hai bin vi :

y
E (u ) = ,
x

y2 yx

cov ( u ) = =
yx x2

T nh ngha f ( y x ) = g ( y, x ) h ( x ) y h ( x ) l hm mt ca x v

g ( y, x ) l hm mt kt hp ca y v x. Do :

__________________________________________________________________

35

Chng 1

g ( y, x ) = f ( y x ) h ( x )
V bi v bn phi l mt tch s. Chng ta c gng tm kim mt hm ca y v
x, hm ny th c lp vi x v mt ca n c chc nng nh l f ( y x ) .

T hm tuyn tnh ca y v x l chun tc bi tnh cht (1a) , ta c th xem

y x nh th. Ta s c gng tm gi tr ca sao cho y x v x l c

lp vi nhau.
Khi m z = y x v x l chun tc v c lp th cov ( x, z ) = 0 tm

cov ( x, z ) ta biu din x v z nh l hm s ca u,

y
x = ( 0, 1) = ( 0, 1) u = a'u ,
x

z = y x = (1, ) u = b'u
By gi :

cov ( x, z ) = cov a'u, b'u = a' b [t cng thc (1.55)]

y2 yx 1

2 1

,
= ( 0, 1)

=
= yx x2
xy
x

2
yx x

Khi cov ( x, z ) = 0 ta thu c = yx x2 v z = y x tr thnh :

z= y

yx
x
x2

Bi v tnh cht (1a) , mt ca y yx x2 x l chun tc vi :

E y yx2 x = y yx2 x
x
x

var y yx2
x

x = var b'u = b' b

( )

__________________________________________________________________

36

Chng 1

1
2
yx y yx

yx = y2 yx2
= 1, 2
x yx x2 2
x

x
i vi mt gi tr ca x, chng ta c th biu din y nh sau

y = x + ( y x ) y x l i lng c nh tng ng vi gi tr ca x
v y x l phn tn ngu nhin. Nn f ( y x ) l chun tc, vi :

E ( y x ) = x + E ( y x ) = x + y x = y + x x
var ( y x ) = y2

yx
x2

1. 6. 5 c lng trong phn b chun nhiu chiu :

1. 6. 5. 1 c lng hp l ti a (MLE) :

Khi mt phn phi l phn b chun nhiu chiu c gi nh c nh cho

mt tng th, c lng cc tham s thng c tm bi phng php hp l cc
i. K thut ny da trn tng n gin, cc vector c quan st y1 , y 2 ,..., y n
c xem nh l bit trc v gi tr ca v c tm nh mt ti a ha
mt ng thi ca y c gi l hm hp l. Cho mt phn b chun nhiu
chiu th c lng hp l ti a ca v l :

=y
'
1 n
1
n 1
= yi y yi y = W =
S
n i =1
n
n

)(

y W = y i y y i y

)(

'

(1.71)
(1.72)

v S l ma trn hip phng sai mu c nh ngha

bi cng thc (1.7) Khi c s chia l n thay v n 1, n l mt c lng chch

v ta thng dng S thay th

__________________________________________________________________

37

Chng 1

By gi ta cho mt vector y c hiu chnh v xem nh l mt c lng

hp l ti a ca V y i t cu to ca mu ngu nhin, chng c lp, v mt
ng thi l tch ca cc mt ca y . Hm hp l s l :
n

i =1

i =1

L ( y1 , y 2 ,..., y n , , ) = f ( y i , , ) =
=

np

( 2 )

( y ) 1 ( y ) 2
e i =1
n

n2

'
( y ) 1 ( y ) 2
e
12

'

(1.73)

thy rng = y ti u l hm hp l. Chng ta bt u bi vic cng tr

y trong cng thc m (1.73) :

,

1 n
y i y + y 1 y i y + y
2 i =1

Khi iu ny c khuyt i trong cc s hng ca y i y v y hai trong

bn kt qu ca cc s hng b trit tiu bi v

L=

np

( y y ) 1( yi y )
e i =1 i

n2

i ( y i y ) v (4.13) tr thnh :

'

V 1 l xc nh dng, ta c

(
0<e

'

'

2 n y 1 y 2

'

(1.74)

n y 1 y 2 0 v

) 1 ti u ha xy ra khi s m l 0, lc ny L c ti u

n y 1 y 2

ha khi = y
c lng hp l ti a ca ma trn tng quan tng th P [ xem cng thc
(1.24)] l :

P = R

__________________________________________________________________

38

Chng 1

Mi quan h gia cc bin chun nhiu chiu l tuyn tnh, iu ny c

cp phn trc. Nh vy S v R ch phc v tt cho phn b chun nhiu
chiu. Bi v chng ch o c trong mi quan h tuyn tnh [ xem mc 1.6.4].
Nhng c lng ny khng hu ch cho cc phn b phi chun.
1. 6. 5. 2 Phn phi ca y v S :

Xy dng phn phi ca y =

i=1 y i
n

n ta c th chia thnh hai trng hp :

1- Khi y da trn c s mu ngu nhin y1 , y 2 ,..., y n t phn phi chun nhiu

chiu

N p ( , ) , th y c phn phi N p ( , n ) .

2- Khi y da trn c s mt mu ngu nhin y1 , y 2 ,..., y n t phn phi phi

chun nhiu chiu tng th vi vector trung bnh v ma trn hip phng
sai , vi rng n, y c xp x

N p ( , n ) . R hn na, kt qu ny

c bit nh l nh l gii hn trung tm nhiu chiu : Nu y l vector

trung bnh ca mt mu ngu nhin y1 , y 2 ,..., y n t mt tng th vi vector
trung bnh v ma trn hip phng sai , th khi n , phn phi ca

n y xp x N p ( 0, )

p
2

C p bin trong S v hip phng sai, cho tng cng c :

p ( p 1) p ( p + 1)
p
=
p+ = p+
2
2
2

u vo khc bit nhau. Phn phi ng thi ca p ( p + 1) 2 cc bin khc nhau
ny trong W = ( n 1) S =

i (

)(

yi y yi y

'

l phn phi Wishart, k hiu l

W p ( n 1, ) y n 1 l s bc t do.

__________________________________________________________________

39

Chng 1

Phn phi Wishart c s chiu tng t nh phn phi 2 v n c s

dng mt cch tng t. Trong tnh cht 3 mc 1.6.4 , phn phi 2 ca mt bin
ngu nhin c nh ngha l tng bnh phng ca cc bin ngu nhin chun c
lp :
n

z =
i =1

2
i

i =1

( yi )

Nu y c thay th cho th

l phn phi 2 ( n )

( y y)
i

2 = ( n 1) s 2 2 c phn

phi 2 ( n 1) . Tng t cng thc xc nh ca bin ngu nhin c phn b

Wishart :
n

( y i )( y i )
i =1

'

l W p ( n, )

y y1 , y 2 ,..., y n l c lp v c phn phi nh

N p ( , ) Khi y c thay th

cho phn phi phn cn li Wishart vi t hn mt bc t do :

n

( n 1) S = ( y i y )( y i y )
i =1

'

l W p ( n 1, )

Cui cng, lu l khi ly mu t phn phi chun nhiu chiu, y v S l c

lp.

__________________________________________________________________

40

Chng 2

CHNG 2 : C LNG KHNG CHCH TUYN TNH

Lp tt c cc i lng khng chch tuyn tnh ca hm g ( F ) no y l h
tt c cc c lng khng chch cc hm tuyn tnh ca i lng ngu nhin
c quan st.
Trong chng ny ta s nghin cu hai vn :
1) Hm g ( F ) no i vi n c c lng tuyn tnh khng chch
2) Tm trong lp tt c cc c lng tuyn tnh khng chch ca g ( F ) c
lng c phng sai b u nht.
2. 1 M hnh thng k tuyn tnh tng qut hng y :

M hnh thng k tuyn tnh tng qut vi hng y bao gm vector ngu
nhin n chiu quan st c Y c biu din di dng :

Y = X +

(2.1)

Trong X l ma trn cp n x p bit, vector l vector ct p chiu v l

vector tham s cha bit, cn l vector sai s ngu nhin n chiu vi

E = 0 ; ET = 2I n

(2.2)

Vi 0 < 2 < , 2 ni chung l cha bit, I n l ma trn n v cp n. M

hnh c gi l m hnh tuyn tnh hng y nu hng r ( X ) = p .
M hnh tuyn tnh l trng hp c bit vi m hnh tuyn tnh cng dng nhng
vi :

ET = 2S

(2.3)

vi S l ma trn cp n bit, c hng bng n.

Tuy nhin ta c th a m hnh (2.1), (2.3) v (2.1),(2.2). Tht vy, v S l
ma trn hip phng sai xc nh dng nn c tn ti ma trn khng suy bin D
cp n x n sao cho V = DDT .

__________________________________________________________________

41

Chng 2

Nu t Y* = D1Y ta c Y* = X* + * trong X* = D1X,* = D1 , do

( )

E* = 0 v E* *

( )

= 2 D1S D1

= 2I n . Nh vy m hnh tuyn tnh i

vi Y* tha mn (2.2). Do gi thit (2.2) khng lm gim tnh tng qut ca m

hnh.
Nu ma trn S suy bin th khng th p dng c phng php trn v cn
phi xt mt l thuyt tng qut hn.
Ch rng p vector ct ca X l vector n chiu nm trong mt a tp tuyn
tnh (khng gian con) ca khng gian n chiu. V vy vi bt k vector p chiu ,
vector = X c chiu l n v nm trong a tp tuyn tnh p chiu cm sinh bi p

{ ()
1

( 2)

ct ca X. K hiu a tp l D p . Gi s , ...,

( p)

} l c s trc chun ca

D p . Khi vector = X c th biu din di dng = i =1 ci ( ) . Khong

p

cch gia vector D p v Y t cc tiu khi l hnh chiu trc giao ca Y ln

Dp .
Gi s l vector sao cho :

= X

l c lng bnh phng b nht ca . tm ta rng X l hnh

chiu trc giao ca Y ln D p , do

(( ) ) ( Y X ) = 0, i = 1,..., p.
i

(1)

( 2)

V vector ct bt k ca X l t hp tuyn tnh ca , ...,

( p)

nn tha mn

phng trnh :

XT Y X = 0
Hoc phng trnh chun Gauss Markov :

XT X = XT Y

(2.4)

__________________________________________________________________

42

Chng 2

V XT X l ma trn khng suy bin nn

= XT X

XT Y

(2.5)

R rng l c lng bnh phng b nht l duy nht. Ta s chng minh rng
c lng khng chch tuyn tnh tt nht ca hm tuyn tnh T l T khi m
hnh l m hnh hng y .
2. 2 c lng khng chch cho m hnh thng k tuyn tnh tng qut hng
y :
2. 2. 1 nh l 2.1 (Gauss Markov) :
Gi s Y = X+ l m hnh tuyn tnh hng y , T l hm tuyn tnh
ca . Khi c lng T l c lng khng chch tt nht ca T , trong

c xc nh bi = XT X

XT Y .

Chng minh : Trc tin ta chng minh rng T l c lng khng chch ca

T . Tht vy ,

E T = T XT X

XTEY= T XT X

-1

XT X= T

Gi s AY l mt c lng khng chch ca bt k ca , tron

A l ma trn

cp p x n no y. cho AY l c lng khng chch ta phi c :

EAY = AEY = AX =
tc l AX = I p .
Ta s chng minh rng :

( )

D T D T AY

vi bt k v bt k trong D l k hiu ca ton t hip phng sai ng vi

, hoc tng ng

__________________________________________________________________

43

Chng 2

()

T D T D ( AY )

()

Tc l ta phi chng minh c rng D ( AY ) D l ma trn xc nh khng

m.
t Q=A - V -1 X T vi V = X T X , khi :

()

D ( AY ) = D ( QY ) + D + 2 2QXV 1

V AX = I p nn ( QX ) V 1 = AX I p V 1 = 0 , v v vy

()

D ( AY ) D = D ( QY )
l ma trn xc nh khng m.
D dng thy rng

( )

D T = 2 T V -1 .

By gi ta hy xc nh c lng khng chch ca 2

2. 2. 2 B 2.1 :
c lng khng chch ca 2 trong m hnh tuyn tnh c hng y c
dng :
2

1
YT 1 X X T X
n p

XT Y .

(2.6)

Chng minh :

Ch rng ma trn I XV -1 XT l ma trn ly ng, tc l :

(1 XV X )
-

= I XS -1 XT .

Hn na X I XV -1 XT X = 0 , do

__________________________________________________________________

44

( (

Chng 2

( ( (

) )

E Y T I XV -1 X T Y = tr D Y T I XV -1 X T

)))

= 2tr I XV -1 XT = ( n p ) 2
trong tr ( . ) l k hiu vt ca ma trn vung ( tc l tng cc phn t trn ng
cho chnh ) v ta cng cn ch n tnh cht ca tr ( . ) l tr ( AB ) = tr ( BA ) . T
2

suy ra rng nu cho bi (3.6) th E = 2 .

2. 2. 3 H qu 2.1 :
Xt m hnh tuyn tnh tng qut (2.1), (2.3). Khi c lng khng chch
bnh phng b nht ca l :

= XS -1 XT

-1

XTS -1Y ,

(2.7)

Cn c lng khng chch cho 2 l :

2

1
Y T S -1 S -1 X XTS -1 X XTS -1 Y . (2.8)
n p

Tht vy, nu p dng (2.3) v b 1.1 cho m hnh (2.1), (2.2) trong thay Y
bi D-1Y v X bi D-1 X ta s nhn c (2.7), (2.8).
V d 2.1 : Gi s Y l vector quan st n chiu c EY = 1 , 1 = (1,...,1) ,
T

< < v ma trn hip phng sai l 2 S , 2 > 0 . Hy tm c lng khng

chch tuyn tnh vi phng sai b nht ca .
Ta c m hnh

Y = 1 +
trong ET = 2S .
Do p dng h qu trn ta c :

1T S -1Y
= T -1 ,
1 S 1

(2.9)

__________________________________________________________________

45

Chng 2

1
Y T S -1 S -1 1 1TS -1 1 1TS -1 Y .
n p

c bit nu S = diag 12 ,..., n2 , trong diag ( . ) l k hiu ca ma trn ng

cho, ta c :

i =1
n

Yi i2

i =1

1 i2

1 n 2 2 n
2 2
2
=
Yi i Yi Yj i j i
n p i =1

i , j =1
i =1
2

cn

n 2
D = i
i =1

Khi 2 bit (cho 2 = 1 ) th c lng khng chch tuyn tnh vi

phng sai b nht ca cho bi (3.9) trng vi c lng khng chch v
phng sai b nht khi Y c phn b chun N ( 1,S ) .
Tuy nhin c trng hp c lng tuyn tnh khng chch bng phng
php bnh phng b nht rt l km hiu qu , chng hn X 1 ,..., X n ly mu ngu
nhin t phn b u trn ( 0, ) th c c lng khng chch vi phng sai b
nht l :

n +1
X (n)
n

Cn c lng tuyn tnh bnh phng b nht, nh ta d dng thy l :

1 =

X
2

1 l c lng c phng sai ln hn ng k so vi phng sai ca khi n ln.

__________________________________________________________________

46

Chng 2

2. 3 M hnh thng k tuyn tnh vi hng khng y

Xt m hnh tuyn tnh tng t nh (2.1) v (2.2) dng :

Y = X+ ,

(2.10)

ET = 2I ,

(2.11)

vi :

cn

r ( X) < p
M hnh nh vy gi l m hnh tuyn tnh hng khng y .
i vi m hnh tuyn tnh hng khng y khng phi hm tuyn tnh
dng T no cng l hm c lng c (tc l c c lng tuyn tnh khng
chch).
2. 4 c lng khng chch cho m hnh thng k tuyn tnh hng khng y
:
2. 4. 1 nh l 2.2 :
Xt m hnh (3.10), (3.11) vi r ( X ) < p . Hm tuyn tnh T c lng
c khi v ch khi

( ) (

r XT = r XT : ,

(X

(2.12)

: l ma trn nhn c bng cch thm vo ma trn XT ct s

= ( 1 ,..., p )

Chng minh :

Gi s T c c lng tuyn tnh khng chch T Y; T = 1 ,..., p

. Khi

E T Y = T X = T;
Do :

__________________________________________________________________

47

Chng 2

T = T X
V vy m T l t hp tuyn tnh ca cc vector ct ca X . T ta c th
suy ra (2.12).
By gi ta gi s ngc li rng (3.12) c tha mn khi tn ti vector

T = ( 1 ,..., n ) sao cho T = T X . D thy T Y l c lng khng chch ca

T

T .
2. 4. 2 B 2.2 :
Ta hy xt m hnh (2.10), (2.11) vi r = r ( X ) p . Gi s T c lng
c. Ta k hiu a tp tuyn tnh cng trn cc vector ct ca X bi Dr ( a tp

( )

c chiu l r ). Khi tn ti duy nht mt vector L* Dr sao cho L*

Y l

c lng khng chch ca T . Hn na nu LT Y l c lng khng chch ca

T th L* l hnh chiu ca vector L trn Dr , tc l

L* = Pr ojDr ( L )
Chng minh :

V T l c lng c nn tn ti vector L = ( l1 ,..., ln ) sao cho

E LT Y = T . Gi s L=L* +K , L* = Pr ojDr ( L ) , cn K l vector trc giao

vi L* . Do ta c K T X = 0 v ta c :

((

T = E L* +K

( )

Nh vy L*

Y = L* +K

( )

X = L*

(( )

X = E L*

Y ,

Y l c lng khng chch ca T . By gi ta s chng

minh rng L* l mt vector duy nht thuc Dr c tnh cht :

Gi s A Dr sao cho E A T Y = T khi

( A-L ) X = 0
*

vi mi

X Dr . Do m A = L* .

__________________________________________________________________

48

Chng 2

2. 4. 3 nh l 2.3 : ( Gauss Markov )

Xt m hnh tuyn tnh (2.10), (2.11) vi r = r ( X ) p . Hm c lng c
bt k T c c lng tuyn tnh khng chch tt nht T , trong l c
lng khng chch bnh phng b nht ca , tc l l nghim bt k ca
phng trnh chun

XT X=XT Y
Chng minh :

Cho hm T c lng c. Gi s LT Y l c lng tuyn tnh khng

chch ca T , theo b 1.2 s tn ti c lng tuyn tnh khng chch duy

( )

nht L*

Y ca T sao cho L* = Pr ojDr ( L ) . Phng sai ca c lng LT Y

l :

D LT Y = 2LTL .

( )

Nh vy L*

Y l c lng khng chch tuyn tnh vi phng sai b

nht.

( )

By gi ta s chng minh rng L*

Y = T* trong * l nghim no

y ca phng trnh chun. Gi s X* l hnh chiu trc giao ca Y ln , nh ta

chng minh mc trc l nghim ca phng trnh chun

XT X* = XT Y .

( ) ( Y X ) = 0 , v do ( L )

Bi v L* Dr nn L*

( )

na v L*

( )
L*

( )

Y l c lng khng chch nn L*

( )

Y = L*

X . Hn

X = T . Do

Y = T .

__________________________________________________________________

49

Chng 2

2. 4. 4 c lng bnh phng b nht m rng

Theo nh l Gauss Markov 2.3 nu T c lng c th nghim bt k

ca phng trnh chun X T X = XT Y s cho ta c lng tuyn tnh khng chch
vi phng sai b nht T .
By gi ta hy m t phng php nhn c c lng nh vy. Nu m
hnh tuyn tnh c hng y p th tn ti duy nht nghim ca phng trnh
chun, nghim cho ta c lng bnh phng b nht. Khi hng ca ma trn

XT X bng r < p , nghim ca h phng trnh chun XT X = XT Y (3.4) khng

duy nht. Tn ti a tp p r chiu cc nghim ca phng trnh chun. Mt trong
cc nghim c gi l c lng bnh phng b nht m rng. nghin cu
c lng bnh phng b nht m rng ta s s dng khi nim ma trn nghch
o m rng sau y:
Cho ma trn S cp n x m, ma trn S cp m x n c gi l ma trn nghch
o m rng yu ( hoc g nghch o yu ) ca ma trn S nu i vi bt k
vector n chiu cho Y , vector S Y l nghim ca h phng trnh tng thch

SX = Y .
Nu ma trn g nghch o S ca S tn ti th n tha mn ng thc :

SS S = S
Hn na nu t H = S S th :
(i) H l ma trn ly ng, tc l H 2 = H ;
(ii) SH = S v hng r ( S ) = r ( H ) = tr ( H ) ;
(iii) Nghim m rng ca phng trnh SX = Y c dng :

X = SY + ( H I ) Z
trong Z l vector ty ;

__________________________________________________________________

50

Chng 2

(iv) Ma trn T X nh nhau i vi mi X tha mn phng trnh SX = Y khi v

ch khi T H = T ;

( )

(v) Lun lun tn ti ma trn S ca S v r S r ( S ) , hn na lun tn ti

( )

nghch o S vi hng ln nht r S = min ( m, n ) khng ph thuc vo r ( S ) .

Ma trn S vi hng ln nht c th c xy dng nh sau : i vi S
cho cp m x n , m < n , ta hy xy dng ma trn vung cp n x n

S
S* =
O
Trong O l ma trn cc s khng cp ( n-m ) x n . Khi da vo cc php bin
i c bn c th a S* v ma trn Hermite chnh tc. Ni khc i, tn ti ma trn
khng suy bin C cp n x n sao cho

I r K

CS* = ... . ...

O O
trong r = r ( S ) . t H = CS* . D thy rng H l ma trn ly ng. Do

CS*CS* = H
Bi v C khng suy bin nn :

S*CS* = C1H
Hn na

S
S H = S = S CS CS = C CS = S = ... ,
O
*

(2.13)

Gi s S l ma trn cp n x m c lp bi m ct u tin ca ma trn C , tc l

C = S - D
khi :

__________________________________________________________________

51

Chng 2

S
S SS S

S*CS* = ... S - D ... = ... ,

O
O O

(2.14)

So snh (2.13) v (2.14) ta c SS -S=S . iu c ngha rng ma trn S

c xc nh nh vy l g nghch o yu ca ma trn S . Cui cng v C khng

(( )) = m , khng ph

suy bin nn m ct ca S l c lp tuyn tnh ,do r S

thuc vo hng r ( S ) .

S dng ma trn g nghch o ca XT X trong phng trnh chun ta nhn

c c lng khng chch ca 2 trong m hnh tuyn tnh hng khng y .
Nh ta bit c lng X cc tiu ha khong cch gia vector quan st Y v

X , tc l :

R02 = Y X

) ( Y X ) = min ( Y X ) ( Y X ) .
T

R02 c th vit di dng khc

R02 = Y T Y Y T X

= Y T Y Y T X XT X XT Y = Y T I X XT X XT Y
Bi v l nghim ca phng trnh chun

XT X = XT Y hoc = XT X XT Y .

R02
Mnh 1.1 : c lng =
, trong r = r ( X ) l c lng khng
nr
2

chch ca 2
Chng minh :

Da vo tnh cht ca ma trn nghch o m rng ta c :

__________________________________________________________________

52

Chng 2

X T X X T X X T = XT .
T ta c

R02 = ( Y X ) I X XT X XT ( Y X )
T

V do

ER02 = 2tr I X XT X XT

= 2 n tr XT X

) ( X X)) = ( n r )

T ta suy ra
2

E = E R02 ( n r ) = 2 .
Vic tm ma trn thit k X sao cho ma trn hip phng sai ca c lng
bnh phng b nht c cho bi

D = 2 XT X

c D nh nht l bi ton thit k th nghim ti u. Bi ton c nhiu tc gi

nghin cu nhng n vt ra ngoi phm vi nghin cu ca ti ny.
Sau y s l phn trnh by ca m hnh tuyn tnh vo vic nghin cu cc
c lng l t hp tuyn tnh ca cc thng k :
2. 4. 5 T hp tuyn tnh tt nht ca thng k th t

Mt t hp tuyn tnh ca thng k th t X (1) ,..., X ( n ) trong nhiu trng

hp l c lng khng chch tt nht, v d, trong trng hp c lng cc tham
s 1 , 2 ca phn b u R (1 , 2 ) trn (1 , 2 ) , < 1 < 2 < , t hp tuyn
tnh ca X (1) v X ( n ) l c lng khng chch tt nht. Ngc li trong nhiu
trng hp t hp tuyn tnh ca cc thng k th t khng phi l c lng

__________________________________________________________________

53

Chng 2

khng chch tt nht. Chng hn nu X 1 ,..., X n l mu t phn b chun

N , 2 , khi c lng khng chch vi phng sai b nht ca s l :

n = Cn X i X
i =1

1
2

trong

n 1

2
Cn =
n
2
2
( lu ta c th th li rng l c lng khng chch ca nu rng

(1 ) ( X
2

i =1

i X

k b nht X ,

n
i =1

c phn b 2 vi n bc t do) bi v n l hm ca thng

X i2 .

Tuy nhin ngi ta cng thng s dng c lng khng chch n gin hn
ca l :

n =

X ( n ) X (1)
dn

,( n 2)

trong d n l gi tr trung bnh ca rng mu ngu nhin Y1 ,..., Yn t phn b

chun N ( 0,1) , tc l d n = E Y( n ) Y(1) . c lng c ng dng rng ri

trong vic kim tra cht lng sn phm. Bng cc gi tr ca d n c th c tm
thy trong bt k mt ti liu no v kim tra cht lng. Tuy nhin cng d nhn
thy l c lng km hiu qu hn ( c phng sai ln hn ) so vi . hiu
qu ca n gim nhanh khi ta tng c mu v rng khng phi l hm ca thng

k b nht X ,

n
i =1

X i2 . Mt s c lng tt hn l hm ca thng k th t.

Mc d cc c lng nh vy l km hiu qu hn c lng n , nhng chng

__________________________________________________________________

54

Chng 2

vn c s dng rng ri do tnh n gin ca chng, c bit l khi c mu ln.

Vic nghin cu s tin li ca cc c lng tuyn tnh c tin hnh bi
Mosteller. Cc c lng nh vy rt u vit khi ct b cc gi tr cc bin ca cc
quan st, c bit hn l trong php th tin cy. Hiu qu ca cc phng php
c lng khi phn b c s l chun, Gamma, u, phn b gii hn ca cc
gi tr cc bin c nghin cu bi Sarhan v Greenberg.
c lng cc tham s t l v dch chuyn da trn t hp tuyn tnh ca
cc thng k th t ta xy dng m hnh tuyn tnh nh lm bi Lloyd.
Gi s 0 l lp cc hm phn b ph thuc vo tham s dch chuyn v tham
s t l . Hm phn b bt k ca 0 c dng F
cho trc. Nu X c phn b F

( ( x ) / ) , trong F ( x )

( ( x ) ) th i lng chun ha

c phn

b F ( x ) . Gi s X (1) ,..., X ( n ) l thng k th t t mu X 1 ,..., X n cn

U r = X ( r ) , r = 1,..., n l thng k th t t phn b F ( x ) . t

r = EU ( r ) r = 1,..., n;

srt = cov U ( r ) ,U ( t )

r , t = 1,..., n

l cc i lng bit. t = (1 ,..., n ) , S = [ srt ; r , t = 1,..., n ] l ma trn hip

T

phng sai , S 0,1n = (1,...,1) , YT = X (1) ,..., X ( n ) . Khi ta c m hnh

T

tuyn tnh

Y = (1n ) +

( )

vi E = 0, E T = 2S .
Gi s rng S l ma trn xc nh dng khi theo (3.7) th c lng bnh
phng b nht ca v l

__________________________________________________________________

55

1Tn S 1 1n
= T 1
1n S

Chng 2

1Tn S 1

T S 1

1Tn S 1Y
T 1
S Y

Nu t

C=

S 1 1n T 1Tn S 1

trong

)(

) (

= 1n S 1 1n T S 1 1Tn S 1

th ta c th vit

= T CY, = 1Tn CY
Theo nh l Gauss Markov , v l t hp tuyn tnh tt nht ca
thng k th t.
Phng sai ca chng c dng :

()

D =

2 TS -1

),

()

D =

2 1Tn S 1 1n

cn

2 (1n ) S -1
cov = , =

( )

By gi ta s xt mt v d n gin i vi phn phi m.

V d 2.2 : Gi s X 1 , , X n l mu ngu nhin t phn b m hai tham s :

0
x
F
x
=
1 e

n x <
n x

trong < < v 0 < < . Gi s X (1) , , X ( n ) l thng k th t t

phn b :

__________________________________________________________________

56

Chng 2

n x < 0

0
F ( x) =
x
1 e

n x 0

By gi ta s chng minh rng

r

r = EU ( r ) = ( n i + 1) , r = 1,..., n
1

i =1

(3.15)

sr t = cov U ( r ) ,U (t ) = ( n i + 1)

,1 r t n ,

i =1

(3.16)
t f ( x ) = F ' ( x ) = e x , vi x > 0 , khi mt phn b ng thi ca

U (1) < ... < U ( n ) l

f ( u1 , u2 ,..., un ) = n ! f ( u1 ) ... f ( n ) vi 0 u1 < u2 < ... < un
T ta nhn c phn b ca U ( r ) l
u

u1

ur 2

f r ( u ) = n ! f ( u1 )du1 f ( u2 )du2 *...*

ur + 2

* f ( ur +1 )dur +1 *

fr (u ) =

f ( ur 1 )dur 1

f ( ur + 2 )dur + 2 ...

un 1

f ( un )dun .

r 1
nr
n!
f ( u ) ( F ( u ) ) (1 F ( u ) )
( r 1)!( n r )!

hoc

fr (u ) =

n!
n r +1)u
e(
1 eu
( r 1)!( n r )!

r 1

, u>0

T suy ra

r = uf r ( u ) du = ( n i + 1)
0

i =1

cn mt phn b ng thi ca U ( r ) v U ( t ) vi r < t l

__________________________________________________________________

57

f r ,t ( u , v ) =

Chng 2

n!
eu 1 eu
( r 1)!( n t )!( t r 1)!

r 1

( n t +1)v

(e

e v

t r 1

vi 0 < u < v < .

c bit vi t = r + 1 ta c :

f r ,r +1 ( u , v ) =

n!
eu 1 eu
( r 1)!( n r 1)!

r 1

( n r )v

, (2.17)

vi 0 < u < v < .

Nu dng php bin i :

Y = U ( r ) , Z = U ( r +1) U ( r )
th mt phn b ng thi ca Y v Z l

f ( y, z ) =

n!
1 e y
( r 1)!( n r )!

r 1

( n r +1) y

( n r ) e ( n r ) z , 0 < y < z <

Nh vy U ( r ) c lp vi U ( r +1) U ( r ) v U ( r +1) U ( r ) c phn b m vi

tham s l ( n r ) .
Tng t nh vy c th ch ra rng, t (3.17) bng php bin i

Y = U ( r ) , Z = U (t ) U ( r ) , ta c Y v Z l c lp vi nhau.
c bit, t ta c :

EU ( r ) = E U ( r 1) + U ( r ) U ( r 1)

hoc

zr = zr 1 +

1
,
n r +1

(2.18)

V 1 = EU (1) = 1 , ( do U (1) c mt m vi tham s n ), do t (2.18) mt

n
ln na ta li nhn c (3.15). Hn na, do U ( r ) c lp vi U ( r +1) U ( r ) nn ta c

( ) (

) ( )

DU ( r +1) = D U ( r ) + D U ( r +1) U ( r ) = D U ( r ) +

(n r )

, (2.19)

cn

__________________________________________________________________

58

Chng 2

DU (1) =

1
n2

do
r +1

DU ( r +1) =
i =1

( n i + 1)

Hn na v U ( r ) c lp vi U ( t ) U ( r ) nn :

) ( )

cov U ( r ) ,U (t ) = D U ( r ) ,

(2.20)

T (2.19), (2.20) ta suy ra (3.16).

Sarhan v Greenberg chng minh c rng ma trn S = sr t ,1 r , t n vi

sr t cho bi (2.16) c ma trn nghch o l

( n 1)2 + n 2 ( n 1)2
0

2
( n 1)2 ( n 2 )2 + ( n 1)2
( n 2)

2
2
2
1
0
( n 2)
( n 3) + ( n 2 )
S =
...
...
...

0
0
0

0
0
0

... 0 0

... 0 0

... 0 0

... ... ...

... 2 1
... 1 1

D dng thy rng

1Tn S 1 = n 2 , OnT1 v T S 1 = 1Tn

T ta nhn c = n 2 ( n 1) v

nX (1) X
n 1

; =

nX X (1)
n 1

Ma trn hip phng sai ca cc c lng bng :

n 1 ( n 1)1
=

1
n 1 ( n 1)

1
( n 1)

__________________________________________________________________

59

Chng 2

Chng ta c th d dng kim tra li rng thng k X (1) , X

) l thng k

b nht i vi h m hai tham s. Do theo nh l Blackwell Rao v

khng nhng l c lng tuyn tnh khng chch tt nht m cn l c lng
khng chch vi phng sai b nht .
c lng cho tham s v bng cch s dng nh l Blackwell Rao
tm c rt nhanh v rt n gin , trong khi s dng l thuyt bnh phng b
nht ta phi tnh ton rt phc tp. Mt khc nu thng k U ( r ) c cc mmen khng
n gin (v d F ( x ) l phn b chun N ( 0,1) ) th phng php bnh phng b
nht rt bt tin v khng th thc hin bng cc cng thc i s.
2. 5 ng dng trong m hnh c lng tham s hi quy nhiu chiu :
2. 5. 1 Hm hi quy tng th (PRF)

* nh ngha: Hm hi quy tng th l hm hi quy c xy dng trn kt

qu nghin cu kho st tng th, k hiu PRF.
Hm hi qui tuyn tnh PRF (k + 1) bin dng xc nh nh sau:
Yt = 0 + 1X1t + 2 X 2t + ... + k X kt

trong :
-

t th hin thi im trong chui thi gian hoc l tr quan st trong mt chui
d liu.

Xt1; Xt2; ... ; Xtk v Yt l b gi tr quan st th t (t = 1 n n) ca bin c lp

v bin ph thuc

0 l h s t do; i (i = 1, , k) gi l h s hi quy ring, u l cc tham s

cha bit v s c c lng.

-

H s hi quy i cho bit nh hng ring ca bin Xi ln gi tr trung bnh (c

iu kin) ca Y khi cc bin c lp cn li c gi c nh

__________________________________________________________________

60

Chng 2

2. 5. 2 Dng ma trn ca hm hi quy

2. 5. 2. 1 Hm hi quy tng th PRF

Gi s ta c n b gi tr quan st ca

(Y, X1 , X 2 ,..., X k )

(Yt , X1t , X 2t ,..., X kt ); t = 1; n . Hm hi quy tng th PRF ng vi tng quan st l:

Y1 = 0 + 1X11 + 2 X12 + ... + k X1k + U1
Y2 = 0 + 1X 21 + 2 X 22 + ... + k X 2k + U 2
.................................................................
Yn = 0 + 1X n1 + 2 X n 2 + ... + k X nk + U n

t cc ma trn tng ng nh sau:

1 X11 X12

1 X 21 X 22
X =

1 X n1 X n 2

X1k

X 2k

X nk

0
Y1
U1



1
Y2
U 2

, = , Y = , U =

Y
U n n1

k k1
n n1
nk

Khi hm hi quy PRF ngu nhin di dng ma trn nh sau:

Y1
1 X11 X12

Y2
1 X 21 X 22
=

Yn
1 X n1 X n 2
n1

X1k

X 2k

X nk

0
U1


1
U 2
+




k
U n

nk
k1
n1

Y = X + U

2. 5. 2. 2 Hm hi quy mu SRF

ng

vi

gi

tr

quan

st

ca

(Y, X1 , X 2 ,..., X k )

l (Yt , X1t , X 2t ,..., X kt ); t = 1; n , ta c n b c lng (Y t , X1t , X 2t ,..., X kt ); t = 1;n l

c lng ca (Yt , X1t , X 2t ,..., X kt ); t = 1; n v (0 , 1 , 2 ,..., k ) l b c lng ca
(0 , 1 , 2 ,..., k ) ; (U1 , U 2 ,..., U n ) l b phn d. Hm hi quy mu SRF ng vi

tng c lng l:

__________________________________________________________________

61

Chng 2

Y1 = 0 + 1X11 + 2 X 21 + ... + k X k1 + U1
Y 2 = 0 + 1X12 + 2 X 22 + ... + k X k 2 + U 2
.................................................................
Y n = 0 + 1X1n + 2 X 2n + ... + k X kn + U n

t cc ma trn tng ng nh sau:

1 X11

1 X12
X =

1 X1n

Y1

U1

0

Y2

U 2

, = , Y = , U =

Y n
nk
U n n1
k k1

n1

X k1

X k 2

X kn

X 21
X 22
X 2n

Khi hm hi quy PRF ngu nhin di dng ma trn nh sau:

Y1
1 X11

1 X 21

Y 2

Y
n n1 1 X n1

X12
X 22
Xn 2

U1
0



U2
1

nk
k k1 U n n1

X1k

X 2k

X nk

Y = X + U

2. 5. 3 c lng bnh phng b nht thng thng (OLS)

2. 5. 3. 1

Gii thiu

Ta c th c rt nhiu mu kho st nn c th xy dng c rt nhiu hm

hi quy mu khc nhau c xy dng t nhng mu khc nhau. Nhng hm hi
quy mu u l c lng xp x ca hm hi quy tng th. Vn t ra l c quy
tc hay phng php no tm ra hm hi quy mu st vi hm hi quy tng th
nht c th c. Ni cch khc l lm th no xc nh c gi tr cc tham s
= (0 , 1 , 2 ,..., k )T gn vi cc gi tr thc = (0 , 1 , 2 ,..., k )T . mc d trn
thc t chng ta khng bao gi bit c cc gi tr thc ny.
Mc tiu tip theo s l s dng cc d liu Xt1; Xt2; ... ; Xtk v Yt tm kim
c lng tt nht ca cc tham s ca tng th l = (0 , 1 , 2 ,..., k )T . Sau y
chng ta s dng phng php c lng c dng ph bin nht l phng php

__________________________________________________________________

62

Chng 2

bnh phng ti thiu (OLS). Phng php ny thng c gi l bnh phng ti

thiu thng thng, phn bit vi nhng phng php bnh phng ti thiu
khc.
Gi s ta c n b gi tr quan st ca (X1; X2; ... ; Xk) v Y, k hiu l
(Xt1; Xt2; ... ; Xtk) v Yt, trong cc cc gi tr (Xt1; Xt2; ... ; Xtk) khng ng nht.
Nhc li k hiu c lng ca = (0 , 1 , 2 ,..., k )T l = (0 , 1 , 2 ,..., k )T ,
phn d c lng th bng U = Yt Y t . Chng ta phi tm gi tr tnh ton Y t
sao cho Y t cng gn cc gi tr quan st thc t Yt cng tt, tc U = Yt Y t cng
n

nh cng tt. kho st tt c cc quan st cng lc th ngi ta xt

2
t

t =1

mong mun

2
t

min. Vy tiu chun ti u c s dng bi phng php

t =1

bnh phng ti thiu l cc tiu ha hm mc tiu

n

ESS = U t = Yt 0 1X t1 2 X t 2 k X tk
t =1

t =1

vi cc tham s cha bit l = (0 , 1 , 2 ,..., k )T . ESS gi l tng bnh phng cc

phn d v phng php OLS l cc tiu tng bnh phng cc phn d. ESS l
khong cch bnh phng c o lng t ng hi quy. S dng khong cch
o lng ny, c th ni rng phng php OLS l tm ng thng gn nht vi
d liu trn th.
2. 5. 3. 2 iu kin cn

cc tiu ESS vi = (0 , 1 , 2 ,..., k )T s tho h phng trnh sau y,

c gi l h phng trnh chun.

__________________________________________________________________

63

Y = n
t

t =1

Chng 2

+ 1 X1t + 2 X 2t + ... + k X kt
t =1

t=1

t =1

t =1

t =1

t =1

t=1

t =1

t =1

t =1

t=1

t =1

Yt X1t = 0 X1t + 1 X1t2 + 2 X 2t .X1t + ... + k X kt .X1t

t =1

Yt X 2t = 0 X 2t + 1 X1t .X 2t + 2 X 22t + ... + k X kt .X 2t

.......................................................................................................
n

YX
t

it

t =1

t =1

t =1

t=1

t=1

= 0 X it + 1 X1t .X it + 2 X 2t .X it + ... + k X kt .X it

........................................................................................................
n

t =1

t =1

t =1

t =1

t =1

Yt X kt = 0 Xit + 1 X1t .X kt + 2 X 2t .X kt + ... + k X 2kt

* Chng minh
ti thiu ESS vi = (0 , 1 , 2 ,..., k )T , chng ta xt o hm
tng bin

ESS ESS ESS

ESS
;
;
; ;
0 1 2
i
n

ESS
k

ESS

ring theo

ca hm mc tiu

ESS = U t = Yt 0 1X t1 2 X t 2 k X tk .
t =1

t =1

Ta c:
ESS
0

= 2 Yt 0 1X t1 2 X t 2 i X ti k X tk .(1)
t =1

n
n
n
n
n
n

= 2 Yt 0 1 X t1 2 X t 2 i X ti k X tk
t=1

t =1
t =1
t=1
t =1
t =1

ESS
1

= 2 Yt 0 1X t1 2 X t 2 i X ti k X tk .(X t1 )
t =1

n
n
n
n

Y .X 0 X 1 X 2 2 X .X

t
t1
t1
t1
t2
t1

t =1
t =1
t =1
t =1

= 2
n
n

i Xit .X1t k X tk .X t1

t =1
t =1

__________________________________________________________________

64

ESS

Chng 2

= 2 Yt 0 1X t1 2 X t 2 i X ti k X tk .(X t 2 )

t =1

n
n
n
n

Y .X 0 X 1 X .X 2 X 2
t1
t1
t2
t2

t=1 t t 2
t =1
t =1
t =1

= 2
n
n

i X ti .X t 2 k X tk .X t 2

t =1
t =1

ESS

= 2 Yt 0 1X t1 2 X t 2 i X ti k X tk .(X ti )

t =1

n
n
n
n

Y .X 0 X 1 X .X 2 X .X
ti
t1
ti
t2
ti

t=1 t ti
t=1
t =1
t =1

= 2

n
n

i X ti k X tk .X ti

t =1
t=1

ESS
k

= 2 Yt 0 1X t1 2 X t 2 i X ti k X tk .(X tk )
t =1

n
n
n
n

Y .X 0 X 1 X .X 2 X .X
t
tk
tk
t1
tk
t2
tk

t=1
t =1
t =1
t=1

= 2
n
n

2
X
.X
X

i ti tk
k
tk

t =1

t =1

Hm mc tiu t cc tr khi cc o hm ring = 0

ESS

=0

ESS ESS ESS

ESS
ESS
= (0;0;0; ;0; ;0)1Tk
;
;
; ;
; ;

i
k 1k
0 1 2

Hip nht cc thnh phn, ta c :

ESS
0

= 0;

ESS
1

= 0;

ESS
2

= 0; ;

ESS
i

= 0; ;

ESS
k

=0

__________________________________________________________________

65

Chng 2

n
n
n

Yt 0 1 X t1 2 X t 2

t=1

t=1
t=1
t=1

= 0
2

n
n

i X ti k X tk

t =1
t=1

..............................................................................................

n
n
n
n

X
X
X
.X
Y
.X

0
1
2
t
t1
t1
t1
t2
t1

t =1
t=1
t =1
t=1

= 0

n
n

i X ti .X t1 k X tk .X t1

t=1
t=1

.......................................................................................................

n
n
n

Y
.X
X
X
.X
X

0
1
2
t
t2
t1
t1
t2
t2

t=1
t=1
t=1
t=1
= 0

n
n

i X ti .X t 2 k X tk .X t 2

t =1
t=1

..........................................................................................................

n
n
n

Y
.X
X
X
.X
X
.X

0
1
2
t
ti
ti
t1
ti
t2
ti

t =1
t=1
t=1
t =1
= 0

n
n

i X ti k X tk .X ti

t=1
t =1

..........................................................................................................

n
n
n

Y
.X
X
X
.X
X
.X

0
1
2
t
tk
tk
t1
tk
t2
tk

t=1
t=1
t=1
t=1
= 0

n
n

i X ti .X tk k X tk

t=1
t =1

__________________________________________________________________

66

Chng 2

n
n
n
n
n
n
Yt 0 1 X t1 2 X t 2 i X ti k X tk = 0
t=1
t=1
t=1
t=1
t=1
t=1

..........................................................................................................................
n
n
n
n
Yt .X t1 0 X t1 1 X 2t1 2 X t 2 .X t1
t=1
t=1
t=1
t=1

n
n

X
.X

i ti
k X tk .X t1 = 0
t1
t=1
t=1

..........................................................................................
n
n
n
n

2
X
.X

Y
.X
X

t t 2
2 Xt2
0 t1
1 t1
t2
t=1
t=1
t=1
t=1

n
n

i X ti .X t 2 k X tk .X t 2 = 0

t=1
t=1

n
n
n
n
Y .X 0 X 1 X .X 2 X .X
ti
t1
ti
t2
ti
t=1 t ti
t=1
t=1
t=1

n
n

2
i X ti k X tk .X ti = 0

t=1
t=1

n
n
n
n
Y .X
0 X tk 1 X t1.X tk 2 X t 2 .X tk
t tk
=
t
1
t=1
t=1
t=1

n
n

i X ti .X tk k X 2tk = 0

t=1
t=1

__________________________________________________________________

67

Chng 2

n
n
n
n
n

Y
=
n

X
+

X
+
+

X
+
+

t
0
1
2
i
k X tk
t1
t2
ti

t=1
t=1
t=1
t=1
t=1

n
n
n
n

Yt .X t1 = 0 X t1 + 1 X 2t1 + 2 X t 2 .X t1 +

t=1
t=1
t =1
t=1

n
n

+
+

X
.X
i
k X tk .X t1
ti
t1

t =1
t =1

n
n
n
n

Yt .X t 2 = 0 X t1 + 1 X t1.X t 2 + 2 X 2t 2 +

t =1
t =1
t=1
t =1

n
n

+
+

X
.X

i
k X tk .X t 2
ti
t2

t =1
t =1

n
n
n
n

Yt .X ti = 0 X ti + 1 X t1.X ti + 2 X t 2 .X ti +

t =1
t=1
t=1
t =1

n
n

+ i X ti + + k X tk .X ti

t =1
t =1

n
n
n
n

X
X
.X
Y
.X
+

0
1
2 X t 2 .X tk +
t
tk
tk
t1
tk

t =1
t=1
t=1
t=1

n
n

X
.X
X
+

+
+

i
k
ti
tk
tk

t=1
t=1

Ta c h phng trnh chun cn chng minh

2. 5. 3. 3 Nghim h phng trnh chun

Trong chng 2, chng ta c:

1 X11 X12

1 X 21 X 22
X =

1 X n1 X n 2

Y1
0

Y2
1

, = , Y =

Yn n1

nk
k k1

X1k

X 2k

X nk

__________________________________________________________________

68

X11

X T = X12

X1k

X11
T
X X = X12

X1k

n
X t1
t=1
= n
X t 2
t=1

n
X
t=1 tk

1
X 21

1
X n1

X 22

Xn 2

X 2k

X nk

1
X 21
X 22

1
X n1
Xn 2

X 2k

X nk

t1

X 2t1
t =1

.X t 2

t =1

t =1

t1

t =1

X t 2 .X t1
X tk .X t1

t2

2
t2

t =1

X
t =1

tk

X1k

X 2k

X nk nk

tk

t =1

X t1.X tk

t=1

X
.X

t2
tk

t=1

n
2
X
tk
n

t =1

kn

1 X11 X12

1 X 21 X 22

1 X n1 X n 2
kn
n

t =1

Chng 2

.X t 2

t=1

kk

X11
T
X Y = X12

X1k

1
X 21
X 22
X 2k

Y
t

t=1

Y1

Y
.X
t t1

X n1

t=1
Y2

X n 2 = n

Yt .X t 2

Yn n1 t=1

X nk kn

Yt .X tk
t=1
k1

Do , ta suy ra dng ma trn ca

__________________________________________________________________

69

Chng 2

ESS ESS ESS

ESS
;
;
; ;
=
0 1 2

ESS
= 2X T .Y + 2X T .X. :
;
k

ESS

Hm mc tiu t cc tr khi cc o hm ring bng = 0

ESS

=0

2X T .Y + 2X T .X. = 0 X T .X. = X T .Y
1

= (X T .X ) .X T .Y
1 X11 X12

1 X 21 X 22
V X =

1 X n1 X n 2

X1k

X 2k

X nk

l b n gi tr ca (k + 1) bin c lp

nk

rankX = (k + 1) (X T .X ) l kh nghch
1

Vy c lng = (X T .X ) .X T .Y
2. 5. 3. 4 iu kin
1

c lng = (X T .X ) .X T .Y l c lng cc tiu ca hm mc tiu ESS

* Chng minh
Ta tnh o hm cp hai
T

ESS

ESS
.

ca hm mc tiu ESS

= 2X T .Y + 2X T .X. suy ra

ESS
.

= 2X T .X

c1

c 2
Gi vect thc khc 0,c = cT = (c1 c 2


ck
k1

c k )1k

Xt dng ton phng:

__________________________________________________________________

70

Chng 2

T
W = cT(1k ) .X (k
n ) .X (nk ) .c (k1)
T

= (X.c)1n .(X.c)n1
v1

n
v 2
T

t vect v = X (nk ) .c(k1) = W = v .v = v 2t 0

t =1

v n n1

Nu vect v = 0 X.c = 0
tn ti t hp tuyn tnh gia cc ct trong ma trn X bng 0
mu thun rankX = (k + 1)
n

ESS

t =1

W = vT .v = v 2t > 0 W l xc nh dng

l xc nh dng

c lng cc tr = (X T .X ) .X T .Y l c lng cc tiu ca hm mc

tiu ESS.
V d 2.3: T s liu ca mt mu gm 8 quan st, ngi ta tnh c cc tng sau :

Yi = 56; X 1i = 48; X 2i = 24; Yi 2 = 420; X 12i = 300; X 22i = 80

X 1i X 2i = 135; X 1iYi = 354; X 2iYi = 154

Trong : Y l lng hng bn c ca mt loi hng , n v tnh l tn/thng

X 1 : l thu nhp ca ngi tiu dng , n v tnh l triu ng/thng

X 2 : l gi bn ca mt hng ny , n v tnh l ngn ng/kg
Ta s tm hm hi quy mu : Yi = 0 + 1 X 1i + 2 X 2i + U 1 v cho bit ngha
ca h s hi quy 1 v 2 .
T s liu cho ta c c cc ma trn c bn nh sau :

XT X= X 1i
X
2i

X 1i
X 12i
X 1i X 2i

X 2i 8 48 24

X 1i X 2i = 48 300 135 ,

24
135
80
X 2i

__________________________________________________________________

71

Chng 2

Yi 56
XT Y= X 1iYi = 354

X 2iYi 154

Ta c ma trn nghch o X T X

( X X)
T

l :

5775
1
600
=
120
720

600
64

72

720
72

96

p dng cng thc c lng c xy dng ta c :

( X X)
T

5775
1
600
X Y=
120
720
T

600
64

72

720 56
72 354

96 154

120 1
Y i = 1 + 1.2 X 1i 0.4 X 2i
1
144 = 1.2 SRF :
=

120
Yi = 1 + 1.2 X 1i 0.4 X 2i + U 1
48 0.4
ngha ca cc h s hi quy :

1 = 1.2 : Phn nh tc ng ca X 1 i vi Y , tc l tc ng ca thu nhp i

vi lng hng ha bn c theo ngha , nu thu nhp ca ngi tiu dng tng
(hoc gim) 1 triu ng/thng , th lng hng bn c trung bnh c xu hng
tng (hay gim) tng ng xp x l 1.2 tn/thng vi iu kin gi bn ca mt
hng v cc yu t khc l khng i.

2 = 0.4 : Phn nh tc ng ca X 2 i vi Y , tc l tc ng ca gi i vi
lng hng bn c theo ngha, nu gi bn ca mt hng ny tng (hoc gim) 1
ngn ng/kg, th lng hng bn c trung bnh c xu hng gim (hay tng)
tng ng xp x l 0.4 tn/thng , vi iu kin thu nhp ca ngi tiu dng v
cc yu t khc l khng i.

__________________________________________________________________

72

Chng 2

2. 6 Xy dng thut ton hi quy cho lp trnh trn my tnh :

2. 6. 1 Bi ton xy dng phng trnh siu phng hi qui.

Ta mun tm mt hm tuyn tnh ca ( m 1) bin cn li X 2 , , X m

a2 X 2 + a3 X 3 + + am X m
xp x X 1 tt nht theo ngha cc tiu sai s bnh phng trung bnh tc l:
A = E { X 1 ( a2 X 2 + a3 X 3 + + am X m + C )} t cc tiu
2

Cu tr li cho bi ton t ra l:

1*k
X 1 = * ( X k EX k ) + EX 1
k = 2 11
m

( )

trong ma trn covarian = ij

; ij = E
mm

{( X

EX i ) ( X j EX j )

*
1k
l

phn ph i s ca 1k trong ma trn

Sai s bnh phng trung bnh mc phi khi tnh

bi biu thc v phi

c gi l phng sai phn d. N c tnh bi:

2
1.23...
m =

det
*
11

H s tng quan bi (h s tng quan tp hp) o mc ph thuc tuyn

tnh gia

v t hp tuyn tnh v phi ca cng thc tnh X 1 l:

*
1.23...m

2
1.23...
det
m
= 1
= 1
*
2
1111
1

2. 6. 2 Bi ton tnh h s tng quan ring :

Ta tm s o mc ph thuc tuyn tnh gia hai bin X 1 v X 2 sau khi

loi tr nh hng tuyn tnh ca X 3 , , X m i vi chng. Ta gi i lng ny l
h s tng quan ring v k hiu l 12.34...m

12.34...m =

det 12
det 22 .det 11

__________________________________________________________________

73

trong ij l ma trn nhn c t ma trn

12.34...m =

Chng 2

bng cch b i hng i ct j, hoc:

12.34...m1 1m.34...m1. 2 m.34...m1

(1

2
1m.34...m 1

).(1

2
2 m.34...m 1

Nh vy theo cng thc trn t cc h s tng quan ton phn ij ta tnh

c cc h s tng quan ring ij .k , ri sau tnh ij .kl v vn vn
Cng thc v phng sai phn d c th biu din di dng:
2
2
2
2
1.23...
m = DX 1 (1 1.2 ) . (1 13.2 ) ... (1 1m.23...m 1 )

2. 6. 3 Bi ton hi quy tng bc :

Ta mun xc nh xem nhng bin no trong cc bin X2, , Xm c nh hng

nhiu n X1. Ni khc i tp cc bin c lp dng d bo tuyn tnh X1 cho
ton b cc bin ang xt hay ch cn mt tp con no ca tp cho. gii
quyt bi ton ny ta s dng phng php hi qui tng bc. c bn ca phng
php ny da vo cng thc phng sai phn d nh sau:
Da vo cng thc phng sai phn d trn ta thc hin cc bc sau:
Tnh cc h s tng quan ton phn 1i , i = 2m
Chng hn 12 = max 1i , ta chn bin u tin l bin X2
2 i m

l mt trong cc bin chnh c tc ng chnh n s bin thin ca X1

Tnh cc h s tng quan ring 1i.2 , i = 3m
Chng hn 13.2 = max 1i.2 , ta chn bin tip theo l bin X3 v vn vn.
3i m

2
Sau mi ln chn thm bin ta tnh phng sai phn d 1.23...k
. So snh vi

2
2
phng sai phn d bc trc 1.23...k 1 . Nu 1.23...k
gim khng ng k so vi
2
1.23...
k 1 th ta dng li v chn tp bin c lp l X2,, Xk 1. l tp cc bin c

tc ng chnh n bin X1 (Theo cng thc phng sai phn d th thc cht ca

__________________________________________________________________

74

Chng 2

2
2
vic so snh 1.23...k v 1.23...k 1 l vic nh gi xem tha s (1 12k .34...k 1 ) c gn 1

hay khng hay tng ng vi iu l xem 12k .23...k 1 c gn 0 hay khng)

2. 6. 4 M t phng php tnh ton :
2. 6. 4. 1 Cc k hiu s dng
m :

S bin ngu nhin (vec t m chiu)

n :

C mu ngu nhin

xi :

Bin th i

xik :

Gi tr th k ca bin th i

xiTB

Aij :

Gi tr trung bnh mu ca tch 2 bin v

bk :

H s hi qui ca bin th i theo bin th k

L_Da :

Ma trn Covarian mu

Gi tr trung bnh mu ca bin th i

L_Da[i, j] : Phn t hng i ct j ca ma trn covarian mu L_Da

L_Daij

: Ma trn c nhn t ma trn L_Da bng cch b i hng i

ct j

L _ Daij*

: Phn ph i s ca phn t L_Da[i, j] trong ma trn

covarian mu L_Da

S2

: Phng sai phn d mu

: H s tng quan mu

i1,, im

: Bin ly c sau mi bc trong bi tan hi qui

2. 6. 4. 2 Phng php tnh ton :

Nh trn ta thy, xy dng c siu phng hi qui, tnh c phng sai

phn d, h s tng quan bi, h s tng quan ring, ta cn tnh c ma trn
covarian mu L_Da. Nhng trn thc t khi nghin cu m bin ngu nhin chng ta
ch c thng tin duy nht l n kt qu quan st c lp v vect m chiu ny.
Gi s c mu ngu nhin c n v m bin ngu nhin X1,, Xm: (x1k ,, xmk),
k=1n.

__________________________________________________________________

75

Chng 2

gii quyt c cc bi ton t ra vic u tin l phi c lng c ma

trn covarian mu L_Da. Ma trn covarian mu c s dng trong tt c cc bi
ton phn tch thng k bin ngu nhin nhiu chiu, v vy n cn c xy dng
xut pht t mu cho v chng ta phi s dng nhiu ln n n.
Trong th tc tnh ma trn covarian mu ta cn phi tnh:

Gi tr trung bnh mu ca bin th i

1 n
XiTB = xik
n k =1

i = 1...m

Gi tr trung bnh mu ca tch hai bin Xi v Xj

1 n
Aij = xik .x jk
n k =1

i, j = 1...m

Nh vy gi tr ca cc phn L_Da[i,j] mu l:

L _ Da [i, j ] = Aij XiTB . XjTB

i, j = 1...m

Nhn vo cng thc tnh ton trn ta d dng nhn thy c ma trn
covarian mu L_Da l mt ma trn i xng (L_Da[i,j] = L_Da[j,i]). Nh vy ta
tnh xong ma trn covarian mu L_Da.
Sau y l mt s thut ton lin quan n bi ton ang xt:
2. 6. 5 Xy dng hm tnh nh thc ca ma trn (sau s dng hm
ny tnh nh thc ca ma trn covarian L_Da)
2. 6. 5. 1 Phn 1:

a ma trn v dng tam gic trn (kh cc phn t di ng cho)

k := a [ k , i ]
Trong trng hp phn t trn ng cho =0 th trn ct cha phn t ta hon
i phn t max vi phn t ng cho.

__________________________________________________________________

76

Chng 2

Tc l nu a[k, k] = 0 th:

x := 0
i := k + 1...m
Nu abs( a[i, k] > x)th:

x := a [i, k ]

nh du hng cn i: r := i

Nu tt c cc phn t trn ct bng 0 th nh thc bng 0

Sau mi ln hon i th nh thc li i du v vy ta s dng mt bin shv
nh du s ln i du: shv := shv + 1
Hon i hng c phn t trn ng cho =0 vi hng c phn t trn ct
nhn gi tr ln nht.

x := a [ k , i ]

a [ k , i ] := a [ r , i ]
a [ r , i ] := x

i := k + 1...m
x := a [ k , i ] a [ k , k ]
j := 1...m

a [i, j ] := a [ j, i ] x a [ j, k ]
2. 6. 5. 2 Phn 2:

Tnh nh thc bng cch nhn cc phn t trn ng cho:

nh thc = a11 a22 ... amm

DT := 1
i := 1...m

DT := DT a [i, i ]
Trong trng hp (shv mod 2=0) th nh thc := DT

__________________________________________________________________

77

Chng 2

Cn ngc li th nh thc := DT
Nh vy tnh xong nh thc ca mt ma trn.
2. 6. 5. 3 Xy dng hm tnh nh thc ca ma trn khi b i 1
hng 1 ct :

Gi s tnh nh thc ca ma trn L_Da b i hng i ct j

Gn li ma trn nh sau:

k := 1...m

r := 1...m
Nu hng k = hng i, ct r = ct j th gn TG[k, r] = 1
Nu (hng k = hng i v ct r < > ct j) hoc (hng k < > hng i v ct r = ct
j) th gn TG[k, r] = 0

Cn li th gn TG[k, r] = L_Da[k, r]
Sau gi hm tnh nh thc cho ma trn TG, ma trn TG ny c c bng c
vi ma trn L_Da trn.
Tng t vi cch tnh nh thc ma trn L_Da b i hng i ct j bt k ta s
d dng tnh c phn ph i s ca mt phn t bt k.
Tip theo ta s xy dng phng trnh siu phng hi quy.
Nh ta bit phn trn, nhn c phng trnh siu phng hi quy ca
X1 ta phi tnh c:

Cc h s hi qui

L _ Da1*k
b1k =
L _ Da11*

k = 2m

Tnh hng s C
m

C = X 1TB b1k .XkTB

k =2

__________________________________________________________________

78

Chng 2

Nh vy sau khi tnh c cc h s hi quy b1k v hng s C ta s vit c

phng trnh siu phng hi qui c dng nh sau:

X 1 = b12 X 2 + b13 X 3 + ... + b1m X m + C

Sau ta tnh phng sai phn d v h s tng quan bi nh sau:

Phng sai phn d:

2
S1.234...
m =

det L _ Da
*
L _ Da11

H s tng quan bi

r12.34...m

2
S1.23...
m
= 1
L _ Da [1,1]

Nh vy tnh xong bi ton v siu phng hi qui.

2. 6. 6 Bi ton v tng quan ring :

H s tng quan ring c tnh bng cng thc:

r12.34...m =

det L _ Da12
det L _ Da11.det L _ Da22

2. 6. 7 Bi ton v hi quy tng bc :

Theo nh phn trn ta thy, bc 1 chng ta phi tnh cc h s tng quan

ton phn r1i , i = 2m. Nhng thc cht y ta phi tnh tt c rij, i, j = 1m vi
i<j

Theo nh ngha ta c :

rij =

L _ Da [i, j ]
L _ Da [i, i ] .L _ Da [ j , j ]

Sang cc bc sau, ta s s dng cng thc:

r1,i.i1 ,i2 ,...,ik =

r1,i.i1 ,i2 ,...,ik 1 r1,ik .i1 ,i2 ,...,ik 1 .ri ,ik .i1 ,i2 ,...,ik 1

(1 r

2
1,ik .i1 ,i2 ,...,ik 1

).(1 r

2
i ,ik .i1 ,i2 ,...,ik 1

__________________________________________________________________

79

Chng 2

Sau bc 1 ta chn c r1,i1 t gi tr ln nht trong cc rij. Bin c chn

l Xi1
S dng cng thc truy hi trn, bc 2 ta s phi tnh cc r1,i.i1, vi i i1 v

i 1 . Sau li chn c r1,i2.i1 t gi tr ln nht. Bin c chn tip l Xi2

C tip tc nh vy cho ti bc th k ta s tnh c r1i.i1,i 2,...,ik 1 vi i khc1,
i1, i2, ik 1.

Song song vi cc bc trn, mi khi chn c is, s = 1k ta phi tnh

phng sai phn d.
bc 2, phng sai phn d s l:

S1,2i1 = L _ Da [1,1]. 1 r1,2i1

v nh vy cho ti bc th k ta s c:

S1,2i1,i 2,...,ik = S1,2i1,i 2,...,ik 1 . 1 r1,2ik .i1,i 2,...,ik 1

iu ng quan tm ca bi ton hi quy tng bc ny l vic phi xy dng

c hm tnh h s tng quan ( bc 1 chnh l tng quan ton phn, cc
bc khc chnh l tng quan ring) gia 2 bin bt k. Hm ny s c s
dng sau mi khi ta ly c mt bin ng vi gi tr tng quan ln nht sau
mi tnh tip cc gi tr phng sai phn d ca mi bc.
2. 6. 8 Lu thut ton ca ba bi ton nu trn (trang bn) :

__________________________________________________________________

80

Chng 2

__________________________________________________________________

81

Chng 2

__________________________________________________________________

82

Chng 3

CHNG 3 : KIM NH GI THIT TRN VECT K VNG

3. 1 Mu thun gia kim nh nhiu chiu v mt chiu :

Kim nh gi thit trong trng hp a chiu thng phc tp hn trong m

hnh n chiu. S lng cc bin s s dn n s chnh lch. V d nh cho mt

p
2

phn phi chun vi p bin, s c p trung binh, p phng sai v hip phng

p
2

sai, y biu din s cp bin tng quan trong p bin. Tng s cc bin s

p
2

c quan tm s l : p + p + =

1
p ( p + 3) .
2

V d khi cho p = 10 th tng s bin s s l 65. Vi mi mt bin s , mt

gi thit c th c ra. Ngoi ra, ta c th quan tm trong kim tra gi thit v
nhm con cc bin s hoc v cc hm ca chng. Trong mt s trng hp, ta c
th c hai gi nh trong s mu thun gia cc kim nh thng k.
Ta bn v qu trnh u trong kim nh p bin nhiu chiu thay v ( hoc
thm vo ) mt bin n chiu.V d nh gi thit v 1 , 2 ,..., p trong . Ta c
bn lun c trong cch tip cn nhiu chiu kim nh gi thit :
1.

S dng p n bin kim tra tng t l li trong sai lm I , , bi v kim

nh m hnh nhiu chiu phi bo m tin cy . Nu ta cho p = 10 n
bin ring bit v kim nh tin cy 0.05, xc sut c t nht mt sai lm
c t chi l ln hn 0.05. Nu cc bin l c lp ( t xy ra ), chng ta s
c (vi gi thit H 0 ).
P( t nht mt t chi) = 1 P( tt c 10 kim nh chp nhn

H0 )

= 1 ( 0.95 ) = 0.40
10

2.

Kt qu tng cng ca 0.40 l mt t l li khng chp nhn c. Thng

thng khi 10 bin l tng quan th tng giao ng trong khong t 0.05

__________________________________________________________________

83

Chng 3

n 0.40. Cc bi ton kim nh n bin hon ton b qua s tng quan

gia cc bin, trong khi cc kim nh nhiu bin theo hng s dng s
tng quan gia cc bin.
3.

Trong nhiu trng hp kim nh nhiu bin th mnh hn. mnh ca

mt kim nh l xc sut t chi H 0 khi n sai lm. Tt c p bin ca
kim nh n bin khng t n mt ngha, nhng kim nh nhiu chiu
li c ngha. Bi v nh hng nh trn t hp cc bin ng thi chng t
c ngha. Tuy nhin trong cng mt mu vi gii hn s lng cc bin,
kim nh nhiu bin c th x l m khng mt i sc mnh ca n. iu ny
s c lm r chng ny

4.

Mt s kim nh nhiu bin lin quan n k vng c h qu ph n s kt

hp tuyn tnh ca cc bin, iu ny thm chi tit s kt hp cc bin dn n
t chi gi thit.

3. 2 Kim nh trn vi bit :

Kim nh trn mt vector trung bnh vi gi thit bit c gii thiu

minh ha trong bi ton kim nh nhiu chiu thit lp nn mng cho trng
hp cha bit. u tin l trnh by trng hp n bin, nh vy ta s lm vic

trn bin n y c phn phi chun N , 2 .

3. 2. 1 Nhc li kim nh n bin gi thit H 0 : = 0 vi bit :

Mt gi thit c quan tm l k vng ca y bng gi tr 0 , i thit thay

th l khng bng vi 0 .
Gi thit H 0 : = 0 ; i thit H1 : 0

Ta khng xem xt mt bn gi thit thay th bi v chng khng th tng qut ha

trong trng hp kim nh nhiu chiu. Gi s c mt mu ngu nhin vi n quan
st : y1 , y2 ,..., yn c phn phi

N ( , 2 ) vi 2 bit. Ta c biu thc

y = i =1 yi n v dng kim nh thng k so snh vi 0

n

__________________________________________________________________

84

z=

y 0

Chng 3

y 0
n

(3.1)

z c phn phi chun N ( 0,1) nu H 0 l ng. Cho = 0.05 ta s bc b gi thit

H 0 nu z 1.96 . Tng t nh vy, ta c th dng z 2 vi phn phi 2 mt bc

t do. Trong trng hp ta s bc b H 0 nu z 2 (1.96 ) = 3.84 . Nu n ln, ta
2

s dng nh l gii hn trung tm xp x z, thm ch ngay c khi cc quan st

khng c phn b chun.
3. 2. 2 Kim nh nhiu chiu cho gi thit : H 0 : = 0 vi bit :

Trong trng hp nhiu chiu ta c nhiu bin o c trn cng mt n v

mu, v mong mun a ra gi thit gi tr k vng cho mi bin. Gi thit

H 0 : = 0 ; i thit H1 : 0 . C th hn , ta c
1 01
1 01

2 02
2 02

Gi thit H 0 :
, i thit H1 :

0 p
0 p

p
p

y mi mt 0 j thit lp t mt tin nghim hoc l mt gi tr mc tiu. Vector

ng thc trong H 0 bao gm j = 0 j cho tt c j = 1, 2,..., p . Vector biu thc
trong H1 cha ng t nht mt j 0 j . V vy, nu nh j = 0 j cho tt c cc

j ngoi tr 2, trong 2 0 2 th ta bc b H 0 .
kim nh H 0 , ta dng mu ngu nhin vi n vector c quan st

y1 , y2 ,..., yn t phn b chun N p ( , ) , vi bit , v cng thc

y = i =1 yi n . Kim nh thng k l :
n

'

Z 2 = n y 0 1 y 0

(3.2)

__________________________________________________________________

85

Chng 3

Nu H 0 ng, Z 2 c phn phi chi-bnh phng 2 nh cng thc (1.66)

'

( Nu y c phn phi N p ( , ) th y 1 y c phn phi 2 ). V vy

ta s bc b H 0 nu Z 2 > 2 , p . Cng cn lu , trong trng hp n chiu mt
bin, z 2 c phn phi chi-bnh phng vi mt bc t do, y vi p bin th Z 2
trong (3.2) c phn phi chi-bnh phng vi p bc t do.
Nu cha bit th ta c th dng S thay th trong cng thc (3.2) v Z 2
s c xp x bi phn phi chi-bnh phng. Khi n ln, tng t trong tnh hung
n chiu ta c :

y )
(
t=
0

(s n )

xp x phn phi chun N ( 0,1) cho n > 30 . Gi tr ca n cn cho cng thc (3.2)
xp x phn phi chi-bnh phng vi p bc t do l bao nhiu? iu ny s
c lm sng t phn sau. By gi ta xt v d:
V d 3.1 : Cho Bng 3.1, nghin cu v chiu cao v cn nng ca 20 nam

sinh vin i hc. Ta gi thit rng mu ny c pht xut t phn phi chun hai
chiu N 2 ( , ) , y

20 100
=

100 1000
Gi s ta mun kim nh gi thit H 0 : = ( 70,170 ) . T bng d liu ta c
,

y1 = 71.45 v y 2 = 164.7 . Nh vy ta c :
2

'

Z = n y 0

71.45
y 0 = ( 20)
164.7

70 20 100 71.45

170 100 1000 164.7

70

170

0.01 1.45
0.1
= ( 20 )(1.45, 5.3)

= 8.4026
0.01 0.002 5.3

__________________________________________________________________

86

Chng 3

s dng = 0.05, 02.05, 2 = 5.99 , nh vy mnh bc b gi thit

H 0 : = ( 70,170 ) bi Z 2 = 8.4026 > 5.99 .

,

Ngi

Chiu cao

Cn nng

Ngi

Chiu cao

Cn nng

Bng 3.1: S liu v chiu cao v cn nng ca 20 nam sinh vin i hc

Min bc b cho y = y1 , y2

trn hoc bn ngoi ellipse trong Hnh 1.1,

kim nh thng k Z 2 ln hn 5.99 khi v ch khi y nm bn ngoi ellipse. Nu

y ri vo trong ellipse th H 0 c chp nhn. Nh vy khong lm cho 0 tt

phi c tnh theo hng c li. Khi khong ny c chun ha bi 1 th
tt c cc im trn biu l thng k ng u t tm im.
Ch rng kim nh c hiu chnh n cu trc hip phng sai. Nu

cov ( y1 , y2 ) l i lng m th y2 c xu hng tng khi y1 gim, v ellipse s

nghing theo mt hng khc. Trong trng hp ny y s trong min nhn.
By gi ta kho st h qu ca vic kim nh mi mt bin ring l. S dng

z 2 = 1.96 cho = 0.05 . Ta c

z1 =

y1 01
= 1.450 < 1.96
1 n

z2 =

y 2 02
= 0.7495 < 1.96
2 n

__________________________________________________________________

87

Chng 3

Nh vy c hai kim nh u chp nhn gi thit. Trong trng hp ny c

hai y u tin cy t cc gi tr gi thit, a n quyt nh khng bc b.
Nhng khi tng quan gia y1 v y2 dng, a vo kim nh nhiu chiu, hai
du hiu i nghch 0 kt hp a n t chi. Minh ha u im th 3 ny
ca thng k nhiu chiu c trnh by phn trc.

Hnh 1.1 Hnh dng ellipse min nhn

Hnh 1.2 cho thy c hnh ch nht ca min nhn trong kim nh n
bin chng ln trn hnh dng ca ellipse min nhn kim nh nhiu chiu. Hnh
ch nht ny thu c t hai min nhn sau :

01 1.96
02 1.96

1
n

2
n

< y1 < 01 + 1.96

< y1 < 02 + 1.96

1
n

2
n

__________________________________________________________________

88

Chng 3

Nhng im nm bn trong ellipse nhng nm bn ngoi hnh ch nht s b t chi

trong trng hp n bin nhng li c chp nhn trong trng hp nhiu bin.

Nhiu chiu : chp nhn

Mt chiu : bc b

Nhiu
chiu t
chi
Mt
chiu
bc b

Hnh 1.2 Min nhn v min bc b cho kim nh n v a chiu

Tng t, kt qu ca t kim nh mt bin cng s tng nh c gii

thiu trong phn trnh by ng c dn n vic nghin cu kim nh nhiu chiu
trong phn m u. Vn ny c tham kho thm nghch l Rao. Nghin cu k
hn c th tm thy t Rao (1966), Healy (1969), v Morrison (1990, p.174). Cc
im nm bn ngoi ellipse nhng bn trong hnh ch nht s b t chi trong m
hnh nhiu chiu nhng li cng c chp nhn trong m hnh n chiu. ta
thy c trong nhiu tnh hung kim nh nhiu chiu l mnh hn.
Trong trng hp c hai u c biu din t phn c t bng. Ta cng
nn dng kt qu ca kim nh nhiu chiu, khng dng kt qu kim nh mt
chiu. Trong nhiu trng hp kim nh nhiu chiu mnh hn so kim nh mt
chiu v kim nh nhiu chiu m bo c h s trong khi kim nh n

__________________________________________________________________

89

Chng 3

chiu th li lm tng h s . Do , khi m kim nh nhiu chiu v mt chiu

khng tng thch th kt qu kim nh nhiu chiu l xu hng tin cy.
3. 3 Kim nh gi thit trn khi cha bit :
3. 3. 1 Nhc li kim nh n bin cho gi thit H 0 : = 0 khi cha
bit :

u tin ta nhc li t-test mt mu thng thng trong trng hp mt chiu.

vi mt bin o c trn cng n v mu. Gi thit rng mu ngu nhin

y1 , y2 ,..., yn c c t phn phi N ( , 2 ) . Ta s c lng bi y v 2 bi

s 2 , y y v s 2 c cho bi:
y=

1
yi v s 2 = i =1

n 1
n i =1
n

yi y

kim nh Gi thit H 0 : = 0 ; i thit H1 : 0 , ta s dng :

n y 0
y 0
t=
=
s
s n

(3.3)

Nu gi thit H 0 l ng , t c phn phi nh tn1 , vi n 1 l s bc t

do. Ta bc b gi thit H 0 nu

n y 0

s t 2 , n1 , vi t 2 , n 1 l gi tr ti

hn c tra t Bng . Biu thc u tin (3.3) , t = y 0

) (s

n l dng

c trng ca thng k t , tc l biu din mu c chun ha khong cch

gia y v 0 . Trong m hnh ny, k vng l thuyt th c tr t y v c
chia bi s y = s

n . Khi y1 , y2 ,..., yn l mu ngu nhin t phn phi chun

N , 2 , bin ngu nhin y v s l c lp. Cng s tng t cho dng c

trng ca thng k T 2 trong trng hp nhiu chiu.

__________________________________________________________________

90

Chng 3

3. 3. 2 T 2 ca Hotelling kim nh gi thit H 0 : = 0 vi cha bit

By gi ta chuyn n trng hp nhiu chiu vi p bin o c trn cng

mt n v mu. Gi thit rng mu ngu nhin y 1 ,y 2 ,...,y n c c t phn phi
chun N p ( , ) . y y i bao gm p gi tr o c v tr th i trn mu. Ta
c lng bi y v bi S . Vi y c cho bi cc cng thc (1.1) v (1.4).
Cn S c cho bi cng thc (1.7)
kim nh Gi thit H 0 : = 0 ; i thit H1 : 0 , ta s dng phn
m rng ca thng k n bin t trong cng thc (3.3), dng bnh phng, bin

t c th c vit li nh sau :
t2 =

n y 0
s2

)( ) ( y )

= n y 0 s 2

(3.4)

Khi y 0 v s 2 c thay th bi y 0 v S , ta tm c kim nh

thng k:

) (
'

T 2 = n y 0 S 1 y 0

(3.5)

Cch hnh thnh T 2 c th tm c t Z 2 trong (3.2) bng cch thay th

bi S
Phn phi T 2 c tm bi Hotelling (1931). Gi thit l H 0 ng v mu
c ly t phn phi N p ( , ) . Phn b c m ha bi hai tham s, s chiu p
v s bc t do l v = n 1 . Ta bc b gi thit H 0 nu T > T , p , n 1 v nu
2

khng th chp nhn gi thit H 0 . Cc gi tr ti hn ca phn phi T 2 c tm

bi Kramer v Jensen (1969).
Ch rng thut ng chp nhn H 0 c dng thun tin cho vic
trnh by cc quyt nh khi ta khng bc b gi thit. Nu c mu l cc ln v ta
chp nhn H 0 . Ta c th chc chn tnh hp l ca khi n tin gn ng n

__________________________________________________________________

91

Chng 3

gi tr ca gi thit 0 . Nu khng, ta chp nhn H 0 theo ngha l khng th t

chi n.
Thng k T 2 l mu c chun ha khong cch gia vector trung bnh
mu vi vector k vng l thuyt. Nu vector trung bnh ca mu cch xa ng k
vi vector k vng l thuyt th ta nghi ng v vector k vng l thuyt v s t
chi gi thit H 0 .
Thng

kim

nh

) (
'

T 2 = n y 0 S 1 y 0

mt

lng

hng,

c dng ton phng. Nh vi phn phi

vy

2 ca

Z 2 , hm mt ca ca T 2 c th dng i xng lch bi v gii hn di bng

0 v khng c gii hn trn.
Biu din c trng ca thng k T 2 (3.5) l :
2

T = n y 0

'S

(y )
0

(3.6)

Biu diu c trng ny c hai c im nh sau :

1. S n l ma trn hip phng sai mu ca y v c dng nh mt ma trn chun

ha trong hm khong cch.

2. V y 1 ,y 2 ,...,y n c phn phi chun N p ( , ) nn y c phn phi

1
N p , , ( n 1) S c phn phi W ( n 1, ) , y v S l c lp.
n
Trong cng thc (3.3) thng k t , trng hp n bin, biu din kt qu ca
lch chun y , l tch bit vi 0 . S xut hin thng k T 2 trong cng thc
(3.6) hon ton tng t. Nhng khng n gin c th gii thch vn ny.
Nu ta thm vo mt bin, khong cch trong cng thc (3.6) s tng ln (bi tng
t, cnh huyn ca mt tam gic vung th di hn mi mt cnh cn li). Nh vy
ta cn mt thng k kim nh c th ch ra c ngha ca khong cch t y
n 0 trong khi tnh kt qu ca kch thc. V kt qu ca thng k T 2 khng

__________________________________________________________________

92

Chng 3

c th lm sng t s hng ca lch chun t y n 0 . Ta khng th

dng trc gic cm nhn iu ny nh l thc hin trong trng hp mt chiu.
Ta phi so snh gi tr biu thc ca T 2 vi gi tr ca bng. Ngoi ra bng T 2 cn
cung cp mt s hiu bit v s biu din ca phn phi T 2 . Bn hiu bit ny s
c trnh by phn cui ca mc ny.
Nu mt kim nh dn n quyt nh bc b gi thit : H 0 : = 0 . Cu
hi c t ra l bin hoc cc bin no gp phn ln vo vic t chi ny. Vn
ny s c bn k phn sau cho trng hp hai mu kim nh T 2 gi thit

H 0 : 1 = 2 .
Sau y l mt s tnh cht then cht ca T 2 test :
Ta phi c n 1 > p . Nu khng S th suy bin v T 2 khng th tnh c.
Trong c hai trng hp mt mu v hai mu s bc t do cho thng k T 2

s ging nh cho trng hp mt bin v tng t nh t test . Ngha l ,

v = n 1 cho trng hp mt mu v v = n1 + n2 2 cho trng hp hai

mu.
i thit l hai pha, bi v trong khng gian a chiu, ta khng ch n

mt pha ca i thit, v d nh > 0 . Tuy nhin, d l i thit

H1: 0 v bn cht vn l hai pha. Min ti hn l pha bn tri ( khi ta

t chi H 0 v gi tr ca T 2 ln ). y l mt c trng ca kim nh nhiu
chiu.
Trong trng hp mt chiu, tn21 = F1, n 1 . Thng k T 2 c th chuyn i

thnh thng k F nh sau :

v p +1 2
Tp , v = Fp , v p +1
vp

(3.7)

Ch rng p chiu (s lng cc bin) ca thng k T 2 l tham s u tin

trong hai tham s bc t do ca F . S bc t do ca T 2 c xc nh bi v .

__________________________________________________________________

93

Chng 3

Chuyn i sang F th phi thm vo cc iu kin chung ca v , v vy cc p

dng khc ca T 2 s c v khc i t n 1
Biu thc (3.7) a n vic d dng c th tm c min ti hn ca

T 2 test . Tuy nhin, ta cng c th tra t Bng B1 (c nh km cui lun vn)

mt cch r rng. N mang n nhng hiu bit r v phn phi T 2 c trong trng
hp c bit v trong kim nh nhiu chiu tng qut.
Sau y l mt s nhn nh c rt ra t Bng B1 :
1. Cc ct u tin ca bng T 2 (c nh km cui lun vn ) bao gm cc

bnh phng gi tr ca bng t . Ngha l T2,1, v = t2 2 , v (ta s dng t2 2 , v v

kim nh mt bin vi gi thit H 0 : = 0 ; i thit H1 : 0 l hai
pha). Khi cho p = 1 T 2 quy v t 2 . iu ny c th d dng c thy khi so
snh hai cng thc (3.5) v (3.4).
2. Dng cui trong mi trang ca bng T 2 bao gm cc gi tr ti hn ca 2 ,

ngha l Tp2, = p2 , khi m n tng ln, S c thay cho , ta c

) (
'

T 2 = n y 0 S 1 y 0

'

thay th Z 2 = n y 0 1 y 0

trong

(3.2). Ngha l n c phn phi nh phn phi 2 .

3. Cc gi tr c tng ln dc theo mi dng ca bng, ngha l khi ta c nh

v gi tr ti hn T2, p , v ng bin vi p . iu ny cho thy rng vi mt mu

bt k, gi tr biu thc ca T 2 tng nu mt bin c tng ln. Tuy nhin
khi gi tr ti hn c tng ln nh vy, bin khng nn tng thm, t nht l
khi b sung s lng n T 2 .
4. Khi p tng, gi tr ca v yu cu phi ln hn cho phn phi T 2 xp x phn

phi 2 . Trong trng hp mt bin, gi tr t trong (3.3) c xem nh l

xp x tt n phn phi chun ca z trong cng thc (3.1). Khi v = n 1 t
nht l 30, trong ct u tin ca bng T 2 ta thy T02.05 , 1, 30 = 4.171 v

__________________________________________________________________

94

Chng 3

T02.05, 1, = 3.841, t s ca 4.171 3.841 = 1.086 . Cho p = 5 , v phi l 100

mi c th nhn c cng t s T02.05 , 5,100 = T02.05 , 5, = 1.086 . Cho p = 10 , ta
cn c

v = 200

nhn c mt gi tr t s tng t :

T02.05 , 10 , 200 = T02.05 , 10 , = 1.076 . Do vy phi tht thn trng trong kt lun rng
T 2 xp x phn phi 2 khi n ln. Mc (h s sai lm loi I), thc
cht c th b tng ln. V d gi s p = 10 v ta gi thit l n = 30 l
rng cho mt xp x phn phi 2 , th ta s phi t chi gi thit H 0 v

T 2 18.307 vi mc ngha ca l 0.05. Tuy nhin gi tr ti hn ng l

34.044 v sai lm ca 18.307 c hiu sut tn nhim thc s mc ngha

l P T102 , 29 18.307 = 0. 314 .

V d 3.2 : Bng 1.1 v d 1.1, m t ba bin : y1 l lng calcium kh dng trong

t, y2 l lng calcium c chuyn ha, y3 l lng calcium c trong cy ci

xanh
T Bng 1.1 ta c n = 10 quan st v p = 3 bin. Gi tr k vng ca y1 v

y2 l 15.0 v 6.0 tng ng vi gi tr k vng ca y3 l 2.85. Ta kim nh gi

thit

T kt qu v d 1.1 ta c :

kim nh gi thit H 0 ta dng (3.5) :

__________________________________________________________________

95

Chng 3

Tra t bng T 2 ta c gi tr ti hn T02.05, 3, 9 = 16.766 , vy gi tr quan st ca T 2

vt xa gi tr ti hn, ta quyt nh bc b gi thit.
3. 4 So snh hai vetor trung bnh :

u tin ta nhc li hai mu t test mt bin v xy dng n tng t trong

trng hp kim nh nhiu chiu.
3. 4. 1 Nhc li hai mu mt chiu vi kim nh t Test

Trong trng hp mt bin ta thu c mt mu ngu nhin y11 , y21 ,..., y1n1 t

phn phi chun N 1 , 12

) v mu ngu nhin th hai

y21 , y22 ,..., y2 n 2 t phn

phi chun N 2 , 22 . Gi s l hai mu trn c lp v 12 = 22 = 2 , vi 2

cha bit [ gi thit v s c lp v phng sai bng nhau l cn thit cho thng k

t trong (3.8) c c phn phi t ]. T hai mu cho ta tnh c gi tr

y1 , y 2 , SS1 = i =11 y1i y1

n

= ( n1 1) s12 , SS 2 = i =21 y2i y 2

n

= ( n2 1) s22 ,

phng sai chung l :

s 2pl

2
2
SS1 + SS2 ( n1 1) s1 + ( n2 1) s2
=
=
n1 + n2 2
n1 + n2 2

y n1 + n2 2 l tng s phn t ca n1 1 v n2 1 . Vi mu s ny s 2p l l

( )

mt c lng khng chch cho phng sai 2 , ngha l E s 2p l = 2 .

kim nh:
Gi thit H 0 : 1 = 2 vi i thit H1 : 1 2

Ta dng

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96

t=

Chng 3

y1 y 2
1 1
s pl
+
n1 n2

(3.8)

Vi phn phi t c n1 + n2 2 bc t do khi gi thit H 0 ng. Ta mnh dn

t chi H 0 nu t > t

2 , n1 + n2 2

Ch cng thc (3.8) biu din dng c trng ca mt thng k t

( t statistic ) . Trong biu din ny mu s l mu lch chun ca cc phn t,
ngha l s pl 1 n2 + 1 n2 l mt c lng ca :

y y = var y1 y 2 =
1

2
n1

2
n2

12
n1

22
n2

1 1
+
n1 n2

3. 4. 2 Kim nh T 2 Test vi hai mu nhiu chiu :

Ta xem nh y p bin l o c trn cng n v mu trong c hai mu.

Ta kim tra : gi thit H o : 1 = 2 vi i thit H1 : 1 2
Ta thu c mt mu ngu nhin th nht y11 , y 21 ,...,y1n1 t phn phi chun

N p ( 1 , 1 ) v mu ngu nhin th hai y 21 , y 22 ,..., y 2 n 2 t phn phi N p ( 2 , 2 ) .

Gi s hai mu l c lp v 1 = 2 = , vi cha bit. Nhng gi nh ny
l cn thit cho thng k T 2 trong (3.9) c c phn phi T 2 . Kim nh gi
thit H 0 : 1 = 2 s c trnh by phn sau. Cho mt xp x kim nh gi
thit H 0 : 1 = 2 iu ny c th c s dng khi 1 2 , tuy nhin trong gii
hn ca ti ta s khng trnh by vn ny. C th tham kho vn
Rencher (1998, mc 3.9).

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97

Vector trung bnh mu l y1 =

n1
i =1

Chng 3

y1i n1 v y 2 = i =21 y 2i n2 . nh ngha

n

W1 ,W2 l ma trn ca tng bnh phng v tch trc tip ca hai mu :

n1

)(

)(

'

W1 = y1i y1 y1i y1 = ( n1 1) S1
i =1
n1

'

W2 = y 2i y 2 y 2i y 2 = ( n2 1) S 2
i =1

V ( n1 1) S1 l c lng khng chch ca ( n1 1) 1 v ( n2 1) S 2 l c lng

khng chch ca ( n2 1) 2 . Ta c th gp chng li biu din mt c lng
khng chch cho mt ma trn hip phng sai tng th , :

S pl =
=

1
( W1 +W2 )
n1 + n2 2
1
( n1 1) S1 + ( n2 1) S 2
n1 + n2 2

( )

Nh vy E S pl =
Bnh phng ca thng k mt bin t trong (3.8) c th biu din nh :

t2 =

)( ) ( y

n1n2
y1 y 2 s 2pl
n1 + n2

y2

iu ny c th tng qut ha n p bin bng cch thay y 1 y 2 bi y1 y 2

v S 2pl bi s 2pl , c c :

T2 =

) (

'
n1n2
y1 y 2 S pl1 y1 y 2
n1 + n2

(3.9)

T 2 c phn phi l Tp2, n1 + n2 2 khi gi thit H o : 1 = 2 l ng. tin hnh

kim nh, ta chn hai mu, tnh T 2 theo cng thc (3.9) , v bc b gi thit

H o : 1 = 2 nu T 2 Tp2, n1 + n2 2 . Gi tr ti hn ca T 2 c tra t bng T 2 .

__________________________________________________________________

98

Chng 3

Thng k T 2 c th biu din bi dng c trng nh l mt chun ha

khong cch gia y1 v y 2 :

T 2 = y1 y 2

'

1 1
+ S pl
n1 n2

(y

y2

(3.10)

y (1 n1 + 1 n2 ) S pl l ma trn hip phng sai mu ca y 1 y 2 v S pl l c

lp vi y 1 y 2 do mu ly t phn b chun nhiu chiu.
Mt s cc tnh cht mu cht ca hai mu kim nh T test c nu ra
sau y :
1. iu cn thit y l n1 + n2 2 > p S pl khng b suy bin.
2. Thng k T l i lng v hng. 3 p + p ( p 1) 2 s cc phn t trong

y1 ,y 2 v S pl c quy v mt t l chun m trn T 2 th ln nu mu c xu

hng b lch H1 : 1 2 v nh nu chng t c H 0 : 1 = 2 . Ta bc b gi
thit H 0 nu khong cch chun ha gia y 1 ,y 2 l ln.
3. V gii hn di ca l 0 v khng c gii hn trn nn hm mt b i xng

lch. Nh ch thch trong (3.11) T 2 c mi lin h trc tip vi F , iu ny ta

bit r trong phn phi lch.
4. Ta c s bc t do ca T 2 l n1 + n2 2 , iu ny cng tng ng nh trong

thng k t mt bin trong (3.8)

5. i thit H1 : 1 2 l hai pha. Min ti hn T 2 > T2 l mt pha. Tuy nhin

iu ny l c trng ca cc kim nh nhiu chiu.

6. Thng k T 2 sn sng bin i sang thng k F , s dng (3.7)

n1 + n2 p 1 2
T = Fp , n1 + n2 p 1
( n1 + n2 2 ) p

(3.11)

y mt ln na s chiu p ca thng k T 2 tr thnh tham bc t do u tin

ca thng k F .

__________________________________________________________________

99

Chng 3

V d 3.3 : Bn bi trc nghim tm l c lm bi 30 n ng v 32 ph n. D

liu im s c cho bi Bng 3.2 di y. Cc bin y l : y1 = cc hnh nh

tri ngc nhau ; y2 = nhn dng vt ; y3 = bng biu bng giy ; y4 = bng t
vng.
Vector trung bnh v ma trn hip phng sai mu l :
n ng

Ph n

Bng 3.2 : Bn im s ca bi trc ngim tm l trn 32 n ng v 32 ph n

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100

15.97

15.91

y1 =
,
27.19

22.75

Chng 3

12.34

13.91

y2 =
16.66

21.94

Ma trn hip phng sai mu khng xut hin chng t chnh lch vi ma trn
hip phng sai tng th. Ma trn hip phng sai chung l :

T (3.9) ta c c :

Ni suy t bng T 2 , ta c c T02.01, 4 , 62 = 15.373 , kt qu ny mnh bc b

gi thit H 0 : 1 = 2 , v T 2 > T02.01, 4 , 62 = 15.373 .
3. 5 Kim nh trn tng bin ring l vi iu kin bc b gi thit H 0 bi

T 2 test :
Nu gi thit H 0 : 1 = 2 b t chi, h qu l 1 j 2 j cho t nht mt j
no vi j = 1,..., p . Nhng y khng m bo l gi thit H 0 : 1 j = 2 j s

__________________________________________________________________

101

Chng 3

b bc b cho mt s j no khi kim nh l n bin. Tuy nhin nu z = a'y l

s kt hp tuyn tnh gia cc bin th c t nht mt vector h s a c cho bi

t (a) =

z1 z1

(1 n1 + 1 )

n2 sz2

(3.12)

Ta s t chi cc gi thit ng dng H 0 : z 1 = z 2 hoc H 0 : a'1 = a' 2 . T

cng thc xy dng mc 1.3.1 chng 1 ta c z1 = a' y1 v z2 = a' y 2 , mt
khc ta cng c :

a' y1 a' y 2

t (a) =

( n1 + n2

n1n2 ) a S pl a
'

(3.13)

V t ( a ) c th l s m nn ta thao tc trn t 2 ( a ) . Hm tuyn tnh z = a'y l

hnh chiu ca y trn mt ng thng i qua tm. Ta c gng tm mt ng
thng (nh hng) m trn m hiu s gia y1 y 2 l nh nht khi thc hin

php chiu. Khong cch c chiu a' y1 y 2

) [ c chun ha bi a S
'

pl

trong (3.13)] l nh nht trong bt k cc hng chiu song song khc ni y1 v

y 2 . Gi tr ca a c chiu trn ng thng ny hoc tng ng s cc i

t 2 ( a ) trong (3.13) l

a = S pl1 y1 y 2

(3.14)

V a trong (3.14) chiu y1 y 2 trn mt ng thng song song vi ng

ni gia y1 v y 2 nn ta k vng l t 2 ( a ) = T 2 .

Khi a = S pl1 y1 y 2

) th z = a y c gi l hm phn bit. i khi chnh

'

vector a trong (3.14) m ch tnh khng cht ca hm phn bit.

__________________________________________________________________

102

Chng 3

Nu gi thit H 0 : 1 = 2 b bc b bi kim nh T 2 trong (3.9), hm phn

bit a'y s dn n quyt nh bc b gi thit H 0 : a'1 = a' 2 dng (3.13) vi

a = S pl1 y1 y 2 . Ta c th kim tra tng a j trong a cho du hiu ca phn phi

vi s tng ng y j bc b gi thit H 0 . Cch kim tra cho tng a j ny ch
nn thc hin nu gi thit H 0 : 1 = 2 b bc b bi kim nh T 2 .
Ta s lit k iu ny v cc phng php khc kim tra mi bin, dn n
t chi H 0 trong m hnh kim nh hai mu vi T 2 test :
1. Kim nh mt bin t test , mt trong mi bin :

tj =

y1 j y 2 j
( n1 + n2 n1n2 ) sij

j = 1, 2,..., p

(3.15)

y s jj l phn t thuc ct j trn ng cho ca ma trn S pl . Ta bc b gi

thit H 0 : 1 j = 2 j nu t j > t

2 , n1 + n2 2 .

Vi mc tin cy l khong cch ca

1 j 2 j .
2. hiu chnh mc ngha t biu din p kim nh trong (3.15), ta c th s

dng gi tr ti hn Bonferroni t
1936). Gi tr ti hn t

2p

2 p , n1 + n2 2

cho cng thc (3.15)(xem Bonferroni

th ln hn nhiu so vi t

tng ng, v kt qu

tng qut ca mc c ngha l an ton hn. Bng B2, gi tr ti hn

Bonferroni t

2 p, v

c cho phn Ph lc B.

3. Mt gi tr ti hn khc c th c dng cho cng thc (3.15) l T , p , n1 + n2 2 ,

y T l cn bc hai ca bnh phng T2 t bng T 2 . Ngha l :

T , p , n1 + n2 2 = T 2 , p , n1 + n2 2 . iu ny cho thy tt c cc p bin c th c

kim nh tt nh s kt hp tuyn tnh ca chng. Nh trong (3.13) th s kt

__________________________________________________________________

103

Chng 3

hp tuyn tnh ch c chn la sau khi thy c d liu. V vy, vic s

dng T thm ch cn an ton hn l t

2p

, ngha l T , p , n1 + n2 2 > t

2 p , n1 + n2 2 .

4. Tnh cc b ca kim nh F hoc , kim nh mi mt bin hiu chnh cho

cc bin khc s c trnh by phn sau.

Phng php th 3 c trnh by trn y cho thy vic khng s dng hip
phng sai v tng quan trong tnh ton ca kim nh thng k.
Khi xt cc phng php 1, 2, v 3 trn. Kh nng bc b mt hoc nhiu
hn ca p kim nh p mt bin khi gi thit H 0 ng c gi l h s sai lm
thc nghim. Nu ta ch kim nh mt bin duy nht, khng phi kim nh

T 2 test , th kim nh da trn t 2 p v T trong phng php 2 v 3 l c

bo ton ( tng th rt b), v kim nh da trn t

phng php 1 l khng

cn thit ( v tng th qu cao ). Tuy nhin cc kim nh ny ch nn thc hin

sau khi gi thit H 0 b bc b bi T 2 test ( trong nhiu trng hp nh vy gi
l kim nh bo h), h s sai lm thc nghim thay i. Tt nhin l kim nh
nh vy s t kh nng bc b (gi thit H 0 ) nu chng c thc hin khi m

T 2 test bc b gi thit. Nh vy, cc kim nh bng cch s dng t 2 p v T

tr nn an ton hn, v kim nh s dng t

dn n kh nng chp nhn gi

thit H 0 nhiu hn.

Hummel v Sligo (1971), nghin cu v h s sai lm thc nghim cho
kim nh mt bin vi t test khi bc b gi thit H 0 b bi T 2 test ( kim
nh bo h). S dng mc ngha = 0.05 , h thy rng bng cch s dng t

cho min gi tr ti hn vi tng th ng chp nhn gn vi gi tr rt b 0.05.

Trong thc t, n rt t an ton, nhng iu ny rt c a chung kim nh
mt bin (trong gii hn nghin cu ca h). H cng so snh cc phng php ny
vi cc kim nh khc m khng tin nghim T 2 test ( kim nh khng bo h).
Trong trng hp ny tng th l qu cao so vi k vng. Bng 3.3 c cho

__________________________________________________________________

104

Chng 3

di y l mt trch on cc kt qu ca Hummel v Sligo. Kch c mu c

cho mi mt trong hai mu, h s r 2 l chung cho mi cp bin.
Do Hummel v Sligo khuyn khch thc hin kim nh nhiu chiu

T 2 test theo sau kim nh mt chiu t test . Phng php ny s xut hin
c h s nh mong mun v r rng s c mnh tt hn cc kim nh bng
ch cch s dng T hoc t / 2p nh l mt gi tr ti hn. Bng 3.3 cng nu bt tm
quan trng ca vic s dng t test mt bin khi ch kim nh nhiu chiu

T 2 test l c ngha. Vic tng mc c ngha ca nu kim nh l t test

c s dng m khng nh hng n kt qu ca kim nh T 2 test r rng l
hin nhin. V vy, trong ba phng php kim nh mt bin (phng php 1, 2,
v 3), u tin xut hin rt c a chung.
Trong cc phng php tip cn a bin. Ta lun mun so snh (gi tr tuyt
i) cc h s trong hm phn bit tm mc nh hng ca mi bin khi tch cc
quan st thnh hai nhm.Nhng h s ny thng nu ln mt tnh tit khc nhau t
cc kim nh mt bin, bi v kim nh n bin khng xem xt n nhng tng
quan gia cc bin hoc hiu qu ca mi bin trong T 2 vi s hin din ca cc
bin khc. Mi bin s c mt tc dng khc nhau trong s hin din ca cc bin
khc hn l ca chnh n.

Trong

hm

phn

bit

z = a'y = a1 y1 + a2 y2 + ... + an yn

a = S pl y1 y 2 , cc h s a1 , a2 ,..., an ch ra mc quan trng tng tc ca cc

bin trong mt phm vi no , iu m cc kim nh n bin t test khng th
lm c. Nu cc bin khng c tnh i xng th cc h s nn c chun ha.

__________________________________________________________________

105

Chng 3

r 2 chung

C mu

S cc bin
Kim nh trn mt bin duy nht a

Kim nh nhiu bin tip sau kim nh mt bin b

Bng 3.3 : So snh h s sai lm thc nghim (mc nh mc ngha

= 0.05 )

V d 3.4 : Trong d liu trc nghim cho Bng 3.2, t v d 3.3 ta tnh c

y1 , y 2 v S pl . Vector ca h s hm phn bit cho bi cng thc (3.14) l :

Nh vy s kt hp tuyn tnh c phn chia tt thnh hai nhm nh sau :

__________________________________________________________________

106

Chng 3

trong y1 v y3 xut hin ng gp cho s phn chia tt nht thnh hai nhm.
(sau khi chun ha cc lin h v s thay i mt s bin ).
3. 6 Thao tc tnh ton ca T 2 - Thu c T 2 t hi quy nhiu chiu :

Nu chng trnh lp trnh c kh nng thao tc trn mt ma trn cho trc th

s n gin ha hn c th tnh ton bng cch s dng T 2 trong cng thc
(5.9). Tuy nhin, phng php tip cn ny kh b tc cho nhng ngi khng quen
vi ngn ng lp trnh, v nhiu tip cn t ng ha. Nhng rt t khi cc lp trnh
thng k c xy dng trc tip t cng thc tnh cho hai mu ca T 2 c cng
chung mt mc ch thng k, c l v vy n s d dng thu c kt qu t
cc cch tip cn khc. Ta s bn m hnh m c th xy dng dng cho vic tnh
ton trn T 2 .
Trong phn ny, gi thit cc y l cc bin c lp trong m hnh hi quy .
i vi mi mt vector y1i v y 2 i c quan st trong mt ca hai mu T 2 , xc
nh m hnh ca mt nhm bin :

wi =

n2
cho mi y11 ,y12 ,...,y1n1 trong mu 1
n1 + n2

n1
cho mi y 21 ,y 22 ,...,y 2 n2 trong mu 2
n1 + n2

Khi w = 0 cho tt c n1 + n2 cc quan st. Phng trnh d bo cho hi quy

ca w trn cc y c th c vit nh sau :

wi = b0 + b1 yi1 + b2 yi 2 + ... + bp yip

y i l hng ca tt c n1 + n2 cc quan st, v c lng bnh phng b nht

b0 l :
b0 = w b1 y i1 b2 y i 2 ... bp y ip
Thay th vo phng trnh hi quy ta c :

__________________________________________________________________

107

Chng 3

wi = w + b1 yi1 y1 + b2 yi 2 y 2 + ... + bp yip y p

wi = +b1 yi1 y1 + b2 yi 2 y 2 + ... + bp yip y p ( khi w = 0 )

Cho b' = ( b1 , b2 ,..., bn ) l vector h s ca hm hi quy v R 2 l bnh
phng tng quan nhiu chiu. Ta c c mi lin h sau y :

R2
T = ( n1 + n2 2 )
1 R2
2

a = S pl1 y1 y 2 =

(3.20)

n1 + n2
n1 + n2 2 + T 2 b
n1n2

(3.21)

V vy, vi hi quy thng thng nhiu chiu, m hnh c th d dng thu

c T 2 v hm phn bit S pl1 y1 y 2 . Ta thng nh ngha wi nh trn cho

mi n1 + n2 cc quan st, hi quy cc w' trn cc y ' , v s dng kt qu R 2 trong
(3.16). i vi b, xa b nhng phn t h s hi quy c s dng trong (3.17).

Trn thc t, t ch c gi tr lin quan ca cc yu t ca a = S pl1 y1 y 2 th rt

c quan tm, n cho thy khng cn thit phi chuyn i t a sang b trong
(3.17).
V d 3.5 : Ta s minh ha cch xp x tnh ton T 2 s dng d liu trc nghim

tm l ca bng 3.2. Ta thit lp c w =

n2
32 1
=
= cho mi quan st
n1 + n2 64 2

nhm th 1 ( nhm cc n ng) v bng n n1

( n1 + n2 ) =

1
nhm th 2
2

(cc ph n). Khi m w quy hi ln lc trn 64 cc gi tr ca y , ta thu c :

__________________________________________________________________

108

Chng 3

T (3.16) ta c :

cc

kt

qu

3.4

ch

rng

b' = ( b1 , b2 , b3 , b4 ) = ( 0.051, 0.020, 0.047, 0.031) vi vic xa i phn ct b, l

t l vi vector a h s ca hm phn bit t v d 3.4 nh k vng t cng thc
(3.17)
3. 7 Kim nh cc cp quan st :

Nh thng l, ta s bt u vi cc trng hp n bin t nn tng

cho cc trnh by a chiu.
3. 7. 1 Trng hp mt chiu :

Gi s hai mu khng phi l c lp v c mt cch ghp t nhin gia quan

st th i, yi trong mu u tin v quan st th i, xi trong mu th hai cho tt c cc
i, v d nh , khi mt x l s liu c p dng vo hai mu ring l hoc khi cc
i tng ph hp theo mt s tiu chun. Php ghp ni cc mu thng c gi
tt l ghp ni ph hp hoc quan st cp. Hai mu thu c nh vy l tng quan,
v hai mu kim nh thng k trong (3.9) l khng thch hp v mu c ly phi
c lp (3.9) c phn phi t . [Hai-mu kim nh trong (3.9) l t mnh v cc
bin khng ng nht v thiu tnh chun tc nhng khng ph thuc]. Ta s co hp
hai mu thnh mt bng cch lm vic vi nhng khc bit ghp ni gia cc quan
st, trong nhng trnh by sau y cho hai x l c p dng trn cng mt i
tng

__________________________________________________________________

109

S cp

Chng 3

Mu 2

Mu 1

Khong cch

Kim nh thu c t t test , th khng gi thit chun tc ring cho

mi mt bin y v x . tnh hip phng sai ca y v x . Ta cn thm gi thit
l y v x c phn phi chun hai chiu vi :

y2
=
y x

x
= ,
y

yx

x2

Theo tnh cht c nu trong phn phi chun mc 1.6.1 chng 1 ta c

di = yi xi c phn phi chun N y X , d2 , y d2 = y2 2 x2 y + x2 . T

d1 , d 2 ,..., d n ta tnh c :

1 n
1 n
2
d = di v sd =
di d
n i =1
n 1 i =1

kim nh gi thit H 0 : x = y , ngha l gi thit H 0 : d = 0 , ta dng

m hnh mt mu thng k :

t=

d
sd n

(3.18)

t c phn phi nh tn1 nu H 0 ng. Ta bc b gi thit H 0 vi i thit

H1 : d 0 nu t > t

2 , n 1 ,

y gi thit x2 = y2 khng cn thit v khng c s

thu hp trn .

__________________________________________________________________

110

Chng 3

Kim nh ny c n 1 bc t do so vi 2 ( n 1) cho hai mu c lp vi

kim nh t test trong cng thc (3.8). Ni chung, trong vic ghp ni gim mu
lm bin i sd v tng sc mnh kim nh.
Nu chng ta quan nim sai lm l hai mu phi c lp v s dng cng thc
(3.8) vi n = n1 = n2 , ta s c

t=

yx
yx
=
s pl 2 n
2 s 2pl n

Tuy nhin

2 s 2pl
E
n

( n 1) s y2 + ( n 1) sx2 y2 + x2
= 2 E
=
+

n
n
2
n
n
(
)

trong khi var y x = y2 + x2 2 y x n . Nh vy kim nh gi thit thng k

cho mu c lp trong (3.8) c dng ghp ni d liu, khng c phn phi t ,
trong thc t , cn di c lng ng l trung bnh gi tr t ( gi thit H 0 l sai),
v vy y2 + x2 > y2 + x2 2 x y nu x y > 0 . y l tnh cht c trng ca tnh
hung ny. Do vy, ta c th s dng

t=

(s

yx
2
y

+ s 2 sxy
2
x

(3.19)

nhng t = n d sd trong (1.18) th bng nh vy v l mt s c p dng n gin.

3. 7. 2 Trng hp nhiu chiu :

y ta gi thit cng mt mu t nhin, ghp ni cc n v mu nh trong
trng hp n bin , nhng ta o lng cc p bin trn mi n v mu. V vy, yi
t mu u tin ghp ni vi xi t mu th hai, i = 1, 2,. . . , n. Trong iu kin c
hai phng php x l p dng cho tng n v mu, tnh hung ny nh sau

__________________________________________________________________

111

Chng 3

Khong cch
S cp quan st

Mu 2

Mu 1

Trong phn trc 3.7.1, ta s dng gi thit y v x c phn phi chun hai
chiu trong y v x l tng quan. y ta cng gi s l y v x l tng quan
v c phn phi chun a chiu :

x yy
y
x c phn phi chun N 2 p ,

y xy

yx

xx

kim nh gi thit H 0 : d = 0 ng ngha vi gi thit H 0 : x = y v

d = E ( y x ) = y x , ta tnh c
d=

1 n
1 n
d
v
S
=
i
di d di d
d
n i =1
n 1 i =1

)(

'

T ta c :
1

'
S
T = d d d = nd S d1 d
n
2

'

(3.20)

Vi gi thit H 0 , so snh hai cp thng k T 2 c phn phi chun nh

Tp2, n1 . Ta bc b gi thit H 0 nu T 2 > Tp2, n1 . Ch rng S d c lng

cov ( y x ) = yy yx xy + xx

tng ng vi c lng ny l

S yy S yx S xy + S xx
Cc lu trnh by trong phn 1. 7.1 cho ghp ni d liu quan st mt bin
cng c p dng y. Nu c hai mu ca cc quan st nhiu chiu l tng
quan bi mt ghp ni t nhin cc n v mu ca kim nh trong (3.20) th nn
s dng hn thay v dng hai mu kim nh T 2 trong (3.9) vi gi nh hai mu
c lp. p dng sai (3.9) thay v (3.20) s lm gim mnh ca kim nh.

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112

Chng 3

V gi thit yy = xx l khng cn thit cho cng thc (3.20) c c

phn phi T 2 , kim nh ny c th c dng cho mu c lp khi yy xx
(min l n1 = n2 ). Cc quan st trong hai mu s c ghp ni theo mt trt t thu
c hoc trong mt th t bt k. Tuy nhin trong trng hp ca cc mu c lp,
ghp ni t c khng mnh b vo cc quan st b mt ca n-1 bc t do.
T s tng t ca (3.14) vector h s ca hm phn bit cho d liu ghp ni tr
thnh :

a = S d1 d

(3.21)

Vi vic kim nh cho tng bin ring bit ta c :

tj =

Gi tr ti hn ca t j l t

2 p , n 1

dj

(3.22)

sd , jj n
hoc t

2 , n 1 ty

thuc vo vic kim nh

T 2 test l c thc hin u tin hay khng.

V d 3.6 : so snh hai loi m mu tnh in chng li s n mn kim loi. 15

mu ng c m mu vi tng loi lp qut, hai ng ca hai loi m c chn

chung vi nhau v cn li th c chn cng mt khong thi gian ti 14 a im
khc nhau. Cung cp mt cch t nhin ghp ni hai quan st. S n mn ca lp
m 1 c o bng hai bin :

y1 = chiu su ti a ca l r b n mn trong mt phn nghn ca mt inch

y2 = s lng l r do n mn
Vi x1 v x2 cho lp th 2 c nh ngha nh lp 1. Cc d liu khc c cho
trong Bng 3.3 sau :

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113

Lp 1
V tr

su

S lng

Chng 3

Lp 2
su

Khong cch
S lng

su

S lng

Bng 3.4 : chiu su ti a ca l r v s l r tng ng ca s n mn kim loi

Nh vy ta c, v d nh y1' = ( 73, 31) , x1' = ( 51, 35 ) v d1' = y1' x1' = ( 22, 4 ) .

Tng t nh th cho 15 vector khc ta c :

T (1.20) ta c :

V T 2 = 10.819 > T02.05, 2,14 = 8.197 ta bc b gi thit H 0 : d = 0 v kt lun v

s khc nhau ca hai lp 1 v 2 trong hiu ng v s n mn ca chng.

3. 8 Kim nh thm thng tin :

Trong phn ny, ta xem xt hai mu c lp, nh trong mc 3.4.2. Ta bt u
c bn vi vc t y (p 1) o c trn mi mt n v mu v yu cu vector ph

x (p 1) l o c, thm vo y (trn cng mt n v) s tng ng k s c lp

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114

Chng 3

ca hai mu nh biu din bi T 2 . Tht s khng cn thit ta thm vo cc

bin mi. Ta c th quan tm n s xc nh cho d mt s cc bin m ta c
c d tha trong s hin din ca cc bin khc trong iu kin ca vic tch
nhm. Ta c cc biu din nhm quan tm ca cc lin quan bi x cho biu din c
li.
Gi thit l hai mu ly t tng th c phn phi chun nhiu chiu vi mt
ma trn hip phng sai duy nht. Ngha l :

y11 y12 y1n 1

t phn phi N p + q ( 1 , )
, ,...,
x
x
x
11 12 1n 2
y 21 y 22 y 2 n 1
t phn phi N p + q ( 2 , )
,
,...,
x 21 x 22 x 2 n 2
y

y1i 1 y
y 2i 2 y
1 = E = , 2 = E =

x1i 1x
x 2i 2 x
y1i
y 2i yy
= cov = cov =

x1i
x 2i xy

yx

xx

Ta phn chia vector trung bnh mu v ma trn hip phng sai nh sau :

y1
,
x1

y2
,
x2

S yy
S pl =
S
xy

S yx

S xx

y S pl l ma trn hip phng sai t hp t hai mu.

Ta mun kim nh gi thit l x1 v x 2 c d tha t vic tch thnh hai
nhm, l, c thm q bin khng ng gp ng k bt c iu g ngoi nhng
thng tin c sn trong y1 v y2 cho tch cc nhm. iu ny l da trn tinh thn
ca mt m hnh rt gn kim nh trong hi quy. Tuy nhin, y ta ang lm
vic vi mt nhm ca cc bin ph thuc nh s tng phn vo nhm ca cc
bin c lp trong cc thit lp hi quy. Do ,c y v x l vector con ca cc bin

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115

Chng 3

ph thuc. Trong thit lp ny, cc bin c lp s l nhm cc bin 1 v 2 tng

ng vi 1 v 2 .
Ta khng yu cu nu x c th chia thnh hai nhm y t chnh n.
Nhng cho d l chng b sung khong cch tr khong cch t c t y .
Nu x c lp t y , ta s c Tp2+ q = Tp2 + Tq2 , nhng iu ny l khng cht,
bi v chng tng quan. Ta phi so snh Tp2+ q cho tp hp y cc bin

( y , y ,..., y
1

p , x1 , x2 ,..., xq

) vi T

2
p

da trn gim tp hp n y1 , y2 ,..., y p . Ta

thy rng s pht trin t Tp2 n Tp2+ q l c ngha.

'

Tp2+ q

y y
n n y y
= 1 2 1 2 S pl1 1 2
n1 + n2 x1 x 2
x1 x 2

(3.23)

Vi T 2 , nu gim tp hp ca p bin l :

Tp2 =

) (

'
n1n2
y1 y 2 S yy1 y1 y 2
n1 + n2

(3.24)

Kim nh thng k c ngha ca vic pht trin t Tp2 n Tp2+ q c cho bi :

(x y ) = (v p)

Tp2+ q Tp2
v + Tp2

(3.25)

c phn phi nh Tq2, v p . Ta bc b gi thit ca phn d ca x nu

T 2 ( x y ) T2, q , v p .

( )

T cng thc (3.7), T 2 x y c th chuyn n thng k F nh sau :

2
2
v p q + 1 Tp + q Tp
F=
q
v + Tp2

(3.26)

c phn phi nh l Fq , v p q +1 , v ta bc b gi thit nu F Fq , v p q +1 .

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116

Chng 3

Trong cng trng hp v = n1 + n2 2 . Ch rng h s bc t do th nht

trong c (3.25) v (3.26) cng l s ca x , h s th hai trong (3.25) l v p bi v
thng k l c iu chnh n p bin trong y .
chng minh trc tip thng k c nh ngha trong (3.26) c phn phi

F ta c th dng s tng quan c bn t m hnh hi quy nhiu chiu :

Fq , v p q +1

(R
=

2
p+q

R p2 ( v p q + 1)

(1 R ) q
2
p+q

(3.27)

y R p2+ q l bnh phng tng quan nhiu chiu t m hnh y p + q cc

bin c lp, R p2 t m hnh gim vi p bin c lp. Nu ta gii quyt R 2 trong
cc iu kin ca T 2 t cng thc (3.16) v th n vo cng thc (3.27) ta d dng
thu c kim nh thng k trong (3.26).
Nu ta quan tm n hiu qu ca vic thm vo mt n bin x th q = 1 v
c (3.25), (3.26) gim n :

( x y ) = (v p)

Tp2+ q Tp2

(3.28)

v + Tp2

( )

s bc b gi thit ca phn d ca x nu t 2 x y t2

2, v p

= F ,1, v p .

V d 3.7 : Ta dng d liu v trc nghim tm l Bng 3.2 minh ha kim

nh trn vector con. Ta bt u s kim nh ngha ca y3 v y4 cao hn, bn

kia th l y1 v y2 . (trong k hiu ca phn ny th y3 v y4 tr thnh x1 v x2 .
Cho nhng vector con vi p = 2 v q = 2 . Gi tr ca Tp2+ q cho tt c bn bin tnh
bi (3.23) v thu c kt qu t v d 1.3 l 97.6015 . Cho y1 v y2 ta nhn c
t (3.24) kt qu :

__________________________________________________________________

117

Chng 3

T (3.25) kim nh thng k l :

Ta bc b gi thit rng x = ( y3 , y4 ) b tha v 42.955 > T02.01, 2 , 60 = 10.137 .

'

Ta kt lun rng x = ( y3 , y4 ) thm vo mt ngha s lng ca s phn tch n

'

y = ( y1 , y2 ) .
'

kim nh hiu ng ca mi mt bin cho vic ghp ba bin khc, ta dng

(3.28). Trong trng hp ny

p = 3 , v = 62 v v p = 59 . y,

Tp2+1 = 97.6015 . Tp2 trong mi trng u da trn ba bin cn li, v d nh

Tp2 = 90.8348

cho

bin

y2

da

trn

ba

bin

y1 , y3

y4 ,

t 2 ( y2 y1 , y3 , y4 ) = 2.612 . Kt qu c cho bng sau :

Bin

__________________________________________________________________

118

Chng 3

Khi ta so snh bn gi tr kim nh thng k ny vi gi tr ti hn

t02.025, 59 = 4.002 , ta thy rng mi mt bin tr y2 to mu ngha n phn phi

T 2 . Ch rng y3 ng gp nhiu nht, k n l y4 v sau cng l y1 . Nhng
kt qu khc nhau c cho bi hm phn bit th trong v d 3.5 nhng vi gi
thit l hm phn bit chun ha.

3. 9 Phn tch hnh th :

Nu y l phn phi N p ( , ) v cc bin trong y l o c (o trong cng
mt n v, tng ng vi cc bin, nh khi d liu thm d trong bng 3.5),
ta mong mun so snh cc k vng 1 , 2 ,..., p trong . iu ny c quan tm
khi mt o lng ly trn cng mt n v kho st ti p ln lin tip. Nhng tnh
hung nh vy thng c gi tt l o lng lp cc tin nghim hoc ng

tng trng.
Cc m hnh thu c t ta ca 1 , 2 ,..., p , nh tung v s im
kt ni c gi l mt

hnh th, ta thng v ng thng ni cc im

(1, 1 ) , ( 2, 2 ) ,..., ( p, p ) . Phn tch hnh th l phn tch cc hnh th hay so snh
v hai hoc nhiu hnh th. Trong phn tch ng tng trng, cc bin c o
c ti cng khong thi gian, cc hi p c mt trt t t nhin. Trong phn
tch hnh th, ni pht sinh t cc bin kim nh thc t thng khng c trt t t
nhin. Khc bit ny khng phi lc no cng thc hin gia o lng lp cc tin
nghim ca cng mt bin thng qua thi gian v hnh th ca mt s phn tch cc
bin p ng khc nhau trn cng mt c th.

3. 9. 1 Phn tch hnh th mt mu :

Ta bt u tho lun ca phn tch v vector trung bnh t mt mu n.
Mt th ca trong Hnh 3.3 di y c hnh thnh bng cch ni cc im

(1, 1 ) , ( 2, 2 ) ,..., ( p, p ) :
__________________________________________________________________

119

Chng 3

Trung bnh

Cc bin
Hnh 3.3 : Phn tch mt vector trung bnh

so snh cc trung bnh 1 , 2 ,..., p trong . Gi thit c bn l s phn

tch v mc bng nhau v tnh n iu

Gi thit : H 0 : 1 = 2 = ... = p i thit : H1 : j k cho mt s j k

D liu ma trn Y nu trong cng thc (1.2) chng 1 . Ta khng th dng phn
tch phng sai mt bin kim nh gi thit H 0 bi v cc ct trong Y l khng
c lp. c mt tip cn nhiu chiu tng quan cc bin. Trc tin ta biu
din H 0 nh l p 1 s so snh :

1 2 0

2
3
= 0
H0 :

p
1

0
Hoc nh :

1 2 0

1
3
= 0
H0 :

1 p 0

__________________________________________________________________

120

Chng 3

Hai s biu din ny c th c vit di dng : H 0 : C1 = 0 v

H 0 : C2 = 0 , y C1 v C2 l ma trn ( p 1) x p :
1 1 0

0 1 1
C1 =

0 0 0

1 1 0

1 0 1
C2 =

1 0 0

0
,

Trong thc t, bt k ma trn C

Cj = 0 c th dng cho gi thit

( ( p 1) x p )

c hng p 1 nh vy vi

H 0 : C = 0 biu din gi thit

H 0 : 1 = 2 = ... = p . Nu Cj = 0 v mi dng ci, ca C c tng bng 0 th s

kt hp tuyn tnh ci, = ci11 + ci 2 2 + ... + cip p c gi l mt s tng phn
trong nu tng cc h s l 0, ngha l nu

j cij = 0 ,

p 1 tng phn trong

C phi l c lp tuyn tnh biu din gi thit H 0 : 1 = 2 = ... = p nh

H 0 : C = 0 . Vy rank ( C ) = p 1 .
T mu y1 ,y 2 ,..., y n , ta thu c c lng y v S ca tng th cho tham s

v . kim nh gi thit H 0 : C = 0 ta bin i tng y i , i = 1, 2,..., n n

z i = Cy i ((p-1)x1). T cng thc (1.46) v (1.48) chng 1 ta c vector trung bnh

mu v ma trn hip phng sai ca z i = Cy i ;i = 1, 2,..., n l z = Cy v

S z = CSC' tng ng.

Nu y c phn phi N p ( , ) th t tnh cht 1b trong mc 1.6.4 chng 1,

z = Cy c phn phi N p C,C C' . Nh vy, khi H 0 : C = 0 ng th Cy

c phn phi N p 0,C C' v :

CSC'
T = Cy

n
2

( )

'

(Cy ) = n (Cy ) ( CSC ) (Cy )

'

' 1

(3.29)

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121

Chng 3

c phn phi nh Tp21, n1 . Ta bc b gi thit H 0 : C = 0 nu T 2 T2, p 1, n1

3. 9. 2 Phn tch hnh th hai mu :

Gi hai nhm c lp hoc cc mu c kim nh nhn cng mt tp hp p
bin hoc cng o. Nu cc kim nh ny l so snh c , v d, tt c u
trn trnh t t 0 n 100, cc bin s thng c kim nh tng ng..
Hn na kim nh gi thit rng 1 = 2 . Ta hy vng c nhiu c bit hn
trong s so snh cc phn tch thu c t vic ni cc im
v

( j, ) , j = 1, 2,..., p
1j

( j , ) , j = 1, 2,..., p . C ba gi thuyt c quan tm trong s so snh cc

2j

phn tch ca hai mu. u tin l nhng gi thit v ta cc im cho trc, c

hay khng hai phn tch tng t xut hin, hay chnh xc hn, chng c song
song? Ta minh ho gi thuyt ny trong hnhh 5.4. Nu hai hnh th l song song,
th nhm cc vn ng u tt hn cc nhm khc trn tt c cc p kim nh .
Cc gi thuyt song song c th c nh ngha trong iu kin ca h s
gc. Hai hnh th l song song nu hai h s gc cho tng phn on u ging
nhau. Nu hai hnh th l song song, hai s gia cho mi phn on u ging nhau,
th khng cn thit s dng h s gc thc din t nhng gi thuyt. Ta c th so
snh n gin s gia t mt im n im tip . Nhng gi thit c nh vy,
c th c din t nh sau : H 01 : 1 j 1, j 1 = 2 j 2 , j 1 cho j = 2, 3,..., p
hoc :

12 11 22 21

13 12 23 22

H0 :
=

1
1,
1
2
2,
1
p
p

p
p

cng c th c vit li nh sau : H 01 : C1 = C 2 vi ma trn :

__________________________________________________________________

122

Chng 3

1 1 0

0 1 1
C=

0 0 0

(b) Gi thit l sai

(a) Gi thit l ng

Hnh 3.4 : So snh hai mu vi gi thit song song

T hai mu : y11 ,y12 ,...,y1n1 v y 21 , y 22 ,...,y 2 n2 ta thu c y1 ,y 2 v S pl

nh l mt c lng ca 1 , 2 v . Tng t trong hai mu kim nh

T 2 test , ta gi thit rng mi mt y1i trong mu 1 c phn phi chun

N p ( 1 , ) v mi mt y 2i trong mu 2 u c phn phi chun N p ( 2 , ) . Nu

C l mt ma trn tng phn

phi N p 1 C1 ,C C'

( ( p 1) x p )

cho trc th Cy1i v Cy 2i c phn

v N p 1 C 2 ,C C'

mt cch tng ng. Vi gi

thit : H 01 : C1 C 2 = 0 th vector ngu nhin Cy1 Cy 2 c phn phi chun

N p 1 0,C C' (1 n1 + 1 n2 ) v :

T 2 = Cy1 Cy 2

'

1 1

'
+ CS pl C
n1 n2

(Cy

Cy 2

1
n1n2
y1 y 2 C' CS pl C' C y1 y 2
n1 + n2
'

)
(3.30)

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123

Chng 3

l phn phi nh Tp21, n1 + n2 2 . Ch rng s chiu p 1 l s dng ca C . T lp

lun ca mc 3.5 ta dn n s tng t nh sau. Nu gi thit H 01 b bc b th ta

c php kim nh trn mt bin ring l vi tng thnh phn ca C y1 y 2 .

Tng ng nh vy ta c th tnh hm phn bit :

a = CS pl C'

) C( y
1

y2

(3.31)

cho tng h s gc khc nhau gp phn ln vo quyt nh bc b gi thit H 01

trong s hin din ca cc thnh phn khc ca C y1 y 2 . Trong trng hp vic

chun ha cc thnh phn ca a , nh c ngh trong phn 1.5 l cn thit, bi
v cc bin c gi thit l c tnh i xng . Vc t a l mt (p-1) 1, tng ng
n p-1 phn on ca hnh th. V vy, nu thnh phn th hai ca a , v d, l ln
nht trong gi tr tuyt i, th s phn k trong h s gc gia hai hnh th trn
phn on th hai ng gp phn ln vo quyt nh bc b gi thit H 01 .
Nu cc d liu c b tr nh trong Bng 3.6 di y th ta nhn thy
chn dung ca mt m hnh ANOVA (phn tch phng sai) hai chiu. Mt th
ca cc trung bnh thng c to ra trong mt ANOVA hai chiu ; thiu tng
ng song song vi tng tc gia hai yu t. Do , gi thit H 01 l tng t vi
nhm ca cc kim nh (bin) vi gi thit tng tc.
Kim nh cc bin

Nhm 1

Nhm 2

Bng 3.6 : D liu phn b cho phn tch hnh th hai mu

__________________________________________________________________

124

Chng 3

Tuy nhin, thng thng ANOVA gi thuyt cho s c lp ca cc quan st

hin khng xt y bi v cc bin (kim nh) l tng quan. ANOVA vi gi
thuyt c lp v thun nht ca cc bin s yu cu cov ( y ) = = 2I . Do cc
kim nh ca H 01 khng th c thc hin bng cch s dng phng php tip
cn ANOVA n bin v 2I . Do vy, ta tin hnh vi cc phng php tip
cn a chiu bng cch s dng T 2 .
Gi thuyt th hai c quan tm trong hai hnh th so snh l : c hay khng
hai tng th hoc cc nhm l cn bng ? Gi thuyt ny tng ng vi mt nhm
(tng th ) chnh c hiu lc trong ANOVA tng t. Ta c th din t gi thit
ny, thut ng cc cp trung bnh ca nhm 1 so vi mc trung bnh ca nhm 2.

H 02 :

11 + 12 + ... + 1 p
p

21 + 22 + ... + 2 p
p

iu ny c th c biu din bi : H 02 : j '1 = j ' 2

Nu H 01 ng th H 02 l Hnh 3.5a. Nu H 02 l sai th hai phn tch l khc
nhau t mt h s (cho rng H 01 l ng ) nh Hnh 3.5b

(a) gi thit l ng

(b) gi thit l sai

Hnh 3.5 : Gi thit H 02 ca hiu qu nhm cn bng, gi nh song song

Gi thit H 02 c th ng, trong khi H 01 l khng chc ng. Do , mc

trung bnh tng th 1 c th bng vi mc trung bnh ca tng th 2 m khng c
hai hnh th song song, nh minh ha trong Hnh 3.6. Trong trng hp ny,

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125

Chng 3

"nhm chnh hiu lc" l mt s kh gii thch, tng t nh trng hp ca cc

ANOVA hai chiu, ni m hiu ng kh khn hn m t s hin din ca
ngha cc giao im. Tuy nhin, vic kim tra vn cn c th cung cp nhng thng
tin hu ch nu cn thn m t cc kt qu c cung cp :

Mc trung trnh

Hnh 3.5 : Gi thit H 02 ca hiu qu nhm cn bng, gi nh khng song song

kim nh gi thit H 02 : j ' ( 1 2 ) = 0 , ta c lng j ' ( 1 2 ) bi

j ' y1 y 2 c phn phi chun N p 1 0 ,C C' (1 n1 + 1 n2 ) khi H 02 ng, ta

mnh dng cng thc :

t=
v bc b gi thit H 02 nu t t

j' y1 y 2

'
jS
pl j (1 n1 + 1 n2 )

(3.32)

2 , n1 + n2 2

Gi thit th ba quan tm tng ng vi kim nh (hoc bin) chnh hiu lc,

l, cc hnh th c bng nhau hay khng ? Gi s s song song ( H 01 gi nh l
ng), gi thit s "bng nhau" c th c biu din nh trong Hnh 3.7. Nu H 01
khng ng, kim nh c th c tin hnh ring cho tng nhm bng cch s
dng kim nh trong mc 3.9.1. Nu H 02 l ng, hai hnh th trong hnh 3.7a v
3.7b s trng nhau

__________________________________________________________________

126

Chng 3

trnh by gi thit th ba vi m hnh kim nh ph hp, ta lu t hnh

3.7a rng gi tr trung bnh ca hai nhm l nh nhau cho mi kim nh

H 03 :

1
1
1
( 11 + 21 ) = ( 12 + 22 ) = ... = ( 1 p + 2 p ) (3.33)
2
2
2

Hoc :

1
H 03 : C ( 1 + 2 ) = 0
2
y C l ma trn
thit

H 03

( p 1) x p

(3.34)

ngha l Cj = 0 . T hnh (3.7a) ta thy rng gi

c th c biu din nh l :

11 = 12 = ... = 1 p hoc

21 = 22 = ... = 2 p hoc :
H 03 : C1 = 0 v C 2 = 0
c lng

1
( 1 + 2 ) , ta dng vector trung bnh vi c mu ln da trn
2

mt trung bnh c trng lng nh sau :

y=

(a) gi thit l ng

n1 y1 + n2 y 2
n1 + n2

(b) gi thit l sai

Hnh 3.7 : Gi thit H 03 kim nh cn bng (cc bin )gi nh song song

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127

Chng 3

( )

D dng thy rng vi gi thit H 03 ( v H 01 ) th E Cy = 0 v

Thnh
()
( 0 ,C C ( n + n )) v :

cov y = ( n1 + n2 ) .

Cy

ra

phn

phi

chun

'

N p 1

CS pl C'
2
T = Cy
n + n
1 2

( )

'

( Cy ) = ( n + n ) ( Cy ) ( CS C )

' 1

'

pl

Cy (3.35)

l phn phi nh Tp21, n1 + n2 2 khi m c H 01 v H 03 l ng. C th d thy l H 03

th khng b nh hng bi s phn bit trong cc bc ca hnh th ( nh hng t
iu kin ca H 02 )
V d 3.8 : Ta ln na s dng d liu v trc nghim tm l Bng 3.2 minh

ha phn tch hnh th hai mu. Cc gi tr ca y1 , y 2 v S pl c tnh v d 3.3.

Hnh th ca hai vector trung bnh y1 , y 2 l th trong hnh 3.8 v y khng c
tnh song song.

Bin
Hnh 3.8 : Hnh th d liu trc nghim tm l ca bng 3.2

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128

Chng 3

kim nh cho gi thit H 01 : C1 = C 2 , ta dng ma trn

v tnh c :

T cng thc (3.30) ta c :

2
Nh so snh gi tr ny vi T0.01,3,62
= 12.796 (thu c ni suy t bng B.1).

Ta bc b gi thit v s song song.

Trong hnh 3.8 tnh song song thiu ng k nht l phn on th 2 v th
3. iu ny c th c thy qua gi tr tng i ln ca thnh phn 2 v 3 ca :

Nh vy phn on th 3 gp phn ln nht trong quyt nh t chi s hin

din ca hai phn on cn li.
'
'
kim nh mc cn bng ca gi thit H 02 : j
1 = j 2 , ta s dng :

So snh gi tr ny vi t0.05,62 = 2.658 ta bc b gi thit v mc cn bng

.

__________________________________________________________________

129

Chng 3

1
2

kim nh gi thit tnh phng , H 03 : C ( 1 + 2 ) = 0 , u tin ta tnh

S dng ma trn :

Ta thu c t cng thc (3.35)

2
V phng i ny so vi gi tr T0.01,3,62
= 12.796 v th ta bc b gi thit

v tnh phng. Tuy nhin, khi gi thit song song b bc b, mt tip cn thch hp
hn s c kim nh cho mi mt trong hai nhm phn bit v tnh phng , t
(3.29) ta c :

2
C hai u vt tri so vi T0.01,3,31
= 14.626 , ta thu c kt qu ng k t

thiu tnh phng.

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130

Chng 4

CHNG 4: KIM NH GI THIT TRN MA TRN HIP

PHNG SAI
4. 1 Gii thiu :
Ta bit rng vic kim nh gi thit c lin quan n cu trc phng sai v
hip phng sai.Cc kim nh thng c thc hin kim tra cc gi nh lin
quan n cc kim nh khc. Trong mc 4.2 - 4.4, bao gm ba loi hnh c bn ca
gi thuyt: (1) ma trn hip phng sai c cu trc ring, (2) hai hoc nhiu ma trn
phng sai bng nhau, v (3) chc chn thnh phn ca ma trn phng sai l 0, do
ko theo tnh c lp tng ng ca cc bin ngu nhin (chun nhiu chiu).
Trong hu ht trng hp, chng ta s dng xp x t s hp l. Kt qu thng k
kim nh thng lin quan n t s xc nh ca cc ma trn hip phng sai mu
vi gi thit khng v vi i thit khc khng.

4. 2

Kim nh m hnh d kin cho :

Trong phn ny, cc tho lun c trnh by vi iu kin l ma trn hip

phng sai S thu c t mu n. Tuy nhin, cc kim nh c th c p dng

cho ma trn phng sai mt mu S pl = E vE thu c bng cch hp nht mt s
mu khc. cho php mt trong hai kh nng trn, cc bc t do ca tham s
c ch nh bi tham s . i vi mt mu v = n 1 ; vi ma trn hip phng
sai hp nht

v = i =1 ( ni 1) = i =1 ni k = N k .
k

4. 2. 1 Kim nh gi thit H0: = 0

Chng ta bt u c bn kim nh gi thit H 0 : = 0

vi i thit

H 0 : 0 . Gi thit ma trn hip phng sai 0 l mt gi tr mc tiu ca

hoc l gi tr mc nh t mt gi tr tin nghim. Lu rng 0 l hon ton
c quy nh c th ti H0, trong khi khng c xc nh.

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131

Chng 4

kim nh gi thit H0, ta chn mu ngu nhin n vectors quan st

y1 ,y 2 ,...,y n t N p ( , ) v tnh S. xem nu S l khc nhau ng k t 0 , ta

dng cc thng k kim nh sau nh mt hiu chnh ca t s hp l :

u = v ln 0 ln S + tr S 01 p

(4.1)

y v i din cho bc t do ca S, ln l logarithm t nhin (c s e), v tr l

trace (tng cc thnh phn trn ng cho chnh) ca ma trn. Lu rng nu S

= 0 th u = 0; hn na u ng bin vi "khong cch" gia S v 0

Khi l ln, thng k u trong (4.1) l phn phi xp x nh 2 p ( p + 1) nu

2

H0 ng. i vi v kch thc va,

1
2
+

2
1
u ' = 1
p
u

p + 1
6v 1
1

(4.2)

l xp x tt hn cho phn phi 2 p ( p + 1) . Ta bc b H0 nu u hay u l ln

2

hn 2 , p ( p + 1) . Lu rng bc t do cho thng k-2 l p ( p + 1) v l

2
2

tham s khc bit trong .

Ta c th nhn mnh u trong iu kin ca gi tr ring 1 , 2 ,..., n ca

( S ) , bi ch rng tr ( S ) v ln [ ] ln S tr thnh :
tr ( S ) = (cho bt k ma trn vung A c gi tr ring , ,..., th
1
0

1
0

1
0

i =1

tr ( A ) = i )
i =1

ln 0 ln S = ln 0

ln S = ln S 0

= ln i (4.3)
i =1

T (4.1) c th c vit li nh sau :

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132

Chng 4

p
p
p
u = v ln i + i p = v ( i ln i )
i =1
i =1 i =1

p (4 .4)

th ca hm s y = x - lnx cho thy rng x - ln x 1 x > 0, du bng xy

p

ra khi x = 1. Do

(
i =1

ln i ) > p v u > 0

Gi thuyt rng cc bin l c lp v c phng sai n v, H 0 : = I c

th c kim nh bng thit lp n gin 0 = I trong (4.1)

4. 2. 2 Kim nh tnh cu
Gi thit rng cc bin y1 , y2 ,..., yn trong y l c lp v c cng phng sai
c th biu din nh gi thit H 0 : = 2I vi i thit H1 : 2I . Cho mu
ngu nhin y1 ,y 2 ,...,y n c phn phi chun N p ( , ) , t s hp l kim nh
gi thit H 0 : = 2I l :

LR =
p
( tr ( S ) p )

n
2

(4.5)

Trong mt s trng hp m chng ta xem xt trc , t s hp l l hm

n gin ca mt thng k kim nh nh F, T2. Tuy nhin, LR trong (4.5) khng
lm gim tiu chun thng k, v ta dng n mt xp x cho cc phn phi ca n.
iu ny th hin rng i vi t s hp l thng k LR th

2 ln ( LR ) xp x phn phi 2v

(4.6)

cho n ln, y l tng s cc tham s tr cho c lng vi s thu hp trn H0.

T t s hp l thng k trong (4.5), ta thu c

S
= n ln u
2 ln ( LR ) = n ln
p
( tr ( S ) p )

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133

2
n

u = ( LR ) =

Chng 4

pp S
tr ( S )

(4.7)

V cho bt k ma trn vung A c gi tr ring 1 , 2 ,..., n th

p

i =1

i =1

tr ( A ) = i v A = i nn u tr thnh :
p p i =1 i
p

u=

( )
p

i =1

(4.8)

y 1 , 2 ,..., p l gi tr ring ca S. Mt ci tin hn ca -nlnu c cho bi

2 p2 + p + 2
u = v
ln u
6p

'

y l bc t do ca S. Thng k u c xp x phn phi 2 vi

bc t do. Ta bc b H0 nu u ' > 2 ,

(4.9)

1
p ( p + 1) 1
2

p ( p + 1) 1 . Nh lu trc ,
2

bc t do trong xp x 2 bng tng s ca s lng cc tham s tr tham s c

p
2

lng H0. S lng cc tham s trong l p + =

1
p ( p + 1) , v vic mt 1
2

bc t do l v c lng ca 2.
Ta thy t (4.8) v (4.9) nu mu i u bng nhau, u=1 v u = 0. Khi ,
thng k tr thnh kim nh cc gi thit v s bng nhau cc gi tr ring ca tng
th.
kim nh gi thit H 0 : C C' = 2I , hy s dng CSC ca S trong
(4.7) v s dng (p-1) thay p trong (4.7) - (4.9) vo bc t do cho phn phi 2.
V d 4.1 : Chng ta s dng d liu trong Bng 1.3 minh ha cc kim nh tnh

cu. Nm bin xut hin cc bin s i xng, v gi thit H0: 1 = 2 = = 5

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134

Chng 4

c quan tm. Ta k vng cc bin l tng quan, v H0 thng c kim nh

bng cch s dng mt xp x nhiu chiu. Tuy nhin, = 2I hoc C C' = 2I
th gi thit H0: 1 = 2 = = 5 c th c kim nh ANOVA mt bin vi

F-test. Tuy nhin trong gii hn ca lun vn ta khng th trnh by chi tit vn
ny.
u tin ta kim nh H 0 : = 2I . Ma trn hip phng sai S thu c t
v d 1.3 chng 1. T cng thc (4.7) ta c

Sau t cng thc (4.9), vi n = 11 v p = 5, ta c :

Xp x 2-test vi

1
p ( p + 1) 1 = 14 bc t do. T ta so snh u =
2

26,177vi 02.05,14 = 23.68 v bc b H 0 : = 2I .

kim nh H 0 : C C' = 2I , chng ti s dng ma trn tng phn trc
chun

s dng CSC ca S v vi p - 1 = 4 cho bn hng ca C, ta thu c

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135

i vi bc t do, ta c

Chng 4

1
( 4 )( 5) 1 = 9 , v gi tr quan trng l
2

02.05, 9 = 16.92 . Do vy, ta khng bc b gi thit H 0 : C C' = 2I , v F-test ca

H 0 : 1 = 2 = ... = 5 c th c hiu chnh.
4. 2. 3

Kim nh H 0 : = 2 (1 ) I+ J

Ta bit rng ANOVA mt bin s vn hp l nu:

2 1
=

(4.10)

= 2 (1 ) I+ J

(4.11)

m J l mt ma trn vung ca 1, v l tng quan tng th gia hai bin bt k.

M hnh phng sai bng nhau v hip phng sai bng nhau trong nhc n
khc nhau nh tnh n iu, i xng hn hp hoc m hnh tng quan
Ta xem nh gi thit t (4.10) l c c nh :

2 2 2
2
2 2
H 0 : =

2 2 2

T mt mu, ta c c ma trn hip phng sai mu S. c lng cn di

2 v 2 ca H0 c cho bi
1
1 p
s = s jj v s 2 r =
s jk
p ( p 1) j k
p j =1
2

(4.12)

tng ng, y sjj v cc sjk l t S. V vy, s2 l trung bnh ca phng sai trn
ng cho ca S, v l trung bnh ca ngoi ng cho hip phng sai trong S.

__________________________________________________________________

136

Chng 4

c lng ca c th c ly nh r = s 2 r s 2 . S dng s2 v s2r trong (4.12),

cc c lng ca cn di vi H0 l

s 2 s 2r s 2r
2
s r s 2 s 2r

S0 =

s 2r s 2r s 2r

s 2r

s 2r 2

= s (1 r ) I + rJ (4.13)

s 2

so snh S v S0, ta s dng cc hm t s hp l sau:

u=

S
S0

(4.14)

iu ny c th c nhn mnh trong cc dng thay th :

u=

( )
s2

(1 r )

p 1

1 + ( p 1) r

(4.15)

Bng cch tng t vi (4.9), kim nh thng k c cho bi

2

p ( p + 1) ( 2 p 3)
u = v
6 ( p 1) p 2 + p 4

'

ln u

(4.16)

y l bc t do ca S.Cc thng k u c xp x 2 1 2 p ( p + 1) 2 , v
ta t chi H0 nu u ' > 2 ,1 2 p ( p + 1) 2 Lu rng 2 bc t do b mt l
do c lng ca 2 v .
Mt kim nh xp x thay th chnh xc hn l khi p ln v l quan h nh
hn c cho bi

F =

( 2 2c1 1 ) v

1 2

ln u ,

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137

p ( p + 1) ( 2 p 3)

Chng 4

c1 =

6v ( p 1) p 2 + p 4

1 =

, c2 =

p p2 1 ( p + 2)

6v 2 p 2 + p 4

1
+2
p ( p + 1) 2 , 2 = 1 2
2
c2 c1

Ta bc b gi thit H 0 : = 2 (1 ) I+ J nu F > F , 1 , 2 .
V d 4.2: minh ha kim nh ny, ta s dng cc d liu ca vic cn nng

tnh cy bn t cc hng gi ng ty nam bc, d liu v cn nng 28 cy t bn

hng gi cho trong Bng 4.1 sau;
.

Stt Cy

Bng 4.1: d liu cn nng ca 28 cy bn gi t bn hng

Mt tiu chun ANOVA tip cn lp li bin php thit k s hp l nu

(4.10) c c nh. kim tra gi thit ny, ta kim nh gi thit

H 0 : = 2 (1 ) I+ J . Cc ma trn hip phng sai mu c cho bi:

__________________________________________________________________

138

Chng 4

t ta thu c

T (4.15) v (4.16), ta c

Do 19.511 > 02.05, 8 = 15.5 ta bc b gi thit H0 v kt lun rng m hnh

khng c trong (4.10).

4. 3 So snh cc kim nh ma trn phng sai :

Mt gi thit cho T2 hoc MANOVA (phn tch phng sai nhiu chiu so
snh kim nh hai hoc nhiu hn vectors k vng m tng ng tng th ma trn
hip phng sai l bng nhau: 1 = 2 = ... = k . Gi thit di y, ma trn hip
phng sai mu S1 ,S 2 ,...,Sk phn nh mt tng th v do hp nht c c
mt c lng ca . Nu 1 = 2 = ... = k

l sai, s khc bit ln trong

S1 ,S 2 ,...,Sk c th dn vic bc b H 0 : 1 = 2 = ... = k . Tuy nhin, T2 v cc

kim nh MANOVA l kh mnh m khng ng nht ma trn hip phng sai
min l mu kch c ln v bng nhau. i vi cc trng hp khc, n hu ch
c mt kim nh bng nhau cho cc ma trn hip phng sai. Ta s bt u vi
vic nhc li trng hp n bin.

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139

Chng 4

4. 3. 1 Kim inh phng sai bng nhau

Hai mu n bin vi gi thit H 0 : 12 = 22 i thit H1 : 12 22 c
kim nh vi

s12
F= 2
s1

(4.17)

y s12 v s12 l cc phng sai ca hai mu. Nu H0 l ng, f c phn phi nh

Fv1 , v2 , y v1 v v2 l cc bc t do ca s12 v s12 (thng l n1-1 v n2-1). Lu

rng s12 v s12 phi c c lp, trong s c nh, nu hai mu c c lp.
i vi trng hp mu tng qut, cc th thut khc nhau c xut.
kim nh

H 0 : 12 = 22 = ... = k2
Ta tnh ton
k
2
1 k 1
1 2 i =1 vi si

,s =
c =1+
,
k
3 ( k 1) i =1 vi k vi
v
i=1 i
i =1

k
k
m = vi ln s 2 vi ln si2 ,
i =1
i =1

y s12 , s22 ,..., sk2 l phng sai mu c lp vi v1 , v2 ,..., vk bc t do tng ng.

Th

m
c xp x k21 .
c
Ta bc b gi thit H0 nu

m
> 2 , k 1 .
c

Cho xp x F, ta s dng c v m, tnh ton thm

a1 = k 1 , a2 =

k +1

( c 1)

, b=

a2
2 c + 2 a2

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140

Sau F =

Chng 4

a2 m
c xp x Fa1 , a2
a1 ( b m )

Ta bc b gi thit H0 nu F> F.Lu rng gi thit cho mt trong hai dng

kim nh trc l s c lp ca s12 , s22 ,..., sk2 , ta s c nh cho k mu ngu nhin
ring bit t tng th. Kim nh ny do c th khng thch hp so snh

s11 , s22 ,..., s pp trn ng cho ca S, v vy cc sjj ca S l tng quan.

4. 3. 2 Kim nh bng nhau cc ma trn hip phng sai nhiu chiu :
Cho tng th k chiu, gi thit cc ma trn hip phng sai l bng nhau :

H 0 : 1 = 2 = ... = k
Kim nh H 0 : 1 = 2 cho hai nhm c nghin cu nh mt trng hp c
bit vi t cch k = 2. Khng c kim nh chnh xc H 0 : 1 = 2 nh c trong
cc trng hp n bin tng t. Ta gi nh rng cc mu c lp v kch c

n1 , n2 ,..., nk t phn phi chun nhiu chiu. thc hin kim nh, ta tnh :
M=

S1

v1 2

v2 2

S2

... S k

i vi

S pl

vk 2

(4.19)

M trong bi vi = ni 1 , Si ma trn hip phng sai th i ca mu, v S pl ma

trn hip phng sai mu hp nht

S pl

k
i =1 i
k

v Si

v
i =1 i

E
vE

(4.20)

y E c cho bi :
k

ni

)(

'

ni

E = y ij y i y ij y i = y ij y ij
i =1 j =1

v vE =

i =1 j =1

'

i =1

1
y i y 'i
ni

v = i ni k . R rng l ta phi c mi i> p; hn na S i = 0 vi

k
i =1 i

mi i, v M s l 0. Chnh xc c trn t l phn trm kt qu

ca

__________________________________________________________________

141

2 ln M = v k ln S pl i Si

Chng 4

) cho trng hp c bit v = v

1

= ... = vk = v . Ta

c th d dng sa i (4.19) v (4.20) so snh cc ma trn hip phng sai cho

cc thnh phn ca mt m hnh hai chiu bng cch s dng vij = nij 1
Cc thng k M l s iu chnh t s hp l thay i gia 0 v 1, vi gi tr
gn ln cn 1 thin v H0 trong (4.18) v gi tr gn 0 dn n quyt nh bc b gi
thit H0. Khng phi r rng trc tip rng M trong (4.19) x l theo cch ny, v ta
a ra tin nghim theo lp lun sau .
Trc tin, ta lu rng (4.19) c th biu din :

S
M = 1
Spl

v1 2

S
2
Spl

v2 2

S
... k
Spl

vk 2

(1.21)

Nu S1 = S 2 = ... = S k = S pl th M = 1. Chnh lch gia cc S1, S2,. . . , Sk

tng ln th M xp x 0. thy r iu ny, ta lu rng cc nh thc ca ma
trn hip phng sai hp nht | Spl |, nm mt ni no gn gia cc | Si | . Cng
nh tp hp cc bin z1 , z2 ,..., zn tng ln, tch v hng z(1) z gim hn z( n ) z
tng n, y z(1) v z(n) l gi tr nh nht v ln nht tng ng. Ta minh ha
iu ny vi hai tp s {4, 5, 6} v {1, 5, 9}, c cng k vng nhng lch khc
nhau. Nu ta gi s v1 = v2 = v3 = v , th thit lp u tin l

4 5 6
M 1 =
5 5 5

v 2

= ( 0.8 )(1)(1.2 )

v 2

= ( 0.96 )

v 2

v th hai,

1 5 9
M 2 =
5 5 5

v 2

= ( 0.2 )(1)(1.8 )

v 2

= ( 0.36 )

Trong M2, gi tr nh nht 0.2 lm gim t l tch hn so vi gi tr ln nht

1.8 lm tng n.

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142

Chng 4

Box (1949, 1950) a ra 2 v xp x F cho phn phi ca M. Cng c nhiu

kim nh xp x nh M-test ca Box c tham kho n. Cho xp x 2, ta tnh

k 1
1 2 p2 + 3 p 1
c1 = k

i =1 vi i =1 vi 6 ( p + 1)( k 1)

(4.22)

u = 2 (1 c1 ) ln M l xp x 2 ( k 1) p ( p + 1)
2

(4.23)

y M c xc nh trong (4.19), v

1 k
1 k
ln M = vi ln Si vi ln S pl
2 i =1
2 i =1

(4.24)

Ta bc b H0 nub u > 2. Nu v1 = v2 = ... = vk = v , th c1 n gin thnh:

( k + 1) ( 2 p 2 + 3 p 1)
c1 =
6kv ( p + 1)

(4.25)

hiu chnh s bc t do ca xp x 2, lu rng tng s ca cn di cc

tham s c lng vi H1 l k p ( p + 1) trong vi H0 chng ta c lng

2

p 1
1

, n c p + = p ( p + 1) tham s. S khc bit l ( k 1) p ( p + 1) .

2

2 2
1

Lng k p ( p + 1) pht sinh t gi thit rng tt c i , i = 1, 2,..., k l khc

2

nhau. V k thut, H1 c th bt u i j vi i j . Tuy nhin, ni chung hu

ht cc trng hp tt c i khc nhau, v phn phi ca M c suy ra mt cch
ph hp.
Cho xp x F, chng ta s dng c1 t (4.22) v tnh ton thm,

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143

( p 1)( p + 2 ) k 1
c2 =
2
6
1
k

(
)

i =1 vi

Chng 4

2
k
i=1 vi

a1 =

1
( k 1) p ( p + 1) ,
2

a2 =

b1 =

1 c1 a1 a2
,
a1

b2 =

(4.26)

a1 + 2
,
c2 c12
1 c1 + 2 a2
a2

Nu c2 > c12 ,

F = 2b1 ln M c xp x Fa1 , a 2

(4.27)

Nu c2 < c12 ,

F=

2a2b2 ln M
c xp x l Fa 1 , a 2
a1 (1 + 2b2 ln M )

(4.28)

Trong c hai trng hp, ta bc b H0 nu F > F. Nu v1 = v2 = ... = vk = v ,

th c1 n gin ha nh trong (4.25) v c2 c n gin ha thnh

c2 =

( p 1)( p + 2 ) ( k 2 + k + 1)
6k 2v 2

M-test ca Box c tnh thng xuyn trong nhiu chng trnh my tnh
cho MANOVA. Tuy nhin, Olson (1974) cho thy M-test vi cc i bng nhau c
th tm mt vi dng ca s khng ng nht m ch c tc ng nh trn kim nh
MANOVA. Kim nh ny cng chnh xc vi vi dng trc chun. V d, n chnh
xc vi nhn m kim nh MANOVA l kh mnh m. Do , M-test c th
bo hiu s khng ng nht hip phng sai m khng phi l gy tn hi n
kim nh MANOVA.Do ta c th khng mun t ng quy nh ra tiu chun
kim nh MANOVA nu M-test dn n bc b H0. Olson cho thy d chch v
nhn thng k b1,p v b2,p c nhng hn ch tng t.

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144

Chng 4

V d 4.3. Ta kim nh gi thit H 0 : 1 = 2 cho cc d liu tm l trong Bng

3.2. Cc ma trn hip phng sai S1, S2, v Spl c a ra trong v d 3.3. S
dng nhng kt qu ny, t (4. 24) ta c c

kim nh chnh xc, chng ta so snh 2 ln M = 14.561 vi 19.74, gi tr ti

hn ca n c tra t Bng B3 (Ph lc B). Cho xp x 2, t (4.25) v (4.23) ta
tnh c:

xp x F-test, trc tin ta tnh ton:

T c1 = 0.005463 > c12 = 0.0048 ta dng (4.27) c c

F = 2b1 ln M = 1.354 < F0.05,10 , = 1.83

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145

Chng 4

V vy, c ba kim nh u chp nhn gi thit H0.

4. 4 Kim nh tnh c lp :
4. 4. 1 c lp ca hai vector con :
Gi s cc vc t quan st c chia thnh hai vector con quan st, trong
chng ta t y v x, nh trong mc 1.2.4.1, y y l p1 v x l q1. T cng
thc (1.30), cc phn vng tng ng ca ma trn hip phng sai tng th l:

yy
=

xy

yx

x x

vi phn vng tng t ca S v R nh trong (1.26):

S yy S y x
S=
,
S
S
xx
xy

R yy
R=
R
xy

Ryx

R x x

Gi thuyt cc c lp ca y v x c th c din t nh

yy
H0 : =
0

0
hoc l H 0 : yx = 0
xx

Do , s c lp ca y v x k vng l mi bin trong y l c lp ca mi

bin trong x. Lu l khng c gii hn trn yy hoc xx
Cc thng k kim nh t s hp l H 0 : yx = 0 cho bi

S
S yy S xx

R
R yy R xx

(4.30)

c phn phi nh p , q , n1q . Ta bc b gi thit H0 nu . Nh vy, ta c

mt kim nh chnh xc cho H 0 : yx = 0 . Gi tr ti hn cho ca Wilks c
cho trong Bng A.9 [TL Rencher - Methods of Multivariate Analysis] bng cch s
dng vH = q v vE = n 1 q .
Do tnh i xng ca

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146

S
S yy S xx

Chng 4

R
R yy R xx

trong (4.30) cng c phn phi nh p , q , n1q .

Lu rng | Syy | | Sxx | trong (4.30) l mt c lng ca yy xx , t :

A=

A11

A22

= A11 A 22

nn c xc nh khi yx = 0 . Do ca Wilks so snh mt c lng ca

khng c hn ch mt c lng vi gi thit H 0 : yx = 0 . Ta c th thy mt

cch trc gic rng | S | < | Syy | | Sxx | , ch l :

A11 A12
A 21 A 22
Nn

1
1
A12 = A 22 A11 A12 A 22
A 21
= A11 A 22 A 21A11

S = S xx S yy S yxS xx1S xy

S yxS xx1S xy

xc

nh

dng,

S yy S yxS xx1S xy < S yy . iu ny c th c minh ha cho trng hp p = q = 1:

S=

s 2y

s yx

s yx

sx2

= s 2y sx2 ( s yx ) < s 2y sx2

2

khi s 2yx tng, | S | gim.

ca Wilks trong (4.30) c th biu din trong iu kin ca vect ring:

s

= 1 ri2
i =1

(4.31)

y s = min (p, q) v ri2 ' s l gi tr ring khc 0 ca S xx1S xy S yy1S yx . Chng ta

cng c th s dng S yy1S yxS xx1S xy , gi tr ring (khc 0) ca S yy1S yxS xx1S xy l ging
nh S xx1S xy S yy1S yx S cc gi tr ring khc 0 l s=min(p,q), v s l hng ca c

S yy1S yxS xx1S xy v S xx1S xyS yy1S yx Cc gi tr ring k hiu ri2 v chng l nhng bnh

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147

Chng 4

phng tng quan chnh tc gia y v x. Trong nhng trng hp c bit p = 1,

(4.31) s tr thnh

= 1 ri2 = 1 R 2

y R2 l bnh phng ca t n g quan bi gia y v x1 , x2 ,..., xq .

V d 4.4: Xt cc d liu bnh tiu ng trong Bng 1.2. C mt phn vng t

nhin trong cc bin, vi y1 v y2 ca quan st nh v x1, x2, v x3 ca quan st
chnh. Ta kim nh c lp ca ca y v x, ngha l, H 0 : yx = 0 . T v d 1.2,
cc ma trn hip phng sai c phn chia l :

.
thc hin kim nh, ta tnh :

V vy, chng ta bc b gi thit ca s c lp. Lu vic s dng s 40

trong 0.05, 2 , 3, 40 l ca n-1-q=46-1-3=42. y l mt phng php tip cn bo
ton cho php s dng bng gi tr m khng c php ni suy.

4. 4. 2 S c lp ca nhiu vectors con :

Cho k tp hp cc bin sao cho y v c chia nh sau

11 12
y1

21 22
y2

y=
v =

yk
k1 k 2

1k

2k

kk

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148

Chng 4

vi pi cc bin trong yi, vi p1 + p2 + ... + pk = p .Lu rng y1 ,y 2 , ,y k khng

i din phn vng no ca y, khng phi l mu vectors ngu nhin c lp.
Nhng gi thuyt rng nhm vectors con y1 ,y 2 ,,y k c lp nhau v c th c
biu din vi gi thit H 0 : i j = 0 cho tt c cc i j , hoc

11 0

0 22
H0 : =

0
0

kk

(4.32)

Thng k t s hp l l

u=
=

(4.33)

S11 S 22 ... S kk
R

(4.34)

R11 R 22 ... R kk

vi S v R c c t mu ngu nhin ca n quan st v c phn chia nh

trn, tng ng y1 ,y 2 ,..., y k . Lu rng mu thc (4.33) l nh thc ca S b
thu hp bi H0, c ngha l Si j = 0 vi mi i j . Cc thng k u khng c phn
phi ca Wilks nh trong (4.30) khi k = 2, nhng l xp x 2 tt phn phi
ca n c cho bi

u ' = vc ln u

(4.35)

c =1

1
f = a2 ,
2

1
( 2a3 + 3a2 )
12 fv
k

a2 = p
2

i =1

pi2

(4.36)
k

a3 = p pi3
3

i =1

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149

Chng 4

v l bc t do ca S hay R (xem ti phn u ca mc 4.2). Ta bc b gi thit

c lp, nu u ' > 2 , f
Bc t do, f =

1
a2 , pht sinh t suy lun sau. S tham s trong khng b
2

gii hn bi cc Gi thuyt l
trong mi ii l

f =

1
p ( p + 1) . Vi gi thit (4. 32), s cc tham s
2

1
1 k
pi ( pi + 1) , vi tng s l i =1 pi ( pi + 1) . S khc bit l :
2
2

1
1 k
1
p ( p + 1) i =1 pi ( pi + 1) = p 2 + p pi2 p
2
2
2
i
i

1
= p 2 + p pi2
2
i

1
a
p = p 2 pi2 = 2
i
2
2

V d 4.5: Cho 30 nhn hiu sn phm ca ru vang Nht Bn Seishu, Siotani,

...v.v... (1963) nghin cu mi quan h gia y1 = hng v, y2 = mi, v :

x1 = pH,

x5 = trc tip gim ng,

x2 = nng axt 1,

x6 = tng s ng,

x3 = axt 2,

x7 = ru,

x4 = sake,

x8 = formyl-nit.

Ta kim nh c lp ca bn tp con ca cc bin:

Cc ma trn hip phng sai mu l :

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150

Chng 4

Bng 4.2: o lng ru Seishu

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151

Chng 4

vi S11 l 2 2, S22 l 3 3, S33 l 3 3, v S44 l 2 2. Trc tin ta thu c :

Vi xp x 2, ta tnh c :

Sau , u =-c ln u = -(29)(0.838)ln(0.01627) = 100.122, kt qu ny vt qu

02.001, 37 = 69.35 , v ta bc b gi thuyt ca c lp ca bn tp con.

4. 4. 3 Kim nh c lp cho tt c cc bin :
Nu tt c cc pi = 1 trong gi thit (4.32) trong mc 4.4.2, trng hp c
bit l tt c cc bin cng c lp, H 0 : jk = 0 vi i j , hoc

11 0

0 22
H0 : =

0
0

kk

Khng c gii hn trn ca cc jj. Vi jk = 0 vi mi i j , tng ng jk cng l

0, v mt dng tng ng ca gi thit l: H 0 : P = I , y P l ma trn
tng quan tng th c xc nh trong (1.24).
V mi pi = 1, thng k (4.33) v (4.34) lm gim

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152

u=

Chng 4

S
=R
s11 .s22 ...s pp

(4.37)

v (4.35) s tr thnh

u ' = v ( 2 p + 5 ) ln u
6

(4.38)

trong c mt xp x phn phi 2f , vi l bc t do ca S hoc R (xem mt

nhn xt phn u ca mc 4.2) v f =

1
p ( p 1) l bc t do ca 2. Ta bc b
2

gi thit H0 nu u ' > 2 , f . Chnh xc c t l phn trm cc im ca u la

chn cc gi tr ca p v n c cho trong Bng B4 (Mathai v Katiyar 1979). S
im t l phn trm gii hn phn phi 2 cng c a ra so snh.
Lu rng |R| trong (4.37) chy t 0 n 1. Nu cc bin s khng tng
quan (trong mu), chng ta c R = I v |R| = 1. Mt khc, nu hai hoc nhiu hn
cc bin c quan h tuyn tnh, R s khng c hng y v chng ta c |R| = 0.
Nu cc bin s tng quan cao hn, |R| s l gn n 0; nu tng quan l rt nh,

|R| s c gn n 1. iu ny c th c minh ha khi cho p = 2:

R=

1 r

V d 4.6 : kim tra Gi thuyt H 0 : jk = 0, j k , vi b d liu thm d t

Bng 1.3, ta tnh c :

Sau , t (4.37) v (4.38), ta c

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153

Chng 4

Vi chnh xc 0,01 gi tr quyt nh cho u tra t Bng B4 l 23.75 v do ta

bc b gi thit H0. Gi tr quyt nh xp x 2 cho u l 02.01,10 = 23.21 , nn gi
thit H0. b bc b.

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Ph lc A

TI LIU THAM KHO

Ting Vit
[1] o Hu H, Nguyn Vn Hu, Hong Hu Nh (2004), Thng K Ton Hc,
NXB. HQG H Ni, H Ni.
[2] o Hu H (2001), Xc Sut Thng K, NXB. HQG H Ni, in ln th 6, H
Ni.
[3] Nguyn Bc Vn (1998), Xc Sut v X L S Liu Thng K; NXB. Gio
Dc, TP. H Ch Minh.

Ting Anh
[4] Rencher, A.C. (2002), Methods of multivariate analysis, John Wiley & Sons,
Inc., 605 Third Avenue, New York.
[5] Wolfgang Hardle, Lopold Simar (2007), Applied Multivariate Statistical
Analysis, Springer Berlin Heidelberg, New York.
[6] Nigel Da Costa Lewis (2004), Applied Statistical Methods for Risk
Management, John Wiley & Sons, Inc., Hoboken, New Jersey.
[7] Rencher, A. C. (1998), Multivariate Statistical Inference and Applications,
Wiley , New York.

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Bng B1

Ph lc B

Bc t do, v

Bng gi tr phn phi T2 - Hotelling

__________________________________________________________________

Bng gi tr phn phi T2 - Hotelling

Bng B1

Ph lc B

__________________________________________________________________

Bng gi tr t - Bonferonni - t

2k ,v

, = 0.05 Bng B2

Ph lc B2

__________________________________________________________________

Kim nh s bng nhau ca hai ma trn hip phng sai

Bng B3

2 ln M = v k ln S pl i Si

Ph lc B

__________________________________________________________________

Kim nh cho s c lp ca p bin

Bng B4

Ph lc B

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