TRNG AI HOC A LAT

KHOA TOAN - TIN HOC

Y Z

L THUYT XC SUT
(Bai giang tom tat)

Ngi Bien Soan

NGUYN VINH QUANG

Y a Lat 2009 Z

TI LIU THAM KHO

1. o Hu H: Xc sut v thng k ton Nh xut bn Gio Dc, 1999

2. ng Hng Thng: Xc Sut v ng Dng - Nh xut bn Gio Dc, 1997

3. K.T Chung. Acourse in probabillty theory Harcourt, Brace and Word INC,
1968.

4. Phm Xun Quang: Gio Trnh L Thuyt Xc Sut H Tng Hp Tp.

HCM, 1974
5. Nguyn Duy Tin Nguyn Vit Ph: C s l thuyt xc sut Nh xut
bn H v THCN. H Ni, 1983

-0-

CHNG I
BIN C V XC SUT
1. i Tng Mn Hc
Nh ta bit mi hin tng trong cuc sng u chu nhng s tc ng
no c gi l nguyn nhn gy ra. tin trong vic nghin cu ngi ta
chia hin tng lm 2 loi:
1.1: Hin Tng Khng Ngu Nhin:
Gm tt c nhng hin tng ta c th on chc c kt cc khi ta tc
ng vo bng nhng iu kin ging nhau.
V d:
+ Nc si nhit : 1000C, di p sut thng thng: 76cm/Hg
+ Vt ri trong chn khng: nhanh dn u.
1.2 Hin Tng Ngu Nhin:
Gm tt c nhng hin tng ta khng th on chc c kt cc d ta tc
ng vo bng nhng iu kin ging ht nhau.
V d:
+ Tung con xc xc 6 mt cn i v ng cht:
S xut hin s nt xy ra mt trn.
+ S xut hin sn phm t hay khng t cht lng trong qu kim tra
cht lng hng ho.
Ta c th ni xc xut v thng k ton l ngnh ton chuyn nghin cu v
tt c nhng hin tng ngu nhin ni trn.
2. Nhng khi nim:
2.1. Php th:
Khi mt s iu kin no c thc hin ta ni php th c thc hin. N
c th l: mt th nghim, mt quan st, mt thng k, mt php chn, mt php o
t,
2.1.1. Php th tt nh:
L php th ch c duy nht mt kt cc xy ra.
2.1. 2 Php th ngu nhin:
Gm tt c nhng php th ta khng th on chc c kt cc d ta thc
hin trong nhng iu kin ging ht nhau.

-1-

2.2. Bin c:
Khi mt php th c thc hin c nhiu kt cc khc nhau c th xy ra v
mi mt kt cc xy ra ta gi l mt bin c xy ra. Kt cc ca mt php th ngu
nhin l bin c ngu nhin.
K hiu: A, B, C, Ai, Bi, Ci..
Tp tt c nhng bin c l khng gian cc bin c
K hiu: .
2.2. 1 Bin c chc chn:
l bin c phi xy ra khi php th c thc hin. K hiu: .
V d: Tung 1 ng xu: = {S,N}
Tung 2 ng xu: = {(S,S), (N,N), (S,N), (N,S)}
2.2. 2. Bin c khng th c:
L bin c lun lun khng xy ra khi thc hin php th. K hiu:
2.2. 3. Bin c s cp:
Mi bin c c th chia nh thnh nhiu bin c khc nhau. Bin c khng
th chia nh c na ta gi l bin c s cp (phn t ca ).
K hiu: , i ,...
V d: Tung 1 ng xu c hai bin c s cp = {S}, 2 = {N } .
1

Tung 2 ng xu: c 4 bin c s cp = (S,S), 2 = ( N ,N), 3 = ( S , N ), 4 = ( N , S )

1

10
Chn cng lc 10 ngi t mt lp gm 100 ngi c C100
bin c s cp, mi
bin c s cp l mt tp gm 10 ngi.

Tp tt c nhng bin c s cp c gi l khng gian cc bin c s cp.

K hiu: .
3. Quan h gia cc bin c.
Cho A, B, C, Ai { Ai }i=1 l nhng bin c trong
3.1. Ko theo:
Ta ni bin c A ko theo bin c B c k hiu v nh ngha:
A B A xy ra th B xy ra.
3.2. Bng nhau:
2 bin c A, B c gi l bng nhau.

-2-

nh ngha: A = B { A B v B A }
3.3. Hp(Tng).
C = A B { C xy ra A hoc B xy ra}
C=

A <=> {C xy ra i = 1, : Ai xy ra}
i

i =1

3.4. Giao(tch).

C = A B {C xy ra A v B xy ra }, C = Ai <=> {C xy ra Ai
i =1

xy ra i = 1, }
3.5. Hiu.
C = A\B {C xy ra A xy ra v B khng xy ra}
3.6. Hiu i xng:
C = A B { C xy ra A\B xy ra hay A\B xy ra}
3.7. Ri (xung khc).
2 bin c A v B c gi l ri nhau nu A B = .
Ch : khi A B = . Ta Vit A B = A + B
3.7. i Lp(B) trn .
Ta ni A,B l 2 bin c i lp trn k hiu A = \B {A xy ra B
khng xy ra}
Bin c i lp vi bin c A. c k hiu: A ( A = \ A)
3.8. Phn hoch:
Ta ni A1, A2 ..., An l 1 phn hoch ca :
i. Ai Aj = i j , i, j = 1, n
n

ii.

A =
i =1

V khi A1, A2,, An c gi l 1 h y cc bin c i vi khng gian

4. i s v - i s:
4.1. i s:
Cho khng gian . F0 l lp cc tp con ca . Ta ni F0 l i s trn , nu
n tho:

-3-

i). F0
ii). A F0 => A F0
iii). A,B F0 => A B F0
4.2 - i s:
Cho khng gian , F l lp cc tp con ca . Ta ni F l - i s trn
nu n tho:
1. F
2. A F => A F

3. {An }n F => An F v khi (, F) c gi l khng gian o

n =1

c. A F ta ni A o c( A tnh xc sut c)
5 Cc khi nim v xc sut:
5.1 nh ngha(xc sut theo quan nim c in)
Cho bin c A ta ni xc sut ca A c nh ngha bi biu thc:
P(A) =

S trng hp A xy ra
S trng hp c th xy ra

Ch : 1. Mi trng hp l 1 bin c s cp:

2 . nh ngha trn ng khi bi ton tho: mi trng hp xy ra phi
cng kh nng, s trng hp xy ra phi hu hn.
+ V d: Tung 2 ng xu cn i v ng cht tnh xc sut sao cho:
a) C ng 1 mt sp
b) C 2 mt ging nhau
c) C t nht 1 mt sp
a) Gi A l bin c c ng 1 mt sp.
A = {(S,N), (N,S) } A xy ra c 2 trng hp

S trng hp c th: 4(Th)

Vy: P(A) =

2
4

b) Gi B l bin c c 2 mt ging nhau

B ={(S,S),(N,N) } B xy ra c 2 (Th)

Vy P( B) =

2
4

-4-

c) Gi C l bin c t nht 1 mt sp
C ={(S,N), (N,S), (S,S)} C xy ra c 3 (Th)

Vy P(C ) =

3
4

V d 2:
Mt l hng gm 10 sn phm loi 1 v 4 sn phm loi 2. Chn ngu nhin
cng lc 3 sn phm. Tnh xc sut sao cho.
a) C ng sn phm loi 1
b) C t nht 1 sn phm loi 1
a) Gi Ai, Bj l bin c chn i sn phm loi 1, j sn phm loi 2
A1 xy ra c C101 (Th)
B2 xy ra c: C42 (Th) => A1 B2 xy ra c C101 .C42 (Th)
s trng hp c th C143 (Th) vy P( A1 B2 ) =

C101 .C42
C143

b) Phi tnh P(A1 B2 + A2 B1 +A3)?

A1 B2 xy ra c: C101 .C42 (Th) A1B1 xy ra c( C101 .C42 + C102 .C41 + C103 )(Th)
Vy: P( A1 B2 + A2 B1 + A3 ) =

C101 .C42 + C102 .C41 + C103

C143

V d 3: Xp ngu nhin n s: 1, n trn n v tr theo hng ngang tnh xc sut:

a) 3 s u lun ng trn nhng v tr lin tip nhau.
b) 2 s u lun ng cch nhau k v tr (1 k n 2)
a) Gi A 1 l bin c xp 3 s u trn 3 v tr lin tip (trn n v tr)
A2 l bin c xp(n 3) s cn li trn(n 3) v tr cn li tng ng.
A1 xy ra c 3!(n 2) (Th)
A2 xy ra c (n -3)! (Th)
A1.A2 xy ra c: 3!(n -2).(n -3)! = 3!(n -2)! (Th)
s trng hp c th n! (Th)
Vy P(A1. A2) =

3!(n 2)!
n!

b) Gi A l bin c xp 2 s u lun cch nhau k v tr

B l bin c xp n -2 s cn li
-5-

Ta c: A xy ra c 2!(n k-1) (Th)

B xy ra c (n-2)! (Th)
AB xy ra c: 2!(n-k-1)(n-2)!
Vy P(AB)=

2!( n k 1)( n 2 ) !
n!

5.2 nh ngha(Thng k)
Cho bin c A. Xem mt php th c lin quan n A. Ta thc hin n ln
lin tip:
t

fn=

S trng hp A xy ra trong n ln th
n

fn Gi l tn sut A xy ra
fn : Phn nh thng xy ra ca bin c A. Bng thc nghim ta thy rng
khi n kh ln fn n nh quanh mt s c nh no v ngi ta ly con s t
l:P(A)
Vy: P(A) =

S trng hp A xy ra trong n ln th
n
khi n kh ln

V d:
1) Theo thng k t l ngi mc bnh lao vng A l 5%
gi B l bin c ch ngi mc bnh lao vng A ta c: P( B) =

5
100

2) Trung bnh c quan st 100 ngi vng A th c 5 ngi mc bnh Lao.

Khi P( B) =

5
100

5.3 nh ngha(Tin )
Cho khng gian o c (, F), Ta ni P l o xc sut trn (, F) nu:
P: F [0,1] tho 3 tin sau:
1) P() = 1
2) P(A) 0 A F

n =1

n =1

3) {An }n F: Ai. Aj = i j , i, j = 1, ta c: P( An ) = P( An )
-6-

V khi (, F, P) c gi l khng gian xc sut.

5.3.1 Cc tnh cht.
P l o xc sut trn (, F) khi ta c:
1) P() = 0
n

i =1

i =1

2) {A i}i =1, F : Ai A j = , i j, i. j = 1, ta c: P( Ai ) = P( Ai )
3) A,B F: A B ta c P(A) P(B)
4) A F ta c 0 P(A) 1
5) A, B F, A B th P(B\A) = P(B) P(A)
6) A F Ta c P( A) = 1 P( A)
7) A, B F

Ta c P(A B) = P(A) + P(B) P(A.B)

n 1

n =1

8) Bt ng thc Boole: {A n}n F ta c: P( An P( An )

Chng minh: 1) Ta c: = + + + ......

P() = P( + + + ......) = P() + P( Ai ), Ai = , i = 1, (Tin 3)

i =1

P ( Ai ) = 0, Ai = , i = 1, (Tin 1)
i =1

P(Ai) = 0 Ai = i = 1, (Tin 2)

Vy: P() = 0
2) t Ai = i = n + 1,
=>

i =1

i =1

Ai = Ai
n

i =1

i =1

i =1

=> P( Ai ) = P( Ai ) = P( Ai ) =

P( A )
i

(P() = 0)

(Tin 3)

3) T A B => B = B\A + A
=> P(B) = P(B\A +A)
= P(B\A) + P(A) (Tnh Cht 2)
=> P(A) P(B) (Tiu 2)
4) A F Ta c:
=> 0 P(A) 1

A => P(A) P() (Tnh cht 3)

(tin 1+ 2)

-7-

5) A B => B = B\A + A
=> P(B) = P(B\A + A) = P(B\A) + P(A) (Tnh Cht 2)
=> P(B\A) = P(B) P(A) (Tnh Cht 4)
6) A F ta c: = A + A
=> P() = P( A) + P( A)
=> P(A) = 1 P( A)

(Tnh Cht 2)

(Tin 1 + Tnh cht 4)

A = A B \ ( B \ A.B)

7) A ,B F Ta c:

B = A.B + ( B \ A.B)

P( A) = P( A B) P( B \ A.B),(Tinhchat 5)
=>
P( B) = P( A.B) + P( B \ A.B),(Tinhchat 2)
=> P( A) + P( B) = P( A B) + P( A.B) => kt qu

i =1

i =1

8) Chng minh: P( Ai ) P( Ai )
t B1 = A1
B2 = A2 \ A1.A2
B3 = A3 \ (A3 (A1 A2))
.
.
.
k 1

Bk = Ak \ ( Ak ( Ai ))
i =1

.
.
.

-8-


i), B A , i = 1,
i
i

ii), Bi B j = , i j, ij = 1,

iii), A = B

i
i

i =1
i =1

i =1

i =1

=> P( Ai ) = P( Bi ),(iii)

= P( Bi ),(ii)
i =1

P( Ai ),(i)
i =1

5.4 Xc sut c iu kin.

nh ngha: Cho khng gian xc sut: (, F, P), A F : P(A) > 0.
Khi xc sut c iu kin A l:
P( A ): F [0,1] c xc nh
B F ta c: P(B/A) =

P( A.B)
P ( A)

V d: Tung 2 con xc xc 6 mt cn i v ng cht. Cho bit tng s nt 2

mt trn bng 6. Tnh xc sut c 1 mt l 1 nt
Gii
Gi A l bin c c tng s nt 2 mt trn bng 6 , B l bin c c 1 mt 1 nt:
Ta c: P(B/A) =

P ( A.B)
P ( A)

A = {(1,5),(5,1), (2,4), (4,2), (3,3) }

A.B = {(1,5), (5,1) }

=> P(A) =
P( A.B) =

5
,
6

2
36

2
2
=> P( B ) = 36 =
A
5 5
36

Ch rng: Nu ta k hiu: P(/A) PA

+ F A l - i s trn A
-9-

+ (A, F A,PA) l khng gian xc sut mi

+ Trong v d trn: A xy ra c 5(Th)
B

xy ra c 2(Th)

=> PA(B) =

2
5

- 10 -

5.4.1 Cng thc nhn xc sut:

n 1

nh l (nhn xc sut): Cho A1,A2,....An trn(, F, P) tho: P( Ai ) > 0

i =1

Khi ta c: P( Ai ) = P( A1 ).P( A2 A1 ).P( A3 A1 A2 )....P( An

i =1

n 1

A)
i =1

Chng minh:
n 1

n2

A A ........ A . A

Ta c:

i =1

i =1

A1 => 0 < P ( Ai ) ... P ( A1. A2 ) P ( A2 )

i =1

Vy cng thc nhn vit trn c ngha

P(A2/A1) =

P( A1. A2 )
P( A1 )

(nh ngha xc sut c iu kin)

P(A1.A2) = P(A1). P( A2 A1 ) , Cng thc nhn ng vi n = 2

n

n > 2 cng thc nhn ng P( Ai ) = P( A1 ).P( A2 A1 ).......P( An

i =1

Ta c:

n +1

i =1

i =1

i =1

n 1

Ai ).P( An+1
i =1

n 1

A)

A)
i

i =1

A))
i

i =1

Vy cng thc nhn ng vi n + 1 => cng thc nhn n N

5.4. 2 Cng thc xc sut ton phn:
nh l: Cho A1,A2, ..........,An trn (, F, P) tho.
a) P(Ai) > 0

i = 1,

b) Ai . Aj = , i j ; i,j = 1, n
c)

A =
i =1

Khi A F ta c: P( A) = P(( A Ai ).P( Ai ))

i =1

c bit B F: 0 < P(B) < 1

Khi A F Ta c: P( A) = P( A B).P( B) + P( A B).P( B)

- 11 -

(**)

i =1

P ( Ai ) = P( Ai ) An +1 ) = P ( Ai ).P( An +1

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

(*)

(do *)
(do **)

Chng minh: A F Ta c:
n

A = A = Ai A = ( Ai A), (do, c)
i =1

i =1

i =1

i =1

i =1

=> P ( A) = P( ( Ai . A)) = P( Ai . A) = P( A AI ).P( Ai ), (do b)

5.4. 3 Cng thc Bayes.

nh l(Bayes): Cho A1, A2, .........., An trn ( , F, P) tho
a) P(Ai) > 0

i = 1,

b) Ai . Aj = , i j ; i,j = 1, n
c)

A =
i =1

khi A F tho P(A) > 0 ta c:

i = 1, n, P( Ai A) =

P ( A Ai ).P( Ai )
n

P( A A ).P( A )
k =1

Chng minh:
i = 1, n

Ta c: P( Ai A) =

P ( A. Ai )
P( A)

(nh ngha xc sut c iu kin)

Li c: P(A.Ai) = P(A/Ai).P(Ai)

(Cng thc nhn xc xut)

P( A) = P( A / Ak ) P( Ak )

(Cng thc xc xut ton phn )

k =1

=> P ( Ai / A) =

P ( A / Ai ).P ( Ai )
n

P( A / A ) P( A )
k =1

V d 1: Xp ngu nhin 12 ngi ln 4 toa tu (mi toa c th cha t 1 n 12

ngi )
a) Cho bit toa 1 c 2 ngi .Tnh xc sut sao cho toa 2 c 3 ngi .
b) Mi toa u c 3 ngi.
Gii
a) Gi A l bin c toa 1 c 2 ngi.
B l bin c toa 2 c 3 ngi.

- 12 -

P( A.B) C122 .C103 . A27 / A412 C103 . A27

=
=
Ta c: P(B/A) =
2
10
12
P( A)
C12 . A3 / A4
A310
b) Ai l bin c toa i c 3 ngi.

4
P Ai = P(A1).P(A2 /A1).P(A3 /A1.A2).P(A4 /A1.A2.A3)
i=1

C123 . A39 C93 . A26 C63 C33 C123 .C93 .C63

.
. .
=
=
12
9
6
1
412
A4
A3 A2
V d 2: C 3 phn xng cng sn xut ra mt loi sn phm. Cho bit nng
sut phn xng 1 gp i phn xng 2 v gp 3 ln phn xng
3.S sn phm khng t cht lng ca cc phn xng 1,2,3 ln
lt l :2% ,3%, 4% .Chn ngu nhin mt sn phm t mt nh
my .
a) Tnh xc sut sn phm c chn khng t cht lng.
b) Cho bit sn phm c chn khng t cht lng . Tnh xc
sut sn phm l ca phn xng 1 sn xut .
Gii:

a)

Gi Fi l bin c ch sn phm do phn xng i sn xut

i = 1,2,3.
K l bin c ch sn phm khng t cht lng ca nh my .
Ta c: F1,F2,F3 l h y cc bin c .
P(K) = P(K/F1).P(F1) + P(K/F2).P(F2) + P(K/F3).P(F3)
(cng thc xc sut ton phn)
x l s sn phm phn xng 3

=> 3x ,

3x
theo th t l s sn phm phn xng 1. phn xng 2 .
2

- 13 -

3x
6
=
3x
3x +
+ x 11
2
(3 x / 2)
3
2
P ( F2 ) =
= ; P ( F3 ) = .
3 x + (3 x / 2) + x 11
11
2
3
4
P ( K / F1 ) =
= 0, 02; P ( K / F2 ) =
= 0, 03; P ( K / F3 ) =
= 0, 04.
100
100
100
6
3
2
P ( K ) = 0, 02i + 0, 03i + 0, 04i
11
11
11

P ( F1 ) =

b ) P ( F1 / K ) =

P ( K / F1 ) i P ( F1 )
3

i =1

P ( K / Fi ) i P ( Fi )

(cng thc Bayes)

6
11
=
6
3
2
0, 0 2 i + 0, 0 3 i + 0, 0 4 i
11
11
11
0, 02i

5.5 : S c lp ca cc bin c.
5.5.1. nh ngha (cho 2 bin c).
Cho 2 bin c A,B trn ( ,F ,P).Ta ni A v B c lp nu:
P(A.B) = P(A) .P(B) .
V d 1: C 2 ngi lm bi thi mt cch c lp.Gi Ai l bin c ngi i
lm c bi .Ta c A1, A2 c lp.
V d 2: C 2 l hng. L 1 gm 10 sn phm loi 1 v 4 sn phm loi 2.
L 2 gm 8 sn phm loi 1 v 3 sn phm loi 2.
Chn ngu nhin t mi l 2 sn phm ( cng lc)
Gi Ai j ,Bi j ln lt l cc bin c chn i sn phm loi 1 v j sn
phm loi 2 t l 1, l 2 .Khi Ai j , Bi j c lp ij = 0, 2
V d 3: Nu A1, A2 c lp th( A1 , A2 ), ( A1 , A2 ), ( A1 , A2 ) l nhng cp bin c
c lp.
Cho A,B trn ( ,F ,P) tho P(A)>0. Khi hai mnh sau tng ng.
a) A,B c lp .
b) P(B/A)=P(B).

- 14 -

chng minh: (a) => (b) Ta c: P(B / A) =

P( AiB) P( A)iP(B)
=
= P(B).
P( A)
P( A)

(do nh ngha v A, B c lp)

(b) => (a) P(AB) =

P ( B / A)i P ( A)

(cng thc nhn)

(do b)

= P( B)i P( A)
=> A,B c lp .

5.5.2. nh ngha (Cho n bin c n 2).

Cho A1,A2,.,An trn khng gian xc sut ( ,fi ,P)
Ta ni A1,A2,,An c lp nu:
{ Ai } i = 1, k { Ai } i = 1, n

k = 2, n . ta c:

P Ai = P ( A1 ) P ( A2 ) P ( Ak ) .
i =1
Ch : Nu A1,A2,An c lp th A1 , A 2 , , A n cng c lp .
V d : Tung ng xu (cn i v ng cht) n ln c lp.
Tnh xc sut sao cho c t nht 1 ln mt sp xy ra .
Gi Si l bin c ln i mt sp xy ra .

n
n
n
Ta c: P Si = 1 P Si = 1 P Si
i =1
i =1
i =1
= 1 P ( S1 ) P ( S 2 ) P ( S n )
1
= 1
2

(Si i= 1, n c lp)

- 15 -

CHNG II
BIN NGU NHIN V PHN PHI XC SUT
1. nh ngha (Bin ngu nhin): Cho 2 khng gian o c ( ,F), (R,B). X c
gi l bin ngu nhin trn ( ,F). nu: X: tho X: F - o c(X-1(B) F).
1.1 Mnh : X:( ,F) (R,B) X l bin ngu nhin { X < x} F, xR.
2. nh ngha( Vect ngu nhin): X = (X1,X2,..,Xn):
nhin X -1(Bn) F.

X l vect ngu

2.1 Mnh : (X1,X2,.Xn) l vect ngu nhin X1, X2,,Xn l bin ngu
nhin.
Chng minh: ( )Xt: k:Rn (R,B) nh ngha: x = ( x1 , x2 ,..., xn )

k( X ) = xk => k lin tc =>k:Bn o c

=> k 0 X o c => Xk - F o c k= 1, n .
ngc li X1,X2,Xn bin ngu nhin.
Ta c: B Bn => B=B1xB2xxBn
X

-1

(B) = X1-1(B) . Xn-1(Bn) F

=> X

-1

(Bn) F => X

l vect ngu nhin.

Bi tp: X : Vect ngu nhin n chiu, g: Rn Rm Borel th g( X ) l vect

ngu nhin m chiu (bin)
3. Phn phi xc sut:
3.1 inh ngha: Cho Q l o xc sut trn (R, B). Ta ni Q l phn phi xc
sut ca X (Lut phn phi xc sut ca X)
Nu BB Q(B)=P(XB)=PX-1(B)
K hiu: PX-1

3.2 nh ngha: (Hm phn phi xc sut) Cho X l bin ngu nhin trn (r, F,
P). Fx l hm phn phi nu Fx: R[0,1] c nh ngha:
x R Fx(x)=P(X<x).
Ta c: Fx(x)=P(X<x)=PX-1(-, x).
Fx(b) Fx(a) = P(X<b) - P(X<a) = PX-1(-,b) PX-1(-,a) = PX-1 [a,b ]
Vy (Lut) phn phi xc sut chnh l o L S ng vi hm phn phi.

3.3 nh ngha: (hm phn phi xc sut): Cho X : l vect ngu nhin FX l
hm phn phi ca X nu: Fx : Rn[0,1]
- 16 -

 x Rn: Fx( x ) = P( X < x ) = P(X1 <x1,.,Xn<xn).

3.4 inh l: Cho Q l o xc sut trn (R,B) th : C t nht 1 khng gian

xc sut ( , F, P), X l bin ngu nhin (Nhn gi tr trong R), nhn Q hm phn
phi xc sut.
Chng minh: chn = R, F = B, P = Q, X l hm ng nht
BB PX-1(B) = P(X B) = P( :X( ) B) = P( : B) = P(B) = Q(B)
Vy PX-1 = Q.
Vy phn phi xc sut l o xc sut, ngc li cho 1 o xc sut Q th Q
l phn phi xc sut ca bin ngu nhin X no .
Tuy nhin 2 phn phi xc sut bng nhau khng dn n 2 bin ngu nhin
bng nhau .
V d: = { 1, 2} : P( 1) = P( 2) =

1
.
2

X( 1) = Y( 2) = 1
X( 2) = Y( 1) = 0
=> PX-1 = PY-1 = Q. vi q(0) = q(1) =

1
2

Nhng X Y

3.5 nh l:
Nu F l hm phn phi xc sut ca X th n tho:
i) F(x) khng gim, lin tc tri x R.
ii) F(-) = lim F(x) = 0, F(+ ) = 1.
x
Ngc li cho hm F tho i),ii) th c t nht mt bin ngu nhin X trn ( , F,
P) nhn F lm hm phn phi xc sut.
Chng minh:
i). Khng gim x < y => (-,x) (-, y).
=> PX-1(-,x ) PX-1(-, y)
P(X<x) P(X < y)
F(x) F(y)
Lin tc tri: xn n x.
(-, xn) n (-,x) => PX-1(-, xn) n PX-1(-, x)
=> p(X < xn) n P(X < x).
=> F(xn) n F(x)
- 17 -

ii). Ta c (-, -n) n .

=> PX-1(-,- n) n 0.
=> P(X<-n) n 0.
lim F(-n) = 0 =>F(-) = 0.
n

(-, n) n R, PX-1(-, n) n PX-1(R) = 1

lim P(X<n) = 1 lim F() = 1
n

Ngc li chn = R, F = B, X: hm ng nht P l o L S ng vi F

x R ta c:
Fx(x) = P(X < x) = P( : X( ) < x) = P( : X( ) (-, x)) = P( : (-, x))
= P(-, x) = F(x) F(-) = F(x).

3.6 Mnh (m rng):

Cho X l vect ngu nhin (n bin) trn ( , F, P). Nu FX l hm phn
phi xc sut ca X th n tho mn:
i). FX khng gim, lin tc tri x Rn.
ii). FX (+,+,,+) = 1, FX (-, x2,, xn) =... FX (x1, x2,...,- )= 0
Ngc li cho FX tho i),ii) th X trn ( , F, P) nhn FX lm hm phn
phi xc sut.

4. Phn loi
4.1 Phn phi ri rc (1 chiu).
4.1.1 nh ngha 1: Cho X trn (, F, P), ta gi X c phn phi ri(X: bin
ngu nhin ri) Nu hm phn phi xc sut ca n l hm bc nhy(bc thang).
4.1.2 nh ngha 2: {xk}k tp im gin on ca Fk vi bc nhy tng
ng {pk}k: pk = Fk(xk+) Fk(xk) = P(X=xk)
Ta ni f(x) l hm mt ca X nu:
fk: c xc nh:
k (xk) = (P(X = xk)=pk
Bng phn phi xc sut:
X

x1 x2 ......xn ......

F X( x )

p1 p2 ...... pn ......

- 18 -

4.1.3 Tnh cht: (Hm mt xc sut)

Nu fx l hm mt xc sut ca X ri th n tho:
i). fx(x) 0 x {xk}k.
ii).

x{ xk }

fx(x) = 1.

iii). Fx(x) =

fx(y)

y< x

Ngc li cho 1 hm f tho i), ii), khi iii) xc nh hm phn phi xc

sut ca X v do X ri trn (, F, P) nhn fx lm hm mt xc sut(Fx l
hm phn phi xc sut).
Chng minh:
i). fx(x) = P(X=x) 0.
ii).

x{ x}k

fx(x) =

P(X=x) = P( (X=x))
x

P x-1 (x)) = PX-1(X()) = P() = 1.

k

iii). Fx(x) = P(X<x) =

P(X=y) =

y< x

fx(y).

y<x

5. Vi phn phi thng gp

5.1 Phn phi u:
nu.

Cho X ri c hm mt xc sut: fx ta ni X c phn phi u trn{1,n}

1

f x ( x) = n
0,

{ }
x {1, n}
x 1, n

5.2. Phn phi nh thc:

X ~ b(n, p) nu
Cnx p x (1 p ) n x x {0, n}
fx (x) =
x {0, n}
0

c bit: x ~ b(1, p): Ta ni X c phn phi Bernoulli.

5.3. Phn phi Poisson:

X ~ P(), > 0 nu:

- 19 -

 x e

f ( x) = x !
0

{ }
x {0, }

x 0,

5. 4. Phn phi hnh hc

X ~ hnh hc (p), 0<p<1. Nu:
p (1 p ) x

x {0, }

x {0, }

fx(x) =

5.5. Phn phi siu bi:

X ~ siu bi(n, n1,k) Nu:
Cnx1 Cnknx1

k
f x ( x ) = Cn

0,

x {max(0, k n + n1 ), min(n1 , k )}
x {max(0, k n + n1 ), min(n1 , k )}

6. Phn phi lin tc

6.1 nh ngha: (phn phi lin tc 1 chiu)
Ta ni X c phn phi lin tc nu phn phi xc sut ca n tuyt i lin tc
i vi o Lebesgue trn R.(PX-1 << ) v khi o hm Radon-Nikodym
ca PX-1 i vi c gi l hm mt xc sut ca X.
fx =

dPX 1
d

f x ( x) =

dPX 1 ( x) dPX 1 ( x)
=
d ( x)
dx

6.2 Tnh cht:

Nu fx l hm mt xc sut ca X th n tha:
i). fx(x) 0 x R
ii).

(x)dx =1

iii). Fx(x) =

(t)dt

Ngc li cho f tho i), ii) th iii) xc nh lm hm phn phi xc sut v do

X lin tc trn ( , F, P) nhn Fx lm hm phn phi xc sut (fx: lm hm mt
xc sut).
Chng minh:
i). T nh l R N, ta c: fx 0: f x ( x) =

- 20 -

dPX 1
d

ii). fx =

dPX 1
=>PX-1(R) =
d

fxd =

f x ( x)dx

iii). Fx(x) = P(X<x) = PX-1(-, x) = f x (t)dt.

-

Ch : x LT (F) ta c: FX' (x) = fx(x)

6.3 Mt s phn phi lin tc thng gp:

6.3.1 Phn phi u:
1

f x ( x) = b a
0

x ( a, b )
x ( a, b )

6.3.2 Phn phi m (), >0

X ~ m() Nu:
e x
f x ( x) =
0

x (0, )
x (0, )

6.3.3 Phn phi chun: (Bnh thng, Gauss).

X ~ N(, 2) Nu
fx(x) =

1 x

(
1
e 2
2

)2

X ~ N(0,1), fx(x) =

, x, R, >0
1
2

1
x2
2

x R

6.3. 4. Phn phi Gamma

Hm Gamma: : R R nh ngha:
(x) =

t dt <

t x 1

X ~ G(, ), , > 0 Nu:

x

1
1

.
x
e

f x ( x) = ( )
0

c bit

x (0, )
x (0, )

n
2

= ,=2

n
2

G( , 2) 2(n): Phn phi khi bnh phng vi n t do.

- 21 -

1
2

G( , 2) 2(1): Phn phi khi bnh phng vi 1 t do.

(2n )

tn

N ( 0,1)

6.3.5 Phn phi Student:

U ~ N(0,1)
V ~ 2(n) , U,V c lp th:
U
~ tn : Phn phi Student vi n t do.
V
n

7. Phn phi ri (nhiu chiu) n = 2

7.1 nh ngha (n = 2)
Ta ni X = (X, Y) l vect ngu nhin ri 2 bin
Nu cc thnh phn tng ng ca n: X, Y l nhng bin ngu nhin ri.

7.2 nh ngha (hm mt xc sut)

{xi , yj }i,j l nhng im tp trung xc sut ca X = (X, Y).
Khi f(x,y)(xi , yj) = pi,j = P(X = xi , Y = yj) c gi l hm mt xc sut ca
X [ hm mt ng thi ca X v Y]
Bng phn phi xc sut ng thi

Y
y1
y2
.
.
.

yk

.
.

X x1

x2 .xk

p11 p21 .pk1

p12 p22 .pk2
.
.
.
.
.
.
p1k p2k pkk
.
.
.
.

- 22 -

7.3 Mnh : Nu f(X,Y) l hm mt xc sut ca (X, Y) th n tho.

i). fX,Y(x,y) 0 (x,y) X ()

ii).

fX,Y(x,y) = 1.

iii). FX,Y(x,y) =

u< y

fX,Y(t,u)

t<x

Ngc li cho dy {(xi , yj)} v f(xi , yj) tho i) v ii) khi iii) xc nh hm
phn phi xc sut ca X v do X = (X,Y) xc nh trn (, F, P) nhn
F(X,Y) lm hm phn phi xc sut
Hm mt l:

fX,Y(x,y)

fX,Y(x,y)

fx (x) =

fy(y) =

8. Phn phi lin tc hai chiu

8.1 nh ngha : Ta ni X = (X,Y) c phn phi lin tc nu phn phi xc sut
Qx ca n tuyt i lin tc i vi o Lebesgue trn R2. V khi o hm R
N ca Qx i vi (trn 2 )
dQx

fX,Y =

d (R2 )

(F(x,y)(x,y) =

: c gi l hm mt xc sut ca (X,Y)
dQx ( x, y )
dxdy

8.2 Mnh : Nu f(X,Y) l hm mt xc sut ca (X,Y) lin tc th n tho:

i). fX,Y(x,y) 0 (x, y) R2
ii)

fX,Y(x,y) dx dy = 1

iii) FX,Y(x,y) =

fX,Y(u,v) dudv

Hm mt l: fx(x) =

fX,Y(x,y)dy

fy(y) =

fX,Y(x,y)dx

Phn phi chun 2 chiu:

- 23 -

X = (X,Y) c phn phi chun. Nu hm mt xc sut ca n c dng:

N(1 , 2, 1, 2,e)
fX,Y(x,y) =

1
2 1 2 1 e

exp{

1
x 1 2 2e( x 1 )( y 2 )
y 2 2
[(
) (
)+(
) ] }
2
2(1 e )
1
1 2
2

Nu (X,Y) c phn phi chun th X ~ N(1, 12 ), Y~N(2, 22 )

9. S c lp (Theo xc sut)
9.1 nh ngha(2 bin c): Cho A,B trn ( , F, P). Ta ni A,B c lp(theo xc
sut) Nu P(A.B) = P(A).P(B)
9.2 nh ngha (nhiu bin c)
A1, A2, ..An c lp nu {Ak }k=1,m{Ai}i=1,n, m= 2, n
m

Ta c: P( Ak ) =
k =1

k =1

P ( Ak )

A1, A2, An .... c lp Nu A1, A2, An c lp n.

9.3 - i s c lp:
Cho ( ,F, P)., , , lp cc tp o c ca f
Ta ni , c lp nu: A , B ta c: P(A.B) =P(A).P(B)
a1, a2, l 2 i s con ca F a1,a2, c lp nu A a1, B a2

Ta c: P(A B) = P(A)P(B)
a1, a2

...an c lp

a1, a2, c lp

Ai ai

P( Ai ) =
i =1

i =1

P ( Ai )

a1, a2, an c lp n

9.4 inh l: cho a1 , a2 F - i s trn .

Nu a1, a2 c lp th (a1) c lp (a2) c nh A a1 nh ngha
, :(a2) [0,1] B (a2): (B) = P(A.B), (B) = P(A).P(B)
Th , l o trn (, (a2) )
Nu B a2 => = (a1,a2 c lp) => = trn (a2) => a1, (a2) c
lp c nh B (a2) nh ngha ,:(a1) [0,1]

A ( 1)

(A) = P(A.B)

- 24 -

 (A) = P(A).P(B)
Nu Aa1 => = (trn a1)
=>= trn (a1)
=>(a1) c lp (a2)

a1, a2, l 2 - i s con ca F

={A..B: Aa1, B a2 } th () = (a1 a2)

9.5 nh l: Nu cc - i s a1, a2, a3 c lp th: (a1a2) c lp a3 .

Chng minh: C Da3
P(C. D) = P(A.B.D) = P(A).P(B).P(D) = P(A.B).P(D) =P(C).P(D)
=> c lp vi a3
=>() c lp vi (a3) = a3.
=>(a1 a2) c lp vi a3

9.6 nh m rng:
a1, a2,an c lp th (a1 a2) c lp a3 .an
(a1a2 .an) c lp vi (ak+1an)
k

{an }n c lp =>( a i ) c lp vi (
i =1

i = k +1

10. Bin ngu nhin c lp:

10.1 nh ngha:
Cho X, Y trn ( , F, P). X,Y c lp nu (X ),(Y) c lp,
{Xn}n c lp nu (X1), (X2).. c lp.

10.2 nh l: Cc mnh sau tng ng.

1. X,Y c lp.
2. (x,y) R2 F(X,Y)(x,y) = FX(x).FY(y)
3. (x,y, Y) f(X,Y)(x,y) = fX(x).fY(y)
4. A, B B: X-1(A) F, Y-1(B) F
P(X A, Y B) = P(X A).P(Y B)

- 25 -

Chng minh:

1=>2 (X,Y) R2 F(X,Y)(x, y) = P(X<x,Y<y)

= P(X-1(-,x),Y-1(-, y))

( X ), (Y ) doclap

P(X-1(-,x)). P(Y-1(-, y))

= P(X<x).P(Y<y).

2=>3
(x, y) Ta c: F(X,Y)(x,y) = Fx(x).FY(y)
=>

2 F( X ,Y ) ( x, y )
xy

FX ( x). FY ( y ) => f X ,Y ( x, y ) = f X ( x). fY ( y )

x
y

3=>4
P(XA, YB) =

( X ,Y )

AB

( x, y )dxdy = f ( X ( x) fY (y)dxdy = f X ( x) dx. fY ( y )dy = P( X A).P(Y B)

AB

4 =>1
A1, A2 (X), (Y)
=>B1 , B2 B: X-1(B1) =A1 Y-1(B2) = A2
=> P( A1 A2 ) = P( X 1 ( B1 )Y 1 ( B2 )) = P( X 1 ( B1 ).P(Y 1 ( B2 )) = P( A1 ) P( A2 )
=>X, Y c lp.

10.3 nh L: Cho f, g l hm Borel. X, Y c lp th: f(X), g(X) c lp.

Chng minh
Ta chng minh: (f(X)), (g(Y)) c lp.
Ta c:
[f ( X )]1 ( B) = X 1 ( f 1 ( B )) ( X )
[ g (Y )]1 ( B) = Y 1 ( g 1 (( B)) (Y )

Nhng ( X ), (Y ) c lp ( f ( X )), ( g (Y )) c lp
Ta c th m rng:
X1 , X2 .,Xn c lp h, g borel.
h(X1 , X2 .,Xk), g(Xk+1 .,Xn) c lp

10.4 nh l: Cho X1, X2, X3 c lp th: (X1,X2) c lp vi (X3)

Ta c: (X1), (X2), (X3) c lp =>((X1) (X2)) c lp (X3)
Ta chng minh: (X1, X2) = ((X1) (X2))

- 26 -

Ta c:
( X1 ) ( X1, X 2 )
( X 1 ) ( X 2 ) ( X 1 , X 2 ) => ( ( X 1 ) ( X 2 )) ( X 1 , X 2 )
( X 2 ) ( X1 , X 2 )

Ta c: (X1, X2) = (X1, X2)-1 (B(2))

= { (X1, X2)-1(B) : B B(2)}
Nhng (X1, X2)-1(B) = (X1, X2)-1(B1.B2)
= X 11 ( B1 ) X 21 ( B2 ) ( ( X 1 ) ( X 2 ))
=> ( X 1 , X 2 ) ( ( X 1 ) ( X 2 ))

X,Y c lp Qxy = Qx.Qy

[QX ( A) = P ( X A), QY ( B ) = P(Y A)]
QX ( A.B) = P(( X , Y ) ( A, B))

11. Lut 0 1:
11.1 - trng xa vi( - i s ui)
Cho dy - i s {Fn}n N

t F(n) = ( Fk )
k =n

Khi F( ) = F(n) c gi l trng xa vi

n =1

11.2 nh l: (0 1)
Nu F1, F2, c lp th F()tm thng(ngha l A F =>P(A) {0,1} )
Ta c: F1, F2, ..,Fn,.. c lp

=>F1, F2, ..,Fn-1, c lp ( Fk) n

k =n

=>F1, F2, ..,Fn-1, c lp ( F( n ) ) n

n =1

=>F1, F2, ..,Fn-1, c lp F) n

=> ( Fk) c lp F => F(1) c lp F nhng F F(1)

k =1

=>F c lp F
A F =>P(A.A) = P(A).P(A)
=>P(A) =[P(A) ]2
=>P(A) {0,1} )

- 27 -

11.3 nh l: (Borel Cantelli)

Nu {An }n l dy bin c c lp th:
a ) P( An ) < <=> P (lim An ) = 0
xn

b) P ( An ) = <=> P (lim An ) = 1
xn

Chng minh: n
t Fn = (An)
=>F1, F2, .., Fn, c lp =>F() tm thng.

An = Ak F(n) = F()
li c lim
n
n =1 k = n

n =1

Cn chng minh: (=>) ca a) v b)

Ta c
a)

P( A ) <
n =1

0 P (l im An ) = P ( Ak ) P ( Ak )
xn

n =1 k = n

k =n

Cho n
=> P(l im An ) = 0
x n

b)

P( A ) =
n

n =1

Ta c:

P (l im An ) = P ( Ak ) = P (lim Ak ) = lim P ( Ak )
x n

n =1 k = n

k =n

k =n

=> 1 P (l im An ) = lim(1 P ( Ak )) = lim P ( Ak ) = lim lim P ( Ak )

n

k =n

= lim lim (1 P( Ak ))
n

k =n

- 28 -

k =n

k =n

1
m

(1 P( A ))
k

k =n

k =n

k =n

m
(1 + P( Ak )) 1 + P ( Ak )

=> lim (1 P ( Ak )) = 0
m

k =n
m

Li c: lim
lim (1 P( Ak )) = 0
n
m
k =n

=> 1 P(l im An ) = 0
n

=> P (l im An ) = 1
n

- 29 -

CHNG III
CC C TRNG
Trong chng ny ta lun xem khng gian(F, , P) l khng gian c o
Nh chng ta bit phn phi xc sut cho ta thng tin kh v bin ngu
nhin X. Nhng vic bit phn phi xc sut ca bin ngu nhin l iu kin l
tng. Trong thc t thng ta khng bit hoc khng bit y v phn phi
xc sut ca n. V vy ta cn bit mt vi c trng ca n, vic bit mt vi c
trng ca X gip ta c th hiu v n.Cc c trng thng c quan tm: k
vng, momen, phng sai, covariance v median, h s tng quan.

- Nhc li:
X L0 (,F,P) X l bin ngu nhin.
X L1 (,F,P) | X | dP <

p>0 xLp(,F,P) | X | p dP <

1. K vng (Gi tr trung bnh)

1.1 nh ngha: Cho bin ngu nhin X trn (,F,P) nu XL1(,F,P) ta ni X
c k vng(hu hn) v k vng ca X c xc nh bi biu thc.
* Xlt
EX = Xdp = xQ(dx) = xdPX 1 ( x) = xdF ( x) =

Khi X c dng g(X,Y) th:

Eg ( X , Y ) = g ( X , Y )dP =

g ( x, y ) f

( X ,Y )

( x, y )

* X roi :
EX =

xP( X = x) =

x X ( )

x X ( )

xf X ( x)

1.2 Cc tnh cht:

1. a

X L1 (,F,P)

EaX= aEX

2. XY => EX EY.
3. |EX| E |X|

- 30 -

xf

( x) dx

4. X L1 (,F, ) , AF => X1A L1 (,F,P)

5. 0 Xn L0(,F, ) , Xnn X th :
EXn n EX

6. X L1 ,YL1 th X+Y L1 (,F,P) v E(X+Y) = EX + EY.

7. 0 Xn L0(,F, )

n =1

n =1

E ( X n ) = EX n

8. X L1 |X| L1
9. |X| YL1 => X L1 .
10. X = 0 (hcc) => EX=0
X=a (hcc) => EX=a.

11. P(A) = 0 => EX1A =0

12. X=Y(hcc), Y L1 =>EX = EY
13. X L1 (, F, P) => X< (hcc)
14. X 0 , EX = 0 =>X = 0 (hcc)
15. X Y (hcc) E1AX E1AY A
16. Hi t n iu ni rng
a, Y Xn , EY > - .
Xn n X => EXn n EX
b, Xn Y , EY < +
Xnn X => EXn n EX

17. a, {X n }n L0(, F, P) , Y L0 Y Xn, EY > - .

b, Xn < Y , EY < .
lim n EX n E lim n X n

18. Hi t b chn .
Xn Y L1 (, F, P)
X L1 (, F , P)
n
EX
EX n

Xn X (hcc) =>

- 31 -

2. Cc khi nim v Moment

2.1 Moment bc k.
Cho X trn (, F, P) , k Z+
Nu E |X|k < th ta ni X c moment bc k v khi moment bc k ca X
c xc nh :
EXk = X k dP

Xlt

EXk =

f x ( x)dx

Xroi

EXk =

x X ( )

x k f x ( x)

2.2 Moment qui tm bc k

k

Gi s E X < , khi moment bc k ca (X EX) c gi l momen hng

tm (qui tm) bc k ca X v :
E ( X EX ) k = ( X EX ) k dP

( x EX ) f

X lt E ( X EX ) k =

( x)dx

X roi E ( X EX ) k =

x X ( )

( x EX ) k f X ( x)

c bit k = 2, khi moment qui tm bc 2 ca X c gi l Variance ca X

K hiu: Var(X) D(X)
+

X lt D( X ) = E ( X EX ) 2 =

( x EX )

f X ( x) dx

X roi D( X ) =

x X ( )

( x EX ). f X ( x)

V D( X ) c gi l lch chun.

2.3 nh l:
1.

Nu E|X|n < => E|X|k < k : 1 k n

2.

Nu E|X|n < ,

3.

Nu EX2 < => D(X) < , D(X) = EX2 E(X)2

4.

a,b R, D(X) < => D(aX + b) = a2D(X) c bit D(aX) = a2D(X)

5.

X = hng(hcc) D(X) = 0

E|Y|n < => E|X + Y|n <

- 32 -

6.

X, Y c lp, EX2 < , EY2 < , th D(X + Y) = D(X) + D(Y)

n

i =1

i =1

{Xn }i=1,n c lp D( X i ) = D( X i ) (nu c)

Chng minh:
1. V k n, X ta c: |X|k |X|n + 1
k

E|X| = | X |k dp (| X |n +1)dp = E | X |n +1 <

2. Ta c: E|X +Y| = | X + Y |n dp 2n1(| X |n + | Y |n )dp = 2n1(E | X |n +E | Y |n ) <

3. D(aX ) = E (aX E (aX )) 2 = Ea 2 X 2 + a 2 ( EX ) 2 2aEX .aEX

= a 2 ( EX 2 ( EX ) 2 ) = a 2 D( X )
4. D( X ) = E ( X EX ) 2 = E ( X 2 2 X .EX + ( EX ) 2 ) = EX 2 2 EX .EX + ( EX ) 2
= EX 2 ( EX ) 2 < ( EX 2 < , E | X |< )

5. D( X ) = 0 <=> E ( X EX ) 2 = 0
<=> P (( X EX ) 2 = 0) = 1
<=> P (| X EX |= 0) = 1
<=> P( EX = X ) = 1

P(X=hng) = 1

6 * X,Y c lp => E(X.Y) = EX.EY,

E | X .Y |= | x. y | f X ,Y ) ( x, y ) dxdy = | x | f X ( x)dx. | y | fY ( y ) dy <
R2

EXY =

x.yf

( X ,Y )

( x, y )dxdy = xf X ( x)dx. yfY ( y )dy = EX .EY

R

D( X + Y ) = E ( X + Y ) [E ( X + Y )] = EX 2 ( EX ) 2 + EY 2 ( EY ) 2 + 2[E ( X .Y ) EX .EY ]
=D(X)+D(Y)
2

3. Hm c trng:
3.1 nh ngha: Bin ngu nhin phc: X,Y l 2 bin ngu nhin (thc)
=>U = X + iY l bin ngu nhin (phc) nu X,Y c k vng U c nh
ngha EU = EX + iEY

3.2 nh ngha (c lp):

U1 = X1 + iY1, U2 = X2 + iY2
U1, U2, c lp nu (X1, X2) v (Y1, Y2) c lp, khi E(U1U2)= EU1.EU2
thc vy : E(U1.U2)= E(X1X2 Y1Y2) + iE(X1Y2 + X2Y1)

- 33 -

= E(X1+iY1).E(X2 +iY2)
=EU1.EU2

3.3 nh ngha(hm c trng)

Cho X c hm phn phi xc sut FX, hm c trng x ca Fx
X lt X (t ) = E.eitX =

itx

dF ( x) = eitX dP

E cos(tX ) + iE sin(tX ) =
X roi X (t ) = E.eitX =

itX

f X ( x)dx

x X ( )

eitx P ( X = x) = eitx f X ( x)
x

3.4 Bng hm c trng:

X b(n,p)

fx ( x) = Cnx p x (1 p)n x

X Poisson.

fx ( x ) =

x e
x!

X (t ) = (1 p + p it ) n
it

X (t ) =exp{(e 1) }

x {0,}
2

1 x2
e ,xR
2

t2
}
2

X N(0, 1)

fx ( x) =

X N(, 2)

fx ( x) =,xR, >0

X u trn(0,a)

fx ( x ) =

1
a

x (0,a)

X (t ) ={

eita 1
}
ita

X u trn (-a,a)

fx ( x) =

1
2a

x (-a,a)

X (t ) ={

sin at
}
at

X G(, )

fx ( x ) =

1
x 1e

( )

X m (

X (t ) = exp{

X (t ) = exp{it

fx ( x ) = e

x >0

X (t ) =(1 - it)

x >0

X (t ) =

x >0

X (t ) = (1 2it )

n
x
1
1
2
2
.
x
e
n n
( ).2 2
2

X x2(n),

fx ( x ) =

M 2 pha:

fx ( x) = e|x|

Cauchy

fx ( x) = .

1
1 i t

1
2

x R

X (t ) =

x R

X (t ) = e

1
1 + x2

- 34 -

1
1+ t2
-|t|

n
2

2t 2
2

3.5 nh l: X, Y c lp => X+Y = X.Y

3.6 nh l:
a) Cho dy hm phn phi {Fn }n v Fn c hm c trng n, hai mnh
sau tng ng:
i)

Nu lim
n (t ) tn ti t v (t) = lim n (t ) th lin tc ti 0
n
n

ii)

Fn hi t yu v F (hm phn phi xc sut no )

b) Nu (a) ng th l hm c trng ca F.

4. Mdian:
Gi tr m c gi l median ca X, nu P(X m) = P(X m) =

1
2

5.Covariance: (hip bin tr(hip phng sai))

Cho (X,Y) trn (, F, P) tho: EX2 < , EY2 < khi Covariance ca X v Y
c nh nha:
COV(X,Y) = E((X EX)(Y EY)) =E(X.Y EX.EY
H qu : X,Y c lp => COV(X,Y) = 0

6. H s tng quan:
Cho (X,Y) trn (,F,P) tho:
EX2 < , EY2 < , D(X) > 0, D(Y) > 0 khi h s tng quan ca X v Y
nh ngha:

(X,Y) =
Khi

COV ( X , Y )
D( X ). D (Y )

(X,Y) = 0 ta ni X v Y khng tng quan

(X,Y) = 1 ta ni X,Y ph thuc (tuyn tnh): a, b

: Y=aX+b

7. Cc bt ng thc:
7.1 Bt ng thc(Tchebyshev): Cho X L0 (,F,p) v g: R R+ l hm
Borel, khng gim, khng m: g(x) > 0, Eg(X) tn ti < th
P(X x)

Eg ( X )
g ( x)

- 35 -

Chng minh: t A= { : X( ) x}
Ta c:
g ( x )>0

Eg ( X ) = g ( X )dp = g ( X )dp + g ( X )dp

=> P ( A)

g ( X )dp

khonggiam

g ( x)dp = g ( x) P( A)
A

Eg ( X )
g ( x)

7.2 H qu: (BT Markov)

Cho X l bin ngu nhin vi EX = khi > 0
Ta c: P(|X - | )

D( x)

Chng minh: Chn g(x) = x2 =>g(x) khng m, khng gim trn (0,)
P (| X | )

Eg (| X |) E ( X ) 2 D( X )
=
=
2
2
g ( )

7.3 Bt ng thc Cp:

Nu X, Y Lp, p > 0 th X + Y Lp, E(|X +Y|p Cp(E|X|p + E|Y|p)
0 < p 1

vi Cp=

p 1

p >1

Chng minh: a, b R, p > 0 ta chng minh: |a + b|p Cp(|a|p + |b|p)

Xem f ( x) = x p + (1 x ) p x [ 0,1] hm f(x) t cc tiu ti x =

1
2

1
1
1
=> x p + (1 x) p f ( ) = p 1
Cp
2
2

Thay x =

|a|
|a|+|b|

Ta c:
| a |p
|a|
1
| a |p + | b |p
1
p
+
(1

p
p
(| a | + | b |)
|a|+|b|
(| a | + | b |)
Cp
Cp
=>| a + b | p C p (| a | p + | b | p )

Ta chn X=a, Y = b.
=>| X + Y | p C p (| X | p + | Y | p ) => E (| X + Y | p ) C p ( E | X | p + E | Y | p )

Vy X,Y Lp => X + Y Lp

- 36 -

7.4 Bt ng thc Holder:

X Lp ,Y Lp,

1 1
+ = 1, p > 1
p q

th X.Y L1 v:
1
p

1
q q

E | X .Y | ( E | X | ) ( E | Y | )
p

c bit p=q=2 ta c bt ng thc Cauchy Schwarz

1

E | X .Y | ( EX 2 ) 2 ( EX 2 ) 2
1

E | ( X 1 )(Y 2 ) | [E ( X 1 ) 2 (Y 2 ) 2 ] 2

Chng minh: v hm Ln(x) l hm lm di (dy di cung)

Ln(tx1 +(1-t)x2)

tLn x1 + (1 t ) Ln x2

x1

x2

tx1 +(1 t)x2

0 < t < 1, x1 , x2 >0 ta c:

L n (tx1 + (1 t ) x2 ) tL n x1 + (1 t ) Ln x2 = Ln x1t + Ln x12t = Ln x1t x12t (1)

=> tx1 + (1 t ) x2 x1t x12t

t=

1
1
,1 t = , p > 1
p
q
p

|X|
x1 =
E | X |p
x2 =
(1)

=>

| Y |q
E | Y |q
p

1 |X|
1 | Y |q
|X|
| Y |q q
p
+

(
)
(
)
p E | X | p q E | Y |q
E | X |p
E | Y |q
1

=> E | X .Y | ( E | X | p ) p ( E | Y |q ) q

- 37 -

7.5 Bt ng Thc Minkowski:

Cho X,Y Lp , 0 < p < th: X + Y Lp v
i) E | X + Y | p E | X | p + E | Y | p vi 0 < p 1
1

p>1

ii) ( E | X + Y | p ) p ( E | X | p ) p + ( E | Y | p ) p
Chng minh:
i. H qu ca bt ng thc Cp.

ii. Ta c: |X + Y|p = |X+ Y|.|X+ Y|p-1 E|X|.|X + Y|p-1 + E|Y|.|X + Y|p-1

=> E|X + Y|p E|X|.|X + Y|p-1 + |Y|.|X + Y|p-1
Holler

1
p

( E | X | ) .( E (| X + Y |
p

1
p q

1
p 1 q q

1
p

) ) + ( E | X | ) ( E (| X + Y |

1
p p

1
p p

( E | X + Y | ) [( E | X | ) + ( E | Y | ) ]
=>

E | X + Y |p
1
p q

(E | X |p ) p + (E | Y |p ) q

(E | X + Y | )

=> ( E | X + Y | p )

1
q

(E | X |p ) p + (E | Y |p ) p

hay ( E | X + Y | p ) p ( E | X | p ) p + ( E | Y | p ) p

7.6 Bt ng thc Jensen:

Nu g: R R Borel, li(di), X L1 th g(EX) Eg(X)
Chng minh:
Theo nh ngha hm li(di) ta c:
x0, (x0)
g(x) g(x0) (x x0)
x = X,

x0 = EX

=>g(x) g(EX) (X EX)

=> Eg(x) Eg(EX) 0
=>Eg(X) g(EX)

- 38 -

1
p 1 q q

) )

CHNG IV
CC LOI HI T TRONG XC SUT
1. Cc khi nim:
1.1. nh ngha (hi t hu chc chn) [hi t vi xc sut 1]
hcc
X (n )
Ta ni Xn

Nu: N F : P (N) = 0, N Xn( ) X( )

P ( : Xn( ) X( ) ) = 1

1. 2. nh ngha (hi t theo xc sut)

p
n
Xn
X nu > 0 P(|Xn - X| > )
0
1. 3. Hi t trong Lp

Cho p > 0, x Lp E| x |P < .

Cho X, X1, X2, Lp (, F, P )
p
L
n
Xn
X nu E |Xn X |
0
L
n
X hay Xn
X theo bnh phng trung
c bit: p= 2 ta ni Xn
L
n
X theo trung bnh
bnh p = 1 ta ni Xn X hay Xn
p

1. 4. Hi t theo phn phi(theo phn b)

1. 4.1 X1, X2..,Xn v X l cc bin ngu nhin ri nhn gi tr trn
tp A = { x1, x2,..}
n
X theo phn phi.
Ta ni Xn

Nu: lim P(Xn = xi ) = P(X = xi )

n
=>Vy khi n khi ln th ta c th xp x
P(Xn = xi ) bi P(X = xi )

1. 4.2 X l bin ngu nhin lin tc, {Xn }n l dy bin ngu nhin bt
k(lin tc hoc ri rc)
n
n
X theo phn phi nu P(Xn < x)
P(X < x)
Xn

(Fx(x) F(x))

- 39 -

Cc v d:

a. Cho {Xn }nri c xc nh:

1 vi xc sut
Xn =

1
n

2 vi xc sut 1-

1
n

Chng minh:
L2
2
Xn

1
n

Ta c: E|Xn 2 |2 = |1 2 |2 . + |2 2 |2.(1 -

1
1
L2
n
)=

0 vy Xn
2
n
n

b. {Xn }nri c xc nh:

0 vi xc sut 1Xn =

n vi xc sut

1
n

1
n

Chng minh:
L
P
Xn
0 nhng Xn
0
2

> 0 ta c P(|Xn 0 | > ) = P(Xn = n) =

E|Xn 0 |2 = 02(1 -

1
n

0
n

1
1
) + n2. = n

n
n

L
Vy Xn
0
2

c. Cho bin ngu nhin Xri c xc nh:

1 vi xc sut

1
2

- 1 vi xc sut

1
2

X=

{Xn } c xc nh nh sau:
Xn =

X nu n chn
-X nu n l

Khi Xn nhn 2 gi tr 1 n v P(Xn =1) = P(Xn = -1) =

=>lim P(Xn = 1) =

1
= P(X = 1)
2

- 40 -

1
2

limP(Xn = 1) =

1
= P(X = -1)
2

P
vy Xn hi t theo phn phi v X nhng Xn
X

thc vy Xem n = 2k + 1
= 1
P(|X2k + 1 X| > 1) = P (|2X| > 1) = P(|X| >

1
) = P(X = 1) + P( X = -1) = 1
2

lim P(|x2k + 1 X| > ) = 1 > 0

k

P
Xn
X

2. Hi t ( hcc)
n
n
Khi Xn
X (hcc), theo xc sut, trong Lp Xn X
0(hcc, theo
xc sut, trong Lp. Nhn xt ny cho ta gi s X 0 trong nhiu nh l sau:

2.1 nh l: 3 mnh sau tng ng:

n
1. Xn
0(hcc)

2. lim
P( { X k }) = 1 ( > 0)
n
k n

|Xn | > ) = 0 ( > 0)

3. P( lim
n
1=>2
hcc
n
Xn
0 N F: P(N) = 0 N , Xn
0

=> N

> 0, n0: n n0 |Xn| < =>

> 0 t: An =

{ X
k =n

k =n0

< } => Ann

=> N, > 0, n0: Ano =>no: N An

=> N

An

n =1

=>1 = P( N ) P( An) = P( lim

An) = lim
P(An)
n
n
n =1

=> lim
P( |Xk| < ) = 1
n

> 0

k =n

- 41 -

<

2=>3

An) = P( An) = 1
Ta c: P( lim
n
n =1

P ( An ) = 0 P ( An ) = 0
n 1

n =1

P( { X k > }) = 0
n =1 k = n

Hay P( lim |Xn| > ) = 0

n

3=>1
c C = { : lim
|Xn| = 0}
n
Chng minh: P(C) = 1
n
C => Xn
0

=> lim
|Xn| > 0 => k lim
Xn >
n
n
1
k

1
k

1
k

=> C D( ) vi D( ) = { lim
|Xn| >
n

1
}
k

1
k

=> C D( )
k =1

=> P(C)

1
k

P(D( ) ) =0 => P(C) = 1

k =1

Lin h gia hi t(hcc) v hi t (theo P)

p
2.2 nh L: Xn 0(hcc) Supk n|Xk|
0(n)

Chng minh:
> 0 t An = {Supk n|Xk| > }
C = { : Xn( ) 0}
n
hcc
0 (n ) => An C , P(C) = 1
Xn

n
P(An) P(An) + P( C) P(An C) = P( An C)
0

P
0
Vy Supk n |Xk|

Ngc li:
n
0
lim |Xn| Sup |Xn| =>P( lim |Xn| > ) P(Sup|Xn| > )
n

hcc
Vy xn
0(n )

- 42 -

2.3 nh l:
hcc
P
Xn
0 => Xn
0

Chng minh:
n
Ta c: n Xn Sup|Xn| => P(|Xn| > ) P(Sup|Xn| > )
0
P
hcc
2.4 nh l: Xn
0 =>{Xnk } { Xn }: Xnk
0 (K)
P
2.5 nh L: Xn
X => X c nht P hcc

3. Lin h gia hi t theo xc sut v hi t trong Lp

Lp
P
3.1 nh l: Xn
X => Xn
X

> 0 P(|Xn X| > )

Eg (| X n X |) E | X n X | p
n
=

0
g ( )
p

g(x)= | x | p

3.2 nh l: Gi s n, | X n | Y Lp. Khi

L
P
Xn
X => Xn X.
p

t Yn = X n X .
Ta c: E | X n X | p = E | Yn | p =

{ Yn > }

Yn dP +

{ Yn }

Yn dP p +

{ Yn > }

Li c: | Yn |=| X n X | | X n | + | X | Y+ | X | Lp
=> | Yn

|p ( | Y | + | X | )

( | X | Y hcc)

t ( A) = (| X | +Y ) p dP =>() <
A

<<P
Vy: P(An) 0 => (An)0
p
n
Mt khc Xn
X P(|Xn X| > ) = P(|Yn| > )
0

=>

n
dp
0

Yn >

p
Lp
Vy E|Xn - X |p
0 Xn
X

Nhc li: XL1 |x| L1

X L1(, F, P) lim
a

| X | dp = 0

| X |> a

- 43 -

Yn dP

4. Dy bin thin kh tch u

4.1 nh ngha: Dy bin ngu nhin {Xn } c gi l kh tch u
Supn
Nu lim
a

| X n | dP = 0

| X n |> a

4.2 nh l: (Cn)
Nu {Xn }n kh tch u th mi Xn u kh tch.
Chng minh: | X n | dP =

| X n0 | dP +

| X n | a
0

| X n0 | dP a + Supn

| X n | >a
0

| X n | dP <

| X n |>a

4.3 nh l()
Nu |Xn | Y L1 =>{Xn } kh tch u.
Chng minh:
Ta c:

| X n | dp

Ydp

|Y | > a

| X n | >a

=> Supn

| X n | dp

| X n |>a

| Y | dp => lim Sup

a

|Y | > a

| X n |>a

| X n | dP lim
a

| Y | dp = 0

|Y | > a

4.4 nh l(cn v ):
k
k
a ) P( Ak )
0 => Supn | X n | dP
0

A
{Xn } kh tch u
k
b) Supn E | X n |<

Chng minh:
""

Supn E X n = Supn | X n | dP Supn | X n |> ao | X n | dP + ao < (Xn KT)

Supn

| X

| dP =

| X n | dP +

{Ak .| X n | a }

Ak

Ak .| X n | > a

| X n | dp aP( Ak ) + | X n |> a | X n | dP

=> Supn | X n | dP aP( Ak ) + Supn | X n |> a | X n | dP

Ak

C nh a cho k ta c:
Supn | X n | dp Supn | X |> a | X n | dp
0 lim
k
n

Ak

Cho a
=> lim Supn | X n | dp = 0
k

Ak

- 44 -

""

t M = Supn | X n | dp < (do b)

>0, > 0 k0: k k0

Ta c: P(Ak ) < => Supn | X n | dp <
Ak

Li c: P(|Xn|>a)

E | Xn | M
=
=> lim Supn P (| X n |> a ) = 0
a
a
a

Vi > 0 trn ao: a ao ta c: P(|Xn| >a) < n

a > 0
=>Supn | X |> a | X n | dp <
lim Supn | X |> a | X n | dp <
a
n

Cho 0
Vy {Xn }n kh tch u.
H qu:
Nu >0: Supn E|Xn|1+ < th: {Xn } kh tch u.

4.5 inh l: Cho X1, X2, . L1(, F, P) khi ta c:

Xn

L1
n

X Sup AF | ( X n X )dp |
0
A

Chng minh:
A F ta c: | X n dp Xdp | X n X | dp | X n X | dp
A

n
Sup A | ( X n X )dp | | X n X | dp = E | X n X |
0

E | X n X |= | X n X | dp =

( X n X ) dp +

Xn >X

n
2 Sup A ( X n X )dp
0
A

H qu: Cho X, X1, X2, . L1(, F, P)

L
n
Xn
X v P(An A)
0 th:
1

An

n
dp
Xdp
A

- 45 -

Xn X

( X X n ) dp

Chng minh:
|

An

dP XdP ||
A

An

dP XdP | + | XdP XdP |

An

Sup A | X n dP XdP | + |
A

An

| X | dP +

An \ A

A \ An

| X | dP Sup A | X n X | dP +
A

An A

4.6 nh l:
Cho {Xn } L1 , X L0 khi :
{X n } kha tich deu
X L1
<=>

L1
p
X
X
X n
X n

Chng minh:
""
p
Ta c: Xn
X => {Xnk }k :
hcc
Xnk
X =>E|X|=E (lim k | X nk |) lim k EX nk Supk EX nk Supn E | X n |<

=> X L1
E | X n X |= | X n X | dP =

| X n X | dP +

| X n X |

| X n X | dP

| X n X | >

L1
+ Supn | X n X |> | X n | dP + | X n X |> | X | dP X n
X

""
L1
p
X n
X X n
X

Supn

| X n | dP

| X n |>a

| X
A

| X n |> a

| X n| >a

P (| X n |> a )
n

| X n X | dP +

| X | dP 2 Sup A | X n X | dP +
A

| X | dP

| X n |> a

E | X n | a

0
a

X | dP | X n X | dP

=> Sup A | X n X | dP | X n X | dP
A

n
=> 2 Sup A | X n X | dP 2 | X n X | dP
0
A

4.7 nh l: Xn c hm phn phi Fn

X c hm phn phi F
p
X th Xn X(theo phn phi)
Xn
p
Xn
X, > 0, > 0, n0: n n0 =>P(|Xn X| > )<

x R ta chng minh: P(|Xn X| >) < th:

- 46 -

| X | dP

F ( x ) Fn ( x) F ( x + ) +
F ( x ) Fn ( x) = P ( X < x ) P ( X n x) P( X < x ) P( X n < x, X < x )
= P( X < x , X n x)
P ( X n X + ) = P ( X n X > ) P (| X n X |> ) <

Ta c:

=> F ( x ) Fn ( x)
*Fn ( x) F ( x + ) = P ( X n < x) P ( X < x + ) P ( X n < x) P( X < x + , X n < x)
= P ( X n < x, X x + ) P ( X > X n + ) = P ( X X n > )
P (| X n X |> ) <
=> Fn ( x) < F ( x + ) +

Cho 0, 0
=> F ( x ) lim Fn ( x) F ( x + )
xn

x LT ( F ) F ( x ) = F ( x +) = F ( x)
=> lim Fn ( x) = F ( x)
xn

n
Vy Xn
X (theo phn phi)

nh l: Cho Xn, X Fn, F v X suy bin ti a: X( ) = a th

p
X n
X <=> X n X (theo phn phi)

Chng minh:
""

1, x > a
F ( x) = P( X < x) =
0, x a
P (| X n a | ) = P ( X n a + ) P( X n < a )

n
P ( X n < a + ) P ( X n < a )
P( X a + ) P( X a ) = 1
2
2
> 0

=> LimP (| X n a |> ) = 1 LimP(| X n a | ) 1 1 = 0

- 47 -

CHNG 5
LUT S LN V CC NH L GII HN
n

Cho dy bin ngu nhin {Xn } trn ( , F, P), Sn = X k ta ni {Xn } tun theo lut
k =1

s ln nu {an} R:
Sn
p
a n
0 (dng yu)
n
Sn
hcc
a n
0 (dng mnh)
n

1. Vi dng yu lut s ln:

1.1 nh l(Tchebyshev):
Cho dy bin ngu nhin {Xn } i mt khng tng quan, v c phng sai b
chn (Cov(Xi, Xj ) = 0, D(Xn) K < khi

S n ES n p

0
n

Chng minh: > 0 ta c:

n

P (|

S n ES n
|> )
n

D(

S n ES n
S ES n
E ( (X i EX i )) 2
) D( n
)
2
E ( S n ES n )
n
n
i =1
=
=
=
2
2 2
2 2
n
n
n 2 2

E ( (X i EX i ) 2 + 2 ( X i EX i )( X j EX j )
i =1

n 2 2

E (X
i =1

EX i ) 2 + 2 (cov( X i , X j ))
i

n 2 2

D( X )
i

i =1

nk
k
n
= 2
0
2 2
n
n

n
S ES n p

0(n )
=> n
n
2

1.2 H qu 1: Cho dy bin ngu nhin {Xn } i mt khng tng quan v

n

D( X )
i

i =1

Th

X n EX n p

0(n )
n
n

1.3 H qu 2: Nu {Xn } c lp chung phn phi, D(Xn) k < v EXi = i.

th

Sn p

(n )
n

- 48 -

Ta c:

S n ES n S n ES n S n n S n
p
0 (n )
=

=

n
n
n
n
n
n

V d: Xem php th c lin quan n bin c A thc hin php th n ln c

lp. Trong ln th th k t :
Xk =

1 Nu A xy ra
0 Nu A khng xay ra

Khi X1, X2 , ..,Xn c lp chung phn phi: b(1, P(A))

vy

Sn p

P( A) . (P(A) = EXi))
n

2. Dng mnh lut s ln

2.1 nh l (Lut s ln dng mnh cho dy bin ngu nhin b chn)
Cho dy bin ngu nhin {Xn } c lp chung phn phi.
Gi s: P(|Xn| k< )=1 v EXn = n th

S n hcc
(n )
n

Chng minh:
i) Trng hp Bernoulli: X1, X2, ..iid b(1, ) b > , t > 1 ta c: (a, b:
0 < a < < b < 1)

P(

Sn
Et Sn X i DL ( Et X i ) n
Et X i n
t + (1 ) n
b) = P ( S n > nb) = P(t Sn > t nb ) nb =
=
(
) =(
)
nb
b
n
t
t
t
tb

t f(t) =

t + (1 )
tb

=>f(t) t cc tiu ti t0 : f(t0) = m1 < 1

=> P(

Sn
b) m1n
n

(1)

a < ta c:
P(

Sn
< a ) = P( S n < na ) = P (n S n n na )
n

t X i' = 1 Xi th: X 1' , X 2' ,.iid b(1, 1 - )

S 'n = n Sn , a ' = 1 a > 1
'

t >1
S
Et S 'n
Et X i
t (1 ) + n
=> P ( n < a ) = P ( S 'n na ') = P (t S 'n t na ' ) na ' = ( a ' ) n = (
)
n
t
t
t a'

- 49 -

 t f (t ) =
=> P (

t (1 ) +
th f i cc tiu ti t0: f(t0) = m2 < 1
t a'

Sn
< a ) m2n
n

(2)

T (1) v (2)
Sn
(a, b)) m1n + m2n
n

=> P ( n (a, b) ) (m1n + m2n ) <

n=k
n=k n

S
=> lim P ( n (a, b)) = 0
k
n=k n
=> P (

Sn
(a, b)) = 0
n n
S
S
=> P (a < lim n n lim n n < b) = 1
n
n
=> P (l im

Cho a , b th:
P (lim

Sn
S
hcc
= ) = 1 hay n

n
n

ii) Trng hp P(0 Xk 1) = 1

t > 1 ta c:
P(

Sn
Et sn
Et X i
b) = P ( S n nb) = P(t sn t nb ) nb = ( b ) n
n
t
t

Khi 0 Xi 1

tx

tx + (1 x)

1
0
=> t X i tX i + (1 X i )
=> t EX i tEX i + (1 EX i ) = t + (1 )
=> P (

Sn
t + (1 ) n
b) (
)
n
tb

(tr v trng hp 1)

iii) Trng hp P(|Xi| k) = 1

t Yi =

Xi + k
th: Y1, Y2, iid, 0 Yi 1
2k

- 50 -

=>

i =1

hcc

EYi

=>

X i + nk
i =1

2kn

hcc

+k

hay

2k

X
i =1

hcc

2.2 Bt ng thc(Kolmogorov)
Cho X1, X2,. Xn c lp, Xk = 0, D(Xk) = 2k < k = 1, n th:
a) a> 0, P(max|Xk| a) = 1 th:
P (max k =1,n | S k |> a )

b) Nu P(max

k =1, n

1
a2

k =1

2
k

| S k a ) = 1 th:

P (max k =1, n | S k | a ) 1

(a + c) 2
n

2
k

k =1

(Sk = X i )
i =1

Chng minh:
A = {max k =1,n | S k | a}
t

Ak = {max i=1,k 1 | Si |< a,| S k | a}.k=1,n

th Ai Aj =

i j , i,j = 1, n

A = A
i =1

Ta c:

k =1

2
k

= ES n2 ES n21A = ES n21Ak
k =1

li c:
ES n21Ak = E ( S n S k ) 21Ak + ES k21Ak + 2 ES k ( Sn S k )1Ak
ES k21Ak + 2 ES k 1Ak .E ( S n S k ) = ES k21Ak
n

k =1

k =1

k =1

=> k2 ES k21Ak a 2 P ( Ak ) = a 2 P( A)
n

=> P ( A)

k =1

2
k

hay P(max k =1,n | Sk |> a)

- 51 -

k =1

a2

2
k

b) ta c:
n

k =1

k =1

ES n21A = E ( S n S k ) 21Ak + ES k21Ak

Mt khc:
|Sk| = |Sk-1|+|Xk| a + c
n

k =1

k =1

=> ES n21A E ( S n S k ) 2 E1Ak + (a + c) 2 P ( Ak ) [ k2 + (a + c) 2 ]P( A)

n

k =1

k =1

li c: ESn21A = ESn2 ESn21A ( k2 a 2 P( A)) ( k2 + a 2 P( A) a 2

(1)
(2)

(1) v (2)
n

=> P ( A)[ k2 + (a + c) 2 a 2 ] k2 a 2
k =1

k =1

=> P ( A) 1

(a + c)

k2 + (a + c)2 a 2

k =1

(a + c) 2
n

k =1

2
k

2.3 nh l: Cho {Xn }n c lp, ESn = 0, D(Xk) = 2k , k= 1, tho

k =1

th

< (hcc)

Chng minh:

< (hcc) <=> S n S < (hcc)

(hcc) v lim Sn = lim n Sn

Chng minh: lim Sn , lim n Sn <

n

Ta c:

| lim S n | lim | S n |
n

| lim n S n | lim | S n |

Cn chng minh: P(lim n | Sn |= ) = 0

Li c:

P (l im | S n |> a ) P ( | S n |> a ) = lim( | S n |> a ) lim P (max n =1, N | S n |> a

xn

n =1

a2

n =1

2
k

n =1

0( k2 < )

- 52 -

2
k

<

Chng minh:
> 0 P (l im S n lim n S n > ) = 0
n

Ta c:
{lim nSn -lim nSn > } {Sup k N S k inf k N S k > }={Sup k N S k S N + S N infS k > }

{Sup k N | Sk S N | +inf k N | S k S N |> } Sup k N | S k S N |> inf k N | Sk S N |>

2
2

= {Sup k N | S k S N |> }
2

>0N

P(limSn -lim nSn > ) P (Sup k N | S k S N |> )

n
2

k =N

2
k

P(limSn -lim n S n ) = 1
>0N

Cho 0
limS n = lim n S n
n

n
S = limS n = lim n S n <
S n

(hcc)

Vy

< (hcc)

2.4 B (Kronecker)
Cho 0 {an }n , ann v dy thc {xn }n
Nu:

xn
1
< =>

an
n =1 an

2.5 nh l 3:
Nu:

k2

k
k

x
k =1

Cho {Xn }n c lp . EXn = n, D(Xn) = n2

< th

Chng minh: t Yk =

1 n
hcc
0
( X k k )
n k =1
X k k
k
k

Y1 , Y2 ,... c lp, EYk = 0, D(Yk ) =

D( X k ) k2 gt
= 2
D(Yk ) <
k2
k
k

=> Yk < (hcc) =>

k

1 n
hcc
0
( X n k )

n k =1

- 53 -

H qu 1:
{Xn }n c lp , EXk = k, D(Xk) = k2 M < th

1 n
hcc
0
( X n k )
n k =1

H qu 2:
{Xn }n c lp chung phn phi, EXk = , D(Xk) M < th:
1 n
hcc
0
( X n )
n k =1

2.6 nh l 4:
{Xn }n c lp chung phn phi, EXk = 0,D(Xk) = k2 , |Xk| C k

Nu

< (hcc) th

2
k

<

Chng minh:
Ta c:
hcc
S n
S < <=> P( S n S ) = 1

=> lim P(| S n + p S n |> ) = 0p 1

n

=> lim P( Sup p 1 | S n + p S n |> ) = 0

n

1
= , N kh ln
2

n N
1
1
P (max1 p k | S N + p S N |> )
2
2
( + c)
1
=> 1 N + k
P(max1 p k | S N + p S N |> )
2
2
P ( Sup p 1 | S N + p S N |> )

k = N +1

Cho k, Nu lim
k
Vy

i=N

2
i

N +k

i = N +1

2
i

= th 1

1
(mu thun)
2

< <=> i2 <

i =1

- 54 -

2.7 nh l 5:
Cho {Xn }n c lp chung phn phi.

2.7.1 Nu E|X1| < =>

2.7.2 Nu

S n hcc
EX 1
n

Sn
S
n
hi t (hcc) =>E|X1| < v do n
EX 1
n
n

Chng minh: Khng gim tnh tng qut. Gi s: EX1=0

a) t

Xn nu |Xn| n
Yn= 0 nu |X |>n
n
Z n = Yn X n

n =1

n =1

=> P ( Z n 0) = P ( X n > n) < ( X n L1 ) P (limZ n 0) = 0

1 n
n
0
Z k
n k =1

Li c: DYn = EX2n1|Xn|n <

n

=>

D(Yn )
1
= 2 EX n21 X n n <
2
n
n n

1 n
hcc
0(n )
(Yk EYk )

n k =1

(1)

Li c:
Yn = X n1| X n | n n X n
| Yn | X n L1
hoitubichan

EYn n EX n = 0

=>

(1) va (2)

Vy:

(2)

1 n
n
0
EYk
n k =1

1 n
1 n
hcc
hcc
Yk
0, Z k
0

n k =1
n k =1

S
1 n
hcc
0 = EX 1
X k = n

n k =1
n

- 55 -

b) Ta c:
Chn = 1
S n hcc
X
S S n 1 S n n 1 Sn 1 hcc
=> n = n
=

0
n
n
n
n
n n 1
X
P (lim n | n |> 1) = 0 <=> P(lim n | X n |> n) = 0 <=> P (| X n |> n) <
n
n
S
hcc
<=> X n L1 X 1 L1 n
EX 1
n

nh l(Lvy) {Xn } c lp nhng mnh sau tng ng

X
n

theo phn phi, theo xc sut, hu chc chn

2.7 nh l (2chui)
{Xn }n c lp, P(|Xn| C) = 1 n nhng mnh sau tng ng,

EX

a)

b)

< , D ( X n ) <
n

< theo trung bnh cp 2

c)

< ( hu chc chn)

Chng minh: a)=>b)

Xt chui:

(X

EX n )

Ta c:
m

k =n

k =n

n
E | ( X k EX k ) |2 = D( X k )
0( D ( X k ) < )
k

Cauchy

( X n EX n ) < theo trung bnh cp 2

n

Nhng : EX n < => X n < theo trung bnh cp 2

n

b)=>c)

< trung bnh cp 2 =>

{Xn }n c lp =>

< theo xc sut

<

- 56 -

(hu chc chn)

<

c)=>a)

Ta c:

(hcc)=>

<

> 0
lim n | S n + p S n |= 0
lim n P( Sup p 1 | S n + p S n |> ) = 0

Chn n=N kh ln
P ( Sup p 1 | S N + p S N |> )

1
( + c) 2
1
=> 1 N + K
P (max1 p k | S N + p S N |> )
2
2
2

i = N +1

1
2

Cho k , nu i2 = th 1 MT
N

Vy

D( X ) < => ( X
i

EX n ) < (hu chc chn)

< (hcc) => EX n <

n

2.8 nh l (3 chui)
a. Nu

D( X

< (hcc),

(c)
n

) < ,

P(| X

|> c) <

X n( c ) = X n 1| X n | c

b. Ngc li: c > 0: 3 chui trn hi t th

< (hu chc chn)

Chng minh:

a) Ta c:

(hu chc chn)

<

hcc

=> X n
0
P(l im | X n |> c) = 0
n

Borel

P (| X n |> c) <
n

=> X n( c ) = X n (hcc)
=> X n < (hcc) =>

n = n0

(c )
n

< (hcc) => D( X n( c ) ) < 0, EX n( c ) <

b. c > 0 sao cho:

Ta c:

P(| X

|> c) <

- 57 -

=> P (l im | X n |> c) = 0
xn

=> X n = X n( c ) (hcc)

Nhng

EX , D( X
(c )
n

(c )
n

)ht => EX n( c ) hi t(hu chc chn) => X n < (hcc)

n

3. Cc nh l gii hn:
3.1 Sp x phn phi nh thc bng phn phi chun.
Cho X b(n, p) t pk = P(x = k) = Cnk p k (1 p)nk
nh l: Nu xk =

k np
np (1 p)

1 12 xk2
e
2

pk =

th:

1
c
(1 + n ,k ) vi | n ,k |<
n
np (1 p )

C l hng s.
Nh vy khi n kh ln ta c th xp x
1
k np
1 12 x2
f(
) vi f ( x) =
e
2
n( p )(1 p )
np (1 p )

p( X = k )

V d: T l ngi mc bnh L ngi A l 10%. Chn ngu nhin 400 ngi

trong vng A.
a) Tnh xc sut sao cho c ng 50 ngi mc bnh lao.
b) Tnha xp x xc sut bng nh l gii hn a phng.
Gi s: gi X: s ngi mc bnh lao trong 400 ngi.
Ta c: X b(400, 0.1).
50
p ( X = 50) = C400
(0,1)50 .(0,9) 40050

P ( X = 50)

1
50 np
f(
)
np (1 p )
np (1 p )

Ta c: n = 400, p = 0,1
=> p ( X = 50) =

1
50 400.0,1
1
) = . f (1, 67) = 0, 0165
f(
6
400.0,1.0,9
400.0,1.0,9

3.2 nh l(Moivre Laplace)

Cho X1, X2,.,Xn iid b(1,p) v
n

Sn =

X
i =1

np

np (1 p )

khi ta c:

- 58 -

n
x R, P( S n < x)
P ( X < x) vi X N(0,1)

Ch :

X
i =1

b(n, p )

3.3. nh l (gii hn trung tm)

Cho dy bin ngu nhin {Xn }n c lp chung phn phi
EXn = , D(Xk) = 2 k
Khi : x R
n

P(

X
k =1

np

n
< x)
P ( X < x) vi X N(0,1)

- 59 -

BI TP XC SUT C IN
BI 1: 12 sn phm c xp ngu nhin vo 3 hp. Tnh xc sut hp th
nht c 3 sn phm
BI 2: Vit 5 con s 1,2, 3,4,5 ln 5 mng ba vung nh nhau. Chn ngu nhin
lin tip 3 ba v xp theo th t tri sang phi. tm xc sut thu c l s chn
BI 3: Xp ngu nhin 8 ngi ln 10 toa tu. Tnh xc sut :
1. 8 ngi ln cng toa s 1
2. 8 ngi ln cng mt toa
3. 8 ngi ln 8 toa tu c nh
4. 8 ngi ln 8 toa khc nhau

BI 4: Ba ngi cng bn vo mt mc tiu mt cch c lp (mi ngi bn mt

vin n). Xc sut bn trng mc tiu ca ngi th1, th 2, th 3 ln lt l: 0,9;
0,8; 0,7. tnh xc sut :
1. C 1 ngi bn trng mc tiu.
2. C 2 ngi bn trng mc tiu
3. c 3 ngi bn trng mc tiu
4. C t nht 1 ngi bn trng mc tiu

BI 5: 12 hnh khch ln tu in c 4 toa mt cch ngu nhin.

1. Tnh xc sut mi toa c 3 hnh khch
2. Tnh xc sut trong toa 1 c 6 hnh khch, toa 2 c 4 hnh khch, 2 toa
cn li mi toa c mt hnh khch.

BI 6: 3 ngi chi tr tung ng xu (cng bng) ln lt tng ngi tung, ai n

lt s c tung ng xu mt ln. ai tung c mt nga th ngi s thng
cuc v tr chi kt thc. Hy ch ra rng tr chi khng cng bng.
BI 7: Cho dy s t nhin 1,2, ,n. Chn ngu nhin t dy s ra 2 s (cng
lc). Tnh xc sut ch 1 trong 2 s b hn mt s k, cn s kia ln hn mt
s k (1<k<n).
BI 8: Cho khng gian xc sut ( , F, P) gi s P(i) = p. i (0<p<1)
1. CMR: c hu hn phn t
2. gi s n l phn t ca chng minh p = 1/n

BI 9: Gi s c n ngi ngi thnh mt dy ngang

1. Tnh xc sut 2 ngi n nh trc ngi cnh nhau
2. Tnh xc sut 2 ngi n nh trc ngi cnh nhau r ngi (r<n).
- 60 -

BI 10: Hp th nht ng 8 l thuc, trong c 3 l km phm cht. Hp th 2

c 5 l trong c 2 l km phm cht.
1. Chn ngu nhin t mi hp 1 l
a. Tm xc sut ly c 2 l thuc tt
b. Tm xc sut ly c mt l tt v mt l km phm cht.
c. Nu ly c mt l tt v mt l km phm cht. Tm xc sut l
km phm cht l ca hp th nht.
2. Chn ngu nhin mt hp ri t chn ngu nhin cng lc 2 l. Tnh xc
sut nh cu 1 a, 2a

BI 11: Mt x th c 10 vin n, bn ln lt tng vin cho n khi bn trng

mc tiu (hay cho n khi ht n th dng). Gi X l bin ngu nhin ch s n
bn. Gi s xc sut bn trng mc tiu l 0,8. Tm phn phi xc sut ca X.
BI 12: C 2 l hng, mt l gm 10 sn phm loi 1 v 4 sn phm loi 2, l 2
gm 8 sn phm loi 1 v 2 sn phm loi 2.
1. Chn ngu nhin mi l 1 sn phm. Gi X l s sn phm loi 2 c chn.
Tm phn phi xc sut ca X.
2. Chn ngu nhin mt l ri t chn ngu nhin 2 sn phm (cng lc).
Gi Y l s sn phm loi 1 c chn. Tm phn phi xc sut ca Y.

BI 13: Cho A,B l 2 bin c: cho P(A) = x, P(B) = y, P(A B) = z. Tnh nhng
gi tr xc sut sau theo x,y,z.
1.P ( A B)
2.P( A B )
3.P( A B )

BI 14: Cho 3 bin c A, B, C: sao cho P(A) = P(B) = P(C) = 2/8; P(A B) =
P(C B) = 0 v P(A C) = 1/8. Tnh P( A B C )
Bi 15: Cho A, B l hai bin c c lp. Chng minh rng nhng cp bin c sau
c lp( A , B); ( A, B);( A, B)
Bi 16: Cho hai bin c A,B sao cho P(A) = 0,4; P(A B) = 0,7; t P(B) = p.
1) Tnh gi tr ca p, A,B ri nhau(A B = ).
2) Tnh gi tr ca p A,B c lp.

Bi 17: Mt hp cha 3 bi trng, 7 bi , 15 bi xanh. Hp khc cha 1 bi trng, 9

bi , 6 bi xanh. Chn ngu nhin t mi hp 1 bi. Tnh xc sut 2 bi c chn
cng mu.
Bi 18: Tung 2 ng xu cn i v ng cht. Tnh xc sut c t nht 1 ng
xu mt sp.
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Bi 19: Mt l hng gm 100 sn phm, trong 6 sn phm loi 2 v 4 sn phm

loi 3, s cn li l sn phm loi 1. ngi ta chn ngu nhin cng lc 3 sn
phm. Tnh xc sut c:
1) Ba sn phm khc loi
2) 3 sn phm cng loi
3) c ng 1 sn phm loi 1.
4) c t nht 1 sn phm loi 1.

Bi 20: Mt l hng gm n1 sn phm. quyt nh c nhn l hng hay

khng, ngi ta chn ngu nhin cng lc K sn phm v kim tra. Nu s sn
phm khng t cht lng b hn m th nhn l hng. Tm xc sut l hng
c nhn, bit rng s sn phm khng t cht lng ca l hng l n2.
Bi 21: Mt l hng gm 150 sn phm trong c 6% l ph phm. Ngi ta
dng phng php chn mu kim tra l hng v quy c rng: Kim tra ln
lt khng hon li 6 sn phm. Nu c t nht 1 sn phm l ph phm th loi l
hng. Tnh xc sut chp nhn l hng.
Bi 22: Mt l hng gm 10 sn phm loi 1 v 5 sn phm loi 2. Ngi ta ln
lt chn 2 sn phm khng hon li. Tnh xc sut:
1) Sn phm chn ln 2 l loi 1, Nu bit ln 1 chn c sn phm loi 2.
2) Tnh xc sut ln 2 loi 1 v ln 1 loi 2.
3) Ln 2 loi 1.
4) C 2 u loi 2.

Bi 23: Tung hai con xc xc 6 mt cn i v ng cht, cho bit tng s nt 2

mt trn l 6. Tnh xc sut chn 1 mt l 1 nt.
Bi 24: C 5 l phiu: 3 trng, 2 en, 2 ngi ln lt rt phiu (mi ln 1 phiu
khng hon li). Tnh xc sut ngi th 2 rt c phiu trng.

Bi 25: C 2 l hng. L th nht c n1 sn phm loi 1 v n2 sn phm loi 2. L

th 2 gm m1 sn phm loi 1 v m2 sn phm loi 2.
1) Chn ngu nhin 1 sn phm t l th nht ri b vo l th 2, ri chn
ngu nhin 1 sn phm t l th 2. Tnh xc sut sn phm c chn ln
2 l ca loi 1.
2) Chn ngu nhin 1 l hng ri t l hng chn ngu nhin 1 sn phm:
+ Tnh xc sut sn phm c chn l loi 2.
+ Gi s sn phm c chn l loi 2. Tnh xc sut sn phm c
chn t l 1.

Bi 26: chun on bnh S ngi ta dng my phn tch mu, my chun on

ng ngi c bnh l 98%, my chun on sai ngi mnh kho l 4% trng
- 62 -

hp. C 100 ngi vo th th c 20 ngi b bnh tht s. Mt ngi vo th my

v chun on l c bnh S. Tnh xc sut ngi qu tht l c bnh.

Bi 27: Mt nh my sn xut bt my c 90% t tiu chun k thut. Gi s xc

sut chp nhn 1 sn phm t tiu chun k thut l 95%. Xc sut chp nhn 1
sn phm khng t tiu chun k thut l 8%. Tnh xc sut sn phm t tiu
chun k thut qua kim nghim c chp nhn.
Bi 28: Mt gia nh c 5 con. Gi s xc sut sinh con trai l

2
(v khng phi
3

con trai l con gi). Tnh xc sut sao cho:

1) c 2 con trai
2) khng qu 2 con trai
3) C t nht 1 con trai.

Bi 29: Cho X l bin ngu nhin ri c phn phi xc sut c xc nh bi:

x

f X ( x) = 15
0

x {1,2,3,4,5}
x {1, 2,3, 4,5}

Hy tnh phn phi xc sut ca:

a) Y = X + 1
b) Y = X2

Bi 30: Cho X l i lng ngu nhin ri c hm mt c xc nh bi:

x

-3

-1

f X ( x) 0,1 0,2 0,15 0,2

2
0,1

0,15 0,05 0,05

1) Tnh xc sut P(X A) vi nhng trng hp A l s m, A l s chn.

2) P(X = -3 /X 0)
3) P(X = 3/ X 0)

Bi 31: Cho X, Y l 2 bin ngu nhin ri, c lp c phn phi u trn {1, 2,..., n}
1.Tnh P(X Y)
2.Tnh P(X = Y)
3.Tm phn phi xc sut ca Z = Min(X, Y)
4.Tm phn phi xc sut ca Z = |X Y|

Bi 32: Cho X, Y l 2 i lng ngu nhin ri, c lp, c phn phi hnh hc
tham s p(0 < p < 1)
1) Tm phn phi ca Z = X + Y; Z = Max(X, Y); Z = Min(X, Y)

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2) Tnh P(Y = y/X + Y = z), y= 1, z

Bi 33: Gii c c trong x s kin thit gm 5 ch s. Tnh xc sut c

gii c c sao cho:
1) L 1 s chn
2) Gm cc ch s khc nhau.
3) C ng 3 ch s trng nhau.

Bi 34: L 1 c 2 sn phm loi 1 v 1 sn phm loi 2, l 2 c 3 sn phm loi 1

v 2 sn phm loi, l 3 c 4 sn phm loi 1 v 2 sn phm loi 2. Chn ngu
nhin 1 sn phm l 1 b vo l 2 ri chn 1 sn phm t l 2 b vo l 3 v cui
cng chn t l 3, 2 sn phm cng mt lc. Tnh xc sut sao cho chn ln cui 2
sn phm loi 1.
Bi 35: Mt l hng 10 sn phm gm sn phm loi 1 v sn phm loi 2, cho
1
3

bit sn phm loi 2 c phn b b(2, ) . Chn ngu nhin 2 sn phm cng lc t
l hng, gi X l s sn phm loi 1 c chn, tm phn phi xc sut ca X.

Bi 36: Ba ngi cng chi bng r.Mi ngi nm 1 qu, xc sut nm trng r
mi ngi ln lt l: 0,6; 0,7 v 0,8. Tnh xc sut sao cho:
a) C 3 nm trng.
b) C t nht 1 ngi nm trng r.
c) C t nht 1 ngi khng nm trng r.
d) C ng 2 ngi nm trng r.
e) Ngi th 3 nm trng r bit rng c 2 ngi nm trng r.
f) Ngi th 3 khng nm trng r bit rng c 2 ngi nm trng r.

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BI TP LUT S LN
1. Chng minh: X L1 (, F, P)

P(| X | n) <
n =1

1
EX 21| X | n <
2
n
n =1

2. Chng minh: X L1 (, F, P) =>

3. {Xn } c lp, EXk = k, D(Xk) M k

Chng minh:

1 n
hcc
0(n )
( X k k )
n k =1

4. {Xn }n c lp, chung phn phi EXk = , D(Xk) M k

Chng minh:

S n hcc
(n )
n

5. Cho {Xn }n c lp vi
kho st hi t ca

1
n

1
2
1
1
vi xc sut
n
2

Xn=
n

6. Cho {Xn }n c lp, Xn P(n),

vi xc sut

< kho st hi t ca

7. Cho {Xn }n c lp vi Xn=

Chng minh:

< (hcc)

1
n2

1
2
1
1
2 vi xc sut
n
2

vi xc sut

2
n2

1
2
1
1
2 vi xc sut
n
2

8. {Xn }n c lp, Xn=

Chng minh:

vi xc sut

< (hcc)

1 2 n
9. {Xn }n c lp, P(Xn =x) = n

kho st s hi t ca

a) n =

x=0
x=n
x = n

trong cc trng hp:

1
n

- 65 -

b) n =

1
n2

10. Cho {Xn }n c lp. Xn=

Chng minh:

1 vi xc sut 1
n vi xc sut

1
n

1
n

1 n
hcc
X k
1(n )

n k =1

11. Cho bin ngu nhin lin tc {Xn }n c lp vi

e ant
P( X n t ) =
1

t (0, )
t (0, )

Trong : {an }n R+
Chng minh:

a
n

< <=> X n < (hcc)

n

1
vi xc sut
n
1
vi xc sut
n2

12. Cho {Xn }n c lp, Xn=

Xt s hi t ca X n

1
3
1
3

13. {Xn }n dc lp chung phn phi P(Xk = n) =

Chng minh:

C
(C l hng)
n Ln
2 2
n

1 n
hcc
X k
EX 1

n k =1

14. Cho {Xn }n c lp chung phn phi, EXk = , Xk 0, Xk L1 (, F, P) k

{Cn }n l dy thc dng.
Chng minh:

< <=> Ci X i < (hcc)

i

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MC LC
Trang
CHNG I: BIN C V XC SUT........................................................1
1. i Tng Mn Hc.....................................................................................1
1.1 Hin Tng Khng Ngu Nhin..............................................................1
1.2 Hin Tng Ngu Nhin ........................................................................1

2. Nhng khi nim .........................................................................................1

2.1. Php th..................................................................................................1
2.1.1. Php th tt nh............................................................................1
2.1. 2 Php th ngu nhin ......................................................................1

2.2. Bin c: ..................................................................................................2

2.2. 1 Bin c chc chn ..........................................................................2
2.2. 2. Bin c khng th c .....................................................................2
2.2. 3. Bin c s cp ................................................................................2

3. Quan h gia cc bin c. ............................................................................3

3.1. Ko theo .................................................................................................3
3.2. Bng nhau ..............................................................................................2
3.3. Hp(Tng)...............................................................................................3
3.4. Giao(tch). ...............................................................................................3
3.5. Hiu.........................................................................................................3
3.6. Hiu i xng .........................................................................................3
3.7. Ri ..........................................................................................................3
3.7. i Lp(B) trn . ..............................................................................3
3.8. Phn hoch ............................................................................................3
4. i s v - i s .......................................................................................3
4.1. i s .....................................................................................................3
4.2 - i s: .............................................................................................4
5 Cc khi nim v xc sut.............................................................................4
5.1 nh ngha(xc sut theo quan nim c in) ........................................4
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5.2 nh ngha (Thng k) ............................................................................6

5.3 nh ngha(Tin ) ................................................................................6
5.4 Xc sut c iu kin. .............................................................................9
5.4.1 Cng thc nhn xc sut.................................................................9
5.4.2 cng thc xc sut ton phn .........................................................10
5.4.3 Cng thc Bayes .............................................................................11

5.5 S c lp ca cc bin c. ....................................................................13

5.5.1. nh ngha (cho 2 bin c)..................................................................13
5.5.2. nh ngha (Cho n bin c n 2).......................................................14

CHNG II: BIN NGU NHIN V PHN PHI XC SUT...........15

1. nh ngha (Bin ngu nhin) .......................................................................15
2. nh ngha (Vect ngu nhin) .....................................................................15
3. Phn phi xc sut: .....................................................................................15
3.1 inh ngha ..............................................................................................15
3.2 nh ngha ..............................................................................................15
3.3 nh ngha ..............................................................................................15
3.4 inh l.....................................................................................................16
3.5 nh l: ..................................................................................................16
3.6 Mnh (m rng).................................................................................17
4. Phn loi........................................................................................................17
4.1 Phn phi ri rc (1 chiu).....................................................................17
4.1.1 nh ngha 1 ...................................................................................17
4.1.2 nh ngha 2 ...................................................................................17
4.1.3 Tnh cht: (Hm mt xc sut) ..................................................18

5. Vi phn phi thng gp ...........................................................................18

5.1 Phn phi u..........................................................................................18
5.2. Phn phi nh thc.................................................................................18
5.3. Phn phi Poisson..................................................................................18
5. 4. Phn phi hnh hc...............................................................................19
5.5. Phn phi siu bi: ................................................................................19
6. Phn phi lin tc .........................................................................................19
6.1 nh ngha: (phn phi lin tc 1 chiu) ................................................19
6.2 Tnh cht..................................................................................................19

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6.3 Mt s phn phi lin tc thng gp ...................................................20

6.3.1 Phn phi u .................................................................................20
6.3.2 Phn phi m .................................................................................20
6.3.3 Phn phi chun ............................................................................20
6.3. 4. Phn phi Gamma ........................................................................20
6.3.5 Phn phi Student ...........................................................................21

7. Phn loi (nhiu chiu) n = 2......................................................................21

7.1 nh ngha (n = 2) ..................................................................................21
7.2 nh ngha (hm mt xc sut) ..........................................................21
7.3 Mnh : .................................................................................................22
8. nh ngha (phn phi lin tc hai chiu) ....................................................22
9. S c lp (Theo xc sut) ............................................................................23
9.1 nh ngha(2 bin c).............................................................................23
9.2 nh ngha (nhiu bin c).....................................................................23
9.3 - i s c lp:...................................................................................23
9.4 inh l.....................................................................................................23
9.6 nh l: ...................................................................................................24
9.7 nh m rng..........................................................................................24
10. Bin ngu nhin c lp.............................................................................24
10.1 nh ngha:............................................................................................24
10.2 nh l: Cc mnh sau tng ng................................................24
10.3 nh L ..................................................................................................25
10.4 nh l ...................................................................................................25
11. Lut 0 1.....................................................................................................26
11.1 - trng xa vi( - i s ui) ........................................................26
11.2 nh l: (0 1).......................................................................................26
11.3 nh l: (Borel cantelli) .....................................................................27
CHNG 3: CC C TRNG ..................................................................29
1. K vng (Gi tr trung bnh) ..........................................................................29
1.1 nh ngha: .............................................................................................29
1.2 Cc tnh cht...........................................................................................29
2. Cc khi nim v Moment ..........................................................................31
2.1 Moment bc k. .........................................................................................31
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2.2 Moment qui tm bc k ............................................................................31

2.3 nh l......................................................................................................31
3. Hm c trng..............................................................................................32
3.1 nh ngha ..............................................................................................32
3.2 nh ngha (c lp) ..............................................................................32
3.3 nh ngha (hm c trng)...................................................................33
3.4 Bng hm c trng...............................................................................33
3.5 nh l.....................................................................................................34
3.6 nh l.....................................................................................................34
4. Mdian ...........................................................................................................34
5. Covariance ....................................................................................................34
6. H s tng quan..........................................................................................34
7. Cc bt ng thc.........................................................................................34
7.1 Bt ng thc (Tchebyshev)..................................................................34
7.2 H qu: (BT Markov)...........................................................................35
7.3 Bt ng thc Cp....................................................................................35
7.4 Bt ng thc Holder .............................................................................36
7.5 Bt ng Thc Minkowsk .....................................................................37
7.6 Bt ng thc Jasen ...............................................................................37
CHNG IV: CC LOI HI T TRONG XC SUT .........................38
1. Cc khi nim ...............................................................................................38
1.1. nh ngha ............................................................................................38
1. 2. nh ngha (hi t theo xc sut)........................................................38
1. 3. Hi t trong Lp .....................................................................................38
1. 4. Hi t theo phn phi(theo phn b) ..................................................38
2. Hi t ( Hu chc chn) ...............................................................................40
2.1 nh l: 3 mnh sau tng ng ...................................................40
2.2 nh L ....................................................................................................41
2.3 nh l......................................................................................................42
2.4 nh l......................................................................................................42
2.5 nh L ....................................................................................................42
3. Lin h gia hi t theo xc sut v hi t trong Lp ................................42

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3.1 nh l.....................................................................................................42
3.2 nh l.....................................................................................................42
4. nh ngha: (dy bin thin kh tch u).....................................................42
4.1 nh l: (Cn).........................................................................................43
4.2 nh l()..............................................................................................43
CHNG V: LUT S LN V CC NH L GII HN .................47
1. Vi dng yu lut s ln...............................................................................47
1.1 nh l(Tchebyshev) ...............................................................................47
1.2 H qu 1...................................................................................................47
1.3 H qu 2 ..................................................................................................47
2. Dng mnh lut s ln .................................................................................48
2.1 nh l ....................................................................................................48
2.2 Bt ng thc (Kotmogrov)....................................................................50
2.3 nh l.....................................................................................................51
2.4 B (Kronecker) ...................................................................................52
2.5 nh l 3..................................................................................................52
2.6 nh l 4..................................................................................................53
2.7 nh l (2chui) ......................................................................................54
2.8 nh l (3 chui) .....................................................................................54
3. Cc nh l gii hn .....................................................................................57
3.1 Xp x phn phi nh thc bng phn phi chun. ..............................57
3.2 nh l (Moivre Laplace) .....................................................................57
3.3. nh l (gii hn trung tm)...................................................................58

BI TP XC SUT C IN........................................................... 59
BI TP LUT S LN...................................................................... 64

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