宋浩概率论与数理统计笔记——第三章

3.1.1 二维随机变量及其分布函数

3.1 二维随机变量

假设$E$是试验,$\Omega$是他的样本空间，X、Y是定义在样本空间$\Omega$的两个变量

$(X,Y)$向量、变量

分布函数：

F ( x , y ) = P { X ≤ x , Y ≤ y } F(x,y)=P\{X\leq x,Y\leq y\} F(x,y)=P{X≤x,Y≤y},联合分布函数

一维： F ( x ) = P { X ≤ x } F(x)=P\{X\leq x\} F(x)=P{X≤x}

性质：

①$0\le F(x)\le 1$

②$F(x,y)$是$x$或$y$的不减函数，$y$固定，$x_1<x_2,F(x_1,y)\le F(x_2,y)$

③$F(-\infty ,y)=0$

$F(x,-\infty )=0$

$F(-\infty ,-\infty )=0$

$F(+\infty ,+\infty )=1$

④$F(x,y)$分别是关于x和y的右连续

⑤$x_1<x_2,y_1<y_2$

P { x 1 < X ≤ x 2 , y 1 < Y ≤ y 2 } = F ( x 2 , y 2 ) − F ( x 2 , y 1 ) − F ( x 1 , y 2 ) + F ( x 1 , y 1 ) P\{x_1<X\leq x_2,y_1<Y\leq y_2\}=F(x_2,y_2)-F(x_2,y_1)-F(x_1,y_2)+F(x_1,y_1) P{x1​<X≤x2​,y1​<Y≤y2​}=F(x2​,y2​)−F(x2​,y1​)−F(x1​,y2​)+F(x1​,y1​)

边缘分布:

F X ( x ) = P { X ≤ x } = F { x , + ∞ } = P { X ≤ x , Y < + ∞ } F_X(x)=P\{X\leq x\}=F\{x,+\infty\}=P\{X\leq x,Y<+\infty\} FX​(x)=P{X≤x}=F{x,+∞}=P{X≤x,Y<+∞}

F Y ( y ) = P { Y ≤ y } = F { + ∞ , y } = P { X < + ∞ , Y ≤ y } F_Y(y)=P\{Y\leq y\}=F\{+\infty,y\}=P\{X<+\infty,Y\leq y\} FY​(y)=P{Y≤y}=F{+∞,y}=P{X<+∞,Y≤y}

3.1.2 二维离散型的联合分布和边缘分布

X,Y取离散值

分布表：

X\Y	1	2	3
1	0	$\frac{1}{2}$	$\frac{1}{8}$
2	$\frac{1}{8}$	$\frac{1}{8}$	$\frac{1}{8}$

P { X = x i , Y = y j } = P i j P\{X=x_i,Y=y_j\}=P_{ij} P{X=xi​,Y=yj​}=Pij​

性质

①$P_{ij}\ge 0$

②${\sum }_i{\sum }_j{P}_{ij}=1$

F ( x , y ) = P { X ≤ x , Y ≤ y } = ∑ x i ≤ x ∑ y i ≤ y P i j F(x,y)=P\{X\leq x,Y\leq y\}=\sum_{x_i\leq x}\sum_{y_i\leq y}P_{ij} F(x,y)=P{X≤x,Y≤y}=∑xi​≤x​∑yi​≤y​Pij​

F ( − 1 , − 2 ) = P { X ≤ − 1 , Y ≤ − 2 } = 0 F(-1,-2)=P\{X\leq -1,Y\leq -2\}=0 F(−1,−2)=P{X≤−1,Y≤−2}=0

F ( 1 , 2 ) = P { X ≤ 1 , Y ≤ 2 } = 1 2 F(1,2)=P\{X\leq 1,Y\leq 2\}=\frac{1}{2} F(1,2)=P{X≤1,Y≤2}=21​

F ( 4 , 5 ) = P { X ≤ 4 , Y ≤ 5 } = 1 F(4,5)=P\{X\leq 4,Y\leq 5\}=1 F(4,5)=P{X≤4,Y≤5}=1

F ( 1.5 , 2.6 ) = P { X ≤ 1.5 , Y ≤ 2.6 } = 1 2 F(1.5,2.6)=P\{X\leq 1.5,Y\leq 2.6\}=\frac{1}{2} F(1.5,2.6)=P{X≤1.5,Y≤2.6}=21​

边缘分布

对行求和，得X的边缘分布

X	1	2
P	$\frac{5}{8}$	$\frac{3}{8}$

对列求和，得Y的边缘分布

Y	1	2	3
P	$\frac{1}{8}$	$\frac{5}{8}$	$\frac{1}{4}$

①联合分布可唯一确定边缘分布

②边缘分布不能确定联合分布

3.1.3 二维连续型的联合分布与边缘分布

F ( x , y ) = P { X ≤ x , Y ≤ y } = ∫ − ∞ x ∫ − ∞ y f ( s , t ) d s d t F(x,y)=P\{X\leq x,Y\leq y\}=\int_{-\infty}^{x}\int_{-\infty}^{y}f(s,t)dsdt F(x,y)=P{X≤x,Y≤y}=∫−∞x​∫−∞y​f(s,t)dsdt

$F(x,y)$分布函数

$f(x,y)$联合密度函数

性质1：$f(x,y)>0$

性质2：${\int }_{-\infty }^{+\infty }{\int }_{-\infty }^{+\infty }f(x,y)dxdy=1$

性质3：$\frac{{\partial }^{2}F(x,y)}{\partial x\partial y}=f(x,y)$

性质4：G是XY平面上的一个区域， P { ( X , Y ) ∈ G } = ∬ G f ( x , y ) d x d y P\{(X,Y)\in G\}=\iint_G f(x,y)dxdy P{(X,Y)∈G}=∬G​f(x,y)dxdy

$F(x)=\{\begin{array}{rc}C& (x,y)\in G\\ 0& else\end{array}$

$G:x^2+y^2\le r^2$

${\int }_{-\infty }^{+\infty }{\int }_{-\infty }^{+\infty }f(x,y)dxdy={\iint }_{G}Cdxdy=C{\iint }_{G}1dxdy=C\pi r^2=1$

$C=\frac{1}{\pi r^2}$

例：

$F(x)=\{\begin{array}{rc}{e}^{-(x+y)}& x>0,y>0\\ 0& else\end{array}$

(1)求$X,Y$的$F(x,y)$

F ( x , y ) = P { X ≤ x , Y ≤ y } , x > 0 且 y > 0 , F ( x , y ) = ∫ − ∞ x ∫ − ∞ y f ( s , t ) d s d t = ∫ 0 x ∫ 0 y e − s e − t d s d t = ∫ 0 x e − s d s ∫ 0 y e − t d t = ( e − x − 1 ) ( e − y − 1 ) = ( 1 − e − x ) ( 1 − e − y ) F(x,y)=P\{X\leq x,Y\leq y\},x>0且y>0,F(x,y)=\int_{-\infty}^{x}\int_{-\infty}^{y}f(s,t)dsdt\\=\int_0^x\int_0^y e^{-s}e^{-t}dsdt=\int_0^xe^{-s}ds\int_0^ye^{-t}dt=(e^{-x}-1)(e^{-y}-1)=(1-e^{-x})(1-e^{-y}) F(x,y)=P{X≤x,Y≤y},x>0且y>0,F(x,y)=∫−∞x​∫−∞y​f(s,t)dsdt=∫0x​∫0y​e−se−tdsdt=∫0x​e−sds∫0y​e−tdt=(e−x−1)(e−y−1)=(1−e−x)(1−e−y)

(2) 求 P { ( x , y ) ∈ G } 求P\{(x,y)\in G\} 求P{(x,y)∈G}

P { ( x , y ) ∈ G } = ∬ G f ( x , y ) d x d y = ∬ G e − ( x + y ) d x d y = ∫ 0 1 d x ∫ 0 1 − x e − ( x + y ) d y = 1 − 2 e − 1 P\{(x,y)\in G\}=\iint_Gf(x,y)dxdy=\iint_Ge^{-(x+y)}dxdy=\int_{0}^{1}dx\int_{0}^{1-x}e^{-(x+y)}dy=1-2e^{-1} P{(x,y)∈G}=∬G​f(x,y)dxdy=∬G​e−(x+y)dxdy=∫01​dx∫01−x​e−(x+y)dy=1−2e−1

(3)$F_X(x),F_Y(y)$

$F_X(x)={\lim }_{y\to +\infty }F(x,y)=1-e^{-x},x>0$

$F_X(x)=0,x\le 0$

$F_Y(y)={\lim }_{x\to +\infty }F(x,y)=1-e^{-y},y>0$

$F_Y(y)=0,y\le 0$

3.2.1条件分布的定义

F ( x ) = P { X ≤ x } F(x)=P\{X\leq x\} F(x)=P{X≤x}

F ( x ∣ A ) = P { X ≤ x ∣ A } F(x|A)=P\{X\leq x|A\} F(x∣A)=P{X≤x∣A}

例：

$f(x)=\frac{1}{\pi (1+x^2)}$，求X>1条件下的条件分布

解：X>1, F ( x ∣ X > 1 ) = P { X ≤ x ∣ X > 1 } = P { X ≤ x , X > 1 } P { X > 1 } F(x|X>1)=P\{X\leq x|X>1\}=\frac{P\{X\leq x,X>1\}}{P\{X>1\}} F(x∣X>1)=P{X≤x∣X>1}=P{X>1}P{X≤x,X>1}​

$x\le 1$时,$F(x|X>1)=0$

$x>1时$, P { 1 < X ≤ x } = ∫ 1 x 1 π ( 1 + t 2 ) d t ∫ 1 + ∞ 1 π ( 1 + t 2 ) d t = 1 π a r c t a n t ∣ 1 x 1 π a r c t a n t ∣ 1 + ∞ = 1 π a c r t a n x − 1 4 1 4 P\{1<X\leq x\}=\frac{\int_{1}^{x}\frac{1}{\pi(1+t^2)}dt}{\int_{1}^{+\infty}\frac{1}{\pi(1+t^2)}dt}=\frac{\frac{1}{\pi}arctant|_1^x}{\frac{1}{\pi}arctant|_1^{+\infty}}=\frac{\frac{1}{\pi}acrtanx-\frac{1}{4}}{\frac{1}{4}} P{1<X≤x}=∫1+∞​π(1+t2)1​dt∫1x​π(1+t2)1​dt​=π1​arctant∣1+∞​π1​arctant∣1x​​=41​π1​acrtanx−41​​

$F(x|X>1)=\{\begin{array}{rc}0& x\le 1\\ \frac{4}{\pi }arctanx-1& x>1\end{array}$

3.2.2 离散型随机变量的条件分布

$ X_1$\ $ X_2$	0	1	$P_i^{(1)}$边缘分布
0	0.1	0.3	0.4
1	0.3	0.3	0.6
$P_j^{(2)}$边缘分布	0.4	0.6

X 1 = 0 , P { X 2 = 0 ∣ X 1 = 0 } = 0.1 0.4 = 0.25 X_1=0,P\{X_2=0|X_1=0\}=\frac{0.1}{0.4}=0.25 X1​=0,P{X2​=0∣X1​=0}=0.40.1​=0.25

X 1 = 0 , P { X 2 = 1 ∣ X 1 = 0 } = 0.3 0.4 = 0.75 X_1=0,P\{X_2=1|X_1=0\}=\frac{0.3}{0.4}=0.75 X1​=0,P{X2​=1∣X1​=0}=0.40.3​=0.75

X 1 = 1 , P { X 2 = 0 ∣ X 1 = 1 } = 0.3 0.6 = 0.5 X_1=1,P\{X_2=0|X_1=1\}=\frac{0.3}{0.6}=0.5 X1​=1,P{X2​=0∣X1​=1}=0.60.3​=0.5

X 1 = 1 , P { X 2 = 1 ∣ X 1 = 1 } = 0.3 0.6 = 0.5 X_1=1,P\{X_2=1|X_1=1\}=\frac{0.3}{0.6}=0.5 X1​=1,P{X2​=1∣X1​=1}=0.60.3​=0.5

$X_2$	0	1
$P{X_2	X_1=0}$	0.25

$X_2$	0	1
$P{X_2	X_1=1}$	0.5

X 2 = 0 , P { X 1 = 0 ∣ X 2 = 0 } = 0.1 0.4 = 0.25 X_2=0,P\{X_1=0|X_2=0\}=\frac{0.1}{0.4}=0.25 X2​=0,P{X1​=0∣X2​=0}=0.40.1​=0.25

X 2 = 0 , P { X 1 = 1 ∣ X 2 = 0 } = 0.3 0.4 = 0.75 X_2=0,P\{X_1=1|X_2=0\}=\frac{0.3}{0.4}=0.75 X2​=0,P{X1​=1∣X2​=0}=0.40.3​=0.75

X 2 = 1 , P { X 1 = 0 ∣ X 2 = 1 } = 0.3 0.6 = 0.5 X_2=1,P\{X_1=0|X_2=1\}=\frac{0.3}{0.6}=0.5 X2​=1,P{X1​=0∣X2​=1}=0.60.3​=0.5

X 2 = 1 , P { X 1 = 1 ∣ X 1 = 1 } = 0.3 0.6 = 0.5 X_2=1,P\{X_1=1|X_1=1\}=\frac{0.3}{0.6}=0.5 X2​=1,P{X1​=1∣X1​=1}=0.60.3​=0.5

$X_1$	0	1
$P{X_1	X_2=0}$	0.25

$X_1$	0	1
$P{X_1	X_2=1}$	0.5

P { X = x i ∣ Y = y j } = P i j P j ( 2 ) P\{X=x_i|Y=y_j\}=\frac{P_{ij}}{P_j^{(2)}} P{X=xi​∣Y=yj​}=Pj(2)​Pij​​

3.2.3连续型随机变量的条件分布

定义：(X,Y)是随机变量，f(x,y)是密度函数，边缘密度是$f_X(x)、f_Y(y)$,若$f_Y(y)>0$

在$Y=y$的条件下，

$F(x|y)={\int }_{-\infty }^x\frac{f(u,y)}{f_Y(y)}du$,$f(x|y)=\frac{f(x,y)}{f_Y(y)}$

$F(y|x)={\int }_{-\infty }^y\frac{f(x,v)}{f_X(x)}dv$,$f(y|x)=\frac{f(x,y)}{f_X(x)}$

例：

$f(x,y)=\frac{1}{{\pi }^2(1+x^2)(1+y^2)}$,$f_X(x)=\frac{1}{\pi (1+x^2)}$,$f_Y(y)=\frac{1}{\pi (1+y^2)}$

$f(x|y)=\frac{f(x,y)}{f_Y(y)}=\frac{1}{\pi (1+x^2)}$

$f(y|x)=\frac{f(x,y)}{f_X(x)}=\frac{1}{\pi (1+y^2)}$

例：

$f(x,y)=\{\begin{array}{rc}\frac{1}{\pi r^2}& x^2+y^2\le r^2\\ 0& else\end{array}$

$f_X(x)=\{\begin{array}{rc}\frac{2\sqrt{r^2-x^2}}{\pi r^2}& |x|\le r\\ 0& else\end{array}$

$f_Y(y)=\{\begin{array}{rc}\frac{2\sqrt{r^2-y^2}}{\pi r^2}& |y|\le r\\ 0& else\end{array}$

$|y|<r,f(x|y)=\frac{f(x,y)}{f_Y(y)}=\{\begin{array}{rc}-\frac{1}{2\sqrt{r^2-y^2}}& -\sqrt{r^2-y^2}\le x\le \sqrt{r^2-y^2}\\ 0& else\end{array}$

$|x|<r,f(y|x)=\frac{f(x,y)}{f_X(x)}=\{\begin{array}{rc}-\frac{1}{2\sqrt{r^2-x^2}}& -\sqrt{r^2-x^2}\le y\le \sqrt{r^2-x^2}\\ 0& else\end{array}$

P { X > 0 ∣ Y = 0 } = ∫ 0 r 1 2 r d x = 0.5 P\{X>0|Y=0\}=\int_0^r\frac{1}{2r}dx=0.5 P{X>0∣Y=0}=∫0r​2r1​dx=0.5

P { X ≤ x ∣ Y = y } = P { X ≤ x , Y ≤ y } P { Y = y } = lim ⁡ ϵ → 0 P { X ≤ x , Y ≤ y + ϵ } P { y ≤ Y + ϵ } = lim ⁡ ϵ → 0 ∫ − ∞ x 1 ϵ ∫ y y + ϵ f ( u , v ) d u d v 1 ϵ ∫ y y + ϵ f Y ( v ) d v = ∫ − ∞ x f ( u , v ) d u d v f Y ( y ) = ∫ − ∞ x f ( u , y ) f Y ( y ) d u P\{X\leq x|Y=y\}=\frac{P\{X\leq x,Y\leq y\}}{P\{Y=y\}}=\lim_{\epsilon\rightarrow 0}\frac{P\{X\leq x,Y\leq y+\epsilon\}}{P\{y\leq Y+\epsilon\}}=\lim_{\epsilon\rightarrow0}\frac{\int^x_{-\infty}\frac{1}{\epsilon}\int_y^{y+\epsilon}f(u,v)dudv}{\frac{1}{\epsilon}\int_y^{y+\epsilon}f_Y(v)dv}=\frac{\int_{-\infty}^{x}f(u,v)dudv}{f_Y(y)} \\ =\int_{-\infty}^x\frac{f(u,y)}{f_Y(y)}du P{X≤x∣Y=y}=P{Y=y}P{X≤x,Y≤y}​=limϵ→0​P{y≤Y+ϵ}P{X≤x,Y≤y+ϵ}​=limϵ→0​ϵ1​∫yy+ϵ​fY​(v)dv∫−∞x​ϵ1​∫yy+ϵ​f(u,v)dudv​=fY​(y)∫−∞x​f(u,v)dudv​=∫−∞x​fY​(y)f(u,y)​du

积分中值定理：${\int }_a^{b}f(x)dx=f(\xi )(b-a)$

3.2.4随机变量的独立性

扔硬币

$f(x|y)=f_X(x)=\frac{f(x,y)}{f_Y(y)}$

$f(x,y)=f_X(x)f_Y(y)$

$F(x,y)=F_X(x)F_Y(y)$

P { X ∈ S x , Y ∈ S y } = P { x ∈ S x } P { Y ∈ S y } P\{X\in S_x,Y\in S_y \}=P\{x\in S_x\}P\{Y\in S_y\} P{X∈Sx​,Y∈Sy​}=P{x∈Sx​}P{Y∈Sy​}

1. 二维离散的独立性

​ P { X = x i , Y = y j } = P { X = x i } P { Y = y j } P\{X=x_i,Y=y_j\}=P\{X=x_i\}P\{Y=y_j\} P{X=xi​,Y=yj​}=P{X=xi​}P{Y=yj​}

X\Y	0	1
0	0.2	0.2	0.4
1	0.2	0.4	0.6
不独立	0.4	0.6

X\Y	0	1
0	0.2	0.3	0.5
1	0.2	0.3	0.5
独立	0.4	0.6

$0.5\times 0.4=0.2$ $0.5\times 0.6=0.3$ 独立

2)二维连续型$f(x,y)=f_X(x)f_Y(y)$

例：

一个经理，8-12时到办公室是均匀分布，秘书到达时间是7-9点，两人到达时间相互独立，求两人到达办公室时间不超过5分钟($\frac{1}{12}小时$)的概率

X是经理$f_X(x)=\{\begin{array}{rc}\frac{1}{4}& 8<x<12\\ 0& else\end{array}$

Y是秘书$f_Y(y)=\{\begin{array}{rc}\frac{1}{2}& 7<y<9\\ 0& else\end{array}$

X,Y相互独立

$f(x,y)=f_X(x)f_Y(y)=\{\begin{array}{rc}\frac{1}{8}& 8<x<12,7<y<9\\ 0& else\end{array}$

P { ∣ X − Y ∣ ≤ 1 12 } = ∬ a f ( x , y ) d x d y = 1 8 ∬ G d x d y = 1 48 P\{|X-Y|\leq \frac{1}{12}\}=\iint_af(x,y)dxdy=\frac{1}{8}\iint_Gdxdy=\frac{1}{48} P{∣X−Y∣≤121​}=∬a​f(x,y)dxdy=81​∬G​dxdy=481​,阴影部分面积

变量是独立的，由变量构造的函数仍然独立

定理：X、Y独立，$g_1(X),g_2(Y)也独立$

$X、Y独立，X^2,Y^2,a_{1}X+b_1,a_{2}X+b_2也独立$

3.3.1二维离散型随机变量函数的分布

（1）二维离散型

X、Y分别是土地的长和宽

X\Y	4	4.2
5	0.2	0.4
5.1	0.3	0.1

Z=XY

Z	20	21	20.4	21.42
P	0.2	0.4	0.3	0.1

$Z=X^2-Y$

Z	$5^2-4$	$5^2-4.2$	$5.1^2-4$	$5.1^2-4.2$
P	0.2	0.4	0.3	0.1

例：

$X_1,X_2独立，服从0-1分布，求X_1+X_2$

$X_1$	0	1
P	1-p	p

$X_2$	0	1
P	1-p	p

$X_1+X_2$	0	1	2
P	$(1-p{)}^2$	$2p(1-p)$	$p^2$

$X_1+X_2$~$B(2,p)$，$X_1+X_2$服从二项分布

例：

X、Y独立且服从${\lambda }_1、{\lambda }_2$的泊松分布， Z = X + Y , P { X = k } = λ k k ! e − λ Z=X+Y,P\{X=k\}=\frac{\lambda^k}{k!}e^{-\lambda} Z=X+Y,P{X=k}=k!λk​e−λ,PS:泊松分布是离散型的！！

解： { Z = k } = Σ i = 0 k { X = i , Y = k − i } \{Z=k\}=\Sigma_{i=0}^{k}\{X=i,Y=k-i\} {Z=k}=Σi=0k​{X=i,Y=k−i}

P { Z = k } = Σ i = 0 k P { X = i , Y = k − i } = Σ i = 0 k P { X = i } P { Y = k − i } = Σ i = 0 k λ i i ! e − λ 1 λ k − i ( k − i ) ! e − λ 2 ( λ 1 + λ 2 ) k k ! e − ( λ 1 + λ 2 ) P\{Z=k\}=\Sigma_{i=0}^{k}P\{X=i,Y=k-i\}=\Sigma_{i=0}^{k}P\{X=i\}P\{Y=k-i\}\\=\Sigma_{i=0}^{k}\frac{\lambda^i}{i!}e^{-\lambda_1}\frac{\lambda^{k-i}}{(k-i)!}e^{-\lambda_2}\frac{(\lambda_1+\lambda_2)^k}{k!}e^{-(\lambda_1+\lambda_2)} P{Z=k}=Σi=0k​P{X=i,Y=k−i}=Σi=0k​P{X=i}P{Y=k−i}=Σi=0k​i!λi​e−λ1​(k−i)!λk−i​e−λ2​k!(λ1​+λ2​)k​e−(λ1​+λ2​)

${\lambda }_1+{\lambda }_2$也服从泊松分布

泊松分布具有可加性

3.3.2二维连续型随机变量函数的分布

变量$(X,Y)$、联合密度$f(x,y)$,$Z=g(X,Y)$

(1)分布： F Z ( ξ ) = P { Z ≤ z } = P { g ( X , Y ) ≤ z } = ∬ D z f ( x , y ) d x d y F_Z(\xi)=P\{Z\leq z\}=P\{g(X,Y)\leq z\}=\iint_{D_{z}}f(x,y)dxdy FZ​(ξ)=P{Z≤z}=P{g(X,Y)≤z}=∬Dz​​f(x,y)dxdy

D z = { ( x , y ) ∣ g ( x , y ) ≤ z } D_{z}=\{(x,y)|g(x,y)\leq z\} Dz​={(x,y)∣g(x,y)≤z}

(2)密度：$f_Z(z)$

例：

$f(x,y)=\frac{1}{2\pi }{e}^{-\frac{x^2+y^2}{2}},Z=\sqrt{X^2+Y^2}$

z < 0 时 ， F Z ( z ) = P { Z ≤ z } = P { X 2 + Y 2 ≤ z } = 0 z<0时，\\F_Z(z)=P\{Z\leq z\}=P\{\sqrt{X^2+Y^2}\leq z\}=0 z<0时，FZ​(z)=P{Z≤z}=P{X2+Y2 ​≤z}=0

z ≥ 0 时 ， F Z ( x ) = P { Z ≤ z } = P { X 2 + Y 2 ≤ z } = P { X 2 + Y 2 ≤ z 2 } = ∬ G 1 2 π e − x 2 + y 2 2 d x d y = ∫ 0 2 π d θ ∫ 0 z 1 2 π e − r 2 2 r d r = ∫ 0 2 π d θ ∫ 0 z 1 2 π e − r 2 2 1 2 d r 2 = 1 − e − z 2 2 z\geq 0时，\\F_Z(x)=P\{Z\leq z\}=P\{\sqrt{X^2+Y^2}\leq z\}=P\{X^2+Y^2\leq z^2\}\\=\iint_G\frac{1}{2\pi}e^{-\frac{x^2+y^2}{2}}dxdy\\=\int_0^{2\pi}d\theta\int_0^z\frac{1}{2\pi}e^{-\frac{r^2}{2}}rdr\\=\int_0^{2\pi}d\theta\int_0^z\frac{1}{2\pi}e^{-\frac{r^2}{2}}\frac{1}{2}dr^2\\=1-e^{-\frac{z^2}{2}} z≥0时，FZ​(x)=P{Z≤z}=P{X2+Y2 ​≤z}=P{X2+Y2≤z2}=∬G​2π1​e−2x2+y2​dxdy=∫02π​dθ∫0z​2π1​e−2r2​rdr=∫02π​dθ∫0z​2π1​e−2r2​21​dr2=1−e−2z2​

$\therefore F_Z(z)=\{\begin{array}{rc}0& z<0\\ 1-e^{-\frac{z^2}{2}}& z\ge 0\end{array},f_Z(z)=\{\begin{array}{rc}0& z<0\\ z{e}^{-\frac{z^2}{2}}& z\ge 0\end{array}$

(1)

Z = X + Y , F Z ( z ) = P { Z ≤ z } = P { X + Y ≤ z } = ∬ X + Y ≤ z f ( x , y ) d x d y = ∫ − ∞ + ∞ d x ∫ − ∞ z − x f ( x , y ) d y , 令 x + y = t , 则 y = t − x , d y = d ( t − x ) = d t = ∫ − ∞ + ∞ d x ∫ − ∞ z f ( x , t − x ) d t , X 型 = ∫ − ∞ z [ ∫ − ∞ + ∞ f ( x , t − x ) d x ] d t , Y 型 Z=X+Y,\\F_Z(z)=P\{Z\leq z\}=P\{X+Y\leq z\}=\iint_{X+Y\leq z }f(x,y)dxdy\\=\int_{-\infty}^{+\infty}dx\int_{-\infty}^{z-x}f(x,y)dy,令x+y=t,则y=t-x,dy=d(t-x)=dt\\=\int_{-\infty}^{+\infty}dx\int_{-\infty}^{z}f(x,t-x)dt,X型\\=\int^{z}_{-\infty}[\int_{-\infty}^{+\infty}f(x,t-x)dx]dt,Y型 Z=X+Y,FZ​(z)=P{Z≤z}=P{X+Y≤z}=∬X+Y≤z​f(x,y)dxdy=∫−∞+∞​dx∫−∞z−x​f(x,y)dy,令x+y=t,则y=t−x,dy=d(t−x)=dt=∫−∞+∞​dx∫−∞z​f(x,t−x)dt,X型=∫−∞z​[∫−∞+∞​f(x,t−x)dx]dt,Y型

变上限积分求导：上限求导 乘 代入上限

$f_Z(z)=(F_Z(z){)}^{\prime }={\int }_{-\infty }^{+\infty }f(x,z-x)dx={\int }_{-\infty }^{+\infty }{f}_X(x)f_Y(z-x)dx$

$f_Z(z)={\int }_{-\infty }^{+\infty }f(z-y,y)dy={\int }_{-\infty }^{+\infty }{f}_Y(y)f_X(z-y)dy$

上面两个公式是==卷积公式==

卷积公式使用条件:①$Z=X+Y$②$X、Y独立$

(2)

$X\sim N(0,1),Y\sim N(0,1),X、Y独立，Z=X+Y$

$$\begin{gathered} {\Phi }_Z(z)={\int }_{-\infty }^{+\infty }{\Phi }_X(x)\Phi (z-x)dx={\int }_{-\infty }^{+\infty }\frac{1}{\sqrt{2\pi }}{e}^{-\frac{x^2}{2}}\frac{1}{\sqrt{2\pi }}{e}^{-\frac{(z-x{)}^2}{2}}dx \\ =\frac{1}{2\pi }{\int }_{-\infty }^{+\infty }{e}^{-\frac{z^2}{4}}{e}^{-(x-\frac{z}{2}{)}^2}dx \\ =\frac{1}{2\pi }{e}^{-\frac{z^2}{4}}{\int }_{-\infty }^{+\infty }{e}^{-(x-\frac{z}{2}{)}^2}d(x-\frac{z}{2}),泊松积分 \\ =\frac{1}{\sqrt{2\pi }\sqrt{2}}{e}^{\frac{x^2}{2(\sqrt{2}{)}^2}},正态分布：\varphi (x)=\frac{1}{\sqrt{2\pi }\sigma }{e}^{-\frac{(x-\mu {)}^2}{2{\sigma }^2}} \end{gathered}$$

$\therefore Z\sim N(0,2)$

$若X\sim N({\mu }_1,{\sigma }_1^2),Y\sim N({\mu }_2,{\sigma }_2^2),X、Y独立,则X+Y\sim N({\mu }_1+{\mu }_2,{\sigma }_1^2+{\sigma }_2^2)$

M = m a x { X , Y } , N = m i n { X , Y } M=max\{X,Y\},N=min\{X,Y\} M=max{X,Y},N=min{X,Y}

{ m a x { X , Y } ≤ z } = { X ≤ z , Y ≤ z } \{max\{X,Y\}\leq z\}=\{X\leq z,Y\leq z\} {max{X,Y}≤z}={X≤z,Y≤z}

F M ( z ) = P { M ≤ z } = P { X ≤ z , Y ≤ z } = P { X ≤ z } P { Y ≤ z } = F X ( z ) F Y ( z ) F_M(z)=P\{M\leq z\}=P\{X\leq z,Y\leq z\}=P\{X\leq z\}P\{Y\leq z\}=F_X(z)F_Y(z) FM​(z)=P{M≤z}=P{X≤z,Y≤z}=P{X≤z}P{Y≤z}=FX​(z)FY​(z)

F N ( z ) = P { N ≤ z } = 1 − P { N > z } = 1 − P { X > z , Y > z } = 1 − P { X > z } P { Y > z } = 1 − ( 1 − P { X ≤ z } ) ( 1 − P { Y ≤ z } ) = 1 − ( 1 − F X ( z ) ) ( 1 − F Y ( z ) ) F_N(z)=P\{N\leq z\}=1-P\{N>z\}=1-P\{X>z,Y>z\}\\=1-P\{X>z\}P\{Y>z\}\\=1-(1-P\{X\leq z\})(1-P\{Y\leq z\})\\=1-(1-F_X(z))(1-F_Y(z)) FN​(z)=P{N≤z}=1−P{N>z}=1−P{X>z,Y>z}=1−P{X>z}P{Y>z}=1−(1−P{X≤z})(1−P{Y≤z})=1−(1−FX​(z))(1−FY​(z))

X 、 Y 独 立 ， X 在 [ 0 , 1 ] 上 为 均 匀 分 布 ， Y 是 λ = 3 的 指 数 分 布 ， M = m a x { X , Y } , N = m i n { X , Y } X、Y独立，X在[0,1]上为均匀分布，Y是\lambda=3的指数分布，M=max\{X,Y\},N=min\{X,Y\} X、Y独立，X在[0,1]上为均匀分布，Y是λ=3的指数分布，M=max{X,Y},N=min{X,Y}

$f_X(x)=\{\begin{array}{rc}1& 0\le x\le 1\\ 0& else\end{array},f_Y(y)=\{\begin{array}{rc}3e^{-3y}& y>0\\ 0& y\le 0\end{array}$

$F_X(x)=\{\begin{array}{rc}0& x<0\\ x& 0<x<1\\ 1& x\ge 1\end{array},F_Y(y)=\{\begin{array}{rc}1-e^{-3y}& y>0\\ 0& y\le 0\end{array}$

M = m a x { X , Y } , F M ( z ) = { 0 z < 0 z ( 1 − e − 3 z ) 0 ≤ z < 1 1 − e − 3 z z ≥ 1 M=max\{X,Y\},F_M(z)=\left\{ \begin{array}{rcl} 0 & z<0 \\ z(1-e^{-3z}) & 0\leq z<1 \\1-e^{-3z} & z\geq 1 \end{array}\right. M=max{X,Y},FM​(z)=⎩⎨⎧​0z(1−e−3z)1−e−3z​z<00≤z<1z≥1​

$f_M(z)=\{\begin{array}{rc}0& z<0\\ z(1-e^{-3z}+3z{e}^{-3z})& 0\le z<1\\ 3e^{-3z}& z\ge 1\end{array}$

N = m i n { X , Y } , F N ( z ) = { 0 z < 0 1 − ( 1 − z ) e − 3 z 0 ≤ z < 1 1 z ≥ 1 N=min\{X,Y\},F_N(z)=\left\{ \begin{array}{rcl} 0 & z<0 \\ 1-(1-z)e^{-3z} & 0\leq z<1 \\1 & z\geq 1 \end{array}\right. N=min{X,Y},FN​(z)=⎩⎨⎧​01−(1−z)e−3z1​z<00≤z<1z≥1​

$f_N(z)=\{\begin{array}{rc}4e^{-3z}-3z{e}^{3z}& 0\le z<1\\ 0& else\end{array}$