概率论几大分布的期望和方差证明整合

前言

简介

       本文是对概率论中常见分布包括二项分布、0-1分布、泊松分布、均匀分布、正态分布、指数分布的期望和方差的证明整合，附加自己的推导或理解。

导览

      二项分布 (Binomial Distribution)
      泊松分布 (Poisson’s Distribution)
      均匀分布 (Uniform Distribution)
      正态分布 (Normal Distribution)
      指数分布 (Exponential Distribution)

总结

      二项分布 (Binomial Distribution) X~B(n,p)：E(X)=np，D(X)=np(1-p)=npq 。
      0-1分布 X~B(1,p)：E(X)=p，D(X)=p(1-p)=pq 。
      泊松分布 (Poisson’s Distribution) X~P($\lambda$)：E(X)=λ，D(X)=λ 。
      均匀分布 (Uniform Distribution) X~U(a,b) ：E(X)=$(a+b)/2$，D(X)=$(b-a{)}^2/12$ 。
      正态分布 (Normal Distribution) X~N(μ,σ)：E(X)=μ，D(X)=${\sigma }^2$。
      指数分布 (Exponential Distribution)X~Γ(1,β)：E(X)=$1/\lambda$，D(X)=$1/{\lambda }^2$ 。

正文

二项分布 (Binomial Distribution) From QUETAL and chs007chs

Part Ⅰ From QUETAL

X~B(n,p)

分布律：$P(X=k)=\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k}，k=0,1,2,..,n，q=1-p$
期望：
$$\begin{gathered} EX=\sum _{k=0}^{n}k\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k} \\ =\sum _{k=1}^{n}k\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k} \\ =\sum _{k=1}^{n}k\frac{n!}{k!(n-k)!}{p}^k{q}^{n-k} \\ =np\sum _{k=1}^n\frac{(n-1)!}{(k-1)!(n-k)!}{p}^{k-1}{q}^{(n-1)-(k-1)} \\ =np\sum _{k=1}^n\left(\genfrac{}{}{0ex}{}{n-1}{k-1}\right)p^{k-1}{q}^{(n-1)-(k-1)} \\ =np[(\genfrac{}{}{0ex}{}{n-1}{0})p^0{q}^{n-1}+(\genfrac{}{}{0ex}{}{n-1}{1})p^1{q}^{n-2}+...+(\genfrac{}{}{0ex}{}{n-1}{n-1})p^{n-1}{q}^0] \\ =np \end{gathered}$$
方差：$DX=E{X}^2-(EX{)}^2$
计算EX^2：
$$\begin{gathered} E{X}^2=\sum _{k=1}^n{k}^2\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k},k=0,1,2,..,n,q=1-p \\ =\sum _{k=1}^n[k(k-1)+k]\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k} \\ =\sum _{k=1}^{n}k(k-1)\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k}+\sum _{k=1}^{n}k\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k} \\ 其中，\sum _{k=1}^{n}k\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k}=EX=np \\ \sum _{k=1}^{n}k(k-1)\left(\genfrac{}{}{0ex}{}{n}{k}\right)p^k{q}^{n-k} \\ =\sum _{k=1}^{n}k(k-1)\frac{n!}{k!(n-k)!}{p}^2{p}^{k-2}{q}^{n-k} \\ =\sum _{k=2}^{n}k(k-1)\frac{n!}{k!(n-k)!}{p}^2{p}^{k-2}{q}^{n-k} \end{gathered}$$注：特别注意这里k=1时项为0，所以可以从k=2开始计算。$$\begin{gathered} =\sum _{k=1}^n\frac{n(n-1)(n-2)!}{(k-2)!(n-k)!}{p}^2{p}^{k-2}{q}^{[(n-2)-(k-2)]} \\ =n(n-1)p^2\sum _{k=2}^n\frac{(n-2)!}{(k-2)!(n-k)!}{p}^{k-2}{q}^{[(n-2)-(k-2)]} \\ =n(n-1)p^2\sum _{k=2}^n\left(\genfrac{}{}{0ex}{}{n-2}{k-2}\right)p^{k-2}{q}^{[(n-2)-(k-2)]} \\ =n(n-1)p^2 \\ \to E{X}^2=n(n-1)p^2+np \end{gathered}$$$$\to DX=E{X}^2-(EX{)}^2=np-n{p}^2=np(1-p)$$

Part Ⅱ 0-1分布 From chs007chs

X~B(1,p)

也可以从上式直接推导得到

泊松分布 (Poisson’s Distribution) From saltriver

X~P($\lambda$)

分布律：$P(X=k)=\frac{{\lambda }^k{e}^{-\lambda }}{k!}$
期望：
$$E(X)=\sum _{k=0}^{\infty }k\cdot \frac{{\lambda }^k{e}^{-\lambda }}{k!}$$$$因为k=0时，k\cdot \lambda ke-\lambda k!=0$$$$E(X)=\sum _{k=1}^{\infty }k\cdot \frac{{\lambda }^k{e}^{-\lambda }}{k!}$$$$E(X)=\sum _{k=1}^{\infty }k\cdot \frac{{\lambda }^k{e}^{-\lambda }}{k!}=\sum _{k=1}^{\infty }\frac{{\lambda }^k{e}^{-\lambda }}{(k-1)!}=\sum _{k=1}^{\infty }\frac{{\lambda }^{k-1}\lambda e^{-\lambda }}{(k-1)!}=\lambda e^{-\lambda }\sum _{k=1}^{\infty }\frac{{\lambda }^{k-1}}{(k-1)!}$$$$用到泰勒展开式：e^x=1+x+\frac{x^2}{2!}+\frac{x^3}{3!}+...+\frac{x^n}{n!}+...=\sum _{k=1}^{\infty }\frac{x^{k-1}}{(k-1)!}$$$$E(X)=\lambda e^{-\lambda }\sum _{k=1}^{\infty }\frac{{\lambda }^{k-1}}{(k-1)!}=\lambda e^{-\lambda }{e}^{\lambda }=\lambda$$
方差：$DX=E{X}^2-(EX{)}^2$
计算EX^2：
$$E(X^2)=\sum _{k=0}^{\infty }{k}^2\cdot \frac{{\lambda }^k{e}^{-\lambda }}{k!}=\lambda e^{-\lambda }\sum _{k=1}^{\infty }\frac{k{\lambda }^{k-1}}{(k-1)!}=\lambda e^{-\lambda }\sum _{k=1}^{\infty }\frac{(k-1+1){\lambda }^{k-1}}{(k-1)!}$$$$=\lambda e^{-\lambda }(\sum _{m=0}^{\infty }\frac{m\cdot {\lambda }^m}{m!}+\sum _{m=0}^{\infty }\frac{{\lambda }^m}{m!})(m=k-1)$$$$=\lambda e^{-\lambda }(\lambda \cdot \sum _{m=1}^{\infty }\frac{{\lambda }^{m-1}}{(m-1)!}+\sum _{m=0}^{\infty }\frac{{\lambda }^m}{m!})$$$$=\lambda e^{-\lambda }(\lambda e^{\lambda }+e^{\lambda })=\lambda (\lambda +1)$$$$\to D(X)=E(X^2)-(E(X){)}^2=\lambda (\lambda +1)-{\lambda }^2=\lambda$$

均匀分布 (Uniform Distribution) From chs007chs

X~U(a,b)

推导较为简单。

正态分布 (Normal Distribution) From 一只驽马

X~N(μ,σ)

概率密度函数：$f_X(x)=\frac{1}{\sigma \sqrt{2\pi }}\exp \left\{-\frac{(x-\mu {)}^2}{2{\sigma }^2}\right\}$

期望：$E(x)=\mu {\int }_{-\infty }^{+\infty }\mathcal{N}(x|{\mu }^{\prime }=0,{\sigma }^2)dx=\mu$

方差：$\Rightarrow V(X)={\sigma }^2\frac{4}{\sqrt{\pi }}\frac{1}{2}\frac{\sqrt{\pi }}{2}={\sigma }^2$

指数分布 (Exponential Distribution) From saltriver

X~Γ(1,β)

概率密度函数：
期望：
$$\begin{gathered} E(X)={\int }_{-\infty }^{\infty }|x|f(x)dx={\int }_0^{\infty }xf(x)dx={\int }_0^{\infty }x\cdot \lambda e^{-\lambda x}dx=\frac{1}{\lambda }{\int }_0^{\infty }\lambda x{e}^{-\lambda x}d\lambda x \\ 令u=\lambda x，E(X)=\frac{1}{\lambda }{\int }_0^{\infty }u{e}^{-u}du=\frac{1}{\lambda }[(-e^{-u}-u{e}^{-u})|(\infty ,0)]=\frac{1}{\lambda } \end{gathered}$$
方差：$DX=E{X}^2-(EX{)}^2$
计算EX^2：
$$\begin{gathered} E(X^2)={\int }_{-\infty }^{\infty }|x^2|f(x)dx={\int }_0^{\infty }{x}^{2}f(x)dx={\int }_0^{\infty }{x}^2\cdot \lambda e^{-\lambda x}dx \\ E(X^2)=\frac{1}{{\lambda }^2}{\int }_0^{\infty }\lambda x\lambda x{e}^{-\lambda x}d\lambda x \\ 令u=\lambda x，E(X^2)=\frac{1}{{\lambda }^2}{\int }_0^{\infty }{u}^2{e}^{-u}du=\frac{1}{{\lambda }^2}[(-2e^{-u}-2u{e}^{-u}-u^2{e}^{-u})|(\infty ,0)]=\frac{1}{{\lambda }^2}\cdot 2=\frac{2}{{\lambda }^2} \\ \to D(X)=E(X^2)-(E(X){)}^2=\frac{2}{{\lambda }^2}-(\frac{1}{\lambda }{)}^2=\frac{1}{{\lambda }^2} \end{gathered}$$