附录一 常见概率分布及相关公式

附一  几种常用的概率分布表

分布	参数	分布律或概率密度	数学期望	方差
（0-1）分布	$0<p<1$	P { X = k } = p k ( 1 − p ) 1 − k , k = 0 , 1 P\{X=k\}=p^k(1-p)^{1-k},k=0,1 P{X=k}=pk(1−p)1−k,k=0,1	$p$	$p(1-p)$
二项分布	$$\begin{gathered} n⩾1 \\ 0<p<1 \end{gathered}$$	P { X = k } = ( n k ) p k ( 1 − p ) n − k k = 0 , 1 , ⋯   , n \begin{aligned}P\{X=k\}&=\dbinom{n}{k}p^k(1-p)^{n-k}\\k&=0,1,\cdots,n\end{aligned} P{X=k}k​=(kn​)pk(1−p)n−k=0,1,⋯,n​	$np$	$np(1-p)$
负二项分布 （巴斯卡分布）	$$\begin{gathered} r⩾1 \\ 0<p<1 \end{gathered}$$	P { X = k } = ( k − 1 r − 1 ) p r ( 1 − p ) k − r k = r , r + 1 , ⋯ \begin{aligned}P\{X=k\}&=\dbinom{k-1}{r-1}p^r(1-p)^{k-r}\\k&=r,r+1,\cdots\end{aligned} P{X=k}k​=(r−1k−1​)pr(1−p)k−r=r,r+1,⋯​	$\frac{r}{p}$	$\frac{r(1-p)}{p^2}$
几何分布	$0<p<1$	P { X = k } = p k − 1 ( 1 − p ) k = 0 , 1 , ⋯ \begin{aligned}P\{X=k\}&=p^{k-1}(1-p)\\k&=0,1,\cdots\end{aligned} P{X=k}k​=pk−1(1−p)=0,1,⋯​	$\frac{1}{p}$	$\frac{1-p}{p^2}$
超几何分布	$$\begin{gathered} N,M,n \\ (M⩽N) \\ (n⩽N) \end{gathered}$$	P { X = k } = ( M k ) ( N − M n − k ) ( N k ) k 为整数 , max ⁡ { 0 , n − N + M } ⩽ k ⩽ min ⁡ { n , M } P\{X=k\}=\cfrac{\dbinom{M}{k}\dbinom{N-M}{n-k}}{\dbinom{N}{k}}\\k\text{为整数},\max\{0,n-N+M\}\leqslant k\leqslant\min\{n,M\} P{X=k}=(kN​)(kM​)(n−kN−M​)​k为整数,max{0,n−N+M}⩽k⩽min{n,M}	$\frac{nM}{N}$	$\frac{nM}{N}\left(1-\frac{M}{N}\right)\left(\frac{N-n}{N-1}\right)$
泊松分布	$\lambda >0$	P { X = k } = λ k e − λ k ! k = 0 , 1 , 2 , ⋯ P\{X=k\}=\cfrac{\lambda^ke^{-\lambda}}{k!}\\k=0,1,2,\cdots P{X=k}=k!λke−λ​k=0,1,2,⋯	$\lambda$	$\lambda$
均匀分布	$a<b$	$f(x)=\{\begin{array}{ll}\frac{1}{b-a},& a<x<b\\ 0,& \text{其他}\end{array}$	$\frac{a+b}{2}$	$\frac{(b-a{)}^2}{12}$
正态分布	$$\begin{gathered} \mu \\ \sigma >0 \end{gathered}$$	$f(x)=\frac{1}{\sqrt{2\pi }\sigma }{e}^{-(x-\mu {)}^2/(2{\sigma }^2)}$	$\mu$	${\sigma }^2$
$\Gamma$分布	$$\begin{gathered} \alpha >0 \\ \beta >0 \end{gathered}$$	$f(x)=\{\begin{array}{ll}\frac{1}{{\beta }^{\alpha }\Gamma (\alpha )}{x}^{\alpha -1}{e}^{-x/\beta },& x>0\\ 0,& \text{其他}\end{array}$	$\alpha \beta$	$\alpha {\beta }^2$
指数分布 （负指数分布）	$\theta >0$	$f(x)=\{\begin{array}{ll}\frac{1}{\theta }{e}^{-x/\theta },& x>0\\ 0,& \text{其他}\end{array}$	$\theta$	${\theta }^2$
${\chi }^2$分布	$n⩾1$	$f(x)=\{\begin{array}{ll}\frac{1}{2^{n/2}\Gamma (n/2)}{x}^{n/2-1}{e}^{-x/2},& x>0\\ 0,& \text{其他}\end{array}$	$n$	$2n$
韦布尔分布	$$\begin{gathered} \eta >0 \\ \beta >0 \end{gathered}$$	$f(x)=\{\begin{array}{ll}\frac{\beta }{\eta }{\left(\frac{x}{\eta }\right)}^{\beta -1}{e}^{-(x/\eta {)}^{\beta }},& x>0\\ 0,\text{其他}& \end{array}$	$\eta \Gamma \left(\frac{1}{\beta }+1\right)$	$\eta \left\{\Gamma \left(\frac{2}{\beta }+1\right)-{\left[\Gamma \left(\frac{1}{\beta }+1\right)\right]}^2\right\}$
瑞利分布	$\sigma >0$	$f(x)=\{\begin{array}{ll}\frac{x}{{\sigma }^2}{e}^{-x^2/(2{\sigma }^2)},& x>0\\ 0,& \text{其他}\end{array}$	$\sqrt{\frac{\pi }{2}}\sigma$	$\frac{4-\pi }{2}{\sigma }^2$
$\beta$分布	$$\begin{gathered} \alpha >0 \\ \beta >0 \end{gathered}$$	$f(x)=\{\begin{array}{ll}\frac{\Gamma (\alpha +\beta )}{\Gamma (\alpha )\Gamma (\beta )}{x}^{\alpha -1}(1-x{)}^{\beta -1},& 0<x<1\\ 0,& \text{其他}\end{array}$	$\frac{\alpha }{\alpha +\beta }$	$\frac{\alpha \beta }{(\alpha +\beta {)}^2(\alpha +\beta +1)}$
对数 正态分布	$$\begin{gathered} \mu \\ \sigma >0 \end{gathered}$$	$f(x)=\{\begin{array}{ll}\frac{1}{\sqrt{2\pi }\sigma x}{e}^{-(\ln x-\mu {)}^2/(2{\sigma }^2)},& x>0\\ 0,& \text{其他}\end{array}$	$e^{\mu +\frac{{\sigma }^2}{2}}$	$e^{2\mu +{\sigma }^2}(e^{{\sigma }^2}-1)$
柯西分布	$$\begin{gathered} a \\ \lambda >0 \end{gathered}$$	$f(x)=\frac{1}{\pi }\frac{1}{{\lambda }^2+(x-a{)}^2}$	不存在	不存在
$t$分布	$n⩾1$	$f(x)=\frac{\Gamma \left(\frac{n+1}{2}\right)}{\sqrt{n\pi }\Gamma (n/2)}{\left(1+\frac{x^2}{n^2}\right)}^{-(n+1)/2}$	$0,n>1$	$\frac{n}{n-2},n>2$
$F$分布	$n_1,n_2$	$f(x)=\{\begin{array}{ll}\frac{\Gamma [(n_1+n_2)/2]}{\Gamma (n_1/2)\Gamma (n_2/2)}\left(\frac{n_1}{n_2}\right){\left(\frac{n_1}{n_2}x\right)}^{n_1/2-1}& \\ {\left(1+\frac{n_1}{n_2}x\right)}^{-(n_1+n_2)/2}& x>0\\ 0,& \text{其他}\end{array}$	$$\begin{gathered} \frac{n_2}{n_2-2} \\ {n}_2>2 \end{gathered}$$	$$\begin{gathered} \frac{2n_2^2(n_1+n_2-2)}{n_1(n_2-2{)}^2(n_2-4)} \\ {n}_2>4 \end{gathered}$$

附二  大数定律及中心极限定理

1. 切比雪夫不等式：设随机变量$X$具有数学期望$E(X)=\mu$，方差$D(X)={\sigma }^2$，则对于任意正数$ϵ$，不等式 P { ∣ X − μ ∣ ⩾ ϵ } ⩽ σ 2 ϵ 2 P\{|X-\mu|\geqslant\epsilon\}\leqslant\cfrac{\sigma^2}{\epsilon^2} P{∣X−μ∣⩾ϵ}⩽ϵ2σ2​成立。
2. 切比雪夫大数定律：设相互独立的随机变量$X_1,X_2,\cdots ,X_n,\cdots$，分别具有数学期望$E(X_i)={\mu }_i$及方差$D(X_i)={\sigma }_i^2$，若存在参数$C$，使$D(X_i)⩽C,k=1,2,\cdots$，则对于任意正数$ϵ$，不等式$$\underset{n\to \infty }{\lim }P\left\{\left|\frac{1}{n}\sum _{i-1}^n{X}_i-\frac{1}{n}\sum _{i=1}^n{\mu }_i\right|<ϵ\right\}=1$$成立。特别地，当$X_1,X_2,\cdots ,X_n,\cdots$有相同的数学期望$\mu$时，则有$\underset{n\to \infty }{\lim }P\left\{\left|\frac{1}{n}\sum _{i-1}^n{X}_i-\mu \right|<ϵ\right\}=1$。
3. 辛钦大数定律（弱大数定律）：设$X_1,X_2,\cdots$是相互独立，服从同一分布的随机变量序列，且具有数学期望$E(X_k)=\mu (k=1,2,\cdots )$。做前$n$个变量的算术平均$\frac{1}{n}\sum _{k=1}^n{X}_k$，则对于任意$ϵ>0$，有$$\underset{n\to \infty }{\lim }P\left\{\left|\frac{1}{n}\sum _{i-1}^n{X}_i-\mu \right|<ϵ\right\}=1.$$
4. 伯努利大数定律：设$f_A$是$n$次独立重复实验中事件$A$发生的次数，$p$是事件$A$在每次实验中发生的概率，则对于任意正数$ϵ>0$，有$$\underset{n\to \infty }{\lim }P\left\{\left|\frac{f_A}{n}-p\right|<ϵ\right\}=1$$或$$\underset{n\to \infty }{\lim }P\left\{\left|\frac{f_A}{n}-p\right|⩾ϵ\right\}=0.$$
5. 列维-林德伯格定理（独立同分布的中心极限定理）：设随机变量$X_1,X_2,\cdots ,X_n,\cdots$相互独立，服从同一分布，且具有数学期望和方差：$E(X_k)=\mu ,D(X_k)={\sigma }^2>0(k=1,2,\cdots )$，则随机变量之和$\sum _{k=1}^n{X}_k$的标准化变量$$Y_n=\frac{\sum _{k=1}^n{X}_k-E(\sum _{k=1}^n{X}_k)}{\sqrt{D(\sum _{k=1}^n{X}_k)}}=\frac{\sum _{k=1}^n{X}_k-n\mu }{\sqrt{n}\sigma }$$的分布函数$F_n(x)$对于任意$x$满足$$\begin{array}{rl}\underset{n\to \infty }{\lim }{F}_n(x)& =\underset{n\to \infty }{\lim }P\left\{\frac{\sum _{k=1}^n{X}_k-n\mu }{\sqrt{n}\sigma }⩽x\right\}\\ & ={\int }_{-\infty }^x\frac{1}{\sqrt{2\pi }}{e}^{-t^2/2}\mathrm{d}t=\Phi (x).\end{array}$$
6. 李雅普诺夫定理：设随机变量$X_1,X_2,\cdots ,X_n,\cdots$相互独立，且具有数学期望和方差：$E(X_k)={\mu }_k,D(X_k)={\sigma }_k^2>0(k=1,2,\cdots )$。记$B_n^2=\sum _{k=1}^n{\sigma }_k^2$，若存在正数$\delta$，使得当$n\to \infty$时， 1 B n 2 + δ ∑ k = 1 n E { ∣ X k − μ k ∣ 2 + δ } → 0 \cfrac{1}{B_n^{2+\delta}}\sum^n\limits_{k=1}E\{|X_k-\mu_k|^{2+\delta}\}\to0 Bn2+δ​1​k=1∑n​E{∣Xk​−μk​∣2+δ}→0，则随机变量之和$\sum _{k=1}^n{X}_k$的标准化变量$$Z_n=\frac{\sum _{k=1}^n{X}_k-E(\sum _{k=1}^n{X}_k)}{\sqrt{D(\sum _{k=1}^n{X}_k)}}=\frac{\sum _{k=1}^n{X}_k-\sum _{k=1}^n{\mu }_k}{B_n}$$的分布函数$F_n(x)$对于任意$x$满足$$\begin{array}{rl}\underset{n\to \infty }{\lim }{F}_n(x)& =\underset{n\to \infty }{\lim }P\left\{\frac{\sum _{k=1}^n{X}_k-\sum _{k=1}^n{\mu }_k}{B_n}⩽x\right\}\\ & ={\int }_{-\infty }^x\frac{1}{\sqrt{2\pi }}{e}^{-t^2/2}\mathrm{d}t=\Phi (x).\end{array}$$
7. 棣莫弗-拉普拉斯定理：设随机变量${\eta }_n(n=1,2,\cdots )$服从参数为$n,p(0<p<1)$的二项分布，则对于任意$x$，有$$\underset{n\to \infty }{\lim }P\left\{\frac{{\eta }_n-np}{\sqrt{np(1-p)}}⩽x\right\}={\int }_{-\infty }^x\frac{1}{\sqrt{2\pi }}{e}^{-t^2/2}\mathrm{d}t=\Phi (x).$$

附三  正态总体均值、方差的置信区间与单侧置信限（置信水平为$1-\alpha$）

1. 一个正态总体：

待估参数	其他参数	枢轴量的分布	置信区间	单侧置信限
$\mu$	${\sigma }^2$已知	$Z=\frac{\overline{X}-\mu }{\sigma /\sqrt{n}}\sim N(0,1)$	$\left(\overline{X}\pm \frac{\sigma }{\sqrt{n}}{z}_{\alpha /2}\right)$	$\overline{\mu }=\overline{X}+\frac{\sigma }{\sqrt{n}}{z}_{\alpha }\underline{\mu }=\overline{X}-\frac{\sigma }{\sqrt{n}}{z}_{\alpha }$
$\mu$	${\sigma }^2$未知	$t=\frac{\overline{X}-\mu }{S/\sqrt{n}}\sim t(n-1)$	$\left(\overline{X}\pm \frac{S}{\sqrt{n}}{t}_{\alpha /2}(n-1)\right)$	$\overline{\mu }=\overline{X}+\frac{S}{\sqrt{n}}{t}_{\alpha }(n-1)\underline{\mu }=\overline{X}-\frac{S}{\sqrt{n}}{t}_{\alpha }(n-1)$
${\sigma }^2$	$\mu$未知	${\chi }^2=\frac{(n-1)S^2}{{\sigma }^2}\sim {\chi }^2(n-1)$	$\left(\frac{(n-1)S^2}{{\chi }_{\alpha /2}^2(n-1)},\frac{(n-1)S^2}{{\chi }_{1-\alpha /2}^2(n-1)}\right)$	$\overline{{\sigma }^2}=\frac{(n-1)S^2}{{\chi }_{1-\alpha }^2(n-1)}\underline{{\sigma }^2}=\frac{(n-1)S^2}{{\chi }_{\alpha }^2(n-1)}$

2. 两个正态总体：

待估参数	其他参数	枢轴量的分布	置信区间	单侧置信限
${\mu }_1-{\mu }_2$	${\sigma }_1^2,{\sigma }_2^2$ 已知	$Z=\frac{\overline{X}-\overline{Y}-({\mu }_1-{\mu }_2)}{\sqrt{\frac{{\sigma }_1^2}{n_1}+\frac{{\sigma }_2^2}{n_2}}}\sim N(0,1)$	$\left(\overline{X}-\overline{Y}\pm z_{\alpha /2}\sqrt{\frac{{\sigma }_1^2}{n_1}+\frac{{\sigma }_2^2}{n_2}}\right)$	$$\begin{gathered} \overline{{\mu }_1-{\mu }_2}=\overline{X}-\overline{Y}+z_{\alpha }\sqrt{\frac{{\sigma }_1^2}{n_1}+\frac{{\sigma }_2^2}{n_2}} \\ \underline{{\mu }_1-{\mu }_2}=\overline{X}-\overline{Y}-z_{\alpha }\sqrt{\frac{{\sigma }_1^2}{n_1}+\frac{{\sigma }_2^2}{n_2}} \end{gathered}$$
${\mu }_1-{\mu }_2$	${\sigma }_1^2={\sigma }_2^2={\sigma }^2$ 未知	$$\begin{gathered} t=\frac{\overline{X}-\overline{Y}-({\mu }_1-{\mu }_2)}{S_w\sqrt{\frac{1}{n_1}+\frac{1}{n_2}}}\sim t(n_1+n_2-2) \\ {S}_w^2=\frac{(n_1-1)S_1^2+(n_2-1)S_2^2}{n_1+n_2-2} \end{gathered}$$	$\left(\overline{X}-\overline{Y}\pm t_{\alpha /2}(n_1+n_2-2)S_w\sqrt{\frac{1}{n_1}+\frac{1}{n_2}}\right)$	$$\begin{gathered} \overline{{\mu }_1-{\mu }_2}=\overline{X}-\overline{Y}+t_{\alpha }(n_1+n_2-2)S_w\sqrt{\frac{1}{n_1}+\frac{1}{n_2}} \\ \underline{{\mu }_1-{\mu }_2}=\overline{X}-\overline{Y}-t_{\alpha }(n_1+n_2-2)S_w\sqrt{\frac{1}{n_1}+\frac{1}{n_2}} \end{gathered}$$
$\frac{{\sigma }_1^2}{{\sigma }_2^2}$	${\mu }_1,{\mu }_2$ 未知	$F=\frac{S_1^2/S_2^2}{{\sigma }_1^2/{\sigma }_2^2}\sim F(n_1-1,n_2-1)$	$\left(\frac{S_1^2}{S_2^2}\frac{1}{F_{\alpha /2}(n_1-1,n_2-1)},\frac{S_1^2}{S_2^2}\frac{1}{F_{1-\alpha /2}(n_1-1,n_2-1)}\right)$	$$\begin{gathered} \overline{\frac{{\sigma }_1^2}{{\sigma }_2^2}}=\frac{S_1^2}{S_2^2}\frac{1}{F_{1-\alpha }(n_1-1,n_2-1)} \\ \underline{\frac{{\sigma }_1^2}{{\sigma }_2^2}}=\frac{S_1^2}{S_2^2}\frac{1}{F_{\alpha }(n_1-1,n_2-1)} \end{gathered}$$

正态总体均值、方差的检验法（显著性水平为$\alpha$）

	原假设$H_0$	检验统计量	备选假设$H_1$	拒绝域
$1$	$$\begin{gathered} \mu ⩽{\mu }_0 \\ \mu ⩾{\mu }_0 \\ \mu ={\mu }_0 \\ ({\sigma }^2\text{已知}) \end{gathered}$$	$Z=\frac{\overline{X}-{\mu }_0}{\sigma /\sqrt{n}}$	$$\begin{gathered} \mu >{\mu }_0 \\ \mu <{\mu }_0 \\ \mu \ne {\mu }_0 \end{gathered}$$	$$\begin{gathered} z⩾z_{\alpha } \\ z⩽-z_{\alpha } \\ |z|⩾z_{\alpha /2} \end{gathered}$$
$2$	$$\begin{gathered} \mu ⩽{\mu }_0 \\ \mu ⩾{\mu }_0 \\ \mu ={\mu }_0 \\ ({\sigma }^2\text{未知}) \end{gathered}$$	$t=\frac{\overline{X}-{\mu }_0}{S/\sqrt{n}}$	$$\begin{gathered} \mu >{\mu }_0 \\ \mu <{\mu }_0 \\ \mu \ne {\mu }_0 \end{gathered}$$	$$\begin{gathered} t⩾t_{\alpha }(n-1) \\ t⩽-t_{\alpha }(n-1) \\ |t|⩾t_{\alpha /2}(n-1) \end{gathered}$$
$3$	$$\begin{gathered} {\mu }_1-{\mu }_2⩽\delta \\ {\mu }_1-{\mu }_2⩾\delta \\ {\mu }_1-{\mu }_2=\delta \\ ({\sigma }_1^2,{\sigma }_2^2\text{已知}) \end{gathered}$$	$Z=\frac{\overline{X}-\overline{Y}-\delta }{\sqrt{\frac{{\sigma }_1^2}{n_1}+\frac{{\sigma }_2^2}{n_2}}}$	$$\begin{gathered} {\mu }_1-{\mu }_2>\delta \\ {\mu }_1-{\mu }_2<\delta \\ {\mu }_1-{\mu }_2\ne \delta \end{gathered}$$	$$\begin{gathered} z⩾z_{\alpha } \\ z⩽-z_{\alpha } \\ |z|⩾z_{\alpha /2} \end{gathered}$$
$4$	$$\begin{gathered} {\mu }_1-{\mu }_2⩽\delta \\ {\mu }_1-{\mu }_2⩾\delta \\ {\mu }_1-{\mu }_2=\delta \\ ({\sigma }_1^2={\sigma }_2^2={\sigma }^2\text{已知}) \end{gathered}$$	$$\begin{gathered} t=\frac{\overline{X}-\overline{Y}-({\mu }_1-{\mu }_2)}{S_w\sqrt{\frac{1}{n_1}+\frac{1}{n_2}}} \\ {S}_w^2=\frac{(n_1-1)S_1^2+(n_2-1)S_2^2}{n_1+n_2-2} \end{gathered}$$	$$\begin{gathered} {\mu }_1-{\mu }_2>\delta \\ {\mu }_1-{\mu }_2<\delta \\ {\mu }_1-{\mu }_2\ne \delta \end{gathered}$$	$$\begin{gathered} t⩾t_{\alpha }(n_1+n_2-1) \\ t⩽-t_{\alpha }(n_1+n_2-1) \\ |t|⩾t_{\alpha /2}(n_1+n_2-1) \end{gathered}$$
$5$	$$\begin{gathered} {\sigma }^2⩽{\sigma }_0^2 \\ {\sigma }^2⩾{\sigma }_0^2 \\ {\sigma }^2={\sigma }_0^2 \\ (\mu \text{未知}) \end{gathered}$$	${\chi }^2=\frac{(n-1)S^2}{{\sigma }_0^2}$	$$\begin{gathered} {\sigma }^2>{\sigma }_0^2 \\ {\sigma }^2<{\sigma }_0^2 \\ {\sigma }^2\ne {\sigma }_0^2 \end{gathered}$$	$$\begin{gathered} {\chi }^2⩾{\chi }_{\alpha }^2(n-1) \\ {\chi }^2⩽{\chi }_{1-\alpha }^2(n-1) \\ {\chi }^2⩾{\chi }_{\alpha /2}^2(n-1)\text{或} \\ {\chi }^2⩽{\chi }_{1-\alpha /2}^2(n-1) \end{gathered}$$
$6$	$$\begin{gathered} {\sigma }_1^2⩽{\sigma }_2^2 \\ {\sigma }_1^2⩾{\sigma }_2^2 \\ {\sigma }_1^2={\sigma }_2^2 \\ ({\mu }_1,{\mu }_2\text{未知}) \end{gathered}$$	$F=\frac{S_1^2}{S_2^2}$	$$\begin{gathered} {\sigma }_1^2>{\sigma }_2^2 \\ {\sigma }_1^2<{\sigma }_2^2 \\ {\sigma }_1^2\ne {\sigma }_2^2 \end{gathered}$$	$$\begin{gathered} F⩾F_{\alpha }(n-1) \\ F⩽F_{1-\alpha }(n-1) \\ F⩾F_{\alpha /2}(n-1)\text{或} \\ F⩽F_{1-\alpha /2}(n-1) \end{gathered}$$