常见分布期望和方差的推导

最新推荐文章于 2024-06-17 00:39:01 发布

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最新推荐文章于 2024-06-17 00:39:01 发布

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分类专栏：数学文章标签：概率论统计学

本文链接：https://blog.csdn.net/qq_44532173/article/details/106462776

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设有一个随机变量X, 其期望存在为E(X)，方差存在为D(X)
有结论 $D(X) = E(X^2) - [E(X)]^2$

1.二项分布

表达式：
$\text{\textasciitilde} b(n, p)\\ P\{X=k\} = {n \choose k}p^k(1-p)^{n-k}, \space k=0,1,2,...,n$

期望推导过程：
$\begin{aligned} E(X) = &\sum_{k=0}^nP\{X=k\}\sdot k = \sum_{k=1}^n{n \choose k}kp^k(1-p)^{n-k}={\sum_{k=1}^n}np{n-1 \choose k-1}p^{k-1}(1-p)^{n-k}\\ =&\space np\sum_{k=1}^n {n-1 \choose k-1}p^{k-1}(1-p)^{n-k} = np \end{aligned}$

这里面有2个变换：
$\choose k} = \frac n k {n-1 \choose k-1} \\ {n-1 \choose k-1}p^{k-1}(1-p)^{n-k} = (p+1-p)^{n-1} = 1$

方差的推导过程：
$\begin{aligned} E(X^2) &= \sum_{k=0}^nk^2{n \choose k}p^k(1-p)^{n-k} \quad 令 1-p = q\\ E(X^2) &= \sum_{k=1}^n k^2 {n \choose k} p^k q^{n-k} = \sum_{k=1}^n nk {n-1 \choose k-1} p^k q^{n-k}\\ &= \sum_{k=1}^n n(k -1 + 1){n-1 \choose k-1} p^k q^{n-k}\\ &= \sum_{k=1}^n n(k-1) {n-1 \choose k-1}p^k q^{n-k} \space + \sum_{k=1}^n np {n-1 \choose k-1} p^{k-1} q^{n-k}\\ &= \sum_{k=2}^n n(n-1) p^2 {n-2 \choose k-2} p^{k-2} q^{n-k} + np\\ &= n(n-1)p^2 + np\\ \\ D(X) &= E(X^2) - [E(X)^2]\\ &= n(n-1)p^2 + np -(np)^2\\ &= np(1-p) \end{aligned}$

2.泊松分布

表达式：
$\text{\textasciitilde} \pi(\lambda)\\ P\{X=k\} = \frac {\lambda^k e^{-\lambda}} {k!}, k=0,1,2,...$

期望推导过程：
$\begin{aligned} E(X) &= \sum_{k=0}^\infin k {\frac {\lambda^k e^{-\lambda} } {k!}} = \lambda e^{-\lambda} \sum_{k=1}^\infin {\frac {\lambda^{k-1}} {k!} } \\ &= \lambda e^{-\lambda} e^{\lambda}\\ &= \lambda\\ \end{aligned}$

这里也有一个变换(就是 e^x的泰勒展开式)：
$\sum_{k=0}^\infin {\frac {\lambda^{k}} {k!} } = e^{\lambda}$

方差推导过程：
$\begin{aligned} E(X^2) &= \sum_{k=0}^\infin k^2 {\frac {\lambda^k e^{-\lambda}} {k!}} = \sum_{k=1}^\infin k e^{-\lambda} \lambda \space {\frac {\lambda^{k-1}} {(k-1)!}} \\ &= \sum_{k=1}^\infin (k-1+1) \lambda e^{-\lambda} {\frac {\lambda^{k-1}} {(k-1)!}} \\ &= \sum_{k=1}^\infin (k-1) \lambda e^{-\lambda} {\frac {\lambda ^{k-1}} {(k-1)!}} \space + \lambda e^{-\lambda} \sum_{k=1}^\infin {\frac {\lambda^{k-1}} {(k-1)!}} \\ &= \lambda^2 e^{-\lambda} \sum_{k=2}^\infin {\frac {\lambda^{k-2}} {(k-2)!}} \space + \lambda \\ &= \lambda^2 + \lambda \\ \\ D(X) &= \lambda^2 + \lambda - \lambda^2 = \lambda \end{aligned}$

3.几何分布

表达式：
$\text{\textasciitilde} G(p)\\ P\{X=k\} = (1-p)^{k-1}p, \space k= 1, 2, 3, ...$

期望的推导：
$\begin{aligned} E(X) &= \sum_{k=1}^\infin k (1-p)^{k-1} p = p \sum_{k=1}^\infin k (1-p)^{k-1} \\ 令q = &1 - p, \space S = \sum_{k=1}^\infin kq^{k-1} \\ &\\ S = 1 &+ 2q + 3q^2 + 4q^{3} + ... + kq^{k-1}, k=\infin \qquad ① \\ qS = q&+ 2q^2 + 3q^3 + 4q^4 + ... + kq^k, k=\infin \qquad ② \\ ① - ②得 \quad &(1-q)S = 1+ q +q^2 + q^3 + ... + q^{k-1} - kq^k \\ S = & {\frac {1-q^k} {(1-q)^2} } - {\frac {kq^k} {1-q}} = {\frac 1 {(1-q)^2} } = \frac 1 {p^2}, \quad 这里因为k=\infin \\ \\ E(X) &= p {\frac 1 {p^2}} = {\frac 1 p} \\ \end{aligned}$

方差推导过程：
$\begin{aligned} E(X^2) &= \sum_{k=1}^\infin k^2 (1-p)^{k-1} p = p\sum_{k-1}^\infin k^2 {(1-p)}^{k-1} \\ 令1-p &= q \\ S &= \sum_{k=1}^\infin k^2 q^{k-1} = \sum_{k=1}^\infin (kq^k)' = {[\sum_{k=1}^\infin kq^n]}' \\ &= [\frac q {(1-q)^2}]' \\ &= \frac {(1-q)^2 + 2(1-q)q} {(1-q)^4} \\ &= \frac {2p - p^2} {p^4} \\ &= \frac {2-p} {p^3} \\ 所以 E(X^2) &= \frac {2-p} {p^2} \\ D(X) &= \frac {2-p} {p^2} - {(\frac 1 p)}^2 \\ &= \frac {1-p} {p^2}\\ \end{aligned}$

4.超几何分布

表达式：
$\text{\textasciitilde} H(n, K, N) \\ P\{X=k\} = {\frac {{K \choose k} {N-K \choose n-k} } {N \choose n} } \\$

期望推导过程：
$\begin{aligned} E(X) &= \sum_{k=0}^n k {\frac {{K \choose k} {N-K \choose n-k} } {N \choose n}} \\ &= {\frac {Kn} {N}} \sum_{k=1}^n {\frac {{K-1 \choose k-1} {N-K \choose n-k}} {N-1 \choose n-1}} \\ &= {\frac {Kn} {N}}\\ \end{aligned}$

方差的推导过程：
$\begin{aligned} E(X^2) &= \sum_{k=0}^n k^2 {\frac {{K \choose k} {N-K \choose n-k}} {N \choose n} } \\ &= {\frac {Kn} {N}} \sum_{k=1}^n (k-1+1) {\frac { {K-1 \choose k-1} {N-K \choose n-k} } {N-1 \choose n-1} } \\ &={\frac {Kn} {N}} [ \sum_{k=1}^n (k-1){\frac { {K-1 \choose k-1} {N-K \choose n-k} } {N-1 \choose n-1}} + \sum_{k=1}^n{\frac { {K-1 \choose k-1} {N-K \choose n-k} } {N-1 \choose n-1}} ] \\ &= {\frac {Kn} {N}} [{\frac {(K-1)(n-1)} {N-1}}\sum_{k=2}^n {\frac { {K-2 \choose k-2} {N-K \choose n-k} } {N-2 \choose n-2}} + 1] \\ &= {\frac {Kn} {N}}[{\frac {(K-1)(n-1)} {N-1}} +1] \\ \\ D(X) &= {\frac {Kn} {N}}[{\frac {(K-1)(n-1)} {N-1}} +1] - ({\frac {Kn} N})^2 \\ &= {\frac {Kn} {N}} {\frac {(N-K)(N-n)} {N(N-1)}} \\ \end{aligned}$