1、均值E(X)
(1)E(X)=ΣX/n
(2)E(X±a)=E(X)±a
(3)E(aX)=aE(X)
(4)E(X±Y)=E(X)±E(Y)
(5)E(XY)=E(X)E(Y)
2、方差D(X)
(1)D(X)=E{(X-E(X))^2}
=E(X^2-2XE(X)+E(X)^2)
=E(X^2)-E(2XE(X))+E[E(X)^2)]
=E(X^2)-2E(X)^2+E(X)^2
=E(X^2)-E(X)^2
(2)D(X±a)=D(X)
(3)D(aX)=a^2D(X)
(4)D(X±Y)=D(X)+D(Y)±2E{[X-E(X)][Y-E(Y)]}=D(X)+D(Y)±2COV(X,Y)
当X、Y是两个相互独立的随机变量,则协方差为0,有D(X±Y)=D(X)+D(Y)。
3、协方差COV(X,Y)
(1)COV(X,Y)=E{[X-E(X)][Y-E(Y)]}
=E(XY)-E(X)E(Y)
(2)COV(X,Y)=COV(Y,X)
(3)COV(aX,bY)=abCOV(X,Y)
(4)COV(X1+X2,Y)=COV(X1,Y)+COV(X2,Y)
4、相关系数ρ(X,Y)
(1)ρ(X,Y)=COV(X,Y)/[D(X)D(Y)]^1/2
|ρ|<0.1时不相关,0.1≤|ρ|<0.3时为弱相关,0.3≤|ρ|<0.5时中度相关,0.5≤|ρ|<0.8时较强相关,|ρ|≥0.8时高度相关。
(2)若Y=a+b