66 篇文章 19 订阅

# 随机变量的变换

## 一元随机变量的变换

F Y ( y ) = P ( Y ≤ y ) = P ( g ( X ) ≤ y ) = P ( X ∈ g − 1 ( Y ≤ y ) ) F_Y(y) = P(Y \le y) = P(g(X) \le y) = P(X \in g^{-1}(Y \le y))
g g 不是单调函数时需要按这个一般性的方法计算。假设 g g 为单调递增的函数，定义 h = g − 1 h=g^{-1}
F Y ( y ) = P ( X ≤ h ( y ) ) = F X ( h ( y ) ) f Y ( y ) = f X ( h ( y ) ) h ′ ( y ) F_Y(y) = P(X \le h(y)) = F_X(h(y)) \\ f_Y(y) = f_X(h(y))h^{'}(y)

F Y ( y ) = P ( X > h ( y ) ) = 1 − F X ( h ( y ) ) f Y ( y ) = − f X ( h ( y ) ) h ′ ( y ) F_Y(y) = P(X > h(y)) = 1- F_X(h(y)) \\ f_Y(y) = -f_X(h(y))h^{'}(y)

f Y ( y ) = f X ( h ( y ) ) ∣ h ′ ( y ) ∣ f_Y(y) = f_X(h(y))|h^{'}(y)|

## 多元随机变量的变换

∫ D X f X ( x ) d x = 1 \int_{\mathbb{D}_X} f_X(x) dx = 1

∫ D Y f X ( h ( y ) ) ∣ d x d y ∣ d y = ∫ D Y f X ( h ( y ) ) ∣ J h ( y ) ∣ d y = 1 = ∫ D Y f Y ( y ) d y \int_{\mathbb{D}_Y} f_X(h(y)) |\frac{dx}{dy}|dy = \int_{\mathbb{D}_Y} f_X(h(y)) |Jh(y)|dy =1= \int_{\mathbb{D}_Y} f_Y(y) dy

f Y ( y ) = f X ( h ( y ) ) ∣ J h ( y ) ∣ f_Y(y) = f_X(h(y)) |Jh(y)|

# 均匀分布与Pareto分布

## 离散的均匀分布

f X ( j ) = P ( X = j ) = 1 N f_X(j)=P(X=j)=\frac{1}{N}
X的概率生成函数（Probability Generating Function，PGF）为
ρ X ( z ) = E ( z X ) = ∑ j = 1 N z j f X ( j ) = 1 N ∑ j = 1 N z j = z − z N ( 1 − z ) N = 1 N ∑ i = k N − 1 z i \rho_X(z) = E(z^X)=\sum_{j=1}^{N} z^j f_X(j) = \frac{1}{N}\sum_{j=1}^{N} z^j =\frac{z-z^N}{(1-z)N} = \frac{1}{N} \sum_{i=k}^{N-1} z^i
X的均值和方差为
E X = 1 N ∑ j = 1 N j = N + 1 2 V a r X = 1 N ∑ j = 1 N j 2 − ( N + 1 2 ) 2 = ( N − 1 ) ( N + 1 ) 12 EX = \frac{1}{N}\sum_{j=1}^{N} j = \frac{N+1}{2} \\ VarX=\frac{1}{N}\sum_{j=1}^{N} j^2-(\frac{N+1}{2})^2 = \frac{(N-1)(N+1)}{12}

E ( X ) k = 1 N ∑ j = 1 N ( j ) k = ρ X ( k ) ( 1 ) E(X)_k = \frac{1}{N}\sum_{j=1}^{N} (j)_k = \rho_X^{(k)}(1)

Δ + a n = a n + 1 − a n \Delta_{+} a_n = a_{n+1} - a_n

∑ n = 1 N Δ + a n = ∑ n = 1 N ( a n + 1 − a n ) = a N + 1 − a 1 \sum_{n=1}^{N} \Delta_{+} a_n = \sum_{n=1}^{N} (a_{n+1} - a_n) = a_{N+1} - a_1

Δ + ( i ) k = ( i + 1 ) k − ( i ) k = ( i + 1 ) ( i ) ( k − 1 ) − ( i ) ( k − 1 ) ( i − k + 1 ) = k ( i ) k − 1 \Delta_{+} (i)_k = (i+1)_k - (i)_k = (i+1)(i)_{(k-1)} - (i)_{(k-1)} (i-k+1) = k(i)_{k-1}

∑ j = 1 N ( j ) k = k ! + ∑ j = k + 1 N 1 k + 1 Δ + ( j ) ( k + 1 ) = k ! + ( N + 1 ) k + 1 − ( k + 1 ) ! k + 1 = ( N + 1 ) k + 1 k + 1 \sum_{j=1}^{N} (j)_k = k!+\sum_{j=k+1}^{N} \frac{1}{k+1} \Delta_{+} (j)_{(k+1)} = k! + \frac{(N+1)_{k+1} - (k+1)!}{k+1} = \frac{(N+1)_{k+1}}{k+1}

E ( X ) k = ρ X ( k ) ( 1 ) = ( N + 1 ) k + 1 N ( k + 1 ) E(X)_k = \rho_X^{(k)}(1) = \frac{(N+1)_{k+1}}{N(k+1)}

## 连续的均匀分布

f X ( x ) = I ( x ∈ Ω ) ∣ Ω ∣ f_X(x) = \frac{I(x \in \Omega)}{|\Omega|}

Ω = ⋃ j = 1 J [ a j , b j ] ∣ Ω ∣ = ∑ j = 1 J ( b j − a j ) \Omega = \bigcup_{j=1}^{J} [a_j,b_j] \\ |\Omega| = \sum_{j=1}^{J} (b_j-a_j)

Ω = ⋃ j = 1 J R j ∣ Ω ∣ = ∑ j = 1 J ∣ R j ∣ \Omega = \bigcup_{j=1}^{J} R_j \\ |\Omega| = \sum_{j=1}^{J} |R_j|

f X ( x ) = 1 b − a , x ∈ [ a , b ] f_X(x) = \frac{1}{b-a},x \in [a,b]

M X ( t ) = E ( e t X ) = ∫ a b e t x b − a d x = ( e b − e a ) e t ( b − a ) t M_X(t) = E(e^{tX}) = \int_{a}^{b} \frac{e^{tx}}{b-a} dx = \frac{(e^{b}-e^{a})e^t}{(b-a)t} \\

## Zeta分布

f Y ( y ) ∝ y − s f_Y(y) \propto y^{-s}

∑ y = 1 ∞ C y − s = C ∑ y = 1 ∞ y − s = C ζ ( s ) = 1 C = 1 ζ ( s ) \sum_{y=1}^{\infty} Cy^{-s}= C \sum_{y=1}^{\infty} y^{-s} = C \zeta(s)=1 \\ C = \frac{1}{\zeta(s)}

f Y ( y ) = y − s ζ ( s ) f_Y(y) = \frac{y^{-s}}{\zeta(s)}

## Pareto分布

f Y ( y ) = f X ( g − 1 ( y ) ) ∣ h ′ ( y ) ∣ = f X ( y − p ) p y − ( p + 1 ) = p y − ( p + 1 ) f_Y(y) = f_X(g^{-1}(y))|h^{'}(y)|=f_X(y^{-p}) py^{-(p+1)} = py^{-(p+1)}

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