文章目录
- 0-1分布
- 二项分布, X ∼ B ( n , p ) X\sim B(n,p) X∼B(n,p)
- 泊松分布, X ∼ P ( λ ) X\sim P(\lambda) X∼P(λ)
- 几何分布 P ( X = k ) = p ( 1 − p ) k − 1 , k = 1 , 2 , … , 0 < p < 1 P(X=k) =p(1-p)^{k-1},k=1,2,…,0<p<1 P(X=k)=p(1−p)k−1,k=1,2,…,0<p<1
- 均匀分布 X ∼ U ( a , b ) X\sim U(a,b) X∼U(a,b)
- 指数分布, X ∼ E ( λ ) X\sim E(\lambda) X∼E(λ),利用伽马函数的性质
- 正态分布, X ∼ N ( μ , σ ) X\sim N(\mu,\sigma^) X∼N(μ,σ)
0-1分布
X | 0 | 1 |
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P | 1-P | P |
E ( X ) = 0 × ( 1 − p ) + 1 × p = p E ( X 2 ) = 0 2 × ( 1 − p ) + 1 2 × p = p D ( X ) = E ( X 2 ) − E 2 ( X ) = p − p 2 = p ( 1 − p ) E(X) = 0\times (1-p)+1\times p = p\\ E(X^2) = 0^2\times (1-p) + 1^2\times p = p\\ D(X) = E(X^2)-E^2(X) = p - p^2 = p(1-p)\\ E(X)=0×(1−p)+1×p=pE(X2)=02×(1−p)+12×p=pD(X)=E(X2)−E2(X)=p−p2=p(1−p)
二项分布, X ∼ B ( n , p ) X\sim B(n,p) X∼B(n,p)
可看作n次0-1分布,设
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E(X_i) = p,D(X_i) = p(1-p)\\ E(X) = nE(X_i) = np,D(X) = nD(X_i) = np(1-p)
E(Xi)=p,D(Xi)=p(1−p)E(X)=nE(Xi)=np,D(X)=nD(Xi)=np(1−p)
泊松分布, X ∼ P ( λ ) X\sim P(\lambda) X∼P(λ)
P ( X = k ) = λ k e − λ k ! , k = 0 , 1 , … E ( X ) = ∑ k = 0 + ∞ k P ( X = k ) = ∑ k = 0 + ∞ k λ k e − λ k ! = ∑ k = 1 + ∞ k λ k e − λ k ! = ∑ k = 1 + ∞ λ k e − λ ( k − 1 ) ! = ∑ k = 0 + ∞ λ k + 1 e − λ k ! = λ e − λ ∑ k = 0 + ∞ λ k k ! = λ e − λ e λ = λ E ( X 2 ) = ∑ k = 0 + ∞ k 2 P ( X = k ) = ∑ k = 0 + ∞ k 2 λ k e − λ k ! = ∑ k = 1 + ∞ k 2 λ k e − λ k ! = ∑ k = 1 + ∞ k λ k e − λ ( k − 1 ) ! = ∑ k = 0 + ∞ ( k + 1 ) λ k + 1 e − λ k ! = ∑ k = 0 + ∞ k λ k + 1 e − λ k ! + ∑ k = 0 + ∞ λ k + 1 e − λ k ! = ∑ k = 1 + ∞ λ k + 1 e − λ ( k − 1 ) ! + ∑ k = 0 + ∞ λ k + 1 e − λ k ! = ∑ k = 0 + ∞ λ k + 2 e − λ k ! + ∑ k = 0 + ∞ λ k + 1 e − λ k ! = λ 2 e − λ ∑ k = 0 + ∞ λ k k ! + λ e − λ ∑ k = 0 + ∞ λ k k ! = λ 2 e − λ e λ + λ e − λ e λ = λ 2 + λ D ( X ) = E ( X 2 ) − E 2 ( X ) = λ 2 + λ − λ 2 = λ P(X = k) = \frac{\lambda^k e^{-\lambda}}{k!},k=0,1,…\\ E(X) = \sum_{k=0}^{+\infty}kP(X=k) = \sum_{k=0}^{+\infty}k\frac{\lambda^k e^{-\lambda}}{k!} = \sum_{k=1}^{+\infty}k\frac{\lambda^k e^{-\lambda}}{k!} = \sum_{k=1}^{+\infty}\frac{\lambda^k e^{-\lambda}}{(k-1)!} = \sum_{k=0}^{+\infty}\frac{\lambda^{k+1} e^{-\lambda}}{k!} =\lambda e^{-\lambda}\sum_{k=0}^{+\infty}\frac{\lambda^{k} }{k!} = \lambda e^{-\lambda}e^{\lambda} = \lambda\\ E(X^2) = \sum_{k=0}^{+\infty}k^2P(X=k) = \sum_{k=0}^{+\infty}k^2\frac{\lambda^k e^{-\lambda}}{k!} = \sum_{k=1}^{+\infty}k^2\frac{\lambda^k e^{-\lambda}}{k!} = \sum_{k=1}^{+\infty}k\frac{\lambda^k e^{-\lambda}}{(k-1)!} = \sum_{k=0}^{+\infty}(k+1)\frac{\lambda^{k+1} e^{-\lambda}}{k!} =\sum_{k=0}^{+\infty}k\frac{\lambda^{k+1} e^{-\lambda}}{k!}+\sum_{k=0}^{+\infty}\frac{\lambda^{k+1} e^{-\lambda}}{k!}=\sum_{k=1}^{+\infty}\frac{\lambda^{k+1} e^{-\lambda}}{(k-1)!}+\sum_{k=0}^{+\infty}\frac{\lambda^{k+1}e^{-\lambda}}{k!}=\sum_{k=0}^{+\infty}\frac{\lambda^{k+2} e^{-\lambda}}{k!}+\sum_{k=0}^{+\infty}\frac{\lambda^{k+1}e^{-\lambda}}{k!}=\lambda^2 e^{-\lambda}\sum_{k=0}^{+\infty}\frac{\lambda^{k} }{k!}+\lambda e^{-\lambda}\sum_{k=0}^{+\infty}\frac{\lambda^{k} }{k!} = \lambda^2 e^{-\lambda}e^{\lambda} +\lambda e^{-\lambda}e^{\lambda}= \lambda^2+\lambda \\ D(X) = E(X^2)-E^2(X) = \lambda^2 + \lambda - \lambda^2 = \lambda P(X=k)=k!λke−λ,k=0,1,…E(X)=k=0∑+∞kP(X=k)=k=0∑+∞kk!λke−λ=k=1∑+∞kk!λke−λ=k=1∑+∞(k−1)!λke−λ=k=0∑+∞k!λk+1e−λ=λe−λk=0∑+∞k!λk=λe−λeλ=λE(X2)=k=0∑+∞k2P(X=k)=k=0∑+∞k2k!λke−λ=k=1∑+∞k2k!λke−λ=k=1∑+∞k(k−1)!λke−λ=k=0∑+∞(k+1)k!λk+1e−λ=k=0∑+∞kk!λk+1e−λ+k=0∑+∞k!λk+1e−λ=k=1∑+∞(k−1)!λk+1e−λ+k=0∑+∞k!λk+1e−λ=k=0∑+∞k!λk+2e−λ+k=0∑+∞k!λk+1e−λ=λ2e−λk=0∑+∞k!λk+λe−λk=0∑+∞k!λk=λ2e−λeλ+λe−λeλ=λ2+λD(X)=E(X2)−E2(X)=λ2+λ−λ2=λ
几何分布 P ( X = k ) = p ( 1 − p ) k − 1 , k = 1 , 2 , … , 0 < p < 1 P(X=k) =p(1-p)^{k-1},k=1,2,…,0<p<1 P(X=k)=p(1−p)k−1,k=1,2,…,0<p<1
$$
E(X) = \sum_{k=1}^{+\infty} kP(X=k) = \sum_{k=1}^{+\infty} kp(1-p)^{k-1} = p\sum_{k=1}^{+\infty} k(1-p)^{k-1} \
\sum_{k=1}{+\infty}kx{k-1} = (\sum_{k=1}{+\infty}x{k})’ = (\frac{1}{1-x})’ = \frac{1}{(1-x)^2},E(X) = 1/p\
p[\sum_{k=1}^{+\infty} (1-p)k]{\prime} = p[\frac{1-p}{1-(1-p)}]^{\prime} = p(\frac{x}{1-x})^{\prime} = p\frac{1}{(1-x)^2} =\frac{1}{p}\
E(X^2) = \sum_{k=1}^{+\infty} k^2P(X=k) = \sum_{k=1}^{+\infty} k2p(1-p){k-1} = p\sum_{k=1}^{+\infty} k2(1-p){k-1} =p\sum_{k=1}^{+\infty} (k2+k-k)(1-p){k-1}= p\sum_{k=1}^{+\infty} k(k+1)-k^{k-1} =p[\sum_{k=1}{+\infty}(1-p){k+1}]^{\prime \prime } - p[\sum_{k=1}^{+\infty} (1-p)k]{\prime } \= p[\frac{x2}{1-x}]{\prime \prime}-E(X) = \frac{2}{p^2}-\frac{1}{p} = \frac{2-p}{p^2}\
D(X) = E(X^2)- E^2(X) = \frac{2-p}{p2}-\frac{1}{p2} = \frac{1-p}{p^2}
$$
均匀分布 X ∼ U ( a , b ) X\sim U(a,b) X∼U(a,b)
f X ( x ) = 1 b − a , a < x < b E ( X ) = ∫ a b x b − a d x = a + b 2 E ( X 2 ) = ∫ a b x 2 b − a d x = a 2 + a b + b 2 3 D ( X ) = a 2 + a b + b 2 3 − ( a + b 2 ) 2 = ( b − a ) 2 12 f_X(x) = \frac{1}{b-a},a<x<b\\ E(X) = \int_{a}^b \frac{x}{b-a}dx = \frac{a+b}{2}\\ E(X^2) = \int_{a}^b \frac{x^2}{b-a}dx = \frac{a^2+ab+b^2}{3}\\ D(X) = \frac{a^2+ab+b^2}{3}-(\frac{a+b}{2})^2 = \frac{(b-a)^2}{12} fX(x)=b−a1,a<x<bE(X)=∫abb−axdx=2a+bE(X2)=∫abb−ax2dx=3a2+ab+b2D(X)=3a2+ab+b2−(2a+b)2=12(b−a)2
指数分布, X ∼ E ( λ ) X\sim E(\lambda) X∼E(λ),利用伽马函数的性质
f X ( x ) = λ e − λ x , x ≥ 0 E ( X ) = ∫ 0 + ∞ x f ( x ) d x = ∫ 0 + ∞ λ x e − λ x d x = 1 λ ∫ 0 + ∞ ( λ x ) e − ( λ x ) d ( λ x ) = T ( 2 ) λ = 1 λ E ( X 2 ) = ∫ 0 + ∞ x 2 f ( x ) d x = ∫ 0 + ∞ λ x 2 e − λ x d x = 1 λ 2 ∫ 0 + ∞ ( λ x ) 2 e − ( λ x ) d ( λ x ) = T ( 3 ) λ 2 = 2 λ 2 D ( X ) = 2 λ 2 − 1 λ 2 = 1 λ 2 f_X(x) = \lambda e^{-\lambda x},x\geq 0\\ E(X) = \int_{0}^{+\infty}xf(x)dx = \int_{0}^{+\infty}\lambda x e^{-\lambda x}dx = \frac{1}{\lambda} \int_{0}^{+\infty}(\lambda x) e^{-(\lambda x)}d(\lambda x) = \frac{T(2)}{\lambda} = \frac{1}{\lambda}\\ E(X^2) = \int_{0}^{+\infty}x^2f(x)dx = \int_{0}^{+\infty}\lambda x^2 e^{-\lambda x}dx = \frac{1}{\lambda^2} \int_{0}^{+\infty}(\lambda x)^2 e^{-(\lambda x)}d(\lambda x) = \frac{T(3)}{\lambda^2} = \frac{2}{\lambda^2}\\ D(X) = \frac{2}{\lambda^2} - \frac{1}{\lambda^2} = \frac{1}{\lambda^2} fX(x)=λe−λx,x≥0E(X)=∫0+∞xf(x)dx=∫0+∞λxe−λxdx=λ1∫0+∞(λx)e−(λx)d(λx)=λT(2)=λ1E(X2)=∫0+∞x2f(x)dx=∫0+∞λx2e−λxdx=λ21∫0+∞(λx)2e−(λx)d(λx)=λ2T(3)=λ22D(X)=λ22−λ21=λ21
正态分布, X ∼ N ( μ , σ ) X\sim N(\mu,\sigma^) X∼N(μ,σ)
f X ( x ) = 1 2 π σ e − ( x − μ ) 2 2 σ 2 , x ∈ R E ( X ) = ∫ − ∞ + ∞ x 1 2 π σ e − ( x − μ ) 2 2 σ 2 d x = ∫ − ∞ + ∞ ( x − μ ) 1 2 π σ e − ( x − μ ) 2 2 σ 2 d ( x − μ ) + ∫ − ∞ + ∞ μ 1 2 π σ e − ( x − μ ) 2 2 σ 2 d x = 0 + μ = μ D ( X ) = E ( X − E X ) 2 = E ( X − μ ) 2 = ∫ − ∞ + ∞ ( x − μ ) 2 1 2 π σ e − ( x − μ ) 2 2 σ 2 d x 令 u = x − μ 2 σ D ( X ) = 2 σ ∫ − ∞ + ∞ 2 σ 2 2 π σ u 2 e − u 2 d u = 2 σ 2 π ∫ − ∞ + ∞ u 2 e − u 2 d u = 2 σ 2 π ⋅ π 2 = σ 2 f_X(x) = \frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^2}{2\sigma^2}},x\in R\\ E(X) =\int_{-\infty}^{+\infty} x\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^2}{2\sigma^2}}dx = \int_{-\infty}^{+\infty} (x-\mu)\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^2}{2\sigma^2}}d(x-\mu) +\int_{-\infty}^{+\infty} \mu\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^2}{2\sigma^2}}dx = 0 + \mu = \mu \\ D(X) = E(X-EX)^2 = E(X-\mu)^2 = \int_{-\infty}^{+\infty} (x-\mu)^2\frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{(x-\mu)^2}{2\sigma^2}}dx \\ 令 u = \frac{x-\mu}{\sqrt{2}\sigma}\\ D(X) = \sqrt{2}\sigma\int_{-\infty}^{+\infty} \frac{2\sigma^2}{\sqrt{2\pi}\sigma} u^2e^{-u^2}du =\frac{2\sigma^2}{\sqrt{\pi}}\int_{-\infty}^{+\infty} u^2e^{-u^2}du = \frac{2\sigma^2}{\sqrt{\pi}}·\frac{\sqrt{\pi}}{2} = \sigma^2\\ fX(x)=2πσ1e−2σ2(x−μ)2,x∈RE(X)=∫−∞+∞x2πσ1e−2σ2(x−μ)2dx=∫−∞+∞(x−μ)2πσ1e−2σ2(x−μ)2d(x−μ)+∫−∞+∞μ2πσ1e−2σ2(x−μ)2dx=0+μ=μD(X)=E(X−EX)2=E(X−μ)2=∫−∞+∞(x−μ)22πσ1e−2σ2(x−μ)2dx令u=2σx−μD(X)=2σ∫−∞+∞2πσ2σ2u2e−u2du=π2σ2∫−∞+∞u2e−u2du=π2σ2⋅2π=σ2