一、 常用函数的概率分布密度或分布律
(一) 离散型
1. 两点分布 X~B(1,p)
P ( X = x ) = p x ( 1 − p ) 1 − x , x = 0 , 1 {P(X=x)=p^{x}(1-p)^{1-x}}, \qquad x=0,1 P(X=x)=px(1−p)1−x,x=0,1
E ( X ) = p E(X)=p E(X)=p
D ( X ) = p ( 1 − p ) D(X)=p(1-p) D(X)=p(1−p)
2. 二项分布 X~B(N,p)
P ( X = x ) = C N x p x 1 − p N − x , x = 0 , 1... n P(X=x)=C_{N}^{x}p^{x}1-p^{N-x}, \qquad x=0,1...n P(X=x)=CNxpx1−pN−x,x=0,1...n
E ( X ) = n p E(X)=np E(X)=np
D ( X ) = n p ( 1 − p ) D(X)=np(1-p) D(X)=np(1−p)
3. 泊松分布 X~P( λ {\scriptsize\lambda} λ)
P ( X = x ) = λ x x ! e − λ P(X=x)=\frac{\lambda^{x}}{x!}e^{-\lambda} P(X=x)=x!λxe−λ
E ( X ) = λ E(X)=\lambda E(X)=λ
D ( X ) = λ D(X)=\lambda D(X)=λ
(二) 连续型
1. 均匀分布 X~U(a,b)
f ( x ) { 1 b − a , a ≤ x ≤ b 0 其它 F ( x ) { 0 , x < a x − a b − a , a ≤ x ≤ b 1 , x > b f(x)\left\{\begin{matrix}\frac{1}{b-a},&\quad a\le x\le b \\0 &\quad 其它\end{matrix}\right.\hspace{6em} F(x)\left\{\begin{matrix} 0,&\quad x<a \\ \frac{x-a}{b-a}, &\quad a\le x\le b \\ 1,&\quad x>b\end{matrix}\right. f(x){b−a1,0a≤x≤b其它F(x)⎩ ⎨ ⎧0,b−ax−a,1,x<aa≤x≤bx>b
E ( X ) = a + b 2 E(X)=\frac{a+b}{2} E(X)=2a+b
D ( X ) = ( b − a ) 2 12 D(X)=\frac{(b-a)^2}{12} D(X)=12(b−a)2
2. 指数分布 X~E( λ \scriptsize \lambda λ)
f ( x ) { 1 b − a , x > 0 0 x ≤ 0 F ( x ) { 1 − e − λ x , x > 0 0 x ≤ 0 f(x)\left\{\begin{matrix}\frac{1}{b-a},&\quad x>0 \\0 &\quad x\le 0\end{matrix}\right.\hspace{6em} F(x)\left\{\begin{matrix} 1-e^{-\lambda x},&x > 0 \\ 0&x\le 0\end{matrix}\right. f(x){b−a1,0x>0x≤0F(x){1−e−λx,0x>0x≤0
E ( X ) = 1 λ E(X)=\frac{1}{\lambda} E(X)=λ1
D ( X ) = 1 λ 2 D(X)=\frac{1}{\lambda^2} D(X)=λ21
3. 正态分布 X~E( μ , σ 2 \scriptsize \mu,\sigma ^2 μ,σ2)
f ( x ) = 1 2 π σ e ( x − μ ) 2 2 σ 2 f(x)=\frac{1}{\sqrt{2\pi}\sigma }e^{\frac{(x-\mu)^2}{2\sigma ^2}} f(x)=2πσ1e2σ2(x−μ)2
E ( X ) = μ E(X)=\mu E(X)=μ
D ( X ) = σ 2 D(X)=\sigma ^2 D(X)=σ2
二、 统计决策中的常用分布族
(一) Gamma分布族 X~ Γ ( α , β ) \small \Gamma(\alpha,\beta) Γ(α,β)
f ( x ; α , β ) = { β α Γ ( α ) x α − 1 e − β x , x > 0 0 , x ≤ a Γ ( α ) = ∫ 0 ∞ x α − 1 e − β x d x f(x;\alpha, \beta )=\left\{\begin{matrix} \frac{\beta ^\alpha }{\Gamma (\alpha )}x^{\alpha -1}e^{-\beta x}, &\quad x>0 \\ 0,&\quad x\le a\end{matrix}\right.\hspace{6em} \Gamma (\alpha )=\int_{0}^{\infty } x^{\alpha -1}e^{-\beta x}dx f(x;α,β)={Γ(α)βαxα−1e−βx,0,x>0x≤aΓ(α)=∫0∞xα−1e−βxdx
Γ ( α + 1 ) = α Γ ( α ) , Γ ( n + 1 ) = n ! \Gamma (\alpha+1)=\alpha \Gamma(\alpha),\quad \Gamma (n+1)=n! Γ(α+1)=αΓ(α),Γ(n+1)=n!, Γ ( 1 2 ) = π \quad \Gamma(\frac{1}{2})=\sqrt{\pi} Γ(21)=π
E ( X ) = α β E(X)=\frac{\alpha}{\beta} E(X)=βα
D ( X ) = α β 2 D(X)=\frac{\alpha}{\beta^2} D(X)=β2α
(二) Beta分布族 X~Be(a,b)
f ( x ; a , b ) = { Γ ( a + B ) Γ ( a ) Γ ( b ) x a − 1 ( 1 − x ) b − 1 , 0 < x < 1 0 , 其它 f(x;a,b)=\left\{\begin{matrix} \frac{\Gamma(a+B)}{\Gamma(a)\Gamma(b)}x^{a-1}(1-x)^{b-1}, &\quad 0<x<1 \\ 0,&\quad 其它\end{matrix}\right. f(x;a,b)={Γ(a)Γ(b)Γ(a+B)xa−1(1−x)b−1,0,0<x<1其它
E ( X ) = a a + b E(X)=\frac{a}{a+b} E(X)=a+ba
D ( X ) = a b ( a + b ) 2 ( a + b + 1 ) D(X)=\frac{ab}{(a+b)^2(a+b+1)} D(X)=(a+b)2(a+b+1)ab