事件的关系与运算
A − B = A − A B = A B ‾ B = A ‾ ⟺ A B = ∅ 且 A ∪ B = Ω ( 1 ) 吸 收 律 若 A ⊂ B , 则 A ∪ B = B , A B = A ( 2 ) 交 换 律 A ∪ B = B ∪ A , A B = B A ( 3 ) 结 合 律 ( A ∪ B ) ∪ C = A ∪ ( B ∪ C ) , ( A B ) C = A ( B C ) ( 4 ) 分 配 律 A ( B ∪ C ) = A B ∪ A C , A ∪ B C = ( A ∪ B ) ( A ∪ C ) , A ( B − C ) = A B − A C ( 5 ) 对 偶 律 A ∪ B ‾ = A ˉ ∩ B ˉ , A ∩ B ‾ = A ˉ ∪ B ˉ \begin{aligned} & A -B=A-AB=A\overline{B}\\ &B=\overline{A} \iff AB=\varnothing ~~且 A \cup B=\Omega \\ (1) 吸收律~~ & 若 A \subset B, 则 A \cup B=B, A B=A \\ (2) 交换律~~ &A \cup B=B \cup A, A B=B A \\ (3) 结合律~~ & (A \cup B) \cup C=A \cup(B \cup C),(A B) C=A(B C) \\ (4) 分配律~~ & A(B \cup C)=A B \cup A C, A \cup B C=(A \cup B)(A \cup C), A(B-C)=A B-A C \\ (5) 对偶律~~ & \overline{A \cup B}=\bar{A} \cap \bar{B}, \overline{A \cap B}=\bar{A} \cup \bar{B} \\ \end{aligned} (1)吸收律 (2)交换律 (3)结合律 (4)分配律 (5)对偶律 A−B=A−AB=ABB=A⟺AB=∅ 且A∪B=Ω若A⊂B,则A∪B=B,AB=AA∪B=B∪A,AB=BA(A∪B)∪C=A∪(B∪C),(AB)C=A(BC)A(B∪C)=AB∪AC,A∪BC=(A∪B)(A∪C),A(B−C)=AB−ACA∪B=Aˉ∩Bˉ,A∩B=Aˉ∪Bˉ
概率的基本性质
P ( A 1 ∪ A 2 ∪ ⋯ ∪ A n ) = P ( A 1 ) + P ( A 2 ) + ⋯ + P ( A n ) ( A 1 , A 2 , ⋯ , A n 两 两 互 不 相 容 ) P ( B − A ) = P ( B ) − P ( A ) ( A ⊂ B ) P ( A ‾ ) = 1 − P ( A ) P ( A ∪ B ) = P ( A ) + P ( B ) − P ( A B ) P ( A 1 ∪ A 2 ∪ A 3 ) = P ( A 1 ) + P ( A 2 ) + P ( A 3 ) − P ( A 1 A 2 ) − P ( A 1 A 3 ) − P ( A 2 A 3 ) + P ( A 1 A 2 A 3 ) P ( A 1 ∪ A 2 ∪ ⋯ ∪ A n ) = ∑ i = 1 n P ( A i ) − ∑ 1 ⩽ i < j ⩽ n P ( A , A j ) + ∑ 1 ⩽ i < j < k n P ( A i A j A k ) − ⋯ + ( − 1 ) n − 1 P ( A 1 A 2 ⋯ A n ) P ( A − B ) = P ( A ) − P ( A B ) \begin{aligned} & P\left(A_{1} \cup A_{2} \cup \cdots \cup A_{n}\right)=P\left(A_{1}\right)+P\left(A_{2}\right)+\cdots+P\left(A_{n}\right) ~~~~~(A_{1}, A_{2}, \cdots, A_{n}两两互不相容)\\\\ & P(B-A)=P(B)-P(A) ~~~~~~(A\subset B) \\\\ & P(\overline A)=1-P(A) \\\\ & P(A\cup B) =P(A) +P(B) -P(AB) \\\\ & P\left(A_{1} \cup A_{2} \cup A_{3}\right)=P\left(A_{1}\right)+P\left(A_{2}\right)+P\left(A_{3}\right)-P\left(A_{1} A_{2}\right)-P\left(A_{1} A_{3}\right)-P\left(A_{2} A_{3}\right)+P\left(A_{1} A_{2} A_{3}\right) \\\\ & P\left(A_{1} \cup A_{2} \cup \cdots \cup A_{n}\right)=\sum_{i=1}^{n} P\left(A_{i}\right)-\sum_{1 \leqslant i <j \leqslant n} P\left(A, A_{j}\right)+\sum_{1 \leqslant i<j<k \atop n} P\left(A_i A_{j} A_{k}\right)-\cdots+(-1)^{n-1} P\left(A_{1} A_{2} \cdots A_{n}\right) \\\\ & P(A-B) = P(A) - P(AB) \end{aligned} P(A1∪A2∪⋯∪An)=P(A1)+P(A2)+⋯+P(An) (A1,A2,⋯,An两两互不相容)P(B−A)=P(B)−P(A) (A⊂B)P(A)=1−P(A)P(A∪B)=P(A)+P(B)−P(AB)P(A1∪A2∪A3)=P(A1)+P(A2)+P(A3)−P(A1A2)−P(A1A3)−P(A2A3)+P(A1A2A3)P(A1∪A2∪⋯∪An)=i=1∑nP(Ai)−1⩽i<j⩽n∑P(A,Aj)+n1⩽i<j<k∑P(AiAjAk)−⋯+(−1)n−1P(A1A2⋯An)P(A−B)=P(A)−P(AB)
条件概率相关公式
P ( B ∣ A ) = P ( A B ) P ( A ) ( 条 件 概 率 ) P ( A B ) = P ( A ) P ( B ∣ A ) ( 乘 法 公 式 ) P ( A 1 A 2 ⋯ A n ) = P ( A 1 ) P ( A 2 ∣ A 1 ) P ( A 3 ∣ A 1 A 2 ) ⋯ P ( A n ∣ A 1 ⋯ A n − 1 ) \begin{aligned} & P(B \mid A)=\frac{P(A B)}{P(A)} ~~~~~~(条件概率) \\\\ & P(AB) =P(A)P(B\mid A) ~~~~~~~(乘法公式) \\\\ & P\left(A_{1} A_{2} \cdots A_{n}\right)=P\left(A_{1}\right) P\left(A_{2} \mid A_{1}\right) P\left(A_{3} \mid A_{1} A_{2}\right) \cdots P\left(A_{n} \mid A_{1} \cdots A_{n-1}\right) \end{aligned} P(B∣A)=P(A)P(AB) (条件概率)P(AB)=P(A)P(B∣A) (乘法公式)P(A1A2⋯An)=P(A1)P(A2∣A1)P(A3∣A1A2)⋯P(An∣A1⋯An−1)
全概率公式:
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\begin{gathered} B=\bigcup_{i=1}^{n} A_{i} B \\ P(B)=\sum_{i=1}^{n} P\left(A_{i}\right) P\left(B \mid A_{i}\right) \end{gathered}
B=i=1⋃nAiBP(B)=i=1∑nP(Ai)P(B∣Ai)
贝叶斯公式(逆概公式):
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P\left(A_{j} \mid B\right)=\frac{P\left(A_{j}\right) P\left(B \mid A_{j}\right)}{\sum_{i=1}^{n} P\left(A_{i}\right) P\left(B \mid A_{i}\right)} \quad(j=1,2, \cdots, n)
P(Aj∣B)=∑i=1nP(Ai)P(B∣Ai)P(Aj)P(B∣Aj)(j=1,2,⋯,n)
常用分布
离散型分布
0-1分布 B ( 1 , p ) B(1, p) B(1,p)
- 符号表示: X ∼ B ( 1 , p ) X \sim B(1, p) X∼B(1,p)
- 概率分布: X ∼ ( 1 0 p 1 − p ) X \sim\left(\begin{array}{cc} 1 & 0 \\ p & 1-p \end{array}\right) X∼(1p01−p)
- 分布解释:结果只要 0 , 1 0,1 0,1 两种,为 1 1 1 的概率为 p p p,为 0 0 0 的概率为 1 − p 1-p 1−p
- 参数解释: 1 1 1 为固定常量,即一次伯努利试验; p p p 为伯努利试验结果为 1 1 1 的概率
- 期望: p p p
- 方差: p ( 1 − p ) p(1-p) p(1−p)
二项分布 B ( n , p ) B(n,p) B(n,p)
- 符号表示: X ∼ B ( n , p ) X \sim B(n,p) X∼B(n,p)
- 概率分布: p k = P { X = k } = C n k p k ( 1 − p ) n − k , k = 0 , 1 , ⋯ , n , 0 < p < 1 p_{k}=P\{X=k\}=\mathrm{C}_{n}^{k} p^{k}(1-p)^{n-k}~~,~~~~ k=0,1, \cdots, n, 0<p<1 pk=P{X=k}=Cnkpk(1−p)n−k , k=0,1,⋯,n,0<p<1
- 分布解释: X X X是 n n n重伯努利试验中事件 A A A发生的次数。
- 参数解释: n n n 为进行 n n n 次伯努利试验; p p p 为一次伯努利试验结果为 1 1 1 的概率
- 期望: n p np np
- 方差: n p ( 1 − p ) np(1-p) np(1−p)
泊松分布 P ( λ ) P(\lambda) P(λ)
- 符号表示: X ∼ P ( λ ) X \sim P(\lambda) X∼P(λ)
- 概率分布: p k = P { X = k } = λ k k ! e − λ ( k = 0 , 1 , ⋯ ; λ > 0 ) p_{k}=P\{X=k\}=\frac{\lambda^{k}}{k !} \mathrm{e}^{-\lambda}~~~~(k=0,1, \cdots ; \lambda>0) pk=P{X=k}=k!λke−λ (k=0,1,⋯;λ>0)
- 分布解释:在某个时间段内,某事件发生 k k k 次的概率。例如:在某个时间段内,卖出 k k k 个包子的概率;知乎大佬形象解释
- 参数解释: λ \lambda λ 为均值(也叫强度),即在某时间段内,某时间发生的平均次数
- 期望: λ \lambda λ
- 方差: λ \lambda λ
- 函数图像:https://www.geogebra.org/m/s3xuVuZN
几何分布 G ( p ) G(p) G(p)
- 符号表示: X ∼ G ( p ) X\sim G(p) X∼G(p) 或 X ∼ Ge ( p ) X\sim \text{Ge}(p) X∼Ge(p)
- 概率分布: p k = P { X = k } = q k − 1 p = ( 1 − p ) k − 1 ⋅ p ( k = 1 , 2 , ⋯ ; 0 < p < 1 , q = 1 − p ) p_{k}=P\{X=k\}=q^{k-1} p = (1-p)^{k-1}\cdot p~~~~~~~ (k=1,2, \cdots ; 0<p<1, q=1-p) pk=P{X=k}=qk−1p=(1−p)k−1⋅p (k=1,2,⋯;0<p<1,q=1−p)
- 分布解释:第 k k k 次做某事才成功的概率。如第5次抛硬币,才抛出正面的概率,即前4次都是反面,第5次是正面
- 参数解释: p p p 表示成功的概率
- 期望: 1 p \frac{1}{p} p1
- 方差: 1 − p p 2 \frac{1-p}{p^2} p21−p
超几何分布 H ( N , M , n ) H(N,M,n) H(N,M,n)
- 符号表示: X ∼ H ( N , M , n ) X \sim H(N,M,n) X∼H(N,M,n)
- 概率分布: p k = P { X = k } = C M k C N − M n − k C N n ( k = 0 , 1 , ⋯ , min { M , n } , M , N , n 为正整数 ) p_{k}=P\{X=k\}=\frac{\mathrm{C}_{\mathrm{M}}^{k} \mathrm{C}_{\mathrm{N}-\mathrm{M}}^{n-k}}{\mathrm{C}_{\mathrm{N}}^{n}}~~~~~~~~(k=0,1, \cdots, \min \{M, n\}, M, N, n \text { 为正整数 }) pk=P{X=k}=CNnCMkCN−Mn−k (k=0,1,⋯,min{M,n},M,N,n 为正整数 )
- 分布解释:从有限 N N N个物件(其中包含 M M M个指定种类的物件)中抽出 n n n个物件,成功抽出该指定种类的物件的次数(不放回)。例如:在产品中随机抽 n n n件做检查,发现 k k k件不合格品的概率
- 参数解释: N N N 为样本总数, M M M为指定样本总数, n n n 为抽样的个数
- 期望: n M N n \frac{M}{N} nNM
- 方差: n M ( N − M ) ( N − n ) N 2 ( N − 1 ) \frac{n M(N-M)(N-n)}{N^{2}(N-1)} N2(N−1)nM(N−M)(N−n)
连续型分布
均匀分布 U ( a , b ) U(a,b) U(a,b)
- 符号表示: X ∼ U ( a , b ) X\sim U(a,b) X∼U(a,b)
- 概率密度: f ( x ) = { 1 b − a , a < x < b 0 , 其他 f(x)=\left\{\begin{array}{cc} \frac{1}{b-a}, & a<x<b \\ 0, & \text { 其他 } \end{array}\right. f(x)={b−a1,0,a<x<b 其他
- 分布函数: F ( x ) = { 0 , x < a x − a b − a , a ⩽ x < b 1 , b ⩽ x F(x)=\left\{\begin{array}{cc} 0, & x<a \\ \frac{x-a}{b-a}, & a \leqslant x<b \\ 1, & b \leqslant x \end{array}\right. F(x)=⎩⎨⎧0,b−ax−a,1,x<aa⩽x<bb⩽x
- 分布解释:样本在 ( a , b ) (a,b) (a,b) 这个区间上是均匀分布的
- 参数解释: a a a 为左边界, b b b 为右边界
- 期望: a + b 2 \frac{a+b}{2} 2a+b
- 方差: ( b − a ) 2 12 \frac{(b-a)^2}{12} 12(b−a)2
指数分布 E ( λ ) E(\lambda) E(λ)
- 符号表示: X ∼ E ( λ ) X \sim E(\lambda) X∼E(λ)
- 概率密度: f ( x ) = { λ e − λ x , x > 0 0 , x ⩽ 0 f(x)=\left\{\begin{array}{cc} \lambda \mathrm{e}^{-\lambda x}, & x>0 \\ 0, & x \leqslant 0 \end{array}\right. f(x)={λe−λx,0,x>0x⩽0
- 分布函数: F ( x ) = { 1 − e − λ x , x ⩾ 0 , 0 , x < 0 ( λ > 0 ) F(x)=\left\{\begin{array}{cc} 1-\mathrm{e}^{-\lambda x}, & x \geqslant 0, \\ 0, & x<0 \end{array}(\lambda>0)\right. F(x)={1−e−λx,0,x⩾0,x<0(λ>0)
- 分布解释:描述事件与事件之间的间隔时间的概率分布。如:1分钟内没有顾客通过收银台的概率为: P { t > 1 } = ∫ 1 + ∞ f ( t ) d t P\{t>1\} =\int_1^{+\infty }f(t) dt P{t>1}=∫1+∞f(t)dt
- 参数解释:单位时间内的平均值。如:平均每分钟有两名顾客通过收银台,则 λ = 2 \lambda =2 λ=2
- 期望: 1 λ \frac{1}{\lambda} λ1
- 方差: 1 λ 2 \frac{1}{\lambda^2} λ21
- 函数图像:https://www.geogebra.org/m/XEzN7emD
正态分布 N ( μ , σ 2 ) N(\mu,\sigma^2) N(μ,σ2)
- 符号表示: X ∼ N ( μ , σ 2 ) X\sim N(\mu,\sigma^2) X∼N(μ,σ2)
- 概率密度: f ( x ) = 1 2 π σ e − 1 2 ( x − u σ ) 2 ( − ∞ < x < ∞ ) f(x)=\frac{1}{\sqrt{2 \pi} \sigma} \mathrm{e}^{-\frac{1}{2}\left(\frac{x-u}{\sigma}\right)^{2}} ~~~\quad(-\infty<x<\infty) f(x)=2πσ1e−21(σx−u)2 (−∞<x<∞)
- 分布函数: F ( x ) = 1 2 π σ ∫ − ∞ x e − ( x − μ ) 2 2 σ 2 d x , − ∞ < x < + ∞ F(x)=\frac{1}{\sqrt{2 \pi} \sigma} \int_{-\infty}^{x} \mathrm{e}^{-\frac{(x-\mu)^{2}}{2 \sigma^{2}}} d x, \quad-\infty<x<+\infty F(x)=2πσ1∫−∞xe−2σ2(x−μ)2dx,−∞<x<+∞
- 分布解释:
- 参数解释: μ \mu μ 为样本均值, σ 2 \sigma^2 σ2 为样本方差
- 期望: μ \mu μ
- 方差: σ 2 \sigma^2 σ2
正态分布性质:
- f ( x ) f(x) f(x) 的图像关于直线 x = μ x=\mu x=μ 对称,即 f ( μ − x ) = f ( μ + x ) f(\mu-x)=f(\mu+x) f(μ−x)=f(μ+x)
- f ( x ) f(x) f(x) 在 x = μ x=\mu x=μ 处有唯一最大值: f ( μ ) = 1 2 π σ f(\mu)=\frac{1}{\sqrt{2 \pi} \sigma} f(μ)=2πσ1
- μ = 0 , σ 2 = 1 \mu =0, ~\sigma^2=1 μ=0, σ2=1 时的正态分布 N ( 0 , 1 ) N(0,1) N(0,1) 为标准正态分布,概率密度为: f ( x ) = 1 2 π e − 1 2 x 2 f(x)=\frac{1}{\sqrt{2 \pi}} \mathrm{e}^{-\frac{1}{2} x^{2}} f(x)=2π1e−21x2
- 标准正态分布的分布函数: Φ ( x ) = 1 2 π ∫ − ∞ x e − t 2 2 d t \Phi(x)=\frac{1}{\sqrt{2 \pi}} \int_{-\infty}^{x} e^{-\frac{t^{2}}{2}} d t Φ(x)=2π1∫−∞xe−2t2dt
- Φ ( x ) \Phi (x) Φ(x) 的性质: Φ ( 0 ) = 0.5 \Phi (0) = 0.5 Φ(0)=0.5 , Φ ( + ∞ ) = 1 \Phi (+\infty) = 1 Φ(+∞)=1 , Φ ( − x ) = 1 − Φ ( x ) \Phi (-x) = 1-\Phi(x) Φ(−x)=1−Φ(x)
- 在 x = μ ± σ x=\mu \pm \sigma x=μ±σ 处有拐点
- 固定 σ \sigma σ ,改变 μ \mu μ ,则图像沿 x x x 轴平移而不改变其形状
- 固定 μ \mu μ ,改变 σ \sigma σ ,则当 σ \sigma σ 很小时,曲线的形状与尖塔类似;当 σ \sigma σ 值增大时,曲线将趋于平坦
函数图像:https://www.geogebra.org/m/sPBsZYET
- 概率密度函数图像:
- 分布函数图像如下:
一维随机变量函数的分布
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离散型: 若 X ∼ ( x 1 x 2 ⋯ p 1 p 2 ⋯ ) , Y = g ( X ) , 则 Y ∼ ( g ( x 1 ) g ( x 2 ) ⋯ p 1 p 2 ⋯ ) 若X \sim\left(\begin{array}{ccc} x_{1} & x_{2} & \cdots \\ p_{1} & p_{2} & \cdots \end{array}\right) ,~~~~Y= g(X) ,~~~~ 则~Y\sim\left(\begin{array}{ccc} g\left(x_{1}\right) & g\left(x_{2}\right) & \cdots \\ p_{1} & p_{2} & \cdots \end{array}\right) 若X∼(x1p1x2p2⋯⋯), Y=g(X), 则 Y∼(g(x1)p1g(x2)p2⋯⋯)
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连续型: F Y ( y ) = P { Y ⩽ y } = P { g ( X ) ⩽ y } = ∫ g ( x ) ⩽ y f ( x ) d x F_{Y}(y)=P\{Y \leqslant y\}=P\{g(X) \leqslant y\}=\int_{g(x) \leqslant y} f(x) \mathrm{d} x FY(y)=P{Y⩽y}=P{g(X)⩽y}=∫g(x)⩽yf(x)dx
多为随机变量及其分布
F ( x 1 , x 2 , ⋯ , x n ) = P { X 1 ⩽ x 1 , X 2 ⩽ x 2 , ⋯ , X n ⩽ x n } ( x 1 , x 2 , ⋯ x n ) ∈ R n 当 x 1 < x 2 , F ( x 1 , y ) ⩽ F ( x 2 , y ) 当 y 1 < y 2 , F ( x , y 1 ) ⩽ F ( x , y 2 ) F ( x , y ) = P { X ⩽ x , Y ⩽ y } ( x , y ) ∈ R 2 F ( − ∞ , y ) = F ( x , − ∞ ) = F ( − ∞ , − ∞ ) = 0 F ( + ∞ , + ∞ ) = 1 P { x 1 < x ⩽ x 2 , y 1 < y ⩽ y 2 } = F ( x 2 , y 2 ) − F ( x 2 , y 1 ) − F ( x 1 , y 2 ) + F ( x 1 , y 1 ) ⩾ 0 F X ( x ) = P { X ⩽ x } = P { X ⩽ x , Y ⩽ + ∞ } = lim y → + ∞ P { X ⩽ x , Y ⩽ y } = lim y → + ∞ F ( x , y ) = F ( x , + ∞ ) \begin{aligned} & F\left(x_{1}, x_{2}, \cdots, x_{n}\right)=P\left\{X_{1} \leqslant x_{1}, X_{2} \leqslant x_{2}, \cdots, X_{n} \leqslant x_{n}\right\} ~~~~~ \left(x_{1}, x_{2}, \cdots x_{n}\right) \in R^{n} \\\\ & 当 x_{1}<x_{2},~~~F\left(x_{1}, y\right) \leqslant F\left(x_{2}, y\right)\\\\ & 当 y_{1}<y_{2},~~~F\left(x, y_{1}\right) \leqslant F\left(x, y_{2}\right) & F(x, y)=P\{X \leqslant x, Y \leqslant y\} \quad(x, y) \in \mathbf{R}^{2}\\\\ & F(-\infty, y)=F(x,-\infty)=F(-\infty,-\infty)=0 \\\\ & F(+\infty,+\infty)=1\\\\ & P\left\{x_{1}<x \leqslant x_{2}, y_{1}<y \leqslant y_{2}\right\}=F\left(x_{2}, y_{2}\right)-F\left(x_{2}, y_{1}\right)-F\left(x_{1}, y_{2}\right)+F\left(x_{1}, y_{1}\right) \geqslant 0 \\\\ &\begin{aligned} F_{X}(x) &=P\{X \leqslant x\}=P\{X \leqslant x, Y \leqslant+\infty\} \\ &=\lim _{y \rightarrow+\infty} P\{X \leqslant x, Y \leqslant y\} \\ &=\lim _{y \rightarrow+\infty} F(x, y)=F(x,+\infty) \end{aligned} \\\\ \end{aligned} F(x1,x2,⋯,xn)=P{X1⩽x1,X2⩽x2,⋯,Xn⩽xn} (x1,x2,⋯xn)∈Rn当x1<x2, F(x1,y)⩽F(x2,y)当y1<y2, F(x,y1)⩽F(x,y2)F(−∞,y)=F(x,−∞)=F(−∞,−∞)=0F(+∞,+∞)=1P{x1<x⩽x2,y1<y⩽y2}=F(x2,y2)−F(x2,y1)−F(x1,y2)+F(x1,y1)⩾0FX(x)=P{X⩽x}=P{X⩽x,Y⩽+∞}=y→+∞limP{X⩽x,Y⩽y}=y→+∞limF(x,y)=F(x,+∞)F(x,y)=P{X⩽x,Y⩽y}(x,y)∈R2
离散型:
F ( x , y ) = P { X ⩽ x , Y ⩽ y } = ∑ x i ⩽ x , y j ⩽ y p i j P { ( X , Y ) ∈ G } = ∑ ( x i , y j ) ∈ G p i j p i ⋅ = P { X = x i } = ∑ j P { X = x i , Y = y j } = ∑ j p i j ( i = 1 , 2 , ⋯ ) p ⋅ j = P { Y = y j } = ∑ i P { X = x i , Y = y j } = ∑ i p i j ( j = 1 , 2 , ⋯ ) p X ∣ Y ( x i ∣ y j ) = P { X = x i ∣ Y = y j } = P { X = x i , Y = y j } P { Y = y j } = p i j p ⋅ j ( i = 1 , 2 , ⋯ ) \begin{aligned} & F(x, y)=P\{X \leqslant x, Y \leqslant y\}=\sum_{x_{i} \leqslant x, y_{j} \leqslant y} p_{i j} \\\\ & P\{(X, Y) \in G\}=\sum_{\left(x_{i}, y_{j}\right) \in G} p_{i j} \\\\ &p_{i \cdot}=P\left\{X=x_{i}\right\}=\sum_{j} P\left\{X=x_{i}, Y=y_{j}\right\}=\sum_{j} p_{i j}~~~~(i=1,2, \cdots) \\\\ &p_{\cdot j}=P\left\{Y=y_{j}\right\}=\sum_{i} P\left\{X=x_{i}, Y=y_{j}\right\}=\sum_i p_{i j}~~~~(j=1,2, \cdots) \\\\ & \begin{aligned} p_{X \mid Y}\left(x_{i} \mid y_{j}\right) &=P\left\{X=x_{i} \mid Y=y_{j}\right\}=\frac{P\left\{X=x_{i}, Y=y_{j}\right\}}{P\left\{Y=y_{j}\right\}} \\ &=\frac{p_{i j}}{p \cdot j}~~~~(i=1,2, \cdots) \end{aligned} \end{aligned} F(x,y)=P{X⩽x,Y⩽y}=xi⩽x,yj⩽y∑pijP{(X,Y)∈G}=(xi,yj)∈G∑pijpi⋅=P{X=xi}=j∑P{X=xi,Y=yj}=j∑pij (i=1,2,⋯)p⋅j=P{Y=yj}=i∑P{X=xi,Y=yj}=i∑pij (j=1,2,⋯)pX∣Y(xi∣yj)=P{X=xi∣Y=yj}=P{Y=yj}P{X=xi,Y=yj}=p⋅jpij (i=1,2,⋯)
连续型:
F ( x , y ) = P { X ⩽ x , Y ⩽ y } = ∫ − ∞ x ∫ − ∞ y f ( u , v ) d u d v ( x , y ) ∈ R 2 P { ( X , Y ) ∈ G } = ∬ G f ( x , y ) d x d y ∫ − ∞ + ∞ ∫ − ∞ + ∞ f ( x , y ) d x d y = 1 ∂ 2 F ( x , y ) ∂ x ∂ y = f ( x , y ) F X ( x ) = F ( x , + ∞ ) = ∫ − ∞ x [ ∫ − ∞ + ∞ f ( u , v ) d v ] d u f X ( x ) = ∫ − ∞ + ∞ f ( x , y ) d y f Y ( y ) = ∫ − ∞ + ∞ f ( x , y ) d x f Y ∣ X ( y ∣ x ) = f ( x , y ) f X ( x ) f X ∣ Y ( x ∣ y ) = f ( x , y ) f Y ( y ) f ( x , y ) = f X ( x ) f Y ∣ X ( y ∣ x ) = f Y ( y ) f X ∣ Y ( x ∣ y ) F Y ∣ X ( y ∣ x ) = ∫ − ∞ y f Y ∣ X ( v ∣ x ) d v = ∫ − ∞ y f ( x , v ) f X ( x ) d v F X ∣ Y ( x ∣ y ) = ∫ − ∞ x f X ∣ Y ( u ∣ y ) d u = ∫ − ∞ x f ( u , y ) f Y ( y ) d u \begin{aligned} & F(x, y)=P\{X \leqslant x, Y\leqslant y \}=\int_{-\infty}^{x} \int_{-\infty}^{y} f(u, v) \mathrm{d} u \mathrm{~d} v ~~~~~~~\quad(x, y) \in \mathbf{R}^{2} \\\\ & P\{(X, Y) \in G\}=\iint_{G} f(x, y) \mathrm{d} x \mathrm{~d} y \\\\ & \int_{-\infty}^{+\infty}\int_{-\infty}^{+\infty} f(x, y) \mathrm{d} x \mathrm{~d} y=1 \\\\ & \frac{\partial^{2} F(x, y)}{\partial x \partial y}=f(x, y) \\\\ & F_{X}(x)=F(x,+\infty)=\int_{-\infty}^{x}\left[\int_{-\infty}^{+\infty} f(u, v) \mathrm{d} v\right] \mathrm{d} u \\\\ & f_{X}(x)=\int_{-\infty}^{+\infty} f(x, y) \mathrm{d} y \\\\ & f_{Y}(y)=\int_{-\infty}^{+\infty} f(x, y) \mathrm{d} x \\\\ & f_{Y \mid X}(y \mid x)=\frac{f(x, y)}{f_{X}(x)} \\\\ & f_{X \mid Y}(x \mid y)=\frac{f(x, y)}{f_{Y}(y)} \\\\ & f(x, y)=f_{X}(x) f_{Y \mid X}(y \mid x)=f_{Y}(y) f_{X \mid Y}(x \mid y) \\\\ & F_{Y \mid X}(y \mid x)=\int_{-\infty}^{y} f_{Y \mid X}(v \mid x) \mathrm{d} v=\int_{-\infty}^{y} \frac{f(x, v)}{f_{X}(x)} \mathrm{d} v \\\\ & F_{X \mid Y}(x \mid y)=\int_{-\infty}^{x} f_{X \mid Y}(u \mid y) \mathrm{d} u=\int_{-\infty}^{x} \frac{f(u, y)}{f_{Y}(y)} \mathrm{d} u \end{aligned} F(x,y)=P{X⩽x,Y⩽y}=∫−∞x∫−∞yf(u,v)du dv (x,y)∈R2P{(X,Y)∈G}=∬Gf(x,y)dx dy∫−∞+∞∫−∞+∞f(x,y)dx dy=1∂x∂y∂2F(x,y)=f(x,y)FX(x)=F(x,+∞)=∫−∞x[∫−∞+∞f(u,v)dv]dufX(x)=∫−∞+∞f(x,y)dyfY(y)=∫−∞+∞f(x,y)dxfY∣X(y∣x)=fX(x)f(x,y)fX∣Y(x∣y)=fY(y)f(x,y)f(x,y)=fX(x)fY∣X(y∣x)=fY(y)fX∣Y(x∣y)FY∣X(y∣x)=∫−∞yfY∣X(v∣x)dv=∫−∞yfX(x)f(x,v)dvFX∣Y(x∣y)=∫−∞xfX∣Y(u∣y)du=∫−∞xfY(y)f(u,y)du
常见的微微离散型、连续型分布
二维均匀分布
f ( x , y ) = { 1 S D , ( x , y ) ∈ D , 0 , 其他 , f(x, y)=\left\{\begin{array}{cc} \frac{1}{S_{D}}, & (x, y) \in D, \\ 0, & \text { 其他 }, \end{array}\right. f(x,y)={SD1,0,(x,y)∈D, 其他 ,
其中 S D S_D SD 为区域 D D D 的面积
二维正态分布
f ( x , y ) = 1 2 π σ 1 σ 2 1 − ρ 2 exp { − 1 2 ( 1 − ρ 2 ) [ ( x − μ 1 σ 1 ) 2 − 2 ρ ( x − μ 1 σ 1 ) ( y − μ 2 σ 2 ) + ( y − μ 2 σ 2 ) 2 ] } f(x, y)=\frac{1}{2 \pi \sigma_{1} \sigma_{2} \sqrt{1-\rho^{2}}} \exp \left\{-\frac{1}{2\left(1-\rho^{2}\right)}\left[\left(\frac{x-\mu_{1}}{\sigma_{1}}\right)^{2}-2 \rho\left(\frac{x-\mu_{1}}{\sigma_{1}}\right)\left(\frac{y-\mu_{2}}{\sigma_{2}}\right)+\left(\frac{y-\mu_{2}}{\sigma_{2}}\right)^{2}\right]\right\} f(x,y)=2πσ1σ21−ρ21exp{−2(1−ρ2)1[(σ1x−μ1)2−2ρ(σ1x−μ1)(σ2y−μ2)+(σ2y−μ2)2]}
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μ1∈R,μ2∈R,σ1>0,σ2>0,−1<ρ<1, 则称
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随机变量的相互独立性
F ( x , y ) = F X ( x ) ⋅ F Y ( y ) ⟺ X 与 Y 相 互 独 立 F ( x 1 , x 2 , ⋯ , x n ) = F 1 ( x 1 ) ⋯ F n ( x n ) ⟺ X 1 , X 2 , ⋯ , X n 相 互 独 立 P { X 1 ⩽ x 1 , ⋯ , X n ⩽ x n ; Y 1 ⩽ y 1 , ⋯ , Y m ⩽ y m } = P { X 1 ⩽ x 1 , ⋯ , X n ⩽ x n } ⋅ P { Y 1 ⩽ y 1 , ⋯ , Y m ⩽ y m } 即 F ( x 1 , ⋯ , x n , y 1 , ⋯ , y m ) = F 1 ( x 1 , ⋯ , x n ) ⋅ F 2 ( y 1 , ⋯ , y m ) ⟺ ( X 1 , X 2 , ⋯ , X n ) 与 ( Y 1 , Y 2 , ⋯ , Y m ) 相 互 独 立 P { X 1 = x 1 , ⋯ , X n = x n } = ∏ n P { X i = x i } ( 离 散 型 , 且 相 互 独 立 ) f ( x 1 , x 2 , ⋯ , x n ) = f 1 ( x 1 ) ⋅ f 2 ( x 2 ) , ⋯ , f n ( x n ) ( 连 续 型 , 且 相 互 独 立 ) X , Y 独 立 ⟹ P { X = x i ∣ Y = y j } = P { X = x i } ( P { Y = y j } > 0 ) P { Y = y j ∣ X = x i } = P { Y = y j } ( P { X = x i } > 0 ) ( 离 散 型 ) X , Y 独 立 ⟹ f X ∣ Y ( x ∣ y ) = f ( x , y ) f Y ( y ) = f X ( x ) ( f Y ( y ) > 0 ) f Y ∣ X ( y ∣ x ) = f ( x , y ) f X ( x ) = f Y ( y ) ( f X ( x ) > 0 ) X 1 , X 2 , ⋯ , X n 相 互 独 立 ⟹ g 1 ( X 1 ) , g 2 ( X 2 ) , ⋯ , g n ( X n ) 相 互 独 立 ( g ( x ) 为 一 元 连 续 函 数 ) \begin{aligned} & F(x, y)=F_{X}(x) \cdot F_{Y}(y) \iff X与Y相互独立 \\\\ & F\left(x_{1}, x_{2}, \cdots, x_{n}\right)=F_{1}\left(x_{1}\right) \cdots F_{n}\left(x_{n}\right) \iff X_1,X_2,\cdots,X_n 相互独立 \\\\ & P\left\{X_{1} \leqslant x_{1}, \cdots, X_{n} \leqslant x_{n} ; Y_{1} \leqslant y_{1}, \cdots, Y_{m} \leqslant y_{m}\right\}=P\left\{X_{1} \leqslant x_{1}, \cdots, X_{n} \leqslant x_{n}\right\} \cdot P\left\{Y_{1} \leqslant y_{1}, \cdots, Y_{m} \leqslant y_{m}\right\} \\ & 即 ~F\left(x_{1}, \cdots, x_{n}, y_{1}, \cdots, y_{m}\right)=F_{1}\left(x_{1}, \cdots, x_{n}\right) \cdot F_{2}\left(y_{1}, \cdots, y_{m}\right) \\ & \iff (X_1,X_2,\cdots, X_n) 与(Y_1,Y_2,\cdots, Y_m) 相互独立 \\\\ & P\left\{X_{1}=x_{1}, \cdots, X_{n}=x_{n}\right\}=\prod^{n} P\left\{X_{i}=x_{i}\right\} ~~~~~(离散型,且相互独立) \\\\ & f\left(x_{1}, x_{2}, \cdots, x_{n}\right)=f_{1}\left(x_{1}\right) \cdot f_{2}\left(x_{2}\right), \cdots, f_{n}\left(x_{n}\right) ~~~(连续型,且相互独立)\\\\ & X,Y独立 \implies \begin{array}{ll} P\left\{X=x_{i} \mid Y=y_{j}\right\}=P\left\{X=x_{i}\right\} & \left(P\left\{Y=y_{j}\right\}>0\right) \\ P\left\{Y=y_{j} \mid X=x_{i}\right\}=P\left\{Y=y_{j}\right\} & \left(P\left\{X=x_{i}\right\}>0\right) \end{array} ~~~(离散型)\\\\ & X,Y独立 \implies \begin{aligned} &f_{X \mid Y}(x \mid y)=\frac{f(x, y)}{f_{Y}(y)}=f_{X}(x) \quad\left(f_{Y}(y)>0\right) \\ &f_{Y \mid X}(y \mid x)=\frac{f(x, y)}{f_{X}(x)}=f_{Y}(y) \quad\left(f_{X}(x)>0\right) \end{aligned} \\\\ & X_1,X_2,\cdots ,X_n 相互独立 \implies g_1(X_1),g_2(X_2),\cdots,g_n(X_n) 相互独立 ~~~(g(x)为一元连续函数) \end{aligned} F(x,y)=FX(x)⋅FY(y)⟺X与Y相互独立F(x1,x2,⋯,xn)=F1(x1)⋯Fn(xn)⟺X1,X2,⋯,Xn相互独立P{X1⩽x1,⋯,Xn⩽xn;Y1⩽y1,⋯,Ym⩽ym}=P{X1⩽x1,⋯,Xn⩽xn}⋅P{Y1⩽y1,⋯,Ym⩽ym}即 F(x1,⋯,xn,y1,⋯,ym)=F1(x1,⋯,xn)⋅F2(y1,⋯,ym)⟺(X1,X2,⋯,Xn)与(Y1,Y2,⋯,Ym)相互独立P{X1=x1,⋯,Xn=xn}=∏nP{Xi=xi} (离散型,且相互独立)f(x1,x2,⋯,xn)=f1(x1)⋅f2(x2),⋯,fn(xn) (连续型,且相互独立)X,Y独立⟹P{X=xi∣Y=yj}=P{X=xi}P{Y=yj∣X=xi}=P{Y=yj}(P{Y=yj}>0)(P{X=xi}>0) (离散型)X,Y独立⟹fX∣Y(x∣y)=fY(y)f(x,y)=fX(x)(fY(y)>0)fY∣X(y∣x)=fX(x)f(x,y)=fY(y)(fX(x)>0)X1,X2,⋯,Xn相互独立⟹g1(X1),g2(X2),⋯,gn(Xn)相互独立 (g(x)为一元连续函数)
多维随机变量函数的分布
P { U = g ( x i , y i ) } = P { X = x i , Y = y j } = p i j F U ( u ) = P { U ⩽ u } = P { g ( X , Y ) ⩽ u } = ∑ g ( x i , y j ) ⩽ u P { X = x i , Y = y j } \begin{aligned} & P\left\{U=g\left(x_{i}, y_{i}\right)\right\}=P\left\{X=x_{i}, Y=y_{j}\right\}=p_{i j} \\\\ & F_{U}(u)=P\{U \leqslant u\}=P\{g(X, Y) \leqslant u\}=\sum_{g\left(x_{i}, y_{j}\right) \leqslant u} P\left\{X=x_{i}, Y=y_{j}\right\} \end{aligned} P{U=g(xi,yi)}=P{X=xi,Y=yj}=pijFU(u)=P{U⩽u}=P{g(X,Y)⩽u}=g(xi,yj)⩽u∑P{X=xi,Y=yj}