diff --git a/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.pdf b/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.pdf index 457296f..331155a 100644 Binary files a/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.pdf and b/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.pdf differ diff --git a/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.tex b/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.tex index b0f6785..980beec 100644 --- a/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.tex +++ b/probability-theory-and-mathematical-statistics/exercise/5-mathematical-statistics/mathematical-statistics.tex @@ -84,6 +84,26 @@ $\therefore\dfrac{X_1^2+X_2^2+\cdots+X_{10}^2}{9}\sim\chi^2(10)$,$\dfrac{X_{11 $\therefore\dfrac{\dfrac{X_1^2+X_2^2+\cdots+X_{10}^2}{9}/10}{\dfrac{X_{11}^2+X_{12}^2+\cdots+X_{15}^2}{9}/5}=\dfrac{X_1^2+X_2^2+\cdots+X_{10}^2}{2X_{11}^2+X_{12}^2+\cdots+X_{15}^2}=Y\sim F(10,5)$。 +\textbf{例题:}已知$(X,Y)$的概率分布函数为$f(x,y)=\dfrac{1}{2\pi}e^{-\frac{1}{2}(x^2+y^2-2y+1)}$,$x,y\in R$,求$\dfrac{X^2}{(Y-1)^2}$的分布。 + +解:$f(x,y)=\dfrac{1}{2\pi}e^{-\frac{1}{2}(x^2+y^2-2y+1)}=\dfrac{1}{2\pi}e^{-\frac{1}{2}(x^2+(y-1)^2)}$,所以根据二维正态分布的形式,得到$(X,Y)\sim(0,1;1,1;0)$。 + +即$X\sim\varPhi(x)$,$Y-1\sim\varPhi(x)$,$\therefore X^2\sim\chi^2(1)$,$(Y-1)^2\sim\chi^2(1)$,$\therefore\dfrac{X^2}{(Y-1)^2}\sim F(1,1)$。 + +\subsection{函数分布} + +\textbf{例题:}设随机变量$X\sim t(n)$,$Y\sim F(1,n)$,常数$C$使得$P\{X>C\}=0.6$,求$P\{Y>C^2\}$。 + +解:$X\sim t(n)$,则$X=\dfrac{X_1}{\sqrt{Y_1/n}}\sim t(n)$,其中$X_1\sim N(0,1)$,$Y_1\sim\chi^2(n)$。 + +$\therefore X^2=\dfrac{X_1^2}{Y_1/n}=\dfrac{X_1^2/1}{Y_1/n}\sim\dfrac{\chi^2(1)/1}{\chi^2(n)/n}=F(1,n)$。 + +又$P\{Y>C^2\}=1-P\{Y\leqslant C^2\}$。$P\{X^2>C^2\}=1-P\{X^2\leqslant C^2\}$。 + +又$P\{X^2\leqslant C^2\}=P\{-C\leqslant X\leqslant C\}$,根据偶函数性质$=0.2$。 + +$\therefore P\{X^2>C^2\}=0.8$。 + \section{参数估计} \subsection{矩估计}