919 PDF

519.
2
22.171; 22.172
49
:
.. ,
..
49
..
. 2-
, . .: . 2011. 368 .
ISBN 978-5-211-05846-0
, (
. .. )
,
, , , , . :
, , . 200
.
,
,
.
: ; ; ;
; ; ;
.
The content of the textbook is composed of the lectures in probability theory
and mathematical statistics for students of the Faculty of Computational
Mathematics and Cybernetics of Moscow University, Universities of Liege,
Brussels, Berlin, Madagascar, USA (St. Louis, Chicago)
G. P. Klimov, PhD, D.Sc. (Prof. of Appl.Math & Computer Modeling
Dept., Gubkin Russian State Oil & Gas University) has lectured in mathematical
statistics at Moscow University. His scientific interests lie in the field of random
processes, queue theory, invariant statistical inference, and applied mathematical
statistics. He is the author of more than 150 papers and 20 books published in
Russia, German, English, Polish, French, Bulgarian. Prof. G. P. Klimov has also
held courses of lectures at the Sorbonne, Universities of Liege, Brussels, Berlin,
Madagascar, USA, and Stefan Banach international mathematical center in
Warsaw.
Key words: Probability; random variable; Markov chain; Regenerative process;
Stationary process; Statistical structure; Multidimensional analysis.
519.2
22.171; 22.172
ISBN 978-5-211-05846-0
, 1983
, 2011
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1.
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10
1. . . . . . .
1. . . . . . . . . . . . . . . . . . . . . . .
2. . . . . . . . . . . . . . . . . . . .
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8. . . . . . . . . . . . . . . . . . . . . .
9. . . . . . . . .
10. . . . . . . . . . . . . . . .
11.
(..) . . . . . . . . . . . . . . . . . . . . . . . . . .
12. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13. ... . . . . . . .
14. . . . . . . . . . . . . . . . . . . . . .
15. . . . . . . . . . . . . . . . . . .
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17. - . . . . . . . . . .
18.
19. . . . . . . . . . . . . . . . . . . . . . . . .
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11
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32
36
2. . . . . . . . . . . . . . .
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7. .. . . . . .
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9. ; ; . . . . . . . . . . . . . . . . . . . . . . .
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11. . . . . . . . . . . . .
12. - . . . . . . . . . . . . . . . . . . . . . . .
13. - . . . . . . . . .
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15. .. . . . . . . . .
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21. . . . . . . . . . . . . . .
22. . . . . . . . . . . . . . . . . . . . . . . .
38
38
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43
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49
50
51
55
58
63
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66
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72
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81
86
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93
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98
2.
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3. ( ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.
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2. . . . . . . . . . . . . .
3. . . . . . . . . . . .
121
121
124
130
4. . . . . . . . . . . . . . . . . . . . . . . . . . .
5. . . . . . . . . . . .
6.
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7.
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132
136
4. . . . .
1. .
2. .
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153
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157
157
5. . . . . . . . . . . .
1. . . . . . . . .
2. .
3.
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162
162
164
168
6. . . . . . . . . . . . . .
1. .. . . . . . . . . . . . . . . . . . . . . . .
2. ..
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3. . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . .
5. C . . . . .
6. . . . . . . . . . . . . . . . . . . . . . . . . .
7.
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173
174
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144
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1. .
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3.
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139
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175
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196
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201
8. . . . . . . . . . . . . . . . . .
1. ( ) ;
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2.
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3. . . . . . . . .
4. . . . . . . . . . . .
203
204
206
209
214
. . . . . . . . . . . . . 221
1.
2.
3.
4.
5.
6.
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7. . . . . . . . . . .
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221
222
224
227
229
230
235
237
3.
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1.
2. . . . . . . . . . . .
3. . . . . . .
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253
253
255
257
9. .
1. . . . . . . . . . . . . . . . . . . .
2. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . . . . . . . .
5. . . . . . . . . . . . . . . . . . . . . .
6.
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259
259
260
261
262
263
10. : . . . . . .
1. (....) .
2. .... . . . . . . . . . . . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . . . . . . . .
5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6. . . . . . . .
7. . . . . . . . .
8. .... . . . . .
269
269
271
271
274
276
279
281
284
11. :
. . . . . . . . . . . . . . . . . . . . . . . . . .
1. . . . . . . . .
2. . . . . . . . . . . . . . . . . .
3. ... . . . . . . . . . . . . . . . . .
284
284
288
289
. . . . .
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265
4. ... . . . . . . . . . . . . .
294
12. :
1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. . . . . . . . . . . . . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . . . .
5. . . . . . . . . . . . . . . .
298
298
299
300
302
305
13. . . . . . . . . . . . . . . . . . .
1. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. . . . .
3. . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5. . . . . . .
6.
308
308
310
310
14. . . .
1. . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. = (, a) .
3. . . . .
4. . . . . . . . . . . . . . . . . . . .
5.
= (, a) . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.
bb
a . . . . . . . . . . . . . . . . . . . .
7. a . . . . . . . . . . . . .
311
311
315
. . .
. . .
. . .
. . .
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. . .
317
317
318
320
320
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328
329
330
331
16. . . . . . . . . . . . . . . .
1. . . . . . . . . . . . . . . . . . . . . . . . .
2. s
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3. . . . . .
332
332
338
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
340
15. . . . . . . . . . . . .
1. . . . . . . . . . . . . . . .
2. .
3. .
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321
323
326
334

. (5-, 6-,
7-)
( 5- , 6 7
).
: , , . 200
: 100 1-
, 50 2- 3- ( ).
1- .
1. .
. , , .
2. . , , , ,
.
3. , ,
, , (, ).
:

, , . ,
, ,
. ,
( ).
(
).
( , , , , ).
( , ..., -)
( ). (
, ).

,
.
. .
- ,
.. 1929 .
,
. = {}
A , . , ,
A . A , .. ,
.
. , - , , ,
, .. , .
() ,
.

, ,
10
. 1.
11
,
.
1

1.
= {} . ,
.
A .
S , S .
, , P () ,
X
P () > 0,
P () = 1.
P () .
A
X
P (A) =
P ().
A
1.
= {1 , . . . , N },
P (k ) = 1/N k,
P (A) =
|A|
r
=
,
N
||
r = |A| , A.
.
2.
,
= {, , , },
= , = . n-
,
= (1 , . . . , n ),
12
1.
i = i. , . 1, N = 2n . , , i = 0 1 i.
A = {(l , . . . , n ) : 1 + . . . + n = k}
k = 0, 1, . . . , n.
|A| = Cnk P (A) = Cnk /2n .
, A k
n- .
3 (, ). I II, , , . , .
1 = ,
2 = ,
3 = ,
........
= {1 , 2 , . . .}, P (k ) = 2k ; , P () = 1. A = {2k+1 :
k > 0} , , I.
, I,
X
X
P (A) =
P (2k+1 ) =
2(2k+1) = 2/3.
k>0
k>0
2.
:
( );
S (!) ( );
P , S ( P (A) A S).
, :
1. S -, ..
1) A S Ac = \ A S.
2) Ai S i = 1, 2, . . . Ai S, Ai S.
2. P , S,
1) , .. P () = 1,
2) , .. P (A) > 0 A S,
. 1.
13
X X
3) -, .. P
Ai =
P (Ai ).
X
Ai = Ai , Ai Aj = i 6= j. A B ,
A B = , .
(, S, P ) . , . , .
( )
= {k } k pk = P (k )
X
, pk > 0
pk = 1.
:
...
p1
p2
...
pN
1 2 (!), ,
1) S P () = 0,
2) A B A B P (A) 6 P (B),
3) P (A B) = P (A) + P (B) P (AB),
S X
4) P
Ak 6
P (Ak ),
5) An A, P (A) = lim P (An ),
n
6) An A, P (A) = lim P (An ).

n
An A
A1 A2 . . . A = An ,
An A
A1 A2 . . . A = An .
, , .
3.
A B , P (AB) = P (A) P (B).
1. , :
14
1.
1/4
1/4
1/4
1/4
A = {, } ,
; B = {, } ,
. A B
,
AB = {},
P (AB) = 1/4,
1
1
1
+ = ,
4
4
2
1
1
1
P (B) = P () + P () = + = ,
4
4
2
P (A) = P () + P () =
P (AB) = P (A) P (B).
{Ai : i I} . ,
, ,
\ Y
P
Aj =
P (Aj )
jJ
jJ
J I.
2 ( , ). = {0 , 1 , 2 , 3 } P (k ) = 1/4 k = 0, 1, 2, 3.
Ai = {0 , i }, i = 1, 2, 3; . . 1. ,
A1 , A2 , A3 , . ,
0
1
A1
P (Ai ) = P (0 ) + P (i ) =
1
1
1
+ =
i = 1, 2, 3,
4
4
2
1
P (Ai Aj ) = P (0 ) = =
4
1 1
= = P (Ai ) P (Aj ) i 6= j,
2 2
A3
A2
.. A1 , A2 , A3 .
. 1.
P (Al A2 A3 ) = P (0 ) =
1
1
6= P (A1 ) P (A2 ) P (A3 ) = ,
4
8
.. A1 , A2 , A3 .
. 1.
15
4.
, .
1 1,
|| = N P () = 1/N
A B . , A. N n = |A|.
PA (B) B.
n B k = |AB|
.
PA (B) =
k/N
P (AB)
k
=
=
.
n
n/N
P (A)
.
A B . P (AB)/P (A), P (A) 6= 0,
B A ( : , A) PA (B) P (B/A) P (B:A). PA (B) ,
P (A) = 0. ,
P (AB) = P (A) PA (B).
, P (A) = 0, A B (!). P (A) > 0, A B ,
PA (B) = P (B).
(, S, P ) , A S P (A) > 0,
(A , SA , PA ) .
A = A = A,
SA = {AC : C S},
PA (B) = P (AB)/P (A) = P (B)/P (A) B SA .

(A , SA , PA ) A.
5.
n
[
1

Ai = P (A1 ) + . . . + P (An )
P (A1 A2 ) P (A1 A3 ) . . . P (An1 An ) + P (A1 A2 A3 )+
+ P (A1 A2 A4 ) + . . . + P (An2 An1 An ) + (1)n+1 P (A1 . . . An ). (1)
16
1.
n = 2 2. n > 1
( n
12 2)
P
n+1
[
1
n
n
n

[

[

[

Ai = P
Ai An+1 = P
Ai + P (An+1 ) P
Ai An+1 .
1
i=1
,
.
( )
,
n
n
[
c
\
Ai =
Aci ,
1
( n). (1)
.
( ). n , . . , n! .
, ?
Ai , , i-
. () n!
Ai (n 1)! (). ,
P (Ai ) =
(n 1)!
.
n!
Ai Aj i 6= j , i- j-
;
P (Ai Aj ) =
n
S
(n 2)!
1
, . . . , P (A1 . . . An ) = .
n!
n!
Ai ,
. .
(1)
Cn1 , Cn2 , . . . , Cnn ,
P
n
[
1

(n 1)!
(n 2)!
(n 3)!
Ai = Cn1
Cn2
+ Cn3
...+
n!
+ (1)n+1 Cnn
n!
n!
1
1
1
1
= 1 + . . . + (1)n+1 =
n!
2! 3!
n!

1
1
1
1
= 1 1 + + . . . + (1)n
.
1!
2!
3!
n!
. 1.
17
(n + 1)
ex x x = 1. ,
P
n
[
1

Ai 1 e1 n .
6.
X
=
Ek P (Ek ) > 0.
k
P (A) =
X
k
P (Ek ) PEk (A) .
X
A = A =
AEk , - P .
. N n . Ak , , k- . ( ), P (Ak ) = n/N . P (A2 ) , ,
. ( = A1 + Ac1 = E1 + E2 ):
P (A2 ) = P (A1 )P (A2 |A1 ) + P (Ac1 )P (A2 |Ac1 ) =
=
n n1
N n
n
n
= .
N N 1
N
N 1
N
, P (Ak ) = n/N 1 6 k 6 N ,
P (Ak ) ,
. ,
, , , , .
7.
X
=
Ek Ek , . .
P (Ek ). A. Ek ?
, PA (Ek )
P (Ei ) PEi (A)
i.
18
1.

P (Ek )PEk (A)
PA (Ek ) = X
P (Ei )PEi (A)

PA (Ek ) =
P (AEk )
,
P (A)
.
,
P (A) > 0 P (Ei ) > 0 i.
, {P (Ei )} , {PA (Ei )} A ( , A).
8.
.
1. m . m1 m2
, m1 + m2 = m. . , , .
n . . Ak ,
, k ( n k ).
.
1, 2, . . . , m, n
= (1 , . . . , n ),
i i- ,
i m 1, 2, . . . , m.
= {} P () = 1/||.
|| = mn . Ak
|Ak | = Cnk mk1 mnk
2
. ,
k nk
|Ak |
m1
m2
= Cnk
,
pk = P (Ak ) =
||
. 1.
19
pk = Cnk pk q nk ; k = 0, 1, . . . , n,
p=
m1
,
m
q=1p=
m2
.
m
(p0 , p1 , . . . , pn ) n p.
2. ,
. P (Ak ) Ak , , n k .
, n 6 m.
1, 2, . . . , m. n
= (1 , . . . , n ),
i i-o ,
1 , . . . , n . = {},
|| = m(m 1) . . . (m n + 1) = m(n) .
Ak
(k)
(nk)
|Ak | = Cnk m1 m2
. ,
(k)
pk = P (Ak ) =
(nk)
|Ak |
m m2
= Cnk 1 (n)
||
m
; k = 0, 1, . . . , n.
(p0 , p1 , . . . , pn ) .
3. , m
, , r . mi i-o ; i = 1, . . . , r; m1 + . . . + mr = m.
. Ak
, , n k1 1- , . . ., kr r- ; k = (k1 , . . . , kr ),
k1 + . . . + kr = n.
pk = P (Ak ) =
n!
pk1 . . . pkr r ,
k1 ! . . . kr ! 1
pi = mi /m, a k {k = (k1 , . . . , kr ) : ki > 0,

k1 + . . . + kr = n}. {pk } .
20
1.
4. ,
(k )
pk = P (Ak ) =
(kr )
m 1 . . . mr
n!
1
k1 ! . . . kr !
m(n)
, n 6 m.
{pk }
.
9. .
: R1 = {k } R1
(...). : Rn ; Rn n- . ,
, .
1. 3 1 ... ,
,
(k ) = k, k = 1, 2, . . .
... ,
X
(k )P (k )
k
. , ..
X
E =
()P (),
(..) ( ) ...
2. , 3 1,
1
X
E =
k2k = 2.
k>1
... , , . ...
...:
x1
x2
...
xN
...
p1
p2
...
pN
...
. 1.
pk = P ( = xk )
21
pk = 1.
k>1
E =
xk pk .
k>1
.
. ... x1 , x2 , . . .
A1 , A2 , . . ..
...
X
xk P (Ak ).
k
,
E =
xk P (Ak ).
.
X
X
|()|P ()
|xk |P (Ak ),
.
i
X
Xh X
|()|P () =
|()|P () =
Ak
X
k
|xk |
P () =
Ak
X
k
|xk |P (Ak ).
,
X
X
E =
()P () =
xk P (Ak ).
. .. .
. , . .
3. 1 5
. ,
P ( = k) = Cnk pk q nk ; k = 0, 1, . . . , n.
22
1.
, { = k}
{ : () = k} = Ak .

E =
n
X
kCnk pk q nk = np.
k=0
10.
..., {xi }
{yj } . ... ,
{ = xi } { = yj }
(i, j). ... (
; . 3).
1. {1 , . . . , m , 1 , . . . , n } ..., ...
f (1 , . . . , m ) g(1 , . . . , n )
(f g ).
.
= (1 , . . . , m ),
= (1 , . . . , n ).
,
P { = x, = y} = P { = x} P { = y}

x = (x1 , . . . , xm ),
y = (y1 , . . . , yn ).
,
P {f () = u, g() = v} = P {f () = u) P {g() = v}
u v. ,
P {f () = u, g() = v} = P { f 1 (u), g 1 (v)} =
= P { f 1 (u)} P { g 1 (v)} = P {f () = u} P {g() = v},
. 1.
nX X
o
P { A, B} = P
( = x, = y) =
=
=
xA
xA yB
P ( = x, = y) =
x,y
P ( = x)
X
x,y
P ( = y) = P
yB
23
P ( = x) P ( = y) =
nX
xA
o
nX
o
( = x) P
( = y) =
yB
= P { A} P { B}.
2. {1 , . . . , n } ...,
...
f1 (i1 , . . . , j1 ), f2 (i2 , . . . , j2 ), . . . , fm (im , . . . , jm )
( 1 6 i1 6 j1 < i2 6 j2 < . . .
. . . < im 6 jm 6 n; f1 , . . . , fm ).
, 1, 1.
11.
(..)
1 . .. ...
, + ...
E( + ) = E + E,
E() = E.
.
2 . ..
..., ...
E( ) = E E
( ... ,
... ... ).
. {xi } .. ;
{yj } ... .
Ai = { : () = xi },
Bj = { : () = yj }.
...
P (Ai Bj ) = P (Ai ) P (Bj ).
24
1.
X
X X
E( ) =
()()P () =
()()P () =
=
X
i,j
xi yj
Ai Bj
i,j Ai Bj
P () =
xi yj P (Ai Bj ) =
i,j
X
i
X
i,j
xi P (Ai )
xi yj P (Ai ) P (Bj ) =
X
j
yj P (Bj ) = E E,
... , , . ,
9.
. 1 , . . . , n ...,
... 1 . . . n
E(1 . . . n ) = E1 . . . En .
1
10. , n = 2 .
1 10 ... (1 . . . n1 ) n ,
E(1 . . . n ) = E(1 . . . n1 ) n = E(1 . . . n1 ) En .
12.
...; E k k-o (
... k , E k = ).
E( E)k k-o . , k = 2 var = D = E( E)2 ,
( ) ... .
...
cov (, ) = E( E)( E),
cor (, ) =
cov (, )
(var var )1/2
... .
var = 0 / var = 0, cor (, ) . ,
(!)
1 6 cor (, ) 6 +1
cor (, ) = 0 ... .
cor (, ) = 0, ... . ...
( ).
. 1.
25
13. ...
1 , . . . , n ... ( ), = 1 + . . . + n , Ei2 < i,
D = D1 + . . . + Dn .
..
...; . 11.
. Ei = 0, 1 6 i 6 n,
X
X
X
X
Ei2 Ej2 6=
Ei4 .
E 3 =
Ei3 , E 4 =
Ei4 + 3
i6=j
14.
... x0 , x1 , . . . p0 ,
p1 , . . .. {pk }, .. (p0 , p1 , . . .)
X
, pk > 0 k
pk = 1, k>0
p(z) z,
|z| 6 1
X
p(z) =
pk z k .
k>0
p(z)
{pk } {pk }. ,
Z
p(z)
1
pk =
dz; k = 0, 1, 2, . . .
(1)
k+1
2i
|z|=1

pk =
1 (k)
p (0).
k!
,
{pk } p(z), |z| 6 1,
-.
1. xk = k k.
p(z) = Ez ,
E = p (1),
E 2 = p (1) + p (1),
26
1.
E (k) = p(k) (1); k = 1, 2, . . . ,
(k) = ( 1) . . . ( k + 1).
2. 1 , . . . , n ...,
N = {0, 1, 2, . . .}; p1 (z), . . . , pn (z) = 1 + . . . + n .
, ... ,
p(z) = p1 (z) . . . pn (z) |z| 6 1.
, ..
..., . 11,
p(z) = Ez = Ez 1 . . . z n = Ez 1 . . . z n = p1 (z) . . . pn (z).
15.
) ..., 1 0
p q = 1 p .
E = 1 p + 0 q = p,
var = E( p)2 = (1 p)2 p + (0 p)2 q = pq,

p(z) = Ez = pz + q.
) 1 , . . . , n ...,
1 0 p q = 1 p .
...
= 1 + . . . + n
Bi(n, p).
E = np,
var = npq,
p(z) = Ez = (pz + q)n .
... n p .
) ... 0, 1, . . . , n.
pk = P ( = k).
pk :
p(z) = Ez =
n
X
pk z = (pz + q) =
k=0
pk = Cnk pk q nk ,
n
X
Cnk pk q nk z k ,
k=0
k = 0, 1, . . . , n.
. 1.
27
) ... 1 2 Bi(n1 , p)
Bi(n2 , p) , ... = 1 + 2
Bi(n1 + n2 , p).
p(z) = Ez = Ez 1 Ez 2 = p1 (z) p2 (z) =
= (pz + q)n1 (pz + q)n2 = (pz + q)n1 +n2
- .
16.
) ... 0, 1, 2, . . .;
> 0
P ( = k) =
k
e ;
k!
k = 0, 1, 2 . . .
Po().
p(z) = Ez =
k>0
E = p (1) = ;
zk
k
e = e(z1) ,
k!
var = p (1) + p (1) [p (1)]2 = .
) 1 2 ..., 1 2 . ... = 1 + 2
= 1 + 2 .
p(z) = Ez = Ez 1 Ez 2 = e1 (z1) e2 (z1) = e(z1) .
17. -
) p , . 1 + . ...
0, 1, 2 . . ..
P ( = k) = q k p, k > 0, q = 1 p,
p(z) = Ez =
p
,
1 qz
q
p
E = ,
var =
... Bi(1, p).
q
.
p2
28
1.
. ,
0 = , 1 = , 2 = , . . . , k = . . . , . . .
| {z }
k
( = , = );
P (k ) = q k p,
(k ) = k.
) ,
n .
n + , = 0, 1, 2, . . .. ,
= 1 + . . . + n ,
... 1 , . . . , n
Bi(1, p). ...

n
p
p(z) =
.
1 qz
... Bi(n, p).

- .
q
p
E = n ,
var = n
q
.
p2
) pk = P ( = k); k = 0, 1, 2, . . ..
X
1
=
zN
1z
N >0
m ,
X
m!
=
N (N 1) . . . (N m + 1)z N m ,
(1 z)m+1
N >m
X
zm
m N
=
CN
z ,
m+1
(1 z)
|z| < 1.
N >m
,
p(z) =
(qz)n1
pn
pn
=
= pn
(1 qz)n
(qz)n1 (1 qz)n
n1
CN
(qz)N n+1 =
N >n1
= pn
k>0
n1
Ck+n1
qk z k =
k>0
pk z k ,
. 1.
29
N n + 1 = k,
n1
pk = Ck+n1
pn q k ;
k = 0, 1, 2, . . .
) ... 1 2 Bi(n1 , p)
Bi(n2 , p) , ... = 1 + 2 Bi(n1 + n2 , p).

n1
n2
n1 +n2
p
p
p
p(z) = Ez = Ez 1 Ez 2 =
=
.
1 qz
1 qz
1 qz
18.
Bi(n, p) n p
,
n ,
Cnk pk q nk
np = = const,
k
e ; k = 0, 1, 2, . . .
k!
, .
:

k k nk k
e 6 np2 , = np,
Cn p q
k!
k = 0, 1, 2, . . ., Cnk pk q nk = 0 k > n.
.
1 , . . . , n ..., 1
0;
P (s = 1) = ps ,
P (s = 0) = qs = 1 ps ;
s = 1, . . . , n.
= 1 + . . . + n
k = P ( = k), k =
= p1 + . . . + pn ,
k
e ; k = 0, 1, 2, . . . ;
k!
= p21 + . . . + p2n .
. |k k | 6 k.
. ) {k }
{k }
p1 (z) = Ez = Ez 1 . . . Ez n =
n
Y
(ps z + qs ).
s=1
30
1.
X
p2 (z) =
k z k = e(z1) .
k>0

k =
1
2i
p1 (z)
dz,
z k+1
k =
1
2i
|z|=1
p2 (z)
dz,
z k+1
|z|=1
(. (1) 14),
Z

1
|k k | =
2i
|z|=1
p1 (z) p2 (z)
1
dz 6
2
z k+1
Z2
0
|p1 (ei ) p2 (ei )| d. (1)
, .
) a1 , . . . , an , b1 , . . . , bn , |as | 6 1
|bs | 6 1 s = 1, . . . , n.
n
n
n
Y
X
Y

as
bs 6
|as bs |.

1
. n = 1 ;
n = 2
|a1 a2 b1 b2 | = |(a1 a2 b1 a2 ) + (b1 a2 b1 b2 )| 6
6 |a1 b1 | |a2 | + |a2 b2 | |b1 | 6 |a1 b1 | + |a2 b2 |.
n = 2 , n = m 1,
m
m
m1
m1
Y

Y
Y
Y

as
b s = am
as b m
bs 6

1
m1
m1
m1
Y
X
Y
6 |am bm | +
as
bs 6 |am bm | +
|as bs | =
1
m
X
1
) w |w| 6 1, Re w 6 0,
1
2
|ew 1 w| 6 |w|2 .
|as bs |.
. 1.
31
,
Zw
e 1 w = (eu 1) du,
w
e 1=
Zu
ev dv
[0, w] [0, u], Re w 6 0, Re u 6

6 0.
Z|u|
Zu
Z|u|

v
v
d|v| = |u|,
e dv 6 |e | d|v| 6
0
Zw
0

(e 1) du 6
u
Z|w|
0
Z|w|
1
|e 1| d|u| 6 |u| d|u| = |w|2 .
u
as = ps z + qs = 1 + ps (z 1),
bs = eps (z1) ,
|z| 6 1, |as | 6 1 |bs | 6 1.

n
n
n
Y
X
Y

|p1 (z) p2 (z)| =
as
bs 6
|as bs | =
1
n
X
1
|ews 1 ws | 6
i
n
X
1
1
2
|ws |2 = |z 1|2 = (1 cos ),
ws = ps (z 1) z = e . (1)

1
2
Z2
0
(1 cos ) d = .
19.
A . IA ,
(
1, A,
IA () =
0, 6 A,
. . ; . 10 . 2.
.
32
1.
1 . IA ...
2 . EIA = P (A).
k
3 . IA
= IA k = 1, 2, . . .; IAc = 1 IA ,
IAB = IA IB ,
IA+B = IA + IB ;
( ). A B = A + BAc ,
IAB = IA + IBAc = IA + IB IAc = IA + IB IAB ,
P (A B) = EIAB = P (A) + P (B) P (AB).
20.
P {|| > } 6
E||k
k
k > 0 > 0.
, A = {|| > },
||k > ||k IA > k IA ,
E||k > k EIA = k P (A).

. k = 2 E,
var
P {| E| > } 6 2 .
21.
n ... 1 , . . . , n , 1 0 p q = 1 p . Sn = 1 + . . . + n .
n p
. Sn n .
.
= {},
= (1 , . . . , n ),
i 1 0. || = 2n ; P () = pk q nk ,
k = k() = 1 + . . . + n , k () = k .

().
. 1.
33
. > 0

n
o
S

P n p > 0 n .
n
. , Sn /n n n
( !).

(. 20):

o var Sn
n
pq

S
n
(1)
P n p > 6
= 2.
2
n
1. f (x) [0, 1]. n p [0, 1]

S
Ef n f (p).
n
, > 0

o
n

S
An = n p > ,
n
, (1),

S

S
Ef nn f (p) 6 E f nn f (p) =

S

S
= E f n f (p) IAcn + E f n f (p) IAn 6
n
6 sup |f (p + x) f (p)| + 2c EIAn 6 sup |f (p + x) f (p)| + 2c

|x|<
|x|<
pq
,
n2
c |f (x)| 6 c x. , f [0, 1].

2 ( ). f (x)
[0, 1]. n
x [0, 1]
n

X
k
Pn (x) =
f
Cnk xk (1 x)nk f (x).
k=0
1,
P (Sn = k) = Cnk pk (1 p)nk .
, .
Pn (x) (
).
34
1.
.. . 1 ,
2 , . . . .. E|1 | < .
Sn = 1 + . . . + n , E1 = .
Sn
, .. > 0 n

n
o

S
P n > 0.
n
( ).
1 . : ..
E|| < ,
nP (|| > n) 0,
(2)
1
E||2 1{||<n} 0 n .
n
(3)
(2), > 0 N ,
E|| 1{||>n} 6 n > N,
, ,
nE1{||>n} 6 E|| 1{||>n} ,
nP (|| > n) 6 n > N.

(3) (2). qn = P (|| > n),
E||2 1{||<n} =
n
X
E||2 1{k16||<k} 6
n
X
1
n
X
k 2 E1{k16||<k} =
k 2 (qk1 qk ) = q0 n2 qn
n1
X
1
qk [(k + 1)2 k 2 ] 6 q0 +
n1
X
(2k+1)qk .
k=1
(2) > 0 N , kqk 6 k > N ,

N
1
1X
1
1
2
E|| 1{||<n} 6 q0 +
(2k + 1)qk +
n
n
n
n
1
3kqk 6
N <k<n
N
1
1X
q0 +
(2k + 1)qk + 3 n > N,
n
n
1
. 1.
35
(3).
2 . n > 1 .. Sn ,
(
k , |k | < n,
Sn = 1 + . . . + n , k =
0, |k | > n.
,
Sn
. , .. 1 , . . . , n :

n
o

2
S
S

1
P n > 6 2 E n =
n
n
h

2 i
h
i
S
Sn
1
1 1
= 2 var
+ E n
= 2
var 1 + (E1 )2 .
n
, (3) E|1 | <
1
1
1
var 1 6 E|1 |2 = E12 1{|1 |<n} 0,
n
n
n
E1 = E1 1{|1 |<n} E1 = .
3 . ,
S
Sn
n 0
n
n
. > 0 :

n
o
S
S
S
1 S
P n n > 6 E n n 6
n
n
1 X
1
6
E|k k | = E|1 | 1{|1 |>n} 0.
n
4 . 2 3

n
o
n
o
S
S

S
S
P n > 6 P n + n n > 6
n
n
n
n

n
o
S
Sn

Sn
>
n>
6
6P
n
2
n
n
2

n
o
n
o

S
S

S
6 P n >
+ P n n >
0.
n
. . . , S
1
.. 1 , 2 , . . . n = (1 + . . .
n
n
. . . + n ) ,
nP (|1 | > n) 0, E1 1{|1 |<n} .
36
1.
, . 3
( , E|1 | < )
:

o

n
S
S
S
S
S
S
P n n > 6 P n n 6= 0 = 1 P n n = 0 ,
n
S
Sn
n = 0 {|1 | < n, . . . , |n | < n},
n
n

n
o
S
S
P n n > 6 1 P {|k | < n, k = 1, . . . , n} =
n
n
= 1 [P (|1 | < n)]n = 1 [1 P (|1 | > n)]n 6
6 1 [1 nP (|1 | > n)] = nP (|1 | > n) 0
(2). (1 )n > 1 n
n > 1, 0 6 6 1.
22.
, Sn /n n p
( ) p n.
, ... Sn n.
.
. 2 ,
1
p = n = 5, 10 20.
2
, n (p0 , p1 , . . ., pn ) .
... Sn ...
Sn np
S ESn
=
.
npq
var Sn
n
Sn =
x
Fn (x) = P {Sn < x}.
.
p2 + q 2
1
6
x,
npq
npq
|Fn (x) (x)| 6
. 1.
pk
pk
n=5
0,3
0,2
0,1
37
n = 10
0,3
0,2
0,1
0 1 2 3 4 5
pk
0 1 2 3 4 5 6 7 8 910
n = 20
0,3
0,2
0,1
0
10 15 20
. 2.
1
(x) =
2
Zx
u2
2
du.
. . ;
, (+) = 1.
, , , n
n
o

y np
y np
P {Sn < y} = P Sn <

.
npq
P {Sn < y} =
k<y
npq
Cnk pk (1 p)nk ,

n

y np
,
npq
.
. . 3 , (p0 , p1 , . . . , pn ) p = 1/4 n = 5, 10 20.
, n (p0 , p1 , . . .
. . . , pn ) . 2. n . ,
38
1.
pk
pk
n=5
0,3
0,2
0,1
n = 10
0,3
0,2
0,1
0 1 2 3 4 5
pk
0 1 2 3 4 5 6 7 8 910
n = 20
0,3
0,2
0,1
0
10 15 20
. 3.
n ( , np)
. ;
. 18.
2

1.
. 1 (, S, P ),
( );
S ( );
P , S ( P (A)
A S).
.
1. S -, ..
1) A S Ac = \ A S.
2) Ai S i = 1, 2, . . . Ai S, Ai S.
. 2.
39
2. P , S,
1) , .. P (A) > 0 A S,
2) , .. P () = 1,
X X
3) -, .. P
Ai =
P (Ai ).
( ) S [ (!) ]
P , P , -. S ,
-.

;
S ,
P , S, 1 2.

. . S .
P , .
A , .. A S, P (A) A.
(, S, P ) .
, , ,
1) S P () = 0,
2) ( P ) A B P (A) 6 P (B),
3) ( ) P (A B) = P (A) + P (B) P (AB),
X
S
4) (-) P ( Ak ) 6
P (Ak ),
5)( ).
An A , An An+1 n A = An .
An A , An An+1 n A = An .
) An A P (An ) P (A),
) An A P (An ) P (A).
2.
,
(, S, P ) P S
S0 S.
40
1.
, P S0 S?
. P() .
1. S P() ,
1) S,
2) A1 S, A2 S A1 A2 S,
n
X
3) A S Ac =
Ak
1
A1 , . . . , An S.
2. S P() ,
1) S,
2) A S Ac = \ A S,
3) A1 S, A2 S A1 A2 S, A1 A2 S.
. . , ,
1) S,
2) A S Ac S,
3) A1 S, A2 S A1 A2 S.
3. S P() - ,
1) S ,
2) {Ak } S Ak S.
- 1 1.
,
S - S S .
4. K P(). S P()
, K, K S S
, K.
: () , K. ,
, K, : , P()
, K. , (-)
.
-, K,
.
. 2.
41
5. P S P()
,
1) , .. P (A) > 0 A S,
S
2) -, .. {Ak } S,
Ak S {Ak }
k=1
,
X X
P
Ak =
P (Ak ).
3) , .. P () = 1.
6. P1 P2 S1
S2 . P2 P1 ,
1) S1 S2 ,
2) P2 (A) = P1 (A) A S1 .
7. P0 S0
S S0 ,
P1 P2 S0 S
P1 (A) = P2 (A) A S.
( ). P0 S0 P
- S, S0 .
(
) -III.
.
1. = [a, b], S
(, ), (, ], [, ), [, ]
.
2. ,
= (a, b],
S = {(, ] : a 6 6 6 b}.

A = (, ] S Ac = (a, ] + (, b].
3. = R1 = (, ).
S = {(, ] : 6 6 < } {(, ) : > }.
42
1.
.
(, ]c = (, ] + (, ) 6 6 < ,
(, )c = (, ] > .
4. a = (a1 , . . . , an ) = Rn , b = (b1 , . . . , bn ) Rn
= (a, b] = (a1 , b1 ] . . . (an , bn ] Rn .
S = {(, ] = (1 , 1 ] . . . (n , n ] : ak 6 k 6 k 6 bk k}
P().
. , -,
S 14, , .
5 ( ). Sk k , k = 1, . . . , n.
= 2 . . . n ,
S = S1 . . . Sn = {A = A1 . . . An : Ak Sk k}.
S P() (
S1 , . . . , Sn ). , n = 2
= S; = 1 2 S;
A = A1 A2 S, B = B1 B2 S A B = (A1 B1 ) (A2 B2 ) S;
A = A1 A2 S Ac = A1 Ac2 + Ac1 A2 + Ac1 Ac2 =
X
X
X
=
(A1 A2j ) +
(A1i A2 ) +
(A1i A2j )
j
i,j
S;
X
X
Ac1 =
A1i , A1i = S1 ; Ac2 =
A2j ,
i
A2j S2 .
.
6. S 1
P (A) =
|A|
||
A S. |A| A.
P S .
. 2.
43
7. S 1 F (, ) , F (a 0) = 0, F (b + 0) = 1.
:
P (, ) = F ( 0) F ( + 0),
P (, ] = F ( + 0) F ( + 0),
P [, ) = F ( 0) F ( 0),
P [, ] = F ( + 0) F ( 0)
a 6 6 6 b. P S .
F , x < a, x > b
[a, b].
3.
(, S, P ) . N P -, , A S , N A P (A) = 0.
(, S, P ) ,
S .
. N .
1) S A N , A S, N N ,

2) P S,
P (A N ) = P (A).
. 1 . S -, -, S N .
2 . P
S.
P ) .
3 . (, S,
(, S, P ).
. 1 . P S , N ( ).
, S
. ,
N B S, P (B) = 0
A N S,
(A N )c = (A B)c + B (A N )c = A1 + N1 ,
44
1.
A1 = (A B)c , N1 B, P (B) = 0 (A N )c = A1 N1 ,
A1 S, N1 N (A N )c S.
, S -. S , S
-, S N .
2 . 1) P ,
A1 N1 = A2 N2 A1 A2 = (A1 \ A2 ) (A2 \ A1 )
[(A2 N2 ) \ A2 ] [(A1 N1 ) \ A1 ] N1 N2
P (A1 A2 ) = 0 P (A1 ) = P (A2 ) P (A1 N1 ) = P (A2 N2 ).
,
2) , P S.
P . ,
X
X
P
(An Nn ) =
P (An Nn ).
n>1
n>1
A=
An ,
AN =
N=
Nn ,
(An Nn )
n>1
, ,
X

X
X
P
(An Nn ) = P (A N ) = P (A) =
P (An ) =
P (An Nn ).
n>1
n>1
n>1
P ) . 3 . , (, S,
,
C A N, P (A N ) = 0 C A N ; P (A) = 0; B S :
N B, P (B) = 0 C A B, P (A B) 6 P (A) + P (B) = 0
C = N1 N C = N1 S.
4.
f : Rn R1 ,
Z
f (x) dx = 1.
Rn
. 2.
45
A Rn
Z
P (A) = f (x) dx.
A
P - Rn . (Rn , Bn , P ) , . f P .
1 ( ; ). Rn
|| < ,
1 , x ,
1
I (x) = ||
f (x) =
||
0,
x 6 .
A ,
Z
Z
|A|
1
P (A) = f (x) dx =
dx =
.
A
||
||
P - S ,
. ,
(, S, P ) P (A) A S.
, , .
2. Rn
= f (), f : Rn Rn . q .. p .. .
, f Df (x) 6= 0;
Df f , ..
n f (x) o
i
,
Df (x) = det
xj
f (x) = {f1 (x), . . . , fn (x)}, x = (x1 , . . . , xn ).

,
q(y) = p(g(y)) |Dg(y)|, g = f 1 .
,
46
1.
Z
P ( B) = P { f 1 (B) = A} = p(x) dx =
A
p(g(y))|Dg(y)| dy =
q(y) dy
f 1 (A)
B. , q .. .
,

p. p,
,
p (..) , |p|.
3. Rs
Rr = (, )
Rs+r p(u, v), u Rs , v Rr .
A Rs
Z
P ( A) = P ( A Rr ) = p(u) du,
A
p(u) =
p(u, v) dv,
Rr
p(u) .. .
, p(u, v) . ,
u Rs , p(u) > 0,
lim P ( B| Am ) = P ( B| = u),
Am u
B Rr ,
Am Rs u Rs P ( Am ) > 0
m = 1, 2, . . ..
Z
P ( B| = u) = p(v|u) dv,
B
p(v|u) =
p(u, v)
p(u)
p(u, v) = p(u) p(v|u).
. 2.
,
p(v|u) > 0
47
p(v|u) dv = 1,
Rr
v p(v|u)
.. = u.
, u = u0 Rs p(u0 ) > 0.
p(u) , ,
Z
|A| =
du
A
A R ,
lim
Am u0
1
1
P ( Am ) = lim
|Am |
|Am |
1
P ( Am , B) = lim
lim
|Am |
1
dv
|Am |
p(u) du = p(u0 ),
Am
p(u, v) du =
Am
p(u0 , v) dv,

lim P ( B| Am ) =
Am u0
p(u0 , v)
dv.
p(u0 )
5.
,
. , c
, , < c ( ).
.
. (, S, P )
. : R1 , ,
c
{ < c} = { : () < c}
, .. { < c} S, (..).
..
48
1.
.
1 . c R1 { < c} S.
2 . B B { B} S.
B (-) R1 , { B} B ,
..
{ B} = { : () B} = 1 (B).
. 2 1 ,
c R1 (, c) = B B { < c} = { B} S.
, 1 2 . 1) ,
- . . f : X Y .
S S
) f 1
E = f 1 (E ),
T
T
) f 1
E = f 1 (E ),
) f 1 (E c ) = (f 1 (E))c .
f 1 (E) E Y . E Y , )) ,
f 1 (E) = f 1 (E),
E -, E;
f 1 (E) = {f 1 (E) : E E}.
, E - Y (
E = E), f 1 (E) - X.
2) f = , E (, c),
B B 1 (B) 1 (B) = 1 (E) = 1 (E) S,

E = B 1 (E) S.
, : R1
..,
. ( )
, : R1 ..
. EP(R1 ) (E)=B. :
R1 .., ,
{ E} S E E.
. 2.
49
. 1) .., E E .., E B { E}
S .
2) B B { B} = 1 (B) 1 (B) = 1 (E) = 1 (E) S,
1 (E) = { 1 (E) : E E} S.
6.
, , ,
.
1 . .., , = ()
.. [: .. ..; ,
.. .]. , ..,
2 , ||, + = max(0, )
.. .. () 6= 0 , 1/
.., 1/ = (), : R1 R1 ,
(
1/x, x 6= 0,
(x) =
0,
x = 0,
.
: Rn R1 (n ), R1 Rn .
2 . : Rn R1 1 , . . . , n ..,
= (1 , . . . , n ) .. , , , .. ,
, ..
3 . {n , n > 1} .., sup n , inf n ,
lim n lim n .. ,
lim n () = (), ..
. 1 . B B { B} = { 1 (B)} S,
(B) B ..
2 . Bn (-) Rn ; E
Bn , B1 . . . Bn Rn ,
Bk B k. (E) = Bn .
1
B B { B} = {(1 , . . . , n ) 1 (B)} = 1 (A) 1 (Bn ) =
= 1 (E) = 1 (E) S,
50
1.
= (1 , . . . , n ); A = 1 (B) Bn .
, 1 (E) S. , E = B1 . . . Bn E,
1 (E) = { E} = {1 B1 ) . . . {n Bn } S.
3 .
\
{sup n 6 c} = {n 6 c},
inf n = sup(n ),
lim n = inf sup n+p ,

n
lim n = sup inf n+p .

n
7. ..
1. .. ,
, P { 6= } = 0.
, , , (..),
, , () . , .. ,
.
. : R1 .. , ..
.
{ : () < c} { : () < c}
, ( ) .
2. , {n } .. .. ,
lim n () = ()
..
. n .
..
, n ,
P {lim n = } = 1,

P lim n = .
. 2.
51
1. 1 , 2 , . . . ..
lim n () = ()
. ..
. 0 ,
n () (); N = \ 0 , P (N ) = 0.
n () = n () 0 n () = 0 N . , n
.. . lim n = , 3
6 .., ..
2. n = 1, 2, . . . .. n n . ..
sup n sup n ;
inf n inf n ;
lim n lim n ;
lim n lim n
.
. Nk = {
S: k () 6= k ()},
sup n () 6= sup n () N
Nk . k>1
.. sup n sup n ,
[ X
P (Nk ) = 0
P
Nk 6
.
..
3. k = 1, . . . , n .. k k ; : Rn R1 . ..
= (1 , . . . , n ) = (1 , . . . , n )
.
. Nk = { : k () 6= k ()}, () 6=
6= () N N1 . . . Nn , P (N1 . . . Nn ) 6
n
X
6
P (Nk ) = 0, P (N ) =
1
= 0. , , ..; . 6.
8.
. .
52
1.
1. E1 E2 ,
P (A1 A2 ) = P (A1 ) P (A2 )
A1 E1 A2 E2 . , E1 E2 E1 E2 A1 A2
, , A1 A2 .
2. {Ei : i I} .
,
J I
\ Y
P
Aj =
P (Aj )
jJ
jJ
Aj Ej , j J.

- . E
-, , .. A E, B E AB E.
1. {Ei : i I} . , . - {(Ei ) : i I} ( ) {Ei : i I}.
. Ei
Ai . , Ei
(Ei ) = {, , Ai , Aci }.
A1 , . . . , An A1 1 , . . . , Ann 1 = 0 1,
(
A, = 0,
A =
Ac , = 1.
1. , {Ei : i I} . i I
S Ai ,
\ Y
P
Aj =
P (Aj )
jI
jI
Aj Ej , j 6= i. , S (Ei ). ,
S Ei
1) S,
. 2.
53
2) S B1 B2 S B2 \ B1 S,
S
3) {Bn : n = 1, 2, . . .} S, Bi Bj = i 6= j
Bn S.
n>1
, S P(), 1)3), - -. ,
- S - Ei .
.
1. - S1 - S0 , S1 (S0 ).
. S -, S0 (, -
- -),
S(B) = {A : A S , AB S } B S .
, S(B) - B S .
B S0 , S0 S(B) S , S -,
S0 , S(B) = S . , A S , B S0
AB S . ,
S = {A : A S , AB S B S } S0 .
, S - - S(B) B S .
, S0 S S , S -, a S
-, S0 , S = S . , A S ,
B S AB S . , S - - , .. S -. S ,
S = (S0 ) , , S1 S = (S0 ).
. .
.. 1 2 , c1 c2
(1 < c1 ) = { : 1 () < c1 } (2 < c2 ) = { : 2 () < c2 }

. i : i I .., . , ..
( ),
{ci : i I}
{(i < ci ) : i I}
. ,
{(j < cj : j J}
J I.
54
1.
= (1 , . . . , m ) = (1 , . . . , n ) ,
c = (c1 , . . . , cm ) d = (d1 , . . . , dn )
( < c) = (1 < c1 , . . . , m < cm ) ( < d) = (1 < d1 , . . . , n < dn )
. {i : i I}.
2.
k : Rnk Rmk
k nk ;
k = 1, . . . , s. . 1 , . . . , s , .
k = k (k );
k = 1, . . . , s;
.
, .. 1 , . . . , n , ..
1 = 1 (i1 , . . . , j1 ),
2 = 2 (i2 , . . . , j2 ),
...............
s = s (is , . . . , js )
1 6 i1 6 j1 < i2 6 j2 < . . . < is 6 js 6 n .
2 ,
..
2. {i : Rni ; i I} . Bn Rn . {i : i I}
{(i Bi ) : i I}
Bi Bni , i I.
2. , {i : i I} .
Ei = {(i < c) : c Rni }.
, Ei (Ei ) = Bni .
2 1.
2.
{k Bk }, k = 1, . . . , s,
. 2.
55
Bk Bmk
{k Bk } = {k 1
k (Bk )},
1 , . . . , s , 2 1
k (Bk ) = Ak
Bnk k.
9. ; ;

1. C.. , .
2. ..
{xn } An = { = xn }. ..
( ),
X
xn P (An )
.
X
E =
xn P (An )
n

.. .
3. C.. , {n } .., .. ( ).
E = lim En
n

.. .
()
(..)
1. 3 , ..
1) ()
2) {n };
3) .. .. 2.

-III .
..
Z
Z
E = ()P (d) = dP
56
1.
: R1 P .
L .., E : L R1
..,
1) E ;
2) E , .. 1 6 2 ( 1 () 6
6 2 () ) E1 6 E2 ;
3) 1 L, 2 L, P (1 = 2 ) = 1 E1 = E2 ;
4) .. 1 2 , .. 1 2

E(1 2 ) = E1 E2
( .. , 11 . 1;
3).
4. .., F ,
F (x) = P ( < x) x R1 ,
(..) .. . .. F .. , F .
, .. F
1) R1 ;
2) ;
3) F () = 0, F (+) = 1.
F , 1)3), ..
.. (. 7
2).
2. .., F ..,
,
Z
E() =
(x) dF (x),
() L, .
, () = x,
E =
x dF (x),
. 2.
57
5. F .. f : R1 R1 ,
Zx
F (x) =
f (u) du x R1 .
f .. F .
, f .. F .. ,
Z
E =
xf (x) dx
.
6. 1 , . . . , n .., F ,
F (x) = F (x1 , . . . , xn ) = P (1 < x1 , . . . , n < xn ) x = (x1 , . . . , xn ) Rn ,
.. .. 1 , . . . , n .. = (1 , . . . , n ). , .. 1 , . . . , n ,

F (x1 , . . . , xn ) = F (x1 ) . . . F (xn ) x = (x1 , . . . , xn ) Rn ,
Fk (xk ) = P (k < xk ) k.
f : Rn R1
,
Zx
F (x) =
f (u) du x Rn ,
..
F (x1 , . . . , xn ) =
Zx1
...
Zxn
f (u1 , . . . , un ) du1 , . . . , dun (x1 , . . . , xn ) Rn .
f .. F . , .. F1 , . . . , Fn .. 1 , . . . , n f1 , . . . , fn .. 1 , . . . , n , .. F ..
1 , . . . , n f
f (x1 , . . . , xn ) = f1 (x1 ) . . . f (xn ) (x1 , . . . , xn ) Rn .
. L .. .
58
1.
1 . . {n } L

n .. En 6 c = const.
L E = lim En .
n
2 . . {n } L
n .., |n | 6 0 L ..
L E = lim En .
n
3 . . {n } L,
n .. E|n | 6 c = const.
L E 6 c.
4 . . ..,
.. .. , kk = E||.
10.
.., eit .. t
. + i ..,
.. .. eit
(), , .. Eeit .
(t) = Eeit
t
(..) .. . ,
(t) =
eit dF (x),
F (x) = F (x) = P ( < x).

..
1. n > 1
E n (.. E||n < ), .. (t) n
(n) (0) = in E n .
.. ..
. 2.
59
2. 1 2 .., 1 2 .. = 1 + 2 .
(t) = Eeit = 1 (t) 2 (t),
.. .. .. ..
..
3 ( ). ..
(t) =
eitx dF (x),
< t < ,
.. F .
1. . ,
E||n < E||k < 0 6 k 6 n. , (t) (0) = iE.
(t + h) (t)
=
h
eitx
eihx 1
dF (x), h 6= 0,
h

ihx

e 1

6 |x|,
h
Zt

|e 1| = i eix dx 6 |t|, < t < .
it
h (x) = eitx
eihx 1
h

|h (x)| 6 |x|
|x| dF (x) = E|| < ,
lim
h0
h (x) dF (x),
60
1.
eitx x dF (x).
, (t),
Z
(t) = i
xeitx dF (x).
(0) = i
x dF (x) = iE.
. , k, 1 6 k 6 n,
.. k
(k)
(t) = i
itx
xe
dF (x).
k = 1 .
k < n.
(k) (t + h) (k) (t)
= ik
h
xk eitx
eihx 1
dF (x)
h
,
h (x) = ik xk eitx
eihx 1
, h 6= 0,
h
|h (x)| 6 |x|k+1 .

|x|k+1 dF (x) = E||k+1 < ,

lim
h0
k (x) dF (x),
. 2.
k+1
61
xk eitx x dF (x).
, k+1 (t),
k+1
(t) = i
k+1
xk+1 eitx dF (x).
2
(t) = Eeit1 eit2
.. eit1 eit2
.. E.
3. .. F G .. , ..
Z
itx
dF (x) =
eitx dG(x), < t < .
(1)
, F G . .
1) [1, 1], 1 > 0, ,
, -
h
i
X
k
ck exp ix
(2)
T (x) =
l
( ).
2) (1) ,
(2)
Z
Z
T (x) dF (x) =
T (x) dG(x).
, ,
Z
f (x) dF (x) =
f (x) dG(x)
(3)
62
1.
f , . 4: f (, ), 1 [a, b], 0 [a , b + ]
[a , a] [b, b + ]. a 6 b, > 0.

f (x)
{n :
0 < n 6 1, n 0}, 1
Jn =
= [n, n], ,
x
[a , b + ].
a a
b b+
n 1) . 4.
Tn (x) ,
|f (x) Tn (x)| 6 n 6 1 x Jn .
Tn (x), (, ), ( |Jn | = 2n) |f (x)| 6 1,
|Tn (x)| 6 2 < x < .
, 2), :
Z
Zn
Z
Zn

f (x) dF (x)
f (x) dG(x) = f (x) dF (x)
f (x) dG(x) 6

Zn

Zn

Tn (x) dG(x) + 2n 6
6 Tn (x) dF (x)
n
Z

Z

Tn (x) dF (x)
Tn (x) dG(x) + 2F (Jnc ) + 2G(Jnc ) + 2n =
6
= 2[F (Jnc ) + G(Jnc ) + n ].
F (Jn ) = F (n + 0) F (n), Jnc = (, ) \ Jn ,

F (Jnc ) = 1 F (Jn ) = F (n) + 1 F (n + 0).
G(Jnc ). n . (3).
(3) :
F [a, b) 6
f (x) dF (x) =
f (x) dG(x) 6 G[a , b + ).
. 2.
63
, F [a, b) 6 G[a, b) a b
F G. , G[a, b) 6 F [a, b), ..
F [a, b) = G[a, b),
F (b) F (a) = G(b) G(a),

, F (x) = G(x) x.
11.
) ,
eu du =

1
(x) =
2
Zx
u2
2
(1)
du, (+) = 1,
..
) ..
(t) =
itx
1
d(x) =
2
1
2
eitx
x2
2
dx =
Z
n
o
t2
u2
1
1
1
exp t2 (x it)2 dx = e 2
e 2 du,
2
u = x it
D = {u : u = x it, < x < },
.
, , (+) = 1,
t2
(t) = e 2 .
(2)
) .., (1). (k) (0) =

= i E k , (2)
k
E = 0, var = 1.
64
1.
.. = + , > 0,
E = , var = 2 ;
n
x
F (x) = P { < x} = P <
x
=
1
=
2
Zx
(u)2
22
du;
n
o
1
(t)Eeit = eit Eei(t) = exp it 2 t2 .
2
1
F (x) =
2
Zx
n (u )2 o
exp
du, < x < ,
2
2
N (, 2 ).

n (x )2 o
1
f (x) = F (x) = exp
, < x < .
2
2
N (0, 1) .
) .. 1 2 N (1 , 12 ) N (2 , 22 ) . .. = 1 + 2
N (, 2 ), = 1 + 2 , 2 = 12 + 22 .
, .. .. )
n
o
1
(t) = Eeit = Eeit1 Eeit2 = exp it1 12 t2
2
n
o
n
o
1
1
exp it2 22 t2 = exp it 2 t2 .
2
3 10 .. ..
) .. N (, 2 ).
.. = a + b N (a + b, a2 2 ). ,
.. ..
1
2
(t) = Eeit = eitb Eei(at) = exp{it(a + b) a2 2 t2 }.

12. -
) , -
() =
Z
0
u1 eu du, > 0.
. 2.
65
,
(n + 1) = n!,
1
F (x) =
()

1
2
( + 1) = ().
u1 eu du, x > 0, F (+) = 1,
- G().
,
.
) .. - G() :
(t) =
itx
1
dF (x) =
()
Z
0
eitxx x1 dx =
= (1 it)
()
u1 eu du,
u = (1 it)x
R = {u : u = (1 it)x, x > 0},
. , , F (+) = 1,

(t) = (1 it) .
) .., - G().
(k) (0) = ik E k var = E 2 (E)2 ,
E = var = .
) .. 1 2 - G(1 ) G(2 ) . .. = 1 + 2
- G(), = 1 + 2 . ,
.. .. )
(t) + Eeit1 Eeit2 = (1 it)1 (1 it)2 = (1 it) .
, .. ..
66
1.
13. -
. ) , -
B(1 , 2 ) =
Z1
0
u1 1 (1 u)2 1 du; 1 > 0, 2 > 0.
- -
B(1 , 2 ) =
(1 ) (2 )
.
(1 + 2 )
.. . [0, 1],
1
F (x) =
B(1 , 2 )
Zx
0
u1 1 (1 u)2 1 du, 0 6 x 6 1,
- Be(1 , 2 ).
E =
1
,
1 + 2
var =
1 2
.
(1 + 2 )2 (1 + 2 + 1)
,
1
E =
B(1 , 2 )
Z1
0
x1 (1 x)2 1 dx =
=
B(1 + 1, 2 )
=
B(1 , 2 )
(1 + 1) (2 ) (1 + 2 )
1
.
=
1 + 2
(1 + 2 + 1) (1 ) (2 )
( + 1) = (), > 0.
1
E =
B(1 , 2 )
2
Z1
0
x1 +1 (1 x)2 1 dx =
B(1 + 2, 2 )
=
B(1 , 2 )
(1 + 1)1
,
(1 + 2 + 1)(1 + 2 )
var = E 2 (E)2 .
) 1 2 .., -
G(1 ) G(2 ) , ..
=
1
1 + 2
- Be(1 , 2 ).
, 0 < x < 1
. 2.
67
n
o
1
F (x) = P { < x} = P
<x =
1 + 2
ZZ
1
u1 1 eu v 2 1 ev du dv; u > 0, v > 0.
=
(1 ) (2 )
u
u+v <x

u
= w, u + v = y,
u+v

u

(u, v)
= w
(w, y) v
u = wy, v = y wy.

u

y = y w = (1 w)y + yw = y.
v y 1w

w y
1
F (x) =
(1 )(2 )
ZZ
(wy)1 1 [y(1 w)]2 1 ey y dy dw =
06w<x
y>0
1
(1 )(2 )
w1 1 (1 w)2 1 dw
06w<x
y 1 +2 1 ey dy =
y>0
(1 + 2 )
(1 )(2 )
Zx
0
w1 1 (1 w)2 1 dw.
. .
1) -- ( ).
..
2 = 12 + . . . + n2 ,
.. 1 , . . . , n N (0, 1). P (n) 2 (n).
n . .. 2
.. 2, - G(n/2).
E2 = n,
var 2 = 2n.
2) (t-). ..
N (0, 1) P (n) . ..
t=
(/n)1/2
68
1.
( t-) S(n).
n+1

x2 2
cn 1 +
,
n
cn
cn =
n+1
2

n2
1
,
n
n
n > 2.
n2
Et = 0, var t =
n = 1 .

n 1
t2 1
, .. 1 +
- Be , .
n
2 2
3) . ..
1 2
=
: ,
k1
k2
.. 1 2 P (k1 ) P (k2 ) . Fk1 ,k2 .

2

k1 +k
k1
2
k
c(k1 , k2 )x 2 1 1 + 1 x
,
k2
c(k1 , k2 ) :
c(k1 , k2 ) =
E =
k1
,
k2 2
k1 +k2
2

k1
2
var =

k2
2
2k22 (k1
k1
k2
k21
+ k2 2)
.
k1 (k2 2)(k2 4)
, Be
=
k2
k1 (1 )
k1 k2
,
, ..
2 2
Fk1 ,k2 .
.., , F . F
.. . 1
ln F .
2
4) -
.. , ln N (0, 1).
. 2.
69
5)
F (x) = P ( < x) = 1 eax , x > 0; a > 0.
, .. a - G(1).
6)
P ( < x) = 1 eax , x > 0; a > 0, > 0.

= 2 .
7) [0, 1]
P ( < x) = x, 0 6 x 6 1.
, - Be(1, 1).
8) ,
f (x|, , ) = c(, , )xa ebx ,

c(, , ) .
14.
. (0, 1), ..
(
1, x (0, 1),
f (x) =
0, x 6 (0, 1).
.. , 0 (, 0], 1 [1, )
(0, 1). .. (0, 1),
1
2
1
3
E = , E 2 = , var = E 2 (E)2 =
(t) = Ee
it
Z1
eitx dx =
1
.
12
eit 1
.
it
. , .. 1 , . . . , n
(0, 1).
U = min i ,
i
D = V U,
V = max i ,
i
R = U/V.
.. cor (U, V ).
70
1.
. .. V
P {V < x} = P
n
n
n[
o Y
(i < x) =
P (i < x) = xn ,
1
0 < x < 1. , .. V , (0, 1),

fV (x) = nxn1 ,
EV =
Z1
x nxn1 dx =
Z1
x2 nxn1 dx =
EV =
0 < x < 1.
n
1
=1
,
n+1
n+1
2
n
=1
,
n+2
n+2
var V = EV 2 (EV )2 =
n
.
(n + 2)(n + 1)2
. .. U
n
n[
o
P {U < x} = 1 P {U > x} = 1 P
(i > x) =
1
=1
n
Y
1
P (i > x) = 1 (1 x)n ,
0 < x < 1. , .. U , (0, 1),

fU (x) = n(1 x)n1 ,
0 < x < 1.
, .. U 1 V [ , 1 V = min(1 i ), ..
i
1 1 , . . . , 1 n (0, 1)].
EU = 1 EV =
1
,
n+1
var U = var V.
. .. D R,
.. U V . .. (U, V )
= {(u, v) : 0 < u 6 v < 1}.
. 2.
71
(u, v) ,
P {U < u, V < v} = P {V < v} P {U > u, V < v} =
n
n
n\
o
Y
= vn P
(u 6 i < v) = v n
P (u 6 i < v) = v n (v u)n .
1
, .. (U, V ), ,
2
P {U < u, U < v} = f (u, v) = n(n 1)(v u)n2 ,
uv
0 < u 6 v < 1.
. .. D = V U
P {D < x} = 1 P {D > x} = 1
ZZ
f (u, v) du dv =
x6vu61
u>0
= 1 n(n 1)
Z1
x
=1n
Z1
x
dv
vx
Z
0
(v u)n2 du =
(v n1 xn1 ) dv = nxn1 (n 1)xn ,
0 < x < 1. , .. D, (0, 1),

fD (x) = n(n 1)[xn2 xn1 ].
, n > 2 ( D = 0).
ED = EV EU =
2
ED = n(n 1)
Z1
0
n1
,
n+1
(xn2 xn1 )x2 dx =

h
1
= n(n 1)
n(n 1)
1
=
,
n+1
n+2
(n + 1)(n + 2)
2(n 1)
var D = ED2 (ED)2 =
.
(n + 1)2 (n + 2)
. .. R = U/V
72
1.
P {R < x} =
ZZ
f (u, v) du dv =
Z1
0
u/v<x
=n
Z1
0
Zvx
dv n(n 1)(v u)n2 du =
0
[v n1 (v vx)n1 ] dv = 1 (1 x)n1 ,
0 < x < 1. , .. R, (0, 1),

fR (x) = (n 1)(1 x)n2 ,
0 < x < 1.
, n > 2 ( R = 1 n = 1).
, . .. R ,
.. min(1 , . . . , n1 ).
ER =
1
,
n
var R =
n1
.
n2 (n + 1)
. cor (U, V )
var U = var V, D = V U,
var D = var V + var U 2 cov (U, V ) = 2 var V [1 cor (U, V )],
n1
1
var D
=
=1 .
2 var V
n
n
:
cor (U, V ) =
1
.
n
15. ..
= (1 , . . . , r ) .., ei(t,)
r
X
.. t = (t1 , . . . , tr ) (t) =
tk k . .. ei(t,)
1
(), .
(t) = Eei(t,) ,
t Rr ,
Rr ,
(..) .. . ,
Z
(t) = ei(t,x) dF (x),
Rr
. 2.
73
F (x) = F (x) = P { < x} = P {1 < x1 , . . . , r < xr }
x = (x1 , . . . , xr ) Rr .
.. ..
1.
n = 1n1 . . . rnr ,
n = (n1 , . . . , nr )
. , Dk = /tk t = (t1 , . . . , tr ) Rr ,

|n|
D = (D1 , . . . , Dr ); Dn = D1n1 . . . Drnr = n1
nr ;
t1 . . . tr
|n| = n1 + . . . + nr .
E (.. E| n | < ), Dn (t)

Dn (0) = i|n| E n .

.. ..
2. 1 2 .. ; 1 2 .. = 1 + 2 .
(t) = Eei(t,) = 1 (t) 2 (t),

.. .. .. ..
..
3 ( ). ..
Z
(t) = ei(t,x) dF (x), t Rr ,
Rr
.. F .
, . 10.
16.
. .. = 1 , . . . , +r , .. 1 , . . . , r N (0, 1).
x = (x1 , . . . , xr ) y = (y1 , . . . , yr )
74
1.
Rr x < y
x1 < y1 , . . . , xr < yr
.. ..
(x) = P { < x} = P
r
r
n\
o Y
(k < xk ) =
P (k < xk ) =
1
=
r2
= (2)
r
Y
u1 <x1
...
Zxk
euk /2 duk =
e 2 (u1 +...+ur ) du1 . . . dur =
ur <xr
= (2)r/2
e 2 (u,u) du.
u<x

f (x)
r
r
1
(x) = (2) 2 exp (x, x) ,
2
x1 . . . xr
.. ..
x Rr .
n
o
t2
t2
1
r
1
(t) = Eei(t,) = Eeit1 1 . . . Eeitr r = e 2 . . . e 2 = exp (t, t) .
2
. r r Rr .
Rr -. ..
= + .
.
.. f (x), ..
g(x),
g(x) = | det 1 | f [ 1 (x )].
.
S1 , S2 . . . x, , , v(M ) () M Rr ,
g(x) = lim
P { Sn }
P { 1 (Sn )}
v( 1 (Sn ))
= lim
,
v(Sn )
( 1 (Sn ))
v(Sn )
. 2.
75
1 (Sn ) = { 1 (z ) Rr : z Sn }.
1 (Sn )
v( 1 (Sn )) = v( 1 Sn ) = | det 1 | v(Sn ),
,
1 (Sn ) 1 (x ), , ,
lim
P { 1 (Sn )}
= f ( 1 (x )).
v( 1 (Sn ))
, ( ) -
, .

n
o
r
1
f (x) = (2) 2 exp (x, x) ,
2
, ,
n
o
r
1
g(x) = (2) 2 | det |1 exp ( 1 (x ), 1 (x )) =
2
n
o
1 1
1
=
(x ), x ) ,
r
1 exp (A
(2) 2 |A| 2
A = ( ,
), |A| = det A.
g(x) Rr Nr (, A).
, 1 = H, H
,
1 = 1 +
,
A1 = 1 1 = HH = = A.
, ,
Nr (0, I), ,
.
. .. .
(t) = Eei(t,) = E exp{(t, ) + i(t, )} = ei(t,) Eei( t,) = ei(t,) ( t)
76
1.
, ,
o
n
o
n
1
1
(t) = exp i(t, ) ( t, t) = exp i(t, ) (At, t) .
2
. A,
Nr (, A) .. . E = 0,
E = (E1 , . . . , Er ) ,
E = .
Rr -
, = +
( )( ) = () = ( )
, E = I, I ,
= E,
A = = E( )( ) .
.
A
A = {cov (i , j )},
cov (i , j ) = E(i i )(j j ),

A .
. , .. 1 2
Nr (1 , A1 ) Nr (2 , A2 ) .
.. = 1 + 2 Nr (, A),
= 1 + 2 ,
A = A1 + A2 .
, .. .. .
n
o
1
(t) = 1 (t) 2 (t) = exp i(t, 1 ) (A1 t, t)
2
n
o
n
o
1
1
exp i(t, 2 ) (A2 t, t) = exp i(t, ) (At, t) .
2
, .. ; . 3 15.
. .. Nr (, A)
r r. .. = C
Nr (C , CAC ).
. 2.
77
, .. ..
(t) = Eei(t,C) = Eei(C t,) = (C t) =

n
o
n
o
1
1
= exp i(C t, ) (AC t, C t) = exp i(t, C) (CAC t, t) .
2
, .. .
. .. Nr (, A) c
Rr . .. = (c, ) N1 ((c, ), (Ac, c)).
, .. ..
(t) = Eeit = Eeit(c,) = Eei(tc,) = (tc) =
n
o
n
o
1
1
= exp i(tc, ) (Atc, tc) = exp it(c, ) t2 (Ac, c) .
2
. . .. Nr (, A) C
k r k 6 r.
.. = C Nk (C , CAC ).
17.
P {|| > } 6
E||k
k
.. k > 0 > 0.
, . 1 .
. k = 2 E,
var
P {|| E > } 6 2 .
18.
. , R1 , ,
(x + y) 6 (x) + (y)
x, y, , > 0, > 0, + = 1. , x0 R1 c = c(x0 ) R1
,
(x) (x0 ) > c(x x0 )
(1)
x R1 ; . . 5.
78
1.
.. R1 ,
(E) 6 E()
(x)
. (1),
(x)(x0 )
x = , x0 = E
}
c(xx0 )
E
x0
x
.
. M Rn ,
. 5.

. , M Rn , ,
(x + y) 6 (x) + (y)
x y M , > 0, > 0, + = 1.
, x0 M c = c(x0 ) Rn ,
(x) (x0 ) > (c, x x0 )
(2)
x M . c x x0 .
.. M Rn , M .
E E(),
(E) 6 E().
(2), x = , x0 = E
E .
. , ,
M Rn , , ..
(x + y) < (x) + (y)
x y 6= x M , > 0, > 0,
+ = 1. ,
(2) x 6= x0 . P ( 6= E) > 0, (E) < E().
. 2.
79
, x0 = E = () (x0 ) (c, x0 ), (E) = E() E = 0, > 0 .. = 0 .. = E ..

P ( 6= E) = 0.
19.
, .. 1 , . . . , n
Ek = 0, Ek2 < k.
max |1 + . . . + k | > a 6
16k6n
n
X
Ek2
a2
a > 0.
.
s0 = 0, sk = 1 + . . . + k , A = { max |sk | > a},
16k6n
Ak = { max |si | < a, |sk | > a}.

06i<k
A =
n
X
Ak ,
n
X
Ek2 = Es2n > Es2n IA =
Es2n IAk =
>
n
X
n
X
1
E[s2k IAk + 2(sn sk )sk IAk ] =
n
X
Es2k IAk > a2
n
X
1
n
X
1
n
X
1
E[sk + (sn sk )]2 IAk >
[Es2k IAk + 2E(sn sk ) Esk IAk ] =
EIAk = a2 E
n
X
IAk = a2 EIA = a2 P (A).
1. .. 1 , . . . , n
Ek = 0, E|k | < k > 1,
P {max |1 + . . . + k | > a} 6
k
E|1 + . . . + n |
a
(1)
a > 0. ( = 2)
n
X
. , A =
Ak
1
80
1.
|sn | > |sn | IA =
n
X
1
|sn | IAk =
n
X
1
|sk + (sn sk )| IAk .
.. Ek = E(1 , . . . , k ),
. 21,
Ek |sk + (sn sk )| IAk = IAk Ek |sk + (sn sk )| >
> IAk |sk + E(sn sk )| = |sk | IAk > a IAk .

E|sn | >
n
X
a EIAk = a EIA = a P (A).
2. .. 1 , . . . , n , E|k | < k,
P { max |1 + . . . + k | > a} 6
16k6n
E|1 | + . . . + E|n |
a
a > 0. , , (1),
.. 1 , . . . , n Ek = 0 k.
{max |1 + . . . + k | > a} {|1 | + . . . + |n | > a}
k
(. 17 k = 1, = a = |1 | + . . .
. . . + |n |).
20.
. . 0 < 6 ,
(E|| )1/ 6 (E|| )1/ .
, ,
(.. E|| < ).
. [(x) = |x| ]
|E| 6 E||
= / > 1, = || .
(E|| )/ 6 E|| = E|| .
. 2.
81
. .
E|| 6 (E||p )1/p (E||q )1/q ,
1
1
+ = 1, p > 1, q > 1,
p
q
E||p < ,
E||q < .
.
=
||
,
(E||p )1/p
||
.
(E||q )1/q
E 6 1.
) (x) = ln x (0, )
ln(x + y) > ln x + ln y
x, y, , , + = 1.
x + y > x y
.
) ,
1
p
1
q
= ,
x = p ,
= ,
y = q ,
1
1
6 p + q .
p
.. E,
1
p
1
q
E 6 E p + E q =
1
1
+ = 1.
p
q
. p = q = 2
E|| 6 (E||2 )1/2 (E||2 )1/2 .

21.
. 4 . 1 .
- .
82
1.
P (A) > 0. ..,

Z
Z
1
E(|A) = dPA =
dP
(1)
P (A)
.. .. A.
, .., x1 , x2 , . . . , ..
X
=
xk IAk ,
k>1
Ak = { = xk }, P (Ak ) > 0. .. E(|)

X
X
E(|)() =
E(|Ak )IAk () =
E(| = xk )I{=xk } ().
k>1
k>1
C.. E(|) .. ..
.. .
X
A A =
Ai , I {1, 2, . . .},
iI
(1),
Z
X
E(|) dP = EIA E(|) = E
E(|Ak )IAAk =
k>1
=E
E(|Ai )IAi =
iI
..
E(|Ai )EIAi =
iI
E(|F ) dP =
X
iI
XZ
iI A
dP =
dP,
(2)
dP
Ai . F = 1 (B1 ).
- F
Ai , (2)
iI
A F .
E(|).
(, S, P ) ; ..
(X, A). F = 1 (A).
, F S.
. ..
(2) A F P -.. F -
. 2.
83
.. E(|). .. .. .. .. .
, (, F )
P - Q
Z
Q(A) = dP.
A
P (A) = 0, Q(A) = 0. P -.. F -

,
Z
Z
dP = Q(A) = dP A F .
A
E(|)() = ().
, B = IB , ..
P (B|) = E(IB |)
(3)
B .. .
(2) (3) A =
E(E(|)) = E ,
EP (B|) = P (B).
. - F S .., (2) A F P -..
F - .. E(|F ). ..
.. .. - F .
.
, E(|) = E(|F ).
. , g : (X, A)
(R1 , B1 ) ,
E(|) = g().

E(| = x) = g(x)
, g(x) .. .. ,
= x, , , E(|) ..
(X, A, P ), P (X, A) P = P 1 , .. P (A) = P ( 1 A)) A A.
84
1.

, , (-) Q (X, A),
Z
Z
Q(A) =
E(|) dP =
dP, A A,
1 (A)
1 (A)
P (X, A).
, (, , ) ( ).
. : X f :
Y . P(X) X. :
1. {f 1 (y) : y Y } 1 (P(X)).
2. x X y Y , 1 (x) f 1 (y).
3. g : X Y , f = g(), .. f = g .
, (, S), (X, A), (Y, B) ,
X
Y (S) = A, f = g
g ( , f g ).
, ,
f () = E(|)(), ,
y Y = R1 f 1 (y) F = 1 (A) 1 (P(X)), .. 1, , g : X Y ,
f = g(). , (, F ), (X, A)
(R1 , B1 ) : X f : R1 , f = g , , ,
g : X R1 .
. 1 2. x X.
y Y Sy = 1 (x) f 1 (y) 6= , Sy
1 (P(X)) , Sy = 1 (A) A X, ..
[
1 (x) f 1 (y) =
1 (u).
uA
1 (x) 1 (u) = x 6= u, 1 (x) f 1 (y) = 1 (x),

.. 1 (x) f 1 (y).
. 2.
85
2 3. x (!) y Y , 1 (x)
f 1 (y),
g(x) = y 1 (x) f 1 (y)
g : X Y . , f = g().
() = x, f () = y. 1 (x) f 1 (y), 1 (x) f 1 (y) 6=
, , 1 (x) f 1 (y), , g(x) = y, .. f () = g(()).
3 1. y Y f 1 (y) = 1 [g 1 (y)] 1 (P(X)).
,
: X
1 (A) = A () A X.
, ( ) () = X, 1 (A) = A
A P(X), .. 1 = id , P(X). f = g f 1 = 1 g 1 , g 1 = f 1 .
, B B f 1 (B) S (f 1 (B)) A ( (S) = A)
g 1 (B) A, .. g .
. L1 = L1 (, S, P ) .. (, S, P ).
- F S E(|F ),
L1 (, S, P ) L1 (, F , P ), . , > 0 .. E(|F ) > 0 ..; ,
|E(|F )| 6 E(|| |F ) ..
.
1 . . {n } L1

n .., En 6 c = const.
L1 , E(|F ) = lim E(n |F ) ..
n
2 . . {n } L1
n .., |n | 6 0 L1 ..
L1 E(|F ) = lim E(n |F ).

n
. F = {, ), E(|F ) = E; F = S,
E(|F ) = ..,
E(|F ) = lim E(n |F ) ..
n
, , E = lim En n ..
n
86
1.
1 . L1 ,
n .. En E.
n = E(n |F ), = E(|F ), n = n .
n > 0 .., n .., En > 0.
L1 [ L1 (, F , P )] ,
n En E. En = E( n ) 0. , > 0 ..
E = 0, = 0 .., , , n ..
2 . n = sup |n+p |. n ..,
p>0
n 0 ..
|E(n |F ) E(|F )| = |E(n |F )| 6 E(|n | |F ) 6 E(n |F ).
, E(n |F ) 0 .. 1 ,
{n } L1 , n 0 .., En > 0. , n L1
|n | 6 20 L1 ..
22.
P (A|F ) = E(1A |F ) A S -aep F S, , P (A|) = P (A|F ), F =
= 1 (A).
P (A|F )() = P (A).

(, S) (, A) 7 P (A) R1 .
, ( )
P : A P (A) S.
.
(, S) (, A) Q (A) [0, 1]
-a
F S,
1) Q : S [0, 1] ;
2) A S ee Q (A) = P (A|F )() ..
..
: (, S) (X, A) : (, S) (Y, B).
. 2.
87
.
(, B) (, B) Q (B) [0, 1]
..
.. ,
1) Q : B [0, 1] ;
2) B B Q (B) = P ( BF )() .., , ,
P ( B|F ) = P ( B|) = E(1{ B}|F ), F = 1 (A).
F S -aepy F S, (, B) Q (B) .. F . ,
() = ,
F .

, .
. (X, A) (Y, B) , k : X Y ,
k(A) = B. ,
, k 1 : Y X k 1 (B) =
= A. (X, A) , (Y, B)
(R1 , B1 ), Y R1 B , Y .
1.
. , ( ) (R , B ),
(R1 , B1 ), ,
(R , B ).
1. (, S, P ) ,
(Y, B) . -aep F S
.. : (, S) (Y, B) .. F .
2. , : (, S) (X, A) .. F =
= F = 1 (A), ..
.. .
. ,
(Y, B) = (R1 , B1 ). , . (Y, B) ,
88
1.
k (Y, B) (R1 , B1 ). .. b = k().

b .. b F .
Q
b (k(B)) B B.
Q (B) = Q
Q : B [0, 1]
X X
[, k
Bn =
k(Bn )]. , B B, ..
b (k(B)) = P (k() k(B)|F )() = P ( B|F )().
Q (B) = Q
Q .. F .
, (Y, B) = (R1 , B1 ). .
. R . r R
F (r) = P ( < r|F )() = E(1{<r} |F )().

, F R
1) ,
2) ,
3) F () = 0, F (+) = 1.
, A1 , A2 , A3 , 1), 2), 3) . ,
P (Ai ) = 0, i = 1, 2, 3.
A1 ) r1 < r2 r1 r2 R, 1{<r1 } 6 1{<r2 } , ,
F (r1 ) 6 F (r2 ) .. r1 < r2
A(r1 , r2 ) = { : F (r1 ) > F (r2 )}.

P (A(r1 , r2 )) = 0 A1 =
A(r1 , r2 ),
r1 <r2
P (A1 ) = 0.
A2 ) R rn 0 R r R;
1{<rrn } 1{<r} , F (r rn ) F (r) ..
, Br = { : F (r rn ) F (r)},
[
P (Brc ) = 0 A2 =
Brc ,
rR
, P (A2 ) = 0.
. 2.
89
A3 ) 1{<n} 1 = 1 1{<n} 1 = 0 .. n ,
F (+) = 1 F () = 0 ..,
, P (A3 ) = 0.
. F R R1 , x R1
lim F (r), 6 A = A1 A2 A3 ,
F (x) = Rrx
G(x),
A,
G .. R1 . F R1 1)3) . , x R1
F (x) = P ( < x|F )() ..
,
1) x = r R,
2) R r x F (r) F (x) ..,
3) R r x 1{<r} 1{<x} , ,
(. 21)
P ( < r|F )() P ( < x|F )() ..
. .. F Q
(R1 , B1 ), Q (, x) = F (x) x R1 .
, ,
B B1
Q (B) = P ( B|F )() ..
(1)
P (B) = P ( B|F )(), (. 21)
, {Bn } B1
X X
P
Bn =
P (Bn ) ..
(2)
( , P B , , , {Bn }).
E B B1 , Q (B) = P (B) .. B = (, x)
P (B) = P ( < x|F )() = F (x) = Q (B) ..,
E E0 (, x), 6 x 6 +. ,
A E, B E A B, C = A \ B E,
Q (C) = Q (A) Q (B) = P (A) P (B) = P (C) ..
90
1.
,
[a, b) = (, b) \ (, a) E < a 6 b 6 .
, E E1
(, b) [a, b), < a 6 b 6 +.
(2) Q E E2 , E1 .
, E , .. {Bn } E,
Bn B Bn B, B E.
(. 21), ,
1{Bn } 1{B} 1{Bn } 1{B} .
, E
E2 , (. 3) E - E3 , E2 . E3 = B1 E B1 , B1 = E3 E B1 ,
.. E = B1 , (1).
3.
: - ,
A,
M, A. .
1) - , M . ,
M . {An } M
S
M Bn =
An An M, M m<n
, .. M -. M,
.. = M.
2) , M , ,
M . Mc = {A : A Ac M}. A Mc M,

An A Acn Ac ,
An A Acn Ac
Mc , Mc = M, .. M . A M
MA = {B : B M, AB M}. MA M
,
Bn B ABn AB,
Bn B ABn AB.
A A, A MA M MA
MA = M. , A MB B MA , A A
A MB B M(= MA ), .. A MB M B M.
. 2.
91
, MB = M B M, ,
M .
2. (, S, P )
P (A|F ) -a
F S. ..
E(|F ) =
()P (d|F ) ..
. (
..) , . (
) ,
. ..
.
4 ( ). , .. :
(, S) (X, A) p(x) ,
A A
Z
P ( A) = p(x)(dx).
A
.. g()
Z
Eg() = g(x)p(x)(dx).
X
= (, ), .. (X, A)
(Y, B) . , .. = (, ) p(x, y) , (X, A) (Y, B) .
1) .. ( )
p (x) =
p(x, y)(dy) p (y) =
p(x, y)(dx);
92
1.
2) p (x) > 0 ( ..), , .. g()

Z
E(g()|) = g(y)p(y|)(dy),
Y
p(y|x) =
p(x, y)
;
p (x)
, g() = 1B (), B B,
Z
P ( B|) = p(y|)(dy) ..;
B
p(y|x) .. () = x.
1)
Z Z
Z
P ( A) = P {(, ) A Y } =
p(x, y)(dx)(dy) = P (x)(dx)
A Y
A A. , B B
Z
P ( B) = p (y)(dy).
B
2). ..
A A
Z
Z
E(g()|) dP =
g() dP = Eg() 1A () =
1 (A)
1 (A)
g(y) 1A (x) p(x, y)(dx)(dy) =
XY
Z hZ
Z
Z
i
p(x, y)
=
g(y)
(dy) p (x)(dx) = h(x)p (x)(dx) =
p (x)
h(x) =
g(y)
p(x, y)
(dy) =
p (x)
1 (A)
g(y)p(y|x)(dy).

E(g()|) = h() ..
h() dP,
93
5 ( ). ,
P (x) > 0 ( ..) p (y) > 0 ( ..),
p(x, y) = p (x)p(y|x) = p (y)p(x|y),
p(y|x) =
p(y|x) = Z
p (y)p(x|y)
,
p (x)
p (y)p(x|y)
p (v)p(x|v)(dv)
( 7
. 1), , p (y), , , p(y|x), = x.

(, S, P ) . ce
S , A B, P (A) 6 P (B).
A B B A A B
A B.
A B , A , B.
S P S
,
P . , P
.
:
S P ,
.
1. ,
P -
94
1.
S , ,
. , P . P ,
, ( ,
, ).
2. , S ( ) M S S
, x y (x, y) M . x y S
, x y / y x. S
() ,
1) , .. x y, y z x z,
2) , .. x y, y x x = y.
P S
, P , .
1. A B S , .. A B /
B A.
2. A1 , A2 , B1 , B2 , A1 A2 = B1 B2 =
Ai Bi , i = 1, 2, A1 A2 B1 B2 . A1 6 B1 /
A2 6 B2 , A1 A2 6 B1 B2 .
3. A A; , 6 .
T
4. An A =
An , An B n = 1, 2, . . ., An , B ,
n>1
A B.
3. S,
14, P ,
. , (, S, P ) ,
(. 79), P : S [0, 1]
[0, 1], .. P (S) 6= [0, 1], P , P (S),
S [0, 1] ( P ). , : [0, 1] [0, 1], P (S) [0, 1], .. x < y x, y P (S)
(x) < (y), , Q = P : S [0, 1] . , (
P , ) P (S) = [0, 1], ( (x) = x x). ,
. , ..
95
P (S) = [0, 1], P ,

.
. C.. [0, 1],
J1 J2 [0, 1] J1 J2 |J1 | 6 |J2 |, |J| J.
4. , P , S . .. ( ) (, S)
(R1 , B).
:
5. .., [0, 1].
. (, S) S
, 15.
P , .
. . .
1. A B C A C.
2. A B A B.
S
3. An A =
An , An B A B.
n>1
1. , .. AC = = BC,
ABA+C B+C
( A + C = A C AC = ). , :
A B A + C B + C,
A B A + C B + C,
2. , ( ) , .
A B C.
A B A \ AB B \ AB, .. A B AB c Ac B.
, B C BC c B c C. 2 : AB c +
+ BC c Ac B + B c C, ,
AB c + (ABC c + Ac BC c ) (Ac BC + Ac BC c ) + B c C,
96
1.
, Ac BC c ( ) ABC ( ),
A = AB c + ABC c + ABC Ac BC + ABC + B c C = C,
.. A C.
2. 2, 3 :
A = A + A + (B \ A) = B.
3. , A B Ac B c .
, A B Ac B c , Ac 6 B c , 2
= A + Ac B + B c = 6 ,
.
S
T
An A = An An B n. Acn Ac = Acn
Acn B c , 4 Ac B c , .. A B.
. .., [0, 1], . 5. , . , E(a, b) = {a < < b},

E(a1 , b1 ) E(a2 , b2 ) b1 a1 6 b2 a2 ;
E(a, b) E[a, b) E(a, b] E[a, b].
4. A p =
= P (A) , A E(0, p).
P : S [0, 1],
, ,
.
4.
M (A) = {a [0, 1] : E(0, a) A};
M (A) 6= , E(0, 0) = A , , 0 M (A).
p = P (A) = sup{a : a M (A)}
a
, E(0, p) A. , {an } M (A) , an p, E(0, an ) A, E(0, an )

E(0, p), 3
E(0, p) A.
(1)
p = 1, E(0, p) E[0, 1] = A, (1) 1

E(0, p) A.
p < 1, a > p p E(0, a) A , , p < an p,
97
E(0, an ) A, E(0, an ) E(0, p] , , 4 E(0, p] A,

(1), E(0, p) E(0, p] 1 E(0, p) A.
p, E(0, p) A, ,
E(0, p ) A, 1 E(0, p) E(0, p ),
p = p .
. , P : S [0, 1],
A E(0, P (A)),
. .
n
n
X
X
5. P , .. P
Ak =
P (Ak ).
1
6. P -.
7. P , ..
A B P (A) 6 P (B).
8. , , .
5. n = 2, ..
P (A + B) = P (A) + P (B) AB = ; A, B S.
(A1
A2 A3 A1 A3 ), . 1, P (A) A E(0, P (A)). 2 ,
AB = = CD, A C, A + B C + D
B D. ,
C E(0, P (A)), D = E[P (A), P (A + B))

A C, A + B E(0, P (A + B)) = C + D

B D E(P (A), P (A + B)) E(0, P (A + B) P (A)),
, B E(0, P (B)),
P (A + B) P (A) = P (B)
(, P (A) 6 P (A + B), A A + B).
98
1.
6. , S An 0
P (An ) 0. , P (An ) . P (An ) > ,
An E(0, ) , , 4
\
= An E(0, ),
= 0.
7. A E(0, P (A)), B (0, P (B)),

, . 1,
A B E(0, P (A)) E(0, P (B)) P (A) 6 P (B).
8. Q ,
. ,
Q{E(0, a)} = a a [0, 1],
(2)
A E(0, P (A))
Q(A) = Q{E(0, P (A))} = P (A),
.. Q = P S.
(2). Q(x) = Q{E[0, x])} = Q{E(0, x)}.
0 6 a 6 b 6 1
E[0, b) = E[0, a) + E[a, b),
Q
Q[a, b) = Q(b) Q(a),
[a, b) [0, b a), Q(b a) = Q(b) Q(a), ..
Q(x + y) = Q(x) + Q(y) x > 0, y > 0, x + y 6 1.
(, , )
Q Q(1) = 1 Q(x) = x, .. (2).
1. , A B P (A B) = P (A) P (B).
2. ,
P (AB) = P (A) + P (B) 2P (AB) = P (A B) P (AB).
AB A B, ..
AB = (A \ B) (B \ A) = (A B) (AB) = AB c Ac B.
99
3. ,
P (A B C) = P (A) + P (B) + P (C)
P (AB) P (AC) P (BC) + P (ABC).
4. . . A,
5 . .
5. . . :
A 10,
B 6 .
A, B, AB.
6. .
A ,
B 10.
,
A B.
7. ,
. .
:
A ,
B .
8. . Ai , , i- .
A1 , A2 , A3 :
A ,
B ,
C ,
D .
9. {An : n = 1, 2, } ; Bm , , A1 , . . . , Am
Am . Bm A1 , . . . , Am . ,
S B1 , B2 , . . .
.
Bn A1 , A2 , . . .
n>1
10. ,
. . , .
11. ,
. .
, .
12. , (. . 6) ( ) 1, 2, 3. -
100
1.
(.. ,
) q. .
Ai i- ,
A ,
3
B .
PA (Ai ) PB (Ai ).
13. a, b, c
1
2
: a b, c .
. 6.
.
, .
. . :
A a,
B b,
C c,
D n- .
14. Pm , A1 , . . . , An m . ,
Pm =
nm
X
m
(1)k Cm+k
Sm+k ,
k=0
Sk = Sk (A1 , . . . , An ) =
P (Ai1 . . . Aik ).
16i1 <...<ik 6n
15. n = 3 . N = 7
. ,
.
16. n , A B, . , A B .
, A B r .
17. , A B A B c , Ac B c .
18.
(
A, = 0,
A =
Ac , = 1.
A1 , . . . , An . ,
A1 1 , . . . , Ann
101
. k = 0 1 k.
19. , A B1 ,
A B2 . , A B1 B2 , A B1 B2 .
20. n . A , . B ,
. , :
n = 2 A B ,
n = 3 A B ,
n = 4 A B .
21. .., .
22. .. , .. ,
E() 6= E E.
23. , .. 1 , . . . , n +1 1 p q = 1 p .
.. n = 1 . . . n , ..
pn = P (n = +1) qn = P (n = 1)
( : En = E1 . . . En ).
24. .. x1 , . . . , xr . ,
lim
lim
E n+1
= max(x1 , . . . , xr ),
E n
p
n
E n = max(x1 , . . . , xr ).
25. ..,
E < . ,
X
E =
P ( > i).
i>1
26. .. x1 , . . . , xm , .. y1 , . . . , yn . , .. i j i = 1, . . . m 1
j = 1, . . . , n 1 , ..
E i j = E i E j .
, .. .
27. n , . n ,
, . , En = l.
102
1.
28. .., x1 ,
x2 , . . . p1 , p2 , . . . q1 , q2 , . . . .
P ( = ).
29. ..,
, E < . ,
X
E min(, ) =
P ( > i) P ( > i).
i>1
30. n . ,
.
31. ,
) E 2 = 0 = 0 , ..
P ( = 0) = 1;
) var = 0 = c c.
32. .. E 2 < . ,
E( c)2 > E( c0 )2 = var
c0 = E c.
33. .. .
,
E( a b)2 > E( a0 b0 )2 = (1 2 ) var
a b,
a=
cov (, )
,
var
b0 = E a0 E,
= cor (, );
var = 0, a0 = 0.
34. .. .
, .
1 . a b = a + b .
2 . = cor (, ) = +1 1.
35. ) .. 1 2 , . , ..
l = l + 2 2 = 1 2
.
) , ..
36. C.. Bi(n, p) p = 1/2.
E, = sin
.
2
103
37. .. .
, .
1 . C.. , ..
P ( = k) = pq k , k = 0, 1, 2 . . .
p = 1 q, 0 < p < 1.
2 . P ( k = n| > k) = P ( = n) k, n.
38. C.. 1 2
. ,
P (l = k|1 + 2 = n) =
1
, k = 0, 1, . . . , n.
n+1
?
39. C.. 1 2 1 2 .
,
P (1 = k|1 + 2 = n) = Cnk pk q nk ; k = 0, 1, . . . , n,
p =
1
= 1 q.
1 + 2
40. ) C.. . 1
E =
.
1+
) .. , , p(z) = Ez , |z| 6 1. ,
>0
Z1
1
E
= z 1 p(z) dz.
+
41. 1 2 ..,
P (i = k) = pi qik , i = 1, 2; k = 0, 1, 2, . . .
, ..
= min(1 , 2 )
. .
42. N - .
, ,
.
-.
43. . p . 1
104
1.
, 2 . ,
.. 1 2 , .. .
44. 1 2
1, . . . , N ;
P (1 = k) = P (2 = k) = 1/N, k = 1, . . . , N.
U = min(1 , 2 ), V = max(1 , 2 ), D = V U.
.. U, V, D.
45. 1 , . . . , n+1 , 1 0 p q = 1 p .
n
X
i = i + i+1 (mod 2), =
i
1
E var .
46. 1 2 .., 1 + 2 . ,
1 2 . ,
)1 - ;
) ?
47. .. , , 1, 2, . . . , n
1/n.
P ( + = ), P ( + = 2), P ( + + = n + 1).
48. .., .
..
+ = max(N, ), = min(N, ),
N .
49. , 1 , . . . , n .., , .. 1 , . . . , n p(z), |z| 6 1, ..
Bi(n, p).
S0 = 0, Sk = 1 + . . . + k , k = 1, . . . , n.
.. S .
1
105
50. ..
( n
k k
e Cn p (1 p)nk 0 6 k 6 n,
P ( = n, = k) = n!
0
k > n,
> 0, 0 6 p 6 1. ..
, ..
P (zl , z2 ) = Ez1 z2 , |z1 | 6 1, |z2 | 6 1,
cor (, ).
51. , n ( n! )
2
P (z) =
Cn
X
P ( = i)z =
i=0
n
Y
1 zk
k=1
1z
1
n!
E var .
52 . .. -
Bi(n, p),
k
e , k = 0, 1, 2, . . . ,
k!
2
q
q
= n , = n 2 , q 6 1/4.
p
p
k = P ( = k), k =
|k k | 6 2 k.
()
, 1 , . . . , n .., .. s
P (s = k) = ps qsk , qs = 1 ps ,
= E =
n
X
1
= 1 + . . . + n ,
n
n
X
X
qs
qs2
Es =
, =
, qs 6 1/4 s,
2
1
ps
ps
().
53. A B , 1A 1B . ,
1) var 1A = P (A) P (Ac ),

2) cov (1A , 1B ) = P (AB) P (A) P (B),
3) 0 < P (A) < 1, 0 < P (B) < 1, A B
cor (1A , 1B ) = 0.
106
1.
54.
n
1 1S
Ak
= 1S
n
1
Ak
c
n
= 1T
1
Ack
n
Y
1
1Ack = (1 1A1 ) . . . (1 1An )
, .
55. .. 0 < var < . ,
n
o
E
P 3,2 <
< 3,2 > 0,9.
var
56. ..
a = E, 0 < b = [E( a)10 ] 10 < +.

,
n
o
a
P 2 <
< 2 > 0,999.
b
57. .. 1 , 2 , . . .. J(n) .
1 , . . . , n+1 , .. J(n) =
n
X
1{k 6=k+1 } .

2
J(n)

E
p 0 n ,
n
p = P (1 6= 2 ).
58. 1 , . . . , n .. (, ) > 0. ,
n
n

n X
o

P
i > 6
1
X
1
E|i |
59. .., f g R1 , A R1 . ,
1) f (x) 6 0, x 6 A; f (x) 6 1, x A,
2) g(x) > 0, x 6 A; g(x) > 1, x A,
3) f () g() ,
4) { A} .
,
Ef () 6 P ( A) 6 Eg().
: f () 6 1{A} 6 g().
107
60. n .. 1 , . . . , n+1 , 1 0 p q = 1 p .
n
X
i = i + i+1 (mod 2), Sn =
i .
1
, > 0

n
o
S

Pn = P n E1 > 0 n .
n
61. = (0, ), S P
S,
X
P (A) =
2k A S,
kAN
N = {1, 2 . . .}. (, S, P ) ?
62. (X, A, P ) (Y, B, Q) , f : X Y ,
B = f (A) = {f (A) : A A} Q B, Q(B) = P (f 1 (B)) B B. , (Y, B, Q)
.
63. = [a, b]. ,
S = {[, ) : a 6 6 6 b}
, .
64. K
A . , K.
65. K = {A1 , . . . , An } , ..
1) A1 , . . . , An
n
S
2)
Ai = .
1
, , K,
= A0 , A1 , . . . , An .
66 . S F G, F , G R1 . , S , .
67. K .
1) K1 , , A , A K,
Ac K,
2) K2 K1 ,
3) K3 K2 .
108
1.
, K3 , K.
68. {An : n = 1, 2, . . .} . lim An , An ; lim An
, An , , , . ,
1) lim An lim
n;
S AT
T S
Ak , lim An =
Ak ;
2) lim An =
n>1 k>n
n>1 k>n
3) (lim An )c = lim Acn ;

4) lim(An Bn ) = lim An lim Bn .
5)
(
A n,
An =
B n,
lim An = A B,
lim An = A B.
69. {An : n = 1, 2, . . .} .
, lim An , lim An = lim An .
lim An = lim An = lim An .
,
T
1) A1 A2 . . ., lim An = S An ,
2) A1 A2 . . ., lim An = An ,
3) An , lim An = .
70. (, S, P ) , {An } S lim An . ,

P (lim An ) = lim P (An ).
71. (X, d) ( d) B (.. -aepa, ). : X .. (
),
{ B} = { : () B} S B B.
, : X ..,
{ E} S E.
72. ..
(X, d),
109
(X, d) (Y, ) [.. : X Y ,

Y
X]. , = ()
.. (Y, ).
73. 1 2 ..
(X, d). , d(1 , 2 ) ..
74. .. ,
{ = } = { : () = ()}
.
75. , 1 , 2 . . . .. ,
{lim n = } = { : lim n () = ()}
{lim n = lim n } = { : lim n () = lim n ()}

.
76. , 1 , . . . , n c..
.. 0, 1, . . . , n 1.
S0 = 0, Sk = 1 + . . . + k , 1 6 k 6 n.
, S ..
77. () = ()2 .. , ()
.. ( ).
78 . (, S, P ) . ,
{P (A) : A S} .
79. A S (, S, P ), : ) P (A) > 0, ) S B A P (B) = 0,
P (A \ B) = 0. .
1 . A B , P (AB) = 0, P (AB) = 0.
2 . (
A B , P (AB) = 0).
X
3 . = A0 +
Ai i>1
{A0 , A1 , . . .} S, A1 , A2 , . . . , A0 [A0
X
, a
Ai = \ A0 i>1
. P (A0 ) = 0,
].
110
1.
4 . p , 0 6 p 6 P (A0 ), A S
, P (A) = p.
80. A .., c,
P ( = c|A) = 1
(.. ..
).
81. , .. 1 , . . . , n
(0, 1).
U = min i , V = max i
i
D = V U, R = U/V.
.., F f .. .
,
) FV (x) = xn , fV (x) = nxn1 , 0 < x < 1,
EV =
n
n
, var V =
;
n+1
(n + 2)(n + 1)2
) FU (x) = 1 (1 x)n , fU (x) = n(1 x)n1 , 0 < x < 1,

EU =
1
, var U = var V ;
n+1
) FUV (u, v) = v n (v u)n ,
fUV (u, v) = n(n 1)(v u)n2 , 0 < u 6 v < 1;
) FD (x) = nxn1 (n 1)xn ; fD (x) = n(n 1)[xn2 xn1 ],

n > 2, 0 < x < 1,
ED =
2(n 1)
n1
, var D =
;
n+1
(n + 1)2 (n + 2)
) cor (U, V ) = 1/n;

e) .. R min(1 , . . . , n1 ) .
81. , . 1 , 2 , . . .
(0, 1).
Un = min(1 , . . . , n ), Vn = max(1 , . . . , n ),
Dn = Vn Un , Rn = Un /Vn .
, n x > 0
lim P {nUn < x} = 1 ex ,
lim P {n(1 Vn ) < x} = 1 ex ,
lim P {n[1 Dn ] < x} = 1 (1 + x)ex ,
lim P {nRn < x} = 1 ex .
111
82. A B 20 21 , 10 . ,
20 21 . .
83. .. f g ..
.. . g, f , 1) = + c;
2) = + , > 0; 3) = + , < 0; 4) = + , 6= 0; 5) = 3 ;
6) = ||; 7) = 2 .
84. , .. 1 2
a, ..
P (i < x) = 1 eax x > 0.
,
) .. 1 /(1 + 2 ) (0, 1),
) ..
1
1 + 2
1 + 2
.
85. , .. 1 2
N (0, 1). , ..
1
2
= (12 + 22 )
a = 1, ..
P ( < x) = 1 ex x > 0.
86. .. F . ,
.. = F () (0, 1).
87. ..
[0, 1]. ,
) x2 + x + = 0,
) x2 + V x + U = 0, U = min(, ), V = max(, ).
88. , .. 1 2
N (, 2 ). ,
E max(1 , 2 ) = + , E min(1 , 2 ) = .
89. x R1 .. F ,
>0
F (x + ) F (x ) > 0.
.. ..,
x R1 .
112
1.
90 . ai ai+1 (a1 , . . . , an ) , ai < ai+1 . , a1

. , a1 , . . . , an . n ( n!
). , .. 1 , . . . , n
(0, 1). ,
[x]
1 X
) P (1 + . . . + n < x) =
(1)j Cnj (x j)n x > 0,
n!
j=0
) P (n 6 k) = P (1 + . . . + n < k) k = 1, 2, . . . , n.
91. .. 1 2 .
, .. 1 2 ,
cov (1 , 2 ) = 0.
92. .. . , .. + .
93. .. 1 , . . . , r Nr (, A). , ..
=
r
X
ai i =
r
X
bj j
, (Aa, b) = 0,
a = (a1 , . . . , ar ), b = (b1 , . . . , br ).
, .. 1 , . . . , r
( ), ,
.. ,
(a, b) =
r
X
ai bi = 0.
94. . = (1 , . . . , r )
Nr (, A).
ij = cor (i , j ), R = {ij }, A = {aij }.
,
aij
) ij = p
,
aii ajj
) R = 1 A1 ,

1 0

0 2
=
....
0 0
... 0
... 0
....
. . . r

; i > 0; i2 = var i = aii .

113
95. f1 f2 , , . ,
1
) (f1 + f2 ) 2
(1 , 2 );
) (1 , 2 ) ;
) 1 2 N (0, 1).
96. (1 , 2 ) E1 = E2 = 0, var 1 = var 2 = 1, E1 2 = . ,
1
1
1
P (1 2 > 0) = + arcsin ; P (1 2 < 0) = arccos .
2

1 1/2
97. (). , E max(1 , 2 ) =
.
98. (, ) ,
E = E = 0, E < 0. ,
P ( > a, > b) 6 P ( > a) P ( > b) a > 0, b > 0.
99. .. 1 2 (0, 1). , .. 1 = cos 2 = sin , =
= 2 ln 1 , = 22 , N (0, 1).
100. .. 1 2 N (0, 12 ) N (0, 22 ) . , ..
=q
1 2
12 + 22
N (0, 2 ),
1
1
1
=
+ .
1
2
1 .
, ,
; , ,
,
; , .
1. = {(t) : t T } .. (t),
(, S, P ), . t , .. T R1 ,
. T {0, 1, 2, . . .} T
, .
, (t, ) 7
7 (t, ), .
, (t) t
. {k : k = 1, 2, . . .}
.. ( T = {1, 2, . . .}
(t) = t t T ).
2 . (t, ) t () () . ,
114
115
-aepy , .
.
1. ( , S , P ) ,
(X, F ) , T . , , ,
: T X, a -aepa S
{ : , (t) B}, t T, B F .
: T X, (t, ) =
= (t), . , , t T (t) : 7 (t, ) (
..). ,
{(t) B} = { : (t, ) B} = { : (t) B} S
B F . ,
.
2. = {(t) : t T } (, S, P ) (X, F ).
, .
k : , k() = [ k()(t) = (t, )].
k . - S
P S - S P S :
S = k(S) = {k(A) : A S},
P (A ) = P (A) A = k(A) [.. P = k(P ) = P k 1 ].
( , S , P ) , .
2. = {(t) : t T } = {(t) : t T }
(X, F )
(, S, P ) ()
,
P {(t1 ) B1 , . . . , (tn ) Bn } = P {(t1 ) B1 , . . . , (tn ) Bn }
n > 1, tk T Bk F k = 1, . . . , n.
, .
116
2.
, ,
.
. . , ,
, ,
.
3 . T (Xt , dt ) t T dt .
(Xt , dt ), t M , (XM , dM ),
Y
XM =
Xt , dM = max dt .
tM
tM
BM -
XM .
, M T
PM (XM , BM ), ( PM , M T |M | < ):
PM (A XM\N ) = PN (A) N M A BN .
PN PM (XN , BN ).
(XT , BT ), XT =
Q
=
XT ; M T A BM tT
A XT \M XT ( A), BT
-, .
. Xt t T ( ) PM (XM , BM ) M T , . P (XT , BT ),
(XM , BM ) PM M T ,
..
P (A XT \M ) = PM (A) A BM .
. , .
= {(t) : t T } ,
1) .. (t) t T Xt ,
2) M = {t1 , . . . , tn } T
P {(t1 ) B1 , . . . , (tn ) Bn } = PM (B)

B = B1 . . . Bn BM , Bk Btk
117
(.. ).
,
(t, ) = (t) t T, XT ,

= {(t) : t T } XT
P {(t1 ) B1 , . . . , (tn ) Bn } = P { : (tk , ) Bk ; k = 1, . . . , n} =
= P { : (tk ) Bk ; k = 1, . . . , n} = P { XT : B XT \M } =
= P (B XT \M ) = PM (B).
. ,
(XT , BT ) ( ) PT = P , (Xt , dt ), t T , PM , M T, |M | < ,
S T ( )
(XS , BS ) PS , (Xt , dt ), t T ,
PM , M S, |M | < .
PT (XS , BS ) PS , .. PT (A XT \S ) = PS (A)
A BS . ,
QS (A) = PT (A XT \S ) A BS .
, PS = QS . ,
PS QS XM , BM PM M S ( )
XS , BS .
3. F .. R1 . , {n : n = 1, 2, . . .} ..
.. F . T = {1, 2, . . .},
Xt = R1 t T PM (XM , BM ) =
= (Rn , Bn ) M T |M | = n,
Y
PM (B) =
Q(Bt )
tM
B = B1 . . . Bn Bn , Bk B1 Q R1 , .. F.
PM
118
2.
, -, , .. Bn .
PM M T
Q , N M T
B=
Bt BN
tN
PM (B XM\N ) =
tN
Q(Bt )
Q(Xt ) =
Q(Bt ) = PN (B)
tN
tM\N
, Q(Xt ) = Q(R1 ) = 1. {t : t T } = {n : n = 1, 2, . . .},

n
Y
P {1 B1 , . . . , n Bn } = P{1,...,n} (B1 . . . Bn ) =
Q(Bk )
k=1
n > 1 Bk B1 k = 1, . . . , n.
Bi = R1 i 6= k,
P {k Bk } = P {1 B1 , . . . , n Bn } =
n
Y
Q(Bi ) =
i=1
= Q(Bk )
Q(Bi ) = Q(Bk ).
i6=k
,
P {1 B1 , . . . , n Bn } =
n
Y
k=1
P {k Bk }
n > 1 Bk B1 , .. .. {n : n > 1}

P {k < x} = P {k B = (, x)} = Q(B) = F (x).
. ,
1: C .
P C,
P (C) = PM (A) C = A XT \M ,
,
2: P ,
3: P ,
4: P , .. C Cn P (Cn ) 0.
119
P , .. P (XT ) = 1 XT C,
, P C (.. , , - ) , ,
BT - , C.
,
14.
1. (A XT \M )c = Ac XT \M , . , .
Ci = Ai XT \M C; i = 1, 2.
M = M1 M2 ,
B1 = A1 XM\M1 XM , B2 = A2 XM\M2 XM ,
A = B1 B2 XM , C = A XT \M .
C1 C2 = C C .
2. , P (C) C C = A XT \M .
C = A1 XT \M1 = A2 XT \M2 .
,
PM1 (A1 ) = PM2 (A2 ).
1 ,
PM (B1 ) = PM1 (A1 );
PM (B2 ) = PM2 (A2 ).
,
B1 XT \M = A1 XT \M1 = A2 XT \M2 = B2 XT \M
B1 = B2 .
3. C1 C2 . 1 2,
C1 = B1 XT \M ,
C2 = B2 XT \M ,
P (C1 + C2 ) = P {(B1 + B2 ) XT \M } = PM (B1 + B2 ) =

= PM (B1 ) + PM (B2 ) = P (C1 ) + P (C2 ).
4. Cn = An XT \Mn , |Mn | < , n > 1. ,
M1 M2 . . . . , P (Cn ) > 0 > 0 n > 1 ,
120
2.
, Cn . ,
Cn P (Cn ) 0.
4. 1. , ,
An XMn , n > 1.
. P . > 0 A
K ,
K A P (A \ K) 6 .
,
.
n > 1 ( )
Kn XMn ,
Kn An PMn (An \ Kn ) = P (Ck \ Kn ) 6 0 /2n+1 ,
Kn Kn .
Cn =
n
\
Ki ,
i=1
P (Cn \ Cn ) = P
n
[
(Cn \ Ki ) 6 P
i=1
n
[
i=1
(Ci \ Ki ) 6
n
X
i=1
P (Ci \ Ki ) 6 0 /2,
6 P (Cn ) 6 P (Cn ) + 0 /2, .. P (Cn ) > 0 /2 > 0.

, P (Cn ) > 0 = 0 /2 n > 1, Cn
n
T
An =
Ki XMn \Mi Kn XMn . , Cn
i=1
Cn , An An , C1 C2 . . .
4. 2. , P (Cn ) > 0 > 0 An XMn , n > 1.
, , Cn .
Cn x(n) = {x(n) (t) : t T }. , Cn 6= (- ,
S P (Cn ) > 0). ,
Cn = An XS\Mn XT \S , S =
Mn = lim Mn , ,
n>1
(n)
(1)
(n)
x (t) = x (t) = w(t) t T \ S. xM

(n)
x(n) T M , .. xM = {x(n) (t) : t M }.
(n)
xM1 A1 XM1 , {n1 } {n},
. 3. ( ) 121
(n )
{xM11 } A1 wM1 = {w(t) : t M1 } A1 . (n )
, xM21 A2 XM2 , {n2 } {n1 } , (n )

{xM22 } A2 wM2 ={w(t) : t M2 } A2 .
{n}{n1 }{n2 }
(n )
. . . {nk } . . . , {xMkk } Ak XMk wMk = {w(t) : t Mk } Ak .
{dk } {n} [ dk
k- {nk }], , w = {w(t) : t T }
x(dk ) (t) w(t) t T
[x(dk ) (t) = w(t) t T \ S] wMk T
Ak , k > 1. , w Cn
n > 1, , ,
Cn 6= .
n>1
3
(
)
1.

= {(t) : t T }, T , ( ). , T .
T , T = (, )
(0, ), [a, b], (a, b) ..,
.
1 . {n } .., . , .. n
E = {0, 1, 2, . . .}, .. {n }: .. n+1
, .. n ,
, .. , n+1 =
= hn (n , n ), n = 1, 2, . . ., () hn , ..
1 , 2 . . . .. 1 , 2, . . . (..
122
2.
n n ). ,
. :
P (n+1 = in+1 |1 = i1 . . . , n = in ) = P (n+1 = in+1 |n = in )
(1)
n > 1 ik E, 1 6 k 6 n + 1, ,
P (1 = i1 , . . . , n = in ) > 0.
{n }, (1), ,
, {n } . ( ), i, j E
P (n+1 = j | n = i) = pij
n. {n }
) .. 1 , ..
P
P (1 = i) = pi ; i E, pi > 0,
pi = 1,
) {pij } .
E (
) ,
P (n+1 = j | 1 = i) = pnij
i E j E n .
, p1ij = pij . (1) ,
X
n
pm+n
=
pm
(2)
ik pkj .
ij
kE
1. E
. ,
j E i E n > 1 , pnij > 0 (
, j,
n, i).
2 . = {(t) : t T = (0, )}, E = {0, 1, 2, . . .}, ,
P {(tn+1 ) = in+1 | (t1 ) = i1 , . . . , (tn ) = in } =
= P {(tn+1 ) = in+1 | (tn ) = in } (3)
n > 1, t1 < . . . < tn+1 T
i1 , . . . , in+1 E ,
P {(t1 ) = i1 , . . . , (tn ) = in } > 0.
. 3. ( ) 123
{(t) : t T }, (3), ,
, .
( ),
P {(s + t) = j | (s) = i} = ptij
s T i, j E t T . ptij
i j t. (3)
,
X
ps+t
=
psik ptkj .
(4)
ij
k
3 . . {(t) : t T }, T = {1,
2, . . .} T = (0, ), E = {0, 1, 2, . . .}, ( ),
P {(s + t) = j | (s) = i} = ptij
s T i, j E t T ,
X
ps+t
psik ptkj
ij =
k
s, t T, i, j E
ptij = 1
i E t T .
2. ,
(1) (3) .
3.
{P t : t T }, :
) t T P t = {ptij } ,
..
X
ptij > 0
ptij = 1 i, j, t;
j>0
s+t
) P
= P P s, t T .
) .
, {P t : t T }, ),
), {(t) : t T }
P t . (
; . 2.)
124
2.
4. .
1) lim ptij t
.
2) () .
3) ( ) ?
4) .., .
5)
, 3) 4).
1)3).
2.
1.
[a, b]. a b , a < b. , () i, a 6 i 6 b,
i + 1 i 1, i
pi , qi , ri ; pi +qi +ri =1. , qa = 0 = pb (. . 7).
ra
ri
pa
a a+1
qi
i1
rb
pi
i+1
qb
b1
. 7.
0 [a, b]. n n . {n }
pi i+1 = pi ,
qa = 0 = pb ;
pi i1 = qi , pi i = ri ;
pi j = 0 |i j| > 1.
, , pi > 0 qi > 0
a < i < b.
1: ra = 1. , , a, .
a . , rb = 1,
. 3. ( ) 125
b :
, b, .
2: a = , b = +; ri = 0, pi = p i.

. , pi = p = 1/2 i,
.
3: ri = 0, pi = p a < i < b; pa = p, ra = 1 p; rb = p,
qb = 1 p (. . 8).
1p
1p p
a a+1
i1
1p
i+1
b1
. 8.
[a, b]
, , a 1,
a;
b + 1, b.
, a 1/2 b + 1/2.
. b = +,
.
2 ( ). {zk } ..,
P (zk < x) = 1 eax , x > 0, k > 1,
a.
t0 = 0; tk = z1 + . . . + zk , k > 1; tk+1 > tk .
(t) {tk }, t, ..
(t) = sup{k : tk < t}.
, z1 , z2 , . . . , (t) , t. v(t), t>0,
126
2.
( ). ,
P {(s + t) = j/(s) = i} = ptij =
(at)ji at
e
j > i
(j i)!
(1)
ptij = 0 i j ( ptij s),

X
ps+t
psik ptkj
ij =
k
.
(1) .
. ..;
.. .
P ( < x | > ) = P ( < x) x.
1. , . , ,

.
x > 0.
A F .. .. ,
P ( < x | > ) =
P ( 6 < x + )
=
P ( > )
Z
[A(x + c) A(c)] dF (c)
Z
[1 A(c)] dF (c)
= A(x) = P ( < x),
,
A(x + c) A(c) = A(x)[1 A(c)],
.. A
A(x) = 1 eax , x > 0, a > 0.
,
P {(s + t) = i + k/(s) = i} = P {(t) = k}
(2)
. 3. ( ) 127
s > 0, t > 0, i > 0, k > 0. ,
P {(t) = k} = P {tk < t, tk+1 > t}.
(3)
(. . 9)
z1 = zi+1 (s ti );
z2 = zi+2 ;
z3 = zi+3 ;
......
t0 = 0;
tk = z1 + . . . + zk , k > 1;
ti+k = s + tk .
z1
0
ti s
z2
ti+1
...
ti+2 . . . ti+k1
zk
ti+k s+t ti+k+1
. 9.
P {(s + t) = i + k | (s) = i} = P (tk < t, tk+1 > t | (s) = i).
(4)
z1
..
= zi+1 , = s ti ,
, .. zi+1 , > 0 z1 > 0,
.. ti < s ti+1 > s, .. (s) = i. ,
{(s) = i} .. {zk , k > 1}
a. (3)(4)
(2).

Pk (t) = P {(t) = k} =
(at)k at
e , k > 0, t > 0.
k!
(5)
k = 0 : P0 (t) = P (t1 > t) = eat , (5)

. (5) k > 0.
(t), t > 0,
Pk+1 (t) =
Zt
0
Pk (t x) d(1 eax ),

Pk+1 (t) =
Zt
0
[a (t x)]k a(tx)
(at)k+1
e
aeax dx = eat
,
k!
(k + 1)!
(5), k k + 1. (5) .
128
2.
, .. (t) t > 0 at. {(t) : t > 0} .

3. {n } ,
(k)
P = {pij }. , P (k) = {pij } k ,
P (k) = P k ; k = 1, 2 . . . .
, ,
a. ,
(. ) P . (t) t, , (t) = (t) ,
(t) t.
X (at)k
(k)
ptij = P {(s + t) = j | (s) = i} =
eat pij ,
k>0
k!
(0)
pij = ij . (t)
(k)
{pij } , {pij }.
(t)
P (t) = {pij },
P (t) =
X (at)k
k>0
..
k!
eat P k ,
P (t) = eat(P I) ,
I = {ij }. , {(t) : t > 0} .

.
4.
E {0, 1, 2, ...}. () E . i.
i , .
i 1 exp{1 i x}, i > 0, x > 0, . j qij .., qii = 0. (t) -
. 3. ( ) 129
t, (0) E.
{(t), t > 0} () . ,

( ) .
2.
.
n = (zn , n ); n = 0, 1, 2, . . .
.. [0, ) E,

P (zn+1 < y, n+1 = j | zn = x, n = i) =
= P (zn+1 < y, n+1 = j | n = i) = qij (1 ei y ).
.. 0 ,
. z0 = 0, .
z1 0 ,
z2 i .., .. tn 6 t < tn+1 ,
t0 = 0, tn = z1 + . . . + zn , n .
(t) = n , tn 6 t < tn+1 .

, (t) = (t) , (t) = sup{n : tn < t}. (. ) (!), {(t), t > 0}
.
5 ( ).
E = {0, 1, 2, . . . , N } E = {0, 1, 2, . . .}. , .
, qij = 0 |i j| > 1. qi i+1 = pi i > 0
qi i1 = qi = 1 pi i > 1. (
(0) E) .
pi = 1 i, . ,
(. 2). pi = 0 i,
.
(, )
130
2.

.. ( ; . ). 1 , . . . , n .., a1 , . . . , an .
(1) .. min(1 , . . . , n ) a = a1 + . . . + an ;
a1
(2) P (1 < 2 ) =
.
a1 + a2
3.
,
P t = {ptij } . T = {1, 2, . . .} T = (0, );
E = {0, 1, 2, . . .} .
, i1 , i2 E t T j E ,
pti1 j > 0 pti2 j > 0 (..
).
= {i } E (.. = (0 , 1 , 2 , . . .)
X
, i > 0
i = 1) ,
i
X
i
i ptij = i t T, j E.
0. (
) ,
:
1 . ={i }
ptij j t i, j.
2 . .
,
.
1. . i j lim ptij ;
t
1 . , ptij 0
i, j E ( t ).
2 . = {i },
ptij i j t i j, i , ,
i 0 < i 6 1.
. 3. ( ) 131
2. =
= {i }. :
1 . lim ptij = j i, j.
t
2 . ,

X
ptij xj = xi i, t
j

x = (x0 , x1 . . .) = c(1, 1, . . .).
,
i j t T , ptij > 0.
3. =
= {i }. :
1 . lim ptij = j > 0 i, j.
t
2 . .
3 i j = (i, j) T
, ptij > 0 t > .
T = {1, 2, . . .},
:
4 .
, i j {n : pnij > 0} .
. = {i } E (.. = {i }
X
, i > 0
i = 1) i
, i E
lim pt
t ij
= j j.
, , ..

X
i ptij = j j, t.
i
,
X
Pijs+t =
psik ptkj ,
k
132
2.
, s
X
j =
k ptkj ,
k
.. = {i } .
, pttj j ( j). ,
> 0 N ,
X
k < ,
k>N
sk , 0 6 k < N , ,
|psik k | < /N s > sk k < N.
j > N
|psij j | 6 psij + j 6
= (1
k>N
k<N
psik +
k>N
k ) +
k 6 1
k<N
(psik
psik + =
k<N
k ) 6 2 +
k<N
|psik k | 6 3
s > s = max(s0 , s1 , . . . , sN 1 ). ,
|psij j | < 3 j, s > s.
4.
. 0 12. , 1 2 2, 2 1 1,
= {j = lim ptij }
t
, , 3, .
13,
13 ( ).
. l1
X
= {(0), (1), . . .} || =
|(i)|. > 0 i>0
, (i) > 0 i. , l1 > 6

, > 0. > 6= , >
< .
w

(w
) . , n
, {n } l1 l1 (.. n (i) (i) i).
. 3. ( ) 133
. P : l1 l1 ,
1) > 0 P > 0 |P | = ||;
2) |P | 6 || l1 .
P = {P t , t T } P s+t = P s P t s t T . T =
= {1, 2, . . .} T = (0, ).
P = {P t , t T }
, l1 |P t | = ||, t T > 0
6 0.
l1 ( P), P t =
t T . = 0 .
. 1. P = {Pt , t T} .
1 . ,
w
t
P
0 t l1 .
2 . , ,
> 0 || = 1; l1
w
P t
, ; > 0,
0 < 6 ||.
,
.
. l1 :
1. > 0, > 0 | + | = || + ||.
2. .
w
3. n
, |n | c, l1
|n + | c || + ||.
4. l1 + > 0 > 0 , = + || = |+ | + | |.
3,
.
l1 K E = {0, 1, 2, . . .}
X
||K =
|(i)|.
iK
, K = E \ K,
134
2.
|n + | = |n + |K + |n + |K 6
6 |n |K + ||K + |n |K + ||K + ||K =
= |n |K + || + |n | |n |K + |n |K .
K , K = {0, 1, . . . , N },
lim |n + | 6 || + c ||K + ||K .
K E, N +,
lim |n + | 6 c || + ||.
,
|n + | > ||K |n |K + |n |K ||K ||K =
= (||K + |n | ||K ) |n |K ||K ||K .
, lim |n + | > c || + ||.
. l1 , w
( P), > 0, || = 1 P t
||
> 0. 3 ,
|P t || | 0 > 0. , , . ,
, P t t (|+ | | |)
l1 , + 4.
m, l1 , w = {w(0), w(1), . . .}
kwk = sup |w(i)|. w m ,
i>0
w() = [w, ] =
w(i)(i) > 0
i>0
> 0, , w(i) > 0 i. w1

w2 m w1 > w2 w2 6 w1 , w1 w2 . w1 > w2 , w1 > w2 w1 6= w2 .
, , (P t ) : m m ,
P t : l1 l1 . P t = (P t ) .
P = {P t , t T } (.. P s+t = P s P t
s t T ).
w m ( P ),
t
P w = w t T .
2. l1 . :
1 . .
. 3. ( ) 135
2 . 1) P ;
2) m
.
. P = {P t , t T }
, > 0 w > 0 l1 m
t T , [w, P t ] > 0.
3. l1 . :
1 . P .
2 . , [w, ] > 0
w > 0 (.. = {j } j > 0 j).
. {ptij }, t T , P = {P t , t T }
, l1
X
(Pt )(j) =
(i)ptij , j = 0, 1, 2, . . . .
i>0
13 13.
.
() P
.
() P .
().
P
(i1 , i2 ) , i1 6= i2 i = (0, . . .
. . . , 0, 1, 0 . . .); i- , i > 0. = i1
i2 l1 . : || = 2. ,
X
X
|Pt | =
|pti1 j pti2 j | =
(pti1 j pti2 j ) = 2
j
t T , |P | = || t, .. > 0 6 0, .
, ,
l1 , i1 i2 (i1 ) > 0
(i2 ) < 0. , |P t | < || t T .
, j0 t , pti1 j0 > 0 pti2 j0 > 0.
XX
X X
X

|Pt | =
(i)ptij <
|(i)ptij | =
|(i)| = ||.

j
() . ,
X
[w, Pt ] =
(i)w(j)ptij .
i,j>0
136
2.
. 13 , l1 m M
M .
1) M + , M : > 0
M + ;
2) , (
, M ).
M + , M , P 14.
5.

{(t) : t T }. T = (0, ) , ptij ij t 0
i j E.
k E xk (t) {(t) = k}.
1
t
Xk (t) = [xk (1) + . . . + xk (t)], T = {1, 2, . . .};

Xk (t) =
1
t
Zt
0
xk ( ) d, T = (0, ).
( ) {xk (t) : t T }.

( ).
k E lim ptik = k , t
i E. , T = (0, ) ,
. > 0
t +
E|Xk (t) k | 0, k E.
. , Pij (t) = pij (t).
1 . ,
E|Xk (t) k |2 0 t .
,
= (t) = Xk (t) k ,
. 3. ( ) 137
|| 6 1
E|| 6
E||2
E /2 ||2
> 2,
0 < 6 2.
0 < 6 2
E 1/ || 6 E 1/2 ||2 .
2 . T = {1, 2, . . .}.
var Xk (t) = E[Xk (t) EXk (t)]2 =
t
=
=
2
t2
2
t2
16u<v6t
16u<v6t
2
t2
t
X
u=1
1 XX
E
[xk (u) Pik (u)][xk (v) Pik (v)] =
t2
u=1 v=1
t X
t
X
1
t2
u=1 v=1
E[xk (u) Pik (u)]xk (v) =
E[xk (u) Pik (u)]xk (v) +
t
1 X
Pik (u)[1 Pik (u)] =
t2
Pik (u)[Pkk (v u) Pik (v)] +
Pik (u)
tu
X
u=1
t
1 X
Pik (u)[1 Pik (u)] =
t2
u=1
[Pkk (w) Pik (u + w)] +
w=1
t
1 X
Pik (u)[1 Pik (u)].
t2
u=1

lim Pkk (w) = lim Pik (w) = k ,
,
var Xk (t) 0 t .
3 . T = {1, 2, . . .} ,
E|Xk (t) k |2 = var Xk (t) + [EXk (t) k ]2
t
EXk (t) =
t
t
1X
1X
Exk (u) =
Pik (u) k .
t
t
u=1
u=1
4 . T = (0, ). t
138
2.
1
var Xk (t) = 2 E
t
Zt Zt
0
2
= 2
t
ZZ
[xk (u) Pik (u)][xk (v) Pik (v)] du dv =

E[xk (u) Pik (u)][xk (v) Pik (v)] du dv =
06u6v6t
2
t2
ZZ
E[xk (u) Pik (u)]xk (v) du dv =
06u6v6t
ZZ
2
= 2
t
Pik (u)[Pkk (v u) Pik (v)]xk (v) du dv =
06u6v6t
2
= 2
t
Zt
0
tu
Z
Pik (u) du
[Pkk (w) Pik (u + w)] dw 0.
0
5 . ,
E|Xk (t) k |2 = var Xk (t) + [EXk (t) k ]2
t
1
EXk (t) =
t
Zt
1
Exk (u) du =
t
Zt
0
Pik (u) du k .
6 . , i j E Pij (t)
( ). , ,
|Pij (t + h) Pij (t)| 6 2[1 Pij (|h|)].

h > 0
X

|Pij (t + h) Pij (t)| =
Pik (h)Pkj (t) Pij (t) =
k

X

= [Pii (h) 1]Pij (t) +
Pik (h)Pkj (t) 6
k6=i
6 |Pii (h) 1|Pij (t) + 1 Pii (h) 6 2[1 Pii (h)].
,
|Pij (t + h) Pij (t)| 6 1 Pii (|h|).
, ( ) , Pij (t) .
. 3. ( ) 139
6.

, T = (0, ) |E| < , ..
E . . ,
.
, .
, ( ) (. 4 2). , Pij (t) ( i qij ).
1.
1
t
lim (P t I) = A = {aij },
t0
I ; A ,
X
aij > 0 i 6= j,
aij = 0.
(1)
I
A . , , .
2. P t = P (t) = {Pij (t)} t > 0
P (t) = A P (t) = P (t) A, P (0) = I.
(2)
3. A (1),
(2) P (t) = {Pij (t)}, t > 0,

X
1) P (s + t) = P (s) P (t); 2) Pij (t) > 0; 3)
Pij (t) = 1;
j
4) Pij (t) ij t 0;
1
5) lim [P (t) I] = A.
t0 t
140
2.
4.
. A = {aij }
aij = i qij i 6= j; aii = i .
5. i E ,
Pij (t) = ij j t. i ,
aii = 0. A = {aij }
,
i = aii ; qij =
aij
i 6= j; qii = 0.
i
1. . f , (0, ),
> 0 t0 > 0, f (nh) > (1 )nf (h),
h > 0, nh 6 t0 , n . ,

lim
n0
f (h)
h
.
,
lim
h0
f (h)
= c.
h

f (nh)
f (h)
> (1 )
nh
h
f (0, ) , c < +.
t1 , 0 < t1 < t0 /2
f (t1 )
6 c + .
t1
h0 > 0 ,
f (t)
6 c + 2 |t t1 | < h0 .
t
0 < h < min(h0 , t0 ). n > 1 ,

t1 6 nh < t1 + h 6 t0 .
(1 )
f (h)
f (nh)
6
6 c + 2.
h
nh
. 3. ( ) 141
> 0
lim
h0
f (h)
6 c.
h
. , i 6= j f (t) = Pij (t) .

h > 0 ,
P (h).
fijn (h) i j n ;
n
fi/j
(h) i i n j.
Pij (nh) >
n1
X
k=0
k
fi/j
(h)Pij (h)Pjj ((n k 1)h),
k
Pii (kh) = fi/j
(h) +
k1
X
m=l
k1
X
fijm (h)Pji ((k m)h),
fijm (h) 6 1.
(3)
(4)
(5)
m=1
Pij (t) ( , . 5), , > 0

t0 > 0 ,
Pij (nh) > (1 )nPij (h),
h > 0, nh 6 t0 , n .
, (4)(5) :
k
fi/j
(h) > Pii (kh) max Pji ((k m)h).
16m<k
, > 0 t0 > 0 , 0 6 t < t0
k
fi/j
(h)
Pji (t) 6 , Pii (t) > 1 , Pjj (t) > 1 ,

> 1 2, nh 6 t0 (3) :
Pij (nh) > (1 2)
n1
X
k=0
Pij (h)(1 ) > (1 3)nPij (h).
= /3.
. , i 6= j
142
2.
lim
t0
Pij (t)
= aij > 0
t
. t > 0
X Pij (t)
1
[1 Pii (t)] =
t
j6=i
,
1
t
lim [Pii (t) 1] = aii

t0
aij = 0.
2. t = 0 1 P (0) = I. t > 0 h > 0.

P t+h P t = P t (P h I) P th P t = P th (P h I).

1
h
lim (P h I) = A
h0
P t , P t .
1
1
1 t+h
(P
P t ) = P t (P h I) = (P h I) P t
h
h
h
P (t) = P (t) A = A P (t).
3. ,
(2)
P (t) = etA .
2) 3), .
.
= min aii 6 0,
iE
Q(t) = et P (t).
Q (t) = et P (t) + et P (t) =
= Q(t) + et P (t) A = Q(t) + Q(t) A
Q (t) = Q(t) B, Q(0) = I, B = A I.
. 3. ( ) 143

Q(t) = etB =
X tn
n>0
n!
B n bij = aij ij > 0,
Qij (t) > 0 , , Pij (t) > 0.

.
X
Pij (t) =
Pik (t)akj
k
hX
j
i X
X
X
Pij (t) =
Pik (t)
akj = 0,
Pij (t) =
j
Pij (t) = const =
Pij (0) = 1.
X
j
akj = 0 k
, aij > 0 i 6= j),

hX
i
Pij (t) 6 0
X
j
akj 6 0 k (, -
, ,
X
j
Pij (t) 6
Pij (0) = 1.
4, 5 .
. {(t) : t > 0}
E = {0, 1, . . . , N }. ,
, i E i (
), i + 1 ( i < N ) i 1 ( i > 0) pi qi = 1 pi
. p0 = 1, qN = 1. , 0 < pi < 1
0 < i < N .
Pk (t) = P {(t) = k}, t > 0, k E,

,
1)
P0 (t) = a0 P0 (t) + b1 P1 (t),
Pk (t) = ak1 Pk1 (t) (ak + bk )Pk (t) + bk+1 Pk+1 (t), 0 < k < N,
PN (t) = aN 1 PN 1 (t) bN PN (t),
144
2.
ai = i pi , bi = i qi ;
2)
lim Pk (t) = k , k E,
(0) E;
N
X
3) k = k 0 ,
k = 1; 0 = 1,
k=0
k =
a0 . . . ak1
, 1 6 k 6 N.
b1 . . . bk
, 1) 2 4; 2) 0 3 ,
.
3). 2) 1) ,
lim P (t) = ck . ck 6= 0, Pk (t) t k
. , ck = 0 k
0 = a0 0 + b1 1 ,
0 = ak1 k1 (ak + bk )k + bk+1 k+1 , 0 < k < N,
0 = aN 1 N 1 bN N .
zk = bk k ak1 k1 , 1 6 k 6 N,
z1 = 0; zk+1 zk = 0 0 < k < N ; zN = 0,

.. zk = 0 k,
k =
ak1
.
bk k1
k = 1.
7.

.
E = {0, 1, 2, . . .}.
1.
i 6= j
lim
t0
Pij (t)
= aij > 0
t
(1)
. 3. ( ) 145
,
1
t
lim [1 Pii (t)] = i = aii

t0
(2)
, . A =
= {aij }
X
aij > 0 i 6= j,
aij 6 0 i.
(3)
j
() A .
A
X
aij > 0 i 6= j,
aij = 0 i = aii < i,
j
.
A .
,
i = , ai = 0 0 6 i <
, i ,
. .
2. Pij (t)
P (t) = A P (t), P (0) = I,
I = {ij }, P (t) = {Pij (t)}.
(4)
t 7 Q(t) = {Qij (t)} ,

t Q(t) , ..
X
Qij (t) > 0
Qij (t) = 1.
j

X
Qij (t) 6 1,
j
146
2.
3. A = {aij } (3),
P (t),
1) (4),
2)
P (t) = P (t) A, P (0) = I,
(5)
3)
P (s + t) = P (s) P (t).
4. A = {aij }
(3). (4)
, ,
(5).
1. (1) ,
(. 1
).
(2). , ,
Pii (t) > 0 i E, t > 0
( t = 0 Pii (t)
1). , Pii (t) 1 t 0
h > 0 , Pii (t) > 0 0 6 t 6 h. t > 0
h in
t
Pii (t) > Pii
>0
n
n , 6 h.
n
g(t) = ln Pii (t).
Pii (s + t) > Pii (s) Pii (t) s > 0, t > 0

,
g(x + y) 6 g(x) + g(y) x > 0, y > 0.
, g(x) > 0 x > 0 g(x) 0 x 0. ,
lim
x0
g(x)
,
x
(6)
. 3. ( ) 147

lim
t0
g(t)
ln{1 [1 Pii (t)]}
1 Pii (t)
= lim
= lim
t
t
t
t0
t0
(2).
sup
x>0
g(x)
= .
x
< , > 0 x0 > 0 ,

>
g(x0 )
.
x0
0 < x 6 x0 x0 = nx + h, 0 6 h < x n
.
6
g(x0 )
ng(x) + g(h)
g(h)
g(x)
g(h)
rtx g(x)
6
=
+
6
+
,
x0
x0
x0
x
x0
x
x0
, g(h) 0 x 0,
g(x)
,
x
6 lim
x0

lim
x0
g(x)
6
x
(6).
(3).
X Pij (h) Pii (h) 1
+
= 0 i,
j6=i
h 0 .
i < (3)
h
i
X Pij (h) Pii (h) 1
1 X
+
6
Pij (h) 1 = 0,
i6=jM
M . ,
h 0
X
aij 6 0,
jM
M , aij > 0 i 6= j, (3).
148
2.
2. i j , h > 0, M i, j M .
X 1
1
[Pij (t + h) Pij (t)] =
[Pik (h) ik ]Pkj (t) + (h, M ),
(7)
h
0 6 (h, M ) =
kM
h
i
X
1 X
1 X
1
Pik (h) Pkj (t) 6
Pik (h) = 1
Pik (h) .
h
h
h
k6M
k6M
> 0 M ,
X
kM
aik 6 ,
kM
M h0 > 0 ,

1

k 6= i k M,
h Pik (h) aik 6
|M |

1

h [1 Pii (h)] i 6
|M |
0 < h 6 h0 .
0 6 (h, M ) 6 2 0 < h 6 h0 .
h < 0, , h > 0 t t h. (7),
Pkj (t h) Pkj (t) h 0.
,
X
1
aik Pkj (t) 6 lim [Pij (t + h) Pij (t)] 6
kM
h0
6 lim
h0
X
1
[Pij (t + h) Pij (t)] 6
aik Pkj (t) + 2,
h
Pij (t) =
kM
X
k
aik Pkj (t) i, j,
(4).
3.
, .
, n > 0

P (t, n) = A(n) P (t, n), P (0, n) = In ,
(8)
. 3. ( ) 149
A(n) = {aij (n)}, P (t, n) = {Pij (t, n)},

In = {ij }; i, j = 0, 1, . . . , n.
, A(n)
aij (n) > 0 i 6= j
n
X
j=0
aij (n) 6 0 i.
(9)
, (8) ,
P (t, n) = etA(n) ,

P (t, n) = P (t, n) A(n), P (0, n) = In
(10)

P (s + t, n) = P (s, n) P (t, n).
(11)
,
A) P (t, n) ;
) i, j, t Pij (t, n) n , ,
lim Pij (t, n) = Qij (t);
n
) t 7 Q(t) = {Qij (t)}

B1) ,
B2)
Q (t) = Q(t) A Q (t) = A Q(t), Q(0) = I,
B3)
Q(s + t) = Q(s) Q(t).
. , P (t, n) , (9)
(. 3 6).
. n > i, n > j. (10) n n + 1
Pij (t, n + 1) =
n+1
X
Pik (t, n + 1)akj =
k=0
n
X
k=0
Pik (t, n + 1)akj (n) + Pi n+1 (t, n + 1)an+1 j ,
150
2.

W (t) = W (t) A(n) + B(t), W (0) = In ,
W (t) = {Wij (t) = Pij (t, n + 1) : i, j = 0, 1, . . . , n},
B(t) = {Bij (t) = Pi n+1 (t, n + 1) an+1 j : i, j = 0, 1, . . . , n}.
Zt
W (t) = P (t, n) +
P (t u, n) B(u) du,
Bij (t) > 0,

Wij (t) > Pij (t, n), .e. Pij (t, n + 1) > Pij (t, n).
. .
. i = 0, 1, 2, . . . {ci (n) : n = 0, 1, 2, . . .} lim ci (n) = ci <
n
< .
X
X
ci = lim
ci (n).
n
i>0
1.
Pij (t, n) > 0,
i>0
Pij (t, n) 6 1, Qij (t) = lim Pij (t, n),

n
Qij (t) > 0, cj (n) = Pij (t, n),
Qij (t) 6 1,
.. Q(t) . , Pij (t, n) = 0 i > n / j > n.

2. ,
Qij (0) = lim Pij (0, n) = ij , .. Q(0) = I.
n
, Q(t)
,
Qij (t) = ij +
Qij (t) = ij +
Z t X
0
Zt
0
X
k

aik Qkj (u) du,

Qik (u) akj du
(12)
. 3. ( ) 151

X
X
aik Qkj (t) =
Qik (t) akj i, j, t.
(13)
k
ij =
i 6= j,
i = j.
aij
0
(8)
Pij (t, n) = ij +
Zt X
n
aik Pkj (u, n) du =
0 k=0
= ij + aii
Zt
Pij (u, n) du +
Z t X
0
k>0

aik Pkj (u, n) du.
ck (n) = ik Pkj (u, n),

X
X
ik Pkj (u, n)
ik Qkj (u).
k>0
k>0

. (12).
(13). (8) (10)
X
X
aik Pkj (t, n) =
Pik (t, n)kj ,
k
aii Pij (t, n) +
ik Pkj (t, n) =
k>0
Pik (t, n)kj + Pij (t, n)ajj .
k>0
.
(13).
3.
X
Pij (s + t, n) =
Pik (s, n)Pkj (t, n)
k
ck (n) = Pik (s, n)Pkj (t, n),

X
Qij (s + t) =
Qik (s)Qkj (t).
k
152
2.
4. . Q(t) : P (t), t > 0, ,

/ , Pij (t) > Qij (t) i, j, t.
, , , P (t), t > 0,
P (t) = A P (t), P (0) = I.
, j
xi (t) = Pij (t), xi (0) = ij ,
xi (t) =
aik xk (t),
,
x(t, n) = {x0 (t, n), x1 (t, n), . . . , xn (t, n)}T , xi (t, n) = xi (t), i 6 n,
xi (t, n) =
n
X
k=0
aik xk (t, n) +
aik xk (t) =
k>n
n
X
k=0
aik (n) xk (t, n) + bi (t, n),

x (t, n) = A(n)x(t, n) + b(t, n).

x(t, n) = P (t, n) x(0, n) +
Zt
0
P (t u, n)b(u, n) du,
xi (t, n) = Pij (t, n) +
Zt X
n
0 k=0
Pik (t u, n)bk (u, n) du, i 6 n, j 6 n,
, bi (u, n) > 0 xi (t, n) = Pij (t),

Pij (t) > Pij (t, n),
n
Pij (t) > Qij (t).
. 4.
153
.
, . 3
Q(t)
X
Qij (t) = 1 i.
j
3 . P (t)
, (. ) Pij (t) > Qij (t) i, j,
X
Pij (t) 6 1
j
Pij (t) = Qij (t), .. .

4.
4

1.
{zk : k > 1} .
tn = z1 + . . . + zn , n > 1; t0 = 0,
(t) = sup{n : tn < t}, t > 0.
, zk , tn n- , a (t) t .
(t) . , {zk : k = 1, 2, . . .} (t).
, {zk }
. , n > 1
(z1 , . . . , zn ).
154
2.
{zk : k > 1}
, z1 , z2 , z3 , . . .
, , .
, z1 , z2 , . . . ( ),
.
.
A1 (t) = P (z1 < t); A(t) = P (zk < t), k > 2.

A1 (t) = A(t).
, P (zk = 0) < 1 k > 1.
. 0 > 0 ,
E{exp((t))} <
t > 0 6 0 . , t > 0 (t) (
xn 6 n!ex x > 0).
.
. P (zk = 0) < 1,
> 0 , P (zk > ) = > 0.
{zk : k > 1}
(
, zk > ,
zk =
0, zk < .
h i
t
zk 6 zk , (t) > (t). (t)
- , .

H1 (t) = E(t).
A1 (t) = A(t)
H(t) = E(t).

(t) =
k>1
1{tk <t} ,
E1{tk <t} = P (tk < t) = Ak (t),
. 4.
Ak+1 (t) = Ak (t) A(t) = A1 (t) P (z2 + . . . + zk+1 < t),
X
X
E(t) =
E1{tk <t} =
Ak (t),
k>1
155
k>1
H1 (t) = A1 (t) +
Zt
H1 (t u) dA(u),
(1)
Zt
H(t u) dA(u),
(2)
Zt
A1 (t u) dH(u).
(3)
H(t) = A(t) +
H1 (t) = A1 (t) +
(2) ,
H1 H .
2.
: ( ), (. 3) (. 4).
( ).
H1 (t)
lim
= a,
t
t+
t dA(t) = a1
t dA(t) = +, -
a = 0). a .
. 1 . ,

lim
H(t)
H1 (t)
lim
,
t
t
t
(1)
H(t)
H1 (t)
= lim
.
t
t
t
(2)

lim
156
2.
, (3) 1 0 < < 1

H1 (T ) 6 1 + H(T ),
H1 (T ) >
TZT
0
A1 (T u) dH(u) > A1 (T )H(T T ),
H1 (T )
H(T )
1
6
+ ,
T
T
T
H1 (T )
H(T T )
>
(1 )A1 (T ).
T
T T
> 0 ,
(1), ,
(2).
Z
1
2 . a = t dA(t) < A1 (t) 0
A1 (t) = a
Z
[1 A(u)] du, t > 0.
(3)
Z
A1 .., a [1 A(u)] du = 1 A1 ,
0
, A(+) = 1 (, A1 (t) = 0 t < 0).

(1) 1 (3)
h1 (s) = 1 (s) + h1 (s)(s),
a
s
1 (s) = [1 (s)],
a
s
h1 (s) = ,
..
H1 (t) = at.
, 1 , , , , lim
lim
H(t)
a, -,
t
H1 (t)
, a, .. A1 .
t
. 4.
3 .
Z
0
157
t dA(t) = . -
> 0
{zk },
zk = min(zk , 1 ).

0 6 lim
H (t)
H1 (t)
6 lim 1 = a = 1/Ezk 0 0,
t
t
t
.
3.
x .. A,
a b , a < x < b, A(b) A(a) > 0.
A ( ),
> 0 , .. , ..
n, n . , A . , ..,
( 1) n; > 0, n
. .
( ). A
, h t +
H(t + h) H(t) ah.
(1)
. .
, . 2, - , 1967, . 11.
4.

[0, ). Q ,
[0, ). h > 0 mk Mk Q (k 1)h 6 x < kh, k > 1.
,
X
X
s=h
mk S = h
Mk
k>1
k>1
158
2.
. , Q [0, ), S s 0 h 0.

Z
Q(t) dt = lim s = lim S.
(1)
h0
h0
( ). Q
[0, ).
A ,
lim
Zt
0
Q(t x) dH(x) = a
Q(t) dt
(2)
( ; , Q ,
H ;
).
. , [0, )
[0, a] a +.
Q, ,
. Q.
[0, ), . , [0, )
.
Za

X

mk ,
Q(t) dt 6 |S s| + |s | + h
kh>a
a > 0, = lim s, Q
h0
.
.
1 . h > 0 wn (t) , 1 (n 1)h 6 t < nh 0 .
X
X
m(t) =
mn n (t), M (t) =
Mn n (t).
n>1
n>1
t > 0
m(t) 6 Q(t) 6 M (t)
. 4.
159
, ,
Zt
0
m(t u) dH(u) 6
Zt
Q(t u) dH(u) 6
Zt
0
M (t u) dH(u).

lim
Zt
0
m(t u) dH(u) = as,
as 6 lim
t
Zt
0
lim
Zt
0
Q(t u) dH(u) 6 lim
M (t u) dH(u) = aS,
Zt
0
(3)
Q(t u) du 6 aS,
(1) (2).
2 . , (3). , C = C(h) ,
0 6 H(t + h) H(t) 6 C
(4)
t. (2) 1
H(t) = A(t) +
Zt
0
A(t u) dH(u),
H(t + h) 6 1 +
Zt
0
t+h
Z
A(t + h u) dH(u) 6
A(t + h u) dH(u) +
t
6 1 + H(t) + A(h)[H(t + h) H(t)],
[H(t + h) H(t)][1 A(h)] 6 1.
(5)
1 A(h) > 0, C(h) [1 A(h)]1 .

1 A(h) = 0, , > 0
, 1 A() > 0. m > 1 (5)
H(t + m) H(t) =
m1
X
k=0
[H(t + k + ) H(t + k)] 6
m
1 A()
160
2.
, , 0 6 h 6 m
0 6 H(t + h) H(t) 6 H(t + m) H(t) 6
m
= C(h).
1 A()
3 . (3).
Zt
n (t u) dH(u) = H(t nh + h) H(t nh),
Zt
0
m(t u) dH(u) =
n>1
mn [H(t nh + h) H(t nh)].
Zt
N
X
(t) = m(t u) dH(u), JN (t) =
mn [H(t nh + h) H(t nh)],
n=1
(4)
JN (t) C
n>N
|mn | 6 (t) 6 JN (t) + C
|mn |.
N
X
mn + C
n>N
( 3)
lim JN (t) = ah
ah
N
X
n=1
mn C
n>N
N
X
mn ,
n=1
|mn | 6 lim w(t) 6 lim w(t) 6 ah
n=1
n>N
|mn |.
mn N > 1
n>1
, (3).
.
.
1) Q
[0, );
2) A [0, );
3) W
W = Q + A W.
(6)
. 4.
lim W (t) = a
161
(7)
Q(x) dx,
Z
0
Z
x dA(x) = [1 A(x)] dx.
0

W = Q + Q A + Q A2 + . . . = Q + Q H,
(2)
lim Q(t) = 0.
1. Q
[0, ). ,
1
lim
T T
ZT nZt
0
Z
o
Q(t u) dH1 (u) dt = a Q(t) dt.
0
. ,
1
T
ZT Zt
0
|T | 6
H1 (T )
Q(t u) dH1 (u) dt =
T
H1 (T )
T
|Q(v)| dv
H1 (u0 )
T
T u0
Z
0
ZT
Q(v) dv + T ,
|Q(v)| dv, 0 6 u0 6 T.
2. , h > 0
1
lim
T T
ZT
0
[H1 (t + h) H1 (t)] dt = ah.
.
(
1 0 6 t < h,
Q(t) =
0 t > h.
162
2.
3. Q
[0, ), A ,
lim
Zt
0
Q(t u) dH1 (u) = a
Q(t) dt.
. (1) 1
Q H1 = W = Q A1 + A W.
, ,
Z
ZnZ
o
(Q A1 )(t) dt =
Q(t u) dt dA1 (u) =
0
Z
0
dA1 (u)
Q(t) dt =
Q(t) dt.
4. A ,
H1 (t + h) H1 (t) ah t +.
. . 2.
5

1.
z (z, ), z () , , [0, ) (X, B). ,
(t, ) (t, )
P (z = 0) < 1, P (z < +) = 1.
{(zk , k ) : k > 1} , ( ), , , .
, {zk : k > 1}
. 5.
163
A1 (x) = P (z1 < x), A(x) = P (zk < x), k > 2.

(t), 0 6 t < , (X, B),
(t) = 1 (t)
= 2 (t z1 )
.............
= k (t tk1 )
.............
0 6 t < z1 ,
z1 6 t < z1 + z2 ,
............
tk1 6 t < tk ,
............
t0 = 0, tk = z1 + . . . + zk , k > 1.
(t), t > 0, , t1 , t2 , . . .
.
B B.

lim P {(t) = B}
(1)
B (t) = P {1 (t) B, z1 > t} = P {(t) B, z1 > t},

B (t) = P {k (t) B, zk > t} = P {(tk1 + t) B, zk > t}, k > 2.
(1)
P {(t) B} =
B (t)
XZ
k>1 0
P {(t) B} = B (t) +
Zt
0
B (t x) dAk (x)
B (t x) dH1 (x),
(2)
.
X
Ak (x) = P (tk < x), H1 (x) =
Ak (x)
k>1
{zk : k > 1}.

, ( , 3 4 . 4)
(2) (1).
164
2.
2.
.
1) A ;
2) n > 0 , Q(t) =
Zt
= B (t x) dF (x), t > 0, F (x) = An (x), 0
[0, ).
Z
Z
1
lim P {(t) B} = a B (x) dx, a = x dA(x).
t
. n = 0, Q(t) = B (t) (. 3 4 . 4) ,
0 6 B (t) 6 1 A1 (t) 0 t .
n > 1,
(2) 1 ,
P {(t) B} =
B (t)
n Z
X
k=1 0
B (t x) dAk (x) +
Zt
0
Q(t x) dH1 (x),
, , t +
06
Zt
0
B (t x) dAk (x) 6
Zt
0
[1 A(t x)] dAk (x) =

= Ak (t) Ak+1 (t) 0.
. A :
1) B (t)
Z
1
a = x dA(x) < +;
0
2) n > 1 A(n) ,
(1)
(k+1)
= A, A
(t) =
Zt
0
A(k) (t x) dA(x), k > 1,
. 5.

Z
0
lim P {(t) B} = a
165
x dA(x) < .
Z
B (x) dx.
. 1 . 1.
Q = B :
1) Q ;
2) Q [0, );
3) 0 6 Q(t) 6 G(t) = 1 A(t), G(t) [0, ).
, Q (!).
2 . 2.
Q(t) =
Zt
0
B (t x) dA(n) (x), t > 0.
, Q . ,
0 6 Q(t) 6
Zt
0
[1 A(t x)] dA(n) (x) = A(n) (t) A(n+1) (t) = G(t)
G [0, ),
G(t) = [1 A(n+1) (t)] [1 A(n) (t)],

Z
Z
(k)
(k)
[1 A (t)] dt = t dA (t) = k t dA(t) < +
Z
0
1 A(k) (t) . 1)3) . , Q [0, ). .

Q . P ,
A(n) . P ( ),
166
2.
p [0, ) ,
Z
P (M ) = p(x) dx
M
M [0, ).
Q(t) =
Zt
0
B (t x)p(x) dx.
h > 0
t+h
Z
Zt
Q(t + h) =
B (t + h x)p(x) dx = B (t u)p(u + h) du,
0
Q(t + h) Q(t) =
Z0
Zt
B (t u)p(u + h) du + B (t u)[p(u + h) p(u)] du,
0
, 0 6 B (t) 6 1,
(n)
|Q(t + h) Q(t)| 6 A
(h) +
Zt
0
|p(u + h) p(u)| du.
,
|Q(t h) Q(t)| 6
Zt
0
|p(u + h) p(u)| du.
A(n) (h) 0 h 0, ,
Zt
0
Zt
0
|p(u + h) p(u)| du 0 h 0
|pn (u + h) pn (u)| du 0 h 0,
pn (u) = min{n, p(u)}.
(1)
. 5.
167
, t > 0 n +
Zt
|p(u) pn (u)| du =
Zt
0
p(u) du
Zt
0
pn (u) du 0.
(1) .
T > 0 > 0 [0, T ] ,
M = {x [0, T ] : pn (x) 6= (x)}
|(x)| 6 n. T > t + h.
Zt
0
|pn (u + h) pn (u)| du 6
+
Zt
0
Zt
0
|(u + h) (u)| du+
|(u) pn (u)| du +
Zt
0
Zt
0
|(u + h) pn (u + h)| du 6
|(u + h) (u)| du + 2
|(u) pn (u)| du 6
Zt
0
|(u + h) (u)| du + 4n.
, [0, T ], h 0.
1.
1) A ;
2) n > 0 ,
Q(t) =
Zt
0
B (t x) dAn (x)
[0, ).
,
Z
lim P {(t) B) = a B (x) dx.
t
2.
168
2.
1) a
Z
0
x dA(x) < ;
2) B (t) ;
3) B (t) (, , [0, ), 0 6 B (t) 6 1 A(t),
Z
[1 A(t)] dt = a1 < ).
0
1) P {(t) B} ,
[0, T ];
ZT
1
2) lim
P {(t) B} dt = PB ;
T
3) PB = a
B (t) dt.
. . 1 4 . 4 (2) 1.
3.
(t)
t > 0 (X, B); t1 , t2 , . . . ; zk = tk tk1 , k > 1, t0 = 0. .. {zk , k > 1}
. A1 (x) = P (z1 < x), A(x) =
= P (zk < x) k > 1. ,
0 < a1 = Ezk =
Z
0
x dA(x) < , k > 1.
B B
1 (t) = P {(t) B, z1 > t}, (t) = P {(tk + t) B, zk+1 > t},
k > 1, t > 0.
, x(t) {(t) B}.
. {x(t)} 1 , ,
P (t) = P {(t) B} ,
. 5.
> 0 T
ZT

1

E
x(t) dt p 0;
T
169
(1)
Z
ZT

1

P (t) dt p 0, p = a (t) dt.
T
0
. x
(T ) =
(2)
1
T
ZT
x(t) dt -
(t) B T .
. 1 . (2) . 2
2. (1) = 2, 0 6 x(T ) 6
6 1, 0 6 p 6 1, |
x(T ) p| 6 1
(
E|
x(T ) p|2
> 2,
E|
x(T ) p| 6
/2
2
E |
x(T ) p| 0 < 6 2.
2 . = 2 (1)
E[
x(T ) p]2 = E x
2 (T ) p2 2p[E x
(T ) p].
(2), T
1
Ex
(T ) p =
T
ZT
0
P (t) dt p 0.
,
lim E x
2 (T ) 6 p2 .
(3)
3 . ,
1
Ex
(T ) = 2
T
2
ZT ZT
0
Ex(s)x( ) ds d =
2
= 2
T
ZZ
2
T2
ZZ
Ex(s)x(s + t) ds dt =
s+t6T
P {(s) B, (s + t) B} ds dt, (4)
s+t6T
s > 0, t > 0. s > 0, t > 0 {(s) B, (s + t) B} :

E1 s s + t ;
170
2.
E2 s ;
E0 s s + t ,
, (s) B, (s + t) B.
,
P {(s) B, (s + t) B} 6 P (E1 ) + P (E2 ) + P (E0 ).
(5)
4 .
X
X
P (E1 ) =
P (tk < s, tk+1 > s + t) =
P (s + t zk+1 6 tk < s) =
k>0
k>0
= 1 A1 (s + t) +
s
XZ
k>1 0
[1 A(s + t x)] dAk (x) =
= 1 A1 (s + t) +
Ak (x) = P (tk < x), H1 (x) =
Zs
0
[1 A(s + t x)] dH1 (x),
(6)
Ak (x);
k>1
P (E2 ) = P (z1 > s) = 1 A1 (s);

P (E0 ) =
(7)
XX n
P (s) B, tn < s, tn+1 > s; (s + t) B,
n>1 k>1
o
tn+k < s + t, tn+k+1 > s + t =
XXZ
Zs+t
(s u) dAn (u)
(s + t v) dAn+k (v) =
n>1 k>1 0
=
H(x) =
Zs
0
Zs+t
(s u) dH1 (u)
(s + t v)dv H(v u), (8)
s
A (x), A
k- .. A. -
k>1
, tn u
An+k (v) = P (tn+k < v | tn = u) = P (zn+1 + . . . + zn+k < v u) = Ak (v u).

5 . ,
1
I1 = 2
T
ZZ
s+t6T
1
[1 A1 (s + t)] ds dt = 2
T
ZT
0
u[1 A1 (u)] du;
(9)
. 5.
1
I2 = 2
T
ZZ
ds dt
s+t6T
I3 =
1
T2
ZZ
Zs
171
[1 A(s + t x)] dH1 (x) 6

H1 (T ) 1
6
T
T
ZT
u[1 A(u)] du; (10)
1
[1 A1 (s)] ds 2
T
ZT
s[1 A1 (s)] ds;
[1 A1 (s)] ds dt =
s+t6T
1
=
T
ZT
0
1
I4 = 2
T
ZZ
ds dt
Zs
0
s+t6T
Zs+t
(s u) dH1 (u)
(s + t v) dv H(v u) 6
hZ
0
(11)
ZT
o
i2 n H(T )
1
(x) dx
+
H(T x) dH(x) . (12)
2
2
T
, (9), (11) ; (10) (s, t, x) 7 (u, t, x),

u = s + t x, {(u, t, x) : 0 6 t 6 u 6 T , 0 6 x 6 T }. (12).
(u, v, s, t) 7 (u, w, x, y)
s u = x, s + t v = y, v u = w

0 6 u + w 6 T, u > 0, w > 0;
x > 0, y > 0
I4 6
Z
0
(x) dx
Z
0
1
(y) dy 2
T
ZT
dH(w)
TZw
dH1 (u) =
hZ
0
ZT
i2
1
(x) dx 2
H1 (T w) dH(w).
T
(12)
H1 (x) 6 A1 (x) + H(x) 6 1 + H(x)
172
2.
(. (3) 1 . 4).
6 . (4)(8) ,
Ex
2 (T ) 6 2[I1 + I2 + I3 + I4 ].
T
H1 (T )
H(T )
1
a,
a,
T
T
T
ZT
0
[1 A1 (x)] dx 0,
(3) (9)(12) ,
ZT
1
u[1 A(u)] du 0
(13)
T
1
lim
T T
ZT
0
H(T x) dH(x) 6
a2
.
2
(14)
7 . (13) , T [1 A(T )] 0,
,
T [1 A(T )] =
ZT
0
ZT
0
[1 A(u)] du
ZT
0
[A(T ) A(u)] du,
Z
Z
[1 A(u)] du [1 A(u)] du = u dA(u) = a1 < ,
0
ZT
0
[A(T ) A(u)] du a1 .
8 . (14). (0, 1).

ZT
0
H(T x) dH(x) = I + I0 , I0 =
ZT
H(T x) dH(x).
T T
H(x) ,
I0 6
ZT
T T
H(T ) dH(x) 6 H(T )H(T ).
(15)
. 6.
173
, T0 ,

H(x)

x a 6 x > T0 .
T > T0
I=
TZT
0
H(T x)
(T x) dH(x) 6 (a + )
T x
6 (a + )
ZT
0
TZT
0
(T x) dH(x) 6
(T x) dH(x) = (a + )
ZT
H(x) dx.
(16)
T2
.
2
(17)
,
ZT
H(x) dx =
ZT
H(x) dx +
ZT
H(x)
x dx 6
x
6 H(T ) T + (a + )
ZT
x dx 6 H(T ) T + (a + )
(15)(17) T > T0
1
T2
ZT
0
H(T x) dH(x) 6
H(T ) H(T )
H(T )
a+
+ (a + ) 2
+
,
T
T
T
2
T
lim
1
T2
ZT
0
H(T x) dH(x) 6 a2 + (a + )2 a +
(a + )2
,
2
(0, 1) (14).
6

(),
.. .. -
174
2.
.., (
), ,
, , , , .
1. ..
1 . . .. 1 ,
2 , . . . .. , > 0
P (|n | > ) 0 n .

P
plim n = .
n
.
2 . . .. 1 , 2 , . . .
.. > 0,
E|n | 0 n .
= 2
..
n l.i.m. n =
(l.i.m. = limit in mean).
3 . . .. 1 ,
2 , . . . .. (..), ,
P (lim n = ) = 1.

..
n Plim n = .
,
{lim n = } = { : lim n () = ()} =
o
\ [ \n
1
|n | <
m>1 N >1 n>N
. .
4 . . .. 1 ,
2 , . . . .. 0 ,
Fn (x) F0 (x)
. 6.
175
x () F0 , Fk
.. .. k , k > 0.
d
n
0
(d = distribution).
:
..
n
n
= n
..
n .

.
.
P
c = const n
c.
1. n
2. f R1 .
P
P
1) n
f (n )
f ();
d
2) n
f (n )
f ().
..
2. ..
1 . ,
.
(). ..
(, ) = inf{ > 0 : P (| | > ) < }.
, ,
.., .
(. . . M.: , 1972).
(). .. (. ).
2 . ,
.
1) .. ..
176
2.
2) ( ). .., .. , , .. .
3) ( ..).
.. .. 1 , 2 , . . .
1 , 2 , . . .
,
X
P (|n+1 n | > n ) < .
n>1
3 . ,
.
1) :
Z
1 (F, G) = |F (x) G(x)|(x) dx,
R1
(x) > 0 R1
2 (F, G) =
(x) dx < ;
R1
|F (K + x) G(K + x)| dx,
R1
K = (0, 1); K + x , x
K; F (K + x) = P ( K + x), .. F ;
3 (F, G) = inf{ > 0 : F (x ) 6 G(x) 6 F (x + ) + , x R1 }.
.
2) ( ). {Fn : n > 0} ..,
F0 Fn F0 , Fn F0 .
3) ( ). ..
, x ( ..).
3.
1 .
(R, B) (.. ) ;
Cap(R) (R, B),
Cap = collection of all probability distributions;
. 6.
177
C(R)
R.
, {Pn } Cap(R) P Cap(R),
Z
Z
f dPn f dP f C(R).
R
Pn
P (w = weakly).

Z
(P, f ) = f dP.
R
F0 Pn
P0 . Fn ..;
1. Fn
d
Pn , Fn ; Fn
F0 ,
Fn (x) F0 (x) F0 .
2. (P, f ) = (Q, f ) f C(R) P = Q.
E Cap(R) ,
{Pn } E w
P ( P
{Pn } {Pn } P Cap(R), , Pn
E).
E Cap(R) , > 0
K , P (K) > 1
P E.
(). , R . E Cap(R) ,
.
3. E ,
. ( ) , .
4. P Q Cap(R)
(P, Q) = inf{ > 0 : P (A) 6 Q(A ) + , Q(A) 6 P (A ) + A },
A = {x : (x, A) < }. , ( )
(Cap(R), ) .
178
2.
2 . . R = Rs ,
s > 1. .. P Rs
Z
(t) = ei(t,x) P (dx), t Rs
(1)
Rs
( , x 7 exp{i(t, x)}
). , . (1)
k : P 7 . (. 15 . 2),
k .
w
. Pn
P0 n (t) 0 (t) t;
{Pn : n > 0} Cap(Rs ) n = k(Pn ).
5. X = Cap(Rs ), Y = k(X), X
, Y (.. , n 0 ,
n (t) 0 (t) t), , k : X Y
.
w
. 1 . Pn
P0 . t Rs
f (x) = cos(t, x), g(x) = sin(t, x). f, g C(Rs ),

n (t) = (Pn , f ) + i(Pn , g) (P0 , f ) + i(P0 , g) = 0 (t).
2 . n (t) 0 (t) t. 0 ,
0 t = 0.
, E = {P1 , P2 , . . .} Cap(Rs ) . s = 1,
.
, u > 0:
1
u
Zu
[1 n (t)] dt =
Z h Zu
1
u
R1
i
(1 eitx ) dt Pn (dx) =
Z
Z h
i
sin ux
Pn (dx) >
=2
1
ux
R1
2
|x|> u

2
,
Pn (dx) = Pn x : |x| >
u

| sin ux|
sin ux
1
2 1
>2 1
>2 1
>1
ux
|ux|
|ux|
|ux| > 2. 0 (
) ,
. 6.
179
, . t = 0,
> 0 u > 0 ,
Zu

1

u [1 0 (t)] dt < .
u
u
1
u
Zu
, ,
1
[1 n (t)] dt
u
Zu
[1 0 (t)] dt
Zu

1

u [1 n (t)] dt 6 2 n > N ,
u
..
Pn x : |x| >
2
u

2
6 2 Pn x : |x| 6
> 1 2
u
2
n > N . a > ,
u
Pn (x : |x| 6 a) > 1 2 n.
, E .
{Pn : n > 1}
. , {Pn } {Pn }
{Pn } {Pn } P Cap(R)
w
, Pn
P . n 0 = k(P0 ), 1
n k(P ), k P = P0 . w
, Pn
P0 ( :
{xn } x0 ,
, {xn } {xn }
{xn } {xn } , xn x0 ).
6. . 2 : .. n , n = 1, 2, . . .,
Pn , n = 1, 2, . . ., () , w
, P , Pn
P
.. P .
3 . ( ).
1 , 2 , . . . .. ,
E1 = , var 1 = 2 < , > 0,
180
2.

Sn = 1 + . . . + n ,
n
Sn ESn
1 X k
n =
=
.
n
var Sn
k=1
1
Fn (x) = P (n < x) (x) =
2
Zx
u2
2
du x.
7. (. 2)
, ..
sup |Fn (x) (x)| 0.
x
8. ..
N (0, 1), , n . . :
.. N (0, 1) ,
P
..
..
.
n n n
. n (t) = Eeitn , t R1 . 2
2 , n (t) (t) = et /2 (, .. ). , = 0, = 1 ( k
k =
k
).
n

1 X
t n
i t
k , n (t) = [Ee n 1 ]n = 1
=
n
n
n =
h
2 in
t2
t2
t
= 1
+o
e 2 n .
2n
2n
9. ,
= E|1 |3 < ,
( ..
1 ) C > 0 ,
1
n
|Fn (x) (x)| 6 C
x.
3
.
.. C : C < 1.
. 6.
181
4.
(..) f ,
(X, d), (Y, ); ( ) .. f (x), x X,
( x).
.. f ( ) x0 X, > 0, 1 > 0, > 0 ,
P {(f (x), f (x0 )) > } < 1 d(x, x0 ) < .

f ,
.
f ( ),
, > 0 N ,
P {|f (x)| 6 N } > 1 x.

P {(f (x), y0 ) 6 N } > 1 x
y0 Y .
: > 0, 1 > 0 > 0 ,
P {(f (x1 ), f (x2 )) > } < 1 d(x1 , x2 ) < .
() ,
, f ,
. .
: () [0, 1]
() () () (
).

() , , , . ,
(t) (t) ,
, .
(t) ..
182
2.
1
n (t) = [(t + h) (t)] h 0 ( (t), t > 0, h

,
).
. . , ,
(, ), , , :
(t) = E(t) R(s, t) = cov ((s), (t)).
, t 7 (t) ( ), , (t)
R(s, t) .
5. C

Z
f (t) d(t),
T
f T R1 ,
a {(t) : t T }
E|(t)|2 < , E(t) = 0 t.
. : ( )? -, ,
( ) , -, , (t), t T ,
( ),
Z
[f (t) (t)] dt
T
(.. ), (, ). , . ,
. 6.
183
= (t) , ..

2
1

E [(t + h) (t)] 0 h 0,
h
, ,

2
1

1
= E [(t + h2 ) (t)] [(t + h1 ) (t)] 0
h
h
2
0 < h1 < h2 0. , T = [a, b], (a) = 0,

F (t) = var (t), t T ,
E|(t) (s)|2 = F (t) F (s) t > s,
(1)
(s) (t)
(s), (0 < h1 < h2 ):
2

1
1
1
= E [(t + h2 ) (t + h1 )] +
[(t + h1 ) (t)] =
h2
h2
h1

1
1 2
1
= 2 [F (t + h2 ) F (t + h1 )] +
[F (t + h1 ) F (t)],
h2
h2
h1
h2 , h1 0 (,
F h2 = 2h1 0
, +).
T = [a, b] T = R1 .
. {(t) : tT }
,
1) E|(t)|2 < , E(t) = 0 t,
2) t1 6 t2 6 t3 6 t4 T
E[(t2 ) (t1 )] [(t4 ) (t3 )] = 0.
F (t) = E|(t)|2 = var (t), t T.

F .
T = R1 ,
F () = 0 F (+) < .
(2)
, , (1),
(t) (u) = [(s) (u)] + [(t) (s)]
u < s < t , lim E|(u)|2 = 0.
u
F ( ).
184
2.
(1) (2) .. () (+)

,
..
(t) () = 0 t ,
..
(t) (+) t +.
..
, (t) 0 t , F () =
= 0. (1) (2) , E|(t) (s)|2 0 s, t +. () .. .
1. {(t) : t T } ()
.
1) T = [a, b], () f T () .. f ,
E|f |2 < , Ef = 0
n
X
2

E
f (ui )[(ti ) (ti1 )] f 0
(3)
i=1
a = t0 < t1 < . . . < tn = b, ti1 6 ui 6 ti , max(ti ti1 ) 0.

i
2) T = (, ), F
F () = 0, f
T .. f , E|f |2 < , Ef = 0 (3)
= t0 < t1 < . . . < tn = +, ti1 6 ui < ti , max (ti ti1 ) 0,
1<i<n
t1 , tn1 +.
() . ,
.. f ;
Z
Z
f = f (t) d(t) = f d.
T
, T = [a, b] , (a) = 0
( (t) = (t) (a) t).
.
var
f d =
|f (t)|2 dF (t).
(4)
, g T
Z
g = g d,
T
. 6.
cov (f , g ) = Ef g =
f (t)g(t) dF (t).
185
(5)
(4), (5).
n
X
Sn (f ) =
f (ui )[(ti ) (ti1 )].
1
(t), t T ,
var Sn (f ) = ESn (f ) Sn (f ) =
n
X
i=1
f (ui ) f (ui )E|(ti ) (ti1 )|2 =

=
n
X
1
|f (ui )|2 [F (ti ) F (ti1 )].
1 , (4).
F (T, B), B -
T , - m m(, ] = F ( + 0) F ( + 0), < . L2 =
= L2 (T, B, m) (T, B) () m; C T ; H
() .. . , C L2 .
2. J : L2 H
:
1) J ;
2) J , ..
Z
2
var J(f ) = E|J(f )| = |f |2 dF
T
, ,
cov (J(f ), F (g)) = EJ(f )J(g) =
f g dF
f g L2 ;
..
3) kfn f kL2 0 f, fn L2 J(fn ) J(f );
186
2.
4) C L2 J , 1, ..
Z
J(f ) = f d
(6)
T
f C.

() L2 (6). ,
, , (4)(5) f g L2 .
1. T = [a, b], T = R1
m, F , ( ). {A1 , . . . , An } T = [a, b] (, ) u1 , . . . , un A1 , . . . , An
. = {ui , Ai }
X
S =
f (ui )(Ai ),
i
(Ai ) Ai (..
). () . = {vj , Bj } ,
X
X
X
S S =
f (ui )(Ai Bj )
f (vj )(Ai Bj ) =
[f (ui )f (vj )](Aj Bj ).
i,j
i,j
i,j
, Ai Bj , . (1)
X
E|S S |2 =
|f (ui ) f (vj )|2 F (Ai Bj ).
i,j
Ai Bj = , , , F (Ai Bj ) = 0;
Ai , Bj , > 0, , , Ai Bj 6=
|ui vj | 6 2,
X
E|S S |2 6 2
F (Ai Bj ) = 2 F ([a, b]),
i,j
sup
|uv|62
|f (u) f (v)|.
. 6.
187
,
|| = max |Ai | 0,
i
|| = max |Bj | 0
j
( |A| A),
f ,
E|S S |2 0.
.. (.. (, S)
P , (, S, P ) ) .
.. f ,
E|S f |2 0 || 0.
ES = 0,
|Ef |2 = |E(S f )|2 6 E|S f |2
Ef = 0.
2 (.
3).
6.

. H E .
E H H.
. F0 F
- E; F0 F . a b H [a, b].
1. : F0 H ,
(A + B) = (A) + (B)
A B F0 .
2. : F0 H ,
k(A)k < A F0 .
188
2.
3. F0 - (), X
A1 , A2 , . . . F0 , A =
Ak F0 ,
k>1
(A) =
(Ak ),
k=1
..
n

X

(A)
(Ak ) 0 n .

k=1
4. F0 ,
[(A), (B)] = 0
A B F0 .
: F0 H , - . :
F0 - F F0 , - ?
;
, .
.
m(A) = k(A)k2 A F0 .
m : F0 [0, ) - F0 F0 F ,
m
- ( , F
m- , (E, F , m)
).
L2 = L2 (E, F , m)
(E, F ) m.
(
H ), (
H ).
f g L2
Z
(f, g) = f g dm, kf k = (f, f )1/2 .
E
g(x) = g(x) , - g(x).

. L20 L2
X
f=
ck 1Ak , Ak F0 ,
. 6.
189
. ck , 1A A. , L20 L2
L2 , .. f L2 {fn } L20
, kfn f k 0 n .
J : L20 H,
X
X
J(f ) =
ck (Ak ) f =
ck 1Ak L20 .
, J , .. kJ(f )k = kf k f
L20 , , ,
[J(f ), J(g)] = (f, g) f, g L20 .
. J L20 L2
. f L2 {fn } L20 , kfn f k 0.
J L20
kJ(fn ) J(fm )k = kfn fm k 0 n, m .
H , {J(fn )} H , H ,
J(f ), ,
kJ(fn ) J(f )k 0.
, J(f ) {fn }
.
Z
J(f ) = f d.
(1)
E
, J : L H , ..
[J(f ), J(g)] = (f, g),
J(af + bg) = aJ(f ) + bJ(g)
(2)
(3)
f, g L2 a b. , ,
J(L2 ) = H.
. (1) F0 F . A F 1A L2 .
(A) = J(1A ) A F .
, : F H - F ,
F0 . ,
1) [ (A), (B)] = [J(1A ), J(1B )] = (1A , 1B ) = 0 A B F ;
190
2.
2) - A1 , A2 , . . . F
X
A=
Ak F
k>1
n
n
n

X
X
X

(Ak ) = J(1A )
J(1Ak ) = J(1A
1Ak ) =
(A)
k=1

= J(1 P
k>n

P
Ak ) = 1
k>n
k=1
n X o1/2

Ak
0 n ;
Ak = m
k>n
3) k (A)k = kJ(1A )k = k1A k = {m(A)}1/2 < ;

4) A F0 1A L20 ,
(A) = J(1A ) = (A).
F0 F
, .. = .
1. f L2 (E, F , m). : F
H,
Z
(A) = 1A (x)f (x)(dx), A F .
E
1) - (E, F )
H;
2) g L2 (E, F , mf ), f g F 2 (E, F , m),
mf : F [0, )
Z
mf (A) = k(A)k2 = |f (x)|2 m(dx),
A
g(x)(dx) =
g(x)f (x)(dx).
(4)
1. 1) A B F
Z
[(A), (B)] = (1A f, 1B f ) = 1A 1B |f |2 dm = 0.
2) A =
k>1
Ak , {Ak } F ,
. 6.
n

2 Z
X

(Ak ) = 1
(A)
1
A\
Ak
n
P
1P
k>n
2 Z

f d = 1 P
Ak f
k>n
Ak |f |
dm =
ZE
191
2

d =
|f |2 dm 0 n .
Ak
k>n
3)
k(A)k =
1A |f | dm 6
|f |2 dm < .
2. g L2 (E, F , mf ) ,
Z
Z
2
|g(x)| mf (dx) = |g(x)|2 |f (x)|2 m(dx),
E
f g L (E, F , m). (4).

1) (4) g,
, ..
X
[
g=
ck 1Ak , {Ak } F ,
Ak = E
(5)
Z
. I(g) = g(x)(dx), g
E
L2 (E, F , mf ), I, I(1A ) = (A).
X

X
X
X
I(g)=
ck I(1Ak )=
ck (Ak )=
ck J(1Ak f )=J
ck 1Ak f =J(gf ).
2) , gn g
L2 (E, F , mf ) gn f gf
L2 (E, F , m),
Z
Z
2
|gn g| dmf = |gn g|2 |f |2 dm.
E
{gn } (5) gn g
L2 (E, F , mf ),
I(gn ) I(g)
k
J(gn f )J(gf )
( H) I(g) = J(gf ), .. (4).

, (5)
L2 (E, F , mf ).
192
2.
2. (E, F ) = (R1 , B1 ). m
-
F ,
m[a, b) = F (b) F (a).
- .
5. : R1 H , t1 6 t2 6
6 t3 6 t4
[(t2 ) (t1 ), (t4 ) (t3 )] = 0.
-
m(A) = k(A)k2 , A F = B1 ,

F (t) = m(, t); m[a, b) = F (b) F (a).
(t) = (, t), t R1 ,
,
1) : R1 H ;
2) [a, b) = (b) (a); F (t) = k(t)k2 ;
3) F (, ,
) F () = 0.
, : R1 B F (t) = k(t)k2 ,
F () = 0. F ,
k(t) (s)k2 = F (t) F (s) t > s.
(6)
,
lim k(u)k2 = F () = 0,
lim k(t) (u)k = k(t)k t,
u < s < t
k(t) (u)k2 = k [(s) (u)] + [(t) (s)] k2 =
= k(s) (u)k2 + k(t) (s)k2 ,
. 6.
193
u (6).
+ : R1 H,
+ (t) = (t + 0)
( H). , 0 < h1 6 h2 0
k(t + h2 ) (t + h1 )k2 = F (t + h2 ) F (t + h1 ) 0,
, H, H , + (t), ,
k(t + h) + (t)k 0 h 0.
+ .
,
(t + h) + (t) h 0 t,
[(t2 + h) (t1 + h), (t4 + h) (t3 + h)] = 0
t1 6 t2 6 t3 6 t4 .
, F+ (t) = k+ (t)k2 +
F+ (t) = F (t + 0). F .

lim (t) = (+)
lim (t) = () = 0
( (6), F , F () = 0
H), (E, F ) E = R1 / + - F ,
B1 (). E = [, )
X
F0 A =
[ak , bk ) , 6 ak 6 bk 6 +.
X
m[a, b) = F (b) F (a), m(A) =
m[ak , bk ),
X
[a, b) = (b) (a), (A) =
[ak , bk ),
,
1) m : F0 [0, ) - , F0 F B1 -;
2) : F0 H ,
) , ,
194
2.
X
) , k(A)k2 =
k[ak , bk )k2 =
X
X
X
=
k (bk ) (ak )k2 =
[F (bk )F (ak )] =
m[ak , bk ) = m(A),
) -, A1 , A2 , . . . F0
X
A=
Ak F0 ,
k>1
n
n

2
2 X 2
X
X

(Ak ) = A \
Ak =
Ak =
(A)
1
k>n
=m
X
k>n

Ak 0 n .
F0 F , - .

Z
Z
f dF = f dm
R1
R1
f d =
R1
f d =
R1
f (t) d(t)
f d f L2 (R1 , B1 , m).
R1
. F ,
F () = 0, m - (.. E1 , E2 , . . .
m(Ek ) < k) .
3. H ( ) .. (, S, P )
,
[, ] = E = cov (, ) , H
. T = [a, b] T = (, ),
: T H , , .
2 2. 4) .
. 6.
195
F () t, (t) = (t) ..,

k(t) (t)k 6 k(t) (t h)k + k(t h) (t)k
h 0
k(t h) (t)k 0, k(t) (t h)k2 = F (t) F (t h) 0.
1 (t), t TZ, (t),
t T ,
f (t) d(t), -
.., . , ui ti1 ti . F , , 1
.. , ,
.. .
, (t) = (t) t.
[t0 , t1 ), [t1 , t2 ), . . . , [tn1 , tn )
A1 , A2 , . . . , An ,
J(1Ak ) = (Ak ) = (tk ) (tk1 ) k = 1, . . . , n
, ,
Sn =
n
X
k=1
fn =
n
X
1
f (uk )[(tk ) (tk1 )] = J
n
X
1

f (uk )1Ak = J(fn ),
..
f (uk )1Ak . kfn f k 0, J(fn ) J(f ),
1
J(f ) =
f (t) d(t).
T = [a, b] .
4. T ;
0 : T H
F0 (t) = k0 (t)k2 , t T . f
T , ,
F0 ,
T t 7 (t) =
Zt
t0
f ( ) d0 ( ) H
196
2.
Zt
t0
Zt0
t < t0 .
,
1) f =1A , A=[a, b), X
f =
fk 1Ak Ak ;
2) n : T H, n > 1, n (t) (t) H ( H)
t T , : T H .
F {(t), t T }
Zt
2
F (t) = k(t)k = |f ( )|2 dF0 ( ).
t0
f = 1A , A = [a, b),
X
f =
fk 1Ak Ak .
7.

,
Zb
Zb
d
d
E(t) = E (t),
E(t) dt = E (t) dt
dt
dt
{(t) : t R1 }. (..
). , {(t, ) : t R1 }
,
,

(t) () =
(t, );
dt
t
Zb
a
(t) dt () =
Zb
(t, ) dt.
1. {(t) :
t R1 }.
1) .. (t) (E|(t)| < t);
2) (t, ) t ;
. 6.
197
(t, )
t
3) (t, ) =
| (t, )| 6 (),
.. E(t)
t
d
E(t) = E (t).
dt
2. {(t) : a 6 t 6 b}
1) |(t)| 6 , ..;
2) (t, ) t ;
3) E(t) t .
Zb
E(t) dt = E
Zb
(t) dt.
1. t
1
h
(h) = [(t + h) (t)], h > 0.
1) .. (h) (E|(h)| < h > 0);

2) |(h)| 6 ,
(h, w) = (t + h, w), 0 6 6 1,
|(h, w)| 6 sup | (t + h, w)| 6 (w);

0661
3) (h) (t) .. h 0.
,
1) (t) ..;
2) E(h) E (t) p h 0,
1
d
E(h) = [E(t + h) E(t)] E(t)
h
dt
( lim E(h) h < 0 h0
).
2.
Sn =
n
1X
ba
(a + kh), h =
.
n
n
k=1
198
2.
1) Sn ..;
2) |Sn | 6 , ..;
Zb
3) Sn S = (t) dt.
a

1) S ..;
Zb
2) ESn ES = E (t) dt.
a
Z
n
1X
E(a + kh) E(t) dt.
ESn =
n
b
7

1.
{(t) : t T } ,
, .. . , A
.
. A + I 0.
,
; . 6 3 . 6.
(t) = E(t),
R(s, t) = cov ((s), (t)).
( , ), R . R , , , R
() .
, {t1 , . . . , tn } T
{R(ti , tj )} . .
. 7.
199
. R
T T T ,
{t1 , . . . , tn } T {R(ti , tj )} .
{(t) : t T }
R.
(.
II), PM , M = {ti , . . . , tn } T , . PM
,
M = {(t1 ), . . . , (tn )}

AM = {R(ti , tj )}.
2.
. {(t) : t > 0}
, . T = [0, ).
, .. (s + t) (s) t > 0 ( s > 0);
, 0 = t0 <
< t1 < . . . < tn ..
(t0 ), (t1 ) (t0 ), . . . , (tn ) (tn1 )
. , (0) = 0 ( ecc
(t) = (t) (0), t > 0).
. , (t), t > 0,
t 7 E(t)
E(t) = at, var (t) = 2 t,
R(s, t) = cov ((s), (t)) = 2 min(s, t)

a > 0 s > 0 t > 0. a
.
(t) at
wt = w(t) =
,
Ewt = 0, var wt = t,
R0 (s, t) = cov (ws , wt ) = min(s, t).
200
2.
(.. a = 0 = 1)
.
t .. .. (t).
(s + t) = (s) + [(s + t) (s)],
,
s+t = s t
(), R1
t () = [1 ()]t .

n
o
2 2
t () = exp iat
t
2
a > 0. , .. (t) at 2 t. ,

R(s, t) = cov ((s), (t)) = 2 min(s, t)
(, R0 (s, t) = min(s, t) , .. 0 6 t1 6 . . . 6 tn {R0 (ti , tj )} ). , s < t,

R(s, t) = cov ((s), (s) + [(t) (s)]) = cov ((s), (s))+
+ cov ((s), (t) (s)) = cov ((s), (s)) = var (s) = 2 s = 2 min(s, t).
. (t), t > 0 (..

(t), t > 0,
(t), t > 0, P { (t) = (t)} = 1 t), . , .
. {t : t [a, b]} , , , C ,
E|t s | 6 C|t s|1+ .
, t.
. 7.
201
, t = t , t > 0,
, t s N (0, |t s|),
E|t s |4 = 3|t s|2 ,

= 1, = 4, C = 3.
, ,
.
. , , (!) . 1
, t > 0 .. h = (wt+h
h
wt ) .. h 0 , .. h N (0, h1 ), , ,
P (h < x) F (x) = 0 x.
3.
{(t) : t > 0} . , (0) = 0 ( (t) = (t)
(0), t > 0).
. 1 . {(t) : t > 0}
,
R(s, t) = cov ((s), (t)) = F (min(s, t)),
(1)
F [0, ). ,
F (t) = var (t), t > 0.
2 . F [0, ),
R [0, ) [0, ) (1) (: ,
{t1 , . . . , tn } T = [0, ) {R(ti , tj )}
). , (1) .
3 . (1) , ..
.
, {(t) : t > 0}

(t) = E(t) F (t) = var (t), t > 0.
202
2.
(0) = 0 (0) = 0,
F (0) = 0. , F .
. 1 . s < t
R(s, t) = cov ((s), (s) + [(t) (s)]) = cov ((s), (s))+

+ cov ((s), (t)(s))= cov ((s), (s))= var (s)=F (s)=F (min(s, t))>0.

(t) = (s) + [(t) (s)]
s < t
var (t) = var (s) + var [(t) (s)] > var (s),
.e. F (t) > F (s) t > s.
2 . 0 6 t1 6 t2 6 . . . 6 tn . ,
R = {Rij }, Rij = R(ti , tj ) = F (min(ti , tj )) = Fmin(i,j) ,
. : F1 6 F2 6
6 . . . 6 Fn .
1 = F1 , 2 = F2 F1 , . . . , n = Fn Fn1 ,
1 0 ... 0
1 1 ... 0
C = {cij } =
. . . . . . , = {ij i }.
1 1 ... 1
R = CC . ,
(
i > j,
i < j,
X
X
X
Rij =
ci cj =
ci cj =
=
cij =
1
0
6i; 6j
=Fmin(i,j) .
6min(i,j)
, R .
3 . , . s < t < u < v,
cov ((t) (s), (v) (u)) = R(t, v) + R(s, u)
R(s, u) R(t, u) = F (t) + F (s) F (s) F (t) = 0.
:
.. , .
. 8.
203
1. , T = [0, ) (,
).
2. , (t) = E(t) = 0 t T = [0, ).
s < t
var [(t) (s)] = R(t, t) + R(s, s) R(t, s) R(s, t) =
= F (t) + F (s) F (s) F (s) = F (t) F (s),
E|(t) (s)|2 = F (t) F (s) t > s.

, F ,
( )
.
3. {w(t) : t > 0} , f [0, )
Z
f (x) dx < .
0
Zt p
(t) =
f ( ) dw( ),
(2)
F (t) =
Zt
f (x) dx, t > 0.
{(t) : t > 0} F (t) = var (t), t > 0, (E(t) = 0 t).

4 6 . 6 ,
(2) .
, ,
.
8

( ) -
204
2.
.

(, ).
1. ( )
;
{t : t T } ( ),
E|t |2 < , Et = E0 ,
cov (s+t , s ) = cov (t , 0 ) s, t T ;

T = Z = {0, 1, 2, . . .} T = R1 = (, ), s + t T
s, t T . T = {0, 1, 2, . . .} T = [0, ) . {t } . , , , , .
cov (, ) = E( E)( E).
m = E0 , R(t) = cov (t , 0 ), (t) =
R(t)
= cor (t , ).
R(0)
R . , m = 0.
1.
t = 0 cos t + 1 sin t, t T = R1 Z,
.. 0 1 , Ei = 0, E|i |2 = 1 i = 0, 1.
cov (s+t , s ) = cos (s + t) cos s + sin (s + t) sin s = cos t = R(t),

, , {t } ( ).
2. ..
t = ct , t T = Z,
{ct } , c0 = 1, E = 0, E||2 = 2 > 0.
R(t) = cov (s+t , s ) = cov (t , 0 )
. 8.
205
s t T , , ct = eit t. ,
t = eit , t Z,
R(t) = 2 eit .
3.
t =
n
X
1
k eik t , t T = R1 Z,
{k } , {k } ..
Ek = 0 E|k |2 = k2 k.
cov (s+t , s ) =
eik (s+t) eik s Ek k =
n
X
k=1
k2 eik t
s, , , {t }
R(t) =
n
X
1
k2 eik t , t T.
4.
t = ei(t+) , t R1 ,
.. ; .. .. F , ..
(0, 2).
Et =
Z Z2
cov (s+t , s ) = Ee
ei(ut+v) dF (u)
i[(s+t)+]
dv
= 0,
2
ei(s+) = Ee
it
eitx dF (x).
, {t } ( )
R(t) =
eitx dF (x), t R1 .
206
2.
2.

H ..
.
(, ) = E ;
, H
( , .. , ..). .. , ( ) {t : t T } : T H ,
(s+t , s ) = (t , 0 ) s, t T
()
( (t) t ).
H : T H,
() . ,
T = Z = {0, 1, 2, . . .} T = R1 = (, ).
R(t) = (t , 0 ). R - . , ..
c1 , . . . , cn t1 , . . . , tn T
X
ci cj R(ti tj ) > 0.
i,j
,
n
X
2

ci ti .

i=1
.
1 (). R Z , ,
Z
R(n) = einx m(dx), n Z,
(1)
m ( ) (E, B); E =
= [, ), B , E.
. 8.
207
2 (, ). R
R1 = (, ) , ,
R(t) =
eitx m(dx), t R1 ,
(2)
m ( ) (E, B); E = R1 ,
B .
, (1)(2)
Z
R(t) = eitx m(dx), t T,
(3)
E = [, ) (, ) T = Z (, ).
. R (3), m . - : B H

: E H
(t)
=
(,
t),

T = R1 (t) = [, t), T = [, ) t T ,
Z
Z
t = eitx (dx) = eitx d(x), t T.
(4)
E
m(A) = k(A)k2 . (4) {t }, F (t) =

= k(t)k2 . m m[a, b) = F (b) F (a).
. . L2 = L2 (E, B, m), {et : t T } L2 ,
et (x) = eitx x E, L20 , et , t T . L20 ( L2 )
L2 ( ).
H0 ,
t H, t T , H1 H0 ( H).
- L2 H1 , et t ,
X
X
(
ct e t
ct t , ) L20
H0 L2 H1 . , () ,
208
2.
(, , ). ,
Z
Z
(es , et ) = es (x)et (x)m(dx) = ei(st)x m(dx) = R(s t) = (s , t );
E
,
X
cs e s ,
X

X
ct e t =
cs s ,
ct t ,
. , .
. A B 1A L2 , ,
, (A) H1 : 1A (A).
k1A k2 = m(A), k(A)k2 = m(A).
A B B
1A+B (A + B),
1A+B = 1A + 1B (A) + (B),

, (A + B) = (A) + (B), .. : B H ,
1) , k(A)k = m(A)1/2 < A B;

2) , ((A), (B)) =
= (1A , 1B ) = 0 A B B;
3) -,
n

2 X 2
X
X

(Ak ) =
Ak = m
Ak 0
(A)
1
n , A =
k>n
k>n
Ak .
k>1
. ,
Z
J(f ) = f (x)(dx) f L2 .
E
S : L2 H1 ,
f S(f ), ,
S(f ) = J(f ) f L2 ,
(5)
, , S(et ) = t (4). (5)

, S J , , (.. S(1A ) = J(1A ) A B), a
L2 .
. 8.
209
. , L20 L2 . , E = [, ) , , T = Z,
L2 , , L2
[, ] () , , , ,
. E = (, ) , , T = (, ), L2 , (
), , , ,
; f ,
[l, l], f
[l, l].
. T = (, ) {t : t T } , {(t) : t E = T },
(4),
() F (t) = var (t), t T .
, H0 .. (.. .., ). H1
.. ( .. 1 , 2 , . . .
..
n , .. ).
, {(t) : < t < } , ,
, .. .
3.
() , ( )
. , , .
{t : t T = (, )} H. ,
210
2.
R(t) = (s+t , s ) =
eitx m(dx), t T,
() m (R1 , B1 ) ,
t =
eitx (dx), t T,
.
. ,
Z
|x|2r m(dx) < ,
(1)
P r ( ).
1) k, 1 6 k 6 r, : t 7 t
k ( H);
2)
T t 7 t = (P (D))(t) H
; D
( H);
3) {t : t T }
t =
eitx (dx)
(2)

R (t) =
eitx m (dx),
m m
(A) =
P (ix)(dx) =
1A (x) P (ix)(dx),
(3)
. 8.
Z
m (A) = k (A)k2 = |P (ix)|2 m(dx), A B;
211
4) R () 2r

R = P (D)P (D)R.
(4)
. . ,
1
(D)(t) = t = lim [t+h t ]
h0
h6=0
eitx ix(dx), < t < .

1
[
t ] =
h t+h
eitx
eihx 1
(dx), h 6= 0,
h

ihx

e 1

6 |x|.
h
fh L = L (R , B , m),
fh (x) = eitx
eihx 1
,
h
fn f L2 , f (x) = eitx ix, J(fn ) J(f )

1
H (. 6 . 6), .. lim [t+h t ]

h
h 0, h 6= 0,
J(f ) =
eitx ix(dx).
, k,
1 6 k 6 r, t 7 t k
k
(D )(t) =
(k)
t
eitx (ix)k (dx).
(5)
212
2.
k = 1 .
k < r.
1 (k)
(k)
[
t ] =
h t+h
eitx
eihx 1
(ix)k (dx), h 6= 0,
h
,
fh (x) = eitx
eihx 1
(ix)k , < x < ,
h
|fh (x)| 6 |x|k+1 .
fh L2 fh f L2 , f (x) = eitx
(ix)k+1 , J(fh ) J(f ) h 0, h 6= 0,
1 (k)
(k)
H, .. lim [t+h t ],
h
J(f ) =
eitx (ix)k+1 (dx).
. t = (P (D))(t), < t < , (5)

Z
t =
eitx P (ix)(dx).
1 6 . 6,
f (x) = P (ix), g(x) = eitx .
(2), m
, - . (3)

L2 (R1 , B1 , m ) f 7 J (f ) H,

R (t) = (s+t , s ) = (J (es+t ), J (es )) = (es+t , es ) =
Z
Z
=
es+t (x)es (x)m (dx) =
eitx m (dx),
et (x) = eitx , < x < . , R1 t 7

7 t H .
. 8.
213
. (4).
(P (D)R)(t) =
eitx P (ix)m(dx),
(P (D) P (D)R)(t) = (P (D) P (D)R)(t) =
eitx P (ix)P (ix)m(dx),
,
R (t) =
eitx |P (ix)|2 m(dx), P (ix) = P (ix).
. {t : < t < } H,
t =
eitx (dx), < t < .

P (D) =
: R1 H ,
Z
|P (ix)|2 m (dx) < ;

t =
eitx P (ix)1 (dx).
m {t }. P (0) = 0, h H,
(t) = (, t) t.
( ) .
214
2.
4.
T = (, ), H , : T H () . ,
t =
t+s (ds), < t <
(1)
,
. .
(E, F ) ; : F [0, )
.
J() =
(t)(dt)
H E H ( ). , H . -
H -, H ( ).
.
1. : E H , 1 (B) F B H.
2. : E H
.

X
=
h k 1 Ak ,
(2)
{Ak } E,
X
.. {Ak } F E =
Ak .
3. (2) ,
X
khk k(Ak ) < .
. 8.

n
nX
1
215
o
(Ak )hk : n = 1, 2, . . .
H ( ).
X
J() =
(Ak ) hk .
k>1
J() H (
) .
. : E H n : E H,
.. kn (t) (t)k 0 t E.
. {n } . {h1 , h2 , . . .} H.
1
= > 0
n
Sk = {h H : kh hk k < },
Sk = H;
k>1
c
B1 = S1 , B2 = S2 S1c , . . . , Bk = Sk S1c . . . Sk1
; Bk S k ;
Ak = 1 (Bk ).
{Bk } {Ak } H E
( ).
X
n =
1 Ak h k

kn (t) (t)k < =
1
t E.
n
4. : E H , {n } , .
, {J(n)}H
( H) J() H.

Z
Z
J() = (t)(dt) = d
E
( ). ,
.
216
2.
. (1) .
R(t) =
eitx m(dx), t =
eitx (dx), < i < ,
, m () ,
R (t) =
itx
m (dx), t =
eitx (dx), < t < ,

(1), m
(A) =
[f (x) 1A (x)](dx),
m (A) = k (A)k =
|f (x)|2 m(dx), A B;
f (x) =
eixs (ds), < x < .
. =
,
ck k -
= (1 2 ) + i(3 4 ),
ck , k : B [0, ) ,
Z
X Z
g(x)(dx) =
ck
g(x)k (dx),
.
. 1 6 . 6,
t =
Z h Z
i(t+s)x
Z h
Z
i
i
itx
(dx) (ds) =
e
eisx (ds) (dx) =
itx
f (x)(dx) =
eitx (dx)
. 8.
217
(
f (s, x) = ei(t+s)x , (s, x) R1 R1 ; . ), : B H ,
- .
R (t) = (s+t , s ) =
ei(s+t)x f (x) eisx f (x)m(dx) =

=
itx
|f (x)| m(dx) =
eitx m (dx);
, , (1) .
. 1 . : E H ,

Z k(t)k, t E, (, ,
k(t)k(dt) < ). ,
Z
Z

(t)(dt) 6 k(t)k(dt).
E
, (2)
Z
X
khk k(Ak ) = k(t)k(dt)
k>1
( ).
{n }
, , = 1
n0 , k(t) n0 (t)k < t E, , , k(t)k, t E,
kn0 (t)k + 1, t E, k(t)k, t E.
, k(t)k, t E, . {n } , . ,
, , . , = 1 n0 ,
kn (t) (t)k 6 1 t E, n > n0 ,
kn (t)k 6 k(t)k + 1 t E, n > n0 ,
218
2.
, , kn (t)k, t E; n > n0 , ,
. , ,
n ( )
kn (t)k, t E.
2 . : E H , c H,
E t 7 (c, (t)) R1
Z
Z
c, d = (c, ) d.
(3)
E

Z
J() = d. H
c 7 f (c) =
ZE
(c, ) d ,
|f (c)| 6 kck
k(t)k(dt),
, , J() H ,
f (c) = (c, J()) c H.
J() .
( 1 ) , k(t)k, t E, .
, , t (c, (t)),
:
|(c, (t))| 6 kck k(t)k.
(3).
. , {n } , ,
Z
Z

c, n d c, d ,
Z
(c, n ) d
(c, ) d,
,
Z

c, (n ) d 6 kck sup kn (t) (t)k (E) 0
t
. 8.
219
Z

(c, n ) d 6 kck sup kn (t) (t)k (E) 0.
t
3 . : R1 H R ( ,
) . , :
kt+h t k2 = 2R(0) R(h) R(h); R(h) = R(h).
kt k2 = R(0), t 7 kt k , ,
. 1 .
4 . ( ) . (E1 , F1 ) (E2 , F2 ),
: F1 [0, ) -
: F2 H.
() m : F2 [0, ) m(A) = k(A)k2 , A F2
(. 6 . 6).
E = E1 E2 , F = (F1 F2 ), = m.
. () f L2 = L2 (E, F , ) m ,
Z hZ
Z hZ
i
i
f d d =
f d d,
(4)
E1 E2
E2 E1
(4) . ,
, f , , ( ) .
1) (4) f = 1A , A F1 F2 ,
, , ,
X
, f =
ck 1Ak , Ak F0 , F1 F2 .
. , L2 .
X
f =
ck 1Ak , Ak F F0 , 2
L , , > 0 A F
B F0 , k1B 1A k < L2 .
220
2.
, F0
F
X
(A) = S inf
(Bn ),
Bn A
{Bn }F0
, {Bn }
X .
> 0 {Bn } F0 ,
Bn A (A) >
X
>
n>1
n>1
(Bn ) , N ,
B =
n
X
Bn , C =
(Bn ) < .
n>N
Bn .
n>N
B F0 , B + C A, (B) (A) < , (C) < .

k1B 1A k2 =
|1B 1A |2 d,
|1B 1A |2 = |1B 1A | 6 [1B + 1C 1A ] + 1C = 1B 1A + 2 1C ,
k1B 1A k2 6 (B) (A) + 2(C) < 3.
3 = 2 .
2) , (4) . fx E2 fy E1 ,
fx (y) = f (x, y),
f L2 ,
fy (x) = f (x, y).
fx L2 (E2 , F2 , m) = L2m
( x ) fy L2 (E1 , F1 , ) = L2 , , fy
L1 (E1 , F1 , ) = L1 (
Z y m).
Z
) (x) =
) g(y) =
)
=
E2
fx d , fx L2m ;
f d =
E
Z2
E1
E
Z2
f d =
fy d , fy L1 ;
E1
d , x 7 k(x)k2 =
E1
2
|fx | dm , ,
. 221
x 7 k(x)k, ( 1 ) ;
Z
g d , g L2m , -
E2
|g(y)|2 6
hZ
E1
Z
i2
|fy | d 6 (E1 ) |fy |2 d, y E2 ,
E1
m.
3) f L2 {fn }
( (4) ), f
L2 . ,
Z hZ
Z hZ
i
i

n =
(fn f ) d d 0, n =
(fn f ) d d 0.
E1 E2
E2 E1
: E1 H, (x) =
fx d.
E2
n fn .
Z
Z
2 hZ
i2

2
n = (n ) d 6
kn k d 6 (E1 ) kn k2 d =
E1
= (E1 )
Z hZ
E1 E2
E1
|fn f |2 dm d = (E1 )
E1
|fn f |2 d = (E1 )kfn f k2 ;
Z Z
Z hZ
2
i

n2 = (fn f ) d dm 6 (E1 )
|fn f |2 d dm = (E1 )kfn f k2 .
E2 E1
E2 E1

1.
= {(t), t > 0}
E.
222
2.
.. n , zn , n = 0, 1, 2, . . ., E R1+ , R1+ = [0, ),

P (n+1 = j, zn+1 < y | n = i, zn = x) = P (n+1 = j, zn+1 < y | n = i).
.. 0 , 1 , . . .
E. , n
n+1 zn+1 (, , zn+1
n ), (t)
t > 0. = {(t), t > 0} ().

Fij (x) = P (n+1 = j, zn+1 < x | n = i), x > 0,
i, j E. Fij (+) = pij , pij6= 0, Aij (x) =
= Fij (x)/Fij (+). , {n , n > 0}
P = {pij },
pij 6= 0, Aij .. i
j. {pi } . 0 . , z0 = 0.

= {
(t), t > 0}, (t) [0, t).
(t) = sup{n : tn < t},
tn = z1 + . . . + zn , n > 1; t0 = 0.
ij (t) j [0, t), 0 = i. , ij (t) .
(t) = {ij (t) : i, j E}, t > 0, (),
.
2.
, .
1. P =
= {pij ; i, j E} .
2. i0 j0 E ,
pi0 j0 > 0 Ai0 j0 (+0) < 1.
. 223
. i {n : n > 0} ,
i i .
n[
o
fii = P
(n = i) | 0 = i = 1.
n>1
,
.
.
j , j E, ,
(t)
Eej ij < +
i j E. , .. ij (t).
. ij
i j . i j ,
P (ij < x) = A1 (x),
P (jj < x) = A(x).
ij (t), t > 0, , A1 A (, A1 A ).
A(+0) < 1
(= j ) ,
E exp{ij (t)} < , t > 0.
, 1, 2 , A(+0) < 1.
= {} = (s0 , s1 , . . . , sn ), s0 = sn = j, sk 6= j
0 < k < n, ,
p = ps0 s1 ps1 s2 . . . psn1 sn > 0,

A = As0 s1 As1 s2 . . . Asn1 sn ,
,
A(x) = P (jj < x) =
p A (x).
224
2.
1 2
0 , i0 j0 .
X
p = 1, A0 (x) 6 Ai0 j0 (x)
( A B [0, ) (AB)(x)6A(x)),
A(x) 6 1 p0 + p0 Ai0 j0 (x),
2 A(+0) < 1.
3.
(t) = {ij (t)},
t > 0, , 1, 2 2, , ,
Hij (t) Eij (t).
H(t) = {Hij (t)}, t > 0, . , Hij (t)
j [0, t) i.

Z
wij = x dFij (x).
0
, wij = 0 pij = 0, pij > 0,

wij = pij
x dAij (x) = pij uij .
.
lim
aj = X
Hij (t)
= aj ,
t
uj
u w
w =
(1)
w ,
{u , E}
X
u =
u p , E.
(2)
. 225
. 1 . w ( ).
2 . (2) .
, 9.7 1 ( -, , - , 1964)
ui = c ij ,
1+
N
X
pn
ii
1+
N
X
pn
jj
ij = lim

0 < ij < i, j E (.
-, 1, 9).
. {i }
X
; i > 0,
i = 1. 1 , i > 0
i E.
X
aj = aj , a1 =
k wk ,
(3)
k
wk k.
. , .. A1 A.
lim
H(t)
=a
,
t
H(t) , a
, a
= 0,
Z
0
x dA(x). -
x dA(x) = . ( ,
A1 A ..; A(+) < 1, a

= 0).
ij (t), t > 0, ,
A1 (x) = P (ij < x),
A(x) = P (jj < x).
1 , A1 (+) = fij = 1, A(+) = fjj

= 1, fij j ( ), -
226
2.
i, ..
fij = P
n[
o
(n = j) | 0 = i .
n>1

a1
j
= Ejj =
x dxA(x).
.
{n ; n > 0}
pn () = P (n = , k 6= 0 < k < n | 0 = ), n > 1,
.. pn () n
;
X
p () =
(4)
pn ()
n>1
( , +). ,
p ()
, , ,
.
XX
a1
(wj pnj (j) + pnj (j)wj )+
j = Ejj = wjj +
n>1 6=j
X n2
XXX
pkj (j)w pn1k

(j),
j
n>3 k=1 6=j 6=j
, , (4) n 1 k = m, :
XX
a1
[wj pnj (j) + pnj (j)wj ]+
j = wjj +
6=j n>1
XXX X
pkj (j)w pm
j (j) =
6=j 6=j k>1 m>1
= wjj +
[wj pj (j) + pj (j)wj ] +
6=j
XX
6=j 6=j
pj (j) = fj
, pj (j) = fj
,
pj (j)pj (j)w .
. 227
pj (j) = fj
j .
; (9.15)
1, -, H = ,
1+
N
X
pn
N
X
pn
jj
n=1
j = lim
1+
pj (j)
pj (j)
= .
fj
pj ()
n=1
1
a1
j = wjj +
= 1 E.
(wj + j wj ) +
6=j
wj +
6=j
XX
j w =
6=j 6=j
w = wj +
j w =
6=j
j w ,
, jj = 1. j = j0 j0 j ,
X
a1
j0 w j0 j = a1
j =
j0 j0 j ,
j0 j = 1
j0 j
aj = X
jj0
j0 w
2 (1).
4.
, , 2, R1 ,
{nd : n }, d 6= 0.
c + nd, n = 0, 1, 2, . . ., .
{A } R1 () d > 0, nd ( c + nd) n = 0, 1, 2, . . .
R1 (), ()
. (). 1,
2
228
2.
3. .
3.1. {Aij : pij > 0} 0 Aij
pij > 0.
3.2. i1 j1 , pi1 j1 > 0
Ai1 j1 .
3.3. j
=(s0 , s1 , . . . , sn ) , s0 =sn =j, sk 6=j, 0 < k < n,
p > 0, A
( x y , mx = ny
m n).
. 13.
t
Hij (t + h) Hij (t) aj h
(1)
h > 0 i, j; aj
.
. , 1 P (ij < ) = 1 i j.

,
A(x) = P (jj < x), x > 0,
.
2, = {}

= (s0 , s1 , . . . , sn ), s0 = sn = j, sk 6= j 0 < k < n,
,
p = ps0 s1 . . . psn1 sn > 0.
(2)
A = As0 s1 . . . Asn1 sn ,
(3)
,
X
A(x) =
p A (x), x > 0.
(4)
.
X
X
1. F =
pk Fk , pk > 0,
pk = 1, F Fk 1
R . F ,
. 229
( ) Fk .
2. F, F1 , F2 R1 F = F1 F2 . F ,
( ) F1 F2 ( ).
(2)(4) , A , ( ) {Aij : pij > 0}
. ,
3.2 3.3 ( 1, 2) A.
, 3.1 1, 2 . , 1,
2 , F, Fk
0 , .
A
{Aij : pij > 0}, . ,
A .
5.
. Q
[0, ) 13.
lim
Zt
0
Q(t x) dHij (x) = aj
Q(x) dx.
, ; , Q
, Hij ;
.
3 4 . 4,
H1 = Hij , H = Hjj ,
A1 (x)P (ij < x), A(x) = P (jj < x),
A1 () = fij = 1,
A() = fjj
= 1.
, , A
.
230
2.
6.

1 . z (z, ),
z () , a , [0, z) (X, B).
{(zk , k ) : k > 1}
(t), t > 0, [0, z1 ), [0, z2 ), . . . [0, ) ,
k- k .
,
(t) = k (t tk1 )
tk 6 t < tk , t0 = 0, tk = z1 + . . . + zk , k > 1.
{n : n > 0} ..,
E, ,
{(n , zn , n (t), 0 6 t < zn )}n>0 , z0 = 0,
.
4. {(n , zn , n ) : n > 0}

P {n+1 = j, zn+1 > y, n+1 (y) B | n = i, zn = x} =
= P {n+1 = j, zn+1 > y, n+1 (y) B | n = i}.
. 4
4. {(n , zn )}
P {n+1 = j, zn+1 > y | n = i, zn = x) = P {n+1 = j, zn+1 > y | n = i)
P (zn+1 > y, n+1 (y) B | 0 = i0 , n = i, z1 + . . . + zn = x) =

= P (zn+1 > y, n+1 (y) B | n = i) n.
{(n , zn ) : n > 0}
(t), t > 0, . 1. (t), t > 0, (
).
. 231

lim P {(t) = j, (t) B}
(1)
j (y) = j (y, B) = P (zn+1 > y, n+1 (y) B | n = j).

(1)
P ((t) = j, (t) B | 0 = i) = ij P (z1 > t, (t) B | 0 = j)+
t
XZ
+
P (zn+1 > t , n+1 (t ) B | n =j) d P (tn <, n =j | 0 =i) =
n>1 0
= ij j (t, B) +
XZ
n>1 0
j (t , B) d P (tn < , n = j | 0 = i),
,
P ((t) = j, (t) B | 0 = i) = ij j (t, B) +
Hij ( ) =
n>1
Zt
0
j (t , B) dHij ( ), (2)
P (tn < , n = j | 0 = i) = Ei
1{tn <,n =j}
n>1
j (t), t > 0, [0, ) ( i).

,
(. 5) (2) (1).
F = {Fij }
Fij (x) = P (n+1 = j, zn+1 < x | n = i)
F n = {Fijn },
X
n
Fij1 = Fij ; Fijn+1 =
Fik Fkj
, n > 1.
k
Fijn (x) = P (tn < x, n = j | 0 = i).
Fij0 (x)
= ij H(x),
H(x) =
0, x 6 0,
1, x > 0.
232
2.
,
Hij (t) =
Fijn (t), t > 0.
(3)
n>1
. 14 .
1. (t, B) t 0 < wj < .
2. i E n
n > 1, Fik
, k E,
0 < wj < .
lim P ((t) B, (t) = j | 0 = i) = aj
j (x, B) dx
(4)
i E.
, wj j (
).
, 14.
i j .
A1 (x) = P (ij < x), A(x) = P (jj < x), x > 0.

. n > 0 ,
Q(t) = (j F )(t) =
Zt
0
j (t x, B) dF (x), t > 0,
F = An
[0, ).
lim P ((t) B, (t) = j | 0 = i) = aj
j (x, B) dx.
(2)
X
Hij = A1 + A1 A + A1 A2 + . . . = A1 + A1
An .
n>1
. 233
n = 0, Q(t) = j (t, B)
(. 5)
j (t, B) 6 P (zn+1 > t | n = j) 0 t .
n > 1,
(2) ,
P ((t) B, (t) = j | 0 = i) = ij j (t, B) +
n
X
k=1
(j Ak )(t) + (Q Hij )(t),
Ak = A1 A(k1) , , t
0 6 (j Ak )(t) 6
Zt
0
[1 Bj (t x)] dAk (x) =
Zt0
Zt
= [1 Bj (t x)] dAk (x) + [1 Bj (t x)] dAk (x) 6
t0
6 [1 Bj (t t0 )] + Ak (t) Ak (t0 ) 0
t = 2t0 .
1 Bj (x) = P (zn+1 > x | n = j).
,
Z
0
Q(t) dt =
ZhZt
0
Z
i
j (t x, B) dF (x) dt = j (x, B) dx.
0

2 . 5.
1 . 1. Q = j
:
1) Q ;
2) Q [0, );
3) 0 6 Q(t) 6 G(t) = 1 Bj (t), G [0, ).
, Q .
2 . 2. (2), (3)
234
2.
P ((t) B, (t) = j | 0 = i) = ij j (t, B)+

n
X
X
X
n
m
+
j Fijs (t) +
j
Fik
Fkj
(t) =
s=1
m>1
= ij j (t, B) +
n
X
s=1
j Fijs (t) +
X
k
Qk Hkj (t),
n
Qk = j Fik
.
t
j (t, B) 0,
(j Fijs )(t) 0,
, t
Z
X
Qk Hkj (t) aj j (x, B) dx.
k
(5)

Hkj (t) 6 1 + Hjj (t),
n
Fik
6 pnik ,
N
X

X
Qk Hkj (t) 6
pnik j (1 + Hjj (t)).
k>n
k>N
j (1 + Hjj )(t) 6 (1 Bj ) (1 + Hjj )(t) = 1 Bj (t) + (1 Bj ) Hjj (t).

(. 5)
Z
(1 Bj ) Hjj (t) aj [1 Bj (x)] dx = aj wj ,
0
j (1 + Hjj )(t) aj wj t
k>N
Qk Hkj (t) 6
X
k>N

pnik (aj wj + )
(6)
t > t .
t (5).
, Qk . ,
0 6 Qk (t) 6
Zt
0
n
[1 Bj (t x)] dFik
(x) = G(t),
. 235
G [0, ),
G(t) = G1 (t) G2 (t),

G1 (t) =
pnik
Zt
0
n
Bj (t x) dFik
(x),
n
G2 (t) = pnik Fik
(t),
G1 G2 .
1)3) . , Qk [0, ).
(. 5) , t
(Qk Hkj )(t) aj
Qk (t) dt = aj
= aj
ZhZt
0
Z
0
j (x, B) dx
i
n
j (t x, B) dFik
(x) dt =
n
Fik
(+)
aj pnik
j (x, B) dx.
(7)
(6), (7) (5).

, Qk ,
Q. 2 . 5,
n
Fkj
= A(n) .
7.

. (t), t > 0, 13,
lim P {u(t) > x, v(t) > y, n(t) = i, n(t)+1 = j | 0 = i0 } =
=X
i
k wk
pij
x+y
[1 Aij (u)] du, (1)
{pij } ;
Aij pij > 0 .. i
j; pij = 0, ,
, Aij (u) = 1 u > 0;
236
2.
wk k , ..
wk =
X
j
Z
pkj [1 Akj (u)] du;
0
{k }
X
j =
i pij , j E;
(2)
u(t) , t;
v(t) , t ;
h(t) t; , n(t) = (t).
. (2) (. 3).
, {k } .
, .
.
(t) = {u(t), v(t), n(t)+1 }, t > 0.
6.

B = (x, ) (y, ) {j}.
i (, B) = P {zn+1 > , > x, zn+1 > y, n+1 = j | n = i} =

(
P (zn+1 > y + , n+1 = j | n = i) > x,
=
=
0
6 x
(
pij [1 Aij ( + y)] > x,
=
0
6 x.

Z
Z
Z
ai i (, B) d = ai pij [1 Aij ( + y)] d = ai pij
[1 Aij (u) du,
0
x+y

ai = X
237
.
k wk
6, ,
1 .
. . () i , wi , 1/2. (t)
t, {(t), t > 0} .
,
.
(
1/2, |i j| = 1,
pij =
0,
|i j| 6= 1,

j =
i=
1
2
i pij = (j1 + j+1 ); j = 0, 1, 2, . . .
j = 1 j.
wk ,
(1)
wi
x+y
pij e wi .
X
wk
101. F1 , F2 , . . . .. ,
..
1 , 2 , . . . , P (n < x) = Fn (x) n > 1 x R1 .
102. . , .. 1 , 2 , . . . ,
En2 < En = , var n = 2 n > 1.
103. P = {pij : i, j = 0, 1, 2, . . .} , pij >
X
> 0 i, j
pij = 1 i.
j
238
2.
, .. 1 , 2 , . . ., E = {0, 1, 2, . . .} , ..
P (n+1 = in+1 | 1 = i1 , . . . , n = in ) = P (n+1 = in+1 | n = in ) = pin in+1
n > 1, i1 , . . . , in+1 E,
P (1 = i1 . . . , n = in ) 6= 0.
104. pt = {ptij : i, j = 0, 1, 2, . . .}, t > 0
X
X
psik ptkj )
, ptij >0 i, j, t,
ptij =1 i, t ps+t ps pt (.. ps+t
ij =
j
s, t > 0. , {(t), t > 0}

E = {0, 1, 2 . . .},
[.. P {(tn+1 ) = in+1 |(t1 ) = i1 , . . . , (tn ) = in } = P {(tn+1 ) = in+1 |(tn ) =
= in } n > 1, i1 , . . . , in+1 E t1 < . . . < tn+1 , P {(t1 ) = i1 , . . .
. . . , (tn ) = in } 6= 0]
P {(s + t) = j | (s) = i} = ptij i, j E; s > 0, t > 0.
105. T , = {t , t T }
A = {ast :
s, t T } ( , x = {xt , t T },
xt , X
(Ax, x) =
ast xs xt > 0). ,
s,t
(, S, P ) {(t), t T }
,
1) ;
2) E(t) = t , cov ((s), (t)) = ast , s, t T .
.
106. {(t) : t T = [0, )},
E(t) = t, cov ((s), (t)) = 2 min(s, t) s, t > 0
( , ,
> 0). ,
, .. 0 6 t1 <
< t2 < . . . < tn ..
(t2 ) (t1 ), . . . , (tn ) (tn1 )
.
239
107. , {(t) : t T =
= (, )},
cov ((s), (t)) = e|ts|
( -).
108. , P
, .. B
> 0, F
G , F B G P (G \ F ) < .
109. , P ( ) , .. > 0 K ,
P (K) > 1 .
110. P . , B > 0,
K , K B P (B \ K) < .
111. {t : t = 1, 2, . . .} ..
.
= {0 = i0 , . . . , t1 = it1 } = ,
H = {t = it } = ,
= {t+1 = it+1 , . . . , n = in } = .
, P (k = ik k < n) 6= 0
P (|) = P (|) P (|)
(.. ).
112. .. 0 , 1 , . . .
1 1/2.
) ..
1
2
n = (n + n+1 ), n = 0, 1, 2 . . . ,
?
)
n = n n+1 , n = 0, 1, 2, . . .
113. {n : n = 0, 1, 2, . . .} E = {1, 2, 3}
0 1
P = 0 1 .
1 1
3 3
1
3
240
2.
n , n = 0, 1, 2, . . .,
(
1 n < 3,
n =
2 n = 3.
, {n } .
114 ( ).
, > 0,
s T , E0 E
(x0 , x1 , . . .) ,
X
psij xj 6 xi i 6 E0 ,
j>0
X
j>0
psij xj < i E0 .
. , E0 = {0, 1, . . . , i0 }.
X
(1)
(n+1)
(n)
xi = xi , xi
=
psij xj .
j>0
,
(n+1)
xi
(2)
6 xi
i0
X
j=0
(n1)s
(p1s
ij + . . . + pij
(2)
)(xj xj + ) (n 1),
i0
06
X 1
x2i
(n1)s
(2)
+
(p1s + . . . + pij
)(xj xj + ) .
n1
n 1 ij
j=0
115. {n : n > 1}
.., .
{n : n > 0},
n = (n1 1)+ + n , n > 1; 0 = 0.
, En = < 1,
{j : j > 0}
X
lim P (n = j) = j ,
j = 1.
n
j>0
. , > 0.
qk = P (n = k).
241
0 < En < 1 0 < q0 < 1.

1: q0 + q1 = 1; 1
n = n = 0 1 = (q0 , q1 , 0, 0, . . .).
2: q0 + q1 < 1. qm > 0 m > 2.
(, q0 > 0,
qm > 0). . xj = j;
j = 0, 1, 2, . . ., pij = P (n+1 = j|n = i),
(
X
En+1 = i = 0,
pij xj = E(n+1 |n = i) =
i 1 + En+1 = i 1 + i > 0.
j>0
116. P = {pij }
E = {1, . . . , m} , ..
X
X
pij = 1 i
pij = 1 j.
j
, () E .
117 (). ,
,
t > 0 P t = {ptij }
.
118. E = {0, 1, 2, . . .}
P n = {pnij } n
lim pn
n ij
= j i, j,
i.
X
X
1)
i 6 1, j =
i pij , pij = p1ij ;
i
i
X
2)
i = 0 1;
i
3)
Xi = 0 i, ;

i = 1, = (0 , 1 , . . .)
i
.
119.
P n = {pnij } n
242
2.
lim pnij = j > 0 i, j,
j = 1,
i ( {j } ).
, C , 0 < < 1
|pnij j | 6 Cn i, j, n.
120. {n } {n }
P = {pij }, , ,
(.. 0 0 ). ,
min pij > > 0.
i,j
X
i
|
pni pni | 6 2(1 )n ,
pni = P (n = i),
pn = P (n = i).

{zk : k > 1} ..
t0 = 0, tn = z1 + . . . + zn , n > 1,
(t) = sup{n : tn < t}, t > 0.
{(t), t > 0} , .. A(x) = P (zk < x).
: P (zk = 0) < 1.
t .. (t).
H(t) = E(t), t > 0,
H(t) = A(t) +
Zt
0
,
H(t) =
H(t x) dA(x).
An (t),
n>1
An (t) = P (tn < t).

.
243
1 ( ).
Z
H(t)
1
a t , a = x dA(x) 6 .
t
2 ( ). A , h
H(t + h) H(t) ah t .
3 ( ). Q , [0, ), A ,
Zt
0
Q(t x) dH(x) a
Z
0
Q(x) dx t .
. 3, W
W = Q + A W ; W (x) = 0 x < 0,
A W A W , ..
(A W )(t) =
Zt
0
A(t x) dW (x) =
lim W (t) = a
Zt
0
W (t x) dA(x),
Q(x) dx.
121. ,
{(t) > n} = {z1 + . . . + zn < t}, n > 1;
P {(t) = n} = Pn (t) = An (t) An+1 (t), n > 0.
122. ,
P (zk = 0) < 1
,
P {(t) < } = 1 t > 0.
123. A(x) = 1 eax , x > 0; a > 0.

{(t), t > 0} ( a). ,
Pn (t) =
(at)n at
e , t > 0; n = 0, 1, 2, . . . .
n!
244
2.
124.
A(x) =
Zcx
0
ur1
eu du, x > 0; c > 0.
(r 1)!
r > 1 (r ). ,
Pn (t) =
nr+r1
X
k=nr
(ct)k ct
e .
k!
. C.., r- ,
..
125. c > 0
P (zk = c) = p P (zk = 0) = q = 1 p.
.. (t)
H(t).
126. {zk : k > 1}
..
t0 = 0, tn = z1 + . . . + zn , n > 1;
(t) = sup{n : tn < t}, t > 0.
,
n
P
1X
zk
1/a n
n
1
(t) P
a t
t
.
127. A
Z
2 = x2 dA(x) < . ,
0
H(t) at
a2 2
1 t .
2
.
Z
W (t) = H(t) + 1 at t > 0 Q(t) = a [1 A(u)] du,
t
245
W = Q + A W.
,
a
Z
0
Z
x dA(x) = [1 A(x)] dx,
0
Z
2 = [1 A(x)] dx2 .
0
128. t = 0
z1 , z2 , . . .. ,
.. z1 , z2 , . . . , ,
A(x) = P (zk < x), x > 0; P (zk = 0) < 1;
Z
1
a = x dA(x) < .
0
(t) , t > 0. ,
1) A , x > 0

lim P {(t) < x};
t
2) A ,
lim P {(t) < x} = a
Zx
0
[1 A(u)] du.
2).
X
P {(t) < x} =
P {tn 6 t < tn+1 , (t) < x},
n>0
, ,
(t) = tn+1 t = zn+1 (t tn ) tn 6 t < tn+1
P {tn 6 t < tn+1 , (t) < x | tn = u} =
= P {u 6 t < u + zn+1 , zn+1 (t u) < x} =

= P {(t u) < zn+1 < x + (t u)t > u} =
(
A(x + t u) A(t u) t u > 0,
= Q(t u) =
0
t u < 0,
246
2.
P {(t) < x} = P {0 6 t < t1 ; (t) < x} +
XZ
Q(t u) dAn (u) =
n>1 0
= g(t) +
Zt
0
Q(t u) dH(u),
0 6 g(t) = P {0 6 t < t1 , (t) < x} 6 P {t < z1 } 0 t .

129. Q
[0, ). ,
lim
1
T
ZT nZt
0
Z
o
Q(t u) dH(u) dt = a Q(t) dt.
0
. ,
1
T
ZT Zt
0
|T | 6
H(T )
T
H(T )
Q(t u) dH(u) dt =
T
|Q(v)| dv +
T u0
H(u0 )
T
Z
0
ZT
Q(v) dv + T ,
|Q(v)| dv; 0 6 u0 6 T.
130. , h > 0
1
lim
T T
ZT
0
[H(t + h) H(t)] dt = ah.

= {(t) : 0 6 t < z}
[0, z) z, (z, ) .
{(zk , k ) : k > 1} . , ,
{zk : k > 1}
(t) = sup{n : tn < t}; t > 0;
t0 = 0; tn = z1 + . . . + zn , n > 1.
247
(zk , k ), k > 1,
(t), t > 0,
(t) = k (t tk1 ), tk1 6 t < tk ;
. . 10.
{(t), t >
> 0} , {tk } () .
B {t}, t > 0.

(t)
1 ( )
t0
2 ( ) 3 ( ) 4 ( )
t1
t2
t3
t4
. 10.
lim P {(t) B} = PB
()
.
B ( ) = P {1 ( ) B, z1 > }, > 0.
. , .. A(x) = P (z1 < x), x > 0, Z
a1 = x dA(x) = Ez1 < ,
0
7 B ( ) .
()
PB = a
B ( ) d.
131. . {uk : k > 1} . {vk }. , .. {uk } {vk } , . (t) = 0, t

, (t) = 1 . Eu1 + Ev1 < , A(x) = P (u1 + v1 < x) , ,
lim P {(t) = 1} =
Eu1
.
Eu1 + Ev1
248
2.
. (t)
t1 , t2 , . . .,
tk = z 1 + . . . + z k ,
zk = uk + vk ;
B = {1}, B (t) = P {(t) = 1, z1 > t} = P (u1 > t, u1 + v1 > t) = P (u1 > t);
Z
Z
B (t) dt = P (u1 > t) dt = Eu1 .
0
132. t = 0
z1 , z2 , . . .. , ..
z1 , z2 , . . . ;
A(x) = P (zk < x), x > 0;
Z
1
0 < a = x dA(x) < .
0
(t) ,
t; (t) t. ,
(t) = t t(t) , (t) = t(t)+1 t.

, A ,
Z
lim P {(t) > x, (t) > y} = a
[1 A(u)] du.
t
x+y
. B = [x, ) [y, )
B (t) = P {(t) > x, (t) > y, z1 > t} = P (z1 t > x, t > y, z1 > t) =
(
1 A(x + t) t > y,
= P (z1 > x + t, t > y) =
0
t < y.
133 (). ,
t
Zx
1) lim P {(t) + (t) < x} = A (x) = a [A(x) A(t)] dt;

2) lim P {|(t) (t)| < x} = a
3) lim P
Zx
0
[1 A(u)] du;
(t)
< x = x 0 6 x 6 1.
(t) + (t)
249
134 (). ,
Z
Z
lim E[(t) + (t)] = x dA (x) = a2 , 2 = x2 dA(x).

t
..
135. , n
, n = sup |m | 0 .
m>n
136. .. {n }
,
X
P {|n+1 n | > n } <
n>1
{n : n > 1}. .
137. . .
138.
. .
139. , n 0 n 0 .
140. {Fn , n > 0} ..
Fn F0 . , (, S, P ) {n , n > 0} .. ,
1) Fn .. .. n n > 0,
2) n 0 .
141. , n c = const n c
.
142. f Rs , , s = 1. ,
1) n 0 f (n ) f (0 ) ;
2) n 0 f (n ) f (0 ) ;
n s.
143.
inf f (x) = c,
xX
(X, A) , f .
1 , 2 , . . . .. (X, A) > 0
P (f (1 ) 6 c + ) > 0.
250
2.
y1 = f (1 ), yn+1 = min(yn , f (n+1 )). , P (yn c) = 1

(, X , 1 , 2 , . . . .., X, .. P (1 A) = v(A)/v(X), v(A)
A, v{x : f (x) 6 c + } > 0 > 0).
. {yn } , 139 , yn c .
> 0
P (|yn c| > ) = P (yn > c + ) = P (f (k ) > c + ; k = 1, . . . , n) =
= [P (f (1 ) > c + )]n 0
n , P (f (1 ) > c + ) < 1.
144. ,
) n , {n } {n} {n } {n }
, n ;
) xn x , {n } {n}
{n } {n } , xn x.
[ , ()
.. ( )
.. ; , , ) ].
145. .. 1 , 2 , . . . ,
E1 = , var 1 = 2 < .
n
S ESn
1 X k
, > 0,
=
n
var Sn
1
n
Sn = 1 + . . . + n , n =
, ..
N (0, 1), , n .
. 1 . ( ) .
..
2 . n , n En2 E 2 .
3 . .. N (0, 1)
n . 1 = En2 E 2 = 1, 2
..
n . , > 0
251
N = N , m > n > N
var (m n ) < .
, = 0, = 1,

1
1
1
m n = (1 + . . . + n ) + (n+1 + . . . + m ),
m
.. ,
var (m n ) = 2 2
n
.
m
146. (t), t > 0, . ,

1) (t), t > 0, ;
2) (t) (t) = 0 .. t.
147. (t), t > 0, . ,
(t1 ) = 1 , (t2 ) = 2 , t1 < t < t2 ,

.. (t)
1 +
(t2 t)(t t1 )
2 1
(t t1 )
.
t2 t1
t2 t1
148. (t), t > 0, g

. ,
E
Zc
g((t)) dt =
Zc h
0
2t
g(y)e
y2t
dy dt =
Zc
Eg((t)) dt.
149. (t), t > 0, g1 , . . .

. . . , gm [0, c] . = (1 , . . . , m ),
k =
Zc
gk (t)(t) dt.
,
N (0, A), A = {aij }
aij =
Zc Zc
0
gi (s) gj (t) min(s, t) ds dt; i, j = 1, . . . , m.
252
2.
150. (t), t > 0, c . ,

n1
2
X

E
[(kh + h) (kh)]2 c 0
k=0
n , h = c/n.
1.

x, ,
.
x .
, x. x
, x .. P ,
.
. x = (x1 , . . . , xn )
= (1 , . . . , n ), N (, 2 ). / 2
. , , 2 , = (, 2 ), = R1 R1+ .
, , ,
.
x (.. ), ,
, (, ) ..,
.
253
254
3.
, .
= {} ,
X = {x} .
: ,
x P (. . 11). x P
.

P (x) x
. 11.
X = {x} ( ).
(X, A), A A
P (x A) , x A. = {} ( ).
D = {d} ( ). x (x) D ( ).
: X D , ,
() .
,
: x , (x)
( ).
,
: X D, = {} .
1. , a D = . . ,
, x = (x1 , . . . , xn ) .. x1 , . . . , xn
N (, 1),
x 7 (x) =
1
(x + . . . + xn ) = x
,
n 1
255
1) E (x) = ,
2) E |(x) | 6 E |1 (x) |
, > 1 1 , 1).
2. , D P(), P() . ( ). , , x = (x1 , . . .
. . . , xn ) .. x1 , . . . , xn N (, 2 ) 2 , > 0, ..
x
1
, x
= (x1 + . . . + xn ),
n
N (0, 1),
Z3

n
o
o
n
u2

3
1
x

P | x
| 6
= P n
e 2 du = 0,998. . .
63 =
n
h
i
3
3
+ ,
(x) = x
,x
n
P { (x)} = 0,998. . . .
3. = 1 + . . . + s , a D = {d1 , . . . , ds }, di
i .
() .
, 1 , . . . , s , .. = {1 , . . . , s },
a di = i .
() . ,
() , ,
()
.
2.
, ,
; ,
1 2 , .
256
3.
, , . l(d | ) d,
. , l : D R1 (l = loss =
= ). ,
Z
R( | ) = E l((x) | ) = l((x) | )P (dx).
X
(, ) 7 R(|) .
R(|) ,
.
1 2
R
R(1 |)
R(2 |)
. 12.
R(1 |) 6 R(2 |) ,
(1)
, 1 2 . -
.
1. x 7 l((x)|)
P (, , ). ( )
.
2. , .. () x P . , 1 2
(1) (. . 12).
.
, ,
R( | ) 6 R( | ) , .
() , .
257
3.
1 . . , , .

R() = sup R( | ).
1 2 ,
R(1 ) 6 R(2 ). R( ) 6 R()
, .
. . 13
: 1
2 , sup R(1 |) < sup R(2 |), 2
1 .
2. . , ,
.

Z
R() = R( | )(d),
R
R(1 |)
R(2 |)

1) ;
2)
, .
,
R( ) = min R().
. 13.
. , ( )
( ),
, ,
R( | ) 6 R( | ) .
, ,
(
),
258
3.
. , , ,
.
( ). . . s
H1 , . . . , Hs x ;
, , x .., s
P1 , . . . , Ps , , s
H1 , . . . , Hs .
wij , ,
Hj Hi . , j ()
, j.
(..) () : X D = {1, . . . , s}. X x ( ). , (x) = i,
x Hi . .. , ( )
X
R() =
j ij wij ,
i,j
ij = Pj {(x) = i} , Hj
Hi .
. . pk (x) Pk
(, = P1 + . . . + Ps ).
Li = Li (x) =
s
X
k pk (x)
k=1
s
X
j=1
j pj (x)
wik =
s
X
k pk (x)wik
k=1
s
X
k pk (x)
k=1
() , x
Hi .
, .. , ,
, x
Hi , Li (x). .
.. ,
(x) = i Li (x) 6 Lj (x) j.
. 9.
259
. , R( ) 6 R() .. .
. ) , ..
EL = EL(x) (x) = R().
E =
s
X
k Ek , a Ek .. .., ..
k=1
x Pk .
, Xi = {x : (x) = i},
Z
ij = 1Xi pj d
EL =
s
X
j Ej
=
=
XZ
i
s
X
X
i,j
1Xi
X
j

X
1Xi L =
j Ej 1Xi Li =
Z
i,j
1Xi pj Li d =
XZ
i
j pj wij d =
X
i,j
j wij
1Xi Li
j pj d =
1Xi pj d =
j wij ij = R().
i,j
)
L = L(x) = min Li (x).
L = L,
EL = EL .
) ..
R() = EL > E min Li = EL = EL = R( ).
i
9

1.
P = {P } () (X, A). (X, A, P)
.
260
3.
1. P , .
2. P , P = {P , }. , .
: 1 6= 2 P1 6= P2 .
3. (X, A)
, , x X P P, ..
x.
, (X, A, P)
- (X, A), P P , .. P P
( P ) L(x|) x X ,
Z
P (A) = L(x | )(dx) A A.
A
X (x, ) 7 L(x|) [0, )

(L = likehoode).
2.
. , (X, A, P) , T (X, A)
(Y, B) .
, P P T .. (X, A, P ).
T1 : X Y T2 : X Y , {T1 6= T2 } = {x : T1 (x) 6= T2 (x)} A
P-. A A P-, P (A) = 0 P P.
T1 T2 (X, A, P) ,
P P .. T1 T2 ,
(X, A, P ).
T (X, A, P = {P , }) , P , , .. T , (X, A, P ), . .. T , P , E T E T (x).
. 9.
261
3.

,
, x,
, T (x) (
: x P ). .
T : (X, A) (Y, B) ,
T x , .., , A A
P {x A | T (x)}
(, , ).
.
. L .
T : (X, A) (Y, B) , A- h X
B- g Y ,
L(x | ) = g (T (x)) h(x) , x X.
1. ( ) . T ,
x T (x).
2. ()
. T , Q : A [0, 1] ,
P (x A) = P {T (x) T (A)} Q(A) A A.
,

( X ). L(x|) = P ( = x).
T , x X T (x) = t,
L(x | ) = P ( = x) = P ( = x, T () = t) =
= P {T () = t} P { = x | T () = t} = g (t) h(x) = g (T (x)) h(x),
262
3.
g (t) = P {T () = t} h(x) = P ( = x|T () = t) ,

T .
L
L(x | ) = g (T (x)) h(x),
T (x) = t P {T () = t} > 0
P ( = x)
P ( = x, T () = t)
=
=
P (T () = t)
P (T () = t)
P ( = x)
g (t) h(x)
= X
= X
=
P ( = y)
g (t) h(y)
P ( = x | T () = t) =
y : T (y)=t
y : T (y)=t
h(x)
,
X
h(y)
yT 1 (t)
, , .
4.
T () ,
() f (T )
E f (T (x)) = 0 f (T (x)) = 0 P-..
,
P {f (T (x)) = 0} = 1 .
(1)
. (X,A,P={P ,})
L
m
nX
o
dP
(x) = L(x | ) = c() exp
k ()Tk (x)
d
k=1
( P ),
0 ,
0 7 () = {1 (), . . . , m ()} Rm

c() 6= 0, .
T (x) = {T1 (x), . . . , Tm (x)} ( ).
. , (0 )
R = {(1 , . . . , m ) : c < k < c; k = 1, . . . , m}, c > 0.
E f (T ) = 0 0
(2)
. 9.
263
f (T ). f (t) = f + (t) f (t), f (t) >

> 0, T : (X, A)
(Rm , Bm ), .. = T 1 , .. (B) = (T 1 (B)) B Bm .
R
Z
Z
(,t) +
e
f (t)(dt) = e(,t)f (t)(dt),
(, t) =
m
X
k tk , , ,
f + (t)(dt) =
f (t)(dt);
.
Z
P (B) = f (t)(dt), B Bm ,
B
, P
P (Rm , Bm )
Z
Z
(,t) +
e
P (dt) = e(,t) P (dt) Rm .
,
{ = u + iv : u Rm , v Rm }
m- , , .

, ,
Z
Z
i(v,t) +
e
P (dt) =
ei(v,t) P (dt), v Rm .
Rm
Rm
.. P + P , .. P + = P , ,
f + (t) = f (t) .. , .. f (t) = 0 -.. , (2) (1).
5.
A A [
P = {P , } (X, A)], P (A)
. T : (X, A) (Y, B) ,
264
3.
, .. {x : T (x) B}
B B.
. ,
.
,
( , )
. ( )
T U ,
x 7 {T (x), U (x)} ( T U ).
. T (x)
U (x) .
T (x) U (x) .
. T : (X, A) (Y, B) , U : (X, A) (Z, C) , C C
(. 21, 22 . 2)
P {U (x) C | T (x)} P {U (x) C} = g(T (x))

E g(T (x)) = 0 ,
T (x)
P {U (x) C | T (x)} = P {U (x) C} P .. .
.. U (x) T (x) (X, A, P ) , B B
P {U (x) = C, T (x) B} = E 1{T (x)B} P {U (x) C | T (x)} =
= E 1{T (x)B} P {U (x) C} = P {U (x) C} E 1{T (x)B} =

= P {U (x) C} P {T (x) B}.
. x = (x1 , . . . , xn ), .. x1 , . . . , xn N (, 2 ), = (, 2 ).
T (x) = (
x, S 2 ), x
=
n
n
X
1X
xk , S 2 =
(xk x
)2 , S > 0 ..,
n
1
U (x) =
x1 x
x x
,..., n
.
S
S
T (x) (. 4),
U (x) (
, .. ) , ,
. 9.
265
T (x) U (x) . , U (x)

u21 + . . . + u2n = 1
u1 + . . . + un = 0, x 7 {T (x), U (x)} ..
6.

1 . (X, A, P={P , }) , T (x)
, D ( ) , l(d|) ,
() d D .
(..) : X D .. : X D,
(x) = g(T (x)), g(T ) = E ((x) | T (x) = T ) = ET (x).
(1)
, , T (x) . , .
E (x) = E (x) R( | ) 6 R( | ) .
(2)
. ,
x T (x). , ..
..,
.
2 . : X D
: D, E (x) = () . , .
= .
, T (x) 6= . .. , :
) R( |) 6 R(|) , ,
) x T (x),
) .
, (1). (2)
, P- . , E [g1 (T (x)) g2 (T (x))] = 0
g1 (T (x)) = g2 (T (x)) P-..
3 . , , ( )
(P-..
) ( -
266
3.
) (.. ).
4 . . P = {Px , x X}
(X, A) P = {P , },
A A
(x) = Px (A)

() = P (A).
1. (X, A) (,
; . 22 . 2) . P , P = {P , }.
. T (x) .
1 22 . 2 .. T (x).
(, S, P ) = (X, A, P ) , (x) = x ..
, F -, .. T (x).
(x) = Px (A) = P (A | T )(x) A A.
(3)
, , T (x)
. ,
E (x) = P (A) = ()
x T (x), T (x)
(. 3 ).
2. 1, P
P g(x) P- ( ) .
() = E g(x) = (P , g) .
(x) =
g(u)Px (du) = (Px , g)
(
....) ().
. Px (. (3)) (x)

Z
(x) = g(u)P (du | T )(x),
X
. 9.
267
2 22 . 2
(x) = E (g | T )(x),
, E (x) = E g(x) = (). ,
(x) x T (x), T .
1. 1 (x)
(1), (x) = 1A (x) = P (A).
2. 1, 2 () .
1 . (X, A, P = {P , })
, T (x) , (x) (Y, B). {Qx : x X} (Y, B) ,
1) B B (x) = Qx (B)
(..) = P {(x) B},
2) Qx (B) = P ( B|T ) P-..,
3) Qx (B) x T (x).
, T , (x) .... ().
2 .
1. x = (x1 , . . . , xn ), .. x1 , . . .
. . . , xn .. F . , T (x)
.... () = F (t), t .
(
1, x1 < t,
(x) =
0, x1 > t
,
(x) = g(T (x)), g(T ) = P {x1 < t | T (x) = T }.
(x) = Fx (t),
, t 7 Fx (t) .. t
Fx (t) .... F (t). g F - ,
Z
(x) =
g(t) dFx (t)
268
3.
....
() =
g(t) dF (t).
2. x = (x1 , . . . , xm ), y = (y1 , . . . , yn ), .. x1 , . . . , xm ,
y1 , . . . , yn ; Fa .. .. x1 , . . . , xm ; Gb .. ..
y1 , . . . , yn ; a b ; = (a, b). ,
T1 = T1 (x1 , . . . , xm ), T2 = T2 (y1 , . . . , yn ) T = (T1 , T2 )
a, b = (a, b)
. t ,
, Fx (t) .... Fa (t). ,
Gy (t) .... Gb (t). P Px,y

( ), Fa (t1 ) Gb (t2 )
Fx (t1 ) Gy (t2 ) .
A (x, y) = Px,y
(A) .... () = P (A).
, .. Fa Gb ,
.. Fx Gy ,
( < )
(x, y) = Px,y
....
() = P ( < ).
. . (X, A, P =
= {P , }) s
(Xk , Ak , Pk = {Pk , k k }), k = 1, . . . , s.
P P = P1 . . . Ps , =
= (1 , . . . , s ) = 1 . . . s
(X, A) = (X1 , A1 ) . . . (Xs , As ).
,
.
Pk = {Pxk , xk Xk }, k = 1, . . . , s,
(Xk , Ak ), Pk ,
P Px = Px1 . . . Pxs , x = (x1 , . . . , xs )
X = X1 . . . Xs (X, A) P. , .. P P, ..
Px P ,
(x) = Ex g( )
. 10. :
269
....
() = E g().
Ex Px , a g P-
( ) .
10
:
1.
(....)
(X, A, P = {P , }) Rm . t Rm .
t ,
E t(x) = () ,
E , ..
x P .
,
t . . . t
(....),
var t 6 var t , t .
, , t ,
. .... ,
. , ,
. , m > 1 t = (t1 , . . . , tm ) , = (1 , . . . , m ) ,
var t = E (t )(t ) = {cov (ti , tj )},
A 6 B A B , B A (B A > 0).
.... ,
, -
270
3.
(
x T (x), T ).
1 ( ..). x = (x1 , . . . , xn ), ..
x1 , . . . , xn N (, 2 ). = (, 2 ), = R1 R1+ .
n
1X
t1 (x) = x
=
xk .. 1 () = ,
n
1
t2 (x) =
1
n1
n
X
1
(xk x)2 .. 2 () = 2 .
2 ( .. ). x
P0 (), ..
P (x = k) =
k
e , k = 0, 1, 2, . . . ,
k!
= (0, ). .. () = 1/. , t .. ,
X
k
E t(x) =
t(k) e = 1/ > 0,
k>0
X t(k)
k>0
k!
k!
k = e / > 0,
3 ( .. ). x , ..
P (x = k) =
k
e [1 e ]1 , k = 1, 2, . . . ,
k!
= (0, ) () = 1 e . t .. ,
X
k
E t(x) =
t(k) e [1 e ]1 = 1 e > 0
k>1
X t(k)
k>1
k!
k!
k = e [1 e ]2 = e + e 2 =
m>1
2
2m
(2m)!
> 0. ,
(
0, x ,
t(x) =
2, x .
. 10. :
271
.. . , 0 < () < 1.
2. ....
. t1 t2 . t1 (x) = t2 (x) P- , ..
P {t1 (x) = t2 (x)} = 1
( , t1 t2 ).
.
1
2
t3 = (t1 + t2 ), v = var t1 = var t2 .

t3 .. v 6 var t3 . ,
1
4
var t3 = [var t1 + var t2 + 2 cov (t1 , t2 )] 6 v,

cov (t1 , t2 ) 6 [var t1 var t2 ]1/2 = v.
, var t3 = v cov (t1 , t2 ) = v,
var (t1 t2 ) = var t1 + var t2 2 cov (t1 , t2 ) = 0,

P (t1 = t2 ) = 1.
. t1 t2 .... ,
c Rm (c, t1 ) (c, t2 ) ....
(c, ), , , (c, t1 ) = (c, t2 ) P-.., t1 = t2
P-..
3.
, (X, A, P = {P , })
(..)
L(x | ) =
dP
(x)
d
(X, A). .. t .
,
R1 , t . , , L,
t :
272
3.
1) {x : L(x|) > 0} . ,
, L(x|) > 0 x, .
2) L(x|)
Z
Z
d
L(x | )(dx) =
L(x | )(dx),
d
d
d
t(x)L(x | )(dx) =
t(x)
L(x | )(dx).
3) .
. t .. ,
var t >
[ ()]2
2 .

E
ln L
ln L = A()[t(x) ()] ( = ..)
A().
. :
Z
L(x | )(dx) = 1 ,
Z
t(x)L(x | )(dx) = () .
(1)
(2)
(1) (2) :
Z
Z
Z

L
1 L
ln L
0=
d =
L d =
L d,
L
Z
Z
L
ln L
d = t
L d,
() = t
() =
[t(x) ()]
ln L
L d.
(3)

,
L = L L;
Z
Z

ln L 2
ln L 2
2
2
[ ()] 6 [t(x) ()] L d
L d = var t E
,
. 10. :
273
, ln L
( x)
t () (-..)
[
A()].
1. .. L
Z
Z
2
d2
L(x
|
)(dx)
=
L(x | )(dx),
2
2
d
(1)
Z 2
Z
Z
Z 2

L
ln L
ln L 2
ln L
0=
d
=
L
d
+
L
d
=
L d,
2
2
..
E
, ,
ln L
2
var t >
= E
2 ln L
,
2
[ ()]2
.
2 ln L
E
2
2. ,
Z
Z
d
f (x, )(dx) =
f (x, )(dx).
d
(4)
f , X ,
R1 , (X, A).
,
1) x 7 f (x, ) ;
2) x X 7 f (x, ) ;
3)
d
f
d

f (x, ) 6 g(x),
g ( ) .
Z
f (x, )(dx)
X
(4). ,
1 7 . 6.
274
3.
4.
( ) . ,
, . , ...., , , .

(, , ....).
. .. t ,
,
ln L = A()[t(x) ()] ( ..),
(1)
A .
var t(x) =
()
.
A()
(2)
3,
(2) , (3) 3
ln L
(1). , , 3.
1. x = (x1 , . . . , xn ), x1 , . . . , xn N (, 2 )
2 .
n (y )2 o
1
f (y | ) = exp
.
2
2

L(x | ) =
n
Y
1
n
n
o
n
1 X
f (xk | ) = n (2) 2 exp 2
(xk )2 ,
n
1X
ln L = 2 (
x ), x
=
n
xk .
(1),
A() =
n
, t(x) = x
, () = .
2
(2) var t(x) = 2 /n. , x

.... 2 /n.
. 10. :
275
2. x = (x1 , . . . , xn ), .. x1 , . . . , xn .. N (, 2 ) .

n
n
n (x )2 o
n
o
Y
1 X
1
k
n
n
2 exp
L(x | )=
exp
=
(2)
(xk )2 ,
2
2
1
h n
n 1X
ln L = 3
(xk )2 2 .
(3)
(1),
A() =
n
n
1X
(xk )2 , () = 2 .
,
t(x)
=
n
3
1
(2)
var t(x) =
24
.
n
. , t ( ),
at + b ( ax + b), a b
. . ,
(3) , 2
,
.
3. x = (x1 , . . . , xn ), .. x1 , . . . , xn , ,
f (y | ) =
y
e , y = 0, 1, 2, . . . ,
y!
L(x | ) =
n
Y
1
f (xk | ) =
x1 +...+xn n
e
,
x1 ! . . . xn !
n
1
ln L = (
x ), x = (x1 + . . . + xn ),
n
x
/n.
4. .. x1 , . . . , xn
f (y | ) =
1
1
, y, R1 ,
1 + (y )2
n
xi
ln L = 2
.
1 + (xi )2
i=1
276
3.
(1),
( ) .
5. Bi(, n),
L(x | ) = Cnx x (1 )nx , x = 0, 1, . . . , n.
n
x
ln L =
.
(1 ) n
x/n ....
(1 )
.
n
6. x = (x1 , . . . , xn ) .. x1 , . . . , xn

f (y | ) = exp{A() B(y) + C() + D(y)}
( ).
,
n
n
n
n
o
X
X
Y
L(x | ) =
f (xk | ) = exp A()
B(xk ) + nC() +
D(xk ) ,
1
n
h X
i
C ()
1
ln L = nA ()
B(xk ) +
.
t(x) =
A ()
n
C ()
1X
B(xk ), () = ,
n
A ()
1
, t .
5. .
(.. ) .., , ,
, .. . , , t,
t () ( )
1 L
ln L =
.
L
, , t () ( )
. 10. :
277
1 L 1 2 L
1 sL
,
2 , ...,
.
L L
L s
(Bhattacharyya).
L(k) =
dk
kL
, (k) = k ()
k
, ,
, 3, ,
s .
. t .. .
var t >
s
X
aij ci cj ,
(1)
i,j=1
aij = E
L(i) L(j)
,
L
L
ci = ci ()
s
X
aij cj = (i) , i = 1, . . . , s.
(2)
j=1
A = {aij } A1 = {aij },
var t >
s
X
aij (i) (j) .
(3)
i,j=1
.
(1) (3) ,
t () =
s
X
i=1
ci
L(i)
L
(4)
ci = ci ().
. . . , 1 , . . . , s || = (, )1/2 .
||2 >
s
X
i,j=l
(i , j )ci cj ,
(5)
278
3.
c1 , . . . , cs
s
X
j=1
(i , j )cj = (, i ) i.
(6)
(5) ,
=
s
X
(7)
ci i
c1 , . . . , cs .
, L 1 , . . . , s
s
X
= projL =
ci i
1
L.
s
s
X
X
X
||2 > ||2 =
ci i ,
cj j =
(i , j )ci cj ,
1
(5). i i, (6). , || = ||,

L, (7).
. ..
(, ) = E ( ).
= t (), i = L(i) /L; i = 1, . . . , s.
||2 = var t, (i , j ) = aij , (, i ) = (i) . (1), (2), (4)

(5)(7) . , (, i ) = (i) .
Z
Z
L(x | )(dx) = 1,
t(x)L(x | )(dx) = ()
X
(i)
d =
L(i)
L d = 0,
L
L(i)
L d = (i)
L
E i = 0, E t i = (i) ,
(, i ) = E ti () E i = (i).
. , (1) (3) (
A ).
c = (c1 , . . . , cs ) , = ( (1) , . . . , (s) ) .
. 10. :
279
(2) Ac = , (1)
var t > (Ac, c). ,
(Ac, c) = (A1 , ) =
s
X
aij (i) (j) .
i,j=1
6.
, . , r , .. = (1 , . . . , r )
Rr . t(x) () , (. 3, ; .
2 3).
. t(x) .. () = (1 , . . . , r ).
r
X
var t >
aij ci cj ,
(1)
i,j=1
aij = aij () = E
ln L ln L
,
i
j
ci = ci ()
r
X
aij cj =
j=1
, i = 1, . . . , r.
i
A = {aij } A = {aij },
var t >
r
X
aij
i,j=1
.
i j
(2)
(1) (2) ,
t () =
r
X
ci ()
i=1
ln L
,
i
(3)
ci .
,
..
(, ) E ( )
= t (), i =
ln L
.
i
280
3.
||2 = var t, (i j ) = aij ,

Z
ln L
ln L
L
(, i ) = E (t )
= E t
= t
d =
.
i
. L(x|) ,

2 ln L
ln L ln L
aij = E
= E
.
i
i j
; .
1 3.
( ). ,
t ( ) -.
t(x) = (t1 (x), . . . , tm (x)) , () = (1 (), . . . , m ()) ,
n
o
i
var t = {cov (ti , tj )},

=
.
, t .. ,

var t >
A1
,
(4)
A = {aij }, aij = E
ln L ln L
,
i
j
C > D ( )
, C D .
, c = (c1 , . . . , cm ) Rm , b
t(x) = (c, t(x))
.. b() = (c, ()), (2),

b

b
b
var b
t > A1 ,
,
=
,...,
.

t=
var b
m
X
ci cj cov (ti , tj ) = (V c, c), V = var t,
i,j=1
m
X
b
=
ci i =
c,
. 10. :

(V c, c) > A1 c, c = (Bc, c),
B=
,
281
A1
(V c, c) > (Bc, c), ((V B)c, c) > 0 Rm ,

, V B .
, () =
var t > A1 .
(5)
, A
.
. x = (x1 , . . . , xn ), .. x1 , . . . , xn
f (y | ) = exp{A() B(y) + C() + D(y)}, = (1 , . . . , r ).

t(x) =
n
r X
B(xk )
n
1
.... () =
r

X
C A 1
1
i i
(3),

A 1
.
ci () = n
i
7.
,
: ,
t(x) .... ( ,

). :
t(x) ...., , t(x) ()

282
3.
1) , :
ln L = A()[t ()]
:
t () =
s
X
1
ci ()
L(i)
iL
, L(i) = i ;
L
2) , r:
X
ln L
t () =
ci ()
i
i=1
(. ):
t () =
n
X 2L
1 X L
ci () +
cij () + . . .
L
i
i j
... +
sL
c
() .
i1 . . . is i1 ...is

= (1 , . . . , r ) ,
Rr , .
,
Di =
, D = D11 . . . Drr , || = 1 + . . . + r ,
i
= (1 , . . . , r ), .
, , , 3, , () s .
. t(x) .. () = (1 , . . . , r ).
X
var t >
a c c ,
16||6s
16||6s
a = E
L() L()
, L() = D L,
L
L
c = c ()
X
a c = () , 1 6 || 6 s; () = D .
16||6s
. 10. :
283
,
X
L()
t () =
c ()
L
16||6s
c ,
.
,
(. 6).
1. x = (x1 , . . . , xn ), .. x1 , . . . , xn
N (1 , 22 ). = (1 , 2 ),
< 1 < , 2 > 0,
n
n
o
1 X
n
n
2
L(x | ) = 2 (2)
exp 2
(xk 1 )2 .
22
k=1
t(x) =
n
n
1 X
1X
(xk x
)2 , x =
xk , () = 22 .
n1
n
1
t () =
1
L
24
23
2L
L
2 .
n 1 2
n(n 1) 1
, t(x) .... (). , ,

,
. . ,
, .
2 (). ..,
22 , , .
(x) () = 22 :
R( | ) = E [(x) ()]2 .

t (x) =
n
1 X
1
(xk x
)2 =
S
n+1
n+1
1
R(t | ) < R(t | ) = var t .
284
3.
, c S, c R1 ,
t .
8. ....
T t .... , t(x) x T (x), .. t(x) = h(T (x))
h. , .
21, 22 . 2
.
E(|) = g() () g,
E (t(x) | T (x)) = h(T (x)).
() h. T (x)
, t1 (x) = h(T (x)) . E{E(|)} = E,
E t1 (x) = E {E (t(x) | T (x))} = E t(x) = (),

.e. t1 , t, .. (). ....
, var t > var t1 .
E (t(x) | T (x)) = E,T (x) t(x)
,
var t = E [t(x) ()]2 = E {E,T (x) [t(x) ()]2 } >
> E [E,T (x) t(x) ()]2 = E [t1 (x) ()]2 = var t1 .
11
:
1.

b
. b = (x)

b > L(x | ) ,
L(x | )
..
b = max L(x | ).
L(x | )
. 11. : 285
,
, , ...
Rs , x X L(x|)
( ), ... b
b
L = 0
ln L = 0 = ,
n
o
L
L
L=
,...,
= (1 , . . . , s ) .
1
s
, , ,
( s = 1)
ln L
= A()[t(x) ].
( b
) ... (x)
x T (x), T .
L(x | ) = g (T (x))h(x)
...
1. , x = (x1 , . . . , xn ) .. x1 , . . . , xn
(...)
N (, 2 ).
L(x | ) =
n
Y
k=1
1
1
exp 2 (xk )2
2
2
n
n
o
n
1 X
= n (2) 2 exp 2
(xk )2 .
> 0 ; = (1 , 2 ) = (, )
= R1 R1+ ... b = (b
,
b). L = 0,
n
1 X
ln L = 2
(xk ) = 0,
n
1 X
ln L = + 3
(xk )2 = 0
286
3.
b
= ,
b=x
=
n
1X
1
(x1 + . . . + xn ),
b2 =
(xk x
)2 .
n
n
1
2. , x = (x1 , . . . , xn )
x1 , . . . , xn ... Nr (, A). = (, A)
L(x | ) =
n
X
k=1
1
(2)r/2 |A|1/2
o
n
1
exp (A1 (xk ), xk ) =
2
= (2)
n
n
o
n
1 X 1
|A| 2 exp
(A (xk ), xk ) .
nr
2

L(x | ) = (2)
nr
2
n
n
1 X 1
|A| 2 exp
(A (xk x), xk x
)
2
o
n
(A1 (
x ), x ) ,
2
L(x|)
Rr
(A1 (
x ), x )
. A (a, , A1 )
,
=
b = x =
1
(x + . . . + xn ).
n 1
n
X
b= 1
A
(xk x
)(xk x
) ,
(, (a, b) = tr (ab ) - a b)
n
n
X
X
(A1 (xk x
), xk x
) =
tr (A1 (xk x
) (xk x
) ) =
1
n

X
1
b
= tr A
(xk x
)(xk x
) = n tr (A1 A)
1
L(x |
b, A) = (2)
nr
2
n
o
n
n
b .
|A| 2 exp tr (A1 A)
2
. 11. : 287
b ... ,
, b = (b
, A)
A
L(x | , A) 6 L(x |
b, A) Rr .
b
L(x |
b, A) 6 L(x |
b, A)
A. ( ):
n
2
ln |A|
n
b 6 n ln |A|
b n tr Ir ,
tr (A1 A)
2
2
2
Ir r r,
b tr (A1 A)
b + r 6 0.
ln |A1 A|
b ( A A
, n > r),
b=B
b2,
A = B2, A
b . C=(B 1 B)
b (B 1 B)
b ,
B B
C . , f f (A) = |A|
f (A) = tr A, f (AB) = f (BA)
, ,
b = f (B 1 B 1 B
b B)
b = f (B 1 B
b BB
b 1 ) = f (B 1 B(B
b 1 B)
b ) = f (C),
f (A1 A)

ln |C| tr C + r 6 0,
r
X
i=1
(ln i i + 1) 6 0,
1 , . . . , r C,
|C| = 1 . . . r , tr C = 1 + . . . + r .
, , i > 0 ln x 6 x 1 x > 0.
,
b n2 .
b = (2e) nr
2 |A|
L(x |
b, A)
288
3.
L(x|)
max xk
. 14.
3. x = (x1 , . . . , xn ) .. x1 , . . . , xn [0, ], > 0,
L(x|) =
n
Y
1
k=1
1{06xk 6} = n 1{max xk 6}
x1 > 0, . . . , xn > 0; , , 1A A
b = max(x1 , . . . , xn ).
(. . 14). , ... (x)
2.
, , ,
; .. , . x1 , x2 , . . . . tn = tn (x1 , . . . , xn ) , n x1 , . . . , xn .
tn n,
n . , tn , ,
. .
tn , n, ( ..) , {tn } . , , ..
P {|tn | > } 0 n
> 0 ( !).
, ,
, (), tn ..
(), tn () (P ).
. 11. : 289
. ,

.
( ). , tn , {tn } .
, tn ,
(
0 n 6 264
tn =
tn n > 264
. , ,
.
3. ...
, n > 1 L(x|) = Ln (x|)
Ln (x | ) = f (x1 | ) . . . f (xn | ), x = (x1 , x2 , . . .),
, .. x1 , x2 , . . . f (y|). , F .. x1 f (y|) =
= (dF / d)(y).
1: .
.
1. Y = {y : f (y|) > 0} .
, f (y|)
Y .
2. 1 = 2 f (y|1 ) = f (y|2 ) .. ( ).
3.
E0 ln
f (x1 | 0 )
= ( | 0 ) = ().
f (x1 | )
0 .
4. n > 1 ... bn ( )
.
1. P {bn = 0 } 1 n .
0
290
3.
1. 3 0 ,
P {bn = } 1 n ,
.. ... bn .
. 1 . , () > 0 () = 0
= 0 .
g(x) = ln x (0, ) 2
E = 1, E = E0 = f (x1 | )/f (x1 | 0 ),

E =
f (y | )
f (y | 0 )(dy) = 1.
f (y | 0 )
2 .
n () =
n
1 X f (xk | 0 )
ln
.
n
f (xk | )
1
En () = (),
.. n () () . 6= 0
() > 0, > 0 N ,
P {n () > 0} > 1 n > N,
(1)
P = P0 . ,
, (1) 6= 0 .
3 . An = {n () > 0}. n () > 0 6= 0 Ln
T
(x|0 ) > Ln (x|) 6= 0 6= 0 , P (bn = 0 ) = P
An , ,
6=0
|| = m, (1)
X
[
Acn 6
P (Acn ) < (m 1)
P (bn 6= 0 ) = P
6=0
6=0
n > N , > 0 P (bn 6= 0 )

0.
2: .
.
1. f (y|) Y .
2.
( , , ).
. 11. : 291
3. Y .
4. f (y|) .
5. 1 = 2 f (y|1 ) = f (y|2 ) y.
6.
E0 ln
f (x1 | 0 )
= ( | 0 ) = ()
f (x1 | )
() . 0
.
7. bn
Ln (x|). , > 0, 0 Ln (x|0 ) > L(x|)
(, 0 ) = , bn , .. (n , 0 ) < .
2. > 0
P0 {(bn , 0 ) < } 1 n .
2. 6 0 ,
> 0
P {(bn , 0 ) < } 1 n ,
.. ... bn .
. 1 . , 1,
, () > 0 () = 0 = 0 .
2 . 0 , , 0 > 0 , 0 < < 0 0 , ,
S = { : (, 0 ) = }
. 1 ()
,
= min () > 0.
S
3 . 1 > 0 1 > 0, |(1 ) (2 )| < 1 (1 , 2 ) < 1 , 1 S,

2 S.
4 .
g(y, 1 , 2 ) = ln
f (y | 1 )
.
f (y | 2 )
292
3.
g Y S S
, , , g(y, , ) = 0, , , 1 > 0 1 > 0,
|g(y, 1 , 2 )| < 1
y Y, (1 , 2 ) < 1 , 1 S, 2 S.
n () =
n
1 X f (xk | 0 )
ln
2
f (xk | )
1
n
X

1

|n (2 ) n (1 )| =
g(xk , 1 , 2 ) < 1
n
1
1 , 2 . , 1 3 4
.
5 . 1 > 0 U = { : ( , ) < 1 }. U , S,
S
U , S1 S, S.
6 . .. ,
n () n E0 n () = (). , 1 > 0, > 0, 1 S N ,
P {|n (1 (1 )| > 1 } < n > N ; P = P0 .
, 1 > 0, > 0 S1 S
N ,
n[
o
P
(|n () ()| > 1 ) < n > N,
S1
P {|n () ()| 6 1 S1 } > 1 n > N.

, , S1
S, 1 31 .
7 . , c > 0 {|n () ()| 6 c S} P -
n = n (x1 , . . . , xn ) sup |n () ()|
S
.. n () = |n () ()| ,
x1 , . . . , xn n () S
. 11. : 293
S ( S) Sc S (
).
n = sup n () = sup n ().
S
Sc
, (!) .., ..
8 . , |n (1 ) (1 )| 6 1 1 S1 |n ()
()| 6 31 S. , S1 |n (1 ) (1 )| 6 1 ,
U1 S (, 1 ) < 1 , , 4 3
|n () n (1 )| 6 1 |() (1 )| 6 1 ,
|n () ()| 6 31 U1 S. ,
U1 S, 1 S1 , ( 5 ) S.
,
P {n () 6 31 S} > P {n () 6 1 S1 }.

P {|n (6) ()| 6 31 S} > 1 n > N.
9 . ,
n () 6 31 n () > () 31 > 31 > 0
( 1 < /3)
P {n () > 0 S} > 1 n > N.
n () > 0 S Ln (x | 0 ) > Ln (x | ) S (bn , 0 ) < .
P {(bn , 0 ) < } > 1 n > N.
. ,
1, 4 ,
g(y, 1 , 2 ) = ln
f (y | 1 )
f (y | 2 )
Y Y 0 0 , 0 0 . , f (y|)
y g
( ).
294
3.
4. ...
,
b = bn ...
b
, .. .. n(n )
N (0, A ).
, n > 1
L(x | ) = Ln (x | ) = f (x1 | ) . . . f (xn | ), x = (x1 , x2 , . . . , xn ).
.
1. f Y f (y|) > 0 (y, )
Y .
2. Rs .
3. x b
(.. ,
).
4. b = bn .
5. f (y|) (..)
= 0 , ..
n
o
2
f (y | ) , = (1 , . . . , s ) ,
i j
i
2
i j
f (y | )(dy) =
f (y | )(dy) =
f (y | )(dy),
i
2
f (y | )(dy) = 0 .
i j
6.
F (x1 | ) =
2
ln f (x1 | ) =
2
2
ln f (x1 | ) ,
i j
kF (x1 | ) F (x1 | 0 )k 6 c(x1 | 0 ) g( | 0 ),
c(x1 | 0 ) > 0 E0 c(x1 | 0 ) < ,

g(|0 ) 0 g(0 |0 ) = 0.
7. J0 = J(0 ) ;
n ln f (x | ) ln f (x | ) o
1
1
J() = E
.
i
. 11. : 295
. .. n(bn 0 ) n
Ns (0, J01 ), ..
P0 { n(bn 0 ) < u} P ( < u) n

u Rs , .. Ns (0, J01 ).
. 57 0 ,
P { n(bn ) < u} P ( < u) n

0 u Rs , a N (0, J()1 ).
. 1 .
b 0 6 t 6 1;
g(t) = u(x | t ), t = t (x) = (1 t)0 + t;
n
o
ln L
ln L
ln L
u(x | ) =
=
,...,
.
b = 0 g(1) = g(0) +
g(1) =
ln L(x|)
u(x | 0 ) = g(0) =
Z1
Z1
g (t) dt,
g (t) dt.
w(x | ) =
X
2
ln L(x | ) =
F (xk | ),
2
A=
1
n
Z1
0
w(x | t ) dt
g (t) = w(x | t ) (b 0 ),
u(x | 0 ) = nA(b 0 ),
1
u(x | 0 ) = A n(b 0 ).
n
n
n
1
1 X
1 X
u(x | 0 ) =
ln f (xk | 0 ) =
(k E0 k ),
n
n
n
1
(1)
296
3.
k =
ln f (xk | 0 ), E0 = E0 , E0 k = 0,
(. 5)
Z
Z
ln f (y | 0 ) f (y | 0 )(dy) =
f (y | 0 )(dy) =
E0 k =
f (y | 0 )(dy) =
1 = 0.
1
.. u(x|0 ) n
n
Ns (0, J0 ), .. 1 , 2 , . . . ,

E0 1 = 0, var 0 1 = E0 1 1 = J0 .
2 . ,
A J0
(2)
1
n. , A0 = w(x|0 ).
n
A=A0 + (A A0 ), , A0 J0 , A A0
0 .
A0 =
n
1X
k , k = F (xk | 0 ),
n
1
.. () 1 , 2 , . . .
E0 1 = J0
(3)
(. 3 ), ,
A0 J0 .
, 6
Z1
Z1

1

1
|A A0 | 6
w(x | t ) dt
w(x | 0 ) dt 6
n
n
0
1
6
n
Z1
0
n Z
1X
|w(x | t ) w(x | 0 )| dt 6
|F (xk | t ) F (xk | 0 )| dt 6
n
1
n Z
1X
6
c(xk | 0 )g(t | 0 ) dt = n n ,
n
1
. 11. : 297
Z
n
1X
n =
c(xk | 0 ), n = g(t | 0 ) dt.
n
1
,
n const n 0
(4)
, n n 0 , (2).
, n const , .. c(x1 |0 ), c(x2 |0 ), . . . , .
, n 0 .
, n b .
, > 0 > 0 , 0 6 g(|0 ) < ,
| 0 | < . , g(t |0 ) < |b 0 )| < , , 0 6
6 n () < |b 0 | < .
P0 (n > ) 6 P0 (|b 0 | > ) 0 n .
3 . (3). 5
Z
Z
Z
2
2
0=
f (y | )(dy) =
f d =
i j
i j
Z h
ln f
f d =
i j
2 ln f
ln f ln f
2 ln f
ln f ln f
+
f d = E
+ E
i j
i
j
i j
i
j
= 0 ,
E0 1 = E0
ln f
2
ln f (x1 | 0 ) = E0

ln f
= J0 .
4 . .
1. An
I, (..
P {kAn Ik > } 0 > 0), A1
n I
( n , An , , A1
n = C, C
).
2. An
- A, n N (0, B), An n
N (0, ABA ).
298
3.
1, (2) J0 , A1
J01 , 2 (1) ,
..
1
n(bn 0 ) = A1 u(x | 0 )
n
Ns (0, ),
= J01 J0 (J01 ) = J01 ,
.
. 3, 4 :
bn ,
1)
ln Ln (x|) = 0 p = bn ,
2) bn 0 (P ) n .
0
12
:
1.
1. , x1 , . . . , xn
xi = 0 + i , i = 1, . . . , n,
i (). () .
n
X
,
2i .

1
b = (x1 + . . . + xn ) = x
.
n

().
2. , x1 , . . . , xn
xi = 0 + 1 ti + i ,
= (0 , 1 ) , t1 , . . . , tn , i
(, x(t|) =
= 0 + 1 t, 0 1 t1 , . . . , tn
. 12. :
299
1 , . . . , n ). b
n
n
X
X

2i =
(xi 0 1 ti )2 .
1
2.
:
x = A + , E = 0, var = 2 I,
x = (x1 , . . . , xn ) ( );
= (1 , . . . , s ) ;
= (1 , . . . , n ) ( );
var = E( E)( E) = E = {Ei j }. , ..
1 , . . . , n , , Ei = 0, E2i = 2 ,
var = 2 I, I = In n n. A
n s (n , s ) .
b
b = (x)
b 2.
min(, ) = min |x A|2 = |x A|
b -.
1. A A = A x.
. b .
b v = A(b ), A u = A x A Ab = 0
u = x A,
|x A|2 = |x Ab + A(b )|2 = |u + v|2 = |u|2 + |v|2 + 2(u, v) =
b 2,
= |u|2 + |v|2 > |u|2 = |x A|
(u, v) = (u, A(b )) = (A u, b ) = (0, b ) = 0.

. det(A A) 6= 0.
. b = Bx, B = (A A)1 A .
2. 1 . E b = , .. b .
2 . var b = 2 (A A)1 .
1
b 2 2 .
3 .
b2 =
|x A|
ns
300
3.
. 1 . E b = EBx = BEx = BA = , BA = Is .
2 .
b = Bx = B(A + ) = + B,
var b = E(b )(b ) = EB B = B(E )B = 2 BB = 2 (A A)1 .

b 2 = (n s) 2 .
3 . , E|x A|
b 2 = E|A + AB(A + )|2 = E| AB|2 =

E|x A|
= E| P |2 = E( P , P ) = E( P , ) =
= E(, ) E(, P ) = n 2 E(, P ),
P = AB = A(A A)1 A P = P = P 2 ,
( P , P ) = (P ( P ), ) = (P P 2 , ) = 0.
, E(, P ) = s 2 . ,
tr (AB) = tr (BA), (x, y) = tr (xy ),
x = (x1 , . . . , xn ) , y = (y1 , . . . , yn ) .

E(, P ) = E tr (P ) = E tr ( )P = tr (E )P =
= 2 tr P = 2 tr (AB) = 2 tr (BA) = 2 tr Is = 2 s.
3.
.
. var b 6 var t t .
1. A B A > B ,
A B > 0, .. A B . , A ,
(Ax, x) > 0 x.
. 1 . t(x)
, t(x) = Dx, D ( s n)
Et(x) = EDx = DEx = DA = ,
..
DA = Is .
. 12. :
301
2 . t ,
t(x) = Dx = D(A + ) = + D,
var t = E (Dx )(Dx ) = ED D = D(E )D = 2 DD .

,
var b = 2 BB = 2 (A A)1 .
DD > (A A)1
( DA = Is ).
(A A)1 = DA(A A)1 (DA) = DA(A A)1 A D = DP D ,
DD (A A)1 = D(I P )D , ,
Q = In P > 0.
, Q = Q = Q2
(Qx, x) = (Q2 x, x) = (Q Qx, x) = (Qx, Qx) > 0 x,
.. Q .
2. b x Ab .
,
= (1 , . . . , s ) = (1 , . . . , n )
, ..
cov (i , j ) = 0 i, j, .. E( E)( E) = 0.

x Ab = A + AB(A + ) = AB = P = Q,
b = QE = 0,
E(x A)
b A)
b = 0.
E (x
b A)
b = EB(A + ) Q = EB Q = (E )Q = 2 BQ
E (x
BQ = B BAB = B B = 0.
302
3.
3. 1 , . . . , s
A A ( s s). n
,
E|b |2 0 min(1 , . . . , s ) +.
E|b |2 = E(B, B) = E tr B(B) = tr B(E )B = 2 tr BB =

h
i
1
1
= 2 tr (A A)1 A A(A A)1 = 2 tr (A A)1 = 2
+ ...+
.
1
,
- b , E|b |2 0.
4.
, x1 , . . . , xn
(1)
xi = f (ti ) + i , i = 1, . . . , n,
f = (1 , . . . , s ) , ; t1 , . . . , tn ( f ) ; () 1 , . . . , n
Ei = 0, var i = 2 .
f (t) = f (t, ) , ,
f (t, ) t.
, t x.
f (t, )
f (t, ) = 0 + 1 t,
f (t, ) = 0 + 1 t + . . . + m tm ,
f (t, ) = 0 + 1 ln t,
1
t
f (t, ) = 0 + 1 t + 2 .
, , (1):
g(xi ) = f (ti , ) + i , i = 1, . . . , n,
g .
, b -, t
b
x = f (t, )
( , )
.
. 12. :
303
1 ( ). ,
g(x) = x, f (t, ) = 0 + 1 t.

=
0
1
1
1
, A= .
..
t1
t2
..
.
1 tn
(A A)b = A x
, x
= (x1 , . . . , xn ) ,
"
#

P

P b
0
Pn P t2i
Pxi
=
,
ti
ti
ti xi
b1
1X 2 1X
1X
1X
ti
xi
ti
ti x i
1X
1X
n
n
n
n
0 =
=
xi b1
ti ,
X 2
X
n
n
1
1
t2i
ti
n
n
1X
1X
1X
ti x i
ti
xi
n
n
b1 = n
.
X 2
X
1
1
t2i
ti
n
n
x = b0 + b1 t.
2 ( ). ,
g(x) = x, f (t, ) = 0 + 1 t + . . . + m tm .

0
1
..
.
=
, A =
.
1
m
P
P2
Pn Pti2
Pti3
ti
ti
ti
...............
P m P m+1 P m+2
ti
ti
ti
t1
t2
..
tn
t21 . . .
t22 . . .
.....
t2n . . .
tm
1
tm
2
.
..
m
t1
b
P
0
. . . P tm
Pxi
i
ti xi
b1
. . . tm+1
i
. =
.
.
.
. . .P
. . . . .
.
P
m
. . . t2m
b
i
t
x
m
i i
304
3.

x = b0 + b1 t + . . . + bm tm .
3 ( ). ,
g(x) = ln x, f (t, ) = 0 + 1 t.

P " b # P
n
0
ln xi
P Pti2
P
=
,
ti
ti
ti ln xi
b1
1X 2 1X
1X
1X
ti
ln xi
ti
ti ln xi
1X
1X
n
n
n
0 = n
=
ln xi b1
ti ,
X 2
X
n
n
1
1
t2i
ti
n
n
1X
1X
1X
ti ln xi
ti
ln xi
n
n
.
b1 = n
X 2
1X 2
1
ti
ti
n
n
ln x = b0 + b1 t, x = exp{b0 + b1 t}.
. 1 . , .. x t x = 0 + 1 t {x1 , . . . , xn } {t1 , . . . , tn }
;
P (t = tk , x = xk ) =
1
,
n
xk = 0 + 1 tk , k = 1, . . . , n.
Ex = 0 + 1 Et, cov (x, t) = 1 var t,
1X
1X
xi 1
ti ,
n
n
X
X
1
1
1X
x i ti
xi
ti
cov (x, t)
Ext ExEt
n
n
n
1 =
=
=
.

2
var t
1X 2
1X
Et2 (Et)2
ti
ti
n
n
0 = Ex 1 Et =
, = (0 , 1 ) - b = (b0 , b1 ) 1.
-.
. 12. :
305
2 . . , , .. x t
x = 1 e1 (t) + . . . + s es (t)
P (t = tk , x = xk ) =
1
,
n
xk = 1 e1 (tk ) + . . . + s es (tk ), k = 1, . . . , n.
Exe1 (t) = 1 Ee1 (t)e1 (t) + . . . + s Ees (t)e1 (t),

.................................
Exes (t) = 1 Ee1 (t)es (t) + . . . + s Ees (t)es (t),
n
n
1X
1X
Exei (t) =
xk ei (tk ), Eei (t)ej (t) =
ei (tk )ej (tk ).
n
n
1
k=1
= (1 , . . . , s ) (!)
xk = 1 e1 (tk ) + . . . + s es (tk ) + k , k = 1, . . . , n,
Ek = 0, Ei j = 2 ij .
5.
, = (1 , . . .
. . . , n ) . ,
1
b 2 2 (s)-.
1 .
|A( )|
2
1
b 2 2 (n s)-.
2 . 2 |x A|
1
b 2
|A( )|
s
3 .
Fs,ns .
1
b 2
|x A)|
ns
4 . - .
. ,
.. N (0, I) n- Rn .
1. H Rn , .. |prH |2 2 (dim H). prH H, |x| x Rn .
306
3.
2. H1 H2 Rn . ..
prH1 prH2
.
3. ..
1
|pr |2
dim H1 H1
1
|pr |2
dim H2 H2
Fdim H1 ,dim H2 .
1. U Rn , .. U N (0, U IU ) = N (0, I). , {e1 , . . . , en } Rn , {e1 , . . . , ek } H, k = dim H. xi = (, ei ), x =
= (x1 , . . . , xn ) . 7 x , x N (0, I).
prH = x1 e1 + . . . + xk ek , .. x1 , . . . , xk N (0, 1), .. |prH |2 = x21 + . . . + x2k
2 (k)-.
2. {e1 , . . . , en } ,
{e1 , . . . , ei1 } {ei1 +1 , . . . , ei1 +i2 } H1 H2 ; i1 = dim H1 , i2 = dim H2 .
1 = prH1 =
i1
X
xi ei ,
i=1
2 = prH2 =
iX
1 +i2
xi ei , xi = (, ei ).
i=i1 +1
x = (x1 , . . . , xn ) , ,
N (0, I); .. x1 , . . . , xn ,
1 2 .
3. 3 1, 2 .
1 , 2 , 3 . 2, 3
A(b ) = P , x Ab Q,
P : Rn Rn Q : Rn Rn (.. P 2 = P, Q2 = Q) P + Q = I
. 12. :
307
. P s (
A (A A)1 A n s, s s s n
s).
H1 = {P x : x Rn }, H2 = {Qx : x Rn }.
H1 H2 Rn .
H1 H2 ; ,
(P x, Qy) = (x, P Qy) = (x, P Qy) = 0,

P Q = P P 2 = 0. P + Q = I, Rn = H1 + H2 ,
dim H2 = n dim H1 = n s.
1
= .
N (0, I). 1 3,
,
1
1
|P |2 = 2 |A(b )|2 ,
2
1
1
b 2.
|prH2 |2 = 2 |Q|2 = 2 |x A|
|prH1 |2 =
4 . x =
= A +
n
o
n
1
L(x | ) = (2) 2 n exp 2 (x A, x A) .
2

(x A, x A) = |x A|2
. -.
.
o
n
n
1
b 2 + |A(b )|2 ) =
L(x | ) = (2) 2 n exp 2 (|x A|
2
n
1
n
n
b 2 + |A|
b 2 )+
2
= (2) exp 2 (|x A|
2
o
n
o
1 b
1
+ 2 (,
A A) exp 2 |A|2
A A ( s s) ,
b
T (x) = (,
b2 ),
b2 =
1
b2
|x A|
ns
. (. 2 2)
b2
.... 2 , b .... .
308
3.
13

1.
(X, A, P = {P , }) .
S
X x 7 S(x)
,
S 1 () = {x : S(x)} A
(1)
.
1. (1) ,
P { S(x)}
(2)
[: , (2) (1)]. , (2) , S(x) ( , , .. .. x, P = {P , },
: x P ).
2. S(x)
, , .
1 = inf P { S(x)}
S(x),
() .
,
P { S(x)} > 1 .
,
P { S(x)} = 1 .
1. , .. x1 , . . . , xn N (, 2 ) 2 6= 0. ..
x
1
n
, x
= (x1 + . . . + xn ),
N (0, 1),
. 13.

o
n
o
n

x

1
P | x
| 6 c
= P n
6 c =
309
Zc
u2
2
du = 1 .
, c = 3, = 0,00270. . .
P {| x| 6 3/ n} = 0,99730. . . .
( ).

h
i
S(x) = x
c , x
+ c
n
, ,
S(x) , 1 .
2 (). , 2
.
n
1 X
s =
(xk x
)2 , s > 0 ..
n1
2
..
x
s2
n
(n 1) 2
N (0, 1)
2 (n 1)-, ..
x
n
S(n 1) n 1 .

o
n
n
o

s
x

P(,) | x
| 6 c
= P(,) n
6 c =
s
= Fn1 (c ) Fn1 (c ) = 1 ; Fn1 (c ) = 1
,
2
Fn1 n 1 .
c = 3
n
o
3s
P(,) | x
| 6
> 0,99 n > 15
n
( (, ) n).
310
3.
2.
L(x|) .

S(x)
(...),
1 S(x), L(x | 2 ) > L(x | 1 ) 2 S(x).
...

L(x|)
S(x) = { : L(x | ) > L(x)}, (1)

L(x)
b
(x)
{z }
S(x)
. 15.
L(x)
x. , (1) ... ( , S 1 () A
; ,

L(x|) L(x) ). , S(x)
...
L(x) = min L(x | )
S(x)
( x L(x|) S(x) !), S(x)

b
b
(1). (x)
... S(x) 6= 0, (x)
S(x) (.
. 15).
3.

... . ...

S(x) = { : (x | ) > c },
(x | ) = L(x | )/ sup L(x | ).
c
. x = (x1 , . . . , xn ) x1 , . . . , xn -
. 13.
311
, n .. 2 ln (x|)
2 - ( ).
2 - , n c

P { S(x)} = P {(x | ) > c } = P {2 ln (x | ) 6 2 ln c }
P {2 6 2 ln c } = .
, 2 -
(. ).
4.
. 17 4 . 11.
n t
P0 {2 ln (x | 0 ) < t} P {2 (s) < t}.
. 1 . 4 . 11,
b ln L(x | 0 )],
2 ln (x | 0 ) = 2[ln L(x | )

b 0 b +
b = ln L(x | ),
ln L(x | 0 ) ln L(x | )
1
b
b + R = 1 (A0 n(b 0 ), n(b 0 )) + R,
+ (nA0 (0 ), 0 )
2!
n A0 J0 , R 0 P0 = P0 .
2 . C.. n(b 0 ) ( ..
0 , N (0, J01 )). ..
2 ln (x|0 ) .. (J0 0 , 0 ).
3 . , .. (J0 0 , 0 ) 2 (s).
, J0 ,
J0 = B 2 , B = B. 0 = B0 ,
(I0 0 , 0 ) = (0 , 0 )
.. 0 Ns (0, Is ), Is
s s (. E 16 . 2).
5.
3, 4 ( ) . g(). g G Rn .
312
3.
17 4 . 11, g.
8. 0 , 1
0 1 (, ) 7 = (, ) Rs
,
1) g((, )) = g() g : 1 G ;
2) 0 Rk ()
n o
j
C = C(0 ) =
=
k = s r 0 = 0 , 0 ()
g(0 ) = g(0 );
3) = 0 ()
= (0 , 0 ) 0
.
g G
(x | g) =
max L(x | )
: g()=g
max L(x | )
. n t
P0 {2 ln (x | g0 ) < t} P {2 (r) < t}, g0 = g(0 ).
. 18
0 ,
P {g() G(x)} 1 n ,
G(x) = {g G : (x | g) > c }
c
P {2 (r) 6 2 ln c } = 1 , 0 < < 1.
, G(x)
g() . ,
P {g() G(x)} = P {(x | g()) > c } =
= P {2 ln (x | g()) 6 2 ln c } P {2 (r) 6 2 ln c } = 1 .
. , 0 Rs 0 , ( Rs ),
. 13.
313
0 , k.
(x) =
max L(x | )
max L(x | )
17 0 0 ,
P {2 ln (x) < t} P {2 (s k) < t}
n 0 t.
,
= (, ) = + , 0 1 ,
1 0 g() = (
, = 0 + 1 = { + : 0 , 1 }).
. 1 .
L() = L(x|),
L () = L (x | ) = L(x | (, 0 )),
f (y | ) = f (y | (, 0 )), 0 ;
b ... ;
b ... ;
(x | ) =
L(x | )
L (x | )
; (x | ) =
.
b
L (x |
b)
L(x | )
0 0 , 0 = (0 , 0 ),
L (x |
b)
(x | 0 )
(x | g0 ) =
=
b
L(x | )
(x | 0 )
2 ln (x | g0 ) = 2 ln (x | 0 ) + 2 ln (x | 0 ) =
b + 2[ln L (x | 0 ) ln L (x |
= 2[ln L(x | 0 ) ln L(x | )]
b)].
2 .
1
(A x, x) + R,
2! 0
1
ln L (0 ) ln L(b
) = (A0 y, y) + R ,
2!
b =
ln L(0 ) ln L()
n( 0 ), y = n(b
0 ),
n
o
n
o
2
2
ln
L(
)
0
1
1 ln L (0 )
A0 =
, A0 =
,
x=
i j
i j
(1)
314
3.
3 .
R 0, A0 J0 P0 .
, , f (y | ), L(x | )
, 0 , f (y | ), L (x | )
, , 17 ( 4 . 11) . , 7 ,
n
o
ln f (x1 | ) ln f (x1 | )
J0 = J (0 ) = E0
=
i
j
=0

ln f
ln f
= E0
;
nX
o
ln f
ln f
ln f m
=C
=
m i
C k ( J0 k k
).
6 :
w() = W (()),
w
W
=C
,
X W
2w
2W
= C 2 C +
C ,
m m
2
w
=
w
2w
,
=
i
2
2w
, C=
i j
2 m
= (1 , . . . , s ), Cm =
.
2
n o
j
,
i
4 . 3 (1) ,
R 0, A0 J0 n
P0 = P0 = P0 .
5 .
u=
v = Cu
1 ln L(0 )
1 ln L ()
v=
,
n
n
ac
ac
u = J0 x, v = J0 y,
. 13.
315
ac
n = n , .. n n
( ). , .. u v
Ns (0, J0 ) Nk (0, J0 ) .
6 .
ac
ac
2 ln (x | g0 ) = (J0 x, x) (J0 y, y) =
= (u, J01 u) (d, J01 v) = (J01 u, v) (C J01 Cu, u) = (Au, u),
A = J01 C J01 C.
ac
2 ln (x | g0 ) = (A, ),
.. N (0, B), B = J0 .
, .. (A, ) 2 (r).
7 . ,
A = ABA.
, J0 = CBC ,
ABA = (I C J01 CB)(B 1 C J01 C) =
= B 1 C J01 C C J01 C + C (J01 CBC )J01 C =
= B 1 C J01 C = A.
8 . . ..
N (0, B), .. (A, ) 2 (m), ( ) A = ABA tr (AB) = m (!).
9 .
tr (AB) = tr (Is C J01 CB) = s tr (J01 CBC ) = s tr Ik = s k = r,
Ik k k.
6.
. .
(
) G(x) g()
G(x) = {g : (x | g) > c },
(x | g) = max L(x | )/ max L(x | ).
: g()=g
P {g() G(x)} > 1 .
316
3.
n .. 2 ln (x|g()) () 2 (r), r - g() (. 5), c

P {2 (r) 6 2 ln c } = 1 .
, .. 2 ln (x|g()) 2 -, ,
n .
n > 100 ( n > 50).
..
(x|g()) .., , ,
c .
. .

H = (1 , . . . , s ). :
1) H : = 0 ;
2) H : 1 = . . . = s ;
3) H : c1 1 + . . . + cs s = 0;
4) H : f () = f0 , f () , a f0 .
H :
H : 0 .
H (x) =
max L(x | )
max L(x | )
(. 5), n
x = (x1 , . . . , xn )
H (x) > c
1 , c
P {2 (s k) < 2 ln c } = 1
(s k 0 ).
1
1 = 0,9 0,95, 0,99, 0,995.
. 14.
317
, , 1 = 0,99. H, 99% H (x) > c . , H (x) < c ,

( H),
H .
H (x) > c , , H x = (x1 , . . . , xn ) (
H ).
, H (x) > c
1 = 0,9
H ( ).
( ). ,
, , , .
14

1.
,
.. ( ) ,
.. . .. p(x), ..
= a +
| det a|1 p[a1 (x )],
a ; , , .
,
= (, a) x, x ..
L(x | ) = | det a|1 p[a1 (x )], = (, a).
det a = |a| | det a| = kak (
kak a).
. x1 , . . . , xn ,
r- Nr (m, ). x1 , . . . , xn
318
3.
m . , .
x = (x1 , . . . , xn ).
, x r n-
. x
x = ay + ,
= (m, . . . , m) -
| {z }
n
0
a=
.
0
0 ...
...
....
0 ...
0
0
, = {ij },
.
y = (y1 , . . . , yn )
p(y) =
n
Y
k=1
1
1
exp (yk , yk ) .
2
(2)r/2
x
L(x | ) = kak1 p[a1 (x )], = (, a).
. xk
xk = yk + m yk f (yk ), ,
p(y) = f (y1 ) . . . f (yn ),
, .. xk
kk1 f ( 1 (xk m))
, , x
L(x | ) = kak1 p[a1 (x )], = (, a).
2. = (, a)
,
x
x = ay + ,
a , y , ,
. 14.
319
a . .
1. X, .. ,
.. x, Rn .
2. .. x
L(x | ) = kak1 p[a1 (x )], = (, a),
M X = Rn , a A
n n.
3. M X.
4. A , ..
) a A , a1 A;
) a, b A ab A.
, e A, a A, a1 A
e = aa1 A.
5. M A ,
M, a A a M.
, , Y
M , .. X = M + Y ,
y Y, a A ay Y.
6. ,
.. (: ) x X
L(x|) = (, a) .
, L(x|, a) M
, L(x|, a)
a A .
, .
1. , .. x
x = ay + ,
.. y p(y).
, .. y ,
p(y).

L(x | ) = p[a1 (x )]

x X, M x X,
x X, a A ax X.
320
3.
2. , ,
.. x Rn . , ,
.. y Rn , ,
p(y) , X
Rn .
3.
b = (b
, b = (x)
, b
a) = (b
(x), b
a(x)) ,
b = max L(x | ),
L(x | )
.
b(x) b
a(x)
.
b(x ) =
b(x) ,
b
a(x ) = b
a(x),
b(ax) = ab
(x),
x X, M, a A.
b
a(ax) = ab
a(x)
.
4.
t(x|) x ( ) ,
.. t(x|) . ,
t
P {t(x | ) < t}
.
t(x|) ( ), , 0 < < 1,
t1 t2 , , ,
P {t1 6 t(x | ) 6 t2 } = .
S(x) = { : t1 6 t(x | ) 6 t2 }
. 14.
321
.
, t(x|).
.
t(x | ) =
L(x | )
max L(x | )
(1)
. ,
t(x|) = t[a1 (x )],
t(x) =
.
t(x|) =
(2)
p(x)
.
kb
ak1 p[b
a1 (x
b)]
(3)
kak1 p[a1 (x )]
.
kb
a(x)k1 p[b
a1 (x)(x
b(x))]

b(x) b
a(x) (. 3), y =
= a1 (x ), x = ay + , ,
1
b
a
(x)(x
b(x)) = b
a
|b
a(x)| = |a| |b
a(y)|.
(y)a1 (ay + ab
(y) ) = b
a1 (y)(y
b(y)),
(2)(3). , e(A) 1 0
, A .
Z
P {t(x | ) < t} e{t(x | ) < t}L(x | ) dx =
=
e{t[a
(x )] < t}kak1 p[a1 (x )] dx =
e{t(y) < t}p(y) dy
X
1
y = a (x ). ,
= (, a), .. t(x|)
.
5.
= (, a)
t(x|), (1)
,
322
3.

0 6 t(x | ) 6 1
x .
b
L(x) = max L(x | ) = L(x | (x)).
S(x) = { : t(x | ) > t} = { : L(x | ) > tL(x)}

( t) . S(x) t,
S(x|t). ,
1) x X S(x|t) t, ..
S(x | t1 ) S(x | t2 ) t1 6 t2 ;
2) x X
S(x | t) = t < 0,
S(x | t) = t > 1;
3) t
(t) = P { S(x)} = P {t(x | ) > t} = 1 (t)
;
4) = (0, e) ,
(t) = 1 (t) = P {t(x) < t},
.. x p(x), t(x)
(3) 4;
5) (t)
(
0 t 6 0
(t) =
1 t > 1;
6) , 0 < < 1, t
(t) = 1 (t) = ,
(t) 4), , S (x) = S(x|t)
.
. 14.
323
b a
b
6.
b
a(x) , . , , ,
b
a(x)

b(x).
.. b
a(x) (x) .
Y M , ..
X = Rn = M + Y.
x X
x = + y, M, y Y (, y) = 0.
. b
a(x)
b(x) , p(x) ( )
p(y + ) = p1 (y) p2 (), y Y, M.
(1)
1. p(x) (1), p1 (y) p2 ()

, Y M .
, p1 (y) p2 () , ,
.. Y M
.
2. Rn = U + V f (x)
x Rn .
Z
Z Z
f (x) dx =
f (u + v) du dv,
Rn
U V
du dv U V . ,
Z
Z Z
p(x) dx =
p(y + ) dy d
X1
Y1 M1
Y1 Y, M1 M X1 = Y1 + M1 .
1. .. b
a(x)
b(x) ,
b
a(x)
b(x) .
. ) .. b
a
b , = 0 =
= (0, e), e , , a
M A . , b
a
b , = (, a).
P(0,e) {b
a A0 ,
b M0 } = P(0,e) {b
a A0 ) P(0,e) {b
M0 }
324
3.
() A0 A M0 M , ..
Z
Z
Z
p(y) dy =
p(y) dy
p(y) dy.
a(y)A0
b
b(y)M0
b
a(y)A0
b(y)M0
y = a1 (x ) ,
b
a(y) A0
b(y) M0
b
a(x) A1
b(x) M1 ,
A1 = aA0 , M1 = aM0 + ,
L(x | , a) dx =
b
a(x)A1
b(x)M1
L(x | , a) dx
b
a(x)A1
L(x | , a) dx,
b(x)M1
L(x | , a) = kak1 p[a1 (x )],
, ,
P(,a) {b
a A1 ,
b M1 } = P(,a) {b
a A1 } P(,a) {b
M1 }
() A1 A M1 M . , b
a
b
, = (, a).
) , a A M
b
a
b , = (, a), b
a
b , = (0, e).
, . ) .
. ) ) 1.
2. x p(x) (1), .. b
a(x)
b(x) .
. ) max p2 () = p2 (0 )
0 M . , , 0 = 0.
b(y) y Y , ,
b(y) = 0.
, aM = M, aY = Y ,
b(y).
,
b(y + ) =
b(y) + = .
) A0 A M0 M . b
a(y + ) = b
a(y)
b(y + ) =
y Y M , x
x = y + , y Y, M , ,
Y0 = {y Y ; b
a(y) A0 },
. 14.
325
{x : b
a(x) A0 ,
b(x) M0 } = {x : x = y + , y Y0 , M0 } = Y0 + M0 ,
{x : b
a(x) A0 } = Y0 + M, {x :
b(x) M0 } = Y + M0 ,
P {b
a A0 ,
b M0 } = P {x Y0 + M0 } =
=
p1 (y) dy
Y0
p2 () d =
M0
p(x) dx =
Y0 +M0
p(x) dx
Y1 +M
p(x) dx =
Y +M0
= P (b
a A0 ) P (b
M0 ),
.
3. .. x p(x)
.. b
a(x)
b(x) . p(x) (1).
. () Y1 Y
M1 M
A0 = {b
a(x) : x = y + , y Y1 },
M0 = {b
(x) : x = y + , M1 },

P {b
a(x) A0 ,
b(x) M0 } = P {b
a(x) A0 } P {b
(x) M0 }
P {x Y1 + M1 } = P {x Y1 + M } P {x Y + M1 },
Z Z
p(y + ) dy d =
Y1 M1
Z Z
p(y + ) dy d
Y1 M
Z Z
p(y + ) dy d,
Y M1
,
p1 (y) =
p(y + ) d, p2 () =
Z Z
Y1 M1
p(y + ) dy d =
p(y + ) dy,
Z Z
Y1 M1
p1 (y)p2 () dy d,
326
3.
Z Z
(y, ) dy d = 0
Y1 M1
() Y1 Y, M1 M .
(y, ) = p(y + ) p1 (y) p2 ().
, (y, ) = 0 , (1).
13.
7. a
) a A
ba (x) x,
max L(x | , a) = L(x |
ba (x), a).
L(x|, a)

ba (x),
ba (x) a A x.
, M a
(x)
x,
max L(x | , a) = L(x | , b
a (x)).
a
ba
ba (x) =
b(x | a), b
a = b
a (x) = b
a(x | ).

b(x|a) b
a(x|)
.
b(x | a) =
b(x | a) ,
b(bx | a) = bb
(x | b1 a),
b
a(x | ) = b
a(x | + ),
b
a(bx | ) = bb
a(x | b1 )
x X; , M ; a, b A.
.
)
L(x|a) = max L(x | , a), L(x | ) = max L(x | , a),
L(x) = max L(x | , a),

,a
. 14.
327
L(x | a)
L(x | )
, t2 (x | ) =
,
L(x)
L(x)
L(x | , a)
t(x | , a) =
.
L(x)
t1 (x | a) =
, t(x|, a)
t(x | , a) = t[a1 (x )],
t(x) (3) 4.
. t1 (x|a) t2 (x|)

t1 (x | a) = t1 (a1 x) = t1 [a1 (x )],
t2 (x | ) = t2 (x ) = t2 [a1 (x )],
(1)
t1 (x) t2 (x)
t1 (x) =
kab0 k1 p[b
a1
p[x
ce ]
0 x]
, t2 (x) =
.
L(x |
b, b
a)
L(x |
b, b
a)
(2)
, y = a1 (x ), , ,
x = ay + . 3 ) ,
L(x) = kb
a(x)k1 p[b
a1 (x)(x
b(x))] = kak1 kb
a(y)k1 p[b
a1 (y)(y
b(y))],
L(x | a) = kak1 p[a1 (x
b(x|a))] = kak1 p[y
b(y|e)],
1
L(x | ) = kb
a (x)k1 p[b
a1
kb
a0 (y)k1 p[b
a1
(x)(x )] = kak
0 (y)y].
(1), (2). , t1 (x|a)

t2 (x|) , ,
t(x|, a) (. 4).
) a ,
= (, a) (. 5).
t1 (x|a) t2 (x|)

0 6 t1 (x | a) 6 1, 0 6 t2 (x | ) 6 1.
,
A(x) = {a A : t1 (x | a) > t} = {a : L(x | a) > tL(x)}
( t) .
M (x) = { M : t2 (x | ) > t} = { : L(x | ) > tL(x)}.
328
3.
A(x) M (x) t,
A(x|t) M (x|t) . ,
1) x X A(x|t) t;
2)
A(x | t) = A t 6 0,
A(x | t) = t > 1;
3) t
1 (t) = P(,a) {a A(x | t)} = P(,a) {t1 (x | a) > t} = 1 1 (t)
a;
4) = 0 a = e ,
1 (t) = 1 1 (t) = P {t1 (x) < t},
.. x p(x), t1 (x) (2);
5) 1 (t)
(
0 t 6 0,
1 (t) =
1 t > 1;
6) , 0 < < 1, t
1 (t) = 1 1 (t) = ,
1 (t) 4), , A (x) = A(x|t) .
M (x|t).
) . C..
b(x)
ba (x) .. b
a(x) b
a (x)
, p(x)
p(y + ) = p1 (y) p2 (),
X = Y + M, y Y, M .
,
6.
. ,
b(x) =
bba(x) (x), b
a(x) = b
a0 [x
b(x)].
. 15.
329
15

1.
(X, A, P = {P , }) x , .. (X, A) P P.
, x .
.. x
P .
0 , 0 , H0
H0 : 0 . ( ):
. H0 0 .
H0 : 0 , 0
, , .
( ) H0 : 0 ( ) H1 : 1 .
0 1 = . H0 H1
.
H0 H1
, x : H0
H1 . .
. [0, 1].
H0 H1 ,
H0 H1 1 (x) (x) .
, H0
H1 , x (x) H1 ( H0 ), 1 (x)
H0 .
(x) = 0 1 x, ,
C = {x X : (x) = 1}
(1)
(, (x) C), , x C, H1 , -
330
3.
H0 . C .
. ,
(x)[1 (x)] = 0 P = .. 0 1 ,
(1) ,
.
2. .
: [0, 1],
() = E (x),
( H0 , x P ).
= sup ()
0
, () , 1 (.. , 1 ,
.
, , :
H0 , ( )
H0 , ( ).
, ,
: 1- 2- .
1. H0 : 0
H1 : 1
(),
6 () 6 () 1
(, , 1 () 6 1 () 1 , .. 2-

2- ; ).
. 15.
331
2. H0 H1 ,
6 inf () 6 inf ()
1
( ,
2-
2- ;
, ).
, ,
H1
.
3.
, H0 H1 ,
H0 : = 0 H1 : = 1 .
p0 (x) =
dP1
dP0
(x), p1 (x) =
(x),
d
d
, P0 P1 (, = P0 + P1 ). ,
p0 (x) = L(x | 0 ), p1 (x) = L(x | 1 ).
, P0 6= P1 .
. 1 (). [0, 1] ,
E0 (x) = , E0 = E0 ,
(x) =
1
0
p1 (x) > p0 (x),

p1 (x) < p0 (x, ).
(1)
(2)
2 (). (1) (2)

, H0 H1 .
3 (). < 1, (2)
- .
332
3.
. H1 , . ., , . . 1 .
16

1.
. H1 , . . . , Hs s , . , , (, ).
x1 , . . . , xn n . .
x1 , x2 . . .
, Hi , n > 1
(x1 , . . . , xn ) , i.
pni = pni (x1 , . . . , xn )

( ). , pni
pni = pi (x1 ) . . . pi (xn ),
pi
, Hi .
. , n , ( )
.
(, , )
S.
(...)
, , .
1. S = {(n , n )}n>1 = {(n (x1 , . . . , xn ), n (x1 , . . . , xn )}n>1 .
1
. . .: , 1964.
. 16.
333
n n = n (x1 , . . . , xn ) 0 1, n = n (x1 , . . . , xn )
1, . . . , s. , , n = 1, n
, n .
2. S = {(G1n , . . . , Gsn ; Gn )}n>1 .
n x1 , . . . , xn .
(x1 , . . . , xn ) Gin , Hi ;
(x1 , . . . , xn ) Gn , .
, Gin , Gn X n = X . . . X, X , . ,
1) G11 + . . . + Gs1 + G1 = X;
2) G1n + . . . + Gsn + Gn = Gn1 X.
. ,
... .
1. ij Hi ,
Hj i j. ... S,
A = {ij },
, ..., A.
... S ( A) Ei (n|S) , Hi . ()
A.
2. , () , ,
, .
c ;
wij , Hi , Hj .
... S, A = {ij }. ()
Rj (S) = cEj (n/S) +
s
X
ij wij
i=1
, Hj .
j , Hj ,
334
3.
( ) ... S
R(S) = R (S) =
s
X
j Rj (S).
i=1
S. , - ... S
R(S) = max Rj (S).
j
2.
s
. K = {kij }s1
.
n x1 , . . . , xn
pni = pni (x1 , . . . , xn ); i = 1, . . . , s.
, Hi Hj (
Hi Hj i j),
pni
> kij .
pnj

Hi Hj Hj Hi ,
K = {kij },
1
i 6= j.
kij > kji
(1)
Hi Hj ,
, , .
,
pnj
pni
< kij
< kij ,
pnj
pni
,
1
kji
<
pni
< kij .
pnj
: ,
, .
. 16.
335

K = {kij }, .... K.
. ,
K ...., A = {ij } . , ij Hi ,
Hj .
.
kij 6 ii .
(2)
ij
.
) S .... K = {kij }. S
S = {(G1n , . . . , Gsn , Gn )}n>1 ,
(. ).
X
ij =
P {Gin |Hj }.
(3)
n>1
) ,
P {Gin | Hi } > kij P {Gin | Hj }.
,
P {Gin
| Hi }
kij P {Gin
| Hj } =
(4)
1Gin [pni kij pnj ] dx;
x = (x1 , . . . , xn ). 1Gin (x) = 1, .. x Gin , Hi Hj

j 6= i, ,
pni
> kij , pni kij pnj > 0,
pnj
(4).
) (3) (4).
, , kij
ii . , .... S , K = {kij
},
kij
=
ij
ii
. (1)
ij
ji
ii
>
, ii jj > ij ji i 6= j,
ij
jj
. S ; A = {ij }.

kij
6
ii
ii
6 ii .

ij
ij
ij
(5)
336
3.
, , s = 2, .. H1 H2 .

1
1
A=
, A =
.
1
1
(5)
1
1
1
1
6
6
,
, 6
, + 6 + .
1
1
(6)
0, 1,
, ,
+ 6 + . , , A = {ij } , ....

K = {kij }, kij =
ii
.
ij
, s H1 , . . . , Hs (5)
, (6);
ij 6
1
.
ii ij
. , ,
, .
pni
pni = pni (x1 , . . . , xn ) = fi (x1 ) . . . fi (xn ),
,
zk (i | j) = ln
fi (xk )
, sn (i | j) = z1 (i | j) + . . . + zn (i | j),
fj (xk )
Zk = {zk (i | j)}, Sn = {sn (i | j)},

, Z1 , Z2 , . . . , ,
sn (i | j) > ln kij j = 1, . . . , s
i; Hi . ,
, Sn
. 16.
337

L = {lij } = {ln kij }.
, Zk , Sn . L
, ,
; kii = 1, i = 1, . . . , s.
, , s = 2,

0 zk
0 sn
0 b
Zk =
, Sn =
, L=
.
zk 0
sn 0
a 0
, ,
a < z1 + . . . + zn < b;

z1 + . . . + zn > b z1 + . . . + zn 6 a,
H1
H2 .
, H1
H2

b3
a1
b b
a3 1 2

a2
H3

(a, b), k-
. 16.
zk
z1 , z2 , . . ., .
, s > 2
G ( s 1; k-
zk , z1 , z2 , . . .
(s 1) .
, s = 3,
0
b1 b2
n f (x )
o
f
(x
)
1
2
k
k
zk = ln
, ln
, L = a1 0 b3 ,
f2 (xk )
f3 (xk )
a2 a3 0
338
3.
,
sn = z 1 + . . . + z n
(. . 16).
3.

A.
n = 1, 2, . . . , n = k
zk . n
sn = z 1 + . . . + z n ,
s0 = 0. , z1 , z2 , . . .
F (z), ,
(a, b), 0. n
(a, b), ..
sn 6 (a, b); sk (a, b), k < n.
,
P (z = 0) < 1, .. P (|z| > 0) > 0.
(1)
, n (a, b) 1 , , .. n.

F (z).
. , n (a, b), ..
z1 . . . , zn1 ; ,
c < zk < c, k = 1, . . . , n 1; c = b a.
,
c, zk < c;
zk = zk
c 6 zk 6 c;
c,
zk > c
(2)
,
zk zk , n n (a, b)
: n = n .
. 16.
339
, .. n ,
|zk | 6 c = b a, k > 1
(3)
1 , , zk .
B. , > 0 , Een < . ,
, , P (n < +) = 1 .. n
.
) r > 1
1 = z1 + . . . + zr ,
2 = zr+1 + . . . + z2r ,
...................
k = z(k1)r+1 + . . . + zkr ,
...................
n > kr
a < z1 + . . . + zi < b i 6 kr;

a < 1 + . . . + j < b j 6 k,

|j | < c = b a j 6 k.
,
P (n > kr) 6 P (|j | < c; j = 1, . . . , k) = pk ,
p = P (|1 | < c).

(1) (3) , 2 .. z1 , .. 1 r 2 ; r , r 2 > c2 ,
p < 1.
, , r > 1 p, 0 6 p < 1, ,
P (n > kr) 6 pk
(4)
k > 0.
340
3.
) t > 0, , (4),
X
X
(t) = Eetn =
etk P (n = k) 6
et(k+1)r P (kr < n 6 (k + 1)r) 6
k>1
k>0
tkr tr
e P (n > kr) 6 etr
k>0
k>0
etkr pk = etr (1 etr p)1 .
, t 6 0
(t) < (1 etr p)1 ,
, t
etr p < 1.
t = 0. .
. .... , s . ,
(a, b);
z = ln
f1 (x)
,
f2 (x)
zk = ln
f1 (xk )
;
f2 (xk )
a = ln k21 ,
b = ln k12 ,
.. x f1 (x) f2 (x)
, H1 H2 . , f1 (x) f2 (x) ( ) ,
H1 H2 . ,
(1).
Ei n = E(n | Hi )
( )
, Hi .
,
, ,
n .
....
s .
,
fi (x) fj (x) ( )
(i, j) , i 6= j i, j =
= 1, . . . , s.
341
151. x
Bi(n, ) , 0 < < 1. , D = R1 ,
l(d | ) =
(d )2
,
(1 )
(0, 1).
,
(x) = x/n, 1/n.
152. , (x, y)
p(x, y|), .
() ;
(|x, y) ;
(|x) x;
(|x, y)
y,
(|x).
, (|x, y) = (|x, y). (
).
153. x1 , . . . , xn
.. F . , F F , F ,
F . ,
1) Bi(m, ) -;
2) - Bi(m, )
-;
3) P0 () -;
4)
-;
5) (0, )
;
6) (1 , 2 )
.
342
3.
154. P = (P0 , P1 , . . . , Pm ) (X, A). pk (x) Pk ,

= P0 + P1 + . . . + Pm . , p0 (x) > 0 x X. ,
o
n p (x)
pm (x)
1
T (x) =
,...,
p0 (x)
p0 (x)
,
155. x1 , . . . , xn
, F .
P = {P } x = (x1 , . . .
. . . , xn ), .. F.
,
T (x) = {x(1) , . . . , x(n) }
. x(1) , . . . , x(n) x1 , . . . , xn , .
156 (). ,
.
157 (). Fx (t) .., ..
(
n
0, t 6 0;
1X
b
Fx (x) =
e(t xk ), e(t) =
n
1, t > 0.
k=1
, t (x) = Fb (t)
.... (F ) = F (t).
158. (X, A, P = {P , }),
X = {1, 0, 1, 2, . . .}, A X, = (0, 1),
P (1) = , P (n) = (1 )2 n , n = 0, 1, 2 . . . .
, T (x) = x ,
.
159. .. x1 , . . . , xn
N (, 2 ), = (, 2 ). ,
n
o
x1 x
x x
T (x) =
,..., n
S
. n > 2, x = (x1 , . . . , xn ),
x
=
n
1X
xk ,
n
1
S=
n
X
1
|xk x
|.
343
160 (). , x
S .
. .
161. x n
. ,
t(x) =
n
X
ck
k=0
x(k)
n(k)
.... () = c0 + c1 + . . . + cn n . xk = x(x 1) . . .
. . . (x k + 1).
. T (x) = x t(x). |z| 6 1
x
p(z) = E z =
n
X
x=0
Cnx x (1 )nx z x = [z + (1 )]n .

dk
p(z) = n(k) k [zk + (1 )]nk
= n(k) k =
dz k
z=1
z=1
=
n
X
x=0
(k)
Cnx x (1 )nx x(x 1) . . . (x k + 1)z xk |z=1 = E x(k) ,
.. E (k) = k , k = 0, . . . , n,
n
t(x).
162 (). , .. () = N
N > n.
. t(x) ,
E t(x) =
n
X
k=0
t(k)Cnk k (1 )nk = N , 0 6 6 1,
n < N .
163. .. x1 , . . . , xn P0 () > 0. , ....
X
() =
ak k
k>0
t(x1 , . . . , xn ) =
x
X
k=0
(k)
ak
x(k)
,
nk
x = x1 + . . . + xn , x = x(x 1) . . . (x k + 1).
. x = x1 + . . . + xn
, .. ()
344
3.
x. tk (x) .. k . x n .., , .. x
= n.
X
x
1
E tk (x) =
tk (x) e = k = k k ,
x!
x>0
X tk (x)
x>0
x!
x =
1 k
1 X
x
e = k
,
k
n
n
(x k)!
x>k
, x ,
x!
x(k)
= k x > k,
k
n
tk (x) = n (x k)!
0
x < k,
.. tk (x) = x(k) /nk (.. x(k) = 0 x < k). , ..
X
() t(x) =
ak tk (x).
x>0
164 (). , () = 1/ .
. t = t(x1 , . . . , xn ) .. (),
X
X
t(x1 , . . . , xn ) x1 +...+xn n
E t =
e
= en
ck k = 1/ > 0,
x1 >0,...,xn >0
x1 ! . . . xn !
k>0
ck =
x1 +...+xn =k
xi >0
t(x1 , . . . , xn )
.
x1 ! . . . xn !
ck k = en
k>0
> 0 .
165. C.. x1 , . . . , xn
N (, 2 ) > 0.
s2 =
n
n
1 X
1X
(xk x)2 , s > 0, n > 1, x =
xk .
n1
n
1

1/2 n 1
n1
2
2
n
2
345
.... .
. . .
166. (). , ....
X
() =
cN N , = (, ),
N >0
t(s) =
X n 1 N/2
2
N >0

n1
2
N
cN s .

N +n1
. T (x) = (
x, s)
,
E sN = N
2 =

N/2 N + n 1
2
2
n1
n1
2
n
(n 1)s2
1 X
=
(xk x)2 , > 0.
2
2
1
C.. -- m = n 1 .
.. 2,

m
- G
, ..
2
1
P ( < t) = m
2
2
Zt/2
m
u 2 1 eu du.
0
,
N
E = E[x ]
N
2
1
= m m
22
2
2
N +m
2
=
2
Z
0
N +m
2
m
m
2
t 2 t 2 1 e 2 dt =

Z
0
N +m
2
N +m
1
1 2t
e dt.
t 2

N +m
, ..
EN = 2
N
2

N +m
2 .
m
346
3.

E sN =
N
EN .
(n 1)N/2
167 . , 1 ex , x > 0, > 0, N . T

. , ....
R(t) = et (t )

(T )
b = 1 t
R(t)
,
NT
(T ) .
. , (T ) .
(T ) = r x1 , . . . , xr
T , .. x1 , . . . , xr [0, T ] (?). , (T )
.
C.. (T ) =
= N T , , (?).
b .. R(t):
, R(t)

X
t
t
t r r
b =
E R(t)
1
e = e e N T = e N T = et = R(t).
r>0
NT
r!
168. .. x1 , . . . , xn 1 ex , x > 0, > 0.

t > 0
(0) = F (t) = 1 ex .
, ....

t n1
Fx (t) = 1 1
n > 1,
n
x
n
x = x1 , . . . , xn , (z)+ = max(0, z); n = 1,
(
0, x1 > t,
Fx (t) =
1, x1 < t.
347
. x .
.. () x
.
(
1 x1 < t,
= (x1 , . . . , xn ) =
0 x1 > t
.. ().
(
x) = E { | x1 + . . . + xn = n
x},
, , .

x1
(
x) = P (x1 < t | x1 + . . . + xn = n
x) = P
x1 + . . . + xn
..
x1
x1 + . . . + xn
x1 + . . . + xn
( ),

(
x) = P
<
t
.
x
n
x
x1
t
<
,
x1 + . . . + xn
n
x
, , ,
= 1. , .. x1 /(x1 + . . . + xn ) Be(1, n 1). [, .. 1 2 - G(i ) G(2 ), .. 1 /(1 + 2 )
- Be(1 , 2 ). .. 1 = x1
2 = x2 + . . . + xn , n > 1, - G(1)
G(n 1) ].
169. ,
1 ex , x > 0, > 0, N
. r- .
, .... R(t) = et (t
)
r1

b = 1 t
,
R(t)
s
s .
. y1 , . . . , yr
. .. y1 , . . . , yr 1 eN y , y > 0 (?).
s = N (y1 + . . . + yr ).
348
3.
xk = N yk , k = 1, . . . , r. .. x1 , . . . , xr
1 ex , x > 0.
s = x1 + . . . + xn .
b = 1 F (t) .... R(t) =
18 R(t)
s
= 1 F (t).
170 (). , , (r 6 N ).
. . . ..
y1 , . . . , yr .. yk
1 exp{(N k + 1)y}, y > 0;

s = N y1 + (N 1)y1 + . . . + (N r + 1)yr .
,
xk = (N k + 1)yk , k = 1, . . . , r.
171. x1 , . . . , xn .., 1 ey , y > 0, > 0. , ....
n1
X k
() =
ak
k=0
k!

t(x) =
n1
X
k=0
k
ak Cn1
1
, x = x1 + . . . + xn .
xk
. x = x1 + . . . + xn , ,
E
(n 1)! 1
= k , k = 0, 1, . . . , n 1.
(n k 1)! xk
, .. x - G(n)
.., .. xk , k = 1, . . . , n,
349
- G(1),
Z
0
(n 1)!
1
xn1
k n
ex dx =
(n k 1)! x
(n 1)!
xm1
ex dx = k , m = n k > 1.
(m 1)!
172 (). , .... () =

= N N > n.
. , x1 , . . .
. . . , xn x = x1 + . . . + xn .
t(x). C.. x - G(n),
E t(x) =
t(x)n
Z
0
xn1
ex dx = N , > 0,
(n 1)!
f (x)ex dx = N n , > 0, N n > 0,
f (x) = t(x)xn1 /(n 1)!. m = N n + 1 > 1

( !).
Z
f (x)xm ex dx = 0, > 0,
f (x) = 0 x > 0, .. t(x) = 0 . , E t(x) = 0 6= N , > 0.

173. x1 , . . . , xn
N (, 2 ) 2 . t
1
() =
2
Zt
(u)2
22
du = F (t),
= (, ). .... ().
174. x1 , . . . , xm , y1 , . . . , yn ;
t > 0
P (xi < t) = 1 e1 t , P (yj < t) = 1 e2 t ,
350
3.
= (1 , 2 ) ; 1 > 0, 2 > 0. ....

() =
1
.
1 + 2
175. (t), t > 0,

> 0 (0) = 0 (.. (t), t > 0,
, (0) = 0 (t) t). x1 , . . . , xn
b 1 , . . . , xn ) = xn /tn
t1 < . . . < tn . , (x
... .... .
176. x1 , . . . , xn () a
t1 < . . . < tn . ,
b
a=
n
xn
1 X
b2 =
k (yk b
a)2
tn
n1
1
.... a .
k = tk tk1 , yk =
xk xk1
, t0 = x0 = 0.
k
177. C.. x1 , . . . , xn
N (, 2 ).
n
n
X
1X
1
x
=
xi , S =
(xi x)2 , s2 =
S.
n
n1
1
, n > 3, = 0, 1, 2, 3
h
i2
1
E
S 2 < E [s2 2 ]2
n+
= (, ).
.
P (c) =
1
S
E [cS 2 ]2 = E c 2 1
4
S/ 2 = 2 (n 1),

E2 (m) = m, var 2 (m) = 2m,
E[2 (n 1)]2 = n2 1,
P (c) = (n2 1)c2 2(n 1)c + 1.
i2
351
y = P (c) . 17.
, P (c)
(1, 3 +
+ 8/(n 3)).
2
178 ().
n1
, c 6=
6= 1/(n + 1), 2
n+1

c
i2
h
1
2
E
S
< E [cS 2 ]2 .
1
1
n+1
n3
1
n+1 n1
n2 1 = n+3+ 8
. n3
P (c) c = 1/(n + 1) (.
. 17.
).
179. .. x1 x2
N (0, 2 ). ,
t(x) =
|x1 + x2 |, x = (x1 , x2 )
2
.
. C.. = x1 + x2
N (0, 02 ), 02 = 2 2 . ,
r
E|| = 0
2
.
0 = 1.
r Z
r
Z
1
2
2
xe
E|| =
x2
2
dx =
x2
2
x2
=
2
2
.
180. , .. x1 x2
N (, 2 ). ,
t(x) =
|x1 x2 |, x = (x1 , x2 ),
2
.
. C.. = x1 x2 q

2
2
2
2
N (0, 0 ), 0 = 2 . E|| = 0
(.
),
r
2
2
E|| = 2
= .
352
3.
181. x1 , . . . , xn
..
(
y2
k() ye 2 , 0 6 y < ,
f (y | ) =
0,
y < 0; > 0.
,
n
1X 2
t(x) =
xk , x = (x1 , . . . , xn ),
n
1
.... 2 .
1. , t(x) 2 . k().
1=
Z
0
2
f (y | ) dy = k()
2
y2
2
y2
2
=
k()
,
2
2
k() = 22 .
n
n
o
1 X 2
L(x | ) = f (x1 | ) . . . f (xn | ) = 2n 2n (x1 , . . . , xn ) exp 2
xk
x1 > 0, . . . , xn > 0.
n
2n
2n
2 X 2
ln L = + 3
xk = 3 [t(x) 2 ] = A()[t(x) ()],
t(x) () = 2 ( var t(x) =

=
()
=
A()
4
).
n
2.
n
n
o
1 X 2
L(x | ) = [k()]n (x1 , . . . , xn ) exp 2
xk 1{x1 >0,...,xn >0} ,
t(x) . t(x) 2 , .. ,
E x21 = 2 . , k() = 22 .
E x21
2
= 2
Z
0
y ye
u =
y
.
2
y
2
dy =
Z
0
ueu du = 2 ,
353
182. .. x1 , . . . , xn
n 3o
y
k()y 2 exp 3 , 0 6 y < ,
f (y | ) =
0,
y < 0; > 0.
t(x) =
n
1X 3
xk , x = (x1 , . . . , xn ),
n
1
.... .
. : k =
= x3k /3 , .. 1 , . . . , n 1 ey , y > 0 (
k = x2k /2 ).
183. L(x|) .. x1 , . . . , xn ; x = (x1 , . . . , xn );
.. xk , .. .. xk xk
. M (y|) ..
y1 , . . . , yn , yk = |xk |, y = (y1 , . . . , yn ). ,
M (y | ) = 2n L(y | ) y1 > 0, . . . , yn > 0.
. F f .. x1 . , .. y1 ,
G g .
L(x | ) = f (x1 ) . . . f (xn ), M (y | ) = g (y1 ) . . . g (yn ).
, g (v) = 2f (v) v > 0.
G (v) = P (y1 < v) = P (v < x1 < v) = P (x1 < v) P (x1 6 v) =
= P (x1 < v) P (x1 > v) = P (x1 < v) [1 P (x1 < v)] =
= 2P (x1 < v) 1 = 2F (v) 1.
184. x1 , . . . , xn xk = |wk | ,
6= 0, .. w1 , . . . , wn N (0, ). ....
.
.
n
n
1X 2
1 X 2
T (x) =
wk =
xk , x = (x1 , . . . , xn ),
n
354
3.
, .... .
185. , x1 , . . . , xn [0, ]
> 0. , ... bn
n
n
2 ,
, var bn =
n+1
(n + 1)2 (n + 2)
3n + 2
E (bn )2 =
2 .
(n + 1)2 (n + 2)
E bn =
. ... b = bn = max(x1 , . . . , xn ).
.. b
n
n
Y
u
P (b < u) = P (x1 < u, . . . , xn < u) =
P (xk < u) =
1
0 6 u 6 .
un
u2 n
E b =
E b2 =
un1
n
du =
,
n+1
n
n
un1
du =
2 ,
n+2
n
2
E |b |2
3n + 2
, > 0.
P (|b | > ) 6
=
2
(n + 1)2 (n + 2)
186. tn () . , tn (E, ). ,
tn () , ..
> 0,
P {(tn , ()) > } 0 n ,
f (tn ) f ( ()) ;
f (E, )
(M, d).
. > 0, x0 E > 0 ,
d(f (x), f (x0 )) > (x, x0 ) > .
, x0 = (),
P {d(f (tn ), f ( ())) > } 6 P {(tn , ()) > } 0.
355
187. x1 , . . . , xn .., N (, 2 ). , bn = (b
,
b),
b=x
=
n
n
1X
1X
xk ,
b2 =
(xk x
)2 ,
b > 0,
n
n
1
... = (, ), > 0. , bn
.
. , (b
,
b2 )
2
... (, )
R1 R1+ (, 2 ) 7 (, ) R1 R1+ .
.
188. .. x1 , . . . , xn
f (y | ) = e(y), < 6 y < .
,
t(x) = min(x1 , . . . , xn ), x = (x1 , . . . , xn ),
... .
.
f (y|) = e(y)1(y>) , y R1 ,
(.
. 18):
L(x|)
L(x|) =
n
n X
o
= exp
xk + n 1{min xk >} =
1
n
n X
o
= en 1{t(x)>} exp
xk .
1
, t(x)
... , .. t(x)
f (t) = nen(t) 1{t>} ,
0 t(x)
. 18.
356
3.
1
1 2
1
1
, E t(x)2 = +
+ 2 , var t(x) = 2 ,
n
n
n
n
2
1
P {|t(x) | > } 6 2 E [t(x) ]2 =
, > 0.
(n)2
E t(x) = +
189. .. x1 , . . . , xn
N (, 2). ,
v
u
n
u
1X 2
bn = t1 +
xk 1
n
... .
. ...
:
L(x|) =
n
Y
k=1
1
1
exp
(x )2
2 2 k
2 2
n
n
o
n
n
1 X
= (4) 2 2 exp
(xk )2 ,
n
n
n
1 X
1 X
ln L = +
(xk ) + 2
(xk )2 =
2
2
4
1
h n
1 X
42
(xk )2 + 2
1
n2 2n +
42
n
X
1
n
X
1
i
(xk ) 2n =
n
i
h
i
n
1X 2
x2k = 2 2 + 2
xk .
(0, ) L(x|) , ...
n
1X 2
2 + 2
xk = 0.
n
... bn .
tn =
n
1X 2
xk E x21 = var x1 + (E x1 )2 = 2 + 2 , n ,
n
1
357
. 36
p
bn = f (tn ) = 1 + tn 1 f (2 + 2 ) = 1 + 2 + 2 1 =
.
190. x1 , . . . , xn -,
Nr (, A). , ...
b = (, A) ;
bn = (b
, A)
b = x =
n
n
X
1X
b= 1
xk ; A
(xk x
)(xk x
) .
n
n
1

n
X
b= 1
A
(xk )(xk ) (
x )(
x ) .
n
191. F F ,
[0, 1], f, 0 6 f (x) 6 c = const.
, x1 , . . . , xn F F .
1) , Fb ... F , Fb F
f (xi ) = c i, fb Fb .
2) ... Fb F .
3) ... Fb F .
4) ... Fb F , ..
... Fb, [0, 1] g1 , . . . , gm
t(x) = {t1 (x), . . . , tm (x)}
(F ) = {1 (F ), . . . , m (F )}. x = (x1 , . . . , xn ),
ti = (gi , Fb) =
Z1
0
gi dFb, i (F ) = (gi , F ) =
Z1
gi dF.
192. x1 , . . . , xn (0, ) . T (x) = max(x1 , . . . , xn ). ,

T (x) T (x)1/n > 0
, 0 < < 1.
193. S(x) ()
Z
|S(x)| =
d
S(x)
358
3.
S(x). ,
Z
E0 |S(x)| = P0 { S(x)} d.
194.

, x1 , . . . , xn
xk = 0 + 1 tk + k , k = 1, . . . , n,
tk = k, = (0 , 1 ) ; 1 , . . . , n , N (0, 2 ). b = (b0 , b1 ) - .
,
12
2 .
var b1 =
2
n(n 1)
. 1 .
x = A + , E = 0, var = 2 In ,
x = (x1 , . . . , xn ) ,
= (1 , . . . , n ) ,
= (0 , 1 ) ,
t1
.. .
.
1 tn
1
..
A= .
2 . , {cov (bi , bj )} = var b = 2 (A A)1 ,

var b = V = {vij },
3 .
var b0 = v11 , var b1 = v22 .

P
n
t
w11 w12
W = A A = P P 2i =
.
ti
ti
w21 w22
n
n
X
n(n + 1) X 2
n(n + 1)(2n + 1)
ti =
,
ti =
,
1
W 1 =
1
|W |
w22 w12
,
w21 w11
var b = 2 W 1 , ,
var b0 = 2
1
1
w
w22 , var b1 = 2
w11 , cov (b0 , b1 ) = 2 12 ;
|W |
|W |
|W |
,
2
|W | = w11 w22 w12
=n
n(n + 1)(2n + 1)
n(n + 1)
6
2
i2
n2 (n2 1)
,
12
var b1 =
359
12
2 .
n(n2 1)
195 (). ,
h
4
var b0 = 1 +
3
2 .
2(n 1)
. . .
n
var b0 =
X
n(n + 1)(2n + 1)
n2 (n2 1)
w22 2
, w22 =
t21 =
, |W | =
,
6
12
|W |
1
var b0 =
2(2n + 1) 2
4
3
= 1+
2 .
n
n(n 1)
2(n 1)
196 ().
f (t) = b0 + b1 t
. ,
2
Ef (t) = 0 + 1 t, var f (t) =
n
X
1
n
n X
1
(tk t)2
(tk t)2
n
1X
t =
tk .
197. P0 (0, 1), P1

(1, 2). , P0 P1
(
(
, x (0, 1)
0, x [, 1)
1 (x) =
2 (x) =
1, x (1, 2)
1, x (0, ) (1, 2),
0 6 6 1, .
, ,
E0 = EP0 , E1 = EP1 , E0 1 = E0 2 = , E1 1 = E1 3 = 1.
198.
p0 p1
(
1 p1 (x) > kp0 (x),
(x) =
0 p1 (x) < kp0 (x).
360
3.
1 2 1- 2- . ,
2
1 2
1)
6k6
;
1 1
1
2) 1 + 2 6 1.
199 (). , ,
1 + 2 ,
(
1 p1 (x) > p0 (x),
(x) =
0 p1 (x) < p0 (x).
200. (X, A, P = {P , }) , D
, L , R
, (..). 0
, 0 0 , R(0 |) 6
6 R(|) .
, = {0 , 1 }, D = {d1 , d2 }, L(di |i ) = 0, L(di |j ) > 0
i 6= j. , .. .
CONTENTS
Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Part 1. Probability
Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10
Chapter 1. Discrete Probability Space . . . . . . . . . . . . . . .

1. Event and Probability . . . . . . . . . . . . . . . . . . . . . . .
2. Probability Space . . . . . . . . . . . . . . . . . . . . . . . . .
3. Independence of Event . . . . . . . . . . . . . . . . . . . . . .
4. Conditional Probability . . . . . . . . . . . . . . . . . . . . . .
5. Probability of Union of Events . . . . . . . . . . . . . . . . . .
6. Composite Probability Formula . . . . . . . . . . . . . . . . .
7. Bayes Formula . . . . . . . . . . . . . . . . . . . . . . . . . . .
8. Examples of Distributions . . . . . . . . . . . . . . . . . . . .
9. Random Variable. Mathematical Expectation . . . . . . . . .
10. Independence of Random Variables . . . . . . . . . . . . . . .
11. Additive and Multiplicative Properties of Mathematical
Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12. Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13. Variance Additively for Independence RRVs . . . . . . . . . .
14. Generating Function . . . . . . . . . . . . . . . . . . . . . . . .
15. Binomial Distribution . . . . . . . . . . . . . . . . . . . . . . .
16. Poisson Distribution . . . . . . . . . . . . . . . . . . . . . . . .
17. Negative Binomial Distribution . . . . . . . . . . . . . . . . .
18. Approximation of Binomial by Poisson Distribution . . . . . .
19. Indicator of Event . . . . . . . . . . . . . . . . . . . . . . . . .
20. Markov Inequality . . . . . . . . . . . . . . . . . . . . . . . . .
21. Law of Large Numbers . . . . . . . . . . . . . . . . . . . . . .
11
11
12
13
15
15
17
17
18
20
22
361
23
24
25
25
26
27
27
29
31
32
32
362
Contents
22. Central Limit Theorem . . . . . . . . . . . . . . . . . . . . . .
36
Chapter 2. Probability Space . . . . . . . . . . . . . . . . . . . . .

1. Denition of Probability Space . . . . . . . . . . . . . . . . . .
2. Construction of Probability Space . . . . . . . . . . . . . . . .
3. Complete Probability Space . . . . . . . . . . . . . . . . . . .
4. Continuous Probability Space . . . . . . . . . . . . . . . . . .
5. Denition of Random Variable . . . . . . . . . . . . . . . . . .
6. Operation over RVs . . . . . . . . . . . . . . . . . . . . . . . .
7. Equivalence and Almost Certain Convergence of RVs . . . . .
8. Independence . . . . . . . . . . . . . . . . . . . . . . . . . . .
9. Mathematical Expectation, Distribution Function, Distribution
Density . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10. Characteristic Functions . . . . . . . . . . . . . . . . . . . . .
11. One-Dimensional Normal Distribution . . . . . . . . . . . . . .
12. Gamma Distribution . . . . . . . . . . . . . . . . . . . . . . .
13. Beta and Other Distribution . . . . . . . . . . . . . . . . . . .
14. Uniform Distribution . . . . . . . . . . . . . . . . . . . . . . .
15. VRV Characteristic Function . . . . . . . . . . . . . . . . . . .
16. Multidimensional Normal Distribution . . . . . . . . . . . . .
17. Markov Inequality . . . . . . . . . . . . . . . . . . . . . . . . .
18. Jensen Inequality . . . . . . . . . . . . . . . . . . . . . . . . .
19. Kolmogorov Inequality . . . . . . . . . . . . . . . . . . . . . .
20. Moment Inequalities . . . . . . . . . . . . . . . . . . . . . . . .
21. Conditional Expectation . . . . . . . . . . . . . . . . . . . . .
22. Conditional Probability . . . . . . . . . . . . . . . . . . . . . .
38
38
39
43
44
47
49
50
51
55
58
63
64
66
69
72
73
77
77
79
80
81
86
Supplement: Subjective Probability . . . . . . . . . . . . . . . . .
93
Problems.
98
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Part 2. Stochastic Processes

Introduction: Denition of Random Process. Kolmogorov
Theorem on Construction of Processes from Partial
Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
Chapter 3. Markov Chains (with Discrete and Continuous
Time) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.
Denition of Markov Chains ( with Discrete and
ContinuousTime) . . . . . . . . . . . . . . . . . . . . . . . . . .
2. Examples of Homogeneous Markov Chains . . . . . . . . . . .
3. Limiting Distribution of Markov Chains . . . . . . . . . . . . .
4. Proofs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
121
121
124
130
132
Contents
363
5.
6.
Law of Large Numbers for Markov Chains .

Structure of Homogeneous Markov Process
Time and Finite State Space . . . . . . . . .
7. Structure of Homogeneous Markov Process
Time and Countable State Space . . . . . . .
. . .
with
. . .
with
. . .
. . . . . . .
Continuous
. . . . . . .
Continuous
. . . . . . .
144
Chapter 4. Renewal Process . . .

1. Denition of Renewal Process
2. Elementary Renewal Theorem
3. Blackwell Theorem . . . . . .
4. Key Renewal Theorem . . . .
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153
153
155
157
157
Chapter 5. Regenerative Process . . . . . . . . . .

1. Denition of Regenerative Process . . . . . . . .
2. Limit Theorem for Regenerative Process . . . .
3. Law of Large Numbers for Regenerative Process
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162
162
164
168
Chapter 6. Elements of Random Analysis . . . . . . . . . . . . .

1. Types of RV Convergence . . . . . . . . . . . . . . . . . . . . .
2. Equivalent Denitions of RV Convergence and Basic Properties
3. Prokhorov Theorem and Its Applications . . . . . . . . . . . .
4. Stochastic Continuity . . . . . . . . . . . . . . . . . . . . . . .
5. Stochastic Integrals of Non-Random Functions . . . . . . . . .
6. Orthogonal Measure and Integral with Values in Hilbert Space
7. Dierentiation and Integration of Mathematical Expectation of
Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
173
174
175
176
181
182
187
Chapter 7. Gaussian Processes . . . . .

1. Denition of Gaussian Process . . .
2. Wiener Process . . . . . . . . . . .
3. Non-Homogeneous Wiener Process .
.
.
.
.
198
198
199
201
Chapter 8. Stationary Process . . . . . . . . . . . . . . . . . . . .

1. Denition of Stationary Process (in Wide Sense). Examples .
2. Representation of Stationary Process in Terms of Process with
Uncorrelated Increments . . . . . . . . . . . . . . . . . . . . . .
3. Dierentiation of Stationary Process . . . . . . . . . . . . . . .
4. Integration of Stationary Process . . . . . . . . . . . . . . . .
203
204
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139
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136
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Supplement:
Regenerative Processes with
Regeneration Cycles of Markov Type . . . . .
1. Semi-Markov Renewal Process (SMRP) . . . . . .
2. Sucient Condition for SMRP Moment Existence
3. Elementary SMRP Renewal Theorem . . . . . . .
4. SMRP Blackwell Theorem . . . . . . . . . . . . .
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Dependent
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. . . . . . .
196
206
209
214
221
221
222
224
227
364
Contents
5.
6.
SMRP Key Theorem of Renewal Theory . . . . . . . . . . . .

Limit Theorem for Regenerative Processes with Dependent
Regeneration Cycles of Markov Type . . . . . . . . . . . . . . .
7.
Example of Application of Regenerative Processes with
Dependent Regeneration Cycles of Markov Type . . . . . . . .
235
Problems.
237
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
229
230
Part 3. Statistics
Introduction. . . . . . . . . . . .
1. Posing Statistical Problem
2. Risk Function . . . . . . .
3. Strategy Ordering . . . . .
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Chapter 9. Mathematical Statistics: Basic Concepts . . .

1. Statistical Structure . . . . . . . . . . . . . . . . . . . . .
2. Statistic . . . . . . . . . . . . . . . . . . . . . . . . . . .
3. Sucient Statistic . . . . . . . . . . . . . . . . . . . . . .
4. Complete Statistic . . . . . . . . . . . . . . . . . . . . . .
5. Free Statistic . . . . . . . . . . . . . . . . . . . . . . . . .
6.
Sucient Condition for Existence of Decision Rule
Uniformly Minimum Risk . . . . . . . . . . . . . . . . . .
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253
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255
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with
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259
259
260
261
262
263
265
Chapter 10. Point Estimation: Cram

erRao Theory . . . . . .
1. MVUE (minimum variation unbiased estimate) . . . . . . . . .
2. MVUE Uniqueness . . . . . . . . . . . . . . . . . . . . . . . .
3. CramerRao Inequality . . . . . . . . . . . . . . . . . . . . . .
4. Ecient Estimators . . . . . . . . . . . . . . . . . . . . . . . .
5. CramerRao Inequality Improvement. Bhattacharya Inequality
6. Multidimensional Analogue of CramerRao Inequality . . . .
7. Multidimensional Analogue of Bhattacharya Inequality . . . .
8. Expressing MVUE in Terms of Sucient Statistic . . . . . . .
269
269
271
271
274
276
279
281
284
Chapter 11. Point Estimation: Maximum

1. Maximum Likelihood Estimator (MLE)
2. Consistent Estimators . . . . . . . . . .
3. MLE Consistency . . . . . . . . . . . .
4. MLE Asymptotic Normality . . . . . .
284
284
288
289
294
Chapter 12. Point Estimation:

1. Examples . . . . . . . . . .
2. Normal Equation . . . . .
3. GaussMarkov Theorem .
4. Linear Regression Model .
Least
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Likelihood Method
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Squares Method
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5.
Contents
365
Normal Error Distribution . . . . . . . . . . . . . . . . . . . .
305
Chapter 13. Interval Estimation . . . . . . . . . . . . .

1. Denition . . . . . . . . . . . . . . . . . . . . . . . .
2. Interval Maximum Likelihood Estimator . . . . . .
3. Likelihood Ratio Principle . . . . . . . . . . . . . .
4. Likelihood Ratio Principle Asymptotic Property . .
5. Generalized Likelihood Ratio Principle . . . . . . .
6. Technique of Likelihood Ratio Principle Application
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308
308
310
310
311
311
315
Chapter 14. Linear Model Multidimensional Analysis

1. Introduction . . . . . . . . . . . . . . . . . . . . . . .
2. Assumptions re Space of Parameter = (, a) . . . .
3. MLE Property . . . . . . . . . . . . . . . . . . . . . .
4. Estimating Function . . . . . . . . . . . . . . . . . . .
5. Interval MLE for = (, a) . . . . . . . . . . . . . . .
6. Independence of
b and b
a . . . . . . . . . . . . . . . .
7. Estimating and a Separately . . . . . . . . . . . . .
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328
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330
331
Chapter 16. Sequential Analysis . . . . . . . . . . . . . . . . . .

1. Problem Posing . . . . . . . . . . . . . . . . . . . . . . . . .
2. Probability Ratio Sequential Test (PRST) for s Hypotheses .
3. Average Sample Size Finiteness in Using PRST . . . . . . . .
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332
332
334
338
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340
Chapter 15. Statistical Hypothesis Testing

1. Hypothesis and Test . . . . . . . . . . . .
2. Power Function. Test Ordering . . . . . .
3. Fundamental NeymanPearson Lemma .
Problems.
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25.02.2011. 6090/16.
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750 .
. . 9090.
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125009, , . . , 5/7.
.: 629-50-91. : 697-66-71. 939-34-93 ( ).
E-mail: secretary-msu-press@yandex.ru
: www.msu.ru/depts/MSUPubl2005
-: www.msupublishing.ru
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519.

6) An A, P (A) = lim P (An ).

P (AB) = P (A) P (B).

PA (B) = P (AB)/P (A) = P (B)/P (A) B SA .

P (A1 A2 ) P (A1 A3 ) . . . P (An1 An ) + P (A1 A2 A3 )+

+ P (A1 A2 A4 ) + . . . + P (An2 An1 An ) + (1)n+1 P (A1 . . . An ). (1)

P (Ek ) PEk (A) .

P (Ei )PEi (A)

pi = mi /m, a k {k = (k1 , . . . , kr ) : ki > 0,

= P { f 1 (u)} P { g 1 (v)} = P {f () = u} P {g() = v},

var = E( p)2 = (1 p)2 p + (0 p)2 q = pq,

p(z) = Ez = (pz + q)n .

= (pz + q)n1 (pz + q)n2 = (pz + q)n1 +n2

var = p (1) + p (1) [p (1)]2 = .

... Bi(1, p).

... Bi(n, p).

|p1 (ei ) p2 (ei )| d. (1)

[0, w] [0, u], Re w 6 0, Re u 6

|z| 6 1, |as | 6 1 |bs | 6 1.

|ws |2 = |z 1|2 = (1 cos ),

||k > ||k IA > k IA ,

E||k > k EIA = k P (A).

1. f (x) [0, 1]. n p [0, 1]

6 sup |f (p + x) f (p)| + 2c EIAn 6 sup |f (p + x) f (p)| + 2c

c |f (x)| 6 c x. , f [0, 1].

nP (|| > n) 6 n > N.

(2) > 0 N , kqk 6 k > N ,

, (3) E|1 | <

nP (|1 | > n) 0, E1 1{|1 |<n} .

6 1 [1 nP (|1 | > n)] = nP (|1 | > n) 0

|Fn (x) (x)| 6

N B, P (B) = 0 C A B, P (A B) 6 P (A) + P (B) = 0

f (x) = {f1 (x), . . . , fn (x)}, x = (x1 , . . . , xn ).

p(u, v) = p(u) p(v|u).

B B 1 (B) 1 (B) = 1 (E) = 1 (E) S,

B B { B} = {(1 , . . . , n ) 1 (B)} = 1 (A) 1 (Bn ) =

lim n = inf sup n+p ,

lim n = sup inf n+p .

1. {Ei : i I} . , . - {(Ei ) : i I} ( ) {Ei : i I}.

(1 < c1 ) = { : 1 () < c1 } (2 < c2 ) = { : 2 () < c2 }

f (u1 , . . . , un ) du1 , . . . , dun (x1 , . . . , xn ) Rn .

F (x) = F (x) = P ( < x).

|x| dF (x) = E|| < ,

|x|k+1 dF (x) = E||k+1 < ,

xk+1 eitx dF (x).

eitx dG(x), < t < .

= 2[F (Jnc ) + G(Jnc ) + n ].

F (Jn ) = F (n + 0) F (n), Jnc = (, ) \ Jn ,

f (x) dG(x) 6 G[a , b + ).

F (b) F (a) = G(b) G(a),

) .., (1). (k) (0) =

(t) = Eeit = eitb Eei(at) = exp{it(a + b) a2 2 t2 }.

u1 eu du, x > 0, F (+) = 1,

u1 1 (1 u)2 1 du; 1 > 0, 2 > 0.

(wy)1 1 [y(1 w)]2 1 ey y dy dw =

.. 1 2 P (k1 ) P (k2 ) . Fk1 ,k2 .

P ( < x) = 1 eax , x > 0; a > 0, > 0.

f (x|, , ) = c(, , )xa ebx ,

0 < x < 1. , .. V , (0, 1),

0 < x < 1. , .. U , (0, 1),

= {(u, v) : 0 < u 6 v < 1}.

(v n1 xn1 ) dv = nxn1 (n 1)xn ,

0 < x < 1. , .. D, (0, 1),