semaine 14 à 16

Transcription

semaine 14 à 16

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5. Several Random Variables
5.1: Definitions. Joint density and distribution functions. Marginal
and conditional density and distribution functions.
5.2: Independent random variables. Random sample.
5.3: Joint and conditional moments. Covariance, correlation.
5.4: New random variables from old. Change of variables formulae.
5.5: Order statistics.
References: Ross (Chapter 6); Ben Arous notes (IV.2, IV.4–IV.6,
V.1, V.2).
Exercises: 89, 94–102, 114, 115 of Recueil d’exercices, and the
exercises in the text below.
Probabilité et Statistique I — Chapter 5
1
Petit Vocabulaire Probabiliste
Mathematics
English
Français
E(X)
E(X r )
expected value/expectation of X
l’espérance de X
rth moment of X
rième moment de X
var(X)
variance of X
la variance de X
MX (t)
moment generating function of X, or
la fonction génératrice des moments
the Laplace transform of fX (x)
ou la transformée de Laplace de fX (x)
fX,Y (x, y)
joint density/mass function
densité/fonction de masse conjointe
FX,Y (x, y)
joint (cumulative) distribution function
fonction de répartition conjointe
fX|Y (x | y)
conditional density function
densité conditionelle
X, Y independent
X, Y independantes
random sample from F
un échantillon aléatoire
E(X r Y s )
joint moment
un moment conjoint
cov(X, Y )
covariance of X and Y
la covariance de X et Y
corr(X, Y )
correlation of X and Y
la correlation de X et Y
conditional expectation of X
l’espérance conditionelle de X
conditional variance of X
la variance conditionelle de X
rth order statistic
rieme statistique d’ordre
fX,Y (x, y) = fX (x)fY (y)
iid
X1 , . . . , X n ∼ F
E(X | Y = y)
var(X | Y = y)
X(r)
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5.1 Basic Ideas
Often we consider how several variables vary simultaneously. Some
examples:
Exemple 5.1: Consider the distribution of (height, weight) for
EPFL students.
•
Exemple 5.2: N people vote for political parties, choosing among
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(left, centre, right).
Exemple 5.3: Consider marks for a probability test and a
probability exam, (T, P ), with 0 ≤ T, P ≤ 6. How are these likely to
be related? Given the test results, what can we say about the likely
value of P ?
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Our previous definitions generalize in a natural way to this situation.
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Bivariate Discrete Random Variables
Définition: Let (X, Y ) be a discrete random variable: the set
D = {(x, y) ∈ R2 : P{(X, Y ) = (x, y)} > 0}
is countable. The joint probability mass function of (X, Y ) is
fX,Y (x, y) = P{(X, Y ) = (x, y)},
(x, y) ∈ R2 ,
and the joint cumulative distribution function of (X, Y ) is
FX,Y (x, y) = P(X ≤ x, Y ≤ y),
(x, y) ∈ R2 .
Exemple 5.4: One 1SFr and two 5SFr coins are tossed. Let X
denote the total number of heads, and Y the number of heads
showing on the 5SFr coins. Find the joint probability mass function
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of (X, Y ), and give P(X ≤ 2, Y ≤ 1) and P(X ≤ 2, 1 ≤ Y ≤ 2).
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Bivariate Continuous Random Variables
Définition: The random variable (X, Y ) is called (jointly)
continuous if there exists a function fX,Y (x, y) such that
Z Z
P{(X, Y ) ∈ A} =
fX,Y (u, v) dudv
(u,v)∈A
for any A ⊂ R2 . Then fX,Y (x, y) is called the joint probability
density function of (X, Y ).
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On setting A = {(u, v) : u ≤ x, v ≤ y}, we see that the joint
cumulative distribution function of (X, Y ) may be written
Z x Z y
FX,Y (x, y) = P(X ≤ x, Y ≤ y) =
fX,Y (u, v) dudv, (x, y) ∈ R2 ,
−∞
−∞
5
and this implies that
∂2
fX,Y (x, y) =
FX,Y (x, y).
∂x∂y
Exercice : If x1 < x2 and y1 < y2 , show that
P(x1 < X ≤ x2 , y1 < Y ≤ y2 ) = F (x2 , y2 )−F (x1 , y2 )−F (x2 , y1 )+F (x1 , y1 ).
Exemple 5.5: Find the joint cumulative distribution function and
P(X ≤ 1, Y > 2) when
−3x−2y
e
, x, y > 0,
fX,Y (x, y) ∝
0,
otherwise.
Exemple 5.6: Find the joint cumulative distribution function and
P(X ≤ 1, Y > 2) when
−x−y
e
, y > x > 0,
fX,Y (x, y) ∝
0,
otherwise.
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Marginal and Conditional Distributions
Définition: The marginal probability mass/density function
for X is
P
discrete case,
y fX,Y (x, y),
R
x ∈ R.
fX (x) =
∞
f
(x,
y)
dy,
continuous
case,
−∞ X,Y
The conditional probability mass/density function for Y given
X is
fX,Y (x, y)
fY |X (y | x) =
, y ∈ R,
fX (x)
provided fX (x) > 0. When (X, Y ) is discrete,
fX (x) = P(X = x),
fY |X (y | x) = P(Y = y | X = x).
Analogous definitions hold for fY (y), fX|Y (x | y), and for the
conditional distribution functions FX|Y (x | y), FY |X (y | x). The
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definitions extend to several dimensions by letting X, Y be vectors. •
Exemple 5.7: Find the conditional and marginal probability mass
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functions in Example 5.4.
Exercice : Recompute Examples 5.4, 5.7 with three 1SFr and two
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5SFr coins.
Exemple 5.8: The number of eggs laid by a beetle has a Poisson
distribution with mean λ. Each egg hatches independently with
probability p. Find the distribution of the total number of eggs that
hatch. Given that x eggs have hatched, what is the distribution of
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the number of eggs that were laid?
Exemple 5.9: Find the conditional and marginal density functions
•
in Example 5.6.
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Multivariate Random Variables
Définition: Let X1 , . . . , Xn be random variables defined on the
same probability space. Their joint cumulative distribution function
is
FX1 ,...,Xn (x1 , . . . , xn ) = P(X1 ≤ x1 , . . . , Xn ≤ xn )
and their joint probability mass/density function is
(
P(X1 = x1 , . . . , Xn = xn ), discrete case,
fX1 ,...,Xn (x1 , . . . , xn ) = ∂ n FX1 ,...,Xn (x1 ,...,xn )
,
continuous case.
∂x1 ···∂xn
Marginal and conditional density and distribution functions are
defined analogously to the bivariate case, by replacing (X, Y ) with
X = X1 , Y = (X2 , . . . , Xn ).
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All the subsequent discussion can be generalised to n variables in an
obvious way, but as the notation becomes heavy we mostly stick to
the bivariate case.
Exemple 5.10: n students vote for the three candidates for
president of their union. Let X1 , X2 , X3 be the corresponding
numbers of votes, and suppose that all n students vote independently
with probabilities p1 = 0.45, p2 = 0.4, and p3 = 0.15. Show that
fX1 ,X2 ,X3 (x1 , x2 , x3 ) =
n!
px1 1 px2 2 px3 3 ,
x1 !x2 !x3 !
x1 , x2 , x3 ∈ {0, . . . , n},
x1 + x2 + x3 = n.
where
Find the marginal distribution of X3 , and the conditional
distribution of X1 given X3 = m.
•
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5.2 Independent Random Variables
Définition: Two random variables X, Y defined on the same
probability space are independent if for any subsets A, B ⊂ R,
P(X ∈ A, Y ∈ B) = P(X ∈ A)P(Y ∈ B).
This implies that the events EA = {X ∈ A} and EB = {Y ∈ B} are
independent for any sets A, B ⊂ R.
Setting A = (−∞, x] and B = (−∞, y], we have in particular
FX,Y (x, y) =
P(X ≤ x, Y ≤ y)
=
P(X ≤ x) P(Y ≤ y)
=
FX (x)FY (y),
−∞ < x, y < ∞.
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This implies the equivalent condition
fX,Y (x, y) = fX (x)fY (y),
−∞ < x, y < ∞,
which will be our criterion of independence.
Note: X, Y are independent if and only if this holds for all x, y ∈ R:
it is a condition on the functions fX,Y (x, y), fX (x), fY (y).
Note: If X, Y are independent, then for any x for which fX (x) > 0,
fY |X (y | x) =
fX (x)fY (y)
fX,Y (x, y)
=
= fY (y),
fX (x)
fX (x)
y ∈ R.
Thus knowledge of the value taken by X does not affect the density
of Y : this an obvious meaning of independence. By symmetry we
have also that fX|Y (x | y) = fX (x) for any y for which fY (y) > 0.
Note: If X and Y are not independent, we say they are dependent.
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Exemple 5.11: Are (X, Y ) independent in Example 5.4?
•
•
•
Exemple 5.14: If the density of (X, Y ) is uniform on the disk
{(x, y) : x2 + y 2 ≤ a},
then (a) without computing the density, say if they are independent;
(b) find the conditional density of Y given X.
•
Exercice : Let ρ be a constant in the range −1 < ρ < 1. When are
the variables with joint density
2
2
x − 2ρxy + y
1
exp −
fX,Y (x, y) =
, −∞ < x, y < ∞,
2(1 − ρ2 )
2π(1 − ρ2 )1/2
independent? What are then the densities of X and Y ?
•
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Random Sample
Définition: A random sample of size n from a distribution F
with density f is a set of n independent random variables all with
iid
iid
distribution F . We then write X1 , . . . , Xn ∼ F or X1 , . . . , Xn ∼ f .
iid
The joint probability density of X1 , . . . , Xn ∼ f is
fX1 ,...,Xn (x1 , . . . , xn ) =
n
Y
fX (xj ).
j=1
iid
Exemple 5.15: If X1 , X2 ∼ exp(λ), give their joint density.
•
iid
Exercice : Write down the joint density of Z1 , Z2 , Z3 ∼ N (0, 1),
•
and show that it depends only on R = (Z12 + Z22 + Z32 )1/2 .
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5.3 Joint and Conditional Moments
Définition: Let X, Y be random variables with probability density
function fX,Y (x, y). Then the expectation of g(X, Y ) is
P
discrete case,
x,y g(x, y)fX,Y (x, y),
RR
E{g(X, Y )} =
g(x, y)fX,Y (x, y) dxdy, continuous case,
provided E{|g(X, Y )|} < ∞ (so that E{g(X, Y )} has a unique value).
In particular we define joint moments and joint central moments
E(X r Y s ),
r
s
E [{X − E(X)} {Y − E(Y )} ] ,
r, s ∈ N.
The most important of these is the covariance of X and Y ,
cov(X, Y ) = E [{X − E(X)} {Y − E(Y )}] = E(XY ) − E(X)E(Y ).
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Properties of Covariance
Théorème : Let X, Y, Z be random variables and a, b, c, d scalar
constants. Covariance satisfies:
cov(X, X) =
var(X);
cov(a, X) =
0;
cov(X, Y ) =
cov(Y, X),
(symmetry);
cov(a + bX + cY, Z) =
b cov(X, Z) + c cov(Y, Z),
cov(a + bX, c + dY ) =
bd cov(X, Y );
var(a + bX + cY ) =
cov(X, Y )2
≤
(bilinearity);
b2 var(X) + 2bc cov(X, Y ) + c2 var(Y );
var(X)var(Y ),
(Cauchy–Schwarz inequality).
Use the definition of covariance to prove these. For the last, note that
var(X + aY ) is a quadratic function of a with at most one real root.
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Independence and Covariance
If X and Y are independent and g(X), h(Y ) are functions whose
expectations exist, then (in the continuous case)
ZZ
E{g(X)h(Y )} =
g(x)h(y)fX,Y (x, y) dxdy
ZZ
=
g(x)h(y)fX (x)fY (y) dxdy
Z
Z
=
g(x)fX (x) dx
h(y)fY (y) dy
= E{g(X)}E{h(Y )}.
Setting g(X) = X − E(X) and h(Y ) = Y − E(Y ), we see that if X
and Y are independent, then
cov(X, Y ) = E [{X − E(X)} {Y − E(Y )}] = E {X − E(X)} E {Y − E(Y )} = 0.
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Independent Variables
Note: In general it is not true that cov(X, Y ) = 0 implies
independence of X and Y .
Exercice : Let X ∼ N (0, 1) and set Y = X 2 − 1. What is the
conditional distribution of Y given X = x? Are they dependent?
Show that E(X r ) = 0 for any odd r. Deduce that cov(X, Y ) = 0.
•
Exemple 5.16: Let Z1 , Z2 , Z3 be independent exponential variables
with parameters λ1 , λ2 , λ3 . Let X = Z1 + Z2 and Y = Z1 + Z3 . Find
•
cov(X, Y ) and cov(2 + 3X, 4Y ).
Exemple 5.17: Let X1 ∼ N (µ1 , σ12 ) and X2 ∼ N (µ2 , σ22 ) be
independent. Find the moment-generating functions of X1 and of
X1 + X2 . What is the distribution of X1 + X2 ?
•
18
Linear Combinations of Random Variables
Let X1 , . . . , Xn be random variables and a, b1 , . . . , bn constants. Then
the properties of expectation E(·) and of covariance cov(·, ·) imply
E(a + b1 X1 + · · · + bb Xn )
= a+
n
X
bj E(Xj ),
j=1
var(a + b1 X1 + · · · + bb Xn )
=
n
X
b2j var(Xj )
j=1
+
X
bj bk cov(Xj , Xk ).
j6=k
If X1 , . . . , Xn are independent, then cov(Xj , Xk ) = 0, j 6= k, and so
var(a + b1 X1 + · · · + bb Xn ) =
n
X
b2j var(Xj ).
j=1
Exemple 5.18: If X1 , X2 are independent variables with means 1, 2,
and variances 3, 4, find the mean and variance of 5X1 + 6X2 − 16. •
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Correlation
Covariance is a poor measure of dependence between two quantities,
because it depends on their units of measurement.
Définition: The correlation of X, Y is defined as
corr(X, Y ) =
cov(X, Y )
1/2
{var(X)var(Y )}
.
Note: This measures linear dependence between X and Y . If
corr(X, Y ) = ±1 then constants a, b, c exist such that aX + bY = c
with probability one: X and Y are then perfectly linearly dependent.
If independent, they are uncorrelated: corr(X, Y ) = 0.
Note: In all cases −1 ≤ corr(X, Y ) ≤ 1.
Note: Mapping (X, Y ) 7→ (a + bX, c + dY ) changes corr(X, Y ) to
sign(bd)corr(X, Y ): at most the sign of the correlation changes.
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Exemple 5.19: Find corr(X, Y ) in Example 5.16.
•
Exercice : Let Z1 , Z2 , Z3 be independent Poisson variables with
common mean λ. Let X = Z1 + 2Z2 and Y = 2Z1 + Z3 . Find
cov(X, Y ) and corr(X, Y ).
•
21
Multivariate Normal Distribution
Définition: Let µ = (µ1 , . . . , µn )T ∈ Rn , and let Ω be a n × n
positive definite matrix with elements ωjk . Then the vector random
variable X = (X1 , . . . , Xn )T with probability density
f (x) =
1
(2π)p/2 |Ω|1/2
1
T
−1
exp − 2 (x − µ) Ω (x − µ) ,
x ∈ Rn ,
is said to have the multivariate normal distribution with mean
vector µ and covariance matrix Ω; we write X ∼ Nn (µ, Ω). This
implies that
E(Xj ) = µj , cov(Xj , Xk ) = ωjk .
If cov(Xj , Xk ) = 0, then the variables Xj , Xk are independent.
Here are plots with n = 2, zero mean (µ1 = µ2 = 0), unit variance
(ω11 = ω22 = 1), and correlation ρ = ω12/(ω11 ω22 )1/2 .
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Bivariate Normal Densities
rho=0.0
0 0.1 0.2 0.3
2
1
0
x2 -1
-2
rho=0.3
0 0.1 0.2 0.3
2
-2
-1
0
x1
1
2
1
0
x2 -1
-2
-2
-1
0
x1
1
2
rho=0.9
0 0.1 0.2 0.3
2
x2
0.02
0.05
0.1
0.15
0.18
1
2
1
0
-1
0
x2 -1
-2
-2
-1
0
x1
1
2
-2
-2
-1
0
1
2
x1
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Espérance conditionelle
Définition: Soit g(X, Y ) une fonction d’un vecteur aléatoire
(X, Y ). Son espérance conditionelle sachant X = x est
P
dans le cas discret,
y g(x, y)fY |X (y | x),
R
E{g(X, Y ) | X = x} =
∞
g(x, y)fY |X (y | x) dy, dans le cas continu,
−∞
à condition que fX (x) > 0 et E{|g(X, Y )| | X = x} < ∞. Noter que
c’est une fonction de x.
Exemple 5.20: Calculer E(Y | X = x) et E(X 4 Y | X = x) dans
l’Exemple 5.5.
•
Exercice : Dans l’Example 5.7, calculer le nombre espéré d’oeufs en
éclosion lorsque n oeufs ont été pondus. Calculer aussi l’espérance du
•
nombre d’oeufs pondus sachant que m oeufs ont éclos.
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Espérance et conditionnement
Dans certains cas, il est plus facile de calculer E{g(X, Y )} par étapes
de la manière suivante :
Théorème : Si les espérances requises existent, alors
E{g(X, Y )}
var{g(X, Y )}
= EX [E{g(X, Y ) | X = x}] ,
= EX [var{g(X, Y ) | X = x}] + varX [E{g(X, Y ) | X = x}] .
où EX et varX représentent l’espérance et la variance par rapport à
la distribution de X.
•
25
Exemple 5.21: n = 200 personnes passent devant un artiste de rue
à un jour donné. Chacune d’entre elles décident independemment de
lui donner de l’argent avec une probabilité de p = 0.05. Les quantités
d’argent reçues sont indépendantes, et ont pour espérances µ = 2$ et
variances σ 2 = 1$2 . Quelles sont l’espérance et la variance de la
quantité d’argent reçues par lui ?
•
26
Exercice : Un étudiant passe un examen composé de n = 6
questions. Pour réussir, il faut qu’il totalise au moins 60 points. Les
notes des différentes questions sont independantes. Il sait qu’il a une
probabilité p = 0.1 de ne pas pouvoir commencer une question.
Cependant s’il sait débuter une question, la note correspondante aura
pour densité
x/200, 0 ≤ x ≤ 20,
f (x) =
0,
sinon.
(a) Quelle est la probabilité que sa note totale soit de zéro?
(b) Quelles sont la moyenne et la variance de sa note totale ?
(c) Utiliser une approximation normale pour estimer la probabilité
qu’il réussisse l’examen.
•
27
5.4 Nouvelles variables aléatoires issues d’anciennes
On veut souvent calculer des lois de variables aléatoires à partir
d’autres variables aléatoires. Voilà comment:
Théorème : Soit Z = g(X, Y ) une fonction des variables aléatoires
(X, Y ) qui a pour densité conjointe fX,Y (x, y). Alors :
P
(x,y)∈Az fX,Y (x, y), cas discret,
RR
FZ (z) = P{g(X, Y ) ≤ z} =
f
(x, y) dxdy, cas continu ,
Az X,Y
où Az = {(x, y) : g(x, y) ≤ z}.
iid
Exemple 5.22: Soient X, Y ∼ exp(λ), calculer les lois de X + Y et
de Y − X.
•
Exemple 5.23: Soient X1 et X2 les résultats de lancés
indépendants de deux dés équilibrés. calculer la loi de X1 + X2 .
•
28
Tranformations de densité conjointe continue
Théorème : Soit (X1 , X2 ) un vecteur aléatoire de dimension 2, et
de densité continue, soient Y1 = g1 (X1 , X2 ) et Y2 = g2 (X1 , X2 ), où:
(a) le système d’ équations y1 = g1 (x1 , x2 ), y2 = g2 (x1 , x2 ) peut être
résolu pour tout (y1 , y2 ), donnant les solutions
x1 = h1 (y1 , y2 ), x2 = h2 (y1 , y2 ); et
(b) g1 and g2 sont continuement différentiables et ont pour Jacobien
∂g1 ∂g1 ∂x
∂x2 1
J(x1 , x2 ) = ∂g2 ∂g2 ∂x1
∂x2
qui est positif si fX1 ,X2 (x1 , x2 ) > 0.
Alors
fY1 ,Y2 (y1 , y2 ) = fX1 ,X2 (x1 , x2 )
|J(x1 , x2 )|−1 x1 =h1 (y1 ,y2 ),x2 =h2 (y1 ,y2 )
.
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Exemple 5.24: Calculer la densité conjointe de Y1 = X1 + X2 et
iid
Y2 = X1 − X2 lorsque X1 , X2 ∼ N (0, 1).
•
Exemple 5.25: Calculer la densité conjointe de X1 + X2 et
iid
X1 /(X1 + X2 ) lorsque X1 , X2 ∼ exp(λ).
•
iid
Exemple 5.26: Si X1 , X2 ∼ N (0, 1), calculer la densité de X2 /X1 .•
Exercice : Si la densité de (X1 , X2 ) se répartit uniformément sur le
disque unitaire {(x1 , x2 ) : x21 + x22 ≤ 1}, calculer la densité de
X12 + X22 .
(Indication : utiliser les coordonnées polaires.)
•
30
Cas multivariée
Le théorème ci-dessus s’ étend aux vecteurs aléatoires de densité
continue :
(X1 , . . . , Xn ) 7→ (Y1 = g1 (X1 , . . . , Xn ), . . . Yn = gn (X1 , . . . , Xn )).
à condition que la transformation inverse existe, et a pour Jacobien
∂g1
∂g1 ·
·
·
∂x1
∂xn .. ,
..
J(x1 , . . . , xn ) = ...
.
. ∂gn
∂gn ·
·
·
∂x1
∂xn
on trouve que
fY1 ,...,Yn (y1 , . . . , yn ) = fX1 ,...,Xn (x1 , . . . , xn ) |J(x1 , . . . , xn )|−1 ,
evaluaée á x1 = h1 (y1 , . . . , yn ), . . . , xn = hn (y1 , . . . , yn ).
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Fonctions génératrices des moments (rappel)
La fonction génératrice des moments (FGM) de X est définie comme
MX (t) = E(etX ), avec t ∈ R de façon à ce que MX (t) < ∞. Elle
résume la loi de X, qui lui est équivalente. Ses propriétés clés sont :
MX (0) = 1;
Ma+bX (t) = eat MX (bt);
r
∂ MX (t) r
E(X ) =
;
∂tr t=0
′
MX
(0) = E(X);
′′
′
MX
(0) − MX
(0)2
= var(X).
Il existe une bijection entre la fonction de répartition et la fonction
génératrice des moments.
32
Combinaisons linéaires
Théorème : Soient a, b1 , . . . , bn des constantes et X1 , . . . , Xn des
variables independantes dont les FGMs existent. Alors
Y = a + b1 X1 + · · · + bn Xn a pour FGM
MY (t) = E(etY )
= E{et(a+b1 X1 +···+bn Xn ) }
= eat E(etb1 X1 ) × · · · × E(etbn Xn )
n
Y
MXj (tbj ).
= eta
j=1
En particulier, si X1 , . . . , Xn est un échantillon aléatoire, alors
S = X1 + · · · + Xn a pour FGM
MS (t) = MX (t)n .
33
Utilisation des fonctions génératrices des moments
2
Exemple 5.27: Soit Z ∼ N (0, 1), montrer que MZ (t) = et
2 2
déduire que X = µ + σZ a pour FGM MX (t) = etµ+t σ /2 .
/2
. En
•
Exemple 5.28: Supposons que X1 , . . . , Xn sont independants, et
Xj ∼ N (µj σj2 ). Montrer que
Y = a+b1 X1 +· · ·+bn Xn ∼ N (a+b1 µ1 +· · ·+bn µn , b21 σ12 +· · ·+b2n σn2 ) :
donc, qu’une combinaison linéaires de variables normales est normale.
•
iid
Exemple 5.29: SoientIf X1 , . . . , Xn ∼ exp(λ), montrer que
S = X1 + · · · + Xn est distribuée selon une loi gamma.
•
iid
Exemple 5.30: Soient X1 , X2 ∼ exp(λ), montrer que
W = X1 − X2 est distribuée selon une loi de Laplace.
•
34
5.5 Statistiques d’ordre
Définition: Les statistiques d’ordre des variables aléatoires
X1 , . . . , Xn sont les valeurs ordonnées
X(1) ≤ X(2) ≤ · · · ≤ X(n−1) ≤ X(n) .
Si les X1 , . . . , Xn sont continues, alors leurs valeurs diffèrent avec
probabilité 1 et
X(1) < X(2) < · · · < X(n−1) < X(n) .
Définition: Le minimum de l’échantillon est X(1) .
Définition: Le maximum de l’échantillon est X(n) .
Définition: La médiane de l’échantillon de X1 , . . . , Xn est
X(m+1) si n = 2m + 1 est impair, et 12 (X(m) + X(m+1) ) si n = 2m est
pair. La médiane fait ressortir le ‘centre’ des données.
35
Exemple 5.31: Si x1 = 6, x2 = 3, x3 = 4, les statistiques d’ordre
sont x(1) = 3, x(2) = 4, x(3) = 6. Les minimum, médiane, et maximum
de l’ échantillon sont 3, 4, et 6 respectivement.
•
Théorème : Soient X1 , . . . , Xn un échantillon aléatoire issu d’une
distribution continue de densité f et de fonction de répartition F . On
a alors :
P(X(n) ≤ x) = F (x)n ;
P(X(1) ≤ x) = 1 − {1 − F (x)}n ;
fX(r) (x) =
n!
F (x)r−1 f (x){1 − F (x)}n−r ,
(r − 1)!(n − r)!
r = 1, . . . , n.
iid
Exemple 5.32: Soient X1 , X2 , X3 ∼ exp(λ). Quelles sont les
densités marginales de X(1) , X(2) , and X(3) ?
•
36
Exemple 5.33: Un étudiant passe un examen composé de 5
questions qui sont notées indépendemment. Les notes ont pour
densité
x/200, 0 ≤ x ≤ 20,
f (x) =
0,
sinon.
Trouver la probabilité que sa note la plus faible soit inférieure á 5.
Calculer les espérances de la note médiane et la note la plus élevée. •
iid
Exercice : Soient X1 , . . . , Xn ∼ F un échantillon aléatoire,
montrer que P(X(1) > x, X(n) ≤ y) = {F (y) − F (x)}n . Si F est
continue, utiliser le fait que
P(X(n) ≤ y) = P(X(1) > x, X(n) ≤ y) + P(X(1) ≤ x, X(n) ≤ y)
pour montrer que la densité conjointe de X(1) , X(n) est
fX(1) ,X(n) (x, y) = n(n − 1)f (x)f (y){F (y) − F (x)}n−2 ,
Trouver cette densité pour l’Exemple 5.32.
x < y.
•
37

semaine 14 à 16

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