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tut5-v1.2
| Author | SHA1 | Date | |
|---|---|---|---|
| 081cad7f11 | |||
| 9f422f859e | |||
| c23ac95b90 | |||
| 7640d83c37 | |||
| 25e25a366f | |||
| 54407061a0 | |||
| 33ff39f974 | |||
| 8eb3a6378f | |||
| 876bbad136 | |||
| 587d894e5e | |||
| 6eee07a720 | |||
| 6f7dbe5018 | |||
| 8dad61d27a | |||
| 23e14d74a8 | |||
| ddd70cae86 | |||
| a4df0108de |
@@ -1,4 +1,3 @@
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$pdflatex="pdflatex -shell-escape -interaction=nonstopmode -synctex=1 %O %S";
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$out_dir = 'build';
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$pdf_mode = 1;
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16
Makefile
16
Makefile
@@ -1,19 +1,25 @@
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PRESENTATIONS := $(patsubst src/%/presentation.tex,build/presentation_%.pdf,$(wildcard src/*/presentation.tex))
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HANDOUTS := $(patsubst build/presentation_%.pdf,build/presentation_%_handout.pdf,$(PRESENTATIONS))
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RC_PDFLATEX := $(shell grep '$$pdflatex' .latexmkrc \
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| sed -e 's/.*"\(.*\)".*/\1/' -e 's/%S//' -e 's/%O//')
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.PHONY: all
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all: $(PRESENTATIONS) $(HANDOUTS)
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build/presentation_%.pdf: src/%/presentation.tex build/prepared
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TEXINPUTS=./lib/cel-slides-template-2025:$$TEXINPUTS latexmk $<
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mv build/presentation.pdf $@
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TEXINPUTS=./lib/cel-slides-template-2025:$(dir $<):$$TEXINPUTS \
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latexmk -outdir=build/$* $<
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cp build/$*/presentation.pdf $@
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build/presentation_%_handout.pdf: src/%/presentation.tex build/prepared
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TEXINPUTS=./lib/cel-slides-template-2025:$$TEXINPUTS latexmk -pdflatex='pdflatex %O "\def\ishandout{1}\input{%S}"' $<
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mv build/presentation.pdf $@
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TEXINPUTS=./lib/cel-slides-template-2025:$(dir $<):$$TEXINPUTS \
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latexmk -outdir=build/$*_handout \
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-pdflatex='$(RC_PDFLATEX) %O "\def\ishandout{1}\input{%S}"' $<
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cp build/$*_handout/presentation.pdf $@
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build/prepared:
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mkdir -p build
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mkdir build
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touch build/prepared
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.PHONY: clean
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@@ -30,11 +30,15 @@
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\usepackage{tikz}
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\usepackage{tikz-3dplot}
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\usetikzlibrary{spy, external, intersections, positioning}
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%\tikzexternalize[prefix=build/]
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\ifdefined\ishandout\else
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\tikzexternalize
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\fi
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\usepackage{pgfplots}
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\pgfplotsset{compat=newest}
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\usepgfplotslibrary{fillbetween}
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\usepgfplotslibrary{groupplots}
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\usepackage{enumerate}
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\usepackage{listings}
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@@ -45,6 +49,7 @@
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\usepackage{amsmath}
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\usepackage{graphicx}
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\usepackage{calc}
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\usepackage{amssymb}
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\title{WT Tutorium 5}
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\author[Tsouchlos]{Andreas Tsouchlos}
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@@ -64,7 +69,6 @@
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\newlength{\depthofsumsign}
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\setlength{\depthofsumsign}{\depthof{$\sum$}}
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\newlength{\totalheightofsumsign}
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\newlength{\heightanddepthofargument}
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\newcommand{\nsum}[1][1.4]{
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\mathop{
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\raisebox
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@@ -97,7 +101,96 @@
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\subsection{Theorie Wiederholung}
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% TODO:
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\begin{frame}
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\frametitle{Summen Unabhängiger Zufallsvariablen}
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\begin{gather*}
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Z = X + Y, \hspace{10mm}X,Y \text{ unabhängig} \\[4mm]
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\begin{array}{rl}
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\text{Faltungssatz (diskret): } & P_Z(n) =
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\nsum_{k=0}^{n} P_X(k)P_Y(n-k) \\[2mm]
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\text{Charakteristische Funktion: } & \phi_Z(s) = \phi_X(s)
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\cdot \phi_Y(s)
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\end{array}
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\end{gather*}
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\end{frame}
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\begin{frame}
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\frametitle{Poisson-Verteilung}
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\vspace*{-10mm}
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\begin{itemize}
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\item Binomialverteilung für $N\rightarrow \infty$ mit
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$pN=\text{const.}=: \lambda$ \\
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\begin{itemize}
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\item ``Übergang von diskreter auf stetige
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Zeitachse bei fester mittlerer Rate'' \\
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\item $\lambda \equiv$ ``mittlere Rate an Treffern
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pro Zeitabschnitt''
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\end{itemize}
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\item Beispiele
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\begin{itemize}
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\item Sternschnuppen pro Stunde
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\item Anzahl an Websitebesuchern pro Minute
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\end{itemize}
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\end{itemize}
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\pause
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\begin{gather*}
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X \sim \text{Poisson}(\lambda)
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\end{gather*}
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\vspace*{-2mm}
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\begin{gather*}
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P_X(n) = \frac{\lambda^n}{n!}e^{-\lambda} \\[2mm]
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\phi_X(s) = \text{exp}\left(\lambda (e^{js} -1)\right)
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\end{gather*}
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\vspace*{-2mm}
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\begin{align*}
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E(X) &= \lambda\\
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V(X) &= \lambda
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\end{align*}
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\end{frame}
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\begin{frame}
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\frametitle{Zusammenfassung}
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\vspace*{-20mm}
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\begin{columns}[t]
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\column{\kitthreecolumns}
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\begin{greenblock}{Poisson-Verteilung}
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\vspace*{-6mm}
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\begin{gather*}
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X \sim \text{Poisson}(\lambda) \\[3mm]
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P_X(n) = \frac{\lambda^n \cdot e^{-\lambda}}{n!} \\[4mm]
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\phi_X(s) = \text{exp}\left(\lambda (e^{js} -1)\right)
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\end{gather*}
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\end{greenblock}
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\begin{greenblock}{Binomialentwicklung}
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\vspace*{-6mm}
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\begin{gather*}
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\nsum_{k=0}^{n} \binom{n}{k}a^k b^{n-k} = (a+b)^n, \hspace{15mm}
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\binom{n}{k} = \frac{n!}{(n-k)!k!}
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\end{gather*}
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\end{greenblock}
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\column{\kitthreecolumns}
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\begin{greenblock}{Faltungssatz (diskrete ZV)}
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\vspace*{-6mm}
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\begin{gather*}
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Z = X + Y, \hspace{10mm}X,Y \text{ unabhängig} \\[3mm]
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P_Z(n) = \nsum_{k=0}^{n} P_X(k)P_Y(n-k)
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\end{gather*}
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\end{greenblock}
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\begin{greenblock}{Charakteristische Funktion einer Summe von ZV}
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\vspace*{-6mm}
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\begin{gather*}
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Z = X + Y, \hspace{10mm}X,Y \text{ unabhängig} \\[3mm]
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\phi_Z(s) = \phi_X(s) \cdot \phi_Y(s)
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\end{gather*}
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\end{greenblock}
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\end{columns}
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\end{frame}
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\subsection{Aufgabe}
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@@ -124,6 +217,8 @@
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\begin{frame}[fragile]
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\frametitle{Aufgabe 1:\\Faltungssatz \& Charakteristische Funktion}
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\vspace*{-3mm}
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Es seien zwei unabhängige poissonverteilte Zufallsvariablen $X$ und
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$Y$ mit den Parametern $\lambda_1$
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bzw. $\lambda_2$ gegeben.
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@@ -136,17 +231,19 @@
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zweier Zufallsvariablen.
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\pause\begin{gather*}
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X \sim \text{Poisson}(\lambda_1) \hspace{3mm}
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\Leftrightarrow \hspace{3mm} P_X(k)
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= \frac{\lambda_1^k \cdot e^{-\lambda_1}}{k!} \hspace{30mm}
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\Leftrightarrow \hspace{3mm} P_X(n)
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= \frac{\lambda_1^n \cdot e^{-\lambda_1}}{n!} \hspace{30mm}
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Y \sim \text{Poisson}(\lambda_2) \hspace{3mm}
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\Leftrightarrow \hspace{3mm} P_Y(k)
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= \frac{\lambda_2^k \cdot e^{-\lambda_2}}{k!}
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\Leftrightarrow \hspace{3mm} P_Y(n)
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= \frac{\lambda_2^n \cdot e^{-\lambda_2}}{n!}
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\end{gather*}
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\vspace{2mm}
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\pause\begin{align*}
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P_Z(n) &= P_{X+Y}(n) = \nsum_{k=0}^{n} P_X(k)P_Y(n-k)
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= \nsum_{k=0}^{n} \frac{\lambda_1^k \cdot e^{-\lambda_1}}{k!}
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\cdot \frac{\lambda_2^{n-k} \cdot e^{-\lambda_2}}{(n-k)!} \\[3mm]
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\cdot \frac{\lambda_2^{n-k} \cdot e^{-\lambda_2}}{(n-k)!}
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\end{align*}
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\vspace*{-4mm}
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\pause\begin{align*}
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&= e^{-(\lambda_1 + \lambda_2)} \nsum_{k=0}^{n}
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\frac{1}{k! (n-k)!} \lambda_1^k \lambda_2^{n-k} \\[3mm]
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&= \frac{e^{-(\lambda_1 + \lambda_2)}}{n!} \nsum_{k=0}^{n}
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@@ -155,12 +252,37 @@
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\binom{n}{k} \lambda_1^k \lambda_2^{n-k}
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= \frac{e^{-(\lambda_1 + \lambda_2)}}{n!}
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( \lambda_1 + \lambda_2 )^n
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=: \frac{\lambda^n e^{-\lambda}}{n!}
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=: \frac{\lambda^n e^{-\lambda}}{n!} \\[6mm]
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& \hspace*{-15mm}\Rightarrow Z \sim \text{Poisson}(\lambda_1 + \lambda_2)
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\end{align*}
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\pause\item Erbringen Sie denselben Nachweis mithilfe der
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\end{enumerate}
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% tex-fmt: on
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\end{frame}
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\begin{frame}
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\frametitle{Aufgabe 1:\\Faltungssatz \& Charakteristische Funktion}
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% tex-fmt: off
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\begin{enumerate}[a{)}]
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\setcounter{enumi}{1}
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\item Erbringen Sie denselben Nachweis mithilfe der
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charakteristischen Funktion.
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\pause\begin{gather*}
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X \sim \text{Poisson}(\lambda_1) \hspace{3mm}
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\Leftrightarrow \hspace{3mm}
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\phi_X(s) = \text{exp}\left(\lambda_1 (e^{js} -1)\right)
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\hspace{30mm}
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Y \sim \text{Poisson}(\lambda_1) \hspace{3mm}
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\Leftrightarrow \hspace{3mm}
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\phi_Y(s) = \text{exp}\left(\lambda_2 (e^{js} -1)\right)
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\end{gather*}
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\vspace*{-5mm}
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\pause\begin{align*}
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% TODO: Write solution
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\phi_Z(s) &= \phi_X(s) \cdot \phi_Y(s) \\
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&= \text{exp}\left(\lambda_2 (e^{js} -1)\right) \cdot
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\text{exp}\left(\lambda_2 (e^{js} -1)\right) \\
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&= \text{exp}\left((\lambda_1 + \lambda_2) (e^{js} -1)\right) \\[4mm]
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& \hspace*{-15mm}\Rightarrow Z \sim \text{Poisson}(\lambda_1 + \lambda_2)
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\end{align*}
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\end{enumerate}
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% tex-fmt: on
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@@ -172,7 +294,429 @@
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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||||
\subsection{Theorie Wiederholung}
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% TODO:
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||||
\begin{frame}
|
||||
\frametitle{Mehrdimensionale Zufallsvariablen}
|
||||
|
||||
\vspace*{-20mm}
|
||||
|
||||
\begin{columns}[t]
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||||
\column{\kitfourcolumns}
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||||
\begin{itemize}
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||||
\item Randdichte
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||||
\begin{align*}
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f_X(x) = \int_{-\infty}^{\infty} f_{X,Y}(x,y) dy
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\end{align*}
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\end{itemize}
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\column{\kittwocolumns}
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\begin{figure}[H]
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\centering
|
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|
||||
\begin{tikzpicture}[
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||||
/pgfplots/scale only axis,
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/pgfplots/width=5cm,
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||||
/pgfplots/height=5cm
|
||||
]
|
||||
|
||||
\begin{axis}[
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name=main axis,
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view={0}{90},
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ticks=none,
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xlabel={$x$},ylabel={$y$},
|
||||
]
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\addplot3[
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surf, shader=interp,
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samples=40,
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domain=-3:3, y domain=-3:3
|
||||
]
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||||
{1/(2*pi*sqrt(0.5)) * exp(-1/(2*(1 -
|
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sqrt(0.5))) * (x^2 -2*sqrt(0.5)*x*y + y^2) )};
|
||||
\end{axis}
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\node[below] at
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($(main axis.south west) + (-.5, -.5)$) {$f_{X,Y}(x,y)$};
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\begin{axis}[
|
||||
anchor=south west,
|
||||
at=(main axis.north west),
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||||
height=2cm,
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||||
ticks=none,
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||||
ylabel={$f_X(x)$},
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||||
samples=50,
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||||
domain=-3:3,
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xmin=-3,xmax=3,
|
||||
]
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\addplot[line width=1pt] {1/sqrt(2*pi) *
|
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exp(-x^2/2)};
|
||||
\end{axis}
|
||||
|
||||
\begin{axis}[
|
||||
anchor=north west,
|
||||
at=(main axis.north east),
|
||||
width=2cm,
|
||||
ticks=none,
|
||||
xlabel={$f_Y(y)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
ymin=-3,ymax=3,
|
||||
]
|
||||
\addplot[line width=1pt] ( {1/sqrt(2*pi)
|
||||
* exp(-x^2/2)}, {x} );
|
||||
\end{axis}
|
||||
\end{tikzpicture}
|
||||
\end{figure}
|
||||
\end{columns}
|
||||
|
||||
\pause
|
||||
\vspace*{-45mm}
|
||||
\begin{columns}
|
||||
\column{\kitfourcolumns}
|
||||
\begin{itemize}
|
||||
\item Umrechnung von Dichten mit dem Transformationssatz
|
||||
\begin{gather*}
|
||||
X = h_1(U,V), \hspace{5mm} Y = h_2(U,V) \\[5mm]
|
||||
\mathcal{J} =
|
||||
\begin{pmatrix}
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}x & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}x \\[3mm]
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}y & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}y
|
||||
\end{pmatrix}
|
||||
=
|
||||
\begin{pmatrix}
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}h_1(u,v) & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}h_1(u,v) \\[3mm]
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}h_2(u,v) & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}h_2(u,v)
|
||||
\end{pmatrix} \\[5mm]
|
||||
f_{U,V}(u,v) = \lvert
|
||||
\text{det}(\mathcal{J}) \rvert
|
||||
\cdot f_{X,Y} \big(h_1(u,v),h_2(u,v)\big)
|
||||
\end{gather*}
|
||||
\end{itemize}
|
||||
\column{\kittwocolumns}
|
||||
\end{columns}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Unabhängigkeit \& Korrelation I}
|
||||
|
||||
\vspace*{-10mm}
|
||||
|
||||
\begin{itemize}
|
||||
\item Unabhängige ZV (stetig)
|
||||
\begin{columns}
|
||||
\column{\kitthreecolumns}
|
||||
\begin{align*}
|
||||
X,Y \text{ unabhängig}
|
||||
\hspace{5mm} \Leftrightarrow \hspace{5mm}
|
||||
f_{X,Y}(x,y) = f_X(x)f_Y(y)
|
||||
\end{align*}
|
||||
\column{\kitthreecolumns}
|
||||
\begin{lightgrayhighlightbox}
|
||||
Erinnerung: Unabhängige Ereignisse
|
||||
\begin{align*}
|
||||
A,B \text{ \normalfont unabhängig}
|
||||
\hspace{5mm} \Leftrightarrow \hspace{5mm}
|
||||
P(AB) = P(A)P(B)
|
||||
\end{align*}
|
||||
\vspace*{-13mm}
|
||||
\end{lightgrayhighlightbox}
|
||||
\end{columns}
|
||||
\pause
|
||||
\item Kovarianz
|
||||
\begin{columns}
|
||||
\column{\kitthreecolumns}
|
||||
\begin{align*}
|
||||
\text{cov}(X,Y) &= E\bigg( \big(X - E(X)\big) \big(Y
|
||||
- E(Y)\big) \bigg) \\
|
||||
&= E(XY) - E(X)E(Y)
|
||||
\end{align*}
|
||||
\column{\kitthreecolumns}
|
||||
\begin{lightgrayhighlightbox}
|
||||
Erinnerung: Varianz
|
||||
\begin{align*}
|
||||
V(X) = E\big( \left(X - E(X)\right)^2 \big) =
|
||||
E(X^2) - E^2(X)
|
||||
\end{align*}
|
||||
\vspace*{-13mm}
|
||||
\end{lightgrayhighlightbox}
|
||||
\end{columns}
|
||||
\item Korrelation
|
||||
\begin{align*}
|
||||
E(XY)
|
||||
\end{align*}
|
||||
\pause
|
||||
\item Korrelationskoeffizient
|
||||
\begin{align*}
|
||||
\rho_{XY} = \frac{\text{cov}(X,Y)}{\sqrt{V(X)V(Y)}}
|
||||
\hspace{25mm} \rho_{XY} = 0
|
||||
\hspace{2mm}\Leftrightarrow\hspace{2mm}
|
||||
E(XY) = E(X)E(Y)
|
||||
\end{align*}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Unabhängigkeit \& Korrelation II}
|
||||
|
||||
\vspace*{-15mm}
|
||||
|
||||
\begin{itemize}
|
||||
\item Korrelation misst einen linearen Zusammenhang zwischen zwei ZV.\\
|
||||
Unabhängigkeit gibt an ob zwei ZV ``überhaupt zusammenhängen''
|
||||
\begin{align*}
|
||||
\hspace{5mm} X,Y \text{ unabhängig}
|
||||
\hspace{5mm}\Rightarrow\hspace{5mm}
|
||||
X,Y \text{ unkorreliert}
|
||||
\end{align*}
|
||||
\item Bei gemeinsam normalverteilten ZV gilt zusätzlich
|
||||
\begin{align*}
|
||||
\hspace{5mm} X,Y \text{ unkorreliert}
|
||||
\hspace{5mm}\Rightarrow\hspace{5mm}
|
||||
X,Y \text{ unabhängig}
|
||||
\end{align*}
|
||||
\vspace*{5mm}
|
||||
\pause
|
||||
\item Korrelation und Unabhängigkeit haben nichts mit den
|
||||
Einzelverteilungen zu tun. Sie sind ``eine Ebene höher''
|
||||
\begin{figure}[H]
|
||||
\centering
|
||||
|
||||
\begin{subfigure}{0.32\textwidth}
|
||||
\begin{tikzpicture}[
|
||||
/pgfplots/scale only axis,
|
||||
/pgfplots/width=3.5cm,
|
||||
/pgfplots/height=3.5cm
|
||||
]
|
||||
|
||||
\begin{axis}[
|
||||
name=main axis,
|
||||
view={0}{90},
|
||||
ticks=none,
|
||||
xlabel={$x$},ylabel={$y$},
|
||||
]
|
||||
\addplot3[
|
||||
surf, shader=interp,
|
||||
samples=40,
|
||||
domain=-3:3, y domain=-3:3
|
||||
]
|
||||
{1/(2*pi*sqrt(0.5)) * exp(-1/(2*(1 -
|
||||
sqrt(0.5))) * (x^2 -2*sqrt(0.5)*x*y + y^2) )};
|
||||
\end{axis}
|
||||
|
||||
\node[below] at
|
||||
($(main axis.south west) + (-.5, -.5)$)
|
||||
{$f_{X,Y}(x,y)$};
|
||||
|
||||
\begin{axis}[
|
||||
anchor=south west,
|
||||
at=(main axis.north west),
|
||||
height=2cm,
|
||||
ticks=none,
|
||||
ylabel={$f_X(x)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
xmin=-3,xmax=3,
|
||||
]
|
||||
\addplot[line width=1pt] {1/sqrt(2*pi) *
|
||||
exp(-x^2/2)};
|
||||
\end{axis}
|
||||
|
||||
\begin{axis}[
|
||||
anchor=north west,
|
||||
at=(main axis.north east),
|
||||
width=2cm,
|
||||
ticks=none,
|
||||
xlabel={$f_Y(y)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
ymin=-3,ymax=3,
|
||||
]
|
||||
\addplot[line width=1pt] ( {1/sqrt(2*pi)
|
||||
* exp(-x^2/2)}, {x} );
|
||||
\end{axis}
|
||||
\end{tikzpicture}
|
||||
\end{subfigure}%
|
||||
\begin{subfigure}{0.32\textwidth}
|
||||
\begin{tikzpicture}[
|
||||
/pgfplots/scale only axis,
|
||||
/pgfplots/width=3.5cm,
|
||||
/pgfplots/height=3.5cm
|
||||
]
|
||||
|
||||
\begin{axis}[
|
||||
name=main axis,
|
||||
view={0}{90},
|
||||
ticks=none,
|
||||
xlabel={$x$},ylabel={$y$},
|
||||
]
|
||||
\addplot3[
|
||||
surf, shader=interp,
|
||||
samples=40,
|
||||
domain=-3:3, y domain=-3:3
|
||||
]
|
||||
{1/(2*pi) * exp(-1/2 * (x^2 + y^2) )};
|
||||
\end{axis}
|
||||
|
||||
\node[below] at
|
||||
($(main axis.south west) + (-.5, -.5)$)
|
||||
{$f_{X,Y}(x,y)$};
|
||||
|
||||
\begin{axis}[
|
||||
anchor=south west,
|
||||
at=(main axis.north west),
|
||||
height=2cm,
|
||||
ticks=none,
|
||||
ylabel={$f_X(x)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
xmin=-3,xmax=3,
|
||||
]
|
||||
\addplot[line width=1pt] {1/sqrt(2*pi) *
|
||||
exp(-x^2/2)};
|
||||
\end{axis}
|
||||
|
||||
\begin{axis}[
|
||||
anchor=north west,
|
||||
at=(main axis.north east),
|
||||
width=2cm,
|
||||
ticks=none,
|
||||
xlabel={$f_Y(y)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
ymin=-3,ymax=3,
|
||||
]
|
||||
\addplot[line width=1pt] ( {1/sqrt(2*pi)
|
||||
* exp(-x^2/2)}, {x} );
|
||||
\end{axis}
|
||||
\end{tikzpicture}
|
||||
\end{subfigure}%
|
||||
\begin{subfigure}{0.32\textwidth}
|
||||
\begin{tikzpicture}[
|
||||
/pgfplots/scale only axis,
|
||||
/pgfplots/width=3.5cm,
|
||||
/pgfplots/height=3.5cm
|
||||
]
|
||||
|
||||
\begin{axis}[
|
||||
name=main axis,
|
||||
view={0}{90},
|
||||
ticks=none,
|
||||
xlabel={$x$},ylabel={$y$},
|
||||
]
|
||||
\addplot3[
|
||||
surf, shader=interp,
|
||||
samples=40,
|
||||
domain=-3:3, y domain=-3:3
|
||||
]
|
||||
{1/(2*pi*sqrt(0.5)) * exp(-1/(2*(1 -
|
||||
sqrt(0.5))) * (x^2 +2*sqrt(0.5)*x*y + y^2) )};
|
||||
\end{axis}
|
||||
|
||||
\node[below] at
|
||||
($(main axis.south west) + (-.5, -.5)$)
|
||||
{$f_{X,Y}(x,y)$};
|
||||
|
||||
\begin{axis}[
|
||||
anchor=south west,
|
||||
at=(main axis.north west),
|
||||
height=2cm,
|
||||
ticks=none,
|
||||
ylabel={$f_X(x)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
xmin=-3,xmax=3,
|
||||
]
|
||||
\addplot[line width=1pt] {1/sqrt(2*pi) *
|
||||
exp(-x^2/2)};
|
||||
\end{axis}
|
||||
|
||||
\begin{axis}[
|
||||
anchor=north west,
|
||||
at=(main axis.north east),
|
||||
width=2cm,
|
||||
ticks=none,
|
||||
xlabel={$f_Y(y)$},
|
||||
samples=50,
|
||||
domain=-3:3,
|
||||
ymin=-3,ymax=3,
|
||||
]
|
||||
\addplot[line width=1pt] ( {1/sqrt(2*pi)
|
||||
* exp(-x^2/2)}, {x} );
|
||||
\end{axis}
|
||||
\end{tikzpicture}
|
||||
\end{subfigure}
|
||||
\end{figure}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Zusammenfassung}
|
||||
|
||||
\vspace*{-20mm}
|
||||
|
||||
\begin{columns}[t]
|
||||
\column{\kittwocolumns}
|
||||
\begin{greenblock}{Korrelationskoeffizient}
|
||||
\vspace*{-6mm}
|
||||
\begin{gather*}
|
||||
\rho_{XY} = \frac{\text{cov}(X,Y)}{\sqrt{V(X)V(Y)}}
|
||||
\end{gather*}
|
||||
\end{greenblock}
|
||||
\begin{greenblock}{Kovarianz}
|
||||
\vspace*{-6mm}
|
||||
\begin{gather*}
|
||||
\text{cov}(X,Y) = E(X Y) - E(X)E(Y)
|
||||
\end{gather*}
|
||||
\end{greenblock}
|
||||
\begin{greenblock}{Randdichte}
|
||||
\vspace*{-6mm}
|
||||
\begin{gather*}
|
||||
f_X(x) = \int_{-\infty}^{\infty} f_{X,Y}(x,y) dy
|
||||
\end{gather*}
|
||||
\end{greenblock}
|
||||
\column{\kitfourcolumns}
|
||||
\begin{greenblock}{Umrechnung von Dichten mit dem Transformationssatz}
|
||||
\vspace*{-6mm}
|
||||
\begin{gather*}
|
||||
X = h_1(U,V), \hspace{5mm} Y = h_2(U,V) \\[5mm]
|
||||
\mathcal{J} =
|
||||
\begin{pmatrix}
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}x & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}x \\[3mm]
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}y & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}y
|
||||
\end{pmatrix}
|
||||
=
|
||||
\begin{pmatrix}
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}h_1(u,v) & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}h_1(u,v) \\[3mm]
|
||||
\frac{\displaystyle \partial}{\displaystyle
|
||||
\partial u}h_2(u,v) & \frac{\displaystyle
|
||||
\partial}{\displaystyle \partial v}h_2(u,v)
|
||||
\end{pmatrix} \\[5mm]
|
||||
f_{U,V}(u,v) = \lvert
|
||||
\text{det}(\mathcal{J}) \rvert
|
||||
\cdot f_{X,Y} \big(h_1(u,v),h_2(u,v)\big)
|
||||
\end{gather*}
|
||||
\end{greenblock}
|
||||
\begin{greenblock}{Erwartungswert \& Varianz}
|
||||
\vspace*{-6mm}
|
||||
\begin{align*}
|
||||
V(X) &= E\big( (X - E(X))^2 \big) = E(X^2) - E^2(X) \\
|
||||
E(X) &= \int_{-\infty}^{\infty} x f_X(x) dx \\
|
||||
E(g(X)) &= \int_{-\infty}^{\infty} g(x) f_X(x) dx
|
||||
\end{align*}
|
||||
\end{greenblock}
|
||||
\end{columns}
|
||||
\end{frame}
|
||||
|
||||
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
||||
\subsection{Aufgabe}
|
||||
@@ -189,16 +733,18 @@
|
||||
\item Berechnen Sie die Dichte von $(Z = X \cdot Y)$ mithilfe des
|
||||
Transformationssatzes.
|
||||
\item Verwenden Sie einen alternativen Ansatz zur Berechnung der
|
||||
Dichte. Hinweis: Beginnen Sie mit $P (Z \le z) = \ldots$
|
||||
Dichte.\\
|
||||
\textit{Hinweis}: Beginnen Sie mit $P (Z \le z) = \ldots$
|
||||
\item Berechnen Sie den Korrelationskoeffizienten $\rho_{XY}$ .
|
||||
\end{enumerate}
|
||||
% tex-fmt: on
|
||||
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Aufgabe 2: Transformationssatz für 2D-Dichten}
|
||||
|
||||
\vspace*{-15mm}
|
||||
|
||||
Die Zufallsvariable $(X; Y)^T$ habe die gemeinsame
|
||||
Wahrscheinlichkeitsdichte $f (x, y) = x + y$ für
|
||||
$x, y \in (0; 1]$ und null sonst.
|
||||
@@ -207,22 +753,263 @@
|
||||
\begin{enumerate}[a{)}]
|
||||
\item Berechnen Sie die Dichte von $(Z = X \cdot Y)$ mithilfe des
|
||||
Transformationssatzes.
|
||||
\pause\begin{align*}
|
||||
f(x) = \displaystyle\int_{-\infty}^{\infty} f(x,y) dy
|
||||
= x + 0{,}5 \\
|
||||
f(y) = \displaystyle\int_{-\infty}^{\infty} f(x,y) dx
|
||||
= y + 0{,}5
|
||||
\pause\begin{gather*}
|
||||
\left.
|
||||
\begin{array}{l}
|
||||
U := X \\
|
||||
V := Z = X \cdot Y
|
||||
\end{array}
|
||||
\right\}
|
||||
\Rightarrow
|
||||
\left\{
|
||||
\begin{array}{l}
|
||||
X = h_1(U,V) = U \\
|
||||
Y = h_2(U,V) = \frac{V}{U}
|
||||
\end{array}
|
||||
\hspace{20mm}
|
||||
\left(\begin{array}{l}
|
||||
0 < x \le 1 \Rightarrow 0 < u \le 1 \\
|
||||
0 < y \le 1 \Rightarrow 0 < v \le u \le 1
|
||||
\end{array}
|
||||
\right)
|
||||
\right.
|
||||
\end{gather*}
|
||||
\vspace*{5mm}
|
||||
\pause\begin{gather*}
|
||||
\mathcal{J} = \begin{pmatrix}
|
||||
\frac{\partial x}{\partial u} & \frac{\partial x}{\partial v} \\[2mm]
|
||||
\frac{\partial y}{\partial u} & \frac{\partial y}{\partial v}
|
||||
\end{pmatrix}
|
||||
= \begin{pmatrix}
|
||||
1 & 0 \\
|
||||
- \frac{v}{u^2} & \frac{1}{u}
|
||||
\end{pmatrix}
|
||||
\end{gather*}
|
||||
\begin{align*}
|
||||
f_{U,V}(u,v) &= \lvert \text{det}(\mathcal{J}) \rvert
|
||||
\cdot f_{X,Y} \big(h_1(u,v),h_2(u,v)\big)
|
||||
= \frac{1}{u} \cdot \left(u + \frac{v}{u}\right)
|
||||
= 1 + \frac{v}{u^2}, && \hspace*{-20mm} 0 < v \le u \le 1 \\[3mm]
|
||||
\end{align*}
|
||||
\pause \item Verwenden Sie einen alternativen Ansatz zur Berechnung der
|
||||
Dichte. Hinweis: Beginnen Sie mit $P (Z \le z) = \ldots$
|
||||
\pause\begin{align*}
|
||||
\end{align*}
|
||||
\pause \item Berechnen Sie den Korrelationskoeffizienten $\rho_{XY}$ .
|
||||
\vspace*{-22mm}
|
||||
\pause\begin{align*}
|
||||
f_V(v) &= \int_{-\infty}^{\infty} f_{U,V}(u,v) du
|
||||
= \int_{v}^{1} 1 + \frac{v}{u^2} du
|
||||
= \left[ u - \frac{v}{u} \right]_v^1
|
||||
= 2(1-v), && \hspace*{-20mm} 0 < v \le 1
|
||||
\end{align*}
|
||||
\vspace{5mm}
|
||||
\pause\begin{gather*}
|
||||
f_Z(z) = \left\{\begin{array}{ll}
|
||||
2(1-z) \hspace{3mm}&,\hspace{3mm} 0 < z \le 1 \\
|
||||
0 \hspace{3mm}&,\hspace{3mm} \text{sonst}\\
|
||||
\end{array}\right.
|
||||
\end{gather*}
|
||||
\end{enumerate}
|
||||
% tex-fmt: on
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Aufgabe 2: Transformationssatz für 2D-Dichten}
|
||||
|
||||
\begin{minipage}[c]{0.64\textwidth}
|
||||
% tex-fmt: off
|
||||
\begin{enumerate}[a{)}]
|
||||
\setcounter{enumi}{1}
|
||||
\item Verwenden Sie einen alternativen Ansatz zur Berechnung der
|
||||
Dichte.\\
|
||||
\textit{Hinweis}: Beginnen Sie mit $P (Z \le z) = \ldots$
|
||||
\end{enumerate}
|
||||
% tex-fmt: on
|
||||
\end{minipage}%
|
||||
\begin{minipage}[c]{0.35\textwidth}
|
||||
\begin{lightgrayhighlightbox}
|
||||
\vspace*{-8mm}
|
||||
% tex-fmt: off
|
||||
\begin{gather*}
|
||||
\text{Bekannt: } \hspace{10mm} f_{X,Y}(x,y) = x + y
|
||||
\end{gather*}
|
||||
% tex-fmt: on
|
||||
\vspace*{-12mm}
|
||||
\end{lightgrayhighlightbox}
|
||||
\end{minipage}
|
||||
|
||||
\pause
|
||||
\begin{align*}
|
||||
P(Z \le z) = \int_{-\infty}^{z} f_Z(t) dt
|
||||
\end{align*}
|
||||
|
||||
\begin{minipage}{0.4\textwidth}
|
||||
\pause
|
||||
\begin{figure}[H]
|
||||
\centering
|
||||
|
||||
\begin{tikzpicture}
|
||||
\begin{axis}[
|
||||
view={20}{30},
|
||||
xlabel=$x$, ylabel=$y$, zlabel={$f_{X,Y}(x,y)$},
|
||||
xmin=0, xmax=1, ymin=0, ymax=1, zmin=0, zmax=2,
|
||||
xtick={0,0.5,1},ytick={0,0.5,1},ztick={0,1,2},
|
||||
point meta min=0, point meta max=2,
|
||||
declare function={cutoff(\x) = 0.3/\x;},
|
||||
legend,
|
||||
]
|
||||
\addplot3[
|
||||
surf, shader=interp,
|
||||
samples=40,
|
||||
domain=0:1, y domain=0:1
|
||||
] (
|
||||
x,
|
||||
{y * min(1, cutoff(x))},
|
||||
{x + (y * min(1, cutoff(x)))}
|
||||
);
|
||||
\addlegendentry{$x\cdot y \le z$}
|
||||
|
||||
\addplot3[
|
||||
surf, shader=interp,
|
||||
samples=40,
|
||||
domain=0.3:1, y domain=0:1,
|
||||
fill=gray,
|
||||
draw=none,
|
||||
point meta=1.1,
|
||||
colormap name=cividis,
|
||||
] (
|
||||
x,
|
||||
{cutoff(x) + y*(1 - cutoff(x))},
|
||||
{x + (cutoff(x) + y*(1 - cutoff(x)))}
|
||||
);
|
||||
|
||||
\addplot3[
|
||||
mesh,
|
||||
samples=15,
|
||||
domain=0:1, y domain=0:1,
|
||||
draw=black,
|
||||
opacity=0.3
|
||||
] {x + y};
|
||||
\end{axis}
|
||||
\end{tikzpicture}
|
||||
\end{figure}
|
||||
\end{minipage}%
|
||||
\begin{minipage}{0.58\textwidth}
|
||||
\pause
|
||||
\begin{align*}
|
||||
P(Z \le z) &= P(XY \le z) = \int_{-\infty}^{\infty}
|
||||
\int_{-\infty}^{z/x} f_{X,Y}(x,y) dy dx
|
||||
\end{align*}
|
||||
\vspace*{-10mm}
|
||||
\pause
|
||||
\begin{align*}
|
||||
\overset{
|
||||
\begin{subarray}{l}
|
||||
u = xy \\
|
||||
du = xdy
|
||||
\end{subarray}}{=}
|
||||
&\int_{-\infty}^{\infty} \int_{-\infty}^{z} f_{X,Y}(x,
|
||||
\frac{u}{x})\frac{1}{x}\; du dx \\[2mm]
|
||||
= &\int_{-\infty}^{z}
|
||||
\underbrace{\int_{-\infty}^{\infty} f_{X,Y}(x,
|
||||
\frac{u}{x})\frac{1}{x}\; dx}_{f_Z(u)}du \\
|
||||
\end{align*}
|
||||
\end{minipage}
|
||||
|
||||
\pause
|
||||
\begin{gather*}
|
||||
0 < y \le 1 \hspace{5mm} \Rightarrow\hspace{5mm} 0 <
|
||||
\frac{u}{x} \le 1 \hspace{5mm}\Rightarrow\hspace{5mm} 0 <
|
||||
u \le x \le 1 \\
|
||||
f_Z(u) = \int_{-\infty}^{\infty} f_{X,Y}(x,
|
||||
\frac{u}{x})\frac{1}{x}\; dx
|
||||
= \int_{z}^{1} 1 + \frac{u}{x^2} dx = 2(1-u), \hspace{5mm} 0 < u \le 1
|
||||
\end{gather*}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Aufgabe 2: Transformationssatz für 2D-Dichten}
|
||||
|
||||
\vspace*{-15mm}
|
||||
|
||||
\begin{minipage}[c]{0.5\textwidth}
|
||||
% tex-fmt: off
|
||||
\begin{enumerate}[a{)}]
|
||||
\setcounter{enumi}{2}
|
||||
\item Berechnen Sie den Korrelationskoeffizienten $\rho_{XY}$.
|
||||
\end{enumerate}
|
||||
% tex-fmt: on
|
||||
\end{minipage}%
|
||||
\begin{minipage}[c]{0.5\textwidth}
|
||||
\begin{lightgrayhighlightbox}
|
||||
\vspace*{-8mm}
|
||||
% tex-fmt: off
|
||||
\begin{gather*}
|
||||
\text{Bekannt: } \hspace{10mm}
|
||||
\left\{\hspace{2mm}
|
||||
\begin{array}{l}
|
||||
f_{X,Y}(x,y) = x + y \\
|
||||
f_{Z}(z) = 2(1-z), \hspace{10mm} Z = X\cdot Y
|
||||
\end{array}
|
||||
\right.
|
||||
\end{gather*}
|
||||
% tex-fmt: on
|
||||
\vspace*{-10mm}
|
||||
\end{lightgrayhighlightbox}
|
||||
\end{minipage}
|
||||
\vspace*{2mm}
|
||||
\pause
|
||||
\begin{gather*}
|
||||
\rho_{XY} = \frac{\text{cov}(X,Y)}{\sqrt{V(X)V(Y)}},
|
||||
\hspace{15mm}
|
||||
\begin{array}{l}
|
||||
\text{cov}(X,Y) = \overbrace{E(XY)}^{E(Z)} - E(X)E(Y) \\
|
||||
V(X) = E(X^2) - E^2(X)
|
||||
\end{array},
|
||||
\hspace*{15mm}
|
||||
E(X) = \int_{-\infty}^{\infty} xf_X(x) dx
|
||||
\end{gather*}
|
||||
\vspace*{5mm}
|
||||
\pause
|
||||
\begin{gather*}
|
||||
f_X(x) = \int_{-\infty}^{\infty} f_{X,Y}(x,y) dy
|
||||
= \int_{0}^{1} x + y dy
|
||||
= \left[ xy + \frac{y^2}{2} \right]_0^1 = x + \frac{1}{2}
|
||||
\end{gather*}
|
||||
\vspace*{-3mm}
|
||||
\pause
|
||||
\begin{gather*}
|
||||
f(x,y) = f(y,x) \Rightarrow
|
||||
\left\{
|
||||
\begin{array}{l}
|
||||
E(X) = E(Y) \\
|
||||
V(X) = V(Y)
|
||||
\end{array}
|
||||
\right.
|
||||
\hspace{5mm} \Rightarrow \hspace{5mm}
|
||||
\rho_{XY} = \frac{E(Z) - E^2(X)}{E(X^2) - E^2(X)}
|
||||
\end{gather*}
|
||||
\vspace*{5mm}
|
||||
\pause
|
||||
\begin{gather*}
|
||||
\left.
|
||||
\begin{array}{rl}
|
||||
E(X) &= \displaystyle \int_{-\infty}^{\infty} x f_X(x) dx
|
||||
= \int_{0}^{1} x(x+ \frac{1}{2}) dx
|
||||
= \left[\frac{x^3}{3} + \frac{x^2}{4} \right]_0^1
|
||||
= \frac{7}{12} \\
|
||||
E(X^2) &= \displaystyle \int_{-\infty}^{\infty}
|
||||
x^2 f_X(x) dx
|
||||
= \int_{0}^{1} x^2 (x + \frac{1}{2} ) dx
|
||||
= \left[\frac{x^4}{4} + \frac{x^3}{6} \right]_0^1
|
||||
= \frac{5}{12} \\
|
||||
E(Z) &= \displaystyle \int_{-\infty}^{\infty} z f_Z(z) dz
|
||||
= \int_{0}^{1} z \cdot 2(1-z) dz
|
||||
= 2 \left[ \frac{z^2}{2} - \frac{z^3}{3} \right]_0^1
|
||||
= \frac{1}{3}
|
||||
\end{array}
|
||||
\hspace{3mm}
|
||||
\right\}
|
||||
\hspace{5mm} \Rightarrow \hspace{5mm}
|
||||
\rho_{XY} = \frac{\frac{1}{3} - (\frac{7}{12})^2}{\frac{5}{12}
|
||||
- (\frac{7}{12})^2} = -\frac{1}{11}
|
||||
\end{gather*}
|
||||
\end{frame}
|
||||
|
||||
\end{document}
|
||||
|
||||
Reference in New Issue
Block a user