An Introduction to Measure-Theoretic Probability
2nd Edition
Published on 28. April 2014
Book
Hardback
426 pages
978-0-12-800042-7 (ISBN)
Description
An Introduction to Measure-Theoretic Probability, Second Edition, employs a classical approach to teaching the basics of measure theoretic probability. This book provides in a concise, yet detailed way, the bulk of the probabilistic tools that a student working toward an advanced degree in statistics, probability and other related areas should be equipped with.
This edition requires no prior knowledge of measure theory, covers all its topics in great detail, and includes one chapter on the basics of ergodic theory and one chapter on two cases of statistical estimation. Topics range from the basic properties of a measure to modes of convergence of a sequence of random variables and their relationships; the integral of a random variable and its basic properties; standard convergence theorems; standard moment and probability inequalities; the Hahn-Jordan Decomposition Theorem; the Lebesgue Decomposition T; conditional expectation and conditional probability; theory of characteristic functions; sequences of independent random variables; and ergodic theory. There is a considerable bend toward the way probability is actually used in statistical research, finance, and other academic and nonacademic applied pursuits. Extensive exercises and practical examples are included, and all proofs are presented in full detail. Complete and detailed solutions to all exercises are available to the instructors on the book companion site.
This text will be a valuable resource for graduate students primarily in statistics, mathematics, electrical and computer engineering or other information sciences, as well as for those in mathematical economics/finance in the departments of economics.
This edition requires no prior knowledge of measure theory, covers all its topics in great detail, and includes one chapter on the basics of ergodic theory and one chapter on two cases of statistical estimation. Topics range from the basic properties of a measure to modes of convergence of a sequence of random variables and their relationships; the integral of a random variable and its basic properties; standard convergence theorems; standard moment and probability inequalities; the Hahn-Jordan Decomposition Theorem; the Lebesgue Decomposition T; conditional expectation and conditional probability; theory of characteristic functions; sequences of independent random variables; and ergodic theory. There is a considerable bend toward the way probability is actually used in statistical research, finance, and other academic and nonacademic applied pursuits. Extensive exercises and practical examples are included, and all proofs are presented in full detail. Complete and detailed solutions to all exercises are available to the instructors on the book companion site.
This text will be a valuable resource for graduate students primarily in statistics, mathematics, electrical and computer engineering or other information sciences, as well as for those in mathematical economics/finance in the departments of economics.
Reviews / Votes
"...a very thorough discussion of many of the pillars of the subject, showing in particular how 'measure theory with total measure one' is just the tip of the iceberg...It's quite a book." --MAA.org, An Introduction to Measure-Theoretic Probability"This second edition employs a classical approach to teaching students of statistics, mathematics, engineering, econometrics, finance, and other disciplines measure-theoretic probability...requires no prior knowledge of measure theory, discusses all its topics in great detail, and includes one chapter on the basics of ergodic theory and one chapter on two cases of statistical estimation." --Zentralblatt MATH 1287-1
"...provides basic tools in measure theory and probability, in the classical spirit, relying heavily on characteristic functions as tools without using martingale or empirical process methods. A well-written book. Highly recommended [for] graduate students; faculty." --CHOICE
Based on the material presented in the manuscript, I would without any hesitation adopt the published version of the book. The topics dealt are essential to the understanding of more advanced material; the discussion is deep and it is combined with the use of essential technical details. It will be an extremely useful book. In addition it will be a very popular book." --Madan Puri, Indiana University
"Would likely use as one of two required references when I teach either Stat 709 or Stat 732 again. Would also highly recommend to colleagues. The author has written other excellent graduate texts in mathematical statistics and contiguity and this promises to be another. This book could well become an important reference for mathematical statisticians." --Richard Johnson, University of Wisconsin
"The author has succeeded in making certain deep and fundamental ideas of probability and measure theory accessible to statistics majors heading in the direction of graduate studies in statistical theory." --Doraiswamy Ramachandran, California State University
More details
Edition
2nd edition
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
College/higher education
Graduate students primarily in statistics, mathematics, electrical & computer engineering or other information sciences; mathematical economics/finance in departments of economics.
Product notice
Laminated cover
Illustrations
Illustrated
Dimensions
Height: 243 mm
Width: 197 mm
Thickness: 30 mm
Weight
901 gr
ISBN-13
978-0-12-800042-7 (9780128000427)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
George G. Roussas
An Introduction to Measure-Theoretic Probability
E-Book
03/2014
2nd Edition
Academic Press
€67.99
Available for download
Previous edition
George G. Roussas
An Introduction to Measure-theoretic Probability
Book
11/2004
Academic Press
€108.94
Article exhausted; check for reprint
Person
George G. Roussas earned a B.S. in Mathematics with honors from the University of Athens, Greece, and a Ph.D. in Statistics from the University of California, Berkeley. As of July 2014, he is a Distinguished Professor Emeritus of Statistics at the University of California, Davis. Roussas is the author of five books, the author or co-author of five special volumes, and the author or co-author of dozens of research articles published in leading journals and special volumes. He is a Fellow of the following professional societies: The American Statistical Association (ASA), the Institute of Mathematical Statistics (IMS), The Royal Statistical Society (RSS), the American Association for the Advancement of Science (AAAS), and an Elected Member of the International Statistical Institute (ISI); also, he is a Corresponding Member of the Academy of Athens. Roussas was an associate editor of four journals since their inception, and is now a member of the Editorial Board of the journal Statistical Inference for Stochastic Processes. Throughout his career, Roussas served as Dean, Vice President for Academic Affairs, and Chancellor at two universities; also, he served as an Associate Dean at UC-Davis, helping to transform that institution's statistical unit into one of national and international renown. Roussas has been honored with a Festschrift, and he has given featured interviews for the Statistical Science and the Statistical Periscope. He has contributed an obituary to the IMS Bulletin for Professor-Academician David Blackwell of UC-Berkeley, and has been the coordinating editor of an extensive article of contributions for Professor Blackwell, which was published in the Notices of the American Mathematical Society and the Celebratio Mathematica.
Content
1. Certain Classes of Sets, Measurability, Pointwise Approximation2. Definition and Construction of a Measure and Its Basic Properties3. Some Modes of Convergence of a Sequence of Random Variables and Their Relationships4. The Integral of a Random Variable and Its Basic Properties5. Standard Convergence Theorems, The Fubini Theorem6. Standard Moment and Probability Inequalities, Convergence in the r-th Mean and Its Implications7. The Hahn-Jordan Decomposition Theorem, The Lebesgue Decomposition Theorem, and The Radon-Nikcodym Theorem8. Distribution Functions and Their Basic Properties, Helly-Bray Type Results9. Conditional Expectation and Conditional Probability, and Related Properties and Results10. Independence11. Topics from the Theory of Characteristic Functions12. The Central Limit Problem: The Centered Case13. The Central Limit Problem: The Noncentered Case14. Topics from Sequences of Independent Random Variables15. Topics from Ergodic Theory