Probability With a View Towards Statistics, Two Volume Set (Chapman & Hall/CRC Probability Series) - Hardcover

Hoffman-Jorgensen, J.

Hardcover

ISBN 10: 0412054213 ISBN 13: 9780412054211

Publisher: Chapman and Hall/CRC, 1994

Synopsis

Volume I of this two-volume text and reference work begins by providing a foundation in measure and integration theory. It then offers a systematic introduction to probability theory, and in particular, those parts that are used in statistics. This volume discusses the law of large numbers for independent and non-independent random variables, transforms, special distributions, convergence in law, the central limit theorem for normal and infinitely divisible laws, conditional expectations and martingales. Unusual topics include the uniqueness and convergence theorem for general transforms with characteristic functions, Laplace transforms, moment transforms and generating functions as special examples. The text contains substantive applications, e.g., epidemic models, the ballot problem, stock market models and water reservoir models, and discussion of the historical background. The exercise sets contain a variety of problems ranging from simple exercises to extensions of the theory. Volume II of this two-volume text and reference work concentrates on the applications of probability theory to statistics, e.g., the art of calculating densities of complicated transformations of random vectors, exponential models, consistency of maximum estimators, and asymptotic normality of maximum estimators. It also discusses topics of a pure probabilistic nature, such as stochastic processes, regular conditional probabilities, strong Markov chains, random walks, and optimal stopping strategies in random games. Unusual topics include the transformation theory of densities using Hausdorff measures, the consistency theory using the upper definition function, and the asymptotic normality of maximum estimators using twice stochastic differentiability. With an emphasis on applications to statistics, this is a continuation of the first volume, though it may be used independently of that book. Assuming a knowledge of linear algebra and analysis, as well as a course in modern probability, Volume II looks at statistics from a probabilistic point of view, touching only slightly on the practical computation aspects.

About this title

About the Author

J. Hoffman-Jorgensen (University of Aarhus, Denmark) (Author)

Edition details

• Publisher: Chapman and Hall/CRC
• Publication date: 1994
• Language: English
• ISBN 10: 0412054213
• ISBN 13: 9780412054211
• Binding: Hardcover
• Edition number: 1
• Number of pages: 1122