Markov Chains and Stochastic Stability
by S.P. Meyn, R.L. Tweedie
Publisher: Springer 2005
Number of pages: 567
This book describes the modern theory of general state space Markov chains, and the application of that theory to operations research, time series analysis, and systems and control theory. It is intended as an advanced graduate text in any of these areas, as well as being a research monograph incorporating a new and thorough treatment of the stability of general Markov chains. Many of the theoretical results appear here for the first time, and much of the theory and the models which are used to illustrate the theory, and to provide extensions of the theory in special cases, have not previously been brought together in book form. This book thus provides a readable account of the development over the last two decades of a fundamental and applicable area of stochastic processes, and as such will be of value not only in probability theory but in the many discplines where these models form the basis of analysis.
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by G. Larry Bretthorst - Springer
This work is a research document on the application of probability theory to the parameter estimation problem. The people who will be interested in this material are physicists, economists, and engineers who have to deal with data on a daily basis.
by D. Pollard - Springer
Selected parts of empirical process theory, with applications to mathematical statistics. The book describes the combinatorial ideas needed to prove maximal inequalities for empirical processes indexed by classes of sets or classes of functions.
This book is developed as a free, collaborative and interactive learning environment for elementary probability and statistics education. The book blends information technology, scientific techniques and modern pedagogical concepts.
by O. Melchert - arXiv
In these lecture notes, a selection of frequently required statistical tools will be introduced and illustrated. They allow to post-process data that stem from, e.g., large-scale numerical simulations (aka sequence of random experiments).