Probability

• Probability Notes
• Scanned Notes on Probability Theory

Axiomatic Probability

Probability space

Conditional probability

Total probability equation, Bayes formular

Independence

Random Variable

Random variable

• Measurable function on probability space
• Distribution: CDF, PDF, PMF
• Integration (Expectation) - Riemann-Stieltjes integral
• Characteristic function and moments

Function Analytic Approach to Probability

Conditioning and Dependence

• Conditional expectation
• Hierarchical models
• Independence as an assumption and simplification.
• Covariance and correlation

Special topics

• Inequalities and Identities
• Gaussian Random Variables
• Transformation and Decomposition
• Statistics of Extremes

Random Process

Note: Mathematical theories go complicated very fast; in fact, the description of random processes is already impractical and requires too much information. To put the mathematical model into practical use, vast simplification is needed.

• Midterm summary
• Miscellaneous
• Markov Chain

Stochastic Analysis

• Stochastic Convergence
• Limit Theorems
• Random Process Analysis
  • Convergence
  • Continuity
  • Differentiability
  • Integrability
• Spectral Representation
  • K-L expansion
  • PCE

Random Processes

• Random Process
  • w.s.s.-LTI relationship
  • Poisson Process
  • Ergodic Process
• System
• Simulation
• Estimation

Appendices

1. Table: Important Discrete Random Variables
2. Table: Important Continuous Random Variables

Probabilistic Models

• Reference Distribution
• Distributions from Discrete Random Process
• Distributions from Continuous Random Process
• Asymptotic Distributions
• Gaussian-related Distributions

Fourier Transforms, Z-transform

• Transforms
• Inversion of Fourier Transform by Residues

Table 1: Interpretations of probability

Ontic probability 实存	Epistemic probability 认识
long run frequency	objective degree of belief
single-case propensity	subjective degree of belief