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I am interested in probability theory but I do not have solid background

Any suggestions for me to learn probability theory by myself?

UPDATE: I have an engineering backgorund. I know the practical stuff but I would like to learn things in a theoretical way.

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Can you tell us exactly what your background is? Have you had calculus? How much? – Graphth Mar 28 '12 at 13:01
I liked Feller's book An Introduction to Probability Theory and Its Applications, and it is highly recommended by many other people also. You might also want to pick up the Schaum's Outline Series volume on probability. I was looking it over a few weeks ago and it seemed reasonable; it is also very inexpensive. You probably want the Probability and Statistics one, not the Probability, Random Variables, and Random Processes one. – MJD Mar 28 '12 at 13:09
Thanks very much! – Rein Mar 29 '12 at 6:25
up vote 3 down vote accepted

I would like to suggest a book that we used for a first semester course in probability.

The book "Introduction to Probability Theory" written by Paul G. Hoel, Sidney C. Port and Charles J. Stone is a well-written book on probability theory. There are a lot of exercises that gear you through. If an exercise is a bit hard, they also leave a hint for the reader. (Amazon Link)

Prerequisites: (Suggested by the authors in the preface.)

  • Elementary Calculus that includes multiple integration.

I would also suggest that one has an elementary knowledge of counting. This would help cover a few sections in Chapter-1 rapidly. It emphasizes the more important concepts, while striking a delicate balance between mentioning those results that require sophisticated machinery to prove and those easy to prove while not very important.

One good thing about the book, it mentions some results whose proof requires measure theory, without omitting them. Exercises are carefully chose and well-organised through the text.

Hope you enjoy reading it. (And, you may find some good places to look without having to buy. I'll stop here in this regard.)

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Thanks very much! – Rein Mar 29 '12 at 6:25
+1 for Hoel, Port and Stone. The book I learned probability theory from and still the best introduction for math and science majors. – Mathemagician1234 Nov 6 '12 at 9:04

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