I am trying to learn probability. Although I tried a few courses (Stat 110 Harvard for example), I felt the progression was fast and I kind of lost interest. However, I am dead-set on learning probability, right from the basics. Although I have some idea, I feel my absolute basics are not strong enough. Would the good people of Mathstackexchange suggest me a good book? I am looking for books that have a story approach, building an interest and not a book that gets into the brass stacks right away.

I did check the common names, like Sheldon M Ross and a couple more. I am not sure which one fits me.

Edit: I have completed a course on probability during my undergrad which covered probability, but it was more of a pass grade. I can solve mechanically but I do not under the basics and the whys.


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    $\begingroup$ You should explain your mathematics background so that you receive recommendations appropriate to your skill level. $\endgroup$ Jan 21 '20 at 14:45
  • $\begingroup$ Thanks, Jose! I will give the lists a look. N $\endgroup$ Jan 21 '20 at 15:02
  • $\begingroup$ N.F. Taussig- That’s a good idea. Will edit. $\endgroup$ Jan 21 '20 at 15:03
  • $\begingroup$ It depends what your interests are. If you are interested in inference (how best to extract useful information from data, esp huge data sets), then the answer is quite different from if you are interested in measure theory. $\endgroup$
    – almagest
    Jan 21 '20 at 15:36
  • $\begingroup$ Also see math.stackexchange.com/questions/155353/… $\endgroup$ Jan 21 '20 at 15:50

I suggest:

Billingsley, probability and measure.

It covers all basic topics and mostly from scratch. Only knowledge you should have before reading it is basic real analysis.


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