Introduction to Probability, 2nd Edition

Preface:

This is a substantial revision of the 1st edition, involving a reorganization of old material and the addition of new material. The length of the book has increased by about 25 percent. The main changes are the following:

• Two new chapters on statistical inference have been added, one on Bayesian and one on classical methods. Our philosophy has been to focus on the main concepts and to facilitate understanding of the main methodologies through some key examples.
• Chapters 3 and 4 have been revised, in part to accommodate the new material of the inference chapters and in part to streamline the presentation. Section 4.7 of the 1st edition (bivariate normal distribution) has been omitted from the new edition, but is available at the book's website.
• A number of new examples and end-of-chapter problems have been added.

The main objective of the new edition is to provide flexibility to instructors in their choice of material, and in particular to give them the option of including an introduction to statistical inference. Note that Chapters 6-7, and Chapters 8-9 are mutually independent, thus allowing for different paths through the book. Furthermore, Chapter 4 is not needed for Chapters 5-7, and only Sections 4.2-4.3 from Chapter 4 are needed for Chapters 8 and 9. Thus, some possible course offerings based on this book are:

• Probability and introduction to statistical inference: Chapters 1-3, Sections 4.2-4.3, Chapter 5, Chapters 8-9.
• Probability and introduction to stochastic processes: Chapters 1-3 and 5-7, with possibly a few sections from Chapter 4.

Dimitri P. Bertsekas
dimitri@mit.edu

John N. Tsitsiklis
jnt@mit.edu