06-23-2006, 11:56 AM
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#1 (permalink) |
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researchin'
Join Date: Mar 2005
Location: St. Louis, MO
Posts: 74
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Measure Theory
So, do any of you mathy people have suggestions about good measure theory books.
I have taken plenty of econometrics courses and derived LL fxns for a fancy estimator for my master's thesis (well, with the help of my advisor who was a mathmetician). In so doing, I began to see my limitations and thought it might be nice to read up on Prob Theory more rigorously before starting my phd program. Though, all books look, franky, really hard. I have had some analysis... but not a whole lot...so... any suggestions? |
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06-23-2006, 01:06 PM
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#2 (permalink) |
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Trying to make mom and pop proud
Join Date: Mar 2005
Posts: 25
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Measure Theory Book
Royden's Real Analysis is a terrific text...
For more intuitive approach (although not simpler) consider Stein and Shakarchi's Real Analysis: Measure Theory, Integration and Hilbert Spaces Both are excellent. The second one is newer. The first one is famous.  You decide. |
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06-23-2006, 01:10 PM
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#3 (permalink) |
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Within my grasp!
 Join Date: Mar 2006
Location: US
Posts: 115
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Hey Pookchen,
You might wanna try one of this Topics in Advanced Econometrics: Probability Foundations by Phoebus J. Dhrymes Introduction to the Mathematical and Statistical Foundations of Econometrics by Herman Bierens... This will prove Worth if You can combine it with Topics in Advanced Econometrics : Estimation, Testing, and Specification of Cross-Section and Time Series Models by Herman bierens
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Silence is defined by those who do not define it and not defined by those who define. |
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06-25-2006, 08:48 PM
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#5 (permalink) | |
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TestMagic Guru-in-Training
Join Date: Sep 2005
Location: Cambridge, MA
Posts: 607
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I believe the most common reference for measure theoretic probability related stuff is Billingsley's "Probability and Measure." It is pretty dense, though. (As is any book on measure theory!) Good luck!
Quote:
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MIT Economics, class of 2011 |
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06-26-2006, 06:09 PM
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#6 (permalink) |
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Eager!
Join Date: May 2005
Location: Bonn
Posts: 76
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Hi!
As u live in germany, I guess u also speak german, so my advice would be the book from Bauer : Maß- und Integrationstheorie. This is one of the most famous books on measure theory when u talk to mathematicians in germany, also good seems to be a book from Elstrod (I don't know if I write it correctly), but I didn't use that. There is also a book on probabiltiy theory from Bauer (german title : Wahrscheinlichkeitstheorie, glaub ich zumindest  ), and if u get an older version of this book in the library u will find a chapter or so on measure theory, that is the "beta"-version of his measuretheory book, he later made two books out of it, otherwise it would have gotten to large. |
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06-27-2006, 03:21 AM
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#7 (permalink) |
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Within my grasp!
Join Date: Apr 2006
Posts: 310
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free lecture notes online
Hello. Here is a link to some free lecture notes.
http://math.la.asu.edu/~jss/courses/...73/mat473.html The first ten lectures cover Differentiation in many variables. Measure starts in lecture 11, and later Change of Variables is covered. |
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