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Please Recommend a Good Book on Measure Theory

  1. Sep 22, 2009 #1
    All the books I want to read about probability and statistical estimation require some understanding of measure theory. What is a good introductory text on measure theory you would recommend (assuming no prior knowledge of measure theory at all)? I want to be able to teach myself from the book as well so it can't be too esoteric.

    thanks for your help
  2. jcsd
  3. Sep 22, 2009 #2


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  4. Sep 22, 2009 #3
    Books that I've come across, but don't have too much experience with are:
    https://www.amazon.com/Lebesgue-Int...sr_1_1?ie=UTF8&s=books&qid=1253640794&sr=8-1" by Soo B. Chae
    https://www.amazon.com/Lebesgue-Int...sr_1_1?ie=UTF8&s=books&qid=1253640828&sr=8-1" Space by Frank Jones
    https://www.amazon.com/Lebesgues-In...sr_1_6?ie=UTF8&s=books&qid=1253640828&sr=8-6" by David Bressoud

    In my opinion Lebesgue measure theory and integration is one of those subjects where there isn't a great textbook. If I remember correctly, all three of the above books define measure by a different method. You just sort of have to go with one. I recently learned from Real Analysis by Royden, but I do not recommend that text at all. Although, I second the recommendation of Bartle's book. It concentrates solely on measure and integration, but it is very expensive for such a small book.
    Last edited by a moderator: Apr 24, 2017
  5. Sep 29, 2009 #4


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    Last edited by a moderator: May 4, 2017
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