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Probability and random processes: engineering approach

  1. Sep 29, 2009 #1


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    There are a couple of fantastic e-books on probability and random processes, designed for graduate electrical engineering classes but should be interesting to many other folks as well.

    The first is from prof. Hajek at Illinois.


    The second is from Gray (Stanford) and Davisson (UMD)


    Both books are professional quality (hardcopy of Gray+Davisson is also published by Cambridge University Press). Hajek includes solutions to even numbered problems.

    These present notions of measure-theory without the detailed proofs, and present random processes at a reasonably high level, again without requiring measure theory. Hajek is my favorite. It is not that different of a level as Grimmett and Stirzaker, but is geared more towards electrical engineering applications and doesn't review as much probability. Gray and Davisson is a little wordy, but still very interesting

    Prof. Gray has also written a higher level book on "probability, random processes and ergodic thoery":

    and a reasonably high level book called "entropy and information theory":

    that may be of interest.

    The e-book "basic probability theory" from Prof. Robert Ash (previously posted) complements these.


  2. jcsd
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