What's a good resource for teaching myself Markov chains?

[DeuteriumDude]

Hi all,

Over the summer, I am going to be doing some research with EEG. My professor suggested I could do some signal processing of the data using markov chains. I'm not familiar with markov chains, but I think the prof intends to teach me himself. I'd still like to get some background from external sources. Anyone recommend any books or websites?

Thanks

 

[micromass]

I take it that you don't know measure theory?? In that case, I would suggest "Introduction to stochastic processes" by Lawler. It does presuppose a knowledge of probability theory, though...

 

[chiro]

Hi all,

Over the summer, I am going to be doing some research with EEG. My professor suggested I could do some signal processing of the data using markov chains. I'm not familiar with markov chains, but I think the prof intends to teach me himself. I'd still like to get some background from external sources. Anyone recommend any books or websites?

Thanks

You might like "Introduction to Probability Models" by Sheldon Ross. I've got the 9th edition (which is a little old), but it has a lot of examples of applied probability (including markov chains). If you're at a university, you might be able to pick up a copy at the uni library.