I'm not sure if this stuff all falls under what most would just term "probability", but I'm researching applied macroeconomics and need to get a handle on the following concepts ASAP:
- probability spaces and sigma algebras
- Borel sets
- convergence
- stationarity/ergodicity
- martingales
- laws of large numbers
- spectral analysis
The text I'm using right now, Fabio Canova's Methods for Applied Macroeconomic Research, touches on all these things briefly in the space of about twenty-five pages, but it's pretty impenetrable. Does anyone know anything off-hand that presents these topics in a more practical, easier-to-digest way? This is a little bit better, but does anyone have any other suggestions?
Best Answer
There is no royal road to probability. The closest is W. Feller's book, which has many (but not all) of the topics you mention, but I strongly advise reading (at least parts of) it first. Otherwise, you will go through life hopelessly confused.