rcmnd

Markov Processes: Characterization and ConvergenceBook

by Stewart N. Ethier and Thomas G. Kurtz

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Cosma Rohilla Shalizi
Statistics professor at Carnegie Mellon University who writes the long-running blog Three-Toed Sloth and the Bactra Review of books.
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Instead, start with the material on actual Markov processes, and then work backwards through the foundational chapters as needed. (The flow-chart at the end of the book, indicating which results depend on which previous ones, is very helpful for this.) There is a wealth of fascinating material here, of profound importance for statistics and for physics, since both rely crucially on extracting nearly-deterministic behavior from large-scale Markov processes, which is a key theme of these results.

His monthly "Books to Read While the Algae Grow in Your Fur" post for February 2006 — the books he read that month and feels he can recommend.

bactra.org ↗·2006-02-28

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