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http://www.shnenglu.com/bneliao/category/8116.htmlzh-cnWed, 17 Dec 2008 20:53:24 GMTWed, 17 Dec 2008 20:53:24 GMT60zzȝ理工大学教授教你怎样做研I生how to studyhttp://www.shnenglu.com/bneliao/articles/61246.htmlbneliaobneliaoSun, 07 Sep 2008 12:18:00 GMThttp://www.shnenglu.com/bneliao/articles/61246.htmlhttp://www.shnenglu.com/bneliao/comments/61246.htmlhttp://www.shnenglu.com/bneliao/articles/61246.html#Feedback0http://www.shnenglu.com/bneliao/comments/commentRss/61246.htmlhttp://www.shnenglu.com/bneliao/services/trackbacks/61246.htmlȝ理工大学教授教你怎样做研I生how to study
理工学院 人工实验? AI Working Paper 316 1988q?0? 来自MIT人工实验室:如何做研IӞ 作者:人工实验室全体研I生 ~辑QDavid Chapman 版本Q?.3 旉Q?988q?? 译者:x?北京师范大学信息学院2000U博士生 摘要 本文的主旨是解释如何做研I。我们提供的q些Q对做研I本w(阅读、写作和E序设计Q,理解研究q程以及开始热qIӞҎ论、选题、选导师和情感因素Q,都是极具价值的。Copyright 1987, 1988 作者版权所? 备注Qh工智能实验室的Working Papers用于内部交流Q包含的信息׃q于初步或者过于详l而无法发表。不像正式论文那P会列出所有的参考文献?
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.. 阅读有关如何写作的书c。Strunk和White的《Elements of Style》对基本的应该如何不应该如何做了介绍。Claire的《The MLA''s Line By Line》(Houghton MifflinQ是有关在句子别如何编辑的书籍。Jacques Barzun的《Simple and Direct: A Rhetoric for Writers》(Harper and Row, 1985Q是有关如何作文的?
.. MIT AI Lab Memos大体上是或者接q发表的水^。实际上QTechnical Reports基本上都是这些Memos的修订版本。Working Papers则更不正式,q是很好的将自己的论文分发给同事们的Ҏ。要出版q些内部文gQ只需到Publications OfficeQ在zd楼八层)领一份表|q有两位教员{֭卛_?
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Gregory Bateson's Advice to a Young Scientist, Freeman Dyson's
Disturbing the Universe, RichardFeynmann's Surely You Are Joking, Mr.
Feynmann!, George Hardy's A Mathematician's Apology,和Jim Watson's The Double Helix.
]]>zz Steve Jobs在斯坦福大学2005q毕业典C的演讲http://www.shnenglu.com/bneliao/articles/60483.htmlbneliaobneliaoSat, 30 Aug 2008 20:26:00 GMThttp://www.shnenglu.com/bneliao/articles/60483.htmlhttp://www.shnenglu.com/bneliao/comments/60483.htmlhttp://www.shnenglu.com/bneliao/articles/60483.html#Feedback0http://www.shnenglu.com/bneliao/comments/commentRss/60483.htmlhttp://www.shnenglu.com/bneliao/services/trackbacks/60483.html
This
is the text of the Commencement address by Steve Jobs, CEO of Apple
Computer and of Pixar Animation Studios, delivered on June 12, 2005.
I
am honored to be with you today at your commencement from one of the
finest universities in the world. I never graduated from college. Truth
be told, this is the closest I've ever gotten to a college graduation.
Today I want to tell you three stories from my life. That's it. No big
deal. Just three stories.
The first story is about connecting the dots.
I
dropped out of Reed College after the first 6 months, but then stayed
around as a drop-in for another 18 months or so before I really quit.
So why did I drop out?
It
started before I was born. My biological mother was a young, unwed
college graduate student, and she decided to put me up for adoption.
She felt very strongly that I should be adopted by college graduates,
so everything was all set for me to be adopted at birth by a lawyer and
his wife. Except that when I popped out they decided at the last minute
that they really wanted a girl. So my parents, who were on a waiting
list, got a call in the middle of the night asking: "We have an
unexpected baby boy; do you want him?" They said: "Of course." My
biological mother later found out that my mother had never graduated
from college and that my father had never graduated from high school.
She refused to sign the final adoption papers. She only relented a few
months later when my parents promised that I would someday go to
college.
And
17 years later I did go to college. But I naively chose a college that
was almost as expensive as Stanford, and all of my working-class
parents' savings were being spent on my college tuition. After six
months, I couldn't see the value in it. I had no idea what I wanted to
do with my life and no idea how college was going to help me figure it
out. And here I was spending all of the money my parents had saved
their entire life. So I decided to drop out and trust that it would all
work out OK. It was pretty scary at the time, but looking back it was
one of the best decisions I ever made. The minute I dropped out I could
stop taking the required classes that didn't interest me, and begin
dropping in on the ones that looked interesting.
It
wasn't all romantic. I didn't have a dorm room, so I slept on the floor
in friends' rooms, I returned coke bottles for the 5¢ deposits to buy
food with, and I would walk the 7 miles across town every Sunday night
to get one good meal a week at the Hare Krishna temple. I loved it. And
much of what I stumbled into by following my curiosity and intuition
turned out to be priceless later on. Let me give you one example:
Reed
College at that time offered perhaps the best calligraphy instruction
in the country. Throughout the campus every poster, every label on
every drawer, was beautifully hand calligraphed. Because I had dropped
out and didn't have to take the normal classes, I decided to take a
calligraphy class to learn how to do this. I learned about serif and
san serif typefaces, about varying the amount of space between
different letter combinations, about what makes great typography great.
It was beautiful, historical, artistically subtle in a way that science
can't capture, and I found it fascinating.
None
of this had even a hope of any practical application in my life. But
ten years later, when we were designing the first Macintosh computer,
it all came back to me. And we designed it all into the Mac. It was the
first computer with beautiful typography. If I had never dropped in on
that single course in college, the Mac would have never had multiple
typefaces or proportionally spaced fonts. And since Windows just copied
the Mac, its likely that no personal computer would have them. If I had
never dropped out, I would have never dropped in on this calligraphy
class, and personal computers might not have the wonderful typography
that they do. Of course it was impossible to connect the dots looking
forward when I was in college. But it was very, very clear looking
backwards ten years later.
Again,
you can't connect the dots looking forward; you can only connect them
looking backwards. So you have to trust that the dots will somehow
connect in your future. You have to trust in something ?your gut,
destiny, life, karma, whatever. This approach has never let me down,
and it has made all the difference in my life.
My second story is about love and loss.
I
was lucky ?I found what I loved to do early in life. Woz and I started
Apple in my parents garage when I was 20. We worked hard, and in 10
years Apple had grown from just the two of us in a garage into a $2
billion company with over 4000 employees. We had just released our
finest creation ?the Macintosh ?a year earlier, and I had just turned
30. And then I got fired. How can you get fired from a company you
started? Well, as Apple grew we hired someone who I thought was very
talented to run the company with me, and for the first year or so
things went well. But then our visions of the future began to diverge
and eventually we had a falling out. When we did, our Board of
Directors sided with him. So at 30 I was out. And very publicly out.
What had been the focus of my entire adult life was gone, and it was
devastating.
I
really didn't know what to do for a few months. I felt that I had let
the previous generation of entrepreneurs down - that I had dropped the
baton as it was being passed to me. I met with David Packard and Bob
Noyce and tried to apologize for screwing up so badly. I was a very
public failure, and I even thought about running away from the valley.
But something slowly began to dawn on me ?I still loved what I did.
The turn of events at Apple had not changed that one bit. I had been
rejected, but I was still in love. And so I decided to start over.
I
didn't see it then, but it turned out that getting fired from Apple was
the best thing that could have ever happened to me. The heaviness of
being successful was replaced by the lightness of being a beginner
again, less sure about everything. It freed me to enter one of the most
creative periods of my life.
During
the next five years, I started a company named NeXT, another company
named Pixar, and fell in love with an amazing woman who would become my
wife. Pixar went on to create the worlds first computer animated
feature film, Toy Story, and is now the most successful animation
studio in the world. In a remarkable turn of events, Apple bought NeXT,
I returned to Apple, and the technology we developed at NeXT is at the
heart of Apple's current renaissance. And Laurene and I have a
wonderful family together.
I'm
pretty sure none of this would have happened if I hadn't been fired
from Apple. It was awful tasting medicine, but I guess the patient
needed it. Sometimes life hits you in the head with a brick. Don't lose
faith. I'm convinced that the only thing that kept me going was that I
loved what I did. You've got to find what you love. And that is as true
for your work as it is for your lovers. Your work is going to fill a
large part of your life, and the only way to be truly satisfied is to
do what you believe is great work. And the only way to do great work is
to love what you do. If you haven't found it yet, keep looking. Don't
settle. As with all matters of the heart, you'll know when you find it.
And, like any great relationship, it just gets better and better as the
years roll on. So keep looking until you find it. Don't settle.
My third story is about death.
When
I was 17, I read a quote that went something like: "If you live each
day as if it was your last, someday you'll most certainly be right." It
made an impression on me, and since then, for the past 33 years, I have
looked in the mirror every morning and asked myself: "If today were the
last day of my life, would I want to do what I am about to do today?"
And whenever the answer has been "No" for too many days in a row, I
know I need to change something.
Remembering
that I'll be dead soon is the most important tool I've ever encountered
to help me make the big choices in life. Because almost everything ?
all external expectations, all pride, all fear of embarrassment or
failure - these things just fall away in the face of death, leaving
only what is truly important. Remembering that you are going to die is
the best way I know to avoid the trap of thinking you have something to
lose. You are already naked. There is no reason not to follow your
heart.
About
a year ago I was diagnosed with cancer. I had a scan at 7:30 in the
morning, and it clearly showed a tumor on my pancreas. I didn't even
know what a pancreas was. The doctors told me this was almost certainly
a type of cancer that is incurable, and that I should expect to live no
longer than three to six months. My doctor advised me to go home and
get my affairs in order, which is doctor's code for prepare to die. It
means to try to tell your kids everything you thought you'd have the
next 10 years to tell them in just a few months. It means to make sure
everything is buttoned up so that it will be as easy as possible for
your family. It means to say your goodbyes.
I
lived with that diagnosis all day. Later that evening I had a biopsy,
where they stuck an endoscope down my throat, through my stomach and
into my intestines, put a needle into my pancreas and got a few cells
from the tumor. I was sedated, but my wife, who was there, told me that
when they viewed the cells under a microscope the doctors started
crying because it turned out to be a very rare form of pancreatic
cancer that is curable with surgery. I had the surgery and I'm fine now.
This
was the closest I've been to facing death, and I hope its the closest I
get for a few more decades. Having lived through it, I can now say this
to you with a bit more certainty than when death was a useful but
purely intellectual concept:
No
one wants to die. Even people who want to go to heaven don't want to
die to get there. And yet death is the destination we all share. No one
has ever escaped it. And that is as it should be, because Death is very
likely the single best invention of Life. It is Life's change agent. It
clears out the old to make way for the new. Right now the new is you,
but someday not too long from now, you will gradually become the old
and be cleared away. Sorry to be so dramatic, but it is quite true.
Your
time is limited, so don't waste it living someone else's life. Don't be
trapped by dogma ?which is living with the results of other people's
thinking. Don't let the noise of others' opinions drown out your own
inner voice. And most important, have the courage to follow your heart
and intuition. They somehow already know what you truly want to become.
Everything else is secondary.
When
I was young, there was an amazing publication called The Whole Earth
Catalog, which was one of the bibles of my generation. It was created
by a fellow named Stewart Brand not far from here in Menlo Park, and he
brought it to life with his poetic touch. This was in the late 1960's,
before personal computers and desktop publishing, so it was all made
with typewriters, scissors, and polaroid cameras. It was sort of like
Google in paperback form, 35 years before Google came along: it was
idealistic, and overflowing with neat tools and great notions.
Stewart
and his team put out several issues of The Whole Earth Catalog, and
then when it had run its course, they put out a final issue. It was the
mid-1970s, and I was your age. On the back cover of their final issue
was a photograph of an early morning country road, the kind you might
find yourself hitchhiking on if you were so adventurous. Beneath it
were the words: "Stay Hungry. Stay Foolish." It was their farewell
message as they signed off. Stay Hungry. Stay Foolish. And I have
always wished that for myself. And now, as you graduate to begin anew,
I wish that for you.
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Topology的部分每一部分都认真读q,证明都过了至一遍,重要的定理(比如Urysohn’s Lemma, Tynchonoff
TheoremQ反复看q几遍,译几乎每一道习题我都尝试过Q因为我比较q运的找Cq本书课后习题的{案Q因此做完后有地方可以对照一下是否自己做?
对,思\是什么样的。其实我是在|上搜到了一个Course
WebpageQ好像是荷兰一个大学的Q这个Course用的是MunkresQ布|的习题都是q上面的Q上面有习题的Solution。当我刚开始想
下蝲Ӟ出现网错误,于是我就Email问那个Professor。结果h家很快回信告诉我|页错误他已l改q来了,可以下蝲SolutionQƈ?
如果有问题可以发信问他,真的是太Nice了。这个对我的帮助可以说是巨大无比。当Ӟ在学q本书的时候我也不断回ȝRudin的《Real and
Complex Analysis》,Folland<Real Analysis>, Royden<Realy
Analysis>Q其实后两本都有是比较全的Topology的章节。通过不断回去读这些,我对Topology的应用,概念的由来感觉掌握的
更加牢固Q毕竟这些书是分析的书,在写Topology部分旉比较着重于跟在分析中有用的TopicQ比如Complete Metric
Space, Function
SpaceQArzela-Ascoli定理{,q些Topic在Analysis都有着极ؓ核心的作用,因此掌握它们是必要的?
最
后ؓ了说明学q门评重要性,我说一下Point Set
Topology的应用,在分析里的就不用说了Q如果你是做计量理论的,那么你一定知道Limit
Theory的重要性,也就是各U各样LLNQCLT定理。其中用的很多的一个方法就是EmbeddingQ比如极为重要的CLT for
Matingale Difference SequenceQ而这个方法基于的是讲Stochastic
Process看作一个从旉C个Function Space的映,在这个基下来证明Weak
ConvergenceQ著名的Billingsley的《Weak Convergence of Probability
Measure》整本书是讲这个,我相信想做计量的Z定都知道。而这只是A tip of
IcebergQ后面非常多的东襉KZq个Q比如统计Asymptotic Theory里面的Empirical
ProcessQStochastic Process里面的ConvergenceQ等{。所以Point-Set
Topology我个是很重要的,当然专门学,只是在相关的评里面学一下基本内容也是可以应付的Q但是对于我自己来说Q每ơ学不同的东襉K要来
一点Topology中新的东西很痛苦Q烦性我׃ơ搞定,再无后患了。不q这Ua个h习惯?br>
q?
个很重要Q虽然不是基于Measure-Theory的,但是是你明白概率是什么东西的基础。国内数学系本科一学期的概率论的内容基本跟q边
Undergraduate的Honors Course for
Probability差不多,但问题是很多学校的老师不怎么认真在讲的时候。比如我所在学校的数学p,当时那个老师真是不咋圎ͼ上课光在那闲扯EQ证?
一炚w不讲Q而且译֠q大Q整个数学院所有不同专业的学生一起在上课Qv?00多号人,效果可想而知。我不知道别的学校情况咋P但是我本U所在学校的
数学p还是国内比较不错的Q连q里况且如此Q很多地方可能也好不到哪厅R当Ӟq只是我个h的瞎猜想Q没有Q何证据?br> q门评主要教材?
名家Durrett的《The essentials of Probability 》,我想很多人都知道他的另外一本Graduate
Probability教材《ProbabilityQTheory and Examples》,现在国q边的学校几乎都用这本书作ؓMath
PHD
Probability评教材。顺便说一句,Durrett是超U牛人钟开莱(中国人,虽然是美国公民)的学生,好像我记得他在一本书里管钟开莱叫?
Academic GodfatherQ真是牛到无极限啊?br> q门课Durrettq本书所有内容全Ԍ题目几乎全做Q这样得学?
Basic Probability的基相当好,Probability的Intuition很不错,从而在后面学习ZMeasure
Theory的Probability跟Stochastic ProcessӞ不至于迷失在Technical
Details中。不q这本主要是lMath的学生的Q我自己觉得Casella & Berger的《Statistical
Inference》前面的Basic
Probability部分也是好无比Q而且q是一本数理统计的教材Q多了很多Distribution的东西,从而给你学数理l计打下一个坚实的?
。ƈ且,q本书习题量大质量又好,而且|上有Solution
ManualQ所以是非常好的习题书。我自己其实没有上这门课Q不q我们计量IQ美国这边计量I其实是概率论与数理统计的内容Q不q有l济pȝ特点|了Q?
当时教材是Cassella & BergerQ于是我把前五章的习题都给做了Q真是受益匪?
另外Q国内复旦李贤^的那本概率论教材也是非常好的?br> 个hQ经类毕业的同学我想都有一Ҏ率论基础了,所以个得不必要专门׃
学期修这门课Q但是我惌p学或者在上计量I的时候将基本内容再过一遍,查缺补漏是有必要的,多做炚w目,最好能Casella &
Berger前面五章的题目做完,然后适当的参考下Durrett当有概念不清晰的问题Ӟq样基础打的比较牢了。Casella &
Berger国内有媄印版Q习题答案网上可以找得到。至于原来读数学的同学,h据你原来学的深度自行军_?br> 1.2QMeasure-Based Probability-Probability I
q?
门课跟下面的Introduction to Stochastic Process-Probability II通常在美国这Ҏ一q的Core
Course Sequence l那些将来可能做Probability的Math PHD学生。Probability
I的内容一般包括(以我所在的学校ZQ以度Zؓ基础的的概率基本概念Q经典的极限定理QLLN于CLT for Independent
SequenceQ? Random WalkQConditional Expectation,有的q会加上Discrete Time
Martingale Theory。这门课的先修课为Real Analysis或者Measure TheoryQ你必须对Measure and
Integration的内容很熟才行?
q门课我想不Z是做微观Q宏观,q是计量q是Finance基本上最好都要学Q毕竟现代经学Uncertainty是核心,从而概率的应用极ؓq泛?
微观里现在做的Decision theory, 关于Imperfect
Information的很多东襉K需要很好的概率论基Q上周跟一个要跟我们这里一个微观牛人做的同学见面讨论,他说那个Professor?
Paper里就用到了Martingale Convergence
TheoremQ虽然不是很深,但是一个好的Probability基础q是很必要的Q宏观里面常用的Stochastic Optimal
ControlQStochastic Dynamic
ProgrammingQ还有更不要提Finance了,如果没有一个好的概率基Q根本连现在入门的Asset
Pricing教材你都看不懂,比如Cochorane的《Asset Pricing》,更别说Duffie的《Dynamic Asset
Pricing》跟Merton的《Continuous-time
Finance》了Q计量理论我更不说了,它本来就是研I一些有l济数据特点的统计理论的Q想想Time Series
Econometrics里的UnitQCointergration吧,那里Asymptotic
distribution的推导都是基于Functional
CLT的。我׃多说了,MQ我们这里理论做的比较好的同学,几乎都有一个很好的Probability基础?
如果?
Measure Theory掌握的好Q学q门课会舒服很多Q当Ӟ你依焉要花费巨大的旉跟精力。我q门课上了两ơ,一ơ是在Operation
Researchp里上的Q讲评是个俄罗斯裔的老师Q课讲的极好Q真的算是领教了Russian的数学水qI一个字Q牛Q!Q光作业q我们布置?4
ơ,每次5Q?个题目,一学期下来做了快一百个题目Q想象一下,Graduate
CourseQ每个题目光写有的时候就?多U,学的时候真的是痛苦之极Q不q学完之后真的是感觉收获特别多。我l常跟OR几个同学讨论问题Q他们都?
国内数学pdw,有的都是在这边的学校读过数学然后再{到这Ҏ的,他们对作业量之大也很头疼Q不q我们都很觉得那个老师实讲的好,没得说。一个搞W的
是,q个老师的Webpage上写着Q?#8220;对于那些不想完成作业的同学请点这个链?#8221;Q然后等你点了后到了另外一个Web上,上面是他l空手道的一张照
片,而且照片的光U有问题Q他两眼发的都是l光Q恐怖啊Q呵呵!Q?br> ׃q个课老师Z照顾一些对Measure
Theory不是很熟的同学,于是他花了快一半的旉又把Measure
Theory讲了一遍(q部分内容他主要用Billingsley的《Probability and
Measure》里面的度论部分)Q因此后面概率的东西只是讲到了CLTQ后面没有讲MartingaleQ而且LLN跟CLT讲的不是特别深入Q只?
证明了IID情Ş下的定理Qƈ没有证明Independent but not Identical
Distribution的情形,而且我也惛_多一点,因此我就M了Math PHD Probability Core
Sequence的第一学期的课Q我本来想着上了ORq个然后直接MW二学期的Probability IIq了的Q。ȝ是把q个搞定了?
?
的来_Probability的好教材是非怹多,其中有Durrett,《Probability: Theory and
Examples》,Williams,《Probability with
Martingales》,Billingsley,《Probability and Measure》,Resnick 《A
Probability Path 》,Jacod & ProtterQ《Probability Essentials?
DudleyQ《Real Analysis and Probability?
ShirayevQ《Probability》,以及牛h钟开q《A Course in
Probability》这些教材基本上都是包括了Probability I的测度论为基的的概率基本概念Q极限定理与Probability
II的Stochastic Process的内容,所以基本上每一本都可以作ؓq一Sequence的教材,不过不同的教材特点还是不一L?br> Billingsley
是公认的好教材,特点是全Q既有Measure Theory的完整介l,又包含有直到Brownian
Motion的一qProbability评所有内容,但有个问题是体系安排很怪异Q不适合从头看到,事实上我们是从Chp2QChp3开始学Q然?
I插上Chp1的内容,然后再过渡到后面的Probability部分的。这本书的行文也是Informal式的Q很多重要定理的叙述证明都是在字里行?
完成的,q不是定理-证明式的写法。我个hl验是不适合自学Q如果有老师教课用这本书Q那真的是再好不q了Q不q如果没有老师教,最好把q本作ؓ参考。这
本书的课后习题非常好Q对于比较难的题目后面附有简要的{案。做Econ的h好多Paper后面在涉及Probability的时候引用的都是q本书(?
看White的《Asymptotic Theory for
Econometrians》)Q我猜他们当时学概率用的都是Billingsleyq本教材Q呵c?br> Durrett的教材是lMath
PHD的标准教材,全书主要讲概率,Measure Theory的主要结果附录在书的后面Q以供参考,因此Q学q本书必L扎实的Measure
Theory基础。现在国内这本书刚出了媄印版QBillingsley现在也刚处媄印版Q痛啊,q两本书׃我快200刀,因ؓ我修评时候国内还?
有媄印版Q唉Q,忘记上面是谁做的序了Q讲了一个故事,说是有个Math
PHD学生攑ցq是怎么着出去玩的时候,w边带了这么一本书Q然后这个学生现在美国是国一所著名大学的Professor了已l。抛开故事真假不说Q?
我对q种传说式的故事一炚w不信Q搞得好像背着宝剑Qn怀l世武功Q天生的武功奇才一P不知道是不是武侠说看的是不是太多了Q实际上Q我的武侠小说看
的是巨多无比Q。Durrettq本教材讲的虽然挺难Q但只是一些早期Probabilityl果的ȝQ离着研究前沿q差的很q。所以我觉得序里的故?
是想说明把这本书学透基׃打的很牢固,但是q种故事Ҏ对h形成误导Qv码我记得我在未学Measure Theory跟Probability
I之前也看q很多这U小故事Q看完后热血沸腾Q老想着一口气吃成个胖子,但是事与愿违Q反而事倍功半,其实最重要的还是下功夫好好学。当Ӟq只是针Ҏ
个h而言Q别的同学可能比我要理智的多。闲话不多说QDurrettq本书Probability I的内容讲的比较深Q其中Random
Walk作ؓ单独一章进行深入透彻的讲解,我想Random Walk做Econ的同学应该很熟吧Q这是Unit Root
Process了。其他书唯一q样做的是钟开׃Q我想Durrettq样做跟他是钟开莱先生的学生有关pd应该。Durrettq本是我们这
Probability I&IIq个One Year Sequence的主要教材,老师没有自己的Lecture
NotesQ会把这本书从头讲到,至于Z么我׃多说了?br> 下面惌牛h钟开q书了Q这本书如前面个景里面所qͼ我在国内的时?
上那个测度论因ؓ很多问题不明白所以就找了q本书来看,l果受益匪浅。忘记在哪里看过了,说这本书其实是将前苏联数学家对基于测度的概率论,?
Independent情Ş下Limit
Theorem的研I的一个ȝ。也是_q可以说是一本现代概率论教材的雏形,虽然在这之前也有很好的教材,但是正是q本书以及钟开莱在
Stanford教授q个评的经验,D了现在大部分学校的第一门概率Core
Course所教授的主要内容ؓIndependent情Ş下的Limit Theorem。实际上Q我觉得在Limit
Theorem定理的证明上Q这本书依然是讲的最好的Q不但严|而且清晰明了Q反而现在很多新出的概率书讲的迷qLp,要吗不严|要么?
Technical。不q这本书大量集中于Limit Theorem的证明,作ؓProbability
II主要内容的MartingaleQMarkov
Chain讲的很少Q当Ӟ我觉得依然讲的很好,特别q脆利落Q,对ErgodicityQBrownian
Motion更是一炚w没涉及,他前a里好像说了这些应该作为第二门评内容我记得。所以,q本书是加强版的Probability
I教材Q但是不能作为Probability II的教材?br> Shirayev的书是一本典型的Russian数学书,内容?
Durrett基本上一P只是前面加了一章基本的Probability and Stochastic
ProcessQ后面用两章讲了Stationary ProcessQ少了对Brownian
Motion的介l。这本教材证明上清楚明了Q课后习题很多是一些重要结果,是很好的教材。而且对Stationary
Process的讲解特别好Q算是奠定了Time Series Analysis的一个数学基。想做Time Series
Analysis我想q是一本必备的参考书?br> Williams的书短小_悍Q讲完Probability的基本内容立卌入Martingale的学习,真的是又快又准,毕竟Martingale在现代Probability甚至是EconQFinance{等都v着关键的作用?br> Resnick
的书是我上OR那个Probability的教材,因ؓResnick本n是在ORp,所以他写的教材q微简单点Q很多结果都l出了证明,不象是前?
那基本ؓMath PHD准备的书很多l果你自p证明Q有的时候花很多旉。这本书的内Ҏ后一章讲了MartingaleQ前面是Measure
Theory跟Probability
I的内容,看v来相对其他几本要E微Ҏ点,很多学校开lEngeeringQStatistics或者Finance学生的ProbabilityN
用这个作为教材?br> Dudley的书Probability部分讲的内容很多Q从l典的Limit
Theorem到MartingaleQ到Brownian MotionQErgodicity甚至q有一些Weak
Convergence的内容,׃q本书整合了Real
Analysis跟这么多的Probability内容Q深度上感觉E微差一炏VDudley本h在Empirical
Process斚w是奠Zh之一Q他1978q左右的几篇Paperl出了处理Empirical
Process不Measurable一U处理方法,奠定了他的地位。他本h是MIT的教授,q本书是MIT概率论的教材Q这门课的内容你可以在MIT
Opencourse上查得到Q上面有一些讲义跟习题{案Q可以用来作为参考?br> Jacod &
Protter我没读过Q把它列出来是因本书q年来有很多地方都在用,更重要得是这两个焉是数学出w,但是现在都在做Finance得东西,?
且都是名家。Protter是OR的ProfessorQ我惛_多做Finance的h都知道,他跟Jarrow有一关于Term
Structure的Paper影响很大Q是用Diffusion
Process作ؓModel的。而Jacod则是法国巴黎“Q?#8220;大的数学pL授,他跟Princetonl济pȝProfessor
Ait-SahaliaQReview of Financial Studies的上一个三q的EditorQ合作了一pd关系Continuous
Time Process的算是金融计量领域的文章?br> 当然Q在q边Finance领域主要q是在Business
SchoolQ但׃MertonQDuffie{h对连l时间模型的使用D了很多原来做Probability的数学出w的人都在搞Asset
PricingQ不q他们管q个叫做Financial MathematicsQFinancial
Engeering{等Q国内山东大学的彭实戈搞得所谓的金融数学其实是q个。结果现在在搞EconQFinance的h与这批以前数学出w的Z间有
了巨大的分歧Q前者认为后者摆弄数学,没有IntuitionQ没有IdeaQ而后者认为前者数学不行,模型用的不严根{于是就各搞各的Q各自Ş成了一?
圈子。个Z者都有道理,前者很多数学确实不行,模型用的不是很好Q统计工h握的也不好,于是Journal of
Finance上的Paper非常多的计量用的不对Q或者是Z一个比较SignificantQ比较Interesting的结论故意这么做。其实很?
l果Q如果你用正的或者比较严格的计量Ҏ再做一遍,Ҏ׃对,从而得出的Interesting的结论的可信度大打折扣。但是由于这些h已经形成?
一个圈子,他们之间互相接受q种做法Q所以文章还是能发,研究q是能做。说道这里,Z说一下,记得以前在国内看到有人把Journal of
Finance(JF), J of Financial Economics(JFE) 跟Review of Financial
StudiesQRFSQ给排了一个顺序,说什么这个比那个好,那个比这个好。我猜那个排法应该是按照所谓的影响因子或者引用率之类的来排的Q但是个
得这U东西没什么意思,q三个Journal都是Finance的Top
JournalQ如我前面所说JF的文章数学水qI计量工具的严格性要差一点,但是q样D了结果很InterestingQ而RFS是数学应用深一点,
计量工具用的严格Q但反而结果不那么Interesting。如此一来,使得JF的引用率要高于RFSQ但你能p前者比后者好吗?如果你真的这么想Q那
比较一下Econometrica上文章的引用率跟其他Journal然后再来回答q个问题。实际上Q在国q边的学术圈子里也存在争论,有h觉得JF?
一些,有h觉得RFS更好一些,所以这也是没办法的事。但是我觉得做事要严谨一点,不要对别Z生误|所以当你说JF比RFS好,或者RFS比JF好的
时候,我自己就会加上,“我觉?#8220;Q或?#8220;按照引用率,按照工具使用的严格程度来?#8220;{等的修饰词以表明你q样判断的根据?br> 接着上面Q反
q来Ԍ后者确实是Intuition比较差一点,׃Econ比较Ҏ的学U性质Q你用的严格却没有Interesting的结论,模型很好Q但是结?
跟以前一Pq样没什么太大的意义。拿彭实戈老师做的Backward
SDE来说Q数学上实很重要,提供了一U新的处理SDE的方法,而且实践上也可以应用Q但是拿到Finance理论上来看,是提供了一U解B-S模型
的方法,而Finance理论则是再探讨B-S模型本n的问题,所以这个研I对于Finance理论则基本上没什么意义或者意义不是很大。从q里可以?
出,学术研究某种E度上也是市场化Q需要有你一起开拓,有hƣ赏你的东西才行Q要不然你自p为的再好的东西也卖不出去?br> 好了Q该l?
束这一部分了,太长了。这部分介绍的书太多了,说一下我的学习过E。我个h׃是修课所以主要用了Billingsley的教材,基本上通读了算是,钟开
q书我也基本上看完了,看这个是因ؓLLNQCLT 的证明讲的好。Shirayev我精度了他讲Stationary
Process的两章,及Martingale那一章的部分内容。Durrett我没有精读,因ؓ上面的好多证明都在别的书上认真推D了,而且我下面会
再去上那个一q的Core Course SequenceQ这ơ完全讲q本书,所以打把它精度一遍。其他几本Williams, Resnick
, Dudley都只是在看别的书产生问题时候去扄应的部分做了参考。还有就是修完课后我׃几天旉把它们浏览了一下,以对照一下感觉?br> ?
人徏议:可以用BillingsleyQDurrettQ钟开莱,Shirayev中的L一本作ZL材,量完成大部分的译习题Q很多题目网上应
该可以搜索到{案。这四本书国内都已经有了英文影印版了Q可以省׃又。其他几本Williams, Resnick ,
Dudley可以作ؓ参考,Williams|上有电子版Q而Dudley国内有英文媄印版QResnick׃知道了?br> 1.3QIntroduction to Stochastic Process-Probability II
q?
门课主要内容是Discrete time Stochastic Process,Q讲Martingale, Markov Chain,
Stationary Process and Ergodicity, Brownian
Motion(BM)Q有的老师q会加上点Introduction to Ito’s Integral with respect to BM?
我这学期上这个课的老师是在概率领域里面一个超U牛的Russian老头Q他教的东西太多了。除了上面的内容Q他q讲了Continuous-time
下的Martingale跟Markov ProcessQ甚臛_括了Stochastic
Integral最General的情形即对于Semi-martingale的积分,所有这些内容加h一般都是分两门课来讲的Q因此作业做的我很痛
苦。不q痛苦完后感觉收莯是很大的。由于他q种教法是非常规的,q不是Probability
II应该包含的内容,因此学这门课我觉得还是以标准内容ZQ打好基Q这样以后要用到比较q概率理论可以自己学了,因ؓ后面你要用到的可能都是近q?
才得出的l果Q这U内容开课讲的好像不多,即有也跟老师的研I方向有关了?br> 鉴于前面已经众多概率教材做了详l介l,q里q要一谈就
可以了。Billingsley的书把Probability
II里面的内定w包含了,但不是特别成体系Q都是分散开来的Q所以不太适合作业主要教材。不q他最后一部分分两章讲的General Theory
for SP跟BM是非常好的,前面一章详l的介绍了给Z个Finite
Distribution然后Construct一个SP的方法,也即Kolmogrov Consistency
TheoremQ给SP的存在性奠定了一个基。Durrett是标准的教材Q因为将Measure
Theory作ؓ附录Q从而腾Z大量I间详细介绍SPQ是非常好的C教材。钟开p斚w的内容很,但是他最后一张对Martingale?
Markov
Process的介l切中要宻I理解深刻Q我觉得非常值得一诅RShirayev内容跟Durrett差不多,只是了BM的介l,但是多了
Stationary Process的详l讨论。Williams, Resnick ,
Dudley都有一些相关的介绍Q但不如前面基本书是pȝ的介l,所以只能用作参考我觉得?br> 个hQDurrett或者Shirayev都可以作Z要教材,主要的参考教材可以用BillingsleyQ钟开莱,其它基本可以M,了解一下别的处理方法?br> 1.4QContinuous
time SP, Stochastic Integral and SDE, Weak Convergence and Convergence
of SP, Limit Theorems for Dependent Sequence
q些内容每一个都是概率论的一部分比较C
一点的内容Q关于这些内容的书一般都叫做MonographQ而不是象前面那些一样可以叫做TextbookQ当然每一部分都是挺难的,惛_会也ZҎ
的。我q里只能E微说几句,没法l论Q一是因些内定w比较SpecializedQ如果你不需要根本不需要学Q不象前面的内容是一个Econ
PHD最好能具备的素质基Q二是因为我也说不了Q因为我自己q没有修q些课,有的是无译֏修,Ҏ没hԌ只能自己学,比如Limit
Theorems for Dependent SequenceQ虽然计量尤其是Time Series
Analysisl常用,但是没h教这些东西,不过如果前面Probability I &
II你基打好了,׃一Ҏ间跟_֊学好是没问题的。还有的是因些课E需要的预备知识太多Q比如Stochastic Integral and
SDE需要Discrete time SP的一些知识,Weak Convergence and Convergence of
SP需要Topology跟SP的知识,所以我也没法修Q这个是很难跨越的,Weak Convergence and Convergence of
SPd有个老师开q门课,我当时只是上了Probability IQ学了TopologyQ但是没有SP的知识,前面讲Weak
Convergenceq勉强可以听Q后来讲Convergence of SP时完全听不懂Q最后只好Drop掉了那门课)Q自己水q不到?br> ?
在这里稍微写一下是因ؓ有些人将来可能会修其中的内容Q比如做Finance的h会去修Continuous time SP, Stochastic
Integral and SDE,做计量的人有的会dWeak Convergence and Convergence of SP跟Limit
Theorems for Dependent Sequence{?
我虽然没有修q但是已l接触到了其中甚臛_部分的内容,比如我这学期上的Probability II已经重要的Continuous time
SP 跟Stochastic IntegralQSDE都讲了;Weak Convergence and Convergence of
SP虽然后面我没学好Q但是Weak
Convergence我还是学明白了Q因此我知道有哪些书是用的比较多的,在这里稍微列一下,以便兄弟姐妹需要学的能扑ֈ合适的参考书Q还有过来读
Econ PHD的知道哪些书可以带来Q以便省钱,呵呵Q省׃岁!Q?br> Continuous time SP跟Stochastic Integral and SDE都是联系在一LQ好多教材都是两者一赯Q这其中比较好的教材为:
Revuz and Yor, 《Continuous time martingale and BM?国内世图好像卛_出媄印版?
Williams and Rogers, 《Diffusions, Markov Process and Martingales》I & IIQ有影印版)
Karatzas and Shreve, 《BM and Stochastic Calculus》(GTMQ有影印版)
ProtterQ《Stochastic integration and differential equations 》(国内卛_有媄印版Q这是最隄一本Stochastic Integral教材了可能)
ShreveQ?
《Stochastic Calculus for Finance》,Vol IIQ国内有影印版,q本是现在标准的Continuous Time
Finance的教材了Q这边大部分的Financial Engeering Program都用q个Q?br> Weak Convergence and Convergence of SP的教材有Q?br> BillingsleyQ?《Convergence of Probability Measure?br> Jocod and ShereveQ《Limit Theorems for Stochastic Process?br> Ethier and KurtzQ《Markov Process: Characterization and Convergence?br> Van der Vart and Weller, 《Weak Convergence and Empirical Process?q其实是一本Empirical Process的教材,但Weak Convergence讲的很不?
q些书国内好像没有媄印版Q不q倒是都有电子书,大家在网上应该可以搜索得到?br> Limit Theorems for Dependent Sequence
Davidson, 《Stochastic Limit Theorem》(q是计量l济学家写的Q不q连Billingsley都在他的<Convergence of Probability Measure>专门提过Q?br> 好了概率部分q束了Q最后还有数理统计的一部分大功告成了?
接两q来的学习ȝ四,q是五,也是最后一部分。大功搞成了l于Q篏L?br> 2 数理l计
好了Q终于到了最后一部分了?br> 2.1QBasic Mathematical StatisticsQ?br> q?
是基本的非基于测度论的数理统计,q部分内容加?.1的Basic Probability Theory其实正好是美国这边Econ
PHD计量I的内宏V这部分数理l计的内容相当于q边本科Hornors Course for Math
Statistics的内容,因ؓ我在国内既上q经类那种概率l计一门课大杂烩的数理l计Q也上过数学pd独一学期的数理统计,从而比较知道两者的?
别,当然q也仅限于我本科所p的学校。这门课跟前面的1.1 Basic Probability
Theory一P我觉得不需要去专门修本UHonors的课Q但是最好自己或者在上计量I的时候认认真真的把基本数理统计的基础打好Q这样做不光是对?
些做来做计量理论的同学而言Q对那些打算做别的领域的Q也同样适用。因Z你做微观,宏观q是FinanceQ哪个现在都是Theory?
Empiricalq的,现在qAuction
Theory都在做计量检验,更别说宏观,Finance{等了。顺便说一下,l常看到有h在BBS上说自己看不懂计量经学的教材,比如
GreenQHayashi或者Davidson &
MackinnonQ其实我以前也是看不懂,跟大家的感觉一Pqp糊。后来才知道Q其实就是因为数理统计不行,因ؓ现在所谓的计量是以统计里面的?
归分析ؓ基础发展h的具有经金融数据特点的l计理论Q这本n是l计学,数理l计不行当然看不懂?br> q门评教材可以用一般计量I的教
材,比如Gallant的《An Introduction to Econometric
Theory》,BirrensQ《Introduction to the mathematical and Statistical
Foundation of Econometrics》,但是我个人更偏好一些纯数理l计的教材,比如Casella &
Berger的《Statistical Inference》,q有更深一点的Bickel & Dokosum《Mathematical
Statistics: Basic Ideas and Selected
Topics》,因ؓ我是打算做计量理论的。前面两本因为是计量I的教材,更偏重于一些在计量中有直接作用的统计的介绍Q而后两本是标准的北美q边l计p?
非测度数理统计的教材Q当然其实Bickel &
Dokosum已经是接近于用测度论作ؓ语言了。学习后两本可以使得你对l计的理解更深刻Q知识面也更qѝ我自己是在上计量I的时候将Casella
& Berger认真的通读了一遍,做了大量的课后习题,同时参考了Bickel &
Dokosum的教材,而后来在修下面基于测度论的数理统计时又参考了Bickel &
Dokosum。我没有读过Gallant与BirrensQ因量I的Professor有自qLecture
NotesQ所以我对这两本不是很有发言权。但是这两本我都览q,所以知道它们的内容?br> 个hQ如果你打算做计量理论,可以?
Casella & Berger与Bickel &
Dokosum作ؓ计量I的主要教材,认认真真的把前一本上面的习题完成Q打好基Q如果不是做计量理论的,我觉得可以读Gallant?
BirrensQ适当参考一下Casella & BergerQ它上面的习题多又好Q而且q能扑־到答案做完后对照思\。Casella
& Berger国内有媄印版QBickel &
Dokosum现在都是W二版了用,W一版国内有译版,不过W二版好像也要快出媄CQ我不徏议读译的;Gallant与Birrens好像国内有些
学校有复印的Q网上可能也可以扄到?br> 2.2QMeasure-based Mathematical Statistics I & II
q?
其实是包含两门课的一个一q的SequenceQ因Z门讲不完q么多内容的。但是我觉得只有打算做计量理论的才需要考虑q个课,不象在讨论前面的
Probability I & IIӞ 我觉得所有Fields的h最好都修Probability IQ而Probability
II则不一定这L分开来考虑Q所以我把它们放C赯论。这个课其实是Statistics PHD一q的Core
CourseQ可惌知是讲的比较严格的?br> q门评主要内容是严格的数理统计理论,既包含Statistical
InferenceQPoint Estimation, Hypothesis TestingQ以及Confidence
SetQ,又包括Statistical Decision
TheoryQ既包含FrequentistҎQ又包括Bayesian的方法;既有样本的Evaluation标准Q像?
UnbiasedQUMVUE{等Q又包括大样本的Asymptotic
Efficiencyl计评hҎ。当Ӟq个课还包含很多Cl计Ҏ的简单介l,比如
NonparametricQSemiparametricQBootstrapZ表的ResamplingҎ。不q这里只能是单介l,详细的内?
只能由后l课E或者通过自学Q因些课E的开N是跟老师的研I兴有关的Q一个学校不一定能把所有的N开hQ来完成。详l的评内容我就不多?
了,因ؓ我个得,凡是惛_计量理论的hq门评内容都是必然要具备的素质Qv码对于现在这个年代的计量理论来说我觉得是q样Q看看现?
EconometricaQEconometric TheoryQJournal of
Econometrics上的PaperQ基本上都是各种各样的新的EstimationQHypothesis
TestingҎ的提出,所用的工具无不是基于现代数理统计最新的研究q展Q如果不能打一下一个很坚固的数理统计基Qv码对我来说真是难以想象怎么?
做研I将来?br> q门评主要教材是著名的《Theory of Point Estimation》(TPEQ?by Lehmann
and CasellaQ与《Testing Statistical Hypotheses》(TSHQby Lehmann and
RomanoQ我惌两本教材的难度很多h都早听说过了,反正我觉得这两本书真是得臛_׃q的旉才能学好Q课后的习题多,质量也好Q这边的图书馆里
能借到他们W一版的习题解答Q非常老了Q感觉字体很象是手写然后复印的。这本习题解{的作者一说大家肯定知道,是写了cM于Probability癄
全书的《Modern Theory of
Probability》的Kallenberger了。跟q两本书隑ֺ差不多相当的Bayesianl计的书可以参考《Statistical
Decision Theory and Bayesian Analysis》by
BergerQ注意这个Berger跟与Casella写《Statistical Inference》的Berger可不是一个h。另外,Shao
Jun的《Mathematical
Statistics》写的也是非怹好,内容늛了TPE跟TSH的所有内容几乎,当然E度要容易的多,q且q本书简单介l了包括
NonparametricQSemiparametricQBootstrapQ甚臌有Empirical
Likelihood的几乎所有的Cl计ҎQ真是一书在手,天下事尽知啊。还值得一提的是,q本书习题也是很丰富Q而且q有专门的一本习题答案,以供
大家参考,如果能好好利用这些习题,q是那句话,受益l生。我自己上课时老师把这基本都列Z参考教材,我则除了TPE跟TSH上老师上课讲的内容外,?
l读了Shao
Jun的相兛_容,q且做了上面的一部分题目,收获颇丰。Shao先生Q我不知道是不是邵,所以只好写拼音Q好像是国内华东师大毕业的,现在为U
of Wisconsin at Madisonl计pȝMQQ那里Statistics PHDW一q的Math Stat Core
Squence是讲他q本书?br> 不知道ؓ什么纯数学的书国内有媄印版的非常多Q但是统计的书国内很找到媄印版Q这使我惌v了有位统计牛
人在一个报告上说的Q国内跟国外在统计学研究上的差距q几q非但没有羃,某种E度上反而有Ҏ大了。我不是做数理统计的Q也不知道事实是否如此,不过l?
计方面媄C的出版比U数学方面的差了很多Q这是一个很奇怪的现象Q因为统计在现实中的应用应该更多些,按说l计书的引进应该是更快一步才对,现在反而是
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用。陈老对做习题以掌握内容Q训l基本技能的说法我想很多同学都是见过的,不得不说Q姜q是老的辣啊Q!Q?br> 个hQ这门课值得好好׃q的旉学好TPEQTSH或者学好Shao JunQBayesian的部分可以参考下Berger。Berger的书国内有媄印版Q其他基本好像没有,不过可以扑־到电子版Q而且国内一些学校也有复印版。题目要认真做,多做?br> 2.3QAsymptotic Statistics
Asymptotic
Statistics包括了数理统计里面的很多大样本理论,比如M-Statistic, U-StatisticQMLEQAsymptotic
Relative EfficiencyQEmpirical Process{等Q我觉得是应该作Z门课认真学学的,教材可以用现在最行的Van
der Vart 的《Asymptotic Statistics》,事实上很多学校都已经这门课开做一本Stat
PHD的必修课。由于我自己q没修过Q所以我没什么发a权,只能推荐q么一本书Q不q很多Professor都有Course
WebpageQ大家可以去|上搜烦Q看看他们怎么个讲法,讲哪些内容,扄应的课本认真学习Q打好基。我本h正打这个Summer学这个,因ؓ以后
要把大部分的旉都{向与我自q研究方向相关的学习,q要开始准备我的PHD
DissertationQ因此估计比较少有时间再去象W一Q二q一栯栯心的打基础了,所以觉得最好在Summer这门重要的内容解决掉?br> 2.4QTopics in Modern Math Statistics