A semester of probability with Persi Diaconis

Last Updated: Dec 08, 2021

In Fall 2021, I took a course on measure-theoretic probability with the great Persi Diaconis. Persi continually suggested books and articles throughout the class, which I have gathered here along with some of his comments.

For more in this vein, see my similar article on Nassim Taleb’s probability library.

General probability theory:

Remarks on the Lebesgue integral:

Remarks on the strong law of large numbers:

Remarks on Poisson approximation and Stein’s method:

Remarks on the central limit theorem:

Remarks on Fourier analysis:

Edgeworth corrections and small sample asymptotics

Some scattered notes from office hours: