r/econometrics • u/cheap_byproduct • 13d ago

Where can I start with measure theory?

Im a PhD student but I don't have measure theory background and I need to get the overall notion for it to understand stochastic processes. So is there a good book or yt playlist where measure theoretical probability and stochastic process is taught from scratch? That would be of much help. Thanks.

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u/whowannaberich 13d ago

The book by Schilling is a good introduction to measure theory, it’s very friendly as long as you are pretty comfortable with analysis. I didn’t really use YouTube too much for it but there’s a playlist by Adam Kashlak for MTP (ideally after you have some background through the Schilling text) which follows Billingsley. Billingsley is pretty difficult to read as an intro imo so it’s nice to have a video series to go with it. Alternatively, auditing a course at your uni is always a pretty good option imo