

Excellent Introduction to Probability
If you want to learn elementary probability, get this bookMy professor back then told us that if we want to learn probability, then do every exercise in this book. She was absolutely right. The exercises are excellent. Do them, and you will learn a lot.
This used to be *the* book on elementary calculus-based probability theory at most universities. I don't understand why it seems to have fallen out of favor. Perhaps because of its size (it is fairly compact, as it should be) and age, though I fear that it may be because it is a bit more demanding (but worth it) than many of the newer books.
Excellent textbook!!

Simply the perfect math bookThe format of Luenberger's book is also extremely appealing in a way that I cannot quite put my finger on. The typography and illustrations are inherently crisp and inviting; they draw you in. There is nothing at all superfluous or gratuitous in this book. It is utterly to-the-point, methodical, and above all, clear. The techniques are developed starting from an elementary treatment of vector spaces, then proceeding on to Banach spaces and Hilbert spaces. Along the way, Luenberger introduces convexity, cones, basic topology, random variables, minimum-variance estimators, and least squares, among many other things. There is a recurring theme of duality, which can be used in a way analogous to the inner product of a Hilbert space. In particular, the familiar projection theorems of Hilbert spaces can be echoed in simpler normed linear spaces using duality, which Luenberger motivates and covers beautifully.
The book also covers some of the standard fare of functional analysis, such as the Han-Banach theorem, strong and weak convergence, and the Banach inverse theorem. However, Luenberger never wanders too far off into abstract nonsense; around every corner lay tantalizing application of these ideas to optimization. Luenberger first explores optimization of functionals then covers constrained optimization, which builds upon concepts such as positive cones and Lagrange multipliers. The optimization methods themselves have endless applications in fields such as computer vision, computer graphics, economics, and physics. Indeed, the list is effectively endless as optimization techniques pervade math and science.
I'm certain that the appeal of this book is helped immeasurably by the inherent beauty of the subject matter. Hilbert-space methods are lovely in themselves--they possess a structure that engages one's geometric intuition while at the same time admitting convenient algebraic properties. Once you are in the habit of phrasing problems in abstract settings such as Hilbert spaces, it forever changes how you look at things; you cannot help but look past the clutter to the essence of a problem (or, at least try very hard to do so). While this material is not nearly as abstract as, say, category theory, it nevertheless hits a high point in mathematics--a point more people ought to experience.
If you've had some exposure to optimization methods, or need to apply them in the context of computer vision, graphics, or finance, to mention just a few areas, then I urge you to take a look at Luenberger's fine book. It too hits a high point in clarity of mathematical writing. Combine beautiful theory with endless applications and lucid writing, and you have a winner of a book.
Thank You Dr. Luenberger
An alternative introduction to functional analysis

Excellent refresher book, or supplement to classes
A Must Read for All Students Who Want to Master Algera!
An excellent study guide and review of algebra and trig.

this is a review of third edition
2nd edition is a classic for applied nonparametrics
Excellent Introduction

time series analysis
recent update of classic textGwilym Jenkins died many years prior to this edition and Box's colleague Greogory Reinsel took on the task of helping to revise and update it.
It retains its original flavor. It is an applied book with many practical and illustrative examples. It concentrates on the three stages of time series analysis: modeling building, selection, estimation and diagnostic checking and how to iterate the process toward a good solution. The ARIMA time series models are what are considered. The theory of stationary and nonstationary time series is introduced to motivate interpretation of autocorrelation and partial autocorrelation in the model identification phase. Operator notation is introduced and used throughout the book to simplify equations. For me it helped simplify things and illuminate some concepts. But many readers found it difficult and confusing. the book is very systematic and practical. Many of the examples are real examples from Box's work in the chemical industry and his consulting during his career at the University of Wisconsin and also the consulting experience of Gwilym Jenkins in England.
The publishers and some amazon reviewers say that this edition is a major revision. The second edition published in 1976 was criticized for being essentially a reprint of the first. Although there is a new chapter 12 on intervention analysis and outlier detection it mainly is an expansion of ideas already discussed in the first edition. Theoretical results are kept aside in appendices as in previous editions.
This is not an up-to-date text on the theory of time series. It deals strictly with the time domain approach and does not include recent advances including nonlinear and bilinear models, models with non-Gaussian innovations and bootstrap or other resampling methods.
To get a balanced approach that includes the theory for frequency and time domain approaches the book by Shumway, the latest edition of the Brockwell and Davis text and the latest edition of Fuller's text are appropriate. For a graduate course I taught at UC Santa Barbara in 1981 I used the first edition of Fuller's book. Anderson provides a thorough account of the time domain theory. Excellent texts that specialize in the frequency domain approach are Bloomfield's second edition and the two volume book by Priestley. Brillinger's text is also worthwhile for those interested in spectral theory (frequency domain statistics).
Although there are many things that is text does not cover, it remains the classical text on a rich class of time domain methods that are still very practical. This is a text I bought for reference even though I still have the first edition.
Mathematical, Theoretical, Practical.

One of the Better ODE Texts
A great Introduction or review.
Holy Bible for Introduction to differential equations UG

Just what I need
outstanding textbook
Reader's delight

A solid introductory text
Excellent
Highly accessible

an easy-to-follow tool book, but use w/ caution
Excellent first book for nonparametric stat methods
Excellent nonparametric statistics book

This is a helpful tool
Need a replacementHad this course over thirty years ago; upon recomendation of a friend. Professor did ask one question regarding economics; "which one of these bell curves represents percent of total income". Most wrongly (as I did) the symettric one as opposed to the correctly skewed to the left one.
Nom more economics, then. Pure probability, Stats, and Fun. Since the prof was a sports and gaming fan, as am I, this is my favorite math.
The downside, was the prof was veiwed as biassed against women, because his one-point (out of 500) bonus question was always sports trivia. I actually usually hit them, although I remember, the one test before Memorial day 1970, that if were after I would have known that the Late Tony Hulman alwasys said "Gentlemaen, start your engines".
But I digress. Get this book, agree -- cheap thorough and worth it. My favorite and most practical branch of math; so buy, learn and beat the lotto, cards, horses, and slots.
Practical way to become proficient in problem solving
The strongest feature of this book from my point of view is its conciseness. Much is presented in as short a time as possible, and because of that the book is much more readable than many others of its level. In addition to conciseness, the authors (in my edition Hoel, Port, and Stone) have made a commendable effort to present the reader with clear and concrete definitions, compact theorems (many proven), and abundant useful examples. In the back of the book nearly all of the solutions of the chapter exercises are given, unlike many books where answers to only the odd problems are given. I believe that this book is ideal for self-study, and that much use of it could also be made as a textbook for an undergraduate course in probability. The exercises are not very difficult, but they are by no means trivial, and much can be learned from them. At the end of a close study of this book the reader would be ready to enter into a program of undergraduate level mathematical statistics, or into a further study of probability with the confidence inspired by a firm understanding of the most fundamental and key concepts in probability theory.