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Front Matter
CHAPMAN & HALL/CRC
Texts in Statistical Science Series
Series Editors
Francesca Dominici, Harvard School of Public Health, USA
Julian J. Faraway, University of Bath, UK
Martin Tanner, Northwestern University, USA
Jim Zidek, University of British Columbia, Canada
Statistical Theory: A Concise Introduction
F. Abramovich and Y. Ritov
Practical Multivariate Analysis, Fifth Edition
A. Afifi, S. May, and V.A. Clark
Practical Statistics for Medical Research
D.G. Altman
Interpreting Data: A First Course in Statistics
A.J.B. Anderson
Introduction to Probability with R
K. Baclawski
Linear Algebra and Matrix Analysis for Statistics
S. Banerjee and A. Roy
Statistical Methods for SPC and TQM
D. Bissell
Bayesian Methods for Data Analysis, Third Edition

Stochastic Modeling and Mathematical Statistics: A Text for Statisticians and Página 1 de 10
Quantitative Scientists
IMPRESO POR: Gustavo Garcia <tavo2046@hotmail.com>. La impresión está destinada únicamente para uso personal y privado. No se podrá reproducir o retransmitir
B.P. Carlin and T.A. Louis
Second Edition
R. Caulcutt
The Analysis of Time Series: An Introduction, Sixth Edition
C. Chatfield
Introduction to Multivariate Analysis
C. Chatfield and A.J. Collins
Problem Solving: A Statistician's Guide, Second Edition
C. Chatfield
Statistics for Technology: A Course in Applied Statistics, Third Edition
C. Chatfield
Bayesian Ideas and Data Analysis: An Introduction for Scientists and Statisticians
R. Christensen, W. Johnson, A. Branscum, and T.E. Hanson
Modelling Binary Data, Second Edition
D. Collett
Modelling Survival Data in Medical Research, Second Edition
D. Collett
Introduction to Statistical Methods for Clinical Trials
T.D. Cook and D.L. DeMets
Applied Statistics: Principles and Examples
D.R. Cox and E.J. Snell
Multivariate Survival Analysis and Competing Risks

M. Crowder
Statistical Analysis of Reliability Data
M.J. Crowder, A.C. Kimber,
T.J. Sweeting, and R.L. Smith
An Introduction to Generalized Linear Models, Third Edition
A.J. Dobson and A.G. Barnett
Introduction to Optimization Methods and Their Applications in Statistics
B.S. Everitt
Extending the Linear Model with R: Generalized Linear, Mixed Effects and Nonparametric
Regression Models
J.J. Faraway
A Course in Large Sample Theory
T.S. Ferguson
Multivariate Statistics: A Practical Approach
B. Flury and H. Riedwyl
Readings in Decision Analysis
S. French
Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition
D. Gamerman and H.F. Lopes
Bayesian Data Analysis, Third Edition
A. Gelman, J.B. Carlin, H.S. Stern, D.B. Dunson, A. Vehtari, and D.B. Rubin
Multivariate Analysis of Variance and Repeated Measures: A Practical Approach for

Behavioural Scientists
D.J. Hand and C.C. Taylor
Practical Data Analysis for Designed Practical Longitudinal Data Analysis
D.J. Hand and M. Crowder
Logistic Regression Models
J.M. Hilbe
Richly Parameterized Linear Models: Additive, Time Series, and Spatial Models Using Random
Effects
J.S. Hodges
Statistics for Epidemiology
N.P. Jewell
Stochastic Processes: An Introduction, Second Edition
P.W. Jones and P. Smith
The Theory of Linear Models
B. Jørgensen
Principles of Uncertainty
J.B. Kadane
Graphics for Statistics and Data Analysis with R
K.J. Keen
Mathematical Statistics
K. Knight
Nonparametric Methods in Statistics with SAS Applications
O. Korosteleva
Modeling and Analysis of Stochastic Systems, Second Edition
V.G. Kulkarni
Exercises and Solutions in Biostatistical Theory
L.L. Kupper, B.H. Neelon, and S.M. O'Brien
Exercises and Solutions in Statistical Theory
L.L. Kupper, B.H. Neelon, and S.M. O'Brien
Design and Analysis of Experiments with SAS
J. Lawson
A Course in Categorical Data Analysis
T. Leonard
Statistics for Accountants
S. Letchford
Introduction to the Theory of Statistical Inference
H. Liero and S. Zwanzig
Statistical Theory, Fourth Edition
B.W. Lindgren
Stationary Stochastic Processes: Theory and Applications
G. Lindgren
The BUGS Book: A Practical Introduction to Bayesian Analysis
D. Lunn, C. Jackson, N. Best, A. Thomas, and D. Spiegelhalter
Introduction to General and Generalized Linear Models
H. Madsen and P. Thyregod

Time Series Analysis
H. Madsen
Pólya Urn Models
H. Mahmoud
Randomization, Bootstrap and Monte Carlo Methods in Biology, Third Edition
B.F.J. Manly
Introduction to Randomized Controlled Clinical Trials, Second Edition
J.N.S. Matthews
Statistical Methods in Agriculture and Experimental Biology, Second Edition
R. Mead, R.N. Curnow, and A.M. Hasted
Statistics in Engineering: A Practical Approach
A.V. Metcalfe
Beyond ANOVA: Basics of Applied Statistics
R.G. Miller, Jr.
A Primer on Linear Models
J.F. Monahan
Applied Stochastic Modelling, Second Edition
B.J.T. Morgan
Elements of Simulation
B.J.T. Morgan
Probability: Methods and Measurement
A. O'Hagan
Introduction to Statistical Limit Theory
A.M. Polansky
Applied Bayesian Forecasting and Time Series Analysis
A. Pole, M. West, and J. Harrison
Statistics in Research and Development, Time Series: Modeling, Computation, and Inference
R. Prado and M. West
Introduction to Statistical Process Control
P. Qiu
Sampling Methodologies with Applications
P.S.R.S. Rao
A First Course in Linear Model Theory
N. Ravishanker and D.K. Dey
Essential Statistics, Fourth Edition
D.A.G. Rees
Stochastic Modeling and Mathematical Statistics: A Text for Statisticians and Quantitative
Scientists
F.J. Samaniego
Statistical Methods for Spatial Data Analysis
O. Schabenberger and C.A. Gotway
Large Sample Methods in Statistics
P.K. Sen and J. da Motta Singer
Decision Analysis: A Bayesian Approach
J.Q. Smith
Analysis of Failure and Survival Data
P. J. Smith
Applied Statistics: Handbook of GENSTAT Analyses
E.J. Snell and H. Simpson
Applied Nonparametric Statistical Methods, Fourth Edition
P. Sprent and N.C. Smeeton
Data Driven Statistical Methods
P. Sprent
Generalized Linear Mixed Models:
Modern Concepts, Methods and Applications
W. W. Stroup
Survival Analysis Using S: Analysis of Time-to-Event Data
M. Tableman and J.S. Kim
Applied Categorical and Count Data Analysis
W. Tang, H. He, and X.M. Tu
Elementary Applications of Probability Theory, Second Edition
H.C. Tuckwell
Introduction to Statistical Inference and Its Applications with R
M.W. Trosset
Understanding Advanced Statistical Methods
P.H. Westfall and K.S.S. Henning
Statistical Process Control: Theory and Practice, Third Edition
G.B. Wetherill and D.W. Brown
Generalized Additive Models: An Introduction with R
S. Wood
Epidemiology: Study Design and Data Analysis, Third Edition
M. Woodward
Experiments
B.S. Yandell
vii
Dedication and Acknowledgments
It seems fitting that I dedicate this book to my students. I've had thousands of them over my long career, and
I've learned a lot from them, from the genuine curiosity from which many questions came and from their
growth as they confronted the intellectual challenges I set before them. The challenge of challenging them
to think hard about new ideas has shaped who I am as a teacher. In particular, the many students I have
taught in my probability and mathematical statistics courses over the years contributed mightily to the
development of this book. I am grateful for their trust as I guided them through what occasionally looked to
them like a minefield. Teaching these students has been a joy for me, and I will always appreciate the
gracious reception they have given me as their teacher. The students whom I taught in the fall and winter
quarters of this academic year were especially helpful to me as I “classroom tested” the penultimate version
of the book. Readers have been spared hundreds of typos that were fixed due to their watchful eyes.
I would like to thank a number of individuals who provided significant assistance to me in the writing of
this text. I consider the problems to be the most important part of the book, and I am grateful to Apratim
Ganguly, Kimi Noguchi, Anzhi Gu, and Zhijie Zheng for patiently working through hundreds of problems
and providing solutions that could be made available to students and/or instructors who use the text. The
steady and sage advice of my editor John Kimmel is much appreciated. A special benefit of John's
stewardship was the high quality of the reviewers that he recruited to comment on early versions of the text.
They all contributed to making this a better book. My sincere thanks to Adam Bowers (UC San Diego),
James Gentle (George Mason University), Solomon Harrar (University of Montana), Wesley Johnson (UC
Irvine), Lawrence Leemis (William & Mary University), Elena Rantou (George Mason University), Ralph
P. Russo (U. of Iowa), and Gang Wang (DePaul University). I am also most grateful to Gail Gong for her
helpful advice on Chapter 12 and to Ethan Anderes for his help with the graphics on the book's cover.
Christopher Aden took my somewhat primitive version of the text and made it sing on Chapman and Hall's
LaTeX template. Thanks, Chris, for your timely and high-quality work! Finally, I thank my wife, Mary
O'Meara Samaniego, for her patience with this project. I am especially grateful for her plentiful corporal
and moral support. And a special thanks to Elena, Moni, Keb, Jack, and Will. It's hard for me to imagine a
more supportive and loving family.
F.J. Samaniego
June 2013 vii

xiii
Preface for Students
Let me begin with a sincere welcome. This book was written with you in mind! As you probably know, new
textbook projects are generally reviewed pretty carefully. The reviewers either tell the publisher to tank the
project or they give the author their best advice about possible improvements. I'm indebted to the reviewers
of this book for providing me with (a) much constructive criticism and (b) a good deal of encouragement. I
especially appreciated one particular encouraging word. Early on, a reviewer commented about the style of
the book, saying that he liked its conversational tone. He/she said that it read as if I was just talking to some
students sitting around my desk during office hours. I liked this comment because it sort of validated what I
had set out to do. Reading a book that uses mathematical tools and reasoning doesn't have to be a painful
experience. It can be, instead, stimulating and enjoyable; discovering a new insight or a deeper
understanding of something can be immensely satisfying. Of course, it will take some work on your part.
But you know that already. Just like acquiring anything of value, learning about the mathematical
foundations of probability and statistics will require the usual ingredients needed for success: commitment,
practice, and persistence. Talent doesn't hurt either, but you wouldn't be where you are today if you didn't
have that. If you concentrate on the first three attributes, things should fall into place for you. In this brief
preface, my aim is to give you some advice about how to approach this textbook and a course in which it is
used. First, I'd recommend that you review your old calculus book. It's not that calculus permeates every
topic taken up in this book, but the tools of differential and integral calculus are directly relevant to many of
the ideas and methods we will study: differentiating a moment-generating function, integrating a density
function, minimizing a variance, maximizing a likelihood. But calculus is not even mentioned until the last
couple of sections of Chapter 2, so you have time for a leisurely yet careful review. That review is an
investment you won't regret.
Most students will take a traditional-style course in this subject, that is, you will attend a series of lectures
on the subject, will have the benefit of some direct interaction with the instructor and with graduate teaching
assistants, and will work on assigned problem sets or on problems just for practice. While there is no unique
strategy that guarantees success in this course, my prescription for success would certainly include the
following: (1) Read ahead so that you place yourself in the position of knowing what you don't understand
yet when you attend a lecture on a given topic. If you do, you'll be in a good position of focus on the
particular elements of the day's topic that you need more information on, and you'll be prepared to ask
questions that should clarify whatever seems fuzzy upon first reading. (2) Work as many problems as you
have time for. “Practice makes perfect” is more than a worn out platitude. It's the truth! That's what
distinguishes the platitudes that stick around from those that disappear. (3) Try to do problems by yourself
first. The skill you are hoping to develop has to do with using the ideas and tools you are learning to solve
new problems. You learn something from attempts that didn't work. But you learn the most from attempts xiii
that do work. Too much discussion or collaboration (where the answers are revealed to you before you've xiv

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IMPRESO POR: Gustavo Garcia <tavo2046@hotmail.com>. La impresión está destinada únicamente para uso personal y privado.

No se podrá reproducir o retransmitir

Texts in Statistical Science Series

Francesca Dominici, Harvard School of Public Health, USA

Julian J. Faraway, University of Bath, UK

Martin Tanner, Northwestern University, USA

Jim Zidek, University of British Columbia, Canada

Statistical Theory: A Concise Introduction

F. Abramovich and Y. Ritov

Practical Multivariate Analysis, Fifth Edition

A. Afifi, S. May, and V.A. Clark

Practical Statistics for Medical Research

Interpreting Data: A First Course in Statistics

Introduction to Probability with R

Linear Algebra and Matrix Analysis for Statistics

S. Banerjee and A. Roy

Statistical Methods for SPC and TQM

Bayesian Methods for Data Analysis, Third Edition

B.P. Carlin and T.A. Louis

The Analysis of Time Series: An Introduction, Sixth Edition

Introduction to Multivariate Analysis

C. Chatfield and A.J. Collins

Problem Solving: A Statistician's Guide, Second Edition

Statistics for Technology: A Course in Applied Statistics, Third Edition

R. Christensen, W. Johnson, A. Branscum, and T.E. Hanson

Modelling Binary Data, Second Edition

Modelling Survival Data in Medical Research, Second Edition

Introduction to Statistical Methods for Clinical Trials

T.D. Cook and D.L. DeMets

Applied Statistics: Principles and Examples

D.R. Cox and E.J. Snell

Multivariate Survival Analysis and Competing Risks

Statistical Analysis of Reliability Data

M.J. Crowder, A.C. Kimber,

T.J. Sweeting, and R.L. Smith

An Introduction to Generalized Linear Models, Third Edition

A.J. Dobson and A.G. Barnett

Introduction to Optimization Methods and Their Applications in Statistics

A Course in Large Sample Theory

Multivariate Statistics: A Practical Approach

B. Flury and H. Riedwyl

Readings in Decision Analysis

D. Gamerman and H.F. Lopes

Bayesian Data Analysis, Third Edition

Multivariate Analysis of Variance and Repeated Measures: A Practical Approach for

D.J. Hand and C.C. Taylor

Practical Data Analysis for Designed Practical Longitudinal Data Analysis

D.J. Hand and M. Crowder

Logistic Regression Models

Statistics for Epidemiology

Stochastic Processes: An Introduction, Second Edition

P.W. Jones and P. Smith

The Theory of Linear Models

Graphics for Statistics and Data Analysis with R

Nonparametric Methods in Statistics with SAS Applications

Modeling and Analysis of Stochastic Systems, Second Edition

Exercises and Solutions in Biostatistical Theory

L.L. Kupper, B.H. Neelon, and S.M. O'Brien

Exercises and Solutions in Statistical Theory

L.L. Kupper, B.H. Neelon, and S.M. O'Brien

Design and Analysis of Experiments with SAS

A Course in Categorical Data Analysis

Statistics for Accountants

Introduction to the Theory of Statistical Inference