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

No se podrá reproducir o retransmitir

ninguna parte de este libro sin la autorización previa del editor. Todo infractor será objeto de acciones legales.

that do work. Too much discussion or collaboration (where the answers are revealed to you before you've xiv
given a problem your best effort) can interfere with your learning. (4) While it's true that mastering a new
skill generally involves some suffering, you should not hesitate to seek help after giving a problem or a
topic your honest effort. Receiving helpful hints from an instructor, TA, or tutor is generally more beneficial
than just having the solution explained to you. It's also better than total frustration. So put in a decent effort
and, if a problem seems resistant to being solved, go have a chat with your instructor or his/her surrogate.
(5) Mathematical ideas and tools do not lend themselves to quick digestion. So give yourself some time to
absorb the material in this course. Spreading out a homework assignment over several days, and studying
for a test well before the eve of the exam, are both time-honored study habits that do help. To help make
learning this subject less painful for you, I've included many reader-friendly explanations, hints, tutorials,
discussion, and occasional revelations of the “tricks of the trade” in the text.

I'd like to give you a few tips about how to “attack” this book. First, the book has lots of “problems” to be
solved. I've placed exercises at the end of every section. I encourage you to work all of them after you've
read a section, as they represent an immediate opportunity to test your understanding of the material. For
your convenience, and because I am, regardless of what you may have heard, a compassionate person who
wants to be helpful, I've included, in an Appendix, the answers (or helpful comments) for all the exercises.
So you can check your answer to confirm whether or not you've nailed the exercise. Some of these exercises
may be assigned for homework by your instructor. It's OK, while you are first learning the subject, to be
working toward a particular answer, although you will usually get the most benefit from looking up the
answer only after you've solved, or at least seriously attempted to solve, the exercise. I should add that not
all the exercises are simple applications of the textual material. Some exercises address rather subtle notions
within a given topic. If you are able to do all the exercises, you can be confident that you've understood the
material at a reasonably high level.

Now, let me give you a heads up about the sections in the book that are the most challenging. These sections
will require special concentration on your part and may benefit from some collateral reading. I recommend
that you spend more time than average reading and digesting Section 1.8 on combinatorics, Section 2.8 on
moment-generating functions, Section 3.6 on “other” continuous distributions (since you may need to study
and learn about these on your own), Section 4.6 on transformation theory, Sections 5.3 and 5.4 on the
Central Limit Theorem and on the delta method, Section 6.3 on Fisher information and the Cramér-Rao
inequality, Section 6.4 of sufficiency, completeness, and minimum variance unbiased estimators, Section
10.4 on optimality in hypothesis testing, Section 11.3 on properties of estimators in regression, Section 12.1
on nonparametric estimation, and Section 12.2 on the nonparametric bootstrap. I mention these sections
specifically because they will require your careful attention and, perhaps, more “practice” than usual before
you feel you have a good grasp of that material. You may wish to read more, and work additional problems,
on these topics. Supporting material can be found in books that I've marked with an asterisk (*) in the
bibliography.

I wish you the best as you begin this exploration into stochastic modeling and mathematical statistics. I'll be
very interested in hearing about your experience and also in having your feedback on the book. Feel free to
contact me with your comments.

Francisco J. Samaniego
Stochastic Modeling and Mathematical Statistics: A Text for Statisticians and Página 1 de 2
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
ninguna parte de este libro sin la autorización previa del editor. Todo infractor será objeto de acciones legales.

University of California, Davis

fjsamaniego@ucdavis.edu xiv
xv
Preface for Instructors
There are quite a few textbooks that treat probability and mathematical statistics at the advanced
undergraduate level. The textbooks used in courses on these topics tend to fall into one of two categories.
Some of these texts cover the subject matter with the mathematical rigor that a graduate school–bound
mathematics or statistics major should see, while the remaining texts cover the same topics with much less
emphasis on mathematical developments and with more attention to applications of the models and
statistical ideas they present. But isn't it desirable for students in a “theoretical” course to be exposed to
serious statistical applications and for students in an “applications-oriented” course to be exposed to at least
some of the mathematics that justifies the application of statistical modeling and inference in practice? This
book offers instructors the flexibility to control the mathematical level of the course they teach by
determining the mathematical content they choose to cover. It contains the mathematical detail that is
expected in a course for “majors,” but it is written in a way that facilitates its use in teaching a course that
emphasizes the intuitive content in statistical theory and the way theoretical results are used in practice.

This book is based on notes that I have used to teach both types of courses over the years. From this
experience, I've reached the following conclusions: (1) the core material for both courses is essentially the
same, (2) the ideas and methods used in mathematical proofs of propositions of interest and importance in
the field are useful to both audiences, being essential for the first and being helpful to the second, (3) both
audiences need to understand what the main theorems of the field say, and they especially need to know
how these theorems are applied in practice, (4) it is possible, and even healthy, to have theory and
application intertwined in one text. An appealing byproduct of this comingling of mathematical and applied
thinking is that through assigned, recommended, or even optional reading of sections of the text not
formally covered, an instructor can effectively facilitate the desired “exposure” of students to additional
theoretical and applied aspects of the subject.

Having often been disappointed with the quantity and range of the problems offered in textbooks I've used
in the past, I embarked on the writing of this book with the goal of including tons of good problems from
which instructors could choose. That is not to say that you won't have the inclination to add problems of
your own in the course that you teach. What I'm really saying is that you may not have to work as hard as
usual in supplementing this book with additional problems. Every section ends with a small collection of
“exercises” meant to enable the student to test his/her own understanding of a section immediately after
reading it. Answers to (or helpful comments on) all the exercises are given at the end of the book. A sizable
collection of problems is gathered at the end of each chapter. For instructors who adopt this book as a text
for a course, a Solutions Manual containing detailed solutions to all the even-numbered problems in the text
is available from Chapman and Hall.
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This book is intended as a text for a first course in probability and statistics. Some students will have had a xvi

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Quantitative Scientists