General Notes

  • A generalized definition of expectation that applies to both discrete and continuous random variables, and to everything in between. [PDF]


  • Bartlett and Mendelson 2002, "Rademacher and Gaussian Complexities: Risk Bounds and Structural Results" [PDF]
  • McAllester 2003, "Simplified PAC-Bayesian Margin Bounds" [PDF]

Books and Tutorials

  • My favorite book on probability theory: Ross and Pekoz, "A Second Course in Probability"
  • My second favorite book on probability: Grimmett and Stirzaker, "Probability and Random Processes"
  • A tutorial on statistical learning theory by Bousquet, Boucheron, and Lugosi [PDF]

Lecture Notes from Other Courses