> what are the killer resources for getting up to speed with Statistics & Probability?

(1) Linear algebra. Much of applied statistics is multi-variate, and nearly all of that is done with matrix notation and some of the main results of linear algebra.

The central linear algebra result you need is the polar decomposition that every square matrix A can be written as UH where U is unitary and H is Hermitian.

So, for any vector x, the lengths of Ux and x are the same. So, intuitively unitary is a rigid motion, essentially rotation and/or reflection.

Hermitian takes a sphere and turns it into an ellipsoid. The axes of the ellipsoid are mutually perpendicular (orthogonal) and are eigenvectors. The sphere stretches/shrinks along each eigenvector axis according to it's eigenvalue.

U and H can be complex valued (have complex numbers), but the real valued case is similar, A = QS where Q is orthogonal and S symmetric non-negative definite. The normal equations of regression have a symmetric non-negative definite matrix. Factor analysis and singular values are based on the polar decomposition.

You get more than you paid for: A relatively good treatment of the polar decomposition has long been regarded as a good, baby introduction to Hilbert space theory for quantum mechanics. The unitary matrices are important in group representations used in quantum mechanics for molecular spectroscopy.

Matrix theory is at first just some notation, how to write systems of linear equations. But the notation is so good and has so many nice properties (e.g., matrix multiplication is associative, a bit amazing) that with the basic properties get matrix theory. Then linear algebra is, first, just about systems of linear equations, and then moves on with matrix theory. E.g., could write out the polar decomposition without matrix theory, but it would be a mess.

(2) Need some basic probability theory. So, have events -- e.g., let H be the event that the coin came up heads. Can have the probability of H, written P(H), which is a number in the interval [0,1]. P(H) = 0 means that essentially never get heads; P(H) = 1 means that essentially always get heads.

Can have event W -- it's winter outside. Then can ask for P(H and W). That works like set intersection in Venn diagrams. Or can have P(H or W), and that works like set union in Venn diagrams.

Go measure a number. Call that the value of real valued random variable X. We don't say what random means; it does not necessarily mean unpredictable, truly random, unknowable, etc. The intuitive "truly random" is essentially just independence as below, and we certainly do not always assume independence. For real number x and cumulative distribution F_X, can ask for

F_X(x) = P(X <= x)

Often in practice F_X has a derivative, as in calculus, and in that case can ask for the probability density f_X of X

f_X(x) = d/dx F_X(x)

Popular densities include uniform, Gaussian, and exponential.

We can extend these definitions of (cumulative) distribution and density to the case of the joint distribution of several random variables, e.g., X, Y, and Z. We can visualize the joint distribution or density of X and Y on a 3D graph. The density can look like some wrinkled blanket or pizza crust with bubbles.

In statistics, we work with random variables, from our data and from the results of manipulating random variables. E.g., for random variables X and Y and real numbers a and b, we can ask for the random variable

Z = aX + bY

That is, we can manipulate random variables.

Events A and B are independent provided

P(A and B) = P(A)P(B)

In practice, we look for independence because it is powerful case of decomposition and with powerful, even shockingly surprising, consequences. A lot of statistics is from an assumption of independence.

Can also extend independence to the case of random variables X and Y being independent. For any index set I and random variable X_i for i in I, can extend to the case of the set of all X_i, i in I, being independent. The big deal here is that the index I can be uncountably infinite -- a bit amazing.

For the events heads H and winter W above, we just believe that they are independent just from common sense. To be blunt, in practice the main way we justify an independence assumption is just common sense -- sorry 'bout that.

Can define some really nice cases of an infinite sequence of random variables converging (more than one way) to another random variable. An important fraction of statistics looks for such sequences as approximations to what we really want.

Since statistics books commonly describe 1-2 dozen popular densities, a guess is that in practice we look for the (distribution or) density of our random variables. Sadly or not, mostly no: Usually in practice we won't have enough data to know the density.

When we do know the density, then it is usually from more information, e.g., the renewal theorem that justifies an assumption of a Poisson process from which we can argue results in an exponential density or the central limit theorem where we can justify a Gaussian density.

(3) A statistic is, give me the values of some random variables; I manipulate them and get a number, and that is a random variable and a statistic. Some such statistics are powerful.

(4) Statistical Hypothesis Testing. Here is one of the central topics in statistics, e.g., is the source of the much debated "p-values".

Suppose we believe that in an experiment on average the true value of the results is 0. We do the experiment and want to do a statistical hypothesis test that the true value is 0.

To do this test, we need to be able to calculate some probabilities. So, we make an assumption that gives us enough to make this calculation. This assumption is the null hypothesis, null as in no effect, that is, we still got 0 and not something else, say, from a thunderstorm outside.

So, we ASSUME the true value is 0 and with that assumption and our data calculate a statistic X. We find the (distribution or) density of X with our assumption of true value 0. Then we evaluate the value of X we did find.

Typically X won't be exactly 0. So we have two cases:

(I) The value of X is so close to zero that, from our density calculation, X is as close as 99% of the cases. So, we fail to reject, really in practice essentially accept, that the true value is 0. Accept is a bit fishy since we can accept easily enough, that is don't notice the pimple simply by using a fuzzy photograph, just by using a really weak test! Watch out for that in the news or "how to lie with statistics".

(II) X is so far from 0 that either (i) the true value is not zero and we reject that the true value is 0 or (ii) the true value really is 0 and we have observed something rare, say, 1% rare. Since the 1% is so small, maybe we reject (ii) and conclude (i).

So, for our methodology we can test and test and test and what we are left with is what didn't get rejected. Some people call this all science, others, fishy science, others just fishy. IMHO, done honestly or at least with full documentation, it's from okay to often quite good.

I mentioned weak tests; intuitively that's okay, but there is a concept of power of a test. Basically we want more power.

Here's an example of power:
Server farm anomaly detection is, or should be, essentially a statistical hypothesis test. So, then, the usual null hypothesis is that the farm is healthy. We do a test. There is a rate (over time, essentially probability) of false alarms (where we reject that the farm is healthy, conclude that it is sick, when it is healthy) and rate of missed detections
of actual problems (fail to reject the null hypothesis and conclude that the farm is healthy when it is sick).

Typically in hypothesis testing we get to adjust the false alarm rate. Then for a given false alarm rate, a more powerful test has a higher detection rate of real problems.

It's easy to get a low rate of false alarm; just turn off the detectors. It's easy to get 100% detection rate; just sound the alarm all the time.

So, a question is, what is the most powerful test? The answer is in the classic (late 1940s) Neyman-Pearson lemma. It's like investing in real estate: Allocate the first money to the highest ROI property; the next money to the next highest, etc. Yes, the discrete version is a knapsack problem and in NP-complete, but this is nearly never a consideration in practice. There have been claims that some high end US military target detection radar achieves the Neyman-Pearson most powerful detector.

There's more, but that is a start.