In this post, I would briefly summarize references that helped me in understanding fundamental concepts in the broad field of probability theory from an electrical engineers perspective. I hope these help you too!
Probability Theory
This playlist by Dr. Krishna Jagannathan from IIT Madras is an excellent reference for understanding the fundamental theory behind probability. This helped me become familiar with a lot sophisticated terms in literature especially various concepts related to Borel-Cantelli lemmas, convergence of a sequence of random variables etc. These are quite abstract concepts but explained beautifully in these lectures. The lecture notes accompanying this playlist can be found here.
A comprehensive reference for practice problems on probability theory can be found here.
Stochastic Processes
This course on Stochastic Processes is an excellent reference that focuses on both theoretical and practical aspects of advanced probability theory. It best explains continuous and discrete time Markov chains with numerous practical examples.
No reference is complete without MIT OCW's courses. This course provides a comprehensive overview of discrete-time Stochastic Processes with very comprehensive lecture notes. References here were also helpful.
Time Series Analysis
This playlist by Dr. Tangirala from IIT Madras is an excellent reference for time series-analysis. With the lectures notes open-sourced, this is the best series on time-series for both aspiring researchers and practitioners. The course also covers fundamental of estimation and detection theory in the last few lectures.