Stochastic Models, Information Theory, and Lie Groups, Volume 2: Analytic Methods and Modern Applications (Applied and Numerical Harmonic Analysis) First Edition

The book touches a wide range of topics and focuses more on applications. A lot of computational examples are given. However to dive deep in each of the topics covered, it's better to grab another book specialized to that topic. For instance, use doCarmo as introductory differential geometry. Overall, I like the book a lot.