Any advice/tips for incoming stats phd students?

[newstatsphd]

Hello. I am currently headed to a phd program this Fall. I was looking for general advice on how to be successful and I guess stay healthy or happy while in a stats phd program.  I want to finish my phd in 4 years if possible as well for personal reasons, but I understand that this might be unlikely. The program recommends taking a masters level course (Casella & Berger) before moving onto measure theory probability so would it best to skip through the masters level course and jump into measure theory? I've taken real analysis through Rudin so I thought I would be able to take the measure theory probability course, but they still recommend against it. Any thoughts on this situation if I want to finish faster. Also any stories or experiences you all want to share is greatly welcomed. 

Thanks.

[bayessays]

The Casella Berger course is the core of what a statistician does (and what will be on your quals if your program has them), and most people don't use much measure theory at all, so definitely don't skip that. It's hard to give advice without knowing the specifics of your program, but there is probably no way to speed up the coursework. If you want to finish quickly, the best thing to do would be to be an RA and establish a good relationship with your advisor so you can get started as soon as possible on your dissertation. But you're not going to be able to do any statistics research without taking a Casella Berger-like class, so just do well in your courses.  Failing your quals by not focusing on coursework is one way to guarantee you won't graduate in four years. 

As for staying happy, I don't think putting an artificial timeline on yourself is going to help. This is going to be a slog, and it'll get done when it gets done. You can obviously try to go quickly (and this depends on your program - Duke is known for getting people out in 4 years) but I wouldn't want to be putting a strict timeline on this.

My one tip is to try to have some friends and activities outside of your program. It'll drive you crazy if you just think about statistics 24/7 - if you're able to keep some perspective on the grand scheme of life it'll help take some pressure off.