Description : Stochastic Modeling of Scientific Data combines stochastic modeling and statistical inference in a variety of standard and less common models, such as point processes, Markov random fields and hidden Markov models in a clear, thoughtful and succinct manner. The distinguishing feature of this work is that, in addition to probability theory, it contains statistical aspects of model fitting and a variety of data sets that are either analyzed in the text or used as exercises. Markov chain Monte Carlo methods are introduced for evaluating likelihoods in complicated models and the forward backward algorithm for analyzing hidden Markov models is presented. The strength of this text lies in the use of informal language that makes the topic more accessible to non-mathematicians. The combinations of hard science topics with stochastic processes and their statistical inference puts it in a new category of probability textbooks. The numerous examples and exercises are drawn from astronomy, geology, genetics, hydrology, neurophysiology and physics.
Description : "Accessible to any scientist or student with a reasonable background in statistics, this updated book presents a unique blend of stochastic process theory, statistical inference, and scientific applications of stochastic modeling of scientific data. With an emphasis on real data applications, this second edition covers the numerous developments in methodology and computation since the original publication. It provides a more balanced treatment of Bayesian approaches to statistical inference and includes more recent scientific example problems that involve the statistical analysis of stochastic models. "--Provided by publisher.
Description : This book presents an algebraic development of the theory of countable state space Markov chains with discrete- and continuous-time parameters. A Markov chain is a stochastic process characterized by the Markov prop erty that the distribution of future depends only on the current state, not on the whole history. Despite its simple form of dependency, the Markov property has enabled us to develop a rich system of concepts and theorems and to derive many results that are useful in applications. In fact, the areas that can be modeled, with varying degrees of success, by Markov chains are vast and are still expanding. The aim of this book is a discussion of the time-dependent behavior, called the transient behavior, of Markov chains. From the practical point of view, when modeling a stochastic system by a Markov chain, there are many instances in which time-limiting results such as stationary distributions have no meaning. Or, even when the stationary distribution is of some importance, it is often dangerous to use the stationary result alone without knowing the transient behavior of the Markov chain. Not many books have paid much attention to this topic, despite its obvious importance.
Description : Although stochastic kinetic models are increasingly accepted as the best way to represent and simulate genetic and biochemical networks, most researchers in the field have limited knowledge of stochastic process theory. The stochastic processes formalism provides a beautiful, elegant, and coherent foundation for chemical kinetics and there is a wealth of associated theory every bit as powerful and elegant as that for conventional continuous deterministic models. The time is right for an introductory text written from this perspective. Stochastic Modelling for Systems Biology presents an accessible introduction to stochastic modelling using examples that are familiar to systems biology researchers. Focusing on computer simulation, the author examines the use of stochastic processes for modelling biological systems. He provides a comprehensive understanding of stochastic kinetic modelling of biological networks in the systems biology context. The text covers the latest simulation techniques and research material, such as parameter inference, and includes many examples and figures as well as software code in R for various applications. While emphasizing the necessary probabilistic and stochastic methods, the author takes a practical approach, rooting his theoretical development in discussions of the intended application. Written with self-study in mind, the book includes technical chapters that deal with the difficult problems of inference for stochastic kinetic models from experimental data. Providing enough background information to make the subject accessible to the non-specialist, the book integrates a fairly diverse literature into a single convenient and notationally consistent source.
Description : A First Course in Probability with an Emphasis on Stochastic Modeling Probability and Stochastic Modeling not only covers all the topics found in a traditional introductory probability course, but also emphasizes stochastic modeling, including Markov chains, birth-death processes, and reliability models. Unlike most undergraduate-level probability texts, the book also focuses on increasingly important areas, such as martingales, classification of dependency structures, and risk evaluation. Numerous examples, exercises, and models using real-world data demonstrate the practical possibilities and restrictions of different approaches and help students grasp general concepts and theoretical results. The text is suitable for majors in mathematics and statistics as well as majors in computer science, economics, finance, and physics. The author offers two explicit options to teaching the material, which is reflected in "routes" designated by special "roadside" markers. The first route contains basic, self-contained material for a one-semester course. The second provides a more complete exposition for a two-semester course or self-study.
Description : The burgeoning field of data analysis is expanding at an incredible pace due to the proliferation of data collection in almost every area of science. The enormous data sets now routinely encountered in the sciences provide an incentive to develop mathematical techniques and computational algorithms that help synthesize, interpret and give meaning to the data in the context of its scientific setting. A specific aim of this book is to integrate standard scientific computing methods with data analysis. By doing so, it brings together, in a self-consistent fashion, the key ideas from: · statistics, · time-frequency analysis, and · low-dimensional reductions The blend of these ideas provides meaningful insight into the data sets one is faced with in every scientific subject today, including those generated from complex dynamical systems. This is a particularly exciting field and much of the final part of the book is driven by intuitive examples from it, showing how the three areas can be used in combination to give critical insight into the fundamental workings of various problems. Data-Driven Modeling and Scientific Computation is a survey of practical numerical solution techniques for ordinary and partial differential equations as well as algorithms for data manipulation and analysis. Emphasis is on the implementation of numerical schemes to practical problems in the engineering, biological and physical sciences. An accessible introductory-to-advanced text, this book fully integrates MATLAB and its versatile and high-level programming functionality, while bringing together computational and data skills for both undergraduate and graduate students in scientific computing.
Description : This book was first published in 2004. Many observed phenomena, from the changing health of a patient to values on the stock market, are characterised by quantities that vary over time: stochastic processes are designed to study them. This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost all aspects of the subject and presents the theory in an easily accessible form that is highlighted by application to many examples. These examples arise from dozens of areas, from sociology through medicine to engineering. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Software (available from www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.
Description : The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.