Point Process Calculus in Time and Space


Book Description

This book provides an introduction to the theory and applications of point processes, both in time and in space. Presenting the two components of point process calculus, the martingale calculus and the Palm calculus, it aims to develop the computational skills needed for the study of stochastic models involving point processes, providing enough of the general theory for the reader to reach a technical level sufficient for most applications. Classical and not-so-classical models are examined in detail, including Poisson–Cox, renewal, cluster and branching (Kerstan–Hawkes) point processes.The applications covered in this text (queueing, information theory, stochastic geometry and signal analysis) have been chosen not only for their intrinsic interest but also because they illustrate the theory. Written in a rigorous but not overly abstract style, the book will be accessible to earnest beginners with a basic training in probability but will also interest upper graduate students and experienced researchers.




Random Point Processes in Time and Space


Book Description

This book is a revision of Random Point Processes written by D. L. Snyder and published by John Wiley and Sons in 1975. More emphasis is given to point processes on multidimensional spaces, especially to pro cesses in two dimensions. This reflects the tremendous increase that has taken place in the use of point-process models for the description of data from which images of objects of interest are formed in a wide variety of scientific and engineering disciplines. A new chapter, Translated Poisson Processes, has been added, and several of the chapters of the fIrst edition have been modifIed to accommodate this new material. Some parts of the fIrst edition have been deleted to make room. Chapter 7 of the fIrst edition, which was about general marked point-processes, has been eliminated, but much of the material appears elsewhere in the new text. With some re luctance, we concluded it necessary to eliminate the topic of hypothesis testing for point-process models. Much of the material of the fIrst edition was motivated by the use of point-process models in applications at the Biomedical Computer Labo ratory of Washington University, as is evident from the following excerpt from the Preface to the first edition. "It was Jerome R. Cox, Jr. , founder and [1974] director of Washington University's Biomedical Computer Laboratory, who ftrst interested me [D. L. S.




Point Process Calculus in Time and Space


Book Description

This book provides an introduction to the theory and applications of point processes, both in time and in space. Presenting the two components of point process calculus, the martingale calculus and the Palm calculus, it aims to develop the computational skills needed for the study of stochastic models involving point processes, providing enough of the general theory for the reader to reach a technical level sufficient for most applications. Classical and not-so-classical models are examined in detail, including Poisson–Cox, renewal, cluster and branching (Kerstan–Hawkes) point processes.The applications covered in this text (queueing, information theory, stochastic geometry and signal analysis) have been chosen not only for their intrinsic interest but also because they illustrate the theory. Written in a rigorous but not overly abstract style, the book will be accessible to earnest beginners with a basic training in probability but will also interest upper graduate students and experienced researchers.







Lectures on the Poisson Process


Book Description

A modern introduction to the Poisson process, with general point processes and random measures, and applications to stochastic geometry.




An Introduction to the Theory of Point Processes


Book Description

Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more accessible to readers primarily interested in models and applications. The main new material in this volume relates to marked point processes and to processes evolving in time, where the conditional intensity methodology provides a basis for model building, inference, and prediction. There are abundant examples whose purpose is both didactic and to illustrate further applications of the ideas and models that are the main substance of the text.




Essentials of Stochastic Processes


Book Description

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.




Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA


Book Description

Modeling spatial and spatio-temporal continuous processes is an important and challenging problem in spatial statistics. Advanced Spatial Modeling with Stochastic Partial Differential Equations Using R and INLA describes in detail the stochastic partial differential equations (SPDE) approach for modeling continuous spatial processes with a Matérn covariance, which has been implemented using the integrated nested Laplace approximation (INLA) in the R-INLA package. Key concepts about modeling spatial processes and the SPDE approach are explained with examples using simulated data and real applications. This book has been authored by leading experts in spatial statistics, including the main developers of the INLA and SPDE methodologies and the R-INLA package. It also includes a wide range of applications: * Spatial and spatio-temporal models for continuous outcomes * Analysis of spatial and spatio-temporal point patterns * Coregionalization spatial and spatio-temporal models * Measurement error spatial models * Modeling preferential sampling * Spatial and spatio-temporal models with physical barriers * Survival analysis with spatial effects * Dynamic space-time regression * Spatial and spatio-temporal models for extremes * Hurdle models with spatial effects * Penalized Complexity priors for spatial models All the examples in the book are fully reproducible. Further information about this book, as well as the R code and datasets used, is available from the book website at http://www.r-inla.org/spde-book. The tools described in this book will be useful to researchers in many fields such as biostatistics, spatial statistics, environmental sciences, epidemiology, ecology and others. Graduate and Ph.D. students will also find this book and associated files a valuable resource to learn INLA and the SPDE approach for spatial modeling.




Markov Processes for Stochastic Modeling


Book Description

Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. - Presents both the theory and applications of the different aspects of Markov processes - Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented - Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.




Combinatorial Stochastic Processes


Book Description

The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.




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