Statistics 36-462, Spring 2009

Syllabus

Readings marked with a star (*) are more advanced and/or otherwise more likely to be cut. Readings from Guttorp's and Krugman's books (which are optional) will be distributed as xeroxed handouts.

Details are subject to change without notice --- unless you come to class!

Lecture 1, (Tuesday, 13 January): What is a dynamical system? What is chaos? What is a simulation?: Slides and R
Lecture 2, (Thursday, 15 January): Stability, bifurcations, more chaos, intermittency, more ergodicity: Slides and R; Flake, ch. 10 and sec. 11.1; Guttorp, ch. 1; Smith, ch. 1--3; The Arnold Cat Map Movie (starring Marlowe the Cat, directed by Evelyn Sander)
Problem set 1, due 23 January: assignment; solutions, R
Lecture 3, (Tuesday, 20 January): Attractors and Mixing: Slides and R; Side-note: Lyapunov exponents; Flake, ch. 11; Miller and Page, ch. 1--3; Smith, ch. 4--6
Lecture 4, (Thursday, 22 January): Attractor reconstruction and nonlinear prediction: Slides, lorenz-generator.pl; Side-note: "Smooth change of coordinates"; Side-note: Nonlinear predictors; handouts: Kantz and Schreiber, Nonlinear Time Series Analysis, chs. 3 and 4; Smith, chs. 7--9; (*) Smith, "Disentangling Uncertainty and Error: On the Predictability of Nonlinear Systems", in Mees (ed.), Nonlinear Dynamics and Statistics (2000) [PDF]
Problem set 2, due 30 January: assignment
Lecture 5, (Tuesday, 27 January): Symbolic dynamics; stochastics from dynamics: Slides; Note: More on the topological entropy rate; Daw, Finney and Tracy, "A review of symbolic analysis of experimental data", Review of Scientific Instruments 74 (2003): 916--930 [reprint]
Lecture 6, (Thursday, 29 January): Inference for Markov chains and dynamical systems: Slides; Handout: Maximum Likelihood Estimation for Markov Chains; Guttorp, 2.7--2.9 and 2.12 (I, II, III); Smith, ch. 10; Foulkes, "A Class of Machines Which Determine the Statistical Structure of a Sequence of Characters", pp. 66--73, vol. 4 of Western Electronics Convention Record, 1959 [PDF]; (*) Smith, "The Maintenance of Uncertainty", pp. 177--246 of the Proceedings of the International School of Physics "Enrico Fermi", Course CXXXIII (1997) [PDF]
Problem set 3, due 10 February: Assignment; Solutions: pdf, R
Lecture 7, (Tuesday, 3 February): Information theory: Slides; Feldman, "Information Theory" [PDF]; M.C. Hawking, "Entropy", from Fear of a Black Hole [lyrics; mp3 (radio-safe Brief History of Rhyme version)]; Ray and Charles Eames, A Communications Primer
Lecture 8, (Thursday, 5 February): Randomness and determinism: Slides; Side-note: Algorithmic Information Content and Marginal Entropies; Flake, ch. 14; Smith, ch. 11; Poincaré, "Chance", from Science and Method [PDF]
Problem set 4, due 13 February: assignment; turb.dat
Lecture 9, (Tuesday, 10 February): Self-organization 1, some examples: Slides; Miller and Page, ch. 4; Office of Charles and Ray Eames, Powers of Ten, narration by Philip Morrison
Lecture 10, (Thursday, 12 February): Cellular automata 1: Slides; Flake, ch. 15; Miller and Page, ch. 8
Lecture 11, (Tuesday, 17 February): Cellular automata 2: excitable media; mechanisms and abstractions: Slides; Fisch, Gravner and Griffeath, "Threshold-range scaling of excitable cellular automata", Statistics and Computing 1 (1991): 23--39 [PDF]; Fisch, Gravner and Griffeath, "Cyclic Cellular Automata in Two Dimensions", pp. 171--185 in Alexander and Wadkins (eds.), Spatial Stochastic Processes (1991) [zipped PostScript]; Greenberg and Hastings, "Spatial Patterns for Discrete Models of Diffusion in Excitable Media", SIAM Journal on Applied Mathematics 34 (1978): 515--523 [JSTOR]; Griffeath, "Self-Organization of Random Cellular Automata: four snapshot", pp. 49--67 in Grimmett (ed.), Probability and Phase Transitions (1994) [zipped PostScript]; Krugman, ch. 2 and first part of ch. 8; (*) ch. 4 of Guttorp
Lecture 12, (Thursday, 19 February): Self-organization 2: Slides; Shalizi, Klinkner and Haslinger, "Quantifying Self-Organization with Optimal Predictors", Physical Review Letters 93 (2004): 118701, arxiv:nlin.AO/0409024; Shalizi, Haslinger, Rouquier, Klinkner and Moore, "Automatic Filters for the Detection of Coherent Structure in Spatiotemporal Systems", Physical Review E 73 (2006): 036104, arxiv:nlin.CG/0508001
Lecture 13, (Tuesday, 24 February): Heavy-tailed distributions 1: what they are: Slides and R; Newman, "Power laws, Pareto distributions and Zipf's law", Contemporary Physics 46 (2005): 323--351, arxiv:cond-mat/0412004 (through section III)
Lecture 14, (Thursday, 26 February): Heavy-tailed distributions 2: how they arise: Slides; Newman, "Power laws", section IV; Krugman, ch. 3 and the last part of ch. 8; Mitzenmacher, "A Brief History of Generative Models for Power Law and Lognormal Distributions", Internet Mathematics 1 (2003): 226--251; Video of Mitzenmacher giving a talk on this material; Sornette, "Mechanism for Powerlaws without Self-Organization", International Journal of Modern Physics C 13 (2002): 133--136, arxiv:cond-mat/0110426
Lecture 15 (Tuesday, 3 March) Heavy-tailed distributions 3: Estimation: Slides; Clauset, Shalizi and Newman, "Power law distributions in empirical data", arxiv:0706.1062; (*) Markovitch and Krieger, "Nonparametric estimation of long-tailed density functions and its application to the analysis of World Wide Web traffic", Performance Evaluation 42 (2000): 205--222
Lecture 16, (Thursday, 5 March): Heavy-tailed distributions 4: Comparing models: Slides, R; Clauset et al. continued; Handcock and Morris, "Relative Distribution Methods", Sociological Methodology 28 (1998): 53--97 [JSTOR]; Freckleton and Sutherland, "Do power laws imply self-regulation?", Nature 412 (2001): 382; Freckleton and Sutherland, "Do in-hospital waiting lists show self-regulation?", Journal of the Royal Society of Medicine 95 (2002): 164; Edwards, Phillips, Watkins, Freeman, Murphy, Afanasyev, Buldyrev, da Luz, Raposo, Stanley and Viswanathan, "Revisiting Lévy flight search patterns of wandering albatrosses, bumblebees and deer", Nature 449 (2007): 1044--1048; (*) Vuong, "Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses", Econometrica 57 (1989): 307--333 [JSTOR]
10 and 12 March: Spring break; no lectures
Lecture 17, (Tuesday, 17 March): Inference in general: error statistics and severe testing: Slides; Mayo and Cox, "Frequentist statistics as a theory of inductive inference", arxiv:math.ST/0610846; Mayo and Spanos, "Methodology in Practice: Statistical Misspecification Testing", Philosophy of Science 71 (2004): 1007--1025 [PDF]; Mayo and Spanos, "Severe Testing as a Basic Concept in a Neyman-Pearson Philosophy of Induction", The British Journal for the Philosophy of Science 57 (2006): 323--357; Spanos, "Curve-Fitting, the Reliability of Inductive Inference and the Error-Statistical Approach", Philosophy of Science 74 (2007): 1046--1066
Lecture 18, (Thursday, 19 March): Inference from simulations 1: ch. 5 and appendix B of Miller and Page; Miller, "Active Nonlinear Tests (ANTs) of Complex Simulation Models", Management Science 44 (1998): 820--830 [PDF]
Lecture 19, (Tuesday, 24 March): Inference from simulations 2: direct and indirect inference: Slides and R; A. A. Smith, "Indirect Inference" [PDF]; Kendall, Ellner, McCauley, Wood, Briggs, Murdoch and Turchin, "Population Cycles in the Pine Looper Moth: Dynamical Tests of Mechanistic Hypotheses", Ecological Monographs 75 (2005): 259--276 [PDF reprint]; (*) Gourieroux, Monfort and Renault, "Indirect Inference", Journal of Applied Econometrics 8 (1993): S85--S118 [JSTOR]
Lecture 20, (Thursday, 26 March): Complex networks 1: basics, network properties: Slides; Watts, "The 'New' Science of Networks", Annual Review of Sociology 30 (2004): 243--270; Newman, "The Structure and Function of Complex Networks", SIAM Review 45 (2003): 167--256, arxiv:cond-mat/0303516 (through sec. VI, but skipping or skimming IV B and V)
Lecture 21, (Tuesday, 30 March): Complex networks 2: growth models: Slides; Newman, "Structure and function", sec. VII
Lecture 22, (Thursday, 2 April): Agent-based models 1: Slides; Miller and Page, chs. 6 and 7; Flake, ch. 12
Lecture 23, (Tuesday, 7 April): Agents 2: collective phenomena and self-organization: Slides; Flake, ch. 16; Miller and Page, ch. 9; Krugman, introduction and ch. 1; Healy, Walking to School; Perlstein, The Meaning of Box 722
Lecture 24, (Thursday, 9 April): Complex networks 3: contagion on networks: slides; Guttorp, sec. 2.11; Newman, "Structure and Function", sec. VIII; Davis, Trapman, Leirs, Begon and Heesterbeek, "The abundance threshold for plague as a critical percolation phenomenon", Nature 454 (2008): 634--637; Bell, Maiden, Munoz-Solomando and Reddy, "'Mind control experiences' on the Internet: Implications for the psychiatric diagnosis of delusions", Psychopathology 39 (2006): 87--91 [PDF]; Smith and Novella, "HIV Denial in the Internet Era", PLoS Medicine 4:8 (2007): e256; (*) Kenah and Robins, "Second look at the spread of epidemics on networks", Physical Review E 76 (2007): 036113, arxiv:q-bio.QM/0610057
(Tuesday, 14 April): No lecture
(Thursday, 16 April): Spring carnival; no lecture
Lecture 25, (Tuesday, 21 April): Agents 3: social complexity: Slides; Flake, ch. 17; Miller and Page, chs. 10--11; Krugman, ch. 6; Salganik, Dodds and Watts, "Experimental study of inequality and unpredictability in an artificial cultural market", Science 311 (2006):854--856; (*) Skyrms and Pemantle, "A Dynamic Model of Social Network Formation", Proceedings of the National Academy of Sciences (USA) 97 (2000): 9340--9346, arxiv:math.PR/0404101
Lecture 26, (Thursday, 23 April): Complex networks 4: inference for network models: Slides; Hanneke and Xing, "Discrete Temporal Models of Social Networks" in Airoldi et al. (eds.) Statistical Network Analysis [PDF]; Handcock and Jones, "Likelihood-based inference for stochastic models of sexual network formation", Theoretical Population Biology 65 (2004): 413--422 [PDF]; Hunter, Goodreau and Handcock, "Goodness of Fit of Social Network Models" [PDF]; Middendorf, Ziv and Wiggins, "Inferring Network Mechanisms: The Drosophila melanogaster Protein Interaction Network", Proceedings of the National Academy of Sciences (USA) 102 (2005): 3192--3197, arxiv:q-bio/0408010; Newman, "Structure and Function", sections IV B and V; Newman, Strogatz and Watts, "Random graphs with arbitrary degree distributions and their applications", Physical Review E 64 (2001): 026118, arxiv:cond-mat/0007235; Wiuf, Brameier, Hagberg and Stumpf, "A likelihood approach to analysis of network data", Proceedings of the National Academy of Sciences (USA) 103 (2006): 7566--7570 [discussion]; (*) Foster, Foster, Grassberger and Paczuski, "Link and subgraph likelihoods in random undirected networks with fixed and partially fixed degree sequence", arxiv:cond-mat/0610446
Lecture 27, (Tuesday, 28 April): Networks 5: Community Discovery: Clauset, Moore and Newman, "Hierarchical structure and the prediction of missing links in networks", Nature 453 (2008): 98--101 = arxiv:0811.0484; code; Girvan and Newman, "Community structure in social and biological networks", arxiv:cond-mat/0112110; Hofman and Wiggins, "A Bayesian approach to network modularity", arxiv:0709.3512; Reichardt and Bornholdt, "Statistical mechanics of community detection", arxiv:cond-mat/0603718 = Physical Review E 74 (2006): 016110; Reichardt and White, "Role models for complex networks", arxiv:0708.0958 [discussion]
Exam: take-home, due 12 May
Lecture 28, (Thursday, 30 April): Agents 4: A real-world example of agents on networks: Notes; Hedstrom and Aberg, "Quantitative research, agent-based modelling and theories of the social", ch. 6 (pp. 114--144) in Hedstrom, Dissecting the Social [PDF]; (*) Guttorp, ch. 4