STA 294.2: Stochastic Processes for Bayesian Nonparametric Analysis

Class:Mon & Wed 11:50am-1:05pm Old Chem 025
Prof:Robert L. Wolpert (
Office:Old Chem 211c, 684-3275
OH:Thu 3:00-4:00pm

Methods: Introduction (ps, pdf); Brownian Motion (ps, pdf); Isotropic covariance functions (ps, pdf);
Gaussian models with specified covariance functions (ps, pdf); Markov Chains (ps, pdf); Simulating Lévy RF's (ps, pdf)
Applications: Bioabundance (ps, pdf); Epidemiology (talk ps, pdf, paper ).


In parametric statistical analysis each uncertain feature of a statistical model (such as a regression function or probability density function) is taken to belong to a finite-dimensional family indexed by a parameter \theta in Rd. In the Bayesian approach, inference is based on prior and posterior distributions on this finite-dimensional space.

For nonparametric analysis the uncertain quantities (regression functions, probability density functions, etc.) might be functions or measures, and so a Bayesian analysis will require that we place probability distributions on families of functions or measures- thus both prior and posterior distributions will be stochastic processes or random fields.

In this course we will develop elements of the theory of stochastic processes and random fields, tailored to applications in nonparametric Bayesian statistics. These will include independent increment stochastic processes and random fields and their stochastic integrals. We will apply these ideas to the problems of nonparametric Bayesian statistical analysis. We will consider Brownian motion and Lévy processes including the gamma and stable processes (and hence their relatives such as the Dirichlet process), and will study the use of them and their stochastic integrals and moving averages as prior distributions in regression, estimation, and prediction problems.

Example applications will include spatial epidemiology, spatial biodiversity, and the statistical solution to certain inverse problems.

There is no textbook for the course. Recommended optional references include Introduction to Stochastic Processes by Gregory F Lawler or Introduction to Stochastic Processes by Erhan Çinlar for an introduction to Markov chains, discrete-time martingales, and Brownian motion; Diffusions, Markov processes, and martingales by LCG Rogers and David Williams, for Lévy processes and continuous-time martingales.

Students are expected to be (or become) comfortable with probability theory at the level of STA214 or STA205 and with computer programming in R, S-Plus, MatLab, or C. The first two-thirds of the course will include lectures on many of the topics below; the final third will be primarily independent study with the professor on a topic of the student's choosing (I can help you find one), leading to a final project to be presented in the final week of the course.

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