UNR * STAT 758 * Fall 2014. William Playfair (1759-1823), a Scottish engineer and political...
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Transcript of UNR * STAT 758 * Fall 2014. William Playfair (1759-1823), a Scottish engineer and political...
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UNR * STAT 758 * Fall 2014
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William Playfair (1759-1823), a Scottish engineer and political economist, is generally viewed as the inventor of line plots, bar chart, and pie chart. His The Commercial and Political Atlas, published in 1786, contained a number of interesting time-series charts.
Playfair: "On inspecting any one of these Charts attentively, a sufficiently distinct impression will be made, to remain unimpaired for a considerable time, and the idea which does remain will be simple and complete, at once including the duration and the amount."
http://www.math.yorku.ca/SCS/Gallery/
Balance of Trade
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William Playfair (1759-1823)
http://www.math.yorku.ca/SCS/Gallery/
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William Playfair (1759-1823), A Letter on our Agricultural Disaster, 1821.
http://www.math.yorku.ca/SCS/Gallery/
Prices, wages, and reigns
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Jan Ingenhousz (December 8, 1730 – September 7, 1799),a British physiologist, botanist and physicist. First observed BM, 1765.
Robert Brown (December 21, 1773 – June 10, 1858), a British botanist. Observed and studied BM, 1828.
Albert Einstein (March 14, 1879 – April 18, 1955),a German-born theoretical physicist. Mathematical and physical description of BM, 1900.
Louis Jean-Baptiste Alphonse Bachelier (March 11, 1870 - April 28, 1946),a French mathematician. Mathematical description of BM, 1900.
Thorvald Nicolai Thiele (December 24, 1838 – September 26, 1910),a Danish astronomer, actuary, and mathematician. First mathematical description of BM, 1880.
Fat in milk
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0 200 400 600 800 1000
-15
-50
510
20
Time
X-c
oord
inat
e
X
Y
X-coordinate of a chosen particle: 1-D Brownian motion
2-D Brownian motion
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http://www.math.yorku.ca/SCS/Gallery/
Simple pendulum
Oscillatory motion is widely observed in
Astronomy
Physics
Mechanics
Electricity
Biology
Human behavior
Socio-economics
Climate and geophysics
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Jean Baptiste Joseph Fourier (March 21, 1768 - May 16, 1830),
a French mathematician and physicist
Fourier decomposition of a periodic identity function
http://en.wikipedia.org/wiki/Fourier_series
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0 10 20 30 40 50 60
-2-1
01
2
Time, t
sin(
t)
Pure oscillations
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0 10 20 30 40 50 60
-2-1
01
2
Time, t
sin(
t)+
e(t)
Oscillations with superposed random fluctuations, sd=0.05
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0 10 20 30 40 50 60
-2-1
01
2
Time, t
sin(
t)+
e(t)
Oscillations with superposed random fluctuations, sd=0.1
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0 10 20 30 40 50 60
-2-1
01
2
Time, t
sin(
t)+
e(t)
Oscillations with superposed random fluctuations, sd=0.5
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0 10 20 30 40 50 60
-3-1
01
23
Time, t
sin(
t)+
e(t)
Oscillations with superposed random fluctuations, sd=2
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0 10 20 30 40 50 60
-2-1
01
2
Time
Obse
rved P
roce
ss
0 10 20 30 40 50 60
-1.0
0.0
0.5
1.0
Time
Osc
illato
ry P
roce
ss
0 10 20 30 40 50 60
-1.0
0.0
0.5
1.0
Time
Err
ors
Observations
=
+
Up to 1925 or thereabouts, there was a common belief that…
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George Udny Yule
(18 Feb 1871, Scotland -- 26 June 1951, England)
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Monthly Sunspot Data, 1749–1997
Time
Num
ber
of s
unsp
ots
1750 1800 1850 1900 1950 2000
050
100
150
200
250
G. Udny Yule, "On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers", Philosophical Transactions of the Royal Society of London, Ser. A, Vol. 226 (1927), pp. 267–298.
Monthly Sunspot Data, 1950-1997
Time
Num
ber
of s
unsp
ots
1950 1960 1970 1980 1990
050
150
250
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Monthly Sunspot Data, 1749–1997
Time
Num
ber
of s
unsp
ots
1750 1800 1850 1900 1950 2000
050
100
150
200
250
G. Udny Yule, "On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers", Philosophical Transactions of the Royal Society of London, Ser. A, Vol. 226 (1927), pp. 267–298.
Observations can not be explained as oscillatory behavior plus noise;
they are affected not by superposed fluctuations, but by true disturbances,which are incorporated into the future behavior of the system
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http://www.junglephotos.com/galapagos/satimages/othersatimages/elnino.shtml
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G. Udny Yule, "On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers", Philosophical Transactions of the Royal Society of London, Ser. A, Vol. 226 (1927), pp. 267–298.
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://vi
sual
iseu
r.bn
f.fr/
Vis
ualis
eur?
Des
tinat
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Gal
lica&
O=
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Describe behavior of the series (construct a mathematical model)
Explain behavior of the system that produced the series (construct a physical model)
Forecast (predict) the system behavior using its model
Control the system using its forecast behavior
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Norbert Wiener (1894-1964), USAFounder of cybernetics and
information theory
Andrei Kolmogorov (1903-1987), RussiaFounder of modern theory of
probability (1933)
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Timet t+
( )X tProcess is predicted by ˆ ( )X t with forward lag
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( )X tProcess is predicted by ˆ ( )X t with forward lag 2
2
ˆ( ) ( )
( )
E X t X tS
E X t
minS
General solution: conditional expectation
argmin ( ) | ( ), ,S E X t X s s t
For Markov Gaussian ( )X t conditional expectation
is a linear function of
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Andrei Andreyevich Markov (June 14, 1856 – July 20, 1922),
a Russian mathematician.
CandyLand Game: an example of Markov process
Markov process: all information aboutthe history of the process that will affect its
future is included in the process current state.