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 Applied
Stochastic
Modelling
Second Edition

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 Texts in Statistical Science

Applied
Stochastic
Modelling
Second Edition

Byron J. T. Morgan
University of Kent
UK

C6668_FM.indd 5 10/17/08 11:04:02 AM

MATLAB® is a trademark of The MathWorks, Inc. and is used with permission. The MathWorks does
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of a particular pedagogical approach or particular use of the MATLAB® software.

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 Contents

Preface to the Second Edition xi

Preface xiii

1 Introduction and Examples 1

1.1 Introduction 1
1.2 Examples of data sets 3
1.3 Discussion 11
1.4 Exercises 12

2 Basic Model-Fitting 17
2.1 Introduction 17
2.2 Maximum-likelihood estimation for a geometric model 17
2.3 Maximum-likelihood for the beta-geometric model 22
2.4 Modelling polyspermy 26
2.5 Which model? 31
2.6 What is a model for? 32
2.7 ∗ Mechanistic models 32
2.8 Discussion 34
2.9 Exercises 34

3 Function Optimisation 45
3.1 Introduction 45
3.2 Matlab; graphs and finite differences 46
3.3 Deterministic search methods 48
3.4 Stochastic search methods 60
3.5 Accuracy and a hybrid approach 67
3.6 Discussion 68
3.7 Exercises 69

4 Basic Likelihood Tools 77

4.1 Introduction 77
4.2 Estimating standard errors and correlations 80
4.3 Looking at surfaces: profile log-likelihoods 84
4.4 Confidence regions from profiles 89
4.5 Hypothesis testing in model selection 94

vii
viii CONTENTS
4.6 Score and Wald tests 101
4.7 Classical goodness of fit 106
4.8 Model selection bias 106
4.9 Discussion 107
4.10 Exercises 108

5 General Principles 123

5.1 Introduction 123
5.2 Parameterisation 123
5.3 *Parameter redundancy 130
5.4 Boundary estimates 135
5.5 Regression and influence 136
5.6 The EM algorithm 137
5.7 Alternative methods of model-fitting 148
5.8 *Non-regular problems 152
5.9 Discussion 153
5.10 Exercises 154

6 Simulation Techniques 169

6.1 Introduction 169
6.2 Simulating random variables 170
6.3 Integral estimation 175
6.4 Verification 177
6.5 *Monte Carlo inference 179
6.6 Estimating sampling distributions 180
6.7 Bootstrap 183
6.8 Monte Carlo testing 190
6.9 Discussion 192
6.10 Exercises 193

7 Bayesian Methods and MCMC 199

7.1 Basic Bayes 199
7.2 Three academic examples 200
7.3 The Gibbs sampler 201
7.4 The Metropolis-Hastings algorithm 213
7.5 A hybrid approach 218
7.6 The data augmentation algorithm 220
7.7 Model probabilities 220
7.8 Model averaging 223
7.9 Reversible jump MCMC: RJMCMC 225
7.10 Discussion 226
7.11 Exercises 228

8 General Families of Models 237

8.1 Common structure 237
CONTENTS ix
8.2 Generalised linear models (GLMs) 237
8.3 Generalised linear mixed models (GLMMs) 245
8.4 Generalised additive models (GAMs) 247
8.5 Discussion 255
8.6 Exercises 256

Index of Data Sets 263

Index of MATLAB Programs 265

Appendix A: Probability and Statistics Reference 269

Appendix B: Computing 275

Appendix C: Kernel Density Estimation 283

Solutions and Comments for Selected Exercises 287

Bibliography 313

Index 333
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 Preface to the Second Edition

The structure of the second edition of this book is very similar to that of
the first edition; however, there have been numerous changes throughout. In
particular, a large number of new exercises have been added, there is a new
appendix on computational methods, and the discussion of Bayesian methods
has been extended. The bibliography has been updated, throughout figures
have been improved, and, where necessary, errors have been corrected. I am
grateful for the many positive comments that the first version of the book
received, and to those who have written to point out mistakes, and ways in
which the book might be improved. I thank especially Ted Catchpole, Rachel
Fewster, Ruth King, Rachel McCrea, David Miller, Karen Palmer and Martin
Ridout. I thank Matlab R
for providing the latest version of the package,
and I am also grateful for the help and patience of Rob Calver and colleagues
at CRC Chapman & Hall. The book continues to be the set text for final year
under-graduate and post-graduate courses in respectively Applied Stochastic
Modelling and Data Analysis, and Computational Statistics in the Univer-
sity of Kent. The book successfully revises and integrates the probability and
statistics methods of earlier lecture courses. At the same time it brings stu-
dents into contact with modern computational methods; it provides students
with practical experience of scientific computing at use in applied statistics,
in the context of a range of interesting real-life applications. The book Web
Site contains the data sets from the book, the Matlab computer programs,
as well as corresponding versions in R. There is a solutions manual for the
exercises and the computer practical sheets that are used in Kent. The book
has been the basis for a course on Applied Stochastic Modelling held at Pfizer
Central Research in Sandwich, Kent, during 2007, and also for a Continu-
ing Professional Development course with the same name, to be held at the
Royal Statistical Society, London, in 2008. The slides for these courses are
also available on the book Web site.

Canterbury

xi
 Preface

This book is being completed at the end of a millenium, the last 30 years of
which have seen many exciting major developments in the theory and prac-
tice of statistics. The book presents many of the most important of these
advances. It has its origins in a series of talks on aspects of modern statistics
for fitting stochastic models to data, commissioned by statisticians at Pfizer
Central Research in Sandwich in Kent. These talks gave rise to a 30-hour lec-
ture course given to third year undergraduates, statistics MSc students and
first-year statistics PhD students at the University of Kent, and this book
has grown from the notes for that lecture course. These students have found
that even the most recently developed statistical methods may be readily
understood and successfully applied in practice. As well as covering modern
techniques, the material of the book integrates and revises standard probabil-
ity and statistical theory. Much modern statistical work is implemented using
a computer. Thus it is necessary in a book of this nature to include com-
puter instructions of some kind. The integrated computer language Matlab
has been selected for this purpose, and over 50 short Matlab programs are
included throughout the book. Their distribution and purpose are described
in the index of Matlab programs. They may all be accessed from the book
site on the World Wide Web. They are designed to be illustrative, rather than
completely efficient. Often doubts concerning theory are dissipated when one
can see computer code for the theory. Students of the book material have
certainly found the Matlab programs to be a useful aid to learning. It has
been uplifting to observe the satisfaction that students have gained from run-
ning the Matlab programs of the book. Often the students had no previous
knowledge of Matlab and also little prior experience of scientific comput-
ing. The material of Appendix B, which summarises important features of
Matlab, and tutorial assistance were all that was needed by these students.
However it should be stressed that while the computer programs are included
as an aid to learning, the book may be read and used without reference to
the programs. S-plus versions of the programs are available on the book site
on the World Wide Web. There are also some references to the use of sym-
bolic algebra packages such as MAPLE, as these provide powerful tools for
stochastic modelling.
The target student audience for the book is final-year undergraduate and
MSc students of mathematics and statistics. The book is also intended as a
single convenient source of reference for research scientists and post-graduate
students, using modern statistical methods which are currently described in

xiii
xiv PREFACE
depth in a range of single-topic textbooks. Prior knowledge is assumed at the
level of a typical second-year university course on probability and statistics.
Appendix A summarises a number of important formulae and results from
probability and statistics. A small fraction of the book sections and exercises
contain more advanced material, and these are starred. Kernel density esti-
mation is a central aspect of modern statistics, and therefore the basic ideas
are summarised in Appendix C. While a limited number of exercises have so-
lutions included in the book, a more extensive set of solutions is to be found
on the World Wide Web book site.
Statistical methods are all-pervasive, contributing significantly to subjects
as diverse as geology, sociology, biology and economics. The construction,
fitting and evaluation of statistical and stochastic models are not only vitally
important in areas such as these, but they are also great fun. It is hoped that
some of the enjoyment and fascination of the subject will be gained by readers
of this book.
The book is motivated by real data and problems. The examples and ex-
ercises are often chosen from my own experience and, as can be seen from
the index of data sets, many have arisen from biology. The areas covered are
sometimes atypical, and sometimes classical, such as survival analysis, quantal
assay and capture-recapture. Several of the examples recur at various points
throughout the book. The data are available on the book site on the World
Wide Web.
Acknowledgments
I owe a great debt of gratitude to the many scientists and statisticians
with whom I have collaborated, and with whom I continue to collaborate. I
am especially grateful to my Matlab mentor, Ted Catchpole, who with Paul
Terrill, contributed some of the Matlab programs. The original proposal for a
set of lectures at Pfizer Central Research was agreed with Trevor Lewis, Group
Executive Director, Biometrics, at Pfizer. The Pfizer audience was typically
challenging, with Ken Martin and John Parrott in particular regularly asking
probing questions. Steve Brooks, Steve Buckland, Martin Ridout, and Paul
Terrill all commented helpfully on draft chapters. At Arnold, Nicki Dennis,
and Kirsty Stroud were patient and encouraging. Three years of Kent students
provided a sympathetic test bed and launching pad. The many drafts of the
book were typed enthusiastically by Lilian Bond, Julie Snook, and Mavis
Swain.

Canterbury
 ‘For the things we have to learn before we can do them, we learn
by doing them’

Aristotle
 CHAPTER 1

Introduction and Examples

1.1 Introduction

Reported falls in human sperm counts in many developed countries have se-
rious implications for the future of mankind. In fecundability studies, data
are collected on waiting times to conception in human beings, as well as on
variables such as age and body mass index, which is a measure of obesity. For
instance, the paper by Jensen et al. (1998) concluded that the probability of
conception in a menstrual cycle was lowered if only five alcoholic drinks were
taken by the woman each week. Data from studies such as this require appro-
priate statistical analysis, which quite often results from describing the data
by means of models tailored specifically to the particular question of interest.
In this book we shall consider a wide range of data sets. In each case our
objective is to find a succinct description of the data, which may then be
used either as a summary or to provide the basis for comparison with other
examples. We shall do this by proposing simple models, and then fitting them
to the data. The models we shall consider are based on the axioms of prob-
ability theory, as described, for example, by Grimmett and Stirzaker (1992).
A number of useful results and formulae are to be found in Appendix A. Our
models may be described in various ways. We may describe them as probabil-
ity models, when the emphasis is on the probabilistic formulation, or we may
describe the models as statistical, when there is a greater emphasis on fitting
the models to data. Many of the models we describe in this book develop
over time or space, and they are then called stochastic. What is involved in
statistical modelling is readily appreciated from considering a fecundability
example.
Example 1.1: Fecundability
Table 1.1 describes the number of fertility cycles to conception required
by fertile human couples setting out to conceive. The data were collected
retrospectively, which means that information was only obtained from women
who had conceived, and the women involved have been classified according
to whether they smoked or not. Couples requiring more than 12 cycles are
grouped together in a single category.
The couples in this study are essentially waiting for an event, and the sim-
plest probability model for waiting times when they are integers, as here, is
the geometric model. Let X denote the number of cycles to conception, and

1
2 INTRODUCTION AND EXAMPLES

Table 1.1 Cycles to conception, classified by whether the female of the couple smoked
or not. The data, taken from Weinberg and Gladen (1986), form a subset of data pre-
sented by Baird and Wilcox (1985). Excluded were women whose most recent method
of contraception was the pill, as prior pill usage is believed to reduce fecundability
temporarily. The definition of “smoking” is given in the source papers.

Cycle Women smokers Women non-smokers

1 29 198
2 16 107
3 17 55
4 4 38
5 3 18
6 9 22
7 4 7
8 5 9
9 1 5
10 1 3
11 1 6
12 3 6
>12 7 12
Total 100 486

let p be the probability of conception per cycle. If we assume p is constant,

then

pr(X = k) = (1 − p)k−1 p, for k ≥ 1.

Noting that pr(X = 1) = p allows us to fit this model to each column of
data very simply, to give the following estimates of p, which we denote by p̃:
p̃
Smokers 0.29
Non-smokers 0.41

On the basis of these results we then have the immediate conclusion that
each cycle non-smokers are 41% more likely to conceive than smokers (since
41 ≈ (41 − 29)/29). The usefulness of this model is therefore apparent in pro-
viding a framework for simply comparing smokers and non-smokers. However,
there are evident shortcomings to the model. For example, can we legitimately
suppose that all couples behave the same way? Of course we cannot, and sim-
ply checking the fit of this model to the data will reveal its inadequacies. We
shall consider later how we can make the model more elaborate to improve its
description of the data. 2
Standard terminology is that p in the above example is a parameter, and in
EXAMPLES OF DATA SETS 3
fitting the model to the data we are producing the estimator, p̃. For this ex-
ample, the parameter summarises the fecundability of a particular population.
By itself, p̃ tells only part of the story, because it does not reflect the amount
of data summarised by p̃. Naturally, because of the difference in sample sizes,
the value of p̃ for non-smokers is more precise than that for smokers, and we
can indicate the difference by constructing appropriate confidence intervals,
or by associating with each estimator an estimate of its standard error, often
just referred to as its error. We shall discuss ways of indicating precision, and
present several examples, later in the book.
This book is devoted to the modelling process outlined in Example 1.1, but
using a wide range of more sophisticated tools. We shall conclude this chapter
with several more examples, which will be considered again later in the book.

1.2 Examples of data sets

Several of the models that we encounter in this book are general, with wide
application, for instance multinomial models, models of survival and logistic
regression models. Others have to be specially designed for particular prob-
lems and data sets, and we shall now consider a range of examples which
require individually tailored models. However, the same basic statistical prin-
ciples and approach are relevant in all cases. As we shall see, models for one
application may also be of use in other areas which at first sight may appear
to be quite different.

Example 1.2: Microbial infections

The data of Table 1.2 are taken from Sartwell (1950) and provide informa-
tion on incubation periods of individuals who contracted streptococcal sore
throat from drinking contaminated milk. Knowledge of when the contamina-
tion occurred allowed the incubation periods to be calculated.
Of interest here was fitting a stochastic model for the underlying behaviour
of the infecting agents. Models of this kind are also used in the modelling of
AIDS progression, in models of biological control and in models for the distri-
bution of prions over cells. (Prions are the protein particles thought to result
in mad cow disease.) 2

Example 1.3: Polyspermy

Polyspermy occurs when two or more sperm enter an egg. It is relatively
common in certain insects, fish, birds and reptiles. Fertilization of sea-urchin
eggs has been of particular interest to biologists since the nineteenth century,
and polyspermy in sea urchins (Echinus esculentus) has been examined by
Rothschild and Swann (1950) and Presley and Baker (1970). An illustration
of the experimental data that result is given in Table 1.3.
Thus for example, in the second of the four experiments, 84 eggs were
exposed to sperm. After 15 seconds fertilisation was stopped by the addition
of a spermicide, and it was found that 42 eggs had not been fertilised, 36 eggs
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4 INTRODUCTION AND EXAMPLES

Table 1.2 Sore throat incubation periods, given in units of 12 hrs.

Incubation period Number of individuals
0–1 0
1–2 1
2–3 7
3–4 11
4–5 11
5–6 7
6–7 5
7–8 4
8–9 2
9–10 2
10–11 0
11–12 1
>12 0

Table 1.3 Polyspermy: distributions of sperm over eggs of sea urchins (data provided
by Professor P.F. Baker).

No. of eggs Length of Number of sperm in

Experiment in experiment experiment (secs) the egg
0 1 2 3 4 5
1 100 5 89 11 0 0 0 0
2 84 15 42 36 6 0 0 0
3 80 40 28 44 7 1 0 0
4 100 180 2 81 15 1 1 0

had been fertilised once and 6 eggs had been fertilised twice. The eggs in each
experiment were different, and all four experiments took place under uniform
conditions of temperature and sperm density.
Of interest here was a stochastic model incorporating the rates at which
sperm enter the eggs. By means of the modelling it was possible to investigate
how these rates vary over time. 2

Example 1.4: Sprayed flour beetles

The data of Table 1.4 document the progress of flour beetles Tribolium
castaneum sprayed with a well-known plant-based insecticide (pyrethrins B),
and record the cumulative number of beetles that have died since the start of
the experiment. The insecticide was sprayed at the given rates of application
over small experimental areas in which the groups of beetles were confined
EXAMPLES OF DATA SETS 5
but allowed to move freely. The beetles were fed during the course of the
experiment to try to eliminate the effect of natural mortality.

Table 1.4 Death of sprayed flour beetles (from Hewlett, 1974).

Dose (mg/cm2 )
0.20 0.32 0.50 0.80
Sex M F M F M F M F

Day 1 3 0 7 1 5 0 4 2
2 14 2 17 6 13 4 14 9
3 24 6 28 17 24 10 22 24
4 31 14 44 27 39 16 36 33
5 35 23 47 32 43 19 44 36
6 38 26 49 33 45 20 46 40
7 40 26 50 33 46 21 47 41
8 41 26 50 34 47 25 47 42
9 41 26 50 34 47 25 47 42
10 41 26 50 34 47 25 48 43
11 41 26 50 34 47 25 48 43
12 42 26 50 34 47 26 48 43
13 43 26 50 34 47 27 48 43
Group size 144 152 69 81 54 44 50 47

Statistical models for what are called the “end-point” mortalities on day
13, when the experiment ended, are very well known, and have been studied
extensively. In this example we want to elaborate those models, in order to
account for the effect of the insecticide over time. 2

Example 1.5: Longevity of herons

The grey heron Ardea cinerea has been a protected species in Britain since
1954. In Table 1.5 we present the results of a ring-recovery experiment, span-
ning the years 1955–1971, taken from a larger example in North and Morgan
(1979). Birds were ringed as nestlings, and enter the table if they die and
their death was reported to the British Trust for Ornithology, whose address
appears on the rings. Thus for example, of the cohort of birds ringed in 1956,
14 were found dead in their first year of life, 5 were found dead in their second
year of life, and so on. We can see from the data the relatively high mortality
of first-year birds. This is often the case for wild animals.
These data provide a means of estimating the probabilities of annual sur-
vival of the herons. In some cases, records of the numbers of birds ringed in
each cohort are also available. Wild animals can be regarded as monitors of
the environment. When the environment changes, due to the destruction of
6 INTRODUCTION AND EXAMPLES

Table 1.5 Recoveries of dead grey herons (data provided by the British Trust for
Ornithology).
Year of Year after ringing in which recovery was made

ringing 1st 2nd 3rd 4th 5th 6th 7th 8th 9th 10th 11th 12th 13th 14th 15th 16th 17th

1955 31 5 0 0 3 1 0 0 1 1 0 0 0 0 0 0 0
1956 14 5 5 2 1 1 1 0 0 0 0 0 0 0 0 0
1957 27 10 1 3 3 1 0 0 0 0 0 0 0 0 1
1958 13 2 2 1 1 0 1 0 0 0 0 0 0 0
1959 35 22 7 6 1 2 1 2 0 0 0 0 0
1960 5 6 5 0 2 0 0 0 0 1 0 0
1961 22 5 2 1 1 0 0 0 0 0 0
1962 7 0 0 0 0 0 0 0 0 0
1963 3 2 1 2 0 0 0 0 0
1964 7 3 2 0 0 0 0 0
1965 12 5 1 0 0 1 0
1966 7 9 4 0 1 0
1967 31 9 5 4 1
1968 35 11 2 0
1969 58 16 6
1970 40 17
1971 30

hedgerows or climate change such as global warming, this may be reflected in

corresponding changes in animal survival. Stochastic models may be used to
investigate possible relationships between survival probabilities and measures
of weather and/or characteristics of individual animals. 2

Example 1.6: Hatching of quail eggs

Mammals expand and aerate their lungs when they take their first breath
after birth. However with birds the situation is more complex and far less
spontaneous, as they begin breathing air before hatching. The study of the
development of avian embryos within eggs has a long history – see, for ex-
ample, Horner (1853). Detailed investigation of embryonic breathing in birds
is described by Vince (1979). Somewhat remarkably, the development of em-
bryos within eggs of certain birds can be affected by external clicking noises,
of the kind made by neighbouring eggs as they prepare for hatching. The end-
result, for ground-nesting game birds, is an approximate synchronisation of
the hatching of the eggs in a clutch. Two sets of data are given in Tables 1.6
and 1.7.
The effects observed in Tables 1.6 and 1.7 are striking, and may be com-
municated simply through the estimated parameters of a suitable stochastic
model of how the eggs mature through time. 2

Example 1.7: Disease in a forest

The data of Table 1.8 were presented by Pielou (1963a) and describe the
incidence of diseased trees in a forest. The data have been obtained by quadrat
sampling a map of a 2.88 acre Douglas fir plantation on Vancouver Island,
and the disease was Armillaria root rot. In all there were 2,110 trees, of which
453 were infected. In total, 800 quadrats were sampled, of 1.2 inch radius,
equivalent to 6.3 ft. on the ground (quadrats containing no trees were not
included).
EXAMPLES OF DATA SETS 7

Table 1.6 Stimulating quail eggs: duration (in hours) of lung ventilation (when the
lungs are being used for the first time) in individual Japanese quail (Coturnix co-
turnix japonica) fetuses (from Vince and Cheng, 1970). Measurements were taken
at 30-minute time intervals, and not continuously. Also, for eggs in contact it was
only possible to take measurements on the single egg being stimulated, or not, by the
other two eggs.

Mean
Isolated eggs 24, 37, 33, 20.75, 15.5 26.05

One egg in contact with two others 23.75, 9.25, 20.5, 17, 18, 18.03
given the same amount of incubation 15.5, 25.75, 18, 9.5, 23

One egg in contact with two others

given 24 hours more incubation 5.5, 13, 7, 2.5, 0.5 5.7

One egg in contact with two others

given 24 hours less incubation 23.5, 13, 19, 14, 37.5 21.4

Table 1.7 Stimulating quail eggs: data from Vince (1968), describing the effect of
artificial stimulation on the hatching time of Japanese quail eggs isolated from clutch
siblings. Shown are the hatching times of single stimulated eggs, relative to the mean
hatching time of the clutch.

Artificial Hatching time of Artificial Hatching time of

stimulation rate stimulated eggs, stimulation rate stimulated eggs,
(clicks/sec.) in hours (clicks/sec.) in hours
1 7.50 10 –6.25
1 3.13 10 –11.25
1.25 0.00 10 –33.75
1.5 –23.75 15 –33.75
2 –31.25 15 –35.00
2 –33.13 20 –18.75
3.5 –28.75 20 –25.00
3.5 –31.25 30 –11.25
3.5 –36.25 50 –20.00
3.5 –40.00 60 –14.38
6 –23.75 60 –16.25
6 –38.75 80 –10.63
6 –45.00 80 13.13
100 8.75
100 15.00
8 INTRODUCTION AND EXAMPLES

Table 1.8 Incidence of root rot in a forest. Here n denotes the number of trees in a
quadrat, of which d were diseased.

n d No. of quadrats n d No. of quadrats

1 0 146 5 0 28
1 32 1 16
2 9
3 5
2 0 151 ≥4 4
1 61
2 16
6 0 9
3 0 122 1 5
1 57 2 7
2 18 3 3
3 5 ≥4 2

4 0 47 7 0 2
1 25
2 20 8 3 1
3 4 5 1
4 3
9 1 1

It was thought that a simple statistical model would be useful here for sum-
marising the data through the estimated parameters of the model. 2

Example 1.8: Shakespeare’s vocabulary

Shakespeare wrote 31,534 different words in total. An interesting question
posed by Efron and Thisted (1976) is: how many words did he know, but
not use? The known word frequencies are shown in Table 1.9, apart from 846
words which appear more than 100 times. Thus, for example, 14,376 words
appear just once, 4343 appear twice, etc.
Statistical models and methods provide an answer. Similar models may also
be used to estimate the number of species of a particular type of insect, such
as a butterfly for example, occupying a region, when a trapping exercise yields
only a subset of those species. 2

Example 1.9: The ant-guard hypothesis

Seed predators and herbivores can operate as strong selective agents in the
evolution of defence mechanisms by plants. This has given rise to an ‘ant-
guard’ hypothesis, which tries to explain the role of extrafloral nectaries on
plants. Distributed on species in over 80 plant families, these nectaries occur
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saw a multitude of Tomts come, each bearing a stalk of rye, among
them one not larger than a man’s thumb, bearing a straw upon his
shoulders.

“Why do you puff so hard?” said the farmer from his hiding-place,
“your burden is not so great.”

“His burden is according to his strength, for he is but one night old,”
answered one of the Tomts, “but hereafter you shall have less.”

From that day all luck disappeared from the farmer’s house, and
finally he was reduced to beggary.

In many districts it has been the custom to set out a bowl of mush for
the fairies on Christmas eve.

In the parish of Nyhil there are two estates lying near each other, and
both called Tobo. On one was a Tomt, who, on Christmas eve, was
usually entertained with wheaten mush and honey. One time the
mush was so warm when it was set out that the honey melted. When
the Tomt came to the place and failed to find his honey as
heretofore, he became so angry that he went to the stable and
choked one of the cows to death. After having done this he returned
and ate the mush, and, upon emptying the dish, found the honey in
the bottom. Repenting his deed of a few minutes before, he carried
the dead cow to a neighboring farm and led therefrom a similar cow
with which to replace the one he had killed. During his absence the
women had been to the barn and returned to the house, where the
loss was reported to the men, but when the latter arrived at the cow-
shed the missing [125]cow had apparently returned. The next day
they heard of the dead cow on the adjoining farm, and understood
that the Tomts had been at work.
In one place, in the municipality of Ydre, a housewife remarked that
however much she took of meal from the bins there seemed to be no
diminution of the store, but rather an augmentation. One day when
she went to the larder she espied, through the chinks of the door, a
little man sifting meal with all his might.

Noticing that his clothes were very much worn, she thought to
reward him for his labor and the good he had brought her, and made
him a new suit, which she hung upon the meal bin, hiding herself to
see what he would think of his new clothes. When the Tomt came
again he noticed the new garments, and at once exchanged his
tattered ones for the better, but when he began to sift and found that
the meal made his fine clothes dusty he threw the sieve into the
corner and said:

“Junker Grand is dusting himself. He shall sift no more.” [126]

1 The belief in Tomts has been handed down to us through many generations,
and is widespread in Sweden. In the opinion [123]of the writer they are nothing
more or less than an inheritance from the classical past and a remnant of the
domestic worship which the ancients bestowed upon their family gods. Legends
similar to this are related in Norway, where the spirit is called Topvette or
Tomlevette and Gardos; also in Faroe Islands, where they are called Niagriusar,
and in Germany, where they are called Kobolde, etc. ↑
[Contents]
 The Cat of Norrhult. 1

On the estate of Norrhult, in the parish of Rumskulla, the people in

olden times were very much troubled by Trolls and ghosts. The
disturbances finally became so unbearable that they were compelled
to desert house and home, and seek an asylum with their neighbors.
One old man was left behind, and he, because he was so feeble that
he could not move with the rest.

Some time thereafter, there came one evening a man having with
him a bear, and asked for lodgings for himself and companion. The
old man consented, but expressed doubts about his guest being able
to endure the disturbances that were likely to occur during the night.

The stranger replied that he was not afraid of noises, and laid
himself down, with his bear, near the old man’s bed.

Only a few hours had passed, when a multitude of Trolls came into
the hut and began their usual clatter. Some of them built the fire in
the fireplace, others set the kettle upon the fire, and others again put
into the kettle a mess of filth, such as lizards, frogs, worms, etc.

When the mess was cooked, the table was laid and the Trolls sat
down to the repast. One of them threw a worm to the bear, and said:

“Will you have a fish, Kitty?” [127]

Another went to the bear keeper and asked him if he would not have
some of their food. At this the latter let loose the bear, which struck
about him so lustily that soon the whole swarm was flying through
the door.
Some time after, the door was again opened, and a Troll with mouth
so large that it filled the whole opening peeked in. “Sic him!” said the
bear keeper, and the bear soon hunted him away also.

In the morning the stranger gathered the people of the village around
him and directed them to raise a cross upon the estate, and to
engrave a prayer on Cross Mountain, where the Trolls dwelt, and
they would be freed from their troublesome visitors.

Seven years later a resident of Norrhult went to Norrköping. On his

way home he met a man who asked him where he came from, and,
upon being informed, claimed to be a neighbor, and invited the
peasant to ride with him on his black horse. Away they went at a
lively trot along the road, the peasant supposed, but in fact high up in
the air. When it became quite dark the horse stumbled so that the
peasant came near falling off.

“It is well you were able to hold on,” said the horseman. “That was
the point of the steeple of Linköping’s cathedral that the horse
stumbled against. Listen!” continued he. “Seven years ago I visited
Norrhult. You then had a vicious cat there; is it still alive?”

“Yes, truly, and many more,” said the peasant.

After a time the rider checked his horse and bade [128]the peasant
dismount. When the latter looked around him he found himself at
Cross Mountain, near his home.

Some time later another Troll came to the peasant’s cottage and
asked if that great savage cat still lived.

“Look out!” said the peasant, “she is lying there on the oven, and has
seven young ones, all worse than she.”
“Oh!” cried the Troll, and rushed for the door. From that time no
Trolls have ever visited Norrhult. [129]

1 Not longer than thirty years ago a cross, said to be the one raised on this
occasion, was still standing in Norrhult. ↑
[Contents]
 Lady Barbro of Brokind. 1

On the estate of Brokind, in the parish of Vardsnäs, dwelt, in days

gone by, a rich and distinguished [130]lady named Barbro, who was so
hard-hearted and severe with her dependents that for the least
transgression they were bound, their hands behind their backs, and
cast into prison, where, to add to their misery, she caused a table,
upon which a bountiful supply of food and drink was placed, to be
spread before them, which, of course, bound as they were, they could
not reach. Upon complaint being made to her that the prisoners were
perishing from hunger and thirst, she would reply, laughingly: “They
have both food and drink; if they will not partake of it the fault is
theirs, not mine.”

Thus the prison at Brokind was known far and wide, and the spot
where it stood is to this day called Kisthagen, in memory of it.

When Lady Barbro finally died she was buried in the grave with her
forefathers, in the cathedral of Linköping, but this was followed by
such ghostly disturbances that it became necessary to take her body
up, when it was interred in the churchyard of Vardsnäs.

Neither was she at rest here, whereupon, at the suggestion of one of

the wiser men of the community, her body was again taken up, and,
drawn by a yoke of twin oxen, was conveyed to a swamp, where it
was deposited and a pole thrust through both coffin and corpse. Ever
after, at nightfall, an unearthly noise was heard in the swamp, and the
cry of “Barbro, pole! Barbro, pole!”

The spirit was, for the time being, quieted, but, as with ghosts in all
old places, it returned after a time, and often a light is seen in the
large, uninhabited building at Brokind. [131]
1 This story was found, after his death, among the papers of the lecturer, J.
Vallman. The estate of Brokind, before it came into the possession of the family
of Count Falkenberg, was owned, for about two centuries, by the family of Night
and Day. It is probable that the Lady Barbro wrought into this legend is Lady
Barbro, Erik’s daughter, wife of Senator Mons, Johnson Night and Day, though how
she was made to play a part in the narrative is not known, as her body was not
impaled in a swamp, but rests peacefully in an elegant grave in the cathedral of
Linköping. ↑
[Contents]
 The Urko of North Wij. 1

From the point where the river Bulsjö empties into Lake Sommen,
extending in a northerly direction for about eight miles, bordering the
parishes of North Wij and Asby, nearly up to a point called Hornäs,
stretches the principal fjord, one of several branching off from the
large lake.

Near Vishult, in the first named of these parishes, descending to the

lake from the elevation that follows its west shores, is a wall-like
precipice, Urberg, which, from the lake, presents an especially
magnificent view, as well in its height and length, and in its wood-
crowned top, as in the wild confusion of rocks at its base, where,
among the jumble of piled-up slabs of stones, gape large openings,
into which only the imagination dares to intrude.

From this point the mountain range extends southward toward

Tulleram, and northward, along the shore of Lake Sjöhult, under the
name of Tjorgaberg, until it ends in an agglomeration of rocks called
Knut’s Den.

In this mountain dwells the Urko, a monster cow of traditionary

massiveness, which, in former times, when she was yet loose,
plowed the earth, making what is now Lake Sommen and its many
fjords. At last [132]she was captured and fettered by a Troll man from
Tulleram, who squeezed a horseshoe around the furious animal’s
neck and confined her in Urberg. For food she has before her a large
cow-hide from which she may eat a hair each Christmas eve, but
when all the hairs are consumed, she will be liberated and the
destruction of Ydre and all the world is to follow.
But even before this she will be liberated from her prison if Ydre is
crossed by a king whom she follows and kills if she can catch him
before he has crossed to the confines of the territory.

It happened one time that a king named Frode, or Fluga, passed

through Ydre, and, conscious of the danger, hurried to reach the
boundaries, but, believing he had already passed them, he halted on
the confines at Fruhammer, or, as the place was formerly called,
Flude, or Flugehammer, where he was overtaken and gored to death
by the monster. In confirmation of this incident, his grave, marked by
four stones, is to this day pointed out.

Another narrative, which, however, is known only in the southeastern

part of the territory, relates that another king, unconscious of the
danger accompanying travel in the neighborhood, passed unharmed
over the border, and had reached the estate of Kalleberg, when he
heard behind him the dreadful bellowing of the monster in full chase
after him. The king hastened away as speedily as possible. The cow
monster, unable to check its mad gallop at the border, rushed over
some distance to the place where the king first paused, where, in the
gravel-mixed field, she pawed up a round [133]hole of several
hundred feet in breadth, which became a bog, whose border,
especially upon the north side, is surrounded by a broad wall of the
upheaved earth.

Still, at times, especially preceding a storm, the Urko is heard rattling

its fetters in the mountain, and both upon the mountain and down
near the shore of the lake by times.

Extraordinary things are said to happen. One and another of the

residents thereabouts assert even that they have seen the Urko in
her magnificent rooms and halls, which the neighbors do not for a
moment doubt. [134]
1 This legend doubtless grew out of the story of the flood, in this form relating how
the mighty waters burst their bounds and were in time again imprisoned in their
beds. ↑
[Contents]
 The Troll Shoes.

Near Kölefors, in the jurisdiction of Kinda, lived, a long time ago, an

old woman, who, as the saying goes, was accustomed, during Easter
week, to go to Blåkulla.

Late one Passion Wednesday evening, as was usual with witches,

she lashed her pack in readiness for the night, to follow her comrades
in their wanderings. In order that the start should be accompanied by
as few [135]hindrances as possible, she had greased her shoes and
stood them by the fireplace to dry.

In the dusk of the evening there came to her hut another old woman,
tired and wet through from the rain, and asked permission to remain
over night. To this the witch would not consent, but agreed to allow
the woman to remain until she had dried her soggy shoes before the
fire, while she, unwilling to be under the same roof with her guest,
remained outside.

After a time the fire died out, and it became so dark in the hut that
when the stranger undertook to find her shoes, in order to continue
her journey, she got and put on the witch’s shoes instead. Hardly had
she passed out through the door when the shoes jerked her legs up
into the air and stood her head downward, without, however, lifting
her into the air and carrying her away as would have been if the
witch’s broom had been in her hand.

In this condition the old woman and the shoes struggled through the
night. Now the shoes stood her on her head and dragged her along
the ground, now the woman succeeded in grasping a bush or root,
and was able to regain her feet again for a time.
In the end, near morning, a man walking past, noticed her and
hastened to her relief. Answering her earnest pleading the man poked
off one of the shoes with a stick, whereupon, instantly, shoe and stick
flew into the air and vanished in the twinkling of an eye. After the
adventures of the night the old Troll woman was so weakened that
she fell into a hole, which is pointed out to this day, and is called “The
Troll Woman’s Pit.” [136]
[Contents]
 The Wood and the Sea Nymphs. 1

Both wood nymphs and sea nymphs belong to the giant family, and
thus are related.

They often hold communication with each other, although the wood
nymphs always hold themselves a little above their cousins, which
frequently occasions differences between them.

A peasant, lying in the woods on the shores of Lake Ömmeln, heard

early one morning voices at the lake side engaged in vehement
conversation. Conjecturing that it was the wood nymphs and sea
nymphs quarreling, he crept through the underbrush to a spot near
where they sat, and listened to the following dialogue:

Sea Nymph—“You shall not say that you are better than I, for I have
five golden halls and fifty silver cans in each hall.”

Wood Nymph—“I have a mountain which is three miles long and six
thousand feet high, and under that mountain is another, ten times
higher and formed entirely of bones of the people I have killed.”

When the peasant heard this he became so alarmed [137]that he ran

a league away, without stopping. Thus he did not learn which was
victorious, but it was the wood nymphs without doubt, as they have
always been a little superior to the others. [138]

1 The wood nymph dwells in large forests, and is described as a beautiful young
woman, when seen face to face; but if her back be turned to one it is hollow, like
a dough-trough, or resembles a block stub. Sometimes, instead of a hollow back,
she is adorned with a bushy fox tail. The sea nymph dwells, as indicated by the
name, at the bottom of seas and lakes, and is clad in a skirt so snow-white that it
sparkles in the sunlight. Over the skirt she wears a light blue jacket. Usually her