Filtering the Wright-Fisher diffusion

DOI10.1051/ps:2008006zbMath1181.93084arXiv0707.0537OpenAlexW2950302213MaRDI QIDQ5851018

Valentine Genon-Catalot, Mireille Chaleyat-Maurel

Publication date: 21 January 2010

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.0537

zbMATH Keywords

diffusion processeshidden Markov modelsdiscrete time observationspartial observationsstochastic filteringprior and posterior distributions

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (5)

Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model ⋮ Approximate filtering via discrete dual processes ⋮ Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions ⋮ Optimal filtering and the dual process ⋮ Exact inference for a class of hidden Markov models on general state spaces

Cites Work

• Unnamed Item
• Unnamed Item
• Bayesian forecasting and dynamic models.
• Computable infinite-dimensional filters with applications to discretized diffusion processes
• A non-linear explicit filter.
• Multiplicative Kalman filtering
• Random scale perturbation of an AR(1)-process and its properties as a non linear explicit filter
• Finite dimensional filter systems in discrete time
• Stochastic Models with Applications to Genetics, Cancers, AIDS and Other Biomedical Systems
• Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach

This page was built for publication: Filtering the Wright-Fisher diffusion