Filtering the Wright-Fisher diffusion

DOI10.1051/PS:2008006MaRDI QIDQ5851018zbMATH OpenOpenAlexFDO

Authors Mireille Chaleyat-Maurel, V. Genon-Catalot

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, https://eudml.org/doc/104418

zbMATH Keywords

diffusion processesdiscrete time observationshidden Markov modelspartial observationsprior and posterior distributionsstochastic filtering

Mathematics Subject Classification ID

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

Abstract: We consider a Wright-Fisher diffusion (x(t)) whose current state cannot be observed directly. Instead, at times t1 < t2 < . . ., the observations y(ti) are such that, given the process (x(t)), the random variables (y(ti)) are independent and the conditional distribution of y(ti) only depends on x(ti). When this conditional distribution has a specific form, we prove that the model ((x(ti), y(ti)), i 1) is a computable filter in the sense that all distributions involved in filtering, prediction and smoothing are exactly computable. These distributions are expressed as finite mixtures of parametric distributions. Thus, the number of statistics to compute at each iteration is finite, but this number may vary along iterations.

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Cites work

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Cited in

(7)

• Exact inference for a class of hidden Markov models on general state spaces
• Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions
• Optimal filtering and the dual process
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• Approximate filtering via discrete dual processes
• Filtering coupled Wright-Fisher diffusions
• The expected sample allele frequencies from populations of changing size via orthogonal polynomials

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