On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
Filtering the Wright-Fisher diffusion
We consider a Wright-Fisher diffusion whose current state cannot be observed directly. Instead, at times < < ..., the observations are such that, given the process , the random variables () are independent and the conditional distribution of only depends on . When this conditional distribution has a specific form, we prove that the model ((), 1) is a computable filter in the sense that all distributions involved in filtering, prediction...
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