Related papers: Filtering the Wright-Fisher diffusion
In this paper, a general model of wireless channels is established based on the physics of wave propagation. Then the problems of inverse scattering and channel prediction are formulated as nonlinear filtering problems. The solutions to the…
This paper introduces factored conditional filters, new filtering algorithms for simultaneously tracking states and estimating parameters in high-dimensional state spaces. The conditional nature of the algorithms is used to estimate…
We prove a computable version of de Finetti's theorem on exchangeable sequences of real random variables. As a consequence, exchangeable stochastic processes expressed in probabilistic functional programming languages can be automatically…
A phase space formulation of the filtering process upon an incident quantum state is developed. This formulation can explain the results of both quantum interference and delayed-choice experiments without making use of the controversial…
The Wright-Fisher model and the Moran model are both widely used in population genetics. They describe the time evolution of the frequency of an allele in a well-mixed population with fixed size. We propose a simple and tractable model…
Motivated by applications to prediction and forecasting, we suggest methods for approximating the conditional distribution function of a random variable Y given a dependent random d-vector X. The idea is to estimate not the distribution of…
This paper addresses a problem in experimental design: We consider It\^o diffusions specified by some $\theta \in \mathbb{R}$ and assume that we are allowed to observe their sample paths only $n$ times before a terminal time $\tau <…
For recursive circular filtering based on circular statistics, we introduce a general framework for estimation of a circular state based on different circular distributions, specifically the wrapped normal distribution and the von Mises…
A model for diffusion on a cubic lattice with a random distribution of traps is developed. The traps are redistributed at certain time intervals. Such models are useful for describing systems showing dynamic disorder, such as ion-conducting…
We consider the spread of a Susceptible-Infected-Recovered (SIR) disease through finite populations and derive an expression for the final size distribution. Our derivation allows arbitrary distributions of the number of transmissions…
The process of dynamic state estimation (filtering) based on point process observations is in general intractable. Numerical sampling techniques are often practically useful, but lead to limited conceptual insight about optimal…
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…
In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following classical approach we use Wonham filter to achieve multiple…
Fleming-Viot diffusions are widely used stochastic models for population dynamics which extend the celebrated Wright-Fisher diffusions. They describe the temporal evolution of the relative frequencies of the allelic types in an ideally…
To ensure high quality outputs, it is important to quantify the epistemic uncertainty of diffusion models. Existing methods are often unreliable because they mix epistemic and aleatoric uncertainty. We introduce a method based on Fisher…
Consider a distributed detection problem in which the underlying distributions of the observations are unknown; instead of these distributions, noisy versions of empirically observed statistics are available to the fusion center. These…
The computation of two Bayesian predictive distributions which are discrete mixtures of incomplete beta functions is considered. The number of iterations can easily become large for these distributions and thus, the accuracy of the result…
With the help of the methods developed in our previous article [Schmitz, to appear in "Annales de l'I.H.P. Prob. & Stat.], we highlight condition (T) as a source of new examples of 'ballistic' diffusions in a random environment when d>1…
We consider the notion of the matrix (tensor) distribution of a measurable function of several variables. On the one hand, it is an invariant of this function with respect to a certain group of transformations of variables; on the other…
Counterfactual inference considers a hypothetical intervention in a parallel world that shares some evidence with the factual world. If the evidence specifies a conditional distribution on a manifold, counterfactuals may be analytically…