Exact simulation of the Wright-Fisher diffusion

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• Paul Jenkins (Warwick)
• Friday 27 November 2015, 16:00-17:00
• MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge..

If you have a question about this talk, please contact Quentin Berthet.

The Wright-Fisher family of diffusion processes is a class of evolutionary models widely used in population genetics, with applications also in finance and Bayesian statistics. Simulation and inference from these diffusions is therefore of widespread interest. However, simulating a Wright-Fisher diffusion is difficult because there is no known closed-form formula for its transition function. In this talk I show how it is possible to simulate exactly from the scalar Wright-Fisher diffusion with general drift, extending ideas based on retrospective simulation. The key idea is to exploit an eigenfunction expansion representation of the transition function. This approach also yields methods for exact simulation from several processes related to the Wright-Fisher diffusion: (i) its moment dual, the ancestral process of an infinite-leaf Kingman coalescent tree; (ii) its infinite-dimensional counterpart, the Fleming-Viot process; and (iii) its bridges. This is joint work with Dario Spano.

This talk is part of the Statistics series.

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