Advances in Applied Probability

Importance sampling on coalescent histories. I

Maria De Iorio and Robert C. Griffiths

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Abstract

Stephens and Donnelly (2000) constructed an efficient sequential importance-sampling proposal distribution on coalescent histories of a sample of genes for computing the likelihood of a type configuration of genes in the sample. In the current paper a characterization of their importance-sampling proposal distribution is given in terms of the diffusion-process generator describing the distribution of the population gene frequencies. This characterization leads to a new technique for constructing importance-sampling algorithms in a much more general framework when the distribution of population gene frequencies follows a diffusion process, by approximating the generator of the process.

Article information

Source
Adv. in Appl. Probab. Volume 36, Number 2 (2004), 417-433.

Dates
First available in Project Euclid: 11 June 2004

Permanent link to this document
http://projecteuclid.org/euclid.aap/1086957579

Digital Object Identifier
doi:10.1239/aap/1086957579

Mathematical Reviews number (MathSciNet)
MR2058143

Zentralblatt MATH identifier
1045.62111

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 93E25: Other computational methods 92D25: Population dynamics (general)

Keywords
Coalescent process diffusion process importance sampling

Citation

De Iorio, Maria; Griffiths, Robert C. Importance sampling on coalescent histories. I. Adv. in Appl. Probab. 36 (2004), no. 2, 417--433. doi:10.1239/aap/1086957579. http://projecteuclid.org/euclid.aap/1086957579.


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