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20052014
most citedPenalized nonparametric mean square estimation of the coefficients of diffusion processes

93 citations · 207 across the 7 of their papers we have counts for

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2 papers · 1 filter

math.PR2007

Filtering the Wright-Fisher diffusion

Mireille Chaleyat-Maurel, Valentine Genon-Catalot

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 pro…

math.PR2005

Computable infinite dimensional filters with applications to discretized diffusion processes

Mireille Chaleyat-Maurel, Valentine Genon-Catalot

Let us consider a pair signal-observation ((xn,yn),n 0) where the unobserved signal (xn) is a Markov chain and the observed component is such that, given the whole sequence (xn), t…