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  4. Unbiased likelihood-based estimation of Wright-Fisher diffusion processes
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conference paper not in proceedings

Unbiased likelihood-based estimation of Wright-Fisher diffusion processes

Garcia Pareja, Celia  
•
Nobile, Fabio  
March 9, 2023
15th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing

In this paper we propose an unbiased Monte Carlo maximum likelihood estimator for discretely observed Wright-Fisher diffusions. Our approach is based on exact simulation techniques that are of special interest for diffusion processes defined on a bounded domain, where numerical methods typically fail to remain within the required boundaries. We start by building unbiased maximum likelihood estimators for scalar diffusions and later present an extension to the multidimensional case. Consistency results of our proposed estimator are also presented and the performance of our method is illustrated through a numerical example.

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