Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 45 3 v Solution Created 2026-10-03 Updated 2026-10-14
Integrating the acceptance probability over the joint-prior proposal givesThe mean number of independent proposal trials per acceptance is , by the geometric distribution. To make the acceptance rate explicit for an arbitrary specified prior, define the segregating-site likelihood under the neutral coalescent by . ThenFor the last identity, is the sum of independent exponential variables with rates ; combine their Laplace transforms with the conditional Poisson probability generating function. If an explicit mass is wanted, also has density : it is the maximum of independent unit exponential variables, whose successive spacings have exactly these exponential rates. Expanding and integrating the Poisson mass givesUse for . The positive integral or generating-function expression may be numerically preferable to this alternating sum.
A sharper rejection envelope improves the algorithm without changing its proposal. For , maximize the Poisson mass over :It increases until and decreases afterwards, so its maximum is . For , the maximum is . Replace the acceptance rule by . This is bounded by one, and its accepted density is unchanged because the factor cancels on normalization. ThusFor it is strictly more efficient, with improvement factor by Stirling's formula. For this envelope improvement gives no increase. Evaluating the Poisson mass and using a uniform draw also avoids generating a Poisson count only to discard it. A proposal concentrated near the posterior can improve efficiency further, but then its density and a valid rejection bound must be included.
Past exam of the mathematics course of the University of Cambridge 2006 iii Paper 45 4 g Solution Created 2026-10-03 Updated 2026-10-14
The accepted mutation parameters have marginal probability density functionEstimate this probability density function with a suitably smoothed histogram or a boundary-aware kernel density estimator from the accepted draws. On a parameter region where , divide the estimate by the known prior density and maximize:The unknown is constant in and cancels. Maximizing the posterior density itself gives a posterior mode, not generally a maximum-likelihood estimate; the two coincide for a flat prior on a region containing the maximum. A prior excluding candidate maximizers cannot recover them through its posterior output. Boundary behavior also matters: for , the likelihood is decreasing in , so the unrestricted maximum is at .
The exact likelihood provides a useful independent check. Put . Its Laplace transform is , since is exponential of rate . The probability density functionhas that same transform: substitute to obtain . Thus, expanding its binomial factor and integrating each term,This is the segregating-site likelihood under the neutral coalescent. It can be maximized numerically to check the posterior-density estimate; the generating-function representation avoids cancellation in large alternating sums. For , it reduces to , whose maximum is at for .
Alternatively, differentiating the integrated likelihood givesAn interior maximum therefore satisfies . Conditional expectations of can be estimated by smoothing the accepted pairs near each candidate parameter value, yielding another simulation-based score equation. The simple estimator is the unbiased Watterson estimator from part (b), and is not generally the likelihood maximizer.
Watterson estimator 2026-10-14
For a neutral sample of size under the infinite sites mutation model, the Watterson estimator is , where . Since the coalescent has , this estimator is unbiased. It matches the observed segregating-site count to its expected value, but need not maximize the exact segregating-site likelihood under the neutral coalescent.