BAYESIAN ESTIMATION OF DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATIONS

被引：0

作者：

Xia, Leixin ^{[1
]}

Chen, Baojiang ^{[1
]}

Lai, Dejian ^{[1
]}

机构：

[1] Univ Texas Hlth Sci Ctr Houston, Sch Publ Hlth, Dept Biostat & Data Sci, Houston, TX 77030 USA

来源：

FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY | 2025年

关键词：

Bayesian Method; Fractional Brownian Motion; MAP Estimator; Simulation Studies;

D O I：

10.1142/S0218348X25500719

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The purpose of this paper is to estimate the three unknown parameters H, theta and sigma in drift fractional Brownian motion using the Bayesian method. The maximum a posteriori (MAP) estimator is chosen as the point estimator. We derived easy to use closed form for estimating theta and sigma. Our simulation results demonstrated that our method works well with a small sample size, missing, and irregular observations.

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