BAYESIAN ESTIMATION OF DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATIONS

The purpose of this paper is to estimate the three unknown parameters [Formula: see text] and [Formula: see text] 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 [Formula: see text] and [Formula: see text]. Our simulation results demonstrated that our method works well with a small sample size, missing, and irregular observations.