Asymptotic behaviour of the improved trajectory fitting estimation for reflected Ornstein-Uhlenbeck process with large drift
In this paper, we consider the problem of parameter estimation for reflected Ornstein-Uhlenbeck process with large drift. The classical trajectory fitting estimator is inconsistent when the drift coefficient θ < 0, whereas it is consistent when θ ≥ 0. To overcome this limitation, we introduce an improved trajectory fitting estimator, which remains consistent for all θ ∈ ℝ. The consistency and asymptotic distribution of the improved trajectory fitting estimator are established under various combinations of the sign of θ. Computer simulations are performed to illustrate our theory.
Authors
- Xiaotai Wu (ORCID: https://orcid.org/0000-0002-7164-2946)
- Xuekang Zhang (ORCID: https://orcid.org/0000-0003-4538-7483)
- Haofei Liu
Institutions
- Twitter (United States) (US)
Publication Details
- Journal
- Stochastics and Dynamics
- Published
- 2026-10-13
- DOI
- https://doi.org/10.1142/s0219493726500310
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00