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.