A new methodology to estimate constant elasticity of variance

Document Type : Research Paper

Authors

1 Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.

2 Department of Electrical Engineering, Lorestan University, Khoramabad, Lorestan, Iran.

Abstract

This paper introduces a novel method for estimation of the parameters of the constant elasticity of variance model. To do this, the likelihood function will be constructed based on the approximate density function. Then, to estimate the parameters, some optimization algorithms will be applied.

Keywords