Robustness of optimal designs for correlated random variables (Q947627)

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Robustness of optimal designs for correlated random variables
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    Robustness of optimal designs for correlated random variables (English)
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    6 October 2008
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    Suppose that \(Y = (Y_i)\) is a normal random vector with mean \(Xb\) and covariance \(\sigma^2 I_n\), where \(b\) is a \(p\)-dimensional vector \((b_j)\), \(X = (X_{ij})\) is an \(n\times p\) matrix with \(X_{ij}\in[-1, 1]\); this corresponds to a factorial design with \(-1, 1\) representing a low or high level, respectively, or corresponds to a weighing design with \(-1, 1\) representing an object \(j\) with weight \(b_j\) placed on the left and right of a chemical balance, respectively. \(E\)-optimal designs \(Z\) are chosen that are robust in the sense that they remain \(E\)-optimal when the covariance of \(Y_i\), \(Y_{i'}\) is \(\rho > 0\) for \(i\neq i'\). Within a smaller class of designs similar results are obtained with respect to a general class of optimality criteria which include the \(A\)- and \(D\)-criteria.
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    chemical balance
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    correlation
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    weighing design
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    Hadamard matrix
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    least squares estimator
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    A-optimality
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    D-optimality
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    E-optimality
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