Convergence of least squares estimators in the adaptive Wynn algorithm for some classes of nonlinear regression models

DOI10.1007/S00184-020-00803-0MaRDI QIDQ2230660zbMATH OpenOpenAlexFDO

Authors Fritjof Freise, Norbert Gaffke, Rainer Schwabe

Publication date 28 September 2021

Published in Metrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.03763

zbMATH Keywords

adaptive estimationapproximate designasymptotic normalityD-optimalitygeneralized linear modelstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Generalized linear models (logistic models) (62J12) Optimal statistical designs (62K05) Sequential statistical design (62L05)

Abstract: The paper continues the authors' work on the adaptive Wynn algorithm in a nonlinear regression model. In the present paper it is shown that if the mean response function satisfies a condition of `saturated identifiability', which was introduced by Pronzato cite{Pronzato}, then the adaptive least squares estimators are strongly consistent. The condition states that the regression parameter is identifiable under any saturated design, i.e., the values of the mean response function at any $p$ distinct design points determine the parameter point uniquely where, typically, $p$ is the dimension of the regression parameter vector. Further essential assumptions are compactness of the experimental region and of the parameter space together with some natural continuity assumptions. If the true parameter point is an interior point of the parameter space then under some smoothness assumptions and asymptotic homoscedasticity of random errors the asymptotic normality of adaptive least squares estimators is obtained.

Recommendations

• The adaptive Wynn algorithm in generalized linear models with univariate response
• Note on the strong consistency of the least squares estimator in nonlinear regression
• Asymptotic theory of least squares estimator of a particular nonlinear regression model
• scientific article; zbMATH DE number 4111839
• scientific article; zbMATH DE number 718749

Cites work

• Asymptotic properties of nonlinear estimates in stochastic models with finite design space
• Asymptotic properties of nonlinear least squares estimates in stochastic regression models
• Asymptotic theory of nonlinear least squares estimation
• Elemental information matrices and optimal experimental design for generalized regression models
• scientific article; zbMATH DE number 418917 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 194144 (Why is no real title available?)
• scientific article; zbMATH DE number 410131 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• Information in a two-stage adaptive optimal design
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Miscellanea. On sequential designs in nonlinear problems
• One-step ahead adaptive \(D\)-optimal design on a finite design space is asymptotically optimal
• Strong consistency of maximum quasi-likelihood estimators in generalized linear models with fixed and adaptive designs
• The adaptive Wynn algorithm in generalized linear models with univariate response
• The Sequential Generation of D-Optimum Experimental Designs

Cited in

(2)

• The adaptive Wynn algorithm in generalized linear models with univariate response
• A \(p\)-step-ahead sequential adaptive algorithm for D-optimal nonlinear regression design

Describes a project that uses

Uses Software

• R

This page was built for publication: Convergence of least squares estimators in the adaptive Wynn algorithm for some classes of nonlinear regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2230660)