Optimal designs in regression with correlated errors

DOI10.1214/15-AOS1361zbMATH Open1338.62161arXiv1501.01774OpenAlexW2141057768WikidataQ37021648 ScholiaQ37021648MaRDI QIDQ5963518FDOQ5963518

Authors: Holger Dette, Andrey Pepelyshev, A. Zhigljavsky 

Publication date: 22 February 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper discusses the problem of determining optimal designs for regression models, when the observations are dependent and taken on an interval. A complete solution of this challenging optimal design problem is given for a broad class of regression models and covariance kernels. We propose a class of estimators which are only slightly more complicated than the ordinary least-squares estimators. We then demonstrate that we can design the experiments, such that asymptotically the new estimators achieve the same precision as the best linear unbiased estimator computed for the whole trajectory of the process. As a by-product we derive explicit expressions for the BLUE in the continuous time model and analytic expressions for the optimal designs in a wide class of regression models. We also demonstrate that for a finite number of observations the precision of the proposed procedure, which includes the estimator and design, is very close to the best achievable. The results are illustrated on a few numerical examples.

Full work available at URL: https://arxiv.org/abs/1501.01774

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zbMATH Keywords

Gaussian processesoptimal designlinear regressionBLUEcorrelated observationssigned measuresDoob representation

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Integral representations, integral operators, integral equations methods in two dimensions (31A10)

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Cited In (38)

• Robust optimal designs using a model misspecification term
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• Optimality of type I orthogonal arrays for cross-over models with correlated errors
• Asymptotic optimal designs under long-range dependence error structure
• D-optimal designs for complex Ornstein-Uhlenbeck processes
• Minimax D-optimal designs for multivariate regression models with multi-factors
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• A new approach to optimal designs for correlated observations
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• On optimal designs for nonregular models
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• Optimal designs for some stochastic processes whose covariance is a function of the mean
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