Optimal designs in regression with correlated errors

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

A. Zhigljavsky, Holger Dette, Andrey Pepelyshev

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

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 (27)

• Robust optimal designs using a model misspecification term
• Title not available (Why is that?)
• Optimality of type I orthogonal arrays for cross-over models with correlated errors
• D-optimal designs for complex Ornstein-Uhlenbeck processes
• Minimax D-optimal designs for multivariate regression models with multi-factors
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• Title not available (Why is that?)
• K-optimal designs for parameters of shifted Ornstein-Uhlenbeck processes and sheets
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• Optimum experimental designs for dynamic systems in the presence of correlated errors
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• On optimal designs for nonregular models
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• Trapezoidal rule and sampling designs for the nonparametric estimation of the regression function in models with correlated errors
• Optimal designs for linear models with Fredholm-type errors

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