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Exact optimal designs for weighted least squares analysis with correlated errors

Dette, Holger, Kunert, Joachim and Pepelyshev, Andrey 2008. Exact optimal designs for weighted least squares analysis with correlated errors. Statistica Sinica 18 (1) , pp. 135-154.

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In the common linear and quadratic regression model with an autoregressive error structure exact $D$-optimal designs for weighted least squares analysis are determined. It is demonstrated that for highly correlated observations the $D$-optimal design is close to the equally spaced design. Moreover, the equally spaced design is usually very efficient, even for moderate sizes of the correlation, while the $D$-optimal design obtained under the assumptions of independent observations yields a substantial loss in efficiency. We also consider the problem of designing experiments for weighted least squares estimation of the slope in a linear regression and compare the exact $D$-optimal designs for weighted and ordinary least squares analysis.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Autoregressive errors; linear regression; quadratic regression; exact D-optimal designs; estimation of the slope; generalized MANOVA
Publisher: Academia Sinica, Institute of Statistical Science
ISSN: 1017-0405
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Last Modified: 15 Jun 2017 08:41

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