Work

Exact optimal designs for weighted least squares analysis with correlated errors

Year: 2006

Type: preprint

Abstract: 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. AMS Subject Classification: 62K05

Source: RePEc: Research Papers in Economics

DOI: 10.17877/de290r-1944

Authors: Dette, Holger, Kunert, Joachim, Pepelyshev, Andrey

Institution: Ruhr University Bochum

Language: English

Topic: Optimal Experimental Design Methods

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funder: Deutsche Forschungsgemeinschaft

Award: G312878881