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

Author

Listed:
  • Fritjof Freise

    (University of Veterinary Medicine Hannover)

  • Norbert Gaffke

    (University of Magdeburg)

  • Rainer Schwabe

    (University of Magdeburg)

Abstract

The paper continues the authors’ work (Freise et al. The adaptive Wynn-algorithm in generalized linear models with univariate response. arXiv:1907.02708 , 2019) on the adaptive Wynn algorithm in a nonlinear regression model. In the present paper the asymptotics of adaptive least squares estimators under the adaptive Wynn algorithm is studied. Strong consistency and asymptotic normality are derived for two classes of nonlinear models: firstly, for the class of models satisfying a condition of ‘saturated identifiability’, which was introduced by Pronzato (Metrika 71:219–238, 2010); secondly, a class of generalized linear models. Further essential assumptions are compactness of the experimental region and of the parameter space together with some natural continuity assumptions. For asymptotic normality some further smoothness assumptions and asymptotic homoscedasticity of random errors are needed and the true parameter point is required to be an interior point of the parameter space.

Suggested Citation

  • Fritjof Freise & Norbert Gaffke & Rainer Schwabe, 2021. "Convergence of least squares estimators in the adaptive Wynn algorithm for some classes of nonlinear regression models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(6), pages 851-874, August.
    • Handle: RePEc:spr:metrik:v:84:y:2021:i:6:d:10.1007_s00184-020-00803-0
    DOI: 10.1007/s00184-020-00803-0
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    References listed on IDEAS

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    1. Pronzato, Luc, 2009. "Asymptotic properties of nonlinear estimates in stochastic models with finite design space," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2307-2313, November.
    2. Luc Pronzato, 2010. "One-step ahead adaptive D-optimal design on a finite design space is asymptotically optimal," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 219-238, March.
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    Cited by:

    1. Fritjof Freise & Norbert Gaffke & Rainer Schwabe, 2024. "A p-step-ahead sequential adaptive algorithm for D-optimal nonlinear regression design," Statistical Papers, Springer, vol. 65(5), pages 2811-2834, July.

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