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Exact optimal designs for weighted least squares analysis with correlated errors

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  • Dette, Holger
  • Kunert, Joachim

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.

Suggested Citation

  • Dette, Holger & Kunert, Joachim, 2006. "Exact optimal designs for weighted least squares analysis with correlated errors," Technical Reports 2006,04, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200604
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    Cited by:

    1. Mohamad Belouni & Karim Benhenni, 2015. "Optimal and Robust Designs for Estimating the Concentration Curve and the AUC," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(2), pages 453-470, June.

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