Extended Information Matrices for Optimal Designs when the Observations are Correlated II

Andrej Pazman, Werner Müller

Publikation: Working/Discussion PaperWU Working Paper


Regression models with correlated errors lead to nonadditivity of the information matrix. This makes the usual approach of design optimization (approximation with a continuous design, application of an equivalence theorem, numerical calculations by a gradient algorithm) impossible. A method is presented that allows the construction of a gradient algorithm by altering the information matrices through adding of supplementary noise. A heuristic is formulated to circumvent the nonconvexity problem and the method is applied to typical examples from the literature. (author's abstract)
HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 1996


NameForschungsberichte / Institut für Statistik

WU Working Paper Reihe

  • Forschungsberichte / Institut für Statistik

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