Extended Information Matrices for Optimal Designs when the Observations are Correlated

Andrej Pazman, Werner Müller

Publication: Working/Discussion PaperWU Working Paper

Abstract

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)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
Publication statusPublished - 1996

Publication series

NameForschungsberichte / Institut für Statistik
No.53

WU Working Paper Series

  • Forschungsberichte / Institut für Statistik

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