Optimal designs for regression models with autoregressive errors structure
| dc.contributor.author | Dette, Holger | |
| dc.contributor.author | Pepelyshev, Andrey | |
| dc.contributor.author | Zhigljavsky, Anatoly | |
| dc.date.accessioned | 2016-02-15T12:56:47Z | |
| dc.date.available | 2016-02-15T12:56:47Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | In the one-parameter regression model with AR(1) and AR(2) errors we find explicit expressions and a continuous approximation of the optimal discrete design for the signed least square estimator. The results are used to derive the optimal variance of the best linear estimator in the continuous time model and to construct efficient estimators and corresponding optimal designs for finite samples. The resulting procedure (estimator and design) provides nearly the same efficiency as the weighted least squares and its variance is close to the optimal variance in the continuous time model. The results are illustrated by several examples demonstrating the feasibility of our approach. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/34512 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16565 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;10/2016 | en |
| dc.subject | linear regression | en |
| dc.subject | continuous autoregressive model | en |
| dc.subject | AR processes | en |
| dc.subject | BLUE | en |
| dc.subject | optimal design | en |
| dc.subject | signed measures | en |
| dc.subject | correlated observations | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Optimal designs for regression models with autoregressive errors structure | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- DP_1016_SFB823_Dette_Pepelyshev_Zhigljavsky.pdf
- Size:
- 307.34 KB
- Format:
- Adobe Portable Document Format
- Description:
- DNB
License bundle
1 - 1 of 1
No Thumbnail Available
- Name:
- license.txt
- Size:
- 3.12 KB
- Format:
- Item-specific license agreed upon to submission
- Description: