Optimal designs for frequentist model averaging

Loading...
Thumbnail Image

Date

2018

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

We consider the problem of designing experiments for the estimation of a target in regression analysis if there is uncertainty about the parametric form of the regression function. A new optimality criterion is proposed, which minimizes the asymptotic mean squared error of the frequentist model averaging estimate by the choice of an experimental design. Necessary conditions for the optimal solution of a locally and Bayesian optimal design problem are established. The results are illustrated in several examples and it is demonstrated that Bayesian optimal designs can yield a reduction of the mean squared error of the model averaging estimator up to 45%.

Description

Table of contents

Keywords

model selection, Bayesian optimal designs, optimal design, model uncertainty, local misspecification, model averaging

Citation