A geometric characterization of $c$-optimal designs for heteroscedastic regression

Details A geometric characterization of $c$-optimal designs for heteroscedastic regression A geometric characterization of $c$-optimal designs for heteroscedastic regression

2009-11-19

arxiv.org/abs/0911.3801v1

Annals of Statistics 2009, Vol. 37, No. 6B, 4088-4103

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/09-AOS708 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/09-AOS708

We consider the common nonlinear regression model where the variance, as well as the mean, is a parametric function of the explanatory variables. The $c$-optimal design problem is investigated in the case when the parameters of both the mean and the variance function are of interest. A geometric characterization of $c$-optimal designs in this context is presented, which generalizes the classical result of Elfving [Ann. Math. Statist. 23 (1952) 255--262] for $c$-optimal designs. As in Elfving's famous characterization, $c$-optimal designs can be described as representations of boundary points of a convex set. However, in the case where there appear parameters of interest in the variance, the structure of the Elfving set is different. Roughly speaking, the Elfving set corresponding to a heteroscedastic regression model is the convex hull of a set of ellipsoids induced by the underlying model and indexed by the design space. The $c$-optimal designs are characterized as representations of the points where the line in direction of the vector $c$ intersects the boundary of the new Elfving set. The theory is illustrated in several examples including pharmacokinetic models with random effects.

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