Discrimination Designs for Polynomial Regression on Compact Intervals
Dette, Holger
Ann. Statist., Tome 22 (1994) no. 1, p. 890-903 / Harvested from Project Euclid
In the polynomial regression model of degree $m \in \mathbb{N}$ we consider the problem of determining a design for the identification of the correct degree of the underlying regression. We propose a new optimality criterion which minimizes a weighted $p$-mean of the variances of the least squares estimators for the coefficients of $x^l$ in the polynomial regression models of degree $l = 1,\cdots, m$. The theory of canonical moments is used to determine the optimal designs with respect to the proposed criterion. It is shown that the canonical moments of the optimal measure satisfy a (nonlinear) equation and that the support points are given by the zeros of an orthogonal polynomial. An explicit solution is given for the discrimination problem between polynomial regression models of degree $m - 2, m - 1$ and $m$ and the results are used to calculate the discrimination designs in the sense of Atkinson and Cox for polynomial regression models of degree $1,\cdots,m$.
Publié le : 1994-06-14
Classification:  Canonical moments,  discrimination design,  scalar-optimality,  62K05,  62J05
@article{1176325501,
     author = {Dette, Holger},
     title = {Discrimination Designs for Polynomial Regression on Compact Intervals},
     journal = {Ann. Statist.},
     volume = {22},
     number = {1},
     year = {1994},
     pages = { 890-903},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176325501}
}
Dette, Holger. Discrimination Designs for Polynomial Regression on Compact Intervals. Ann. Statist., Tome 22 (1994) no. 1, pp.  890-903. http://gdmltest.u-ga.fr/item/1176325501/