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2021 Bayesian Decision-Theoretic Design of Experiments Under an Alternative Model
Antony Overstall, James McGree
Bayesian Anal. Advance Publication 1-21 (2021). DOI: 10.1214/21-BA1286

Abstract

Traditionally Bayesian decision-theoretic design of experiments proceeds by choosing a design to minimise expectation of a given loss function over the space of all designs. The loss function encapsulates the aim of the experiment, and the expectation is taken with respect to the joint distribution of all unknown quantities implied by the statistical model that will be fitted to observed responses. In this paper, an extended framework is proposed whereby the expectation of the loss is taken with respect to a joint distribution implied by an alternative statistical model. Motivation for this includes promoting robustness, ensuring computational feasibility and for allowing realistic prior specification when deriving a design. To aid in exploring the new framework, an asymptotic approximation to the expected loss under an alternative model is derived, and the properties of different loss functions are established. The framework is then demonstrated on a linear regression versus full-treatment model scenario, on estimating parameters of a non-linear model under model discrepancy and a cubic spline model under an unknown number of basis functions.

Funding Statement

JM was supported by an Australian Research Council Discovery Project (DP200101263).

Acknowledgments

The authors would like to thank the associate editor and two anonymous reviewers for providing comments which led to substantial improvement in the paper. They would also like to thank members of the Design Study Group at the University of Southampton for initial discussions and feedback.

Citation

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Antony Overstall. James McGree. "Bayesian Decision-Theoretic Design of Experiments Under an Alternative Model." Bayesian Anal. Advance Publication 1 - 21, 2021. https://doi.org/10.1214/21-BA1286

Information

Published: 2021
First available in Project Euclid: 24 September 2021

Digital Object Identifier: 10.1214/21-BA1286

JOURNAL ARTICLE
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