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November 2009 Asymptotic optimal designs under long-range dependence error structure
Holger Dette, Nikolai Leonenko, Andrey Pepelyshev, Anatoly Zhigljavsky
Bernoulli 15(4): 1036-1056 (November 2009). DOI: 10.3150/09-BEJ185


We discuss the optimal design problem in regression models with long-range dependence error structure. Asymptotic optimal designs are derived and it is demonstrated that these designs depend only indirectly on the correlation function. Several examples are investigated to illustrate the theory. Finally, the optimal designs are compared with asymptotic optimal designs which were derived by Bickel and Herzberg [Ann. Statist. 7 (1979) 77–95] for regression models with short-range dependent error.


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Holger Dette. Nikolai Leonenko. Andrey Pepelyshev. Anatoly Zhigljavsky. "Asymptotic optimal designs under long-range dependence error structure." Bernoulli 15 (4) 1036 - 1056, November 2009.


Published: November 2009
First available in Project Euclid: 8 January 2010

zbMATH: 1200.62084
MathSciNet: MR2597582
Digital Object Identifier: 10.3150/09-BEJ185

Keywords: asymptotic optimal designs , Linear regression , long-range dependence

Rights: Copyright © 2009 Bernoulli Society for Mathematical Statistics and Probability


Vol.15 • No. 4 • November 2009
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