Robust designs for series estimation

  • Authors:
  • Holger Dette;Douglas P. Wiens

  • Affiliations:
  • Ruhr-Universität Bochum, Fakultät für Mathematik, 44780 Bochum, Germany;Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2008

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Abstract

We discuss optimal design problems for a popular method of series estimation in regression problems. Commonly used design criteria are based on the generalized variance of the estimates of the coefficients in a truncated series expansion and do not take possible bias into account. We present a general perspective of constructing robust and efficient designs for series estimators which is based on the integrated mean squared error criterion. A minimax approach is used to derive designs which are robust with respect to deviations caused by the bias and the possibility of heteroscedasticity. A special case results from the imposition of an unbiasedness constraint; the resulting ''unbiased designs'' are particularly simple, and easily implemented. Our results are illustrated by constructing robust designs for series estimation with spherical harmonic descriptors, Zernike polynomials and Chebyshev polynomials.