Optimum experimental designs for dynamic systems in the presence of correlated errors

Authors:
Maciej Patan;Barbara Bogacka
Affiliations:
Institute of Control and Computation Engineering, University of Zielona Góra, ul. Podgórna 50, 65-246 Zielona Góra, Poland;School of Mathematical Sciences, Queen Mary, University of London, UK
Venue:
Computational Statistics & Data Analysis
Year:
2007

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Abstract

The problem of determining an optimal measurement time schedule for identification of unknown parameters in multiresponse systems when correlations between observations occur is considered. The measurement process is performed by collecting data at discrete time instants from several outputs. An observation plan is proposed based on a scalar measure of the Fisher information matrix as the design criterion quantifying the accuracy of parameter estimators. A numerical procedure is proposed to determine approximations of optimum designs in the case of correlated measurement errors. The approach is illustrated with an example of the multi-output system of equations describing a chemical kinetic reaction.