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Dette, Holger
Holland-Letz, Tim
Year of Publication: 
Series/Report no.: 
Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2008,26
We consider the common nonlinear regression model where the variance as well as the mean is a parametric function of the explanatory variables. The c-optimal design problem is investigated in the case when the parameters of both the mean and the variance function are of interest. A geometric characterization of c-optimal designs in this context is presented, which generalizes the classical result of Elfving (1952) for c-optimal designs. As in Elfving's famous characterization c-optimal designs can be described as representations of boundary points of a convex set. However, in the case where there appear parameters of interest in the variance, the structure of the Elfving set is different. Roughly speaking the Elfving set corresponding to a heteroscedastic regression model is the convex hull of a set of ellipsoids induced by the underlying model and indexed by the design space. The c-optimal designs are characterized as representations of the points where the line in direction of the vector c intersects the boundary of the new Elfving set. The theory is illustrated in several examples including pharmacokinetic models with random effects.
c-optimal design
heteroscedastic regression
Elfving's theorem
pharmacokinetic models
random effects
locally optimal design
geometric characterization
Document Type: 
Working Paper

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