Abstract
Optimum designs for parameter estimation in generalized regression models are usually based on the Fisher information matrix (cf. Atkinson et al. (J Stat Plan Inference 144:81–91, 2014) for a recent exposition). The corresponding optimality criteria are related to the asymptotic properties of maximum likelihood (ML) estimators in such models. However, in finite sample experiments there can be problems with identifiability, stability and uniqueness of the ML estimate, which are not reflected by information matrices. In Pázman and Pronzato (Ann Stat 42:1426–1451, 2014) and in Chap. 7 of Pronzato and Pázman (Design of Experiments in Nonlinear Models. Asymptotic Normality, Optimality Criteria and Small-Sample Properties. Springer, New York, 2013) is discussed how to solve some of these estimability issues at the design stage of an experiment in standard nonlinear regression. Here we want to extend this design methodology to more general models based on exponential families of distributions (binomial, Poisson, normal with parametrized variances, etc.). The main tool is the information (or Kullback-Leibler) divergence, which is closely related to ML estimation.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Atkinson, A.C., Fedorov, V.V., Herzberg, A.M., Zhang, R.: Elemental information matrices and optimal experimental design for generalized regression models. J. Stat. Plan. Inference 144, 81–91 (2014)
Brown, L.D.: Fundamentals of Statistical Exponential Families with Applications in Statistical Decision Theory. IMS Lecture Notes—Monograph Series, vol. 9. Institute of Mathematical Statistics, Hayward (1986)
Efron, B.: The geometry of exponential families. Ann. Stat. 6, 362–376 (1978)
Kullback, S.: Information Theory and Statistics. Dover Publications, Mineola, N.Y. (1997)
López-Fidalgo, J., Tommasi, C., Trandafir, P.C.: An optimal experimental design criterion for discriminating between non-normal models. J. R. Stat. Soc. B. 69, 231–242 (2007)
Pázman, A., Pronzato, L.: Optimum design accounting for the global nonlinear behavior of the model. Ann. Stat. 42, 1426–1451 (2014)
Pronzato, L., Pázman, A.: Design of Experiments in Nonlinear Models. Asymptotic Normality, Optimality Criteria and Small-Sample Properties. Springer, New York (2013)
Acknowledgements
The authors thank Slovak Grant Agency VEGA, Grant No. 1/0163/13, for financial support.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this paper
Cite this paper
Burclová, K., Pázman, A. (2016). Optimum Design via I-Divergence for Stable Estimation in Generalized Regression Models. In: Kunert, J., Müller, C., Atkinson, A. (eds) mODa 11 - Advances in Model-Oriented Design and Analysis. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-31266-8_7
Download citation
DOI: https://doi.org/10.1007/978-3-319-31266-8_7
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-31264-4
Online ISBN: 978-3-319-31266-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)