Robust optimal designs using a model misspecification term

Renata Eirini Tsirpitzi (), Frank Miller and Carl-Fredrik Burman
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Renata Eirini Tsirpitzi: Stockholm University
Frank Miller: Stockholm University
Carl-Fredrik Burman: AstraZeneca

Metrika: International Journal for Theoretical and Applied Statistics, 2023, vol. 86, issue 7, No 3, 804 pages

Abstract: Abstract Much of classical optimal design theory relies on specifying a model with only a small number of parameters. In many applications, such models will give reasonable approximations. However, they will often be found not to be entirely correct when enough data are at hand. A property of classical optimal design methodology is that the amount of data does not influence the design when a fixed model is used. However, it is reasonable that a low dimensional model is satisfactory only if limited data is available. With more data available, more aspects of the underlying relationship can be assessed. We consider a simple model that is not thought to be fully correct. The model misspecification, that is, the difference between the true mean and the simple model, is explicitly modeled with a stochastic process. This gives a unified approach to handle situations with both limited and rich data. Our objective is to estimate the combined model, which is the sum of the simple model and the assumed misspecification process. In our situation, the low-dimensional model can be viewed as a fixed effect and the misspecification term as a random effect in a mixed-effects model. Our aim is to predict within this model. We describe how we minimize the prediction error using an optimal design. We compute optimal designs for the full model in different cases. The results confirm that the optimal design depends strongly on the sample size. In low-information situations, traditional optimal designs for models with a small number of parameters are sufficient, while the inclusion of the misspecification term lead to very different designs in data-rich cases.

Keywords: Fedorov algorithm; Gaussian process; Mixed-effects model; Optimal experimental design; Statistical modelling (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00184-023-00893-6

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