Equidistant and D-optimal designs for parameters of Ornstein-Uhlenbeck process

Jozef Kiselák and Milan Stehlík

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1388-1396

Abstract: In the present paper we provide a thorough study of small sample and asymptotical comparisons of the efficiencies of equidistant designs taking into account both the parameters of trend [theta], as well as the parameters of covariance function r of the Ornstein-Uhlenbeck process. If only trend parameters are of interest, the designs covering more-or-less uniformly the whole design space are rather efficient. However significant difference between infill asymptotics for trend parameter and covariance parameter is observed. We are proving that the n-point equidistant design for parameter [theta] is D-optimal.

Date: 2008
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