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Optimal designs for parameters of shifted Ornstein–Uhlenbeck sheets measured on monotonic sets

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  • Baran, S.
  • Stehlík, M.

Abstract

Measurement on sets with a specific geometric shape can be of interest for many important applications (e.g., measurement along the isotherms in structural engineering). The properties of optimal designs for estimating the parameters of shifted Ornstein–Uhlenbeck sheets are investigated when the processes are observed on monotonic sets. For Ornstein–Uhlenbeck sheets monotonic sets relate well to the notion of non-reversibility. Substantial differences are demonstrated between the cases when one is interested only in trend parameters and when the whole parameter set is of interest. The theoretical results are illustrated by simulated examples from the field of structure engineering. From the design point of view the most interesting finding of the paper is the possible loss of efficiency of the regular grid design compared to the optimal monotonic design.

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  • Baran, S. & Stehlík, M., 2015. "Optimal designs for parameters of shifted Ornstein–Uhlenbeck sheets measured on monotonic sets," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 114-124.
    • Handle: RePEc:eee:stapro:v:99:y:2015:i:c:p:114-124
    DOI: 10.1016/j.spl.2015.01.006
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    References listed on IDEAS

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    1. Kiselák, Jozef & Stehlík, Milan, 2008. "Equidistant and D-optimal designs for parameters of Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1388-1396, September.
    2. Baran, Sándor & Sikolya, Kinga & Stehlík, Milan, 2013. "On the optimal designs for the prediction of Ornstein–Uhlenbeck sheets," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1580-1587.
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    Cited by:

    1. Singh, Rakhi & Mukhopadhyay, Siuli, 2019. "Exact Bayesian designs for count time series," Computational Statistics & Data Analysis, Elsevier, vol. 134(C), pages 157-170.

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