Optimal designs for minimax extrapolation

Speckman developed a minimax linear estimator robust against departures from an assumed model. Some concomitant questions of optimal design are investigated.     

Optimal partially balanced fractional 2 m 1+m 2 factorial designs of resolution IV

Summary This paper investigates some partially balanced fractional 2 ^m ₁+m ₂ factorial designs of resolution IV derived from partially balanced arrays, which permit estimation of the general mean, all main effects, all two-factor interactions within each set of them _k factors (k=1, 2) and some linear combinations of the two-factor interactions between the sets of them _k ones. In addition, optimal designs with respect to the generalized trace criterion defined by Shirakura (1976,Ann. Statist.,4, 723–735) are presented for each pair (m ₁,m ₂) with 2≦m ₁≦m ₂ andm ₁+m ₂≦6, and for values ofN (the number of observations) in a reasonable range. Partially supported in part by Grants 56530009 (C) and 57530010 (C).     

Optimal proportional reinsurance and investment for stochastic factor models

In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend the classical Cramér–Lundberg model introducing a stochastic factor which affects the intensity of the claims arrival process, described by a Cox process, as well as the insurance and reinsurance premia. The financial market is supposed not influenced by the stochastic factor, hence it is independent on the insurance market. Using the classical stochastic control approach based on the Hamilton–Jacobi–Bellman equation we characterize the optimal strategy and provide a verification result for the value function via classical solutions to two backward partial differential equations. Existence and uniqueness of these solutions are discussed. Results under various premium calculation principles are illustrated and a new premium calculation rule is proposed in order to get more realistic strategies and to better fit our stochastic factor model. Finally, numerical simulations are performed to obtain sensitivity analyses.     

On the enumeration of certain weighted graphs

We enumerate weighted simple graphs with a natural upper bound condition on the sum of the weight of adjacent vertices. We also compute the generating function of the numbers of these graphs, and prove that it is a rational function. In particular, we show that the generating function for connected bipartite simple graphs is of the form p₁(x)/(1-x)^m+1. For nonbipartite simple graphs, we get a generating function of the form p₂(x)/(1-x)^m+1(1+x)^l. Here m is the number of vertices of the graph, p₁(x) is a symmetric polynomial of degree at most m, p₂(x) is a polynomial of degree at most m+l, and l is a nonnegative integer. In addition, we give computational results for various graphs.     

Constrained optimal discrimination designs for Fourier regression models

In this article, the problem of constructing efficient discrimination designs in a Fourier regression model is considered. We propose designs which maximize the power of the F-test, which discriminates between the two highest order models, subject to the constraints that the tests that discriminate between lower order models have at least some given relative power. A complete solution is presented in terms of the canonical moments of the optimal designs, and for the special case of equal constraints even more specific formulae are available.     

Optimal and efficient designs for Gompertz regression models

Gompertz functions have been widely used in characterizing biological growth curves. In this paper we consider D-optimal designs for Gompertz regression models. For homoscedastic Gompertz regression models with two or three parameters, we prove that D-optimal designs are minimally supported. Considering that minimally supported designs might not be applicable in practice, alternative designs are proposed. Using the D-optimal designs as benchmark designs, these alternative designs are found to be efficient in general.     

Asymptotic existence theorems for frames and group divisible designs

In this paper, we establish an asymptotic existence theorem for group divisible designs of type mn with block sizes in any given set K of integers greater than 1. As consequences, we will prove an asymptotic existence theorem for frames and derive a partial asymptotic existence theorem for resolvable group divisible designs.     

On exact D-optimal designs for regression models with correlated observations

Let ^* be an exact D-optimal design for a given regression model Y = X + Z . In this paper sufficient conditions are given for sesigning how the covariance matrix of Z may be changed so that not only ^* remains D-optimal but also that the best linear unbiased estimator (BLUE) of stays fixed for the design ^*, although the covariance matrix of Z * is changed. Hence under these conditions a best, according to D-optimality, BLUE of is known for the model with the changed covariance matrix. The results may also be considered as determination of exact D-optimal designs for regression models with special correlated observations where the covariance matrices are not fully known. Various examples are given, especially for regression with intercept term, polynomial regression, and straight-line regression. A real example in electrocardiography is treated shortly.     

Polynomial techniques for investigation of spherical designs

We investigate the structure of spherical τ-designs by applying polynomial techniques for investigation of some inner products of such designs. Our approach can be used for large variety of parameters (dimension, cardinality, strength). We obtain new upper bounds for the largest inner product, lower bounds for the smallest inner product and some other bounds. Applications are shown for proving nonexistence results either in small dimensions and in certain asymptotic process. In particular, we complete the classification of the cardinalities for which 3-designs on exist for n = 8, 13, 14 and 18. We also obtain new asymptotic lower bound on the minimum possible odd cardinality of 3-designs.      

Structure and automorphism groups of Hadamard designs

Let n be the order of a Hadamard design, and G any finite group. Then there exists many non-isomorphic Hadamard designs of order 2^{12|G| + 13} n with automorphism group isomorphic to G.This research was supported in part by the National Science Foundation.     

Optimal designs for estimating the coefficients of the lower frequencies in trigonometric regression models

In the common Fourier regression model we determine the optimal designs for estimating the coefficients corresponding to the lower frequencies. An analytical solution is provided which is found by an alternative characterization of c-optimal designs. Several examples are provided and the performance of the D-optimal design with respect to the estimation of the lower order coefficients is investigated. The results give a complete answer to an open question which was recently raised in the literature.     

The condition numbers for weighted Moore-Penrose inverse and weighted linear least squares problem

Condition numbers play an important role in numerical analysis. Classical normise condition numbers are used to measure the size of both input perturbations and output errors. In this paper, we study the weighted normwise relative condition numbers for the weighted Moore-Penrose inverse and the weighted linear least-squares (WLS) problems in the case of the full-column rank matrix. The bounds or formulas for the weighted condition numbers are presented. The obtained results can be viewed as extensions of the earlier works studied by others.     

Decomposing triples into cyclic designs

Motivated by constructing cyclic simple designs, we consider how to decomposing all the triples of Z_v into cyclic triple systems. Furthermore, we define a large set of cyclic triple systems to be a decomposition of triples of Z_v into indecomposable cyclic designs. Constructions of decompositions and large sets are given. Some infinite classes of decompositions and large sets are obtained. Large sets of small v with odd v<97 are also given. As an application, the results are used to construct cyclic simple triple systems.