A Note on Optimal and Asymptotically Optimal Designs for Certain Time Series Models

Abstract

The problem of regression design in the presence of correlated errors is considered. Under the assumption that derivative information is available on the response process, uniqueness results for optimal designs given in Eubank, Smith and Smith (1981) for the BLUE of the regression coefficient are extended to a wider class of processes. In the event that derivatives cannot be sampled, an asymptotic solution is developed and extended to the multiparameter setting.