We consider the problem of designing experiments for the estimation of a target in regression analysis if there is uncertainty about the parametric form of the regression function. A new optimality criterion is proposed, which minimizes the asymptotic mean squared error of the frequentist model averaging estimate by the choice of an experimental design. Necessary conditions for the optimal solution of a locally and Bayesian optimal design problem are established. The results are illustrated in several examples and it is demonstrated that Bayesian optimal designs can yield a reduction of the mean squared error of the model averaging estimator up to 45%.
In this paper we construct optimal designs for frequentist model averaging estimation. We derive the asymptotic distribution of the model averaging estimate with fixed weights in the case where the competing models are non-nested. A Bayesian optimal design minimizes an expectation of the asymptotic mean squared error of the model averaging estimate calculated with respect to a suitable prior distribution. We derive a necessary condition for the optimality of a given design with respect to this new criterion. We demonstrate that Bayesian optimal designs can improve the accuracy of model averaging substantially. Moreover, the derived designs also improve the accuracy of estimation in a model selected by model selection and model averaging estimates with random weights.
In this paper we construct optimal designs for frequentist model averaging estimation. We derive the asymptotic distribution of the model averaging estimate with fixed weights in the case where the competing models are non-nested and none of these models is correctly specified. A Bayesian optimal design minimizes an expectation of the asymptotic mean squared error of the model averaging estimate calculated with respect to a suitable prior distribution. We derive a necessary condition for the optimality of a given with respect to this new criterion. We demonstrate that Bayesian optimal designs can improve the accuracy of model averaging substantially. Moreover, the derived designs also improve the accuracy of estimation in a model selected by model selection and model averaging estimates with random weights.
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