A study on robustness in the optimal design of experiments for copula models

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Abstract

Copulas are a very flexible tool to highlight structural properties of the design for a wide range of dependence structures. In this work we introduce a procedure for checking the robustness of the D-optimal design with respect to slight changes of the marginal distributions in the case of copula models. To this end, we first provide a clear insight for the concept of “robustness” in our domain. Then, we define a stepwise method for the investigation of the design robustness. Finally, by reporting an example focused on comparison between the use of logistic margins and Gaussian margins, we put the usefulness of the analysis up.

Original languageEnglish
Title of host publicationStochastic Models, Statistics and Their Applications, 2015
EditorsEwaryst Rafajłowicz, Krzysztof Szajowski, Ansgar Steland
PublisherSpringer
Pages335-342
Number of pages8
ISBN (Electronic)9783319138800
DOIs
Publication statusPublished - 2015
Event12th Workshop on Stochastic Models, Statistics and their Applications, 2015 - Wrocław, Poland
Duration: 16 Feb 201520 Feb 2015

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume122
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Conference12th Workshop on Stochastic Models, Statistics and their Applications, 2015
CountryPoland
CityWrocław
Period16/02/1520/02/15

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