An Adaptive Sequential Design for Model Discrimination and Parameter Estimation in Non-Linear Nested Models

The DKL-optimality criterion has been recently proposed for the dual problem of model discrimination and parameter estimation, for the case of two rival models. A sequential version of the DKL-optimality criterion is herein proposed in order to discriminate and efficiently estimate more than two nested non-linear models. Our sequential method is inspired by the procedure of Biswas and Chaudhuri (2002), which is however useful only in the set up of nested linear models.