A Weighted Least Squares Approach to Computer Simulation Factor Screening

In this paper, we develop a weighted least squares (WLS) approach to computer simulation factor screening. Like frequency domain methodology (FDM), the regression analysis is performed in the frequency domain. However, unlike FDM, where unknown nuisance parameters are eliminated by cancellation in a ratio statistic, the WLS procedure is designed to estimate these parameters (the WLS weights) and incorporate this information into the regression analysis. We propose and compare one- and two-run approaches for estimating the weights in the WLS approach.