American Society for Quality

Analyzing Dispersion Effects from Replicated Factorial Experiments

Author(s): Vijayan N. Nair and Daryl Pregibon
Source: Technometrics, Vol. 30, No. 3 (Aug., 1988), pp. 247-257
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American
Society for Quality
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? 1988 AmericanStatisticalAssociation and
the AmericanSociety forQualityControl
TECHNOMETRICS, AUGUST 1988, VOL. 30, NO. 3

AnalyzingDispersion EffectsFrom
Replicated FactorialExperiments
Vijayan N. Nair and Daryl Pregibon

AT&T Bell Laboratories

Murray Hill, NJ 07974

Recentdevelopmentsin qualityengineering methodshave led to considerableinterestin the

analysisof dispersioneffectsfromdesignedexperiments. A commonlyused methodforidenti-
fyingimportantdispersioneffects fromreplicatedexperiments is based on least squares analy-
sis of the logarithmof the within-replicationvariance(Bartlettand Kendall 1946). Box and
Meyer (1986) introduceda pooling techniquefor unreplicatedtwo-levelexperiments.We
extendthis to replicatedtwo-levelexperimentsand compare its performance withthe least
squares analysis.We show that both of these methodscan be obtained as special cases of
maximumlikelihood estimationunder normal theory.The pooling techniqueis generally
biased and is not recommendedformodel identification. The least squares analysisperforms
well as a model identificationtool, but the estimatorscan be inefficient.In such cases we
recommendthat the parametersof the identifiedsubmodelbe estimatedby maximumlikeli-
hood. We derivesome propertiesof the maximumlikelihoodestimatorin balanced designs.
An experiment fortherobustdesignofleafspringsfortrucksis usedto illustratetheresults.

KEY WORDS: Efficiency;

Least squares; Maximumlikelihood;Model identification;
Quali-
tyimprovement; Robustdesign.

1. INTRODUCTION ments with replications. Specifically, we consider

interestin scale parametershas been
Traditionally,
restrictedto testinghypothesesabout equality of
variances,while primaryattentionhas focused on
means or location parameters(e.g., Bartlett1937).
Cook and Weisberg(1983),McCullagh and Pregibon
(1987), and othershave consideredthe testingprob-
lem in the presenceof some additionalstructureon
the variances.Recently,therehas been considerable
interest in thestructural
modelingofvariancesand in
the estimationof dispersioneffects,the parameters
associated with the structuralmodels (see Aitken
1987; Efron 1986; Smyth1985). New developments
in quality engineeringmethods have also led to a
renewedinterestin the analysisof dispersioneffects.
As Taguchi (1986) demonstratedconvincingly,re-
ducing variabilityis an integralpart of improving
quality.In robustdesign(Taguchi 1986),experimen-
tation is used to determinethe factorlevels so that
the productor productionprocess is insensitiveto
potentialvariationsin operating,environmental, and
market conditions. For statisticalformulationof
robust design and discussion of related issues, see
Box and Meyer(1986), Nair (1986), Nair and Pregi-
bon (1986a), Leon, Shoemaker,and Kacker (1987),
and Box (1988).
In the presentarticle,we considerthe analysisof
dispersion effectsfrom two-levelfactorial experi-
responses Yj (i = 1, ..., N; j = 1, ..., J) fromJ repli-
cations of an N = 2K (fractional) factorial experi-
ment. Suppose that the data follow, perhaps after
transformation,a location-scale model
Yij= i + vi ij , i= 1...,N, j= 1,...,J,
(1.1)
wherethe si are iid withzero mean and unit vari-
ance. A structuralmodel relatesthe means,,i, and
variances,a2, to the locationeffects,
flk, and disper-
sion effects,
yk, via
g(p) = Ap, h(a2) = Ay, (1.2)
where A = [a1 .. IaN] denotes the N x N orthog-
onal array associated with a 2K factorial design with
its columns in Yates order. Thus the firstcolumn is a
column of + Is, whereas the remaining columns con-
sist of + ls and - s representing the usual main
effectsand interactions. The notation ai will be used
to denote the ith row of A.
In practice, the link functions g(.) and h(-) are un-
known and have to be either specified or estimated
from the data. The choice of g(-) is unimportant for
our purposes, since we assume that the means are
known, or more realistically, that the within-
replication averages, 1i, are used as estimates. For
the variances, we will assume the log link function.In

247

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248 VIJAYAN N. NAIR AND DARYL PREGIBON
Section6 we discussmethodsof testingtheadequacy
of this assumptionas well as otheralternativelink
functions.
For inferenceabout the dispersioneffects,
we use
thesum ofsquareddeviations
J estimatingdispersioneffects.We reiteratethat the
= E (y _ pi)2? i=,...N, (1.3)
where pi denotes either the known mean or the
average IY. In eithercase the Zi's
within-replication
are independent.The log linkfunctionfor<a implies
thelog-linearmodel
log Z = Ay + u, (1.4)
whereui are iid random variables.In this case, the
logarithmictransformation induces both additivity
and variancestabilization.
We compare the performanceof three different
methodsforanalyzingthedispersioneffects. Method
S is based on the least squares analysisof the loga-
rithmof theZi's (Bartlettand Kendall 1946).Method
R is based on a poolingtechniqueintroducedby Box
and Meyer (1986) for unreplicatedexperiments. We
extendit in an obvious way to situationswithrepli-
cations. Both of these methods are intended for
model identification, and do not depend,at least ex-
plicitly,on any distributionalassumptions.Method
M is maximumlikelihoodestimationof y underthe
assumptionthat the errors ij in (1.1) are iid N(0, 1)
and some known set of entriesof y are all 0. The
normalityassumptionimpliesthattheui's in (1.4) are
iid log Z2 random variables with v equal to J or
J - I dependingon whetherthemeansare knownor
estimatedby FY.Method M can be used forefficient
estimationof the parametersof an identifiedsub-
modelof(1.4).
The articleis organizedas follows.The threemeth-
ods are definedin Section2. We investigatethe per-
formanceof model identification proceduresbased
on the firsttwo methodsin Section3. We show that
Method R is generallybiased and obtain conditions
under which it is unbiased. A limited simulation
studyis used to comparethe bias and power behav-
ior of the two methods.In Section4, we compareall
threemethodsin termsof estimation.Some relation-
ships betweenthe threeestimatorsare obtained. In
particular,it is shown that Methods S and R can be
obtainedas specialcases of Method M. The balanced
natureof factorialdesignsis used to show thatmaxi-
mum likelihoodestimatorsof the dispersioneffects
are unbiased.The need forreestimating the parame-
tersof an identifiedsubmodelis addressedby com-
paringthe efficiency of the threemethods.The tech-
niques are illustratedon data froman experiment for
the robust design of leaf springs(Pignatiello and
Ramberg 1985) in Section 5. Robustnessissues are
TECHNOMETRICS, AUGUST 1988, VOL. 30, NO. 3
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addressedin Section 6. The finalsectioncontainsa
summaryand concludingremarks.
2. THE METHODS
In thissection,we introducethethreemethodsfor
firsttwo methods are intendedfor model identifi-
cation.Throughout,we are interested onlyin disper-
sion effectsYk for k >2 2; the constanttermy7 is a
nuisanceparameter.
2.1 Method S
Bartlett and Kendall (1946) proposed a least
squares analysisof the log Zi's in (1.4) as a means of
estimatingthe dispersioneffects{Yk}. In the 2K fac-
torialdesign,theirestimatorscan be writtenas
=N -1( E log Zi- E log Z, k= 2,...,N,
S(k +) S(k-)
(2.1)
where S(k +) = {i: aik = + 1} and S(k-) = {i: aik =
-1}. In Section 4 we show that yk is the maximum
likelihoodestimator(MLE) of Yk whenthe structural
model in (1.4) is saturated. This result does not
dependon thedistribution of theui's.We denotethis
estimatorby a superscript
S (forsaturated).
2.2 Method R
Box and Meyer(1986) proposeda methodforesti-
matingdispersioneffectsfromunreplicatedexperi-
mentsunder the assumptionof effectsparsity-that
is, when only a small proportionof the effectsare
large in relation to the noise. Using a structural
model for the means {i}j, theyfirstestimatedand
removedthe importantlocation effectsI/k,yielding
squared deviations Z1 = (Y - i2)2. They then pooled
the square deviationsacross the high (+) and low
(-) levelsof ak and took the logarithmof the ratios.
We extendtheiridea to thecase withreplicationsby
simplyusingZi definedby (1.3) ratherthan2i, yield-
ingtheestimators
s
y =1 (logE Zi -log Z,) k=2,...,N.
S(k+) S(k-) /
(2.2)
In Section4 we show thatjy is the MLE of Yk when
the structuralmodel in (1.4) is restricted
so that the
only nonzerodispersioneffectis yk, and the ui's are
iid log X2 random variables. We denote this esti-
matorby a superscriptR (forrestricted).
2.3 Method M
Let T = {1}u{ k, ..., kp_1} be a subset of the
integers {1, 2, ..., N} of dimension p. Let To denote
 DISPERSION EFFECTS FROM FACTORIAL EXPERIMENTS 249

thecomplementof T withdimensionN - p. Assume and obtain conditionsunder which it is unbiased.

that the ui's in (1.4) are iid log X2randomvariables, The bias and powerbehaviorof thetwo methodsare
and consider maximumlikelihood estimationof y comparedthrougha limitedsimulationstudy.
underthehypothesis
3.1 Bias
HO k= keTo. (2.3)
It can be shown directlyfrom(2.1) that the esti-
For notationalsimplicity, we will continueto use y mator skis distributedsymmetrically about Yk for
to denote the parametervalue under the structural k = 2, ..., N, and henceis unbiased.The estimatory^
model (2.3). It should be clear fromthe contextthat is biased in general.To see this,considerthe general
yk = 0 forke To. The same commentapplies to the 2K experiment and suppose Yk = 0 fork > 4. Let ui,
maximumlikelihoodestimator/y. u2, u3, and u4 be iid randomvariablesobtainedfrom
Under the hypothesis(2.3), the log-likelihoodof y, theui'sin (1.4) as follows:
up to constantterms,is
N N
1 = log I ei,I u2 = log E e'"
S(3 -,4+) S(3 -,4-)
v E (log Zi- a;y)- I e- "Zi. (2.4)
i=1 i=1 U3 = log E e, U4 = log E e"i,
S(3 +,4 -) S(3 + 4 +)
The likelihoodequationsare
where S(k1?, k2_?) ={i: aki = ?1, aik2 = ?1}.
Then 72 can be written
as
e- ZYZZi=
e E
e-'( 2, zi, keT-{1}. (2.5)
S(k -) S(k +)
- - + Y3 +
1 e-2 74-
73Y3 e 4.
In generalthe solutionto theseequationscannot be ~' y4+ e +y3+y4
72 + 1
=
72 = 72 +
2 log - 3 + y4 + 4
obtained explicitly,and numericalmethodsare re- el + e3+y3 . (3.1)
quired.The GLIM System(Baker and Nelder 1978)
The expectedvalue of the termin bracketsequals 0
uses Fisher'sscoringmethodto solve the likelihood
iff73 or 74 is equal to 0. If Y741is large, E(y2R)% 72
the MLE's can be ex-
equations (2.5). Alternatively,
+73; if 3 = ?7 ? 0, E(72) 72 ? 73 ? constant.
pressedas
To illustratetheextentof the bias throughan exam-
1-( ple,considera 24 experiment withui'ssimulatedfrom
;k= 2 log E exp -Kaijj
a Z a log x2 distribution.Since 7k= 0 for k > 4, this is
_ S(k+) j)k
equivalent to a 22 experimentwith ti's simulated
-log E exp(- ,aij7) Zi keT-{1}. (2.6) froma log x2 distribution. Substituting thesimulated
S(k-) jxk _ values i = (1.229, 2.128, 1.730, .714) in (3.1) yields
This suggeststhefollowingsimpleiterativealgorithm 7- 72 =-*.07 when 73 = 74 = 0. When 73
=
74
=

forcomputingtheMLE's. 2, thisdifferenceis 1.70; and when 73 = 2 and 74 =

Initializeoverk: yold)=
Loop over k: f,ew) =
k) + 2 (log e Z, - log E e-
S(k +)
until Zk I|)new) - we writek1 = k2 o k3 if ak, can be obtained by ele-
k. 7? |d)
This algorithmstartsfromthe saturatedmodel esti-
mate Ysand updates the individualcomponentsof y
usingthemostcurrentvalues ofall theothercompo-
nents.In the special case T = {1, k}, this algorithm
convergesin one iterationto the MLE, k. We used
this algorithmin the simulationstudy reportedin
Sections3 and 4 because we observedbetterconver-
gence behaviorwith it than with the usual scoring
algorithmovera wide rangeoftestproblems.
3. COMPARISON OF METHODS S AND
R FOR MODEL IDENTIFICATION
In this section,we compare the performanceof
model identificationproceduresbased on the first
two methods.We show that kR is generallybiased
-2, the difference is -1.26. The use of 7R formodel
.
identification
can resulteitherin missingan impor-
tanteffector in detectinga spuriouseffect.By com-
parison, 72 - 72 = .03 in all cases.
Z The followingpropositiongives conditionsunder
S(k - )
which7kRis unbiased.For k1,k2, k3e{1, 2, ..., N},
<
mentwise multiplication of ak2 and ak3 We say that
U c { 1, 2, ..., N} is closed ifit is closed underthis
operation. The indexes of the columns associated
withany fullfactorialdesignforma groupunderthis
operation.Conversely,the columns indexedby any
set U that contains {1} and is closed constitutea
(replicated)fullfactorialdesign.Let T be as defined
as (2.3).
Proposition 1. For k T - {1}, let Tk= T - {k}
and denotethe closureof Tkby Tk. Then,k7^is unbi-
ased iffk { Tk1.In this case, ^kR
is distributedsym-
metricallyabout 7k.
The proofis givenin the Appendix.The condition
forunbiasednessin Proposition1 is quite restrictive
in general.It impliesthat7k is unbiasedonlyifeither

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250 VIJAYAN N. NAIR AND DARYL PREGIBON

Table 1. Bias ofy7 UnderDifferent of the OtherEffects

Configurations

Values of the other

Design nonzero yk's (k > 2) v= 1 v= 2 v= 4

A = 1.832 A = 1.060 A = .658

22 73 = A, 4 = A +1.16 +.59 +.30
A = 1.297 A =.754 A =.468
23 3
= A, 74 -+A
= +.80 +.38 +18
3 *.* = = A/4 .23 .09 .04
3
=
.*Y8 = A/2 .89 .38 .17
A = .908 A = .529 A =.334
23 3 =
y3A y4 = ?A +.51 +.22 +.10
Y3 = =
Y16 A/8 .09 .04 .01
Y3* . 16 = A/4 .41 .15 .06
NOTE: The value A is chosen so thatthe power of ^s is approximately.50.

7 or 7'1are 0 foreverypair (j, 1)withk = j o 1.This is
unlikelyto be satisfiedin fractionaldesigns with
manyfactors.Conversely,Proposition1 statesthatif
thereare two nonnulleffects, say 74Aand YB, thenthe
estimatorof theeffectassociatedwiththeinteraction
of factorsA and B, yBB, is biased. In fractionalde-
signsin whichthe interactioncolumnis aliased with
some main effect,the estimatorof this main effect
would thenbe also biased.
Thus far,we have not made any distributional as-
sumptionsin the theoreticaldevelopment.We now
assume thatthe ui's are distributed as log x2 random
variablesand investigatethe bias througha simula-
tion study.Table 1 presentssome values of the bias
of )7Rin 2K designsforK = 2, 3, 4 and forv = 1, 2, 4.
The resultsare based on 10,000 replications.The
value A(=72) is chosen so that the power of y7 is
approximately .50 (see thediscussionin Sec. 3.3). The
actual values of A, whichvarywithK and v,are also
givenin Table 1. Note thatwhenboth 73 and 74 are
large in absolute value, thereis a substantialbias in
estimating7 2, theeffectassociatedwiththeirinterac-
tion column. The bias can be positiveor negative.
For example,in a 24 experiment withv = 1 and 72 =
.908(=A), the expected value of 72 is 1.418 if 73 =
74 = A, whereas it is .398 if 73 -74 = A. Table 1
=
provides an indication of the bias when several7k'S
are nonzeroand how thisbias changeswiththemag-
nitudeof the7k'S.The bias decreasesas v,thedegrees
of freedom,increases.This is because log X2 ap-
proaches a normal random variable as v increases,
and in the limitas v-- oo, the restrictedMLE, 7R,
coincides with the saturatedmodel MLE, 5s. The
bias also decreasesas K, thedimensionofthedesign,
increases.When the additional factorshave no ef-
fects,increasingthe dimensionK is equivalentto in-
creasingthedegreesoffreedomv.
3.2 Variance
The variance of 7s depends on the formof the
errordistributionin (1.4) but not on the structural
model (2.3). Suppose the ui's are iid log x2 random
variables, and let q/'(.) be the trigammafunction
(Abramowitzand Stegun1970).Since thevarianceof
ui is fi'(v/2),
it followsfrom(2.1) thatthe varianceof
7s is
var(k) = N-lp'(v/2). (3.2)
The variance of 7^R depends on the formof the
errordistributionin (1.4) as well as the structural
model (2.3). Again suppose thattheui's are iid log x2
random variables.Under the most restricted model
T= {1, k},
=-
var(ykR) '(Nv/4). (3.3)
The varianceof k7^cannotbe obtainedanalyticallyin
general.Since it is based on the ratio of a linear
combinationof chi-squared random variables,we
can use Satterthwaite's (1946) two-momentmethod
to approximatethe variance.For the case in which
the conditionsof Proposition1 are satisfiedso that
k7^ is unbiased,thisapproximationis givenby
var(37k) i2-
22
{E
S(k+)
} /
S(k+)
e2a ). (3.4)
3.3 Power
We now compare7R and 7s by examiningthelevel
and powerbehaviorof testsassociatedwiththe two
estimators.For brevity,we will referto the lev-
el/powerofthetwo-sidedtestsbased on is (7R)as the
level/powerof ys (YR). In practice,we would use a
graphical procedure such as Daniel's (1959) half-
normalplot to determinethe importanteffects. It is
difficultto studythe propertiesof such an informal
procedure. It should also be noted that, strictly
speaking,theprobabilityplottingmethodis not valid
for{7^} because its bias and variancedependon the
truestructuralmodel,and theymay not be thesame
for all k. This difficultyalso persistsin developing

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 DISPERSION EFFECTS FROM FACTORIAL EXPERIMENTS 251

Table 2. Level and Power of R UnderDifferent of the OtherEffects

Configurations

v 1 v 2 v=4
Values of the other
Design nonzero yk's(k > 2) Level Power Level Power Level Power

22 * .10 .67 .10 .59 .10 .55

3 =A * .21 .63 .18 .57 .14 .55
73 -A, 74 = A .46 .89 .35 .85 .26 .79
3 A= , 74 =-A .46 .24 .35 .26 .26 .29
23 -* .10 .74 .10 .64 .10 .56
73 A * .19 .69 .16 .63 .12 .56
73 A, y4 = A .47 .93 .32 .88 .21 .78
3 = A, 7 = -A .47 .26 .32 .29 .21 .32
73 = A, 75 = A * .28 .66 .22 .61 .15 .55
3= = 8 = A/4 .20 .80 .15 .71 .12 .62
73 = = = A/2 .54 .89 .37 .84 .23 .76
*..

24 - * .10 .79 .10 .68 .10 .57

73 =A
* .17 .75 .14 .67 .12 .56
73 = A, 74 = A .44 .95 .26 .87 .17 .75
73 = A, 74 =-A .44 .32 .26 .36 .17 .36
73 =A, 75 A * .25 .72 .18 .65 .13 .56
73 = 75y= A * .32 .70 .22 .63 .15 .56
73 = y716= A/8 .15 .82 .12 .71 .11 .60
73 =.= y16
= A/4 .40 .88 .23 .80 .15 .68

NOTE: For crnparative purposes the level of s is identi ically .10 and the value of A is chosen so that the power of ,' is
approximately.50. See Table 1 forvalues of A. Rows labeled with an asteriskdenote configurationsforwhich ^Ris unbiased. Dashes
indicatethatthere.areno othernonzeroyk's.

formaltestsassociatedwith{y7k},sincecriticalvalues ^2Ris generallyhigherthan .50, the power of y2, for

forthetestsdependon the(unknown)model.
For our simulationstudy,we generateddata from
log X2distributions and used the criticalvalues of 7R
underthe most restricted model T = {1, 2}. Table 2
gives the values for the level and the power of R72
under various models,designs,and degreesof free-
dom. For K = 2, 3, 4, we generated 10,000 repli-
cations under the null model with no effectsand
obtained the criticalvalues of 7R and ys fromthe
empiricaldistributions. These values were thenused
to calculate the level and power of the estimators
underthe nonnullconfigurations. Note that the dis-
tributionof 7s does not depend on the values of the
other7k's (k # 2). Hence its level is identically.10 for
all of the situationsconsideredin Table 2. We chose
the value of 72-= A = D -1(.95) x [var(S2)]1/2 so that
the power of 7^' is approximately.50. The actual
values of A, given in Table 1, were computedusing
the empirical values of the mean squared error
(MSE) of 7}sratherthan the theoreticalvariance in
(3.2). The empiricalvalues of the powerof ys are not
shownin Table 2, sincetheywereequal to .50 to two
significant digitsin almostall cases.
Even when 72 is unbiased,its level can be quite a
bit higherthan the nominal level of .10. This is be-
cause its variabilitydepends on the values of the
othernonzeroyk's.When it is biased,its level can be
much higherthan the nominal value. The power of
two reasons.First,its varianceis smallerin situations
with few nonnull effects.Second, the level itselfis
high,particularly in situationsin whichtheestimator
is biased. Note, however,that when 73 and 74 are
roughlyequal in magnitudebut have oppositesigns,
the poweris low, and is in factlowerthan the level.
This is because of the large negativebias in the esti-
matory72R thatwe observedin Section3.1. So we see
that Method R can performpoorly as a model
identification procedure.It can miss importantreal
effects declarenulleffects
or incorrectly as real.
4. COMPARISON OF THE THREE
METHODS FOR ESTIMATION
In this section,we establisha relationshipamong
the three methods,discuss some propertiesof the
MLE in balanced designs,and compare the three
methodsin termsofefficiency.
4.1 RelationshipAmong the Methods
The threemethodsare relatedin a simpleway-
the firsttwo can be obtained as special cases of the
third.Considermaximumlikelihoodestimationof y
in (1.4) when the structuralmodel is saturated,that
is, T = {1, .... N}. There is a 1-1 relationshipbe-
tween{a2} and {7k} in thiscase. Suppose thatthere
is a unique value c at whichthe densityof the ui in

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252 VIJAYAN N. NAIR AND DARYL PREGIBON

(1.4) achievesits maximum.The MLE of a2 is then cial case, ^k3 can be obtainedexplicitly
as
e-cZi, and it followsfromthe structuralmodel in 1 l~ / + + e k-
(1.4) that the MLE of 7k is givenby (2.1). If c is not
unique, neitheris the MLE of yk. But k given by
Ykj 33
1~k 2 e
=21g -2 +-
'k..... e -,+g-+k2
+ e ......2
(4.2)

(2.1) is one oftheMLE's. This can be writtenalternatively

as
Next considermaximumlikelihoodestimationof
1 ((4/N ( \4/N
7kunder(2.3) withT = { 1, k} and undertheassump- Sk3=- log Zi + z)/
tion that the ui's are iid log Z2 variates.Then (2.6) \S(k +,k2 +) \S(k 1 -,k2 )

simplifies to (2.2). Thus Method R resultsfromusing

MLE's of 7k under the restricted(R) model T =
{1, k} foreachk = 2, ..., N. 2
I log(
l S(k, +, k2-)
zi) + (H
S(k I-,k2 +)
zi }. (4.3)
Note from(2.1) and (2.2) that the difference be-
tweenthe MLE's underthe saturatedmodel and the Note therelationshipbetween(4.3) and (4.1) and that
restricted model is whetherthe logarithmictransfor- (4.3) reducesto (2.2)whenN = 4, as itshould.
mation is applied before or after pooling. Alter-
we can writey^ in (2.1) as 4.2 Some Properties of the Maximum
natively,
Likelihood Estimator
2/N\

3s = I logs -log sIi) (4.1) Beforewe compare the efficiencies

zi+ ),
S(k-)
so thedifference betweenthesaturatedand restricted
model estimatorsis that the formeris based on the
ratios of the geometricmeans of the Zi's and the
latteris based on theratiosofthearithmetic means.
Under the restrictedmodel T = {1, k}, thereare
only two different sak. A sufficiency
argumentdic-
tatesthatwe pool theZi's across thehighlevelsof ak
and across the low levelsof ak beforecomputingthe
MLE's. Considernow themoregeneralmodel T de-
finedby (2.3). Let T be the closure of T. If TO {1,
2, ..., N}, then we can restrictattentionto the re-
duced factorialdesigncorrespondingto Tand pool
the Zis across the induced replications.This corre-
sponds to gettingnew Zi's that are chi-squared
randomvaribleswithv df.In computingthe MLE's,
we can assume that this data reductionis always
done first.So, withoutloss of generalitywe shall
assumethat T= {1, ..., N}.
The followingresultgivesconditionsunderwhich
(2.1), the MLE under the saturated model, is the
same as (2.6),the MLE underthestructural model T.
The proofis givenin theAppendix.
Proposition2. Let To denote the closure of To.
For keT- {1},if k To,thenyk = .
As an illustration,suppose that only one of the
k's, say yk , is equal to 0, that is, To = {k1}. Then
To = {k1}, so forany keT- {1, k1}, the MLE yk is
given by kY. In particular,for a 22 experiment, the
MLE's ofthemaineffects yA and yB are givenby (2.1)
even whenthe interactiontermyAB is assumedto be
0. Consider again the general2K case, and suppose
now To = {kl, k2}. Then To = {k, k2, k3}, where
k3 =ki ok2. Proposition2 implies that,except for
,k3, the MLE's of the nonzero yk'sremainthe same
as that underthe fullysaturatedmodel. In thisspe-
of yS and yR
with that of the MLE y, we examine the bias and
variance of ;.
Proposition3. For keT -{1}, yk is distributed
symmetricallyabout Yk and is unbiased.
The proofis givenin the Appendix.This resultis
interestingin view of the factthat the log x2 distri-
butionforthe errortermsin (1.4) is not symmetric.
The validityof the propositiondepends on the bal-
anced natureofthefactorialdesign.
The varianceof ^k can varybetween(3.2) and (3.3)
dependingon the true structuralmodel (2.3). The
asymptoticvarianceof yk, based on the second de-
rivativeof the log-likelihood,is 2/(Nv).For large v,
this is approximatelyequal to both (3.2) and (3.3),
since f'(x)I 1/xas x-* oo. For small v, the differ-
ence betweenthe asymptoticand actual varianceof
yk can be substantial.
4.3 EfficiencyComparisons
We definerelativeefficiency of an estimatoras the
ratio of its MSE to thatof the MLE. Since y and s
are unbiased, their MSE's are equivalent to their
variances.Table 3 givesthe relativeefficiencies of yR
and y8(comparedwithy)forvariousmodels,designs,
and degrees of freedom.The resultsare based on
10,000replications.For 75,theempiricalMSE's were
close to the theoreticalvalues given by (3.2). The
rowswithan asteriskin Table 3 denotetheconfigu-
rationswhere72 is unbiased.
When 7'2 is the only nonnulleffect,72 is the MLE
and is fullyefficient.It is interesting to observethatif
73 is small and Yk = 0 for all k > 4, 72 can be more
efficientthan the MLE givenby s2.Note that 72Ris
unbiased in this case. As Iy 73 I * , the efficiency of
;^ tends to --that is, a loss of half the information
in thedata. Whenboth 'Y3and 74 are nonzero, 2^ can

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 DISPERSION EFFECTS FROM FACTORIAL EXPERIMENTS 253

Table 3. Efficienciesof Y and 9YComparedto the MLE Underthe CorrectModel.

Efficiencyis measuredby theratiosof MSE

v= 1 v=2 v=4
Absolute values of the other
Design nonzero ^k's, k > 2 Y2 Y2 7 7 7Y

22 - * 1.0 .67 1.0 .78 1.0 .89

3
= A/2 * 1.23 1.0 1.12 1.0 1.05 1.0
73 = A * .87 1.0 .86 1.0 .89 1.0
3 = A, 74 = A .44 1.0
23 - * 1.0 .52 1.0 .67 1.0 .83
73 = A * .78 .66 .85 .77 .92 .89
3
= 4= A .35 .66 .47 .77 .62 .89
73 = A5 * .63 .78 .73 .86 .84 .94
73 7=A/4
8 1.17 1.0 1.16 1.0 1.08 1.0
73 = = 78 = A/2 .38 1.0 .50 1.0 .65 1.0
24 - * 1.0 .45 1.0 .63 1.0 .80
73 = A * .78 .52 .87 .67 .94 .83
,3 =4 = A .34 .52 .51 .67 .72 .83
73 5= A * .63 .58 .77 .72 .89 .85
73 =;5 =9= .53 .63 .69 .76 .84 .87
Y73= *....=7 16= A/8 1.67 1.0
1.420
3 ...= * * = 6
= A/4 .59 1.0 .82 1.0 .96 1.0

NOTE: See Table 1 forvalues of A. Rows labeled with an asteriskdenote configurationsforwhich -^; is unbiased. Dashes indicate
thatthereare no othernonzero ;,'s.

be substantiallybiased, leading to low efficiency. factors.In our analysis,we treatquench-oiltemper-

When all of the effectsare nonzero but small,Y2 is
biased but it can still be more efficientthan the
MLE.
The estimator 2 is inefficient
ify2is the onlynon-
null effect,
especiallywhen K is large.The efficiency
of ,k is bounded below by 2K-1 t'(2 - 2v)1/'(v/2),
whichapproaches 1 as v-* oo. This is because log x2
is approximatelynormallydistributedforlarge v; R^
and ys coincide in this limitingcase. A comparison
between7R and ys shows that if yR is unbiased and
boththenumberofnonnulleffects and theirsizes are
small,7R is likelyto be more efficient thanys. When
;;R has a large bias or when a substantialportionof
thefactorshave sizable effects,ys is likelyto be more
efficientthanyR.
5. ILLUSTRATIVE EXAMPLE
Pignatielloand Ramberg(1985) presentedan ex-
perimentfor the robust design of leaf springsin
trucks.The problemconcernsthe developmentof a
heat-treatment processso thatthefreeheight(Y) ofa
spring in an unloaded conditionis as close as possi-
ble to the target value of eight inches with little
variability.The design factorswere B, furnacetem-
perature;C, heatingtime; D, transfertime; E, hold
down time; and 0, quench-oiltemperature. Among
the fivefactors,quench-oiltemperature is not easily
controllable,and Pignatielloand Rambergtreatedit
as both a controlfactorand a noise factor.See Ta-
guchi (1986) for a discussion of control and noise
atureas a noise factoronly.This resultsin six repli-
cationsof a 24- experiment. The data are presented
in Table 4.
There is no apparentdependenceof variabilityon
mean level,so transformation of the data is not re-
quired.This also suggeststhatit is preferable to ana-
lyzethewithin-replication variances,Zi's, ratherthan
Taguchi's (1986) signal-to-noise(S-N) ratios. See
Nair and Pregibon(1986a) and Box (1988) for the
relationshipsbetween an analysis of transformed
data and Taguchi'sS-N ratios.
Figure 1 is a scatterplotof estimateddispersion
effectsfromMethods S and R. The estimatesare
positivelycorrelatedand agreewithin+.45. One can
use formalsignificance testsbased on theassumption
of normalityand thevarianceformulas(3.1) and (3.2)
to identify factorswithimportanteffects.We prefer
the use of half-normalprobabilityplots with a line
drawn"by eye" as a basis forinformalcomparison.
Figures 2 and 3 are half-normalplots of the esti-
mateddispersioneffects usingthetwo methods.Both
identifyfactor C as havingtheonlyimportanteffect.
For illustrativepurposes,we computedmaximum
likelihoodestimatesunder the model T = {1, C, D,
CD}. Since T is closed, these estimatesare simply
obtained as the saturatedmodel estimatesafterthe
data are collapsed onto the 22 designgeneratedby
factorsC and D. Table 5 providesa comparisonof
the MLE to the estimatesbased on Methods R and
S.
The estimateYc = -.779 is the MLE under the

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254 VIJAYANN. NAIR AND DARYL PREGIBON

Table 4. Data Froma Replicated 24- 1 FactorialExperimentto Investigatethe

Free Heightof Leaf Springs (Pignatielloand Ramberg1985)

Controlfactors Freeheight (inches)

B C BC D BD CD E 0- 0+ /og(Zi)

- - + - + + - 7.78 7.78 7.81 7.5 7.25 7.12 -.80

+ - - - - + + 8.15 8.18 7.88 7.88 7.88 7.44 -1.04
- + - - + - + 7.5 7.56 7.5 7.5 7.56 7.5 -5.34
+ + + - 7.59 7.56 7.75 7.63 7.75 7.56 -3.23
- - + + - - + 7.94 8.0 7.88 7.32 7.44 7.44 -.79
+ - - + + - 7.69 8.09 8.06 7.56 7.69 7.62 -1.33
- + - + - + - 7.56 7.62 7.44 7.18 7.18 7.25 -1.66
+ + + + + + + 7.56 7.81 7.69 7.81 7.5 7.59 -2.45

NOTE: B, furnacetemperature;C heatingtime;D, transfer

time;E, hold down time;0, quench-oil temperature.

model T = {1, C}. This is close to the MLE 7c =
-.745 underthe model T = {1, C, D, CD}. The esti-
mate ~7s= -1.090 is about 40% largerin absolute
value than these two estimates.On the otherhand,
the saturatedmodel estimatesof the dispersionef-
fectsof factorsD and CD are reasonablyclose to the
MLE, whereasthe restricted model MLE's are quite
different.
6. ROBUSTNESS ISSUES
We firstconsiderthe robustnessof the resultsto
the distributionalassumptions.The unbiasednessof
7;sdoes not depend on the errordistribution in (1.4).
The unbiasednessof 7 in (2.6), the MLE under the
assumptionthat the ui's are iid log Z2 randomvari-
ables, also does not depend on any distributional
assumptionbut merelyon the balanced nature of
two-levelfactorialdesigns(see the proofof Proposi-
tion 3 in the Appendix).Similarly,the estimator7R
given by (2.2) is unbiased under the conditionsof
Proposition 1 regardlessof the distributionof the
normal distribution,the MLE fromthe restricted
modelcoincideswith7s,whichis based on geometric
means.Similarly,the MLE 7 would also changewith
the distributionalassumption.Only the interpreta-
tion of 7s as the saturatedmodel MLE remainsun-
changed.In Nair and Pregibon(1986b),we conduct-
ed a smallsimulationstudyto examinehow therela-
tiveefficiency of 7R to ys changedas the distribution
of the eij's in (1.1) changed. The resultsfromthis
studysuggestthatthe relativeefficiency decreasesas
the distributionbecomes heavier-tailedthan the
normal distributionand increases as it becomes
lighter-tailed.
We have assumed throughouta multiplicative
structuralmodel for the variances.In practice,the
true(or best)linkfunctioncan be any strictly mono-
tonefunction.But certainmembersof thisclass arise
naturally.The reciprocallink,h(a) = a-~, is the so-
o0 -

ui's.This also impliesthat 7R is biased wheneverthe

conditionsof Proposition1 are violated.As we saw
in
in Section 3, these conditionsare quite restrictive,
especiallyin highlyfractionaldesigns.Bias was the O

major reason for the poor performanceof 7R as a ... Bc CD

D
model identification tool. Thus the conclusions of Io BD
'E *.."BC DD
,.
Section 3 will remainqualitativelytrue even if the
distribution oftheui'schanges.
The efficiency calculationsin Section4 dependen- er'
tirelyon distributionalassumptions.The derivation C ,??
.#
of ' as the MLE under the restrictedmodel T = - | | I~~~~~~~
{1, k} assumesthattheZ's have a chi-squareddistri-
bution.The sufficiency principledictatesthatwe pool
the Zi's across the+ levelsof ak, leadingto the esti- I

mator being based on arithmeticmeans. If the Zi's -1.5 -1.0 -0.5 0.0 0.5 1.0
have a reciprocalgamma distribution,
the sufficiency MethodS estmates
argumentwould induce a pooling on the reciprocal
Figure 1. A Scatterplotof the Estimated Dispersion Effects
scale,and the MLE undertherestrictedmodelwould Using Method S VersusThose Using Method R. The effectlabel
be based on harmonicmeans.If the Zi's have a log- is used as theplottingcharacter.

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 DISPERSION EFFECTS FROM FACTORIAL EXPERIMENTS 255

Table 5. Comparisonof the ThreeEstimatesforthe

Leaf Spring Data
c

-
0? Method S, Method R, Method M,
Effect s ^ y

I_~ -5~BD/"
C -1.090 -.779 -.745
D .522 .0799 .334
CD .593 .174 .562
. - BD
NOTE: The estimates under the column labeled "Method M" are based on the
model T = '1, C, D, CD j.

E ,,' proximated by a linear function.So although the in-

BC ,. I of the dispersioneffectsmay change as
terpretation
'
i
/the
.'??' link changes,the broad qualitativeconclusions
concerningmodelidentificationwillremainthesame.
>. l -? l When the sample variances vary over several orders
0.0 0.5 1.0 1.5 2.0 of magnitude, large differencesin conclusions are
half
normal
quantiles possible.In particular,interactiontermsmay be re-
quired for one choice of link function but not an-
Figure 2.2. A
A HalfNormal
Half-Normal Probability
ProbabilityPlot of the
Plot of the Estimated
Estimated
an Effects
Dispersic UsingMethodS. Theeffectlabelis used as other. On grounds of parsimony, the link leading to
ingcharacter.
theplotti Thedottedlinewas drawn"byeye."The the simpler model is preferable.
ationofpointsindicatesthateffect
configur, C issignificant. If the data are extensive, it is possible to test
whetheran assumed link functionis adequate, or
called "'canonical"linkfunctionforthegammadistri- even to estimatethe link functionfromthe data.
bution(McCullagh and Nelder 1983). It has the ad- Pregibon(1980) embeddeda hypothesizedlink in a
vantage e that the sufficient
statisticsare linear func- parameterizedfamilyof link functions.Standard
tions olfthedata. The identity link,h(a) = a, arisesin likelihood-basedprocedures(e.g.,score or likelihood
variance-componentsmodels. For physicaland nu- ratiotests)can thenbe applied to testthehypothesis.
merical reasons,the log link,h(a) = log(a), is most In GLIM (Baker and Nelder 1978), alternative
commo)nlyused (Aitken1987; Bartlettand Kendall models usingdifferent linksare easilyexploredby a
1946; ]Box and Meyer 1986; Cook and Weisberg singlecommand.
1983). Finally, if interest centers on testing a null
If thcsample variancesare all of thesame orderof model-that is, constantvariance-the usual score
magnitiude, any link functioncan be reasonablyap- and likelihood-ratiotestsdo not depend on the link
function(Chen 1983). In this respect,a refereehas
pointed out that Bartlett's(1937) test for variance
homogeneity-thatis, Ho: T = {1}-is proportional
to ;~ _- ?, where
0
CO
oi -_~~~~~~~~~~~~~~~~~~ N

ys =N-1 log Zi
i =1
E
0 ""
is theMLE ofy1underthesaturatedmodel,and
0
,?-'~~~~~~~~~~~~~eme
,.w'
_m
memmmmmN
~~~~~~~~~~~~~~~N
I vMR = N-1 log E Zi
i= 1
0;
o
B
is the MLE of vyunder the most restricted(MR)
" BD... .. .
model T = {1}. It can also be shownthatthe likeli-
0 I.. hood ratio test of the hypothesisHo: T = {1, k} is
0
0.0
proportionalto yR- 3_, where
0.5 1.0 1.5 2.0
halfnormal
quantiles
7 = N- l(log E Zi +log E Zi)
Figure 3. A Half-Normal ProbabilityPlot of the Estimated S(k+) S(k -)
Dispersion EffectsUsing Method R. The effectlabel is used as
theplottingcharacter.The dottedline was drawn "by eye." The is the MLE of y1 under the restrictedmodel T =
configurationindicatesthateffectC is significant. {1, k}.

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256 VIJAYANN. NAIR AND DARYL PREGIBON
7. CONCLUDING REMARKS
Method S, based on least squares, is commonly
used foridentifying the importantdispersioneffects
in experimentswith replication.It performsreason-
ably well as a model identification tool but can be
inefficientwhen thereare only a fewnonnulleffects,
particularlyin large experiments. In such cases, one
may want to use maximumlikelihoodtechniquesto
reestimatethe parametersof the identified structural
model. Proposition2 gives conditionsunder which
the MLE's are thesame as thoseunderthesaturated
model, in whichcase the effectsdo not have to be
reestimated.Otherwisethe MLE's can be computed
easilyusingthealgorithmin Section2.
Method R can be highlyefficient under the as-
sumption of effectsparsity. fact, is interesting
In it
that yk, which is the MLE under the restricted
model,can continueto be unbiased in more general
models as shown in Proposition 1. The resultsin
Table 3 suggestthatit can be moreefficient thanthe
MLE computedunderthe correctmodel. In screen-
ing designswithmany factorsand highlyfractional
designs,however,one could expect a fewof the ef-
fectsto be large even underthe assumptionof effect
sparsity.And in experiments in whicha considerable
amount of subject-matter expertiseis used in select-
the effect
ing factors, sparsityitselfmay not be a
reasonableassumption.In eithercase some of the yk
will be biased, possiblyto the extentthat spurious
effectsare declaredreal and vice versa.Therefore, we
do not recommendthat Method R be used as a tool
for model identification in replicatedtwo-levelfac-
torialexperiments.
We have restricted attentionin thisarticleto situ-
ations in whichthe locationeffectsare eitherknown
or estimatedby within-replication means. We are
currently the
investigating performances of the three
procedures in situationsin which the location effects
are estimatedfroma model as would be the case in
unreplicatedexperiments.The deviationsZi would
then be dependent.The resultsof this investigation
willbe reportedelsewhere.
ACKNOWLEDGMENTS
We are gratefulto the referees,
an associateeditor,
and the editor for theirhelpfulsuggestions.Their
commentsled to a substantially
improvedpaper.
APPENDIX: PROOFS OF PROPOSITIONS 1-3
ProofofProposition1. Considerfirstthe"onlyif"
part.We arguethatifkE Tk, thenyRk
mustnecessarily
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be biased. If ke Tk, then there existj and 1 with
k =j o I and yj and y1are nonzero.Then the argu-
ments for the 22 case immediatelyprecedingthe
statementof Proposition 1 show that y^ must be
biased. Consider now the "if" part. Note that yk is
equivariantin 'k. Hence we can assume withoutloss
of generalitythat yk = 0. Let ci be the ith row of
C = [aji I I'lajm]and JiE Tk. Then Zi has the same
distribution as eUi-cY, where the ui's are iid random
variables given by (1.4). Since k 4 Tk, each ci [i e
S(k - )] also belongsto S(k + ). From thisand from
(2.2), it followsthat ^R has a symmetric distribution
about zero,and, in particular, it is unbiased.
Proofof Proposition2. We will show that if k ?
To, then Yk = ^' solves the likelihoodequation (2.5).
Write log Zi = ays. If k = 7^ for k To0, then
log Zi- a' = ai y a = ci r*,whereci is the ith
row of C = [11a1lI . ajm,il, ,?j e To, and .* is
thevectorwiththenonzerovalues of Ys- /. If k To,
it can be seen thateach ci [i e S(k -)] also belongs
to S(k +). Therefore,ZS(k-) eC; = S(k +) eC;Y and
hence S(k e-) -a Zi = ZS(k+l) e ay Zi. Since
;k = ks fork { To, we have shown that X'ksolves the
likelihoodequation(2.5).
Proof of Proposition3. Consider the likelihood
equation (2.5). When the ui's do not have a log x2
distribution,j, the solution of (2.5), can be viewed
simplyas an M estimator(Huber 1981). It is clear
from(2.5) thaty is equivariantin thesense thatifwe
map Zi to e -6 Zi, jygets mapped to y + 6. Hence
we can assume withoutloss of generalitythaty = 0.
Then the Z.'s are iid random variablesand any yf
obtainedby permutingthe Zi's and thensolvingthe
estimatingequations has the same distribution as ,y.
Considerany such permutationthatmaps i e S(k+)
to i e S(k-) and i e S(k-) to i e S(k+). It can be
checked that for this permutation7k = -yk which
shows that%?k has a symmetric distribution about 0.
In particular,it is unbiased.
[ReceivedFebruary1986.RevisedFebruary1988.]
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