5_6176921355498291555

COVARIANCE 473 An SAS output follows. The GLM Procedure Class Level Information Class Levels Values 12 complex 2 123 30 age 3 30 Number of Observations Read Number of Observations Used The GLM Procedure Dependent Variable: y Source DF Sum of Squares Mean Square F Value Pr > F Model 7.90 0.0001 Error 6 1295.775058 215.962510 Corrected Total y Mean R-Square 23 628.391608 27.321374 96.83333 0.673421 F Value Pr > F Source 29 1924.166667 2.47 0.1297 complex 6.62 0.0054 age Coeff Var Root MSE 0.09 0.9129 complex∗age 31.54 <.0001 x 5.397919 5.226985 F Value Pr > F Source 4.99 0.0355 complex DF Type I SS Mean Square 4.90 0.0169 age 0.23 0.7985 complex∗age 1 67.5000000 67.5000000 31.54 <.0001 x 2 361.6666667 180.8333333 2 5.0000000 2.5000000 1 861.6083916 861.6083916 DF Type III SS Mean Square 1 136.2838655 136.2838655 2 267.8252313 133.9126156 2 12.4182904 6.2091452 1 861.6083916 861.6083916 Notice that the complexity is not statistically significant, whereas the age and the covariate are highly significant. Interaction is not significant. Fitting the covariate first, we get The GLM procedure Class Level Information Class Levels Values 12 complex 2 123 30 age 3 30 Number of Observations Read Number of Observations Used

474 SOME OTHER ANALYSES The GLM Procedure Dependent Variable: y Source DF Sum of Squares Mean Square F Value Pr > F 1295.775058 215.962510 7.90 0.0001 Model 6 628.391608 27.321374 1924.166667 y Mean Error 23 Root MSE 96.83333 Coeff Var 5.226985 F Value Pr > F Corrected Total 29 5.397919 Mean Square 32.04 <.0001 875.2924217 5.06 0.0343 R-Square Type I SS 138.3768433 4.94 0.0165 875.2924217 134.8437514 0.23 0.7985 0.673421 138.3768433 6.2091452 F Value Pr > F 269.6875029 Mean Square 31.54 <.0001 Source DF 12.4182904 861.6083916 4.99 0.0355 Type III SS 136.2838655 4.90 0.0169 x1 861.6083916 133.9126156 0.23 0.7985 136.2838655 6.2091452 complex 1 267.8252313 12.4182904 age 2 complex∗age 2 Source DF x1 complex 1 age 2 complex∗age 2 Given the covariate, we see that both complexity and age are statistically significant. Thus, the results of the analysis are affected by the covariate. □ 3. DATA HAVING ALL CELLS FILLED Analysis of unbalanced data is more difficult than that of balanced data, for the very reason that such data are unbalanced. Often interpretation of the analyses is more difficult. Sometimes, if the unbalanced data are not too far from being balanced, the difficulties may be avoided. In such cases, it is sometimes possible to make minor modifications in the data so as to be able to use a balanced data analysis. The decision whether or not to do this depends on the answer to the following question. When are unbalanced data “not too far removed” from being balanced data? It is highly unlikely that a satisfactory answer to this question can be given. Nevertheless, the advantages of using a balanced data analysis are so great that one would like to use then whenever feasible. Balanced data analyses are much more easily carried out and interpreted in comparison with analogous unbalanced data analyses. The disadvantage of modifying unbalanced data so as to be able to use a bal- anced data analysis is that in doing so it introduces a measure of approximation into the analysis. The degree of the approximation depends on the extent to which the unbalanced data have been modified to permit the balanced analysis. However, with the advantages of balanced data analysis being so attractive they may, on occasion outweigh the disadvantage of some degree of approximation if this approximation may be deemed small. We outline instances in which this might be so, below. To simplify presentation, we use examples for the two-way crossed classification.

DATA HAVING ALL CELLS FILLED 475 TABLE 8.9 nij-Values 665 666 a. Estimating Missing Observations If all the nij’s except a few are the same, it is often reasonable to estimate missing observations. For example, suppose with two rows and three columns, the number of observations are as shown in Table 8.9. Data of this nature often arise from what set out to be a planned experiment (in Table 8.9 of six observations per cell) and ended up with a few observations missing. Such data are unbalanced, but so slightly as to render the temptation of making them balanced irresistible. We can accomplish this by estimating the missing observations. In this case, we need to estimate one observation for the cell in the first row and the third column. One way to do this is to suppose that u, say, represents the missing observation and choose u so as to minimize the residual sum of squares. If there were no missing values, n13 would have been six instead of five. For an interactions model (see equation (61) of Chapter 7) would have then been SSE = ∑2 ∑3 ∑6 − 1 ∑2 ∑3 y2ij.. y2ijk 6 i=1 j=1 i=1 j=1 k=1 For the missing value data with u representing the missing value, we would have for the residual, ∑2 ∑2 ∑6 ∑6 ∑5 SSE = y2ijk + y223k + y213k + u2 i=1 j=1 k=1 k=1 k=1 ] [∑2 u)2 − 1 ∑2 yi2j. + y223. + (y13. + . 6 i=1 j=1 In order to minimize this quantity, we obtain ������(SSE)∕������u, set it equal to zero, and solve for u in terms of the observations in SSE. ������(SSE) = 2u − 1 (y13. + u) = 0. ������u 3 The solution to the above equation is u = 1 ∑5 = ȳ 13. . 5 y13k k=1 The second derivative of SSE is 5/3 > 0 so that SSE is indeed minimized. As a result, the missing observation in the (1, 3) cell is estimated by the mean of the observations that are there.

476 SOME OTHER ANALYSES Of course, the form of the results arising from such a process depends on the model used. This determines the residual sum of squares. Had the model for the data of Table 8.9 been that of no interaction, the error sum of squares would have been (see Section 1 of Chapter 7) ∑2 ∑2 ∑6 + ∑6 + u2 − 1 [ + u)2 + y22..] yi2jk y223k 18 (y1.. i=1 j=1 k=1 k=1 − 1 [y2.1 + y2.2 + (y.3. + u)2] + 1 (y... + u)2. 12 36 Minimization with respect to u of the analogous quantity for the general case of a rows, b columns, and n observations per cell in all cells except one the (i, j)th cell to uij = axi.. + bx.j. − x... − . (63) ab(n − 1) + (a − 1)(b 1) Equation (63) is equivalent to the result given by Federer (1955, p, 134, equation V-52) for n = 1. Federer also gives results for more than one missing observation when n = 1. (These are the procedures referred to at the beginning of Section 1 of Chapter 7.) Bartlett (1937) presents a generalization of the above procedure that depends on a covariance technique. For the model y = Xa + Zb + e, this involves doing the following: (i) in y, include each missing observation as an observation of zero; (ii) in b, include, negatively, a parameter for each missing observation; (iii) in Z, have one column for each parameter mentioned in (ii), all entries being zero except for a single unity corresponding to the y-value of zero specified in (i). One will find that the normal equations of this covariate model are satisfied by the estimated missing observations derived by minimizing residual sums of squares as derived earlier. For example, for the data of Table 8.9 (without row-by-column interactions) has the following normal equations: 18 12 12 ⎡ ������◦ ⎤ ⎡36 18 18 12 6 6 1⎤ ⎢ ⎥ ⎡ y.. ⎤ ⎢18 0 0 6 6 6 1⎥ ⎢ ������1◦ ⎥ ⎢⎢⎢yy12....⎥⎥⎥ ⎢⎢18 6 18 6 0 0 0⎥⎥ ⎢ ������2◦ ⎥ ⎢y.1.⎥ ⎢12 6 12 ⎢ ������1◦ ⎥ 0⎥ ⎢ ⎥ = (64) ⎢12 6 6 0 12 0 0⎥ ⎣⎢⎢⎢⎢−������������u32◦◦◦ ⎥ ⎢⎣⎢⎢yy0..23..⎥⎥⎦⎥ ⎢⎣⎢112 6 0 0 12 11⎥⎥⎦ ⎥ 6 0 0 0 1 ⎥ 1 ⎦⎥

DATA HAVING ALL CELLS FILLED 477 The reader may show in Exercise 5 that the appropriate form of (63) is a solution to (64). This procedure leads to the same results as minimizing residual sums of squares. However, it is often computationally much easier because it can be applied directly by means of analysis of covariance procedures (see Section 2). Rao and Toutenburg (1999) call attention to a procedure suggested by Yates (1933). Suppose we have what would be a balanced model with t missing observations. He suggests that we reorganize the data matrix according to [ ][ ] [] yobs Xub ������ub ymis = X∗ ������ + ������∗ The Xub would represent the levels of the missing values for the unbalanced model we would use without the missing observations. The X∗ would correspond to the entries in the design matrix for the balanced model that would correspond to the missing y values. Now find the least-square estimator for the unbalanced model using any generalized inverse of Xu′ bXub. Then, bub = (X′ubXub)−X′ubyobs. We may now replace the missing value by ŷ mis = X∗bub. The reader may establish the equivalence of this method to the one considered above. Rao and Toutenburg (1999) also suggest using a shrinkage estimator of the James– Stein type (see Gruber (1998)). It takes the form ( k���̂���u2b ) 1 2)b′ub ŷ mis = − (Nub − m + X′ubXubbub X∗bub . We use estimates of missing observations just as if they were data. There is, however, one change that must be made in the balanced data analysis of the combined data (observed and missing). The degrees of freedom for the residual error sum of squares are calculated as for balanced data and then reduced for the number of missing observations that have been estimated. Thus in an interaction analysis of data like those in Table 8.9, the residual sum of squares for six observations in every cell would be 6(5) = 30. However, with one estimated missing observation, it is reduced to 29. Example 4 A Word of Caution Sometimes the method of minimizing the residual sum of squares can lead to replacement values that are not in keeping with the physical nature of the problem being solved. We give an example of this. Consider the data in Table 7.1. We denote the missing observation for pan make A and brand of stove Y by u, for pan make B and stove brand Y by v, and for pan make

478 SOME OTHER ANALYSES B and brand of stove Z by w. Now consider minimizing the residual sum of squares. r(u, v, w) = 1728 + u2 + v2 + w2 + 1 (108 + u + v + w)2 12 − 1 [3645 + (9 + u + v)2 + (18 + w)2] 3 − 1 [4356 + (27 + u)2 + (15 + v + w)2] 4 After differentiation and algebraic simplification, we get the equations 1 (−9 + 6u − 3v + w) = 0 6 9 − u +v− w =0 22 3 1 (−9 + u − 2v + 6w) = 0. 6 The solution to this system of equations is u = –1, v = –5, and w = 0. However, the data values are the number of seconds beyond three minutes taken to boil two quarts of water. A negative value would indicate that the water boiled in less than three minutes. Observe that v = –5 does not fit the physical nature of the problem if we assume that we started at the same temperature for each pan make and stove brand. □ b. Setting Data Aside If the numbers of observations in the sub-most cells differ from each other by only a few, it might not be unreasonable to randomly set aside data from appropriate cells in order to reduce all cells to having the same number of observations in each. Data so reduced can then readily be analyzed as balanced data. For example, in data having the nij values of Table 8.10, it might be reasonable to randomly set aside observations in order to reduce each cell to 11 observations. This method has some disadvantages. There is inevitable indecisiveness implicit in the suggestion of doing this only when the nij differ “by only a few.” It begs the question “What is a few?” There is no clear- cut answer to this question. All one can say is that the method might be tolerable for nij-values like those in Table 8.10, but not for some like those in Table 8.11. To employ this method for data in Table 8.11, too many data points would have to be set aside. Of course, we have the argument that we should never set any data aside. That is so, except that all good rules have their exceptions. If we believe that balanced data analyses are preferred over those for non-balanced data, it appears to us that randomly setting aside data in cases having nij like those of Table 8.10 is probably TABLE 8.10 nij-Values 14 11 13 11 13 15

DATA HAVING ALL CELLS FILLED 479 TABLE 8.11 nij-Values 10 17 21 19 22 9 not unreasonable—especially if the within-cell variation is small. Even though we cannot give a clear-cut definition of when to do this and when not to, there will surely be occasions when doing so seems reasonably safe. At least on these occasions, it would seem to be an acceptable procedure. After all, for the person whose data they are, the case of a balanced data analysis is certainly worthwhile. This method does not involve discarding data—nor is it described as such—only setting it aside. After setting the data aside and making the balanced data analysis, we can return the data and repeat the process. We can make a different random selection of the data, set it aside and do another balanced analysis. It will of course not be statistically independent of the first analysis. If the conclusions stemming from it are different from those of the first analysis, the result is confusion and not enlightenment. If, when we do further analysis and get additionally different conclusions, we compound the confusion. This confusion might not arise very often for cases where only “a few” observations are set aside and within cell variability is small. Indeed, if such confusion does arise one might suspect that some of the set aside observations might be outliers and be treated as such. Indeed, outliers should probably be set-aside in the first place. Nevertheless, this method should be used with caution. In the worst-case scenario, one can always retreat to the unbalanced data analysis. Perhaps, after a lot of computer simulation, one might be able to put forth some “rules of thumb” as to when this method might be appropriate. c. Analysis of Means (i) Unweighted Means Analysis. When all sub-most cells are filled, an easily calculated analysis is to treat the means of those cells as observations and subject them to a balanced data analysis. This procedure is due to Yates (1934). Of course, this is only an approximate analysis. As usual, the degree of the approximation depends on the extent to which the unbalanced data are not balanced. The calculations for this analysis are straightforward. The method is known as the unweighted means analysis and proceeds as follows: Suppose the model for yijk is as in equation (51) of Section 2a of Chapter 7, yijk = ������ + ������i + ������j + ������ij + eijk. For each cell, calculate the mean xij = ȳ ij. = ∑nij yijk . nij k=1 Table 8.12 shows the unweighted means analysis.

480 SOME OTHER ANALYSES TABLE 8.12 Unweighted Means Analysis for a Two-Way Crossed Classification Source of Variation d.f. Sum of Squares Mean Square Rows a−1 ∑a MSAu Columns b−1 SSAu = b (x̄i. − x̄..)2 MSBu Interaction (a − 1)(b − 1) MSABu Residual Error N − ab i=1 MSE ∑b SSBu = a (x̄.j. − x̄..)2 j=1 SSABu = ∑a ∑b (xij − x̄i. − x̄.j. + x̄..)2 i=1 j=1 SSE = ∑a ∑b ∑n (yijk − ȳij.)2 i=1 j=1 k=1 Several facets of Table 8.12 are worth noting. 1. The means of the xij’s are calculated in the usual manner, for example, x̄ i. = ∑b xij∕b. j=1 2. The residual error sum of squares, SSE, is exactly as calculated in the model for yijk of Section 2 of Chapter 7. t∑o Sjb=S1Txi2j=−∑x.2.y∕2a. bT,hbeuftirasltl 3. The SsuSmBuo,fasnqduaSrSeAs dBoueasdndottoad∑d aiu=p1 three add to SSAu, and four do not add to SST. 4. The sums of squares SSAu and SSBu do not have������2-distributions nor are they independent of SSE. Expected values of the mean squares are as follows. E(MSAu) = b ∑a + ���̄���i. − (���̄���. + ���̄���..)]2 + nh������e2 a−1 [������i i=1 ∑a E(MSBu) = a [������j + ���̄���.j − (������̄. + ���̄���..)]2 + nh������e2 (65) b−1 i=1 E(MSABu) = 1 ∑a ∑b − ���̄���i. − ���̄���.j + ���̄���..)2 + nh������e2 (a − 1)(b − 1) (������ij i=1 j=1 E(MSE) = ������e2 with 1 = 1 ∑a ∑b 1 , nh ab i=1 j=1 nij nh being the harmonic mean of all ab nij’s.

DATA HAVING ALL CELLS FILLED 481 TABLE 8.13 nij-Values 192 250 175 320 168 270 Since the mean squares of (65) do not have ������2-distributions, their ratios do not provide F-statistics for testing hypotheses. However, Gosslee and Lucas (1965) sug- gest that they provide reasonably satisfactory F-statistics using amended degrees of freedom for the numerator mean squares. For example, the numerator degrees of freedom suggested for MSAu/MSE is (a − 1)2 ( ∑a )2 1∕hi. i=1 fa′ = ( ∑a )2 ∑a , (66) 1∕hi. + (a − 1∕hi2. 2) i=1 i=1 where hi. = 1 ∑b 1 b nij j=1 with 1∕hi. being the harmonic mean of the nij’s of the cells of the ith row. The origin of (66) in Goslee and Lucas (1965) is that of equating the first two moments of MSAu to the first two moments of a ������2-distribution, in the manner of Section 4i of Chapter 2. Although these amended degrees of freedom modify MSAu/MSE to be an approximate F-statistic, we see from (65) that the hypothesis it tests is equality of ������i + ���̄���i. for all i. Alternatively, and indeed very reasonably, we can interpret the test as testing equality of the row effects in the presence of the average interaction effects. This hypothesis may often be of interest. The question attaching to any approximate analysis suggested as a substitute for exact unbalanced analysis remains: when can the unweighted means analysis be used? As usual there is no decisive answer (apart from requiring trivially that nij > 0). Since the unweighted means analysis uses cell means as if they were observations with uniform sampling error, a criterion for using the analysis is to require that these sampling errors be approximately the s1a∕m√en. iTj hthisatdtehme avnadlusesthoaft since the sampling error of a cell mean is proportional to √ 1∕ nij are approximately equal. What “equal” in this context means is necessarily √ vague. For example, the values of 1∕ nij are approximately equal for the cells of Table 8.11 and for those of Table 8.13, but not for Table 8.14. Unweighted means TABLE 8.14 nij-Values 10 17 200 130 22 9

482 SOME OTHER ANALYSES TABLE 8.15 An Example of Two Rows and Three Columns Column Row 1 2 3 Total 1 7 2 3 11 4 9 42(7)6 2 6 – – – 198(9)22 Total 18(2)9 12(3)4 12(2)6 240(16)15 11 15 38 14 16 46 17 19 22 – – – 84(2)42 42(3)14 72(4)18 60(5)12 84(7)12 analyses would therefore seem appropriate for data having the√values of Table 8.11 or 8.13 but not for Ta√ble 8.14. In Table 8.14, we observe that 1∕ 9 is more than four tim√es as large as 1∕ 200. Maybe a ratio of 2:1 could be tolerated in the values of 1∕ nij, for using an unweighted data analysis, but probably not a ratio as large as 4:1. The appropriate analysis for Table 8.14 is the unbalanced data analysis. (ii) Example. Example 5 Numerical Illustration of Unweighted Analysis of Means Suppose data for two rows and three columns are as shown in Table 8.15. The layout of data follows the same style as Table 7.6. Each triplet of numbers represents a total of observations, the number of observations in that total in parenthesis, and the corresponding mean. The unweighted analysis of means of this data is based on the cell means, sum- marized in Table 8.16. Fitting the model xij = ������ + ������i + ������j + eij TABLE 8.16 Cell Means of Table 8.15 Column Total Row 1 2 3 19 74 1 946 93 2 14 18 42 Total 23 22 48

DATA HAVING ALL CELLS FILLED 483 TABLE 8.17 Example of Table 8.12: Unweighted Means Analysis of Data of Table 8.15 Source of Variation d.f Sum of Squares Rows 1 SSAu = 1945.667 − 1441.5 = 504.167 Columns 2 SSBu = 1658.5 − 1441.5 = 217 Interaction 2 SSABu = 2417 − 1945.667 − 1658.5 + 1441.6 = 254.333 Residual error 10 SSE = 114 to the values of Table 8.16 gives R(������) = 932 = 1441.5 6 R(������, ������) = 192 + 742 = 1945.667 3 R(������, ������) = 232 + 222 + 482 = 1658.6 2 and R(������, ������, ������) = 92 + 42 + ⋯ 422 = 2417. From these, we calculate the first three terms of Table 8.12 as shown in Table 8.17. The last term, SSE comes directly from the data of Table 8.15 as ( )( ) SSE = 72 + 112 − 182 + ⋯ + 382 + 462 − 842 = 114, 23 the sum of the within-cell sum of squares. We can calculate F-statistics in the usual fashion. Observe that equation (66) simplifies to unity when a = 2. Thus, by (66) the amended degrees of freedom for MSAu/MSE are fa′ = 1. To illustrate the calculation of (66), we derive the comparable value of fb′ as follows. We have 1 = 1 ( 1 + 1 ) = 5 , 1 = 1 ( 1 + 1 ) = 7 , and 1 = 1 ( 1 + 1 ) = 1 . h.1 2 2 3 12 h.2 2 3 4 24 h.3 2 2 2 2 Then, ∑3 1 = 100 + 49 + 144 = 293 j=1 h2.j 242 242 and ∑3 1 = (10 + 7 + 12) = 29 . j=1 h.j 24 24 By substitution, fb′ = (3 − 1)2(29∕24)2 = 3364 = 1.96. □ (29∕24)2 + (3 − 2)3(293∕242) 1720

484 SOME OTHER ANALYSES (iii) Weighted Squares of Means. Yates (1934) also suggested an alternative anal- ysis of means known as the weighted squares of means. This is due to Yates (1934). An important advantage of the weighted analysis is that it provides mean squares that do have ������2-distributions. Hence, F-statistics will be available for hypothesis testing. The analysis is based on sums of squares of the means xij = ȳij defined in 3c(i). In this analysis, we weight the terms in those sums of squares in inverse proportion to the variance of the term concerned. Thus in place of ∑a SSAu = b (x̄i. − x̄..)2 i=1 of Table 8.12, we use ∑a SSAw = wi(x̄i. − x̄[1])2, i=1 where wi is ������2∕v(x̄i.) and x̄[1] is the weighted mean of the x̄i’s weighted by the wi’s. See Table 8.18 for details. Like t∑heys2u. mHoowf esvqeura, rwesheinn Table 8.12 the sums of squares in Table 8.18 do not add up to the sums of squares are divided by ������2 they do have ������2-distributions. As a result the F-statistics MSAw/MSE, MSBw/MSE and MSABw/MSE do provide exact tests of the hypotheses concerning TABLE 8.18 Weighted Means Analysis for a Two-Way Crossed Classification Source of Variation d.f. Sum of Squaresa Mean Square Rows a−1 ∑a MSAw Columns b−1 SSAw = wi(x̄i. − x̄[1])2 MSBw Interaction (a − 1)(b − 1) i=1 MSABw = MSABu Residual error N − ab MSE ∑b SSBw = vj(x̄.j − x̄[2])2 j=1 SSABw = SSABu of Table 8.12 ∑a ∑b = (xij − x̄i. − x̄.j + x̄..)2 i=1 j=1 SSE = ∑a ∑b ∑n (yijk − ȳij.)2 i=1 j=1 k=1 ( ∑b )−1 ∑a wix̄i. ( ∑a )−1 ∑b vjx̄.j 1 1 1 a wi = 1 j=1 and x̄[1] = i=1 . vj = i=1 and x̄ [2] = j=1 . b2 nij a2 nij ∑a wi ∑b vj i=1 j=1

DATA HAVING ALL CELLS FILLED 485 the ������’s, ������’s and ������’s. We ascertain the exact form of the hypotheses by considering expected values of the mean squares. They are ⎡ ∑a wi(������i + ���̄���i.) ⎤2 ⎥ 1 ∑a ⎢ i=1 ⎥ + ������e2 E(MSAw) = a−1 wi ⎢⎢������i + ���̄���i. − ∑a ⎥ (67a) i=1 ⎣⎢ wi ⎦⎥ i=1 and ⎡ ∑b vj(������j + ���̄���.j) ⎤2 ⎢ ⎥ E(MSBw) = 1 ∑b ⎢⎢������j + ���̄���.j − j=1 ⎥ + ������e2. (67b) − vj ⎢ ⎥ b 1 ⎢⎣ ∑b ⎥ j=1 vj ⎥⎦ j=1 Hence, F = MSAw∕MSE tests the hypothesis H: (������i + ���̄���i.) all equal. (68) As was the case for the unweighted analysis of means [Table 8.12] and the expected values in (65) here, the hypothesis (68) involves the ���̄���i’s. If, as a restriction on the model, we assume that ���̄���i. = 0 for all i, the hypothesis is then one of testing the equality of the ������i’s where the weights are the wi’s. Alternatively, without any restriction, the hypothesis is that of testing equality of the row effects in the presence of the average interaction effects. The important difference from the un-weighted analysis is, though, that the F-statistics of Table 8.18 have exact F-statistics whereas those of Table 8.12 have only approximate F-distributions. We shall return to Tables 8.12 and 8.18 when we discuss variance components in Chapter 10. (iv) Continuation of Example. Example 6 Calculation of Table 8.18 for the Data of Tables 8.14 and 8.16 We have that the w’s are w1 = [1 (1 + 1 + 1 )]−1 = 27 and w2 = [1 (1 + 1 + 1 )]−1 = 108 . 9 2 3 2 4 9 3 4 2 13

486 SOME OTHER ANALYSES The v’s are v1 = [1 (1 + 1 )]−1 = 24 , v2 = [1 (1 + 1 )]−1 = 48 4 2 3 5 4 3 4 7 [1 (1 1 )]−1 and v3 = 4 2 + 2 = 4. Now, () () 27 19 + 108 74 3 = 477 x̄[1] = 4 3 13 29 27 + 108 4 13 and thus, SSAw = 27 ( 19 − 477 )2 + 108 ( 74 − 477 )2 = 1251.72. 4 3 29 13 3 29 Furthermore, () () () 24 23 48 22 48 2 + 7 2 +4 2 = 1983 x̄[2] = 5 7 24 + 48 + 4 57 and SSBw = 24 ( − 1,983 )2 + 48 ( − 1,983 )2 ( − 1,983 )2 5 23 137 7 22 137 + 4 48 137 2 2 2 = 66,882 = 488.19. 137 Table 8.18 therefore becomes as shown in Table 8.19. TABLE 8.19 Example of Table 8.18: Weighted Squares of Means Analysis of Data in Table 8.15 Source of Variation d.f. Sum of Squares Rows 1 SSAw = 1,251.72 Columns 2 SSBw = 488.19 Interaction 2 SSABw = 254.33 = SSABu of Table 8.17 Residual error 10 SSE = 114 □

EXERCISES 487 TABLE 8.20 nij-Values (A) 27 32 0 3 1 (B) 11 12 2 0 2 (C) 1 0 27 16 24 (D) 0 8 15 21 22 d. Separate Analyses Suppose data had the nij values shown in Table 8.20. For purposes of discussion, dashed lines divide the data into four sets A, B, C, and D. The only appropriate way of analyzing the complete set of data represented by the nij-values of Table 8.20 would be to use unbalanced data analysis. This is because of the empty cells and widely disparate values of the non-zero nij’s. Such an analysis, using the interaction model of Section 2 of Chapter 7, would provide no testable hypothesis concerning row (or column) effects unencumbered by interactions. Keeping this in mind, observe that in the four cells labeled A, and the six labeled D, all cells are filled. Moreover, in B and C, there are few data and several empty cells. This prompts the suggestion of making two separate analyses, one of the cells A and one of the cells D using an analysis of means in both cases. In analyzing A, comparison between rows 1 and 2 and columns 1 and 2 can be made. Likewise, from analyzing D, comparisons among rows 3 and 4 and columns 3, 4, and 5 could be made. Of course, comparisons that cut across these groups of rows and columns are precluded by such an analysis. However, then the only alternative is an unbalanced data analysis that provides no satisfactory information on such comparisons anyway in the interaction model. Therefore, it would seem just analyzing A and D would cause little to be lost. When data of the nature alluded to in Table 8.20 occur, one might immediately question the process by which nij-values of such disparate sizes and groupings have arisen. Be that as it may, in analyzing large-scale survey-size data such as are discussed in Section 1, the suggestion has sometimes been made of analyzing just the all-cells- filled subsets of cells that occur throughout the data. Although such a suggestion might be open to criticism, it might not be unreasonable in a small situation such as that envisaged in Table 8.20—should it ever arise. It amounts to analyzing sets of data that are what might be called “weakly connected.” In Table 4.20, cells labeled B and C do have data in them, but very small amounts compared to A and D. If B and C did not contain any data at all then the sets A and D would be disconnected sets of data and they would have to be analyzed separately. As it is, analyzing A and D separately and ignoring B and C would be easy both to compute and interpret. For these reasons, it may be preferable to analyzing the complete data as one analysis. 4. EXERCISES 1 (a) Use equation (22) to confirm (42). (b) Write down the normal equations for the data of Table 8.5 using (25) as the model. (c) Derive the solution given in (42) and (44).

488 SOME OTHER ANALYSES TABLE 8.21 Two Groups of Students Totals Received Lecture Received Programmed Text n∑ 31 31 ∑ x1 2139 2149 x2 3100 3100 ∑ x12 148,601 157,655 ∑ x22 318,990 319,920 ∑ 216,910 224,070 x1x2 2 For the data of Table 8.5 fit each of the following models and calculate the analyses of variance of Tables 8.4a and 8.4b. Suggest appropriate hypotheses and test them. (a) The covariate affects y linearly, in the same manner for all high school gradu- ates as it does college graduates, but differently for those who did not complete high school. (b) The covariate affects y in both a linear and quadratic manner, the same for everyone. 3 Townsend (1969) gives data about an experiment designed to determine if the usual lecture-type presentation could be replaced by a programmed text (See Table 8.21.). A class of 62 students was randomly divided into two groups, with one group receiving the usual lectures while the other was given a programmed textbook for independent study. At the end of the semester, both groups were given the same examination. In addition to the final exam score (x1), a measurement of IQ (x2) was recorded for each student. (Other educational studies indicate that the performance may be linearly related to IQ.) Using the basic calculations shown in Table 8.21 carry out a covariance analysis testing any hypothesis you think suitable. 4 The following table shows milligrams of seed planted, corresponding to the yield data in Table 7.6. Variety Treatment 1 2 3 4 1 2–73 45 3 2 56–– 34 3 –664 286 5 7

EXERCISES 489 Using this data and the data of Table 7.6 for covariance models (58)–(62), find the b’s and give the ANOVA Tables 8.3a and 8.3b. 5 Consider equations (64) with the constraints ������1◦ + ������2◦ = 0 and ������1◦ + ������2◦ = 0. Show that the solution for u◦ is u◦ = 2y1.. + 3y.3. − y... . 32 This would be the form of equation (63). 6 Calculate the exact unbalanced data analyses for the data of Table 8.15 and compare them with Tables 8.17 and 8.19. 7 The following data from Wright and Wilson (1979) gives the silt and clay content for three contiguous sites in Murcia, Spain. Two values are missing. Site Silt or Clay 1 Silt 46.2 36.0 47.3 x 30.9 Clay 30.3 27.6 40.9 32.2 33.7 2 Silt Clay 40.0 48.9 48.7 44.5 30.3 3 Silt y 32.8 36.5 37.7 34.3 Clay 41.9 40.7 44.0 32.3 37.0 34.0 36.6 40.0 30.1 38.6 Think of the two substances as nested within sites. Estimate the missing values and perform the ANOVA. 8 Four different formulations of industrial glue are being tested. The tensile strength of the glue when it is applied to join parts is also related to the application thickness. Five observations on strength in pounds y and thickness z in 0.01 inches are obtained for each formulation. The data shown in the table below are taken from Montgomery (2005), and reproduced with kind permission from John Wiley & Sons. 1 Glue Formulation 4 yz 23 yz 46.5 13 y zy z 44.7 16 45.9 14 43.0 15 49.8 12 48.7 12 46.3 15 51.0 10 46.1 12 49.0 10 47.1 14 48.1 12 44.3 14 50.1 11 48.9 11 48.6 11 48.5 12 48.2 11 45.2 14 50.3 10

490 SOME OTHER ANALYSES (a) Do the analysis of covariance and determine if at the 10% level of significance there is a significant difference in the tensile strength of the glue formulations. Estimate the pooled within-class regression estimator. (b) Estimate the adjusted treatment means m̂ iadj = ȳi. − b̂(z̄i. − z̄..) for the tensile strengths for each of the four formulations. (c) The standard error of the difference between two adjusted treatment means is given by [( (ȳ i. − ȳ j. )2 )]1∕2 MSE 2 se = + n SSEzz Find 90% Bonferonni simultaneous confidence intervals on the difference between formulations 1 and 2 and 3 and 4. 9 The data below is due to Cameron and Pauling (1976). It is taken from Anderson and Herzberg (1985) and reproduced with kind permission of Springer Verlag. It compares the survival time, in days, of individual cancer patients who received vitamin C with the mean survival time of controls in days consisting of 10 patients who did not receive vitamin C. The survival time is that from first hospital attendance after the cancer reached the terminal stage. Three kinds of cancer are considered. The age of the patient in years is the covariate. Stomach Bronchus Colon Age Vitamin C Control Age Vitamin C Control Age Vitamin C Control 76 248 292 61 124 264 74 81 72 134 58 377 492 69 42 62 74 461 84 49 189 462 62 25 149 66 20 98 48 69 1843 235 66 45 18 52 450 142 113 70 180 294 63 412 180 48 246 90 30 68 537 144 79 51 142 64 166 56 260 50 519 643 76 1112 35 70 63 116 87 74 455 301 54 46 299 77 64 69 100 66 406 148 62 103 85 71 155 315 188 76 365 641 69 876 69 70 859 56 942 272 46 146 361 39 151 65 776 198 57 340 269 70 166 74 372 37 59 396 130 70 37 58 163 199 55 223 60 101 154 74 138 77 20 649 69 72 38 383 162 73 245 (a) Perform an analysis of covariance to determine whether 1. There is a significant difference in the survival time for patients who received vitamin C amongst the three types of cancer.

EXERCISES 491 2. There is a significant difference in the survival time for patients in the control for the three types of cancer. In each case, does the age of the patient affect the result? (b) For each kind of cancer perform a paired t-test to determine whether patients who receive the vitamin C survive longer than the patients who do not. Also, do a t-test when the results for all three kinds of cancer are combined. 10 The data below are concerned with the initial weights and growth rates of 30 pigs classified according to pen, sex, and type of food given. It is taken from Rao (1973, p. 291) and reproduced with the kind permission of John Wiley & Sons. Initial Growth Rate in Pen Treatment Sex Weight (w) Pounds per Week (g) I A G 48 9.94 B G 48 10.00 C G 48 C H 48 9.75 B H 39 9.11 A H 38 8.51 9.52 II B G 32 C G 28 9.24 A G 32 8.66 C H 37 9.48 A H 35 8.50 B H 38 8.21 9.95 III C G 33 A G 35 7.63 B G 41 9.32 B H 46 9.34 C H 42 8.43 A H 41 8.90 9.32 IV C G 50 A H 48 10.37 B G 46 10.56 A G 46 B H 40 9.68 C H 42 10.98 V B G 37 8.86 A G 32 9.51 C G 30 B H 40 9.67 C H 40 8.82 A H 43 8.57 9.20 8.76 10.42

492 SOME OTHER ANALYSES (a) Perform the analysis of variance including the interaction between treatment and sex. (b) Perform the analysis of covariance where the covariate (the initial weight of the pigs) is fitted first. (c) What is the difference in terms of significance of the factor with and without considering the initial weight of the pigs? 11 (a) Derive the distributions of R(a) and SSRB shown in Table 8.3b. (b) Show that R(a), SSRB and y′y − R(a) − SSRB are pairwise independent. 12 (a) For the general covariance model of Section 2a(i) and P of equation (10), prove that Z′PZ is non-singular. (b) Using the result of (a), prove that b◦ is estimable with respect to the model (6). (c) Show that ������′a is estimable under the same conditions that it is estimable for the model without covariates. 13 Show that (a) The estimator b◦ = b̂ = (Z′PZ)−1Z′Py is unbiased for b. (b) For estimable parametric functions, the estimator p′a◦ = p′((X′X) X′y − (X′X) X′Zb◦) is unbiased for p′a. (c) If (X′X)− is reflexive, the variance covariance matrix of a◦ and b◦ is [ var(a◦) cov(a◦, b◦)] = [X′X X′Z]− ������2 cov(a◦, b◦)′ var(b◦) Z′X Z′Z What can you do if (X′X)− is not reflexive? 14 Graybill (1961, p. 392) gives the F-statistic for testing H: all ������’s equal in the one-way classification, with one covariate (in our notation) { [ ]} (SSRm,yz + SSEyz)2 (SSEyz)2 1 SSRm,yy + SSEyy − SSRm,zz + SSEzz − SSEyy − SSEzz . (c − 1)���̂���2 Show the equivalence of this to R(������, ������|b) of Table 8.4b. 15 Derive an expression for SSE of Tables 8.3a and 8.3b which suggests that it is the residual sum of squares for fitting a linear model to Py. Describe the model. 16 Show that the error sum of squares in Tables 8.4a and 8.4b is the same as that of fitting the model y − b̂ z = Xa + e for b̂ of (33) where the solution for a◦ is that given before equation (32). 17 Show that in Table 8.7, the statistic for testing the hypothesis H: ������i + biz̄i. equal for all i is R(������|������)∕(c − 1)���̂���2. [Hint: Use the result of the discussion in Sub-section 2a(vi) and Exercise 19 of Chapter 7.]

9 INTRODUCTION TO VARIANCE COMPONENTS The main interest in the models of Chapters 5–8 is estimation and tests of hypothesis about linear functions of the effects in the models. These effects are what we call fixed effects. The models are called fixed-effect models. However, there are situations where we have no interest in fixed effects. Instead, because of the nature of the data and the effects we are studying, our main interest would be in the variance. These kinds of effects are called random effects. The models involving them are called random-effects models. Models that involve a mixture of fixed effects and random effects are called mixed models. The first major topic of this chapter is how to distinguish between fixed effects and random effects. We take this up by giving examples that illustrate the differences between these two kinds of effects. We emphasize the meaning and the use of these models in different situations without giving the mathematical details. The variances associated with random effects are called variance components. The second major topic of this chapter is the estimation of variance components from balanced data. Chapter 10 deals with the more difficult topic of estimating variance components from unbalanced data. 1. FIXED AND RANDOM MODELS Although the models of Chapters 5–8 are fixed-effects models, this is the first time we have referred to them as such. Therefore, our discussion of fixed and random effects begins with a fixed-effects model to confirm the use of this name. Linear Models, Second Edition. Shayle R. Searle and Marvin H. J. Gruber. © 2017 John Wiley & Sons, Inc. Published 2017 by John Wiley & Sons, Inc. 493

494 INTRODUCTION TO VARIANCE COMPONENTS a. A Fixed-Effects Model A classic experiment in agricultural research concerns testing the efficacy of nitrogen (N), potash (P), and potassium (K) on crop yield. Suppose an experiment of this kind involves 24 plants, with six plants receiving nitrogen, six plants getting potash, six plants potassium, and six plants getting no fertilizer at all, these being considered as control (C). A suitable model for analyzing the results of this experiment would be the one-way classification model (see Section 2 of Chapter 6). The model would then be yij = ������ + ������i + eij, (1) where yij is the jth observation on the ith treatment, with ������ being a mean, ������i being the effect of the treatment i and eij an error term in the usual way. Analysis of this experiment can lead to estimating ������1 − ������4, for example, and to testing the hypothesis H: ������1 − ������4 = 0. When studying differences of this nature, consider the treatments that we are dealing with. They are four very specific treatments of interest. In using them, we have no thought for any other kinds of fertilizer. Our sole interest is the study of N, P, and K in relation to each other and to no fertilizer. This is the concept of fixed effects. We fix our attention upon just the treatments of the experiment, upon these and no others. Thus, the effects are called fixed effects. Furthermore, because all the effects in the model are fixed effects (apart from the error terms which are always random), the model is called the fixed-effects model. It is often referred to as Model I, so named by Eisenhart (1947). The inferences that we draw from data always depend on how we obtain the data. Therefore, we consider a sampling process that is pertinent to this fixed-effects model where the ������’s are the fixed effects of the four treatments, N, P, K, and C. We think of the data as one possible set of the data that we derive by repetitions of the experiment. On each occasion in these repetitions, the e’s are a random sample from a population of error terms distributed as (0, ������e2I). From this point on, we shall use ������e2 in place of ������2 for the residual error variance. The randomness associated with the obtaining the e’s is what provides the means for making inferences about the functions of the ������i’s and about ������e2. b. A Random-Effects Model Suppose a laboratory experiment is designed to study the maternal ability of mice uses litter weights of 10-day-old litters as a measure of maternal ability, after the manner of Young et al. (1965). Six litters from each of the four dams (female parents), all of one breed, constitute the data. A suitable model for analyzing the data is the one-way classification model yij = ������ + ������i + eij. (2) For this model, yij is the weight of the jth litter from the ith dam. The effect due to the ith dam is ������i and eij is the customary error term.

FIXED AND RANDOM MODELS 495 Consider the ������i’s and the dams they represent. The data relate to maternal ability. This is a variable that is certainly subject to biological variation from animal to animal. Therefore, the prime concern of the experiment will probably not center on specifically the four female mice used in the experiment. After all, they are only a sample from a large population of mice, the females of the breed. Each of these females has some ability in a maternal capacity. Therefore, the animals that are in the experiment are thought of as a random sample of four from a population of females. In the fertilizer experiment previously described, each fertilizer is of specific importance and interest, with no thought of it being a sample from a population of fertilizers. However, in the mouse experiment, each mouse is merely a sample (of one) from a population of female mice. Nothing important has conditioned our choice of one mouse over the other. We have no specific interest in the difference between any one of our four mice and any other of them. However, interest does lie in the extent to which maternal ability varies throughout the population of mice. It is to this end that our model is directed. The sampling process involved in obtaining the mouse data is taken as being such that any one of the many possible sets of data could be derived from repetitions of the data gathering process. By concentrating attention on repetitions, we do not confine ourselves to always having the same four mice. We imagine getting a random sample of four on each occasion from the population of mice. In addition, whatever four mice we get on any occasion, we think about getting a random sample of e’s from a population of errors as was the case with the fixed-effects model. Our concept of error terms is the same for both the fixed-effects model and the random-effects model. The important difference between the two models is that in the fixed-effects model, we conceive of always having the same ������’s, the same treatments, while in the random-effects model, the mice data, we think of taking a random sample of mice on each occasion. Thus, the ������i’s of our data are a random sample from a population of ������’s. Insofar as the data are concerned, the ������i’s therein are random variables. In this context, we call them random effects. Correspondingly, the model is called the random-effects model or, sometimes, the random model. Eisenhart (1947) called it Model II. This name continues to receive widespread use. In each model, the error terms are a random sample from a population distributed as (0, ������e2I). However, for the fixed-effects model, the ������’s represent the effects of specific treatments while in the random model the ������’s are also a random sample from a population that is distributed as (0, ���������2��� I). In addition, sampling of the ������’s is assumed to be independent of that of the e’s and so covariances between the ������’s and the e’s are zero. Furthermore, if the distribution of the ������’s was to have a non-zero mean ������������, we could rewrite the model (2) as yij = (������ + ������������) + (������i − ������������) + eij. (3) Thus, if we define ������ + ������������ as the mean and ������i − ������������ as the dam effect, the latter would have zero mean. Therefore, there is no loss of generality in taking the mean of the ������’s to be zero.

496 INTRODUCTION TO VARIANCE COMPONENTS With the ������’s and the e’s of (2) being random variables with variances ���������2��� and ������e2, respectively, from (2), the variance of an observation is ������y2 = ���������2��� + ������e2. Accordingly, the variances ���������2��� and ������e2 are called variance components. The model is sometimes referred to as a variance component model. The objectives of using such a model are the estimation of the variance components and inferences about them. c. Other Examples (i) Of Treatments and Varieties. The fixed-effects model of equation (1) relates to four fertilizer treatments. Suppose we expand this experiment to using each of four treatments on six different plants of each of three varieties of the plant. A suitable model would be the two-way classification model with interaction. The observations yijk represent the yield of the kth plant of the jth variety receiving the ith treatment. The model is yijk = ������ + ������i + ������j + ������ij + eijk. (4) For this model, ������ is a general mean, ������i is the effect of the ith treatment on the yield, ������j is the effect of the jth variety, ������ij is the interaction, and eijk is the usual error term. Just as the treatment effects ������i were earlier described as fixed effects, so they are now. Likewise, the variety effects ������j are also fixed effects. In this experiment, interest in varieties centers solely on the three varieties that we use. There is no thought that they are a random sample from some population of varieties. Thus, we consider both the ������i and ������j and their interactions as fixed effects and we have a fixed-effects model. (ii) Of Mice and Men. Suppose the mouse experiment had been supervised by three laboratory technicians, one for each successive pair of litters that the mice had. One possible model for the resulting data would be yijk = ������ + ������i + ������j + ������ij + eijk. (5) The observation yijk represents the weight of the kth litter from the ith dam being cared for by the jth technician. The effect on litter weight of the ith dam is ������i. The interaction is ������ij. Earlier, we explained how ������i is a random effect, representing the maternal capacity of the ith dam chosen randomly from a population of (female) mice. It is not difficult to imagine ������j as being a random effect of similar nature. A laboratory experiment has to be cared for. Usually, there is little interest as far as the experiment itself is concerned in who the technician tending to it is. Reasonably, one can think of him/her as a random sample of one from some population of laboratory technicians. Thus, in the whole experiment, we have a random sample of three tech- nicians. Correspondingly, the ������j are random effects with zero mean and variance ���������2��� . Likewise, the interaction effects are also random, with zero mean and variance ���������2��� . All covariances are taken as zero. Thus, all elements of the model (5)—save ������—are random effects and we have a random model. Apart from ������, the parameters

MIXED MODELS 497 of interest are ���������2��� , ���������2��� , and ���������2��� . These represent the influence of dam, technician, and dam by technician, respectively, on the variance of y. The part of the variance that is not accounted for by these effects is ������e2, the residual variance, in the usual manner. (iii) Of Cows and Bulls Another example of the random model arises in dairy cow breeding. With the advent of artificial insemination, a bull can sire offspring in many different places simultaneously and have progeny in numerous different herds. When the females among these progeny themselves calve and start to give milk, analyses of their milk yields can be made. A suitable model for yijk, the milk yield of the kth daughter in herd i sired by bull j, is yijk = ������ + ������i + ������j + ������ij + eijk. (6) The effect of the cow’s being in herd i is ������i, ������j is the effect of bull j, ������ij is the interaction effect, and eijk is the customary random error term. In this case, all of the effects are considered random. The herds involved in the data are assumed to be a random sample from a population of herds. The bulls are taken to be from a random sample of bulls. The interaction effects are also assumed to be random. These effects are assumed to be mutually independent, with variances ���������2���, ���������2��� , ���������2��� , and ������e2, respectively. The animal breeder is interested in estimating these variances so that he/she can estimate the ratio 4���������2��� ∕(���������2��� + ���������2��� + ���������2��� + ������e2). This ratio is important in bringing about increased milk production through selective breeding. 2. MIXED MODELS A general mean ������ (a fixed effect) and error terms e (random) occur in all the preceding examples, as they do in most models. Apart from these, all effects in each of the preceding models are either fixed or random. We now consider models where some of the effects (other than ������ and e) are fixed and some are random. Such models are called mixed models. Of course, any model containing a fixed effect ������ and random error terms is truly a mixed model. However, the description of mixed models is usually reserved for situations where effects other than ������ and e are a mixture of fixed and random effects. In some situations as we shall see (Section 8 of Chapter 10), it is convenient to treat all models as if they are mixed models. Generally, however, the distinction is made between fixed, random, and mixed models as described here. We now give some examples of mixed models. (i) Of Mice and Diets. Suppose in the mouse experiment that instead of the mice being cared for by three different technicians, one man supervised the whole experi- ment. Suppose, further, that three specially prepared diets were used, with the purpose

498 INTRODUCTION TO VARIANCE COMPONENTS of the experiment being to compare the three diets. Then, if yijk is the kth litter weight of the ith dam when receiving diet j, yijk = ������ + ������i + ������j + ������ij + eijk. (7) Now, though, because the diets are three specific diets of interest, the ������j effects representing those diets are fixed effects. As before, the ������j—the dam effects—are random. Thus, (7) is a model containing fixed effects ������j and random effects ������j. This is a mixed model, a mixture of fixed and random effects. Notice that (7) contains interaction effects ������ij for interactions between dams and diets. Since dams are being taken as random effects, it is logical that these interactions are random also. Thus, the model has ������j as fixed effects and the ������j and ������ij as random, having zero means and variances ���������2��� and ���������2��� , respectively. (ii) Of Treatments and Crosses In an experiment concerning fertilizers, suppose that six plants of each of 20 replicate crosses of two varieties of the crop (early and late-ripening tomatoes, say) are used. Each cross would be a random sample from the infinite number of times the two varieties could be crossed. The equation for the model could still be equation (4). However, ������j would now be a random effect for the jth replicated cross. The ������ij would be the (random) interaction effect between the ith fertilizer treatment and the jth cross. Thus, equation (4), formerly appropriate to a fixed-effects model, is now suited to a mixed model. The equation of the model is unchanged but the meanings of some of its terms have changed. (iii) On Measuring Shell Velocities Thompson (1963), following Grubbs (1948), discusses the problem of using several instruments to measure the muzzle velocity of firing a random sample of shells from a manufacturer’s stock. A suitable model for yij the velocity of the ith shell measured by the jth measuring instrument, is yij = ������ + ������i + ������j + eij. In this model, ������i is the effect of the ith shell and ������j is the bias in instrument j. Since the shells fired are a random sample of shells the ������i’s are random effects. The ������j are fixed effects because the instruments used are the only instruments of interest. (iv) Of Hospitals and Patients The following experiment was discussed by Igor Ruczinski, an Associate Professor in The Department of Biostatistics at The Johns Hopkins University School of Public Health. The results are the basis for Exercise 19.2 of Gruber (2014, p. 263). Suppose we have three specific hospitals, four randomly chosen patients within each hospital and two independent measurements of blood coagulation in seconds. The model is yijk = ������ + ������i + ������ij + eijk, i = 1, 2, 3, j = 1, 2, 3, 4, and k = 1, 2..

FIXED OR RANDOM 499 The yijk represents the kth measurement of blood coagulation time for the jth patient in the ith hospital. The ������i represents the effect of the ith hospital. The ������ij represents the effect of the jth patient within the ith hospital. The factor patient is nested within the hospitals, so this is a nested model. Since we have three specific hospitals, ������i is a fixed effect. Since within each hospital the patients are chosen at random, ������ij is a random effect and again we have a mixed model. The variance components are ���������2���, ���������2���(������), and ������e2. The subscript ������(������) on the second term indicates that the patients are nested within the hospitals. 3. FIXED OR RANDOM Equation (4) for the treatments and varieties example is indistinguishable from (6) for the bull and herds example. However, the models involved in the two cases are different because of the interpretation attributed to the effects. In the treatments and varieties example, they are fixed. In the bulls and herds example, they are random. In these and other examples that we discuss, most of the effects are categorically fixed or random. Fertilizer treatments are fixed effects, as are diets and measuring instruments. Likewise, mice, bulls, and artillery shells are random effects. How about the laboratory technicians, where three of them cared for the mice; or the herds where the bull’s progeny were being milked? In each case, we assumed that these effects were random. However, this might not always be the case. For example, each one of the technicians may not have come from a random sample of employees. Maybe all of them were available and we wanted to assess differences between three specific technicians. In that case, the technician effects in equation (5) would be fixed effects, not random. The same might be true about the herd effects in equation (6). Typically, analyses of such data usually involve hundreds of sales that are considered a random sample from a larger population. However, if the situation was one of analyzing just a few herds, five or six, say wherein the sole interest lay in just those herds, then the herd effects in (6) would be more appropriately fixed and not random. Thus, the deciding factor that determines whether the effects of a factor are fixed or random is the situation to which the model applies. There are situations where deciding whether certain effects are fixed or random is not immediately obvious. For example, consider the case of year effects in studying wheat yields. Are the effects of years on yields to be considered fixed or random? The years themselves are unlikely to be random because they probably will be a group of consecutive years over which the data may have been gathered or the experiments run. However, the effects on the yield may reasonably be considered random—unless, perhaps, one is interested in comparing specific years for some purpose. When attempting to decide whether effects are fixed or random in the context of the data, the determining factors are the manner in which the data were gathered and the environment it came from. The important question is for what levels of the factors under consideration are inferences to be drawn? If the inferences were to be just for the specific factors being thought about, then the effects would be considered fixed. On the other hand, if the inferences are being made not just about the levels occurring

500 INTRODUCTION TO VARIANCE COMPONENTS in the data but about some population from which the data are considered to be a random sample, then the effects would be considered as random. We emphasize that the assumption of randomness does not include with it the assumption of normality. This assumption is frequently made for random effects. However, it is a separate assumption, made after assuming that the effects are ran- dom. Although most estimation procedures for variance components do not require normality, the normality of random effects is often assumed when distributional properties of the estimators are investigated. 4. FINITE POPULATIONS We assume that random effects occurring in data are from a population of effects. Usually, we assume that the populations have infinite size like, for example, the population of all possible crosses between two varieties of tomato. They could be crossed an infinite number of times. However, the definition of random effects does not demand infinite populations of such effects. They can be finite. Furthermore, finite populations can be very large, so large that they can be considered infinite for all practical purposes. For example, consider the population of all mice in New York State on July 4, 2015! Hence, random effects factors can have conceptual populations of three kinds insofar as their size is concerned: infinite, finite but so large as to be deemed infinite and finite. We shall concern ourselves with random effects coming solely from populations that we assume are infinite either because this is the case or because, although finite, the population is large enough to be taken as infinite. These are the situations that occur most often in practical problems. Discussion of finite populations, in particular, variance components, may be found in several places. See for example, Bennett and Franklin (1954, p. 404), Gaylor and Hartwell (1969), and Sahai (1974). Searle and Fawcett (1970) give rules for converting the estimation procedure of any infinite- population situation into one of finite populations. 5. INTRODUCTION TO ESTIMATION We consider an important and frequently used method for the estimation of variance components in balanced data. For unbalanced data, there are a number of methods available that simplify to the method that we are about to present for balanced data. For this reason, we consider balanced data first. The method of estimating variance components for any random or mixed model relies on the mean squares of the analysis of variance for the corresponding fixed-effects model. The general procedure consists of calculation of the analysis of variance as if the model were a fixed-effects model and then deriving the expected values of the mean squares under the random or mixed model. Certain of the expected values will be linear functions of the variance components. Equating these expected mean squares to their calculated (observed) values leads to linear equations in the variance components. The solutions to these

INTRODUCTION TO ESTIMATION 501 linear equations are taken to be the estimators of the variance components. This method of estimating variance components is known as the analysis of variance method. Mean squares in analysis of variance are quadratic forms in the observations. Therefore, we can derive their expected values from Theorem 4 of Chapter 2, wherein V is the variance–covariance matrix of the observations. Although for balanced data, this is not the easiest method for calculating the expected values for mean squares, it is instructive to demonstrate the form of the V-matrix for a simple random model. It is the basis of such matrices for unbalanced data for which Theorem 4 of Chapter 2 is of utmost importance. We illustrate this by means of the mouse example of Section 1b. a. Variance Matrix Structures In all the fixed-effects models of Chapters 5–8, the covariance matrix of the observa- tions var(y) has been of the form ������e2IN. However, the form of the covariance matrix for random and mixed models is different because the covariance structure of the random effects is what determines the variance–covariance matrix of the vector of observations. Suppose we rewrite the model for the mouse example, equation (2) as yij = ������ + ������i + eij, (8) where ������ and eij are the same as in (2) and ������i is now used in place of ������i. Thus, ������i is a ran- dom effect with zero mean and variance ���������2���. It is independent of the e’s and the other ������’s. Thus, we have that E(������i������k) = 0 for i ≠ k and E(������iei′j′ ) = 0 for all i, i′, and j′. From this we have, cov(yij, yi′j′ ) = ⎧ ���������2��� + ������e2 for i = i′ j = j′ ⎪ ���������2��� for i = i′ j ≠ j′ ⎨ ⎩⎪ 0 for i ≠ i′. Hence, for example, the variance–covariance matrix for the matrix of six observations on the first dam is ⎡ ���������2��� + ������e2 ���������2��� ���������2��� ���������2��� ���������2��� ���������2��� ⎤ ⎢ ���������2��� + ������e2 ���������2��� ���������2��� ���������2��� ⎥ ⎡ y11 ⎤ ⎢ ���������2��� ���������2��� + ������e2 ���������2��� ���������2��� ���������2��� ⎥ ⎢ y12 ⎥ ⎢ ���������2��� ���������2��� ���������2��� ���������2��� + ������e2 ���������2��� ⎥ var ⎢ y13 ⎥ = ⎢ ���������2��� ���������2��� ���������2��� ���������2��� ���������2��� + ������e2 ���������2��� ⎥ ⎢ y14 ⎥ ⎢ ���������2��� ���������2��� ���������2��� ���������2��� ���������2��� ⎥ ⎢ y15 ⎥ ⎢ ���������2��� ���������2��� ���������2��� ⎥ ⎢ y16 ⎥ ⎢ ⎥ ⎣⎢ ⎥⎦ ⎢ ���������2��� ⎥ ⎢⎣ ���������2��� + ������e2 ⎦⎥ = ������e2I + ���������2���J. (9)

502 INTRODUCTION TO VARIANCE COMPONENTS We meet this form of matrix repeatedly: ������1I + ������2J, where ������1 and ������2 are scalars, usually variances, and J is a square matrix with every element unity. In the present case, it is the covariance matrix of the set of six litter weights from each dam. Since the weights are independent, as between one dam and another, the covariance matrix of all 24 weights can be partitioned as ⎡ ������e2I + ���������2���J 0 0 0⎤ ⎢ ������e2I + ���������2���J ⎥ var(y) = ⎢ 0 0 0 ⎥ , 0 0 ������e2I + ���������2���J 0 ⎥⎦ ⎢⎣ 0 ������e2I + ���������2��� J 0 0 where I and J have order equal to the number of observations in the classes, in this case 6. Using Σ+ to denote the operation of direct sum, as in Section 2a of Chapter 6, we write ∑4 (10) var(y) = +(������e2I + ���������2���J). i=1 We will make frequent use of the notation in (10), especially with unbalanced data, in the form ∑a +(������e2Ii + ���������2���Ji) where Ii and Ji have order ni. i=1 b. Analyses of Variance The one-way classification model of Section 2d of Chapter 6 is suitable for the fertilizer experiment discussed in Section 1a. We show its analysis of variance in Table 9.1 based on Table 6.4. The basic use of Table 9.1 is to summarize calculation of the F-statistic MSRm/MSE for testing H: all ������’s equal. The lower section of the table contains the expected value of the mean squares. We usually do not show this for the fixed- effects model. Nevertheless, its presence emphasizes the hypothesis that can be tested by the F-statistic. This is true because, for F = Q∕s���̂���2 used so much in the earlier chapters, [ [E(Q) − s������2] ] s, 2������2 F ∼ F′ N − r, . We can show this by applying Theorems 4 and 5 of Chapter 2 to Q. Therefore, the hypothesis concerning s LIN estimable functions that makes [E(Q) − s������2] zero is tested by comparing F = Q∕s���̂���2 against the central F(s, N − r) distribution.

INTRODUCTION TO ESTIMATION 503 TABLE 9.1 Analysis of Variance for Four Fertilizer Treatments Each Used on Six Plants Source of d.f. Sum of Squares Mean Squares Variation Mean 1 SSM = R(������) = 24y2.. MSM = SSM/1 Treatments 3 SSRm = R(������|������) MSRm = SSRm / 3 ∑4 MSE = SSE/20 = 6(ȳi. − ȳ..)2 Residual error 20 i=1 SSE = SST − R(������, ������) = ∑4 ∑6 (yij − yi.)2 i=1 j=1 Total 24 SST = ∑4 ∑6 y2ij i=1 j=1 Expected mean squares ( ∑4 )2 E(MSM) = 24 ������ + 1 ������i 4 i=1 E(MSRm) = 6 ( ∑4 )2 + ������e2 3 ∑4 −1 ������i 4 i=1 ������i i=1 E(MSE) = ������e2 Example 1 Test of Hypothesis in Table 9.1 In Table 9.1 ∑4 E(SSRm) = 6 (������i − ���̄���.)2 + 3������e2. i=1 Hence F = SSRm∕3������e2 tests the hypothesis that makes 6 ∑4 (������i − ���̄���.)2 zero, namely, i=1 H: ������1 = ������2 = ������3 = ������4. □ Expected mean squares are useful in indicating the hypotheses tested by the corresponding F-statistic. However, the reason we show them in Table 9.1 is for comparison with the random model case of the mouse experiment in Section 1a. The fixed effects analogue of the model for the mouse experiment is the same as that of the fertilizer experiment. The variance components for the mouse experiment are estimated from the analysis of variance in Table 9.2. Except for the expected values on mean squares, Table 9.1 and 9.2 are identical. In both cases, we can obtain these expected values from Theorem 4 of Chapter 2. For Table 9.1, V = var(y) = ������2I. For Table 9.2, V is given by (10). An alternative (and often easier) derivation is the “brute

504 INTRODUCTION TO VARIANCE COMPONENTS TABLE 9.2 Analysis of Variance of Four Dams Each Having Six Litters Source of d.f. Sum of Squares Mean Squares Variation Mean 1 SSM = R(������) = 24y.2. MSM = SSM/1 Treatments 3 SSRm = R(������|������) MSRm = SSRm / 3 ∑4 MSE = SSE/20 = 6(ȳi. − ȳ..)2 Residual error 20 i=1 SSE = SST − R(������, ������) = ∑4 ∑6 (yij − yi.)2 i=1 j=1 Total 24 SST = ∑4 ∑6 yi2j i=1 j=1 Expected mean squares E(MSM) = 24������2 + 6���������2��� + ������e2 E(MSRm) = 6���������2��� + ������e2 E(MSE) = ������e2 force” one of substituting the equation of the model into the mean squares and then taking expectations using the appropriate model in each case. In practice, we do not have to use either of these methods for balanced data. Simple rules of thumb apply, as we shall see in Section 6. We do not illustrate either method here. We give an illustration for the two-way balanced data in Section 7 and for unbalanced data in Chapter 10. c. Estimation The residual error variance in the fixed-effects model of Table 9.1 is estimated in the usual way by ���̂���e2 = MSE. This is tantamount to the analysis of variance method of estimating variance components by equating mean squares to their expected values. We continue it in Table 9.2 to obtain not only ���̂���e2 = MSE but also 6���̂������2��� + ���̂���e2 = MSRm. The solutions to these equations are ���̂���e2 = MSE and ���̂������2��� = (MSRm − MSE) 6 . These are the estimators of ������e2 and ���������2���. The preceding example is the simplest illustration of estimating variance compo- nents from balanced data of a random (or mixed) model. It extends easily to other

INTRODUCTION TO ESTIMATION 505 balanced data situations. In the analysis of variance, there will be as many mean squares whose expectations do not involve fixed effects, as there are variance compo- nents to be estimated. Equating each of these mean squares to their expected values gives a set of linear equations in the variance components. The solution to these linear equations is the estimators of the variance components. For example, in Table 9.2, E(MSM) involves ������. The other expected mean squares do not and so they yield the estimators of the variance components of the model. For random models, the only expected mean square that involves fixed effects is E(MSM), that for means. In mixed models, there will also be others. However, there will also be sufficient expected mean squares that do not involve fixed effects to provide equations that yield estimators of the variance components. This is the analysis of variance method of estimating variance components. Example 2 An Example of Estimating Variance Components The data for this example are taken from a large industrial experiment performed at Eastman Kodak Company, Rochester, New York. It was obtained by courtesy of Dr. James Halavin, Professor Emeritus, School of Mathematical Sciences, Rochester Institute of Technology. These data and example is also discussed in Gruber (2010). Six different units are chosen at random from a large number of units of a certain type of camera. For each unit, the time from the first flash of the camera until the camera’s ready light went back on was measured. Six readings were taken for each camera. The data are below. Camera 1 2 3 4 5 6 4.39 4.16 4.89 5.00 6.53 5.71 4.34 4.88 4.78 4.45 5.38 4.94 4.61 6.81 5.16 5.00 6.21 5.71 4.56 6.53 5.94 4.50 5.77 5.71 5.89 5.22 5.44 5.54 6.97 6.26 4.12 4.16 4.67 4.56 5.54 4.66 We wish to determine whether there is significant variability amongst camera units in the time from first flash until the ready light comes back on. Consider the SAS output below. The SAS System The GLM Procedure Class Level Information Class Levels Values camera 6 123456 Number of Observations Read 36 Number of Observations Used 36

506 INTRODUCTION TO VARIANCE COMPONENTS The SAS System The GLM Procedure Source Dependent Variable: time Model Error DF Sum of Squares Mean Square F Value Pr > F Corrected Total 5 9.79948889 R-Square 30 9.38300000 1.95989778 6.27 0.0004 0.510856 35 19.18248889 Source Coeff Var 0.31276667 camera 10.68414 Source DF Type I SS Root MSE time Mean camera 5 9.79948889 0.559255 5.234444 DF Type III SS Mean Square F Value Pr > F 5 9.79948889 1.95989778 6.27 0.0004 Mean Square F Value Pr > F 1.95989778 6.27 0.0004 The SAS System The GLM Procedure Source Type III Expected Mean Square camera Var(Error) + 6 Var(camera) The program to generate this output is similar to that used before with the additional command random camera; after the model statement. We see from the computer output that at the 1% level of significance, there is indeed a significant variability, that is, we reject the hypothesis H: ���������2��� = 0 at ������ = .01, the p-value being 0.0004 < .01. To estimate the variance components, we have the equations ���̂���e2 = .3128 6���̂������2��� + ���̂���e2 = 1.960. Then, ���̂������2��� = 1.960 − 0.313 = 0.2745. 6 □ The procedure of “equating mean squares to their expected values” is a special case of the more general procedure of equating quadratic forms to their expected values, as used in a variety of ways with unbalanced data. These are discussed in Chapter 10. For balanced data, the “obvious” quadratic forms to use are the analysis of variance mean squares. It turns out that the resulting estimators have several optimal properties. Since derivation of the estimators depends on the availability of expected mean squares, we turn first to these and the rules that enable them to be written down on sight. Subsequently, we consider the properties of the estimators.

RULES FOR BALANCED DATA 507 6. RULES FOR BALANCED DATA We confine discussion to factorial designs, consisting of crossed and nested classi- fications and combinations thereof, where the number of observations in all of the sub-most subclasses is the same. We exclude situations of partially balanced data, such as in Latin squares, balanced incomplete blocks and their extensions. Otherwise, the rules of thumb for setting up analysis of variance tables apply to any combination or any number of crossed and/or nested classifications. These rules lay out procedures for determining: (i) the lines in the analysis of variance; (ii) their degrees of freedom; (iii) formulae for calculating sums of squares; (iv) expected values of mean squares. Most of the rules are based on Henderson (1959, 1969). Rule 9 is an exception. It comes from Millman and Glass (1967). They rely heavily on the Henderson paper for a similar set of rules. The description of the rules is purposefully brief with no attempt at substantiation. However, justification of the rules is available in Lum (1954) and Schultz (1955). a. Establishing Analysis of Variance Tables (i) Factors and Levels. The analysis of variance table is described in terms of factors A, B, C,…, with the number of levels in them being na, nb, nc, …, respectively. When one factor is nested within another, the notation will be C: B for factor C within B, C: BA for C within AB subclasses, and so on. A letter on the left of the colon represents the nested factor and those on the right of the colon represent the factors in which the nested factor is found. For example, for a nested factor C, nc is the number of levels of factor C within each of the factors in which it is nested. Factors that are not nested, namely those forming cross-classifications will be called crossed factors. Within every sub-most class of the data, we assume that there are the same number of observations nw, either one or more than one. In either case, these observations can, as Millman and Glass (1967) point out, be referred to as replications within all other subclasses. Following Henderson (1959), we refer to these as the “within” factor using the notation W: ABC…, the number of levels of the “within” (i.e., number of replicates) being nw. The total number of the observations is then the product of the n’s; to be specific N = nanbnc … nw. (ii) Lines in the Analysis of Variance Table Rule 1. There is one line for each factor (crossed or nested), for each interaction and for “within.”

508 INTRODUCTION TO VARIANCE COMPONENTS (iii) Interactions. Interactions are obtained symbolically as the product of factors, both factorial and nested. We consider all products of 2, 3, 4,… factors. For the sake of generality, we assume that all crossed factors have a colon on the right of the symbol; for example, A:, B:, and so on. Rule 2. Every interaction is of the form ABC…: XYZ…, where ABC… is the product on the left of the colon of the factors being combined and XYZ… is the product on the right of the colon of the factors so associated with A, B, and C… Rule 3. Repeated letters on the right of the colon are replaced by one of their kind. Rule 4. If any letter occurs on both sides of a colon, that interaction does not exist. Example 3 Illustrations of Rules 2–4 Factors Interaction (Rule 2) (Rule 2) A and B AB (Rule 3) A and C: B AC: B (Rule 4) A: B and C: B AC: BB = AC: B A: B and B: DE AB: BDE nonexistent The symbolic form W: ABC… for replicates does, by Rule 4, result in no inter- actions involving W. Furthermore, the line in the analysis of variance labeled W: ABC…, being the “within” line, is the residual error line. □ (iv) Degrees of Freedom Each line in an analysis of variance table refers either to a crossed factor (such as A:), to a nested factor (such as C: B) or to an interaction (e.g., AC: B). Therefore, any line may be typified by the general expression given for an interaction in Rule 2, namely ABC…: XYZ… Rule 5. Degrees of freedom for the line are denoted by AB: XY are (na − 1)(nb − 1)nxny. The rule is simple. Degrees of freedom are the product of terms like (na – 1) for every letter A on the left of the colon and of terms like nx for every letter X on the right of the colon. Rule 6. The sum of all degrees of freedom is N – 1, with N = nanbnc … (v) Sums of Squares We use the symbols that specify a line in the analysis of variance to establish the corresponding sum of squares. We take the basic elements to be the uncorrected sum of squares with notation: 1 = CF = Nȳ2 and a, ab, abc ≡ uncorrected sums of squares for the A factor, the AB, and the ABC subclasses, respectively.

RULES FOR BALANCED DATA 509 Rule 7. The sum of squares for the line denoted by AB: XY is (a − 1)(b − 1)xy = abxy − axy − bxy + xy. The rule is again simple. Symbolically, a sum of squares is the product of terms like (a – 1) for every letter A on the left of the colon and of terms like x for every letter X on the right of the colon. This rule is identical to Rule 5 for degrees of freedom. If in the expression for degrees of freedom every nf is replaced by f, the resulting expression is, symbolically, the sum of squares. For example, (na − 1)(nb − 1)nxny becomes (a − 1)(b − 1)xy = abxy − axy − bxy + xy. After expansion, interpretation of these products of lower case letters is as uncorrected sums of squares. Observe that all sums of squares are expressed essentially in terms of crossed factors. Even when a factor is nested, sums of squares are expressed in terms of uncorrected sums of squares calculated as if the nested factor were a crossed factor. For example, the sum of squares for A:B (A within B) is (a − 1)b = ab − b, where ab is the uncorrected sum of squares of the AB issu∑bclya2ss−esC. F ∑ Rule 8. The total of all sums of squares where y2 represents the sum of squares of the individual observations, wabc… in the above notation, and where CF is the correction factor. Example 4 Illustrations of Rules 1–8 Table 9.3 shows the analysis of variance that we derive from these rules for the case of two crossed classifications A and B, a classification C nested within B, namely C: B and the within factor W: ABC. Application of these rules is indicated at the appropriate points in the table. TABLE 9.3 Example of Rules 1–8: Analysis of Variance for Factors A, B, C: B, and W: AB Line Degrees of Freedom Sum of Squares (Rule 7) (Rules 1–4) (Rule 5) A na − 1 (a − 1) = a − 1 B nb − 1 (b − 1) = b − 1 C: B (nc − 1)nb (c − 1)b = bc − b AB (na − 1)(nb − 1) (a − 1)(b − 1) = ab − a − b + 1 AC: B (na − 1)(nc − 1)nb (a − 1)(c − 1)b = abc − ab − bc + b W: ABC (nw − 1)nanbnc (w − 1)abc = wabc − abc Total N − 1 (Rule 6) ∑ y2 − CF = wabc (Rule 8) □

510 INTRODUCTION TO VARIANCE COMPONENTS b. Calculating Sums of Squares So far the uncorrected sums of squares denoted by lower case letters such as a and ab have been defined solely in words. For example, ab is the uncorrected sum of squares for AB subclasses. Henderson (1959, 1969) has no formal definition of these terms. In some sense it is not necessary to give a formal definition because “everybody knows” what is meant. For example, the uncorrected sum of squares for the AB subclasses is the sum over all such subclasses of the square of each subclass total, the sum being divided by the number of observations in such a subclass (the same number in each). However, Millman and Glass (1967) give a neat procedure for formalizing this. It starts from an expression for the total of all the observations. We state the rule using as an example the uncorrected sum of squares bc in a situation where xhijk is the observation in levels h, i, j, and k of factors A, B, C, and W, respectively. Rule 9. (a) Write down the total of all the observations obtaining ∑na ∑nb ∑nc ∑nw xhijk. h=1 i=1 j=1 k=1 (b) Re-order the summation signs so that those pertaining to the letters in the symbolic form of the uncorrected sum of squares of interest (bc in this case) come first, and enclose the remainder of the sum in parenthesis obtaining ∑nb ∑nc (∑na ∑nw ) xhijk . i=1 j=1 h=1 k=1 (c) Square the parenthesis and divide by the product of the n’s therein. The result is the required sum of squares. We have that ∑nb ∑nc ( ∑na ∑nw )2 i=1 j=1 h=1 k=1 xhijk bc = . nanw As a workable rule, this is patently simple. c. Expected Values of Mean Squares, E(MS) Mean squares are sums of squares divided by degrees of freedom. We obtain expected values of mean squares, which we denote by E(MS), by the following rules. (i) Completely Random Models Rule 10. Denote variances by ������2 with appropriate subscripts. There will be as many ������2’s with corresponding subscripts as there are lines in the analysis of variance table. The variance corresponding to the W-factor is the error variance: ������w2:abc = ������e2.

RULES FOR BALANCED DATA 511 Example 5 Illustration of Variance Notation When there is an AC: B interaction, there is a variance ������a2c:b. □ When nw = 1, there is no W-line in the analysis of variance, although it may be appropriate to think of ������w2 as existing. Rule 11. Whenever a ������2 appears in any E(MS), its coefficient is the product of all n’s whose subscripts do not occur in the subscript of that ������2. Example 6 Illustration of Rule 11 The coefficient of ������a2c:b is nw when the factors are A, B, C: B, and W: ABC. □ This rule implies that the coefficient of ������w2:abc is always unity. Rule 12. Each E(MS) contains only those ������2’s (with coefficients) whose subscripts include all letters pertaining to that of the MS. Example 7 Illustration of Rule 12 For the AC: B line, E[MS(AC: B)] = nw������a2c:b + ������w2 :abc . The above examples of Rules 10–12 are part of the expected values that we show in Table 9.4. These are the expected values, under the random model, of the mean squares of the analysis of variance. □ (ii) Fixed Effects and Mixed Models Rule 13. Treat the model as completely random, except that the ������2 terms corre- sponding to fixed effects and interactions of fixed effects get changed into quadratic functions of these fixed effects. All other ������2 terms remain including those pertaining to interactions of fixed and random effects. TABLE 9.4 Example of Rules 10–12: Expected Values Under the Random Model of Mean Squares of Table 9.3 Variances (Rule 10) and Coefficients (Rule 11) Mean Square nbncnw������a2 nancnw������b2 nanwnw������c2:b ncnw������a2b nw������a2c: b ������w2:abc = ������e2 MS(A) ∗ Terms included (Rule 12) ∗ ∗ ∗ MS(B) ∗ ∗ ∗ MS(C: B) ∗∗ ∗ ∗ MS(AB) ∗ ∗ ∗ ∗ MS(AC: B) ∗ ∗ MS(W: ABC) ∗ ∗denotes a ������2 term that is included; for example, nbncnw������a2 is part of E[MS(A)]

512 INTRODUCTION TO VARIANCE COMPONENTS Rule 13 is equivalent to that given by Henderson (1969) but differs from Henderson (1959), where it is stated that some ������2 terms “disappear” from some of the expecta- tions of mean squares. Explanation of this difference is included in the discussion of the two-way classification that now follows. 7. THE TWO-WAY CLASSIFICATION Chapter 7 deals fully with the analysis of unbalanced data from the fixed-effect model of the two-way classification. We repeat the analysis of variance for balanced models in Table 9.5, using new symbols for the sums of squares. For example, SSA is the sum of squares for the A-factor (after ������), with ∑a SSA = R(������|������) = R(������|������, ������) = bn (ȳi.. − ȳ...)2, i=1 as in Table 7.9. We now develop expected values of these sums of squares for the fixed, random and mixed models. We do this both as an illustration of the “brute TABLE 9.5 Analysis of Variance for a Two-Way Classification Interaction Model, with Balanced Data (see Table 7.9) Source of Variation d.f. Sum of Squares Mean 1 SSM = bNnȳ∑2..a. (ŷi... − ŷ ... )2 . A-factor a−1 SSA = B-factor b−1 AB interaction (a − 1)(b − 1) i=1 Residual Error ab(n − 1) SSB = an ∑b (ȳ.j. − ȳ...)2 j=1 SSAB = n ∑a ∑b (ȳij. − ȳi.. − ȳ.j. + ȳ...)2 i=1 j=1 SSE = ∑a ∑b ∑n (yijk − ȳij.)2 i=1 j=1 k=1 Total N = abn SST = ∑a ∑b ∑n y2ijk i=1 j=1 k=1 Mean Squares MSM = SSM MSA = SSA (a − 1) MSB = SSB (b − 1) MSAB = SSAB (a − 1)(b − 1) MSE = SSE ab(n − 1)

THE TWO-WAY CLASSIFICATION 513 force” method of deriving such expectations and for discussing certain aspects of the mixed model. As in Chapter 7, the equation of the model is yijk = ������ + ������i + ������j + eijk (11) with i = 1, 2, …, a, j = 1,2, …, b and since we are considering balanced data, k = 1, 2, …, n. To establish expected values of the sums of squares in Table 9.5, first write down the various means. They involve using ∑a ������i ∑b ������j j=1 ���̄���. = i=1 , ������̄. = b a and ���̄���i., ���̄���.j, and ���̄���.. defined in the analogous manner. Hence from (11), ȳi.. = ������ + ������i + ������̄. + ���̄���i. + ēi..., (12) ȳ.j. = ������ + ���̄���. + ������j + ���̄���.j + ē.j., (13) yij. = ������ + ������i + ������j + ������ij + ēij., and ȳ... = ������ + ���̄���. + ������̄. + ���̄���.. + ē... Substituting (11) and (12) into Table 9.5 gives SSM = N(������ + ���̄���. + ������̄. + ���̄���..)2 SSA = bn ∑a (������i−���̄���. + ���̄���i. − ���̄���.. + ēi.. − ē...)2, i=1 SSB = an ∑a (������j−������̄. + ���̄���.j − ���̄���.. + ē.j. − ē...)2, i=1 SSAB = n ∑a ∑b (������ij − ���̄���i.−���̄���.j + ���̄���.. + ēij. − ēi.. − ē.j. + ē...)2 i=1 j=1 and SSE = ∑a ∑b ∑n (eijk − ēij.)2. i=1 j=1 k=1 Now, no matter what model we use, fixed, random or mixed, we take the error terms as having zero mean and variance ������e2 and being independent of one another. Further- more, the expected value of the product of an error term with ������, an ������, a ������, ora ������ is zero. (If the effects are fixed the products have zero expectation because E(eijk) = 0 and,

514 INTRODUCTION TO VARIANCE COMPONENTS when any of the effects are random products with the e-terms have zero expectation because of assuming independence.) Finally, expected values of squares and products of means of the e’s are such that, for example, E(ē i2.. ) = ������e2 , bn E(ē i.. ē ... ) = E(ē .j. ē ... ) = E(ē ij. ē ... ) = ������e2 abn and E(ē i.. ē .j. ) = ������e2 . abn Hence for the terms in (13), E(ē i.. − ē...)2 = (a−1)������e2 , abn E(ē .j. − ē...)2 = (b−1)������e2 , (14) abn E(ē ij. − ēi.. − ē.j. + ē...)2 = (a−1)(b−1)������e2 , abn and E(eijk − eij.)2 = (n − 1)������e2 . n Consequently, on taking expected values of (13) and by dividing by degrees of freedom to convert them to mean squares we get E(MSM) = EN(������ + ���̄���. + ������̄. + ���̄���..)2 + ������e2 E(MSA) = ∑a + ���̄���i. − ���̄���..)2 bn E(������i−���̄���. + ������e2, a−1 i=1 E(MSB) = an ∑a E(������j−������̄. + ���̄���.j − ���̄���..)2 + ������e2, (15) b−1 i=1 E(MSAB) = n ∑a ∑b E(������ij − ���̄���i.−���̄���.j + ���̄���..)2 + ������e2, (a−1)(b−1) i=1 j=1 and E(MSE) = ������e2. These results hold whether the model is fixed, random, or mixed. Each model deter- mines the consequence of the expectation operations shown in the right-hand side of (15).

THE TWO-WAY CLASSIFICATION 515 TABLE 9.6 Expected Mean Squares of a Two-Way Classification Interaction Model, with Balanced Data (see Table 9.5) Fixed-Effects Model E(MSM) = N(������ + ���̄���. + ������̄. + ���̄���..)2 + ������e2 + ������e2 E(MSA) = bn ∑a − ���̄���. + ���̄���i. − ���̄���..)2 a−1 (������i + ������e2 i=1 + ������e2 ������e2 E(MSB) = an ∑b − ������̄. + ���̄���,j−���̄���..)2 b−1 (������j j=1 E(MSAB) = n ∑a ∑b − ���̄���i. − ���̄���,j + ���̄���..)2 (a − 1)(b − 1) (������ij i=1 j=1 E(SSE) = a. The Fixed Effects Model In the fixed-effects model, all the ������’s, ������’s, and ������’s are fixed effects. Therefore, the expectation operations on the right-hand sides of (15) just involve dropping the E symbol. We show the results in Table 9.6. Their derivation does not make use of the “usual restrictions” on the elements of the model. Suppose we consider a model yijk = ������′ + ������i′ + ������j′ + ������i′j + eijk (16) where the “usual restrictions” are part of the model. These restrictions are ∑a ∑b (17a) ������i′ = 0, ������j′ = 0, i=1 j=1 and ∑a ∑b (17b) ������i′j = 0, for all j, ������i′j = 0, for all i. i=1 j=1 Before using these restrictions, the expected mean squares will be those of Table 9.6 with primes on the ������’s, ������’s, and ������’s. After using the restrictions in (17a) and (17b), the expectations reduce to those of Table 9.6 because (17a) and (17b) implies ���̄���.′ = 0, ������.′ = 0, ���̄���.′j = 0 for all j and ���̄���i′. = 0, for all i. We can show that the apparent difference between Tables 9.6 and 9.7 is just that apparent and not real. Suppose we rewrite the model as yijk = ������ + eijk (18) = ���̄���.. + (���̄���i. − ���̄���..) + (���̄���.j − ���̄���..) + (������ij − ���̄���i. − ���̄���.j + ���̄���..) + eij. (19)

516 INTRODUCTION TO VARIANCE COMPONENTS TABLE 9.7 Expected Mean Squares of a Two-Way Classification Interaction Model, with Balanced Data. (See Table 9.5) Fixed-effects model, that includes the restrictions ∑a ∑b ∑a ∑b ������i′ = 0 = ������j′ = ������i′j for all j, and ������i′j = 0 for all i. i=1 j=1 i=1 j=1 E(MSM) = N������′2 + ������e2 + ������e2 E(MSA) = bn ∑a ������i′2 a−1 + ������e2 i=1 + ������e2 E(MSB) = an ∑b ������j′2 ������e2 b−1 j=1 E(MSAB) = (a − n − 1) ∑a ∑b (������i′j2 1)(b i=1 i=1 E(MSE) = Then, on defining, ������′ = ���̄���.., ������i′ = ���̄���i. − ���̄���.., ������ ′ = ���̄���.j − ���̄���.., and ������i′j = ������ij − ���̄���i. − ���̄���.j + ���̄���... (20) j Equation (19) is identical to (16). Furthermore, by their definition in (20), ������i′, ������j′, and ������i′j satisfy the constraint equations in (17). We have, for example, ∑a ������i′ = ∑a (���̄���i − ���̄���..) = 0. i=1 i=1 Therefore, the definitions in (20) are consistent with the expected mean squares of Table 9.7. As a result, we have, for example, E(MSA) = bn ∑a ������i′2 + ������e2. a−1 i=1 However, observe that when comparing (18) and (11), ������ij = ������ + ������i + ������j + ������ij. (21) As a result, with ������i′ = ���̄���i. − ���̄���.. (22) we have from (20), ������i′ = ������ + ������i + ������̄. + ���̄���i. − (������ + ���̄���. + ������̄. + ���̄���..) = ������i − ���̄���. + ���̄���i. − ���̄���...

THE TWO-WAY CLASSIFICATION 517 TABLE 9.8 Expected Mean Squares of a Two-Way Classification Interaction Model with Balanced Data (see Table 9.5) Random-Effects Model E(MSM) = abn������2 + bn���������2��� + an���������2��� + n���������2��� + ������e2 bn���������2��� + n���������2��� + ������e2 E(MSA) = E(MSB) = an���������2��� + n���������2��� + ������e2 E(MSAB) = n���������2��� + ������e2 E(MSE) = ������e2 Thus, ∑n ������i′2 of E(MSA) in Table (9.7) has the same meaning as does i=1 ∑a (������i − ���̄���. + ���̄���i. − ���̄���..)2 i=1 of E(MSA) in Table 9.6. Hence, interpretation of the F-statistic MSA/MSE is the same whether one uses Table 9.6 or 9.7. The F-statistic MSA/MSE tests the signifi- cance of ������-effects in the presence of (or, plus the average of) interaction effects. In Table 9.7 the symbols are defined, as in (17) so that these averages are zero whereas in Table 9.6, they are not so defined. We demonstrated the equivalence of the expres- sions for E(MSA) in Tables 9.6 and 9.7 via equation (22). In like manner, we can also demonstrate equivalence of other entries in the two tables by basing them on ������j′ = ������j − ������̄. + ������.j − ���̄���.., (23) ������i′j = ������ij − ���̄���i. − ���̄���.j + ���̄���.. and ������′ = ������ + ���̄���. + ������̄. + ���̄���... Defining effects that satisfy “the usual restrictions” in the manner of (20) results in the simplification of Table 9.6 to the form of Table 9.7. However, this simplification only occurs for balanced data. It does not occur for unbalanced data because sums of squares used with such data (e.g., Table 9.8) have expected values that do not involve the means of the effects in such a simple manner as with balanced data (see Table 9.6). Sometimes for unbalanced data, restrictions that are in terms of weighted sums of the effects are suggested. However, these have no simplifying effect when there are empty cells, as is often the case with unbalanced data. A special case of the simplifying effect of the “usual restrictions” (20) that is of some interest is E(MSM). In Table 9.6 E(MSM) = N(������ + ���̄���. + ������̄. + ���̄���..) + ������e2 = N[E(ȳ)] + ������e2, (24)

518 INTRODUCTION TO VARIANCE COMPONENTS consistent with the hypothesis H: E(ȳ) = 0 that can be tested by the F-statistic. In Table 9.7, the expected value is E(MSM) = N������′2 + ������e2 consistent with testing, in that model H: E(ȳ) = ������′ = 0. This is the origin of the concept of “testing the mean” by the F-statistic F(M) = MSM/MSE., referred to in earlier chapters. There, with unbalanced data, we saw how the meaning of this phrase was best described in terms of testing H: E(ȳ) = 0. For balanced data, that description is still appropriate when the model has “no usual restrictions,” as is evident in (24). However, when the model does include such restrictions, the hypothesis H: E(ȳ) = 0 reduces to H: ������′ = 0 and thus gets described as “testing the mean.” b. Random-Effects Model All the ������-, ������-, and ������-effects are random in the random-effects model, with zero means and variances ���������2���, ���������2��� , and ���������2��� . Thus, for example, E(������i) = 0 and E(������i2) = ���������2���. (25) The effects are also assumed to be uncorrelated with each other. Hence, E(������i������j) = 0 = E(������i������ij) and E(������i������i′ ) = 0 for i ≠ i′. (26) Furthermore, similar to (14), E(������i − ���̄���.)2 = (a − 1)���������2��� . (27) a Similar results hold for the ������’s and the ������’s. Using them in (15) gives the expectations shown in Table 9.8. Estimation of the variance components from Table 9.8 is achieved by equating mean squares to expected values, the resulting solutions for the components being the estimators. This gives ���̂���e2 = MSE, ���̂������2��� = (MSB − MSAB) , an (24) (MSAB − MSE) , (MSA − MSAB) . ���̂������2��� = n ���̂������2��� = bn Example 8 Analysis of a Two-Way Model with Both Factors Random Houf and Berman (1988) describe an experiment conducted to investigate the capability of measurements on thermal impedance (C◦∕w × 100) on a power module for an

THE TWO-WAY CLASSIFICATION 519 induction motor starter. There are 10 parts selected at random and three randomly selected inspectors. Each inspector takes three observations. The data follow: Inspector 1 2 3 Test Test Test Part no. 1 2 3 1 2 3 1 2 3 1 37 38 37 41 41 40 41 42 41 2 42 41 43 42 42 42 43 42 43 3 30 31 31 31 31 31 29 30 28 4 42 43 42 43 43 43 42 42 42 5 28 30 29 29 30 29 31 29 29 6 42 42 43 45 45 45 44 46 45 7 25 26 27 28 28 30 29 27 27 8 40 40 40 43 42 42 43 43 41 9 25 25 25 27 29 28 26 26 26 10 35 34 34 35 35 34 35 34 35 A two-way analysis of variance produced the following output using SAS. Class Level Information Class Levels Values part 10 1 2 3 4 5 6 7 8 9 10 inspector 3 123 Number of Observations Read 90 Number of Observations Used 90 Source DF Sum of Squares Mean Square F Value Pr > F Model 29 4023.733333 138.749425 271.47 <.0001 Error 60 30.666667 0.511111 Corrected Total 89 4054.400000 R-Square Coeff Var Root MSE result Mean 0.992436 1.996984 0.714920 35.80000 Source DF Type I SS Mean Square F Value Pr > F part 9 3935.955556 437.328395 855.64 <.0001 inspector 2 39.266667 19.633333 38.41 <.0001 part∗inspector 18 48.511111 2.695062 5.27 <.0001

520 INTRODUCTION TO VARIANCE COMPONENTS Source DF Type III SS Mean Square F Value Pr > F part 9 3935.955556 437.328395 855.64 <.0001 inspector 2 39.266667 19.633333 38.41 <.0001 part∗inspector 18 48.511111 2.695062 5.27 <.0001 source Type III Expected Mean Square Var(Error) + 3 Var(part∗inspector) + 9 Var(part) part Var(Error) + 3 Var(part∗inspector) + 30 Var(inspector) inspector Var(Error) + 3 Var(part∗inspector) part∗inspector Tests of Hypotheses Using the Type III MS for part∗inspector as an Error Term Source DF Type III SS Mean Square F Value Pr > F part 9 3935.955556 437.328395 162.27 <.0001 inspector 2 39.266667 19.633333 7.28 0.0048 First, observe from the p-values that part, inspector and interaction are significant at the 1% level. For evaluating significance of part and inspector, we use the interaction term as the denominator for the F-test instead of the error term. The reason for this will be made clear in Section 9c. In our notation based on the Type III expected mean square above, the system of equations for estimating the variance components by the analysis of variance method is 9���̂������2��� + 3���̂������2��� + ���̂���e2 = 437.33 30���̂������2��� + 3���̂������2��� + ���̂���e2 = 19.63 3���̂������2��� + ���̂���e2 = 2.70 ���̂���e2 = 0.51 Solving for the estimates of the variance components, we have, ���̂���e2 = 0.51 ���̂������2��� = 2.70 − 0.51 = 0.73 3 ���̂������2��� = 19.63 − 2.70 = 0.560 30 ���̂������2��� = 437.33 − 2.70 = 48.292. 9

THE TWO-WAY CLASSIFICATION 521 TABLE 9.9 Expected Mean Squares of a Two-Way Classification Interaction Model with Balanced Data Mixed Model ������’s Fixed, and ������’s and ������’s Random E(MSM) = abn(������ + ���̄���.)2 + an���������2��� + n���������2��� + ������e2 + n���������2��� + ������e2 E(MSA) = bn ∑a a−1 (������i − ���̄���.)2 an���������2��� + n���������2��� + ������e2 n���������2��� + ������e2 i=1 ������e2 E(MSB) = E(MSAB) = E(MSE) = c. The Mixed Model Suppose the ������-effects are fixed effects and the ������’s and ������’s are random. Then the expectation operations on the right-hand side of (15) involve dropping the E symbol insofar as it pertains to the ������’s and using properties like those of (25), (26), and (27) for ������’s and ������’s. This leads to the results shown in Table 9.9. The difference between the random and mixed models is that the ������’s are random effects in the random model and are fixed effects in the mixed model. Since only the first two equations in (15) involve ������’s, only the first two entries in Table 9.9 differ from the corresponding entries in Table 9.8 and then only in having quadratic terms in the ������’s instead of terms in ���������2���. The expectations in Table 9.9 are arrived at without making any use of the “usual restrictions” on elements of the model, rjeussttriacstiaorne∑thiae=1ex������pi e=ct0atiisotnaskienn Table 9.6 for the fixed-effects model. However, if the as part of the mixed model, then, E(MSA) of Table 9.9 reduces to E(MSA) = bn ∑a + n���������2��� + ������e2, a−1 ������i2 i=1 the quadratic in the ������’s being similar to that of Table 9.8. An often-used alternative mixed model is yijk = ������′′ + ������i′′ + ������j′′ + ������i′j′ + eijk (29) with the restriction ∑a (30) ������i′j′ = ������.′j′ = 0 for all j. i=1 In (29), the ������′′’s are fixed effects and the ������′′’s and ������′′’s are random effects with zero means and variances ���������2���′′ and ���������2���′′ , respectively. The ������′′’s and ������′′’s are uncorrelated with each other and the e’s. Except for (30), this is all exactly the same as in the mixed model described earlier. This restriction implies a covariance between certain

522 INTRODUCTION TO VARIANCE COMPONENTS of the ������′′’s, namely between ������i′j′ and ������i′′′j for i ≠ i′. Suppose this covariance is the same, cov(������i′j′, ������i′′′j) = c for all i ≠ i′ and j. (31) Then from (30), (∑a ) v ������i′j′ = 0. i=1 Thus, a���������2���′′ + a(a − 1)c = 0, giving c = − ���������2���′′ . (32) (a − 1) Note that this covariance pertains only to ������′′’s within the same level of the ������-factor, arising as it does from (30). The covariance between ������′′’s in the same level of the ������-factor is zero as usual. Thus, we have cov(������i′j′, ������i′j′′ ) = 0 for all i and j ≠ j′. (33) Prior to utilizing (30), we can derive the expected mean squares for the model (29) from equations (15) with double prime subscripts on ������, the ������’s, ������’s, and ������’s. Using ���̄���.′j′ = 0 from (30), we get that ���̄���.. = 0. Then equations (15) become E(MSM) = N(������′′ +[∑���̄���a.′′)2 + NE(������̄.′′2) + ������e2, ] E(MSA) = (������i′′ ∑a bn − ���̄���.′′)2 + E(���̄���i′.′)2 + ������e2, (34a) a−1 i=1 (34b) i=1 E(MSB) = an ∑b − ������̄.′′)2 + ������e2, b−1 E(������j′′ j=1 E(MSAB) = n ∑a ∑b − ���̄���i′.′)2 + ������e2 (a − 1)(b − 1) E(������i′j′ i=1 j=1 and E(MSE) = ������e2.