Lecture Notes on MAT3021

Experimental Design
Janet Godolphin

Semester 2 2014-15

Contents
1

Comparisons of Samples
1.1 Principles of Design . . . . . . . . . . . . . . . . .
1.2 Comparison of Independent Samples . . . . . . . .
1.2.1 Decomposition of the Total Sum of Squares
1.2.2 The Analysis of Variance Table . . . . . .

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

Incomplete Models
2.1 Incomplete Block Designs . . . . . . . . . . . . . . . . . . .
2.2 Balanced Incomplete Blocks . . . . . . . . . . . . . . . . . .
2.2.1 Constructions of Balanced Incomplete Block Designs .
2.2.2 Analysis of the Balanced Incomplete Block Design . .
2.2.3 Choosing Balanced Incomplete Block Designs . . . .
Analysis of Covariance
3.1 Separate regressions model . . . . .
3.2 Parallel regressions model . . . . .
3.3 Further simplifications of the model
3.4 ANCOVA Table . . . . . . . . . . .

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

.
.
.
.
.

.
.
.
.

1
1
2
3
8

.
.
.
.
.

11
11
16
19
23
31

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

.
.
.
.

35
36
38
39
41

Specialist Incomplete Models

4.1 Latin Square Design . . . . . . . . . . . .
4.2 Youden Squares . . . . . . . . . . . . . . .
4.3 Cross-Over Designs . . . . . . . . . . . . .
4.3.1 Column-Complete Latin Square . .
4.3.2 Analysis of Cross Over Experiments

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

.
.
.
.
.

43
43
45
48
49
52

Factorial Experiments
5.1 Advantages of Factorial Experiments . . . . . .
5.2 k Factors at Two Levels: YatesAlgorithm . . .
5.2.1 The 22 Factorial Experiment . . . . . .
5.2.2 The 23 Factorial Experiment . . . . . .
5.2.3 The 2k Factorial Experiment . . . . . .
5.2.4 The 2k Factorial with a Single Replicate
5.3 Fractional Replication . . . . . . . . . . . . . .
5.3.1 Half-Replicate Fractional Factorial . . .

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

55
55
56
57
58
59
60
63
63

.
.
.
.

iii

.
.
.
.

.
.
.
.

5.4
5.5
5.6

5.3.2 Quarter-Replicate Fractional Factorial . . . . . . . . .

5.3.3 The Resolution of a Design . . . . . . . . . . . . . . .
Confounding in a 2k Factorial . . . . . . . . . . . . . . . . .
Specialised Uses Of Fractional Factorial Experiments . . . . .
Robust Design . . . . . . . . . . . . . . . . . . . . . . . . . .
5.6.1 Analysing the Effects of Design Factors on variability

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

67
69
70
74
79
79

Chapter 1
Comparisons of Samples
1.1

Principles of Design

Statisticians do not usually perform experiments on their own because, in many aspects of
experimental work, the statistician has no expert knowledge. However, many research organisations and commercial industries depend on the help of qualified statisticians for the planning
of experiments and for the interpretation of experimental results.
For example, Pharmaceutical Companies are prevented by law from marketing new drugs unless
they have undergone valid test trials which require appropriate statistical expertise.
Each member of a research team engaged on experimentation involving the collection and analysis of data has a different role. The statistician needs to be involved at the beginning of the
problem to help define the experimental objectives. The statistician is also involved after experimentation in order to take charge of the interpretation of the experimental results.

Experiment Example: Daphnia Lifetimes in Cu Concentrations

A study is undertaken to determine the effect of copper concentrations in water on the lifetimes
of aquatic animals (daphnia).
Fifteen containers each contain one daphnia. Three copper concentration levels for the water in
the containers are chosen: no copper, 20 mg/l and 40 mg/l. The treatments (copper levels) are
assigned at random to the experimental units (daphnia in containers) such that each treatment is
used on five daphnia.
The daphnia are raised in the three concentrations and their lifetimes (in days) are recorded.

The Experimental Objectives

(1) Recognition of the Problem requires a clear statement of the experimental problem, usually
as a result of exchanges of views with experts in the field. The aim should be to make the
statement lucid and specific. The most common faults are vagueness and excessive ambition.
Often it is helpful to classify the various requirements of the experiment as major and minor
because compromises may have to be made.
(2) Choice of Experimental Units is required to ensure as far as possible that the stated objectives
of the experimental problem can be pursued and achieved satisfactorily. If possible the choice
1

of units should be made to enable the treatment effects to show up most strikingly.
(3) The Number of Treatments needs to decided. The aim is to ensure that all relevant treatments
are considered but that no effort and cost is wasted on examination of treatments which are of
limited interest. It is often necessary to understand the role that each treatment will play in
pursuing the objectives of the experiment.
(4) The Choice of Experimental Design needs to be made with particular care. The term experimental design refers to the assignment of treatments, or treatment combination, to the experimental units so that analysis of the data is possible and is relevant to the problem. A major
consideration is the precision of the experiment and this is often the principal concern when
choosing between competing designs.
We start by looking at the simplest Complete Design, namely the One-Way Classification model
in detail.

1.2

Comparison of Independent Samples

In this Section we consider m independent samples, relating to m treatments;

y11 , , y1n1 ,

y21 , , y2n2 ,

ym1 , , ymnm

of sizes n1 , n2 , , nm respectively and let n1 + n2 + + nm = N.

Suppose that each sample comes from a normal population and that
E[yij ] = + i

where

m
X

ni i = 0,

and Var[yij ] = 2 .

i=1

This model is known as the One-Way Classification model.

Notation
The following notation style is commonly used:
yi. represents the total of the observations under the ith treatment;
yi. represents the average of the observations under the ith treatment;
y.. represents the grand total of all the observations;
y.. represents the grand average of all the observations.

Objective of Experiment
The objective is to compare the means of the m different samples, i.e. to compare the m treatment effects 1 , 2 , . . . , m . This is the simplest experimental design although, strictly speaking,
there is little attempt at design here. This is sometimes known as the Completely Randomised
Design and is important as it arises quite frequently in practice.

Randomisation
Randomisation is employed to avoid systematic bias, selection bias, accidental bias and even
cheating by the experimenter (not necessarily badly intentioned).
2

Remark
If m = 2 there are two independent normal samples with a common variance but with possibly
different population means, and the comparison of the means is usually accomplished by the
two-sample ttest. In this section we sketch out the mathematical details for the general case
m 2.

The Null and Alternative Hypotheses

The aim is to test the null hypothesis H0 : 1 = 2 = = m = 0 against the contrary
hypothesis H1 : i 6= 0 for at least one i.

1.2.1

Decomposition of the Total Sum of Squares

The mechanism employed to carry out the test involves analysis of variance. The term analysis
of variance comes from a partitioning of total variability into its component parts.
The total sum of squares,
SSTotal

ni
m X
X
(yij y.. )2 ,
=
i=1 j=1

is used as a measure of total variability. This is an intuitive measure since dividing SSTotal
by N 1 gives the sample variance of the N observations. The total sum of squares can be
rewritten as:
ni
ni
m X
m X
X
X
2
(yij y.. ) =
[(
yi. y.. ) + (yij yi. )]2
i=1 j=1

=
=

i=1 j=1
m
X

ni (
yi. y.. ) +

i=1
m
X

ni (
yi. y.. )2 +

i=1

ni
m X
X

ni
m X
X
(yij yi. ) + 2
(
yi. y.. )(yij yi. )
2

i=1 j=1
ni
m X
X

(yij yi. )2

i=1 j=1

(1.1)

i=1 j=1

Equation 1.1 demonstrates that SSTotal , the total variability in the data, can be partitioned into
two parts, namely;
a sum of squares of the differences between the treatment averages and the overall average;
a sum of squares of the differences of observations within treatments from the treatment
average.
We write Equation 1.1 symbolically as
SSTotal = SST + SSResid ,
3

where SST is called the Treatment sum of squares and SSResid is called the Residual or Error
sum of squares.
There are N observations; thus SSTotal consists of the sum of P
squares
Pnofi N elements of the
form yij y.. . These elements are not all independent because m
.. ) = 0. In
i=1
j=1 (yij y
fact exactly N 1 of the elements are independent, implying that SSTotal has N 1 degrees of
freedom.
Similarly, SST consists of P
the sum of squares of m elements of the form yi. y.. since there are
m levels of treatment, but m
yi. y.. ) = 0, so SST has m 1 degrees of freedom.
i=1 ni (
P i
Finally, within any treatment there are ni replicates with nj=1
(yij yi. ) = 0, providing
Pm n i 1
degrees of freedom with which to estimate the experimental error. In total, there are i=1 (ni
1) = N m degrees of freedom for error. Note that:

df(SSTotal ) = df(SST ) + df(SSResid ).

Considering the two terms on the right hand side of Equation 1.1, the residual sum of squares
can be represented as:

SSResid =

"n
m
i
X
X
i=1

#
(yij yi. )2 .

(1.2)

j=1

In this form it can be seen that the term within square brackets, is (ni 1)s2i , where s2i is the
sample variance of the observations involving the ith treatment. Thus, SSResid /(N m) is an
estimate of the common variance, 2 , obtained from comparisons between data within each of
the m treatments. The quantity
SSResid
N m
is called the residual mean square.
We now obtain the expectation of SSResid /(N m) by a formal approach. The following
expectations are useful:
4

 
E yij2 = Var [yij ] + {E [yij ]}2
= 2 + ( + i )2
 
E yi.2 = Var [
yi. ] + {E [
yi. ]}2
2
=
+ ( + i )2
ni
 
E y..2 = Var [
y.. ] + {E [
y.. ]}2
m ni
2
1 XX
=
+
2
N
N i=1 j=1
=


E

SSResid
N m


=

1
E
N m

"

ni
m X
X

2
+ 2
N

(1.3)

(1.4)

(1.5)

#
(yij yi. )2

i=1 j=1

"

=
=
=

#
ni
m X
X
1
(yij2 2yij yi. + yi.2 )
E
N m
i=1 j=1
" m n
#
m
m
i
XX
X
X
1
E
yij2 2
ni yi.2 +
ni yi.2
N m
i=1 j=1
i=1
i=1
" m n
#
m
i
XX
X
1
E
yij2
ni yi.2
N m
i=1 j=1
i=1
( m n
)
m
i
XX
 2 X
 2
1
E yij
ni E yi.
N m i=1 j=1
i=1
( m
 2
)
m
X
X

1
ni 2 + ( + i )2
ni
+ ( + i )2
N m i=1
n
i
i=1
 2

1
N m 2
N m
2
(1.6)

The quantity
SST
m1
is called the treatment mean square. If there are no differences between the m treatment effects,
we can use
Pm
ni (
yi. y.. )2
SST
= i=1
m1
m1
5

as an estimate of 2 .
This statement is justified by consideration of the expectation of SST /(m 1):

SST
E
m1

" m
#
X
1
=
E
ni (
yi. y.. )2
m1
" i=1
#
m
X
1
E
ni yi.2 N y..2
=
m1
( mi=1
)
X
 2
 2
1
=
ni E yi. N E y..
m 1 i=1
( m

 2
)
X  2
1

=
ni
+ ( + i )2 N
+ 2
m 1 i=1
ni
N
(
)
m
X
1
=
m 2 +
ni ( + i )2 2 N 2
m1
i=1
(
)
m
X


1
=
(m 1) 2 +
ni 2 + 2i + i2 N 2
m1
i=1
(
)
m
X
1
(m 1) 2 +
ni i2
=
m1
i=1
m

1 X
ni i2
= +
m 1 i=1
2

(1.7)

Thus, SSResid /(N m) is an unbiased estimator of 2 , and if there are no differences in the
treatment effects then SST /(m 1) is also an unbiased estimator of 2 .
Note that if the treatment effects are not the same then the expectation of SST /(m1) is greater
than 2 .
A test of the hypothesis of no difference in treatment effects can be performed by comparing
the two mean squares SST /(m 1) and SSResid /(N m).

Statistical Analysis
We now outline the theory behind a formal test of H0 : 1 = 2 = = m = 0 against
H1 : i 6= 0 for at least one i.
Theorem 1.1. Let the n independent random variables X1 , X2 , , Xn each have a normal
distribution with mean 0 and variance 1. Then
X12 + X22 + + Xn2
has a chi-squared distribution with n degrees of freedom.

Corollary 1.1. Let the n independent random variables X1 , X2 , , Xn each have a normal
distribution with mean 0 and variance 2 . Then
1
(X 2 + X22 + + Xn2 )
2 1
has a chi-squared distribution with n degrees of freedom.
Theorem 1.2. Let U be a 2 random variable and let
U = U1 + U2 + . . . + Un ,
where the Ui are 2i random variables with
= 1 + 2 + . . . + n .
Then the random variables U1 , U2 , . . . , Un are independent.
Theorem 1.3. Let V , W be two independent 2 random variables with v, w degrees of freedom
respectively. Then the ratio
V /v
W/w
has an F distribution with v and w degrees of freedom.
We have assumed that the ij are independent normal random variables with mean 0 and variance 2 ; it follows that the observations yij are independent normal random variables with mean
+ i and variance 2 .
It can be shown that
SSTotal / 2 2N 1 .
Similarly, it can be shown that
SSResid / 2 2N m
and that if the null hypothesis is true then
SST / 2 2m1 .
The degrees of freedom for SST / 2 and SSResid / 2 add to N 1, the total number of degrees of
freedom and so Theorem 1.2 implies that, if the null hypothesis is true, SST / 2 and SSResid / 2
are independently distributed chi-square random variables.
Now Theorem 1.3 implies that under the null hypothesis
SST /(m 1)
FNm1
m
SSResid /(N m)

(1.8)

Note that if the null hypothesis is false, then the expected value of the numerator of the test
statistic (Equation 1.8) is greater than the expected value of the denominator, and we reject H0
on values of the test statistic that are larger than the 95th percentile of FNm1
m .
7

1.2.2

The Analysis of Variance Table

The test procedure is summarized in an ANOVA table:

E[MS]

Source

DF

SS

MS

Treatments

m1

SST

SST /(m 1)

Residual

N m

SSResid

SSResid
N m

Total

N 1

SSTotal

2 +

Pm

ni i2
m1

i=1

Practical Computations
If performing the calculations by hand, the sums of squares in the ANOVA table are most easily
obtained using the mean correction M.C. = N y..2 . The Treatment sums of squares is
SST =

m
X

ni (yij y.. ) =

i=1

and the Total sum of squares

m
X
y2

i.

i=1

SSTotal =

ni

M.C.

ni
ni
m X
m X
X
X
(yij y.. )2 =
yij2 M.C.
i=1 j=1

i=1 j=1

The Residual sum of squares, SSResid , is given by subtraction.

Example: Daphnia Lifetimes in Cu Concentrations

The lifetimes (in days) of the 15 daphnia are:
none 20 mg/` 40 mg/`
60
58
40
90
74
58
74
50
25
82
65
30
77
68
42

Solution
M.C. = N y..2 = 15 59.532 = 53163.3
SST =

m
X
y2

i.

i=1

SSTotal =

ni

M.C. =

ni
m X
X

3832 3152 1952

+
+
53163.3 = 3624.5
5
5
5

yij2 M.C. = 58271 53163.3 = 5107.7

i=1 j=1

SSResid = SSTotal SST = 1483.2

8

Thus the ANOVA table is:

Source

DF

SS

MS

F value

Treatments

3624.5

1812.3

14.7

Residual

12

1483.2

123.6

Total

14

5107.7

2
We compare the realisation of the test statistic, 14.7, with the 95th percentile of F12
which is
3.885.

The test statistic is larger so we reject H0 and conclude that copper does affect the lifetimes of
daphnia.

10

Chapter 2
Incomplete Models
Remark on Incomplete Designs
An Incomplete Design is one in which some combinations of the levels of all the factors are not
observed. Such an Incomplete Design could arise in practice if some of the observations in a
Complete Design go missing (e.g. certain data may be spoiled or destroyed) but this is not the
context which we consider here. Our primary concern is with designs which are deliberately
made incomplete because of practical limitations on the experiment which are known in advance. Choosing an Incomplete Design is part of the planning of the experiment. The principal
aim is to create an incomplete design which is suitably balanced; how we define this balance
will be discussed in the context of the different incomplete designs which we will meet.

2.1

Incomplete Block Designs

Blocking is an extremely important design technique and is used extensively in industrial experimentation. Blocking can be used to systematically eliminate the effect of a nuisance source
of variability on the statistical comparisons among treatments. Examples of blocking factors
include; batches of raw material, factory, worker.
The most common block design for t treatments arranged in b blocks is the randomised or complete block design. In this design, each treatment occurs once in each block, with the treatments
being randomly assigned to the experimental units within each block. The observations yij are
independent and normally distributed with a common variance 2 and with the expectations
E[yij ] = + i + j ,
where i is the ith treatment effect (i = 1, 2, . . . , t) and j is the jth block effect (j =
1, 2, . . . , b). This requires that the block-size is constant and equal to t (the number of different treatments) and the number of replications of treatments is constant and equal to b (the
number of blocks). Practical considerations may prevent these conditions from being realised.

Example
In an agricultural experiment there are six varieties of winter wheat and four different sites
where wheat can be grown, and these four sites should be considered as blocks. Ideally, all six
11

wheat varieties should be grown on all four sites but each site has space for only three or four
experimental units, i.e. only three or four varieties of winter wheat can be compared. If the six
treatments are designated A, B, C, D, E and F then one such design might be as follows:
1
A
D1 B
C
D

2 3 4
A A C
D B D .
E E F
F

Here, practical considerations compete with the natural desire to achieve a complete block design and it is necessary to use an incomplete block design where the number of treatments is
greater than the block-sizes. But what are good and bad properties of an incomplete block
design? To answer this question it is useful to note some common definitions.

Common Parameters
A block design is equi-replicate if each treatment occurs the same number of times, say r. It
follows that every treatment appears in r blocks (since no treatment can occur twice in a block).
A block design has a common block-size if each block contains the same number of experimental
units, say k. In this case the block design is complete if k = t and incomplete if k < t.
A block design is binary if no treatment occurs more than once in a single block.
The concurrence AB of two treatments

A and B is the number of blocks in which A and B
t
occur together. A block design has 2 concurrences.
An equi-replicate block design with a common block-size whose concurrences are equal is said
to be balanced.

Examples
Design D1 has t = 6 and b = 4. It is not equi-replicate and does not have a common block-size.
The concurrences involving treatment A are AB = 2, AC = 1, AD = 2, AE = 2 and
AF = 1. Design D1 is not balanced.
Consider design D2 , which is given by
1 2 3 4 5 6 7
A B A B E E F
D2
.
B D C C F F G
C A D D G H H
D2 has t = 8 and b = 7. It is not equi-replicate but it does have a common block-size k = 3.
The concurrences involving treatment A are AB = AC = AD = 2 and AE = AF = AG =
AH = 0. Design D2 is not balanced.
Design D3 ,, given by
1 2 1 3 5 2 3 6
D3 6 4 5 7 9 9 4 8 ,
10 8 7 12 11 10 11 12
12

has t = 12 and b = 8. This design is equi-replicate with r = 2 and it has a common block-size
k = 3. The concurrences involving treatment 1 are 1j = 0 except 15 = 16 = 17 = 1,10 =
1. Design D3 is not balanced.

Connectedness
An incomplete block design is said to be connected if it is possible to obtain a linear unbiased
estimator of every contrast involving two treatment effects, i.e. for each i, j = 1, 2, . . . , t there
is a vector a such that E[a0 Y ] = i j .

Remark on Connected Designs

Connectedness is related to concurrence, i.e. a design is disconnected if a subset of the treatments occur wholly in blocks which do not contain any of the remaining treatments. Disconnectedness is a bad property of a design because it is impossible to test the hypothesis
H0 : 1 = 2 = . . . = t = 0 in this case.
Design D2 is disconnected since blocks 1 to 4 contain treatments A, B, C, D and blocks 5 to 7
contain treatments E, F, G, H. In this design treatment A can be compared with B, C or D but
not with any of E, F, G or H.

Check for a Connected Design

Consider Block 1: put the treatments and 1 in S1 .
Consider Block 2: if any treatments are in S1 put the remaining treatments and 2 in S1 ; otherwise put the treatments and 2 in S2 .
Consider Block 3: if treatments are in both S1 and S2 let S1 = S1 S2 , delete S2 and put the
remaining treatments and 3 in S1 ; if treatments are in just one of S1 or S2 , put the remaining
treatments and 3 in this set; if no treatments are in S1 or S2 , put the treatments and 3 in S3 .
Continue in this fashion for Block p: if several sets already contain one or more treatments
which are in block p then merge those sets and put the remaining treatments from block p
and p in that set; if any block p treatments are in just one set then put the remaining treatments and p in that set; if no block p treatments are in any sets then form a new set with these
treatments and p .
This process algorithm terminates in two ways:
Completion occurs: when all t treatments are placed in S1 at any stage; we can conclude that
the design is connected.
Completion occurs: when all b blocks are considered and the sets S1 , , Sd are formed. If
d = 1 the design is connected. If d 2 the design is disconnected.

Illustration of the Checking Process

The checking process is applied to design D3 . Sets are formed after considering each block,
reading from left to right, as follows:
Block 1: S1 = {1 , 6 , 10 , 1 }.
13

Block 2: S1 as before and S2 = {2 , 4 , 8 , 2 }.

Block 3: S1 = {1 , 5 , 6 , 7 , 10 , 1 , 3 } and S2 as before.
Block 4: S1 = {1 , 3 , 5 , 6 , 7 , 10 , 12 , 1 , 3 , 4 } and S2 as before.
Block 5: S1 = {1 , 3 , 5 , 6 , 7 , 9 , 10 , 11 , 12 , 1 , 3 , 4 , 5 } and S2 as before.
Block 6: S1 = {1 , , 12 , 1 , , 6 } and S2 deleted.
Completion of the algorithm occurs after considering block 6 since all twelve treatment parameters are in S1 . Thus the design is connected.

Incidence Matrix
The structure of an incomplete block design can be seen from its incidence matrix N = {nij }
which is a t b matrix with nij = 1 if treatment i occurs in block j and nij = 0 otherwise.
Note that a complete block design has a t b matrix of 1s.
The incidence matrices can be quite revealing. Some properties of the design can be obtained
from the incidence matrix. For example, the incidence matrices of D1 and D2 are given by

1
1
1
0
0
0
0

1 1 0 1 0 0 0
1 1 1 0

1 0 1 0
1 0 1 1 0 0 0

1 0 0 1
0 1 1 1 0 0 0

.
and
1 1 0 1

0
0
0
0
1
1
0

0 0 0 0 1 1 1
0 1 1 0

0 0 0 0 1 0 1
0 1 0 1
0 0 0 0 0 1 1

Examples
Design D1 :
The number of 1s indicates that there are 14 observations. The number of 1s in each row
indicates that A, B, C, D, E and F are replicated 3, 2, 2, 3, 2 and 2 times respectively. Similarly, the number of 1s in each column shows that blocks 1, 2, 3 and 4 have sizes 4, 4, 3 and 3
respectively.
Count when two 1s occur together in the first row and each other row to see that AB =
2, AC = 1, AD = 2, AE = 2, and AF = 1, and similarly for the other concurrences.
Design D2 :
Similarly, D2 has 21 experimental units, A, B, C, D and F are replicated 3 times, E, G and H
are replicated twice, D2 has a common block-size of k = 3 and the concurrences can be found.
The incidence matrix also shows that D2 is disconnected since no treatment in the first four
blocks shares a positive concurrence with a treatment in the last three blocks.

Dual of an Incomplete Block Design

For a given incomplete block design D, the dual of D is the incomplete block design in which
the roles of treatments and blocks are interchanged.
14

Thus a design with t treatments and b blocks has a dual with b treatments and t blocks and an
incidence matrix which is the transpose of that of D. For example, the dual of D1 is given by
1 2 3 4 5 6
A A A A B B
D4
.
B C D B C D
C
D

15

2.2

Balanced Incomplete Blocks

In this Section, we compare t treatments in b blocks when practical limitations on the experiment
imply that only k treatments can be included in each block because the block-size k < t. This
situation often arises in practice, so we consider how to arrange an experimental design to cope
with this problem.

Definition of Balance in an Incomplete Block

An arrangement of blocks and treatments is called a Balanced Incomplete Block if the following
conditions are satisfied:
(1) every block contains k experimental units;
(2) there are more treatments t than the block-size k, i.e. k < t;
(3) every treatment appears in r blocks;
(4) each pair of treatments occurs together in a block times.
Balanced Incomplete Block Designs have very good optimality properties. Thus, if practical
limitations mean that a Complete Block Design is not feasible, then whenever possible, a Balanced Incomplete Block Design should be used.

Example of Balanced Incomplete Block Design

Suppose that we have a block-size of k = 3. The design B1 arranges 7 treatments in seven
blocks.
1 2 3 4 5 6 7
A B C D E F G
B1
.
B C D E F G A
D E F G A B C
This design satisfies all four conditions:
(1) k = 3;
(2) k < t = 7;
(3) r = 3;
(4) every pair of treatments occurs together in a block once, i.e. = 1.
So B1 is a balanced incomplete block design.The incidence matrix is:

1 0 0 0 1 0 1
1 1 0 0 0 1 0

0 1 1 0 0 0 1

1 0 1 1 0 0 0 .

0 1 0 1 1 0 0

0 0 1 0 1 1 0
0 0 0 1 0 1 1

Conditions for a Balanced Incomplete Block Design

We consider necessary conditions for a balanced incomplete block design. In this case each
row of the incidence matrix has r elements unity due to the r blocks occupied by that treatment;
each column has k elements unity because k treatments occupy that block. Hence
16

Pb

j=1

nij = r and

Pt

i=1

nij = k. Also

Pb

j=1

nij n`j = .

This implies that N 1b = r1t and 10t N = k10b .

Theorem 2.1. Consider a balanced incomplete block design for t treatments replicated r times
arranged in b blocks with block-size k such that is the number of times each pair of treatments
occurs together in a block. Then there are two identities:
(1) tr = bk

and (2) (t 1) = r(k 1).

Furthermore, there is the inequality:

(3) t b

(Fishers Inequality).

Remark on Theorem 2.1

Balanced incomplete block designs exist only for particular values of t, r, b, k and and
Theorem 2.1 shows that, given any three of these parameters, we can determine the other two.
This makes it easier to decide whether it may be possible to find a balanced design for a given
set of parameters. For example, it may be possible to construct a balanced incomplete block
design with t = 7, b = 7, k = 3 but it is not possible with t = 7, b = 6, k = 3 nor with
t = 7, b = 8, k = 3.
Theorem 2.2. If N is the incidence matrix of a balanced incomplete block design with the
parameters t, r, b, k and then
(i) N N 0 = (r )It + Kt

and (ii) Kt N = k1t 10b .

where Kt is the t t matrix of 1s.

Conversely, if N is a matrix of zeros and ones satisfying (i) and (ii), then
t=

r(k 1)
+1

and b =

tr
,
k

and, provided that k < t, then N is the incidence matrix of a balanced incomplete block design
with parameters t, r, b, k and .
It follows from Theorem 2.2 that N N 0 has the particularly simple form

r
r

r
0
NN =
= det(N N 0 ) = (r )t1 rk.
.. .. .. . .
.
. . .
. ..
r
Note that r 6= since otherwise k = t which contradicts k < t.

Existence of Balanced Incomplete Blocks

The identities specified in Theorem 2.1 are necessary for the existence of a balanced incomplete
block but they are not sufficient. For example, no balanced incomplete block exists for t =
15, r = 7, b = 21, k = 5 and = 2 even though both identities and Fishers inequality in
Theorem 2.1 are satisfied.
17

We now look at sufficient conditions for a balanced incomplete block design.

Unreduced Balanced Incomplete Blocks

For given integers t, k, where k < t, put in blocks all combinations of the t treatments taken k
at a time. Thus we have
 




t
t1
t2
b=
, r=
and =
.
k
k1
k2
Obviously, a design with these parameters always exists. It is called an Unreduced balanced
incomplete block design.

Example
The following design B2 is an unreduced balanced incomplete block with parameters t = 6,
k = 2 so that b = 15, r = 5 and = 1 :
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
B2 A A A A A B B B B C C C D D E
B C D E F C D E F D E F E F F
Unreduced designs usually require rather a lot of blocks and replicates and the resulting designs
may be too large for practical purposes. For example, the unreduced design with t = 7 and
k = 3 requires b = (73 ) = 35 blocks, but this is considerably more than the seven blocks which
were required for B1 .

Complementary Balanced Incomplete Blocks

Suppose that a balanced incomplete block design B exists for parameters t, k (where k < t)
and . A balanced incomplete block B has the same treatments and the same number of blocks
(of possibly different block-size), where the blocks of B contain all treatments omitted from the
corresponding blocks of B. B is the Complementary design of the original balanced incomplete
block B.
Note: the complementary design of B and the dual design of B are not the same!
Theorem 2.3. The complementary design of B always exists whenever b 2r + > 0.
The parameters of the complementary design B are given by
t = t, b = b, k = t k, r = b r and = b 2r + ,
where t, b, k, r and are the parameters of the original design B.

Examples of Complementary Balanced Incomplete Blocks

Complementary designs of B1 and B2 are
1
C
B1 E
F
G

2
D
F
G
A

3
E
G
A
B

4
F
A
B
C

5
G
B
C
D

6
A
C
D
E

7
B
D Remainder of a 7 7 Latin Square
E
F
18

1
C
B2 D
E
F

2.2.1

2
B
D
E
F

3
B
C
E
F

4
B
C
D
F

5
B
C
D
E

6
A
D
E
F

7
A
C
E
F

8
A
C
D
F

9
A
C
D
E

10
A
B
E
F

11
A
B
D
F

12
A
B
D
E

13
A
B
C
F

14
A
B
C
E

15
A
B
C
D

Constructions of Balanced Incomplete Block Designs

Cyclic Constructions
Theorem 2.4. A cyclic design with numerical treatment labels, 0, 1, . . . , t, is balanced if and
only if the first block has the property that all non-zero treatments occur equally often among
its differences.
A first block which gives rise to equal frequencies for the differences is called a perfect difference set.
Perfect Difference Sets
A perfect difference set (modulo ) is a set of distinct numbers
{b1 , b2 , . . . , bk }
such that the non-zero differences
b1 b2 , b1 b3 , . . . , bk bk1
include each non-zero number (modulo ) equally often.
Example The set {0, 1, 4, 6} is a perfect difference set (modulo 13), but the set {0, 1, 2, 3} is
not a perfect difference set (modulo 13).
If is a prime number of form 4n + 3 then a perfect difference set (modulo ) can be obtained
by writing down the squares 12 , 22 , 32 , . . . and reducing the answers (modulo ).
Example The non-zero squares (modulo 7) are
12 = 1; 22 = 4; 32 = 9 2; 52 = 25 4; 62 = 36 1.
Thus, the non-zero squares are 1,2 and 4 and the non-squares are 3, 5 and 6 (modulo 7). The
set {1, 2, 4} is a perfect difference set (modulo 7).
The following four constructions use cyclic operations on sets of squares and non-squares.
Construction 1
Let p be a prime number of the form 4n + 3.
To obtain a symmetric balanced design with parameters
t = b = p, r = k = (p 1)/2 and = (p 3)/4,
19

take as first block the set of non-zero squares (modulo p); construct the other blocks using the
cyclic construction.
Example of Construction 1
Consider p = 11. The non-zero squares (modulo p) are 1, 3, 4, 5 and 9. Using these as the first
block and employing a cyclic construction we obtain the balanced design

1
1
3
4
5
9

2
2
4
5
6
10

3 4 5
3 4 5
5 6 7
6 7 8
7 8 9
0 1 2

Block
6 7
6 7
8 9
9 10
10 0
3 4

8 9 10
8 9 10
10 0 1
0 1 2
1 2 3
5 6 7

11
0
2
3
4
8

Construction 2
Let p be a prime number of the form 4n + 1.
To obtain a symmetric balanced design with parameters
t = p, b = 2p, r = p 1, k = (p 1)/2 and = (p 3)/2,
take the set of non-zero squares (modulo p), and the set of non-squares (modulo p) and use the
cyclic construction to obtain p blocks from each set.
Example of Construction 2
Consider p = 5. The non-zero squares (modulo 5) are 1 and 4, the non-squares (modulo 5)
are 2 and 3. Using these sets as two blocks and employing a cyclic construction we obtain the
balanced design
Blocks from
Blocks from
non-zero-squares
non-squares
1 2 3 4 0 2 3 4 0 1
4 0 1 2 3 3 4 0 1 2
Construction 3
Let p be a prime number of the form 4n + 1.
To obtain a symmetric balanced design with parameters
t = p + 1, b = 2p, r = p, k = (p + 1)/2 and = (p 1)/2,
take the set of squares (modulo p), including 0, and the set of non-zero squares (modulo p),
together with an extra treatment z, and use the cyclic construction to obtain p blocks from each
set.
Example of Construction 3
20

Consider p = 5. The squares (modulo 5) are 0,1 and 4, the non-zero squares (modulo 5) are 1
and 4. The following design is obtained
Blocks from
Blocks from
squares
non-squares and z
0 1 2 3 4 1 2 3 4 0
1 2 3 4 0 4 0 1 2 3
4 0 1 2 3 z z z z z
Construction 4
Let p be a prime number of the form 4n + 3.
To obtain a symmetric balanced design with parameters
t = p + 1, b = 2p, r = p, k = (p + 1)/2 and = (p 1)/2,
take the set of non-zero squares (modulo p),together with an extra treatment z, and the set of
non-squares (modulo p), together with 0, and use the cyclic construction to obtain p blocks from
each set.
Example of Construction 4
Consider p = 7. The non-zero-squares (modulo 7) are 1, 2 and 4, the non-squares (modulo
7) are 3, 5 and 6. Using sets 1, 2, 4, z and 3, 5, 6, 0 as two blocks and employing a cyclic
construction we obtain the balanced design
Blocks from
non-zero-squares and z
1 2 3 4 5 6 0
2 3 4 5 6 0 1
4 5 6 0 1 2 3
z z z z z z z

0
3
5
6

Blocks from
non-squares and 0
1 2 3 4 5
4 5 6 0 1
6 0 1 2 3
0 1 2 3 4

6
2
4
5

Construction Using a Complete Set of Orthogonal Latin Squares

Theorem 2.5. The total number of mutually orthogonal Latin squares of order r is at most
r 1. However, for some values of r the total number of mutually orthogonal Latin squares is
less than r 1.
Corollary 2.1. If p is a prime number or the power of a prime number then there exists a
complete set of p 1 mutually orthogonal Latin squares of order p.
From Corollary 2.1 there is a complete set of mutually orthogonal Latin squares of order p
whenever p is a prime number or the power of a prime number, in particular whenever p =
2, 3, 4, 5, 7, 8 or 9. This complete set is used to construct two series of balanced incomplete
blocks.
SERIES (i): t = p2 , k = p, r = p + 1, b = p(p + 1) and = 1.
21

Write out the p2 treatments in a p p array and also provide a complete set of p 1 mutually
orthogonal latin squares of order p.
We obtain b = p2 + p blocks of size k = p as follows:
2p blocks from the p p array of treatments:
A set of p blocks of size p is obtained as the p rows of the array; a second set of p blocks is
obtained as the p columns of the array;
p blocks from each of the p 1 Latin squares:
Superimpose one Latin square on the p p array of treatments; a set of p blocks of size p is
obtained if all treatments common to a particular label in the square are placed in a block.

Example Using Latin Squares of Order 3

The 3 3 array and two mutually orthogonal Latin squares of order 3 are:
Array

Orthogonal Latin Squares

A B C
D E F
G H I

0 1 2
S1 1 2 0
2 0 1

0 1 2
and S2 2 0 1
1 2 0

so we get four sets of three blocks of size k = 3 for the following design B3 :

1
A
B
C

2
D
E
F

3
G
H
I

4
A
D
G

5
B
E
H

Blocks
6 7
C A
F F
I H

8
B
D
I

9
C
E
G

10
A
E
I

11
B
F
G

12
C
D
H

It can be checked that this design is a balanced incomplete block design with the parameters
t = 9, b = 12, k = 3, r = 4 and = 1.

Remark on Construction using MOLS

This technique gives a rather limited set of balanced incomplete block designs but it is useful in
suggesting designs that would not be found by other means. The same applies to a continuation
of the method to give further balanced incomplete block designs, which we consider next.
SERIES (ii): t = p2 + p + 1, k = p + 1, r = p + 1, b = p2 + p + 1 and = 1.
p2 + p blocks from the method of Series (i):
Let p(p + 1) blocks of a design for t = p2 treatments be arranged in p + 1 sets of p blocks in
each set, as described in Series (i). Now let a new treatment be added to all of the blocks in a
particular set in such a way that the treatment added is different for each set.
1 further block:
Another block is obtained by putting all of the p + 1 new treatments together in a block.

Example Using Latin Squares of Order 3 (continuation)

22

Adding the new treatments J, K, L, M to the previous example we get thirteen blocks of size
k = 4 for the following design B4 :

1
A
B
C
J

2 3
D G
E H
F I
J J

4
A
D
G
K

5
B
E
H
K

Blocks
7 8
A B
F D
H I
L L

6
C
F
I
K

9
C
E
G
L

10
A
E
I
M

11
B
F
G
M

12
C
D
H
M

13
J
K
L
M

It can be checked that this design is a balanced incomplete block design with the parameters
t = b = 13, k = r = 4 and = 1.
Note that this is a useful design; by contrast, the unreduced
balanced incomplete block has 13
= 715 blocks instead of the 13 blocks specified here.
4

2.2.2

Analysis of the Balanced Incomplete Block Design

Let yij denote the observation corresponding to the ith treatment in the jth block (i = 1, , t; j =
1, , b). These data are independent and normally distributed with expected values E[yij ] =
+ i + j and variance 2 such that
Pb
Pt
j=1 j = 0.
i=1 i =
Theorem 2.6. The maximum likelihood estimator of i is given by
o
n
P
1
1
(i = 1, , t),
kTi bj=1 nij Bj
Ti = t
i = t
where Ti = the ith treatment total and Bj = the jth block total.
Theorem 2.7. The treatment sum of squares, adjusted for blocks, is given by
t

SSttments(adj)

t X 2
1 X 2
=
i =
(T ) .
k i=1
kt i=1 i

Further Computatations
The sum of squares due to blocks, unadjusted for treatments, and the Total sum of squares
require the mean correction M.C., obtained in the usual way.
Then
b
t X
X
2
SSTotal =
y(ij)
M.C.,
i=1 j=1

and
b

SSblocks(unadj)

1X 2
=
B M.C.
k j=1 j
23

The Residual sum of squares, SSResid , is given by subtraction.

The Analysis of Variance table for the balanced incomplete block design is:
Source
Treatments

DF
t1

SS
SSttments(adj)

Blocks

b1

SSblocks(unadj)

Residual
Total

tr t b + 1
tr 1

SSResid
SSTotal

MS
SSttments(adj) /(t 1)

SSResid /(tr t b + 1)

E[MS]
Pt
t
k(t1)

2
1 i

Example: BIB Design for Catalyst Experiment

Four catalysts A, B, C and D are being investigated. The purpose of the investigation is to
determine if the percentage yield for a chemical process is a function of the type of catalyst
used.
Each batch of raw material is only large enough to permit trials using three of the four catalysts
to be run.
Variations in the batches of raw material may affect the performance of the catalysts so a Balanced Incomplete Block Design is used with batches as blocks.
The percentage yields data are:
Block(batch of raw material)
1
2
3
4
A 73 A 74 B 67 A 71
C 73 B 75 C 68 B 72
D 75 C 75 D 72 D 75
221 224 207
218
For this design = 2, t = 4, k = 3.
M.C.= 63075. The treatment totals, adjusted for blocks, are
A
B
C
D

Ti
218
214
216
222

nij Bj
663
649
652
646

Ti
-9
-7
-4
20

i
-1.25
-0.875
-0.5
2.5

The total sum of squares is

SSTotal = 63156 M.C. = 81;
The unadjusted block sum of squares is
SSblocks(unadj) = 63130 M.C. = 55;
24

The treatment sum of squares, adjusted for blocks, is given by

t

SSttments(adj) =

1 X 2
(T ) = 22.75.
kt i=1 i

Then the ANOVA table is

Source
Treatments (adjusted
for blocks)
Blocks (unadjusted)
Residual
Total

DF
3

SS
22.75

MS
7.58

3
5
11

55
3.25
81

0.65

F
11.66

P
0.0107

The conclusion is that the catalyst used does affect the percentage yield.
To obtain more information about the differences between the catalysts we can decompose
SSttments(adj) into 3 separate component sums of squares, such that each component has one
degree of freedom and each represents a comparison between treatment levels which may be of
interest.
This is done using the method of orthogonal contrasts.

Orthogonal Contrasts
Pt
A contrast in the treatment effects 1 , 2 , . . . , t is a linear combination
i=1 ci i such that
P
t
c
=
0.
i=1 i
P
P
P
Two contrasts ti=1 c1i i and ti=1 c2i i are orthogonal iff ti=1 c1i c2i = 0.
For a Balanced Incomplete Block Design involving t treatments, SSttments(adj) can be split into
t 1 components, each with one degree of freedom and each pertaining to one of a set of t 1
mutually orthogonal contrasts.
We distinguish between cases where the Treatment levels are qualitative and where they are
quantitative.
Qualitative Factor Levels
A Qualitative factor does not have its levels ordered on a numerical scale; its levels are just
labelled (1), (2), (3), ... or A, B, C, ... etc.
Examples are:
Operators 1,2,3
Machines X,Y,Z
Methods New, Old, Control
In practice, a number of particular linear comparisons of qualitative factor levels will usually
suggest themselves.
25

Example: Catalyst Experiment Continued

In this case the treatment factor has four levels. Catalysts A and B are the standard ones and
have a chemical element in common. C and D are new catalysts which have a different element
in common.
Thus it is sensible to compare:
A versus B; C versus D; A and B versus C and D.
There are exactly 3 independent linear comparisons, each with one degree of freedom.
The comparisons can be represented by the linear contrast vectors
c1 = (1, 1, 0, 0)T
c2 = (0, 0, 1, 1)T
c3 = (1, 1, 1, 1)T
Note that these vectors are orthogonal.
Theorem 2.8.

Pt

i
i=1 ci

t
X
i=1

Theorem 2.9. If

is an unbiased estimator of the linear contrast

Pt

"

1 X
ci i =
ci Ti ,
t i=1

i=1 ci1 i ,

Pt

and Var

t
X

#
ci i

i=1

i=1 ci,t1 i

Pt

i=1 ci i ,

where

t
k 2 X 2
c.
=
t i=1 i

are t 1 mutually orthogonal contrasts,

SSttments(adj) = q1 + + qt1 ,
where
P
t ( ti=1 cij i )2
qj =
(1 j t 1).
Pt
2
k
i=1 cij
An alternative way of expressing qj in terms of Ti is:
P
1 ( ti=1 cij Ti )2
qj =
.
Pt
2
kt
i=1 cij
Now suppose that the residual mean square
2 has r degrees of freedom and is independent of
SSttments(adj) . We have the following result:
Theorem 2.10. The statistics q1 , . . . , qt1Pare mutually independent random variables and are
independent of
2 . Furthermore, if E[ ti=1 cij i ] = 0, i.e. the expected value of the jth
treatment comparison is zero, then qj /
2 has the F-distribution with 1,r degrees of freedom.
26

Example: Catalyst Experiment Continued

Here the treatment factor catalyst with levels A, B, C and D is clearly a qualitative factor.
We can use Theorems 2.8 and 2.9 to quantify the three comparisons outlined and to split up the
SSttments(adj) into three parts, one pertaining to each comparison.
The significance of these parts can then be assessed using Theorem 2.10.
Comparison 1: A versus B
c1 = (1, 1, 0, 0)T
Thus
q1 =

1 (T1 T2 )2
= 0.0833.
24
2

q1 , can be used to test Ho : A = B against the alternative H1 : A 6= B .

The test statistic is sq12 , where s2 is the estimate of 2 . From the ANOVA table produced earlier,
we get s2 = 0.65, on 5 degrees of freedom.
Under H0 , the test statistic is a random observation from F (1, 5). The value of the test statistic
is 0.128.
To obtain the significance probability use the command 1-pf(0.128,1,5) in R. This gives the
probability 0.735 which is much larger than 0.05.
Thus we accept H0 and conclude that there is no evidence of difference between catalysts A
and B.
Comparison 2: C versus D
c2 = (0, 0, 1, 1)T
q2 =

1 (T3 T4 )2
= 12.
24
2

q2 , can be used to test Ho : C = D against the alternative H1 : C 6= D .

The test statistic is sq22 = 18.462. Using R the significance probability is 1-pf(18.462,1,5). This
gives a significance probability of 0.00774 which is much less than 0.05.
Thus we reject Ho in favour of H1 and conclude that catalysts C and D give rise to significantly
different percentage yields times.
Comparison 3: A and B versus C and D
c3 = (1, 1, 1, 1)T
q3 =

1 (T1 + T2 T3 T4 )2
= 10.6667.
24
4

q3 , can be used to test Ho : A + B = C + D against the alternative H1 : A + B 6= C + D .

27

The test statistic is sq32 = 16.410. The significance probability is 1-pf(16.41,1,5). This gives a
significance probability of 0.00982 which is much less than 0.05.
Thus we reject Ho in favour of H1 and conclude that catalysts A, B give rise to significantly
different reaction times compared to C, D.
Quantitative Factor Levels
A Quantitative factor has its t levels specified in numerical terms. Examples are:
Temperature in degrees centigrade with observations taken at 30o C, 40o C, 50o C
Time specified at three-hourly intervals
pH value specified at different levels of acidity
There is a clearly defined way of ordering the levels of a quantitative factor. It will be assumed
for the sake of simplicity that the t levels are ordered in arithmetic progression, i.e. the intervals
between these levels are the same.
For a quantitative factor at t levels the treatment sums of squares can be separated into up to
t 1 components representing linear, quadratic, cubic, . . . etc trend. This is used to identify an
appropriate polynomial model.
The usual approach to determine the contrast and hence sum of squares for each trend component is to employ coefficients of orthogonal polynomials. These are mutually orthogonal
contrasts which pick out polynomial trends that could be present in the observations.
The contrast vectors for linear, quadratic, cubic, ... polynomials are denoted, as previously, by
c1 , c2 , c3 , ... etc.
Note, however, that the contrasts are different for different values of t.
Example
Suppose the treatment factor has t = 5 levels and that these five levels occur in arithmetic
progression. Without loss of generality, we take these levels to be
{x1 , x2 , x3 , x4 , x5 } = { 2, 1, 0, 1, 2}.
The polynomials p1 (x) = a + bx, p2 (x) = a + bx + cx2 , p3 (x) = a + bx + cx2 + dx3 and
p4 (x) = a + bx + cx2 + dx3 + ex4 , which take values at these five levels, are represented by the
four contrast vectors

c1 =

a 2b
ab
a
a+b
a + 2b

, c2 =

a 2b + 4c
ab+c
a
a+b+c
a + 2b + 4c

and
28

, c3 =

a 2b + 4c 8d
ab+cd
a
a+b+c+d
a + 2b + 4c + 8d

c4 =

a 2b + 4c 8d + 16e
ab+cd+e
a
a+b+c+d+e
a + 2b + 4c + 8d + 16e

To find c1 : The coefficients of c1 must sum to zero, i.e. 1T5 c1 = 0 5a = 0 but b is

arbitrary.
Take b = 1 giving:
c1 = (2 1 0 1 2)T .
To find c2 : 1T5 c2 = 0 5a + 10c = 0. Also c2 is orthogonal to c1 so that cT1 c2 = 0
10b = 0.
Choose c = 1 a = 2 giving:
c2 = (2 1 2 1 2)T .
To find c3 : 1T5 c3 = 0 5a + 10c = 0. Furthermore:
to be orthogonal to c1 then cT1 c3 = 0 10b + 34d = 0;
to be orthogonal to c2 then cT2 c3 = 0 14c = 0 a = 0.
Put a = c = 0, b = 17
d and choose d =
5

5
6

giving:

c3 = (1 2 0 2 1)T .
To find c4 : A similar argument gives:
c4 = (1 4 6 4 1)T .
The following table gives the vectors c1 , . . . , ct1 of mutually orthogonal contrasts, which are
coefficients of orthogonal polynomials, for the t treatment levels which range in values from
t = 3 to t = 6. Theorems 2.9 and 2.10 apply as before.
(3)

-1 1
0 -2
1 1
2 6

(4)

-3 1
-1 -1
1 -1
3 1
20 4

(5)

-1
3
-3
1
20

-2 2 -1
-1 -1 2
0 -2 0
1 -1 -2
2 2 1
10 14 10

-5
1 -3
-4 -1
6 1
-4 3
1 5
70 70

5
-1
-4
-4
-1
5
84

(6)
-5 1
7 -3
4 2
-4 2
-7 -3
5 1
180 28

-1
5
-10
10
-5
1
252

Example: BIB Design for Temperature Effect on Cleaning Process

29

A cleaning process uses enzymes. The purpose of an investigation is to determine if the time
for completion of the process is a function of temperature.
Four industrial machines are available in which the cleaning process is carried out. Four temperatures are to be used for the experiment; 5 C, 10 C, 15 C and 20 C. It is desirable to complete
the experiment in one day. There is only time to run the process three times in each machine.
Therefore a balanced incomplete block design is used with four blocks, each of size three.
The design and times for completion (in minutes) are as follows:
Block(Industrial Machine)
1
2
3
4
Temp Time Temp Time Temp Time Temp
5
57
5
112
5
95
10
10
62
10
37
15
87
15
15
61
20
137
20
112
20
180
286
294

Time
62
37
137
236

For this design = 2, t = 4, k = 3.

M.C.= 82668. The treatment totals, adjusted for blocks, are calculated as for the catalyst experiment to give:
T1 = 32, T2 = 219, T3 = 155 and T4 = 342.
The total sum of squares is
SSTotal = 96616 M.C. = 13948;
The unadjusted block sum of squares is
SSblocks(unadj) = 85443 M.C. = 2775;
The treatment sum of squares, adjusted for blocks, is given by
t

SSttments(adj) =

1 X 2
(T ) = 7916.
kt i=1 i

Then the ANOVA table is

Source
Treatments (adjusted
for blocks)
Blocks (unadjusted)
Residual
Total

DF
3

SS
7916

MS
2639

3
5
11

2775
3258
13948

652

30

F
4.05

P
0.0831

From this analysis we cannot reject the null hypothesis that temperature has no effect on the
reaction time. However, we can use the method of orthogonal contrasts to examine the data in
more detail.
The experiment involves a treatment factor with 4 levels in arithmetic progression. We consider
the 3 comparisons given by the linear, quadratic and cubic contributions represented by the
orthogonal polynomials for t = 5 levels which are given in the table.
By using Theorem 2.9 as before, the four sums of squares associated with these comparisons
are q1 = 2058.4, q2 = 5828.2 and q3 = 29.
Linear Comparison
q1 , can be used to test the null hypothesis Ho : 35 10 +15 +320 = 0 against the alternative
H1 : 35 10 + 15 + 320 6= 0.
The test statistic is sq12 = 2058.4
= 3.16. Using Theorem 2.10, under H0 , the statistic sq12 is a
652
random observation from an F distribution with 1 and 5 degrees of freedom. The significance
probability is 1-pf(3.16,1,5).
This gives a significance probability of 0.1356 which is not significant at the 5% level. Thus we
accept Ho .
Quadratic Comparison
q2 , can be used to test the null hypothesis Ho : 5 10 15 + 20 = 0 against the alternative
H1 : 5 10 15 + 20 6= 0.
The test statistic is sq22 = 8.94. The significance probability is 0.0304. Thus we reject Ho and
conclude that there is a significant quadratic component.
Cubic Comparison
q3 , can be used to test the null hypothesis Ho : 5 +310 315 +20 = 0 against the alternative
H1 : 5 + 310 315 + 20 6= 0.
The test statistic is sq32 = 0.04. The significance probability is 0.8493. Thus we accept Ho and
conclude that there is no cubic component.
It therefore appears that for the Catalyst experiment the temperature effect can be modelled by
a quadratic.

2.2.3

Choosing Balanced Incomplete Block Designs

When choosing a suitable balanced incomplete block design there are two additional points
which should be considered.

Point (1) Looking for a Resolvable Design:

In practice it is sometimes possible to perform experiments one complete replicate at a time. In
this case the experiment has a built-in safety feature, i.e. if it becomes necessary to discontinue
testing then all treatments will have occurred equally often. So we need to look for a resolvable
balanced incomplete block design, although this only applies when the number of treatments is
a multiple of the block size, i.e. t = mk, m an integer b = mr.
31

Definition of Resolution Class and Resolvable Design

A Resolution Class in a balanced incomplete block design is a set of blocks which together
contain each treatment precisely once.
If all blocks of a balanced incomplete design can be partitioned into mutually disjoint resolution
classes then the design is said to be Resolvable.

Example of Resolvable Balanced Incomplete Blocks

The earliest recorded example of a balanced incomplete block was probably that of the schoolgirls problem posed by the Reverend T. P. Kirkman in 1850:
A schoolmistress has fifteen girl pupils and she wishes to take them on a daily walk. The girls
are to walk in five rows of three girls each, but no two girls should walk together (i.e. in the
same row as each other) more than once a week. Can this be done?
In other words, is there a resolvable balanced incomplete block with t = 15, k = 3 and r = 7?
The answer is yes. One solution, which divides the 35 blocks into seven resolution classes of
five blocks per class is as follows:
Replicate
A
D
E
F
G

1
B
H
J
K
I

C
L
N
M
O

A
B
C
E
F

A
B
C
F
G

5
J
M
D
I
H

2
D
H
M
I
K

K
N
G
L
O

E
J
O
N
L

A
B
C
D
E

Replicate
6
A L M
B D F
C I J
E K O
G H N

3
F
I
L
J
H

G
K
N
O
M

A
B
C
D
F

4
H
L
E
K
J

A
B
C
D
G

7
N
E
H
I
J

I
O
F
N
M

O
G
K
M
L

Point (2) Modifying the Design Parameters:

Usually t and k are considered fixed but if these parameters can be amended then a more suitable
design may emerge.
For example, if t = 8 and k = 5 the unreduced design has 56 blocks bk = 280 experimental
units.
But:
if t 6 and k = 5, a design with b = 6 blocks bk = 30;
if t 9 and k = 5, a design with b = 18 blocks bk = 90;
32

if k 4 and t = 8, a design with b = 14 blocks bk = 56.

For reference, the following table gives a list of balanced incomplete designs using not more
than 150 (= tr = bk) experimental units.
This table contains 42 balanced incomplete block designs with block sizes ranging from k = 2
to k = 11 and with numbers of treatments ranging from t = 3 to t = 25.
Special designs are picked out by brief comments; these comments are:
U the balanced incomplete block design is unreduced;
R the balanced incomplete block design is Resolvable;
Y a Youden Square also exists.
k
2
2
2
2
2
3
3
3
3
3
3
3
3
3
4
4
4
4
4
4
4

t
3
4
5
6
t
4
5
6
6
7
9
10
13
15
5
6
7
8
9
10
13

b
r
3
2
6
3
10
4
15
5
(t2 ) t 1
4
3
10
6
10
5
20
10
7
3
12
4
30
9
26
6
35
7
5
4
15
10
7
4
14
7
18
8
15
6
13
4

bk
Comment
6
U; Y
12
U
20
U
30
U; R
t2 t
U
12
U; Y
30
U
30
60
U; R
21
Y
36
R
90
78
105
R
20
U; Y
60
U
28
Y
56
R
72
60
52
Y

33

k
t
b
r
bk
4 16 20 5 80
5 6 6 5 30
5 9 18 10 90
5 10 18 9 90
5 11 11 5 55
5 21 21 5 105
5 25 30 6 150
6 7 7 6 42
6 9 12 8 72
6 10 15 9 90
6 11 11 6 66
6 16 16 6 96
6 16 24 9 144
7 8 8 7 56
7 15 15 7 105
8 9 9 8 72
8 15 15 8 120
9 10 10 9 90
9 13 13 9 117
10 11 11 10 110
11 12 12 11 132

Comment
R
U; Y

Y
Y
R
U; Y

Y
Y
U; Y
Y
U; Y
Y
U; Y
Y
U; Y
U; Y

34

Chapter 3
Analysis of Covariance
Introduction
Analysis of covariance is a technique that can be useful in improving the precision of an experiment.
A covariate is a quantitative variable whose value is thought to influence the response under the
assigned treatment.
For example, if we have an experiment comparing the effect of different diets on pigs, the
response of interest could be the amount of weight gained by a pig when fed on one of t possible
diets for a fixed period of time. However, variables such as the initial weight of the pig or the
age of the pig, could also affect the response. Here initial weight of pig and age of the pig
are possible covariates.
For simplicity we shall consider only models with one treatment factor and one covariate.
Considering the weight gain in pigs example; with weight gain as the response and t diets of
interest, the one-way model is: yij = + i + ij , for i = 1, 2, . . . , t and j = 1, 2, . . . , r. Note
that, for simplicity, we have assumed r observations for each diet.
If we now include the covariate initial weight of pig, then, assuming a linear relationship
between the response and the covariate, the model is: yij = +i +i xij +ij for i = 1, 2, . . . , t
; and j = 1, 2, . . . , r.
If the covariate initial weight of pig does have an affect on the response and we fail to include
it in the model, then the covariate could cause the residual mean square to be inflated which
would make true differences in the response due to the treatments (diets in this case) harder to
detect. That is, we experience a loss of precision.
If we plot the data there are a number of possibilities. For convenience we shall illustrate with
two levels of the treatment factor. (see Figure 3.1)

35



concurrent

regressions
?
at x = 0
? ?
? ?
? ?
?

coincident
regressions

? ? ?
?

? ? ?

? ?

separate
regressions
? ?
?

? ?
?
?
? ? ?

?
parallel
regressions

Figure 3.1: Illustration of possible regression lines

3.1

Separate regressions model

The full model, which fits a separate regression line to each of the t levels of the treatment
factor, is given by
yij = + i + i xij + ij
for i = 1, . . . , t and j = 1, . . . , r. We let n = rt. Note that we are assuming an equireplicate
design. We make the usual assumptions about the errors. The different models are illustrated
in Figure 3.1. Parallel regressions correspond to 1 = = t . Coincident regressions have
1 = = t and 1 = = t . Regressions concurrent at x = 0 have 1 = = t .
For the full model we can estimate the parameters using least squares, which gives the maximum likelihood estimates under normality. The method of least squares involves estimating
parameters so that the following sum of squares is minimised when the unknown parameters
are replaced by the estimates:
S=

t X
r
X

(yij i i xij )2 .

i=1 j=1

There are 2t + 1 parameters. The normal equations, obtained by differentiating S with respect
to , i and i are:
XX
(yij

i i xij ) = 0
(3.1)
i

X
(yij

i i xij ) = 0

(3.2)

xij (yij

i i xij ) = 0

36

(3.3)

P
Now ti=1 (3.2) = (3.1) so there are only 2t independent equations. If we choose = 0 then
we obtain the following 2t normal equations
X
(yij
i i xij ) = 0
j

xij (yij
i i xij ) = 0

but for each value of i these are just the normal equations for a simple linear regression model.
Thus the solutions are
[Sxy ]i
.

bi = yi bi xi and bi =
[Sxx ]i
Note that S is minimised by minimising separately within each level of treatment factor, that is:
Smin =

t
X

[Smin ]i .

i=1

For the simple linear regression model it is known that E[[Smin ]i ] = (r 2) 2 . Hence
E[Smin ] = t(r 2) 2 .
Thus

Smin
t(r 2)

is an unbiased estimate of 2 . The fitted values are given by

bij = yi + bi (xij xi )
and the residuals by
eij = yij yi bi (xij xi ).
To check the adequacy of the full model we can plot eij versus

bij for homogeneity of variance or general lack of fit;
xij for linearity in x;
omitted covariates to see if they should be included;
in a normal plot.
We should also do these checks separately for each level. If there is inadequacy in one group
then this casts doubt on the full model.
We can also plot eij versus i to check for homogeneity of variance between levels. A more
formal test of this can be done by finding s2i = [Smin ]i /(r 2) and testing the hypotheses that
the variances for the different levels are the same by Bartletts test.
37

3.2

Parallel regressions model

We now consider a model which says that the s are all the same. Suppose the full model is
adequate, then we want to test the hypothesis H0 : 1 = = t versus an alternative that at
least two are different. Thus we are asking if the model
yij = + i + xij + ij
is adequate. We can find the normal equations as before by differentiating
XX
S=
(yij i xij )2
with respect to , i and . We obtain
XX
ij ) = 0
(yij

i x
i

(3.4)

X
ij ) = 0
(yij

i x

(3.5)

XX
i

ij ) = 0
xij (yij

i x

(3.6)

P
As before (3.5) = (3.4) so there are t + 1 independent equations in t + 2 unknowns. We
take = 0. We write the estimate of as bw to distinguish it from the estimate of in the
coincident regressions model. Solving the normal equations (3.5) and (3.6) we have
X
X
yij = rb
i + bw
xij
(3.7)
j

XX
i

xij yij =

bi

xij + bw

XX
i

x2ij .

Thus from (3.7)

bi = yi bw xi
and substituting for
bi in (3.8) we have
!
bw

XX
i

Hence

Recall that for the full model

x2ij r

x2i

XX
i

P
[Sxy ]i
b
.
w = P i
i [Sxx ]i
[Sxy ]i
bi =
[Sxx ]i

and therefore we can write

P b
i i [Sxx ]i
bw = P
.
i [Sxx ]i
38

xij yij r

X
i

xi yi .

(3.8)

The overall estimate of is a weighted average of the separate estimates bi with weights [Sxx ]i
which are proportional to (var[bi ])1 .
The fitted values are given by

bij = yi + bw (xij xi )
and the residuals by
yij yi bw (xij xi ).
Thus the residual sum of squares is
Smin =

o2
XXn
yij yi bw (xij xi ) .
i

The associated degrees of freedom are the number of observations (n) minus the number of
independent parameters fitted, i.e. rt (t + 1) = t(r 1) 1. We can rewrite the residual sum
of squares as
"
#
XX
XX
X X
Smin =
(yij yi )2 + b2
(xij xi )2 2bw
(yij yi )(xij xi )
w

XX

(yij yi )2 + bw2

[Syy ]i

[Sxx ]i 2bw

bw2

[Sxy ]i

X
[Sxx ]i

(3.9)

The residual sum of squares under the full model can be written as
X
X
[Smin ]i =
{[Syy ]i bi2 [Sxx ]i }
i

on t(r 2) degrees of freedom. The difference in these residual sums of squares is the extra
sum of squares due to lack of parallelism which is given by
X
X
bi2 [Sxx ]i bw2
[Sxx ]i .
i

The necessary F statistic is therefore

(
)
X
X
bi2 [Sxx ]i bw2
[Sxx ]i /(t 1)s2
i

which under H0 has an F distribution with t 1 and t(r 2) degrees of freedom.

3.3

Further simplifications of the model

Suppose the parallel regressions model is accepted. There are two possibilities for further simplification of the model. The first is to consider whether the covariate has any effect at all, i.e.
39

test the hypothesis that = 0. The second is to consider whether there are any differences in
the treatments, i.e. test the hypothesis that 1 = = t .
In considering whether the covariate has any effect, we are asking in effect whether the model
yij = + i + ij
is adequate. This is just a one-way model. Its residual sum of squares is given by
XX
X
RSS(A) =
(yij yi )2 =
[Syy ]i
i

with t(r 1) degrees of freedom. The residual sum of squares for the parallel regressions model
RSS(A+X) is given by (3.9) and hence the extra sum of squares due to including the covariate
in the model, written SS(X|A), is
XX
bw2
(xij xi )2
i

on one degree of freedom. It follows that the F statistic for testing the hypothesis that = 0 is
(
)
XX
bw2
(xij xi )2 /s2
(3.10)
i

which has an F distribution with 1 and t(r 2) degrees of freedom under the hypothesis. Note
that this test is conditional on the treatments being different. If we accept that the covariate has
no effect then we may go on to test if the treatments have no effect by comparing SS(A) with
s2 .
We now consider whether the treatments are different, conditional on the covariate having an
effect. We are asking if the model
yij = + xij + ij
is adequate, i.e. whether one overall regression equation is an adequate representation of the
data. This is the model of coincident regressions in Figure 3.1. The residual sum of squares is
RSS(X) = Syy b2 Sxx
where Syy =
Note that

P P
i

j (yij

P P
y )2 , Sxx = i j (xij x.. )2 and b = Syy /Sxx .
X
X
Syy =
[Syy ]i + r
(
yi y )2 .
i

It follows that the sum of squares due to the hypothesis that the s are all the same is
SS(A|X) = SS(A + X) SS(X)
= RSS(X) RSS(A + X)
X
X
[Sxx ]i
= r
(
yi y )2 b2 Sxx + bw2
i

40

on t 1 degrees of freedom and the F statistic for testing the hypothesis is

(
)
X
X
r
(
yi y )2 b2 Sxx + b2
[Sxx ]i /(t 1)s2
w

which has an F distribution with t 1 and t(r 2) degrees of freedom under the hypothesis.
Again if we do accept that the treatments are the same then we can now test the hypothesis that
the covariate has no effect by comparing SS(X) with s2 .
In general it does matter in which order we do the two tests outlined above, but there are some
circumstances in which SS(A|X) = SS(A) and also SS(X) = SS(X|A). In this case we say
A and X are orthogonal.

3.4

ANCOVA Table

We can summarise the results of 3.1, 3.2 and 3.3 in an analysis of covariance table as illustrated
below:
Source

DF

A (between groups)

t1

X after A (X|A)

P
bw2 i [Sxx ]i

b2 Sxx

A after X

(A|X)

SS
r

t1

yi
i (

yi.
i (

y.. )2

P
y )2 b2 Sxx + bw2 i [Sxx ]i

A+X

P
P
yi. y.. )2
bw2 i [Sxx ]i + r i (

Parallelism (A.X|A + X)

t1

P b2
b2 P [Sxx ]i
i i [Sxx ]i w
i

Full model (A + X + A.X)

2t 1

P b2
P
yi. y.. )2
i i [Sxx ]i + r
i (

Residual

t(r 2)

Total

rt 1

Syy =

i [Syy ]i

i [Syy ]i

The mean squares and F statistics can be calculated in the usual way.

41

P b2
i i [Sxx ]i

+r

yi.
i (

y.. )2

42

Chapter 4
Specialist Incomplete Models
4.1

Latin Square Design

The Experimental Definition of a Latin Square

The Latin Square Design is an incomplete three-way classification with special features:
1. the model will involve three factors, each at t levels;
2. each level of each factor will be observed t times;
3. the t2 observations are arranged in a t t square, with two of the factors representing
rows and columns, such that each level of the third factor appears once in each row
and once in each column;
4. the model is additive, i.e. no interactions exist between the factors.

Remarks on the Experimental Definition of a Latin Square

Note that if condition (1) is satisfied in a complete three-way classification then we would expect
a total of t3 observations. But in a Latin Square only t2 different factor level combinations are
used a very substantial saving of resources. This is the main advantage of the Latin square:
we reduce the experimental resources by a multiple of 1t without losing the ability to evaluate
separately the effects of any potential changes in level of any of the three factors.
The second advantage, which is derived from conditions (2) and (3), is that the t2 observations
form a genuine square, i.e. they lie in a plane. This reflects the historical fact that Latin squares
first found extensive practical use in the 1930s in agricultural experiments concerned with the
planting of crops. Here two of the factors simply defined position in a two-dimensional coordinate system representing location on a field. The third factor would be treatments at t levels.
The levels of this third factor were indicated by letters (Latin letters in fact, hence giving the
name Latin Square).
It is usual for the two factors rows and columns in the square to be two kinds of blocks.
However, in some more recent industrial applications it does happen that two or even three
43

factors are of interest in themselves and not introduced merely to model effects due to a twodimensional system of blocking. Care is needed in such cases, however. If real interactions are
present the effect is to swell the size of 2 , which means a loss of sensitivity.
The special feature of the Latin Square design, which is implied by condition (2), is that all
three factors (rows, columns, treatments) must appear at the same number t of levels.
This inflexibility may create practical difficulties or may otherwise limit the possibilities of the
experimental objectives.

Example: Experiment Requiring a Latin Square Design

Consider a biological experiment where five different types of drug (Factor treatments at five
levels), say A, B, C, D and E are to be applied to specimen cultures in a laboratory. Twenty-five
specimens are available but, for practical reasons, only five specimens can be treated on any one
day.
It is suspected, however, that there may be systematic variation between observations obtained
on different days. To eliminate the day-to-day effect we consider each group of 5 specimens
tested on the same day as one block. We therefore assign the specimens at random to each day,
and, on each day, we subject one specimen to each treatment A, B, C, D and E.
It is possible however that the time of day also affects the results. To remove the time-of-day
effect we need to arrange the testing programme so that each treatment occurs not only once
every day but also once at a particular time of day. Denoting the five parts of a working day by
t1 , t2 , t3 , t4 and t5 we need to organise the test programme so that each treatment occurs once
and only once in each row and column, as shown in the following arrangement:
Time Mon
t1
A
t2
B
t3
C
t4
D
t5
E

Tue
B
C
D
E
A

Wed
C
D
E
A
B

Thu
D
E
A
B
C

Fri
E
A
B
C
D

This is just one of many 55 Latin Square arrangements that we could choose. Each design has
the property that each row and each column is a complete replicate set of the five treatment levels. The experiment is worthwhile if differences between rows and between columns represent
major sources of systematic variation.

Remark on the Example

In the same way it follows that a t t Latin Square is found by moving each row along one
place to the left. However, it is required practice to choose the square and allocate treatments
by the process of randomisation.

Analysis of the Latin Square Design

Let y(ijk) denote the observation corresponding to the ith row, jth column and kth letter. Obviously i, j and k each take values from 1 to t, but the subscripts are placed in brackets because
only two are needed to identify the observation.
44

These data are assumed independent and normally distributed with a common variance 2 and
with the expected values

satisfying the constraints

E[y(ijk) ] = + i + j + k ,
Pt
Pt
Pt
i=1 i =
j=1 j =
k=1 k = 0.

The maximum likelihood estimators are

= y... , the overall mean, and

+ i = yi.. ,
+ j = y.j. and
+ k = y..k ,
the row, column and treatment means. The ANOVA table is:
Source
Rows
Columns
Treatments
Residual
Total

DF
t1
t1
t1
(t 1)(t 2)
t2 1

SS
SSR
SSC
SST
SSResid
SSTotal

E[MS]
Pt
t
2
+ t1
i=1 i
P
t
t
2
2 + t1
j=1 j
P
t
t
2
2 + t1
k=1 k

MS
SSR /(t 1)
SSC /(t 1)
SST /(t 1)

SSResid
(t1)(t2)

Practical Computations
2
These sums of squares are computed using the mean correction M.C. = t2 y...
. The Row,
Column and Treatment sums of squares are
t

1X 2
SSR =
y M.C.,
t i=1 i..

1X 2
y M.C.,
SSC =
t j=1 .j.

and the Total sum of squares

SSTotal =

1X 2
y M.C.
SST =
t j=1 ..k

t X
t X
t
X

2
y(ijk)
M.C..

i=1 j=1 k=1

The Residual sum of squares, SSResid , is given by subtraction.

4.2

Youden Squares

A Youden Square can be regarded as a balanced incomplete block with the additional requirement that the design is balanced with respect to a second form of blocking. Thus if we consider
columns as blocks, then we need to add one further condition for a Youden Square:
(1) every column contains k experimental units;
(2) there are more treatments t than the column-size k, i.e. k < t;
(3) every treatment appears in r columns;
(4) each pair of treatments occurs together in a column times.
(5) each of the k rows contains each of the t treatments precisely once.
45

It follows that a Youden Square is a particular kind of incomplete Latin square which is
formed by deleting some of the rows of the Latin square. Thus we require b = t and r = k
= k 1, i.e. a Youden Square is formed from a balanced incomplete block and is specified
by just two parameters t and k.

Examples of Youden Squares

If row was considered as a second blocking factor then designs B1 and B1c in Section 2.2
would be Youden Squares.

Existence of Youden Squares

An examination of the table of balanced incomplete blocks in Section 2.2 shows that Youden
Squares divide into two kinds: (1) unreduced designs consisting of a Latin square with one row
removed, and (2) certain Latin squares with several rows removed. For type (1) designs we have
that
Theorem 4.1. Every latin square with one row removed gives a Youden square which is an
unreduced balanced incomplete block with b = t, k = r = t 1 and = t 2.

Remark on Theorem 4.1

Note that b 2r + = 0 so from Theorem 2.3 none of the designs of type (1) have a complementary balanced incomplete block.
The practical value of Youden squares comes when t is large. For example, if t = 13 it would
be unlikely that a latin square of order 13 would be contemplated because it would require
t2 = 169 experimental units. But a Youden square of type (1) would still require t(t 1) = 156
experimental units! In these cases, Youden squares of type (2) are more useful. (In fact design
B4 has t = 13 and k = 4 so altogether there are 52 experimental units.)

Analysis of Youden Square Design

The model for the Youden Square design is the same as that for a latin square in Section 4.1,
except that the parameters j range from 1 to k instead of 1 to t. The analysis of variance
is the same as for a balanced incomplete block plus a term SSrows which is calculated in a
straightforward way. To illustrate:

46

Example: Treatments on car tyres

An experiment has been performed to compare the effects of five different rubber treatments on
cross-ply motor tyres. Five cars were available for the experiment and it was felt that positions
of the car wheels could affect the results. A suitable measure of tyre-wear was made, and the
data were

cars
front n/s
front o/s
rear n/s
rear o/s
Totals

1
C 31.1
A 43.4
B 36.2
E 33.5
144.2

A
D
E
C

2
11.7
13.3
16.2
26.1
67.3

3
B 39.6
E 17.5
A 22.4
D 25.3
104.8

4
E 20.5
C 72.1
D 14.5
B 78.2
185.3

5
D 16.2
B 58.8
C 61.4
A 42.5
178.9

Totals
119.1
205.1
150.7
205.6
680.5

Sumsqs
3354.95
11022.55
6054.85
10365.04
30797.39

The treatment totals, adjusted for blocks, and the sums of squares are

A
B
C
D
E
Sum

Ti
120.0
212.8
190.7
69.3
87.7
680.5

nij Bj
495.2
613.2
575.7
536.3
501.6
2722.0

Ti
-15.2
238.0
187.1
-259.1
-150.8
0.0

i
-1.01
15.87
12.47
-17.27
-10.05
0.0

SS Total = 30797.39 M.C. = 7643.4;

SScars(unadj) = 2507.8 (usual way);
SSwheels = 3029.2 (usual way).

The treatment sum of squares, adjusted for blocks, is given by

t

SSttments(adj)

1 X 2
(T ) = 3029.2.
=
kt i=1 i

Then the ANOVA table is

Source
Treatments
cars
wheels
Residual
Total

DF
4
4
3
8
19

SS
3029.2
2507.8
1092.5
1013.8
7643.4

MS
757.3

F
5.98

P
0.016

364.2
126.7

2.87

0.103

Comparison between the s will suggest the differences between treatments, depending on the
four orthogonal contrasts which are deemed to be of special interest in this example.
47

4.3

Cross-Over Designs

Reasons for Cross-Over Designs

Up to this point we have arranged that each experimental unit has resulted in a single observation. Such an arrangement usually makes good sense in order to assure that the observations
are independent random variables and therefore maximize the information in the experiment
for the subsequent analysis. However there are circumstances where it is sensible to adopt a
different arrangement with the following two features:
1. the experiment is performed over several time periods and an observation is made at the
end of each period;
2. each experimental unit, hereafter called a subject, receives all treatments such that a different treatment is applied for each period.
In general, therefore, there are s subjects receiving t treatments over t periods of time, resulting
in st observations altogether. This arrangement makes sense if it is suspected that the differences
between subjects are likely to be greater than the differences between treatments, i.e. subjects
need to be considered as blocks for the sake of precision. It is also customary for the periods to
be considered as blocks, i.e. we have a two-way blocking arrangement as occurs with a Latin
or Youden square.

Example: Milk Yield for Cows [Williams, 1949]

The classic example of a cross-over design is an experiment to determine diet treatments which
affect the milk yield of cows. There are t = 6 diet treatments, that are labelled 0, 1, 2, 3, 4 and
5, and s = 6 subjects (cows) in the design which is arranged over 6 periods as the following
Latin square:

1
1 0
2 1
PERIODS 3 5
4 2
5 4
6 3

SUBJECTS
2 3 4 5
1 2 3 4
2 3 4 5
0 1 2 3
3 4 5 0
5 0 1 2
4 5 0 1

6
5
0
4
1
3
2

There are 36 observations from the experiment, each of which is the milk yield for one of
the cows in one of the periods. Milk yield differs markedly from cow to cow, i.e. cows are
not homogeneous material, so the Williams experiment should give more precise estimates of
treatment differences than a similar (Latin square) experiment using 36 different cows. This is
the principal reason for choosing this cross-over design.
However, the Williams experiment has the useful practical feature that only six cows are needed
in the experiment, thus freeing up other cows for normal farming purposes and therefore making
highly efficient use of the available resources. Of course, the practical disadvantage is that the
48

experiment must take a substantial amount of time to complete. In this case the diets were
applied for a week and the cows were rested for a week so the experiment took eleven weeks in
total.

Carry Over Effects

The other feature of the cross over design is the lack of dependence within each subject from
one period to the next. This dependence is included in the model by assuming that the effect of
each treatment persists into the next period to create a carry over effect. Thus for each subject
there are two treatments which are applied in each period except the first, i.e. in periods 2 to t,
which are:
1. the direct treatment effect which measures the usual treatment applied for that subject in
that period;
2. the carry over treatment effect which measures the treatment carried over for that subject
from the previous period.
Only the direct treatment effect applies in the first period.
Thus the number of parameters in the model are: t direct effects, t carry over effects (i.e. 2t
treatment effects), s subject effects, t period effects (i.e. s + t block effects). With the mean
this gives a total of s + 3t + 1 parameters in the model. However, it is necessary to impose two
further restrictions before we obtain a cross over design suitable for experimentation.

Uniformly Balanced Designs

Definition
a period.

A cross over design is said to be uniform if each treatment occurs equally often in

Remark The construction of a cross over design ensures that each treatment occurs once and
once only for every subject. A uniform design ensures that we get the same symmetry for every
period. It is clear that a cross over design is uniform if and only if s is an integer multiple of t.
Example The Williams design is uniform because s = t and it can be seen by inspection that
each treatment occurs exactly once in each period.
Definition A cross over design is said to be balanced for carry over effects if, within the
subjects, each treatment precedes every other treatment the same number of times.
Example The Williams design is balanced because it can be seen by inspection that each
treatment precedes every other treatment within the subjects the same number of times, i.e.
exactly once.
Definition A cross over design is said to be uniformly balanced if the design is both uniform
and balanced.

4.3.1

Column-Complete Latin Square

In this section we explore in more detail the properties of a uniformly balanced design and describe a method for obtaining such a design in a practical situation. We begin with the definition
of a column-complete Latin square.
49

Definition A Latin square is said to be column-complete if every ordered pair of distinct

treatments appears in adjacent positions precisely once in the columns of the square.
Remark By using a counting argument it can be seen that this is the same as the definition of
balance for carry over effects in the particular case where s = t. So if the number of subjects
is equal to the number of treatments (which is equal to the number of periods) then we get a
uniformly balanced design if we can find a column-complete Latin square of order t.
Theorem 4.2. A column-complete Latin square of order 2m can be found for every integer
m 1.
Construction of Column-Complete Latin Squares
Let there be t = 2m treatments labelled 0, 1, . . . , t 1 = 2m 1 and let the first column of
the square have treatments arranged in the order
0 1 2m 1 2 2m 2 3 . . . m 1 m + 1 m.
Form the second column by adding unity to each treatment (mod 2m), form the third column
by adding unity to each treatment in the second column (mod 2m) and continue in this way by
adding unity to each column until t columns are formed. It is clear that this gives a Latin square.
It can also be shown that every ordered pair of distinct treatments appears in adjacent positions
precisely once in the columns of the square.
The Williams Latin square of order 6 is column-complete and was constructed by this method.
There is another column- complete Latin square of order 6 and this is given below:

1
2
PERIODS 3
4
5
6

1
0
2
1
4
5
3

SUBJECTS
2 3 4 5
1 2 3 4
3 4 5 0
2 3 4 5
5 0 1 2
0 1 2 3
4 5 0 1

6
5
1
0
3
4
2

Remark The above construction shows that a column-complete Latin square of order t can
always be formed if t is an even integer. However, the position is rather more complicated if t
is an odd integer.
Theorem 4.3. No column-complete Latin square of order 3, 5 or 7 exists.
Remark However, a column-complete Latin square of order 9 does exist and one example of
such a column-complete Latin square is given below:
50

1
2
3
4
PERIODS 5
6
7
8
9

1
0
8
6
5
3
7
4
2
1

2
1
6
7
3
4
8
5
0
2

3
2
7
8
4
5
6
3
1
0

SUBJECTS
4 5 6
3 4 5
5 3 4
1 2 0
2 0 1
8 6 7
0 1 2
7 8 6
6 7 8
4 5 3

7
6
0
3
8
1
5
2
4
7

8
7
1
4
6
2
3
0
5
8

9
8
2
5
7
0
4
1
3
6

Remark To conclude this discussion it is necessary to consider the existence of a uniformly

balanced design for those cases where no column-complete Latin squares exist, i.e. cases where
t is odd, in particular t = 3, 5 or 7.
Theorem 4.4. A uniformly balanced design based on two Latin squares of order 2m + 1 can
be found for every integer m 1.
Construction of a Uniformly Balanced Design for 2m + 1 Treatments
Let there be t = 2m + 1 treatments labelled 0, 1, . . . , t 1 = 2m and let the first column of
the square have treatments arranged in the order
0 1 2m 2 2m 1 3 . . . m 1 m + 2 m m + 1.
Again form the second and subsequent columns by adding unity to each treatment in the previous column (mod 2m + 1) until
t columns are formed. It is clear that this gives a Latin square.


2m+1
It can be shown that
ordered pairs of distinct treatments appears in adjacent positions
2
precisely twice in the columns of the square. Then just reverse the order of the columns and the
remaining ordered pairs of distinct treatments appears in adjacent positions precisely twice in
the columns of the square. This gives a uniformly balanced design with s = 2t.
The following pair of Latin squares of order 5, which together give a uniformly balanced design,
is constructed by this method:

1
1 0
PERIODS 2 1
3 4
4 2
5 3

2
1
2
0
3
4

3
2
3
1
4
0

4
3
4
2
0
1

SUBJECTS
5
6 7
4
0 1
0
4 0
3
1 2
1
3 4
2
2 3

8
2
1
3
0
4

9
3
2
4
1
0

10
4
3
0
2
1

Note that, in this example, columns 6, 7, 8, 9 and 10 are the reverse order of the columns
3, 4, 5, 1 and 2 respectively.
51

4.3.2

Analysis of Cross Over Experiments

Cross over experiments are used extensively in different areas of experimental research, including agriculture, biology, psychology and medicine. The subjects used in these experiments
usually tend to be living entities, such as human beings involved in clinical trials or in psychological research, or different types of animal involved in agricultural or medical research or
even agricultural entities such as planted fields. The basic idea is that the subjects in a cross
over experiment receive all t treatments in sequence over t different periods of time.
One feature of experiments based on cross over designs is that there are two sets of treatments
to consider. Normally the set of direct treatment effects are of primary interest, but the Analysis
of Variance table should include both sets of treatments (direct and carry over) and the two sets
of blocks (periods and subjects). The computation of the sums of squares is difficult to do by
hand but it is a straightforward task for most modern computer packages.

Example: Milk Yield for Cows

A design based on a column-complete Latin square of order 6 is used for an experiment to
investigate the effect of six treatments on the milk yield of cows. The data are superimposed on
the Latin square design of order 6 from section 4.3.1.

1
2
PERIODS 3
4
5
6

0
2
1
4
5
3

1
56.7
56.7
54.4
54.4
58.9
54.5

1
3
2
5
0
4

2
57.3
57.7
55.2
58.1
60.2
60.2

2
4
3
0
1
5

SUBJECTS
3
4
53.7 3 55.7
57.1 5 60.7
59.2 4 56.7
58.9 1 59.9
58.9 2 56.6
59.6 0 59.6

4
0
5
2
3
1

5
58.5
60.2
61.3
54.4
59.1
59.8

5
1
0
3
4
2

6
58.1
55.7
58.9
56.6
59.6
57.5

In the ANOVA table for this experiment no entry can be calculated for Periods. The usual
estimate of this term involves the carry over effects, which are present in periods 2 to 6 but not in
period 1, therefore no unbiased estimate of periods exists. (We say: periods are confounded
with carry over effects.) The other three terms can be estimated and the completed table is as
follows:
Anova Table for Milk Yield of Cows
degrees
Source of Variation
of
sums of squares mean squares
freedom
subjects
5
39.8684
7.97
periods (unadj.)
5
21.7114

direct effects
5
68.6581
13.73
carry over effects
5
23.4363
4.69
residual
15
9.0593
0.60
total
35
165.0620

F-value
13.20

22.74
7.76

The sums of squares entries in the Anova table do not sum to the Total sums of squares, which
results from the fact that the doubling up of types of treatments in periods 2 to 6 gives a nonorthogonal model. The entries in the Anova table suggest that direct treatment effects are highly
52

significant, i.e. there is a clear difference between the effects of the six treatments and it is
possible to investigate further why such differences exist. Also there are significant differences
between subjects, suggesting that it is sensible to treat separate cows as blocks.
P
P
(ii) ti=1 ci i is an unbiased estimator of the linear contrast ti=1 ci i , where
" t
#
t
t
t
X
X
1 X
k 2 X 2

ci i =
ci Ti , and Var
ci i =
ci .
t
t
i=1
i=1
i=1
i=1

Remark on Theorem 2.6 (ii)

This result implies that SSttments(adj) , the treatment sum of squares adjusted for blocks, can be
divided into t 1 components, each with a single degree of freedom, by using a set of t 1
mutually orthogonal contrasts.

53

54

Chapter 5
Factorial Experiments
5.1

Advantages of Factorial Experiments

Remarks on the Factorial Concept

Factorial experiments with k factors are formally the same as complete kway classifications.
In complete kway classifications observations are taken at all treatment combinations of all
factors.
k = 2 : Examples of twoway classifications from three different experimental environments
are as follows:
Medical Experiment: study the effects of a programmes of measured exercise (Factor A
at a levels) and b different types of varied diet (Factor B at b levels) on blood sugar levels in
diabetics;
Chemical Experiment: study the effects of a different levels of local pressure (Factor A at
a levels) and b different levels of temperature (Factor B at b levels) on viscosity of an adhesive;
Engineering Experiment: study the effects of a different levels of engine speed (Factor A
at a levels) and b separate categories of oil type (Factor B at b levels) on the life span of piston
rings.
These examples of a twoway classification model at a and b levels may be described in this
context as a factorial experiment with two factors, one at a levels and the other at b levels. More
concisely, each of the three examples could be described as an a b factorial experiment.
Furthermore, if a = b in one of these examples then the experiment would be simply called an
a2 factorial.
k = 3 : Another more general Chemical Experiment studies the effects of a levels of local
pressure (Factor A at a levels), b levels of temperature (Factor B at b levels) and c levels of
concentrations of an adhesive reagent (Factor C at c levels) on adhesive viscosity,
This is a threeway classification or, equivalently, a factorial experiment with three factors at
a, b and c levels. More concisely, it is an a b c factorial experiment. If a = b = c this
55

experiment is an a3 factorial.
Agricultural Example of 23 Factorial:
A Fertiliser Trial has three fertiliser factors A, B and C denoting nitrogeneous fertiliser, phosphate and potash which were applied to plots of corn. A simple experiment has each of the
three factors with only 2 levels, i.e. either absent or present, so that we are considering a 23
factorial experiment. There are 23 = 8 treatment combinations, represented by the following
table:

A
absent
present
absent
present
absent
present
absent
present

B
absent
absent
present
present
absent
absent
present
present

Treatment
C
Combination
absent
(1)
absent
a
absent
b
absent
ab
present
c
present
ac
present
bc
present
abc

All eight fertiliser combinations were replicated three times to produce a 3replicate 23 factorial experiment, giving 24 observations 24 yields of corn.
If there is no interaction between A and the other factors it is possible to estimate the increase
in yield due to factor A by using all 24 observations; it will be estimated by the difference of
the mean of 12 observations with A absent from the mean of 12 observations with A present.
We get the same precision as if all 24 observations had been used to test for A alone. Similar
remarks apply to estimates of the effects of B and C. This is a big advantage of a factorial
experiment over the alternative approach which considers just one factor at a time.
The advantages are even more marked when interaction is actually present. The factorial experiment enables us to estimate all main effects and any two factor or three factor interaction
by using a suitable linear contrast. If instead, separate experiments are carried out for factors
A, B and C then estimates for the main effects can be quite misleading and no estimates of
interaction are obtained.

5.2 k Factors at Two Levels: YatesAlgorithm

We confine ourselves to factorial experiments with k factors, each at just two levels. It follows
that there are 2k treatment combinations altogether (which we can think of as 2k treatments) and
a total of r2k observations, where r is the number of replications of each treatment combination.
We begin by looking at some particular values of k.
56

5.2.1

The 22 Factorial Experiment

Consider two factors A, B, each at 2 levels high and low. The treatment combinations are
Treatment
A
B
Combination
low low
(1)
high low
a
low high
b
high high
ab
We define the three effects to be
Effect of Factor A = (ab b) + (a (1)) = (a 1)(b + 1);
Effect of Factor B = (ab a) + (b (1)) = (a + 1)(b 1);
Interaction AB = (ab b) (a (1)) = (a 1)(b 1).
These three effects are mutually orthogonal contrasts with weights given by:

(1)
a
b
ab

Factor A
-1
+1
-1
+1

Factor B
-1
-1
+1
+1

Interaction AB
+1
-1
-1
+1

The contrast representing Interaction AB is the ordinary arithmetic product of contrasts representing Factor A and Factor B, i.e. AB = A B. Similarly A = B AB and B = A AB.
Example: An Agricultural 22 factorial experiment on Sugar Beet.
The two factors for this experiment are:
A Sulphate of Ammonia (high level = 3cwt/acre) (low level = none);
B Depth of ploughing (high level = 11 in. deep) (low level = 7 in deep).
Five replicates of a 22 factorial are arranged in five blocks. Ploughing took place in late January,
Sulphate of Ammonia was applied in late April and seed was sown early in May. The harvested
yields of sugar beet (cwt/acre) are:
blocks
(1)
a
b
ab
Totals

1
41.1
48.4
43.2
48.1
180.8

2
37.5
43.3
40.2
48.1
169.1

3
39.6
46.5
42.4
52.3
180.8

4
40.5
49.1
44.5
54.2
188.3

5
36.2
42.8
41.5
48.5
169.0

Main Effect for Factor A = 251.2-211.8+230.1-194.9 = 74.6;

Main Effect for Factor B = 251.2+211.8-230.1-194.9 = 38.0;
Effect for Interaction AB = 251.2-211.8-230.1+194.9 = 4.2.
57

Totals
194.9
230.1
211.8
251.2
888.0

Sumsqs
7614.31
10622.35
812982.54
12652.40
39871.60

These three effects are orthogonal contrasts so these contributions will add up to SSTreatments . It
is seen that
74.62
20

382
20

4.22
20

= 278.258 + 72.2 + 0.882 = 351.34 = SSTreatments ;

and SSBlocks and SSTotal are 70.295 and 444.4 respectively. The ANOVA Table is
Source
A
B
AB
blocks
Residual
Total

DF
1
1
1
4
12
19

SS
278.258
72.200
0.882
70.295
22.765
444.400

MS
278.258
72.200
0.882
17.574 7
1.897=s2

F
146.67
38.06
0.46
9.26

Remark on the Example

It is evident that there is a marked response to the fertiliser and a smaller but still highly significant response to the depth of ploughing. The interaction is not significant. This means that the
response to Sulphate of Ammonia is the same whether ploughing is shallow or deep and that the
difference between the effects of deep or shallow ploughing is the same whether the fertiliser is
present or not.

5.2.2

The 23 Factorial Experiment

In a 23 factorial experiment with factors A, B and C, each at two levels, there are eight treatment
combinations which we write here in Standard Order as
(1) a

ab

ac

bc

abc.

There are seven factorial effects which are defined as follows:

Effect
A
B
AB
C
AC
BC
ABC

Treatment Combination
abc bc + ab b + ac c + a (1) = (a 1)(b + 1)(c + 1)
abc ac + ab a + bc c + b (1) = (a + 1)(b 1)(c + 1)
abc bc + ab b ac + c a + (1) = (a 1)(b 1)(c + 1)
abc ab + ac a + bc b + c (1) = (a + 1)(b + 1)(c 1)
abc bc + ac c ab + b a + (1) = (a 1)(b + 1)(c 1)
abc ac + bc c ab + a b + (1) = (a + 1)(b 1)(c 1)
abc ac bc + c ab + a + b (1) = (a 1)(b 1)(c 1)

These seven effects are mutually orthogonal contrasts with weights given by:
58

(1)
a
b
ab
c
ac
bc
abc

A
1
+1
1
+1
1
+1
1
+1

B
1
1
+1
+1
1
1
+1
+1

AB
+1
1
1
+1
+1
1
1
+1

C
1
1
1
1
+1
+1
+1
+1

AC
+1
1
+1
1
1
+1
1
+1

BC
+1
+1
1
1
1
1
+1
+1

ABC
1
+1
+1
1
+1
1
1
+1

Note that any contrast representing an effect can be obtained by ordinary arithmetic multiplication of two contrasts representing other effects modulo 2. Thus the product of any two columns
yields another column included in the table. We have, for example
AC = A C

5.2.3

ABC = AB C

A = B AB = ABC BC

and so on.

The 2k Factorial Experiment

For k factors at 2 levels there are 2k treatment combinations, giving r2k observations where r
is the number of replicates of each treatment combination.
There are 2k 1 mutually orthogonal contrasts which represent 2k 1 factorial effects.
To associate these contrasts with the factorial effects we need to consider a combinatorial identity. The combinatorial identity is given by


     
 
k 
X
k
k
k
k
k
2 =
which gives
+
+
+ +
= 2k 1.
i
1
2
3
k
k

i=0

We associate each binomial coefficient with a class of factorial effects, i.e.

 
k
there are
= k main effects;
1
 
1
k
=
k(k 1) two factor interactions;
2
2
 
1
k
=
k(k 1)(k 2) three factor interactions;
3
6
 
k
= 1 kfactor interaction.
k
(5.1)
Theorem 5.1. (Yates Algorithm)
59

The data corresponding to the 2k treatment combinations in standard order are entered in the
margin as Column 0.
For a 2k factorial it is necessary to compute k columns (Columns 1,2, k) by the following
method:
Column i is obtained from Column (i 1) by dividing the data of Column (i 1) into
2k1 pairs;
The top half of Column i is obtained by adding the pairs of the previous column;
the bottom half of Column i is obtained by subtracting the first term in each pair from the
second term.
The entries in Column k contain the grand total plus the 2k 1 factorial effects. The grand
total occupies the first position in Column k and each of the factorial effects is situated in the
same position in Column k as the corresponding treatment combination in Column 0.
N.B.: It is essential that the 2k treatment combinations are taken in standard order.
vspace0.1in
Illustration of Yates Algorithm for 23 Factorial
Eight treatment totals corresponding to a 23 factorial experiment are written below in Column
0. The application of Yates Algorithm then proceeds:
(1)
a
b
ab
c
ac
bc
abc

5.2.4

Column 0
425
426
1118
1203
1283
1396
1673
1807

Column 1
851
2321
2679
3480
1
85
113
134

Column 2
3172
6159
86
247
1470
801
84
21

Column 3
9331
333
2271
105
2987
161
669
63

Total
A
B
AB
C
AC
BC
ABC

The 2k Factorial with a Single Replicate

If k is reasonably large then the number of treatment combinations in a 2k factorial experiment

may stretch the resources or the budgets of many experiments. There should be r2k observations, where r is the number of replicates, however when it comes to deciding on the value of r
it may be felt that it is inadvisable to allow r > 1. Then it is necessary to consider a 2k factorial
experiment with a single replicate., i.e. there are just 2k observations.
But if there are 2k observations then there are only 2k 1 degrees of freedom. This raises
the problem that the number of degrees of freedom is insufficient to estimate both the full set
60

of 2k 1 factorial effects and the residual variance 2 . This problem is usually resolved by
deciding in advance what factorial effects can be considered negligible and can be ignored,
thereby releasing this number of degrees of freedom for the residual variance.
Definition of Suppressed Factorial Effect
A factorial effect which is assumed to be zero will be said to be suppressed.
We consider two examples of suppressed factorial effects:
(1) It may be known that one factor is unlikely to interact with any of the others; then all
second and higher order interactions involving this factor can be suppressed. In this case we
have

Number of factorial effects

=k+

Number of suppressed effects

Pk

Pk

i=2

k1
i

= 2k1 ;
(5.2)

i=1

k1
i

= 2k1 1.
(5.3)

(2) In many experiments it is reasonable to assume that all third and higher order interactions
can be suppressed. In this case we have

Number of factorial effects

Number of suppressed effects


k+1
= k+
=
;
2



k 
X
k
k+1
k
=
=2
1.
i
2
k
2

i=3

(5.4)

Example: Analysis of a one-replicate 25 Factorial

A 25 factorial experiment was carried out to investigate the purification of a product by a steam
distillation process. The five factors, each at 2 levels, were concentration of material (A), rate
of distillation (B), volume of solution (C), stirring rate (D) and solvent-to-water ratio (E). B
does not interact with A, C, D, E.
The residual acidity of material from using one replicate of each of the 32 treatment combinations was determined and given below in coded form.
61

A0

A1

D0

D1

D0

D1

C0

E0
9

E1
3

E0
11

E1
8

E0
10

E1
9

E0
13

E1
7

C1
C0

3
8

5
4

7
9

7
8

5
6

6
6

10
16

7
6

C1

10

10

13

B0

B1

Yates algorithm gave the following factorial effects:

Col 0
(1)
9
a
10
b
8
ab
6
c
3
ac
5
bc
6

Col 1
19
14
8
16
24
25
17

Col 2
33
24
49
37
22
25
29

Col 3
57
86
47
54
5
18
15

Col 4
143
101
23
13
7
3
7

Col 5
244 Total
36
A
4
B
8
AB
22
C
10
AC
18
BC

entries included in SSResidual . The ANOVA table is

Source
A
B
C
AC
D
AD
CD
ACD
E
AE
CE
ACE
DE
ADE
CDE
ACDE
Residual
Total

DF
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
15
31

SS
40.500
0.500
15.125
3.125
40.500
0.500
3.125
0.125
55.125
3.125
12.500
0.500
15.125
28.125
0.500
4.500
52.500
275.500

MS
40.500
0.500
15.125
3.125
40.500
0.500
3.125
0.125
55.125
3.125
12.500
0.500
15.125
28.125
0.500
4.500
3.500

62

F
11.57
<1
4.32
<1
11.57
<1
<1
<1
15.75
<1
3.57
<1
4.32
8.04
<1
1.29

P
< 0.01
< 0.1
< 0.01

< 0.01
< 0.1
< 0.1
< 0.05

5.3

Fractional Replication

Consider again factorial experiments with k factors, each at only two levels. If k is large we
may not wish to consider even a single replicate of a 2k factorial if it is possible to suppress
many factorial effects. For example, a single replicate of a 28 factorial requires 256 treatment
combinations. But only eight degrees of freedom correspond to main effects and only 28 to twofactor interactions. The remaining 219 degrees of freedom correspond to interactions involving
three or more factors and, if higher order interactions are negligible and can be suppressed, then
219 degrees of freedom are available for estimating 2 . This suggests that we consider using a
fraction of the replicate to estimate the 36 nonsuppressed factorial effects.
In general Fractional Factorial designs use only one-half, one-quarter or even smaller fractions
of the 2k treatment combinations. They are used for one or more of several reasons including
the number of treatment combinations exceeds resources
information is required only on main effects and low-order interactions
screening studies are needed to identify a small number of important factors amongst a
large number of factors
an assumption is made that only a few factors are important

5.3.1

Half-Replicate Fractional Factorial

Half-Replicate of a 23 Factorial
We begin by looking at a half-replicate of a 23 factorial. Of course, it is unlikely that a halfreplicate of a 23 factorial would ever be needed in practice, nevertheless the discussion of this
case is useful to introduce the main points.
Eight treatment combinations (1), a, b, ab, c, ac, bc, abc would be used for a complete replicate but only four of these are required in the half-replicate of a 23 factorial. Which four treatment combinations should be chosen from among the 70 possibilities? One suggestion is to
choose the first four treatment combinations from the standard order, i.e. (1), a, b, ab; but this
suggestion is very unwise since these are the four treatment combinations at the lower level of
factor C so it would become impossible to estimate the main effect C.
The approach we adopt is based on the assumption that the three-factor interaction ABC can
be suppressed. The linear contrast for this effect is
ABC (a 1)(b 1)(c 1) = abc ac bc + c ab + a + b (1).
Choose four treatment combinations with the same sign in this linear contrast; say the four
combinations with positive signs, which are a b c abc. Then the seven factorial effects are
estimated by linear combinations of these four treatment combinations, with weights given by:
63

a
b
c
abc

A
+1
1
1
+1

B
1
+1
1
+1

AB
1
1
+1
+1

C
1
1
+1
+1

AC
1
+1
1
+1

BC
+1
1
1
+1

ABC
+1
+1
+1
+1

There are three points which emerge from these estimates.

It is not possible to estimate the interaction ABC because the weights in the linear combination are all +1, i.e. we do not have a contrast.
The estimates of A, B and C are still mutually orthogonal contrasts.
However, these same mutually orthogonal contrasts also estimate the two-factor interactions, i.e. the estimates of pairs of factorial effects are identical:
A = BC

B = AC

and C = AB.

To summarise: the price to be paid for considering a 21 replicate rather than a full replicate 23
factorial is that each main effect has the same estimate as a two-factor interaction and that all of
the information on the single three-factor interaction is lost.
Remark on the Half-Replicate of a 23 Factorial
If we had chosen the four treatment combinations with the same negative sign in the ABC
contrast, i.e {(1) ab ac bc}, then we would have arrived at the same three conclusions as
above.
Half-Replicate of a 2k Factorial
The procedure just described can be applied to a general 2k factorial. Select a particular factorial
effect and choose 2k1 treatment combinations in this linear contrast which have the same sign.
These 2k1 treatment combinations form the 21 replicate of the 2k factorial, and all information
on this factorial effect is lost. The remaining 2k 2 factorial effects divide into 2k1 1 pairs
of mutually orthogonal contrasts, with each pair being represented by the same linear contrast.
Definition of Defining Contrast
The factorial effect which divides the full set of 2k treatment combinations into a 12 replicate,
for which all information is lost, is called a defining contrast.
Definition of Alias
Two factorial effects are said to be aliases of each other if they are represented by the same
linear contrast of the available treatment combinations.
Definition of Generalised Interaction
The generalised interaction of two factorial effects is the combination of all letters that appear
in the two effects, cancelling all letters that appear twice.
64

Theorem 5.2. In a 12 replicate of a 2k factorial, the alias of a given factorial effect is the
generalised interaction of this factorial effect with the defining contrast.
Example: Half-Replicate of a 23 Factorial
The approach we described above to obtain the 12 replicate of a 23 factorial is to choose the
factorial effect ABC as defining contrast. Thus all information on ABC is lost. From Theorem
4.31 the alias of A is the generalised interaction of A with ABC, i.e. the alias of A is A
ABC = A2 BC = BC. Similarly, the alias of B is B ABC = AB 2 C = AC and the alias of
C is C ABC = ABC 2 = AB.
Example 1: Poor Half-Replicate of a 23 Factorial
If we had (unwisely) chosen the four treatment combinations {(1) a b ab} as the 12 replicate
then this is equivalent to choosing C as defining contrast so that all information on C is lost.
From Theorem 5.2 , the alias of A is AC, the alias of B is BC and the alias of AB is ABC.
Definition of an Estimable Factorial Effect
A factorial effect is estimable if and only if the given effect has an alias which is a factorial
effect that can be suppressed.
Example 2: Half-Replicate of a 24 Factorial
The factors are A, B, C, D. We choose the highest-order interaction ABCD as defining
contrast. The eight treatment combinations that have the same +1 weights in the linear contrast
ABCD (a 1)(b 1)(c 1)(d 1) are
(1) ab ac ad bc bd cd abcd.
Each main effect has a three-factor interaction as alias, i.e.
A = A ABCD = BCD

B = ACD

C = ABD and D = ABC.

It follows that if all three-factor interactions are suppressed then all main effects are estimable.
But this is not true of other non-negligible factorial effects.
Each two-factor interaction has another two-factor interaction as alias, i.e
AB = CD

AC = BD and AD = BC,

so, in general, the two-factor interactions are not estimable.

If all interactions can be suppressed then 7 degrees of freedom associated with the 21 replicate
are divided into four for estimable main effects and three for the estimate of 2 . The sums
of squares due to these different components would be derived from an adaptation of Yates
algorithm. To use the algorithm it is essential that the treatment combinations are placed in the
correct order.
Yates algorithm for Half-Replicate of 24 Factorial
To use the algorithm it is necessary to arrange the 21 replicate of the 24 factorial as a fullreplicate of a 23 factorial by ignoring one of the factors. Thus, if we ignore d then the
65

following treatment combinations are written down in standard order.

(1) ad bd ab cd ac bc abcd.
We call this arrangement pseudo-standard order. The data corresponding to these eight treatment combinations in pseudo-standard order are entered in the margin as Column 0.
For a 21 replicate of a 24 factorial it is necessary to compute three columns Columns 1,2 and 3
by the usual method of adding and subtracting pairs from Column (i 1) to give Column i.
The entries in Column 3 contain seven factorial effects paired with their aliases plus the grand
total. The grand total occupies the first position in Column 3. Each factorial effect, together
with its alias, is situated in the same position in Column 3 as the corresponding treatment combination, ignoring d, in Column 0.
Illustration of Yates Algorithm
Eight treatment totals in pseudo-standard order are written in Column 0, then Columns 1,2 and
3 are formed in the usual way:

(1)
ad
bd
ab
cd
ac
bc
abcd

Column 0

Column 1

usual process
of adding
and subtracting
in pairs

Column 2

Column 3
Total
A = BCD
B = ACD
AB = CD
C = ABD
AC = BD
BC = AD
ABC = D

Estimate

Main A
Main B
Residual
Main C
Residual
Residual
Main D

Example 3: Half-Replicate of a 25 Factorial

The factors are A, B, C, D, E. Construct a 12 replicate using ABCDE as defining contrast.
Each main effect has a four-factor interaction as alias and each two-factor interaction has a
three-factor interaction as alias; for example
A ABCDE = BCDE etc.

CD ABCDE = ABE etc.

If we suppress three-factor and higher-order interactions then five main effects and ten twofactor interactions are estimable, i.e. all non-negligible effects are estimable. Unfortunately,
this leaves no degrees of freedom for estimating 2 .
Example 4: Half-Replicate of a 26 Factorial
The factors are A, B, C, D, E, F . A 12 replicate uses ABCDEF as defining contrast. Each
main effect has a five-factor interaction as alias and each two-factor interaction has a four-factor
interaction as alias. The (63 ) = 20 three-factor interactions split into ten alias pairs. If we
suppress all interactions consisting of three or more factors then all non-negligible effects are
estimable and ten degrees of freedom are available for estimating 2 .
66

The 32 treatment combinations are all 32 even combinations, given by

(1) ab ac ad ae af bc bd be bf cd ce cf de df ef abcd abce abcf
abde abdf abef acde acdf acef adef bcde bcdf bcef bdef cdef abcdef
Alternatively, all the odd treatment combinations could form the 12 replicate.

5.3.2

Quarter-Replicate Fractional Factorial

Example 5: Quarter-Replicate of a 26 Factorial

The method for choosing a 41 replicate of a 26 factorial is to choose two 12 replicates and
take treatment combinations common to both. For example, if we choose defining contrasts
ABCDEF and ABCDE then the 41 replicate is
(1) ab ac ad ae bc bd be cd ce de abcd abce abde acde bcde.
But f is missing from all 16 treatment combinations, i.e. we have derived unintentionally
a 14 replicate where we cannot estimate F . Note that F is the generalised interaction of the
chosen defining contrasts ABCDEF and ABCDE.
Theorem 5.3. Any two factorial effects may be used as defining contrasts to divide a 2k factorial
into a 14 replicate. Their generalised interaction also acts as a defining contrast and is not
estimable. Any factorial effect which is not a defining contrast has three aliases which are the
generalised interactions of this factorial effect with the three defining contrasts.
Definition of an Estimable Factorial Effect
A factorial effect is estimable if and only if the given effect has three aliases which are factorial
effects that can all be suppressed.
To obtain a 14 replicate for a 26 factorial choose two four-factor interactions as defining contrasts whose generalised interaction is also a four-factor interaction.
Example 6: Quarter-Replicate of a 26 Factorial
Use ABCE and ABDF , which have interaction CDEF , as defining contrasts. With this
choice of defining contrasts, all main effects have aliases which are three-factor or five-factor
interactions:
A = BCE = BDF = ACDEF
D = ABCDE = ABF = CEF
B = ACE = ADF = BCDEF
E = ABC = ABDEF = CDF
C = ABE = ABCDF = DEF
F = ABCEF = ABD = CDE.
Some two-factor interactions are aliases of each other, e.g.
AB = CE = DF = ABCDEF

BC = AE = ACDF = BDEF.

If we can suppress all interactions involving three or more factors then all main effects are
estimable but some two-factor interactions are not. On the other hand, if we can suppress all
67

interactions then we have six estimable main effects and nine degrees of freedom for estimating
2.
Selecting the Quarter-Replicate
A simple method for obtaining the 14 replicate which contains the treatment combination (1)
is to derive all even combinations of a, b, c, d, e, f simultaneously in two defining contrasts;
thus:
ABCE
ABDF

a
1
1

b
1
1

c
1
0

d
0
1

e
1
0

f
0
1

The sixteen treatment combinations in the 14 replicate containing (1) are

(1) ab ce df acd bcd aef bef ade bde acf bcf abce abdf cdef abcdef.
Selection of these elements is helped by the following property:
Lemma 5.1. The treatment combinations in a fractional replicate containing (1) form a subgroup of a multiplicative Abelian group, i.e. elements are closed with respect to multiplication
modulo 2.
The analysis is carried out using Yates algorithm by arranging the sixteen treatment combinations in pseudo-standard order after ignoring two factors:
(1) aef bef ab ce acf bcf abce df ade bde abdf cdef acd bcd abcdef
which occupy Column 0. Columns 1,2,3 and 4 are obtained as usual. Entries in Column 4 are
the grand total and 15 factorial effects with their aliases.
Example 7: Quarter-Replicate of 27 Factorial
For a 27 factorial the factors are A, B, C, D, E, F, G. A useful choice for the defining
contrasts is the pair ABCDE and ABCF G, with interaction DEF G, since we arrive at the
following conclusions.
All main effects have second and higher order interactions as aliases.
Fifteen first order interactions have second and higher order interactions as aliases, but six first
order interactions are aliased with each other:
DE = ABC = ABCDEF G = F G,
DF = ABCEF = ABCDG = EG,
DG = ABCEG = ABCDF = EF.
Therefore, if we can suppress only second and higher order interactions then it follows that
not all non-negligible effects are estimable. However, if we can suppress all second and higher
order interactions and all first order interactions involving one of factors D, E, F or G then all
non-negligible effects are estimable in this particular case.
Example 8: Quarter-Replicate of 28 Factorial
68

Factors for a 28 factorial are A, B, C, D, E, F, G, H. Choose defining contrasts ABCDE

and ABCF GH, with generalised interaction DEF GH. Each main effect has third or higher
order interactions as aliases, each two-factor interaction has second or higher order interaction
as aliases. If we can suppress second and higher order interactions then all non-negligible
factorial effects are estimable. The degrees of freedom are
main effects
two-factor interactions
Residual
Total

5.3.3

8
28
27
63

The Resolution of a Design

Suppose we have a 2kp design, that is a 1/2p fraction of a 2k factorial design. The design
requires p defining contrasts which need to be independent in the sense that no defining contrast
can be obtained as an interaction between two or more other defining contrasts. The Resolution of the design is the smallest number of letters involved in a defining contrast or in an
interaction between two or more defining contrasts.
Example

Fraction

Defining contrasts

1
2
3
4
5
6
7
8

1/2
1/2
1/2
1/2
1/4
1/4
1/4
1/4

C
ABCD
ABCDE
ABCDEF
ABCDEF, ABCDE
ABCE, ABDF
ABCDE, ABCF G
ABCDE, ABCF GH

Smallest defining contrast

or interaction
C
ABCD
ABCDE
ABCDEF
F
ABCE
DEF G
ABCDE

Resolution
1
4
5
6
1
4
4
5

Designs of resolution III, IV and V are particularly important.

Resolution III designs These designs have no main effect aliased with any other main
effect, but main effects are alised with two factor interactions and two factor interactions
may be aliased with each other.
Resolution IV designs These designs have no main effect aliased with any other main
effect or with any two factor interactions, but two factor interactions are aliased with each
other.
Resolution V designs These designs have no main effect or two factor interactions aliased
with any other main effect or two factor interactions, but two factor interactions are aliased
with three factor interactions.
69

5.4

Confounding in a 2k Factorial

Confounding is a useful device for arranging a factorial experiment, whether fractionally replicated or not, into blocks when the prevailing circumstances are such that the block-size is
smaller than the number of treatment combinations. The purpose of confounding is to enable certain non-negligible factorial effects to be estimated with higher precision than would
otherwise be possible with no arrangement of the experiment into blocks. We shall see that this
is achieved by sacrificing information on a number of selected contrasts.
Example: Confounding a 23 Factorial into Pairs of Blocks
Consider three factors A, B, C, each at two levels, in r complete replicates of a 23 factorial
involving treatment combinations (1), a, b, ab, c, ac, bc, abc. Altogether there are 8r observations, where r is the number of replications of each treatment combination; if blocks of eight
reasonably homogeneous experimental units can be formed then the use of randomised blocks,
or possibly an 8 8 latin square if r = 8, is probably the most sensible approach.
Suppose, however, that it is only possible to form 2r homogeneous blocks of size four. Then it
is natural to arrange these blocks in pairs such that, for each pair of blocks, one half-replicate
of the 23 factorial is contained in one block and the other half-replicate is contained in the
other block. But how should the eight treatment combinations be separated into the two halfreplicates? A poor suggestion is to take the first four combinations from standard order as half
replicate so that r blocks contain (1), a, b, ab, and the other r blocks contain c, ac , bc , abc.
This suggestion is poor because the four treatment combinations at the low level of C are in r
blocks and the four at the high level of C are in the other r blocks; so the contrast estimating
the main effect C would also be measuring differences between these blocks. We say that C is
confounded with blocks.
We should avoid confounding the main effects or the two-factor interactions if at all possible.
A much better suggestion is to confound interaction ABC with blocks, particularly as ABC
is likely to be negligible. So if we suppose that r = 3 the experiment involves six blocks as
follows:
Block 1
(1)
ab
ac
bc

Block 2
a
b
c
abc

Block 3
(1)
ab
ac
bc

Block 4
a
b
c
abc

Block 5
(1)
ab
ac
bc

Block 6
a
b
c
abc

The whole experiment consists of 24 observations derived from eight treatment combinations
allocated at random to these three pairs of blocks. Blocks 1, 3, 5 have the property that the four
elements are closed with respect to multiplication modulo 2 (c.f. 5.4). These blocks contain (1)
and are known as the principal block. Blocks 2, 4 and 6 contain the other half-replicate; the
elements are found by multiplying modulo 2 the principal block by any one of a, b, c or abc.
This situation holds generally for a 2k factorial experiment confounded in 2t blocks of size 2kt
when t < k and is described by the following theorem.
70

Theorem 5.4. In a complete replicate of a 2k factorial experiment confounded in 2t blocks of

size 2kt , the treatment combinations in the principal block include (1) and form a subgroup of
the group of all 2k treatment combinations.
The remaining 2t 1 blocks are cosets of the principal block, i.e. they can be formed by
multiplying modulo 2 the elements of the principal block by other treatment combinations not
contained in the principal block.
Example: Confounding a 24 Factorial in Two Blocks of size 8
If there are four factors A, B, C, D, each at two levels, in a 24 factorial it is usual to confound
interaction ABCD with blocks. Then the principal block consists of the eight even treatment
combinations.
The two blocks are:
principal block:
second block:

(1)
a

ab
b

ac
c

ad bc
d abc

bd
abd

cd
acd

abcd
bcd

The second block consists of the remaining set of treatment combinations once the principal
block is removed. Note, however, that the second block can be obtained directly by multiplying
modulo 2 the eight treatment combinations in the principal block by any remaining treatment
combination not contained in the principal block. For example, multiplication by a gives the
second block in the order specified above.
Example: Analysis of two replicates of a 24 Factorial in four blocks
Suppose that a 24 factorial experiment is performed in circumstances where four blocks are
available but the block-size is restricted to eight cells. It is decided to choose two replicates
of the blocking arrangement specified above, i.e. two replicates of a 24 factorial experiment
arranged in four blocks with interaction ABCD confounded with blocks.
The data for this experiment are given by:
block 1

ab
2.1
block 2 b
2.7
block 3 ad
5.2
block 4 acd
9.2

bc
3.7
abc
7.3
ac
6.1
abc
8.0

ac
4.0
acd
8.8
(1)
3.2
c
8.2

(1)
1.5
abd
5.9
ab
3.7
d
6.7

abcd
6.3
c
5.3
cd
7.4
bcd
6.9

Yates algorithm gave the following factorial effects:

71

ad
3.3
a
6.4
abcd
9.1
abd
6.5

bd
2.8
bcd
6.8
bd
4.2
a
7.1

cd
5.2
d
5.5
bc
5.8
b
3.1

Total
28.9
Total
48.7
Total
44.7
Total
55.7

(1)
a
b
ab
c
ac
bc
abc
d
ad
bd
abd
cd
acd
bcd
Blocks/abcd

entries in SSResidual .

Col 0
4.7
13.5
5.8
5.8
13.5
10.1
9.5
15.3
12.2
8.5
7.0
12.4
12.6
18.0
13.7
15.4

Col 1
18.2
11.6
23.6
24.8
20.7
19.4
30.6
29.1
8.8
0.0
3.4
5.8
3.7
5.4
5.4
1.7

Col 2
29.8
48.4
40.1
59.7
8.8
2.4
1.7
7.1
6.6
1.2
1.3
1.5
8.8
9.2
9.1
3.7

Col 3
78.2
99.8
11.2
8.8
5.4
2.8
0.4
5.4
18.6
19.6
6.4
5.4
7.8
0.2
18.0
12.8

Col 4
178.0
20.0
8.2
5.8
38.2
1.0
7.6
5.2
21.6
2.4
2.6
5.0
1.0
11.8
8.0
30.8

Total
A
B
AB
C
AC
BC
ABC
D
AD
BD
ABD
CD
ACD
BCD
ABCD

entry in SSBlocks .

The sum of squares for each factorial effect is found from Theorem 1.62.
For example, SSA = 20.02 /(2 16) = 12.50.
SSBlocks is obtained in the usual way.
The ANOVA table for this experiment is given by
Source
A
B
C
D
AB
AC
AD
BC
BD
CD
Blocks
Residual
Total

DF
1
1
1
1
1
1
1
1
1
1
3
15
31

SS
12.50
2.10
45.60
14.58
1.05
0.03
0.18
1.81
0.21
0.03
48.31
11.33
137.74

MS
12.50
2.10
45.60
14.58
1.05
0.03
0.18
1.81
0.21
0.03
16.10
0.63

F
19.85
3.34
72.43
23.16
1.67
<1
<1
2.87
<1
<1
25.58

P
< 0.001
< 0.1
< 0.001
< 0.001
> 0.1

> 0.1

It is clear that all main effects and two-factor interactions are estimated with higher precision
because of this arrangement in blocks.
Lemma can be applied to find the principal block. When arranging a 2k factorial in 2t blocks of
size 2kt when t < k, the remaining blocks can be obtained using Theorem .
72

Example: Confounding a 25 Factorial in Four Blocks of size 8

To arrange five factors A, B, C, D, E, each at two levels, into four blocks of size eight it is
necessary to choose two factorial effects to confound with blocks and then their generalised
interaction will also be confounded with blocks. The four blocks will each contain a quarter
replicate. For instance, if ABC and CDE are confounded with blocks then ABDE is also
confounded with blocks. To get the principal block, find all treatment combinations which
have an even number of letters in common with ABC and CDE. (It is sufficient to find three
independent members of the group since the remaining four are found by taking products.)

ABC
CDE

a
1
0

b
1
0

c
1
1

d
0
1

e
0
1

Blocks 2, 3 and 4 are then found by multiplying modulo 2 the principal block by other treatment
combinations not in the principal block. We get:
principal block (1)
second block
a
third block
c
fourth block
d

ab
b
abc
abd

de
ade
cde
e

acd
cd
ad
ac

abde
bde
abcde
abe

bcd
abcd
bd
bc

ace
ce
ae
acde

bce
abce
be
bcde

If a factorial experiment is conducted using a single replicate of a 25 factorial arranged in these

four blocks of size eight there will be 31 degrees of freedom overall, which are distributed as
follows:
5
10
8
4
1
3

for all main effects;

for all two-factor interactions;
for three-factor interactions except ABC, CDE;
for four-factor interactions except ABDE;
for interaction ABCDE;
for ABC, CDE, ABDE which are confounded with Blocks.

It follows that if all second- and higher-order interactions can be suppressed then there are
13 degrees of freedom available for deriving the residual mean square which is required for
estimating 2 .

73

5.5

Specialised Uses Of Fractional Factorial Experiments

So far we have only considered how factors and interactions of factors affect the location of the
response. We now demonstrate, by means of examples, how fractional factorial experiments can
be used to gain information on which factors affect both the mean and variability of a response.

Screening Experiments

In the initial stages of the design of a product or process there are often a very large number
of factors that may affect the response. Fractions of 2k designs are particularly useful in such
situations because, if the experimenter assumes that most interactions are not likely to be significant, they provide a large amount of information on the effects that the individual factors have
on the mean and variability of the response for a small number of trials.

Once important factors have been identified, further experiments can be designed involving only
the important factors and these can be planned to accommodate interactions between factors.

Experiments in which the experimenter is trying to determine which of a large number of factors
affect the response are termed screening experiments.

Saturated designs are the most extreme designs used in screening. These are designs that use
only n = p + 1 treatment combinations to estimate the effects on the mean and variability on
the response of up to p factors independently. It will generally be necessary to assume that
most interactions are negligible. In fact if information is wanted on p factors, it is necessary to
assume that all interactions are negligible.

Below is a saturated design that can accommodate up to 15 factors, each at two levels, with
16 observations. Each factor is allocated to a column of the array. If fewer than 15 factors are
under consideration then different allocations of the factors to columns may lead to different
aliasing schemes, and sometimes these aliasing schemes may not be equally good.

Note that the column headings identify which columns are products of which other columns.
74

1
-1
-1
-1
-1
-1
-1
-1
-1
1
1
1
1
1
1
1
1

2 12
-1
1
-1
1
-1
1
-1
1
1 -1
1 -1
1 -1
1 -1
-1 -1
-1 -1
-1 -1
-1 -1
1
1
1
1
1
1
1
1

3 13 23 123
-1
1 1
-1
-1
1 1
-1
1 -1 -1
1
1 -1 -1
1
-1
1 -1
1
-1
1 -1
1
1 -1 1
-1
1 -1 1
-1
-1 -1 1
1
-1 -1 1
1
1
1 -1
-1
1
1 -1
-1
-1 -1 -1
-1
-1 -1 -1
-1
1
1 1
1
1
1 1
1

Columns
4 14
-1 1
1 -1
-1 1
1 -1
-1 1
1 -1
-1 1
1 -1
-1 -1
1 1
-1 -1
1 1
-1 -1
1 1
-1 -1
1 1

24 124 34 134 234 1234

1
-1 1
-1
-1
1
-1
1 -1
1
1
-1
1
-1 -1
1
1
-1
-1
1 1
-1
-1
1
-1
1 1
-1
1
-1
1
-1 -1
1
-1
1
-1
1 -1
1
-1
1
1
-1 1
-1
1
-1
1
1 1
1
-1
-1
-1
-1 -1
-1
1
1
1
1 -1
-1
1
1
-1
-1 1
1
-1
-1
-1
-1 1
1
1
1
1
1 -1
-1
-1
-1
-1
-1 -1
-1
-1
-1
1
1 1
1
1
1

Epitaxial Layer Experiment

An experiment was conducted to try to reduce the average thickness and the variability of the
thickness of the epitaxial layer deposited onto silicon wafers during the manufacture of integrated circuit devices. Eight factors labelled A, B, . . . , H were identified that might affect the
average and variability of the thickness of the layer. The following table shows the eight factors,
their prior levels and the experimental levels.

Factors
A (rotation method)
B (wafer batch)
C (deposition temperature)
D (deposition time)
E (arsenic flow rate)
F (acid etch temperature)
G (acid flow rate)
H (nozzle position)

Prior Level
oscillating
1215 C
low
57%
1200 C
12%
4

Experimental levels
Low (0)
continuous
668G4
1210 C
high
55%
1180 C
10%
2

High(1)
oscillating
678D4
1220 C
low
59%
1215 C
14%
6

Observations on the thickness of the layer were taken at sixteen different treatment combinations. The treatment combinations were selected via the orthogonal array above. The assignment of factors to columns that was used is indicated at the foot of the copy of the array below.
75

1
-1
-1
-1
-1
-1
-1
-1
-1
1
1
1
1
1
1
1
1
A

2 12
-1
1
-1
1
-1
1
-1
1
1 -1
1 -1
1 -1
1 -1
-1 -1
-1 -1
-1 -1
-1 -1
1 1
1 1
1 1
1 1
B

3 13 23 123
-1
1 1
-1
-1
1 1
-1
1 -1 -1
1
1 -1 -1
1
-1
1 -1
1
-1
1 -1
1
1 -1 1
-1
1 -1 1
-1
-1 -1 1
1
-1 -1 1
1
1 1 -1
-1
1 1 -1
-1
-1 -1 -1
-1
-1 -1 -1
-1
1
1 1
1
1
1 1
1
C
D

Columns
4 14
-1 1
1 -1
-1 1
1 -1
-1 1
1 -1
-1 1
1 -1
-1 -1
1 1
-1 -1
1 1
-1 -1
1 1
-1 -1
1 1
E

24 124 34 134 234 1234

1
-1 1
-1
-1
1
-1
1 -1
1
1
-1
1
-1 -1
1
1
-1
-1
1 1
-1
-1
1
-1
1 1
-1
1
-1
1
-1 -1
1
-1
1
-1
1 -1
1
-1
1
1
-1 1
-1
1
-1
1
1 1
1
-1
-1
-1
-1 -1
-1
1
1
1
1 -1
-1
1
1
-1
-1 1
1
-1
-1
-1
-1 1
1
1
1
1
1 -1
-1
-1
-1
-1
-1 -1
-1
-1
-1
1
1 1
1
1
1
F
G
H

The experiment is a 284 experiment. Sets of four independent defining contrasts can be found
by identifying four independent relationships between the columns of the array. This is made
relatively easy by the column labellings.
For example,
(1)(2) (3)(123)
and so AB is aliased with CD which implies that ABCD is a defining contrast.
A set of defining contrasts is ABCD, ABEF , ACEG and BCEH. Note that, for example, D
is aliased with ABC. This is a resolution IV design and there is considerable aliasing between
the 2-factor interactions. For example, the contrast listed in column 12 of the array measures
the 2-factor interactions AB, CD, EF and GH as well as some higher order interactions.
At each of the sixteen treatment combinations r observations of the thickness of the epitaxial
layer were taken. The jth observation on the ith treatment combination is denoted by yij . From
the observations at each of the treatment combinations, two different summary statistics were
calculated:
The average of the r observations, yij ;
The log of the sample variance of the r observations, log(s2i ).
The results are:
76

A
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1

B
0
0
0
0
1
1
1
1
0
0
0
0
1
1
1
1

Treatment
Combination
C D E F
0 0 0 0
0 0 1 1
1 1 0 0
1 1 1 1
0 1 0 1
0 1 1 0
1 0 0 1
1 0 1 0
0 1 0 1
0 1 1 0
1 0 0 1
1 0 1 0
0 0 0 0
0 0 1 1
1 1 0 0
1 1 1 1

G
0
1
1
0
0
1
1
0
1
0
0
1
1
0
0
1

H
0
1
1
0
1
0
0
1
0
1
1
0
1
0
0
1

Average
Response
yij
14.821
14.888
14.037
13.880
14.165
13.860
14.757
14.921
13.972
14.032
14.843
14.415
14.878
14.932
13.907
13.914

Log Variance
Response
log(s2i )
-0.4425
-1.1989
-1.4307
-0.6505
-1.4230
-0.4969
-0.3267
-0.6270
-0.3467
-0.8563
-0.4369
-0.3131
-0.6154
-0.2292
-0.1190
-0.8625

The experimenters first analysed the log variance response. The contrast estimate for the log
sample variance response for factor A is obtained using:
1
(1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1)ls2i = 0.352
8
where ls2i is the 16 1 column vector containing the log (s2i ) values.
A table giving all the contrast estimates for the log sample variance response is:
Contrast
Estimate

A
0.352

B
0.122

C
0.105

D
-0.249

E
-0.012

F
-0.072

G
-0.101

H
-0.566

This was done first for the following reasons:

In most processes, minimising the variability of the response is desirable;
There will generally be a smaller number of factors that affect the variability of the response than affect the average response.
The idea is to minimise the variability by careful choice of the levels of the factors that have an
effect on variability and then to use the factors that have an effect on the average response but
not a marked effect on the variability to shift the location of the response into a desired range.
The contrast estimates for factors A and H are considerably larger, in absolute value, than those
for the other factors.
Since the contrast estimate for A is positive and the log variance response is to be reduced, A
should be set at its low level.
Since the contrast estimate for H is negative H should be set at its high level.
Analysing the average response in the same way, the following contrast estimates for the mean
response variable were obtained :
77

Contrast
Estimate

A
-0.055

B
0.056

C
-0.109

D
-0.836

E
-0.067

F
0.060

G
-0.098

H
0.142

The contrast estimate for factor D is much larger, in absolute value, than those for the other
factors. Since the contrast estimate for D is negative and it is desired to reduce the average
response, D should be set at its high level.
A follow up experiment was carried out and confirmed the results above.
Note that to obtain the summary statistics for each treatment combination it was necessary to
have at least two observations at each combination.

Using Orthogonal Arrays For 4-level Factors

The following orthogonal array could be used for an experiment for up to seven 2-level factors.

1 2
-1 -1
-1 -1
-1 1
-1 1
1 -1
1 -1
1 1
1 1

Columns
3 12 13 23 123
-1 1 1 1
-1
1 1 -1 -1
1
-1 -1 1 -1
1
1 -1 -1 1
-1
-1 -1 -1 1
1
1 -1 1 -1
-1
-1 1 -1 -1
-1
1 1 1 1
1

We demonstrate how the array can be used to accommodate a 4-level factor. A 4-level factor
requires three columns to represent three orthogonal contrasts, with one column being the interaction of the other two columns. So, for example, a 4-level factor could be represented by
columns (1), (2) and (12).
Considering a 22 4 experiment, with factors A and B at two levels and factor C at four
levels. Using the array given will be a half factorial design since 8 of the 16 possible treatment
combinations will be used.
First Column Allocation: Allocate factor A to column (1), factor B to column (2) and factor
C to columns (23) and (123). Call (23) C1 and (123) C2 , then C1 C2 the remaining contrast for
the 4-level factor is represented by column (1) and is thus aliased with A. The defining relation
is:
I AC1 C2 .
Thus the design has Resolution 2.
Second Column Allocation: Allocate factor A to column (1), factor B to column (2) and factor
C to columns (12) and (23). Call (12) C1 and (23) C2 , then C1 C2 the remaining contrast for the
4-level factor is represented by column (13). The defining relation is:
I ABC1 .
Thus this design has resolution 3 and is to be preferred over the first column allocation.
78

5.6

Robust Design

Statistically designed experiments are widely used in industry for product and process design,
development and improvement. In the 1980s an important application of designed experiments,
namely robust design, was introduced by a Japanese engineer Dr. Genichi Taguchi. In robust
design the focus is on one or more of the following:
Designing products or processes that are insensitive to environmental factors that can
affect performance once the product or process is put into operation. An example is
the formulation of an exterior paint that should exhibit long life irregardless of weather
conditions. That is, the product should be robust against a wide range of temperature,
humidity and precipitation factors that affect the wear and finish of the paint.
Designing products so that they are insensitive to variability of the components of the
system. An example is designing an electronic amplifier so that the output voltage is
as close as possible to the desired target regardless of the variability in the resistors,
transistors and power supplies that are the components of the device.
Determining the operating conditions for a process so that critical product characteristics
are as close as possible to the desired target value and so that the variability around this
target is minimized. For example, in semiconductor manufacturing we would like the
oxide thickness on a wafer to be as close as posssible to the target mean thickness, and
we would also like the variability in thickness across the wafer to be as small as possible.
Factors included in the experimentation are classified as either design factors or noise factors.
Design factors are factors that are easy and inexpensive to control in the manufacture of the
product. Noise factors are those that may affect the performance of a product but that are
difficult or impossible to control during ordinary operating conditions.
Examples of noise factors include factors such as the climate in which a product is to be used,
variation in the raw materials and the wear of the components and materials over the life of the
product.
A combination of levels of the design factors is a potential product design and is said to be
robust if the product functions well despite uncontrolled variation in the levels of the noise
factors. Thus, in robust design we pay considerable attention to how the variability of the
response changes as the factor levels change.

5.6.1

Analysing the Effects of Design Factors on variability

It is assumed that noise factors can be controlled for the purposes of experimentation, for example under laboratory test conditions, although they cannot be controlled in ordinary operating
conditions. The experiment is designed so that the same noise factor combinations are observed
for each design factor combination. The list of design factor combinations in the experiment
is called the design array. The list of noise factor combinations is called the noise array. One
79

important objective is to determine which combination of design factors is least sensitive to

changes in the noise factors.
Suppose there are v design factor combinations and u noise factor combinations in the design.
Denote a particular design factor combinationby w and a noise factor combination by x, and the
corresponding observation by ywx . For each design factor combination there are u observations,
one for each noise factor combination.
Denote the sample mean and sample variance of these u observations by
P
P
(ywx yw . )2
2
x ywx
and sw = x
.
yw . =
u
u 1
Observations ywx can be assumed to follow the model:
Ywx = + wx + wx ,
wx N (0, 2 ),

where the wx s are mutually independent and w = 1, . . . , v ; x = 1, . . . , u.

The sample means Yw . are independent, normal random variables each with variance 2 /u.
Thus we can write Yw . as:

Yw . = + w + w ,
w N (0, 2 /u),

where the w s are mutually independent and w = 1, . . . , v .

Now we can analyse the effects of the design factors averaged over the noise factors via the
usual analysis of variance, but with yw , w = 1, . . . , v , as the v observations.
Analysing the sample variances is a more difficult problem. The noise factors have been systematically, rather than randomly, varied in the experiment. Despite this, s2w can be used as a
measure of the variability of the design factor combination w over the levels of the noise factors.
It is not appropriate to carry out the usual analysis of variance using s2w as the response variable
because it can be shown that Var(Sw2 ) is not constant. In fact Var(Sw2 ) increases with E(Sw2 ).
However, if the distribution of ln(Sw2 ) is approximately normal, we can use this as a response
variable in an analysis of variance to analyse the effect of the design factors on the variability
of the response as the levels of the noise factors change.
Since there is only one value of yw . and one value of ln(s2w ) for each design factor combination
w, the effects of the design factors on yw . and ln(s2w ) must be analysed like a single replicate
design. This means that in order to obtain an analysis of variance for yw . or ln(s2w ) we must be
able to assume that some interactions between design factors are negligible.
80

Torque Optimisation experiment

In an experiment carried out by ITT Automotive to maximise the efficiency of car seat tracks,
one purpose was to stabilise frame torque of a car seat track with a target value of 14 4
inch-pounds. The experiment involved two design factors: anvil type (factor A) with levels
1, 2, 3, and rivet diameter (factor B) with levels 1, 2, 3. These are design factors because the
best combination of their levels is desired to be known for future production. In addition, the
experiment involved two different machines. Machine (factor M ) is regarded as a noise factor
because it will be necessary to use both machimes at the same settings of the design factors in
the production process. For each of the 9 design factor combinations two measurement were
taken on each machine. Settings of the design factors are required that give a response within
the required range which exhibits as little variability as possible across machines.
The data, yij.. , s2ij and ln(s2ij ) are:
AB combination yij11
11
16
12
38
13
48
21
8
22
22
23
28
31
8
32
18
33
20

yij12
21
40
60
10
28
34
14
24
14

yij21
24
36
42
16
16
16
8
8
16

yij22
18
38
40
12
18
16
6
14
14

yij..
s2ij
19.75 12.2500
38.00 2.6667
47.50 81.0000
11.50 11.6667
21.00 28.0000
23.50 81.0000
9.00 12.0000
16.00 45.3333
16.00 8.0000

ln(s2ij )
2.5055
0.9808
4.3945
2.4567
3.3322
4.3945
2.4849
3.8140
2.0794

Note that factors A and B are both 3-level factors.

We start by using a three-way complete model to examine the raw data;
Yijkl = + ijk + ijkl ,
= + i + j + k + ()ij + ()ik + ()jk + ()ijk + ijkl .
The model assumptions may well not be valid, however the list of p-values from the standard
analysis of variance table for the raw data enables us to gain an impression of the important
effects. Interactions between design factors and the noise factor are of particular interest.
The ANOVA table is:
Source
A
B
AB
M
AM
BM
ABM
Residual
Total

DF
2
2
4
1
2
2
4
18
35

SS
3012.7222
1572.0555
470.4444
240.2500
5.1666
197.1666
170.6666
232.5000
5900.9722

MS
1506.3611
786.0277
117.6111
240.2500
2.5833
98.5833
42.6666
12.9166

81

F value
116.62
60.85
9.11
18.60
0.20
7.63
3.30

p-value
0.0001
0.0001
0.0003
0.0004
0.8205
0.0040
0.0339

Note from the ANOVA table that the AM interaction appears to be negligible. However, the
BM interaction effect does appear to be important and the ABM interaction should probably
be considered as well. The idea is that by appropriate choice of the levels of the design factors
A and B it may be possible to exploit these interactions to dampen the effect of the noise factor
on response variability.
Next consider the effects of the design factors on response variability. Figure 5.1 gives an AB
interaction plot for these data, with ln(s2ij ) plotted against the level of factor A, and the level of
factor B as the label. The plot indicates a strong AB interaction effect for the response variable
ln(s2ij ). This indication corresponds to an ABM interaction in the raw data.
ln(s2ij )

Labels: j (Level of B)

3. . . . . . 3
4321-

....
2. . .
.
.
.
.
1. . . .. . . 1. . . . .
.
.
.
2

.2

.. 1
3

2
3
Level of A, (i)
Figure 5.1: Effects of A and B on ln(s2ij )

Similarly Figure 5.2 gives the interaction plot for the effects of A and B on mean response.
This Figure suggests that there is an interaction between the two factors when averaged over the
noise factor levels, i.e. this gives a strong indication of an AB interaction averaged over M .

Note that Figure 5.2 strongly suggests interaction between the design factors A and B so we
cannot assume that the interaction is negligible and consequently we cannot carry out the standard analysis of variance using either yij or ln(s2ij ) as response varaibles.
Design factors A and B apparently affect both the mean response and the response variability.
The experimenter needs to choose a design factor combination that is satisfactory with respect
to both. Since the target response is between 10 and 18 inch-pounds, we see that acceptable
levels of mean response are obtained only for treatment combinations 21, 32 and 33. However,
combination 33 yielded a much lower sample variance. No inferential statistical methods were
used and so the recommendation is that some additional observations should be taken to confirm
that combination 33 is a good choice.
82

yij.
45 -

Labels: j (Level of B)
3
.
2

30 -

15 -

. .
. .
. .
. .
.
.
1.
..
..
.

3.
2 . .. .
. .. .
. 32
1. . . .
..1

2
3
Level of A, (i)
Figure 5.2: Effects of A and B on yij.

83