4.5: Computational Aspects of the Effects Model

$$\newcommand{\vecs}[1]{\overset { \scriptstyle \rightharpoonup} {\mathbf{#1}} }$$

$$\newcommand{\vecd}[1]{\overset{-\!-\!\rightharpoonup}{\vphantom{a}\smash {#1}}}$$

$$\newcommand{\id}{\mathrm{id}}$$ $$\newcommand{\Span}{\mathrm{span}}$$

( \newcommand{\kernel}{\mathrm{null}\,}\) $$\newcommand{\range}{\mathrm{range}\,}$$

$$\newcommand{\RealPart}{\mathrm{Re}}$$ $$\newcommand{\ImaginaryPart}{\mathrm{Im}}$$

$$\newcommand{\Argument}{\mathrm{Arg}}$$ $$\newcommand{\norm}[1]{\| #1 \|}$$

$$\newcommand{\inner}[2]{\langle #1, #2 \rangle}$$

$$\newcommand{\Span}{\mathrm{span}}$$

$$\newcommand{\id}{\mathrm{id}}$$

$$\newcommand{\Span}{\mathrm{span}}$$

$$\newcommand{\kernel}{\mathrm{null}\,}$$

$$\newcommand{\range}{\mathrm{range}\,}$$

$$\newcommand{\RealPart}{\mathrm{Re}}$$

$$\newcommand{\ImaginaryPart}{\mathrm{Im}}$$

$$\newcommand{\Argument}{\mathrm{Arg}}$$

$$\newcommand{\norm}[1]{\| #1 \|}$$

$$\newcommand{\inner}[2]{\langle #1, #2 \rangle}$$

$$\newcommand{\Span}{\mathrm{span}}$$ $$\newcommand{\AA}{\unicode[.8,0]{x212B}}$$

$$\newcommand{\vectorA}[1]{\vec{#1}} % arrow$$

$$\newcommand{\vectorAt}[1]{\vec{\text{#1}}} % arrow$$

$$\newcommand{\vectorB}[1]{\overset { \scriptstyle \rightharpoonup} {\mathbf{#1}} }$$

$$\newcommand{\vectorC}[1]{\textbf{#1}}$$

$$\newcommand{\vectorD}[1]{\overrightarrow{#1}}$$

$$\newcommand{\vectorDt}[1]{\overrightarrow{\text{#1}}}$$

$$\newcommand{\vectE}[1]{\overset{-\!-\!\rightharpoonup}{\vphantom{a}\smash{\mathbf {#1}}}}$$

$$\newcommand{\vecs}[1]{\overset { \scriptstyle \rightharpoonup} {\mathbf{#1}} }$$

$$\newcommand{\vecd}[1]{\overset{-\!-\!\rightharpoonup}{\vphantom{a}\smash {#1}}}$$

$$\newcommand{\avec}{\mathbf a}$$ $$\newcommand{\bvec}{\mathbf b}$$ $$\newcommand{\cvec}{\mathbf c}$$ $$\newcommand{\dvec}{\mathbf d}$$ $$\newcommand{\dtil}{\widetilde{\mathbf d}}$$ $$\newcommand{\evec}{\mathbf e}$$ $$\newcommand{\fvec}{\mathbf f}$$ $$\newcommand{\nvec}{\mathbf n}$$ $$\newcommand{\pvec}{\mathbf p}$$ $$\newcommand{\qvec}{\mathbf q}$$ $$\newcommand{\svec}{\mathbf s}$$ $$\newcommand{\tvec}{\mathbf t}$$ $$\newcommand{\uvec}{\mathbf u}$$ $$\newcommand{\vvec}{\mathbf v}$$ $$\newcommand{\wvec}{\mathbf w}$$ $$\newcommand{\xvec}{\mathbf x}$$ $$\newcommand{\yvec}{\mathbf y}$$ $$\newcommand{\zvec}{\mathbf z}$$ $$\newcommand{\rvec}{\mathbf r}$$ $$\newcommand{\mvec}{\mathbf m}$$ $$\newcommand{\zerovec}{\mathbf 0}$$ $$\newcommand{\onevec}{\mathbf 1}$$ $$\newcommand{\real}{\mathbb R}$$ $$\newcommand{\twovec}[2]{\left[\begin{array}{r}#1 \\ #2 \end{array}\right]}$$ $$\newcommand{\ctwovec}[2]{\left[\begin{array}{c}#1 \\ #2 \end{array}\right]}$$ $$\newcommand{\threevec}[3]{\left[\begin{array}{r}#1 \\ #2 \\ #3 \end{array}\right]}$$ $$\newcommand{\cthreevec}[3]{\left[\begin{array}{c}#1 \\ #2 \\ #3 \end{array}\right]}$$ $$\newcommand{\fourvec}[4]{\left[\begin{array}{r}#1 \\ #2 \\ #3 \\ #4 \end{array}\right]}$$ $$\newcommand{\cfourvec}[4]{\left[\begin{array}{c}#1 \\ #2 \\ #3 \\ #4 \end{array}\right]}$$ $$\newcommand{\fivevec}[5]{\left[\begin{array}{r}#1 \\ #2 \\ #3 \\ #4 \\ #5 \\ \end{array}\right]}$$ $$\newcommand{\cfivevec}[5]{\left[\begin{array}{c}#1 \\ #2 \\ #3 \\ #4 \\ #5 \\ \end{array}\right]}$$ $$\newcommand{\mattwo}[4]{\left[\begin{array}{rr}#1 \amp #2 \\ #3 \amp #4 \\ \end{array}\right]}$$ $$\newcommand{\laspan}[1]{\text{Span}\{#1\}}$$ $$\newcommand{\bcal}{\cal B}$$ $$\newcommand{\ccal}{\cal C}$$ $$\newcommand{\scal}{\cal S}$$ $$\newcommand{\wcal}{\cal W}$$ $$\newcommand{\ecal}{\cal E}$$ $$\newcommand{\coords}[2]{\left\{#1\right\}_{#2}}$$ $$\newcommand{\gray}[1]{\color{gray}{#1}}$$ $$\newcommand{\lgray}[1]{\color{lightgray}{#1}}$$ $$\newcommand{\rank}{\operatorname{rank}}$$ $$\newcommand{\row}{\text{Row}}$$ $$\newcommand{\col}{\text{Col}}$$ $$\renewcommand{\row}{\text{Row}}$$ $$\newcommand{\nul}{\text{Nul}}$$ $$\newcommand{\var}{\text{Var}}$$ $$\newcommand{\corr}{\text{corr}}$$ $$\newcommand{\len}[1]{\left|#1\right|}$$ $$\newcommand{\bbar}{\overline{\bvec}}$$ $$\newcommand{\bhat}{\widehat{\bvec}}$$ $$\newcommand{\bperp}{\bvec^\perp}$$ $$\newcommand{\xhat}{\widehat{\xvec}}$$ $$\newcommand{\vhat}{\widehat{\vvec}}$$ $$\newcommand{\uhat}{\widehat{\uvec}}$$ $$\newcommand{\what}{\widehat{\wvec}}$$ $$\newcommand{\Sighat}{\widehat{\Sigma}}$$ $$\newcommand{\lt}{<}$$ $$\newcommand{\gt}{>}$$ $$\newcommand{\amp}{&}$$ $$\definecolor{fillinmathshade}{gray}{0.9}$$
Model 4 - The Effects Model

$Y_{ij} = \mu + \tau_{i} + \epsilon_{ij}$ where $$\tau_{i}$$ are the the deviations of each factor level mean from the overall mean so that $$\sum_{i=1}^{T} \tau_{i} = 0$$.

In the effects model that we discussed in chapter 3, the treatment means were not estimated but instead, the $$\tau_{i}$$'s, or the deviations of treatment means from the overall mean, were estimated. The model must include the overall mean, which is estimated by the intercept, and hence the design matrix to be inputted for IML is:

/* The Effects Model */
x={
1    1    0,
1    1    0,
1    0    1,
1    0    1,
1    -1    -1,
1    -1    -1};


Here we have another omission of a treatment level, but for a different reason. In the effects model, we have the constraint $$\sum \tau_{i}=0$$. As a result, coding for one treatment level can be omitted.

Running the IML program with this design matrix yields:

Regression Coefficients
Beta_0 3.5
Beta_1 -2
Beta_2 0

The regression coefficient Beta_0 is the overall mean and the coefficients $$\beta_{1}$$ and $$\beta_{2}$$ are $$\tau_{1}$$ and $$\tau_{2}$$, respectively. The estimate for $$\tau_{3}$$ is obtained as $$-(\tau_{1})-(\tau_{2})=2.0$$.

In Minitab, if we change the coding now to be Effect coding (-1,0,+1), which is the default setting, we get the following:

Regression Equation

y = 3.500 - 2.000 trt_A - 0.000 trt_B + 2.000 trt_C

The ANOVA table is the same as for the dummy-variable regression model above. We can also observe that the factor level means and General Linear F Statistics values obtained for all 3 representations (cell means, dummy coded regression and effects coded regression) are identical, confirming that the 3 representations are identical.

The intermediates were:

xprimex
6 0 0
0 4 2
0 2 4
check
1 0 0
0 1 0
0 0 1
xprimey
21
-8
-4
SumY2
89.5
CF
73.5
xprimexinv
0.1666667 0 0
0 0.3333333 -0.166667
0 -0.166667 0.3333333

By coding treatment or factor levels into numerical terms, we can use regression methods to perform the ANOVA.

To state the effects model $Y_{ij} = \mu + \tau_{i} + \epsilon_{ij}$ as a regression model, we need to include $$\mu, \tau_{i}, \ldots, \tau_{T}$$ as elements in the parameter vector $$\boldsymbol{\beta}$$ of the GLM model. Note that, in the case of equal replication at each factor level, the deviations satisfy the following constraint: $\sum_{i=1}^{T} \tau_{i} = 0$

This implies one of the $$\tau_{i}$$ parameters is not needed since it can be expressed in terms of the other $$T-1$$ parameters and need not be included in the $$\boldsymbol{\beta}$$ parameter vector. We shall drop the parameter $$\tau_{T}$$ from the regression equation, as it can be expressed in terms of the other $$T-1$$ parameters $$\tau_{i}$$ as follows: $\tau_{T} = - \tau_{1} - \tau_{2} - \ldots - \tau_{T-1}$

Thus, the $$\boldsymbol{\beta}$$ vector of the GLM is a $$T \times 1$$ vector containing only the parameters $$\mu, \tau_{1}, \ldots, \tau_{T-1}$$ for the linear model.

To illustrate how a linear model is developed with this approach, consider a single-factor study with $$T=3$$ factor levels when $$n_{1}=n_{2}=n_{3}=2$$. The $$\mathbf{Y}$$, $$\mathbf{X}$$, $$\boldsymbol{\beta}$$, and $$\boldsymbol{\epsilon}$$ matrices for this case are as follows: $\mathbf{Y} = \begin{bmatrix} Y_{11} \\ Y_{12} \\ Y_{21} \\ Y_{22} \\ Y_{31} \\ Y_{32} \end{bmatrix}, \ \mathbf{X} = \begin{bmatrix} 1 & 1 & 0 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \\ 1 & 0 & 1 \\ 1 & -1 & -1 \\ 1 & -1 & -1 \end{bmatrix}, \ \boldsymbol{\beta} = \begin{bmatrix} \beta_{0} \\ \beta_{1} \\ \beta_{2} \end{bmatrix}, \ \boldsymbol{\epsilon} = \begin{bmatrix} \epsilon_{11} \\ \epsilon_{12} \\ \epsilon_{21} \\ \epsilon_{22} \\ \epsilon_{31} \\ \epsilon_{32} \end{bmatrix}$

where $$\beta_{0}$$, $$\beta_{1}$$, and $$\beta_{2}$$ correspond to $$\mu$$, $$\tau_{1}$$, and $$\tau_{2}$$ respectively.

Note that the vector of expected values $$\mathbf{E\{Y\}} = \mathbf{X} \boldsymbol{\beta}$$ yields the following: \begin{align} \mathbf{E\{Y\}} & = \mathbf{X} \boldsymbol{\beta} \\ \begin{bmatrix} E\{Y_{11}\} \\ E\{Y_{12}\} \\ E\{Y_{21}\} \\ E\{Y_{22}\} \\ E\{Y_{31}\} \\ E\{Y_{32}\} \end{bmatrix} & = \begin{bmatrix} 1 & 1 & 0 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \\ 1 & 0 & 1 \\ 1 & -1 & -1 \\ 1 & -1 & -1 \end{bmatrix} \begin{bmatrix} \beta_{0} \\ \beta_{1} \\ \beta_{2} \end{bmatrix} \\ &= \begin{bmatrix} \mu + \tau_{1} \\ \mu + \tau_{1} \\ \mu + \tau_{2} \\ \mu + \tau_{2} \\ \mu - \tau_{1} - \tau_{2} \\ \mu - \tau_{1} - \tau_{2} \end{bmatrix} \end{align}

Since $$\tau_{3} = -\tau_{1} - \tau_{2}$$, as shown above, we see that $$E\{Y_{31}\} = E\{Y_{32}\} = \mu + \tau_{3}$$. Thus, the above $$\mathbf{X}$$ matrix and $$\boldsymbol{\beta}$$ vector representation provides the appropriate expected values for all factor levels as expressed below: $E\{Y_{ij}\} = \mu + \tau_{i}$

Using R: Effects Model
Steps in R

1. Define response variable and design matrix

y<-matrix(c(2,1,3,4,6,5), ncol=1)
x = matrix(c(1,1,0,1,1,0,1,0,1,1,0,1,1,-1,-1,1,-1,-1),ncol=3,nrow=6,byrow=TRUE)


2. Regression coefficients

beta<-solve(t(x)%*%x)%*%(t(x)%*%y)
#  beta
#     [,1]
# [1,]  3.5
# [2,] -2.0
# [3,]  0.0


3. Calculate the entries of the ANOVA Table

n<-nrow(y)
p<-ncol(x)
J<-matrix(1,n,n)
ss_tot = (t(y)%*%y) - (1/n)*(t(y)%*%J)%*%y #17.5
ss_trt = t(beta)%*%(t(x)%*%y) - (1/n)*(t(y)%*%J)%*%y #16
ss_error = ss_tot - ss_trt #1.5
total_df=n-1 #5
trt_df=p-1 #2
error_df=n-p #3
MS_trt = ss_trt/(p-1) #8
MS_error = ss_error / error_df #0.5
F=MS_trt/MS_error #16


4. Creating the ANOVA table

ANOVA <- data.frame(
c ("","Treatment","Error", "Total"),
c("DF", trt_df,error_df,total_df),
c("SS", ss_trt, ss_error, ss_tot),
c("MS", MS_trt, MS_error, ""),
c("F",F,"",""),
stringsAsFactors = FALSE)
names(ANOVA) <- c(" ", "  ", " ","","")


5. Print the ANOVA table

print(ANOVA)
# 1           DF   SS  MS  F
# 2 Treatment  2   16   8 16
# 3     Error  3  1.5 0.5
# 4     Total  5 17.5


6. Intermediates in the matrix computations

xprimex<-t(x)%*%x
#  xprimex
#      [,1] [,2] [,3]
# [1,]    6    0    0
# [2,]    0    4    2
# [3,]    0    2    4
xprimey<-t(x)%*%y
#  xprimey
#      [,1]
# [1,]   21
# [2,]   -8
# [3,]   -4
xprimexinv<-solve(t(x)%*%x)
#  xprimexinv
#           [,1]       [,2]       [,3]
# [1,] 0.1666667  0.0000000  0.0000000
# [2,] 0.0000000  0.3333333 -0.1666667
# [3,] 0.0000000 -0.1666667  0.3333333
check<-xprimexinv%*%xprimex
# check
#      [,1] [,2] [,3]
# [1,]    1    0    0
# [2,]    0    1    0
# [3,]    0    0    1
SumY2<-t(beta)%*%(t(x)%*%y) #89.5
CF<-(1/n)*(t(y)%*%J)%*%y # 73.5


7. Regression Equation and ANOVA table

trt_level1<-x[,2]
trt_level2<-x[,3]
model<-lm(y~trt_level1+trt_level2)


8. With the command summary(model) we can get the following output:

Call:
lm(formula = y ~ trt_level1 + trt_level2)
Residuals:
1    2    3    4    5    6
0.5 -0.5 -0.5  0.5  0.5 -0.5
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept)  3.500e+00  2.887e-01  12.124  0.00121 **
trt_level1  -2.000e+00  4.082e-01  -4.899  0.01628 *
trt_level2  -1.282e-16  4.082e-01   0.000  1.00000
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.7071 on 3 degrees of freedom
Multiple R-squared:  0.9143,    Adjusted R-squared:  0.8571
F-statistic:    16 on 2 and 3 DF,  p-value: 0.02509


From the output we can see the estimates for the coefficients are b0=3.5, b1=-2, b2=0 and the F-statistic is 16 with a p-value of 0.02509.

By using the estimates we can write the regression equation:

y=3.5-2 trt_level1-0 trt_level2+2 trt_level3

The estimator $$\tau_{3}$$ is obtained as $$-\tau_{1} - \tau_{2} = 2$$

9. With the command anova(model) we can get the following output:

Analysis of Variance Table
Response: y
Df Sum Sq Mean Sq F value  Pr(>F)
trt_level1  1   16.0    16.0      32 0.01094 *
trt_level2  1    0.0     0.0       0 1.00000
Residuals   3    1.5     0.5
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1


Note that R is giving the sequential sum of squares in the ANOVA table.

This page titled 4.5: Computational Aspects of the Effects Model is shared under a CC BY-NC 4.0 license and was authored, remixed, and/or curated by Penn State's Department of Statistics.