A new central limit theorem for orthogonal array based space- lling designs

主讲人:何煦(统计科学研究室)
时间:2015年5月21日上午11:00   地点:N202

【Abstract】Orthogonal array based space-filling designs (Owen [Statist. Sinica 2 (1992a) 439–452]; Tang [J. Amer. Statist. Assoc. 88 (1993) 1392–1397]) have become popular in computer experiments, numerical integration, stochastic optimization and uncertainty quantification. As improvements of ordinary Latin hypercube designs, these designs achieve stratification in multidimensions. If the underlying orthogonal array has strength t , such designs achieve uniformity up to t dimensions. Existing central limit theorems are limited to these designs with only two-dimensional stratification based on strength two orthogonal arrays. We develop a new central limit theorem for these designs that possess stratification in arbitrary multi-dimensions associated with orthogonal arrays of general strength. This result is useful for building confidence statements for such designs in various statistical applications.