Variance of ANOVA-based Var-of-CE estimator with varied n_k

Version 1.2 (2.16 KB) by Shahid Abdulla
Based on Derivation in Abdulla and Ramprasath, "Deriving variance of ANOVA-based estimator ...", IIMK Working Paper Series, 31 Mar 2019
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Updated 22 Apr 2019

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The variance of Var-of-CE estimator given in (Sun, Apley, and Staum, OR, 59(4), 2011) assumes that number of samples in each subpopulation $k$ is such that $n_k=n$, for all $k$. The formula there requires substantial modification if $n_k$ for each $k$ is varied, sometimes due to constraints in the experiment - at other times due to structures like actor-critic algorithms. The derivation of such a formula is in the above publication, the MATLAB implementation of the corresponding formula for (T. Goda, "Computing the Variance of a Conditional Expectation...", OR Letters, 2017, Experiment No. 1) is in the uploaded file and may be modified for other cases.

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Shahid Abdulla (2024). Variance of ANOVA-based Var-of-CE estimator with varied n_k (https://www.mathworks.com/matlabcentral/fileexchange/71082-variance-of-anova-based-var-of-ce-estimator-with-varied-n_k), MATLAB Central File Exchange. Retrieved .

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Created with R2019a
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Version Published Release Notes
1.2

Script Coefficients_In_Var_Of_VarOfCE_Estimator.m now calculates from command-line the closed-form Variance of n*-based and n_k-based Var-of-CE estimator, for all 3 experiments of T. Goda, OR Letters, 2017. Comparison graphs open automatically.
1.1

Bug correction. Currently, veracity of code is for case n_k = n, verified for T. Goda reference's Experiment No. 1
1.0.0