Risk minimization using robust experimental or sampling designs and mixture of designs

Abstract

For both experimental and sampling designs, the efficiency or balance of designs has been extensively studied. There are many ways to incorporate auxiliary information into designs. However, when we use balanced designs to decrease the variance due to an auxiliary variable, the variance may increase due to an effect which we define as lack of robustness. This robustness can be written as the largest eigenvalue of the variance operator of a sampling or experimental design. If this eigenvalue is large, then it might induce a large variance in the Horvitz–Thompson estimator of the total. We calculate or estimate the largest eigenvalue of the most common designs. We determine lower, upper bounds and approximations of this eigenvalue for different designs. Then, we compare these results with simulations that show the trade-off between efficiency and robustness. Those results can be used to determine the proper choice of designs for experiments such as clinical trials or surveys. We also propose a new and simple method for mixing two sampling designs, which allows to use a tuning parameter between two sampling designs. This method is then compared to the Gram–Schmidt walk design, which also governs the trade-off between robustness and efficiency. A set of simulation studies shows that our method of mixture gives similar results to the Gram–Schmidt walk design while having an interpretable variance matrix.