A central limit theorem for general orthogonal array based space-filling designs
He, Xu · Qian, Peter Z. G.
Original · EN
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 multi-dimensions. 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.
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