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The Correct Kriging Variance Estimated by Bootstrapping

Author

Listed:
  • den Hertog, D.

    (Tilburg University, Center For Economic Research)

  • Kleijnen, J.P.C.

    (Tilburg University, Center For Economic Research)

  • Siem, A.Y.D.

    (Tilburg University, Center For Economic Research)

Abstract

The classic Kriging variance formula is widely used in geostatistics and in the design and analysis of computer experiments. This paper proves that this formula is wrong. Furthermore, it shows that the formula underestimates the Kriging variance in expectation. The paper develops parametric bootstrapping to estimate the Kriging variance. The new method is tested on several artificial examples and a real-life case study. These results demonstrate that the classic formula underestimates the true Kriging variance.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • den Hertog, D. & Kleijnen, J.P.C. & Siem, A.Y.D., 2004. "The Correct Kriging Variance Estimated by Bootstrapping," Discussion Paper 2004-46, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:00a66547-3e9a-4ccf-8c7b-8d62bd7b460e
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    References listed on IDEAS

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    1. J P C Kleijnen & W C M van Beers, 2004. "Application-driven sequential designs for simulation experiments: Kriging metamodelling," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(8), pages 876-883, August.
    2. Sara Sjöstedt‐de Luna & Alastair Young, 2003. "The Bootstrap and Kriging Prediction Intervals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(1), pages 175-192, March.
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