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The Correct Kriging Variance Estimated by Bootstrapping

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Author Info

  • Hertog, D. den
  • Kleijnen, J.P.C.
  • 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.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2004-46.

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Date of creation: 2004
Date of revision:
Handle: RePEc:dgr:kubcen:200446

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Web page: http://center.uvt.nl

Related research

Keywords: Kriging; Kriging variance; bootstrapping; design and analysis of computer experiments (DACE); Monte Carlo; global optimization; black-box optimization;

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Cited by:
  1. Stinstra, E. & Hertog, D. den, 2005. "Robust Optimization Using Computer Experiments," Discussion Paper 2005-90, Tilburg University, Center for Economic Research.

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