The Correct Kriging Variance Estimated by Bootstrapping
AbstractThe 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 InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2004-46.
Date of creation: 2004
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Web page: http://center.uvt.nl
Kriging; Kriging variance; bootstrapping; design and analysis of computer experiments (DACE); Monte Carlo; global optimization; black-box optimization;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-13 (All new papers)
- NEP-CMP-2004-07-11 (Computational Economics)
- NEP-ECM-2004-06-13 (Econometrics)
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- 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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