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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)

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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 arti/cial examples and a real-life case study. These results demonstrate that the classic formula underestimates the true Kriging variance.

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

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

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  1. Kleijnen, J.P.C. & Beers, W.C.M. van, 2003. "Application-driven sequential designs for simulation experiments: kriging metamodeling," Discussion Paper 33, Tilburg University, Center for Economic Research. [Downloadable!]
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  1. Stinstra, Erwin & Hertog, Dick den, 2005. "Robust optimization using computer experiments," Discussion Paper 90, Tilburg University, Center for Economic Research. [Downloadable!]
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