Kriging for interpolation in random simulation

W.C.M. van Beers and Jack P.C. Kleijnen

No 74, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Whenever simulation requires much computer time, interpolation is needed. There are several interpolation techniques in use (for example, linear regression), but this paper focuses on Kriging. This technique was originally developed in geostatistics by D. G. Krige, and has recently been widely applied in deterministic simulation. This paper, however, focuses on random or stochastic simulation. Essentially, Kriging gives more weight to 'neighbouring' observations. There are several types of Kriging; this paper discusses - besides Ordinary Kriging - a novel type, which 'detrends' data through the use of linear regression. Results are presented for two examples of input/output behaviour of the underlying random simulation model: A perfectly specified detrending function gives the best predictions, but Ordinary Kriging gives quite acceptable results; traditional linear regression gives the worst predictions.

Keywords: linear; regression (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-ecm
Date: 2001
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