The correct kriging variance estimated by bootstrapping

D. den Hertog, Jack P.C. Kleijnen and A.Y.D. Siem
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A.Y.D. Siem: Tilburg University, Center for Economic Research

No 46, Discussion Paper from 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 arti/cial examples and a real-life case study. These results demonstrate that the classic formula underestimates the true Kriging variance.

New Economics Papers: this item is included in nep-cmp and nep-ecm
Date: Written 2004
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