The Correct Kriging Variance Estimated by Bootstrapping

CentER Discussion Paper No. 2004-46

22 Pages Posted: 24 Jun 2004

See all articles by Dick den Hertog

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Jack P. C. Kleijnen

Tilburg University, CentER

A.Y.D. Siem

Tilburg University - Department of Econometrics & Operations Research

Date Written: 2004

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.

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

Suggested Citation

den Hertog, Dick and Kleijnen, Jack P.C. and Siem, A.Y.D., The Correct Kriging Variance Estimated by Bootstrapping (2004). CentER Discussion Paper No. 2004-46. Available at SSRN: https://ssrn.com/abstract=557862 or http://dx.doi.org/10.2139/ssrn.557862

Dick Den Hertog (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Jack P.C. Kleijnen

Tilburg University, CentER ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4662029 (Phone)
+31 13 4663377 (Fax)

HOME PAGE: http://https://sites.google.com/site/kleijnenjackpc/

A.Y.D. Siem

Tilburg University - Department of Econometrics & Operations Research ( email )

P.O.Box 90153
5000 LE Tilburg
Netherlands

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
175
Abstract Views
1,259
rank
184,018
PlumX Metrics