Robustness of Kriging when interpolating in random simulation with heterogeneous variances: Some experiments

Robustness of Kriging when interpolating in random simulation with heterogeneous variances: Some experiments

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Article ID: iaor20062339
Country: Netherlands
Volume: 165
Issue: 3
Start Page Number: 826
End Page Number: 834
Publication Date: Sep 2005
Journal: European Journal of Operational Research
Authors: ,
Keywords: heuristics, statistics: regression
Abstract:

This paper investigates the use of Kriging in random simulation when the simulation output variances are not constant. Kriging gives a response surface or metamodel that can be used for interpolation. Because Ordinary Kriging assumes constant variances, this paper also applies Detrended Kriging to estimate a non-constant signal function, and then standardizes the residual noise through the heterogeneous variances estimated from replicated simultation runs. Numerical examples, however, suggest that ordinary Kriging is a robust interpolation method.

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