Statistical Tests for Cross-Validation of Kriging Models
Year: 2019
Type: preprint
Abstract: We derive new statistical tests for leave-one-out cross-validation of Kriging models. Graphically, we present these tests as scatterplots augmented with confi…dence intervals. We may wish to avoid extrapolation, which we de…fine as prediction of the output for a point that is a vertex of the convex hull of the given input combinations. Moreover, we may use bootstrapping to estimate the true variance of the Kriging predictor. The resulting tests (with or without extrapolation or bootstrapping) have type-I and type-II error probabilities, which we estimate through Monte Carlo experiments. To illustrate the application of our tests, we use an example with two inputs and the popular borehole example with eight inputs.
Authors: J.P.C. Kleijnen, W.C.M. van Beers
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3145801239