Objectives:

At the end of this unit, you must be able to:

• Explain what is meant by "best linear unbiased estimation".

• Use ordinary kriging system of equations to calculate optimised kriging weights.
• Estimate a variable at an unknown point using ordinary kriging.
• Estimate ordinary kriging variance.
• Differentiate between estimation error variance and kriging variance.

11.1. Introduction

Let us quickly recap what we have done so far. We have looked at how we can calculate a
weighted linear average that takes into consideration spatial correlation. This was done by
using weights which were calculated from distances between samples and an unknown point
T (IDW). These weights were then used in the determination of the value of the estimator T*
= Σwigi. However, we encountered 10 questions or problems that the IDW method could not
answer or solve. One of these questions, was "how reliable is our estimate?'. We could not
find the estimation error by simply subtracting the estimate (T*) from the true value (T), i.e.
T-T*; primarily because the true value is unknown. We decided to rather investigate the error
between known samples (gi - gj). Because of our assumption of stationary, the error between
samples should be similar to the error between samples and T. Additionally, it was important
to consider the orientation of samples and distances between samples by investigating these
differences between the samples in different directions and separation distances. The sum of
these errors should be equals to zero, if a Normal distribution is assumed. Thus by merely
squaring these differences between samples (i.e. errors), adding them and dividing them by
twice the number of pairs will got us a measure of spatial variability at each lag distance. This
measure of special variability is called the semi-variogram. The semi variogram values were
subsequently plotted against lag distances to give an experimental variogram which could be
modelled. These models could now be used to estimate the estimation error and estimation
variance as well as confidence intervals for the estimate. By this stage, we had managed to
answer the question of how reliable the estimate is.

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However, we realised that different combinations of weights gave varying errors or
reliabilities of the estimate. This prompted us to ask two questions:

• How can we use the combination of weights which are optimised?

• How can we minimise the estimation error variance?

In 1962 and 1963 George Matheron, building on prior work by Danie Krige, developed a
system of linear equations which can be used to optimise weights such that the
resulting estimation error variance is minimised. Thus, birthing what is now described as the
best linear unbiased interpolator, namely Kriging. In this unit we will explore how these kriging
equations are derived and applied.

11.2. Best Linear Unbiased Estimator (BLUE)

Best - gives the smallest standard error (estimation error), narrowest confidence interval,
most confidence (lowest risk).

Linear - implies the use of weighted average.

Unbiased - mean estimation error = 0 . That is, there is an assumption of no trend i.e.
assumption of stationarity.

Estimator - estimate

The goal is to get a minimum estimation error variance (σε2). A reminder of the objective
function or formula describing the σε2 is shown below:

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This is the objective function we want to minimise. We also want to optimise the weights. To
optimise the weights, we introduce the Lagrangian Multiplier to the estimation error variance
as follows:

Secondly, we want to minimise the new estimation error variance (σε2) objective function that
has the lagrangian multiplier. This is carried out by partially differentiating the new objective
function. Followed by equating the resultant differential equations to zero. These equations
can also be written in matrix notation. They are referred to as Ordinary Kriging (OK) equations.
They allow for the determination of optimal weights, the subsequent estimation of the best
linear unbiased estimate (i.e. OK Kriging estimate, TOK*) and the corresponding estimation
variance (i.e. the OK kriging variance, σOK2).

The following section takes us through the mathematical derivation of OK kriging equations
when three samples are used.

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11.3. Ordinary Kriging (OK) Equations Derivations

1. Use objective Function for three points: 3.Expand the objective function for three points as follows:

-
-

-γ(T,T) - 2λ + + - 1)
-γ(T,T)
4. Partially differentiate the objective function w.r.t the weights and langrange multiplier
and then equate to zero. This minimises error.
2. Introduce the langrange multiplier to optimise the weights:
+ + + λ= 0

+ + +λ=0
-
+ + +λ =0
-γ(T,T)
+ + + 1 =0
- 2λ λ

Note: = 0 subject to . 5. Set each equation equal to zero and rearrange to give Ordinary Kriging equations
+ + + λ =
To ensure "unbiased" estimator. "2"is just for algebraic
convenience. + + + λ =

+ + + λ

+ + + 0 = 1

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11.4. OK Estimate and OK Variance

Below is a system of OK equations when using 3 samples:

These equations can be written in matrix notation as follows:

Once the optimised weights and λ are calculated, they can be used to calculate the OK
estimate and OK variance as follows:

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11.5. Example: OK

Given the 5ample configuration below and the point to be estimated at T, estimate T OK* (OK
estimate), σOK2 and 95% confidence intervals around the estimate. Assuming that the spatial
variability is defined by the generalised linear model: γ(h) = 0.0016h1,25

Example: Solution

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Step 3: Solve the OK system of equations (Only round of decimals used in your calculation at the
end!!!)

2
Step 4: Substitute w 1 , w 2 and λ into respective formulas to calculate T* and σok

= (0.40217*21.86) + (0.59783*25.61) = 24.11 MJ/Kg

+ λ = {(0.40217*1.2943)+(0.59783*0.8399)} - 0.0812 = 1.10 (MJ/Kg)^2

1.05
2
T*OK 24.11 ±1.96 x 1.05 MJ/Kg

2
22.05 < T*OK < 26.16 MJ/Kg

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Check Your Understanding: Question

Given the sample configuration below and the point to be estimated at T, estimate T OK* (OK
estimate), σOK2 and 95% confidence intervals around the estimate. Assuming that the spatial
variability is defined by the spherical model with C0 = 0.01 MJ/Kg2, C1 =0.28 MJ/Kg2 and a =
1300 m.

Check Your Understanding: Solutions

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11.6. The role of the Lagrangian multiplier

The role of the lagrangian multiplier is to balance the weights and ensure that ∑wi = 1.

If λ is negative, there may be redundancies: too many samples or clustered samples.

If λ is positive, means there could be improvement in the sample layout, which could either
mean there are insufficient samples or samples are too far from estimation point.

There are no criteria for goodness in this context. The size of the multiplier is governed by the
parameters of the semi-variogram and sampling configuration.

11.7. Conclusion

In this unit, we finally managed to determine optimal weights for calculating the best linear
unbiased estimator in the form of an ordinary kriging estimate. We can also now calculate the
ordinary kriging variance. Here are a few practical issues to note:

• Although we have spent some time looking at derivations of kriging equations, the
actual derivations are non-examinable.
• Although in this course we dealt with using only 2 samples in carrying out calculation
for OK estimate and OK variance; we can carry out the calculations using more samples
by using other mathematical techniques such as Cramer's rule or Gaussian elimination.
• Can you imagine doing these calculations for every point? This can be cumbersome.
Thanks to the power of computing, we can use software to carry out these calculations.
In this course, we will be using SGems software to carry out some practical estimation
exercises. The purposes of this course is for you to understand what is happening
behind the software and also appreciate the statistical theories behind the
calculations.

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