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

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 simulation runs. Numerical examples, however, suggest that Ordinary Kriging is a robust interpolation method.