3.2.

3 Cokriging
Suppose that the data are k X 1 vectors Z(s1), . . . , Z(sn) and write
Z = (Z(s1), . . . , Z(sn))y,

(3.2.45)

An n X k matrix with (i,j) the element Zj(s1). It is desired to predict, say, Z1(s0)
based not only on Z1 = (Z1(s1), . . . , Z1(sn)y, but also based on the covariablesZj =
(Zj(s1), . . . , Zj(sn))',j 1. More generally, it may be desired to predict Z(s0) =
(Z1(s0), . . . , Zk(s0)), s0 D.
For example, to assess the feasibility of openening a copper mine, mineral
exploration is carried out: Samples at know spatial locations s1, . . . ,sn are taken
and assayed. Although the percentage copper is reported, it does not occur in
isolation. Percentages of lead and zinc are also typically found, along with other
minerals. The data at a single location, reported as fractions of 100%, are
compositional in nature (i.e., their sum cannot exceed 100). Assume that
thiscompositional problem has altredy been resolved (see, e.g.,

ORDINARY KRIGING
Aitchison, 1986), so that the vector-valued stochastic process (Z(s):s D) is
adequately described by its second-order parameters. Other examples can be found
in soil science (e.g., Ahmed and de Marsly, 1987), and geophysics (e.g., Krajewski,
1987).
Let
E(Z(s)) = ,
(3.2.46)

s D,

Cov(Z(s), Z(u)) = C(s, u),

s, u D,

(3.2.47)

Where = (1, . . . ,k) and C(s, u) is a k X k matrix (not necessarlly symmetric).

The kriging predictor of Z1(s0) is a linear combination of all the avaible data values
of all the k variables.

jiZj(si).
i=1 j=1

P1(Z; s0) =

(3.2.48)

Notice that (3.2.48) assumes that all components of Z(si) are available at each i.
Should this not case, an easy modification is possible (e.g., Journel and Huijbregts,
1978, p. 325).
Asking for a predictor that is uniformly unbiased, that is, E(p1(Z; s0)) 1, for all ,
yields the necessary and sufficient condition
n

i=1

1i

= 1,

i=1

ji

= 0,

for j = 2, . . . ,k.

(3.2.49)

Therefore, the best linear unbiased predictor is obtained by minimizing.

n

E(Z1(s0) -

i=1 j=1

Zj(si))2,

ji

(3.2.50)

Subject to the constaints (3.2.49).in principle, this problem is no more difflcuk than
ordinary kriging, except there are more Lagrange multipliers m1, . . . ,mk needed for
the extra constaints in (3.2.49).
A covariance-based approach to cokriging [cf. (3.2.31) and (3.2.32)] is
straightforward. The cokriging equations are
n

i=1 j=1

ji

I = 1, . . . , n, j = 1, . . . , k,

Cjj(si, si) mj = C1j(s0, si),

(3.2.51)
n

i=1

1i

= 1,

i=1

ji

= 0,

for j = 2, . . . ,k.

There are (n + 1)k linear equations in (n + 1)kuknowns (ji: i = 1, . . . , n; j =

1, . . . ,k), m1, . . . , mk. the minimum mean-squared prediction error, or (co)kriging
variance, is
n

(s0) = C11(s0, s0) -

i=1 j=1

ji

C1j(s0, si) + m1.

(3.2.52)

Although the algebra becomes compiated, the principle of exploiting covariation to

improve the mean-square prediction error [going back to Wold (1938),
Kolmogorov (1941b), and Wiener (1949)] is the basis of cokriging.

Finally, the covariance-matrix function {C(s, u): s, u R) usally has to be

estimated from the data. Assuming stationarity of this covariance-matrix function,
that is, C(s, u) = C*(s u), would estimation of C*(.) from the avaible data Z(s1), . .
. , Z(sn).
There is no general formulation of cokriging in terms of crossvariograms 2vjj(.),
where vjj(h) is defined as the (j, j) the element of G(h) = (1/2) var (Z(s + h )
Z(s)). Only under the special condition that the k Xkmatrix C*(h) is symmetric for
all h, is one able to formulate cokriging in terms of thevjj s (see Journel and
Huijbregts, 1978, p. 326).
A more satisfactory definition of the cross-variogram is given by Clark et al.
(1989). Modified to account for different means, it is

2yjj(h) = var(Zj(s + h) Zj(s))

= E(Zj(s +h) Zj(s))2 (j - j)2.
(32.53)
In general, one able to formlatecokriging in terms of theyjj s: Simply substitute yjj
(s u) for Cjj(s, u) in cokring equations (3.2.51). to illustrate why, consider the case
of just one extra variable [i.e., k = 2 in (3.2.48)]. Then , under the uniformn

unbiasedness assumpations

1i
i=1

= 1.

2k
k=1

= 0,

Take expectations and use (3.2.53) to obtain

Now minimize the right-hand side over

n

1i
i=1

11

1 n

21

,.

2 n

, subject to

= 1 and

2k
k=1

= 0,.

There is a potential problem with using cross-variograms

{2 jj , ( . ) }

Defined by (3.2.53) that

can be resolved by rescaling. Notice that in order to perform the subtraction in (3.2.53), a meaningful

result is obtained only when

Z J ( . ) and Z J . ( . ) are the measured in the same units. Therefore,some

data preparation is necessary before estimating the cross-variograms [e.g., divide the original jth variabel
1

by

{ ^ jj ( h0 ) }2

, where

h0 is same fixed nonzero vector in

Rd and ^ jj ( . ) Is a semivariogram

estimator calculated from the original observations on the jth variable, j = 1,,n].
Although the rescaling is not needed when defining and estimating

{2 v jj , ( . ) }

, is lack of

general appliicabilitily in cokriging means that it should be avoided. Moreover,anCy article that uses
cokriging equations with

{v jj , ( su ) }

incorrect, unless the model allows the

replacing

{C jj , ( s , u ) }

in (3.2.51) should be presumed

k k matrix cov ( Z ( s+h ) , Z ( s ) ) to be symmetric and to

v jj, s and shows how tthey can

depend only on h. Wackernagel (1998) assumes simple models for the

fitted. Those of his models for which C(s,s + h) = C*(h) are easily shown to result in a symmetric C*(h),
for all

hR

. His other models yied incorrect cokriging equations based on

{C jj , }

Building valid, flexible models for

or

{2 jj , }

{ v jj , ( . ) }

and fitting them to the avaible data is

a problem that requires further research. An important special case in where

Z j ( si ) is actually

Z ( si ;t j ) , an observations on the space-time process Z ( . ; . ) at location s i and time t i , The

goal is prediction of

Z ( s0 ; t k ) [ of Z ( s 0 ; t k+1 ) ] from data

{ Z ( s 0 ; t k ) :i=1, . n ; j=1, , k }

. In

order to do this optimally, equation analogous to(3.2.51) show that knowledge of temporal-temporal,
spatial-spatial, and spatial-temporal covariation is needed,here the rescaling on

2 jj , is not necessarily

needed because all observations arise from one underlying space-time process.
The problem of simultaneously kriging

Z ( s0 ) ( or, for that matter,some subset of variables at

possibly different locations) begs the question of which multivariate criterion will be minimized. Caution
is necessary for those who might use
k

E ( Z j ( s0 ) p j ( Z ; s0 ) )2
j=1

Because

Z 1 ( . ) , Z 2 ( . ) , are not necessarily measure in the same units. The following generalized

mean-squared prediction error; expressed here for predicting

'

E ( Z ( s 0 ) p ( Z ; s0 ) ) C ( s 0 , s0 )

Z ( s0 )

, is unit less.

( Z ( s0 ) p ( Z ; s 0 ) ) ]

The criterion is to be preferred to the preceding weighted sum of mean-squared prediction errors. A
matrix criterion is given by Ver Hoef and Cressie(1991).
For matrix formulation of cokriging,the reader is referred to myers (1982,1984) and ner hoef and
cressie(1991). Myers does not use the cross-variograms
for

C jj'

2 jj' , although upon replacement of jj'

{ v jj' }

in those result. The equations he gives in terms of

should be avoided, in general, for

reasons given earlier in this discussion.

3.2.4 Some Final Remarks

Kriging Using Nonstationary Covariances and Variograms
Ordinary kriging is usually presented in terms of variograms, namely,

2k ( s0 ) = ' +m ,

^p ( Z ; s 0 )= ' Z ,

(3.2.54)

Where
'

= +1

'

( 11' 1 )
'

1 1

, m=

'

( 11' 1 )
' 1
1 1

1=( 1, , 1 ) =( ( s0 s 1 ) , , ( s0s n ) ) , and

that,upon replacing

(3.2.55)

=( ( s is j ) ) . However, Eq.(3.2.10) implies

1
var ( Z ( s )Z ( u ) ) , one obtains the
( su ) in (3.2.54) with ( s , u )
2

()

Z ( s0 ) assuming only
optimal linear unbiased predictor of

i=1
i=1

. That is,it is not necessary to

assume that

jj ' ( s , u )

( s , u ) is a function of su . The same remark applies to cokriging, where

( 12 ) var ( Z ( s )Z ( u) )
j

j'

can be used in place of

j j ( su ) .
'

Equivalently, ordinary kriging in terms of covariograms can be written

^p ( Z ; s 0 )= ' Z ,

2k ( s0 ) =C ( s0 , s 0 ) c+m ,

(3.2.56)

Where

= c+1

( 1' 1' 1 c )
1' 1 1

1 , m=

( 11' 1 c )
1' 1 1

(3.2.57)

'
C=( C ( s 0 , s0 ) , , C ( s0 , s 0 ) ) , and = (C( s i , s j . That is, the kriging equations can be written in

terms pf covariances to do not have to be stationary.

Usually, weak-stationarity or intrinsic-stationarity assumptions are made to allow the variogram
or the covariogram to be estimated from data Z (Section 2.3), but this is nit always appropriate if a

( s , u ) ; see,e.g., Ma et

physical model suggest a particular covariance function C (s,u) or variogram

al. (1987) and Arato (1990). Whittel (1954) and Vecchia(1987) show how certain stationary covariance
fuctions from stochastic differential equations that arise from physical considerations.
Kriging on the phere
The calculus of kriging equations(3.2.5) and (3.2.12) relies on a well definite notion of vector addition
and subtraction. Young (1987) takes this from the euclidean setting and proposes analogous definitions on
the sphere. A so celled vector variogram is used in the derivation of kriging equations on the sphere.
Kriging with Nonnegative Weight
Because data are never Gaussian and, in particular, are often naturally bounded from above or below (e.g.,
percentage ore grades are between 0 and 100), practitioners are concerned about prediction techniques
that could potentially put the predictor outside the natural boundaries. For example, suppose
for all

Z ( s ) 0,

'
s D . Then, one way toensure that the kriging predictor ^
Z^ ( s0 ) = Z 0 is to specify
n

i 0,i=1, , n , as a further constraint when minimizing

E( Z ( s 0 ) i Z ( si ) )
i=1

subject to

i=1
i=1

Barnes and Johnson (1984), Szidarovsky et al.(1987), and Herzfeld (1989) contain

algorithmic details on how perform this minimization.

Although nonnegative weights imply that
there or other good reasons to use it;

' Z

Z^ ( s0 ) 0 , it is a constraint that is too heavy-handed unless

can be nonnegative but still have some negative

i s .

The extra constraint leads to a (perhaps unnecessarily large) increase in mean-squared prediction error. In

^
fact, negative kriging weights can be advantageous because they allow Z ( s0 ) to range outside the
limits, max

{ Z ( si ) :i=1, , n }

and min

{ Z ( si ) :i=1, , n }

Should it become essential to ensure that a predictor lies between predetermined bounds, a transformation
of Z(.) to stretch it to be more Gaussian-like, followed by kriging, by back-transforming (section 3.2.2),
may be preferable to kriging with extra constraints.