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GEOSTAT 2013:

Geostatistics (1)
Alexander Brenning
University of Waterloo, Canada

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Todays class
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling

Introduction
Intrinsic Random Functions
Semivariogram Modeling

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Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Introduction

Intrinsic Random
Functions
Semivariogram
Modeling

GEOSTAT 2013 - A. Brenning

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Overview
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions






Geostatistics deals with measurements of one or several


numeric variables at point locations.
Analysis of the spatial dependence structure
Kriging interpolation
Kriging & regression

Interpolation with an underlying trend


Regression in the presence of spatial autocorrelation

Geostatistical simulation

Semivariogram
Modeling

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History

Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Since 1911: Early spatial analyses of agricultural data


(Mercer & Hall, 1911; Youden & Mehlich, 1937) and forestry
(Langsaetter, 1926; Matern, 1960; Jowett, 1955)

Kolmogorov, 1941: Optimal spatial interpolation

Intrinsic Random
Functions

1950s: Daniel G. Krige, South African mining engineer,


develops a technique that is now called kriging

Semivariogram
Modeling

Concepts equivalent to variogram and kriging


Motivated by meteorological applications
Could not be applied: lack of computer power

Predict block ore grades based on spatially autocorrelated


point samples

1960s: Georges Matheron (Ecole des Mines,


Fontainebleau) formulates geostatistical theory
See Webster & Oliver, 2007

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Current Research
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions

Current research topics include:






Space-time geostatistics (Christakos, 2000)


Machine-learning techniques in geostastistics (Kanevski et
al., 2008)
Geostatistics for massive, multi-scale data

e.g. combining multiple sources of remote sensing data or


downscaling remote sensing data

Multipoint geostatistics

Semivariogram
Modeling

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Case Study: Soil Contamination


Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions
Semivariogram
Modeling




Top soil heavy metal


concentrations (in ppm),
and soil and landscape
variables
At 155 locations on a
floodplain of the river
Meuse / Maas,
Netherlands
Bulk samples from an area
of approx. 15 m x 15 m
Sample dataset of the
gstat package)

Kriging prediction of cadmium

Meuse river (photo: pbase.com)

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Motivation
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions

Observations at locations near to each other are, on average,


more similar than observations at locations remote from each
other.
This can be measured using some similarity or dissimilarity
measure:

Correlation correlogram
(in time series analysis: autocorrelation function)
Semivariance semivariogram (in geostats)

Semivariogram
Modeling

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Semivariogram Cloud
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Measurements zi
at locations xi :

Semivariogram cloud:
Plot semivariance against
distance.

Intrinsic Random
Functions
Semivariogram
Modeling

Distance
|xj xi |
1
3
...

Semivariance
(zj zi )2 /2
(3 7)2 /2 = 8
(16 7)2 /2 = 40.5
...

(N locations N (N 1) pairs)

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Empirical Semivariogram
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

1. Group all pairs of samples


with distance h
together in a class Nh .
2. Average the semivariance
within each class Nh :

Semivariogram cloud:

X
1
(h) =
(zi zj )2
2 |Nh |

Intrinsic Random
Functions
Semivariogram
Modeling

GEOSTAT 2013 - A. Brenning

(i,j)Nh

Empirical semivariogram:

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Case Study: Empirical Semivariogram


Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Semivariogram of log(zinc concentration)

Intrinsic Random
Functions
Semivariogram
Modeling

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Directional Semivariograms
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions
Semivariogram
Modeling

Use pairs of samples with


approxly same orientation
to estimate an empirical
semivariogram
Explore possible
dependence on the
direction (anisotropy)
E.g. air pollution more
similar in wind direction
than perpendicular to
wind direction

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Wrap-up of motivation
Introduction
Overview
History
Current Research
Case Study
Motivation
Semivariogram
Cloud
Empirical
Semivariogram
Case Study:
Empirical Svgm.
Directional Svgm.
Wrap-up

Intrinsic Random
Functions

Semivariogram
Modeling

Results of variogram analysis are of practical importance:


Nugget measurement error, apply smoothing instead
of interpolation?
Range search radius of kriging interpolation
Range optimize spatial sampling design

This was just a rough, empirical introduction motivating the


semivariogram.
Now we will use a more formal approach to link this
empirical motivation with geostatistical models.

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Introduction
Intrinsic Random

Functions

Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Intrinsic Random Functions

Semivariogram
Modeling

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Regionalized variable
Introduction
Intrinsic Random
Functions
Regionalized
variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Semivariogram
Modeling






A value z(x) at a location x D is considered to be a


realization of a random variable Z(x).
D is the domain, e.g. the (infinite) set of all point locations
in the study area. Here: D 2 .
The set (z(x))xD = {z(x) : x D} of values is called a
regionalized variable.
It is a realization of the random function or random field

Z = (Z(x))xD ,


the infinite family of all random variables at points x D.


However, we only observe a finite set of n regionalized
values
z1 = z(x1 ), . . . , zn = z(xn )
from one particular realization (z(x))xD of Z.

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Probability Distributions

Introduction
Intrinsic Random
Functions
Regionalized variable
Probability
Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

A random variable Z(x) is characterized by its probability


distribution function Fx :
P (Z(x) z) = Fx (z)




Fx (z) is the probability that an outcome of Z(x) is less or


equal a given value z.
In general, these distribution functions can potentially be
incredibly complex, and even more so the joint distribution
function of several random variables Z(x1 ), . . . , Z(xk ).
We have to make some assumptions to be able to model
these distributions using semivariograms etc.

Semivariogram
Modeling

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Stationarity

Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Semivariogram
Modeling




In general, random variables Z(x1 ), Z(x2 ) at different


locations may follow different probability distributions.
(almost) impossible to handle!
Different types of stationarity make life easier.
Strict stationarity means that any multiple-point
distribution function depends only on the location of points
relative to each other.

The joint distribution is the same throughout the entire


domain.

Intrinsic stationarity and second-order stationarity are


weaker forms of stationarity:

only based on mean and covariance/variogram


only based on pairs of points (two-point geostats)

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Covariance
Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

m(x) = E(Z(x)),

Semivariogram
Modeling

Variation of the random field Z in space can be described by


its mean or expected value m,
x D,

and its covariance function C,


C(x, x+h) = E [(Z(x) EZ(x)) (Z(x+h) EZ(x+h))] ,

for all x, x+h D.


Note that C(x, x) = Var(Z(x)) is the variance.
The covariance function C is stationary if it only depends
on the distance (vector) between points, i.e. if it can be
written as
C(x, x+h) = C(h).

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Second-order Stationarity
Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Second-order stationarity (or weak stationarity) describes a


type of independence of location:


The mean is constant:


m(x) = m

Semivariogram
Modeling

for all x D

And the covariance function only depends on the distance


vector h between an arbitrary pair of points x, x+h D:
C(x, x + h) = C(h)

for all x, x+h D.

C(h) is called the covariogram.

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Correlogram
Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

The correlogram of a second-order stationary random


function is
C(h)
(h) =
,
C(0)

where the variance C(0) = Var(Z(x)) is constant in space.


(h) may vary between 1 and +1.

Semivariogram
Modeling

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Semivariogram
Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Instead of the covariance function or the correlogram,


geostatisticians use the semivariogram
1
(x, x+h) = Var (Z(x) Z(x+h)) ,
2

The variogram is simply 2.

The semivariogram is sometimes referred to as variogram


(e.g. in the gstat package) this may cause confusion!

Note: (x, x) = 0.

Semivariogram
Modeling

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Intrinsic Stationarity


Consider the drift of the process:

Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic
Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

E (Z(x + h) Z(x)) .


A semivariogram is called stationary if it only depends on


the distance vector h between pairs of points:
(x, x + h) = (h)





for all x, x+h D.

A random field with zero drift and a stationary semivariogram


is defined to be intrinsically stationary (or just intrinsic).
Second-order stationarity implies intrinsic stationarity.
Intrinsic stationarity does not imply second-order stationarity!

Semivariogram
Modeling

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Semivarigram and Covariogram



Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and
Covgm.
Isotropy
Svgm. Shape
Interpretation

Semivariogram
Modeling

The covariance function and semivariogram of a random field


are related to each other:
2(x, x+h) = C(x, x) + C(x+h, x+h) 2C(x, x+h).

If the random field is second-order stationary, then


(h) = C(0) C(h).

If the semivariogram of an intrinsic random field is bounded by a finite


value (), then it has a stationary covariance function
C(h) = () (h) + M,

(1)

where M > 0 is a constant (i.e. independent of h). Note that random


functions with different covariograms may have the same semivariogram.

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Isotropy
Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation




Note that h has so far been considered to be a vector.


In general, the semivariance and covariance may depend on
the direction of h.

directional semivariograms

If the semivariogram depends only on the distance h = |h|,


but not on the orientation of h, then it is called isotropic.

Semivariogram
Modeling

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Shape of the Semivariogram


Introduction

The svgm of an isotropic intrinsic random function is a simple graph


this is its typical shape and structure:

Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation

Semivariogram
Modeling






Note that (0) = 0!


2
A nugget effect nug
is present if (h) > 0 for h very close to zero.
The sill 2 = () is the semivar. level of the plateau (if it exists).
The range r is the lag distance where the svgm reaches the sill.

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Interpretation of the Semivariogram


Introduction
Intrinsic Random
Functions
Regionalized variable
Probability Distrib.
Stationarity
Covariance
Second-order
Stationarity
Correlogram
Semivariogram
Intrinsic Stationarity
Semi- and Covgm.
Isotropy
Svgm. Shape
Interpretation




sill: If the svgm is unbounded, then the random field is NOT


second-order stationary.
range (or autocorrelation range): Observations are
considered to be uncorrelated beyond this distance.
What uncorrelated means, depends however on the scale.




2
nugget effect nug
: represents microscale variation and
measurement error not a continuous surface!
Overall, the characteristics of the svgm near h = 0 are of
critical importance for characterizing the random function.

Semivariogram
Modeling

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Introduction
Intrinsic Random
Functions
Semivariogram

Modeling

Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

GEOSTAT 2013 - A. Brenning

Semivariogram Modeling

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Semivariogram Models
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

The empirical svgm is NOT


a valid svgm.: A function has
to honour certain
mathematical properties in
order to be a valid svgm.
 A semivariogram model is
a function


(h; )
that gives a valid svgm for
any parameter
= (1 , . . . , k ).
 is estimated from the
empirical svgm.
 Many parameters more
flexible, but harder to fit.
 Svgm models can be
combined by adding them.

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Spherical Semivariogram

Introduction

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

The one size fits all svgm. (?)


The spherical semivariogram without nugget effect is:


(
3
h
2 3h

if h < r,
sph
2
2r
2r 3

(h; , r) =
2
otherwise.
Sill 2 , range r; stationary

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Exponential Svgm.
Introduction

exp (h; 2 , r) =

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential
Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting




2 exp(h/r) if h > 0,
0
if h = 0.

Similar to the spherical svgm.


Converges to the sill as h .

Use a practical range corresponding to 95% of the full


sill to describe the model.

More convex shape than spherical svgm.

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Nugget Semivariogram
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting




Describes measurement error or microscale variation.


Only used in combination with other svgm models.
2

(h; nug ) =

GEOSTAT 2013 - A. Brenning

0
if h = 0,
2
nug
otherwise.

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Semivariogram Cloud
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

For each pair of points (xi , xj ), we can estimate the


semivariance individually as
(xi , xj ) = (zi zj )2 /2.
The scatter plot of (xi , xj ) against hij = |xi xj | is called
the semivariogram cloud.

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Empirical Semivariogram
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

AKA sample svgm or experimental svgm




Method of moments estimator: Let




2
Nh = (i, j) {1, . . . , n} : |xi xj | h

be the set of all pairs of points approximately distance h


apart. Estimate the semivariance at distance h by
X
1

(h) =
(zi zj )2
2|Nh |

(i,j)Nh

The empirical semivariogram is NOT a valid semivariogram


model!

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Empirical Svgm. Meuse data


Introduction

Empirical semivariograms of log(zinc) in the Meuse data set:

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

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Robust Estimator
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

Robust: stable if data departs from the model assumptions,




e.g. if random function is contaminated by an


unknown process producing outliers

A robust estimator proposed by Cressie & Hawkins (1980):


n
o
1
(h) =
med |zi zj |1/2 : (xi , xj ) Nh ,
2B(h)

where B(h) 0.457 corrects for bias.


Large differences |zi zj | have a smaller impact on this
estimator than when using (zi zj )2
The median (med) is more robust than mean

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Directional Semivariogram
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting




The empirical svgms estimators introduced so far are


omnidirectional svgms.
Now replace the set Nh of pairs approx. distance h apart by
a restricted version Nh; containing only those pairs (xi , xj )
where xi xj is oriented approximately in direction .
Enough data? Use directional semivariograms only if enough
data are available.

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Directional Semivariogram
Introduction

Directional semivariograms of log(zinc) in the Meuse data set:

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

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Modeling Anisotropy
Introduction

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

Geometric anisotropy:

Can be dealt with by transforming the coordinate space.

Local anisotropy:

Anisotropy may follow nonlinear sediment structures,


drainage networks,. . .
Hard to explore, hard to model. . .

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Fitting the Semivariogram


Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

Goal: Minimize the error e() of the svgm model with respect to
the empirical svgm as a function of the model parameters .


Svgm fitting by eye

Usually not too bad, sometimes not avoidable

Ordinary-least-squares (OLS) estimation:


e() =

k
X
j=1

( (hj ) (hj ))2 ,

where h1 , . . . , hk are the bins of the empirical svgm.

This estimator does not account for varying numbers of


pairs |Nhj | how can we do better?

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Fitting the Semivariogram


Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

Iteratively reweighted least-squares (WLS) estimation


(Cressie, 1985): In iteration i,
ei () =

k
X
j=1

(0)

where wj

(i)

wj ( (hj ) (hj ; i ))2 ,


(i)

= |Nhj |, and wj = |Nhj |((hj ; i ))2 for i > 0.

More pairs more weight


Smaller semivariance more weight
Good fit near the origin.
Default method in the R package gstat

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Fitting the Semivariogram


Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

Restricted (or Residual) Maximum Likelihood (REML)


estimation: Kitanidis (1985)

Based on more sophisticated mathematical arguments


Depends on the assumption of a Gaussian (i.e. normal)
distribution
More often used in conjunction with spatial linear models
fitted by (restricted) maximum likelihood estimation
May be slow.

GEOSTAT 2013 - A. Brenning

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Svgm. Fitting Meuse data


Introduction

Fitted spherical semivariogram of log(zinc) in the Meuse data set:

Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting

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Geostatistics 1 42 / 47

Class Wrap-up
Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Svgm. Models
Spherical Svgm.
Exponential Svgm.
Nugget Svgm.
Svgm. Cloud
Empirical Svgm.
Robust Estimator
Directional Svgm
Anisotropy
Svgm. Fitting




Overview of applications of geostatistics


Introduction to the mathematical concepts of intrinsic and
stationary random functions

Exploring, interpreting and modeling semivariograms

Prerequisite for kriging!


Ready for variogram analysis and kriging!

Next class will be more fun with less math!

GEOSTAT 2013 - A. Brenning

Geostatistics 1 43 / 47

Introduction
Intrinsic Random
Functions
Semivariogram
Modeling
Some Basic
Probability
Theory
Expected value
Variance
Covariance

GEOSTAT 2013 - A. Brenning

Some Basic Probability Theory

Geostatistics 1 44 / 47

Expected value
Introduction
Intrinsic Random
Functions

Semivariogram
Modeling
Some Basic
Probability Theory
Expected value
Variance
Covariance

The expected value (mean) of a suitable random variable


X is the average of its outcomes weighted by its probability
distribution.
If the probability density function f of X exists,
Z
E(X) =
tf (t)dt.

Note that E(aX + b) = aE(X) + b,


E(X + Y ) = E(X) + E(Y ), i.e. the expectation is linear.

GEOSTAT 2013 - A. Brenning

Geostatistics 1 45 / 47

Variance
Introduction
Intrinsic Random
Functions

The variance of a suitable random variable X is the mean


squared variation of X around its mean value:

Semivariogram
Modeling
Some Basic
Probability Theory
Expected value
Variance
Covariance

Var(X) = E(X EX) = E(X 2 ) (EX)2 .






The variance is not linear: Var(aX + b) = a2 Var(X),


E(X + Y ) = E(X) + E(Y ), i.e. the expectation is linear.
For uncorrelated X, Y , we have
Var(X + Y ) = VarX + VarY.
Standard deviation: (X) = VarX

GEOSTAT 2013 - A. Brenning

Geostatistics 1 46 / 47

Covariance
Introduction
Intrinsic Random
Functions

The covariance of a pair of suitable random variables X, Y


is defined as:

Semivariogram
Modeling
Some Basic
Probability Theory
Expected value
Variance
Covariance

Cov(X, Y ) = E(X EX)(Y EY ).




It measures how X and Y vary together.





Positive: the higher, the higher


Negative: the higher, the lower
Zero: uncorrelated

X, Y independent X, Y uncorrelated
X, Y uncorrelated ; X, Y independent

Correlation: (X, Y ) = Cov(X, Y )/ VarX VarY

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