Variogram modeling vs.

Covariance modeling
Parameters and equivalences

Central Idea
Compare
the
methodology
for
Variogram modeling with that of
Covariance modeling, and formulate
(if possible) an equivalence among
their respective parameters

Contents
I. Variogram modeling
a.
b.
c.
d.

Experimental variogram
Parameters of a theoretical variogram
Estimation of the theoretical variogram
Parameter fitting

II. Covariance modeling

a. Parameters of a covariance model
b. Commonly used models
c. Parameter fitting

III. Variogram Covariance relationship

a. Assumptions
b. Formulation
c. Parameters correspondence

Previous considerations
In

this context, a random variable

is
that
defined
at
locations
where , and is the dimension of the input
space

All exemplifications are made supposing the

random variable
is isotropic, that is,
correlation between samples depends only on
the separation distance, no matter their
relative position (direction of the distance
vector)

Variogram modeling
a. Experimental variogram
variogram (also called semi Experimental

variogram) is calculated for each pair of

samples as

Variogram modeling
b. Parameters of a theoretical variogram

model sill
total sill

model
structure

nugget
range

Variogram modeling
c. Common theoretical variogram models

Exponential:

Gaussian:
Nugget:
Where:

(white noise)

is the model variance

is the distance
is the length parameter

Some implementations (e.g., DACE) use as length parameter

Variogram modeling
c. Estimation of the theoretical variogram

1.

2.

3.

Construct the experimental

variogram for the sample (dots)
Estimate the parameters (i.e.,
range, sill, model, nugget) of a
theoretical variogram (red line)
[Optional]
Optimize
the
parameters for a best fit (blue line)
to the experimental variogram

Variogram modeling
d. Parameter fitting
In
almost every implementation, the

fitting is made through weighted least

squares fit to the experimental variogram
There are several criteria to assign the
weight () to each point of the variogram,
the most common are:

Number of averaged points

/squared semi-variogram ratio
/squared distance ratio

.
..

...

Covariance modeling
Since

we are considering the

isotropic case, the distance between
any two samples is a scalar

Covariance modeling
a. Parameters of a covariance model

nugget

total sill model sill

model
structure

range

Covariance modeling
b. Commonly used models
Exponential:

Gaussian:

Where:

is the model variance

is the distance
is the length parameter

Some implementations (e.g., DACE) use as length parameter

Covariance modeling
c. Parameter fitting
This
task is solved by Bayesian inference.
By maximizing the probability of the
posterior for the covariance parameters (),
which is given by:

Where: is the marginal likelihood

is the prior for the parameters
is a normalizing factor

Covariance modeling
c. Parameter fitting
To maximize the probability of the
posterior, it is necessary to maximize
(the probability of observing the
values given the locations and the
parameters ) w.r.t. the parameters .

Covariance modeling
c. Parameter fitting
For

simplicity, it is common
maximize its logarithm, given by:

to

Covariance modeling
c. Parameter fitting
It can be shown1 that maximizing the
marginal
likelihood

w.r.t.
the
parameters is equivalent to maximize
the expression:
Where
is the correlation matrix
is the estimated variance
is the estimated mean

See Jones D.R. (2001) A taxonomy of global optimization methods based on response
surface, J Glob. Opt. 21:345-383
1

Variogram-Covariance
relationship

Where
is the variance of