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variance estimation

on continuous domains

Cynthia Cooper

OSU Statistics

September 11, 2004

R82909601

Introduction

• Research on model- and design-based sampling

and estimation on continuous domains

Compare ...

• Basis of inference of each

• Sampling concepts

• Interpretation of variance

• Variance estimation

2

Duality in Environmental Monitoring

• Design-based Estimates

– Status and trend

– No model of underlying stochastic process

• Defensible

– Probability sample

• Avoid selection bias

• Control sample process variance

• Model-based predictions

– Stochastic behavior of response

– Forecasting/prediction conditional on the observed data

3

General Outline

• Introduction

• Summary comparison of approaches

• Summary characterization of variance estimators

• Proposed model-assisted variance estimator

• Simulation methods

• Design-based context results

• Model-based (kriging) results

• Conclusion

4

Comparison of approaches - Design-based

• Basis for long-run frequency properties

– Design-induced randomness – sample process variance

• Basic linear estimator scales up sample responses

to extrapolate to population

– Inclusion probabilities

• Examples

– EPA EMAP

– ODFW Monitoring Plan Augmented Rotating Panel

– USFS Forest Inventory and Analysis

5

Comparison of approaches - Design-based

• Inclusion probability

– Element-wise – Sum of probabilities of all samples

which include the ith element

∀ πi

– Pair-wise -- Sum of … which include ith & jth elements

∀ πij

– Inclusion probability densities (IPD) (Cordy (1993))

6

Comparison of approaches - Model-based

• Likelihood-based approaches to estimating

parameters of model

• BLUP

– Conditional on values observed in sample

• Examples

– Mining surveys

– Soil and hydrology surveys

7

Variance estimators - Design-based

• Quantifies variability induced by sampling process

• Variance of linear estimators

– Scale up square and cross-product terms with inverse

marginal and pair-wise inclusion probability densities

(IPDs)

– Congruent tessellation stratified samples w/ one

observation per stratum

• Require randomized grid origin to achieve non-zero

cross-product terms (πij-πiπj) (Stevens (1997))

8

Variance estimators - Design-based

• Horvitz-Thompson (HT)

Cordy

zi2 1 zi z j

(π ij − π iπ j )

(1993)

VˆHT [ w' z | S ] = V [τˆHT ] = ∑ 2 + ∑∑

i πi i j ≠ i π ij π i π j

• Can be negative

– Especially samples with a point pair in close proximity

• Requires randomly-located tessellation grid

9

Variance estimators - Design-based

• Yates-Grundy (YG)

Cordy 2

zi z j

1 − (π iπ j − π ij )

(1993)

VˆYG [ w' z | S ] = V [τˆYG ] = ∑∑

i j <i π ij

π π

i j

• Point pairs with close proximity can destabilize

(Stevens (2003))

• Requires randomly-located tessellation grid

10

Variance estimators - Model-based

• Estimating MSPE of BLUP

– Involves variances and covariances associated with

square and cross-product terms of error

• Assume form of covariance that describes rate of

decay of covariance

• Exponential

• Spherical

• Must result in positive-definite covariance matrix

• Incremental stationarity

– E[(z(si) -z(so))2] = g(||si-so||) = g(h)

– Typically, h ↓ ⇒ E[…] ↓

11

Variance estimators - Model-based

• Variance

– Quantifies stochastic variability of expected value of

response

– Vanishes as ||si-so|| → 0

• Mean-square prediction error (MSPE)

– a.k.a. MSE

– Variance + bias2

• Sample process variability of BLUP

– Weighted averages vary less

– Varies more as sample range increases relative to

resolution

12

Proposed model-assisted variance (VMA)

Use covariance structure of response to model

variability due to sampling process

• Predict variance within a stratum

• Variance is reduced by mean covariance

(assuming positively correlated elements)

– Similar to error variance computations (Ripley (1981))

• Within-stratum estimated as

– Sill reduced by within-stratum average covariance

• Linear estimator variance estimated as sum of

squared coefficients times within-stratum variance

13

Precursors of and precedence for

modeling covariance

• Cochran (1946)

– Finite population

– Serial correlation w/ discrete lags

• Bellhouse (1977)

– Continued extension of Cochran’s work to finite

populations ordered on two dimensions

• Small-area estimation model-assisted approaches

– J.N.K Rao (2003)

14

Methods – part 1

• M. Schlather's GaussRF() of R package

RandomFields

• Exponential covariance structure b*exp(-h/r)

– (e.g. 4*exp(-h/2))

• h is distance; b and r are "sill" and "range"

parameters

15

Methods – part 1a

Repeat 1000 times per realization

• Stratified sample

– n=100; one observation per stratum; stratum size 2x2

– Simple square-grid tessellation

• Randomized origin

• Constant origin

16

Methods – part 2

Repeat 1000 times per realization (continued)

• For the design-based context

– Estimate total (zhat)

• HT estimator for continuous domain

– Compute VHT, VYG and VMA

– Compare estimated variances with empirical variance

(V[zhat])

• For the model-based context example (Kriging)

– Randomly selected zo at fixed location over 1000 trials

– Obtain zhat, VOK, VMA

17

Random field overlayed by stratified sample w/ constant origin

Exponential covariance with range= 2 and sill= 1

20

15

10

5

0

0 5 10 15 20

18

Results – Design-based application

V...( 50) − V [ z hat ]

Empirical median relative error EMRE =

V [ z hat ]

Compares estimated variances with empirical variance of

estimate of total (V[zhat])

(Stratified sample with randomized origin)

Sill 4 1

Range 0.5 1 2 4 0.5 1 2 4

*

VYG -0.045 -0.122 -0.117 -0.176 -0.052 *-0.032 -0.228 -0.133

VMA 0.055 *-0.024 *-0.001 *-0.035 0.049 0.084 -0.138 *0.004

19

Results – Design-based application

Exponential covariance with range= 2 and sill= 4

Med

Avg

Med

Med

Avg

Avg

200

200

Observed V[zhat]

Observed V[zhat]

Observed V[zhat]

0

0

1000 2000 3000 4000 5000 1000 1500 2000 2500 3000 3500 4000 4500 -6000 -4000 -2000 0 2000 4000 6000

20

Results – Design-based application

Ratios of empirical standard deviations sd (V... )

sd (V HT )

Sill 4 1

Range 0.5 1 2 4 0.5 1 2 4

YG/HT 0.77 0.62 0.35 0.28 0.84 0.43 0.27 0.17

21

Results – Model-based application

(stratified sample with randomized origin)

Avg

Avg

100

Observed V[zhat]

Observed V[zhat]

0

0

0.0 0.2 0.4 0.6 0.8 1.0 1.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2

22

Concluding - Model-assisted approach

• Small-area precedence

• Application to systematic and one-observation-

per-stratum samples

• Effective alternative to direct estimators of

continuous-domain randomized-origin tessellation

stratified samples

– Empirical results – less bias, better efficiency

• Doesn’t require randomly-located tessellation grid

on continuous domain for non-zero πij

23

Acknowledgements

Thanks to

Don Stevens

Committee members

OSU Statistics Faculty

UW QERM Faculty

24

R82909601

The research described in this presentation has been funded by the U.S. Environmental Protection Agency

through the STAR Cooperative Agreement CR82-9096-01 National Research Program on Design-

Based/Model-Assisted Survey Methodology for Aquatic Resources at Oregon State University. It has not

been subjected to the Agency's review and therefore does not necessarily reflect the views of the Agency,

25

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