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Mathematical Geology, Vol. 34, No. 7, October 2002 (

C 2002)

On the Structural Link Between Variables in Kriging

With External Drift1
Jacques Rivoirard2

Kriging with external drift allows one to estimate a target variable, accounting for a densely sam-
pled auxiliary variable. Contrary to cokriging, kriging with external drift does not make explicit the
structural link between target variable and auxiliary variable, for the latter is considered to be de-
terministic. In this paper, we show that kriging with external drift assumes implicitly an absence of
spatial dependence between the auxiliary variable and the residual of the linear regression of target
variable on auxiliary variable at same point. This is the simple model with orthogonal residual, where
cokriging is collocated and coincides with kriging of the residual. In this model, the cross-structure is
proportional to the structure of the auxiliary variable, and the linear regression of target variable on
auxiliary variable does not depend on the support.

KEY WORDS: cokriging, Markov models, regression, residual.

INTRODUCTION

Kriging with external drift is a popular geostatistical method (e.g. Goovaerts, 1997;
Wackernagel, 1995). It allows one to estimate a target variable, accounting for a
densely sampled auxiliary variable. A very detailed documentation of kriging with
external drift, including its origin, can be found in Chiles and Delfiner (1999). Here
are the elements required for the present purpose. The target variable is supposed
to be sampled at some locations x (indexed by a Greek letter, e.g., ) and is
represented by a Random Function Z (x). By contrast, the auxiliary variable f (x)
is supposed to be known at all desired points xi (say, all points x and all target
points, e.g. on a grid, as usually in practice), and is considered as deterministic. It
is generally also very regular. We assume a linear relation between the variables,
defining the drift E[Z (x)] externally through f (x):

E[Z (x)] = a f (x) + b

1Received 30 July 2001; accepted 19 June 2002.

2Centre de Geostatistique, Ecole des Mines de Paris, 35 rue Saint-Honore, 77305 Fontainebleau Cedex,

France; e-mail: rivoi@cg.ensmp.fr

797

0882-8121/02/1000-0797/1
C 2002 International Association for Mathematical Geology
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P
(or more generally l al f l (x), e.g. f 0 (x) = 1 and f 1 (x) = f (x) in present case):
the shape of the drift is given by f (x), its amplitude by a, and its level is then
finally given by b. Hence we can write

Z (x) = a f (x) + b + R(x) (1)

where R(x) = Z (x) a f (x) b, having a 0 expectation, is the residual of the

linear regression of Z (x) on f (x). Note that, f (x) being considered as determi-
nistic, the (centered) covariance of the target variable is that of the residual:

cov (Z (x), Z (x + h)) = cov (R(x), R(x + h)) (2)

Let
X
Z 0 = Z + 0

be a linear estimator of the variable Z 0 = Z (x0 ) at target point x0 from Z = Z (x ).

The estimation error is
X
= Z 0 Z 0 = Z 0 Z 0

X X X
= R0 R + a f 0 f + b 1 0

where, for instance, f 0 is short for f (x0 ). The estimator is unbiased if we have
X X
E() = E(Z 0 Z 0 ) = a f0 f +b 1 0 = 0

and can then be rewritten as

X X X
Z 0 = Z + a f 0 f +b 1 (3)

Moreover, it is optimal if the weights minimize the estimation variance, which,

because of (2), is equal to
X X
var() = var(R0 ) 2 cov(R , R0 ) + cov(R , R )

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On the Structural Link Between Variables in Kriging With External Drift 799

Relation (3) can be rewritten as

Z 0 = a f 0 + b + R0 (4)

with
X
R0 = R

Consequently, if both amplitude a and level b of the drift are known, the best linear
estimator of Z 0 corresponds to the simple kriging of the residual:

Z 0RSK = a f 0 + b + R0SK

If the amplitude a of the drift is supposed known but not its level b, this unknown
coefficient can be filtered out of the expected error by imposing the condition
X
= 1

Then the best linear estimator of Z 0 corresponds to the ordinary kriging of the
residual. In this case the residual needs only be defined up to an additive constant,
e.g. Z (x) a f (x), and we have

X X
Z 0ROK = a f 0 + (Z 0 a f 0 )OK = Z + a f 0 f

Finally if only the shape of the drift is known, both a and b being unknown, these
can be filtered out of the estimation error by imposing the conditions
X X
= 1 and f = f 0 (5)

or more generally
X
f l = f 0l whatever l

when is unknown. Then minimizing the estimation variance yields kriging with
external drift:
X
Z 0EDK = Z

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800 Rivoirard

The weights and the Lagrange parameters l introduced to fulfil the constraints
are the solution of the system made of
X X
cov(R , R ) + l f l = cov(R , R0 ) whatever
l

and of the constraints (5). Thus, kriging with external drift allows one to estimate
Z when the coefficients of the drift are unknown, e.g. varying with a moving neigh-
borhood. One difficulty comes from the estimation requiring the spatial structure
of the residual: as they depend on these coefficients, the exact values of the residual
at data points are not known. A cross-validation is then often used to estimate or
to refine the residual structure. The very subject of the inference of the residual
structure has not been developed in this paper. Note, however, that when using
an erroneous structure, kriging with external drift is no longer optimal but is still
unbiased.
Just like the estimation by kriging the residual, kriging with external drift
apparently only necessitates the residual structure. But a fundamental question
arises. The auxiliary variable being known everywhere, we have chosen to consider
it as deterministic. However, we could also have represented it by a Random
Function, and modeled its structural link with the target Random Function, in the
manner of cokriging for linear estimation. Is considering the auxiliary variable as
deterministic rather than probabilistic sufficient to evacuate a possible structural
link between the variables, when estimating the target by kriging the residual or
kriging with external drift? Or is there an implicit structural link in these methods?
While kriging with external drift is a very popular method, this problem does not
seem to have been worked out. Note that the auxiliary variable was also considered
as probabilistic by Chiles and Delfiner (1999), but in the purpose of accounting
for a lack of information on it.

BIVARIATE MODEL AND COKRIGING

Having presented kriging of the residual together with kriging with external
drift was intentional as it makes things simpler. As a matter of fact, let us randomize
the auxiliary variable f (x) in (1), i.e. represent it by a Random Function Y (x)
(the minor disadvantage of changing the letter here is compensated by it being
consistent with the usual literature on the subject, e.g. Chiles and Delfiner, 1999):

Z (x) = a Y (x) + b + R(x) (6)

with E[R(x)] = 0 and E[R(x) | Y (x) = f (x)] = 0 so that

E[Z (x) | Y (x) = f (x)] = a f (x) + b

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On the Structural Link Between Variables in Kriging With External Drift 801

Thanks to the additivity relation of cokriging (Chiles and Delfiner, p. 302), we

have

Z 0CK = a Y0CK + b + R0CK

that is, as Y0 is known,

Z 0CK = a Y0 + b + R0CK

As Y is known at data points x and on the target grid, knowing Z at points x

is equivalent to knowing R at these points. Hence, the cokriging of R depends a
priori on R at x and on Y at all points.
Only in the model where R is orthogonal to Y ,

E[R(x)Y (x + h)] = 0

i.e. spatially uncorrelated with Y ,

cov[R(x), Y (x + h)] = 0 (7)

does cokriging of R depend only on R at x , hence the estimation:

Z 0CK = a Y0 + b + R0K (8)

P
As R0K = R , the cokriging depends only on Y at target point x0 and at
locations x where Z is known: it is (multi-)collocated and is supported by the
model where the residual R is orthogonal to Y , which corresponds to the model
called MM2 (Markov model 2) by Journel (1999) and reverse Markov by
Chiles and Delfiner (1999). This estimation (8) coincides, in practical applications,
to the estimation (4) obtained by kriging the residual. In the general case (R
spatially correlated with Y ), the cokriging of R depends also on Y at other points.

MODEL FOR KRIGING WITH EXTERNAL DRIFT

As a way to make the auxiliary variable deterministic, let us see what happens
if we condition the model (6) by all values f i = f (xi ) taken by Yi = Y (xi ) (which
we will note in short Y = f). In the general case the problem is complex, because
the conditional distribution of R(x) may depend on Y = f, even if R is orthogonal
to Y (for instance, the conditional expectation of the residual can be a nonlinear
function of the values f ). To simplify and to stay in the linear framework, we
will assume here (multi-)normality (i.e. all linear combinations being normally
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802 Rivoirard

distributed) so that independence is equivalent to noncorrelation. If R is spatially

independent of Y , the conditional model is directly (1) without any change in the
residual, so that the estimation by kriging the residual or kriging with external drift
is unbiased and optimal.
In the general case (R spatially correlated with Y ), the conditional distribution
of R(x) has
an expectation E[R(x) | Y = f] equal to the value of its simple cokriging
from Y = f, a linear combination of f i denoted here as r (x) f (the conditional
expectation E[R(x) | Y] being then denoted as R(x)Y );
a variance equal to the corresponding cokriging variance; and
a covariance equal to

E[R(x)R(x + h)] E[R(x)Y R(x + h)Y ] (9)

To prove (9), write the conditional residual as r (x) f + U (x), with E[U (x)] = 0.
Then the conditional covariance is E[U (x)U (x + h)], and is obtained from

E[R(x)R(x + h)] = E{E[R(x)R(x + h) | Y]}

= E[R(x)Y R(x + h)Y ] + E[U (x)U (x + h)]

Note in particular the expression of the expectation of Z (x) conditional to all values
Y = f (multiple regression),

E[Z (x) | Y = f] = a f (x) + b + r (x) f = z(x) f

which is different from its unconditional expectation and from the simple
regression

E[Z (x)] = a f (x) + b = E[Z (x) | Y (x) = f (x)]

To summarize, a spatial correlation between R and Y results in conditional expec-

tation and covariance of R or Z being functions of f i . This also has consequences
on the estimation, as we will see now.
It can be shown that simple cokriging of Z 0 on Yi and Z is unbiased condi-
tionally on Y = f. As a matter of fact, this simple cokriging can also be seen as the
simple cokriging of Z 0Y + (Z 0 Z 0Y ) on Yi and on Z Z Y , where Z 0Y and Z Y
represent the simple cokriging of Z 0 and of Z on Yi only. Z Z Y and Z 0 Z 0Y
being orthogonal to Yi (and so to Z 0Y ), we have

Z 0SCK = Z 0Y + Z 0 Z 0Y
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On the Structural Link Between Variables in Kriging With External Drift 803

where the second term represents the simple kriging of Z 0 Z 0Y on Z Z Y .

Hence the cokriging of Z 0 on Yi and Z can be obtained by, first cokriging Z
and Z 0 on Yi , and then kriging the resulting residual Z 0 Z 0Y on Z Z Y . Con-
ditionally on Y = f, the expectation of this residual is 0 so that simple cokriging
is conditionally unbiased:

f
E Z 0SCK | Y = f = E Z 0Y | Y = f = z 0

Because of the conditions on the weights, this is not the case of ordinary cokriging
nor of the estimation by ordinary kriging of the residual. However, this is also not
the case either for the estimation by simple kriging of the residual, or by kriging
with external drift. For these, the bias, conditional on Y = f, is respectively

f
E Z 0 Z 0RSK | Y = f = a f 0 + b + r0 a f 0 b
X f
X
rf = r0 rf

and

f
X
E Z 0 Z 0EDK | Y = f = z 0 z f

and these estimators, since they are computed with the unconditional covariance,
are not optimal.
Having seen what happens when R is spatially correlated with Y , we can
finally state that by using a residual with an expectation and a structure independent
of the auxiliary variable, the estimation by kriging the residual or by kriging with
external drift, implicitly assumes an absence of spatial correlation between R
and Y .
Moreover, if we assume that the expected residual is 0 for any realization of
Y (not just f ):

E[R(x) | Y] = 0

then it is straightforward to demonstrate that the unconditional residual effectively

has a zero expectation:

E[R(x)] = E{E[R(x) | Y]} = 0

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804 Rivoirard

and is not spatially correlated with Y :

cov[R(x), Y (x + h)] = E[R(x)Y (x + h)] = E{E[R(x)Y (x + h) | Y]}

= E{Y (x + h)E[R(x) | Y]} = 0

No hypothesis of normality is required for this. In the normal case, an addi-

tional property holds: as R(x)Y = E[R(x) | Y] = 0, the last term in (9) disappears
and the conditional covariance of residual equals its unconditional covariance
E[R(x)R(x + h)], while in general we have only

E[R(x)R(x + h)] = E{E[R(x)R(x + h) | Y]}

DISCUSSION

Markov Models

Suppose that two regionalized variables represented by their Random Func-

tions Z (x) and Y (x) are linearly related so that the linear regression of Z (x) on
Y (x) at same location x can be written:

Z LR (x) = a Y (x) + b

Then, by construction, the residual R(x) = Z (x) a Y (x) b has a 0 expectation

and has no correlation with Y (x) at the same point x. However, this does not imply
R having no spatial correlation with Y , for we have

cov[R(x), Y (x + h)] = cov[Z (x), Y (x + h)] a cov[Y (x), Y (x + h)]

When the residual is spatially uncorrelated with Y (Eq. (7)), Z (x) can be split
into the two orthogonal terms a Y (x) + b and R(x):

Z (x) = a Y (x) + b + R(x)

orthogonal (10)

We then have for the covariances:

cov[Z (x), Y (x + h)] = a cov[Y (x), Y (x + h)] (11)

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On the Structural Link Between Variables in Kriging With External Drift 805

that is, on the stationary covariances if any:

CY Z (h) = a CY (h)

and on the variograms:

1/2E[Z (x + h) Z (x), Y (x + h) Y (x)] = a1/2E{[Y (x + h) Y (x)]2 }

that is

Y Z (h) = a Y (h)

under the intrinsic hypothesis with stationary increments. So in this model, the
cross-structure between Z and Y is proportional to the structure of Y . This corre-
sponds to Markov model 2, in the terminology proposed by Journel (1999). We
also have

cov[Z (x), Z (x + h)] = a 2 cov[Y (x), Y (x + h)] + cov[R(x), R(x + h)]

and for instance, for the variograms:

Z (h) = a 2 Y (h) + R (h)

so that the structure of Z is the sum of a 2 times the structure of Y plus that of
the residual. In particular it cannot be more regular at the origin than the structure
of Y . Note also that in this model, the linear regression of Z (v) on Y (v) does not
depend on the support v used, since from (11), its slope cov(Z (v), Y (v))/var(Y (v))
is equal to a.
Similarly, there is in general no reason for the residual of the linear regression
of Y (x) on Z (x), say R 0 (x) = Y (x) a 0 Z (x) b0 , to have no spatial correlation
with Z (x). The exception is the model where Y (x) can be split into two orthogonal
terms a 0 Z (x) + b0 and R 0 (x):

Y (x) = a 0 Z (x) + b0 + R 0 (x)

orthogonal

This corresponds to the cross structure between Z and Y being proportional to

the structure of Z (MM1, i.e. Markov model 1, in the terminology proposed by
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806 Rivoirard

Journel (1999)). In this case, the regularity of Y cannot exceed that of Z , and the
linear regression of Y on Z is independent of the support.
In the particular case where all structuresthe structures of Z and Y and
their cross-structuresare proportional (the model being both MM1 and MM2),
R is orthogonal to Y and R 0 to Z . Then both regressions, as well as the correlation
coefficient between the variables, are independent of the support.
Models with orthogonal residual, characterized by a cross-structure pro-
portional to the structure of one variable, have been used in isotropic cases
(Bordessoule, Demange, and Rivoirard, 1989). They had been popularized in the
90s under the name of Markov models (e.g. Almeida and Journel, 1994; Xu and
others, 1992) essentially for the case of an auxiliary variable densely sampled, then
distinguishing the case where the cross-structure is proportional to the structure
of the target variable Z (MM1), or to that of the auxiliary variable (MM2) (Chiles
and Delfiner, 1999; Journel, 1999).

Collocated or Dislocated Cokriging?

With an auxiliary variable densely sampled, MM1 was long thought to sup-
port strictly collocated cokriging (Almeida and Journel, 1994; Goovaerts, 1997;
Shmaryan and Journel, 1999; Xu and others, 1992), making use of the auxiliary
variable only at target point. In parallel, the method was extended to multicollo-
cated cokriging, where the auxiliary variable was used also at locations where the
target variable is known. It was shown however that cokriging was not collocated
using MM1, but that it was (multi-)collocated when all structures were proportional
(Chiles and Delfiner, 1999). Finally MM2 was shown to be the appropriate model
for collocated cokriging, that is, the model where the use of a (multi-)collocated
neighbourhood does not result in any loss of information for cokriging (Rivoirard,
2001).
The challenging question of a similarly optimal cokriging neighbourhood
for MM1 was then left unsolved. Of course, as mentioned above, cokriging is
collocated in MM1 when it is at the same time MM2, i.e. all structures being
proportional. However, true cokriging in MM1 is in general not collocated, and
can even be dislocated (making use of Y only at locations where Z is not known),
as is shown now.
Consider, in a general heterotopic configuration, MM1 with a pure nugget
residual (as used for instance to represent a variable Z (x) with measurements Y (x)
spoiled by a nugget error R 0 (x)). As it is pure nugget, knowing R 0 at a location x
provides no information to any other point when the means are known. In other
words, at a location x where Z (x) is known, knowing additionally Y (x) provides
no information to any other point. This is screened out in simple cokriging (this
can also be checked on the cokriging system), which then makes use of Y only at
locations where Z is not known.
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On the Structural Link Between Variables in Kriging With External Drift 807

So in MM1 with a nugget residual, true simple cokriging in any hetero-

topic configuration is dislocated. In this case, because of the screen effect, simple
collocated cokriging, or more exactly simple cokriging with a collocated neigh-
bourhood, would make use of Y only at target point if available (being then strictly
collocated), or would be reduced to simple kriging if not: in any case it would be
less precise than truedislocatedsimple cokriging.

Kriging the Residual and Kriging With External Drift

Let us go back to the case of MM2, when Y represents an auxiliary variable

known everywhere, and where R is spatially uncorrelated with Y . As was shown
above, Z can be estimated optimally by kriging the residual R (being equivalent
to cokriging, which is then collocated), or by using Y = f as external drift. In this
model (10), the cross-structure between Z and Y is proportional to the structure of
Y (though with a proportionality coefficient supposed unknown for kriging with
external drift), and the structure of Z is made of the structure of Y plus that of
the residual. However, only the residual structure is used in practice to solve the
kriging estimations. As R and Y are orthogonal, the sole knowledge of the structure
of Y usually the best known oneprovides no information on the structure of
the residual. Moreover, no hypothesis of stationarity of any kind is in fact required
on Y . The fact that Y need not be modelled for these estimations is attractive, but
is likely to hide the implicit hypothesis that R is spatially uncorrelated to Y .

CONCLUSION

Different linear methods are currently used to account for a densely sampled
auxiliary variable:
(simple or ordinary) kriging of the residual from the linear regression of
target variable on auxiliary variable at same point;
kriging with auxiliary variable as external drift;
cokriging.
The first two methods, kriging the residual and kriging with external drift,
only require explicitly the structure of the residual. However, as was shown above
and is also intuitively obvious, they are optimal when this residual is orthogonal to
the auxiliary variable. The target variable is then directly driven by the auxiliary
variable, which has a direct impact on it. This also corresponds to a cross-structure
between variables being proportional to that of the auxiliary variable (Markov
model 2).
On the other hand, cokriging, theoretically the best linear estimator, can ac-
count for many more various bivariate models of coregionalization. However, when
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808 Rivoirard

the auxiliary variable is densely sampled, full cokriging is generally not feasible
and has to be approximated through the choice of the neighbourhood. In particular,
only in the previous model with orthogonal residual does cokriging with collocated
neighbourhood coincide with full cokriging, but then is equivalent to kriging the
residual.
These points can be summarized in the following guidelines, depending on
the model, that is, the hypotheses, that are assumed:
assuming that the target variable is driven by the auxiliary variable (model
with orthogonal residual MM2), kriging of residual or kriging with external
drift should be preferred (simple kriging of residual when the regression is
known; ordinary kriging when only its amplitude is supposed known, not
its level; kriging with external drift when only the shape is known, not the
level nor the amplitude);
assuming another coregionalization model, cokriging should be preferred,
but with the problem of choosing a neighbourhood that approximates cor-
rectly full cokriging.

ACKNOWLEDGMENT

The author thanks the reviewers for their critical and helpful comments, no-
tably in designing guidelines.

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