Abstract #302302

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JSM 2003 Abstract #302302
Activity Number: 158
Type: Invited
Date/Time: Monday, August 4, 2003 : 2:00 PM to 3:50 PM
Sponsor: ASA-SRCOS So. Regional Cmte on Stats Summer Research
Abstract - #302302
Title: Estimating the Integral of a Non-Gaussian Random Function
Author(s): Dennis D. Cox*+
Companies: Rice University
Address: Department of Statistics, MS-138, Houston, TX, 77005-1827,
Keywords: geostatistics ; kriging ; Monte Carlo integration ; importance sampling ; environmental statistics ; non-Gaussian processes
Abstract:

We consider the problem of estimating the total amount of a chemical contaminant in an aquifer given measured concentrations at several sites. The concentration is modeled as a log-normal process, so the linear Gaussian theory is not available. We resort to posterior simulation of the process and Monte Carlo estimation of the integrals. A number of problems arise and we present our best efforts at solving them, including an optimal importance sampling density and separation of Monte Carlo sampling error from the intrinsic conditional variance. The results indicate a much higher degree of uncertainty in the integral than was expected, although the point estimate was quite reasonable based on other information.

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