Rational Quadratic Kriging

Difan Song; V. Roshan Joseph

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arXiv · 2610.18077

Rational Quadratic Kriging

Difan Song·V. Roshan Joseph

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Abstract

This article proposes rational quadratic kriging, a kriging estimator that addresses the limitations of existing approaches: the mean reversion issue of ordinary kriging and the diverging variance issue of rational kriging. Through the rational quadratic kernel, we establish a connection between rational quadratic kriging and kernel regression. The connection allows us to prove desirable theoretical properties of the new estimator and further propose a novel estimation procedure that utilizes factor weights from kernel regression. We also derive expressions to enable efficient leave-one-out estimation and conformal prediction. Extensive simulations across both deterministic functions and noisy datasets show significant improvements in both prediction and uncertainty quantification. A fast implementation is available in the open-source R package RQK.

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Difan Song, V. Roshan Joseph. 2026-10-13. Rational Quadratic Kriging. https://arxiv.org/abs/2610.18077

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