Parametric model

In statistics, a parametric model or parametric family or finite-dimensional model is a particular class of statistical models. Specifically, a parametric model is a family of probability distributions that has a finite number of parameters.

Definition

A statistical model is a collection of probability distributions on some sample space. We assume that the collection, , is indexed by some set Θ. The set Θ is called the parameter set or, more commonly, the parameter space. For each θ ∈ Θ, let Fθ denote the corresponding member of the collection; so Fθ is a cumulative distribution function. Then a statistical model can be written as

The model is a parametric model if Θ ⊆ ℝk for some positive integer k.

When the model consists of absolutely continuous distributions, it is often specified in terms of corresponding probability density functions.

Examples

where pλ is the probability mass function. This family is an exponential family.

This parametrized family is both an exponential family and a location-scale family.

where is the shape parameter, is the scale parameter and is the location parameter.

This example illustrates the definition for a model with some discrete parameters.

General remarks

A parametric model is called identifiable if the mapping θ ↦ Pθ is invertible, i.e. there are no two different parameter values θ1 and θ2 such that Pθ1 = Pθ2.

Comparisons with other classes of models

Parametric models are contrasted with the semi-parametric, semi-nonparametric, and non-parametric models, all of which consist of an infinite set of "parameters" for description. The distinction between these four classes is as follows:[citation needed]

Some statisticians believe that the concepts "parametric", "non-parametric", and "semi-parametric" are ambiguous. It can also be noted that the set of all probability measures has a cardinality of the continuum, and therefore it is possible to parametrize any model at all by a single number in the (0,1) interval. This difficulty can be avoided by considering only "smooth" parametric models.

See also

Notes

Bibliography