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Parametric model

Parametric model

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In statistics
Statistics
Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....

, a parametric model or parametric family or finite-dimensional model is a family of distribution
Probability distribution
In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....

s that can be described using a finite number of parameter
Parameter
Parameter from Ancient Greek παρά also “para” meaning “beside, subsidiary” and μέτρον also “metron” meaning “measure”, can be interpreted in mathematics, logic, linguistics, environmental science and other disciplines....

s. These parameters are usually collected together to form a single k-dimensional parameter vector θ = (θ1, θ2, …, θk).

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:
  • in a “parametric” model all the parameters are in finite-dimensional parameter spaces;
  • a model is “nonparametric” if all the parameters are in infinite-dimensional parameter spaces;
  • a “semi-parametric” model contains finite-dimensional parameters of interest and infinite-dimensional nuisance parameters;
  • a “semi-nonparametric” model has both finite-dimensional and infinite-dimensional unknown parameters of interest.


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 cardinality of continuum, and therefore it is possible to parametrize any model at all by a single number in (0,1) interval. This difficulty can be avoided by considering only “smooth” parametric models.

Definition


A parametric model is a collection of probability distribution
Probability distribution
In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....

s such that each member of this collection, Pθ, is described by a finite-dimensional parameter θ. The set of all allowable values for the parameter is denoted Θ ⊆ Rk, and the model itself is written as

When the model consists of absolutely continuous distributions, it is often specified in terms of corresponding probability density function
Probability density function
In probability theory, a probability density function , or density of a continuous random variable is a function that describes the relative likelihood for this random variable to occur at a given point. The probability for the random variable to fall within a particular region is given by the...

s:

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

Examples



  • The Poisson family
    Poisson distribution
    In probability theory and statistics, the Poisson distribution is a discrete probability distribution that expresses the probability of a given number of events occurring in a fixed interval of time and/or space if these events occur with a known average rate and independently of the time since...

     of distributions is parametrized by a single number λ > 0:

    where pλ is the probability mass function
    Probability mass function
    In probability theory and statistics, a probability mass function is a function that gives the probability that a discrete random variable is exactly equal to some value...

    . This family is an exponential family
    Exponential family
    In probability and statistics, an exponential family is an important class of probability distributions sharing a certain form, specified below. This special form is chosen for mathematical convenience, on account of some useful algebraic properties, as well as for generality, as exponential...

    .

  • The normal family is parametrized by θ = (μ,σ), where μ ∈ R is a location parameter, and σ > 0 is a scale parameter. This parametrized family is both an exponential family
    Exponential family
    In probability and statistics, an exponential family is an important class of probability distributions sharing a certain form, specified below. This special form is chosen for mathematical convenience, on account of some useful algebraic properties, as well as for generality, as exponential...

     and a location-scale family
    Location-scale family
    In probability theory, especially as that field is used in statistics, a location-scale family is a family of univariate probability distributions parametrized by a location parameter and a non-negative scale parameter; if X is any random variable whose probability distribution belongs to such a...

    :


  • The Weibull translation model has three parameters θ = (λ, β, μ):

    This model is not regular (see definition below) unless we restrict β to lie in the interval (2, +∞).

Regular parametric model


Let μ be a fixed σ-finite measure on a probability space
Probability space
In probability theory, a probability space or a probability triple is a mathematical construct that models a real-world process consisting of states that occur randomly. A probability space is constructed with a specific kind of situation or experiment in mind...

 (Ω, ℱ), and the collection of all probability measures dominated by μ. Then we will call  \mathcal{P}\!=\!\{ P_\theta|\, \theta\in\Theta \} \subseteq \mathcal{M}_\mu  a regular parametric model if the following requirements are met:

  1. Θ is an open subset
    Open set
    The concept of an open set is fundamental to many areas of mathematics, especially point-set topology and metric topology. Intuitively speaking, a set U is open if any point x in U can be "moved" a small amount in any direction and still be in the set U...

     of Rk.
  2. The map

    from Θ to L2(μ) is Fréchet differentiable
    Fréchet derivative
    In mathematics, the Fréchet derivative is a derivative defined on Banach spaces. Named after Maurice Fréchet, it is commonly used to formalize the concept of the functional derivative used widely in the calculus of variations. Intuitively, it generalizes the idea of linear approximation from...

    : there exists a vector \dot{s}(\theta) = (\dot{s}_1(\theta),\,\ldots,\,\dot{s}_k(\theta)) such that

    where ′ denotes matrix transpose
    Transpose
    In linear algebra, the transpose of a matrix A is another matrix AT created by any one of the following equivalent actions:...

    .
  3. The map \theta\mapsto\dot{s}(\theta) (defined above) is continuous
    Continuous function
    In mathematics, a continuous function is a function for which, intuitively, "small" changes in the input result in "small" changes in the output. Otherwise, a function is said to be "discontinuous". A continuous function with a continuous inverse function is called "bicontinuous".Continuity of...

     on Θ.
  4. The k×k Fisher information matrix

    is non-singular.

Properties



  • Sufficient conditions for regularity of a parametric model in terms of ordinary differentiability of the density function ƒθ are following:

    1. The density function ƒθ(x) is continuously differentiable in θ for μ-almost all x, with gradient ∇ƒθ.
    2. The score function

      belongs to the space L²(Pθ) of square-integrable functions with respect to the measure Pθ.
    3. The Fisher information matrix I(θ), defined as

      is nonsingular and continuous in θ.

    If conditions (i)−(iii) hold then the parametric model is regular.

  • Local asymptotic normality
    Local asymptotic normality
    In statistics, local asymptotic normality is a property of a sequence of statistical models, which allows this sequence to be asymptotically approximated by a normal location model, after a rescaling of the parameter...

    .

  • If the regular parametric model is identifiable then there exists a uniformly -consistent and efficient estimator of its parameter θ.

See also

  • Statistical model
    Statistical model
    A statistical model is a formalization of relationships between variables in the form of mathematical equations. A statistical model describes how one or more random variables are related to one or more random variables. The model is statistical as the variables are not deterministically but...

  • Parametric family
    Parametric family
    In mathematics and its applications, a parametric family or a parameterized family is a family of objects whose definitions depend on a set of parameters....

  • Parametrization
    Parametrization
    Parametrization is the process of deciding and defining the parameters necessary for a complete or relevant specification of a model or geometric object....

     (i.e., coordinate system
    Coordinate system
    In geometry, a coordinate system is a system which uses one or more numbers, or coordinates, to uniquely determine the position of a point or other geometric element. The order of the coordinates is significant and they are sometimes identified by their position in an ordered tuple and sometimes by...

    )
  • Parsimony (with regards to the trade-off of many or few parameters in data fitting)