Statistical Model - Formal Definition

Formal Definition

A Statistical model, is a collection of probability distribution functions or probability density functions (collectively referred to as distributions for brevity). A parametric model is a collection of distributions, each of which is indexed by a unique finite-dimensional parameter:, where is a parameter and is the feasible region of parameters, which is a subset of d-dimensional Euclidean space. A statistical model may be used to describe the set of distributions from which one assumes that a particular data set is sampled. For example, if one assumes that data arise from a univariate Gaussian distribution, then one has assumed a Gaussian model: .

A non-parametric model is a set of probability distributions with infinite dimensional parameters, and might be written as . A semi-parametric model also has infinite dimensional parameters, but is not dense in the space of distributions. For example, a mixture of Gaussians with one Gaussian at each data point is dense is the space of distributions. Formally, if d is the dimension of the parameter, and n is the number of samples, if as and as, then the model is semi-parametric.