Cited by 248Statistical Methods and Bayesian InferenceProbability and Statistical ResearchStatistical Methods and Applications

What is a statistical model?

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McCullagh, Peter·2002·The Annals of Statistics

Abstract

This paper addresses two closely related questions, "What is a statistical model?" and "What is a parameter?" The notions that a model must "make sense," and that a parameter must "have a well-defined meaning" are deeply ingrained in applied statistical work, reasonably well understood at an instinctive level, but absent from most formal theories of modelling and inference. In this paper, these concepts are defined in algebraic terms, using morphisms, functors and natural transformations. It is argued that inference on the basis of a model is not possible unless the model admits a natural extension that includes the domain for which inference is required. For example, prediction requires that the domain include all future units, subjects or time points. Although it is usually not made explicit, every sensible statistical model admits such an extension. Examples are given to show why such an extension is necessary and why a formal theory is required. In the definition of a subparameter, it is shown that certain parameter functions are natural and others are not. Inference is meaningful only for natural parameters. This distinction has important consequences for the construction of prior distributions and also helps to resolve a controversy concerning the Box-Cox model.

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  • Functoriality has a role to play in the study of point cloud data, as suggested in [46].

    “We argue that, as suggested in [46], it has a role to play in the study of point cloud data as well, and we give two illustrations of how this could happen, within the context of clustering.”

    From Topology and data (2009) · cites this paper as [46]

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Research works printed but not linked: 4

  1. ANDREWS, D. F. and HERZBERG, A. (1985). Data. Springer, New York.
  2. BILLINGSLEY, P. (1986). Probability and Measure, 2nd ed. Wiley, New York.
  3. DE FINETTI, B. (1975). Theory of Probability 2. Wiley, New York.
  4. MAC LANE, S. (1998). Categories for the Working Mathematician, 2nd ed. Springer, New York.

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Authors
McCullagh, P.
Affiliations
University of Chicago (US)
Corresponding author
McCullagh, Peter
Venue
The Annals of Statistics
Published
2002-10-01
Volume
30
Issue
5
Pages
1225-1310
ISSN
  • 0090-5364 (ISSN-L)
  • 2168-8966
OpenAlex
W2049954094
Cited by
248
References
103
Citations by year
2026: 9 · 2025: 22 · 2024: 13 · 2023: 5 · 2022: 10 · 2021: 23 · 2020: 17 · 2019: 16 · 2018: 18 · 2017: 12 · 2016: 12 · 2015: 16 · 2014: 12 · 2013: 10 · 2012: 7
FWCI
5.37
Type
journal article
Language
en
Open access
Locations
  • The Annals of Statistics (publishedVersion)
  • Project Euclid (Cornell University) (submittedVersion)
  • CBS Research Portal (Copenhagen Business School) (submittedVersion)
Funders
National Science Foundation (0071726, 9705347)
Topics
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Bayesian Inference
  • Physical Sciences › Mathematics › Statistics and Probability › Probability and Statistical Research
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Applications
Keywords
statistical models, parameters, natural parameters, morphisms, functors, natural transformation, model extension, prediction, prior distributions

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