## The Annals of Statistics

- Ann. Statist.
- Volume 30, Number 5 (2002), 1225-1310.

### What is a statistical model?

**Full-text: Open access**

#### 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.

#### Article information

**Source**

Ann. Statist. Volume 30, Number 5 (2002), 1225-1310.

**Dates**

First available in Project Euclid: 28 October 2002

**Permanent link to this document**

http://projecteuclid.org/euclid.aos/1035844977

**Digital Object Identifier**

doi:10.1214/aos/1035844977

**Mathematical Reviews number (MathSciNet)**

MR1936320

**Zentralblatt MATH identifier**

01916779

**Subjects**

Primary: 62AO5

Secondary: 62F99: None of the above, but in this section

**Keywords**

Aggregation agricultural field experiment Bayes inference Box-Cox model category causal inference commutative diagram conformal model contingency table embedding exchangeability extendability extensive variable fertility effect functor Gibbs model harmonic model intensive variable interference Kolmogorov consistency lattice process measure process morphism natural parameterization natural subparameter opposite category quadratic exponential model representation spatial process spline model type III model

#### Citation

McCullagh, Peter. What is a statistical model?. Ann. Statist. 30 (2002), no. 5, 1225--1310. doi:10.1214/aos/1035844977. http://projecteuclid.org/euclid.aos/1035844977.

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- recently by Chen, Lockhart and Stephens (2002). One reason for its attractiveness to me is that if one considers the more realistic semiparametric model, a(Y) = X +, (6) where a is an arbitrary monotone transformation and has a N (µ, 2) distribution then / is identifiable and estimable at the n-1/2 rate while is not identifiable. Bickel and Ritov (1997) discuss way s of estimating / and a which is also estimable at rate n-1/2 optimally and suggest approaches to algorithms in their paper. The choice (,) is of interest to me because its consideration is the appropriate response to the Hinkley-Runger critique. One needs to specify a joint confidence region for (,) making statements such as "the effect magnitude on the scale is consistent with the data." The effect of lack of knowledge of on the variance of remains interpretable. It would be more attractive if McCullagh could somehow divorce the calculus of this paper from the language of functors, morphisms and canonical diagrams for more analysis-oriented statisticians such as my self.
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Digital Object Identifier: doi: 10.2307/3316103

JSTOR: links.jstor.org - MCCULLAGH, P. (2000). Invariance and factorial models (with discussion). J. Roy. Statist. Soc. Ser. B 62 209-256. Mathematical Reviews (MathSciNet): MR2002a:62102

Digital Object Identifier: doi: 10.1111/1467-9868.00229

JSTOR: links.jstor.org - PINCUS, S. and KALMAN, R. E. (1997). Not all (possibly) "random" sequences are created equal. Proc. Nat. Acad. Sci. U.S.A. 94 3513-3518. Mathematical Reviews (MathSciNet): MR99d:68179

Zentralblatt MATH: 0873.11047

Digital Object Identifier: doi: 10.1073/pnas.94.8.3513

JSTOR: links.jstor.org - PINCUS, S. and SINGER, B. H. (1996). Randomness and degrees of irregularity. Proc. Nat. Acad. Sci. U.S.A. 93 2083-2088.Mathematical Reviews (MathSciNet): MR97g:65025

Zentralblatt MATH: 0849.60002

Digital Object Identifier: doi: 10.1073/pnas.93.5.2083

JSTOR: links.jstor.org - GUILFORD, CONNECTICUT 06437 E-MAIL: stevepincus@alum.mit.edu
- in McCullagh (1980). Suppose we are dealing with a universe where the natural models for handling of binary responses are the logistic regression models. This could be some socioeconomic research area where peoples' attitudes to various features of brands or service levels are recorded on a binary scale, and the interest lies in the dependence of these attitudes on all sorts of background variables. How do we extend this universe to deal with ordered categorical responses, for example, on three-point positive/indifferent/negative scales? A natural requirement seems to be that if data are dichotomized by the (arbitrary) selection of a cutpoint (putting, for example, negative and indifferent together in a single category), then the marginal model coming out of this is a logistic regression model. This is, after all, just a way of recording a binary response, and even though it would hurt any statistician to throw away information in this way, it is done all the time on more invisible levels. Another natural requirement is that the parameters of interest-with the constant term as an obvious exception-should not depend on how the cutpoint is selected. It is easy to show that these two requirements are met by one and only one class of models for ordered responses, namely the models that can
- and Nelder (1989). Thus, we have here the absurd situation that the potentially canonical-but unfortunately nonexisting-answer to a simple and canonical question results in a collection of very useful methods. The overdispersion models exist as perfectly respectable operational objects, but not as mathematical objects. My personal opinion [Tjur (1998)] is that the simplest way of giving these models a concrete interpretation goes via approximation by nonlinear models for normal data and a small adjustment of the usual estimation method for these models. But neither this, nor the concept of quasi-likelihood, answers the fundamental question whether there is a way of modifying the conditions (1) and (2) above in such a way that a meaningful theory of generalized linear models with overdispersion comes out as the unique answer. It is tempting to ask, in the present context, whether it is a necessity at all that these models "exist" in the usual sense. Is it so, perhaps, that after a century or two people will find this question irrelevant, just as we find old discussions about existence of the number + irrelevant? If this is the case, a new attitude to statistical models is certainly required.
- MCCULLAGH, P. (1980). Regression models for ordinal data (with discussion). J. Roy. Statist. Soc. Ser. B 42 109-142.
- MCCULLAGH, P. and NELDER, J. A. (1989). Generalized Linear Models, 2nd. ed. Chapman and Hall, London. Mathematical Reviews (MathSciNet): MR727836
- NELDER, J. A. and WEDDERBURN, R. W. M. (1972). Generalized linear models. J. Roy. Statist. Soc. Ser. A 135 370-384.
- TJUR, T. (1998). Nonlinear regression, quasi likelihood, and overdispersion in generalized linear models. Amer. Statist. 52 222-227.Mathematical Reviews (MathSciNet): MR99g:62089

Digital Object Identifier: doi: 10.2307/2685928

JSTOR: links.jstor.org - has recently been obtained by Wichura (2001). Fraser and Reid ask whether category theory can do more than provide a framework. My experience here is similar to Huber's, namely that category theory is well suited for this purpose but, as a branch of logic, that is all we can expect from it. Regarding the coefficient of variation, I agree that there are applications in which this is a useful and natural parameter or statistic, just as there are (a few) applications in which the correlation coefficient is useful. The groups used in this paper are such that the origin is either fixed or completely arbitrary. In either case there is no room for hedging. In practice, things are rarely so clear cut. In order to justify the coefficient of variation, it seems to me that the applications must be such that the scale of measurement has a reasonably well-defined origin relevant to the problem. The Cauchy model with the real fractional linear group was originally used as an example to highlight certain inferential problems. I do not believe I have encountered an application in which it would be easy to make a convincing case for the relevance of this group. Nevertheless, I think it is helpful to study such examples for the light they may shed on foundational matters. The fact that the median is not a natural subparameter is an insight that casts serious doubt on the relevance of the group in "conventional" applications. To turn the argument around, the fact that the Cauchy model is closed under real fractional linear transformation is not, in itself, an adequate reason to choose that group as the base category. In that sense, I agree with a primary thesis of Fraser's Structure of Inference that the group supersedes the probability model. Tjur's remarks capture the spirit of what I am attempting to do. In the cumulative logit model, it is clear intuitively what is meant by the statement that the parameter of interest should not depend on how the cutpoints are selected. As is often the case, what is intuitively clear is not so easy to express in mathematical terms. It does not mean that the maximum-likelihood estimate is unaffected by this choice. For that reason, although Tjur's second condition on overdispersion models has a certain appeal, I do not think it carries the same force as the first. His description of natural subparameters in regression is a model of clarity.
- given the values on the contour (Matheron, 1971). Both processes are also conformal, but the similarity ends there. The set of conformal processes is also closed under addition of independent processes. Thus, the sum of white noise and W is conformal but not Markov. Bey ond convolutions of white noise and
- W, it appears most unlikely that there exists another conformal process with Gaussian increments. Whittle's (1954) family of stationary Gaussian processes has the Markov property [Chilès and Delfiner (1999)] but the family is not closed under conformal maps nor under convolution.
- CHILÈS, J.-P. and DELFINER, P. (1999). Geostatistics. Wiley, New York.
- FEy NMAN, R. P., LEIGHTON, R. B. and SANDS, M. (1964). The Fey nman Lectures on physics. Addison-Wesley, Reading, MA. Mathematical Reviews (MathSciNet): MR213078
- FRASER, D. A. S. (1968b). The Structure of Inference. Wiley, New York.
- HELLAND, I. S. (1999a). Quantum mechanics from sy mmetry and statistical modelling. Internat. J. Theoret. Phy s. 38 1851-1881. Mathematical Reviews (MathSciNet): MR1704291

Zentralblatt MATH: 0953.81003

Digital Object Identifier: doi: 10.1023/A:1026676913271 - KINGMAN, J. F. C. (1972). On random sequences with spherical sy mmetry. Biometrika 59 492-494. Mathematical Reviews (MathSciNet): MR49:8161

Zentralblatt MATH: 0238.60025

Digital Object Identifier: doi: 10.1093/biomet/59.2.492

JSTOR: links.jstor.org - MACCULLAGH, J. (1839). An essay towards the dy namical theory of cry stalline reflexion and refraction. Trans. Roy. Irish Academy 21 17-50.
- MATHERON, G. (1971). The theory of regionalized variables and its applications. Cahiers du Centre de Morphologie Mathématique de Fontainbleu 5.
- WHITTLE, P. (1954). On stationary processes in the plane. Biometrika 41 434-449.
- WICHURA, M. (2001). Some de Finetti ty pe theorems. Preprint.
- CHICAGO, ILLINOIS 60637-1514 E-MAIL: pmcc@galton.uchicago.edu

#### See also

- Includes: Julian Besag. Comment.
- Includes: Peter J. Bickel. Comment.
- Includes: Hans Brøns. Comment.
- Includes: D. A. S. Fraser, N. Reid. Comment.
- Includes: Inge S. Helland. Comment.
- Includes: Peter J. Huber. Comment.
- Includes: Rudolf Kalman. Comment.
- Includes: Steve Pincus. Comment.
- Includes: Joe Tjur. Comment.
- Includes: Peter McCullagh. Rejoinder.

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