Nonparametric inference

Nonparametric statistics are statistics not based on parameterized families of probability distributions. They include both descriptive and inferential statistics. The typical parameters are the mean, variance, etc. Unlike parametric statistics, nonparametric statistics make no assumptions about the probability distributions of the variables being assessed. The difference between parametric models and non-parametric models is that the former has a fixed number of parameters, while the latter grows the number of parameters with the amount of training data. Note that the non-parametric model does, counterintuitively, contain parameters: the distinction is that parameters are determined by the training data in the case of non-parametric statistics, not the model.

In statistics, the term "non-parametric statistics" has at least two different meanings:

The following discussion is taken from Kendall's.

Statistical hypotheses concern the behavior of observable random variables.... For example, the hypothesis (a) that a normal distribution has a specified mean and variance is statistical; so is the hypothesis (b) that it has a given mean but unspecified variance; so is the hypothesis (c) that a distribution is of normal form with both mean and variance unspecified; finally, so is the hypothesis (d) that two unspecified continuous distributions are identical.

It will have been noticed that in the examples (a) and (b) the distribution underlying the observations was taken to be of a certain form (the normal) and the hypothesis was concerned entirely with the value of one or both of its parameters. Such a hypothesis, for obvious reasons, is called parametric.

Hypothesis (c) was of a different nature, as no parameter values are specified in the statement of the hypothesis; we might reasonably call such a hypothesis non-parametric. Hypothesis (d) is also non-parametric but, in addition, it does not even specify the underlying form of the distribution and may now be reasonably termed distribution-free. Notwithstanding these distinctions, the statistical literature now commonly applies the label "non-parametric" to test procedures that we have just termed "distribution-free", thereby losing a useful classification.

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