Probabilistic Models

Describing Probabilistic Models

  • A deterministic model is a model that returns the same outcome when given a consistent input
  • A probabilistic model is a model that returns different outcomes when given a consistent input
  • Sometimes, a probabilistic model is preferred over a deterministic model, because it includes an element of randomness (or uncertainty) that occurs in the real world
  • Deterministic and probabilistic models are commonly used to estimate parameters and calculate probabilities
  • Frequentist inference relies on using deterministic models for parameter estimation and probability calculations
  • Bayesian inference relies on using probabilistic models for parameter estimation and probabilitiy calculations

Motivating Probabilistic Methods

  • Although we like to think that probabilities are generated by a single deterministic function in principle, it is sometimes more accurate to think that probabilties are generated from a probabilistic function
  • For example, our deterministic probability function may not use the most accurate fixed parameters (i.e. mean and variance), which leads to inaccurate probability estimates
  • This can especially happen when our sample size is small
  • In this case, our parameter estimates will most likely always lead to poor probability calculations, since our methods for parameter estimation are deterministic (i.e. MLE)
  • Since a level of randomness is included in probabilistic methods of parameter estimation, our parameter estimates have a higher chance of being more accurate compared to using deterministic methods

Deterministic Methods of Estimation

  • Maximum likelihood estimation (MLE) is an example of a deterministic method used for parameter estimation
  • A probability density function (pdf) is an example of a deterministic method used for calculating probabilities
  • Most deterministic models (such as pdfs) return the same solution when its input is fixed, because its parameters are fixed
  • Therefore, including fixed parameters is typically characteristic of deterministic methods

Probabilistic Methods of Estimation

  • MCMC is an example of a probabilistic method used for parameter estimation
  • Monte Carlo is an example of a probabilistic method used for calculating probabilities
  • The Monte Carlo method is one of the most popular probabilistic methods of estimation
  • Most probabilistic models (such as MCMC) return different solutions when its input is fixed, because its parameters are unfixed
  • Therefore, including unfixed parameters is typically characteristic of probabilistic methods

References

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Stochastic Processes

Monte Carlo Simulation