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Identifiability

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From Wikipedia, the free encyclopedia
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  1. Identifiability

In statistics, identifiability is a property which a model must satisfy for precise inference to be possible. A model is identifiable if it is theoretically possible to learn the true values of this model's underlying parameters after obtaining an infinite number of observations from it. Mathematically, this is equivalent to saying that different values of the parameters must generate different probability distributions of the observable variables. Usually the model is identifiable only under certain technical restrictions, in which case the set of these requirements is called the identification conditions.

For the related problem in economics, see Parameter identification problem. For the concept of identifiability in the area of system identification, see Structural identifiability.

A model that fails to be identifiable is said to be non-identifiable or unidentifiable: two or more parametrizations are observationally equivalent. In some cases, even though a model is non-identifiable, it is still possible to learn the true values of a certain subset of the model parameters. In this case we say that the model is partially identifiable. In other cases it may be possible to learn the location of the true parameter up to a certain finite region of the parameter space, in which case the model is set identifiable.

Aside from strictly theoretical exploration of the model properties, identifiability can be referred to in a wider scope when a model is tested with experimental data sets, using .

identifiability analysis
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Contents
  • (Top)
  • Definition
  • Examples
  • See also
  • References
  • Further reading
  • Recent changes
  • Rabbit hole
Contents
Contents7 sections
  • (Top)
  • Definition
  • Examples
  • Example 1
  • Example 2
  • Example 3
  • See also
  • References
  • Citations
  • Sources
  • Further reading
  • Econometrics
  • Recent changes
  • Rabbit hole
Study aids for Identifiability

Terminology

identifiable
A model is identifiable if it is theoretically possible to learn the true values of this model's underlying parameters after obtaining an infinite number of observations from it.
identification conditions
Usually the model is identifiable only under certain technical restrictions, in which case the set of these requirements is called the identification conditions.
non-identifiable
A model that fails to be identifiable is said to be non-identifiable or unidentifiable: two or more parametrizations are observationally equivalent.
unidentifiable
A model that fails to be identifiable is said to be non-identifiable or unidentifiable: two or more parametrizations are observationally equivalent.
partially identifiable
In this case we say that the model is partially identifiable.
identification condition
Thus, this is the identification condition in the model.
not
If we abandon the normality assumption and require that x* were not normally distributed, retaining only the independence condition ε ⊥ η ⊥ x*, then the model becomes identifiable.

Terms the article defines in bold, quoted in context.

Categories:
  • Estimation theory

696 words · 5 references · revision 1338962851 · CC BY-SA 4.0

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Key concepts

  • Statistical model2
  • Statistics1
  • Statistical inference1
  • Probability distribution1
  • Statistical parameter1
  • Observational equivalence1
  • Set identifiable1
  • Identifiability analysis1
  • Bijection1
  • Probability density function1

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Definition

Let be a statistical model with parameter space . We say that is identifiable if the mapping is one-to-one:2

This definition means that distinct values of θ should correspond to distinct probability distributions: if θ1≠θ2, then also Pθ1≠Pθ2.3 If the distributions are defined in terms of the probability density functions (pdfs), then two pdfs should be considered distinct only if they differ on a set of non-zero measure (for example two functions ƒ1(x) = 10 ≤ x < 1 and ƒ2(x) = 10 ≤ x ≤ 1 differ only at a single point x = 1 — a set of measure zero — and thus cannot be considered as distinct pdfs).

Identifiability of the model in the sense of invertibility of the map is equivalent to being able to learn the model's true parameter if the model can be observed indefinitely long. Indeed, if {Xt} ⊆ S is the sequence of observations from the model, then by the strong law of large numbers,

for every measurable set A ⊆ S (here 1{...} is the indicator function). Thus, with an infinite number of observations we will be able to find the true probability distribution P0 in the model, and since the identifiability condition above requires that the map be invertible, we will also be able to find the true value of the parameter which generated given distribution P0.

Examples

Example 1

Let be the normal location-scale family:

Then

This expression is equal to zero for almost all x only when all its coefficients are equal to zero, which is only possible when |σ1| = |σ2| and μ1 = μ2. Since in the scale parameter σ is restricted to be greater than zero, we conclude that the model is identifiable: ƒθ1 = ƒθ2 ⇔ θ1 = θ2.

Example 2

Let be the standard linear regression model:

(where ′ denotes matrix transpose). Then the parameter β is identifiable if and only if the matrix is invertible. Thus, this is the identification condition in the model.

Example 3

Suppose is the classical errors-in-variables linear model:

where (ε,η,x*) are jointly normal independent random variables with zero expected value and unknown variances, and only the variables (x,y) are observed. Then this model is not identifiable,4 only the product βσ²∗ is (where σ²∗ is the variance of the latent regressor x*). This is also an example of a set identifiable model: although the exact value of β cannot be learned, we can guarantee that it must lie somewhere in the interval (, 1÷), where is the coefficient in regression of on , and is the coefficient in OLS regression of on .

See also

  • System identification
  • Structural identifiability
  • Observability
  • Simultaneous equations model

References

Citations

  1. 1Raue, A.; Kreutz, C.; Maiwald, T.; Bachmann, J.; Schilling, M.; Klingmuller, U.; Timmer, J. (2009-08-01). "Structural and practical identifiability analysis of partially observed dynamical models by exploiting the profile likelihood". Bioinformatics. 25 (15): 1923–1929. doi:10.1093/bioinformatics/btp358. PMID 19505944.
  2. 2Lehmann & Casella 1998, Ch. 1, Definition 5.2
  3. 3van der Vaart 1998, p. 62
  4. 4Reiersøl 1950
  5. 5Casella & Berger 2002, p. 583

Sources

  • Casella, George; Berger, Roger L. (2002), Statistical Inference (2nd ed.), Thomson Learning, ISBN 0-534-24312-6, LCCN 2001025794

Further reading

  • Walter, É.; Pronzato, L. (1997), Identification of Parametric Models from Experimental Data, Springer

Econometrics

  • Lewbel, Arthur (2019-12-01). "The Identification Zoo: Meanings of Identification in Econometrics". Journal of Economic Literature. 57 (4). American Economic Association: 835–903. doi:10.1257/jel.20181361. ISSN 0022-0515. S2CID 125792293.
  • Matzkin, Rosa L. (2013). "Nonparametric Identification in Structural Economic Models". Annual Review of Economics. 5 (1): 457–486. doi:10.1146/annurev-economics-082912-110231.
  • Rothenberg, Thomas J. (1971). "Identification in Parametric Models". Econometrica. 39 (3): 577–591. :. . .
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If we abandon the normality assumption and require that x* were not normally distributed, retaining only the independence condition ε ⊥ η ⊥ x*, then the model becomes identifiable.4

Hsiao, Cheng (1983), Identification, Handbook of Econometrics, Vol. 1, Ch.4, North-Holland Publishing Company
  • Lehmann, E. L.; Casella, G. (1998), Theory of Point Estimation (2nd ed.), Springer, ISBN 0-387-98502-6
  • Reiersøl, Olav (1950), "Identifiability of a linear relation between variables which are subject to error", Econometrica, 18 (4): 375–389, doi:10.2307/1907835, JSTOR 1907835
  • van der Vaart, A. W. (1998), Asymptotic Statistics, Cambridge University Press, ISBN 978-0-521-49603-2
  • doi
    10.2307/1913267
    ISSN
    0012-9682
    JSTOR
    1913267
    Created
    21 May 2009
    History
    131 edits
    66 contributors
    No edits in the last 30 days
    Last edited
    18 Feb 2026

    131 revisions in total · 66 contributors

    1. 18 Feb 2026, 05:55 UTCVycl1994No edit summary+33diff
    2. 26 May 2025, 03:42 UTCOAbotmOpen access bot: url-access updated in citation with #oabot.+26diff
    3. 26 Nov 2024, 10:24 UTCCitation botAdded publisher. | Use this bot. Report bugs. | Suggested by Dominic3203 | Category:Estimation theory | #UCB_Category 24/47+32diff
    4. 19 Nov 2024, 05:18 UTCWikiCleanerBotmv2.05b - Bot T20 CW#61 - Fix errors for CW project (Reference before punctuation)0diff
    5. 11 Nov 2024, 22:13 UTCMtraitdunionmreverted§ Example 30diff
    6. 11 Dec 2023, 19:52 UTCKkuAdding local short description: "Statistical property which a model must satisfy to allow precise inference", overriding Wikidata description "statistical property"+97diff
    7. 31 Jul 2023, 11:57 UTCAnonymous contributor§ Example 1+6diff
    8. 21 Jul 2023, 10:54 UTCActivelyDisinterestedResolving :Category:Harv and Sfn no-target errors. To match date in cite, also cleared cs1 error−35diff

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