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I'm talking specifically about probability theory. I was reading some stuff about probabilistic graphical models, and they kept switching the notation in this book, but I couldn't discern the difference by context.

One possible hypothesis is that they are subtly different, e.g., $P$ is a probability measure, while $\Pr$ is an unnormalized probability measure (or something; I really have no idea).

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If there's a difference, your book should mention it. Did you look at the beginning of the book? –  Graphth May 11 '12 at 20:55
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Well, the notational difference is that one has an $r$ and the other doesn't ... –  Neal May 11 '12 at 20:59
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I would guess sloppy writing, or at best, poor choice of symbols. –  copper.hat May 11 '12 at 21:18
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@Graphth, sure did! They didn't mention the difference. –  apc May 11 '12 at 21:25
    
Which book is that? –  Did May 13 '12 at 10:01
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1 Answer 1

In general, $Pr(.)$ is used for the probability of an event whereas $p(.)$ is used as a probability measure.

That said, notation in statistics is pretty diverse (also known as a giant mess if you're a student), so always check the book you're reading.

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