I believe it's technically only 3, maybe Shattered Memories but I've never played it and frankly don't care too.
SH2 has a Born from a Wish segment which is about the main female protagonist of 2 who you play as. It's more of a side story you can play after you beat 2.
Speaking of, 1-3 are probably the only games worth their salt. PT could've been great potentially but we will never know, so it's a dud. Really though, whatever they set to do with the series is completed within the first 3 games. Everything has a subtle hand within each game to make a perfect trilogy. People see 2 as somehow a separate entity on it's own but everything that happens in 1 can explain the events of 2. They're all good games, easily emulated and I'd recommend to play them in succession to one another but 3 can be played stand alone if you only want to play a girl protag.