Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Rainer Hirk, Kurt Hornik, Laura Vana
Title: mvord: An R Package for Fitting Multivariate Ordinal Regression Models
Abstract: The R package mvord implements composite likelihood estimation in the class of multivariate ordinal regression models with a multivariate probit and a multivariate logit link. A flexible modeling framework for multiple ordinal measurements on the same subject is set up, which takes into consideration the dependence among the multiple observations by employing different error structures. Heterogeneity in the error structure across the subjects can be accounted for by the package, which allows for covariate dependent error structures. In addition, different regression coefficients and threshold parameters for each response are supported. If a reduction of the parameter space is desired, constraints on the threshold as well as on the regression coefficients can be specified by the user. The proposed multivariate framework is illustrated by means of a credit risk application.

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Paper: mvord: An R Package for Fitting Multivariate Ordinal Regression Models     Download PDF (Downloads: 863)
Supplements:
mvord_1.0.0.tar.gz: R source package Download (Downloads: 50; 3MB)
v93i04.R: R replication code Download (Downloads: 89; 8KB)

DOI: 10.18637/jss.v093.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.