Pairwise likelihood inference for the multivariate ordered probit model

2019/01/29 by Martina Bravo, Bravo, Martina, Antonio Canale +1
Mathematics · Decision Sciences · #Advanced Statistical Methods and Models #Statistical Methods and Bayesian Inference #Advanced Statistical Process Monitoring

paper · pdf · doi:10.48550/arxiv.1901.10186

Abstract

This paper provides a closed form expression for the pairwise score vector for the multivariate ordered probit model. This result has several implications in likelihood-based inference. It is indeed used both to speed-up gradient based optimization routines for point estimation, and to provide a building block to compute standard errors and confidence intervals by means of the Godambe matrix.

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