mvord: An R Package for Fitting Multivariate Ordinal Regression Models

Rainer Hirk, Kurt Hornik, Laura Vana Gür

Publication: Scientific journalJournal articlepeer-review

4 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)1 - 41
JournalJournal of Statistical Software
Volume93
Issue number4
DOIs
Publication statusPublished - 2020

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 102022 Software development
  • 101018 Statistics

Cite this