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Generalized linear mixed model with bayesian rank likelihood

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  • Lyubov Doroshenko

    (Sapienza Università di Roma)

  • Brunero Liseo

    (Sapienza Università di Roma)

Abstract

We consider situations where a model for an ordered categorical response variable is deemed necessary. Standard models may not be suited to perform this analysis, being that the marginal probability effects to a large extent are predetermined by the rigid parametric structure. We propose to use a rank likelihood approach in a non Gaussian framework and show how additional flexibility can be gained by modeling individual heterogeneity in terms of latent structure. This approach avoids to set a specific link between the observed categories and the latent quantities and it is discussed in the broadly general case of longitudinal data. A real data example is illustrated in the context of sovereign credit ratings modeling and forecasting.

Suggested Citation

  • Lyubov Doroshenko & Brunero Liseo, 2023. "Generalized linear mixed model with bayesian rank likelihood," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(2), pages 425-446, June.
    • Handle: RePEc:spr:stmapp:v:32:y:2023:i:2:d:10.1007_s10260-022-00657-y
    DOI: 10.1007/s10260-022-00657-y
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    References listed on IDEAS

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