ordprobit {mprobit}R Documentation

Maximum Likelihood for Repeated Measures Multivariate Ordinal Probit Model

Description

Maximum Likelihood for Repeated Measures Multivariate Ordinal Probit: Exchangeable, AR(1) and Unstructured Correlation Matrices. Quasi-Newton minimization of negative log-likelihood is used with approximation of Joe (1995) for rectangle probabilities for AR(1) and unstructured correlation, and one-dimensional Romberg integration for exchangeable correlation.

Usage

ordprobit(x,y,id,corstr="exch",iprint=0,startpar=0)
  or
ordprobit.formula(formula,id,data,corstr="exch",iprint=0,startpar=0)
  or
ordprobit.exch(x,y,id,iprint=0,startpar=0)
ordprobit.ar(x,y,id,iprint=0,startpar=0)
ordprobit.unstr(x,y,id,iprint=0,startpar=0)

Arguments

x vector or matrix of explanatory variables. Each row corresponds to an observation and each column to a variable. The number of rows of x should equal the number of data values in y, and there should be fewer columns than rows. Missing values are not allowed.
y numeric vector containing the ordinal response. The values must be in the range 1,2,..., number of categories. Missing values are not allowed.
id group or cluster id, should be a vector of positive integers. If AR(1) correlation, records are assumed to be ordered within each cluster id. If unstructured correlation, the cluster size must be constant, and records are assumed to be ordered the same way with each cluster id (i.e., jth record within each cluster refers to a common time/condition for the repeated measurement). For AR(1) and exchangeable correlation, cluster size can vary. For the formula version, include the data structure.
formula For the formula version of ordprobit, a formula expression as for other regression models, of the form "response ~ predictors".
data For the formula version of ordprobit, the data frame which contains the variables in the formula, and the cluster id variable.
corstr For ordprobit as a front end to the other three functions, corstr="exch" means exchangeable correlation (the default); corstr="ar" means AR(1) correlation; corstr="unstr" means unstructured correlation (in which case cluster size must be a constant).
iprint logical indicator, default is FALSE, for whether the iterations for numerical maximum likelihood should be printed.
startpar initial parameter vector in the order: regression coefficients, correlation parameter(s). If not supplied, default = 0, startpar will be generated by the automatically..

Details

To get an initial version working, there are constraints: (a) For AR(1) and unstructured correlation, the maximum cluster size is 19 (although the joint probabilities get to be too small well before this limit is reached); (b) The maximum total number of parameters (regression and latent correlation parameters combined is 23). So this means a smaller upper bound on the number of predictors for the unstructured correlation.

Also the performance of the quasi-Newton algorithm gets worse as the number of parameters increase, particular with the sample size (number of clusters) is too small.

The default starting point used by the code should usually be OK. If the returned cov=estimated covariance matrix is the identity matrix, then the quasi-Newton iterations did not finish cleanly with a gradient vector that is near zero. If this case, it would be useful to use iprint=1 to print the iterations, and try different starting points in startpar to check on the sensitivity to the starting point. The SE estimates are better if the quasi-Newton iterations finish with gradient vector closer to zero.

Value

list of MLE of parameters and their associated standard errors, in the order cutpt1,...,cutpt(number of categ-1),b1,...b(number of covariates), rho(s); order of rhos is r12,r13,...,r23,...,r(d-1,d) for unstructured

negloglik value of negative log-likelihood, evaluated at MLE
cutpts MLE of ordered cutpoint parameters
beta MLE of regression parameters
rho MLE of latent correlation parameter for AR(1) and exchangeable correlation
rhomat MLE of matrix of latent correlation parameter for unstructured correlation
mle MLE of all parameters for unstructured correlation
cov estimated covariance matrix of the parameters

Author(s)

H. Joe, Statistics Department, UBC, with assistance of Laing Wei Chou

References

Anderson, J.A. and Pemberton, J.D. (1985). The grouped continuous model for multivariate ordered categorical variables and covariate adjustment. Biometrics, 41, 875-885.

Joe, H (1995). Approximations to multivariate normal rectangle probabilities based on conditional expectations, J Amer Stat Assoc, 90, 957-964.

Examples

data(ordinalex)
x=ordinalex$x
y=ordinalex$y
id=ordinalex$id

# various ways of using ordprobit are shown here
# exchangeable dependence 
ord.exch = ordprobit.exch(x,y,id)
print(ord.exch)

# AR(1) dependence 
ord.ar = ordprobit(x,y,id,corstr="ar")
print(ord.ar)

# unstructured correlation matrix
ord.unstr = ordprobit.formula(y~x,ordinalex$id,data=ordinalex,corstr="unstr")
print(ord.unstr)

[Package mprobit version 0.9-3 Index]