Abstract
AbstractWe 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.
Funder
Sapienza Università di Roma
Università degli Studi di Roma La Sapienza
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
1 articles.
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