Fast Multivariate Probit Estimation via a Two-Stage Composite Likelihood

Fast Multivariate Probit Estimation via a Two-Stage Composite Likelihood

The multivariate probit is popular for modeling correlated binary data, with an attractive balance of flexibility and simplicity. However, considerable challenges remain in computation and in devising a clear statistical framework. Interest in the multivariate probit has increased in recent years. C...

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Veröffentlicht in:arXiv.org 2020-04
Hauptverfasser: Ting, Bryan W, Wright, Fred A, Yi-Hui, Zhou
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Sprache:eng
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Binary data
Computational efficiency
Computing time
Multivariate analysis
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description The multivariate probit is popular for modeling correlated binary data, with an attractive balance of flexibility and simplicity. However, considerable challenges remain in computation and in devising a clear statistical framework. Interest in the multivariate probit has increased in recent years. Current applications include genomics and precision medicine, where simultaneous modeling of multiple traits may be of interest, and computational efficiency is an important consideration. We propose a fast method for multivariate probit estimation via a two-stage composite likelihood. We explore computational and statistical efficiency, and note that the approach sets the stage for extensions beyond the purely binary setting.
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subjects Binary data
Computational efficiency
Computing time
Multivariate analysis
title Fast Multivariate Probit Estimation via a Two-Stage Composite Likelihood
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