Fast Multivariate Probit Estimation via a Two-Stage Composite Likelihood

Bryan Ting, Fred Wright and Yi-Hui Zhou ()
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Bryan Ting: North Carolina State University
Fred Wright: North Carolina State University
Yi-Hui Zhou: North Carolina State University

Statistics in Biosciences, 2022, vol. 14, issue 3, No 8, 533-549

Abstract: Abstract 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.

Keywords: Composite; Likelihood; Multivariate; Probit; Two-stage; Two-step (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s12561-022-09338-6

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