Abstract
The ordinal probit, univariate or multivariate, is a generalized linear model (GLM) structure that arises frequently in such disparate areas of statistical applications as medicine and econometrics. Despite the straightforwardness of its implementation using the Gibbs sampler, the ordinal probit may present challenges in obtaining satisfactory convergence.
We present a multivariate Hastings-within-Gibbs update step for generating latent data and bin boundary parameters jointly, instead of individually from their respective full conditionals. When the latent data are parameters of interest, this algorithm substantially improves Gibbs sampler convergence for large datasets. We also discuss Monte Carlo Markov chain (MCMC) implementation of cumulative logit (proportional odds) and cumulative complementary log-log (proportional hazards) models with latent data.
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Cowles, M.K. Accelerating Monte Carlo Markov chain convergence for cumulative-link generalized linear models. Stat Comput 6, 101–111 (1996). https://doi.org/10.1007/BF00162520
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DOI: https://doi.org/10.1007/BF00162520