Pairwise likelihood inference for ordinal categorical time series

Authors:
Cristiano Varin;Paolo Vidoni
Affiliations:
Department of Statistics, University of Padova, via Cesare Battisti 241/243, I-35121 Padova, Italy;Department of Statistics, University of Udine, Italy
Venue:
Computational Statistics & Data Analysis
Year:
2006

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Abstract

Ordinal categorical time series may be analyzed as censored observations from a suitable latent stochastic process, which describes the underlying evolution of the system. This approach may be considered as an alternative to Markov chain models or to regression methods for categorical time series data. The problem of parameter estimation is solved through a simple pseudolikelihood, called pairwise likelihood. This inferential methodology is successfully applied to the class of autoregressive ordered probit models. Potential usefulness for inference and model selection within more general classes of models are also emphasized. Illustrations include simulation studies and two simple real data applications.