[R-sig-ME] ordered multinomial mixed model

Thomas Mang thomasmang.ng at googlemail.com
Fri May 27 17:03:31 CEST 2011


Consider the need for a mixed-effects model with an ordered multinomial 
response variable. To the best of my knowledge, lme4 would not provide 
such a thing.

However, I was wondering if such a model can be built using a 
generalized mixed model with Bernoulli response variables. Here is my 
thinking, with the question if this is possible as outlined below:

Code the possible response level factors in a binary fashion. For 
example, let's assume that there are three levels, denote them "a", "b" 
and "c" (in that order), and let the binary representation be:
a = 0
b = 10
c = 11

The idea is that the 0 / 1s represent individual Bernoulli random 
variables which describe if one advances one item up in the ordered 
response levels list (1) or stops traversing (0). So the first draw 
tells whether the response variable is "a" (X = 0) or it is greater than 
"a" (X = 1); conditional on the response is greater than "a", a second 
Bernoulli random draw tells if the response is "b" (Y = 0), or greater 
than "b" (where only "c" is left if Y = 1).

Now translate that into probabilities:

Let the probability of the response random variable, denoted as Z, being 
"a" be written as:
P(Z == a) = p_A.
and the complementary probability that Z is greater than "a" is, of course,
P(Z > a) = 1 - p_A.

Similar to the binary coding above, the probability for Z == b or  Z == 
c can be written using a conditional random variable:
P(Z == b) = P(Z == b | Z > a) * P (Z > a) = p_B * (1 - p_A).
P(Z == c) = P(Z == c | Z > a) * P(Z > a) = (1 - p_B) * (1 - p_A).

Hence I have just written down the probabilities for each of the three 
ordered factor levels using (conditional and unconditional) Bernoulli 
random variables.
Of course, each of these probabilities can also be expressed conditional 
on covariates, giving rise to a regression model.

I am now wondering if above multinomial model can be realized as mixed 
model by appropriately preparing the input table: For a single response 
measure, the contribution to the likelihood has above been written down 
as one ('a') or product of two ("b", "c") Bernoulli probabilities. Using 
a Binomial regression model I should be able to yield these 
probabilities exactly by using one input table row if the response value 
is "a" and by coding a 0 in the response vector, while I can use two 
input table rows if the response is "b" / "c" where in the first row the 
response value coded as 1 (as in my binary coding above), and in the 
second row it is coded as 0 if the response measure is "b", and as 1 

Now to the covariates: Assuming within above framework the effect of 
covariates is identical across all factor levels, I would simply 
duplicate the covariates row if the response is "b" / "c". 
Conceptionally this would be somewhat similar to a proportional odds 
model, though the maths behind it is of course deviating. But consider 
the case where I believe that covariates do not impose the same effect 
across all factor levels. Then I could, globally, introduce an 
interaction between a binary factor and a continuous covariate, where in 
the case of evaluating a row checking for "a" as response the factor 
takes on one level, and in a row checking for "b" / "c" it takes on the 
other level. That would fit de facto two regression coefficients for my 
continuous covariate, depending on which Bernoulli random variable I am 

Finally, at the end degrees of freedom must be adjusted, as every 
response measure should provide only one, independent if it had been set 
up using one or two input table rows.

My question:
Is above thinking correct throughout? Is this maybe already an 
established and accepted approach to simulate an ordered multinomial 
regression model (independent of glm, glmm etc?)
It should work smoothly for glm-s. Is there any obstacle using above 
approach when fitting a mixed-effects model? E.g. would a REML fitting 
somehow blow up my thinking ? If it does, would it screw up things 
totally, or just provide a not-totally-correct but maybe acceptable 
approximation ?

In short, can I use above steps to get my needed ordered multinomial 
mixed-effects model, or do I overlook something ?

many thanks for any input and apologize the long text,

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