In this paper we build a joint model which can accommodate for binary, ordinal and continuous responses, by assuming that the errors of the continuous variables and the errors underlying the ordinal and binary outcomes follow a multivariate normal distribution. We employ composite likelihood methods to estimate the model parameters and use composite likelihood inference for model comparison and uncertainty quantification. The complimentary R package mvordnorm implements estimation of this model using composite likelihood methods and is available for download from Github. We present two use-cases in the area of risk management to illustrate our approach.

翻译：本文构建了一个能够同时处理二值、序数与连续响应变量的联合模型，其基本假设是：连续变量的误差项以及支撑序数与二值结果的潜变量误差项服从多元正态分布。我们采用复合似然方法进行模型参数估计，并运用复合似然推断进行模型比较与不确定性量化。配套的R软件包mvordnorm基于复合似然方法实现了该模型的估计功能，可通过Github平台下载获取。我们通过风险管理领域的两个应用案例来展示该方法的具体实践。