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Concept
Ordinal regression
Résumé
In statistics, ordinal regression, also called ordinal classification, is a type of regression analysis used for predicting an ordinal variable, i.e. a variable whose value exists on an arbitrary scale where only the relative ordering between different values is significant. It can be considered an intermediate problem between regression and classification. Examples of ordinal regression are ordered logit and ordered probit. Ordinal regression turns up often in the social sciences, for example in the modeling of human levels of preference (on a scale from, say, 1–5 for "very poor" through "excellent"), as well as in information retrieval. In machine learning, ordinal regression may also be called ranking learning.
Ordinal regression can be performed using a generalized linear model (GLM) that fits both a coefficient vector and a set of thresholds to a dataset. Suppose one has a set of observations, represented by length-p vectors x1 through xn, with associated responses y1 through yn, where each yi is an ordinal variable on a scale 1, ..., K. For simplicity, and without loss of generality, we assume y is a non-decreasing vector, that is, yi yi+1. To this data, one fits a length-p coefficient vector w and a set of thresholds θ1, ..., θK−1 with the property that θ1 < θ2 < ... < θK−1. This set of thresholds divides the real number line into K disjoint segments, corresponding to the K response levels.
The model can now be formulated as
or, the cumulative probability of the response y being at most i is given by a function σ (the inverse link function) applied to a linear function of x. Several choices exist for σ; the logistic function
gives the ordered logit model, while using the probit function gives the ordered probit model. A third option is to use an exponential function
which gives the proportional hazards model.
The probit version of the above model can be justified by assuming the existence of a real-valued latent variable (unobserved quantity) y*, determined by
where ε is normally distributed with zero mean and unit variance, conditioned on x.
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