Probabilistic index models

Abstract

We present a semiparametric statistical model for the probabilistic index which can be defined as P(YY *), where Y and Y * are independent random response variables associated with covariate patterns X and X * respectively. A link function defines the relationship between the probabilistic index and a linear predictor. Asymptotic normality of the estimators and consistency of the covariance matrix estimator are established through semiparametric theory. The model is illustrated with several examples, and the estimation theory is validated in a simulation study. © 2012 Royal Statistical Society.