Maximum Penalized Likelihood Estimation of the Skew–<i>t</i> Link Model for Binomial Response Data

Abstract

A critical aspect of modeling binomial response data is selecting an appropriate link function, as an improper choice can significantly affect model precision. This paper introduces the skew–t link model, an extension of the skew–probit model, offering increased flexibility by incorporating both asymmetry and heavy tails, making it suitable for asymmetric and complex data structures. A penalized likelihood-based estimation method is proposed to stabilize parameter estimation, particularly for the asymmetry parameter. Extensive simulation studies demonstrate the model’s superior performance in terms of lower bias, root mean squared error (RMSE), and robustness compared to traditional symmetric models like probit and logit. Furthermore, the model is applied to two real-world datasets: one concerning women’s labor participation and another related to cardiovascular disease outcomes, both showing superior fitting capabilities compared to more traditional models (with probit and the skew–probit links). These findings highlight the model’s applicability to socioeconomic and medical research, characterized by skew and asymmetric data. Moreover, the proposed model could be applied in various domains where data exhibit asymmetry and complex structures.

Keywords

• binomial response data
• skew–probit link model
• model flexibility
• penalized likelihood