4.

6 Multiple Responses
Motivating example:

In a pharmaceutical trial, a drug is designed with a particular target effect in mind but invariably there are side-effects of varying duration and severity. The target response and supplementary responses are summarized in the following table: Target effect Complete cure Partial cure No improvement Side-effect Severity None Mild Moderate severe Duration Temporary Permanent

The following lines of inquiry would often be considered worth pursuing: z Model construction for the dependence of each response marginally on covariates x. z Model construction for the joint distribution of all responses. z Model construction for the joint dependence of all response variables on covariates x.

(a)
I.

Joint Dependence of Response Variables

Independence and conditional independence

Suppose we have 3 responses, A, B, and C. For example, in the previous section, A is the target effect, B is the severity of side-effects and C is the duration of side effects. Then, mutual independence of the 3 responses A, B, and C corresponds to the log-linear model

log

( ) =
ijk

+ k,

i = 1, 2 ,3 ; j = 1, 2 ,3 , 4 ; k = 1, 2 .
1

The model,

log ( ijk ) = ( )ij + k , log ( ijk ) = ( )ij + (

corresponds to C being independent of A, B, jointly. The model,

) jk ,

corresponds to the independence of A and C conditionally on B. II. Canonical correlation models

For a model with two responses A and B with k A and k B levels, respectively, there are k A + k B 1 parameters for the additive terms

i + j and k A k B parameters for the interaction terms

( )ij . For example, in the pharmaceutical example, suppose there

are only two responses, target effect and severity (side-effect). Then, there are 3+4-1=6 parameters for for

i + j and 34=12 parameters

( )ij . It is natural to explore the intermediate ground where

and t1 , t 2 , K , t k B are

the nature of the interaction is described by a small number of parameters. If the scores s1 , s 2 , K , s k A

available for the response categories of A and B, respectively, then for

i = 1,2, K , k A ; j = 1,2, K , k B , the following models can be used,

log ( ij ) = i + j + r (s i t j ) log ( ij ) = i + j + ri t j

log ( ij ) = i + j + ri t j + j s i
In the absence of score, we may entertain the single-root canonical covariance model
2

log ( ij ) = i + j + i j ,
where

= ( 1 , 2 , K , k

and
kA

= ( 1 , 2 , K , k
kB i j

are

unknown unit vectors satisfying unknown.

=
i =1 j =1

= 0 and 0 is

Note:
The above model is not of the log-linear type.

Note:
The likelihood equation for

0 satisfies

i =1 j =1 i

kA

kB

i j ij y ij =
i =1 j =1

kA

kB

Note:
The likelihood ratio statistic for testing independence H 0 : = 0 against the above model does not have an asymptotic

distribution. The correct asymptotic distribution is the distribution of the largest root of a certain Wishart matrix.