Multinomial Link Models

We propose a unified multinomial link model for analyzing categorical responses. It not only covers the existing multinomial logistic models and their extensions as special cases, but also includes new models that can incorporate the observations with NA or Unknown responses in the data analysis. We provide explicit formulae and detailed algorithms for finding the maximum likelihood estimates of the model parameters and computing the Fisher information matrix. Our algorithms solve the infeasibility issue of existing statistical software on estimating parameters of cumulative link models. The applications to real datasets show that the new models can fit the data significantly better, and the corresponding data analysis may correct the misleading conclusions due to missing responses.