Multivariate Cumulative Probit with mixed ordinal and continuous data

In principle, this seems possible. The easiest way would probably be to put predictors on the unconstrained representation of the correlation matrix (see 10.9 Correlation matrices | Stan Reference Manual) and then apply the transformation yourself. @spinkney recently shared Stan implementation of the transform at Correlation matrix with positively constrained off-diagonals - #3 by spinkney although since you would not be putting priors on the transformed matrix (but presumably rather on the predictors), you must not add the log - Jacobian correction.

However, I would expect this to work quite badly in practice. In all models where I used correlations, a huge amount of data was necessary to learn the correlations with any precision. And you would need substantially more data to be able to decompose the correlations into several terms.

I also have no intuition whether putting predictors on the canonical partial correlations is a sensible thing to do from theoretical perspective (i.e. whether you would assume the CPCs to change monotonically with your predictors).

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