Dynamic paired comparison models with stochastic variances

In paired comparison experiments, the worth or merit of a unit is measured through comparisons against other units. When paired comparison outcomes are collected over time and the merits of the units may be changing, it is often convenient to assume the data follow a non-linear state-space model. Typical paired comparison state-space models that assume a ® xed (unknown) autoregressive variance do not account for the possibility of sudden changes in the merits. This is a particular concern, for example, in modeling cognitive ability in human development; cognitive ability not only changes over time, but also can change abruptly. We explore a particular extension of conventional state-space models for paired comparison data that allows the state variance to vary stochastically. Models of this type have recently been developed and applied to modeling ® nancial data, but can be seen to have applicability in modeling paired comparison data. A ® ltering algorithm is also derived that can be used in place of likelihood-based computations when the number of objects being compared is large. Applications to National Football League game outcomes and chess game outcomes are presented.