Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models

DOI10.1080/07474930903382158zbMath1202.91265OpenAlexW2053073717MaRDI QIDQ3557575

Robert Kohn, Denzil G. Fiebig, Edward Cripps

Publication date: 23 April 2010

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930903382158

zbMATH Keywords

Bayesian analysisMarkov chain Monte Carlodata augmentationcovariance selectionmultinomial probit

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Statistical methods; economic indices and measures (91B82)

Related Items (1)

A Symmetric prior for multinomial probit models

Cites Work

• A Bayesian analysis of the multinomial probit model using marginal data augmentation
• A Bayesian analysis of the multinomial probit model with fully identified parameters
• Estimation of a covariance matrix using the reference prior
• Reply to Nobile
• Efficient estimation of covariance selection models
• Discrete Choice Methods with Simulation

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