Parsimonious estimation of the covariance matrix in multinomial probit models

DOI10.1080/07474930903382158MaRDI QIDQ3557575zbMATH OpenOpenAlexFDO

Authors Denzil G. Fiebig, Robert Kohn, Ed 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 analysiscovariance selectiondata augmentationMarkov chain Monte Carlomultinomial probit

Mathematics Subject Classification ID

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

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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
• Discrete Choice Methods with Simulation
• Efficient estimation of covariance selection models
• Estimation of a covariance matrix using the reference prior
• Reply to Nobile

Cited in

(10)

• Bayesian analysis of multivariate nominal measures using multivariate multinomial probit models
• A Bayesian analysis of the multinomial probit model with fully identified parameters
• Bayes estimation in the hierarchical multinomial probit model
• Note—Derivation of Covariance Probit Elasticities
• scientific article; zbMATH DE number 1943896 (Why is no real title available?)
• Multinomial probit estimation without nuisance parameters
• On the Multivariate Probit Model for Exchangeable Binary Data with Covariates
• scientific article; zbMATH DE number 5584527 (Why is no real title available?)
• A Symmetric prior for multinomial probit models
• Scalable Bayesian Estimation in the Multinomial Probit Model

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