Bayesian nonparametric estimation and consistency of mixed multinomial logit choice models

DOI10.3150/09-BEJ233MaRDI QIDQ637076zbMATH OpenFDO

Authors Pierpaolo De Blasi, Lancelot F. James, John W. Lau

Publication date 2 September 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.5008

zbMATH Keywords

Bayesian consistencyblocked Gibbs samplerdiscrete choice modelsrandom probability measuresstick-breaking priors

Mathematics Subject Classification ID

Random measures (60G57) Bayesian inference (62F15) Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12) Social choice (91B14) Utility theory (91B16)

Abstract: This paper develops nonparametric estimation for discrete choice models based on the mixed multinomial logit (MMNL) model. It has been shown that MMNL models encompass all discrete choice models derived under the assumption of random utility maximization, subject to the identification of an unknown distribution $G$. Noting the mixture model description of the MMNL, we employ a Bayesian nonparametric approach, using nonparametric priors on the unknown mixing distribution $G$, to estimate choice probabilities. We provide an important theoretical support for the use of the proposed methodology by investigating consistency of the posterior distribution for a general nonparametric prior on the mixing distribution. Consistency is defined according to an $L_1$-type distance on the space of choice probabilities and is achieved by extending to a regression model framework a recent approach to strong consistency based on the summability of square roots of prior probabilities. Moving to estimation, slightly different techniques for non-panel and panel data models are discussed. For practical implementation, we describe efficient and relatively easy-to-use blocked Gibbs sampling procedures. These procedures are based on approximations of the random probability measure by classes of finite stick-breaking processes. A simulation study is also performed to investigate the performance of the proposed methods.

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Cited in

(14)

• A Bayesian nonparametric approach to modeling market share dynamics
• Continuous approximations of discrete choice models using point process theory
• On the topological support of species sampling priors
• A Bayesian mixed logit-probit model for multinomial choice
• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Semiparametric Bayesian estimation of random coefficients discrete choice models
• Bayesian inference and model selection in latent class logit models with parameter constraints: An application to market segmentation
• Bayesian nonparametric mixed random utility models
• Non-linear mixed logit
• Technical note -- Dynamic data-driven estimation of nonparametric choice models
• Asymptotic efficient semiparametric empirical Bayes estimation of multinomial responses
• Nonparametric Bayesian modelling of monotone preferences for discrete choice experiments
• Nonparametric estimation of the distribution function in contingent valuation models
• Multinomial Logit Processes and Preference Discovery: Inside and Outside the Black Box

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