Bayesian nonparametric estimation and consistency of mixed multinomial logit choice models

DOI10.3150/09-BEJ233zbMATH Open1220.62036arXiv1102.5008MaRDI QIDQ637076FDOQ637076

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

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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zbMATH Keywords

discrete choice modelsblocked Gibbs samplerstick-breaking priorsrandom probability measuresBayesian consistency

Mathematics Subject Classification ID

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) Random measures (60G57)

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Cited In (7)

• Semiparametric Bayesian estimation of random coefficients discrete choice models
• On the topological support of species sampling priors
• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Bayesian inference and model selection in latent class logit models with parameter constraints: An application to market segmentation
• A Bayesian nonparametric approach to modeling market share dynamics
• Multinomial Logit Processes and Preference Discovery: Inside and Outside the Black Box
• Asymptotic efficient semiparametric empirical bayes estimation of multinomial responses

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