Fosgerau, Mogens and McFadden, Daniel and Bierlaire, Michel (2010): Choice probability generating functions.

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Abstract
This paper establishes that every random utility discrete choice model (RUM) has a representation that can be characterized by a choiceprobability generating function (CPGF) with specific properties, and that every function with these specific properties is consistent with a RUM. The choice probabilities from the RUM are obtained from the gradient of the CPGF. Mixtures of RUM are characterized by logarithmic mixtures of their associated CPGF. The paper relates CPGF to multivariate extreme value distributions, and reviews and extends methods for constructing generating functions for applications. The choice probabilities of any ARUM may be approximated by a crossnested logit model. The results for ARUM are extended to competing risk survival models.
Item Type:  MPRA Paper 

Original Title:  Choice probability generating functions 
Language:  English 
Keywords:  Discrete choice; random utility; mixture models; duration models; logit; generalised extreme value; multivariate extreme value 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C35  Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions 
Item ID:  24214 
Depositing User:  Mogens Fosgerau 
Date Deposited:  03. Aug 2010 09:59 
Last Modified:  16. Feb 2013 01:00 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/24214 