A skewed multinomial probit model with alternative-specific skewness parameters, an identified covariance reparameterization, and a Bayesian MCMC sampler improves prediction when choice responses are asymmetric and matches the standard model when they are symmetric.
Here, the proposal density ๐( ฬ๐ฟ1) is constructed via a Laplace approximation to the condi- tional posterior of ฬ๐ฟ1
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A Multinomial Probit Model for Asymmetric Choice Responses
A skewed multinomial probit model with alternative-specific skewness parameters, an identified covariance reparameterization, and a Bayesian MCMC sampler improves prediction when choice responses are asymmetric and matches the standard model when they are symmetric.