| 多项Probit模型参数的极大似然估计 |
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| 引用本文： | 赵江涛,徐兴忠.多项Probit模型参数的极大似然估计[J].应用数学,2004(Z2). |
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| 作者姓名： | 赵江涛 徐兴忠 |
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| 作者单位： | 北京理工大学理学院数学系 北京100081
(赵江涛)，北京理工大学理学院数学系 北京100081(徐兴忠) |
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| 基金项目： | 国家自然科学基金资助项目(10271013) |
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| 摘 要： | 本文考虑多项probit模型中参数的极大似然估计(MLE)的存在性.在协方差阵已知和均匀结构两种情况下,给出MLE存在的充要条件.
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| 关 键 词： | 多项Probit模型 极大似然估计 Overlap |
Maximum Likelihood Estimates of Parameters in Multinomial Probit Model |
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| ZHAO Jiang tao,XU Xing zhong.Maximum Likelihood Estimates of Parameters in Multinomial Probit Model[J].Mathematica Applicata,2004(Z2). |
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| Authors: | ZHAO Jiang tao XU Xing zhong |
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| Abstract: | The multinomial probit (MNP) model has been widely used in biometrics,econometrics and transportation modeling.This model can accommodate arbitrarily complicated relationships among the probabilities of the vairous categories quite naturally.However,despite potential broad applications,its usage has been limited by the compulational burden associated with estimating the parameters.This paper mainly examines necessary and sufficient conditions for the existence of Maximum Likelihood Estimation (MLE) for MNP model.Albert and Anderson (1981) gave separation and overlap conditions for the existence of the MLE in logistic models.We generalize their conditions to MNP model,giving necessary and sufficient conditions for the existence of a finite MLE when covariance matrix is known or it has a special structure uniform structure. |
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| Keywords: | Multinomial probit (MNP) model Maximum likelihood estimation Overlap |
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