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Extreme values, invariance and choice probabilities
KTH, School of Architecture and the Built Environment (ABE), Centres, Centre for Transport Studies, CTS. KTH, School of Architecture and the Built Environment (ABE), Transport Science, Transport and Location Analysis.ORCID iD: 0000-0001-9507-9185
KTH, School of Architecture and the Built Environment (ABE), Transport Science, Transport and Location Analysis.
2011 (English)Report (Other academic)
Abstract [en]

Since the pioneering work of McFadden (1974), discretechoice random-utility models have become work horses in many areas in economics.In these models, the random variables enter additively or multiplicatively, and the noise distributions take a particular parametric form. We show that the same qualitative results, with closed-form choice probabilities, can be obtained for a wide class of distributions without such specifications. This class generalizes the statistically independent distributions where any two c.d.f.:s are powers of each others to a class that allows for statistical dependence, in a way analogous to how GEV distributions generalize Gumbel distributions. We show that this generalization is sufficient, and under statistical independence also necessary, for the following invariance property: all conditional random variables, when conditioning upon a certain alternative having been chosen, are identically distributed. In our general framework, proofs become simpler, more direct and transparent, well-known results are obtained as special cases, and one can characterize the Gumbel, Fréchet and Weibull distributions.

Place, publisher, year, edition, pages
2011.
National Category
Transport Systems and Logistics Economics
Identifiers
URN: urn:nbn:se:kth:diva-95383OAI: oai:DiVA.org:kth-95383DiVA: diva2:528028
Funder
TrenOp, Transport Research Environment with Novel Perspectives
Note
QC 20120523Available from: 2012-05-23 Created: 2012-05-23 Last updated: 2012-06-12Bibliographically approved
In thesis
1. Contributions to Probabilistic Discrete Choice
Open this publication in new window or tab >>Contributions to Probabilistic Discrete Choice
2012 (English)Doctoral thesis, comprehensive summary (Other academic)
Place, publisher, year, edition, pages
Stockholm: KTH Royal Institute of Technology, 2012. x, 20 p.
Series
TRITA-TSC-PHD, 12:001
National Category
Transport Systems and Logistics
Identifiers
urn:nbn:se:kth:diva-95402 (URN)978-91-85539-86-4 (ISBN)
Public defence
2012-06-01, D2, Lindstedtsvägen 5, KTH, Stockholm, 09:15 (English)
Opponent
Supervisors
Funder
TrenOp, Transport Research Environment with Novel Perspectives
Note

QC 20120524

Available from: 2012-05-24 Created: 2012-05-24 Last updated: 2016-01-20Bibliographically approved

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Mattsson, Lars-Göran

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CiteExportLink to record
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Citation style
  • apa
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  • Other locale
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Output format
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