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Discrete Choice
Discrete Choice Model
Evolutionary Game Theory
Large Deviation
Large Deviation Theory
Probit Model
Stochastic Stability
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Large deviations and multinomial probit choice
Large deviations and multinomial probit choice,10.1016/j.jet.2011.06.013,Journal of Economic Theory,William H. Sandholm
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Large deviations and multinomial probit choice
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William H. Sandholm
We consider a
discrete choice model
in which the payoffs to each of an agentʼs n actions are subjected to the average of m i.i.d. shocks, and use tools from large deviations theory to characterize the rate of decay of the probability of choosing a given suboptimal action as m approaches infinity. Our model includes the multinomial
probit model
of Myatt and Wallace (2003) [5] as a special case. We show that their formula describing the rates of decay of choice probabilities is incorrect, provide the correct formula, and use our large deviations analysis to provide intuition for the difference between the two.
Journal:
Journal of Economic Theory  J ECON THEOR
, vol. 146, no. 5, pp. 21512158, 2011
DOI:
10.1016/j.jet.2011.06.013
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References
(1)
Reaction Kinetics
(
Citations: 248
)
Unknown
Journal:
Nature
, vol. 140, no. 3551, pp. 902903, 1937