Inferences of robust behavioural and statistical models are insensitive to outlying observations resulting from aberrant behaviour, misreporting and misclassification. Standard discrete choice models such as logit and probit lack robustness to outliers due to their rigid kernel error distributions. In this paper, we analyse two robust alternatives to the multinomial probit (MNP) model. The two models belong to the family of robit models whose kernel error distributions are heavy-tailed t-distributions which moderate the influence of outlying observations. The first model is the multinomial robit (MNR) model, in which a generic degrees of freedom parameter controls the heavy-tailedness of the kernel error distribution. The second model, the generalised multinomial robit (Gen-MNR) model, is more flexible than MNR, as it allows for distinct heavy-tailedness in each dimension of the kernel error distribution. For both models, we derive efficient Gibbs sampling schemes, which also allow for a straightforward inclusion of random parameters. In a simulation study, we illustrate the excellent finite sample properties of the proposed Bayes estimators and show that MNR and Gen-MNR produce more exact elasticity estimates if the choice data contain outliers through the lens of the non-robust MNP model. In a case study on transport mode choice behaviour, MNR and Gen-MNR outperform MNP by substantial margins in terms of in-sample fit and out-of-sample predictive accuracy. We also find that the benefits of the more flexible kernel error distributions underlying MNR and Gen-MNR are maintained in the presence of random heterogeneity.
翻译:稳健的行为模型和统计模型的推论对偏差行为、误报和分类错误所产生的偏差性观测不敏感。标准离散的选择模型,如逻辑和线条模型,由于内部错误分布的僵硬性,缺乏对外部值的稳健性。在本文中,我们分析了多肠刺(MNP)模型的两种强健替代物。这两种模型属于强盗模型的组合,其内核差分布是重尾差分布,缓解了偏差观测的影响。第一个模型是多鼻子抢劫(MNR)模型,其中自由参数的通用度控制了内核差分布的重性。第二个模型,即通用多肠刺(Gen-MNR)模型比M(Gen-MNR)模型更灵活,因为它允许模型中每个层面都有明显的重尾部差差。对于这两种模型,我们推出高效的 GIFS 取样计划,这也允许将非随机值纳入。在模拟研究中,我们用通用自由度参数来说明最精确的MRMM(MR) 模型的精度模型的精度模型,如果在模拟研究中,则用精度模型的精度模型的精度模型的精度,则用精度模型的精度,则用精度的精度模型的精度分析的精度的精度,则用精度来显示的精度能性能的精度的精度的精度的精度能性能性能的精度分析性能的精度,则在模拟的精度,在模拟的精度,在模拟研究中显示的精度能性能性能性能中进行。