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Title of Journal: Computational Statistics

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Abbravation: Computational Statistics

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Springer-Verlag

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DOI

10.1002/ange.19870990221

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1613-9658

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The Monte Carlo EM method for estimating multinomi

Authors: Xingcai Zhou Xinsheng Liu
Publish Date: 2007/10/12
Volume: 23, Issue: 2, Pages: 277-289
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Abstract

We propose a multinomial probit MNP model that is defined by a factor analysis model with covariates for analyzing unordered categorical data and discuss its identification Some useful MNP models are special cases of the proposed model To obtain maximum likelihood estimates we use the EM algorithm with its Mstep greatly simplified under Conditional Maximization and its Estep made feasible by Monte Carlo simulation Standard errors are calculated by inverting a Monte Carlo approximation of the information matrix using Louis’s method The methodology is illustrated with a simulated data

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