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Bayesian estimation of the multinomial logit model: a comment on Holmes and Held, “Bayesian auxiliary variable models for binary and multinomial regression”. (English) Zbl 1330.62162

Summary: This note provides two corrections to the pseudo-code of the algorithm for the Bayesian estimation of the multinomial logit model using auxiliary variables as developed by C. C. Holmes and L. Held [ibid. 1, No. 1, 145–168 (2006; Zbl 1331.62142)]. After incorporating the two corrections, the algorithm works correctly for the multinomial as well as the binary logit model.

MSC:

62F15 Bayesian inference
62J02 General nonlinear regression

Citations:

Zbl 1331.62142
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