Laplace-Metropolis Algorithm for Variable Selection in Multinomial Logit Model

Laplace-Metropolis알고리즘에 의한 다항로짓모형의 변수선택에 관한 연구

This paper is concerned with suggesting a Bayesian method for variable selection in multinomial logit model. It is based upon an optimal rule suggested by use of Bayes rule which minimizes a risk induced by selecting the multinomial logit model. The rule is to find a subset of variables that maximizes the marginal likelihood of the model. We also propose a Laplace-Metropolis algorithm intended to suggest a simple method forestimating the marginal likelihood of the model. Based upon two examples, artificial data and empirical data examples, the Bayesian method is illustrated and its efficiency is examined.