Large deviations and multinomial probit choice
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)  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.
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- Myatt, David P. & Wallace, Chris, 2003.
"A multinomial probit model of stochastic evolution,"
Journal of Economic Theory,
Elsevier, vol. 113(2), pages 286-301, December.
- David P. Myatt & Chris Wallace, 2002. "A Multinomial Probit Model of Stochastic Evolution," Economics Series Working Papers 90, University of Oxford, Department of Economics.
- Kandori, Michihiro & Mailath, George J & Rob, Rafael, 1993.
"Learning, Mutation, and Long Run Equilibria in Games,"
Econometric Society, vol. 61(1), pages 29-56, January.
- Kandori, M. & Mailath, G.J., 1991. "Learning, Mutation, And Long Run Equilibria In Games," Papers 71, Princeton, Woodrow Wilson School - John M. Olin Program.
- M. Kandori & G. Mailath & R. Rob, 1999. "Learning, Mutation and Long Run Equilibria in Games," Levine's Working Paper Archive 500, David K. Levine.
- Blume Lawrence E., 1993.
"The Statistical Mechanics of Strategic Interaction,"
Games and Economic Behavior,
Elsevier, vol. 5(3), pages 387-424, July.
- L. Blume, 2010. "The Statistical Mechanics of Strategic Interaction," Levine's Working Paper Archive 488, David K. Levine.
- Young, H Peyton, 1993. "The Evolution of Conventions," Econometrica, Econometric Society, vol. 61(1), pages 57-84, January.
- P. Young, 1999. "The Evolution of Conventions," Levine's Working Paper Archive 485, David K. Levine.
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