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Extreme Values and Choice Theory

In: Extreme Value Theory and Applications

Author

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  • Sidney I. Resnick

    (Cornell University)

  • Rishin Roy

    (University of Toronto)

Abstract

We review recent developments in the theory of extremal processes, and their applications to modeling the choice behavior of individuals who behave according to the principle of random utility maximization. We trace the evolution of the modeling of the choice behavior of individuals beginning with intertemporal choice behavior where the set of alternatives is finite. Then we discuss models of continuous choice, where the choice set is no longer finite but an arbitrary compact set. The latter models are developed with max-stable processes representing the utility functions at any fixed point in time. We describe dynamic extensions of the modeling of continuous choice, which require extensions of the finite dimensional theory of classical extremal processes to infinite dimensions.

Suggested Citation

  • Sidney I. Resnick & Rishin Roy, 1994. "Extreme Values and Choice Theory," Springer Books, in: Janos Galambos & James Lechner & Emil Simiu (ed.), Extreme Value Theory and Applications, pages 319-336, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-3638-9_19
    DOI: 10.1007/978-1-4613-3638-9_19
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