This paper is concerned with statistical inference in multinomial probit, multinomial t and multinomial logit models. New Markov chain Monte Carlo (MCMC) algorithms for fitting these models are introduced and compared with existing MCMC methods. The question of parameter identification in the...

This paper is concerned with statistical inference in multinomial probit, multinomial-$t$ and multinomial logit models. New Markov chain Monte Carlo (MCMC) algorithms for fitting these models are introduced and compared with existing MCMC methods. The question of parameter identification in the...