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This function updates the latent utility vector, where (independent across deciders and choice occasions) the utility for each alternative is updated conditional on the other utilities.


update_U(U, y, sys, Sigmainv)



The current utility vector of length J-1.


An integer from 1 to J, the index of the chosen alternative.


A vector of length J-1, the systematic utility part.


The inverted error term covariance matrix of dimension J-1 x J-1.


An updated utility vector of length J-1.


The key ingredient to Gibbs sampling for probit models is considering the latent utilities as parameters themselves which can be updated (data augmentation). Independently for all deciders \(n=1,\dots,N\) and choice occasions \(t=1,...,T_n\), the utility vectors \((U_{nt})_{n,t}\) in the linear utility equation \(U_{nt} = X_{nt} \beta + \epsilon_{nt}\) follow a \(J-1\)-dimensional truncated normal distribution, where \(J\) is the number of alternatives, \(X_{nt} \beta\) the systematic (i.e. non-random) part of the utility and \(\epsilon_{nt} \sim N(0,\Sigma)\) the error term. The truncation points are determined by the choices \(y_{nt}\). To draw from a truncated multivariate normal distribution, this function implemented the approach of Geweke (1998) to conditionally draw each component separately from a univariate truncated normal distribution. See Oelschläger (2020) for the concrete formulas.


See Geweke (1998) Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities for Gibbs sampling from a truncated multivariate normal distribution. See Oelschläger and Bauer (2020) Bayes Estimation of Latent Class Mixed Multinomial Probit Models for its application to probit utilities.


U <- c(0,0,0)
y <- 3
sys <- c(0,0,0)
Sigmainv <- solve(diag(3))
update_U(U, y, sys, Sigmainv)
#>            [,1]
#> [1,] -0.5638333
#> [2,] -1.1810392
#> [3,]  0.8306494