mnlHess: Computes -Expected Hessian for Multinomial Logit
Description
mnlHess computes -Expected[Hessian] for Multinomial Logit Model
Usage
mnlHess(y, X, beta)
Arguments
y
n x 1 vector of choices, (1, ...,p)
X
n*p x k Design matrix
beta
k x 1 vector of coefficients
Value
k x k matrix
concept
multinomial logit
hessian
Warning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.
Details
See llmnl for information on structure of X array. Use createX to make X.
References
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html