Multiple-shrinkage multinomial probit models with applications to simulating geographies in public use data

Abstract

Multinomial outcomes with many levels can be challenging to model. Information typically accrues slowly with increasing sample size, yet the param-eter space expands rapidly with additional covariates. Shrinking all regression parameters towards zero, as often done in models of continuous or binary response variables, is unsatisfactory, since setting parameters equal to zero in multinomial models does not necessarily imply "no effect." We propose an approach to mod-eling multinomial outcomes with many levels based on a Bayesian multinomial probit (MNP) model and a multiple shrinkage prior distribution for the regression parameters. The prior distribution encourages the MNP regression parameters to shrink toward a number of learned locations, thereby substantially reducing the dimension of the parameter space. Using simulated data, we compare the pre-dictive performance of this model against two other recently-proposed methods for big multinomial models. The results suggest that the fully Bayesian, multiple shrinkage approach can outperform these other methods. We apply the multiple shrinkage MNP to simulating replacement values for areal identiers, e.g., census tract indicators, in order to protect data condentiality in public use datasets. © 2013 International Society for Bayesian Analysis.