Transcription of Analysis of multivariate probit models - Semantic Scholar
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Analysis of multivariate probit models - Semantic Scholar
Biometrika (1998), 85,2, pp. 347-361 Printed in Great BritainAnalysis of multivariate probit modelsBY SIDDHARTHA CHIBJohn M. Olin School of Business, Washington University, One Brookings Drive, St. Louis,Missouri 63130, EDWARD GREENBERGD epartment of Economics, Washington University, One Brookings Drive, St. Louis,Missouri 63130, paper provides a practical simulation-based Bayesian and non-Bayesian analysisof correlated binary data using the multivariate probit model. The posterior distributionis simulated by Markov chain Monte Carlo methods and maximum likelihood estimatesare obtained by a Monte Carlo version of the EM algorithm.
Multivariate probit models 349 where I(A) is the indicator function of the event A. In this formulation the probability in (1) may be expressed as
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