A Note on Power Invariance in Random Utility Models
2012 (English)Report (Other academic)
Invariance in Random Utility (RU) Models is the property that the distribution of achievedutility is invariant across the alternatives chosen. In this note we study a generalization termedPower Invariance (PI). It generalizes the property, showed by Mattsson and Weibull, thatinvariance holds for an independent RU Model, where the cdf’s of the random terms arepositive powers of a given base cdf . The power invariant copulas turn out to be the copulasof Multivariate Extreme Value distributions. We further show that, under natural regularityconditions, the copulas of the marginal distributions of a PI copula are power invariant.
Place, publisher, year, edition, pages
Transport Systems and Logistics
IdentifiersURN: urn:nbn:se:kth:diva-95400OAI: oai:DiVA.org:kth-95400DiVA: diva2:528089
QC 201205242012-05-242012-05-242012-05-24Bibliographically approved