Some aspects of random utility, extreme value theory and multinomial logit models

Abstract

In this paper, we survey some aspects of the relationship between random utility, extreme value theory and multinomial logit models. In particular, we study the robustness of the assumption of a Gumbel distributed random utility. These ideas are well known within the field of spatial economics, but do not appear to be common knowledge to researchers in probability theory. The purpose of this paper is to try to bridge this gap.

Keywords:

• random utility theory
• extreme value theory
• multinomial logit models
• entropy

2000 Mathematics Subject Classification::

• 62G32
• 91B16