Simultaneous prediction intervals for multinomial logistic regression models
Fomby and Pierce(1986) used a two step procedure to find confidence intervals for the multinomial logistic response probabilities. In the first step the distribution of the estimated parameters is derived. Then, the distribution of response probabilities is computed in the second step. We use special properties of mulitinomial logistic models to derive simultaneous confidence intervals using only the distribution of estimated parameters, which yield more accurate estimates.