A new random utility model with flexible correlation pattern and closed-form covariance expression: The CoRUM

•A new RUM with a cdf obtained as a finite mixture of cdfs.•Choice probabilities and covariances obtainable as mixtures of choice probabilities and covariances of the mixing models.•By mixing NL models new RUMs are obtained with closed form expressions of choice probabilities, covariances and elasticities.•A new RUM easy to estimate which perform very well in terms of both in-sample and out-of-sample goodness of fit tests.•Compact ad hoc specification for route choice able to easily target the expected route choice correlation pattern.

This paper proposes a new random utility model characterised by a cumulative distribution function (cdf) obtained as a finite mixture of different cdfs. This entails that choice probabilities, covariances and elasticities of this model are also a finite mixture of choice probabilities, covariances and elasticities of the mixing models. As a consequence, by mixing nested logit cdfs, a model is generated with closed-form expressions for choice probabilities, covariances and elasticities and with, potentially, a very flexible correlation pattern. Importantly, the closed-form covariance expression opens up interesting application possibilities in some special choice contexts, like route choice, where prior expectations in terms of the covariance matrix can be formulated.