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Jun 28, 2012 at 2:27 comment added Frank Harrell Sounds like a Bayesian prior is being called for - can't disagree. But without external information the unconstrained multinomial logistic has an awful lot of parameters to estimate.
Jun 27, 2012 at 16:15 comment added gregmacfarlane It turns out that this is not always completely true. There has been some (very) recent work showing that consistent parameters can be estimated for alternatives that you never observe, provided you have some exogenous information on what the actual population frequency is. But this requires a different estimator, so in general you are correct.
Jun 27, 2012 at 1:41 history answered Frank Harrell CC BY-SA 3.0