An Imputation–Regularized Optimization Algorithm for High Dimensional Missing Data Problems and Beyond

DOI10.1111/RSSB.12279zbMATH Open1407.62258arXiv1802.02251OpenAlexW2891467507WikidataQ64939550 ScholiaQ64939550MaRDI QIDQ4628019FDOQ4628019

Authors: Faming Liang, Bochao Jia, Jingnan Xue, Qizhai Li, Ye Luo 

Publication date: 6 March 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Abstract: Missing data are frequently encountered in high-dimensional problems, but they are usually difficult to deal with using standard algorithms, such as the expectation-maximization (EM) algorithm and its variants. To tackle this difficulty, some problem-specific algorithms have been developed in the literature, but there still lacks a general algorithm. This work is to fill the gap: we propose a general algorithm for high-dimensional missing data problems. The proposed algorithm works by iterating between an imputation step and a consistency step. At the imputation step, the missing data are imputed conditional on the observed data and the current estimate of parameters; and at the consistency step, a consistent estimate is found for the minimizer of a Kullback-Leibler divergence defined on the pseudo-complete data. For high dimensional problems, the consistent estimate can be found under sparsity constraints. The consistency of the averaged estimate for the true parameter can be established under quite general conditions. The proposed algorithm is illustrated using high-dimensional Gaussian graphical models, high-dimensional variable selection, and a random coefficient model.

Full work available at URL: https://arxiv.org/abs/1802.02251

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zbMATH Keywords

variable selectionexpectation-maximization algorithmGaussian graphical modelGibbs samplerrandom-coefficient modelimputation consistency

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited In (9)

• Two directional Laplacian pyramids with application to data imputation
• Bayesian regularization of Gaussian graphical models with measurement error
• Transposable regularized covariance models with an application to missing data imputation
• Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
• Variable selection for high-dimensional incomplete data using horseshoe estimation with data augmentation
• Pattern alternating maximization algorithm for missing data in high-dimensional problems
• Estimating high-dimensional covariance and precision matrices under general missing dependence
• Time-varying dynamic Bayesian network learning for an fMRI study of emotion processing
• Missing values: sparse inverse covariance estimation and an extension to sparse regression

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