An Imputation–Regularized Optimization Algorithm for High Dimensional Missing Data Problems and Beyond
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Publication:4628019
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.
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- scientific article; zbMATH DE number 1945810
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- Bayesian regularization of Gaussian graphical models with measurement error
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- Online missing value imputation for high-dimensional mixed-type data via generalized factor models
- Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
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