Frequentist Model Averaging with missing observations

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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Original languageEnglish
Pages (from-to)3336-3347
Journal / PublicationComputational Statistics and Data Analysis
Volume54
Issue number12
Publication statusPublished - 1 Dec 2010

Abstract

Model averaging or combining is often considered as an alternative to model selection. Frequentist Model Averaging (FMA) is considered extensively and strategies for the application of FMA methods in the presence of missing data based on two distinct approaches are presented. The first approach combines estimates from a set of appropriate models which are weighted by scores of a missing data adjusted criterion developed in the recent literature of model selection. The second approach averages over the estimates of a set of models with weights based on conventional model selection criteria but with the missing data replaced by imputed values prior to estimating the models. For this purpose three easy-to-use imputation methods that have been programmed in currently available statistical software are considered, and a simple recursive algorithm is further adapted to implement a generalized regression imputation in a way such that the missing values are predicted successively. The latter algorithm is found to be quite useful when one is confronted with two or more missing values simultaneously in a given row of observations. Focusing on a binary logistic regression model, the properties of the FMA estimators resulting from these strategies are explored by means of a Monte Carlo study. The results show that in many situations, averaging after imputation is preferred to averaging using weights that adjust for the missing data, and model average estimators often provide better estimates than those resulting from any single model. As an illustration, the proposed methods are applied to a dataset from a study of Duchenne muscular dystrophy detection. © 2009 Elsevier B.V. All rights reserved.

Citation Format(s)

Frequentist Model Averaging with missing observations. / Schomaker, Michael; Wan, Alan T. K.; Heumann, Christian.

In: Computational Statistics and Data Analysis, Vol. 54, No. 12, 01.12.2010, p. 3336-3347.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal