# Missing data

11/23/2020

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## Outline

• The following topics will be covered in this lecture:
• Types of missing data
• Summarizing missing data
• Single imputation
• Multiple imputation

## Introduction

• Missing data causes both technical data processing and statistical challenges in regression analysis.

• By creating a framework for different kinds of missing data, we have some mathematical tools for understanding how it will affect our analysis.

• Certain kinds of missing data are harder than others to treat mathematically – at times, we won't have good tools for filling missing data values, or treating the implicit bias therein.

• However, certain kinds of missing data can be modeled statistically, along with the uncertainty when treating these cases.

## Types of missing data

• Here is a summary of different missing data regimes we might find ourselves:

1. Missing cases – this is typically the situation we are in during any statistical study.
• Particularly, we must infer how the signal will generalize to the population at large, using observations of only a small sub-sample.
• In special circumstances, if the cases that we don’t observe are not observed due to the signal we are studying, our sample will be biased.
2. Incomplete values – often times when examining medical outcomes, we will not know the final outcomes of patients before the medical study ends.
• In this situation, data on participants may still hold useful information but we have to deal with the fundamental incompleteness. Methods to handle this include survival analysis
3. Missing values – it is quite often that samples will have some of the observations of the response or explanatory variables missing or corrupted.
• Depending on the type of “missingness” we will have different tools to handle this.

## Types of missing values

• The following types of missing values are distinguished as follows:

1. Missing Completely At Random (MCAR)
• The probability of any value being missing is the same for every sample.
• In this case, there is no bias induced by how the values are missing, though we lose information on the signal.
2. Missing At Random (MAR)
• Here we suppose the probability of a value being missing depends on a systematic mechanism with the known explanatory variables.
• E.g., in social surveys certain groups may be less likely to respond.
• If we know what sub-group the sample belongs to, we can typically delete the incomplete observation provided we adjust the model for the group membership as a factor.
3. Missing Not At Random (MNAR)
• The probability that a value is missing from a sample depends on an unknown, latent variable that we don’t observe, or based on the response we wish to observe itself.
• E.g., if an individual has something to hide that is embarrassing or illegal, they may quite often avoid disclosing information that would suggest so.
• This is difficult, and often mathematically intractible to handle.
• Amongst the above, when the data is MAR, we can adjust based on observed variables and therefore handle missingness and bias mathematically – we will focus on this situation.

## A concrete example of missing values

• If we wish to understand methods of treating missing data, we can take a data set and delete values to compare how conclusions might be affected by our treatment.

• Prototypically, we will study the Chicago Insurance data once again, but with values missing at random.

library("faraway")
summary(chmiss)

      race            fire           theft             age
Min.   : 1.00   Min.   : 2.00   Min.   :  3.00   Min.   : 2.00
1st Qu.: 3.75   1st Qu.: 5.60   1st Qu.: 22.00   1st Qu.:48.30
Median :24.50   Median : 9.50   Median : 29.00   Median :64.40
Mean   :35.61   Mean   :11.42   Mean   : 32.65   Mean   :59.97
3rd Qu.:57.65   3rd Qu.:15.10   3rd Qu.: 38.00   3rd Qu.:78.25
Max.   :99.70   Max.   :36.20   Max.   :147.00   Max.   :90.10
NA's   :4       NA's   :2       NA's   :4        NA's   :5
involact          income
Min.   :0.0000   Min.   : 5.583
1st Qu.:0.0000   1st Qu.: 8.564
Median :0.5000   Median :10.694
Mean   :0.6477   Mean   :10.736
3rd Qu.:0.9250   3rd Qu.:12.102
Max.   :2.2000   Max.   :21.480
NA's   :3        NA's   :2


### Summarizing missing values

• Before we saw how many NA values were in the dataset, but we will also want to know which cases have missing values (and how many).
rowSums(is.na(chmiss))

60626 60640 60613 60657 60614 60610 60611 60625 60618 60647 60622 60631 60646
1     0     1     1     0     0     0     0     1     1     0     0     1
60656 60630 60634 60641 60635 60639 60651 60644 60624 60612 60607 60623 60608
0     0     1     0     0     0     1     1     0     0     1     0     1
60616 60632 60609 60653 60615 60638 60629 60636 60621 60637 60652 60620 60619
1     0     1     0     0     0     1     0     1     0     0     1     0
60649 60617 60655 60643 60628 60627 60633 60645
1     1     0     0     1     0     0     1

• Here there is at most one value missing from each row; likewise, the missing data is basically evenly spaced in the data.

• If there was a large number of missing values in a few cases, we could likely drop these cases without loss of information.
• However, in this example, dropping the cases with NA's would delete 20 out of 47 of the cases.

### Summarizing missing values

• We can also view how clumped or dispersed missing values are graphically as a diagnostic:
par(mai=c(1.5,1.5,.5,.5), mgp=c(3,0,0))
image(is.na(chmiss),axes=FALSE,col=gray(1:0))
axis(2, at=0:5/5, labels=colnames(chmiss), cex=3, cex.lab=3, cex.axis=1.5)
axis(1, at=0:46/46, labels=row.names(chmiss),las=2, cex=3, cex.lab=3, cex.axis=1.5) ## Deleting missing values

• Suppose we favor a deletion approach to all cases with missing values.

• We will compare the full model with all values versus the situation in which we delete missing values:

modfull <- lm(involact ~ .  - side, chredlin)
sumary(modfull)

              Estimate Std. Error t value  Pr(>|t|)
(Intercept) -0.6089790  0.4952601 -1.2296 0.2258512
race         0.0091325  0.0023158  3.9435 0.0003067
fire         0.0388166  0.0084355  4.6015     4e-05
theft       -0.0102976  0.0028529 -3.6096 0.0008269
age          0.0082707  0.0027815  2.9734 0.0049143
income       0.0245001  0.0316965  0.7730 0.4439816

n = 47, p = 6, Residual SE = 0.33513, R-Squared = 0.75


### Deleting missing values – continued

• On the other hand, when we fit with the cases with missing values deleted (the default for “lm”):
modmiss <- lm(involact ~ ., chmiss)
sumary(modmiss)

              Estimate Std. Error t value  Pr(>|t|)
(Intercept) -1.1164827  0.6057615 -1.8431 0.0794750
race         0.0104867  0.0031283  3.3522 0.0030180
fire         0.0438757  0.0103190  4.2519 0.0003557
theft       -0.0172198  0.0059005 -2.9184 0.0082154
age          0.0093766  0.0034940  2.6837 0.0139041
income       0.0687006  0.0421558  1.6297 0.1180775

n = 27, p = 6, Residual SE = 0.33822, R-Squared = 0.79

• The standard error increases because the estimates are less precise, due to the loss of information.

## Single imputation

• We may consider thus to “fill-in” data into the missing values for various cases – this is known as data imputation.

• One approach is to fill in values by something “representative” of the known population,

• e.g., fill in by each variable mean.
(cmeans <- colMeans(chmiss,na.rm=TRUE))

      race       fire      theft        age   involact     income
35.6093023 11.4244444 32.6511628 59.9690476  0.6477273 10.7358667

• However, we don't want to fill in values for the response, as this is what we are trying to model:
mchm <- chmiss
for(i in c(1:4,6)) mchm[is.na(chmiss[,i]),i] <- cmeans[i]
imod <- lm(involact ~ ., mchm)


### Single imputation – continued

• Then, we look at the model summary, based on the imputation of the means:
sumary(imod)

              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0708021  0.5094531  0.1390 0.890203
race         0.0071173  0.0027057  2.6305 0.012245
fire         0.0287418  0.0093855  3.0624 0.004021
theft       -0.0030590  0.0027457 -1.1141 0.272242
age          0.0060795  0.0032079  1.8952 0.065695
income      -0.0270917  0.0316782 -0.8552 0.397791

n = 44, p = 6, Residual SE = 0.38412, R-Squared = 0.68

• In this case, there isn't just loss of fit, but also qualitative differences in the parameters.

• Particularly, theft and age have lost significance in this model versus the iterations previously seen.

• Also, the parameters themselves are smaller in magnitude, describing less “effect” in the signal overall.

### Single imputation – continued

• In this case, we see significant bias induced by the imputation (toward the mean values);

• this shows how we usually will only consider mean imputation when the number of missing values is small relative to the full population.
• In the case that there is a small number of missing values for a categorical variable, we can typically model the “missing-value” as a category of its own.

• We can consider a more sophisticated approach for handling missing values using regression.

• Particularly, if the variables are strongly (anti)-correlated with each other, there is information in the explanatory variables telling how they vary together (or oppostitely).

### Single imputation – continued

• Recall, for percent variables, it is sometimes useful to make a change of scale to the real line when this is a response.

• The logit transformation is given as, $$y \mapsto \log\left(\frac{y}{1 - y}\right)$$

• The “logit” and “ilogit” (inverse) map are available in the Faraway package.

• We will model the percent ethnic minority in a zip code as regressed on the other variables with the missing cases removed:

lmodr <- lm(logit(race/100) ~ fire+theft+age+income,chmiss)
ilogit(predict(lmodr,chmiss[is.na(chmiss$race),]))*100   60646 60651 60616 60617 0.4190909 14.7320193 84.2653995 21.3121261  chredlin$race[is.na(chmiss$race)]   1.0 13.4 62.3 36.4  • Two of the predictions are reasonable, but two are significantly off. • This can be performed for each of the explanatory variables, and while preferable to mean imputation, still leads to bias. • In a way, we can start over-fitting to our known values and loose the true variance in the population. ## Multiple imputation • If we understand that the loss of the variation of the population is the issue with the earlier approaches, we can try to enforce some variance in the imputation mathematically. • If we re-introduce variation on the missing value, but only once, this would just be a less-optimal choice for the single imputation as we performed previously. • Instead, we will treat this as a re-sampling problem, and re-input multiple cases of perturbed values for the missing term that takes into account the uncertainty of this value. • We will create 25 different versions of the data “re-sampled” back with uncertainty for each missing value. • The known values will be the same, but we will have “m” different versions of the missing values, drawn from a Bayesian posterior estimate. • The function output of Amelia will include the “m” different datasets: ### Multiple imputation – continued library(Amelia) set.seed(123) chimp <- amelia(chmiss, m=25)  -- Imputation 1 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 -- Imputation 2 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 -- Imputation 3 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 -- Imputation 4 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 -- Imputation 5 -- 1 2 3 4 5 6 7 8 9 -- Imputation 6 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 -- Imputation 7 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 -- Imputation 8 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 -- Imputation 9 -- 1 2 3 4 5 6 7 8 9 -- Imputation 10 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 -- Imputation 11 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 -- Imputation 12 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 -- Imputation 13 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 -- Imputation 14 -- 1 2 3 4 5 6 7 -- Imputation 15 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 -- Imputation 16 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 -- Imputation 17 -- 1 2 3 4 5 6 7 8 9 -- Imputation 18 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 -- Imputation 19 -- 1 2 3 4 5 6 7 8 9 10 -- Imputation 20 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 -- Imputation 21 -- 1 2 3 4 5 6 7 8 -- Imputation 22 -- 1 2 3 4 5 6 7 8 -- Imputation 23 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 -- Imputation 24 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 -- Imputation 25 -- 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30  ### Multiple imputation – continued • All imputations are stored in the object that is output by the Amelia function: str(chimp, 1)  List of 12$ imputations:List of 25
..- attr(*, "class")= chr [1:2] "mi" "list"
$m : num 25$ missMatrix : logi [1:47, 1:6] FALSE FALSE FALSE FALSE FALSE FALSE ...
..- attr(*, "dimnames")=List of 2
$overvalues : NULL$ theta      : num [1:7, 1:7, 1:25] -1 0.01738 0.00786 -0.06694 -0.00626 ...
$mu : num [1:6, 1:25] 0.01738 0.00786 -0.06694 -0.00626 -0.10637 ...$ covMatrices: num [1:6, 1:6, 1:25] 0.977 -0.517 0.609 0.532 0.506 ...
$code : num 1$ message    : chr "Normal EM convergence."
$iterHist :List of 25$ arguments  :List of 23
..- attr(*, "class")= chr [1:2] "ameliaArgs" "list"
$orig.vars : chr [1:6] "race" "fire" "theft" "age" ... - attr(*, "class")= chr "amelia"  ### Multiple imputation – continued • To extract the imputations, we can select any particular list value from the object, extracting the field “imputations”: str(chimp$imputations, 1)

List of 25
$imp1 :'data.frame': 47 obs. of 6 variables:$ imp2 :'data.frame':  47 obs. of  6 variables:
$imp3 :'data.frame': 47 obs. of 6 variables:$ imp4 :'data.frame':  47 obs. of  6 variables:
$imp5 :'data.frame': 47 obs. of 6 variables:$ imp6 :'data.frame':  47 obs. of  6 variables:
$imp7 :'data.frame': 47 obs. of 6 variables:$ imp8 :'data.frame':  47 obs. of  6 variables:
$imp9 :'data.frame': 47 obs. of 6 variables:$ imp10:'data.frame':  47 obs. of  6 variables:
$imp11:'data.frame': 47 obs. of 6 variables:$ imp12:'data.frame':  47 obs. of  6 variables:
$imp13:'data.frame': 47 obs. of 6 variables:$ imp14:'data.frame':  47 obs. of  6 variables:
$imp15:'data.frame': 47 obs. of 6 variables:$ imp16:'data.frame':  47 obs. of  6 variables:
$imp17:'data.frame': 47 obs. of 6 variables:$ imp18:'data.frame':  47 obs. of  6 variables:
$imp19:'data.frame': 47 obs. of 6 variables:$ imp20:'data.frame':  47 obs. of  6 variables:
$imp21:'data.frame': 47 obs. of 6 variables:$ imp22:'data.frame':  47 obs. of  6 variables:
$imp23:'data.frame': 47 obs. of 6 variables:$ imp24:'data.frame':  47 obs. of  6 variables:
imp25:'data.frame': 47 obs. of 6 variables: - attr(*, "class")= chr [1:2] "mi" "list"  ### Multiple imputation – continued • We will fit a model over each of the versions, and try to find a best model over all perturbed datasets by an averaging. • Specifically, we will take the average of the parameters as: \begin{align} \hat{\boldsymbol{\beta}}_j \triangleq \frac{1}{m} \sum_{j=1}^m \hat{\boldsymbol{\beta}}_{ij}, \end{align} where here each $$i$$ represents one of the imputations. • In this case, we can estimate the overall standard error in terms of the variance of the estimated parameters $$\hat{\boldsymbol{\beta}}$$ derived over the different versions of the imputed data. • Specifically, the combined standard errors are estimated as, \begin{align} s_j^2 \triangleq \frac{1}{m} \sum_{i=1}^m s_{ij}^2 + \mathrm{var}\left(\hat{\boldsymbol{\beta}}_j\left( 1 + \frac{1}{m}\right)\right) \end{align} where the variance taken above is the sample variance over the parameters, derived by the imputation. ### Multiple imputation – continued • The “mi.meld” function will make these computations, though we automate the re-fitting of the models with the for loop below: betas <- NULL ses <- NULL for(i in 1:chimpm){
lmod <- lm ( involact ~ race + fire + theft +age + income, chimp $imputations [[ i ]]) betas <- rbind ( betas , coef ( lmod )) ses <- rbind (ses , coef ( summary ( lmod )) [ ,2]) } (cr <- mi.meld(q=betas,se=ses))  $q.mi
(Intercept)        race       fire        theft        age     income
[1,]  -0.5303132 0.008587492 0.03748539 -0.009591052 0.00803049 0.02030737

$se.mi (Intercept) race fire theft age income [1,] 0.6224611 0.002776556 0.009757678 0.005905341 0.003256562 0.04372946  modfull$coef

 (Intercept)         race         fire        theft          age       income
-0.608978989  0.009132510  0.038816556 -0.010297613  0.008270715  0.024500055


### Multiple imputation – continued

• The t-stastistics can be computed similarly,
t_stats <- cr$q.mi/cr$se.mi
t_stats

     (Intercept)     race    fire     theft      age    income
[1,]   -0.851962 3.092857 3.84163 -1.624132 2.465941 0.4643864

• We compute the $$\alpha = 5\%$$ critical value,
crit <- qt(.025, 47 - 6)
crit

 -2.019541

• and compare,
abs(t_stats) > abs(crit)

     (Intercept) race fire theft  age income
[1,]       FALSE TRUE TRUE FALSE TRUE  FALSE

• Here the results are fairly similar, though in this case theft is no longer a significant parameter.

• Many more techniques exist studying missing data, and this is just an introduction on how to approach this with additional references in Faraway.

## Summary of missing data

• In almost any situation, we have missing cases in our data

• we rely on the assumption that the cases which we have in our data is essentially representative of the larger population.
• In real observational data, furthermore, we will often have missing values in cases.

• In the case the values are missing completely at random, this doesn't essentially bias the analysis.
• However, it is typical that the missing values will vary systematically with the known explanatory values.
• We have tools to adjust for this in our regression by including, e.g. the missingness as a factor in the regression.
• The strategies for handling missing values usually depend on how much data is missing.

• If the proportion of cases with missing values is small, we can usually delete the cases with missing values or perform mean imputation without a bias introduced.
• If this proportion is larger, deletion will degrade the estimation of the signal due to the loss of information.
• Imputation of the mean will bias the regression, and reduce the estimated variance in the signal.
• With a larger proportion of values missing, it is thus usually preferable to regress on the missing values for predictors in terms of the other predictors.
• Resampling values around the mean function of the regression can then introduce the variance lost by a single imputation by the estimated mean value.

## Summary of course work

• We have now been through a complete example that utilizes the major themes in this course.

• Specifically, we have analyzed how to perform a multiple regression, with attention to:

• the adherence of the model to the assumptions of the Gauss-Markov theorem;
• the remediation of the model (if possible) when these assumptions do not hold well;
• the uncertainty of parameters in the model, from the frequentist perspective;
• the explanatory and predictive power of the model, and the reliability of the model for these purposes;
• and how we can make conclusions based on the model, qualified by the uncertainty in our analysis.
• In addition, we have introduced a number of special topics in regression analysis, e.g., Generalized least squares, missing values, advanced model selection and transformation techniques, etc…

• However, the possible techniques one can use in regression is vast;
• therefore, the main goal of this course is that everyone is comfortable with the fundamentals (both theoretically and practically) and is therefore equipped to study additional advanced methods as needed.