Archive for missing-at-random model

model uncertainty and missing data: an objective BAyesian perspective

Posted in Books, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , on September 16, 2025 by xi'an

My Spanish and objective Bayesian friends Gonzalo García-Donato, María Eugenia Castellanos, Stefano Cabras, Alicia Quirós, and Anabel Forte wrote an fairly exciting paper in BA that is open to discussion (for a few more days), to be discussed on 05 November (4:00 PM UTC | 11:00 AM EST | 5:00 PM CET).

The interplay between missing data and model uncertainty—two classic statistical problems—leads to primary questions that we formally address from an objective Bayesian perspective. For the general regression problem, we discuss the probabilistic justification of Rubin’s rules applied to the usual components of Bayesian variable selection, arguing that prior predictive marginals should be central to the pursued methodology. In the regression settings, we explore the conditions of prior distributions that make the missing data mechanism ignorable, provided that it is missing at random or completely at random. Moreover, when comparing multiple linear models, we provide a complete methodology for dealing with special cases, such as variable selection or uncertainty regarding model errors. In numerous simulation experiments, we demonstrate that our method outperforms or equals others, in consistently producing results close to those obtained using the full dataset. In general, the difference increases with the percentage of missing data and the correlation between the variables used for imputation.

The so-called Rubin’s identity is simply the representation of the posterior probability of a model γ given the observed data x⁰, p(γ|x⁰), as the integrated posterior probability of a model given both observed and latent data,  p(γ|x⁰, x¹), against the marginal of latent x¹ given observed x⁰. Since this marginal involves the probabilities p(γ|x⁰), this representation is not directly useful for a numerical implementation.

In this paper, missingness relates to some entries of either the covariates or the response variate. Which is less common but more realistic, especially if some covariates do not contribute to the response. (The missingness mechanism does not matter if the data is missing at random (à la Rubin). The computational solution (p9) is rather standard, simulating the missing variables given the observed variables. In my opinion, the elephant in the room is the super-delicate selection of a prior distribution on the missing covariates, as methinks this impacts in a considerable manner the actual value of the Bayes factor, hence the selection of the surviving model. (As a side remark, we are credited in Celeux et al. (2006) to have “extended DIC for missing data models or when missing data were present”, but our point was instead to point out the arbitrariness of the very definition of DIC in such contexts.)

“The standard Bayesian method for addressing the absence of prior information uses improper distributions. In estimation problems (the model is fixed), the impropriety of priors does not imply any additional difficulty as long as the posterior is proper” (p9)

The authors point out the well-known difficulty with improper priors but still resort to improper priors on the parameters shared by all models—which I dispute as being adequate, despite the arguments put forward on p15, right Haar measure or not—, while sticking to proper priors on the model-dependent parameters. Which unsurprisingly become Zellner’s g-priors. Or rather g’-priors, although the discussion seems to resolve into the (model-free) factor g’ being equal to 1 as for the g-priors. Again a strong term in the derivation of the Bayes factor.

JSM 2024, Portland, Day 1

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , , , , , , on August 6, 2024 by xi'an

Strolling through the Oregon Conference Centre on 5 Aug, I am as always amazed at how the JSM conference centres have the ability to swallow in thousands of participants without giving an impression of overcrowding! (And appreciating the moderate air conditioning, which for once does not require wearing a fleece indoors!), I must admit that my first impressions of the city itself have been rather poor, as I was (unsuccessfully) seeking an after-hour grocery near the conference centre, I walked through run-down areas and kept passing homeless people, most in a sorry state. And hearing throughout the night, And again this morning in the warehouse maze I jogged through  before hitting the Willamette River path, which goes uninterrupted for miles. And showed me an unexpected spot, the Kevin Duckworth dock, where swimming the Willamette is feasible. Hopefully attempting a morn swim before I leave Portland.

I attended the quantum computing session, with a rather light introduction without bringing much light on the nature of qubits for storage and computing. In particular, the role of the complex coefficients of the 0 and 1 states. Then my friend Brani Vidakovic gave us an hand-on demonstration (almost hand-on as the conference facilities were unable to let a code run live!, eons away from quantum performances!!). Using Qiskit and Anaconda. He pointed out that measuring a qubit is destroying its quantum nature, the very equivalent of Schrôdinger’s cat. But does not make it clear whether or not the qubit later returns to a random entity, since frequency stabilisation is assumed, witness the histograms displayed by Brani. or a Nature paper of last year.

Went to a (poorly attended) privacy panel session next. With a defence of the value of differential privacy (Jordan Awan, Purdue) somewhat connected with our own (Ocean) work, although utility not understood in a decision-theoretic sense. And privacy remaining in an one-suits-all sense. With Michael Hawes from the US Census Bureau introducing more dimensions than mere DP (coarsening, suppression, swapping, &tc.), with legal aspects (Title 13) of disclosure risk. With the positive (for me) notion of providing a meaningful assessment of disclosure, with some records being more vulnerable than others. And another one on the cumulative disclosure risk over time. If short in quantitative entries. With Valbona Bejleri (USDA NASS, with a Census of their own) on cell suppressions and metrics for assessing disclosure, eg Shannon’s information entropy. And with Gary Howarth (Privacy Engineering Program, NIST). whose point remained rather unclear to me, like the apparently obvious point that adding features increase dispersion between populations. Although presenting tools for convincing experts and actors of the efficiency of privacy protection techniques.

Which continued (sort of) on the afternoon with a synthetic data for preserving privacy panel session. With Bradley Malin (Vanderbilt U) on the dangers of (Nature Communication paper of 2022). And Harrison Quick using a posterior predictive to achieve differential privacy, albeit considering the posterior predictive as the statistical analysis outcome does not seem the right focus (and recoup my earlier criticism of differential privacy requiring bending one’s prior beliefs). Indeed, as a Bayesian aiming at inference rather than merely at not releasing raw data, I would use synthetic data generated from that posterior predictive to return a posterior on the parameters of interest. And Joshua Snoke (RAND) with cautionary warnings. Like producing “invalid” inference because the reliance on a specific model (but isn’t that the case for most of statistics?). And Roee Gutman (Brown U), discussing the special case of record linkage. More into the difficulties in creating synthetic data. (Like the issue with missingness.) Somehow disappointing in not reaching a more statistical and quantitative perspective, eg by sticking to a Bayesian perspective the whole way.

On a non-technical side, I am surprised at hardly anyone adopting the bring-your-own-container policy in the OCC cafés, or outside, given the large number of attendees carrying one or several liquid containers.

capture-recapture with continuous covariates

Posted in Books, pictures, Statistics, University life with tags , , , , , on September 14, 2015 by xi'an

This morning, I read a paper by Roland Langrock and Ruth King in a 2013 issue of Annals of Applied Statistics that had gone too far under my desk to be noticed… This problem of using continuous variates in capture-recapture models is a frustrating one as it is not clear what one should do at times the subject and therefore its covariates are not observed. This is why I was quite excited by the [trinomial] paper of Catchpole, Morgan, and Tavecchia when they submitted it to JRSS Series B and I was the editor handling it. In the current paper Langrock and King build a hidden Markov model on the capture history (as in Jérôme Dupui’s main thesis paper, 1995), as well as a discretised Markov chain model on the covariates and a logit connection between those covariates and the probability of capture. (At first, I thought the Markov model was a sheer unconstrained Markov chain on the discretised space and found curious that increasing the number of states had a positive impact on the estimation but, blame my Métro environment!, I had not read the paper carefully.)

“The accuracy of the likelihood approximation increases with increasing m.” (p.1719)

While I acknowledge that something has to be done about the missing covariates, and that this approach may be the best one can expect in such circumstances, I nonetheless disagree with the above notion that increasing the discretisation step m will improve the likelihood approximation, simply because the model on the covariates that was chosen ex nihilo has no reason to fit the real phenomenon, especially since the value of the covariates impact the probability of capture: the individuals are not (likely to get) missing at random, i.e., independently from the covariates. For instance, in a lizard study on which Jérôme Dupuis worked in the early 1990’s, weight and survival were unsurprisingly connected, with a higher mortality during the cold months where food was sparse. Using autoregressive-like models on the covariates is missing the possibility of sudden changes in the covariates that could impact the capture patterns. I do not know whether or not this has been attempted in this area, but connecting the covariates between individuals at a specific time, so that missing covariates can be inferred from observed covariates, possibly with spatial patterns, would also make sense.

In fine, I fear there is a strong and almost damning limitation to the notion of incorporating covariates into capture-recapture models, namely, if a covariate is determinantal in deciding of a capture or non-capture, the non-capture range of the covariate will never be observed and hence cannot be derived from the observed values.

Bayesian inference for partially identified models [book review]

Posted in Books, Statistics, University life with tags , , , , , , , , , on July 9, 2015 by xi'an

“The crux of the situation is that we lack theoretical insight into even quite basic questions about what is going on. More particularly, we cannot sayy anything about the limiting posterior marginal distribution of α compared to the prior marginal distribution of α.” (p.142)

Bayesian inference for partially identified models is a recent CRC Press book by Paul Gustafson that I received for a review in CHANCE with keen interest! If only because the concept of unidentifiability has always puzzled me. And that I have never fully understood what I felt was a sort of joker card that a Bayesian model was the easy solution to the problem since the prior was compensating for the components of the parameter not identified by the data. As defended by Dennis Lindley that “unidentifiability causes no real difficulties in the Bayesian approach”. However, after reading the book, I am less excited in that I do not feel it answers this type of questions about non-identifiable models and that it is exclusively centred on the [undoubtedly long-term and multifaceted] research of the author on the topic.

“Without Bayes, the feeling is that all the data can do is locate the identification region, without conveying any sense that some values in the region are more plausible than others.” (p.47)

Overall, the book is pleasant to read, with a light and witty style. The notational conventions are somewhat unconventional but well explained, to distinguish θ from θ* from θ†. The format of the chapters is quite similar with a definition of the partially identified model, an exhibition of the transparent reparameterisation, the computation of the limiting posterior distribution [of the non-identified part], a demonstration [which it took me several iterations as the English exhibition rather than the French proof, pardon my French!]. Chapter titles suffer from an excess of the “further” denomination… The models themselves are mostly of one kind, namely binary observables and non-observables leading to partially observed multinomials with some non-identifiable probabilities. As in missing-at-random models (Chapter 3). In my opinion, it is only in the final chapters that the important questions are spelled-out, not always faced with a definitive answer. In essence, I did not get from the book (i) a characterisation of the non-identifiable parts of a model, of the  identifiability of unidentifiability, and of the universality of the transparent reparameterisation, (ii) a tool to assess the impact of a particular prior and possibly to set it aside, and (iii) a limitation to the amount of unidentifiability still allowing for coherent inference. Hence, when closing the book, I still remain in the dark (or at least in the grey) on how to handle partially identified models. The author convincingly argues that there is no special advantage to using a misspecified if identifiable model to a partially identified model, for this imbues false confidence (p.162), however we also need the toolbox to verify this is indeed the case.

“Given the data we can turn the Bayesian computational crank nonetheless and see what comes out.” (p.xix)

“It is this author’s contention that computation with partially identified models is a “bottleneck” issue.” (p.141)

Bayesian inference for partially identified models is particularly concerned about computational issues and rightly so. It is however unclear to me (without more time to invest investigating the topic) why the “use of general-purpose software is limited to the [original] parametrisation” (p.24) and why importance sampling would do better than MCMC on a general basis. I would definitely have liked more details on this aspect. There is a computational considerations section at the end of the book, but it remains too allusive for my taste. My naïve intuition would be that the lack of identifiability leads to flatter posterior and hence to easier MCMC moves, but Paul Gustafson reports instead bad mixing from standard MCMC schemes (like WinBUGS).

In conclusion, the book opens a new perspective on the relevance of partially identifiable models, trying to lift the stigma associated with them, and calls for further theory and methodology to deal with those. Here are the author’s final points (p.162):

  • “Identification is nuanced. Its absence does not preclude a parameter being well estimated, not its presence guarantee a parameter can be well estimated.”
  • “If we really took limitations of study designs and data quality seriously, then partially identifiable models would crop up all the time in a variety of scientific fields.”
  • “Making modeling assumptions for the sole purpose of gaining full identification can be a mug’s game (…)”
  • “If we accept partial identifiability, then consequently we need to regard sample size differently. There are profound implications of posterior variance tending to a positive limit as the sample size grows.”

These points may be challenging enough to undertake to read Bayesian inference for partially identified models in order to make one’s mind about their eventual relevance in statistical modelling.

[Disclaimer about potential self-plagiarism: this post will also be published as a book review in my CHANCE column. ]