Model uncertainty and missing data: an objective bayesian perspective (with discussion)
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 c...
| Autores: | , , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2025 |
| País: | España |
| Institución: | Universidad de Castilla-La Mancha |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/46154 |
| Acceso en línea: | https://hdl.handle.net/10578/46154 |
| Access Level: | acceso abierto |
| Palabra clave: | Bayes factor G-priors Ignorability Objective prior distribution Rubin’s rules |
| Sumario: | 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. Finally, we summarize possible directions for future research. |
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