Bayesian methodsBayesian / computational
MCMC with Missing Data
MCMC with missing data is a Bayesian computational strategy that treats unobserved values as additional unknown parameters. By alternating between sampling the missing values from their predictive distribution and sampling the model parameters from their posterior, the algorithm produces a valid joint posterior that fully accounts for uncertainty introduced by the missingness.
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Sources
- Little, R. J. A. & Rubin, D. B. (2002). Statistical Analysis with Missing Data (2nd ed.). Wiley. ISBN: 978-0471183860
- Tanner, M. A. & Wong, W. H. (1987). The calculation of posterior distributions by data augmentation. Journal of the American Statistical Association, 82(398), 528-540. DOI: 10.1080/01621459.1987.10478458 ↗
Related methods
Referenced by
Approximate Bayesian Computation with Missing DataBayesian Hierarchical Model with Missing DataBayesian Inference with Missing DataGibbs Sampling with Missing DataHamiltonian Monte Carlo with Missing DataMonte Carlo Simulation with Missing DataParticle Filter with Missing DataVariational Inference with Missing Data