`

Timezone: »

 
Poster
Estimation and Imputation in Probabilistic Principal Component Analysis with Missing Not At Random Data
Aude Sportisse · Claire Boyer · Julie Josse

Wed Dec 09 09:00 AM -- 11:00 AM (PST) @ Poster Session 3 #778

Missing Not At Random (MNAR) values where the probability of having missing data may depend on the missing value itself, are notoriously difficult to account for in analyses, although very frequent in the data. One solution to handle MNAR data is to specify a model for the missing data mechanism, which makes inference or imputation tasks more complex. Furthermore, this implies a strong \textit{a priori} on the parametric form of the distribution. However, some works have obtained guarantees on the estimation of parameters in the presence of MNAR data, without specifying the distribution of missing data \citep{mohan2018estimation, tang2003analysis}. This is very useful in practice, but is limited to simple cases such as few self-masked MNAR variables in data generated according to linear regression models. We continue this line of research, but extend it to a more general MNAR mechanism, in a more general model of the probabilistic principal component analysis (PPCA), \textit{i.e.}, a low-rank model with random effects. We prove identifiability of the PPCA parameters. We then propose an estimation of the loading coefficients, and a data imputation method. Both are based on estimators of means, variances and covariances of missing variables, for which consistency is discussed. These estimators have the great advantage of being calculated using only the observed information, leveraging the underlying low-rank structure of the data. We illustrate the relevance of the method with numerical experiments on synthetic data and also on two datasets, one collected from a medical register and the other one from a recommendation system.

Author Information

Aude Sportisse (Sorbonne University, Ecole Polytechnique)
Claire Boyer (LPSM, Sorbonne Université)
Julie Josse (INRIA/CMAP)

More from the Same Authors