Emmanuel,
Friedman's (Annals of Stats 1991) MARS program implements recursive
partitioning in a regression context - a version of it written by Trevor
Hastie was available in R but I don't know what package it's now in - I
only have base stuff available (long story).
MARS, like recursive partitioning is a data exploration tool that builds up
an approximation to a nonlinear regression function using piecewise
regression splines. Each splines is split and replaced by a pair and the
GCV score computed - if the split reduces the GCV then the split is
accepted - in this way the method is adaptive.
MARS is very powerful and was used for time series research by LEwis &
Bonnie Ray (JASA 1991) - Bonnie has later papers as well. The main flaw
with MARS and I suppose a key reason why it doesn't feature more is that
there is no physical/biological underlying model that the researcher in
trying to make sense of - MARS just finds the best curve. Interpretation of
the result can therefore be a problem. However, MARS does provide an
"anova" type decomposition of the curve and this can certainly help in
making sense of the underlying relationships.
To use it (or related methods such as Generalised Additive Models GAMs) for
imputation then is a question of taste. If you're happy that the regression
curve is sufficient explanation then MARS is worth looking at - if you want
to know more about the physical model, well ...
Finally, MARS will treat all missing data as missing at random so if there
are specific conditional effects there have to be included as categorical
predictors a priori. As MARS is based on least squares it's only optimal
for Gaussian errors - it can be used on categorical data as well - another
variation called PolyMARS also implements MARS for categorical/multinomial
data.
Hope this is of interest!
Gerard
Emmanuel
Charpentier
<charpent at bacbuc. To
dyndns.org> r-help at stat.math.ethz.ch
Sent by: cc
r-help-bounces at r-
project.org Subject
Re: [R] Multiple imputations :
wicked dataset. Need advice for
27/04/2009 20:49 follow-up to a possible solution.
Answering to myself (for future archive users' sake), more to come
(soon) :
Le jeudi 23 avril 2009 ? 00:31 +0200, Emmanuel Charpentier a ?crit :
Dear list,
I'd like to use multiple imputations to try and save a somewhat badly
mangled dataset (lousy data collection, worse than lousy monitoring, you
know that drill... especially when I am consulted for the first time
about one year *after* data collection).
My dataset has 231 observations of 53 variables, of which only a very
few has no missing data. Most variables have 5-10% of missing data, but
the whole dataset has only 15% complete cases (40% when dropping the 3
worst cases, which might be regained by other means).
[ Big snip ... ]
It turns out that my problems were caused by ... the dataset. Two very
important variables (i. e. of strong influence on the outcomes and
proxies) are ill-distributed :
- one is a modus operandi (two classes)
- the second is center (23 classes, alas...)
My data are quite ill-distributed : some centers have contributed a
large number of observations, some other very few. Furthermore, while
few variables are quite badly known, the "missingness pattern" is such
as :
- some centers have no directly usable information (= complete cases)
under one of the modi operandi
- some other have no complete case at all...
Therefore, any model-based prediction method using the whole dataset
(recommended for multiple imputations, since one should not use for
inference a richer set of data than what was imputed (seen this
statement in a lot of references)) fails miserably.
Remembering some fascinating readings (incl. V&R) and an early (20 years
ago) excursion in AI (yes, did that, didn't even got the T-shirt...), I
have attempted (with some success) to use recursive partitioning for
prediction. This (non-)model has some very interestind advantages in my
case :
- model-free
- distribution-free (quite important here : you should see my density
curves... and I won't speak about the outliers !)
- handles missing data gracefully (almost automagically)
- automatic selection and ranking of the pertinent variables
- current implementation in R has some very nice features, such as
surrogate splits if a value is missing, auto-pruning by
cross-validation, etc ...
It has also some drawbacks :
- no (easy) method for inference
- not easy to abstract (you can't just publish an ANOVA table and a
couple of p-values...)
- no "well-established" (i. e. acknowledged by journal reviewers) =>
difficult to publish
These latter point do not bother me in my case. So I attempted to use
this for imputation.
Since mice is based on a "chained equations" approach and allows the
end-user to write its own imputation functions, I wrote a set of such
imputers to be called within the framework of the Gibbs sampler. They
proceed as follow :
- build a regression or classification tree of the relevant variable
using the rest of the dataset
- predict the relevant variable for *all* the dataset,
- compute "residuals" from known values of the relevant variable and
their prediction
- impute values to missing data as prediction + a random residual.
It works. It's a tad slower than prediction using
normal/logistic/multinomial modelling (about a factor of 3, but for y
first trial, I attempted to err on the side of excessive precision ==>
deeper trees). It does not exhibit any "obvious" statistical
misfeatures.
But I have questions :
1) What is known of such imputation by regression/classification trees
(aka recursive partitionning) ? A quick research didn't turn up very
much : the idea has been evoked here and there, but I am not aware of
any published solution. In particular, I have no knowledge of any
theoretical (i. e. probability) wotrk on their properties ?
2) Where could I find published datasets having been used to validate
other imputation methods ?
3) Do you think that these functions should be published ?
Sincerely yours,
Emmanuel
Charpentier
PS :
Could someone offer an explanation ? Or must I recourse to sacrifying a
black goat at midnight next new moon ?
Any hint will be appreciated (and by the way, next new moon is in about
3 days...).
The goat has endured the fear of her life, but is still alive... will
probably start worshipping the Moon, however.
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