On the stationary distribution of iterative imputations

Jingchen Liu, Andrew Gelman, Jennifer Hill, Yu-Sung Su and Jonathan Kropko

Biometrika, 2014, vol. 101, issue 1, 155-173

Abstract: Iterative imputation, in which variables are imputed one at a time conditional on all the others, is a popular technique that can be convenient and flexible, as it replaces a potentially difficult multivariate modelling problem with relatively simple univariate regressions. In this paper, we begin to characterize the stationary distributions of iterative imputations and their statistical properties, accounting for the conditional models being iteratively estimated from data rather than being prespecified. When the families of conditional models are compatible, we provide sufficient conditions under which the imputation distribution converges in total variation to the posterior distribution of a Bayesian model. When the conditional models are incompatible but valid, we show that the combined imputation estimator is consistent.

Date: 2014
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Citations: View citations in EconPapers (8)

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