RIFLE: Imputation and Robust Inference from Low Order Marginals (2109.00644v3)

Abstract: The ubiquity of missing values in real-world datasets poses a challenge for statistical inference and can prevent similar datasets from being analyzed in the same study, precluding many existing datasets from being used for new analyses. While an extensive collection of packages and algorithms have been developed for data imputation, the overwhelming majority perform poorly if there are many missing values and low sample sizes, which are unfortunately common characteristics in empirical data. Such low-accuracy estimations adversely affect the performance of downstream statistical models. We develop a statistical inference framework for regression and classification in the presence of missing data without imputation. Our framework, RIFLE (Robust InFerence via Low-order moment Estimations), estimates low-order moments of the underlying data distribution with corresponding confidence intervals to learn a distributionally robust model. We specialize our framework to linear regression and normal discriminant analysis, and we provide convergence and performance guarantees. This framework can also be adapted to impute missing data. In numerical experiments, we compare RIFLE to several state-of-the-art approaches (including MICE, Amelia, MissForest, KNN-imputer, MIDA, and Mean Imputer) for imputation and inference in the presence of missing values. Our experiments demonstrate that RIFLE outperforms other benchmark algorithms when the percentage of missing values is high and/or when the number of data points is relatively small. RIFLE is publicly available at https://github.com/optimization-for-data-driven-science/RIFLE.