RIFLE: Imputation and Robust Inference from Low Order Marginals

Sina Baharlouei, Sze-Chuan Suen, Meisam Razaviyayn

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 predicting the target variable 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. We compare RIFLE with state-of-the-art approaches (including MICE, Amelia, MissForest, KNN-imputer, MIDA, and Mean Imputer) in numerical experiments. 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

Submission Length: Regular submission (no more than 12 pages of main content)

Video: https://youtu.be/hS9d7RS7TBQ

Code: https://github.com/optimization-for-data-driven-science/RIFLE

Assigned Action Editor: ~Jiantao_Jiao1

License: Creative Commons Attribution 4.0 International (CC BY 4.0)

Submission Number: 1288