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- W1659629198 abstract "We propose a new and computationally efficient algorithm for maximizing the observed log-likelihood for a multivariate normal data matrix with missing values. We show that our procedure based on iteratively regressing the missing on the observed variables, generalizes the standard EM algorithm by alternating between different complete data spaces and performing the E-Step incrementally. In this non-standard setup we prove numerical convergence to a stationary point of the observed log-likelihood. For high-dimensional data, where the number of variables may greatly exceed sample size, we add a Lasso penalty in the regression part of our algorithm and perform coordinate descent approximations. This leads to a computationally very attractive technique with sparse regression coefficients for missing data imputation. Simulations and results on four microarray datasets show that the new method often outperforms other imputation techniques as k-nearest neighbors imputation, nuclear norm minimization or a penalized likelihood approach with an l1-penalty on the inverse covariance matrix." @default.
- W1659629198 created "2016-06-24" @default.
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- W1659629198 date "2010-05-03" @default.
- W1659629198 modified "2023-09-27" @default.
- W1659629198 title "Pattern Alternating Maximization Algorithm for Missing Data in Large P, Small N Problems" @default.
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