SIAM MDS20 MS13 Advances in Subspace Learning and Clustering Mini-Symposium

/ June 15, 2020/

Title: Imputing Missing Data with the Gaussian Copula

Abstract: Missing data imputation forms the first critical step of many data analysis pipelines.
The challenge is greatest for mixed data sets, including real, Boolean, and ordinal data,
where standard techniques for imputation fail basic sanity checks: for example, the imputed values may not follow the same distributions as the data.
This talk introduces a new semiparametric algorithm to impute missing values,
with no tuning parameters.
The algorithm models mixed data as a Gaussian copula.
This model can fit arbitrary marginals for continuous variables and can handle ordinal variables with many levels, including Boolean variables as a special case.
We develop an efficient approximate EM algorithm to estimate
copula parameters from incomplete mixed data.
The resulting model reveals the statistical associations among variables.
Experimental results on several synthetic and real datasets show
the superiority of the proposed algorithm to state-of-the-art imputation algorithms for mixed data.

Authors:

Madeleine Udell, Cornell University, U.S

Yuxuan Zhao, Cornell University, U.S

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