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A fast imputation algorithm in quantile regression

Author

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  • Hao Cheng

    (China Association for Science and Technology
    Renmin University of China
    Columbia University)

  • Ying Wei

    (Columbia University)

Abstract

In many applications, some covariates could be missing for various reasons. Regression quantiles could be either biased or under-powered when ignoring the missing data. Multiple imputation and EM-based augment approach have been proposed to fully utilize the data with missing covariates for quantile regression. Both methods however are computationally expensive. We propose a fast imputation algorithm (FI) to handle the missing covariates in quantile regression, which is an extension of the fractional imputation in likelihood based regressions. FI and modified imputation algorithms (FIIPW and MIIPW) are compared to existing MI and IPW approaches in the simulation studies, and applied to part of of the National Collaborative Perinatal Project study.

Suggested Citation

  • Hao Cheng & Ying Wei, 2018. "A fast imputation algorithm in quantile regression," Computational Statistics, Springer, vol. 33(4), pages 1589-1603, December.
    • Handle: RePEc:spr:compst:v:33:y:2018:i:4:d:10.1007_s00180-018-0813-z
    DOI: 10.1007/s00180-018-0813-z
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    References listed on IDEAS

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