EM algorithm for handling missing data

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```{r} library(mvtnorm) #library for multivariate normal density library(ggplot2) #library to have nice graphics ``` ### Code an EM algorithm We consider $X\sim \mathcal{N}(\mu,\Sigma)$, with $$\mu=\begin{pmatrix} 5 \\ -1 \end{pmatrix} \textrm{ and } \Sigma=\begin{pmatrix} 1 & 0.5 \\ 0.5 & 1 \end{pmatrix}.$$ We want to introduce $r=30\%$ of missing values in the variable $X_2$. We consider that the missing-data mechanism is MCAR. **Q1)** Generate a bivariate normal set of sample size $n=100$, with mean $\mu$ and covariance matrix $\Sigma$ (use the package mvtnorm). ```{r} n = 100 mu = c(5,-1) Sigma = matrix(c(1, 0.5, 0.5, 1), ncol=2, nrow=2) X = rmvnorm(n,mu,Sigma) head(X) ``` **Q2)** Introduce MCAR missing values in $X_2$. ```{r} missing_idx.mcar <- sample.int(n,0.3*n) #indexes of values which will be missing XNA <- X XNA[missing_idx.mcar,2] <- NA head(XNA) ``` The goal is now to estimate the parameters $\mu$ and $\Sigma$ in presence of missing values in $X_2$ by using the EM algorithm. **Q3)** Propose a simple initialization for the EM algorithm. ```{r} #we have to estimate mu and Sigma hat_mu <- apply(XNA,2,mean,na.rm=TRUE) hat_mu hat_Sigma <- cov(XNA,use="complete.obs") hat_Sigma <- var(XNA,na.rm=TRUE) hat_Sigma ``` **Q4)** Write a function for the E-step and the M-step. ```{r} Estep=function(X, mu, Sigma, missing_idx) { n=nrow(X) #all the elements in X1 are observed s1_vec = X[,1] s11_vec = X[,1]^2 s2_vec = rep(0, n) s22_vec = rep(0, n) #for observed elements in X2 #setdiff(1:n, missing_idx): observed elements s2_vec[setdiff(1:n, missing_idx)] = X[setdiff(1:n, missing_idx),2] s22_vec[setdiff(1:n, missing_idx)] = X[setdiff(1:n, missing_idx),2]^2 #for missing elements in X2 s2_vec[missing_idx] = mu[2]+(Sigma[1,2]/Sigma[1,1])*(X[missing_idx,1]-mu[1]) s22_vec[missing_idx] = s2_vec[missing_idx]^2 + Sigma[2,2] - Sigma[1,2]^2/Sigma[1,1] s12_vec = s1_vec*s2_vec return(list(s1=sum(s1_vec), s2=sum(s2_vec), s11=sum(s11_vec), s22=sum(s22_vec), s12=sum(s12_vec))) } Mstep=function(X, s1, s2, s11, s22, s12) { n=nrow(X) mu1=s1/n mu2=s2/n sigma1=s11/n-mu1^2 sigma2=s22/n-mu2^2 sigma12=s12/n-mu1*mu2 mu=c(mu1,mu2) Sigma=matrix(c(sigma1, sigma12,sigma12,sigma2), nrow=2) return(structure(list(mu=mu, Sigma=Sigma))) } ``` **Q5)** Use the EM algorithm for $50$ iterations to estimate $\mu$ and $\Sigma$. Show the results. ```{r} for(i in 1:50) { # E step E=Estep(XNA, hat_mu, hat_Sigma, missing_idx.mcar) s1=E$s1 s11=E$s11 s2=E$s2 s22=E$s22 s12=E$s12 # M step M=Mstep(XNA, s1, s2, s11, s22, s12) hat_mu=M$mu hat_Sigma=M$Sigma } ``` ```{r} hat_mu hat_Sigma ``` ### Other questions **Q6)** Vary $n$ and the percentage of missing values. **Q7)** We have estimated the parameters $\mu$ and $\Sigma$, can we impute the missing values? Try it! **Q8)** Do you think the algorithm will still work for MNAR data? If you have the time, try it! **Q9)** How to stop the EM algorithm? (other than by giving a predefined number of steps)