MCMC Method Specifications |
With the MCMC method, you can impute either all missing values (IMPUTE=FULL) or just enough missing values to make the imputed data set have a monotone missing pattern (IMPUTE=MONOTONE). In the process, either a single chain for all imputations (CHAIN=SINGLE) or a separate chain for each imputation (CHAIN=MULTIPLE) is used. The single chain might be somewhat more precise for estimating a single quantity such as a posterior mean (Schafer 1997, p. 138). See Schafer (1997, pp. 137–138) for a discussion of single versus multiple chains.
You can specify the number of initial burn-in iterations before the first imputation with the NBITER= option. This number is also used for subsequent chains for multiple chains. For a single chain, you can also specify the number of iterations between imputations with the NITER= option.
You can explicitly specify initial parameter values for the MCMC method with the INITIAL=INPUT= data set option. Alternatively, you can use the EM algorithm to derive a set of initial parameter values for MCMC with the option INITIAL=EM. These estimates are used as either the starting value (START=VALUE) or the starting distribution (START=DIST) for the MCMC method. For multiple chains, these estimates are used again as either the starting value (START=VALUE) or the starting distribution (START=DIST) for the subsequent chains.
You can specify the prior parameter information in the PRIOR= option. You can use a noninformative prior (PRIOR=JEFFREYS), a ridge prior (PRIOR=RIDGE), or an informative prior specified in a data set (PRIOR=INPUT).
The parameter estimates used to generate imputed values in each imputation can be saved in a data set with the OUTEST= option. Later, this data set can be read with the INEST= option to provide the reference distribution for imputing missing values for a new data set.
By default, the MCMC method uses a single chain to produce five imputations. It completes 200 burn-in iterations before the first imputation and 100 iterations between imputations. The posterior mode computed from the EM algorithm with a noninformative prior is used as the starting values for the MCMC method.
The EM algorithm is used to find the maximum likelihood estimates for incomplete data in the EM statement. You can also use the EM algorithm to find a posterior mode, the parameter estimates that maximize the observed-data posterior density. The resulting posterior mode provides a good starting value for the MCMC method.
With the INITIAL=EM option, PROC MI uses the MLE of the parameter vector as the initial estimates in the EM algorithm for the posterior mode. You can use the ITPRINT option within the INITIAL=EM option to display the iteration history for the EM algorithm.
You can use the CONVERGE= option to specify the convergence criterion in deriving the EM posterior mode. The iterations are considered to have converged when the maximum change in the parameter estimates between iteration steps is less than the value specified. By default, CONVERGE=1E4.
You can also use the MAXITER= option to specify the maximum number of iterations of the EM algorithm. By default, MAXITER=200.
With the BOOTSTRAP option, you can use overdispersed starting values for the MCMC method. In this case, PROC MI applies the EM algorithm to a bootstrap sample, a simple random sample with replacement from the input data set, to derive the initial estimates for each chain (Schafer 1997, p. 128).