Missing at random, likelihood ignorability and model completeness

Details Missing at random, likelihood ignorability and model completeness Missing at random, likelihood ignorability and model completeness

2004-06-23

arxiv.org/abs/math/0406451v1

Annals of Statistics 2004, Vol. 32, No. 2, 754-765

Mathematics

Statistics Theory

Scientific paper

10.1214/009053604000000166

This paper provides further insight into the key concept of missing at random (MAR) in incomplete data analysis. Following the usual selection modelling approach we envisage two models with separable parameters: a model for the response of interest and a model for the missing data mechanism (MDM). If the response model is given by a complete density family, then frequentist inference from the likelihood function ignoring the MDM is valid if and only if the MDM is MAR. This necessary and sufficient condition also holds more generally for models for coarse data, such as censoring. Examples are given to show the necessity of the completeness of the underlying model for this equivalence to hold.

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