Using MI, it is that simple. A missing value (or the average of the 20 missing values or of the 20*65) is handled just like any other estimand.
On Thu, 21 Nov 2002 [EMAIL PROTECTED] wrote: > > Dear List members, > > I wonder if anyone could help me with the following question. Is it > possible to calculate confidence intervals for missing data itself? So not > for the underlying parameters, but for a single missing value? > I have a dataset with stock prices of some 20 equities over a period of 65 > days. For one equity the prices are missing in a consecutive period of 11 > days. I would like to 'reconstruct' the missing prices using Multiple > imputation (or the EM algorithm). I'm using the fact that the daily returns > (log of relative price changes) are distributed in a multivariate normal > way. Using the EM algorithm I can create a sequence of 11 returns, which > can be considered as the 'most likely' values, or point estimates, but I do > not get a confidence interval for these values. > Is it justifyable to use Multiple Imputation, regarding each missing value > as a parameter and simply calculate the point estimate and variance using > the well-known combining rules? Or is this approach too simple? > > > Chiel Bakkeren > > > --------------------------------------------------------------------------- > This message (including any attachments) is confidential and may be > privileged. If you have received it by mistake please notify the sender by > return e-mail and delete this message from your system. Any unauthorised > use or dissemination of this message in whole or in part is strictly > prohibited. Please note that e-mails are susceptible to change. > ABN AMRO Bank N.V. (including its group companies) shall not be liable for > the improper or incomplete transmission of the information contained in > this communication nor for any delay in its receipt or damage to your > system. ABN AMRO Bank N.V. (or its group companies) does not guarantee that > the integrity of this communication has been maintained nor that this > communication is free of viruses, interceptions or interference. > --------------------------------------------------------------------------- > > > > > > -- Donald B. Rubin John L. Loeb Professor of Statistics Chairman Department of Statistics Harvard University Cambridge MA 02138 Tel: 617-495-5498 Fax: 617-496-8057
