Two major ideas in the analysis of missing data are (a) the EM algorithm
[Dempster, Laird and Rubin, J. Roy. Statist. Soc. Ser. B 39 (1977) 1--38] for
maximum likelihood (ML) estimation, and (b) the formulation of models for the
joint distribution of the data Z and missing data indicators M, and
associated "missing at random"; (MAR) condition under which a model for M
is unnecessary [Rubin, Biometrika 63 (1976) 581--592]. Most previous work has
treated Z and M as single blocks, yielding selection or pattern-mixture
models depending on how their joint distribution is factorized. This paper
explores "block-sequential"; models that interleave subsets of the variables
and their missing data indicators, and then make parameter restrictions based
on assumptions in each block. These include models that are not MAR. We examine
a subclass of block-sequential models we call block-conditional MAR (BCMAR)
models, and an associated block-monotone reduced likelihood strategy that
typically yields consistent estimates by selectively discarding some data.
Alternatively, full ML estimation can often be achieved via the EM algorithm.
We examine in some detail BCMAR models for the case of two multinomially
distributed categorical variables, and a two block structure where the first
block is categorical and the second block arises from a (possibly multivariate)
exponential family distribution.Comment: Published in at http://dx.doi.org/10.1214/10-STS344 the Statistical
Science (http://www.imstat.org/sts/) by the Institute of Mathematical
Statistics (http://www.imstat.org
