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3.5 Missing Multivariate Data

It’s often the case that one or more components of a multivariate outcome are missing.11

As an example, we’ll consider the bivariate distribution, which is easily marginalized. The coding here is brute force, representing both an array of vector observations y and a boolean array y_observed to indicate which values were observed (others can have dummy values in the input).

vector[2] y[N];
int<lower=0, upper=1> y_observed[N, 2];

If both components are observed, we model them using the full multi-normal, otherwise we model the marginal distribution of the component that is observed.

for (n in 1:N) {
  if (y_observed[n, 1] && y_observed[n, 2])
    y[n] ~ multi_normal(mu, Sigma);
  else if (y_observed[n, 1])
    y[n, 1] ~ normal(mu[1], sqrt(Sigma[1, 1]));
  else if (y_observed[n, 2])
    y[n, 2] ~ normal(mu[2], sqrt(Sigma[2, 2]));

It’s a bit more work, but much more efficient to vectorize these sampling statements. In transformed data, build up three vectors of indices, for the three cases above:

transformed data {
  int ns12[observed_12(y_observed)];
  int ns1[observed_1(y_observed)];
  int ns2[observed_2(y_observed)];

You will need to write functions that pull out the count of observations in each of the three sampling situations. This must be done with functions because the result needs to go in top-level block variable size declaration. Then the rest of transformed data just fills in the values using three counters.

int n12 = 1;
int n1 = 1;
int n2 = 1;
for (n in 1:N) {
  if (y_observed[n, 1] && y_observed[n, 2]) {
    ns12[n12] = n;
    n12 += 1;
  } else if (y_observed[n, 1]) {
    ns1[n1] = n;
    n1 += 1;
  } else if (y_observed[n, 2]) {
    ns2[n2] = n;
    n2 += 1;

Then, in the model block, everything is vectorizable using those indexes constructed once in transformed data:

y[ns12] ~ multi_normal(mu, Sigma);
y[ns1] ~ normal(mu[1], sqrt(Sigma[1, 1]));
y[ns2] ~ normal(mu[2], sqrt(Sigma[2, 2]));

The result will be much more efficient than using latent variables for the missing data, but it requires the multivariate distribution to be marginalized analytically. It’d be more efficient still to precompute the three arrays in the transformed data block, though the efficiency improvement will be relatively minor compared to vectorizing the probability functions.

This approach can easily be generalized with some index fiddling to the general multivariate case. The trick is to pull out entries in the covariance matrix for the missing components. It can also be used in situations such as multivariate differential equation solutions where only one component is observed, as in a phase-space experiment recording only time and position of a pendulum (and not recording momentum).

  1. This is not the same as missing components of a multivariate predictor in a regression problem; in that case, you will need to represent the missing data as a parameter and impute missing values in order to feed them into the regression.↩︎