Miss and Myth in the Analysis of Missing Data

Abstract

Donald Rubin and Roderick Little have developed important basic theory of missing data analysis (e.g., Rubin (1976), Little and Rubin (1987, 2002)). They, however, have used useful but ambiguous notation Y_obs, Y_mis, so that it often causes misunderstanding. Using the precise notation, proper proofs are given for some statements on missing data analysis. Those include understanding comprehensively the method of maximum likelihood, giving a concise consistency proof of MLE, and clarifying relationship between MAR and conditional independence, role of the parameter distinction and efficacy of inclusion of auxiliary variables.