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Journal of Data Science


A Simple Aggregation Rule for Penalized Regression Coefficients after Multiple Imputation
Volume 19, Issue 1 (2021), pp. 1–14
Pub. online: 28 January 2021      Type: Computing In Data Science     
Received
1 July 2020
Accepted
1 October 2020
Published
28 January 2021

Abstract

Early in the course of the pandemic in Colorado, researchers wished to fit a sparse predictive model to intubation status for newly admitted patients. Unfortunately, the training data had considerable missingness which complicated the modeling process. I developed a quick solution to this problem: Median Aggregation of penaLized Coefficients after Multiple imputation (MALCoM). This fast, simple solution proved successful on a prospective validation set. In this manuscript, I show how MALCoM performs comparably to a popular alternative (MI-lasso), and can be implemented in more general penalized regression settings. A simulation study and application to local COVID-19 data is included.

Supplementary material

 Supplementary Material
A script to reproduce simulations under varied parameters has been provided as supplemental material online, along with an appendix containing additional tables and figures pertaining to the simulations described herein.

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Keywords
elastic net LASSO minimax concave penalty missing data regularization

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