As a multivariate model of the number of events, Rasch's multiplicative Poisson model is extended such that the parameters for individuals in the prior gamma distribution have continuous covariates. The parameters for individuals are integrated out and the hyperparameters in the prior distribution are estimated by a numerical method separately from difficulty parameters that are treated as fixed parameters or random variables. In addition, a method is presented for estimating parameters in Rasch's model with missing values.

A method is presented for generalized canonical correlation analysis of two or more matrices with missing rows. The method is a combination of Carroll’s (1968) method and the missing data approach of the OVERALS technique (Van der Burg, 1988). In a simulation study we assess the performance of the method and compare it to an existing procedure called GENCOM, proposed by Green and Carroll (1988). We find that the proposed method outperforms the GENCOM algorithm both with respect to model fit and recovery of the true structure.

The measurement of latent traits and investigation of relations between these and a potentially large set of explaining variables is typical in psychology, economics, and the social sciences. Corresponding analysis often relies on surveyed data from large-scale studies involving hierarchical structures and missing values in the set of considered covariates. This paper proposes a Bayesian estimation approach based on the device of data augmentation that addresses the handling of missing values in multilevel latent regression models. Population heterogeneity is modeled via multiple groups enriched with random intercepts. Bayesian estimation is implemented in terms of a Markov chain Monte Carlo sampling approach. To handle missing values, the sampling scheme is augmented to incorporate sampling from the full conditional distributions of missing values. We suggest to model the full conditional distributions of missing values in terms of non-parametric classification and regression trees. This offers the possibility to consider information from latent quantities functioning as sufficient statistics. A simulation study reveals that this Bayesian approach provides valid inference and outperforms complete cases analysis and multiple imputation in terms of statistical efficiency and computation time involved. An empirical illustration using data on mathematical competencies demonstrates the usefulness of the suggested approach.

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

This work deals with prediction of IBNR reserve under a different data ordering of the non-cumulative runoff triangle. The rows of the triangle are stacked, resulting in a univariate time series with several missing values. Under this ordering, two approaches entirely based on state space models and the Kalman filter are developed, implemented with two real data sets, and compared with two well-established IBNR estimation methods — the chain ladder and an overdispersed Poisson regression model. The remarks from the empirical results are: (i) computational feasibility and efficiency; (ii) accuracy improvement for IBNR prediction; and (iii) flexibility regarding IBNR modeling possibilities.

By using the alternating projection theorem of J. von Neumann, we obtain explicit formulae for the best linear interpolator and interpolation error of missing values of a stationary process. These are expressed in terms of multistep predictors and autoregressive parameters of the process. The key idea is to approximate the future by a finite-dimensional space.