We investigate calibration and assessment of predictive rules when missing values are present in the predictors. Our paper has two key objectives. The first is to investigate how the calibration of... Show moreWe investigate calibration and assessment of predictive rules when missing values are present in the predictors. Our paper has two key objectives. The first is to investigate how the calibration of the prediction rule can be combined with use of multiple imputation to account for missing predictor observations. The second objective is to propose such methods that can be implemented with current multiple imputation software, while allowing for unbiased predictive assessment through validation on new observations for which outcome is not yet available.We commence with a review of the methodological foundations of multiple imputation as a model estimation approach as opposed to a purely algorithmic description. We specifically contrast application of multiple imputation for parameter (effect) estimation with predictive calibration. Based on this review, two approaches are formulated, of which the second utilizes application of the classical Rubin's rules for parameter estimation, while the first approach averages probabilities from models fitted on single imputations to directly approximate the predictive density for future observations. We present implementations using current software that allow for validation and estimation of performance measures by cross-validation, as well as imputation of missing data in predictors on the future data where outcome is missing by definition.To simplify, we restrict discussion to binary outcome and logistic regression throughout. Method performance is verified through application on two real data sets. Accuracy (Brier score) and variance of predicted probabilities are investigated. Results show substantial reductions in variation of calibrated probabilities when using the first approach. Show less
