Multivariate linear regression with missing values

• Optimal linear regression analysis of data sets with missing values.
• Explicit algorithm, no iterations.
• Suitable for any pattern of missing data.

This contribution presents and discusses an efficient algorithm for multivariate linear regression analysis of data sets with missing values. The algorithm is based on the insight that multivariate linear regression can be formulated as a set of individual univariate linear regressions. All available information is used and the calculations are explicit. The only restriction is that the independent variable matrix has to be non-singular. There is no need for imputation of interpolated or otherwise guessed values which require subsequent iterative refinement.

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