Optimal nonparametric testing of Missing Completely At Random, and its connections to compatibility
27th May 2022, 1:30 pm – 2:30 pm
Fry Building, 2.41
Given a set of incomplete observations, we study the nonparametric problem of testing whether data are Missing Completely At Random (MCAR). Our first contribution is to characterise precisely the set of alternatives that can be distinguished from the MCAR null hypothesis. This reveals interesting and novel links to the theory of Fr\'echet classes (in particular, compatible distributions) and linear programming, that allow us to propose MCAR tests that are consistent against all detectable alternatives. We define an incompatibility index as a natural measure of ease of detectability, establish its key properties, and show how it can be computed exactly in some cases and bounded in others. Moreover, we prove that in certain settings our tests attain the minimax separation rate according to this measure, up to logarithmic factors.