Joint distribution properties of fully conditional specification under the normal linear model with normal inverse-gamma priors

Abstract

Fully conditional specification (FCS) is a convenient and flexible multiple imputation approach. It specifies a sequence of simple regression models instead of a potential complex joint density for missing variables. However, FCS may not converge to a stationary distribution. Many authors have studied the convergence properties of FCS when priors of conditional models are non-informative. We extend to the case of informative priors. This paper evaluates the convergence properties of the normal linear model with normal-inverse gamma priors. The theoretical and simulation results prove the convergence of FCS and show the equivalence of prior specification under the joint model and a set of conditional models when the analysis model is a linear regression with normal inverse-gamma priors.