Missing Data in Discrete Time State-Space Modeling of Ecological Momentary Assessment Data: A Monte-Carlo Study of Imputation Methods

When using ecological momentary assessment data (EMA), missing data is pervasive as participant attrition is a common issue. Thus, any EMA study must have a missing data plan. In this paper, we discuss missingness in time series analysis and the appropriate way to handle missing data when the data is modeled as an idiographic discrete time continuous measure state-space model. We found that Missing Completely at Random, Missing At Random, and Time-dependent Missing At Random data have less bias and variability than Autoregressive Time-dependent Missing At Random and Missing Not At Random. The Kalman filter excelled at handling missing data under most conditions. Contrary to the literature, we found that using a variety of methods, multiple imputations struggled to recover the parameters.