Missing data in non-stationary multivariate time series from digital studies in Psychiatry

Mobile technology (e.g., mobile phones and wearable devices) provides scalable methods for collecting physiological and behavioral biomarkers in patients' naturalistic settings, as well as opportunities for therapeutic advancements and scientific discoveries regarding the etiology of psychiatric illness. Continuous data collection through mobile devices generates highly complex data: entangled multivariate time series of outcomes, exposures, and covariates. Missing data is a pervasive problem in biomedical and social science research, and Ecological Momentary Assessment (EMA) data in psychiatric research is no exception. However, the complex data structure of multivariate time series and their non-stationary nature make missing data a major challenge for proper inference. Additional historical information included in time series analyses exacerbates the issue of missing data and also introduces problems for confounding adjustment. The majority of existing imputation methods are either designed for stationary time series or for longitudinal data with limited follow-up periods. The limited work on non-stationary time series either focuses on missing exogenous information or ignores the complex temporal dependence among outcomes, exposures, and covariates. We propose a Monte Carlo Expectation Maximization algorithm for the state space model (MCEM-SSM) to effectively handle missing data in non-stationary entangled multivariate time series. We demonstrate the method's advantages over other widely used missing data imputation strategies through simulations of both stationary and non-stationary time series, subject to various missing mechanisms. Finally, we apply the MCEM-SSM to a multi-year smartphone observational study of bipolar and schizophrenia patients to investigate the association between digital social connectivity and negative mood.