Abstract
High-dimensional data have been regarded as one of the most important types of big data in practice. It happens frequently in practice including genetic study, financial study, and geographical study. Missing data in high dimensional data analysis should be handled properly to reduce nonresponse bias. We discuss some modern machine learning techniques including penalized regression approaches, tree-based approaches, and deep learning (DL) for handling missing data with high dimensionality. Specifically, our proposed methods can be used for estimating general parameters of interest including population means and percentiles with imputation-based estimators, propensity score estimators, and doubly robust estimators. We compare those methods through some limited simulation studies and a real application. Both simulation studies and real application show the benefits of DL and XGboost approaches compared with other methods in terms of balancing bias and variance.