Imputation for prediction: beware of diminishing returns.

Marine Le Morvan, Gael Varoquaux

Keywords: imputation, missing

TL;DR: We show that improving imputation often offers limited benefits for predictive performances with missing values: its beneficial impact is reduced with expressive models, the use of missingness indicators, and real-world (non-linear) data.

Abstract:

Missing values are prevalent across various fields, posing challenges for training and deploying predictive models. In this context, imputation is a common practice, driven by the hope that accurate imputations will enhance predictions. However, recent theoretical and empirical studies indicate that simple constant imputation can be consistent and competitive. This empirical study aims at clarifying
*if* and *when* investing in advanced imputation methods yields significantly better predictions. Relating imputation and predictive accuracies across combinations of imputation and predictive models on 19 datasets, we show that imputation accuracy matters less i) when using expressive models, ii) when incorporating missingness indicators as complementary inputs, iii) matters much more for generated linear outcomes than for real-data outcomes. Interestingly, we also show that the use of the missingness indicator is beneficial to the prediction performance, even in MCAR scenarios. Overall, on real-data with powerful models, imputation quality has only a minor effect on prediction performance. Thus, investing in better imputations for improved predictions often offers limited benefits.

Primary Area: datasets and benchmarks

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Submission Number: 10201