Benchmarking Missing Data Imputation Methods for Time Series Using Real-World Test Cases

Adedolapo Aishat Toye, Asuman Celik, Samantha Kleinberg

Abstract: Missing data is pervasive in healthcare. Many imputation methods exist to fill in missing values, yet most were evaluated using randomly deleted values rather than the actual mechanisms they were designed to address. We aimed to determine real-world accuracy on all types of missing data (missing completely at random, MCAR; missing at random, MAR; and not missing at random, NMAR) for state of the art and commonly used imputation methods. Using two time series data targets (continuous glucose monitoring, Loop dataset; heart rate, All of Us dataset) we simulated missingness for each mechanism, at a range of missingness percentages (5-30%) and tested 12 imputation methods. We evaluated accuracy with multiple metrics including root mean square error (RMSE) and bias. We found that overall, accuracy was significantly better on MCAR than on MAR and NMAR, despite many methods being developed for those mechanisms. Linear interpolation had the lowest RMSE with all mechanisms and for all demographic groups, with low bias. This study shows that current evaluation practices do not provide an accurate picture of real-world performance with realistic patterns of missingness. Future research is needed to develop evaluation practices that better capture real-world accuracy, and methods that better address real-world mechanisms.