Still More Shades of Null: A Benchmark for Responsible Missing Value Imputation

We present Shades-of-NULL, a benchmark for responsible missing value imputation. Our benchmark includes state-of-the-art imputation techniques, and embeds them into the machine learning development lifecycle. We model realistic missingness scenarios that go beyond Rubin's classic Missing Completely at Random (MCAR), Missing At Random (MAR) and Missing Not At Random (MNAR), to include multi-mechanism missingness (when different missingness patterns co-exist in the data) and missingness shift (when the missingness mechanism changes between training and test). Another key novelty of our work is that we evaluate imputers holistically, based on the predictive performance, fairness and stability of the models that are trained and tested on the data they produce. We use Shades-of-NULL to conduct a large-scale empirical study involving 20,952 experimental pipelines, and find that, while there is no single best-performing imputation approach for all missingness types, interesting performance patterns do emerge when comparing imputer performance in simpler vs. more complex missingness scenarios. Further, while predictive performance, fairness and stability can be seen as orthogonal, we identify trade-offs among them that arise due to the combination of missingness scenario, the choice of an imputer, and the architecture of the model trained on the data post-imputation. We make Shades-of-NULL publicly available, and hope to enable researchers to comprehensively and rigorously evaluate new missing value imputation methods on a wide range of evaluation metrics, in plausible and socially meaningful missingness scenarios.