MissForest - nonparametric missing value imputation for mixed-type data

TL;DR

MissForest is a nonparametric, random forest-based imputation method capable of handling mixed-type data with complex interactions, outperforming existing methods in accuracy, efficiency, and error estimation.

Contribution

This paper introduces missForest, a novel iterative imputation method that simultaneously handles mixed variable types and estimates imputation error without a test set.

Findings

Outperforms other imputation methods in mixed-type data.

Effectively estimates imputation error using out-of-bag error.

Handles high-dimensional data efficiently.

Abstract

Modern data acquisition based on high-throughput technology is often facing the problem of missing data. Algorithms commonly used in the analysis of such large-scale data often depend on a complete set. Missing value imputation offers a solution to this problem. However, the majority of available imputation methods are restricted to one type of variable only: continuous or categorical. For mixed-type data the different types are usually handled separately. Therefore, these methods ignore possible relations between variable types. We propose a nonparametric method which can cope with different types of variables simultaneously. We compare several state of the art methods for the imputation of missing values. We propose and evaluate an iterative imputation method (missForest) based on a random forest. By averaging over many unpruned classification or regression trees random forest intrinsically constitutes a multiple imputation scheme. Using the built-in out-of-bag error estimates of random forest we are able to estimate the imputation error without the need of a test set. Evaluation is performed on multiple data sets coming from a diverse selection of biological fields with artificially introduced missing values ranging from 10% to 30%. We show that missForest can successfully handle missing values, particularly in data sets including different types of variables. In our comparative study missForest outperforms other methods of imputation especially in data settings where complex interactions and nonlinear relations are suspected. The out-of-bag imputation error estimates of missForest prove to be adequate in all settings. Additionally, missForest exhibits attractive computational efficiency and can cope with high-dimensional data.