Improving the imputation of missing data with Markov Blanket discovery

The process of imputation of missing data typically relies on generative and regression models. These approaches often operate on the unrealistic assumption that all of the data features are directly related with one another, and use all of the available features to impute missing values. In this paper, we propose a novel Markov Blanket discovery approach to determine the optimal feature set for a given variable by considering both observed variables and missingness of partially observed variables to account for systematic missingness. We then incorporate this method to the learning process of the state-of-the-art MissForest imputation algorithm, such that it informs MissForest which features to consider to impute missing values, depending on the variable the missing value belongs to. Experiments across different case studies and multiple imputation algorithms show that the proposed solution improves imputation accuracy, both under random and systematic missingness.