Compare Missing-Value Strategies for Linear Models
Company: Point72
Role: Quantitative Researcher
Category: Machine Learning
Difficulty: medium
Interview Round: Online Assessment
# Compare Missing-Value Strategies for Linear Models
A continuous feature has missing values in a linear prediction problem. Compare three treatments: mean imputation, drawing an imputed value from the observed empirical distribution, and mean imputation plus a missingness indicator. Explain when each can work, how each affects bias, variance, covariance with other features, and what changes under MCAR, MAR, or MNAR missingness.
### Constraints & Assumptions
- Imputation statistics must be learned from training data only.
- The same transformation is applied during training and serving.
- Other features may predict both the missing value and the missingness process.
- The goal is prediction, though coefficient interpretation also matters.
### Clarifying Questions to Ask
- Is missingness caused before or after the outcome is realized?
- Are train and production missingness rates and mechanisms stable?
- Is inference or prediction the primary objective?
- Can a model-based multiple-imputation procedure be used?
### What a Strong Answer Covers
- Marginal-distribution and relationship changes caused by each method
- The value and limitation of a missingness indicator
- MCAR, MAR, and MNAR assumptions
- Leakage-free preprocessing, uncertainty, and evaluation by missingness cohort
### Follow-up Questions
1. Why does random marginal imputation not restore the feature's relationship with the target?
2. When can a missingness indicator become a shortcut that fails after deployment?
3. What would multiple imputation add for statistical inference?
```hint Separate feature value from missingness
Ask what information is lost when the value is absent and whether the event of absence itself carries stable predictive signal.
```
Overview: Compare mean, random empirical, and indicator-assisted imputation for linear models under MCAR, MAR, and MNAR without training leakage.