Mask-Conditional Conformal Prediction: Valid Uncertainty For All Missing Data Mechanisms

Conformal prediction (CP) offers a principled framework for uncertainty quantification, but it fails to guarantee coverage when faced with missing covariates. In addressing the heterogeneity induced by various missing patterns, Mask-Conditional Valid (MCV) Coverage has emerged as a more desirable property than Marginal Coverage. In this work, we adapt split CP to handle missing values by proposing a preimpute-then-mask framework that can offer proper coverage. We show that our method provides guaranteed Marginal Coverage and Mask-Conditional Validity for general missing data mechanisms. A key component of our approach is a reweighted conformal prediction procedure that corrects the prediction sets after distributional imputation (multiple imputation) of the calibration dataset, making our method compatible with standard imputation pipelines. We derive two algorithms, and we show that they are approximately marginally valid and MCV. We evaluate them on synthetic and real-world datasets. It reduces significantly the width of prediction intervals w.r.t standard MCV methods, while maintaining the target guarantees.