The prediction function creation device according to the present invention for creating a prediction function to derive an objective variable by using a set of samples that include explanatory variables and an objective variable, the device includes: a clustering unit that clusters the respective samples by giving labels, and assigns weights to each label in accordance with patterns of missing values for the explanatory variables in labeled samples; a child model creation unit that makes portions of the training data partial training data on the basis of the weights, and determines an explanatory variable that constitutes the prediction function on the basis of patterns of missing values for the explanatory variables in the samples; and a mixture model creation unit that creates the prediction function with respect to each pattern of missing values by using the explanatory variable and the determined partial training data.