特征降维 ---特征选择 - 过滤式

1、低方差特征过滤

2、API

ex_1

import pandas as pd
from sklearn.feature_selection import VarianceThreshold
def variance_demo():
    ''''
    过滤低方差特征
    '''
    data = pd.read_csv("factor_returns.csv")
    data = data.iloc[:,1:-2]
    transfer = VarianceThreshold()
    data_new = transfer.fit_transform(data)
 	print("data: \n", data)
    print("\n")
    print("data_new：\n", data_new)
    return None

3、相关系数

1）公式

用于寻找哪两个特征相关性强

2）特点：

3）API

ex_2

import pandas as pd
from sklearn.feature_selection import VarianceThreshold
from scipy.stats import pearsonr
def variance_demo():
    ''''
    过滤低方差特征
    '''
    data = pd.read_csv("factor_returns.csv")
    data = data.iloc[:,1:-2]
    transfer = VarianceThreshold()
    data_new = transfer.fit_transform(data)

    print("data: \n", data)
    print("")
    print("data_new：\n", data_new)
    r = pearsonr(data["pe_ratio"],data["pb_ratio"])
    print("相关系数：\n", r)
    return None