python计算方差膨胀因子_Variance Inflation Factor (VIF) 方差膨胀因子解释_附python脚本...

python信用评分卡(附代码，博主录制)

Colinearity is the state where two variables are highly correlated and contain similiar information about the variance within a given dataset. To detect colinearity among variables, simply create a correlation matrix and find variables with large absolute values. In R use the corr function and in python this can by accomplished by using numpy's corrcoeffunction.

Multicolinearity on the other hand is more troublesome to detect because it emerges when three or more variables, which are highly correlated, are included within a model. To make matters worst multicolinearity can emerge even when isolated pairs of variables are not colinear.

A common R function used for testing regression assumptions and specifically multicolinearity is "VIF()" and unlike many statistical concepts, its formula is straightforward:

$$ V.I.F. = 1 / (1 -