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:
$$ V.I.F. = 1 / (1 - R^2). $$
The Variance Inflation Factor (VIF) is a measure of colinearity among predictor variables within a multiple regression. It is calculated by taking the the ratio of the variance of all a given model's betas divide by the variane of a single beta if it were fit alone.
Steps for Implementing VIF
Run a multiple regression.
Calculate the VIF factors.
Inspect the factors for each predictor variable, if the VIF is between 5-10, multicolinearity is likely present and you should consider dropping the variable.
#Imports
import pandas as pd import numpy as np from patsy import dmatrices import statsmodels.api as sm from statsmodels.stats.outliers_influence import variance_inflation_factor df = pd.read_csv('loan.csv') df.dropna() df = df._get_numeric_data() #drop non-numeric cols df.head()
id
member_id
loan_amnt
funded_amnt
funded_amnt_inv
int_rate
installment
annual_inc
dti
delinq_2yrs
...
total_bal_il
il_util
open_rv_12m
open_rv_24m
max_bal_bc
all_util
total_rev_hi_lim
inq_fi
total_cu_tl
inq_last_12m
0
1077501
1296599
5000.0
5000.0
4975.0
10.65
162.87
24000.0
27.65
0.0
...
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
1
1077430
1314167
2500.0
2500.0
2500.0
15.27
59.83
30000.0
1.00
0.0
...
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
2
1077175
1313524
2400.0
2400.0
2400.0
15.96
84.33
12252.0
8.72
0.0
...
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
3
1076863
1277178
10000.0
10000.0
10000.0
13.49
339.31
49200.0
20.00
0.0
...
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
4
1075358
1311748
3000.0
3000.0
3000.0
12.69
67.79
80000.0
17.94
0.0
...
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
NaN
5 rows × 51 columns
df = df[['annual_inc','loan_amnt', 'funded_amnt','annual_inc','dti']].dropna() #subset the dataframe
Step 1: Run a multiple regression
%%capture
#gather features
features = "+".join(df.columns - ["annual_inc"]) # get y and X dataframes based on this regression: y, X = dmatrices('annual_inc ~' + features, df, return_type='dataframe')
Step 2: Calculate VIF Factors
# For each X, calculate VIF and save in dataframe
vif = pd.DataFrame() vif["VIF Factor"] = [variance_inflation_factor(X.values, i) for i in range(X.shape[1])] vif["features"] = X.columns
Step 3: Inspect VIF Factors
vif.round(1)
VIF Factor
features
0
5.1
Intercept
1
1.0
dti
2
678.4
funded_amnt
3
678.4
loan_amnt
As expected, the total funded amount for the loan and the amount of the loan have a high variance inflation factor because they "explain" the same variance within this dataset. We would need to discard one of these variables before moving on to model building or risk building a model with high multicolinearity.