构建数据集
from sklearn import linear_model, metrics
from sklearn.model_selection import train_test_split
import pandas as pd
import seaborn as sns
%matplotlib inline
import matplotlib.pyplot as plt
import numpy as np
model_data = pd.read_csv("date_data.csv")
model_data.head()
Y = model_data["Dated"]
X = model_data.loc[ :,'income':'assets']
train_data, test_data, train_target, test_target = train_test_split(X, Y, test_size=0.2,random_state=0)
建模
logistic_model = linear_model.LogisticRegression()
logistic_model.fit(train_data, train_target)
LogisticRegression(C=1.0, class_weight=None, dual=False, fit_intercept=True,
intercept_scaling=1, max_iter=100, multi_class='ovr', n_jobs=1,
penalty='l2', random_state=None, solver='liblinear', tol=0.0001,
verbose=0, warm_start=False)
test_est = logistic_model.predict(test_data)
train_est = logistic_model.predict(train_data)
test_est_p = logistic_model.predict_proba(test_data)[:,1]
train_est_p = logistic_model.predict_proba(train_data)[:,1]
决策(Decisions)类检验
print(metrics.classification_report(test_target, test_est))
precision recall f1-score support
0 0.89 0.73 0.80 11
1 0.73 0.89 0.80 9
avg / total 0.82 0.80 0.80 20
metrics.accuracy_score(test_target, test_est)
0.8
排序(Rankings)类检验
ROC曲线
fpr_test, tpr_test, th_test = metrics.roc_curve(test_target, test_est_p)
fpr_train, tpr_train, th_train = metrics.roc_curve(train_target, train_est_p)
plt.figure(figsize=[6,6])
plt.plot(fpr_test, tpr_test,color='red')
plt.plot(fpr_train, tpr_train,color='black')
plt.title('ROC curve')
Text(0.5,1,'ROC curve')
[外链图片转存(img-tZ9AmEu0-1562725864378)(output_11_1.png)]
test_AUC=metrics.roc_auc_score(test_target, test_est_p)
train_AUC=metrics.roc_auc_score(train_target, train_est_p)
print ("test_AUC:",test_AUC, "train_AUC:",train_AUC)
test_AUC: 0.9393939393939394 train_AUC: 0.9806128830519074
KS曲线
test_x_axis = np.arange(len(fpr_test))/float(len(fpr_test))
train_x_axis = np.arange(len(fpr_train))/float(len(fpr_train))
plt.figure(figsize=[6,6])
plt.plot(fpr_test, test_x_axis, color='blue')
plt.plot(tpr_test, test_x_axis, color='red')
#plt.plot(fpr_train, train_x_axis, color=red)
#plt.plot(tpr_train, train_x_axis, color=red)
plt.title('KS curve')
Text(0.5,1,'KS curve')
[外链图片转存(img-rv8qoPl3-1562725864379)(output_14_1.png)]
from scipy.stats import ks_2samp
ks_2samp(fpr_test,tpr_test)
Ks_2sampResult(statistic=0.7142857142857142, pvalue=0.02750034109174311)