DropCorrelatedFeatures#

The DropCorrelatedFeatures() finds and removes correlated variables from a dataframe. Correlation is calculated with pandas.corr(). All correlation methods supported by pandas.corr() can be used in the selection, including Spearman, Kendall, or Spearman. You can also pass a bespoke correlation function, provided it returns a value between -1 and 1.

Features are removed on first found first removed basis, without any further insight. That is, the first feature will be retained an all subsequent features that are correlated with this, will be removed.

The transformer will examine all numerical variables automatically. Note that you could pass a dataframe with categorical and datetime variables, and these will be ignored automatically. Alternatively, you can pass a list with the variables you wish to evaluate.

Example

Let’s create a toy dataframe where 4 of the features are correlated:

import pandas as pd
from sklearn.datasets import make_classification
from feature_engine.selection import DropCorrelatedFeatures

# make dataframe with some correlated variables
def make_data():
    X, y = make_classification(n_samples=1000,
                           n_features=12,
                           n_redundant=4,
                           n_clusters_per_class=1,
                           weights=[0.50],
                           class_sep=2,
                           random_state=1)

    # trasform arrays into pandas df and series
    colnames = ['var_'+str(i) for i in range(12)]
    X = pd.DataFrame(X, columns =colnames)
    return X

X = make_data()

Now, we set up DropCorrelatedFeatures() to find and remove variables which (absolute) correlation coefficient is bigger than 0.8:

tr = DropCorrelatedFeatures(variables=None, method='pearson', threshold=0.8)

With fit() the transformer finds the correlated variables and with transform() it drops them from the dataset:

Xt = tr.fit_transform(X)

The correlated feature groups are stored in the transformer’s attributes:

tr.correlated_feature_sets_
[{'var_0', 'var_8'}, {'var_4', 'var_6', 'var_7', 'var_9'}]

As well as the features that will be removed from the dataset:

tr.features_to_drop_
{'var_6', 'var_7', 'var_8', 'var_9'}

If we now go ahead and print the transformed data, we see that the correlated features have been removed.

print(print(Xt.head()))
          var_0     var_1     var_2     var_3     var_4     var_5    var_10  \
0  1.471061 -2.376400 -0.247208  1.210290 -3.247521  0.091527  2.070526
1  1.819196  1.969326 -0.126894  0.034598 -2.910112 -0.186802  1.184820
2  1.625024  1.499174  0.334123 -2.233844 -3.399345 -0.313881 -0.066448
3  1.939212  0.075341  1.627132  0.943132 -4.783124 -0.468041  0.713558
4  1.579307  0.372213  0.338141  0.951526 -3.199285  0.729005  0.398790

     var_11
0 -1.989335
1 -1.309524
2 -0.852703
3  0.484649
4 -0.186530

More details#

In this notebook, we show how to use DropCorrelatedFeatures() with a different relation metric: