SmartCorrelatedSelection¶
API Reference¶
-
class
feature_engine.selection.
SmartCorrelatedSelection
(variables=None, method='pearson', threshold=0.8, missing_values='ignore', selection_method='missing_values', estimator=None, scoring='roc_auc', cv=3)[source]¶ SmartCorrelatedSelection() finds groups of correlated features and then selects, from each group, a feature following certain criteria:
Feature with least missing values
Feature with most unique values
Feature with highest variance
Best performing feature according to estimator entered by user
SmartCorrelatedSelection() returns a dataframe containing from each group of correlated features, the selected variable, plus all original features that were not correlated to any other.
Correlation is calculated with
pandas.corr()
.SmartCorrelatedSelection() works only with numerical variables. Categorical variables will need to be encoded to numerical or will be excluded from the analysis.
- Parameters
- variableslist, default=None
The list of variables to evaluate. If None, the transformer will evaluate all numerical variables in the dataset.
- methodstring, default=’pearson’
Can take ‘pearson’, ‘spearman’ or’kendall’. It refers to the correlation method to be used to identify the correlated features.
pearson : standard correlation coefficient
kendall : Kendall Tau correlation coefficient
spearman : Spearman rank correlation
- thresholdfloat, default=0.8
The correlation threshold above which a feature will be deemed correlated with another one and removed from the dataset.
- missing_valuesstr, default=ignore
Takes values ‘raise’ and ‘ignore’. Whether the missing values should be raised as error or ignored when determining correlation.
- selection_methodstr, default= “missing_values”
Takes the values “missing_values”, “cardinality”, “variance” and “model_performance”.
“missing_values”: keeps the feature from the correlated group with least missing observations
“cardinality”: keeps the feature from the correlated group with the highest cardinality.
“variance”: keeps the feature from the correlated group with the highest variance.
“model_performance”: trains a machine learning model using the correlated feature group and retains the feature with the highest importance.
- estimatorobject, default = None
A Scikit-learn estimator for regression or classification.
- scoringstr, default=’roc_auc’
Desired metric to optimise the performance of the estimator. Comes from sklearn.metrics. See the model evaluation documentation for more options: https://scikit-learn.org/stable/modules/model_evaluation.html
- cvint, default=3
Cross-validation fold to be used to fit the estimator.
Attributes
correlated_feature_sets_:
Groups of correlated features. Each list is a group of correlated features.
features_to_drop_:
The correlated features to remove from the dataset.
See also
pandas.corr
feature_engine.selection.DropCorrelatedFeatures
Methods
fit:
Find best feature from each correlated groups.
transform:
Return selected features.
fit_transform:
Fit to the data. Then transform it.
-
fit
(X, y=None)[source]¶ Find the correlated feature groups. Determine which feature should be selected from each group.
- Parameters
- Xpandas dataframe of shape = [n_samples, n_features]
The training dataset.
- ypandas series. Default = None
y is needed if selection_method == ‘model_performance’.
- Returns
- self
Example¶
import pandas as pd
from sklearn.datasets import make_classification
from feature_engine.selection import SmartCorrelatedSelection
# 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()
# set up the selector
tr = SmartCorrelatedSelection(
variables=None,
method="pearson",
threshold=0.8,
missing_values="raise",
selection_method="variance",
estimator=None,
)
Xt = tr.fit_transform(X)
tr.correlated_feature_sets_
[{'var_0', 'var_8'}, {'var_4', 'var_6', 'var_7', 'var_9'}]
tr.selected_features_
['var_1', 'var_2', 'var_3', 'var_5', 'var_10', 'var_11', 'var_8', 'var_7']
print(print(Xt.head()))
var_1 var_2 var_3 var_5 var_10 var_11 var_8 \
0 -2.376400 -0.247208 1.210290 0.091527 2.070526 -1.989335 2.070483
1 1.969326 -0.126894 0.034598 -0.186802 1.184820 -1.309524 2.421477
2 1.499174 0.334123 -2.233844 -0.313881 -0.066448 -0.852703 2.263546
3 0.075341 1.627132 0.943132 -0.468041 0.713558 0.484649 2.792500
4 0.372213 0.338141 0.951526 0.729005 0.398790 -0.186530 2.186741
var_7
0 -2.230170
1 -1.447490
2 -2.240741
3 -3.534861
4 -2.053965