原理很简单,初始分20箱或更多,先确保每箱中都含有0,1标签,对不包含0,1标签的箱向前合并,计算各箱卡方值,对卡方值最小的箱向后合并,代码如下
import pandas as pd
import numpy as np
import scipy
from scipy import stats
def chi_bin(DF,var,target,binnum=5,maxcut=20):
'''
DF:data
var:variable
target:target / label
binnum: the number of bins output
maxcut: initial bins number
'''
data=DF[[var,target]]
#equifrequent cut the var into maxcut bins
data["cut"],breaks=pd.qcut(data[var],q=maxcut,duplicates="drop",retbins=True)
#count 1,0 in each bin
count_1=data.loc[data[target]==1].groupby("cut")[target].count()
count_0=data.loc[data[target]==0].groupby("cut")[target].count()
#get bins value: min,max,count 0,count 1
bins_value=[*zip(breaks[:maxcut-1],breaks[1:],count_0,count_1)]
#define woe
def woe_value(bins_value):
df_woe=pd.DataFrame(bins_value)
df_woe.columns=["min","max","count_0","count_1"]
df_woe["total"]=df_woe.count_1+df_woe.count_0
df_woe["bad_rate"]=df_woe.count_1/df_woe.total
df_woe["woe"]=np.log((df_woe.count_0/df_woe.count_0.sum())/(df_woe.count_1/df_woe.count_1.sum()))
return df_woe
#define iv
def iv_value(df_woe):
rate=(df_woe.count_0/df_woe.count_0.sum())-(df_woe.count_1/df_woe.count_1.sum())
iv=np.sum(rate * df_woe.woe)
return iv
#make sure every bin contain 1 and 0
##first bin merge backwards
for i in range(len(bins_value)):
if 0 in bins_value[0][2:]:
bins_value[0:2]=[(
bins_value[0][0],
bins_value[1][1],
bins_value[0][2]+bins_value[1][2],
bins_value[0][3]+bins_value[1][3])]
continue
##bins merge forwards
if 0 in bins_value[i][2:]:
bins_value[i-1:i+1]=[(
bins_value[i-1][0],
bins_value[i][1],
bins_value[i-1][2]+bins_value[i][2],
bins_value[i-1][3]+bins_value[i][3])]
break
else:
break
#calculate chi-square merge the minimum chisquare
while len(bins_value) binnum:
chi_squares=[]
for i in range(len(bins_value)-1):
a=bins_value[i][2:]
b=bins_value[i+1][2:]
chi_square=scipy.stats.chi2_contingency([a,b])[0]
chi_squares.append(chi_square)
#merge the minimum chisquare backwards
i = chi_squares.index(min(chi_squares))
bins_value[i:i+2]=[(
bins_value[i][0],
bins_value[i+1][1],
bins_value[i][2]+bins_value[i+1][2],
bins_value[i][3]+bins_value[i+1][3])]
df_woe=woe_value(bins_value)
#print bin number and iv
print("箱数:{},iv:{:.6f}".format(len(bins_value),iv_value(df_woe)))
#return bins and woe information
return woe_value(bins_value)
以下是效果:
初始分成10箱,目标为3箱
chi_bin(data,"age","SeriousDlqin2yrs",binnum=3,maxcut=10)
箱数:8,iv:0.184862 箱数:7,iv:0.184128 箱数:6,iv:0.179518 箱数:5,iv:0.176980 箱数:4,iv:0.172406 箱数:3,iv:0.160015 minmaxcount_0count_1totalbad_ratewoe 00.052.0702937077773700.091470-0.266233 152.061.0293181774310920.0570560.242909 261.072.026332865271970.0318050.853755
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