# -*- coding:utf-8 -*- """ @author: yq @time: 2023/12/28 @desc: 特征工具类 """ import numpy as np import pandas as pd import scorecardpy as sc from statsmodels.stats.outliers_influence import variance_inflation_factor as vif FORMAT_DICT = { # 比例类 -1 - 1 "bin_rate1": np.arange(-1, 1 + 0.1, 0.1), # 次数类1 0 -10 "bin_cnt1": np.arange(0, 11, 1), # 次数类2 0 - 20 "bin_cnt2": [0, 1, 2, 3, 4, 5, 8, 10, 15, 20], # 次数类3 0 - 50 "bin_cnt3": [0, 2, 4, 6, 8, 10, 15, 20, 25, 30, 35, 40, 45, 50], # 次数类4 0 - 100 "bin_cnt4": [0, 3, 6, 10, 15, 20, 30, 40, 50, 100], # 金额类1 0 - 1w "bin_amt1": np.arange(0, 1.1e4, 1e3), # 金额类2 0 - 5w "bin_amt2": np.arange(0, 5.5e4, 5e3), # 金额类3 0 - 10w "bin_amt3": np.arange(0, 11e4, 1e4), # 金额类4 0 - 20w "bin_amt4": [0, 1e4, 2e4, 3e4, 4e4, 5e4, 8e4, 10e4, 15e4, 20e4], # 金额类5 0 - 100w "bin_amt5": [0, 5e4, 10e4, 15e4, 20e4, 25e4, 30e4, 40e4, 50e4, 100e4], # 年龄类 "bin_age": [20, 25, 30, 35, 40, 45, 50, 55, 60, 65], } # 粗分箱 def f_format_bin(data_describe: pd.Series, raw_v): percent10 = data_describe["10%"] percent90 = data_describe["90%"] format_v = raw_v # 筛选最合适的标准化分箱节点 bin = None for k, v_list in FORMAT_DICT.items(): bin_min = min(v_list) bin_max = max(v_list) if percent10 >= bin_min and percent90 <= bin_max: if bin is None: bin = (k, bin_max) elif bin[1] > bin_max: bin = (k, bin_max) if bin is None: return format_v # 选择分箱内适合的切分点 v_list = FORMAT_DICT[bin[0]] for idx in range(1, len(v_list)): v_left = v_list[idx - 1] v_right = v_list[idx] # 就近原则 if v_left <= raw_v <= v_right: format_v = v_right if (raw_v - v_left) - (v_right - raw_v) > 0 else v_left if format_v not in v_list: if format_v > v_list[-1]: format_v = v_list[-1] if format_v < v_list[0]: format_v = v_list[0] return format_v # 此函数判断list的单调性,允许至多N次符号变化 def f_judge_monto(bd_list: list, pos_neg_cnt: int = 1) -> int: start_tr = bd_list[1] - bd_list[0] tmp_len = len(bd_list) pos_neg_flag = 0 for i in range(2, tmp_len): tmp_tr = bd_list[i] - bd_list[i - 1] # 后一位bad_rate减前一位bad_rate,保证bad_rate的单调性 # 记录符号变化, 允许 最多一次符号变化,即U型分布 if (tmp_tr >= 0 and start_tr >= 0) or (tmp_tr <= 0 and start_tr <= 0): # 满足趋势保持,查看下一位 continue else: # 记录一次符号变化 start_tr = tmp_tr pos_neg_flag += 1 if pos_neg_flag > pos_neg_cnt: return False # 记录满足趋势要求的变量 if pos_neg_flag <= pos_neg_cnt: return True return False def f_get_corr(data: pd.DataFrame, meth: str = 'spearman') -> pd.DataFrame: return data.corr(method=meth) def f_get_ivf(data: pd.DataFrame) -> pd.DataFrame: if len(data.columns.to_list()) <= 1: return None vif_v = [vif(data.values, data.columns.get_loc(i)) for i in data.columns] vif_df = pd.DataFrame() vif_df["变量"] = data.columns vif_df['vif'] = vif_v return vif_df def f_calcu_model_ks(data, y_column, sort_ascending): var_ks = data.groupby('MODEL_SCORE_BIN')[y_column].agg([len, np.sum]).sort_index(ascending=sort_ascending) var_ks.columns = ['样本数', '坏样本数'] var_ks['好样本数'] = var_ks['样本数'] - var_ks['坏样本数'] var_ks['坏样本比例'] = (var_ks['坏样本数'] / var_ks['样本数']).round(4) var_ks['样本数比例'] = (var_ks['样本数'] / var_ks['样本数'].sum()).round(4) var_ks['总坏样本数'] = var_ks['坏样本数'].sum() var_ks['总好样本数'] = var_ks['好样本数'].sum() var_ks['平均坏样本率'] = (var_ks['总坏样本数'] / var_ks['样本数'].sum()).round(4) var_ks['累计坏样本数'] = var_ks['坏样本数'].cumsum() var_ks['累计好样本数'] = var_ks['好样本数'].cumsum() var_ks['累计样本数'] = var_ks['样本数'].cumsum() var_ks['累计坏样本比例'] = (var_ks['累计坏样本数'] / var_ks['总坏样本数']).round(4) var_ks['累计好样本比例'] = (var_ks['累计好样本数'] / var_ks['总好样本数']).round(4) var_ks['KS'] = (var_ks['累计坏样本比例'] - var_ks['累计好样本比例']).round(4) var_ks['LIFT'] = ((var_ks['累计坏样本数'] / var_ks['累计样本数']) / var_ks['平均坏样本率']).round(4) return var_ks.reset_index() def f_get_model_score_bin(df, card, bins=None): train_score = sc.scorecard_ply(df, card, print_step=0) df['score'] = train_score if bins is None: _, bins = pd.qcut(df['score'], q=10, retbins=True, duplicates="drop") bins = list(bins) bins[0] = -np.inf bins[-1] = np.inf score_bins = pd.cut(df['score'], bins=bins) df['MODEL_SCORE_BIN'] = score_bins.astype(str).values return df, bins def f_calcu_model_psi(df_train, df_test): tmp1 = df_train.groupby('MODEL_SCORE_BIN')['MODEL_SCORE_BIN'].agg(['count']).sort_index(ascending=True) tmp1['样本数比例'] = (tmp1['count'] / tmp1['count'].sum()).round(4) tmp2 = df_test.groupby('MODEL_SCORE_BIN')['MODEL_SCORE_BIN'].agg(['count']).sort_index(ascending=True) tmp2['样本数比例'] = (tmp2['count'] / tmp2['count'].sum()).round(4) psi = ((tmp1['样本数比例'] - tmp2['样本数比例']) * np.log(tmp1['样本数比例'] / tmp2['样本数比例'])).round(4) psi = psi.reset_index() psi = psi.rename(columns={"样本数比例": "psi"}) psi['训练样本数'] = list(tmp1['count']) psi['测试样本数'] = list(tmp2['count']) psi['训练样本数比例'] = list(tmp1['样本数比例']) psi['测试样本数比例'] = list(tmp2['样本数比例']) return psi