Source code for evalml.data_checks.multicollinearity_data_check

"""Data check to check if any set features are likely to be multicollinear."""

from evalml.data_checks import DataCheck, DataCheckMessageCode, DataCheckWarning
from evalml.utils import infer_feature_types


[docs]class MulticollinearityDataCheck(DataCheck): """Check if any set features are likely to be multicollinear. Args: threshold (float): The threshold to be considered. Defaults to 0.9. """ def __init__(self, threshold=0.9): if threshold < 0 or threshold > 1: raise ValueError("threshold must be a float between 0 and 1, inclusive.") self.threshold = threshold
[docs] def validate(self, X, y=None): """Check if any set of features are likely to be multicollinear. Args: X (pd.DataFrame): The input features to check. y (pd.Series): The target. Ignored. Returns: dict: dict with a DataCheckWarning if there are any potentially multicollinear columns. Example: >>> import pandas as pd Columns in X that are highly correlated with each other will be identified using mutual information. >>> col = pd.Series([1, 0, 2, 3, 4] * 15) >>> X = pd.DataFrame({"col_1": col, "col_2": col * 3}) >>> y = pd.Series([1, 0, 0, 1, 0] * 15) ... >>> multicollinearity_check = MulticollinearityDataCheck(threshold=1.0) >>> assert multicollinearity_check.validate(X, y) == [ ... { ... "message": "Columns are likely to be correlated: [('col_1', 'col_2')]", ... "data_check_name": "MulticollinearityDataCheck", ... "level": "warning", ... "code": "IS_MULTICOLLINEAR", ... "details": {"columns": [("col_1", "col_2")], "rows": None}, ... "action_options": [] ... } ... ] """ messages = [] X = infer_feature_types(X) mutual_info_df = X.ww.mutual_information() if mutual_info_df.empty: return messages above_threshold = mutual_info_df.loc[ mutual_info_df["mutual_info"] >= self.threshold ] correlated_cols = [ (col_1, col_2) for col_1, col_2 in zip( above_threshold["column_1"], above_threshold["column_2"], ) ] if correlated_cols: warning_msg = "Columns are likely to be correlated: {}" messages.append( DataCheckWarning( message=warning_msg.format(correlated_cols), data_check_name=self.name, message_code=DataCheckMessageCode.IS_MULTICOLLINEAR, details={"columns": correlated_cols}, ).to_dict(), ) return messages