scorecard (version 0.2.3)

woebin: WOE Binning

Description

woebin generates optimal binning for numerical, factor and categorical variables using methods including tree-like segmentation or chi-square merge. woebin can also customizing breakpoints if the breaks_list was provided. The default woe is defined as ln(Bad_i/Good_i). If you prefer ln(Good_i/Bad_i), please set the argument positive as negative value, such as '0' or 'good'. If there is a zero frequency class when calculating woe, the zero will replaced by 0.99 to make the woe calculable.

Usage

woebin(dt, y, x = NULL, var_skip = NULL, breaks_list = NULL,
  special_values = NULL, stop_limit = 0.1, count_distr_limit = 0.05,
  bin_num_limit = 8, positive = "bad|1", no_cores = NULL,
  print_step = 0L, method = "tree", save_breaks_list = NULL,
  ignore_const_cols = TRUE, ignore_datetime_cols = TRUE,
  check_cate_num = TRUE, replace_blank_na = TRUE, ...)

Arguments

dt

A data frame with both x (predictor/feature) and y (response/label) variables.

y

Name of y variable.

x

Name of x variables. Default is NULL. If x is NULL, then all columns except y and var_skip are counted as x variables.

var_skip

Name of variables that will skip for binning. Default is NULL.

breaks_list

List of break points, default is NULL. If it is not NULL, variable binning will based on the provided breaks.

special_values

the values specified in special_values will be in separate bins. Default is NULL.

stop_limit

Stop binning segmentation when information value gain ratio less than the stop_limit if using tree method; or stop binning merge when the minimum of chi-square larger than 'qchisq(1-stoplimit, 1)' if using chimerge method. Accepted range: 0-0.5; default is 0.1.

count_distr_limit

The minimum count distribution percentage. Accepted range: 0.01-0.2; default is 0.05.

bin_num_limit

Integer. The maximum number of binning. Default is 8.

positive

Value of positive class, default "bad|1".

no_cores

Number of CPU cores for parallel computation. Defaults NULL. If no_cores is NULL, the no_cores will set as 1 if length of x variables less than 10, and will set as the number of all CPU cores if the length of x variables greater than or equal to 10.

print_step

A non-negative integer. Default is 1. If print_step>0, print variable names by each print_step-th iteration. If print_step=0 or no_cores>1, no message is print.

method

Optimal binning method, it should be "tree" or "chimerge". Default is "tree".

save_breaks_list

A string. The file name to save breaks_list. Default is None.

ignore_const_cols

Logical. Ignore constant columns. Default is TRUE.

ignore_datetime_cols

Logical. Ignore datetime columns. Default is TRUE.

check_cate_num

Logical. Check whether the number of unique values in categorical columns larger than 50. It might make the binning process slow if there are too many unique categories. Default is TRUE.

replace_blank_na

Logical. Replace blank values with NA. Default is TRUE.

...

Additional parameters.

Value

A list of data frames include binning information for each x variables.

See Also

woebin_ply, woebin_plot, woebin_adj

Examples

# NOT RUN {
# load germancredit data
data(germancredit)

# Example I
# binning of two variables in germancredit dataset
# using tree method
bins2_tree = woebin(germancredit, y="creditability",
   x=c("credit.amount","housing"), method="tree")
bins2_tree

# }
# NOT RUN {
# using chimerge method
bins2_chi = woebin(germancredit, y="creditability",
   x=c("credit.amount","housing"), method="chimerge")

# save breaks_list as a R file
bins2 = woebin(germancredit, y="creditability",
   x=c("credit.amount","housing"), save_breaks_list='breaks_list')

# binning in equal freq/width # only supports numerical variables
numeric_cols = c("duration.in.month", "credit.amount",
  "installment.rate.in.percentage.of.disposable.income", "present.residence.since",
  "age.in.years", "number.of.existing.credits.at.this.bank",
  "number.of.people.being.liable.to.provide.maintenance.for")
bins_freq  = woebin(germancredit, y="creditability", x=numeric_cols, method="freq")
bins_width = woebin(germancredit, y="creditability", x=numeric_cols, method="width")

# Example II
# binning of the germancredit dataset
bins_germ = woebin(germancredit, y = "creditability")
# converting bins_germ into a data frame
# bins_germ_df = data.table::rbindlist(bins_germ)

# Example III
# customizing the breakpoints of binning
library(data.table)
dat = rbind(
  germancredit,
  data.table(creditability=sample(c("good","bad"),10,replace=TRUE)),
  fill=TRUE)

breaks_list = list(
  age.in.years = c(26, 35, 37, "Inf%,%missing"),
  housing = c("own", "for free%,%rent")
)

special_values = list(
  credit.amount = c(2600, 9960, "6850%,%missing"),
  purpose = c("education", "others%,%missing")
)

bins_cus_brk = woebin(dat, y="creditability",
  x=c("age.in.years","credit.amount","housing","purpose"),
  breaks_list=breaks_list, special_values=special_values)

# }
# NOT RUN {
# }