德国信贷数据建模baseline!
theme: smartblue
公众号:尤而小屋
作者:Peter
编辑:Peter
大家好,我是Peter~
本文是基于3大树模型对一份德国信贷数据的简单建模,可以作为一份baseline,最后也提出了优化的方向。主要内容包含:
导入库
导入的库用于数据处理、可视化、建模等
```python import pandas as pd import numpy as np
1、基于plotly
import plotly as py import plotly.express as px import plotly.graph_objects as go py.offline.init_notebook_mode(connected = True) from plotly.subplots import make_subplots # 多子图
2、基于matplotlib
import matplotlib.pyplot as plt import matplotlib.patches as mpatches %matplotlib inline
中文显示问题
设置字体
plt.rcParams["font.sans-serif"]=["SimHei"]
正常显示负号
plt.rcParams["axes.unicode_minus"]=False
3、基于seaborn
import seaborn as sns
plt.style.use("fivethirtyeight")
plt.style.use('ggplot')
数据标准化、分割、交叉验证
from sklearn.pipeline import Pipeline from sklearn.preprocessing import StandardScaler,LabelEncoder from sklearn.model_selection import train_test_split,cross_val_score
模型
from sklearn.linear_model import LogisticRegression from sklearn.tree import DecisionTreeRegressor,DecisionTreeClassifier from sklearn.ensemble import RandomForestClassifier from sklearn.svm import SVC
模型评价
from sklearn import metrics
from sklearn.metrics import classification_report, confusion_matrix, ConfusionMatrixDisplay
from sklearn.metrics import accuracy_score, recall_score, roc_auc_score, precision_score, f1_score
忽略notebook中的警告
import warnings warnings.filterwarnings("ignore") ```
数据简介
数据来自UCI官网:http://archive.ics.uci.edu/ml/datasets/Statlog+%28German+Credit+Data%29
基本信息:1000条数据 + 20个变量 + 目标变量 + 无缺失值
特征变量的中文与英文含义:
-
特征向量中文:1.支票账户状态;2.借款周期;3.历史信用;4.借款目的;5.信用额度;6.储蓄账户状态;7.当前就业状态;8.分期付款占可支配收入百分比;9.性别与婚姻状态;10.他人担保信息;11.现居住地;12.财产状态;13.年龄;14.其他分期情况;15.房产状态;16.信用卡数量;17.工作状态;18.赡养人数;19.电话号码注册情况;20.是否有海外工作经历
-
特征向量对应英文:1.status_account, 2.duration, 3.credit_history, 4,purpose, 5.amount, 6.svaing_account, 7.present_emp, 8.income_rate, 9.personal_status, 10.other_debtors, 11.residence_info, 12.property, 13.age, 14.inst_plans, 15.housing, 16.num_credits, 17.job, 18.dependents, 19.telephone, 20.foreign_worker
读入数据
下载的数据没有表头,网上搜索到对应英文表头,生成DataFrame:
In [4]:
df.shape
Out[4]:
(1000, 21)
In [5]:
df.dtypes # 字段类型
Out[5]:
checking_account_status object
duration int64
credit_history object
purpose object
credit_amount int64
savings object
present_employment object
installment_rate int64
personal object
other_debtors object
present_residence int64
property object
age int64
other_installment_plans object
housing object
existing_credits int64
job object
dependents int64
telephone object
foreign_worker object
customer_type int64
dtype: object
In [6]:
```
不同的字段类型统计
pd.value_counts(df.dtypes.values) ```
Out[6]:
object 13
int64 8
dtype: int64
In [7]:
df.isnull().sum()
Out[7]:
checking_account_status 0
duration 0
credit_history 0
purpose 0
credit_amount 0
savings 0
present_employment 0
installment_rate 0
personal 0
other_debtors 0
present_residence 0
property 0
age 0
other_installment_plans 0
housing 0
existing_credits 0
job 0
dependents 0
telephone 0
foreign_worker 0
customer_type 0
dtype: int64
不同字段下的取值统计
In [8]:
columns = df.columns # 字段
columns
Out[8]:
python
Index(['checking_account_status', 'duration', 'credit_history', 'purpose',
'credit_amount', 'savings', 'present_employment', 'installment_rate',
'personal', 'other_debtors', 'present_residence', 'property', 'age',
'other_installment_plans', 'housing', 'existing_credits', 'job',
'dependents', 'telephone', 'foreign_worker', 'customer_type'],
dtype='object')
1、针对字符类型字段的取值情况统计:
```python string_columns = df.select_dtypes(include="object").columns
两个基本参数:设置行、列
fig = make_subplots(rows=3, cols=5)
for i, v in enumerate(string_columns):
r = i // 5 + 1
c = (i+1) % 5
data = df[v].value_counts().reset_index()
if c ==0:
fig.add_trace(go.Bar(x=data["index"],y=data[v],
text=data[v],name=v),
row=r, col=5)
else:
fig.add_trace(go.Bar(x=data["index"],y=data[v],
text=data[v],name=v),
row=r, col=c)
fig.update_layout(width=1000, height=900)
fig.show() ```
2、针对数值型字段的分布情况:
```python number_columns = df.select_dtypes(exclude="object").columns.tolist() number_columns
两个基本参数:设置行、列
fig = make_subplots(rows=2, cols=4) # 2行4列
for i, v in enumerate(number_columns): # number_columns 长度是8 r = i // 4 + 1 c = (i+1) % 4
if c ==0:
fig.add_trace(go.Box(y=df[v].tolist(),name=v),
row=r, col=4)
else:
fig.add_trace(go.Box(y=df[v].tolist(),name=v),
row=r, col=c)
fig.update_layout(width=1000, height=900)
fig.show() ```
字段处理
支票状态-checking_account_status
中文含义:现有支票帐户的状态
- A11:<0 DM
- A12:0 <= x <200 DM
- A13:> = 200 DM /至少一年的薪水分配
- A14:无支票帐户)
In [11]:
df["checking_account_status"].value_counts()
Out[11]:
A14 394
A11 274
A12 269
A13 63
Name: checking_account_status, dtype: int64
In [12]:
``` fig,ax = plt.subplots(figsize=(12,8), dpi=80)
sns.countplot(x="checking_account_status", data=df)
plt.title("number of checking_account_status")
for p in ax.patches: ax.annotate(f'\n{p.get_height()}', (p.get_x(), p.get_height()+5), color='black', size=20) plt.show() ```
在这里我们根据每个人的支票账户金额的大小进行硬编码:
In [13]:
```python
A11:<0 DM,A12:0 <= x <200 DM,A13:> = 200 DM /至少一年的薪水分配,A14:无支票帐户
编码1
cas = {"A11": 1,"A12":2, "A13":3, "A14":0} df["checking_account_status"] = df["checking_account_status"].map(cas) ```
借款周期-duration
中文含义是:持续时间(月)
In [14]:
duration = df["duration"].value_counts()
duration.head()
Out[14]:
24 184
12 179
18 113
36 83
6 75
Name: duration, dtype: int64
In [15]:
``` fig = px.violin(df,y="duration")
fig.show() ```
信用卡历史-credit_history
中文含义
- A30:未提取任何信用/已全额偿还所有信用额
- A31:已偿还该银行的所有信用额
- A32:已到期已偿还的现有信用额
- A33:过去的还款延迟
- A34:关键帐户/其他信用额现有(不在此银行)
In [17]:
ch = df["credit_history"].value_counts().reset_index()
ch
Out[17]:
| | index | credit_history | | ---: | ----: | -------------: | | 0 | A32 | 530 | | 1 | A34 | 293 | | 2 | A33 | 88 | | 3 | A31 | 49 | | 4 | A30 | 40 |
In [18]:
```python fig = px.pie(ch,names="index",values="credit_history")
fig.update_traces( textposition='inside', textinfo='percent+label' )
fig.show() ```
```python
编码2:独热码
df_credit_history = pd.get_dummies(df["credit_history"]) df = df.join(df_credit_history) df.drop("credit_history", inplace=True, axis=1) ```
借款目的-purpose
借款目的
In [20]:
```
统计每个目的下的人数,根据人数的多少来实施硬编码
purpose = df["purpose"].value_counts().sort_values(ascending=True).reset_index()
purpose.columns = ["purpose", "number"]
purpose ```
```python
编码3
df["purpose"] = df["purpose"].map(dict(zip(purpose.purpose,purpose.index))) ```
信用额度-credit_amount
表示的是信用额度
In [22]:
px.violin(df["credit_amount"])
账户储蓄-savings
账户/债券储蓄(A61:<100 DM,A62:100 <= x <500 DM,A63:500 <= x <1000 DM,A64:> = 1000 DM,A65:未知/无储蓄账户
In [24]:
string_columns
Out[24]:
Index(['checking_account_status', 'credit_history', 'purpose', 'savings',
'present_employment', 'personal', 'other_debtors', 'property',
'other_installment_plans', 'housing', 'job', 'telephone',
'foreign_worker'],
dtype='object')
In [25]:
df["savings"].value_counts()
Out[25]:
A61 603
A65 183
A62 103
A63 63
A64 48
Name: savings, dtype: int64
In [26]:
```
编码6:硬编码
savings = {"A61":1,"A62":2, "A63":3, "A64":4,"A65":0}
df["savings"] = df["savings"].map(savings) ```
目前状态-present_employment
- A71:待业
- A72:<1年
- A73:1 <= x <4年
- A74:4 <= x <7年
- A75:..> = 7年
In [28]:
df["present_employment"].value_counts()
Out[28]:
A73 339
A75 253
A74 174
A72 172
A71 62
Name: present_employment, dtype: int64
In [29]:
```
编码7:独热码
df_present_employment = pd.get_dummies(df["present_employment"]) ```
In [30]:
``` df = df.join(df_present_employment)
df.drop("present_employment", inplace=True, axis=1) ```
个人婚姻状态和性别-personal
个人婚姻状况和性别(A91:男性:离婚/分居,A92:女性:离婚/分居/已婚,A93:男性:单身,A94:男性:已婚/丧偶,A95:女性:单身)
In [31]:
```
编码8:独热码
df_personal = pd.get_dummies(df["personal"]) df = df.join(df_personal)
df.drop("personal", inplace=True, axis=1) ```
其他担保人-other_debtors
A101:无,A102:共同申请人,A103:担保人
In [32]:
```
编码9:独热码
df_other_debtors = pd.get_dummies(df["other_debtors"]) df = df.join(df_other_debtors)
df.drop("other_debtors", inplace=True, axis=1) ```
资产-property
In [33]:
```
编码10:独热码
df_property = pd.get_dummies(df["property"]) df = df.join(df_property)
df.drop("property", inplace=True, axis=1) ```
住宿-housing
A151:租房,A152:自有,A153:免费
In [34]:
```
编码11:独热码
df_housing = pd.get_dummies(df["housing"]) df = df.join(df_housing)
df.drop("housing", inplace=True, axis=1) ```
其他投资计划-other_installment_plans
A141:银行,A142:店铺,A143:无
In [35]:
```python fig,ax = plt.subplots(figsize=(12,8), dpi=80)
sns.countplot(x="other_installment_plans", data=df)
plt.title("number of other_installment_plans")
for p in ax.patches: ax.annotate(f'\n{p.get_height()}', (p.get_x(), p.get_height()+5), color='black', size=20) plt.show() ```
```python
编码12:独热码
df_other_installment_plans = pd.get_dummies(df["other_installment_plans"]) df = df.join(df_other_installment_plans)
df.drop("other_installment_plans", inplace=True, axis=1) ```
工作-job
- A171 : 非技术人员-非居民
- A172:非技术人员-居民
- A173:技术人员/官员
- A174:管理/个体经营/高度合格的员工/官员
In [37]:
``` fig,ax = plt.subplots(figsize=(12,8), dpi=80)
sns.countplot(x="job", data=df)
plt.title("number of job")
for p in ax.patches: ax.annotate(f'\n{p.get_height()}', (p.get_x(), p.get_height()+5), color='black', size=20) plt.show() ```
```python
编码13:独热码
df_job = pd.get_dummies(df["job"]) df = df.join(df_job)
df.drop("job", inplace=True, axis=1) ```
电话-telephone
A191:无,A192:有,登记在客户名下
In [39]:
```
编码14:独热码
df_telephone = pd.get_dummies(df["telephone"]) df = df.join(df_telephone)
df.drop("telephone", inplace=True, axis=1) ```
是否国外工作-foreign_worker
A201: 有,A202: 无
In [40]:
```
编码15:独热码
df_foreign_worker = pd.get_dummies(df["foreign_worker"]) df = df.join(df_foreign_worker)
df.drop("foreign_worker", inplace=True, axis=1) ```
两种类型顾客统计-customer_type
预测类别:1 =良好,2 =不良
In [41]:
``` fig,ax = plt.subplots(figsize=(12,8), dpi=80)
sns.countplot(x="customer_type", data=df)
plt.title("number of customer_type")
for p in ax.patches: ax.annotate(f'\n{p.get_height()}', (p.get_x(), p.get_height()+5), color='black', size=20) plt.show() ```
打乱数据shuffle
In [42]:
``` from sklearn.utils import shuffle
随机打乱数据
df = shuffle(df).reset_index(drop=True) ```
建模
数据分割
In [44]:
```
选取特征
X = df.drop("customer_type",axis=1)
目标变量
y = df['customer_type'] from sklearn.model_selection import train_test_split ```
In [45]:
```
2-8比例
X_train, X_test, y_train, y_test = train_test_split(X, y, train_size=0.2, random_state=42) ```
数据标准化
In [46]:
``` ss = StandardScaler()
X_train = ss.fit_transform(X_train) ```
In [47]:
y_train
Out[47]:
556 1
957 1
577 2
795 2
85 1
..
106 1
270 2
860 1
435 1
102 2
Name: customer_type, Length: 200, dtype: int64
In [48]:
```
分别求出训练集的均值和标准差
mean_ = ss.mean_ # 均值 var_ = np.sqrt(ss.var_) # 标准差 ```
将上面求得的均值和标准差用于测试集中:
In [50]:
```
归一化之后的测试集中的特征数据
X_test = (X_test - mean_) / var_ ```
模型1:决策树
In [51]:
``` dt = DecisionTreeClassifier(max_depth=5)
dt.fit(X_train, y_train) ```
Out[51]:
DecisionTreeClassifier(max_depth=5)
In [52]:
```
预测
y_pred = dt.predict(X_test) y_pred[:5] ```
Out[52]:
array([2, 1, 1, 2, 1])
In [53]:
```
混淆矩阵
confusion_mat = metrics.confusion_matrix(y_test,y_pred) confusion_mat ```
Out[53]:
array([[450, 118],
[137, 95]])
In [54]:
```python
混淆矩阵可视化
classes = ["良好","不良"]
disp = ConfusionMatrixDisplay(confusion_matrix=confusion_mat, display_labels=classes)
disp.plot(
include_values=True, # 混淆矩阵每个单元格上显示具体数值
cmap="GnBu", # matplotlib识别的颜色图
ax=None,
xticks_rotation="horizontal",
values_format="d"
)
plt.show() ```
```python
auc-roc
auc_roc = metrics.roc_auc_score(y_test, y_pred) # 测试值和预测值 auc_roc
0.5008681398737251 ```
模型2:随机森林
In [56]:
rf = RandomForestClassifier()
rf.fit(X_train, y_train)
Out[56]:
RandomForestClassifier()
In [57]:
```
预测
y_pred = rf.predict(X_test) y_pred[:5] ```
Out[57]:
array([1, 1, 1, 2, 1])
In [58]:
```
混淆矩阵
confusion_mat = metrics.confusion_matrix(y_test,y_pred) confusion_mat ```
Out[58]:
array([[476, 92],
[142, 90]])
In [59]:
```python
混淆矩阵可视化
classes = ["良好","不良"]
disp = ConfusionMatrixDisplay(confusion_matrix=confusion_mat, display_labels=classes)
disp.plot(
include_values=True, # 混淆矩阵每个单元格上显示具体数值
cmap="GnBu", # matplotlib识别的颜色图
ax=None,
xticks_rotation="horizontal",
values_format="d"
)
plt.show() ```
```python
auc-roc
auc_roc = metrics.roc_auc_score(y_test, y_pred) # 真实值和预测值 auc_roc
0.6129796017484215 ```
模型3:XGboost
In [62]:
``` from xgboost.sklearn import XGBClassifier
定义 XGBoost模型
clf = XGBClassifier()
X_train = X_train.values
X_test = X_test.values
```
In [63]:
clf.fit(X_train, y_train)
Out[63]:
XGBClassifier(base_score=0.5, booster='gbtree', colsample_bylevel=1,
colsample_bynode=1, colsample_bytree=1, gamma=0, gpu_id=-1,
importance_type='gain', interaction_constraints='',
learning_rate=0.300000012, max_delta_step=0, max_depth=6,
min_child_weight=1, missing=nan, monotone_constraints='()',
n_estimators=100, n_jobs=0, num_parallel_tree=1, random_state=0,
reg_alpha=0, reg_lambda=1, scale_pos_weight=1, subsample=1,
tree_method='exact', validate_parameters=1, verbosity=None)
In [65]:
```
先转成数组再传进来
X_test = X_test.values
y_pred = clf.predict(X_test) y_pred[:5] ```
Out[65]:
array([1, 1, 1, 2, 1])
In [66]:
```
混淆矩阵
confusion_mat = metrics.confusion_matrix(y_test,y_pred) confusion_mat ```
Out[66]:
array([[445, 123],
[115, 117]])
In [67]:
```python
混淆矩阵可视化
classes = ["良好","不良"]
disp = ConfusionMatrixDisplay(confusion_matrix=confusion_mat, display_labels=classes)
disp.plot(
include_values=True, # 混淆矩阵每个单元格上显示具体数值
cmap="GnBu", # matplotlib识别的颜色图
ax=None,
xticks_rotation="horizontal",
values_format="d"
)
plt.show() ```
```python
auc-roc
auc_roc = metrics.roc_auc_score(y_test, y_pred) # 真实值和预测值 auc_roc
0.6438805245264692 ```
模型优化
基于相关系数进行特征筛选
```
y:customer_type是目标变量
1、计算每个特征和目标变量的相关系数
data = pd.concat([X,y],axis=1)
corr = data.corr() corr[:5] ```
相关系数的描述统计信息:发现整体的相关系数(绝对值)都比较小
热力图
``` ax = plt.subplots(figsize=(20,16))
ax = sns.heatmap(corr, vmax=0.8, square=True, annot=True, # 显示数据 cmap="YlGnBu") ```
根据相关系数筛选前20个变量
``` k = 20
cols = corr.nlargest(k,"customer_type")["customer_type"].index cols ```
Index(['customer_type', 'duration', 'checking_account_status', 'credit_amount',
'A30', 'A31', 'A124', 'A72', 'A141', 'A151', 'A201', 'A153', 'A92',
'installment_rate', 'A102', 'A142', 'A91', 'A32', 'A174', 'A71'],
dtype='object')
``` cm = np.corrcoef(data[cols].values.T)
hm = plt.subplots(figsize=(10,10)) # 调整画布大小 hm = sns.heatmap(data[cols].corr(), # 前10个属性的相关系数 annot=True, square=True) plt.show() ```
筛选相关系数绝对值大于0.1的变量
``` threshold = 0.1
corrmat = data.corr() top_corr_features = corrmat.index[abs(corrmat["customer_type"]) > threshold]
plt.figure(figsize=(10,10))
g = sns.heatmap(data[top_corr_features].corr(), # 大于0.5的特征构成的DF的相关系数矩阵 annot=True, square=True, cmap="nipy_spectral_r" ) ```
新数据建模
```
筛选出为True的特征
useful_col = corrmat.index[abs(corrmat["customer_type"]) > threshold].tolist()
```
new_df = df[useful_col]
new_df.head()
数据切分
```
选取特征
X = new_df.drop("customer_type",axis=1)
目标变量
y = new_df['customer_type'] ```
```
3-7比例
X_train, X_test, y_train, y_test = train_test_split(X, y, train_size=0.3, random_state=42) ```
标准化
ss = StandardScaler()
X_train = ss.fit_transform(X_train)
```
分别求出训练集的均值和标准差
mean_ = ss.mean_ # 均值 var_ = np.sqrt(ss.var_) # 标准差
归一化之后的测试集中的特征数据
X_test = (X_test - mean_) / var_ ```
建模
``` from xgboost.sklearn import XGBClassifier
定义 XGBoost模型
clf = XGBClassifier() ```
clf.fit(X_train, y_train)
XGBClassifier(base_score=0.5, booster='gbtree', colsample_bylevel=1,
colsample_bynode=1, colsample_bytree=1, gamma=0, gpu_id=-1,
importance_type='gain', interaction_constraints='',
learning_rate=0.300000012, max_delta_step=0, max_depth=6,
min_child_weight=1, missing=nan, monotone_constraints='()',
n_estimators=100, n_jobs=0, num_parallel_tree=1, random_state=0,
reg_alpha=0, reg_lambda=1, scale_pos_weight=1, subsample=1,
tree_method='exact', validate_parameters=1, verbosity=None)
In [80]:
```
先转成数组再传进来
X_test = X_test.values
y_pred = clf.predict(X_test) y_pred[:5] ```
Out[80]:
array([2, 1, 2, 2, 1])
In [81]:
```
混淆矩阵
confusion_mat = metrics.confusion_matrix(y_test,y_pred) confusion_mat ```
Out[81]:
array([[406, 94],
[ 96, 104]])
In [82]:
```
auc-roc
auc_roc = metrics.roc_auc_score(y_test, y_pred) # 真实值和预测值 auc_roc ```
Out[82]:
0.666
优化方向
经过3种不同树模型的建模,我们发现模型的AUC值并不是很高。AUC 值是一个概率值,AUC 值越大,分类算法越好。可以考虑优化的方向:
- 特征工程处理:这个可以重点优化。目前对原始的特征变量使用了3种不同类型编码、独热码和硬编码;有些字段的编码方式需要优化。
- 筛选变量:相关系数是用来检测两个连续型变量之间线性相关的程度;特征变量和最终因变量的关系不一定线性相关。本文中观察到相关系数都很低,似乎佐证了这点。后续考虑通过其他方法来筛选变量进行建模
- 模型调优:通过网格搜索等优化单个模型的参数,或者通过模型融合来增强整体效果。
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