woebin: WOE Binning

In scorecard: Credit Risk Scorecard

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(Pos_i/Neg_i). If you prefer ln(Neg_i/Pos_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, missing_join = "left", stop_limit = 0.1,
  count_distr_limit = 0.05, bin_num_limit = 8, positive = "bad|1",
  no_cores = 2, print_step = 0L, method = "tree",
  save_breaks_list = NULL, ignore_const_cols = TRUE,
  ignore_datetime_cols = TRUE, check_cate_num = TRUE,
  replace_blank_inf = 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. Defaults to 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. Defaults to NULL.
breaks_list	List of break points, Defaults to 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. Defaults to NULL.
missing_join	missing values join with the left non-missing bin if its share is lower than threshold. Accepted values including left and right. Defaults to left.
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 chi-square of each neighbor bins are larger than the threshold under significance level of 'stop_limit' and freedom degree of 1 if using chimerge method. Accepted range: 0-0.5; Defaults to 0.1. If it is 'N', each x value is a bin.
count_distr_limit	The minimum count distribution percentage. Accepted range: 0.01-0.2; Defaults to 0.05.
bin_num_limit	Integer. The maximum number of binning. Defaults to 8.
positive	Value of positive class, defaults to "bad|1".
no_cores	Number of CPU cores for parallel computation. Defaults to 2, if it sets to NULL then 90 percent of total cpu cores will be used.
print_step	A non-negative integer. Defaults to 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	Four methods are provided, "tree" and "chimerge" for optimal binning that support both numerical and categorical variables, and 'width' and 'freq' for equal binning that support numerical variables only. Defaults to "tree".
save_breaks_list	A string. The file name to save breaks_list. Defaults to None.
ignore_const_cols	Logical. Ignore constant columns. Defaults to TRUE.
ignore_datetime_cols	Logical. Ignore datetime columns. Defaults to 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. Defaults to TRUE.
replace_blank_inf	Logical. Replace blank values with NA and infinite with -1. Defaults to 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

# 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")

# 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")

# y can be NULL if no label column in dataset
bins_freq_noy  = woebin(germancredit, y=NULL, x=numeric_cols)

# Example II
# setting of stop_limit
# stop_limit = 0.1 (by default)
bins_x1 = woebin(germancredit, y = 'creditability', x = 'foreign.worker', stop_limit = 0.1)
# stop_limit = 'N', each x value is a bin
bins_x1_N = woebin(germancredit, y = 'creditability', x = 'foreign.worker', stop_limit = 'N')

# Example III
# 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 IV
# customizing the breakpoints of binning
library(data.table)
dat = rbind(
  setDT(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)

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

# Example VI
# setting bin closed on the right
options(scorecard.bin_close_right = TRUE)
binsRight = woebin(germancredit, y = 'creditability', x = 'age.in.years')
binsRight
# setting bin close on the left, the default setting
options(scorecard.bin_close_right = FALSE)

## End(Not run)

scorecard documentation built on Aug. 8, 2023, 5:07 p.m.