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redpoint13/variance_inflation_factor

Created December 28, 2020 18:06
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variance_inflation_factor
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variance_inflation_factor
# variance_inflation_factor
# VIF >= 5 indicates issue w multicollearity
from statsmodels.stats.outliers_influence import variance_inflation_factor
from statsmodels.tools.tools import add_constant
X = add_constant(data.select_dtypes(include=np.number).fillna(-1))
vif = pd.Series([variance_inflation_factor(X.values, i) for i in range(X.shape[1])], index=X.columns)
vif
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