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JamesIgoe/corrFilter.py

Created August 22, 2020 18:27
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Correlation Filter: Creates a correlation matrix from a data frame. filters it for upper and lower bounds fo correlation, and then flattens it
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corrFilter.py
#requires pandas and numpy
def corrFilter(x: pd.DataFrame, bound: float):
xCorr = x.corr()
xFiltered = xCorr[((xCorr >= bound) | (xCorr <= -bound)) & (xCorr !=1.000)]
xFlattened = xFiltered.unstack().sort_values().drop_duplicates()
return xFlattened
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