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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| #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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