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WillKoehrsen/remove_collinear.py

Created June 19, 2018 19:39
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remove_collinear.py
# Threshold for removing correlated variables
threshold = 0.9
# Absolute value correlation matrix
corr_matrix = app.corr().abs()
# Upper triangle of correlations
upper = corr_matrix.where(np.triu(np.ones(corr_matrix.shape), k=1).astype(np.bool))
# Select columns with correlations above threshold
to_drop = [column for column in upper.columns if any(upper[column] > threshold)]
# Remove the columns
app = app.drop(columns = to_drop)
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