Information Value

Calculate the Information Value (IV) of the features in X.

X must be the output of fitted bucketers.

\[ IV = \sum { (\% goods - \% bads) } * { WOE } \]

\[ WOE=\ln (\% { goods } / \% { bads }) \]

Example:

from skorecard import datasets
from sklearn.model_selection import train_test_split
from skorecard.bucketers import DecisionTreeBucketer
from skorecard.reporting import iv

X, y = datasets.load_uci_credit_card(return_X_y=True)

dbt = DecisionTreeBucketer()
X_bins = dbt.fit_transform(X,y)

iv_dict = iv(X_bins, y)

Parameters:

Name	Type	Description	Default
X	pd.DataFrame	pd.DataFrame (bucketed) features	required
y	pd.Series	pd.Series: target values	required
epsilon	float	Amount to be added to relative counts in order to avoid division by zero in the WOE calculation.	0.0001
digits	int	number of significant decimal digits in the IV calculation	None

Returns:

Name	Type	Description
IVs	dict	Keys are feature names, values are the IV values

Source code in skorecard/reporting/report.py

def iv(X: pd.DataFrame, y: pd.Series, epsilon: float = 0.0001, digits: Optional[int] = None) -> Dict:
    r"""
    Calculate the Information Value (IV) of the features in `X`.

    `X` must be the output of fitted bucketers.

    $$
    IV = \sum { (\% goods - \% bads) } * { WOE }
    $$

    $$
    WOE=\ln (\% { goods } /  \% { bads })
    $$

    Example:

    ```python
    from skorecard import datasets
    from sklearn.model_selection import train_test_split
    from skorecard.bucketers import DecisionTreeBucketer
    from skorecard.reporting import iv

    X, y = datasets.load_uci_credit_card(return_X_y=True)

    dbt = DecisionTreeBucketer()
    X_bins = dbt.fit_transform(X,y)

    iv_dict = iv(X_bins, y)
    ```

    Args:
        X: pd.DataFrame (bucketed) features
        y: pd.Series: target values
        epsilon (float): Amount to be added to relative counts in order to avoid division by zero in the WOE
            calculation.
        digits (int): number of significant decimal digits in the IV calculation

    Returns:
        IVs (dict): Keys are feature names, values are the IV values
    """  # noqa
    return {col: _IV_score(y, X[col], epsilon=epsilon, digits=digits) for col in X.columns}

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Last update: 2023-08-08