varbin.kink {varbin}

varbin.kink

Description

Impose global/local extremum i.e. a kink restriction on binning of numerical variable (if possible)

Usage

varbin.kink(df, x, y, p=0.05)

Arguments

df

A data frame

x

String. Name of continuous variable in data frame.

y

String. Name of binary response variable (0,1) in data frame.

p

Percentage of records per bin. Default 5 pct. (0.05). This parameter only accepts values greater than 0.00 (0 pct.) and lower than 0.50 (50 pct.).

Value

The command varbin.kink generates a data frame with necessary info and utilities for a variable where the binnings are restricted such that the functional form is characterized by having a global/local minimum/maximum i.e. a kink. The function will not work for variables where both a monotonically in- or decreasing functional form can't be imposed The user should save the output result so it can be used with e.g. varbin.plot, or varbin.convert.

Examples

# Set seed and generate data
set.seed(1337)
target <- as.numeric(runif(10000, 0, 1)<0.2)
age <- round(rnorm(10000, 40, 15), 0)
age[age<20] <- round(rnorm(sum(age<20), 40, 5), 0)
age[age>95] <- round(rnorm(sum(age>95), 40, 5), 0)
inc <- round(rnorm(10000, 100000, 10000), 0)
educ <- sample(c("MSC", "BSC", "SELF", "PHD", "OTHER"), 10000, replace=TRUE)
df <- data.frame(target=target, age=age, inc=inc, educ=educ)

# Perform restricted binning - note the kink shape of the WoE values in the output
result <- varbin.kink(df, "inc", "target")