update stepwise

stepwise_selection.py

@@ -3,11 +3,12 @@
 from statsmodels.formula.api import ols
 
 
-def stepwiseSelection(data, tag, 
-                       initial_list=list(), 
-                       threshold_in=0.05, 
-                       threshold_out=0.10,
-                       verbose=True):
+def stepwiseSelection(data,
+                      tag,
+                      initial_list=None,
+                      threshold_in=0.05,
+                      threshold_out=0.10,
+                      verbose=True):
     '''
     data: <Pandas.DataFrame> contaning indep/dep variables
     tag: <String> name of target
@@ -25,63 +26,70 @@ def stepwiseSelection(data, tag,
             if mark in col:
                 ab_dic[col.replace(mark, '')] = col
                 data.rename(columns={col: col.replace(mark, '')}, inplace=True)
-
-    included = initial_list
+
+    included = initial_list if initial_list else []
+    excluded = data.columns.tolist()
+    excluded.remove(tag)
     formula = f'{tag}~1'  # set a constant model as initial reduced_model
     best_r2_dif = .0
 
     while True:  # end loop when no variable gets in/out
 
-        excluded = list(set(data.columns) - set(included))
-        excluded.remove(tag)
         changed = False
-        
+
         full_model = ols(formula=formula, data=data).fit()
         last_adj_r2 = full_model.rsquared_adj
 
         # forward step
         for new_feature in excluded:
 
             # Note here the test_model has more variable than full_model
-            test_model = ols(formula=formula+f'+{new_feature}', data=data).fit()
+            test_model = ols(
+                formula=formula+f'+{new_feature}', data=data).fit()
 
             # find feature whose contribution to adj_r2 largest
             if test_model.rsquared_adj - last_adj_r2 > best_r2_dif:
                 best_r2_dif = test_model.rsquared_adj - last_adj_r2
                 last_adj_r2 = test_model.rsquared_adj
                 best_feature = new_feature
-        
+
         # Partial F-test
         # Note that in anova_lm models with few variables are put forward
-        full_model_pro = ols(formula=formula+f'+{best_feature}', data=data).fit()
+        full_model_pro = ols(
+            formula=formula+f'+{best_feature}', data=data).fit()
         anova_tbl = sm.stats.anova_lm(full_model, full_model_pro)
         criterion = anova_tbl['Pr(>F)'][1]
 
         if criterion <= threshold_in:
             included.append(best_feature)
+            excluded.remove(best_feature)
             formula += f'+{best_feature}'
             full_model = full_model_pro
             changed = True
             best_r2_dif = .0
             if verbose:
-                print('Add  {:25} with f_pvalue {:.6}'.format(best_feature, criterion))
+                print('Add  {:25} with f_pvalue {:.6}'.format(
+                    best_feature, criterion))
 
         # backward step
         for old_feature in included:
-            test_model = ols(formula=formula.replace(f'+{old_feature}', ''), data=data).fit()
+            test_model = ols(formula=formula.replace(
+                f'+{old_feature}', ''), data=data).fit()
 
             # Note here the test_model has less variable than full_model
             anova_tbl = sm.stats.anova_lm(test_model, full_model)
             criterion = anova_tbl['Pr(>F)'][1]
             if criterion >= threshold_out:
                 included.remove(old_feature)
+                excluded.append(old_feature)
                 formula = formula.replace(f'+{old_feature}', '')
                 changed = True
                 best_r2_dif = .0
                 if verbose:
-                    print('Drop {:25} with f_pvalue {:.6}'.format(old_feature, criterion))
-
+                    print('Drop {:25} with f_pvalue {:.6}'.format(
+                        old_feature, criterion))
+
         if not changed:
-            break     
+            break
 
     return [ab_dic[x] if x in ab_dic.keys() else x for x in included]