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发表于 2010-10-22 22:51:36
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SAS EM：Variable Selection node(变量选择节点)之一
From supersasmacro's blog on Sina
<div>SAS EM：Variable Selection node(变量选择节点)</DIV>
<div><br /></DIV>
<div>运用R2方式进行变量选择，暨PROC DMINE（DMINE过程步）讲解</DIV>
<div><br /></DIV>
<div>SAS EM(Enterprise Miner)企业数据挖掘节点功能详解及代码实现（第六弹）</DIV>
<div><br /></DIV>
<div>本文未经作者允许，请勿转载</DIV>
<div><br /></DIV>
<div>
许多数据挖掘的数据集都含有数百个潜在的独立变量作为模型的输入变量，通过变量选择节点可以去除与目标不相关的变量来减少输入的变量。通常使用的方法是利用线性模式用选择的输入变量来预测目标变量，然后保留信息含量较大的输入变量，举例来说，使用最小平方（Least
Squares）、Logistic的回归方法或是其他分析的方法，在这里你可以先用使用 R-square(R2)或是
Chi-square(卡方)的方法来选择变量。本文讲解通过R-square(R2)来进行变量选择。</DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static11.photo.sina.com.cn/orignal/5d3b177cg8c93f6e88aea" TARGET="_blank"><img SRC="http://static11.photo.sina.com.cn/middle/5d3b177cg8c93f6e88aea&690" WIDTH="500" HEIGHT="300" NAME="image_operate_50871280467039750" /></A></DIV>
<a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static6.photo.sina.com.cn/orignal/5d3b177cg8c93f7b099e5" TARGET="_blank"><img SRC="http://static6.photo.sina.com.cn/middle/5d3b177cg8c93f7b099e5&690" WIDTH="690" HEIGHT="193" /></A><br />
<br />
<div>对于目标变量是分类型的模型，变量选择可以提供三种方式，其中包括 R2，卡方和两种方法的结合。目标变量是连续型的模型只要 R2
方法可以选择。在两种方法的结合中，变量只有同时被 R2
和卡方选择的时候才能作为输入进入该方法。实际上，两种方法结合的方法可以避免过度拟合情况，但是考虑到变量选择方法只在训练数据上进行，这种方法就显得有点不完善。结果会出现选出的变量可能不适合其他预留的数据。</DIV>
<div><a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static10.photo.sina.com.cn/orignal/5d3b177cg8c93f8ffbdf9" TARGET="_blank"><img SRC="http://static10.photo.sina.com.cn/middle/5d3b177cg8c93f8ffbdf9&690" WIDTH="690" HEIGHT="148" /></A><br />
<br /></DIV>
<div>在这里还有一些选项可以设定：</DIV>
<div> Remove Variables Unrelated to the
Target：移除与目标不相关的变量，这个方法提供快速的初步变量评估，你可以在线性的模式下，快速的指定输入变量来预测目标值。</DIV>
<div> Remove Variables in
Hierarchies：移除阶层的变量，这个方法可以寻找输入变量的阶层关系，举例来说，你可能有 state 和 zip code
两个变量，然后你不希望同时使用这两个变量，因为这两个变量含有重复的信息，这边会帮你保留含有最多信息的变量。</DIV>
<div> Remove Variables by Percentage of
Missing：移除过多缺值的变量，这个方法可以移除过多缺值的变量，你可以指定缺值的百分比，预设是移除超过 50%
的缺值的变数。</DIV>
<div> Remove Class Variables with Greater Than or Equal to n
Values：移除过多分类的变量，这个方法可以移除只有单一分类或是大于或等于 n 种分类的变数，默认是移除超过 80
种分类的变数。</DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static10.photo.sina.com.cn/orignal/5d3b177cg8c93fb800279" TARGET="_blank"><img SRC="http://static10.photo.sina.com.cn/middle/5d3b177cg8c93fb800279&690" WIDTH="690" HEIGHT="109" /></A></DIV>
<br />
<div>在 R2 模式中，每个变量的相关系数平方（简单 R2）都会被计算，并与默认的最小值进行比较。R2
小于最小值的变量将会被拒绝。在这个选择后，再进行逐步选择。而那些在逐步选择时R2
改善小于阀值的变量也会被剔除。其他设置也能用于分组的连续变量（AOV16变量）和类别变量时请求交互。AVO16
选项基于方差分析为每个连续型输入生成了 16 组数据。 </DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static5.photo.sina.com.cn/orignal/5d3b177cg8c93fc808694" TARGET="_blank"><img SRC="http://static5.photo.sina.com.cn/middle/5d3b177cg8c93fc808694&690" WIDTH="327" HEIGHT="171" /></A></DIV>
<br />
<div>用户可以为 R2
值设置最小阀值来决定变量是否能进入模型。对于给定的数据集，该值设置的过小就会包含太多变量，而设置过大就会排除很多变量。变量数的最大值选项可以控制包含的最多变量数，因此，模型包含的变量数可能会出现少于满足最小
R2
的变量数。此外，如果要进行其他的变量选择操作，允许额外变量进入模型的变量候选集中是非常合适的。如果现有的变量数远少于期望的变量数，那么就不需要通过改变这些设置的取值来选择变量。AOV16
变量允许预测变量和目标变量之间存在非线性关系，但是这样会增加参数估计的时间。同样地，生成交互变量也会增加要估计的参数。因此，使用这些方法时要保守点。除非变量开始时有很多类别，否则不需要把类别变量分组。</DIV>
<div><br /></DIV>
<div>%let DM_SEED=12345;</DIV>
<div> </DIV>
<div>data EMDATA.VIEW_6HE / view=EMDATA.VIEW_6HE;</DIV>
<div> set EMSAMPLE.HMEQ;</DIV>
<div>run;</DIV>
<div>*取2000个样本;</DIV>
<div>data EMPROJ.SMP_VIGA(label="Sample of
EMDATA.VIEW_4O9.");</DIV>
<div> set EMDATA.VIEW_6HE;</DIV>
<div> drop
_sample_count_;</DIV>
<div> if
_sample_count_ < 2000 then do;</DIV>
<div>
if ranuni(12345) *(5960 + 1 -
_N_ ) < = ( 2000 - _sample_count_) then do ;</DIV>
<div>
_sample_count_ + 1;</DIV>
<div>
output;</DIV>
<div>
end;</DIV>
<div>
end;</DIV>
<div>run;</DIV>
<div>quit;</DIV>
<div><br /></DIV>
<div>proc dmdb data=EMDATA.VIEW_6HE </DIV>
<div>
out=_null_ </DIV>
<div>
dmdbcat=EMPROJ.dm_DGM00000</DIV>
<div>
normlen=32
maxlevel=513;</DIV>
<div> class
BAD(Desc) REASON(Asc) JOB(Asc) DEROG(Asc);</DIV>
<div> var
LOAN MORTDUE VALUE YOJ
DELINQ</DIV>
<div>
CLAGE NINQ
CLNO DEBTINC;</DIV>
<div> target
BAD;</DIV>
<div>run;</DIV>
<div><br /></DIV>
<div>* Create data view with dmdb name;</DIV>
<div>data EMDATA.dm_DGM00000 / view=EMDATA.dm_DGM00000;</DIV>
<div> set EMDATA.VIEW_6HE;</DIV>
<div>run;</DIV>
<div><br /></DIV>
<div>%let DM_TOOL=NOSPDE; </DIV>
<div><br /></DIV>
<div>* Create SPDE library;</DIV>
<div>options nosource;</DIV>
<div>%macro _EMSPDE;</DIV>
<div> %let _SPDEpath=;</DIV>
<div> %let _workpath=;</DIV>
<div> data _null_;</DIV>
<div>
call symput('_workpath',pathname('WORK'
));</DIV>
<div>
call
symput('_SPDEpath',pathname('_EMSPDE'));</DIV>
<div> run;</DIV>
<div> %if
%length(&_SPDEpath) eq 0 %then %do;</DIV>
<div>
libname _EMSPDE spde "&_workpath"
temp=yes;</DIV>
<div> %end;</DIV>
<div> %else %do;</DIV>
<div>
%put NOTE: _EMSPDE library exists.;</DIV>
<div> %end;</DIV>
<div>%mend;</DIV>
<div> </DIV>
<div>options source;</DIV>
<div>%_EMSPDE;</DIV>
<div>%let _tmp=%DMNORLEN;</DIV>
<div><br /></DIV>
<div>proc dmdb data=EMDATA.VIEW_6HE
out=_EMSPDE.sp_DGM00000 </DIV>
<div>
dmdbcat=EMPROJ.sp_DGM00000</DIV>
<div>
normlen=32
maxlevel=513;</DIV>
<div> class
BAD(Desc) REASON(Asc) JOB(Asc);</DIV>
<div> var
LOAN MORTDUE VALUE YOJ
DEROG</DIV>
<div>
DELINQ CLAGE
NINQ CLNO DEBTINC;</DIV>
<div> target
BAD;</DIV>
<div>run;</DIV>
<div><br /></DIV>
<div>**Dmine：回归该节点使用 DMINE 过程生成模型，该模型直接包含区间和目标的“方差分析
(AOV)”、分组和交叉效应。;</DIV>
<div>** PROC DMINE（DMINE过程步）语法如下：</DIV>
<div>PROC DMINE <option(s)>;</DIV>
<div>FREQ variable;</DIV>
<div>TARGET variable; **目标变量；</DIV>
<div>VARIABLES variable-list; **解释变量；</DIV>
<div>WEIGHT variable; **权重；</DIV>
<div>这里，我们主要讲解一下PROC DMINE
<option(s)>;中的option选项：</DIV>
<div><b>NOAOV16：不用生成AOV16变量（默认是要生成AOV16变量的）对应：Bin interval
variables(AOV16)</B></DIV>
<div><b>NOINTER：不用考虑离散变量的交互作用。(对应：Include 2-way
interactions)</B></DIV>
<div>MAXROWS：最大变量数；</DIV>
<div><b>MINR2：最小R2 (对应：squared
correlation)</B></DIV>
<div>NOMONITOR：</DIV>
<div>NOPRINT：</DIV>
<div><b>STOPR2：低于该R2，则模型停止 (对应：stepwise R2 improvement)</B></DIV>
<div><b>USEGROUPS：是否使用离散变量 (对应：Use only grouped class
variables)</B></DIV>
<div>Dmine过程如下：</DIV>
<div>proc dmine data=_EMSPDE.sp_DGM00000 </DIV>
<div>
dmdbcat=EMPROJ.sp_DGM00000 </DIV>
<div>
minr2=0.005 stopr2=0.0005</DIV>
<div>
NOMONITOR
USEGROUPS cutoff= 0.5 </DIV>
<div>
outest=EMPROJ.OUTET0Y7;</DIV>
<div> var
LOAN MORTDUE VALUE REASON JOB</DIV>
<div>
YOJ DEROG DELINQ CLAGE
NINQ</DIV>
<div>
CLNO DEBTINC;</DIV>
<div> target
BAD;</DIV>
<div>run;</DIV>
<div>运行结果：</DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static2.photo.sina.com.cn/orignal/5d3b177cg8c93fe20c671" TARGET="_blank"><img SRC="http://static2.photo.sina.com.cn/middle/5d3b177cg8c93fe20c671&690" WIDTH="341" HEIGHT="343" NAME="image_operate_12181280467323837" /></A></DIV>
<div>这里可以看到，有一些变量因为R2小于指定的MINR2，这些变量未能被选入。</DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static5.photo.sina.com.cn/orignal/5d3b177cg8c93fee50c54" TARGET="_blank"><img SRC="http://static5.photo.sina.com.cn/middle/5d3b177cg8c93fee50c54&690" /></A></DIV>
<br />
<div><b>这是最终被模型选择的变量，其中包括5个原始变量，2个GROUP变量，10个AOV16变量。</B></DIV>
<div><br /></DIV>
<div>data EMPROJ.OUTET0Y7(drop=lmean);</DIV>
<div> retain
lmean;</DIV>
<div> set EMPROJ.OUTET0Y7;</DIV>
<div> if
_type_ = '_IGROUP_' then do;</DIV>
<div> if
_mean_ = . then _mean_ = lmean; **缺失值处理；</DIV>
<div> else
lmean = _mean_;</DIV>
<div>end;</DIV>
<div>run;</DIV>
<div>这里，我们可以看一下这个输出的数据集OUTET0Y7</DIV>
<div> <a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static1.photo.sina.com.cn/orignal/5d3b177cg8c93ffe90bb0" TARGET="_blank"><img SRC="http://static1.photo.sina.com.cn/middle/5d3b177cg8c93ffe90bb0&690" WIDTH="690" HEIGHT="383" /></A></DIV>
<br />
<a href="http://blog.photo.sina.com.cn/showpic.html#url=http://static3.photo.sina.com.cn/orignal/5d3b177cg8c93fff84212" TARGET="_blank"><img SRC="http://static3.photo.sina.com.cn/middle/5d3b177cg8c93fff84212&690" WIDTH="690" HEIGHT="511" /></A><br />
<br />
<div><br /></DIV>
<div>这个数据集记录了变量的最终系数，也即以下评分程序的系数。</DIV>
<div><br /></DIV>
<div>data EMPROJ.SMP_4VMK/view=EMPROJ.SMP_4VMK;</DIV>
<div> set EMPROJ.SMP_VIGA;</DIV>
<div>
*-------------------------------------------------------------*;</DIV>
<div> * TOOL
: Variable Selection ;</DIV>
<div> * TYPE
: EXPLORE ;</DIV>
<div> * NODE
: Variable Selection [T1MBZHEP] ;</DIV>
<div>
*-------------------------------------------------------------*;</DIV>
<div> length
_warn_ $ 4;</DIV>
<div> label
_warn_ = "Warnings";</DIV>
<div> length
_norm1 $ %DMNORLEN;</DIV>
<div> _norm1
= ' ';</DIV>
<div> length
_FORMAT $200;</DIV>
<div> drop
_FORMAT;</DIV>
<div> length
_norm2 $%DMNORLEN;</DIV>
<div> _norm2
= ' ';</DIV>
<div> length
I_BAD $ 1;</DIV>
<div>
_FORMAT = put(JOB, $7.);</DIV>
<div>
%DMNORMCP(_FORMAT, _norm1);</DIV>
<div><br /></DIV>
<div>**这里对离散变量JOB进行处理，即用数字代替相应的组别；</DIV>
<div>
select(_norm1);</DIV>
<div>
when('') G_JOB = 4;</DIV>
<div>
when('MGR')
G_JOB = 1;</DIV>
<div>
when('OFFICE') G_JOB =
3;</DIV>
<div>
when('OTHER') G_JOB =
1;</DIV>
<div>
when('PROFEXE') G_JOB = 2;</DIV>
<div>
when('SALES') G_JOB =
0;</DIV>
<div>
when('SELF')
G_JOB = 0;</DIV>
<div>
otherwise _warn_ = 'U';</DIV>
<div>
end;</DIV>
<div> label
G_JOB = "Group: JOB";</DIV>
<div>**以下内容是对连续变量进行AOV16处理（方法前面已有介绍），得到AOV16离散变量;</DIV>
<div> if
(DELINQ <= 0.9375) then A16DELINQ = 1;</DIV>
<div> else
if (DELINQ <= 1.875) then
A16DELINQ = 2;</DIV>
<div> else
if (DELINQ <= 2.8125) then
A16DELINQ = 3;</DIV>
<div> else
if (DELINQ <= 3.75)
then A16DELINQ = 4;</DIV>
<div> else
if (DELINQ <= 4.6875) then
A16DELINQ = 5;</DIV>
<div> else
if (DELINQ <= 5.625) then
A16DELINQ = 6;</DIV>
<div> else
if (DELINQ <= 6.5625) then
A16DELINQ = 7;</DIV>
<div> else
if (DELINQ <= 7.5)
then A16DELINQ = 8;</DIV>
<div> else
if (DELINQ <= 8.4375) then
A16DELINQ = 9;</DIV>
<div> else
if (DELINQ <= 9.375) then
A16DELINQ = 10;</DIV>
<div> else
if (DELINQ <= 10.3125) then A16DELINQ = 11;</DIV>
<div> else
if (DELINQ <= 11.25) then
A16DELINQ = 12;</DIV>
<div> else
if (DELINQ <= 12.1875) then A16DELINQ = 13;</DIV>
<div> else
if (DELINQ <= 13.125) then
A16DELINQ = 14;</DIV>
<div> else
if (DELINQ <= 14.0625) then A16DELINQ = 15;</DIV>
<div> else
A16DELINQ = 16;</DIV>
<div> label
A16DELINQ = "AOV16: DELINQ";</DIV>
<div><br /></DIV>
<div> if
(DEROG
<= 0.625) then A16DEROG = 1;</DIV>
<div> else
if (DEROG <= 1.25) then A16DEROG =
2;</DIV>
<div> else
if (DEROG <= 1.875) then A16DEROG = 3;</DIV>
<div> else
if (DEROG <= 2.5) then A16DEROG =
4;</DIV>
<div> else
if (DEROG <= 3.125) then A16DEROG = 5;</DIV>
<div> else
if (DEROG <= 3.75) then A16DEROG =
6;</DIV>
<div> else
if (DEROG <= 4.375) then A16DEROG = 7;</DIV>
<div> else
if (DEROG <= 5)
then A16DEROG = 8;</DIV>
<div> else
if (DEROG <= 5.625) then A16DEROG = 9;</DIV>
<div> else
if (DEROG <= 6.25) then A16DEROG =
10;</DIV>
<div> else
if (DEROG <= 6.875) then A16DEROG = 11;</DIV>
<div> else
if (DEROG <= 7.5) then A16DEROG =
12;</DIV>
<div> else
if (DEROG <= 8.125) then A16DEROG = 13;</DIV>
<div> else
if (DEROG <= 8.75) then A16DEROG =
14;</DIV>
<div> else
if (DEROG <= 9.375) then A16DEROG = 15;</DIV>
<div> else
A16DEROG = 16;</DIV>
<div> label
A16DEROG = "AOV16: DEROG";</DIV>
<div>*......;</DIV>
<div>*博文字数限制，删除一些代码;</DIV>
<div><br /></DIV>
<div> if
(YOJ
<= 2.5625) then A16YOJ = 1;</DIV>
<div> else
if (YOJ <= 5.125) then A16YOJ =
2;</DIV>
<div> else
if (YOJ <= 7.6875) then A16YOJ =
3;</DIV>
<div> else
if (YOJ <= 10.25) then A16YOJ =
4;</DIV>
<div> else
if (YOJ <= 12.8125) then A16YOJ = 5;</DIV>
<div> else
if (YOJ <= 15.375) then A16YOJ =
6;</DIV>
<div> else
if (YOJ <= 17.9375) then A16YOJ = 7;</DIV>
<div> else
if (YOJ <= 20.5)
then A16YOJ = 8;</DIV>
<div> else
if (YOJ <= 23.0625) then A16YOJ = 9;</DIV>
<div> else
if (YOJ <= 25.625) then A16YOJ =
10;</DIV>
<div> else
if (YOJ <= 28.1875) then A16YOJ = 11;</DIV>
<div> else
if (YOJ <= 30.75) then A16YOJ =
12;</DIV>
<div> else
if (YOJ <= 33.3125) then A16YOJ = 13;</DIV>
<div> else
if (YOJ <= 35.875) then A16YOJ =
14;</DIV>
<div> else
if (YOJ <= 38.4375) then A16YOJ = 15;</DIV>
<div> else
A16YOJ = 16;</DIV>
<div> label
A16YOJ = "AOV16: YOJ";</DIV>
<div>**然后对变量选择时候用到的logistic模型进行回归评分，首先定义一个_PVAL，得到评分值；</DIV>
<div>**以下的这些评分相关的数据，都记录在OUTET0Y7这个数据集中；</DIV>
<div> _PVAL
= -5.22408863319783; **截距；</DIV>
<div>**这里对所有的AOV16变量，均采用生成哑变量的处理方法，得到最终评分的;</DIV>
<div>
select(A16DELINQ);</DIV>
<div>
when(1) _PVAL = _PVAL +
-3.35006672110943;</DIV>
<div>
when(2) _PVAL = _PVAL +
-3.27178307829331;</DIV>
<div>
when(3) _PVAL = _PVAL +
-3.07746790101938;</DIV>
<div>
when(4) _PVAL = _PVAL +
-2.96824741074917;</DIV>
<div>
when(5) _PVAL = _PVAL +
-2.73091391852296;</DIV>
<div>
when(6) _PVAL = _PVAL +
-2.73166301101842;</DIV>
<div>
when(7) _PVAL = _PVAL +
-2.57387314011492;</DIV>
<div>
when(8) _PVAL = _PVAL +
-2.34568595723549;</DIV>
<div>
when(9) _PVAL = _PVAL +
-2.01174243993172;</DIV>
<div>
when(10) _PVAL = _PVAL + 0;
</DIV>
<div>
when(11) _PVAL = _PVAL + -1.7607536430948;</DIV>
<div>
when(12) _PVAL = _PVAL +
-1.48958640109144;</DIV>
<div>
when(13) _PVAL = _PVAL +
-1.39172085671252;</DIV>
<div>
when(14) _PVAL = _PVAL + -0.8804834437714;</DIV>
<div>
when(15) _PVAL = _PVAL + 0;</DIV>
<div>
when(16) _PVAL = _PVAL + 0;</DIV>
<div>
otherwise;</DIV>
<div>
end;</DIV>
<div>**对于那5个连续变量，直接用其值乘以模型系数；</DIV>
<div> if
DELINQ = . then _PVAL = _PVAL + (0.44944237918215 *
-0.2560872485825);</DIV>
<div>**如果连续变量值为空，则用均值替代；</DIV>
<div> else
_PVAL = _PVAL + (DELINQ * -0.2560872485825);</DIV>
<div><br /></DIV>
<div>
select(A16DEROG);</DIV>
<div>
when(1) _PVAL = _PVAL +
6.20130853936012;</DIV>
<div>
when(2) _PVAL = _PVAL +
5.52080041774744;</DIV>
<div>
when(3) _PVAL = _PVAL +
0;</DIV>
<div>
when(4) _PVAL = _PVAL +
4.90677470882056;</DIV>
<div>
when(5) _PVAL = _PVAL +
4.22091307807105;</DIV>
<div>
when(6) _PVAL = _PVAL +
0;</DIV>
<div>
when(7) _PVAL = _PVAL +
3.57139804384972;</DIV>
<div>
when(8) _PVAL = _PVAL +
0;</DIV>
<div>
when(9) _PVAL = _PVAL +
3.31746890691515;</DIV>
<div>
when(10) _PVAL = _PVAL + 2.59158494215665;</DIV>
<div>
when(11) _PVAL = _PVAL + 0;</DIV>
<div>
when(12) _PVAL = _PVAL + 1.83865920711277;</DIV>
<div>
when(13) _PVAL = _PVAL + 1.11395147205095;</DIV>
<div>
when(14) _PVAL = _PVAL + 0;</DIV>
<div>
when(15) _PVAL = _PVAL + 0.70397389745624;</DIV>
<div>
when(16) _PVAL = _PVAL + 0;</DIV>
<div>
otherwise;</DIV>
<div>
end;</DIV>
<div> if
DEROG = . then _PVAL = _PVAL + (0.254569687738 *
0.55949217987321);</DIV>
<div> else
_PVAL = _PVAL + (DEROG * 0.55949217987321);</DIV>
<div>
<div STYLE="font-family: 宋体, Verdana, Arial, Helvetica, sans-serif; line-height: 1.5;">
*......;</DIV>
<div STYLE="font-family: 宋体, Verdana, Arial, Helvetica, sans-serif; line-height: 1.5;">
*博文字数限制，删除一些代码;</DIV>
</DIV>
<div><br /></DIV>
<div>
select(A16YOJ);</DIV>
<div>
when(1) _PVAL = _PVAL +
0.55716684403844;</DIV>
<div>
when(2) _PVAL = _PVAL +
0.53505343737303;</DIV>
<div>
when(3) _PVAL = _PVAL +
0.59997040667525;</DIV>
<div>
when(4) _PVAL = _PVAL +
0.57287904638334;</DIV>
<div>
when(5) _PVAL = _PVAL +
0.53297399725437;</DIV>
<div>
when(6) _PVAL = _PVAL +
0.55609712581716;</DIV>
<div>
when(7) _PVAL = _PVAL +
0.60668009682968;</DIV>
<div>
when(8) _PVAL = _PVAL +
0.49820001466083;</DIV>
<div>
when(9) _PVAL = _PVAL +
0.57357157822012;</DIV>
<div>
when(10) _PVAL = _PVAL + 0.56505986645696;</DIV>
<div>
when(11) _PVAL = _PVAL + 0.63910962819242;</DIV>
<div>
when(12) _PVAL = _PVAL + 0.64248496465316;</DIV>
<div>
when(13) _PVAL = _PVAL + 0.39909044046193;</DIV>
<div>
when(14) _PVAL = _PVAL + 0.52565565215269;</DIV>
<div>
when(15) _PVAL = _PVAL + 0.49451020029604;</DIV>
<div>
when(16) _PVAL = _PVAL + 0;</DIV>
<div>
otherwise;</DIV>
<div>
end;</DIV>
<div> if
LOAN = . then _PVAL = _PVAL + (18607.9697986577 *
0.00001139942539);</DIV>
<div> else
_PVAL = _PVAL + (LOAN * 0.00001139942539);</DIV>
<div>**对于交互变量的评分，这里是REASON和JOB两个离散变量的交互;</DIV>
<div>
_FORMAT = put(REASON, $7.);</DIV>
<div>
%DMNORMCP(_FORMAT, _norm1);</DIV>
<div>
select(_norm1);</DIV>
<div>
when('') do;</DIV>
<div>
_FORMAT = put(JOB,
$7.);</DIV>
<div>
%DMNORMCP(_FORMAT,
_norm2);</DIV>
<div>
select(_norm2);</DIV>
<div>
when('')
do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 9;</DIV>
<div>
end;</DIV>
<div>
when('MGR') do;</DIV>
<div>
_pval = _pval + -0.25027522936911;</DIV>
<div>
GI_REASONJOB = 4;</DIV>
<div>
end;</DIV>
<div>
when('OFFICE') do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 9;</DIV>
<div>
end;</DIV>
<div>
when('OTHER') do;</DIV>
<div>
_pval = _pval + -0.22322155079345;</DIV>
<div>
GI_REASONJOB = 6;</DIV>
<div>
end;</DIV>
<div>
when('PROFEXE') do;</DIV>
<div>
_pval = _pval + -0.25559101428585;</DIV>
<div>
GI_REASONJOB = 3;</DIV>
<div>
end;</DIV>
<div>
when('SALES') do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 1;</DIV>
<div>
end;</DIV>
<div>
when('SELF') do;</DIV>
<div>
_pval = _pval + -0.48062007039334;</DIV>
<div>
GI_REASONJOB = 2;</DIV>
<div>
end;</DIV>
<div>
otherwise
_warn_ = 'U';</DIV>
<div>
end;</DIV>
<div>
end;</DIV>
<div>
when('DEBTCON') do;</DIV>
<div>
_FORMAT = put(JOB,
$7.);</DIV>
<div>
%DMNORMCP(_FORMAT,
_norm2);</DIV>
<div>
select(_norm2);</DIV>
<div>
when('')
do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 9;</DIV>
<div>
end;</DIV>
<div>
when('MGR') do;</DIV>
<div>
_pval = _pval + -0.22322155079345;</DIV>
<div>
GI_REASONJOB = 6;</DIV>
<div>
end;</DIV>
<div>
when('OFFICE') do;</DIV>
<div>
_pval = _pval + -0.0492883598549;</DIV>
<div>
GI_REASONJOB = 8;</DIV>
<div>
end;</DIV>
<div>
when('OTHER') do;</DIV>
<div>
_pval = _pval + -0.22322155079345;</DIV>
<div>
GI_REASONJOB = 6;</DIV>
<div>
end;</DIV>
<div>
when('PROFEXE') do;</DIV>
<div>
_pval = _pval + -0.0492883598549;</DIV>
<div>
GI_REASONJOB = 8;</DIV>
<div>
end;</DIV>
<div>
when('SALES') do;</DIV>
<div>
_pval = _pval + -0.25027522936911;</DIV>
<div>
GI_REASONJOB = 4;</DIV>
<div>
end;</DIV>
<div>
when('SELF') do;</DIV>
<div>
_pval = _pval + -0.25559101428585;</DIV>
<div>
GI_REASONJOB = 3;</DIV>
<div>
end;</DIV>
<div>
otherwise
_warn_ = 'U';</DIV>
<div>
end;</DIV>
<div>
end;</DIV>
<div>
when('HOMEIMP') do;</DIV>
<div>
_FORMAT = put(JOB,
$7.);</DIV>
<div>
%DMNORMCP(_FORMAT,
_norm2);</DIV>
<div>
select(_norm2);</DIV>
<div>
when('')
do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 9;</DIV>
<div>
end;</DIV>
<div>
when('MGR') do;</DIV>
<div>
_pval = _pval + -0.25027522936911;</DIV>
<div>
GI_REASONJOB = 4;</DIV>
<div>
end;</DIV>
<div>
when('OFFICE') do;</DIV>
<div>
_pval = _pval + 0;</DIV>
<div>
GI_REASONJOB = 9;</DIV>
<div>
end;</DIV>
<div>
when('OTHER') do;</DIV>
<div>
_pval = _pval + -0.25929898653512;</DIV>
<div>
GI_REASONJOB = 5;</DIV>
<div>
end;</DIV>
<div>
when('PROFEXE') do;</DIV>
<div>
_pval = _pval + -0.08218104356976;</DIV>
<div>
GI_REASONJOB = 7;</DIV>
<div>
end;</DIV>
<div>
when('SALES') do;</DIV>
<div>
_pval = _pval + -0.25027522936911;</DIV>
<div>
GI_REASONJOB = 4;</DIV>
<div>
end;</DIV>
<div>
when('SELF') do;</DIV>
<div>
_pval = _pval + -0.08218104356976;</DIV>
<div>
GI_REASONJOB = 7;</DIV>
<div>
end;</DIV>
<div>
otherwise
_warn_ = 'U';</DIV>
<div>
end;</DIV>
<div>
end;</DIV>
<div>
otherwise _warn_ = 'U';</DIV>
<div>
end;</DIV>
<div> label
GI_REASONJOB = "Grouped interaction: REASON*JOB";</DIV>
<div> </DIV>
<div>**极值处理;</DIV>
<div> if
_warn_ ne 'U' then do;</DIV>
<div>
_X = -(-4.30108306480599 + 7.74665438588971 *
_PVAL);</DIV>
<div>
if (_X < -23) then _PVAL =
1;</DIV>
<div>
else if (_X > 23) then _PVAL =
0;</DIV>
<div>
else _PVAL = 1/(1+exp(_X));
**logistic转换;</DIV>
<div><br /></DIV>
<div>
if _PVAL < 0 then _PVAL =
1;</DIV>
<div>
else if _PVAL > 1 then _PVAL =
0;</DIV>
<div>
else _PVAL = 1 - _PVAL;</DIV>
<div><br /></DIV>
<div>
P_EVENT = _PVAL;</DIV>
<div>
P_NEVENT = 1-P_EVENT;</DIV>
<div>
if P_EVENT ge 0.5 then I_BAD = '1';</DIV>
<div>
else I_BAD = '0';</DIV>
<div>
end;</DIV>
<div> else
do; **缺失时的结果;</DIV>
<div>
P_EVENT = 0.1994966442953;</DIV>
<div>
P_NEVENT = 0.80050335570469;</DIV>
<div>
I_BAD = '0';</DIV>
<div>
end;</DIV>
<div> label
P_EVENT = "Predicted: EVENT for BAD";</DIV>
<div> label
P_NEVENT = "Predicted: NO EVENT for BAD";</DIV>
<div> label
I_BAD = "Into: BAD";</DIV>
<div> DROP
_PVAL _X;</DIV>
<div> DROP
_NORM1 _NORM2;</DIV>
<div>run;</DIV>
<div><br /></DIV>
<div><br /></DIV>
<div><br /></DIV>
<div>本文用到的SAS数据集为hmeq.sas7bdat，其下载地址：</DIV>
<div><!-- m --><a class="postlink" href="http://ishare.iask.sina.com.cn/f/8641129.html">http://ishare.iask.sina.com.cn/f/8641129.html</a><!-- m --></DIV>
<div>本系列全部数据下载地址：</DIV>
<div><!-- m --><a class="postlink" href="http://iask.sina.com.cn/u/1564153724/ish">http://iask.sina.com.cn/u/1564153724/ish</a><!-- m --></DIV>
<div><br /></DIV><div style="border-top: 1px solid rgb(203, 217, 217); padding-top: 20px; padding-bottom: 10px;">
<p><br><a href="http://move.blog.sina.com.cn/admin/blogmove/blogmove_msn.php" target="_blank">MSN空间完美搬家到新浪博客!</a></p></div> |
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