Remove Multicollinearity

Multicollinearity (also called collinearity) is a phenomenon in which one feature variable in the dataset is highly linearly correlated with another feature variable in the same dataset. Multicollinearity increases the variance of the coefficients, thus making them unstable and noisy for linear models. One such way to deal with Multicollinearity is to drop one of the two features that are highly correlated with each other. This can be achieved in PyCaret using remove_multicollinearity parameter within setup.

Parameters in setup 

remove_multicollinearity: bool, default = False
When set to True, the variables with inter-correlations higher than the threshold defined under the multicollinearity_threshold param are dropped. When two features are highly correlated with each other, the feature that is less correlated with the target variable is dropped.

multicollinearity_threshold: float, default = 0.9
Threshold used for dropping the correlated features. Only comes into effect when remove_multicollinearity is set to True.

How to use?

# Importing dataset
from pycaret.datasets import get_data
concrete = get_data('concrete')

# Importing module and initializing setup
from pycaret.regression import *
reg1 = setup(data = concrete, target = 'strength', remove_multicollinearity = True, multicollinearity_threshold = 0.6)

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