rejectkit 0.3.0

Reject inference for credit scoring — 8 scikit-learn-compatible methods plus an honest benchmark that tells you whether it actually helps.

rejectkit

Reject inference for credit scoring — scikit-learn-compatible methods, plus an honest benchmark that tells you whether reject inference actually helps on your data.

한국어 요약 (Korean)

신용 모델은 승인된 신청자(나중에 good/bad 결과를 아는 사람)로만 학습하지만, 실제로는 거절자를 포함한 전체 신청자를 평가해야 한다 — 이 표본 선택 편향을 바로잡는 기법이 reject inference다. rejectkit은 이 고전 기법 8가지를 scikit-learn 스타일의 한 API로 묶고, "그 보정이 내 데이터에서 실제로 도움이 되는지" 재는 벤치마크(MaskedRejectBenchmark)까지 제공한다. 입력은 pandas·polars·numpy 모두 지원. 자세한 한·영·일 설명은 docs/explainer.md, 실데이터 예제는 examples/real_data_home_credit.ipynb 참고.

日本語要約 (Japanese)

与信モデルは承認された申込者（後で good/bad の結果が分かる人）だけで学習するが、実際には否認者を含む全申込者を評価しなければならない — この標本選択バイアスを補正する手法が reject inference。rejectkit はこの古典的手法8種を scikit-learn 風の単一 API にまとめ、**「その補正が自分のデータで実際に役立つか」**を測るベンチマーク（MaskedRejectBenchmark）まで備える。入力は pandas・polars・numpy に対応。詳しい3言語解説は docs/explainer.md、実データ例は examples/real_data_home_credit.ipynb を参照。

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Why this exists

A credit model is trained on accepted applicants, whose good/bad outcome you eventually observe. But the model has to score the whole through-the-door population — including the applicants you rejected, who never get an outcome. Training on accepts only is a textbook case of sample-selection bias. Reject inference is the family of techniques that tries to correct it.

These methods are standard in the credit-risk world, yet the Python tooling is missing:

• R has scoringTools (augmentation, fuzzy_augmentation, parcelling, reclassification, twins) — GitHub only.
• Python scorecard libraries — scorecardpy, optbinning, scorecardbundle — do WOE/IV binning and logistic scorecards but skip reject inference entirely.
• What's left online is one-off research code, not a packaged, tested library.

rejectkit fills that gap: eight reject inference methods behind one scikit-learn-style API, a benchmark harness even scoringTools lacks, plus drift diagnostics and plotting.

Install

pip install -e .              # core: numpy, pandas, scikit-learn
pip install -e ".[plot]"      # + matplotlib plotting helpers
pip install -e ".[polars]"    # + polars input support

Quickstart

from sklearn.linear_model import LogisticRegression
from rejectkit import RejectInferenceClassifier

# X_accept, y_accept: accepted applicants and their good(0)/bad(1) outcomes
# X_reject:           rejected applicants — features only, no labels
clf = RejectInferenceClassifier(
    estimator=LogisticRegression(max_iter=1000),
    method="parcelling",
    method_params={"uplift": 1.3},   # assume rejects are ~30% worse per score band
)
clf.fit(X_accept, y_accept, X_reject)
pd_bad = clf.predict_proba(X_new)[:, 1]

Just want the augmented training sample for your own pipeline?

from rejectkit import FuzzyAugmentation

X_aug, y_aug, sample_weight = (
    FuzzyAugmentation(LogisticRegression(max_iter=1000))
    .fit_resample(X_accept, y_accept, X_reject)
)

Inputs may be pandas, polars, or numpy.

Methods

Method	Class	Core idea	Assumption
Simple augmentation	SimpleAugmentation	Hard 0/1 label by score cutoff	Accept model ranks rejects
Fuzzy augmentation	FuzzyAugmentation	Two weighted rows per reject (P(bad), P(good))	MAR; smooth labels
Parcelling	Parcelling	Per-score-band bad rate × uplift	Rejects worse by a fixed factor
Reclassification	Reclassification	Iteratively relabel & refit	Labels converge
Extrapolation / twins	Extrapolation	Local bad rate of nearest accepts	Similar applicants behave alike
Inverse-propensity reweighting	Reweighting	Reweight accepts by 1/P(accept)	MAR; invents no labels
Self-training	SelfLearning	Pseudo-label only confident rejects	MAR; confident labels reliable
Heckman control function	HeckmanClassifier	Add inverse Mills ratio as a feature	Gaussian selection latent

All resamplers share fit(X_accept, y_accept, X_reject) → resample() returning (X, y, sample_weight). HeckmanClassifier augments the feature space, so it is a standalone classifier rather than a resampler.

Does reject inference actually help? Measure it.

You can never validate reject inference directly, because rejects have no outcome — the literature is genuinely split on whether it helps at all. MaskedRejectBenchmark settles the question on your own data: it hides the labels of a synthetically "rejected" subset of a labelled dataset and checks how well each method recovers a model close to the oracle (trained on the full population) versus the naive accepts-only baseline.

from rejectkit import MaskedRejectBenchmark
from rejectkit.datasets import make_credit_data

X, y = make_credit_data(n_samples=4000, random_state=0)
bench = MaskedRejectBenchmark(selection="mnar", accept_rate=0.6, random_state=0)
print(bench.compare(
    ["fuzzy", "parcelling", "reweighting", "extrapolation", "selflearning", "heckman"],
    X, y,
).round(4))

                     auc      ks    gini  auc_recovery
oracle            0.8203  0.4911  0.6406        1.0000
naive             0.7488  0.3651  0.4975        0.0000
fuzzy             0.7488  0.3663  0.4977        0.0010
parcelling        0.7404  0.3468  0.4809       -0.1161
reweighting       0.7249  0.3290  0.4498       -0.3334
extrapolation     0.6989  0.2889  0.3977       -0.6973
selflearning      0.7124  0.3093  0.4248       -0.5080
heckman           0.7457  0.3559  0.4914       -0.0424

auc_recovery: 0 = no better than the naive accepts-only model, 1 = matches the full-data oracle.

Read this honestly. Selection here is MNAR (acceptance depends on the hidden outcome), so naive is badly biased (0.749 vs the 0.820 oracle) — yet the augmentation methods barely move it and several hurt; only Heckman nearly holds the naive line. That is what theory predicts when selection depends on the outcome: reject inference is not a free lunch. Switch to selection="mar" or selection="cutoff" and the verdict often flips the other way — frequently the naive model is already at the oracle, so auc_recovery returns NaN (no gap to recover) and reject inference is simply unnecessary. The harness exists so you find out before you ship it.

Selection mechanisms: "mar" (features only), "mnar" (features + hidden outcome), "cutoff" (accept the lowest-PD fraction — a realistic credit policy).

Diagnostics & plotting

from rejectkit.diagnostics import feature_drift, swap_set, psi
feature_drift(X_accept, X_reject)        # per-feature accept-vs-reject PSI, worst first
swap_set(y, score_old, score_new, c_old, c_new)   # who a new scorecard swaps in/out

from rejectkit import plotting            # needs [plot]
plotting.plot_benchmark(results)
plotting.plot_score_distributions(score_accept, score_reject)
plotting.plot_ks(y_true, y_score)

Caveats

• Augmentation methods infer reject labels from a model fitted on the (biased) accepts, so they cannot escape strong MNAR selection on their own.
• Reject inference often affects calibration more than ranking (AUC). Evaluate the metric you care about.
• Always benchmark before adopting. rejectkit makes that one function call.

Documentation

Build the docs site locally:

pip install -e ".[docs]"
mkdocs serve

Examples

• examples/quickstart.py — 60-second tour (single model + benchmark).
• examples/walkthrough.ipynb — every function on sample data (trilingual KO/EN/JA, executed).
• examples/real_data_home_credit.ipynb — applied to the real Kaggle Home Credit dataset: under MNAR selection the naive model collapses (AUC 0.74 → 0.57) and reject inference recovers ~7–8% of the gap; under MAR/cutoff it is unnecessary (trilingual, executed).

Roadmap

• v0.1 — core augmentation/parcelling/reweighting, RejectInferenceClassifier, benchmark. ✅
• v0.2 — reclassification, extrapolation / twins. ✅
• v0.3 — self-training, Heckman, polars, plotting, drift diagnostics, docs. ✅
• Next — calibration-focused benchmark metrics, deep generative reject inference (optional extra), PyPI release.

References

• Hand & Henley (1993), Can reject inference ever work?
• Crook & Banasik (2004), Does reject inference really improve the performance of application scoring models?
• Lopes, Should we "reject" Reject Inference? An empirical study.
• scoringTools (R): https://github.com/adimajo/scoringTools

License

MIT — see LICENSE.