Divergence Statistic

Definition

The Divergence Statistic is a measure of the distance between two distributions. It is typically used in assessing the ability of a Credit Scorecard to distinguish between the good and bad populations

Formula

$D^{2}={\frac {(\pi _{G}-\pi _{B})^{2}}{(\sigma _{G}^{2}+\sigma _{B}^{2})/2}}$

See Also

• Mahalanobis Distance