Information Statistic: Difference between revisions
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Latest revision as of 17:31, 17 February 2022
Definition
Information Statistic (also Information Value) is a metric of the strength of a characteristic to separate a binary classification problem (such as good/bad classification in Credit Scoring).
Formula
where
- is the value of the i-th class
- is the probability (fraction) of bads for value class i
- is the probability (fraction) of goods for value class i