Difference between revisions of "Divergence Statistic"
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== Definition == | == Definition == | ||
| − | The '''Divergence Statistic''' is a measure of the distance between two distributions. It is typically used in assessing the ability of a [[Credit | + | 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 == | == Formula == | ||
:<math> | :<math> | ||
| − | D^2 = \frac{\pi_G - \ | + | D^2 = \frac{(\pi_G - \pi_B)^2}{(\sigma^2_G + \sigma^2_B)/2} |
</math> | </math> | ||
Latest revision as of 17:29, 17 February 2022
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
