Difference between revisions of "Divergence Statistic"
From Open Risk Manual
Wiki admin (talk | contribs) |
(No difference)
|
Revision as of 21:01, 11 September 2020
Definition
The Divergence Statistic is a measure of the distance between two distributions. It is typically used in assessing the ability of a Credit Scorecarc to distinguish between the good and bad populations
Formula
- Failed to parse (unknown function "\pt"): D^2 = \frac{\pi_G - \pt_B)^2}{(\sigma^2_G + \sigma^2_B)/2}
