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

$D^2 = \frac{(\pi_G - \pi_B)^2}{(\sigma^2_G + \sigma^2_B)/2}$

See Also

• Mahalanobis Distance