Difference between revisions of "Information Statistic"
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== Formula == | == Formula == | ||
:<math> | :<math> | ||
− | I = \ | + | I = \sum_i ( p_b(S_i) - p_g(S_i) ) \log( \frac{ p_b(S_i) } { p_g(S_i) } ) |
</math> | </math> | ||
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