Information Statistic

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

Failed to parse (lexing error): I = \sum_i (p_b(S_i) − p_g(S_i)) log(\frac{p_b(S_i)}{p_g(S_i)}

where

• $S_i$ is the value of the i-th class
• $p_b(S_i)$ is the probability (fraction) of bads for value class i
• $p_g(S_i)$ is the probability (fraction) of goods for value class i