KS Statistic (Kolmogorov–Smirnov Statistic)
1) Meaning The KS statistic is a measure of the maximum difference between two cumulative distribution functions (CDFs). Intuition: 2) Formula For binary classification (positive = 1, negative = 0): $KS = \max_x \; | F_{\text{positive}}(x) – F_{\text{negative}}(x) |$ Where $F$ = cumulative distribution. 3) Example Suppose we score 1,000 customers with a credit risk…