1) Meaning Discriminatory Power is the ability of a model, test, or scoring system to distinguish correctly between two groups — typically positive vs. negative outcomes (e.g., good vs. bad credit, disease vs. healthy, responder vs. non-responder). In simple terms: “How well can the model separate those who will do X from those who won’t?”…
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…
1) What it is 2) Test Statistic For two empirical CDFs, $F_n(x)$ and $G_m(x)$: $D_{n,m} = \sup_x | F_n(x) – G_m(x) |$ 3) Types of KS Tests 4) Properties Non-parametric → no assumptions about the distribution (works for any continuous distribution).Sensitive to both shifts in location (mean) and changes in shape (variance, skewness).Less powerful with…
Definition KS shift (Kolmogorov–Smirnov shift) measures how much a variable’s distribution has changed between two populations (e.g., training vs. production).It is based on the KS statistic, which quantifies the maximum difference between the two cumulative distribution functions (CDFs). Formally: $D = \sup_x \, \big| F_{\text{baseline}}(x) – F_{\text{current}}(x) \big|$ Interpretation KS Shift Value Interpretation < 0.1…