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

$I=\sum _{i}(p_{b}(S_{i})-p_{g}(S_{i}))\log({\frac {p_{b}(S_{i})}{p_{g}(S_{i})}})$

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