Bias and MSE of J-divergence Estimators for Scoring Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F13%3A00067522" target="_blank" >RIV/00216224:14310/13:00067522 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Bias and MSE of J-divergence Estimators for Scoring Models
Original language description
The J-divergence (also called Information value for credit scoring purposes) is, beside Gini coefficient and Kolmogorov-Smirnov statistic, one of the most widely used index to assess the quality of credit scoring models. The paper deals with nonparametric estimators of the J-divergence. The main contribution lies in providing a simulation study showing properties of considered estimators. Specifically, the paper deals with the bias and mean squared error (MSE) of the estimators according to size of datasample, selected distribution types and selected parameters of credit portfolio (given data sample).
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Mathematics in Practice II, Book of short papers
ISBN
9788021061767
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
72-80
Publisher name
Masarykova univerzita
Place of publication
Brno
Event location
Podlesí, Svratka
Event date
Sep 11, 2012
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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