J-divergence estimator for scoring models
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F12%3A00061863" target="_blank" >RIV/00216224:14310/12:00061863 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
J-divergence estimator for scoring models
Popis výsledku v původním jazyce
J-divergence is widely used to describe the difference between two probability distributions $F_{0}$ and $F_{1}$. It is also called the Information value for the purpose of scoring models. Empirical estimate using deciles of scores is the common way howto compute it. However, it may lead to strongly biased results. Moreover, there are some computational issues to solve. To avoid these issues and to lower the bias, the empirical estimate with supervised interval selection (esis) can be used. It is basedon idea of constructing such intervals of scores which ensure to have sufficiently enough observations in each interval. The quantile function $F_{0}^{-1}$ is used for this purpose. For further reduction of the bias and the MSE, new algorithm esis1 wasproposed. The modification lies in the employment of both $F_{0}^{-1}$ and $F_{1}^{-1}$ and the idea of passing data just once with no need to merge the constructed intervals.
Název v anglickém jazyce
J-divergence estimator for scoring models
Popis výsledku anglicky
J-divergence is widely used to describe the difference between two probability distributions $F_{0}$ and $F_{1}$. It is also called the Information value for the purpose of scoring models. Empirical estimate using deciles of scores is the common way howto compute it. However, it may lead to strongly biased results. Moreover, there are some computational issues to solve. To avoid these issues and to lower the bias, the empirical estimate with supervised interval selection (esis) can be used. It is basedon idea of constructing such intervals of scores which ensure to have sufficiently enough observations in each interval. The quantile function $F_{0}^{-1}$ is used for this purpose. For further reduction of the bias and the MSE, new algorithm esis1 wasproposed. The modification lies in the employment of both $F_{0}^{-1}$ and $F_{1}^{-1}$ and the idea of passing data just once with no need to merge the constructed intervals.
Klasifikace
Druh
O - Ostatní výsledky
CEP obor
BB - Aplikovaná statistika, operační výzkum
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2012
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů