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The connection of the stability of the binary choice model with its discriminatory power

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  • M. Pomazanov

Abstract

The key indicators of model stability are the population stability index (PSI), which uses the difference in population distribution, and the Kolmogorov-Smirnov statistic (KS) between two distributions. When deriving a binary choice model, the question arises about the real Gini index for any new model. The paper shows that when the Gini changes, the real Gini index should be less than the obtained Gini index. This type is included in the equation using a formula, and the PSI formula in KS is also included based on the scoring indicator. The error in calculating the Gini index of the equation is unavoidable, so it is necessary to always rely on the calculation formula. This type of research is suitable for a wide range of tasks where it is necessary to consider the error in scoring the indicator at any length.

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  • M. Pomazanov, 2025. "The connection of the stability of the binary choice model with its discriminatory power," Papers 2507.04866, arXiv.org.
    • Handle: RePEc:arx:papers:2507.04866
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    1. Yinqiao Dong & Shangbin Liu & Danni Xia & Chen Xu & Xiaoyue Yu & Hui Chen & Rongxi Wang & Yujie Liu & Jingwen Dong & Fan Hu & Yong Cai & Ying Wang, 2022. "Prediction Model for the Risk of HIV Infection among MSM in China: Validation and Stability," IJERPH, MDPI, vol. 19(2), pages 1-14, January.
    2. D Wu & D L Olson, 2010. "Enterprise risk management: coping with model risk in a large bank," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(2), pages 179-190, February.
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