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Modified Test Statistic for Identity of Two Distribution on Credit Evaluation
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 Title & Authors
Modified Test Statistic for Identity of Two Distribution on Credit Evaluation
Hong, C.S.; Park, H.S.;
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The probability of default on the credit evaluation study is represented as a linear combination of two distributions of default and non-default, and the distribution of the probability of default are generally known in most cases. Except the well-known Kolmogorov-Smirnov statistic for testing the identity of two distribution, Kuiper, Cramer-Von Mises, Anderson-Darling, and Watson test statistics are introduced in this work. Under the assumption that the population distribution is known, modified Cramer-Von Mises, Anderson-Darling, and Watson statistics are proposed. Based on score data generated from various probability density functions of the probability of default, the modified test statistics are discussed and compared.
Credit rating model;score;discriminatory power;distribution function;nonparametric test;probability of default;skewness;validation;
 Cited by
송문섭, 박창순, 이정진(2003). , 자유아카데미

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