In predictive modeling, it is very important to check whether the model is able to distinguish between events and non-events. There is a performance statistics called "Kolmogorov-Smirnov" (KS) statistics which measures the discriminatory power of a model.
Kolmogorov-Smirnov (KS) Statistics
Kolmogorov-Smirnov (KS) Statistics
It looks at maximum difference between distribution of cumulative events and cumulative non-events.SAS Code : Calculating KS Statistics
data full;
do i=1 to 1000;
x=rannor(12342);
p=1/(1+exp(-(-3.35+2*x)));
y2=ranbin(98435,1,p);
drop i;
output;
end;
run;
proc logistic data= full;
model y2(event="1")=x;
output out=out2 p= pred;
run;
Proc npar1way data=out2 edf;
class y2;
var pred;
run;
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| KS Output |