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How is Population Stability Index (PSI) computed and interpreted?

hard

Answer

  • Bin feature into k quantiles based on training distribution.
  • Compute expected % (train) and actual % (current) per bin.
  • PSI = Σ (actual - expected) × ln⁡(actual  /  expected)\operatorname{ln}(\mathrm{actual}\; / \;\mathrm{expected}).
  • Interpretation: <0.1 stable, 0.1-0.2 minor shift (investigate), >0.2 significant drift (retrain / alert).
  • Widely used in banking / credit scoring.
  • Symmetric version = JSD.
  • Pitfall: small bins can inflate PSI — cap actual to 0.001 to avoid log-inf.
Check yourself — multiple choice
  • Random
  • Bin by train quantiles; PSI = Σ (actual - expected) × ln⁡(actual/expected)\operatorname{ln}(\mathrm{actual} / \mathrm{expected}); <0.1 stable, 0.1-0.2 minor, >0.2 significant drift; cap small bins to 0.001
  • Same as KL
  • Just difference of means

PSI: Σ(a-e) ln⁡(a/e)\operatorname{ln}(a / e); thresholds 0.1 / 0.2 for banking.

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