Hello,
I am trying to calculate the Earth mover's distance index for two probabilities of default distributions (let's say PD1 and PD2).
PD1 has fewer possible values than PD2.
Any thoughts on this subject?
Thank you in advance!
You might find this helpful:
https://blogs.sas.com/content/sgf/2018/07/12/word-movers-distance/
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