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rdr_geek
Calcite | Level 5 rdr_geek
Calcite | Level 5

Earth mover's distance calculation

Posted 07-03-2020 02:55 AM (1463 views)

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!

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Norman21
Lapis Lazuli | Level 10 Norman21
Lapis Lazuli | Level 10

Re: Earth mover's distance calculation

Posted 07-03-2020 05:44 AM (1420 views)  |   In reply to rdr_geek

You might find this helpful:

 

https://blogs.sas.com/content/sgf/2018/07/12/word-movers-distance/

Norman.
SAS 9.4 (TS1M6) X64_10PRO WIN 10.0.17763 Workstation

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