Add RankBasedAnomalyScorer as an anomaly scorer #1192
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amit-sharma
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May 29, 2024
This is very closely related to the RescaledMedianCDFQuantileScorer but a statistically more well-defined approach. However, it is also slightly more conservative for small sample sizes. Furthermore, it changes the way equal samples are counted in MedianCDFQuantileScorer by also including the test sample itself. This prevents a p-value of 0. Signed-off-by: Patrick Bloebaum <[email protected]>
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Thanks! I slightly updated the docstring. |
amit-sharma
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Jun 4, 2024
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This is very closely related to the RescaledMedianCDFQuantileScorer but a statistically more well-defined approach. However, it is also slightly more conservative for small sample sizes. Furthermore, it changes the way equal samples are counted in MedianCDFQuantileScorer by also including the test sample itself. This prevents a p-value of 0.