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py-why / dowhy

DoWhy is a Python library for causal inference that supports explicit modeling and testing of causal assumptions. DoWhy is based on a unified language for causal inference, combining causal graphical models and potential outcomes frameworks.
https://www.pywhy.org/dowhy
MIT License
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Add RankBasedAnomalyScorer as an anomaly scorer #1192

Closed bloebp closed 4 weeks ago

bloebp commented 1 month ago

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.

bloebp commented 1 month ago

Thanks! I slightly updated the docstring.