pt_oob {dsos} | R Documentation |
Test for no adverse shift with outlier scores. Like goodness-of-fit testing,
this two-sample comparison takes the training set, x_train
as the
as the reference. The method checks whether the test set, x_test
, is
worse off relative to this reference set. The function scorer
assigns
an outlier score to each instance/observation in both training and test set.
pt_oob(x_train, x_test, scorer, n_pt = 2000)
x_train |
Training (reference/validation) sample. |
x_test |
Test sample. |
scorer |
Function which returns a named list with outlier scores from
the training and test sample. The first argument to |
n_pt |
The number of permutations. |
The null distribution of the test statistic is based on n_pt
permutations. For speed, this is implemented as a sequential Monte Carlo test
with the simctest package. See Gandy (2009) for details. The prefix
pt refers to permutation test. This approach does not use the
asymptotic null distribution for the test statistic. This is the recommended
approach for small samples. The test statistic is the weighted AUC (WAUC).
A named list of class outlier.test
containing:
statistic
: observed WAUC statistic
seq_mct
: sequential Monte Carlo test, when applicable
p_value
: p-value
outlier_scores
: outlier scores from training and test set
The scoring function, scorer
, predicts out-of-bag scores to mimic
out-of-sample behaviour. The suffix oob stands for out-of-bag to
highlight this point. This out-of-bag variant avoids refitting the
underlying algorithm from scorer
at every permutation. It can, as a
result, be computationally appealing.
Kamulete, V. M. (2022). Test for non-negligible adverse shifts. In The 38th Conference on Uncertainty in Artificial Intelligence. PMLR.
Gandy, A. (2009). Sequential implementation of Monte Carlo tests with uniformly bounded resampling risk. Journal of the American Statistical Association, 104(488), 1504-1511.
[pt_refit()] for (slower) p-value approximation via refitting. [at_oob()] for p-value approximation from asymptotic null distribution.
Other permutation-test:
pt_from_os()
,
pt_refit()
library(dsos)
set.seed(12345)
data(iris)
idx <- sample(nrow(iris), 2 / 3 * nrow(iris))
iris_train <- iris[idx, ]
iris_test <- iris[-idx, ]
# Use a synthetic (fake) scoring function for illustration
scorer <- function(tr, te) list(train=runif(nrow(tr)), test=runif(nrow(te)))
pt_test <- pt_oob(iris_train, iris_test, scorer = scorer)
pt_test