Rank tests for outlier detection
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In novelty detection, the objective is to determine whether the test sample contains any outliers, using a sample of controls (inliers). This involves many-to-one comparisons of individual test points against the control sample. A recent approach applies the Benjamini-Hochberg procedure to the conformal p-values resulting from these comparisons, ensuring false discovery rate control. In this paper, we suggest using Wilcoxon-Mann-Whitney tests for the comparisons and subsequently applying the closed testing principle to derive post-hoc confidence bounds for the number of outliers in any subset of the test sample. We revisit an elegant result that under a nonparametric alternative known as Lehmann's alternative, Wilcoxon-Mann-Whitney is locally most powerful among rank tests. By combining this result with a simple observation, we demonstrate that the proposed procedure is more powerful for the null hypothesis of no outliers than the Benjamini-Hochberg procedure applied to conformal p-values.
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