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Provide 2-sample Anderson Darling test as constraint

Open kklein opened this issue 3 years ago • 0 comments

The recently implemented Kolmogorov Smirnov test can be useful when trying to assess whether two samples are drawn from the identical underlying distribution. While it might already satisfy a user's need, some might argue (e.g. [0]) that other kinds of tests might be more adequate in certain circumstances. A prominent alternative could be the Anderson Darling [1] test.

Once our Kolmogorov Smirnov test query logic is implemented via the sqlalchemy language expression api - see https://github.com/Quantco/datajudge/issues/29 - it should be very easy to share a lot of the underlying query logic between both tests.

[0] https://www.researchgate.net/publication/267205556_Power_Comparisons_of_Shapiro-Wilk_Kolmogorov-Smirnov_Lilliefors_and_Anderson-Darling_Tests [1] https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test#Non-parametric_k-sample_tests

kklein avatar Jul 29 '22 14:07 kklein