[jira] [Created] (SPARK-12815) Compute Wilcoxon-Mann-Whitney rank sum statistic

["Robert Dodier (JIRA)" <ji...@apache.org>]

Robert Dodier created SPARK-12815:
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             Summary: Compute Wilcoxon-Mann-Whitney rank sum statistic
                 Key: SPARK-12815
                 URL: https://issues.apache.org/jira/browse/SPARK-12815
             Project: Spark
          Issue Type: New Feature
          Components: ML, MLlib
            Reporter: Robert Dodier
            Priority: Minor


The Wilcoxon-Mann-Whitney rank sum statistic (also known by other permutations of those names) is a useful assessment of relevance of an input field for a classification problem. As such it would nice to have in ML or MLlib (I don't know what's a more suitable package for it).

I have created a Spark package, [spark-wilcoxon|http://spark-packages.org/package/robert-dodier/spark-wilcoxon], to demonstrate an implementation. If there is interest in this issue, I'll create a pull request. spark-wilcoxon computes the scaled rank sum statistic `U/(n0*n1)`, where `U` is the rank sum statistic and `n0` and `n1` are the numbers of data in class 0 and class 1, respectively.

There exists already the Spearman rank correlation statistic in MLlib (in ...mllib.stat.correlation.SpearmanCorrelation) but that is not equivalent to the WMW statistic -- the one cannot be derived from the other because the Spearman correlation contains squares of rank differences and the WMW contains only first-order terms.

See the Wikipedia article [Mann-Whitney U test|https://en.wikipedia.org/wiki/Mann%E2%80%93Whitney_U_test] for formulas and background information. At this point, I am proposing only to compute the rank sum statistic, not to implement the significance test.



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