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From Thomas Neidhart <thomas.neidh...@gmail.com>
Subject Re: [math] Proposal for New way of Computing an approximate Percentile without storing input data
Date Sun, 23 Mar 2014 09:09:48 GMT
On 03/22/2014 11:31 PM, Ted Dunning wrote:
> Murthy,
> 
> I recently developed an alternative algorithm which provides superior
> accuracy for extreme quantiles.  You can read more at
> 
> https://github.com/tdunning/t-digest/blob/master/docs/t-digest-paper/histo.pdf?raw=true
> 
> The library involved is available via maven and is apache licensed.  Apache
> Commons Math has a "no dependency" policy which might mean that sucking in
> the code would be a better option than simply linking to this.
> 
> The standard of the art before t-digest is generally considered to be
> either Greenwald and Khanna's algorithm GK01 or the Q-digest.  References
> are in the paper above.
> 
> In case it isn't obvious, source code is available on github at
> 
> https://github.com/tdunning/t-digest
> 
> The p^2 algorithm that you suggest is actually quite old and far from the
> state of the art.

There is already an issue for this:

https://issues.apache.org/jira/browse/MATH-418

It links also other implementations and algorithms, maybe you could add
a link to your's as well?

Thomas

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