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Phil Steitz commented on MATH418:

Another algorithm to consider is PSquare [http://www.cs.wustl.edu/~jain/papers/ftp/psqr.pdf]
Also, as a special case, I have a Remdedian implementation, following [http://web.ipac.caltech.edu/staff/fmasci/home/statistics_refs/Remedian.pdf]
that I was going to propose for inclusion in [math]. I still have some work to do on the
tests, but I could do that fairly quickly if others are OK adding it. I understand if consensus
is to just implement a general solution.
> add a storeless version of Percentile
> 
>
> Key: MATH418
> URL: https://issues.apache.org/jira/browse/MATH418
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.1
> Reporter: Luc Maisonobe
> Fix For: 4.0
>
>
> The Percentile class can handle only inmemory data.
> It would be interesting to use an online algorithm to estimate quantiles as a storeless
statistic.
> An example of such an algorithm is the exponentially weighted stochastic approximation
described in a 2000 paper by Fei Chen , Diane Lambert and JosÃ© C. Pinheiro "Incremental
Quantile Estimation for Massive Tracking" which can be retrieved from CiteSeerX at [http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.105.1580].

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