We present on-line algorithms for computing approximations of rank-based statistics that give high accuracy, particularly near the tails of a distribution, with very small sketches.
SEQUENTIAL QUANTILE ESTIMATION COMPUTATION DATA STRUCTURES AND ALGORITHMS
These algorithms go beyond existing sequential quantile estimation algorithms in that they allow arbitrary quantiles (as opposed to pre-specified quantiles) to be estimated at any point in time.
DATA SUMMARIZATION SEQUENTIAL DISTRIBUTION FUNCTION ESTIMATION SEQUENTIAL QUANTILE ESTIMATION