Sequential Quantile Estimation

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Computing Extremely Accurate Quantiles Using t-Digests

tdunning/t-digest 11 Feb 2019

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.

1,921
11 Feb 2019

Sequential Quantiles via Hermite Series Density Estimation

MikeJaredS/hermiter 17 Jul 2015

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.

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17 Jul 2015