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  1. Commons Math
  2. MATH-418

add a storeless version of Percentile

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Details

    • New Feature
    • Status: Closed
    • Major
    • Resolution: Fixed
    • 2.1
    • 3.4
    • None
    • None

    Description

      The Percentile class can handle only in-memory data.
      It would be interesting to use an on-line 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 José 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.

      Attachments

        1. psquare-23-june.patch
          2 kB
          Venkatesha Murthy TS
        2. 30-may-2014-418-psquare-patch
          66 kB
          Venkatesha Murthy TS
        3. 418-psquare-patch
          96 kB
          Venkatesha Murthy TS
        4. psquare-patch
          99 kB
          Venkatesha Murthy TS

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              Unassigned Unassigned
              luc Luc Maisonobe
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                Updated:
                Resolved: