Computing Extremely Accurate Quantiles Using t-Digests

11 Feb 2019 Ted Dunning Otmar Ertl

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. Notably, the method allows a quantile \$q\$ to be computed with an accuracy relative to \$\max(q, 1-q)\$ rather than absolute accuracy as with most other methods... (read more)

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