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: MATH-418
> URL: https://issues.apache.org/jira/browse/MATH-418 > Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.1
> Reporter: Luc Maisonobe
> Fix For: 4.0
> 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].
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