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https://issues.apache.org/jira/browse/MATH-418?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13682422#comment-13682422 ]

Phil Steitz commented on MATH-418:

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Another algorithm to consider is P-Square [

http://www.cs.wustl.edu/~jain/papers/ftp/psqr.pdf]

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 JosÃ© 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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