[jira] [Commented] (MATH-418) add a storeless version of Percentile

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[jira] [Commented] (MATH-418) add a storeless version of Percentile

Gilles Sadowski (Jira)

    [ 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:

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 José C. Pinheiro "Incremental Quantile Estimation for Massive Tracking" which can be retrieved from CiteSeerX at [http://citeseerx.ist.psu.edu/viewdoc/summary?doi=].

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