add a storeless version of Percentile
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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: 3.0
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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