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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
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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
> 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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