tdigest: Wicked Fast, Accurate Quantiles Using t-Digests

The t-Digest construction algorithm, by Dunning et al., (2019) <arXiv:1902.04023v1>, uses a variant of 1-dimensional k-means clustering to produce a very compact data structure that allows accurate estimation of quantiles. This t-Digest data structure can be used to estimate quantiles, compute other rank statistics or even to estimate related measures like trimmed means. The advantage of the t-Digest over previous digests for this purpose is that the t-Digest handles data with full floating point resolution. The accuracy of quantile estimates produced by t-Digests can be orders of magnitude more accurate than those produced by previous digest algorithms. Methods are provided to create and update t-Digests and retrieve quantiles from the accumulated distributions.

Getting started

Package details

AuthorBob Rudis [aut, cre] (<>), Ted Dunning [aut] (t-Digest algorithm; <>), Andrew Werner [aut] (Original C+ code; <>)
MaintainerBob Rudis <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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tdigest documentation built on Aug. 1, 2019, 5:06 p.m.