tdigest

On-line accumulation of rank-based statistics

https://github.com/futurice/haskell-tdigest#readme

Version on this page:0.2.1@rev:5
LTS Haskell 17.0:0.2.1.1
Stackage Nightly 2021-01-28:0.2.1.1
Latest on Hackage:0.2.1.1

See all snapshots tdigest appears in

BSD-3-Clause licensed and maintained by Oleg Grenrus
This version can be pinned in stack with:tdigest-0.2.1@sha256:5a7a7a6819697de36b42880bc72a39fcbc1478c9b805db055d30220d3b7432b3,3203

tdigest

A new data structure for accurate on-line accumulation of rank-based statistics such as quantiles and trimmed means.

See original paper: “Computing extremely accurate quantiles using t-digest” by Ted Dunning and Otmar Ertl

Synopsis

λ *Data.TDigest > median (tdigest [1..1000] :: TDigest 3)
Just 499.0090729817737

Benchmarks

Using 50M exponentially distributed numbers:

  • average: 16s; incorrect approximation of median, mostly to measure prng speed
  • sorting using vector-algorithms: 33s; using 1000MB of memory
  • sparking t-digest (using some par): 53s
  • buffered t-digest: 68s
  • sequential t-digest: 65s

Example histogram

tdigest-simple -m tdigest -d standard -s 100000 -c 10 -o output.svg -i 34
cp output.svg example.svg
inkscape --export-png=example.png --export-dpi=80 --export-background-opacity=0 --without-gui example.svg

Example

Changes

0.2.1

  • Add size, valid, validate, and debugPrint for NonEmpty #26

0.2

  • Add Data.TDigest.Vector module.

0.1

  • Add validateHistogram and debugPrint
  • Fix a pointy centroid bug.
  • Add Data.TDigest.NonEmpty module
  • Add mean, variance, stddev