BSD3 licensed and maintained by Oleg Grenrus

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

0.1

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