tdigest

On-line accumulation of rank-based statistics https://github.com/futurice/haskell-tdigest#readme

Latest on Hackage:0.1

This package is not currently in any snapshots. If you're interested in using it, we recommend adding it to Stackage Nightly. Doing so will make builds more reliable, and allow stackage.org to host generated Haddocks.

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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