Wicked Fast, Accurate Quantiles Using t-Digests

The t-Digest construction algorithm, by Dunning, (2019) , 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.