quantile/

Package cm implements the Cormode-Muthukrishnan algorithm for computing biased quantiles over data streams from "Effective Computation of Biased Quantiles over Data Streams" and is largely based on statsite's implementation in C: https://github.com/statsite/statsite/blob/master/src/cm_quantile.c

Package tdigest implements the t-digest algorithm for accurate on-line accumulation of rank-based statistics such as quantiles from "Computing Extremely Accurate Quantiles Using t-Digests" and is based on Ted Dunning's implementation in Java: https://github.com/tdunning/t-digest/blob/master/src/main/java/com/tdunning/math/stats/