I want to estimate the quantile of some data. The data are so huge that they can not be accommodated in the memory. And data are not static, new data keep coming. Does anyone know any algorithm to monitor the quantile(s) of the data observed so far with very limited memory and computation? I find P2 algorithm useful. But it does not work very well for my data, which are extremely heavy-tailed distributed.
algorithm to dynamically monitor quantile(s)
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algorithms
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1**Crossposted**: http://stats.stackexchange.com/questions/7959/algorithm-to-dynamically-monitor-quantiles – 2011-03-08