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arXiv · 1409.7289

Stream quantiles via maximal entropy histograms

Ognjen Arandjelovic·Ducson Pham·Svetha Venkatesh
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Abstract

We address the problem of estimating the running quantile of a data stream when the memory for storing observations is limited. We (i) highlight the limitations of approaches previously described in the literature which make them unsuitable for non-stationary streams, (ii) describe a novel principle for the utilization of the available storage space, and (iii) introduce two novel algorithms which exploit the proposed principle. Experiments on three large real-world data sets demonstrate that the proposed methods vastly outperform the existing alternatives.

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Ognjen Arandjelovic, Ducson Pham, Svetha Venkatesh. 2014-09-25. Stream quantiles via maximal entropy histograms. https://arxiv.org/abs/1409.7289

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