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Asymmetric scale functions for t-digests
Journal of Statistical Computation and Simulation ( IF 1.2 ) Pub Date : 2021-07-01 , DOI: 10.1080/00949655.2021.1936523
Joseph Ross 1
Affiliation  

The t-digest is a data structure that can be queried for approximate quantiles, with greater accuracy near the minimum and maximum of the distribution. We develop a t-digest variant with accuracy asymmetric about the median, thereby making possible alternative trade-offs between computational resources and accuracy which may be of particular interest for distributions with significant skew. After establishing some theoretical properties of scale functions for t-digests, we show that a tangent line construction on the familiar scale functions preserves the crucial properties that allow t-digests to operate online and be mergeable. We conclude with an empirical study demonstrating the asymmetric variant preserves accuracy on one side of the distribution with a much smaller memory footprint.



中文翻译:

t-digests 的非对称尺度函数

所述-digest是一个数据结构,它可以查询为近似位数,与分布的最小和最大附近更高的精度。我们开发了一种精度关于中位数不对称的t- digest 变体,从而可以在计算资源和精度之间进行替代权衡,这对于具有显着偏斜的分布可能特别有用。在为t- digests建立尺度函数的一些理论性质之后,我们表明在熟悉的尺度函数上的切线构造保留了允许t的关键性质- 在线操作和可合并的摘要。我们最后进行了一项实证研究,证明非对称变体在分布的一侧以更小的内存占用保持准确性。

更新日期:2021-07-01
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