Method and apparatus for incremental tracking of multiple quantiles
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United States of America Patent
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Nov 19, 2013
Grant Date -
Jan 13, 2011
app pub date -
Aug 24, 2009
filing date -
Jul 10, 2009
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Abstract
A capability for incremental tracking of multiples quantiles is provided. A method for performing an incremental quantile update using a data value of a received data record includes determining an initial distribution function, updating the initial distribution function to form a new distribution function based on the received data value, generating an approximation of the new distribution function, and determining new quantile estimates from the approximation of the new distribution function. The initial distribution function includes a plurality of initial quantile estimates and a respective plurality of initial probabilities. The new distribution function includes a plurality of quantile points identifying the respective initial quantile estimates and a respective plurality of new probabilities associated with the initial quantile estimates. The approximation of the new distribution function is generated by connecting pairs of adjacent quantile points using linear approximations of regions between the pairs of adjacent quantile points.
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