Consider using t-digest for streaming quantiles

[stephenll]

Consider using t-digest for calculating streaming quantiles:

https://github.com/tdunning/t-digest contains java source and a paper describing the algorithm.

there are also implementations in other languages noted in the above repo.

I am surprised this isn't already available in R. I wish I had the skills to implement myself for R.

[hadley]

There's a C++ implementation at https://github.com/gpichot/cpp-tdigest.