[R] single-pass algorithm for quantile calculation

Vadim Ogranovich vograno at arbitrade.com
Tue Apr 3 20:31:32 CEST 2001

Dear R users, I am looking for a reference to an algorithm for estimation of
sample quantiles which does not require bringing the whole data into memory
(more precisely its memory complexity should be much less than linear,
ideally constant). I realize that such an algorithm can only be approximate
and actually quite wrong for some samples, but that's fine with me.

Thank you,
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