Re: st: approximate quantiles in Stata

[David Hoaglin <dchoaglin@gmail.com>]

Hi, Laszlo.

How large are your samples, and which quantiles do you need?

I think I saw some relevant work a number of years ago, and I will
have to look for it.

David Hoaglin

On Fri, Aug 23, 2013 at 9:01 PM, László Sándor <sandorl@gmail.com> wrote:
> Hi,
> My work is slowed down by the precise but computationally intensive
> quantile calculation of Stata. I am curious if there are any
> approximation algorithms implemented out there, something along these
> ideas: http://www.prelert.com/blog/q-digest-an-algorithm-for-computing-approximate-quantiles-on-a-collection-of-integers/
>
> So this is not about estimating population quantiles from a small
> sample (see Nick's hdquantile on SSC, e.g.). This is about finding
> approximate quantiles in large data.
>
> If the answer is simply random downsampling before taking quantiles, I
> would still appreciate some guidance on how heavily to downsample as a
> function of population size.
>
> Thanks!
>
> Laszlo

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