FrugalQuantile

@Serializable

@SerialName(value = "FrugalQuantile")

data class FrugalQuantile(val q: Double, val stepSize: Double = 0.01, val initialEstimate: Double = 0.0) : SeriesStatSpec<QuantileResult> (source)

Spec for FrugalQuantileStat: O(1)-memory single-quantile estimator.

Constructors

constructor(q: Double, stepSize: Double = 0.01, initialEstimate: Double = 0.0)(source)

Initial estimate seeding the random walk.

Target quantile probability in (0, 1).

Adaptive step size used to chase the quantile.