From: Timo Sachsenberg (sachsenberg_at_[hidden])
Date: 2020-08-24 06:06:58
Hi,
Boost offers convenient methods in the accumulator library to get e.g. a
value (let's say 1234) corresponding to a certain quantile (let's say
0.995).
For my specific use-case I wonder if the opposite (value input=1234,
output=0.995) is also possible.
Is there an elegant way to calculate/estimate the percentile of value in
an online fashion (=while accumulating) and without storing all values?
One thing I came up with is using extended_p_square_quantile with many
probabilities and then do a binary search over the values output by the
quantile() function.
Is there an easier way to directly get the percentile from the value
that I am missing?
Best,
Timo