T-Digest.NET 1.0.3

T-Digest.NET

.NET Implementation of the relatively new T-Digest quantile estimation algorithm. Useful for calculating highly accurate Quantiles or Percentiles from on-line streaming data, or data-sets that are too large to store in memory and sort, which is required to calculate the true quantile.

Fully refactored fork of quantumtunneling/T-Digest.NET with next changes:

• Modern .NET frameworks support
• Highly improved performance
• A bit better accuracy

The Nuget package for this Implementation can be found here

The T-Digest white paper can be found here

Example Code:

    using TDigestNet;

    ...

    Random random = new();
    TDigest digest = new();

    for (int i = 0; i < 1000000; i++)
    {
        var n = random.NextDouble() * 100;
        digest.Add(n);
    }

    Console.WriteLine($"Average: {digest.Average}");
    Console.WriteLine($"Percentile 10: {digest.Quantile(10 / 100d)}");
    Console.WriteLine($"Percentile 50: {digest.Quantile(50 / 100d)}");
    Console.WriteLine($"Percentile 80: {digest.Quantile(80 / 100d)}");
    Console.WriteLine($"Percentile 99: {digest.Quantile(99 / 100d)}");

License

MIT

Copyright (C) 2023 Aleksej Solomatin