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From: Eric Niebler (eric_at_[hidden])
Date: 2007-01-31 13:47:01

james.jones_at_[hidden] wrote:
> From: Matthias Troyer <troyer_at_[hidden]>
>> These were easy, trickier are robust estimators of variance and
>> moments, even trickier will be median estimators where I currently
>> even do not see how this should be done without storing most of the
>> time series.
> Isn't this already a problem with sequences? Suppose you're storing the current median, and a new value comes along. What's the new median - without checking all the previous values? There are statistical estimates for this, but I don't know any exact way other than essentially resorting the data and checking the new median.

To calculate an exact median, you're correct. Of course, nothing stops
you from writing an accumulator that calculates the exact median by
storing all the samples seen so far. There are approximate median
algorithms that don't need to do that, though, and that's what Matthias
is referring to. Those might be tricky to combine.

Eric Niebler
Boost Consulting

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