[Boost.Accumulator] retrieve percentage corresponding to a value

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