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.

The Nuget package for this Implementation can be found here

The T-Digest white paper can be found here

Example Code:

using StatsLib;
...

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

for (var i=0; i<1000000; i++) {
	var value = r.nextDouble();
	digest.Add(value);
}

var median = digest.Quantile(.5);
var n99th = digest.Quantile(.99);
var n999th = digest.Quantile(.999);