3 ms·
Happy to answer questions if anything is not clear or discuss.
by AnthonyLloyd 7y ago
Happy to answer questions if anything is not clear or discuss.
- Lemaxoxo 7y agoWould you happen the memory complexity of this algorithm? I maintain an online machine learning library written in Python, called creme, where we implement online statistics. We have a generic onine algorithm for estimating quantiles, and so a specific algorithm for estimating medians would be welcome. I'm always on the lookout for such online algorithms.
- AnthonyLloyd 7y agoIt's a fixed memory size but gets released when you move into the recursive part. Increasing the fixed part will give you a better starting estimate. See here for quantiles: https://stackoverflow.com/questions/1058813/on-line-iterator-algorithms-for-estimating-statistical-median-mode-skewnes https://stackoverflow.com/questions/1058813/on-line-iterator... The P^2 algorithm used in creme is interesting. For the median it would give a 2 sided median deviation. Maybe this could be changed slightly to be symmetric and give Median and MAD. I'll look into.
- lonelappde 7y agoWhat is MAD?
- AnthonyLloyd 7y agoMedian Absolute Deviation Discussed in the previous post: http://anthonylloyd.github.io/blog/2016/10/21/MAD-Outliers http://anthonylloyd.github.io/blog/2016/10/21/MAD-Outliers It's roughly the range around the median where half the sample is within (since you can do 2 sided MAD also).
- johnmyleswhite 7y agoCan you link to a proof of the equation starting at "The standard error of the sample Median approximates to"?
- AnthonyLloyd 7y agoIt's a quite hand wavy central limit theory for large N or close to normal distribution: http://davidmlane.com/hyperstat/A106993.html http://davidmlane.com/hyperstat/A106993.html