Not an expert on this topic but I noticed that the KLL algorithm (published in 2016) was not mentioned in this thread, which provides theoretically optimal perf

Not an expert on this topic but I noticed that the KLL algorithm (published in 2016) was not mentioned in this thread, which provides theoretically optimal performance for streaming quantiles with guaranteed worst case performance: http://courses.csail.mit.edu/6.854/20/sample-projects/B/streaming-quantiles.pdf http://courses.csail.mit.edu/6.854/20/sample-projects/B/stre... (And is pretty fast in practice).