Package com.tdunning.math.stats
Class TDigest
- java.lang.Object
-
- com.tdunning.math.stats.TDigest
-
- All Implemented Interfaces:
java.io.Serializable
- Direct Known Subclasses:
AbstractTDigest
public abstract class TDigest extends java.lang.Object implements java.io.Serializable
Adaptive histogram based on something like streaming k-means crossed with Q-digest. The special characteristics of this algorithm are: - smaller summaries than Q-digest - works on doubles as well as integers. - provides part per million accuracy for extreme quantiles and typically <1000 ppm accuracy for middle quantiles - fast - simple - test coverage roughly at 90% - easy to adapt for use with map-reduce- See Also:
- Serialized Form
-
-
Constructor Summary
Constructors Constructor Description TDigest()
-
Method Summary
All Methods Static Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description abstract void
add(double x)
Add a sample to this TDigest.abstract void
add(double x, int w)
Adds a sample to a histogram.abstract void
add(TDigest other)
Add all of the centroids of another TDigest to this one.abstract void
add(java.util.List<? extends TDigest> others)
abstract void
asBytes(java.nio.ByteBuffer buf)
Serialize this TDigest into a byte buffer.abstract void
asSmallBytes(java.nio.ByteBuffer buf)
Serialize this TDigest into a byte buffer.abstract int
byteSize()
Returns the number of bytes required to encode this TDigest using #asBytes().abstract double
cdf(double x)
Returns the fraction of all points added which are <= x.abstract int
centroidCount()
abstract java.util.Collection<Centroid>
centroids()
ACollection
that lets you go through the centroids in ascending order by mean.(package private) void
checkValue(double x)
abstract void
compress()
Re-examines a t-digest to determine whether some centroids are redundant.abstract double
compression()
Returns the current compression factor.static TDigest
createAvlTreeDigest(double compression)
Creates an AVLTreeDigest.static TDigest
createDigest(double compression)
Creates a TDigest of whichever type is the currently recommended type.static TDigest
createMergingDigest(double compression)
Creates anMergingDigest
.double
getMax()
double
getMin()
abstract boolean
isRecording()
abstract double
quantile(double q)
Returns an estimate of the cutoff such that a specified fraction of the data added to this TDigest would be less than or equal to the cutoff.abstract TDigest
recordAllData()
Tell this TDigest to record the original data as much as possible for test purposes.(package private) void
setMinMax(double min, double max)
Over-ride the min and max values for testing purposesabstract long
size()
Returns the number of points that have been added to this TDigest.abstract int
smallByteSize()
Returns the number of bytes required to encode this TDigest using #asSmallBytes().
-
-
-
Method Detail
-
createMergingDigest
public static TDigest createMergingDigest(double compression)
Creates anMergingDigest
. This is generally the best known implementation right now.- Parameters:
compression
- The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.- Returns:
- the MergingDigest
-
createAvlTreeDigest
public static TDigest createAvlTreeDigest(double compression)
Creates an AVLTreeDigest. AVLTreeDigest is nearly the best known implementation right now.- Parameters:
compression
- The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.- Returns:
- the AvlTreeDigest
-
createDigest
public static TDigest createDigest(double compression)
Creates a TDigest of whichever type is the currently recommended type. MergingDigest is generally the best known implementation right now.- Parameters:
compression
- The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.- Returns:
- the TDigest
-
add
public abstract void add(double x, int w)
Adds a sample to a histogram.- Parameters:
x
- The value to add.w
- The weight of this point.
-
checkValue
final void checkValue(double x)
-
add
public abstract void add(java.util.List<? extends TDigest> others)
-
compress
public abstract void compress()
Re-examines a t-digest to determine whether some centroids are redundant. If your data are perversely ordered, this may be a good idea. Even if not, this may save 20% or so in space. The cost is roughly the same as adding as many data points as there are centroids. This is typically < 10 * compression, but could be as high as 100 * compression. This is a destructive operation that is not thread-safe.
-
size
public abstract long size()
Returns the number of points that have been added to this TDigest.- Returns:
- The sum of the weights on all centroids.
-
cdf
public abstract double cdf(double x)
Returns the fraction of all points added which are <= x.
-
quantile
public abstract double quantile(double q)
Returns an estimate of the cutoff such that a specified fraction of the data added to this TDigest would be less than or equal to the cutoff.- Parameters:
q
- The desired fraction- Returns:
- The value x such that cdf(x) == q
-
centroids
public abstract java.util.Collection<Centroid> centroids()
ACollection
that lets you go through the centroids in ascending order by mean. Centroids returned will not be re-used, but may or may not share storage with this TDigest.- Returns:
- The centroids in the form of a Collection.
-
compression
public abstract double compression()
Returns the current compression factor.- Returns:
- The compression factor originally used to set up the TDigest.
-
byteSize
public abstract int byteSize()
Returns the number of bytes required to encode this TDigest using #asBytes().- Returns:
- The number of bytes required.
-
smallByteSize
public abstract int smallByteSize()
Returns the number of bytes required to encode this TDigest using #asSmallBytes(). Note that this is just as expensive as actually compressing the digest. If you don't care about time, but want to never over-allocate, this is fine. If you care about compression and speed, you pretty much just have to overallocate by using allocating #byteSize() bytes.- Returns:
- The number of bytes required.
-
asBytes
public abstract void asBytes(java.nio.ByteBuffer buf)
Serialize this TDigest into a byte buffer. Note that the serialization used is very straightforward and is considerably larger than strictly necessary.- Parameters:
buf
- The byte buffer into which the TDigest should be serialized.
-
asSmallBytes
public abstract void asSmallBytes(java.nio.ByteBuffer buf)
Serialize this TDigest into a byte buffer. Some simple compression is used such as using variable byte representation to store the centroid weights and using delta-encoding on the centroid means so that floats can be reasonably used to store the centroid means.- Parameters:
buf
- The byte buffer into which the TDigest should be serialized.
-
recordAllData
public abstract TDigest recordAllData()
Tell this TDigest to record the original data as much as possible for test purposes.- Returns:
- This TDigest so that configurations can be done in fluent style.
-
isRecording
public abstract boolean isRecording()
-
add
public abstract void add(double x)
Add a sample to this TDigest.- Parameters:
x
- The data value to add
-
add
public abstract void add(TDigest other)
Add all of the centroids of another TDigest to this one.- Parameters:
other
- The other TDigest
-
centroidCount
public abstract int centroidCount()
-
getMin
public double getMin()
-
getMax
public double getMax()
-
setMinMax
void setMinMax(double min, double max)
Over-ride the min and max values for testing purposes
-
-