quantile()

MAYAFLUX_API double MayaFlux::Kinesis::Discrete::quantile	(	std::span< const double >	window,
		std::span< const double >	coefs
	)

Quantile of the whole window, interpolating between ranks.

The per-call counterpart of Discrete::percentile, which is the batch form over every window of a buffer and takes percent.

coefs[0] is the quantile in [0, 1], 0.5 when the array is empty: 0 is the minimum, 1 the maximum. Uses a per-thread scratch vector, so it allocates only the first time a window of a new size is seen.

Definition at line 413 of file Kernels.cpp.

{
    const size_t n = window.size();
    if (n == 0)
        return 0.0;
 
    thread_local std::vector<double> scratch;
    scratch.assign(window.begin(), window.end());
 
    const double q = std::clamp(coefs.empty() ? 0.5 : coefs.front(), 0.0, 1.0);
    const double position = q * static_cast<double>(n - 1);
    const auto lower = static_cast<size_t>(position);
    const double fraction = position - static_cast<double>(lower);
 
    const auto nth = scratch.begin() + static_cast<std::ptrdiff_t>(lower);
    std::nth_element(scratch.begin(), nth, scratch.end());
    const double low = *nth;
 
    if (fraction <= 0.0 || lower + 1 >= n)
        return low;
 
    const double high = *std::min_element(nth + 1, scratch.end());
    return low + (high - low) * fraction;
}

References position, q, and window.