tdigest/example.js

javascript implementation of Dunning's T-Digest for streaming quantile approximation

// Examples of Digest, which automatically chooses between
// a discrete and TDigest representation of a streaming sample.
//
var Digest = require('./tdigest').Digest;
//
// create a frequency digest for a small sample. automatically store
// these as discrete samples and report exact percentiles
//
var x=[], N = 10;
digest = new Digest();
for (var i = 0 ; i < N ; i += 1) {
    digest.push(i/N * 10 - 5);
}
console.log(digest.summary());
for (var p = 0 ; p <= 1.0 ; p += 0.1) {
    console.log("p = "+p.toFixed(2)+", x == "+(digest.percentile(p)));
}
for (var x = -5 ; x <= 5 ; x += 1.0) {
    console.log("x = "+x+", p == "+(digest.p_rank(x)));
}
//
// the digest remains exact for a large number of samples having
// a small number of distinct values
//
x = [];
N = 10000;
digest = new Digest();
for (i = 0 ; i < N ; i += 1) {
    digest.push(Math.floor(i/N * 10 - 5));
}
console.log(digest.summary());
for (p = 0 ; p <= 1.0 ; p += 0.1) {
    console.log("p = "+p.toFixed(2)+", x == "+(digest.percentile(p)));
}
for (x = -5 ; x <= 5 ; x += 1.0) {
    console.log("x = "+x+", p == "+(digest.p_rank(x)));
}
//
// the digest automatically shifts to a TDigest approximation for a
// large number of distinct sample values
//
x = [];
N = 10000;
digest = new Digest();
for (i = 0 ; i < N ; i += 1) {
    digest.push(i/N * 10 - 5);
}
digest.compress();
console.log(digest.summary());
for (p = 0 ; p <= 1.0 ; p += 0.1) {
    console.log("p = "+p.toFixed(2)+", x ~ "+(digest.percentile(p)));
}
for (x = -5 ; x <= 5 ; x += 1.0) {
    console.log("x = "+x+", p ~ "+(digest.p_rank(x)));
}
//
// force the digest to store all unique samples, regardless of number
//
x = [];
N = 10000;
digest = new Digest({mode:'disc'});
for (var i = 0 ; i < N ; i += 1) {
    digest.push(i/N * 10 - 5);
}
console.log(digest.summary());
for (var p = 0 ; p <= 1.0 ; p += 0.1) {
    console.log("p = "+p.toFixed(2)+", x == "+(digest.percentile(p)));
}
for (var x = -5 ; x <= 5 ; x += 1.0) {
    console.log("x = "+x+", p == "+(digest.p_rank(x)));
}