[R] Median of streaming data

[Mohan Radhakrishnan]

Hi,
      Are these free ? :-)

Thanks,
Mohan

On Wed, Sep 24, 2014 at 1:46 PM, Martin Maechler <maechler at stat.math.ethz.ch
> wrote:

> >>>>> Rolf Turner <r.turner at auckland.ac.nz>
> >>>>>     on Wed, 24 Sep 2014 18:43:34 +1200 writes:
>
>     > On 24/09/14 17:31, Mohan Radhakrishnan wrote:
>     >> Hi,
>     >>
>     >> I have streaming data(1 TB) that can't fit in memory. Is
>     >> there a way for me to find the median of these streaming
>     >> integers assuming I can fit only a small part in memory ?
>     >> This is about the statistical approach to find the median
>     >> of a large number of values when I can inspect only a
>     >> part of them due to memory constraints.
>
>     > You cannot, I'm pretty sure, calculate the median
>     > recursively.  However there are "approximate" recursive
>     > median algorithms which provide an estimate of location
>     > that has the same asymptotic properties as the median.
>
>     > See:
>
>     > * U. Holst, Recursive estimators of location.
>     > Commun. Statist. Theory Meth., vol. 16, 1987,
>     > pp. 2201--2226.
>
>     > and
>
>     > * Murray A. Cameron and T. Rolf Turner, Recursive location
>     > and scale estimators, Commun. Statist. Theory Meth.,
>     > vol. 22, 1993, pp. 2503--2515.
>
> This is really interesting to me, thank you, Rolf!
>
> OTOH,
>
> 1) has your proposal ever been provided in R?
>    I'd be happy to add it to the robustX
>    (http://cran.ch.r-project.org/web/packages/robustX) or even
>    robustbase (http://cran.ch.r-project.org/web/packages/robustbase)
> package.
>
> 2) Would anybody know of more recent research on the subject?
>    (I quickly "googled around" and found research more geared
>     for the time series situation which is more involved anyway)
>
>    --> Hence CC'ing the experts' list  R-SIG-robust
>
>
> Martin Maechler,  ETH Zurich
>
>
>     > cheers,
>     > Rolf Turner
>
>     > --
>     > Rolf Turner Technical Editor ANZJS
>
>

	[[alternative HTML version deleted]]