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Re:DDSketch: A fast, fully-mergeable quantile sketch with re... by homin on Thursday August 29, 2019 @12:35PM (#20831054)
T-digest is definitely the best rank-accuracy sketch for higher percentiles in terms of size. However, it was much slower than GK, and we found that by increasing the rank-accuracy of GK (taking the penalty of a larger sketch-size), the results were not too different. Both of course had the issues inherent in all rank-accurate sketches in the higher percentiles over long-tailed data.

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