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NB: Post author here.

Yeah, that was one of the reasons we chose it as one of the ones to implement, seemed like that was a really interesting tradeoff, we also used uddsketch[1] which provides relative error guarantees, which is pretty nifty. We thought they provided different enough tradeoffs that we wanted to implement both.

[1]: https://arxiv.org/abs/1908.10693



Is it using https://github.com/tvondra/tdigest under the hood, or a separate implementation?


If folks are interested:

https://github.com/timescale/timescaledb-toolkit/blob/main/e...

(The TimescaleDB Toolkit is also implemented in Rust)


Facebook seems to have an even better performance implementation using sqrt. Might make sense to port that over to Rust. https://github.com/facebook/folly/blob/master/folly/stats/TD...


a separate implementation


Hi, in an unrelated nitpick: The relative error should be calculated by dividing the error by the true value, not by it's approximation. Still, very nice writeup!


Thanks! messed up the formula but had it right in the text :( Fixed now.




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