quantilesTDigestWeighted

Introduced in: v20.1.0

Computes multiple approximate quantiles of a numeric data sequence at different levels simultaneously using the t-digest algorithm. The function takes into account the weight of each sequence member.

This function is equivalent to quantileTDigestWeighted but allows computing multiple quantile levels in a single pass, which is more efficient than calling individual quantile functions.

The maximum error is 1%. Memory consumption is log(n), where n is a number of values.

The performance of the function is lower than performance of quantiles or quantilesTiming. In terms of the ratio of State size to precision, this function is much better than quantiles.

The result depends on the order of running the query, and is nondeterministic.

Note

Using quantilesTDigestWeighted is not recommended for tiny data sets and can lead to significant error. In this case, consider possibility of using quantilesTDigest instead.

Syntax

quantilesTDigestWeighted(level1, level2, ...)(expr, weight)

Parameters

level — Levels of quantiles. One or more constant floating-point numbers from 0 to 1. We recommend using level values in the range of [0.01, 0.99]. Float*

Arguments

expr — Expression over the column values resulting in numeric data types, Date or DateTime. (U)Int* or Float* or Date or DateTime
weight — Column with weights of sequence elements. Weight is a number of value occurrences. UInt*

Returned value

Array of approximate quantiles of the specified levels in the same order as the levels were specified. For Date and DateTime inputs the output format matches the input format. Array(Float32) or Array(Date) or Array(DateTime)

Examples

Computing multiple weighted quantiles with t-digest

SELECT quantilesTDigestWeighted(0.25, 0.5, 0.75)(number, 1) FROM numbers(100);

┌─quantilesTDigestWeighted(0.25, 0.5, 0.75)(number, 1)─┐
│ [24.75,49.5,74.25]                                   │
└───────────────────────────────────────────────────────┘

quantilesTDigestWeighted​

quantilesTDigestWeighted