This is an implementation of the algorithm presented in Cormode, Korn, Muthukrishnan, Srivastava's paper "Effective Computation of Biased Quantiles over Data Streams". The ambition here is to approximate quantiles on a stream of data without having a boatload of information kept in memory.
As of this writing you must use the presentation in the IEEE version of the paper. The authors' self-published copy of the paper is incorrect and this implementation will not make sense if you follow along using that version. Only the 'full biased' invariant is used. The 'targeted quantiles' variant of this algorithm is fundamentally flawed, an issue which the authors correct in their "Space- and Time-Efficient Deterministic Algorithms for Biased Quantiles over Data Streams"
A structure to provide approximate quantiles queries in bounded memory and with bounded error.