[djk447]

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

[vvern]

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

[mfreed]

If folks are interested:

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

(The TimescaleDB Toolkit is also implemented in Rust)

[rogers18445]

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...

[Lockerman]

a separate implementation

[_0ffh]

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!

[djk447]

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