st: approximate quantiles in Stata

[László Sándor <sandorl@gmail.com>]

Hi,
My work is slowed down by the precise but computationally intensive
quantile calculation of Stata. I am curious if there are any
approximation algorithms implemented out there, something along these
ideas: http://www.prelert.com/blog/q-digest-an-algorithm-for-computing-approximate-quantiles-on-a-collection-of-integers/

So this is not about estimating population quantiles from a small
sample (see Nick's hdquantile on SSC, e.g.). This is about finding
approximate quantiles in large data.

If the answer is simply random downsampling before taking quantiles, I
would still appreciate some guidance on how heavily to downsample as a
function of population size.

Thanks!

Laszlo
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