computation of quantiles for streaming data

Intel® Summary Statistics Library: what is new in the Update?

Intel® Summary Statistics Library 1.0 Update is available for downloading. It includes several features and benefits:

Algorithm for parameterization of correlation matrix. The algorithm transforms the input which lacks property of positive semidefiniteness into the output meeting properties of correlation matrix. The algorithm is based on spectral decomposition method and can be used in financial computations.
computation of quantiles for streaming data abonnieren