Computes on-line estimates of mean, variance and all five quartiles (notably including the
median). Since this is done in a completely incremental fashion (that is what is meant by
on-line) estimates are available at any time and the amount of memory used is constant. Somewhat
surprisingly, the quantile estimates are about as good as you would get if you actually kept all
of the samples.
The method used for mean and variance is Welford's method. See
http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#On-line_algorithm
The method used for computing the quartiles is a simplified form of the stochastic approximation
method described in the article "Incremental Quantile Estimation for Massive Tracking" by Chen,
Lambert and Pinheiro
See
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.105.1580