Computing Quantiles of Functions of the Agent Distribution Using t-Digests
Robert Kirkby
Abstract:We introduce t-Digests as an accurate and computationally efficient way to calculate the quantiles of functions of the agent distribution for models in which the full distribution is too large to work with directly; e.g., to calculate the Top 1% of the wealth distribution. When it is possible to fit the entire agent distribution (and a function evaluation on it) into memory, the quantiles can easily be calculated directly. Evaluating a function on the agent distribution can be done much faster using a GPU, how… Show more
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