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I already covered the P² quantile estimator and its possible implementation improvements in several blog posts. This sequential estimator uses \(O(1)\) memory and allows estimating a single predefined quantile. Now it’s time to discuss the extended P² quantile estimator that allows estimating multiple predefined quantiles. This extended version was suggested in the paper “Simultaneous estimation of several percentiles”. In this post, we briefly discuss the approach from this paper and how we can...