This implementation is following Facebook folly's implementation
Add this to your Cargo.toml:
[dependencies] tdigest = "0.2"then you are good to go. If you are using Rust 2015 you have to extern crate tdigest to your crate root as well.
use tdigest::TDigest;let t = TDigest::new_with_size(100);let values:Vec<f64> = (1..=1_000_000).map(f64::from).collect();let t = t.merge_sorted(values);let ans = t.estimate_quantile(0.99);let expected:f64 = 990_000.0;let percentage:f64 = (expected - ans).abs() / expected;assert!(percentage < 0.01);