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boost::accumulators::impl::weighted_extended_p_square_impl — Multiple quantile estimation with the extended  algorithm for weighted samples.
 algorithm for weighted samples. 
// In header: <boost/accumulators/statistics_fwd.hpp> template<typename Sample, typename Weight> struct weighted_extended_p_square_impl : public accumulator_base { // construct/copy/destruct template<typename Args> weighted_extended_p_square_impl(Args const &); // public member functions template<typename Args> void operator()(Args const &); result_type result(dont_care) const; };
This version of the extended  algorithm extends the extended
 algorithm extends the extended  algorithm to support weighted samples. The extended
 algorithm to support weighted samples. The extended  algorithm dynamically estimates several quantiles without storing samples. Assume that
 algorithm dynamically estimates several quantiles without storing samples. Assume that  quantiles
 quantiles  are to be estimated. Instead of storing the whole sample cumulative distribution, the algorithm maintains only
 are to be estimated. Instead of storing the whole sample cumulative distribution, the algorithm maintains only  principal markers and
 principal markers and  middle markers, whose positions are updated with each sample and whose heights are adjusted (if necessary) using a piecewise-parablic formula. The heights of the principal markers are the current estimates of the quantiles and are returned as an iterator range.
 middle markers, whose positions are updated with each sample and whose heights are adjusted (if necessary) using a piecewise-parablic formula. The heights of the principal markers are the current estimates of the quantiles and are returned as an iterator range.
For further details, see
K. E. E. Raatikainen, Simultaneous estimation of several quantiles, Simulation, Volume 49, Number 4 (October), 1986, p. 159-164.
The extended  algorithm generalizes the
 algorithm generalizes the  algorithm of
 algorithm of
R. Jain and I. Chlamtac, The P^2 algorithm for dynamic calculation of quantiles and histograms without storing observations, Communications of the ACM, Volume 28 (October), Number 10, 1985, p. 1076-1085.