ANN: SortFilters.jl - fast moving quantile filter based on moving window sort

Just made a public package with moving quantile filter that is much faster (3x-20x) than any other alternatives I’ve found in Julia. This is an optimized case for 1-dimensional filters.

For a detailed benchmark and examples see:

Meanwhile, a little survey: what additional functionality you are looking from moving window filters?

  • moving window with variable length, e.g. fixed time window for irregular time events
  • moving window with decimation (window step or stride)
  • none of above, another option in comments

0 voters


Looks nice.

And since you asked, simple multivariate rolling and/or recursive window regressions are on my wish list.