Package for approximate small quantiles

Anybody knows about a package that might be used for fast estimation of approximated quantiles? I’m looking for an efficient method that might be used with very large datasets, without having to store all the values (I can obtain them with an iterator). E.g. Greenwald’s and Khanna’s method (, or perhaps Cormode’s et al. (, or any other that works nice with small quantiles (around q=0.05).

Try OnlineStats.jl: