efficient running median

Janto Dreijer jantod at gmail.com
Tue Oct 13 17:22:55 CEST 2009

I'm looking for code that will calculate the running median of a
sequence, efficiently. (I'm trying to subtract the running median from
a signal to correct for gradual drift).

My naive attempt (taking the median of a sliding window) is
unfortunately too slow as my sliding windows are quite large (~1k) and
so are my sequences (~50k). On my PC it takes about 18 seconds per
sequence. 17 of those seconds is spent in sorting the sliding windows.

I've googled around and it looks like there are some recent journal
articles on it, but no code. Any suggestions?


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