There are several online quantile estimation algorithms, but I haven't seen any that supports deletions (i.e. unobserve elements observed in the past). Are there any such known algorithms?
To motivate my question: I'd like to maintain some quantile estimation data structure from the start of time (t0) and take a snapshot of it at t1 and t2. Given the two snapshots, I want to estimate the quantiles for the values observed in [t1,t2] by subtracting the snapshot taking at t1, from the snapshot taken at t2 (i.e. delete all observations in the interval [t0,t1]).