[Numpy-discussion] Weighted percentile / quantile

Alex Rogozhnikov alex.rogozhnikov at yandex.ru
Tue Mar 1 18:03:45 EST 2016


Hi, 
I know the topic was already raised a long ago: 
https://mail.scipy.org/pipermail/numpy-discussion/2010-July/051851.html

There are also several questions on SO:
http://stackoverflow.com/questions/20601872/numpy-or-scipy-to-calculate-weighted-median
http://stackoverflow.com/questions/13546146/percentile-calculation-with-weighted-data
http://stackoverflow.com/questions/26102867/python-weighted-median-algorithm-with-pandas

The only working solution with numpy:
http://stackoverflow.com/questions/21844024/weighted-percentile-using-numpy
uses sorting. 

Are there better options at the moment (numpy/scipy/pandas)?

Cheers, 
Alex.
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