Weighted percentile using numpy
Completely vectorized numpy solution Here is the code I use. It’s not an optimal one (which I’m unable to write with numpy), but still much faster and more reliable than accepted solution def weighted_quantile(values, quantiles, sample_weight=None, values_sorted=False, old_style=False): “”” Very close to numpy.percentile, but supports weights. NOTE: quantiles should be in [0, 1]! :param values: … Read more