PR to add "weights" option to np.quantile

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PR to add "weights" option to np.quantile

Chun-Wei Yuan
Hi all,

I have a long-standing PR to add a "weights" option to np.quantile/percentile:


For a little background, there are quite a few ways to define "quantile" to begin with.  Numpy defines it the same way as R's default (Type 7):


What PR 9211 does is introducing a "weights" option while staying consistent with the Type 7 definition of quantile.

There is certainly support on adding this feature, but as also can be perused from the thread, there are doubts on

1.) what is the right way to define "weighted" quantile?
2.) whether Numpy should support other types of quantiles in the first place, etc.

I've stated my answers to those questions in the thread.  This PR has fallen off the radar and needs a little popular jolt to get some movement.  Please chime in to keep it alive.

Best,

Chun

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