wquantiles

Weighted quantiles with Python, including weighted median. This library is based on numpy, which is the only dependence.

The main methods are quantile and median. The input of quantile is a numpy array (data), a numpy array of weights of one dimension and the value of the quantile (between 0 and 1) to compute. The weighting is applied along the last axis. The method median is an alias to quantile(data, weights, 0.5).