Weighted percentile using numpy

Question

Is there a way to use the numpy.percentile function to compute weighted percentile? Or is anyone aware of an alternative python function to compute weighted percentile?

Answer 1

As mentioned in comments, simply repeating values is impossible for float weights, and impractical for very large datasets. There is a library that does weighted percentiles here: http://kochanski.org/gpk/code/speechresearch/gmisclib/gmisclib.weighted_percentile-module.html It worked for me.