For what it's worth, I've looked into this a long time ago. The missing
ingredient has always been weighted quantiles. If I'm not mistaken, the
interface already exists, but raises an error. I've had it on my back
burner to provide an O(n) C implementation of weighted introselect, but
never quite g
While it does feel like this might be more scipy-ish than numpy-ish, numpy
has an existing histogram method, with existing heuristics for choosing a
number of bins automatically, with existing support for weights. What it is
lacking is support for weights and a heuristic jointly. This proposal is
n
