ENH: stats.quantile: an array API compatible quantile function (original) (raw)

January 31, 2025, 10:38pm 1

Hi Team,

gh-22352 proposes the addition of an array API compatible quantile function to scipy.stats. Rationale includes:

• Based on data-apis/array-api#795, its not looking like the array API standard will converge on a quantile function, or at least not one that would do everything users might reasonably expect of a quantile function.
• Some SciPy functions will need an array API compatible quantile or median function if they are to be translated to the array API.
• Looking toward gh-22194, we’ll need a function to replace mquantiles, which is one of the most-used functions in stats.mstats. scoreatpercentile is not be a great substitute for a few reasons, including the unfamiliar name.

Advantages compared to np.quantile include:

• Rather than computing quantiles at all combinations of probability and data slice, it follows more familiar and flexible broadcasting rules. (Example use case: BCa bootstrap, which needs quantiles at different probabilities for each slice.)
• Regarding NaNs in the data array, it supports the standard nan_policy options rather than requiring different functions for NaN propagation/omission.
• NaNs in the probability array produce NaNs in the output rather than causing the entire operation to fail.
• (to be added in immediate follow-up) Support for Harrell-Davis quantiles.
• (to be added in immediate follow-up, after gh-22393 merges) Support for masked arrays.

All are welcome to join the discussion in gh-22352!

Thanks!
Matt