Python: How to create weighted quantiles in Pandas?

Question

I understand how to create simple quantiles in Pandas using pd.qcut. But after searching around, I don't see anything to create weighted quantiles. Specifically, I wish to create a variable which bins the values of a variable of interest (from smallest to largest) such that each bin contains an equal weight. So far this is what I have:

def wtdQuantile(dataframe, var, weight = None, n = 10):
    if weight == None:
        return pd.qcut(dataframe[var], n, labels = False)
    else:
        dataframe.sort_values(var, ascending = True, inplace = True)
        cum_sum = dataframe[weight].cumsum()
        cutoff = max(cum_sum)/n
        quantile = cum_sum/cutoff
        quantile[-1:] -= 1
        return quantile.map(int)

Is there an easier way, or something prebuilt from Pandas that I'm missing?

Edit: As requested, I'm providing some sample data. In the following, I'm trying to bin the "Var" variable using "Weight" as the weight. Using pd.qcut, we get an equal number of observations in each bin. Instead, I want an equal weight in each bin, or in this case, as close to equal as possible.

Weight  Var  pd.qcut(n=5)  Desired_Rslt
   10     1            0              0
   14     2            0              0
   18     3            1              0
   15     4            1              1
   30     5            2              1
   12     6            2              2
   20     7            3              2
   25     8            3              3
   29     9            4              3
   45    10            4              4

Answer 1

I don't think this is built-in to Pandas, but here is a function that does what you want in a few lines:

import numpy as np
import pandas as pd
from pandas._libs.lib import is_integer

def weighted_qcut(values, weights, q, **kwargs):
    'Return weighted quantile cuts from a given series, values.'
    if is_integer(q):
        quantiles = np.linspace(0, 1, q + 1)
    else:
        quantiles = q
    order = weights.iloc[values.argsort()].cumsum()
    bins = pd.cut(order / order.iloc[-1], quantiles, **kwargs)
    return bins.sort_index()

We can test it on your data this way:

data = pd.DataFrame({
    'var': range(1, 11),
    'weight': [10, 14, 18, 15, 30, 12, 20, 25, 29, 45]
})

data['qcut'] = pd.qcut(data['var'], 5, labels=False)
data['weighted_qcut'] = weighted_qcut(data['var'], data['weight'], 5, labels=False)
print(data)

The output matches your desired result from above:

   var  weight  qcut  weighted_qcut
0    1      10     0              0
1    2      14     0              0
2    3      18     1              0
3    4      15     1              1
4    5      30     2              1
5    6      12     2              2
6    7      20     3              2
7    8      25     3              3
8    9      29     4              3
9   10      45     4              4