Backport PR pandas-dev#29173 for 0.25.3 release

Author: WillAyd

pandas/_libs/groupby.pyx

@@ -741,6 +741,9 @@ def group_quantile(ndarray[float64_t] out,
     with nogil:
         for i in range(N):
             lab = labels[i]
+            if lab == -1:  # NA group label
+                continue
+
             counts[lab] += 1
             if not mask[i]:
                 non_na_counts[lab] += 1

pandas/tests/groupby/test_function.py

@@ -1327,6 +1327,29 @@ def test_quantile_out_of_bounds_q_raises():
         g.quantile(-1)
 
 
+def test_quantile_missing_group_values_no_segfaults():
+    # GH 28662
+    data = np.array([1.0, np.nan, 1.0])
+    df = pd.DataFrame(dict(key=data, val=range(3)))
+
+    # Random segfaults; would have been guaranteed in loop
+    grp = df.groupby("key")
+    for _ in range(100):
+        grp.quantile()
+
+
+def test_quantile_missing_group_values_correct_results():
+    # GH 28662
+    data = np.array([1.0, np.nan, 3.0, np.nan])
+    df = pd.DataFrame(dict(key=data, val=range(4)))
+
+    result = df.groupby("key").quantile()
+    expected = pd.DataFrame(
+        [1.0, 3.0], index=pd.Index([1.0, 3.0], name="key"), columns=["val"]
+    )
+    tm.assert_frame_equal(result, expected)
+
+
 # pipe
 # --------------------------------