I decided to compare the runtime of the different approaches mentioned here. I've used my library simple_benchmark for this.
The boolean indexing with array[array != 0] seems to be the fastest (and shortest) solution.

For smaller arrays the MaskedArray approach is very slow compared to the other approaches however is as fast as the boolean indexing approach. However for moderately sized arrays there is not much difference between them.
Here is the code I've used:
from simple_benchmark import BenchmarkBuilder
import numpy as np
bench = BenchmarkBuilder()
@bench.add_function()
def boolean_indexing(arr):
return arr[arr != 0]
@bench.add_function()
def integer_indexing_nonzero(arr):
return arr[np.nonzero(arr)]
@bench.add_function()
def integer_indexing_where(arr):
return arr[np.where(arr != 0)]
@bench.add_function()
def masked_array(arr):
return np.ma.masked_equal(arr, 0)
@bench.add_arguments('array size')
def argument_provider():
for exp in range(3, 25):
size = 2**exp
arr = np.random.random(size)
arr[arr < 0.1] = 0 # add some zeros
yield size, arr
r = bench.run()
r.plot()