  In this paper, we consider a generic scheme that allows building weighted
versions of various quantile estimators, such as traditional quantile
estimators based on linear interpolation of two order statistics, the
Harrell-Davis quantile estimator and its trimmed modification. The obtained
weighted quantile estimators are especially useful in the problem of estimating
a distribution at the tail of a time series using quantile exponential
smoothing. The presented approach can also be applied to other problems, such
as quantile estimation of weighted mixture distributions.
