# Weighted quantile estimators

arXiv: https://arxiv.org/abs/2304.07265 · HTML: https://mlsanity.com/paper/2304.07265/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 14 Apr 2023.

## Built on by (most cited first, 1 of 1)

- [Bayesian Causal Inference with Gaussian Process Networks](https://mlsanity.com/paper/2402.00623/) (2024)

## Abstract (arXiv)

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.