A short technical explanation about fitting data with quantile weighting for targeted quantiles (example: 5%). The speaker describes a method that uses all data but assigns higher weight to the quantile of interest; a specific formula is mentioned but not given in this chunk.
And then you fit this data. It's a little bit more complicated because you basically take all the data, but you give a lot of weight to the quantile that you are looking at. So there is a particular formula that I'm not going to explain right now, but you give a lot of weight. Let's say you're looking at the 5% percent.
