Did you find a satisfactory answer for this question?
I recently found this reference:
http://www.wseas.us/e-library/conferences/2009/hangzhou/ACACOS/ACACOS21.pdf
but I am pretty sure that the issue must have been investigated before. While it is easy to justify the use of observation weights (in practice, by weighting observations, you are hoping to use a better estimate of the unknown distribution function F), I would like to find the relevant background.
