Vector Quantile Regression
This is an implementation of Carlier, Chernozhukov and Galichon’s “Vector Quantile Regression” (VQR) (Annals of Statistics, 2016). VQR is a multivariate version of the Quantile Regression procedure of Koenker and Bassett (1978). It relies on a multivariate extension of the notion of quantile via optimal transportation, and a representation of Conditional Vector Quantiles by a variational problem.
The code is under active development and should be considered as `alpha stage' software.
GPL (>= 2)