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VQR

Vector Quantile Regression

Overview

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.

Author

Alfred Galichon.

License

GPL (>= 2)

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Code for Vector Quantile Regression (Carlier, Chernozhukov, Galichon, Annals of Statistics, 2016)

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