Vector quantile regression beyond the specified case
Carlier, Guillaume; Chernozhukov, Victor; Galichon, Alfred (2016), Vector quantile regression beyond the specified case, Journal of Multivariate Analysis, 161, p. 96-102. https://doi.org/10.1016/j.jmva.2017.07.003
Type
Article accepté pour publication ou publiéLien vers un document non conservé dans cette base
https://arxiv.org/pdf/1610.06833.pdfDate
2016-10Nom de la revue
Journal of Multivariate AnalysisVolume
161Éditeur
Academic Press
Pages
96-102
Identifiant publication
Métadonnées
Afficher la notice complèteAuteur(s)
Carlier, GuillaumeCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Chernozhukov, Victor
MIT Department of Economics
Galichon, Alfred
Courant Institute of Mathematical Sciences [New York] [CIMS]
Résumé (EN)
This paper studies vector quantile regression (VQR), which models the dependence of a random vector with respect to a vector of explanatory variables with enough flexibility to capture the whole conditional distribution, and not only the conditional mean. The problem of vector quantile regression is formulated as an optimal transport problem subject to an additional mean-independence condition. This paper provides results on VQR beyond the specified case which had been the focus of previous work. We show that even beyond the specified case, the VQR problem still has a solution which provides a general representation of the conditional dependence between random vectors.Mots-clés
Duality; Optimal transport; Vector quantile regressionPublications associées
Affichage des éléments liés par titre et auteur.
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Carlier, Guillaume; Chernozhukov, Victor; Galichon, Alfred (2016) Article accepté pour publication ou publié
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Carlier, Guillaume; Chernozhukov, Victor; De Bie, Gwendoline; Galichon, Alfred (2022) Article accepté pour publication ou publié
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Carlier, Guillaume; Dana, Rose-Anne; Galichon, Alfred (2012) Article accepté pour publication ou publié
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Galichon, Alfred; Carlier, Guillaume (2012) Article accepté pour publication ou publié
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Carlier, Guillaume; Dupuy, Arnaud; Galichon, Alfred; Sun, Yifei (2021) Document de travail / Working paper