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Vector quantile regression beyond the specified case

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorCarlier, Guillaume
hal.structure.identifierMIT Department of Economics
dc.contributor.authorChernozhukov, Victor
hal.structure.identifierCourant Institute of Mathematical Sciences [New York] [CIMS]
dc.contributor.authorGalichon, Alfred
dc.date.accessioned2017-11-03T15:10:04Z
dc.date.available2017-11-03T15:10:04Z
dc.date.issued2016-10
dc.identifier.issn0047-259X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16914
dc.language.isoenen
dc.subjectDualityen
dc.subjectOptimal transporten
dc.subjectVector quantile regressionen
dc.subject.ddc515en
dc.titleVector quantile regression beyond the specified caseen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameJournal of Multivariate Analysis
dc.relation.isversionofjnlvol161en
dc.relation.isversionofjnldate2017-09
dc.relation.isversionofjnlpages96-102en
dc.relation.isversionofdoihttps://doi.org/10.1016/j.jmva.2017.07.003en
dc.identifier.urlsitehttps://arxiv.org/pdf/1610.06833.pdfen
dc.relation.isversionofjnlpublisherAcademic Pressen
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-11-03T15:06:52Z
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