2016/10/21 by Guillaume Carlier, Victor Chernozhukov, Carlier, Guillaume +3 · 1 citation
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Optimization and Control (math.OC) #Risk and Portfolio Optimization #Statistical and numerical algorithms #Statistics Theory (math.ST) #math.OC #math.ST #stat.ME #stat.TH
paper · pdf · doi:10.48550/arxiv.1610.06833
arxiv created 2016/10/21 · openalex publication_date 2016/10/21 · arxiv updated 2016/10/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies vector quantile regression (VQR), which is a way to model the dependence of a random vector of interest with respect to a vector of explanatory variables so 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 a new set of results on VQR beyond the case with correct specification which had been the focus of previous work. First, we show that even under misspecification, the VQR problem still has a solution which provides a general representation of the conditional dependence between random vectors. Second, we provide a detailed comparison with the classical approach of Koenker and Bassett in the case when the dependent variable is univariate and we show that in that case, VQR is equivalent to classical quantile regression with an additional monotonicity constraint.