Carlier, Guillaume; Chernozhukov, Victor; Galichon, Alfred - 2015 - This draft: September 19, 2015
We propose a notion of conditional vector quantile function and a vector quantile regression. A conditional vector quantile function (CVQF) of a random vector Y, taking values in Rd given covariates Z=z, taking values in Rk, is a map u -- QY|Z(u,z), which is monotone, in the sense of being a...
