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 … version of U. The vector quantile regression (VQR) is a linear model for CVQF of Y given Z. Under correct specification, the …(Z) is a monotone map, the gradient of a convex function, and the quantile regression coefficients u --> ß(u) have the …