R and Matlab implementation of Vector Quantile Regression
This software implements Carlier, Chernozhukov and Galichon’s “Vector Quantile Regression” (Annals of Statistics, forthcoming). Vector Quantile Regression (VQR) is a multivariate version of the Quantile Regression procedure of Koenker and Bassett (1978). It relies on a multivariate extension of the notion of quantile via optimal transportation, and a representation of Conditional Vector Quantiles by a variational problem.
(c) 2014 by Carlier, Chernozhukov and Galichon. Available in Matlab and R. See user manual in the zip archive. Requires Gurobi. This software may be used for non-commercial use only and comes with absolutely no warranty.
Carlier, G., Chernozhukov, V., and Galichon, A. (2014): “Vector Quantile Regression”. Arxiv:1406.4643.