Correction to: Vector Quantile Regression and Optimal Transport, from Theory to Numerics

Guillaume Carlier, Victor Chernozhukov, Gwendoline de Bie and Alfred Galichon ()
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Guillaume Carlier: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres, MOKAPLAN - Méthodes numériques pour le problème de Monge-Kantorovich et Applications en sciences sociales - CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique - Centre Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique
Gwendoline de Bie: DMA - Département de Mathématiques et Applications - ENS-PSL (UMR8553) - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Alfred Galichon: NYU - New York University [New York] - NYU - NYU System, ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we first revisit the Koenker and Bassett variational approach to (univariate) quantile regression, emphasizing its link with latent factor representations and correlation maximization problems. We then review the multivariate extension due to Carlier et al. (Ann Statist 44(3):1165–92, 2016,; J Multivariate Anal 161:96–102, 2017) which relates vector quantile regression to an optimal transport problem with mean independence constraints. We introduce an entropic regularization of this problem, implement a gradient descent numerical method and illustrate its feasibility on univariate and bivariate examples.

Keywords: Vector quantile regression; Optimal transport with mean independence constraints; Latent factors; Entropic regularization (search for similar items in EconPapers)
Date: 2022-01
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Published in Empirical Economics, 2022, 62 (1), pp.63-63. ⟨10.1007/s00181-020-01933-0⟩

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Journal Article: Correction to: Vector quantile regression and optimal transport, from theory to numerics (2022)
Working Paper: Correction to: Vector Quantile Regression and Optimal Transport, from Theory to Numerics (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-03896159

DOI: 10.1007/s00181-020-01933-0

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