Vector quantile regression: an optimal transport approach

Nonparametric estimation (62G05) Linear inference, regression (62J99) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: We propose a notion of conditional vector quantile function and a vector quantile regression. A emph{conditional vector quantile function} (CVQF) of a random vector

Y

, taking values in

m a t h b b R^{d}

given covariates

Z = z

, taking values in

m a t h b b R %^{k}

, is a map

u l o n g m a p s t o Q_{Y m i d Z} (u, z)

, which is monotone, in the sense of being a gradient of a convex function, and such that given that vector

U

follows a reference non-atomic distribution

F_{U}

, for instance uniform distribution on a unit cube in

m a t h b b R^{d}

, the random vector

Q_{Y m i d Z} (U, z)

has the distribution of

Y

conditional on

Z = z

. Moreover, we have a strong representation,

Y = Q_{Y m i d Z} (U, Z)

almost surely, for some version of

U

. The emph{vector quantile regression} (VQR) is a linear model for CVQF of

Y

given

Z

. Under correct specification, the notion produces strong representation,

, for

f (Z)

denoting a known set of transformations of

Z

, where

is a monotone map, the gradient of a convex function, and the quantile regression coefficients

have the interpretations analogous to that of the standard scalar quantile regression. As

f (Z)

becomes a richer class of transformations of

Z

, the model becomes nonparametric, as in series modelling. A key property of VQR is the embedding of the classical Monge-Kantorovich's optimal transportation problem at its core as a special case. In the classical case, where

Y

is scalar, VQR reduces to a version of the classical QR, and CVQF reduces to the scalar conditional quantile function. An application to multiple Engel curve estimation is considered.

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