Python implementation of the Vector Quantile Regression method adopting an Optimal Transport Approach proposed by Guillaume Carlier, Victor Chernozhukov and Alfred Galichon : https://arxiv.org/pdf/1406.4643.pdf
An implementation in R and Matlab (different from ours) and the data used can be found here: https://github.com/alfredgalichon/VQR
Pierre Delanoue