Conditional distribution functions are important statistical objects for the analysis of a wide class of problems in econometrics and statistics. We propose flexible Gaussian representations for conditional distribution functions and give a concave likelihood formulation for their global...

This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996)). In our setting, economic agents...