This repository contains code to estimate multivariate conditional distributions using the Gaussian representation proposed by Spady and Stouli (2020). The implementation relies on the optimagic package (Gabler, 2022) for nonlinear optimization.
Spady, Richard H., and Sami Stouli. "Gaussian Transforms Modelling and the Estimation of Distributional Regression Functions." arXiv preprint arXiv:2011.06416, 2020.
https://arxiv.org/abs/2011.06416
Gabler, Janos. "optimagic: A library for nonlinear optimization." 2022.
https://github.com/optimagic-dev/optimagic