It’s been a while since I worked on high-dimensional density estimation, and I need to get back in the game. Which is the current state of the art for this problem? Is it the Autoregressive Energy Machine? And what’s the model/s you commonly use when you have to estimate an high-dimensional density? Links to libraries/model implementations would be very appreciated.

I’m also interested in a slightly different problem – sampling from the estimated density. Ideally I would be interested in models which are both good at estimating the target density, and which allow easy/efficient sampling. However, if it’s not possible to find models which excel at both tasks, I’d be fine with separate recommendations for when I’m mostly interested in accurate estimation, and for when I’m mostly interested in sampling from a target density (I guess VAEs or GANs would be the recommended approaches in the second case).