Graphical models have long been studied in statistics as a tool for inferring conditional independence relationships among a large set of random variables. The most existing works in graphical modeling focus on the cases that the data are Gaussian or mixed and the variables are linearly dependent. In this paper, we propose a double regression method for learning graphical models under the high-dimensional nonlinear and non-Gaussian setting, and prove that the proposed method is consistent under mild conditions. Th…