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Depression is damn near impossible to understand for those not suffering from it. They’ll say, “Cheer up, pull yourself together, look at all the blessings in your life,” as if someone caught in a downpour will feel cheered by the fact that the sun will come out tomorrow. But what if the rain doesn’t stop for a week . . . or a month? And what if — and this is the conclusion the depressed mind jumps to — the damned rain never stops?

Danish director and art-house provocateur Lars von Trier has, by his own admission, spent the past few years struggling with the black dog: clinical depression. His last three films, it seems, have been designed to make his audience suffer through it with him.

Von Trier’s so-called depression trilogy — beginning with “Antichrist” (2009), followed by “Melancholia” (2011) and this year’s two-part film “Nymphomaniac: Vol I & II” — is all over the map stylistically, but it’s quite consistent structurally: heroines suffering from mental illness while friends and family make futile attempts to deal with it.

This being von Trier, his treatment of depression is about as subtle as a black metal band’s treatment of religion. While he has never been a sun-will-come-out-tomorrow type (see “Dancer in the Dark” or “Dogville” for proof of that), these films are amongst the director’s darkest.

“When you are depressed, you have a feeling that it’s not only you that’s changed, but the whole world,” said von Trier in a 2011 interview with Sight & Sound magazine, and that notion permeates these films. Nature is an evil, bewitching force; the universe unthinking in its destruction; and sexuality, our very life force, an instrument of self-destruction.

Von Trier suffered from anxiety for years (his phobia of flying is well known), and as he explained to Time Out, “(the anxiety) was building up and the depression is a break from it. You fall down and you’re like a bird with a cat and you say: ‘Eat me, for Christ’s sake!’ ” And what did that “break” feel like? “The idea is you have given up. You lie there, face a wall and cry.”

“Antichrist” was made while von Trier was in the midst of this crisis. It was, as he’s repeatedly told interviewers, “a test to see if I would ever make another film.” Listless and unable to even operate a camera properly, he poured his nightmares — in their most unfiltered form — into this psychosexual torture-porn film.

If anything, “Antichrist” seems to be his anti-therapy film: Charlotte Gainsbourg and Willem Dafoe play a couple whose infant child dies as they are having sex in the next room. Gainsbourg’s character goes mad with grief, and her psychiatrist husband’s treatment — forcing her to confront her fears, the exact same type of cognitive-behavioral therapy von Trier himself went through — is horribly misguided: She goes berserk as she descends into psychosis, drilling a hole in his leg and cutting off her own clitoris. The film was booed at the Cannes Film Festival in 2009, even as Gainsbourg took home the festival’s best actress award and von Trier himself was hard pressed to say what it all meant without digressing into “shamanic journeys.”

If there’s beauty to be found in despair, the second part of the trilogy, “Melancholia,” is your film. It follows two sisters (played by Kirsten Dunst and Gainsbourg) as “a planet that has been hiding behind the sun” — named Melancholia — approaches on an Earth-extinction trajectory. The first half is a loosely filmed wedding party (inspired as much by “The Deer Hunter” as Danish film “Festen”) where Dunst’s bride loses her facade of joy as an inexplicable, deadening sadness descends upon her.

Von Trier keeps us guessing: Her sudden descent could be due to a Cassandra-like premonition of Melancholia’s coming impact, or due to her mother (Charlotte Rampling), who uses a wedding-party speech to express her loathing of such rituals. It’s a truth of depression that there is no one cause, but von Trier has often spoken with spite about his own mother, who waited until she was on her deathbed to reveal to him that he had been fathered by a man other than her husband, for seemingly frivolous reasons.

The film’s second half sees Dunst’s more sensible sister (Gainsbourg) and her wealthy, reassuring husband (Kiefer Sutherland) gradually go to pieces as Melancholia approaches, while Dunst’s depression allows her to embrace the coming apocalypse, moon bathing nude in the icy-blue glow of the planet.

Echoing the themes of “Antichrist,” she tells her sister, “The Earth is evil; we don’t need to grieve for it. Nobody will miss it.” It’s the end of the world and she feels fine, perhaps out of relief at the coming release from her burden, perhaps because she was right. Regardless, the film’s final five minutes, set to Wagner’s “Tristan and Isolde,” are among the most beautiful and awestruck von Trier has ever produced. There’s a sharp sense of the fleetingness of life and human connection that shines through, despite the film’s finality.

After the psychosis and clinical depression in the first two parts of the trilogy, “Nymphomaniac: Vol. I & II” gives us hypersexuality, and by this point, it seems like von Trier has recovered his spunk. In the two-part film, the insatiable heroine (Gainsbourg, yet again) relates her entire sexual life to a chaste good samaritan (Stellan Skarsgard), who finds her beaten and bloody in the street. It can feel like a four-hour argument between patient and therapist as she describes her worst behavior — betrayal, using people for her own satisfaction, choosing brutal sex over her infant son — which Skarsgard then turns around as he tries to explain how she’s not so bad and is perhaps even acting rationally. The sting is in the tail, with a climax that represents the ultimate flipped bird at the therapist.

Crucial to the film is a group-therapy scene where Gainsbourg’s fallen woman rejects the idea of “sex addiction” and proudly declares herself a “nymphomaniac.” For better or worse, it is what she is — not a disease or disorder. And with that, von Trier is back.

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