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Elon Litman

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ABC: Any-Subset Autoregression via Non-Markovian Diffusion Bridges in Continuous Time and Space

This work proposes ABC: Any-Subset Autoregressive Models via Non-Markovian Diffusion Bridges in Continuous Time and Space, and derives SDE dynamics via changes-of-measure on path space, yielding another advantage: path-dependent conditioning on arbitrary subsets of the state history and/or future.

Gabriel Guo, Thanawat Sornwanee, L. Hao et al. · 0 citations